Portfolio Management Commentary
How did the Series perform?
‰
For the 12-month period ended December 31, 2016, Master Extended
Market Index Series (the “Series”), a series of Quantitative Master Series
LLC, returned 16.07% while the benchmark Dow Jones U.S. Completion
Total Stock Market Index (the “Benchmark Index”) returned 15.75%.
Describe the market environment.
‰ The year started with U.S. stock prices falling due to fears of a global
economic slowdown, oil prices cratering, and terrorist attacks in Istanbul,
Jakarta, and Pakistan. Domestic equity markets rebounded in the second
quarter of 2016, despite increased volatility in June from the “Brexit,” i.e.,
the United Kingdom’s vote to leave the European Union.
‰ U.S. equities capitalized on the upward momentum from their second
quarter rally, which continued through the second half of the reporting
period, driven by a dovish Federal Reserve (the “Fed”) that kept rates
unchanged and stronger-than-expected earnings releases versus analyst
expectations. The U.S. economy continued to strengthen into the fourth
quarter as seen by strong macro data and tightening of the U.S. labor
Master Extended Market Index Series
market. As such, the Fed’s decision to raise rates by 25 basis points
(0.25%) at the end of the reporting period did not come as a big surprise.
‰ The U.S. election and the Fed were front and center in 2016. The year
started with an increase in volatility as investors prepared for a possible
Fed rate increase, and weighed probable outcomes of the U.S. election. While many people were shocked by the Trump win, markets did not
experience the same type of volatility seen after the Brexit vote, with
major U.S. indexes posting solid gains in November.
Describe recent portfolio activity.
‰ During the period, as changes were made to the composition of the
Benchmark Index, the Series purchased and sold securities to maintain
its objective of matching the performance of the Benchmark Index as
closely as possible before the deduction of Series expenses.
Describe portfolio positioning at period end.
‰ The Series remains positioned to attempt to match the risk characteristics
of the Benchmark Index, irrespective of the market’s future direction.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These
views are not intended to be a forecast of future events and are no guarantee of future results.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
1
Portfolio Information as of December 31, 2016
Master Extended Market Index Series
Percent of
Net Assets
Sector Allocation
Financials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Information Technology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Consumer Discretionary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Industrials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Health Care . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Real Estate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Materials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Consumer Staples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Utilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Telecommunications Services . . . . . . . . . . . . . . . . . . . . . . . . . .
Short-Term Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Liabilities in Excess of Other Assets . . . . . . . . . . . . . . . . . . . . . .
18%
17
14
13
10
9
6
4
4
3
1
2
(1)
For Series compliance purposes, the Series’ sector classifications refer to 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 the investment
adviser. These definitions may not apply for purposes of this report, which may
combine such sector sub-classifications for reporting ease.
Derivative Financial Instruments
The Series may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market,
and/or other asset without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity,
credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic
leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible
default of the counterparty to the transaction or illiquidity of the instrument. The Series’ successful use of a derivative financial instrument depends on the
investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses
greater than if they had not been used, may limit the amount of appreciation the Series can realize on an investment and/or may result in lower distributions paid to shareholders. The Series’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
2
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Schedule of Investments December 31, 2016
Master Extended Market Index Series
(Percentages shown are based on Net Assets)
Common Stocks
Aerospace & Defense — 1.6%
AAR Corp.
Aerojet Rocketdyne Holdings, Inc. (a)
Aerovironment, Inc. (a)
American Outdoor Brands Corp. (a)
Astronics Corp. (a)
B/E Aerospace, Inc.
BWX Technologies, Inc.
CPI Aerostructures, Inc. (a)
Cubic Corp.
Curtiss-Wright Corp.
Ducommun, Inc. (a)
Engility Holdings, Inc. (a)
Esterline Technologies Corp. (a)
HEICO Corp.
HEICO Corp., Class A
Hexcel Corp.
Huntington Ingalls Industries, Inc.
Innovative Solutions & Support, Inc. (a)
KLX, Inc. (a)
Kratos Defense & Security Solutions, Inc. (a)
LMI Aerospace, Inc. (a)
Mantech International Corp., Class A
Moog, Inc., Class A (a)
Orbital ATK, Inc.
RBC Bearings, Inc. (a)
Spirit Aerosystems Holdings, Inc., Class A
Sturm Ruger & Co., Inc.
Taser International, Inc. (a)
Teledyne Technologies, Inc. (a)
Triumph Group, Inc.
VSE Corp.
Shares
4,851
10,910
3,384
8,805
3,613
15,620
15,015
2,281
3,758
6,672
1,874
2,637
4,377
3,308
5,544
13,909
7,025
4,600
8,765
7,970
2,720
3,813
4,945
8,889
3,670
19,601
2,841
8,193
5,328
7,487
1,288
Value
$
160,326
195,835
90,793
185,609
122,264
940,168
596,095
21,099
180,196
656,258
47,899
88,867
390,428
255,212
376,438
715,479
1,293,935
15,318
395,389
58,978
23,446
161,099
324,788
779,832
340,613
1,143,718
149,721
198,598
655,344
198,406
50,026
10,812,177
Alternative Energy — 0.1%
Aemetis, Inc. (a)(b)
Amyris, Inc. (a)
Enphase Energy, Inc. (a)
FuelCell Energy, Inc. (a)(b)
Green Brick Partners, Inc. (a)
Green Plains, Inc.
MagneGas Corp. (a)(b)
Ocean Power Technologies, Inc. (a)(b)
Pattern Energy Group, Inc.
Plug Power, Inc. (a)(b)
Renewable Energy Group, Inc. (a)
REX American Resources Corp. (a)
SolarEdge Technologies, Inc. (a)
SunPower Corp. (a)(b)
TerraVia Holdings, Inc. (a)
3,787
8,820
5,033
6,237
3,198
5,207
3,416
1,146
10,166
35,694
5,257
921
4,302
9,200
13,122
5,264
6,438
5,083
10,915
32,140
145,015
1,537
3,381
193,052
42,833
50,993
90,949
53,345
60,812
15,090
716,847
Automobiles & Parts — 2.0%
Adient PLC (a)
Allison Transmission Holdings, Inc.
American Axle & Manufacturing Holdings, Inc. (a)
Autoliv, Inc.
Cooper Tire & Rubber Co.
Cooper-Standard Holding, Inc. (a)
Dana, Inc.
Dorman Products, Inc. (a)
Federal-Mogul Holdings Corp. (a)
Gentex Corp.
Gentherm, Inc. (a)
Lear Corp.
Modine Manufacturing Co. (a)
Motorcar Parts of America, Inc. (a)
Standard Motor Products, Inc.
14,214
25,197
11,370
13,229
8,072
2,832
21,805
4,690
4,135
43,484
5,419
10,615
7,896
2,943
2,952
832,940
848,887
219,441
1,496,861
313,597
292,772
413,859
342,651
42,632
856,200
183,433
1,405,108
117,650
79,226
157,105
Common Stocks
Automobiles & Parts (continued)
Stoneridge, Inc. (a)
Strattec Security Corp.
Superior Industries International, Inc.
Tenneco, Inc. (a)
Tesla Motors, Inc. (a)
Titan International, Inc.
Tower International, Inc.
U.S. Auto Parts Network, Inc. (a)
Visteon Corp.
WABCO Holdings, Inc. (a)
Shares
4,259
573
3,414
8,465
18,887
6,931
3,363
3,527
5,070
7,941
Value
$
75,342
23,092
89,959
528,809
4,035,963
77,697
95,341
12,415
407,324
842,937
13,791,241
Banks — 8.1%
1st Source Corp.
American National Bankshares, Inc.
Ameris Bancorp
Ames National Corp.
Arrow Financial Corp.
Associated Banc-Corp
Astoria Financial Corp.
Banc of California, Inc.
Bancfirst Corp.
Bancorp of New Jersey, Inc.
Bancorp, Inc. (a)
BancorpSouth, Inc.
Bank Mutual Corp.
Bank of Hawaii Corp.
Bank of Marin Bancorp
Bank of the Ozarks, Inc.
BankFinancial Corp.
BankUnited, Inc.
Banner Corp.
Bar Harbor Bankshares
BCB Bancorp, Inc.
Bear State Financial, Inc.
Beneficial Bancorp, Inc.
Berkshire Hills Bancorp, Inc.
Blue Hills Bancorp, Inc.
BNC Bancorp
BofI Holding, Inc. (a)
BOK Financial Corp.
Boston Private Financial Holdings, Inc.
Bridge Bancorp, Inc.
Brookline Bancorp, Inc.
Bryn Mawr Bank Corp.
California First National Bancorp
Camden National Corp.
Capital Bank Financial Corp., Class A
Capital City Bank Group, Inc.
Capitol Federal Financial, Inc.
Cardinal Financial Corp.
Cascade Bancorp (a)
Cathay General Bancorp
Centerstate Banks, Inc.
Central Pacific Financial Corp.
Century Bancorp, Inc., Class A
Chemical Financial Corp.
Citizens & Northern Corp.
City Holding Co.
Civista Bancshares, Inc.
Clifton Bancorp, Inc.
CNB Financial Corp.
CoBiz Financial, Inc.
Colony Bankcorp, Inc. (a)
Columbia Banking System, Inc.
Commerce Bancshares, Inc.
Community Bank System, Inc.
2,766
2,205
5,413
2,125
2,793
22,147
13,130
7,769
1,354
2,128
11,498
12,804
7,238
6,345
1,247
13,749
3,939
16,457
4,201
1,552
3,436
4,309
12,021
4,850
5,873
8,031
8,936
3,310
12,591
3,096
11,463
2,983
882
2,953
4,906
2,343
18,668
5,232
7,559
11,246
7,831
5,395
997
10,846
2,833
2,469
1,968
4,768
2,894
6,271
463
8,927
13,261
6,838
123,530
76,734
236,007
70,125
113,117
547,031
244,874
134,792
125,990
28,728
90,374
397,564
68,399
562,738
86,978
723,060
58,376
620,264
234,458
73,456
44,668
43,736
221,186
178,722
110,119
256,189
255,123
274,862
208,381
117,338
187,993
125,733
13,803
131,261
192,560
47,985
307,275
171,557
61,379
427,685
197,106
169,511
59,820
587,528
74,225
166,904
38,238
80,675
77,386
105,917
6,112
398,858
766,618
422,520
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
3
Schedule of Investments (continued)
Common Stocks
Banks (continued)
Community Trust Bancorp, Inc.
ConnectOne Bancorp, Inc.
Cullen/Frost Bankers, Inc.
Customers Bancorp, Inc. (a)
CVB Financial Corp.
Dime Community Bancshares, Inc.
Eagle Bancorp, Inc. (a)
East West Bancorp, Inc.
Eastern Virginia Bankshares, Inc.
Enterprise Bancorp, Inc.
Enterprise Financial Services Corp.
ESSA Bancorp, Inc.
Farmers Capital Bank Corp.
FCB Financial Holdings, Inc., Class A (a)
Fidelity Southern Corp.
Financial Institutions, Inc.
First Bancorp, Inc.
First Bancorp, North Carolina
First BanCorp, Puerto Rico (a)
First Busey Corp.
First Citizens BancShares, Inc., Class A
First Commonwealth Financial Corp.
First Community Bancshares, Inc.
First Connecticut Bancorp, Inc.
First Defiance Financial Corp.
First Financial Bancorp
First Financial Bankshares, Inc.
First Financial Corp.
First Financial Northwest, Inc.
First Hawaiian, Inc.
First Horizon National Corp.
First Interstate Bancsystem, Inc., Class A
First Merchants Corp.
First Midwest Bancorp, Inc.
First NBC Bank Holding Co. (a)
First of Long Island Corp.
First Republic Bank
First South Bancorp, Inc.
First United Corp. (a)
Flagstar Bancorp, Inc. (a)
Flushing Financial Corp.
FNB Corp.
Fulton Financial Corp.
German American Bancorp, Inc.
Glacier Bancorp, Inc.
Great Southern Bancorp, Inc.
Great Western Bancorp, Inc.
Greene County Bancshares, Inc.
Guaranty Bancorp
Hancock Holding Co.
Hanmi Financial Corp.
HarborOne Bancorp, Inc. (a)
Heartland Financial USA, Inc.
Heritage Commerce Corp.
Heritage Financial Corp.
HMN Financial, Inc. (a)
Home Bancorp, Inc.
Home BancShares, Inc.
HomeStreet, Inc. (a)
HomeTrust Bancshares, Inc. (a)
Hope Bancorp, Inc.
Horizon Bancorp
Iberiabank Corp.
Independent Bank Corp.
Independent Bank Group, Inc.
International Bancshares Corp.
Investors Bancorp, Inc.
Shares
2,821
4,852
8,679
4,665
15,007
5,246
4,741
22,021
2,546
1,672
3,377
3,300
1,739
6,311
3,947
2,741
2,552
3,740
21,981
5,356
1,356
13,854
3,087
3,182
1,683
9,739
10,240
2,125
2,323
3,770
35,537
3,341
6,558
12,439
2,797
4,315
23,194
3,052
2,396
3,391
4,602
31,145
26,033
2,419
11,462
2,007
9,153
3,466
3,022
11,721
5,135
6,258
3,267
5,501
5,517
1,907
1,783
18,592
3,639
3,223
19,879
3,930
6,713
8,552
1,902
8,860
46,137
Master Extended Market Index Series
Value
$
139,922
125,909
765,748
167,100
344,111
105,445
288,964
1,119,327
26,606
62,800
145,211
51,876
73,125
301,035
93,425
93,742
84,471
101,504
145,294
164,858
481,380
196,450
93,042
72,072
85,395
277,075
462,848
112,200
45,856
131,271
711,095
142,160
246,909
313,836
20,418
123,193
2,137,095
36,471
38,216
91,354
135,253
499,254
489,420
127,264
415,268
109,683
398,979
—
73,132
505,175
179,211
121,030
156,816
79,379
142,063
33,373
68,842
516,300
114,992
83,476
435,151
110,040
562,214
396,715
118,685
361,488
643,611
Common Stocks
Banks (continued)
Kearny Financial Corp.
Lakeland Bancorp, Inc.
Lakeland Financial Corp.
LegacyTexas Financial Group, Inc.
Macatawa Bank Corp.
MainSource Financial Group, Inc.
MB Financial, Inc.
Mercantile Bank Corp.
Merchants Bancshares, Inc.
Meridian Bancorp, Inc.
Meta Financial Group, Inc.
MidSouth Bancorp, Inc.
MidWestOne Financial Group, Inc.
MutualFirst Financial, Inc.
National Bank Holdings Corp., Class A
National Bankshares, Inc.
NBT Bancorp, Inc.
New York Community Bancorp, Inc.
Northfield Bancorp, Inc.
Northrim BanCorp, Inc.
Northwest Bancshares, Inc.
Norwood Financial Corp.
OceanFirst Financial Corp.
OFG Bancorp
Ohio Valley Banc Corp. (b)
Old National Bancorp
Old Second Bancorp, Inc.
Opus Bank
Oritani Financial Corp.
Orrstown Financial Services, Inc.
Pacific Continental Corp.
Pacific Premier Bancorp, Inc. (a)
PacWest Bancorp
Park National Corp.
Park Sterling Corp.
Peapack Gladstone Financial Corp.
Penns Woods Bancorp, Inc.
Peoples Bancorp of North Carolina, Inc.
Peoples Bancorp, Inc.
Peoples Financial Corp. (a)
Pinnacle Financial Partners, Inc.
Popular, Inc.
Porter Bancorp, Inc. (a)
Preferred Bank
PrivateBancorp, Inc.
Prosperity Bancshares, Inc.
Provident Financial Holdings, Inc.
Provident Financial Services, Inc.
QCR Holdings, Inc.
Renasant Corp.
Republic Bancorp, Inc., Class A
Republic First Bancorp, Inc. (a)
Riverview Bancorp, Inc.
S&T Bancorp, Inc.
Sandy Spring Bancorp, Inc.
Seacoast Banking Corp. of Florida (a)
ServisFirst Bancshares, Inc.
Shore Bancshares, Inc.
Sierra Bancorp
Signature Bank (a)
Simmons First National Corp., Class A
South State Corp.
Southside Bancshares, Inc.
Southwest Bancorp, Inc.
State Bank Financial Corp.
Sterling Bancorp
Stock Yards Bancorp, Inc.
See Notes to Financial Statements.
4
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Shares
14,266
6,993
4,198
6,540
6,531
4,056
10,674
3,191
1,379
8,210
1,405
2,061
1,932
1,697
4,215
1,700
6,847
73,392
7,214
1,757
15,090
1,347
5,201
7,031
1,099
21,036
6,505
3,144
6,327
2,093
3,946
4,390
18,500
2,061
9,934
2,519
1,209
1,497
3,210
1,245
6,503
15,449
1,229
2,333
12,060
10,420
2,303
9,234
2,381
6,481
1,667
9,649
5,394
5,620
3,931
5,628
7,126
3,680
2,508
8,204
4,484
3,796
4,104
3,696
5,894
19,874
3,828
Value
$
221,836
136,364
198,817
281,612
67,988
139,526
504,133
120,301
74,742
155,169
144,575
28,030
72,643
56,171
134,416
73,865
286,752
1,167,667
144,064
55,521
272,073
44,640
156,186
92,106
29,893
381,803
71,880
94,477
118,631
46,883
86,220
155,186
1,007,140
246,619
107,188
77,787
61,055
37,530
104,197
20,107
450,658
676,975
15,141
122,296
653,531
747,948
46,567
261,322
103,097
273,628
65,913
80,569
37,758
219,405
157,201
124,154
266,797
56,120
66,688
1,232,241
278,681
331,770
154,598
107,184
158,313
465,052
179,725
Schedule of Investments (continued)
Common Stocks
Banks (continued)
Stonegate Bank
Suffolk Bancorp
Summit Financial Group, Inc. (b)
Sun Bancorp, Inc.
SVB Financial Group (a)
Synovus Financial Corp.
TCF Financial Corp.
Territorial Bancorp, Inc.
Texas Capital Bancshares, Inc. (a)
TFS Financial Corp.
Tompkins Financial Corp.
TowneBank
Trico Bancshares
TrustCo Bank Corp. NY
Trustmark Corp.
UMB Financial Corp.
Umpqua Holdings Corp.
Union Bankshares Corp.
United Bancorp, Inc.
United Bankshares, Inc.
United Community Banks, Inc.
United Community Financial Corp.
United Financial Bancorp, Inc.
United Security Bancshares (a)
Univest Corp. of Pennsylvania
Valley National Bancorp
Washington Federal, Inc.
Washington Trust Bancorp, Inc.
Waterstone Financial, Inc.
Webster Financial Corp.
WesBanco, Inc.
West BanCorp., Inc.
Westamerica BanCorp
Western Alliance Bancorp (a)
Western New England Bancorp, Inc.
Wintrust Financial Corp.
WSFS Financial Corp.
Xenith Bankshares, Inc. (a)
Yadkin Financial Corp.
Shares
2,415
2,100
2,289
2,292
7,951
19,003
25,532
2,198
7,471
9,927
2,027
8,811
3,317
14,741
10,227
6,522
33,031
7,003
3,115
10,188
11,340
9,075
8,517
4,172
4,547
38,204
13,426
2,472
4,794
13,987
6,370
3,190
4,025
14,629
7,717
7,733
4,170
1,536
8,345
Master Extended Market Index Series
Value
$
100,778
89,922
63,016
59,592
1,364,869
780,643
500,172
72,182
585,726
189,010
191,633
292,966
113,375
128,984
364,593
502,977
620,322
250,287
42,053
471,195
335,891
81,131
154,669
32,335
140,502
444,695
461,183
138,556
88,210
759,214
274,292
78,793
253,293
712,579
72,154
561,184
193,279
43,315
285,900
Common Stocks
Chemicals (continued)
GCP Applied Technologies, Inc. (a)
Hawkins, Inc.
HB Fuller Co.
Huntsman Corp.
Ingevity Corp. (a)
Innophos Holdings, Inc.
Innospec, Inc.
Intrepid Potash, Inc. (a)
KMG Chemicals, Inc.
Koppers Holdings, Inc. (a)
Kraton Corp. (a)
Kronos Worldwide, Inc.
LSB Industries, Inc. (a)
Metabolix, Inc. (a)
Minerals Technologies, Inc.
NewMarket Corp.
Nexeo Solutions, Inc. (a)
Olin Corp.
OMNOVA Solutions, Inc. (a)
Platform Specialty Products Corp. (a)
PolyOne Corp.
Quaker Chemical Corp.
Rayonier Advanced Materials, Inc.
Rentech, Inc. (a)
RPM International, Inc.
Senomyx, Inc. (a)
Sensient Technologies Corp.
Stepan Co.
TOR Minerals International, Inc. (a)
Tredegar Corp.
Trinseo SA
Tronox Ltd., Class A
Univar, Inc. (a)
Valspar Corp.
Versum Materials, Inc. (a)
Westlake Chemical Corp.
WR Grace & Co.
ZAGG, Inc. (a)
Shares
10,983
1,620
7,981
30,183
6,519
3,017
3,555
8,477
1,469
3,456
4,717
3,366
2,939
2,331
5,478
1,403
9,162
24,594
6,506
34,204
12,483
2,000
6,271
3,065
20,087
7,801
6,656
2,878
1,000
3,711
7,002
9,237
10,982
11,221
16,320
5,649
10,629
4,990
1,320
720
1,760
1,810
4,659
2,312
224,202
128,772
29,744
92,455
57,212
18,519
550,904
Chemicals — 2.6%
A. Schulman, Inc.
Aceto Corp.
AdvanSix, Inc. (a)
American Vanguard Corp.
Ashland Global Holdings, Inc.
Axalta Coating Systems Ltd. (a)
Balchem Corp.
Cabot Corp.
Calgon Carbon Corp.
Cambrex Corp. (a)
Celanese Corp., Series A
Chase Corp.
Chemours Co.
Chemtura Corp. (a)
CSW Industrials, Inc. (a)
Ferro Corp. (a)
FutureFuel Corp.
4,402
4,429
4,587
3,882
9,318
32,498
4,848
9,215
7,617
4,820
21,753
1,295
27,396
9,511
2,567
13,135
3,639
147,247
97,305
101,556
74,340
1,018,364
883,946
406,844
465,726
129,489
260,039
1,712,831
108,197
605,178
315,765
94,594
188,225
50,582
$
293,795
87,399
385,562
575,892
357,632
157,668
243,518
17,632
57,129
139,277
134,340
40,190
24,746
816
423,176
594,648
85,298
629,852
65,060
335,541
399,955
255,880
96,950
7,601
1,081,283
7,489
523,029
234,499
6,050
89,064
415,219
95,234
311,559
1,162,608
458,102
316,288
718,946
35,429
17,524,584
54,745,786
Beverages — 0.1%
Boston Beer Co., Inc., Class A (a)
Coca-Cola Bottling Co. Consolidated
Craft Brew Alliance, Inc. (a)
National Beverage Corp.
Primo Water Corp. (a)
Willamette Valley Vineyards, Inc. (a)
Value
Construction & Materials — 2.5%
AAON, Inc.
Advanced Drainage Systems, Inc.
AECOM (a)
Aegion Corp. (a)
Ameresco, Inc., Class A (a)
American DG Energy, Inc. (a)
American Woodmark Corp. (a)
AO Smith Corp.
Apogee Enterprises, Inc.
Argan, Inc.
Armstrong Flooring, Inc. (a)
Armstrong World Industries, Inc. (a)
BlueLinx Holdings, Inc. (a)
Blueprint Medicines Corp. (a)
BMC Stock Holdings, Inc. (a)
Boise Cascade Co. (a)
Builders FirstSource, Inc. (a)
Chicago Bridge & Iron Co. NV
Continental Building Products, Inc. (a)
Eagle Materials, Inc.
EMCOR Group, Inc.
Generac Holdings, Inc. (a)
Gibraltar Industries, Inc. (a)
Granite Construction, Inc.
Great Lakes Dredge & Dock Corp. (a)
Griffon Corp.
5,823
5,721
23,736
5,610
3,372
13,435
2,117
22,278
4,823
1,952
4,145
7,446
2,204
3,284
7,562
5,862
13,413
15,246
6,349
7,311
9,242
9,944
5,276
6,000
9,666
4,996
192,450
117,853
863,041
132,957
18,546
3,762
159,304
1,054,863
258,320
137,714
82,527
311,243
16,464
92,116
147,459
131,895
147,141
484,060
146,662
720,353
653,964
405,119
219,745
330,000
40,597
130,895
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
5
Schedule of Investments (continued)
Common Stocks
Construction & Materials (continued)
Headwaters, Inc. (a)
Hill International, Inc. (a)
IES Holdings, Inc. (a)
Installed Building Products, Inc. (a)
Insteel Industries, Inc.
Inteliquent, Inc.
KBR, Inc.
Layne Christensen Co. (a)
LB Foster Co., Class A
Lennox International, Inc.
Louisiana-Pacific Corp. (a)
Masonite International Corp. (a)
MasTec, Inc. (a)
MDU Resources Group, Inc.
Mueller Water Products, Inc., Series A
MYR Group, Inc. (a)
NCI Building Systems, Inc. (a)
Northwest Pipe Co. (a)
Omega Flex, Inc.
Orion Group Holdings, Inc. (a)
Owens Corning
Patrick Industries, Inc. (a)
PGT Innovations, Inc. (a)
Ply Gem Holdings, Inc. (a)
Primoris Services Corp.
Quanex Building Products Corp.
Simpson Manufacturing Co., Inc.
Sterling Construction Co., Inc. (a)
Summit Materials, Inc., Class A (a)
Thermon Group Holdings, Inc. (a)
TopBuild Corp. (a)
TRC Cos., Inc. (a)
Trex Co., Inc. (a)
Tutor Perini Corp. (a)
Universal Forest Products, Inc.
US Concrete, Inc. (a)
USG Corp. (a)
Valmont Industries, Inc.
Watsco, Inc.
Watts Water Technologies, Inc., Class A
Shares
11,159
7,303
1,636
3,192
2,808
4,943
21,005
3,913
1,479
5,921
21,512
4,641
9,981
29,313
24,820
2,843
6,628
2,132
980
5,034
17,228
2,393
7,825
3,732
5,751
5,075
5,984
5,074
14,794
5,345
6,084
4,693
4,443
6,087
3,003
2,197
13,936
3,342
3,927
4,067
Master Extended Market Index Series
Value
$
262,460
31,768
31,329
131,830
100,077
113,294
350,573
42,534
20,114
906,920
407,222
305,378
381,773
843,335
330,354
107,124
103,728
36,713
54,645
50,088
888,276
182,586
89,596
60,645
131,008
103,023
261,800
42,926
351,938
102,036
216,590
49,746
286,129
170,436
306,847
143,904
402,472
470,888
581,667
265,168
16,717,990
Electricity — 1.2%
ALLETE, Inc.
Avangrid, Inc.
Black Hills Corp.
Calpine Corp. (a)
Covanta Holding Corp.
Dynegy, Inc. (a)
El Paso Electric Co.
Empire District Electric Co.
Great Plains Energy, Inc.
Hawaiian Electric Industries, Inc.
IDACORP, Inc.
MGE Energy, Inc.
NorthWestern Corp.
Ormat Technologies, Inc.
Portland General Electric Co.
TerraForm Global, Inc., Class A (a)
TerraForm Power, Inc., Class A (a)
Unitil Corp.
US Geothermal, Inc. (a)
Vivint Solar, Inc. (a)(b)
Westar Energy, Inc.
7,239
8,369
8,064
55,277
20,330
18,227
6,084
6,920
33,516
15,944
7,329
5,145
7,217
5,791
13,068
8,295
11,225
2,550
7,641
3,153
21,742
464,671
317,018
494,646
631,816
317,148
154,200
282,906
235,903
916,663
527,268
590,351
335,969
410,431
310,513
566,236
32,765
143,792
115,617
31,252
8,040
1,225,162
8,112,367
Common Stocks
Electronic & Electrical Equipment — 2.9%
Allied Motion Technologies, Inc.
Anixter International, Inc. (a)
Applied DNA Sciences, Inc. (a)(b)
Arrow Electronics, Inc. (a)
Avnet, Inc.
AVX Corp.
AZZ, Inc.
Badger Meter, Inc.
Bel Fuse, Inc., Class B
Belden, Inc.
Benchmark Electronics, Inc. (a)
Brady Corp., Class A
Capstone Turbine Corp. (a)(b)
Cognex Corp.
Coherent, Inc. (a)
Control4 Corp. (a)
CTS Corp.
CyberOptics Corp. (a)
Daktronics, Inc.
Electro Scientific Industries, Inc. (a)
eMagin Corp. (a)
Encore Wire Corp.
Energy Focus, Inc. (a)(b)
EnerNOC, Inc. (a)
EnerSys
ESCO Technologies, Inc.
Fabrinet (a)
FARO Technologies, Inc. (a)
General Cable Corp.
Houston Wire & Cable Co.
Hubbell, Inc.
II-VI, Inc. (a)
Integer Holdings Corp. (a)
Intevac, Inc. (a)
IntriCon Corp. (a)
IPG Photonics Corp. (a)
Itron, Inc. (a)
Jabil Circuit, Inc.
Kemet Corp. (a)
Keysight Technologies, Inc. (a)
Kimball Electronics, Inc. (a)
Knowles Corp. (a)
Landauer, Inc.
LightPath Technologies, Inc., Class A (a)
Littelfuse, Inc.
LSI Industries, Inc.
MACOM Technology Solutions Holdings, Inc. (a)
Maxwell Technologies, Inc. (a)
Mesa Laboratories, Inc.
Methode Electronics, Inc.
Microvision, Inc. (a)(b)
MTS Systems Corp.
NAPCO Security Technologies, Inc. (a)
National Instruments Corp.
Novanta, Inc. (a)
Nuvectra Corp. (a)
NVE Corp.
Orion Energy Systems, Inc. (a)
OSI Systems, Inc. (a)
Park Electrochemical Corp.
Plexus Corp. (a)
Powell Industries, Inc.
Regal-Beloit Corp.
Research Frontiers, Inc. (a)
Rogers Corp. (a)
Rubicon Technology, Inc. (a)
Sanmina Corp. (a)
See Notes to Financial Statements.
6
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Shares
1,620
4,284
6,764
13,554
19,196
6,239
3,998
5,214
2,157
6,483
7,614
6,969
3,678
13,064
3,740
3,575
5,283
1,663
6,043
5,070
6,297
3,537
4,423
4,406
6,398
3,900
5,509
2,690
7,405
3,110
7,812
8,248
4,501
5,485
2,740
5,675
5,094
27,988
8,847
26,018
5,162
13,186
1,662
6,052
3,391
4,195
3,857
5,619
562
5,654
10,983
2,593
4,487
16,123
5,584
1,322
974
7,855
2,791
3,206
5,087
1,398
6,610
5,552
2,685
5,299
11,339
Value
$
34,652
347,218
12,513
966,400
913,922
97,516
255,472
192,657
66,651
484,734
232,227
261,686
2,501
831,132
513,820
36,465
118,339
43,404
64,660
30,014
13,539
153,329
18,798
26,436
499,684
220,935
222,013
96,840
141,065
20,215
911,660
244,553
132,554
46,897
18,906
560,179
320,158
662,476
58,656
951,478
93,948
220,338
79,942
9,320
514,652
40,859
178,502
28,769
68,986
233,793
13,839
147,023
38,140
496,911
117,264
6,650
69,573
17,045
212,451
59,792
274,901
54,522
457,743
10,105
206,235
3,280
415,574
Schedule of Investments (continued)
Common Stocks
Electronic & Electrical Equipment (continued)
Sensata Technologies Holding NV (a)
Synthesis Energy Systems, Inc. (a)(b)
Trimble, Inc. (a)
TTM Technologies, Inc. (a)
Turtle Beach Corp. (a)
Ultralife Corp. (a)
Universal Display Corp. (a)
Veeco Instruments, Inc. (a)
Vicor Corp. (a)
Vishay Intertechnology, Inc.
Vishay Precision Group, Inc. (a)
WESCO International, Inc. (a)
Zebra Technologies Corp., Class A (a)
Shares
25,803
5,951
38,775
13,962
6,063
4,545
6,767
6,043
3,135
20,274
2,569
6,444
8,305
Master Extended Market Index Series
Value
$
1,005,027
5,951
1,169,066
190,302
7,943
22,498
380,982
176,153
47,339
328,439
48,554
428,848
712,237
19,419,850
Financial Services — 4.5%
Actinium Pharmaceuticals, Inc. (a)
Ally Financial, Inc.
Artisan Partners Asset Management, Inc., Class A
Ashford, Inc. (a)
Associated Capital Group, Inc., Class A
Asta Funding, Inc. (a)
Atlanticus Holdings Corp. (a)
Bats Global Markets, Inc.
BGC Partners, Inc., Class A
Blackhawk Network Holdings, Inc. (a)
Calamos Asset Management, Inc., Class A
CBOE Holdings, Inc.
CIT Group, Inc.
Cohen & Steers, Inc.
Consumer Portfolio Services, Inc. (a)
Cowen Group, Inc., Class A (a)
Credit Acceptance Corp. (a)(b)
Diamond Hill Investment Group, Inc.
Eaton Vance Corp.
Emergent Capital, Inc. (a)
Encore Capital Group, Inc. (a)
Enova International, Inc. (a)
Essent Group Ltd. (a)
EverBank Financial Corp.
Evercore Partners, Inc., Class A
Ezcorp, Inc., Class A (a)
FBR & Co.
Federal Agricultural Mortgage Corp., Class C
Federated Investors, Inc., Class B
Financial Engines, Inc.
FirstCash, Inc.
FNF Group
FNFV Group (a)
FXCM, Inc., Class A (a)
GAMCO Investors, Inc., Class A
Green Dot Corp., Class A (a)
Greenhill & Co., Inc.
HealthEquity, Inc. (a)
HRG Group, Inc. (a)
IHS Markit, Ltd. (a)
Impac Mortgage Holdings, Inc. (a)
Interactive Brokers Group, Inc., Class A
INTL. FCStone, Inc. (a)
Investment Technology Group, Inc.
Janus Capital Group, Inc.
Jason Industries, Inc. (a)
KCG Holdings, Inc., Class A (a)
Ladder Capital Corp.
Ladenburg Thalmann Financial Services, Inc. (a)
Lazard Ltd., Class A
Legg Mason, Inc.
8,447
72,093
6,398
394
805
1,501
251
4,726
32,343
8,248
3,789
12,335
30,460
3,036
5,716
4,324
1,948
522
17,202
5,857
3,846
4,701
11,345
17,410
5,798
8,094
1,765
1,734
13,995
8,155
7,433
40,253
12,743
1,155
805
6,679
4,276
6,578
20,653
49,578
1,830
10,219
2,537
5,189
21,344
4,507
8,227
11,133
20,288
19,524
13,893
7,391
1,371,209
190,340
17,379
26,444
14,710
715
158,368
330,869
310,743
32,396
911,433
1,300,033
102,010
29,266
67,022
423,709
109,818
720,420
7,087
110,188
58,998
367,238
338,624
398,323
86,201
22,945
99,306
395,779
299,696
349,351
1,366,992
174,579
8,143
24,866
157,290
118,445
266,541
321,361
1,755,557
25,657
373,096
100,465
102,431
283,235
8,113
109,008
152,745
49,503
802,241
415,540
Common Stocks
Financial Services (continued)
LendingClub Corp. (a)
LendingTree, Inc. (a)
Liberty Ventures (a)
LPL Financial Holdings, Inc.
MarketAxess Holdings, Inc.
Marlin Business Services Corp.
MGIC Investment Corp. (a)
Moelis & Co., Class A
MoneyGram International, Inc. (a)
MSCI, Inc.
Nelnet, Inc., Class A
NewStar Financial, Inc. (a)
NMI Holdings, Inc., Class A (a)
NorthStar Asset Management Group, Inc.
NRG Yield, Inc., Class A
NRG Yield, Inc., Class C
Ocwen Financial Corp. (a)
On Deck Capital, Inc. (a)
OneMain Holdings, Inc. (a)
Oppenheimer Holdings, Inc., Class A
PICO Holdings, Inc. (a)
Piper Jaffray Cos. (a)
PJT Partners, Inc., Class A
PRA Group, Inc. (a)
Pzena Investment Management, Inc., Class A
Radian Group, Inc.
Raymond James Financial, Inc.
Safeguard Scientifics, Inc. (a)
Santander Consumer USA Holdings, Inc. (a)
SEI Investments Co.
SLM Corp. (a)
Stewart Information Services Corp.
Stifel Financial Corp. (a)
Synergy Resources Corp. (a)
TD Ameritrade Holding Corp.
TESARO, Inc. (a)
U.S. Global Investors, Inc., Class A (b)
Virtu Financial, Inc., Class A
Virtus Investment Partners, Inc.
VolitionRX Ltd. (a)(b)
Voya Financial, Inc.
Waddell & Reed Financial, Inc., Class A
Walker & Dunlop, Inc. (a)
Westwood Holdings Group, Inc.
WisdomTree Investments, Inc.
WMIH Corp. (a)
World Acceptance Corp. (a)
Shares
48,604
1,072
13,059
11,698
5,863
1,640
51,995
3,091
5,436
14,204
2,846
3,072
9,420
28,871
5,864
9,117
16,212
6,601
8,167
1,705
4,035
2,366
2,864
7,260
3,173
32,809
19,197
4,085
17,383
20,453
65,378
3,587
9,973
32,019
36,614
5,265
4,302
6,407
959
6,405
29,776
12,521
4,301
1,466
17,278
33,498
1,064
Value
$
255,171
108,647
481,485
411,887
861,392
34,276
529,829
104,785
64,199
1,118,991
144,434
28,416
100,323
430,755
90,071
144,049
87,383
30,563
180,817
31,713
61,130
171,535
88,440
283,866
35,252
589,906
1,329,776
54,943
234,670
1,009,560
720,466
165,289
498,151
285,289
1,596,370
708,037
5,851
102,192
113,210
29,271
1,167,815
244,285
134,191
87,945
192,477
51,922
68,394
30,543,238
Fixed Line Telecommunications — 0.3%
8x8, Inc. (a)
Cincinnati Bell, Inc. (a)
Consolidated Communications Holdings, Inc.
EarthLink Holdings Corp.
Fairpoint Communications, Inc. (a)
General Communication, Inc., Class A (a)
GTT Communications, Inc. (a)
Hawaiian Telcom Holdco, Inc. (a)
IDT Corp., Class B
Lumos Networks Corp. (a)
Straight Path Communications, Inc., Class B (a)(b)
Vonage Holdings Corp. (a)
Windstream Holdings, Inc. (b)
Zayo Group Holdings, Inc. (a)
14,330
6,259
7,242
16,238
3,773
4,977
3,853
2,127
2,972
4,097
1,752
30,027
15,457
14,904
204,919
139,889
194,448
91,582
70,555
96,803
110,774
52,707
55,101
63,995
59,410
205,685
113,300
489,745
1,948,913
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
7
Schedule of Investments (continued)
Common Stocks
Food & Drug Retailers — 0.7%
Casey’s General Stores, Inc.
Chefs’ Warehouse, Inc. (a)
Core-Mark Holding Co., Inc.
Diplomat Pharmacy, Inc. (a)
GNC Holdings, Inc., Class A
Ingles Markets, Inc., Class A
Natural Health Trends Corp. (b)
Performance Food Group Co. (a)
PetMed Express, Inc.
Rite Aid Corp. (a)
Smart & Final Stores, Inc. (a)
SpartanNash Co.
Sprouts Farmers Market, Inc. (a)
Supervalu, Inc. (a)
United Natural Foods, Inc. (a)
Vitamin Shoppe, Inc. (a)
Weis Markets, Inc.
Shares
5,952
3,358
7,129
6,690
10,229
2,303
1,354
8,150
3,455
160,858
4,080
5,521
20,641
41,309
7,684
3,693
2,324
Master Extended Market Index Series
Value
$
707,574
53,056
307,046
84,294
112,928
110,774
33,647
195,600
79,707
1,325,470
57,528
218,300
390,528
192,913
366,681
87,709
155,336
4,479,091
Food Producers — 2.2%
AdvancePierre Foods Holdings, Inc.
Alico, Inc.
Amplify Snack Brands, Inc. (a)(b)
Andersons, Inc.
B&G Foods, Inc.
Blue Buffalo Pet Products, Inc. (a)
Bunge Ltd.
Cal-Maine Foods, Inc. (b)
Calavo Growers, Inc.
Darling Ingredients, Inc. (a)
Dean Foods Co.
Farmer Bros Co. (a)
Flowers Foods, Inc.
Fresh Del Monte Produce, Inc.
Griffin Industrial Realty, Inc.
Hain Celestial Group, Inc. (a)
Herbalife Ltd. (a)
HQ Sustainable Maritime Industries, Inc. (a)(b)
Ingredion, Inc.
J&J Snack Foods Corp.
John B Sanfilippo & Son, Inc.
Lamb Weston Holdings, Inc. (a)
Lancaster Colony Corp.
Lifevantage Corp. (a)
Lifeway Foods, Inc. (a)
Limoneira Co.
Lipocine, Inc. (a)(b)
Mannatech, Inc.
Medifast, Inc.
MGP Ingredients, Inc.
Nutraceutical International Corp.
Nutrisystem, Inc.
Omega Protein Corp. (a)
Phibro Animal Health Corp., Class A
Pilgrim’s Pride Corp.
Pinnacle Foods, Inc.
Post Holdings, Inc. (a)
Reliv International, Inc. (a)
Rocky Mountain Chocolate Factory, Inc.
Sanderson Farms, Inc.
Seaboard Corp. (a)
Seneca Foods Corp., Class A (a)
Snyders-Lance, Inc.
Tootsie Roll Industries, Inc.
TreeHouse Foods, Inc. (a)(b)
U.S. Foods Holding Corp. (a)
2,846
610
5,088
3,787
9,901
15,208
20,826
4,515
2,423
24,480
13,709
1,660
27,550
4,797
1,073
15,731
10,471
4,100
10,983
2,190
1,422
21,514
2,973
3,491
1,804
2,404
5,425
644
1,806
1,817
1,376
4,434
3,642
2,839
9,086
18,245
9,938
59
2,724
2,996
38
1,343
12,556
2,699
8,684
6,989
84,754
16,562
44,825
169,279
433,664
365,600
1,504,470
199,450
148,772
316,037
298,582
60,922
550,173
290,842
34,046
613,981
504,074
—
1,372,436
292,212
100,095
814,305
420,352
28,452
20,764
51,710
19,964
13,073
75,184
90,814
48,091
153,638
91,232
83,183
172,543
975,195
798,916
274
27,758
282,343
150,176
53,787
481,397
107,285
626,898
192,058
Common Stocks
Food Producers (continued)
USANA Health Sciences, Inc. (a)
WhiteWave Foods Co. (a)
QUANTITATIVE MASTER SERIES LLC
1,572
27,108
Value
$
96,206
1,507,205
14,783,579
Forestry & Paper — 0.2%
Clearwater Paper Corp. (a)
Deltic Timber Corp.
Domtar Corp.
KapStone Paper and Packaging Corp.
Mercer International, Inc.
Neenah Paper, Inc.
PH Glatfelter Co.
Resolute Forest Products (a)
Veritiv Corp. (a)
2,534
1,574
9,442
13,378
6,229
2,503
6,319
12,838
1,388
166,104
121,308
368,521
294,985
66,339
213,256
150,961
68,683
74,605
1,524,762
Gas, Water & Multi-Utilities — 1.5%
American States Water Co.
Aqua America, Inc.
Artesian Resources Corp., Class A
Atmos Energy Corp.
Avista Corp.
Cadiz, Inc. (a)
California Water Service Group
Chesapeake Utilities Corp.
Connecticut Water Service, Inc.
Delta Natural Gas Co., Inc.
Gas Natural, Inc.
Genie Energy Ltd. (a)
Middlesex Water Co.
National Fuel Gas Co.
New Jersey Resources Corp.
Northwest Natural Gas Co.
ONE Gas, Inc.
PNM Resources, Inc.
RGC Resources, Inc.
SJW Corp.
South Jersey Industries, Inc.
Southwest Gas Corp.
Spire, Inc.
UGI Corp.
Vectren Corp.
WGL Holdings, Inc.
York Water Co.
5,470
26,495
1,250
15,420
9,641
4,834
7,033
2,612
1,727
1,820
2,422
3,673
2,592
12,933
12,980
4,404
7,794
11,944
1,849
2,322
11,762
7,106
6,608
26,357
12,630
7,652
2,157
249,213
795,910
39,925
1,143,393
385,544
60,425
238,419
174,873
96,453
53,381
30,396
21,120
111,300
732,525
460,790
263,359
498,504
409,679
46,539
129,986
396,262
544,462
426,546
1,214,531
658,654
583,695
82,397
9,848,281
General Industrials — 1.5%
Actuant Corp., Class A
AEP Industries, Inc.
Aptargroup, Inc.
Bemis Co., Inc.
Berry Plastics Group, Inc. (a)
Carlisle Cos., Inc.
Crown Holdings, Inc. (a)
Global Brass & Copper Holdings, Inc.
Graphic Packaging Holding Co.
Greif, Inc., Class A
Greif, Inc., Class B
Harsco Corp.
ITT, Inc.
Landec Corp. (a)
Multi-Color Corp.
Myers Industries, Inc.
Otter Tail Corp.
Owens-Illinois, Inc. (a)
Packaging Corp. of America
Raven Industries, Inc.
See Notes to Financial Statements.
8
Shares
DECEMBER 31, 2016
8,768
632
9,486
14,201
18,869
9,769
21,691
3,673
46,961
3,637
1,414
11,862
13,665
4,881
2,155
3,762
5,878
25,629
14,165
5,522
227,530
73,375
696,747
679,092
919,486
1,077,423
1,140,296
125,984
586,073
186,615
95,516
161,323
527,059
67,358
167,228
53,797
239,822
446,201
1,201,475
139,154
Schedule of Investments (continued)
Common Stocks
General Industrials (continued)
Rexnord Corp. (a)
Silgan Holdings, Inc.
Sonoco Products Co.
TriMas Corp. (a)
UFP Technologies, Inc. (a)
Shares
15,645
6,035
15,076
6,652
1,471
Master Extended Market Index Series
Value
$
306,486
308,871
794,505
156,322
37,437
10,415,175
General Retailers — 4.0%
1-800-Flowers.com, Inc., Class A (a)
Aaron’s, Inc.
Abercrombie & Fitch Co., Class A
AMERCO, Inc.
America’s Car-Mart, Inc. (a)
American Eagle Outfitters, Inc.
American Public Education, Inc. (a)
Antero Resources Corp. (a)
Apollo Education Group, Inc. (a)
Asbury Automotive Group, Inc. (a)
Ascena Retail Group, Inc. (a)
Autobytel, Inc. (a)
Barnes & Noble Education, Inc. (a)
Barnes & Noble, Inc.
Beacon Roofing Supply, Inc. (a)
Big 5 Sporting Goods Corp.
Big Lots, Inc.
Blue Nile, Inc.
Bon-Ton Stores, Inc. (a)
Boot Barn Holdings, Inc. (a)
Bridgepoint Education, Inc. (a)
Bright Horizons Family Solutions, Inc. (a)
Buckle, Inc.
Build-A-Bear Workshop, Inc., Class A (a)
Burlington Stores, Inc. (a)
Cabela’s, Inc. (a)
Caleres, Inc.
Cambium Learning Group, Inc. (a)
Capella Education Co.
Career Education Corp. (a)
Carriage Services, Inc.
Cato Corp., Class A
CDK Global, Inc.
Chegg, Inc. (a)
Chemed Corp.
Chico’s FAS, Inc.
Children’s Place Retail Stores, Inc.
Christopher & Banks Corp. (a)
Citi Trends, Inc.
Clean Energy Fuels Corp. (a)
Collectors Universe, Inc.
Conn’s, Inc. (a)
Container Store Group, Inc. (a)
Copart, Inc. (a)
CST Brands, Inc.
Destination Maternity Corp.
Destination XL Group, Inc. (a)
Dick’s Sporting Goods, Inc.
Dillard’s, Inc., Class A
DSW, Inc., Class A
Etsy, Inc. (a)
EVINE Live, Inc. (a)
Express, Inc. (a)
Finish Line, Inc., Class A
Five Below, Inc. (a)
Francesca’s Holdings Corp. (a)
Fred’s, Inc., Class A
FTD Cos., Inc. (a)
Gaia, Inc. (a)
5,670
9,518
10,514
821
1,386
25,423
2,731
22,816
15,593
3,061
25,130
2,014
6,163
8,898
9,402
2,684
6,639
1,962
2,228
2,185
2,758
6,601
3,973
2,727
10,899
7,999
6,284
4,720
1,792
10,687
2,462
3,894
22,672
8,886
2,353
19,485
2,665
6,159
2,593
15,034
1,741
3,781
2,847
15,570
11,330
2,770
8,559
13,283
3,993
11,768
14,238
7,906
12,371
6,356
8,397
6,453
4,994
3,190
3,595
60,669
304,481
126,168
303,433
60,637
385,667
67,046
539,598
154,371
188,864
155,555
27,088
70,690
99,213
433,150
46,567
333,344
79,716
3,275
27,356
27,939
462,202
90,584
37,496
923,690
468,341
206,241
23,553
157,338
107,832
70,512
117,131
1,353,292
65,579
377,445
280,389
269,032
14,412
48,852
42,997
36,961
47,830
18,078
862,734
545,539
14,321
36,376
705,327
250,321
266,545
167,724
11,859
133,112
119,556
335,544
116,348
92,689
76,050
31,097
Common Stocks
General Retailers (continued)
GameStop Corp., Class A
Genesco, Inc. (a)
Grand Canyon Education, Inc. (a)
Group 1 Automotive, Inc.
GrubHub, Inc. (a)
Guess?, Inc.
Haverty Furniture Cos., Inc.
Hibbett Sports, Inc. (a)
Hillenbrand, Inc.
Houghton Mifflin Harcourt Co. (a)
HSN, Inc.
JC Penney Co., Inc. (a)
K12, Inc. (a)
KAR Auction Services, Inc.
Kirkland’s, Inc. (a)
Lands’ End, Inc. (a)(b)
Liquidity Services, Inc. (a)
Lithia Motors, Inc., Class A
Lumber Liquidators Holdings, Inc. (a)
MarineMax, Inc. (a)
Matthews International Corp., Class A
Michaels Cos., Inc. (a)
Monro Muffler Brake, Inc.
Murphy USA, Inc. (a)
Office Depot, Inc.
Ollie’s Bargain Outlet Holdings, Inc. (a)
Overstock.com, Inc. (a)
Party City Holdco, Inc. (a)
PCM, Inc. (a)
Penske Automotive Group, Inc.
Perfumania Holdings, Inc. (a)
Pier 1 Imports, Inc.
PriceSmart, Inc.
Providence Service Corp. (a)
RealNetworks, Inc. (a)
Regis Corp. (a)
Rent-A-Center, Inc., Class A
RH (a)
Rollins, Inc.
Rush Enterprises, Inc., Class A (a)
Sally Beauty Holdings, Inc. (a)
Sears Holdings Corp. (a)(b)
Service Corp. International
ServiceMaster Global Holdings, Inc. (a)
Shoe Carnival, Inc.
Shutterfly, Inc. (a)
SiteOne Landscape Supply, Inc. (a)
Sonic Automotive, Inc., Class A
Sotheby’s
SP Plus Corp. (a)
Sportsman’s Warehouse Holdings, Inc. (a)
Stage Stores, Inc.
Stamps.com, Inc. (a)
Stein Mart, Inc.
Strayer Education, Inc. (a)
Tailored Brands, Inc.
Tile Shop Holdings, Inc. (a)
Titan Machinery, Inc. (a)
TrueCar, Inc. (a)
Trupanion, Inc. (a)(b)
Tuesday Morning Corp. (a)
VCA, Inc. (a)
Weight Watchers International, Inc. (a)(b)
West Marine, Inc. (a)
Williams-Sonoma, Inc.
Winmark Corp.
Zumiez, Inc. (a)
Shares
14,951
3,006
7,107
3,063
12,850
9,276
3,228
3,484
9,955
15,421
4,839
46,484
5,636
20,813
2,707
2,026
4,477
3,487
4,057
4,129
4,866
15,846
4,709
5,579
78,695
7,432
2,766
3,899
1,516
5,762
1,362
12,905
3,440
2,023
5,145
5,786
7,864
5,948
14,452
5,240
22,385
7,621
28,408
20,442
2,381
5,172
3,757
4,134
7,190
2,950
4,298
4,672
2,505
4,383
1,653
7,130
5,605
2,671
8,752
3,225
6,404
12,570
4,031
3,086
12,296
437
2,839
Value
$
377,662
186,673
415,404
238,730
483,417
112,240
76,504
129,953
381,774
167,318
165,978
386,282
96,714
887,050
41,986
30,694
43,651
337,646
63,857
79,896
373,952
324,051
269,355
342,941
355,701
211,440
48,405
55,366
34,110
298,702
2,043
110,209
287,240
76,975
25,005
84,013
88,470
182,604
488,189
167,156
591,412
70,799
806,787
770,050
64,239
259,531
130,481
94,669
286,593
83,042
40,358
20,417
287,198
24,019
133,281
182,171
109,578
38,916
109,400
50,052
34,582
862,930
46,155
32,310
595,003
55,128
62,032
26,850,245
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
9
Schedule of Investments (continued)
Common Stocks
Health Care Equipment & Services — 4.5%
AAC Holdings, Inc. (a)
Abaxis, Inc.
ABIOMED, Inc. (a)
Acadia Healthcare Co., Inc. (a)
Accuray, Inc. (a)
AdCare Health Systems, Inc. (a)
Addus HomeCare Corp. (a)
Adeptus Health, Inc., Class A (a)
Air Methods Corp. (a)
Alere, Inc. (a)
Align Technology, Inc. (a)
Alliance HealthCare Services, Inc. (a)
Almost Family, Inc. (a)
Alphatec Holdings, Inc. (a)
Amedisys, Inc. (a)
Analogic Corp.
AngioDynamics, Inc. (a)
Anika Therapeutics, Inc. (a)
Antares Pharma, Inc. (a)
AtriCure, Inc. (a)
Atrion Corp.
AxoGen, Inc. (a)
Bio-Rad Laboratories, Inc., Class A (a)
Biolase, Inc. (a)
BioScrip, Inc. (a)
Biostage, Inc. (a)
BioTelemetry, Inc. (a)
Bovie Medical Corp. (a)
Brookdale Senior Living, Inc. (a)
Bruker Corp.
CalAtlantic Group, Inc.
Cantel Medical Corp.
Capital Senior Living Corp. (a)
Cardiovascular Systems, Inc. (a)
Civitas Solutions, Inc. (a)
Cogentix Medical, Inc. (a)
Community Health Systems, Inc. (a)
CONMED Corp.
Corindus Vascular Robotics, Inc. (a)(b)
Corvel Corp. (a)
CryoLife, Inc.
Cutera, Inc. (a)
Cynosure, Inc., Class A (a)
CytoSorbents Corp. (a)
Derma Sciences, Inc. (a)
DexCom, Inc. (a)
Dextera Surgical, Inc. (a)
Endologix, Inc. (a)
Ensign Group, Inc.
Exactech, Inc. (a)
Five Star Quality Care, Inc. (a)
Fluidigm Corp. (a)
FONAR Corp. (a)
Genesis Healthcare, Inc. (a)
GenMark Diagnostics, Inc. (a)
Glaukos Corp. (a)
Globus Medical, Inc., Class A (a)
Haemonetics Corp. (a)
Halyard Health, Inc. (a)
Healthcare Services Group, Inc.
HealthSouth Corp.
HealthStream, Inc. (a)
Healthways, Inc. (a)
Hill-Rom Holdings, Inc.
HMS Holdings Corp. (a)
Hooper Holmes, Inc. (a)
ICU Medical, Inc. (a)
Shares
2,226
3,511
6,294
11,606
12,884
7,324
1,286
2,391
5,272
13,093
11,385
2,209
1,371
1,899
4,240
1,873
4,708
2,272
26,095
5,376
224
4,935
3,189
11,125
20,256
3,656
4,630
4,719
28,172
15,893
10,823
5,470
4,670
5,198
2,868
6,713
17,321
3,573
20,807
1,635
4,639
2,275
3,689
4,303
7,068
13,180
3,562
12,883
6,892
1,877
16,250
4,592
1,417
5,313
7,790
1,961
11,083
7,760
6,988
10,637
13,931
3,976
5,011
9,361
13,041
639
2,348
Master Extended Market Index Series
Value
$
16,116
185,275
709,208
384,159
59,266
10,693
45,074
18,267
167,913
510,234
1,094,440
21,206
60,461
6,096
180,751
155,365
79,424
111,237
60,801
105,208
113,613
44,415
581,291
15,575
21,066
3,254
103,480
16,941
349,896
336,614
368,090
430,762
74,953
125,844
57,073
13,493
96,824
157,819
14,532
59,841
88,837
39,471
168,218
23,451
36,754
786,846
3,420
73,691
153,071
51,242
43,875
33,430
27,136
22,580
95,350
67,262
274,969
311,952
258,416
416,651
574,514
99,599
114,000
525,527
236,825
524
345,978
Common Stocks
Health Care Equipment & Services (continued)
IDEXX Laboratories, Inc. (a)
Inogen, Inc. (a)
Insulet Corp. (a)
Integra LifeSciences Holdings Corp. (a)
Intersect ENT, Inc. (a)
Invacare Corp.
Juno Therapeutics, Inc. (a)
K2M Group Holdings, Inc. (a)
Kindred Healthcare, Inc.
LHC Group, Inc. (a)
LifePoint Hospitals, Inc. (a)
LivaNova PLC (a)
Magellan Health, Inc. (a)
Masimo Corp. (a)
MEDNAX, Inc. (a)
Meridian Bioscience, Inc.
Merit Medical Systems, Inc. (a)
Molina Healthcare, Inc. (a)
Natera, Inc. (a)
National Healthcare Corp.
Natus Medical, Inc. (a)
Navidea Biopharmaceuticals, Inc. (a)
Neogen Corp. (a)
NeoGenomics, Inc. (a)
Nevro Corp. (a)
NuVasive, Inc. (a)
NxStage Medical, Inc. (a)
Omnicell, Inc. (a)
OraSure Technologies, Inc. (a)
Orthofix International NV (a)
Owens & Minor, Inc.
PAREXEL International Corp. (a)
Penumbra, Inc. (a)
PharMerica Corp. (a)
Psychemedics Corp.
Quidel Corp. (a)
Quorum Health Corp. (a)
RadNet, Inc. (a)
ResMed, Inc.
Retractable Technologies, Inc. (a)
Rockwell Medical, Inc. (a)(b)
RTI Surgical, Inc. (a)
SeaSpine Holdings Corp. (a)
Select Medical Holdings Corp. (a)
Spark Therapeutics, Inc. (a)
Spectranetics Corp. (a)
Staar Surgical Co. (a)
STERIS PLC
Surgery Partners, Inc. (a)
Surgical Care Affiliates, Inc. (a)
SurModics, Inc. (a)
T2 Biosystems, Inc. (a)
Tandem Diabetes Care, Inc. (a)
Team Health Holdings, Inc. (a)
Teleflex, Inc.
Tenet Healthcare Corp. (a)
Triple-S Management Corp., Class B (a)
U.S. Physical Therapy, Inc.
Unilife Corp. (a)(b)
Universal American Corp. (a)
Utah Medical Products, Inc.
Vascular Solutions, Inc. (a)
VWR Corp. (a)
WellCare Health Plans, Inc. (a)
West Pharmaceutical Services, Inc.
Wright Medical Group NV (a)
Zafgen, Inc. (a)
Zeltiq Aesthetics, Inc. (a)
QUANTITATIVE MASTER SERIES LLC
13,766
2,528
8,659
4,784
4,481
4,891
11,502
6,090
12,162
2,418
6,081
6,732
3,447
6,952
13,919
6,734
7,010
6,417
4,291
1,472
5,169
26,298
5,645
9,277
3,648
7,914
9,415
5,518
9,831
2,789
9,148
7,939
4,182
4,613
1,320
4,380
4,330
5,911
21,713
4,605
7,565
10,112
1,779
16,098
3,374
6,991
5,027
12,865
3,215
4,259
2,327
4,053
3,670
11,401
6,811
12,189
3,526
1,955
2,413
8,418
662
2,784
13,221
6,769
11,109
15,623
2,989
5,536
Value
$
1,614,339
169,806
326,271
410,419
54,220
63,828
216,813
122,044
95,472
110,503
345,401
302,738
259,387
468,565
927,841
119,192
185,765
348,186
50,248
111,563
179,881
16,526
372,570
79,504
265,064
533,087
246,767
187,060
86,316
100,906
322,833
521,751
266,812
116,017
32,578
93,820
31,479
38,126
1,347,292
4,283
49,551
32,864
14,054
213,298
168,363
171,279
54,543
866,972
50,958
197,064
59,106
21,319
7,890
495,373
1,097,593
180,885
72,988
137,241
5,550
83,759
48,160
156,182
330,922
927,895
942,376
359,017
9,505
240,927
29,981,066
See Notes to Financial Statements.
10
Shares
DECEMBER 31, 2016
Schedule of Investments (continued)
Common Stocks
Household Goods & Home Construction — 1.5%
ACCO Brands Corp. (a)
Bassett Furniture Industries, Inc.
Beazer Homes USA, Inc. (a)
Briggs & Stratton Corp.
Cavco Industries, Inc. (a)
Central Garden and Pet Co., Class A (a)
Compx International, Inc.
Comstock Holdings Cos., Inc. (a)
Dixie Group, Inc. (a)
Edgewell Personal Care Co. (a)
Energizer Holdings, Inc.
Ethan Allen Interiors, Inc.
Flexsteel Industries, Inc.
Forward Industries, Inc. (a)
Herman Miller, Inc.
HNI Corp.
Hooker Furniture Corp.
Hovnanian Enterprises, Inc., Class A (a)
Interface, Inc.
iRobot Corp. (a)
KB Home
Knoll, Inc.
La-Z-Boy, Inc.
LGI Homes, Inc. (a)
Libbey, Inc.
Lifetime Brands, Inc.
M/I Homes, Inc. (a)
Manitowoc Foodservice, Inc. (a)
MDC Holdings, Inc.
Meritage Homes Corp. (a)
National Presto Industries, Inc.
NVR, Inc. (a)
Oil-Dri Corp. of America
Scotts Miracle-Gro Co., Class A
Select Comfort Corp. (a)
Spectrum Brands Holdings, Inc.
Steelcase, Inc., Class A
Taylor Morrison Home Corp., Class A (a)
Tempur Sealy International, Inc. (a)
Toll Brothers, Inc. (a)
TRI Pointe Group, Inc. (a)
Tupperware Brands Corp.
Virco Manufacturing Corp. (a)
Wayfair, Inc., Class A (a)(b)
WCI Communities, Inc. (a)
WD-40 Co.
William Lyon Homes, Class A (a)
Shares
16,442
1,739
5,712
6,373
1,393
6,265
1,034
1,729
2,900
8,921
9,658
3,943
1,215
2,823
8,959
6,656
1,876
21,351
9,610
4,266
12,278
7,374
7,437
2,808
3,627
2,050
4,013
19,950
5,937
5,844
790
537
1,129
6,850
7,058
3,650
12,921
5,375
7,764
22,796
22,019
7,504
5,315
4,521
3,484
2,138
4,111
Master Extended Market Index Series
Value
$
214,568
52,866
75,970
141,863
139,091
193,589
16,647
3,112
10,440
651,144
430,843
145,300
74,929
3,472
306,398
372,204
71,194
58,288
178,266
249,348
194,115
205,956
230,919
80,674
70,581
36,388
101,047
385,633
152,343
203,371
84,056
896,253
43,139
654,517
159,652
446,504
231,286
103,523
530,126
706,676
252,778
394,860
22,855
158,461
81,700
249,932
78,232
10,145,109
Industrial Engineering — 3.1%
AGCO Corp.
Alamo Group, Inc.
Albany International Corp., Class A
Altra Industrial Motion Corp.
American Railcar Industries, Inc.
Astec Industries, Inc.
Babcock & Wilcox Enterprises, Inc. (a)
Broadwind Energy, Inc. (a)
Ceco Environmental Corp.
Chicago Rivet & Machine Co.
CIRCOR International, Inc.
CLARCOR, Inc.
Colfax Corp. (a)
Columbus McKinnon Corp.
Commercial Vehicle Group, Inc. (a)
Crane Co.
DMC Global, Inc.
10,320
1,607
4,299
4,066
1,354
2,944
8,137
4,880
4,277
494
2,547
7,187
14,850
2,933
5,294
7,597
2,800
597,115
122,293
199,044
150,035
61,323
198,602
134,993
19,740
59,664
20,550
165,249
592,712
533,560
79,308
29,276
547,896
44,380
Common Stocks
Industrial Engineering (continued)
Donaldson Co., Inc.
Douglas Dynamics, Inc.
Energy Recovery, Inc. (a)
EnPro Industries, Inc.
Federal Signal Corp.
Franklin Electric Co., Inc.
FreightCar America, Inc.
GATX Corp.
Gorman-Rupp Co.
Graco, Inc.
Graham Corp.
Greenbrier Cos., Inc.
H&E Equipment Services, Inc.
Horizon Global Corp. (a)
Hurco Cos., Inc.
Hyster-Yale Materials Handling, Inc.
IDEX Corp.
John Bean Technologies Corp.
Joy Global, Inc.
Kadant, Inc.
Kennametal, Inc.
Key Technology, Inc. (a)
Kimball International, Inc., Class B
Lincoln Electric Holdings, Inc.
Lindsay Corp.
Lydall, Inc. (a)
Manitex International, Inc. (a)(b)
Manitowoc Co., Inc. (a)
Materion Corp.
Meritor, Inc. (a)
MFRI, Inc. (a)
Middleby Corp. (a)
Miller Industries, Inc.
MSA Safety, Inc.
Mueller Industries, Inc.
NACCO Industries, Inc., Class A
Navistar International Corp. (a)
NN, Inc.
Nordson Corp.
Oshkosh Corp.
Paylocity Holding Corp. (a)
Proto Labs, Inc. (a)
Spartan Motors, Inc.
SPX Corp. (a)
SPX FLOW, Inc. (a)
Standex International Corp.
Sun Hydraulics Corp.
Tennant Co.
Terex Corp.
Timken Co.
TimkenSteel Corp. (a)
Toro Co.
Trinity Industries, Inc.
Twin Disc, Inc.
Wabash National Corp. (a)
Wabtec Corp.
Woodward, Inc.
Shares
20,116
3,445
5,232
3,157
9,098
5,838
2,656
6,015
2,838
8,754
1,902
4,279
4,783
3,297
1,373
1,727
11,736
4,537
14,760
1,829
11,991
998
5,240
9,366
1,858
2,799
2,717
23,435
3,097
12,809
1,937
8,715
2,019
4,681
9,270
799
9,906
4,181
8,037
11,420
3,681
3,660
5,545
6,490
6,381
2,053
3,942
2,625
16,239
10,204
5,808
16,959
23,379
1,831
10,252
13,427
8,136
Value
$
846,481
115,924
54,151
212,655
142,020
227,098
39,654
370,404
87,836
727,370
42,129
177,792
111,205
79,128
45,446
110,131
1,056,944
389,955
413,280
111,935
374,839
11,637
92,014
718,091
138,625
173,118
18,639
140,141
122,641
159,088
15,690
1,122,579
53,403
324,534
370,429
72,349
310,751
79,648
900,546
737,846
110,467
187,941
51,291
153,943
204,575
180,356
157,562
186,900
512,016
405,099
89,908
948,856
649,001
26,733
162,187
1,114,710
561,791
20,557,222
Industrial Metals & Mining — 1.0%
AK Steel Holding Corp. (a)
Alcoa Corp.
Allegheny Technologies, Inc.
Ampco-Pittsburgh Corp.
Carpenter Technology Corp.
Century Aluminum Co. (a)
Cliffs Natural Resources, Inc. (a)
48,143
22,764
16,681
1,955
7,069
7,937
31,471
491,540
639,213
265,728
32,746
255,686
67,941
264,671
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
11
Schedule of Investments (continued)
Common Stocks
Industrial Metals & Mining (continued)
Commercial Metals Co.
Friedman Industries, Inc.
Handy & Harman Ltd. (a)
Haynes International, Inc.
Kaiser Aluminum Corp.
McEwen Mining, Inc.
Olympic Steel, Inc.
Reliance Steel & Aluminum Co.
Ryerson Holding Corp. (a)
Steel Dynamics, Inc.
Synalloy Corp.
United States Steel Corp.
Universal Stainless & Alloy Products, Inc. (a)
Uranium Energy Corp. (a)
Worthington Industries, Inc.
Shares
17,547
2,787
780
2,039
3,159
31,501
1,597
11,267
2,400
37,295
2,147
26,373
1,302
19,733
6,911
Master Extended Market Index Series
Value
$
382,174
18,561
19,929
87,656
245,423
91,668
38,695
896,177
32,040
1,326,956
23,510
870,573
17,590
22,101
327,858
6,418,436
Industrial Transportation — 1.3%
Air Lease Corp.
Air Transport Services Group, Inc. (a)
Aircastle Ltd.
ArcBest Corp.
Ardmore Shipping Corp.
Atlas Air Worldwide Holdings, Inc. (a)
CAI International, Inc. (a)
Celadon Group, Inc.
Covenant Transportation Group, Inc., Class A (a)
Echo Global Logistics, Inc. (a)
Forward Air Corp.
FRP Holdings, Inc. (a)
Genco Shipping & Trading, Ltd. (a)
Gener8 Maritime, Inc. (a)
Genesee & Wyoming, Inc., Class A (a)
Heartland Express, Inc.
Hub Group, Inc., Class A (a)
International Seaways, Inc. (a)
Kirby Corp. (a)(b)
Knight Transportation, Inc.
Landstar System, Inc.
Macquarie Infrastructure Corp.
Marten Transport Ltd.
Matson, Inc.
Old Dominion Freight Line, Inc. (a)
Overseas Shipholding Group, Inc., Class A
PAM Transportation Services, Inc. (a)
Patriot Transportation Holding, Inc. (a)
PHH Corp. (a)
Rand Logistics, Inc. (a)
Roadrunner Transportation Systems, Inc. (a)
Saia, Inc. (a)
Swift Transportation Co. (a)
Teekay Corp.
Textainer Group Holdings Ltd.
Triton International, Ltd.
Universal Logistics Holdings, Inc.
USA Truck, Inc. (a)
Werner Enterprises, Inc.
Wesco Aircraft Holdings, Inc. (a)
Willis Lease Finance Corp. (a)
World Fuel Services Corp.
XPO Logistics, Inc. (a)
YRC Worldwide, Inc. (a)
14,722
7,220
8,419
3,519
6,365
3,769
2,930
4,175
2,275
4,536
4,502
1,209
177
12,477
8,719
6,722
5,287
1,937
8,071
9,738
6,328
11,459
3,567
6,329
10,535
5,813
659
627
8,457
5,032
4,706
4,133
12,764
6,907
3,736
4,790
1,233
1,622
6,158
8,960
1,351
10,630
12,259
4,920
505,406
115,231
175,536
97,300
47,101
196,553
25,403
29,851
43,999
113,627
213,305
45,579
1,306
55,897
605,186
136,860
231,306
27,196
536,722
321,841
539,778
936,200
83,111
223,983
903,798
22,264
17,121
14,609
128,208
4,176
48,895
182,472
310,931
55,463
27,833
75,682
20,160
14,128
165,958
133,952
34,559
488,023
529,098
65,338
8,550,945
Leisure Goods — 0.8%
Arctic Cat, Inc.
Black Diamond, Inc. (a)
2,143
4,738
32,188
25,348
Common Stocks
Leisure Goods (continued)
Brunswick Corp.
Callaway Golf Co.
Eastman Kodak Co. (a)
Escalade, Inc.
Fitbit, Inc., Series A (a)
Fox Factory Holding Corp. (a)
Glu Mobile, Inc. (a)
GoPro, Inc., Class A (a)(b)
LCI Industries
Malibu Boats, Inc. (a)
Marine Products Corp.
Nautilus, Inc. (a)
Polaris Industries, Inc.
Pool Corp.
Take-Two Interactive Software, Inc. (a)
Thor Industries, Inc.
Universal Electronics, Inc. (a)
Vista Outdoor, Inc. (a)
Winnebago Industries, Inc.
Zedge, Inc., Class B (a)
QUANTITATIVE MASTER SERIES LLC
13,523
14,931
6,100
2,070
20,556
5,319
17,785
15,121
3,780
3,744
1,493
4,821
9,046
6,438
13,053
7,223
2,235
9,083
4,162
4,053
Value
$
737,544
163,644
94,550
27,324
150,470
147,602
34,503
131,704
407,295
71,436
20,708
89,189
745,300
671,741
643,382
722,661
144,269
335,163
131,727
12,686
5,540,434
Life Insurance — 0.3%
American Equity Investment Life Holding Co.
AMERISAFE, Inc.
Atlantic American Corp.
Citizens, Inc. (a)(b)
CNO Financial Group, Inc.
eHealth, Inc. (a)
Employers Holdings, Inc.
FBL Financial Group, Inc., Class A
Genworth Financial, Inc., Class A (a)
Independence Holding Co.
National Western Life Group, Inc., Class A
Primerica, Inc.
11,676
3,104
2,927
8,213
26,587
2,920
4,842
1,432
72,971
1,686
376
6,834
263,177
193,534
12,001
80,652
509,141
31,098
191,743
111,911
278,020
32,961
116,861
472,571
2,293,670
Media — 3.6%
Acxiom Corp. (a)
AH Belo Corp., Class A
AMC Networks, Inc., Class A (a)
Ascent Capital Group, Inc., Class A (a)
Avid Technology, Inc. (a)
Bankrate, Inc. (a)
Beasley Broadcasting Group, Inc., Class A
Cable One, Inc.
Clear Channel Outdoor Holdings, Inc., Class A
ComScore, Inc. (a)
CSS Industries, Inc.
CTN Media Group, Inc. (a)
Cumulus Media, Inc., Class A (a)
DISH Network Corp., Class A (a)
Dolby Laboratories, Inc., Class A
Emmis Communications Corp., Class A (a)
Entercom Communications Corp., Class A
Entravision Communications Corp., Class A
EW Scripps Co., Class A (a)
FactSet Research Systems, Inc.
Formula One Group, Class A (a)
Formula One Group, Class C (a)
Gannett Co., Inc.
Global Eagle Entertainment, Inc. (a)
Graham Holdings Co., Class B
Gray Television, Inc. (a)
Groupon, Inc. (a)
Harte-Hanks, Inc.
John Wiley & Sons, Inc., Class A
See Notes to Financial Statements.
12
Shares
DECEMBER 31, 2016
11,802
3,599
9,248
2,129
5,767
7,128
784
747
5,624
7,063
1,461
50
3,185
34,559
8,934
2,653
4,346
10,513
8,572
6,123
3,415
6,777
17,822
7,875
660
10,007
60,701
6,749
6,748
316,294
22,854
484,040
34,618
25,375
78,764
4,861
464,432
28,401
223,050
39,549
—
3,249
2,002,003
403,727
8,702
66,494
73,591
165,697
1,000,682
107,060
212,323
173,052
50,873
337,887
108,576
201,527
10,191
367,766
Schedule of Investments (continued)
Common Stocks
Media (continued)
Lamar Advertising Co., Class A
Lee Enterprises, Inc. (a)
Liberty Broadband Corp., Class A (a)
Liberty Broadband Corp., Class C (a)
Liberty Global PLC, Class A (a)
Liberty Global PLC, Class C (a)
Liberty Global PLC LiLAC, Class A (a)
Liberty Global PLC LiLAC, Class C (a)
Liberty Interactive Corp QVC Group, Series A (a)
Liberty SiriusXM Group, Class A (a)
Liberty SiriusXM Group, Class C (a)
Lions Gate Entertainment Corp., Class A
Lions Gate Entertainment Corp., Class B (a)
Live Nation Entertainment, Inc. (a)
Marchex, Inc., Class B (a)
The McClatchy Co., Class A (a)
Media General, Inc. (a)
Meredith Corp.
Morningstar, Inc.
MSG Networks, Inc., Class A (a)
National CineMedia, Inc.
New Media Investment Group, Inc.
New York Times Co., Class A
Nexstar Broadcasting Group, Inc., Class A
Outfront Media, Inc.
Pandora Media, Inc. (a)
QuinStreet, Inc. (a)
Quotient Technology, Inc. (a)
Remark Media, Inc. (a)(b)
RetailMeNot, Inc. (a)
Rubicon Project, Inc. (a)
Saga Communications, Inc., Class A
Scholastic Corp.
Sinclair Broadcast Group, Inc., Class A
Sirius XM Holdings, Inc.
Spanish Broadcasting System, Inc., Class A (a)
SPAR Group, Inc. (a)
TechTarget, Inc. (a)
TheStreet, Inc.
Time, Inc.
Tribune Media Co., Class A
TRONC, Inc.
Value Line, Inc.
WebMD Health Corp. (a)
XO Group, Inc. (a)
Yelp, Inc. (a)
Shares
12,563
8,464
4,076
10,186
39,624
96,606
7,846
18,370
66,900
13,849
25,336
12,466
16,634
20,179
5,246
1,090
15,632
5,493
2,851
9,903
9,730
9,733
18,334
4,695
21,224
34,802
7,427
10,529
4,264
6,625
6,574
1,046
4,495
9,315
265,230
1,474
3,165
2,802
16,585
15,065
11,076
3,616
906
5,699
4,167
8,984
Master Extended Market Index Series
Value
$
844,736
24,546
295,347
754,477
1,212,098
2,869,198
172,298
388,893
1,336,662
478,067
859,397
335,335
408,198
536,761
13,902
14,366
294,351
324,911
209,720
212,915
143,323
155,631
243,842
297,193
527,841
453,818
27,926
113,187
16,715
61,613
48,779
52,614
213,468
310,655
1,180,273
4,496
3,165
23,901
14,097
268,910
387,438
50,154
17,667
282,499
81,048
342,560
23,924,629
Mining — 0.6%
Arch Coal, Inc. (a)
Cloud Peak Energy, Inc. (a)
Coeur Mining, Inc. (a)
Compass Minerals International, Inc.
CONSOL Energy, Inc.
Fairmount Santrol Holdings, Inc. (a)
General Moly, Inc. (a)
Gold Resource Corp.
Golden Minerals Co. (a)(b)
Hecla Mining Co.
Pershing Gold Corp. (a)(b)
Royal Gold, Inc.
Solitario Exploration & Royalty Corp. (a)
Stillwater Mining Co. (a)
SunCoke Energy, Inc.
U.S. Silica Holdings, Inc.
Westmoreland Coal Co. (a)
3,734
9,192
26,194
5,446
27,128
23,727
21,436
8,706
9,302
61,702
5,475
9,867
15,315
18,398
9,743
10,946
3,275
291,439
51,567
238,104
426,694
494,543
279,741
5,361
37,871
5,396
323,319
17,903
625,074
9,747
296,392
110,486
620,419
57,869
3,891,925
Common Stocks
Mobile Telecommunications — 1.0%
ATN International, Inc.
Globalstar, Inc. (a)
Iridium Communications, Inc. (a)
NII Holdings, Inc. (a)
ORBCOMM, Inc. (a)
pdvWireless, Inc. (a)(b)
SBA Communications Corp., Class A (a)
Shenandoah Telecommunications Co.
Spok Holdings, Inc.
Sprint Corp. (a)
T-Mobile U.S., Inc. (a)
Telephone & Data Systems, Inc.
United States Cellular Corp. (a)
Shares
1,577
50,267
12,372
14,857
10,768
1,832
19,097
6,758
3,740
95,860
43,914
13,666
1,710
Value
$
126,365
79,422
118,771
31,943
89,051
41,312
1,971,956
184,493
77,605
807,141
2,525,494
394,538
74,761
6,522,852
Nonlife Insurance — 3.6%
Alleghany Corp. (a)
Allied World Assurance Co. Holdings AG
Ambac Financial Group, Inc. (a)
American Financial Group, Inc.
American National Insurance Co.
AmTrust Financial Services, Inc.
Arch Capital Group Ltd. (a)
Argo Group International Holdings Ltd.
Aspen Insurance Holdings Ltd.
Assured Guaranty Ltd.
Axis Capital Holdings Ltd.
Baldwin & Lyons, Inc., Class B
Brown & Brown, Inc.
CNA Financial Corp.
Donegal Group, Inc., Class A
EMC Insurance Group, Inc.
Endurance Specialty Holdings Ltd.
Enstar Group Ltd. (a)
Erie Indemnity Co., Class A
Everest Re Group Ltd.
Federated National Holding Co.
First Acceptance Corp. (a)
First American Financial Corp.
Global Indemnity, Ltd. (a)
Greenlight Capital Re Ltd., Class A (a)
Hanover Insurance Group, Inc.
HCI Group, Inc.
Heritage Insurance Holdings, Inc.
Hilltop Holdings, Inc.
Horace Mann Educators Corp.
Infinity Property & Casualty Corp.
James River Group Holdings Ltd.
Kemper Corp.
Maiden Holdings Ltd.
Markel Corp. (a)
MBIA, Inc. (a)
Mercury General Corp.
National General Holdings Corp.
Navigators Group, Inc.
Old Republic International Corp.
OneBeacon Insurance Group Ltd., Class A
Prism Technologies Group, Inc. (a)
ProAssurance Corp.
Reinsurance Group of America, Inc.
RenaissanceRe Holdings Ltd.
RLI Corp.
Safety Insurance Group, Inc.
Selective Insurance Group, Inc.
State Auto Financial Corp.
State National Cos., Inc.
Third Point Reinsurance Ltd. (a)
2,323
13,364
6,380
10,964
1,133
16,477
18,582
4,567
8,994
19,311
13,198
2,261
17,387
4,047
2,337
1,652
9,685
1,653
2,694
6,141
2,537
8,599
16,805
1,701
5,039
6,362
1,768
4,282
12,181
6,108
1,707
3,102
7,415
11,098
2,139
19,667
3,553
9,620
1,797
36,839
3,598
1,044
7,994
9,662
6,043
5,685
2,336
8,303
2,450
5,202
9,561
1,412,663
717,780
143,550
966,148
141,183
451,140
1,603,441
300,965
494,670
729,376
861,433
56,977
779,981
167,951
40,851
49,577
894,894
326,798
302,940
1,328,912
47,417
8,943
615,567
64,995
114,889
579,006
69,801
67,099
362,994
261,422
150,045
128,888
328,485
193,660
1,934,725
210,437
213,926
240,404
211,597
699,941
57,748
313
449,263
1,215,769
823,177
358,894
172,163
357,444
65,685
72,100
110,430
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
13
Schedule of Investments (continued)
Common Stocks
Nonlife Insurance (continued)
United Fire Group, Inc.
United Insurance Holdings Corp.
Universal Insurance Holdings, Inc.
Validus Holdings Ltd.
W.R. Berkley Corp.
White Mountains Insurance Group Ltd.
Shares
3,306
3,080
4,997
11,933
14,911
711
Master Extended Market Index Series
Value
$
162,556
46,631
141,915
656,434
991,731
594,432
24,552,156
Oil & Gas Producers — 2.8%
Abraxas Petroleum Corp. (a)
Adams Resources & Energy, Inc.
Alon USA Energy, Inc.
Approach Resources, Inc. (a)
Barnwell Industries, Inc. (a)
Bill Barrett Corp. (a)
Bonanza Creek Energy, Inc. (a)(b)
California Resources Corp. (a)
Callon Petroleum Co. (a)
Carrizo Oil & Gas, Inc. (a)
Centennial Resource Development, Inc., Class A (a)
Cheniere Energy, Inc. (a)
Clayton Williams Energy, Inc. (a)
Cobalt International Energy, Inc. (a)
Comstock Resources, Inc. (a)(b)
Contango Oil & Gas Co. (a)
Continental Resources, Inc. (a)
CVR Energy, Inc.
Dawson Geophysical Co. (a)
Delek U.S. Holdings, Inc.
Denbury Resources, Inc. (a)
Diamondback Energy, Inc. (a)
Eclipse Resources Corp. (a)
Energen Corp. (a)
EP Energy Corp., Class A (a)
Era Group, Inc. (a)
Evolution Petroleum Corp.
EXCO Resources, Inc. (a)
Gastar Exploration, Inc. (a)
Gulfport Energy Corp. (a)
Halcon Resources Corp. (a)
Harvest Natural Resources, Inc. (a)
HollyFrontier Corp.
Houston American Energy Corp. (a)
Isramco, Inc. (a)
Kosmos Energy Ltd. (a)
Laredo Petroleum, Inc. (a)
Magellan Petroleum Corp. (a)
Matador Resources Co. (a)
Nabors Industries Ltd.
Northern Oil and Gas, Inc. (a)
Oasis Petroleum, Inc. (a)
Pacific Ethanol, Inc. (a)
Panhandle Oil and Gas, Inc., Class A
Parsley Energy, Inc., Class A (a)
PBF Energy, Inc., Class A
PDC Energy, Inc. (a)
PetroQuest Energy, Inc. (a)
Pioneer Energy Services Corp. (a)
QEP Resources, Inc.
Resolute Energy Corp. (a)
Rex Energy Corp. (a)
Rice Energy, Inc. (a)
Ring Energy, Inc. (a)
RSP Permian, Inc. (a)
Sanchez Energy Corp. (a)
SemGroup Corp., Class A
SM Energy Co.
26,599
460
4,552
5,719
4,904
10,675
6,854
6,902
24,961
9,874
5,948
36,196
1,182
50,294
2,950
4,568
13,189
2,373
5,308
8,207
62,278
12,039
13,713
14,820
8,656
2,473
8,686
28,887
27,518
19,474
5,191
2,345
26,750
5,104
299
26,027
21,343
3,259
14,824
42,757
8,538
36,278
6,461
3,182
23,857
14,864
8,598
2,933
10,165
36,814
2,135
39,593
18,655
8,085
14,013
8,884
7,987
14,914
68,359
18,239
51,802
19,159
8,043
74,618
6,991
146,944
383,651
368,794
117,295
1,499,600
140,965
61,359
29,057
42,665
679,761
60,250
42,676
197,542
229,183
1,216,661
36,614
854,669
56,697
41,967
86,860
25,239
42,653
421,417
48,484
14,492
876,330
909
37,166
182,449
301,790
36,664
381,866
701,215
23,479
549,249
61,379
74,936
840,721
414,408
624,043
9,708
69,630
677,746
87,941
18,656
398,284
105,024
625,260
80,223
333,457
514,235
Common Stocks
Oil & Gas Producers (continued)
Syntroleum Corp. (a)
Targa Resources Corp.
Torchlight Energy Resources, Inc. (a)(b)
Trecora Resources (a)
Triangle Petroleum Corp. (a)(b)
VAALCO Energy, Inc. (a)
W&T Offshore, Inc. (a)
Western Refining, Inc.
Whiting Petroleum Corp. (a)
WPX Energy, Inc. (a)
Zion Oil & Gas, Inc. (a)
QUANTITATIVE MASTER SERIES LLC
2,214
27,622
15,877
4,189
11,728
10,701
5,629
12,046
42,577
52,600
14,230
Value
$
—
1,548,766
18,735
58,018
2,768
11,129
15,592
455,941
511,776
766,382
19,495
18,528,076
Oil Equipment, Services & Distribution — 1.4%
Archrock, Inc.
Atwood Oceanics, Inc.
Bristow Group, Inc.
CARBO Ceramics, Inc. (a)
Chart Industries, Inc. (a)
Core Laboratories NV
Diamond Offshore Drilling, Inc.
Dril-Quip, Inc. (a)
Ensco PLC, Class A
Exterran Corp. (a)
Flotek Industries, Inc. (a)
Forum Energy Technologies, Inc. (a)
Frank’s International NV (b)
Geospace Technologies Corp. (a)
Gulf Island Fabrication, Inc.
Gulfmark Offshore, Inc., Class A (a)
Helix Energy Solutions Group, Inc. (a)
Hornbeck Offshore Services, Inc. (a)
ION Geophysical Corp. (a)
Matrix Service Co. (a)
McDermott International, Inc. (a)
Mitcham Industries, Inc. (a)
MRC Global, Inc. (a)
Natural Gas Services Group, Inc. (a)
Newpark Resources, Inc. (a)
Noble Corp. PLC
NOW, Inc. (a)
Oceaneering International, Inc.
OGE Energy Corp.
Oil States International, Inc. (a)
Par Pacific Holdings, Inc. (a)
Parker Drilling Co. (a)
Patterson-UTI Energy, Inc.
PHI, Inc. (a)
Rowan Cos. PLC, Class A
RPC, Inc.
SEACOR Holdings, Inc. (a)
Superior Energy Services, Inc.
Tesco Corp.
TETRA Technologies, Inc. (a)
Tidewater, Inc.
Unit Corp. (a)
Weatherford International PLC (a)
Willbros Group, Inc. (a)
10,345
8,759
5,197
2,969
4,840
6,667
9,726
5,798
44,868
5,172
8,081
11,673
9,047
2,032
2,513
4,514
16,747
5,026
1,418
4,118
35,472
4,047
14,516
2,129
13,319
36,851
16,086
14,799
30,032
8,015
7,652
19,733
22,573
1,452
18,906
9,161
2,530
22,991
8,172
15,131
6,879
8,312
147,861
9,067
136,554
115,006
106,435
31,056
174,337
800,307
172,150
348,170
436,117
123,611
75,881
256,806
111,369
41,372
29,905
7,899
147,709
36,288
8,508
93,479
262,138
16,795
294,094
68,447
99,892
218,158
329,280
417,480
1,004,570
312,585
111,260
51,306
607,665
26,165
357,134
181,479
180,338
388,088
67,419
75,958
23,457
223,343
737,826
29,377
9,337,213
Personal Goods — 0.9%
Avon Products, Inc.
Carter’s, Inc.
Cherokee, Inc. (a)
Columbia Sportswear Co.
Crocs, Inc. (a)
Culp, Inc.
65,408
7,612
1,956
4,110
11,409
2,014
See Notes to Financial Statements.
14
Shares
DECEMBER 31, 2016
329,656
657,601
20,538
239,613
78,266
74,820
Schedule of Investments (continued)
Common Stocks
Personal Goods (continued)
Deckers Outdoor Corp. (a)
Fossil Group, Inc. (a)
G-III Apparel Group Ltd. (a)
Helen of Troy Ltd. (a)
Iconix Brand Group, Inc. (a)
Inter Parfums, Inc.
Kate Spade & Co. (a)
Lakeland Industries, Inc. (a)
lululemon athletica, Inc. (a)
Movado Group, Inc.
Nu Skin Enterprises, Inc., Class A
Orchids Paper Products Co.
Oxford Industries, Inc.
Perry Ellis International, Inc. (a)
Revlon, Inc., Class A (a)
Rocky Brands, Inc.
Sequential Brands Group, Inc. (a)
Skechers U.S.A., Inc., Class A (a)
Steven Madden Ltd. (a)
Unifi, Inc. (a)
Vera Bradley, Inc. (a)
Vince Holding Corp. (a)
Weyco Group, Inc.
Wolverine World Wide, Inc.
Shares
4,841
6,527
6,412
4,169
9,546
2,513
19,689
2,101
16,248
2,476
7,874
1,530
2,185
2,072
1,899
1,306
7,426
20,341
8,495
2,485
3,075
2,985
1,357
15,101
Master Extended Market Index Series
Value
$
268,143
168,788
189,539
352,072
89,160
82,301
367,594
21,850
1,055,957
71,185
376,220
40,055
131,384
51,613
55,356
15,084
34,754
499,982
303,696
81,086
36,039
12,089
42,474
331,467
6,078,382
Pharmaceuticals & Biotechnology — 5.0%
ACADIA Pharmaceuticals, Inc. (a)
Accelerate Diagnostics, Inc. (a)
Acceleron Pharma, Inc. (a)
AcelRx Pharmaceuticals, Inc. (a)
Achillion Pharmaceuticals, Inc. (a)
Aclaris Therapeutics, Inc. (a)
Acorda Therapeutics, Inc. (a)
Acura Pharmaceuticals, Inc. (a)(b)
Adamas Pharmaceuticals, Inc. (a)
Adamis Pharmaceuticals Corp. (a)(b)
Aduro Biotech, Inc. (a)
Advaxis, Inc. (a)
Adverum Biotechnologies, Inc. (a)
Aerie Pharmaceuticals, Inc. (a)
Aevi Genomic Medicine, Inc. (a)
Agenus, Inc. (a)
Agios Pharmaceuticals, Inc. (a)
Aimmune Therapeutics, Inc. (a)
Akebia Therapeutics, Inc. (a)
Akorn, Inc. (a)
Albany Molecular Research, Inc. (a)
Alder Biopharmaceuticals, Inc. (a)
Aldeyra Therapeutics, Inc. (a)
Alimera Sciences, Inc. (a)(b)
Alkermes PLC (a)
Alnylam Pharmaceuticals, Inc. (a)
AMAG Pharmaceuticals, Inc. (a)
Amicus Therapeutics, Inc. (a)
Amphastar Pharmaceuticals, Inc. (a)
Ampio Pharmaceuticals, Inc. (a)(b)
Anavex Life Sciences Corp. (a)(b)
ANI Pharmaceuticals, Inc. (a)
Anthera Pharmaceuticals, Inc. (a)
Applied Genetic Technologies Corp. (a)
Apricus Biosciences, Inc. (a)
Aptevo Therapeutics, Inc. (a)
Aquinox Pharmaceuticals, Inc. (a)
Aratana Therapeutics, Inc. (a)
Arena Pharmaceuticals, Inc. (a)
Ariad Pharmaceuticals, Inc. (a)
14,086
3,723
4,714
6,998
18,775
2,540
6,967
3,204
2,439
4,970
4,726
5,697
2,724
5,385
7,157
11,520
5,310
3,518
5,628
13,339
4,097
6,773
2,978
7,469
23,312
10,795
5,495
21,883
5,565
8,902
8,408
1,215
5,522
2,151
1,237
2,249
4,402
4,787
36,143
29,611
406,240
77,252
120,301
18,195
77,541
68,936
130,980
2,456
41,219
15,656
53,876
40,791
7,900
203,822
37,073
47,462
221,586
71,943
58,587
291,190
76,860
140,878
15,932
8,067
1,295,681
404,165
191,226
108,759
102,507
8,014
33,296
73,653
3,584
20,112
1,608
5,488
72,677
34,371
51,323
368,361
Common Stocks
Pharmaceuticals & Biotechnology (continued)
ArQule, Inc. (a)
Array BioPharma, Inc. (a)
Arrowhead Pharmaceuticals, Inc. (a)(b)
Assembly Biosciences, Inc. (a)
Atara Biotherapeutics, Inc. (a)
Athersys, Inc. (a)(b)
AVEO Pharmaceuticals, Inc. (a)
Avexis, Inc. (a)
Aviragen Therapeutics, Inc. (a)
Bio-Path Holdings, Inc. (a)(b)
Bio-Techne Corp.
BioCryst Pharmaceuticals, Inc. (a)
BioDelivery Sciences International, Inc. (a)(b)
BioMarin Pharmaceutical, Inc. (a)
Biospecifics Technologies Corp. (a)
Biotime, Inc. (a)(b)
Bluebird Bio, Inc. (a)
Calithera Biosciences, Inc. (a)
Capricor Therapeutics, Inc. (a)(b)
Cara Therapeutics, Inc. (a)
Cascadian Therapeutics, Inc. (a)
CASI Pharmaceuticals, Inc. (a)
Catalent, Inc. (a)
Catalyst Pharmaceutical, Inc. (a)(b)
CEL-SCI Corp. (a)
Celldex Therapeutics, Inc. (a)
Cellular Biomedicine Group, Inc. (a)
Cempra, Inc. (a)(b)
Cerus Corp. (a)
Charles River Laboratories International, Inc. (a)
Chiasma, Inc. (a)
Chimerix, Inc. (a)
Cleveland BioLabs, Inc. (a)
Clovis Oncology, Inc. (a)
Coherus Biosciences, Inc. (a)
Collegium Pharmaceutical, Inc. (a)
Concert Pharmaceuticals, Inc. (a)
ContraVir Pharmaceuticals, Inc. (a)(b)
Corbus Pharmaceuticals Holdings, Inc. (a)(b)
Corcept Therapeutics, Inc. (a)
CorMedix, Inc. (a)(b)
CTI BioPharma Corp. (a)
Cumberland Pharmaceuticals, Inc. (a)
Curis, Inc. (a)
Cytokinetics, Inc. (a)
CytomX Therapeutics, Inc. (a)
Cytori Therapeutics, Inc. (a)(b)
CytRx Corp. (a)
Depomed, Inc. (a)
Dermira, Inc. (a)
Dicerna Pharmaceuticals, Inc. (a)
Durect Corp. (a)
Dynavax Technologies Corp. (a)
Eagle Pharmaceuticals, Inc. (a)
Edge Therapeutics, Inc. (a)
Editas Medicine, Inc. (a)
Egalet Corp. (a)
Eiger Biopharmaceuticals, Inc. (a)
Emergent Biosolutions, Inc. (a)
Enanta Pharmaceuticals, Inc. (a)
Endocyte, Inc. (a)
Enzo Biochem, Inc. (a)
Epizyme, Inc. (a)
Esperion Therapeutics, Inc. (a)
Exact Sciences Corp. (a)
Exelixis, Inc. (a)
Fate Therapeutics, Inc. (a)
Shares
14,883
27,191
11,227
2,704
3,237
16,987
13,305
3,058
9,180
16,724
5,650
10,728
8,009
26,423
943
9,573
5,658
2,540
1,665
4,726
2,537
7,740
19,937
12,442
21,543
14,541
1,597
7,488
15,994
7,243
6,599
6,230
2,800
5,926
4,633
3,841
2,663
18,000
6,152
12,029
7,588
26,414
4,500
19,155
6,535
3,758
2,594
9,758
9,157
4,023
2,670
19,556
6,009
1,253
3,751
2,530
2,864
1,169
5,255
2,059
7,477
8,028
6,286
2,194
16,377
34,745
4,030
Value
$
18,753
239,009
17,402
32,854
45,965
25,990
7,185
145,958
11,291
22,577
580,989
67,908
14,016
2,188,881
52,525
34,559
349,099
8,255
4,429
43,905
10,934
8,901
537,502
13,064
1,448
51,475
20,921
20,966
69,574
551,844
12,868
28,658
3,976
263,233
130,419
59,804
27,402
21,600
51,984
87,331
11,610
10,645
24,750
58,997
79,400
41,300
3,917
3,632
165,009
122,018
7,690
26,205
23,736
99,413
46,887
41,062
21,910
13,619
172,574
68,976
19,066
55,714
76,061
27,469
218,797
518,048
10,115
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
15
Schedule of Investments (continued)
Common Stocks
Pharmaceuticals & Biotechnology (continued)
Fibrocell Science, Inc. (a)
FibroGen, Inc. (a)
Five Prime Therapeutics, Inc. (a)
Flex Pharma, Inc. (a)
Flexion Therapeutics, Inc. (a)
Fortress Biotech, Inc. (a)(b)
Foundation Medicine, Inc. (a)
Galena Biopharma, Inc. (a)(b)
Genocea Biosciences, Inc. (a)
Genomic Health, Inc. (a)
GenVec, Inc. (a)
Geron Corp. (a)(b)
Global Blood Therapeutics, Inc. (a)
GTx, Inc. (a)
Halozyme Therapeutics, Inc. (a)
Harvard Bioscience, Inc. (a)
Heat Biologics, Inc. (a)(b)
Hemispherx Biopharma, Inc. (a)
Heron Therapeutics, Inc. (a)
Histogenics Corp. (a)
Horizon Pharma PLC (a)
iBio, Inc. (a)
Idera Pharmaceuticals, Inc. (a)
Ignyta, Inc. (a)
Immune Design Corp. (a)
ImmunoGen, Inc. (a)
Immunomedics, Inc. (a)(b)
Impax Laboratories, Inc. (a)
INC Research Holdings, Inc., Class A (a)
Incyte Corp. (a)
Infinity Pharmaceuticals, Inc. (a)
Innoviva, Inc. (a)
Inotek Pharmaceuticals Corp. (a)
Inovio Pharmaceuticals, Inc. (a)
Insmed, Inc. (a)
Insys Therapeutics, Inc. (a)(b)
Intercept Pharmaceuticals, Inc. (a)
Intrexon Corp. (a)
Invitae Corp., cost $28,390,380) (Acquired 10/08/14,
cost (a)
InVivo Therapeutics Holdings Corp. (a)(b)
Ionis Pharmaceuticals, Inc. (a)
Ironwood Pharmaceuticals, Inc. (a)
IsoRay, Inc. (a)
Jazz Pharmaceuticals PLC (a)
Juniper Pharmaceuticals, Inc. (a)
KalVista Pharmaceuticals, Inc. (a)
Karyopharm Therapeutics, Inc. (a)
KemPharm, Inc. (a)
Keryx Biopharmaceuticals, Inc. (a)(b)
Kite Pharma, Inc. (a)
La Jolla Pharmaceutical Co. (a)
Lannett Co., Inc. (a)(b)
Lexicon Pharmaceuticals, Inc. (a)
Ligand Pharmaceuticals, Inc. (a)
Lion Biotechnologies, Inc. (a)
Loxo Oncology, Inc. (a)
Luminex Corp. (a)
MacroGenics, Inc. (a)
Madrigal Pharmaceuticals, Inc. (a)
MannKind Corp. (a)(b)
Mast Therapeutics, Inc. (a)
Medicines Co. (a)
MediciNova, Inc. (a)(b)
MEI Pharma, Inc. (a)
Merrimack Pharmaceuticals, Inc. (a)
Microbot Medical, Inc. (a)(b)
Shares
4,586
8,044
4,356
2,196
3,651
6,807
2,028
1,385
3,917
2,857
826
25,126
3,298
1,784
17,395
6,840
2,991
5,727
5,286
1,354
24,357
21,015
15,546
6,135
1,494
12,865
20,713
10,889
8,229
26,843
7,013
12,381
3,215
10,866
9,141
3,557
2,687
9,146
Master Extended Market Index Series
Value
$
2,889
172,142
218,279
11,595
69,442
18,379
35,896
2,687
16,138
83,967
2,651
52,011
47,656
9,420
171,863
20,862
2,557
3,950
69,247
2,261
394,096
8,301
23,319
32,516
8,217
26,245
76,017
144,279
432,845
2,691,548
9,468
132,477
19,612
75,410
120,935
32,724
291,943
222,248
4,225
5,769
18,717
19,973
15,938
9,068
2,517
258
3,090
4,202
16,183
6,697
2,049
4,569
6,848
2,895
7,492
1,984
6,445
4,979
558
39,844
50,199
10,582
4,864
8,459
20,058
245
33,546
24,230
895,234
305,387
9,244
988,684
14,095
1,824
29,046
12,396
94,832
300,293
35,919
100,746
94,708
294,161
52,069
63,716
130,382
101,771
8,314
25,369
4,357
359,153
29,330
12,181
81,837
1,495
Common Stocks
Pharmaceuticals & Biotechnology (continued)
MiMedx Group, Inc. (a)
Minerva Neurosciences, Inc. (a)
Mirati Therapeutics, Inc. (a)
Momenta Pharmaceuticals, Inc. (a)
Myriad Genetics, Inc. (a)
NanoString Technologies, Inc. (a)
NantKwest, Inc. (a)
Nektar Therapeutics (a)
Neothetics, Inc. (a)
Neuralstem, Inc. (a)
Neurocrine Biosciences, Inc. (a)
NewLink Genetics Corp. (a)
Novavax, Inc. (a)(b)
Ohr Pharmaceutical, Inc. (a)
Omeros Corp. (a)(b)
Oncocyte Corp. (a)
OncoMed Pharmaceuticals, Inc. (a)
Ophthotech Corp. (a)
OPKO Health, Inc. (a)(b)
Orexigen Therapeutics, Inc. (a)(b)
Organovo Holdings, Inc. (a)
Osiris Therapeutics, Inc. (a)
Otonomy, Inc. (a)
OvaScience, Inc. (a)
Pacific Biosciences of California, Inc. (a)
Pacira Pharmaceuticals, Inc. (a)
Pain Therapeutics, Inc. (a)
Palatin Technologies, Inc. (a)
Paratek Pharmaceuticals, Inc. (a)
PDL BioPharma, Inc.
Peregrine Pharmaceuticals, Inc. (a)
Pernix Therapeutics Holdings, Inc. (a)
Pfenex, Inc. (a)
PharmAthene, Inc. (a)
Portola Pharmaceuticals, Inc. (a)
PRA Health Sciences, Inc. (a)
Prestige Brands Holdings, Inc. (a)
Progenics Pharmaceuticals, Inc. (a)
Proteon Therapeutics, Inc. (a)(b)
Prothena Corp. PLC (a)
pSivida Corp. (a)
PTC Therapeutics, Inc. (a)
Puma Biotechnology, Inc. (a)
Quintiles Transnational Holdings, Inc. (a)
Radius Health, Inc. (a)
Recro Pharma, Inc. (a)
REGENXBIO, Inc. (a)
Regulus Therapeutics, Inc. (a)
Rennova Health, Inc. (a)(b)
Repligen Corp. (a)
Repros Therapeutics, Inc. (a)
Retrophin, Inc. (a)
Revance Therapeutics, Inc. (a)
Rexahn Pharmaceuticals, Inc. (a)
Rigel Pharmaceuticals, Inc. (a)
Sage Therapeutics, Inc. (a)
Sangamo Biosciences, Inc. (a)
Sarepta Therapeutics, Inc. (a)
Sciclone Pharmaceuticals, Inc. (a)
Seattle Genetics, Inc. (a)
Seres Therapeutics, Inc. (a)
Sorrento Therapeutics, Inc. (a)
Spectrum Pharmaceuticals, Inc. (a)
Stemline Therapeutics, Inc. (a)
Sucampo Pharmaceuticals, Inc., Class A (a)
Sunesis Pharmaceuticals, Inc. (a)
Supernus Pharmaceuticals, Inc. (a)
See Notes to Financial Statements.
16
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Shares
15,260
2,856
4,241
9,395
10,288
2,146
4,139
25,270
1,616
17,361
13,195
3,137
41,203
9,287
6,534
478
3,414
4,442
54,705
1,808
12,913
2,766
4,226
5,645
11,755
5,782
8,736
23,498
2,653
23,556
35,720
763
2,551
14,512
8,510
5,912
7,922
10,933
1,374
5,335
6,822
4,711
4,673
20,531
5,619
2,418
3,300
4,368
782
5,025
4,528
5,293
3,551
44,878
16,778
5,160
10,912
7,996
8,444
14,494
3,552
6,112
9,945
3,075
4,244
2,343
7,705
Value
$
135,204
33,558
20,145
141,395
171,501
47,856
23,675
310,063
1,810
4,790
510,646
32,248
51,916
13,931
64,817
3,370
26,322
21,455
508,756
3,146
43,775
13,581
67,193
8,637
44,669
186,759
4,981
11,979
40,856
49,939
11,016
1,480
23,138
47,164
190,964
325,869
412,736
94,461
2,611
262,429
11,666
51,397
143,461
1,561,383
213,691
19,489
61,215
9,828
65
154,870
5,977
100,196
73,506
6,368
39,932
263,470
33,282
219,330
91,195
764,848
35,165
29,949
44,056
32,903
57,506
8,482
194,551
Schedule of Investments (continued)
Common Stocks
Pharmaceuticals & Biotechnology (continued)
Synergy Pharmaceuticals, Inc. (a)
Synthetic Biologics, Inc. (a)(b)
Teligent, Inc. (a)
Tenax Therapeutics, Inc. (a)
Tetraphase Pharmaceuticals, Inc. (a)
TG Therapeutics, Inc. (a)
TherapeuticsMD, Inc. (a)(b)
Theravance Biopharma, Inc. (a)(b)
Threshold Pharmaceuticals, Inc. (a)
Titan Pharmaceuticals, Inc. (a)
Tokai Pharmaceuticals, Inc. (a)
Tonix Pharmaceuticals Holding Corp. (a)
Tracon Pharmaceuticals, Inc. (a)
Trevena, Inc. (a)
Trovagene, Inc. (a)
Trubion Pharmaceuticals, Inc.
Ultragenyx Pharmaceutical, Inc. (a)
United Therapeutics Corp. (a)
Vanda Pharmaceuticals, Inc. (a)
Verastem, Inc. (a)
Versartis, Inc. (a)
Vical, Inc. (a)
Vital Therapies, Inc. (a)(b)
Vivus, Inc. (a)
Voyager Therapeutics, Inc. (a)
WaVe Life Sciences Ltd. (a)
Windtree Therapeutics, Inc. (a)
Xencor, Inc. (a)
XOMA Corp. (a)
ZIOPHARM Oncology, Inc. (a)(b)
Zogenix, Inc. (a)
Shares
26,838
13,497
6,994
1,873
6,125
6,103
25,609
6,417
10,962
3,672
1,487
1,554
1,428
7,025
5,524
3,113
5,955
6,559
6,494
5,333
3,367
2,976
3,761
17,507
1,200
1,603
2,806
6,254
1,089
18,936
4,527
Master Extended Market Index Series
Value
$
163,443
10,293
46,230
3,652
24,684
28,379
147,764
204,574
4,834
14,688
1,454
731
6,997
41,307
11,600
—
418,696
940,757
103,579
5,973
50,168
6,845
16,360
20,133
15,288
41,918
3,479
164,605
4,596
101,308
55,003
33,582,013
Real Estate Investment & Services — 1.5%
AG Mortgage Investment Trust, Inc.
Alexander & Baldwin, Inc.
Altisource Portfolio Solutions SA (a)
American Realty Investors, Inc. (a)(b)
AV Homes, Inc. (a)
Black Knight Financial Services, Inc., Class A (a)
Chimera Investment Corp.
Columbia Property Trust, Inc.
Communications Sales & Leasing, Inc. (a)
Consolidated-Tomoka Land Co.
Dynex Capital, Inc.
Forest City Realty Trust, Inc., Class A
Forestar Group, Inc. (a)
Gaming and Leisure Properties, Inc.
Hannon Armstrong Sustainable Infrastructure Capital,
Inc.
HFF, Inc., Class A
Howard Hughes Corp. (a)
InfraREIT, Inc. (a)
Jones Lang LaSalle, Inc.
Kennedy-Wilson Holdings, Inc.
Marcus & Millichap, Inc. (a)
Maui Land & Pineapple Co., Inc. (a)
Monogram Residential Trust, Inc.
Nationstar Mortgage Holdings, Inc. (a)
Paramount Group, Inc.
QTS Realty Trust, Inc., Class A
RE/MAX Holdings, Inc., Class A
Realogy Holdings Corp.
Reis, Inc.
Rexford Industrial Realty, Inc.
St. Joe Co. (a)
STORE Capital Corp.
4,544
7,453
1,818
1,631
2,544
3,577
25,996
18,064
22,376
1,011
8,841
33,228
4,591
29,459
77,748
334,416
48,341
8,432
40,195
135,211
442,452
390,182
568,574
54,008
60,296
692,472
61,060
902,035
8,464
5,216
5,538
6,218
6,713
13,764
2,728
5,106
26,236
5,186
27,237
7,599
2,929
21,577
1,837
10,138
10,898
23,739
160,731
157,784
631,886
111,364
678,282
282,162
72,892
37,018
283,874
93,659
435,520
377,290
164,024
555,176
40,873
235,100
207,062
586,591
Common Stocks
Real Estate Investment & Services (continued)
Tejon Ranch Co. (a)
Xenia Hotels & Resorts, Inc.
Zillow Group, Inc., Class A (a)
Zillow Group, Inc., Class C (a)
Shares
2,659
15,639
6,744
16,073
Value
$
67,618
303,709
245,819
586,182
10,130,038
Real Estate Investment Trusts (REITs) — 8.7%
Acadia Realty Trust
AGNC Investment Corp.
Agree Realty Corp.
Alexander’s, Inc.
Alexandria Real Estate Equities, Inc.
Altisource Residential Corp.
American Assets Trust, Inc.
American Campus Communities, Inc.
American Homes 4 Rent, Class A
Annaly Capital Management, Inc.
Anworth Mortgage Asset Corp.
Apollo Commercial Real Estate Finance, Inc.
Apple Hospitality REIT, Inc.
Arbor Realty Trust, Inc.
Ares Commercial Real Estate Corp.
Arlington Asset Investment Corp., Class A
Armada Hoffler Properties, Inc.
ARMOUR Residential REIT, Inc.
Ashford Hospitality Prime, Inc.
Ashford Hospitality Trust, Inc.
Blackstone Mortgage Trust, Inc., Class A
Bluerock Residential Growth REIT, Inc.
Brandywine Realty Trust
Brixmor Property Group, Inc.
BRT Realty Trust (a)
Camden Property Trust
Capstead Mortgage Corp.
Care Capital Properties, Inc.
CareTrust REIT, Inc.
Catchmark Timber Trust, Inc., Class A
CBL & Associates Properties, Inc.
Cedar Realty Trust, Inc.
Chatham Lodging Trust
Chesapeake Lodging Trust
CIM Commercial Trust Corp.
Colony Capital, Inc., Class A
Colony Starwood Homes
Condor Hospitality Trust, Inc.
CoreCivic, Inc.
CorEnergy Infrastructure Trust, Inc.
Coresite Realty Corp.
Corporate Office Properties Trust
Cousins Properties, Inc.
CubeSmart
CyrusOne, Inc.
CYS Investments, Inc.
DCT Industrial Trust, Inc.
DDR Corp.
DiamondRock Hospitality Co.
Douglas Emmett, Inc.
Duke Realty Corp.
DuPont Fabros Technology, Inc.
Easterly Government Properties, Inc.
EastGroup Properties, Inc.
Education Realty Trust, Inc.
Empire State Realty Trust, Inc., Class A
EPR Properties
Equity Commonwealth (a)
Equity Lifestyle Properties, Inc.
Equity One, Inc.
12,259
49,652
4,285
498
11,935
9,073
5,923
20,116
34,242
152,007
16,369
10,760
24,383
9,585
6,966
1,883
6,546
5,832
5,078
13,385
14,099
5,761
26,057
40,346
3,601
13,159
13,401
12,635
12,118
7,387
25,400
12,109
6,442
8,980
1,904
16,809
7,490
985
17,915
2,295
5,210
13,663
51,389
27,112
11,372
22,334
13,783
48,692
28,628
21,422
53,050
11,311
4,683
4,835
11,089
18,394
9,827
19,392
12,194
13,874
400,624
900,191
197,324
212,581
1,326,337
100,166
255,163
1,001,173
718,397
1,515,510
84,628
178,831
487,172
71,504
95,643
27,906
95,375
126,496
69,315
103,868
423,957
79,041
430,201
985,249
29,492
1,106,277
136,556
315,875
185,648
83,178
292,100
79,072
132,383
232,223
29,417
340,382
215,787
1,980
438,201
80,050
413,518
426,559
437,320
725,788
508,670
172,642
659,930
743,527
330,081
783,188
1,409,008
496,892
93,754
357,016
469,065
371,375
705,284
586,414
879,187
425,793
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
17
Schedule of Investments (continued)
Common Stocks
Real Estate Investment Trusts (REITs) (continued)
FelCor Lodging Trust, Inc.
First Industrial Realty Trust, Inc.
First Potomac Realty Trust
Franklin Street Properties Corp.
Geo Group, Inc.
Getty Realty Corp.
Gladstone Commercial Corp.
Global Net Lease, Inc.
Government Properties Income Trust
Gramercy Property Trust
Healthcare Realty Trust, Inc.
Healthcare Trust of America, Inc., Class A
Hersha Hospitality Trust
Highwoods Properties, Inc.
Hospitality Properties Trust
Hudson Pacific Properties, Inc.
Independence Realty Trust, Inc.
Invesco Mortgage Capital, Inc.
Investors Real Estate Trust
iStar, Inc. (a)
Kilroy Realty Corp.
Kite Realty Group Trust
LaSalle Hotel Properties
Lexington Realty Trust
Liberty Property Trust
Life Storage, Inc.
LTC Properties, Inc.
Mack-Cali Realty Corp.
Medical Properties Trust, Inc.
MFA Financial, Inc.
Monmouth Real Estate Investment Corp.
MTGE Investment Corp.
National Health Investors, Inc.
National Retail Properties, Inc.
National Storage Affiliates Trust
New Residential Investment Corp.
New Senior Investment Group, Inc.
New York Mortgage Trust, Inc.
New York REIT, Inc.
NexPoint Residential Trust, Inc.
NorthStar Realty Europe Corp.
NorthStar Realty Finance Corp.
Omega Healthcare Investors, Inc.
One Liberty Properties, Inc.
Parkway, Inc. (a)
Pebblebrook Hotel Trust
Pennsylvania Real Estate Investment Trust
PennyMac Mortgage Investment Trust (c)
Physicians Realty Trust
Piedmont Office Realty Trust, Inc., Class A
Potlatch Corp.
Preferred Apartment Communities, Inc., Class A
PS Business Parks, Inc.
Quality Care Properties, Inc. (a)
RAIT Financial Trust
Ramco-Gershenson Properties Trust
Rayonier, Inc.
Redwood Trust, Inc.
Regency Centers Corp.
Resource Capital Corp.
Retail Opportunity Investments Corp.
Retail Properties of America, Inc., Class A
RLJ Lodging Trust
RMR Group, Inc., Class A
Sabra Health Care REIT, Inc.
Saul Centers, Inc.
Select Income REIT
Shares
19,873
17,418
9,864
15,738
11,131
4,438
5,033
27,324
8,160
62,662
16,761
22,778
6,587
15,482
24,756
18,344
13,622
16,844
19,805
11,959
13,909
12,411
16,772
31,494
21,970
6,845
6,172
13,234
48,184
53,544
12,241
7,285
5,939
22,126
6,068
38,156
13,583
18,994
25,678
3,178
9,768
27,321
30,187
3,098
8,271
10,510
10,348
10,450
20,695
20,451
6,073
5,436
2,790
14,098
12,466
12,330
18,797
12,292
15,850
5,570
15,872
36,165
18,148
1,340
9,890
1,841
9,802
Master Extended Market Index Series
Value
$
159,183
488,575
108,208
203,964
399,937
113,125
101,163
213,947
155,570
575,237
508,194
663,068
141,620
789,737
785,755
638,004
121,508
245,922
141,210
147,933
1,018,417
291,410
511,043
340,135
867,815
583,605
289,961
384,051
592,663
408,541
186,553
114,375
440,496
977,969
133,921
599,812
132,978
125,360
259,861
70,997
122,784
413,913
943,646
77,822
184,030
312,672
196,198
171,066
392,377
427,630
252,940
81,051
325,091
218,519
41,886
204,431
500,000
186,961
1,092,857
46,398
335,375
554,409
444,445
52,930
241,514
122,629
247,010
Common Stocks
Real Estate Investment Trusts (REITs) (continued)
Senior Housing Properties Trust
Seritage Growth Properties, Class A (b)
Silver Bay Realty Trust Corp.
Spirit Realty Capital, Inc.
STAG Industrial, Inc.
Starwood Property Trust, Inc.
Summit Hotel Properties, Inc.
Sun Communities, Inc.
Sunstone Hotel Investors, Inc.
Tanger Factory Outlet Centers, Inc.
Taubman Centers, Inc.
Terreno Realty Corp.
Tier REIT, Inc.
Two Harbors Investment Corp.
UMH Properties, Inc.
Universal Health Realty Income Trust
Urban Edge Properties
Urstadt Biddle Properties, Inc., Class A
VEREIT, Inc.
Walter Investment Management Corp. (a)(b)
Washington Prime Group, Inc.
Washington Real Estate Investment Trust
Weingarten Realty Investors
Western Asset Mortgage Capital Corp.
Whitestone REIT
WP Carey, Inc.
QUANTITATIVE MASTER SERIES LLC
35,803
3,458
6,204
73,104
12,673
37,799
13,782
10,279
32,183
14,522
9,740
8,380
7,404
54,500
5,693
1,725
13,543
3,630
150,932
5,793
27,493
10,568
17,562
7,954
5,219
15,958
Value
$
677,751
147,691
106,337
793,909
302,505
829,688
220,925
787,474
490,791
519,597
720,078
238,746
128,756
475,240
85,680
113,143
372,568
87,519
1,276,885
27,517
286,202
345,468
628,544
80,097
75,049
942,958
58,563,809
Software & Computer Services — 7.2%
2U, Inc. (a)
A10 Networks, Inc. (a)
ACI Worldwide, Inc. (a)
Actua Corp. (a)
Alarm.com Holdings, Inc. (a)
Allscripts Healthcare Solutions, Inc. (a)
American Software, Inc., Class A
Angie’s List, Inc. (a)
ANSYS, Inc. (a)
Arista Networks, Inc. (a)
Aspen Technology, Inc. (a)
athenahealth, Inc. (a)
Barracuda Networks, Inc. (a)
Benefitfocus, Inc. (a)
Blackbaud, Inc.
Blucora, Inc. (a)
Boingo Wireless, Inc. (a)
Bottomline Technologies, Inc. (a)
Box, Inc., Class A (a)
Brightcove, Inc. (a)
BroadSoft, Inc. (a)
CACI International, Inc., Class A (a)
Cadence Design Systems, Inc. (a)
Calix, Inc. (a)
Callidus Software, Inc. (a)
Castlight Health, Inc., Class B (a)
CDW Corp.
ChannelAdvisor Corp. (a)
Ciber, Inc. (a)
Cogent Communications Group, Inc.
CommerceHub, Inc., Series A (a)
CommerceHub, Inc., Series C (a)
CommVault Systems, Inc. (a)
Computer Programs & Systems, Inc.
Computer Sciences Corp.
Computer Task Group, Inc.
Cornerstone OnDemand, Inc. (a)
Covisint Corp. (a)
See Notes to Financial Statements.
18
Shares
DECEMBER 31, 2016
6,407
6,913
17,713
6,343
2,074
28,232
5,062
5,706
13,241
6,448
11,975
5,991
4,369
2,324
7,177
6,758
6,907
6,070
9,161
5,883
4,650
3,622
43,480
7,426
10,869
9,141
24,522
4,783
11,476
5,978
2,884
2,799
6,399
1,686
21,262
2,432
7,793
8,788
193,171
57,447
321,491
88,802
57,719
288,249
52,290
46,960
1,224,660
623,973
654,793
630,073
93,628
69,023
459,328
99,681
84,196
151,871
126,971
47,358
191,812
450,215
1,096,566
57,180
182,599
45,248
1,277,351
68,636
7,251
247,190
43,289
42,069
328,909
39,790
1,263,388
10,239
329,722
16,697
Schedule of Investments (continued)
Common Stocks
Software & Computer Services (continued)
CSG Systems International, Inc.
Datalink Corp. (a)
Dell Technologies, Inc., Class V (a)
Determine, Inc. (a)
DeVry Education Group, Inc.
Digimarc Corp. (a)
DST Systems, Inc.
Ebix, Inc.
eGain Corp. (a)
Ellie Mae, Inc. (a)
Endurance International Group Holdings, Inc. (a)
Envestnet, Inc. (a)
EPAM Systems, Inc. (a)
Evolving Systems, Inc.
Fair Isaac Corp.
FalconStor Software, Inc. (a)
FireEye, Inc. (a)
Five9, Inc. (a)
Forrester Research, Inc.
Fortinet, Inc. (a)
Gartner, Inc. (a)
Gigamon, Inc. (a)
GoDaddy, Inc., Class A (a)
Gogo, Inc. (a)(b)
Great Elm Capital Group, Inc. (a)
GSE Systems, Inc. (a)
Guidance Software, Inc. (a)
Guidewire Software, Inc. (a)
Hackett Group, Inc.
Hortonworks, Inc. (a)
HubSpot, Inc. (a)
IAC/InterActiveCorp
Immersion Corp. (a)
Innodata, Inc. (a)
Internap Corp. (a)
IntraLinks Holdings, Inc. (a)
j2 Global, Inc.
Jive Software, Inc. (a)
KEYW Holding Corp. (a)
Leidos Holdings, Inc.
Limelight Networks, Inc. (a)
LivePerson, Inc. (a)
LogMeIn, Inc.
Manhattan Associates, Inc. (a)
Mastech Holdings, Inc. (a)
Match Group, Inc. (a)(b)
Medidata Solutions, Inc. (a)
MeetMe, Inc. (a)
Mentor Graphics Corp.
MicroStrategy, Inc., Class A (a)
Mitek Systems, Inc. (a)
MobileIron, Inc. (a)
Model N, Inc. (a)
Monotype Imaging Holdings, Inc.
Netscout Systems, Inc. (a)
New Relic, Inc. (a)
NIC, Inc.
Nuance Communications, Inc. (a)
Palo Alto Networks, Inc. (a)
Paycom Software, Inc. (a)
PC-Tel, Inc.
PDF Solutions, Inc. (a)
Pegasystems, Inc.
Perficient, Inc. (a)
Premier, Inc., Class A (a)
Progress Software Corp.
Proofpoint, Inc. (a)
Shares
4,927
3,557
34,079
2,985
8,559
1,894
4,914
3,364
1,227
5,282
9,536
6,555
6,794
2,275
4,791
12,659
22,955
6,058
1,630
22,211
12,511
4,621
7,736
8,869
4,587
5,963
4,351
11,713
4,211
6,260
4,668
11,156
5,072
6,741
9,211
6,886
7,099
9,460
6,373
21,458
11,498
8,346
3,829
10,859
1,020
6,727
8,294
8,480
16,704
1,413
6,170
8,172
4,111
6,127
14,040
4,759
9,602
40,375
14,088
6,073
4,538
4,645
5,608
5,910
8,583
7,313
6,680
Master Extended Market Index Series
Value
$
238,467
40,052
1,873,323
5,522
267,041
56,820
526,535
191,916
2,577
441,998
88,685
231,064
436,922
9,328
571,183
5,695
273,164
85,963
70,009
668,995
1,264,487
210,487
270,373
81,772
17,201
20,871
30,805
577,802
74,366
52,021
219,396
722,797
53,915
16,515
14,185
93,099
580,698
41,151
75,138
1,097,362
28,975
63,012
369,690
575,853
6,946
115,032
411,963
41,806
616,211
278,926
37,946
30,645
36,382
121,621
442,260
134,442
229,488
601,587
1,761,704
276,261
24,414
104,745
201,888
103,366
260,580
233,504
471,942
Common Stocks
Software & Computer Services (continued)
PROS Holdings, Inc. (a)
PTC, Inc. (a)
Q2 Holdings, Inc. (a)
QAD, Inc., Class A
QAD, Inc., Class B
Quality Systems, Inc.
Qualys, Inc. (a)
RealPage, Inc. (a)
Rightside Group Ltd. (a)
RigNet, Inc. (a)
RingCentral, Inc., Class A (a)
Rocket Fuel, Inc. (a)
Rosetta Stone, Inc. (a)
Science Applications International Corp.
ServiceNow, Inc. (a)
Shutterstock, Inc. (a)
Silver Spring Networks, Inc. (a)
Smith Micro Software, Inc. (a)
SoftBrands, Inc.
Splunk, Inc. (a)
SPS Commerce, Inc. (a)
Square, Inc., Class A (a)
SS&C Technologies Holdings, Inc.
Support.com, Inc. (a)
Synchronoss Technologies, Inc. (a)
Synopsys, Inc. (a)
Syntel, Inc.
Tableau Software, Inc., Class A (a)
Tangoe, Inc. (a)
TeleNav, Inc. (a)
TiVo Corp. (a)
Twilio, Inc. (a)(b)
Twitter, Inc. (a)
Tyler Technologies, Inc. (a)
Ultimate Software Group, Inc. (a)
Unisys Corp. (a)
Vantiv, Inc., Class A (a)
Varonis Systems, Inc. (a)
VASCO Data Security International, Inc. (a)
Vectrus, Inc. (a)
Veeva Systems, Inc., Class A (a)
Verint Systems, Inc. (a)
VirnetX Holding Corp. (a)(b)
Virtusa Corp. (a)
VMware, Inc., Class A (a)(b)
Web.com Group, Inc. (a)
Workday, Inc., Class A (a)
Workiva, Inc. (a)
Zendesk, Inc. (a)
Zix Corp. (a)
Zynga, Inc., Class A (a)
Shares
4,092
17,897
4,257
906
1,021
6,990
4,507
8,368
2,809
2,435
9,479
5,595
3,678
6,700
25,166
2,987
6,698
3,086
114
20,788
2,618
2,654
26,496
17,347
6,422
23,173
4,141
9,222
4,872
5,854
18,079
3,381
91,654
5,214
4,533
7,423
23,974
2,808
4,683
1,852
15,648
9,491
6,877
4,107
10,948
8,012
18,828
3,410
11,186
10,588
116,831
Value
$
88,060
828,094
122,814
27,542
26,087
91,919
142,647
251,040
23,230
56,370
195,267
9,567
32,771
568,160
1,870,840
141,942
89,150
4,845
—
1,063,306
182,972
36,174
757,786
14,918
245,963
1,363,963
81,950
388,707
38,391
41,271
377,851
97,542
1,493,960
744,403
826,593
110,974
1,429,330
75,254
63,923
44,170
636,874
334,558
15,129
103,168
861,936
169,454
1,244,343
46,547
237,143
52,305
300,256
48,302,183
Support Services — 4.0%
ABM Industries, Inc.
Acacia Research Corp.
Advisory Board Co. (a)
Amdocs Ltd.
AMN Healthcare Services, Inc. (a)
Applied Industrial Technologies, Inc.
ARC Document Solutions, Inc. (a)
Barnes Group, Inc.
Barrett Business Services, Inc.
Bazaarvoice, Inc. (a)
Black Box Corp.
Booz Allen Hamilton Holding Corp.
Brink’s Co.
8,327
8,239
6,250
22,690
7,153
5,724
6,901
7,338
1,189
12,100
2,668
22,760
6,657
340,075
53,554
207,813
1,321,692
275,033
340,006
35,057
347,968
76,215
58,685
40,687
820,953
274,601
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
19
Schedule of Investments (continued)
Common Stocks
Support Services (continued)
Broadridge Financial Solutions, Inc.
Cardtronics PLC, Class A (a)
Cartesian, Inc. (a)
Casella Waste Systems, Inc., Class A (a)
Cass Information Systems, Inc.
CBIZ, Inc. (a)
CDI Corp.
CEB, Inc.
Cenveo, Inc. (a)
Clean Harbors, Inc. (a)
Comfort Systems USA, Inc.
Convergys Corp.
CoreLogic, Inc. (a)
CoStar Group, Inc. (a)
CRA International, Inc.
Crawford & Co., Class B
Cross Country Healthcare, Inc. (a)
Deluxe Corp.
DHI Group, Inc. (a)
DigitalGlobe, Inc. (a)
Donnelley Financial Solutions, Inc. (a)
DXP Enterprises, Inc. (a)
Ennis, Inc.
Essendant, Inc.
Euronet Worldwide, Inc. (a)
Everi Holdings, Inc. (a)
EVERTEC, Inc.
Evolent Health, Inc., Class A (a)
ExlService Holdings, Inc. (a)
ExOne Co. (a)
Exponent, Inc.
First Data Corp., Class A (a)
FleetCor Technologies, Inc. (a)
Franklin Covey Co. (a)
Frontline Capital Group (a)
FTI Consulting, Inc. (a)
G&K Services, Inc., Class A
Genpact Ltd. (a)
GP Strategies Corp. (a)
HD Supply Holdings, Inc. (a)
Heidrick & Struggles International, Inc.
Heritage-Crystal Clean, Inc. (a)
Hudson Global, Inc.
Huron Consulting Group, Inc. (a)
ICF International, Inc. (a)
Imperva, Inc. (a)
InnerWorkings, Inc. (a)
Inovalon Holdings, Inc., Class A (a)
Insperity, Inc.
Jack Henry & Associates, Inc.
Kaman Corp.
Kelly Services, Inc., Class A
Kforce, Inc.
Korn/Ferry International
LifeLock, Inc. (a)
Lionbridge Technologies, Inc. (a)
LSC Communications Inc.
ManpowerGroup, Inc.
MAXIMUS, Inc.
McGrath RentCorp
Mistras Group, Inc. (a)
Mobile Mini, Inc.
ModusLink Global Solutions, Inc. (a)
MSC Industrial Direct Co., Inc., Class A
Navigant Consulting, Inc. (a)
NeuStar, Inc., Class A (a)
Odyssey Marine Exploration, Inc. (a)(b)
Shares
18,185
6,774
2,116
7,582
1,314
9,058
1,891
4,733
1,842
7,847
5,684
14,425
13,193
4,952
1,412
3,693
5,168
7,253
8,680
9,636
3,992
2,735
3,906
5,328
7,929
10,402
9,459
2,726
5,026
1,784
3,885
30,401
14,116
2,677
300
6,259
2,985
20,239
2,813
30,472
2,753
3,226
7,493
3,240
3,065
4,450
7,279
10,521
2,827
11,869
3,995
4,059
3,944
8,464
12,412
10,173
3,992
10,153
9,832
3,639
2,701
6,403
9,568
6,823
7,309
7,934
2,444
Master Extended Market Index Series
Value
$
1,205,665
369,657
1,924
94,093
96,671
124,095
13,993
286,820
12,876
436,686
189,277
354,278
485,898
933,402
51,679
46,384
80,672
519,387
54,250
276,071
91,736
95,014
67,769
111,355
574,297
22,572
167,897
40,345
253,511
16,663
234,266
431,390
1,997,696
53,942
—
282,156
287,903
492,617
80,452
1,295,365
66,485
50,648
10,190
164,106
169,188
170,880
71,698
108,366
200,576
1,053,730
195,475
93,032
91,106
249,096
296,895
59,003
118,483
902,297
548,527
142,612
69,362
193,691
13,969
630,377
191,350
264,996
8,358
Common Stocks
Support Services (continued)
On Assignment, Inc. (a)
Park-Ohio Holdings Corp.
Perma-Fix Environmental Services (a)
Planet Payment, Inc. (a)
Power Solutions International, Inc. (a)(b)
PRGX Global, Inc. (a)
Quad/Graphics, Inc.
Quest Resource Holding Corp. (a)
Resources Connection, Inc.
RPX Corp. (a)
RR Donnelley & Sons Co.
Schnitzer Steel Industries, Inc., Class A
ServiceSource International, Inc. (a)
Sharps Compliance Corp. (a)
StarTek, Inc. (a)
Sykes Enterprises, Inc. (a)
Team, Inc. (a)
TeleTech Holdings, Inc.
Tetra Tech, Inc.
TransUnion (a)
TriNet Group, Inc. (a)
TrueBlue, Inc. (a)
U.S. Ecology, Inc.
UniFirst Corp.
Universal Technical Institute, Inc.
Viad Corp.
WageWorks, Inc. (a)
WEX, Inc. (a)
QUANTITATIVE MASTER SERIES LLC
7,474
1,321
4,810
9,438
815
6,115
4,359
2,241
4,605
8,380
10,646
4,015
10,518
3,499
3,340
5,857
4,703
2,549
8,381
13,936
5,713
6,460
3,348
2,344
3,377
3,107
5,609
5,886
Value
$
330,052
56,275
18,759
38,507
6,113
36,079
117,170
5,490
88,646
90,504
173,743
103,186
59,742
13,401
28,223
169,033
184,593
77,745
361,640
431,040
146,367
159,239
164,554
336,716
9,827
137,019
406,653
656,878
26,964,753
Technology Hardware & Equipment — 4.4%
3D Systems Corp. (a)
Acacia Communications, Inc. (a)(b)
ADTRAN, Inc.
Advanced Energy Industries, Inc. (a)
Advanced Micro Devices, Inc. (a)
Agilysys, Inc. (a)
Alpha & Omega Semiconductor Ltd. (a)
Amkor Technology, Inc. (a)
Amtech Systems, Inc. (a)
Applied Micro Circuits Corp. (a)
Applied Optoelectronics, Inc. (a)
ARRIS International PLC (a)
Axcelis Technologies, Inc. (a)
Brocade Communications Systems, Inc.
Brooks Automation, Inc.
Cabot Microelectronics Corp.
CalAmp Corp. (a)
Cavium, Inc. (a)
CEVA, Inc. (a)
Ciena Corp. (a)
Cirrus Logic, Inc. (a)
Clearfield, Inc. (a)
Cohu, Inc.
CommScope Holding Co., Inc. (a)
Comtech Telecommunications Corp.
Concurrent Computer Corp.
Cray, Inc. (a)
Cree, Inc. (a)
Cypress Semiconductor Corp.
Dataram Corp. (a)(b)
Diebold Nixdorf, Inc.
Digi International, Inc. (a)
Diodes, Inc. (a)
DSP Group, Inc. (a)
Dycom Industries, Inc. (a)
EchoStar Corp., Class A (a)
See Notes to Financial Statements.
20
Shares
DECEMBER 31, 2016
15,956
2,280
7,492
6,210
115,607
3,119
2,913
18,642
2,148
12,769
2,758
28,649
4,811
60,606
10,683
3,590
5,908
10,511
3,467
20,925
9,750
2,370
4,081
29,822
3,715
3,805
6,048
14,947
48,113
297
11,075
4,719
5,690
4,564
4,740
7,058
212,055
140,790
167,446
339,997
1,310,983
32,313
61,960
196,673
9,129
105,344
64,648
863,194
70,000
756,969
182,359
226,780
85,666
656,307
116,318
510,779
551,265
49,059
56,726
1,109,378
44,023
20,357
125,194
394,451
550,413
653
278,536
64,886
146,062
59,560
380,575
362,711
Schedule of Investments (continued)
Common Stocks
Technology Hardware & Equipment (continued)
Electronics for Imaging, Inc. (a)
Emcore Corp.
Entegris, Inc. (a)
ePlus, Inc. (a)
Exar Corp. (a)
Extreme Networks, Inc. (a)
Finisar Corp. (a)
FormFactor, Inc. (a)
GigPeak, Inc. (a)
GSI Technology, Inc. (a)
Harmonic, Inc. (a)
ID Systems, Inc. (a)
Identiv, Inc. (a)
Infinera Corp. (a)
Inphi Corp. (a)
Insight Enterprises, Inc. (a)
Integrated Device Technology, Inc. (a)
InterDigital, Inc.
Intersil Corp., Class A
Intra-Cellular Therapies, Inc. (a)
InvenSense, Inc. (a)
Ixia (a)
IXYS Corp.
Kopin Corp. (a)
Kulicke & Soffa Industries, Inc. (a)
KVH Industries, Inc. (a)
Lantronix, Inc. (a)
Lattice Semiconductor Corp. (a)
Loral Space & Communications, Inc. (a)
LRAD Corp.
Lumentum Holdings, Inc. (a)
Marvell Technology Group Ltd.
Maxim Integrated Products, Inc.
MaxLinear, Inc., Class A (a)
Mercury Systems, Inc. (a)
Microsemi Corp. (a)
MKS Instruments, Inc.
Monolithic Power Systems, Inc.
MoSys, Inc. (a)
Nanometrics, Inc. (a)
NCR Corp. (a)
Neonode, Inc. (a)
NeoPhotonics Corp. (a)
NETGEAR, Inc. (a)
Nimble Storage, Inc. (a)
Oclaro, Inc. (a)
ON Semiconductor Corp. (a)
Optical Cable Corp. (a)
PAR Technology Corp. (a)
ParkerVision, Inc. (a)(b)
PC Connection, Inc.
Pendrell Corp. (a)
Photronics, Inc. (a)
Pixelworks, Inc. (a)
Plantronics, Inc.
Power Integrations, Inc.
Pure Storage, Inc., Class A (a)
Quantum Corp. (a)
QuickLogic Corp. (a)
Qumu Corp. (a)
Rambus, Inc. (a)
Rudolph Technologies, Inc. (a)
ScanSource, Inc. (a)
Seachange International, Inc. (a)
Semtech Corp. (a)
ShoreTel, Inc. (a)
Sigma Designs, Inc. (a)
Shares
7,109
4,624
21,468
1,102
7,831
15,559
16,635
11,782
13,467
4,254
12,042
3,541
3,365
22,378
5,706
5,507
20,498
5,107
20,048
5,242
13,867
10,186
3,911
11,813
10,388
2,945
9,095
19,222
1,784
8,678
8,277
66,222
42,572
8,148
6,091
17,514
8,009
5,621
14,659
4,363
19,117
12,904
4,903
4,903
9,701
20,414
62,736
1,750
3,332
4,644
1,900
2,899
10,897
5,286
5,004
4,369
12,858
45,364
9,826
2,149
16,362
5,365
3,608
7,106
9,792
10,755
6,054
Master Extended Market Index Series
Value
$
311,801
40,229
384,277
126,950
84,418
78,262
503,541
131,958
33,937
26,375
60,210
19,192
10,701
189,989
254,602
222,703
482,933
466,524
447,070
79,102
177,359
163,995
46,541
33,549
165,689
34,751
15,462
141,474
73,233
14,839
319,906
918,499
1,642,002
177,626
184,070
945,231
475,735
460,529
3,373
109,337
775,386
23,743
53,001
266,478
76,832
182,705
800,511
5,600
18,593
8,545
53,371
19,568
123,136
14,801
274,019
296,437
145,424
37,747
13,658
5,115
225,305
125,273
145,583
16,344
308,938
76,898
36,324
Common Stocks
Technology Hardware & Equipment (continued)
Silicon Laboratories, Inc. (a)
Sonic Foundry, Inc. (a)
Sonus Networks, Inc. (a)
Sunworks, Inc. (a)(b)
Super Micro Computer, Inc. (a)
Synaptics, Inc. (a)
SYNNEX Corp.
Systemax, Inc.
Tech Data Corp. (a)
Teradyne, Inc.
Tessera Holding Corp.
TransAct Technologies, Inc.
TransEnterix, Inc. (a)(b)
Ubiquiti Networks, Inc. (a)
Ultra Clean Holdings, Inc. (a)
Ultratech, Inc. (a)
USA Technologies, Inc. (a)
VeriFone Systems, Inc. (a)
ViaSat, Inc. (a)
Viavi Solutions, Inc. (a)
Vocera Communications, Inc. (a)
VOXX International Corp. (a)
West Corp.
Xcerra Corp. (a)
Shares
6,196
2,214
8,411
4,851
6,046
5,190
4,401
1,844
5,204
30,394
7,141
2,692
10,957
3,998
5,086
3,837
7,417
16,285
7,735
36,093
4,197
4,073
7,325
9,468
Value
$
402,740
10,959
52,989
9,702
169,590
278,080
532,609
16,172
440,675
772,008
315,632
17,767
14,244
231,084
49,334
92,011
31,893
288,733
512,212
295,241
77,603
19,143
181,367
72,336
29,374,992
Tobacco — 0.1%
Alliance One International, Inc. (a)
Schweitzer-Mauduit International, Inc.
Universal Corp.
Vector Group Ltd.
1,357
4,407
3,477
14,824
26,054
200,651
221,659
337,098
785,462
Travel & Leisure — 4.9%
Allegiant Travel Co.
AMC Entertainment Holdings, Inc., Class A
Aramark
Avis Budget Group, Inc. (a)
Belmond Ltd., Class A (a)
Biglari Holdings, Inc. (a)
BJ’s Restaurants, Inc. (a)
Bloomin’ Brands, Inc.
Bob Evans Farms, Inc.
Boyd Gaming Corp. (a)
Bravo Brio Restaurant Group, Inc. (a)
Brinker International, Inc.
Buffalo Wild Wings, Inc. (a)
Caesars Entertainment Corp. (a)(b)
Carrols Restaurant Group, Inc. (a)
Century Casinos, Inc. (a)
Cheesecake Factory, Inc.
Choice Hotels International, Inc.
Churchill Downs, Inc.
Chuy’s Holdings, Inc. (a)
Cinemark Holdings, Inc.
ClubCorp Holdings, Inc.
Cracker Barrel Old Country Store, Inc.
Dave & Buster’s Entertainment, Inc. (a)
Del Frisco’s Restaurant Group, Inc. (a)
Del Taco Restaurants, Inc. (a)
Denny’s Corp. (a)
DineEquity, Inc.
Domino’s Pizza, Inc.
Dover Downs Gaming & Entertainment, Inc. (a)
Dover Motorsports, Inc.
Drive Shack, Inc.
Dunkin’ Brands Group, Inc.
1,928
4,521
36,865
13,453
12,500
187
3,216
16,524
3,169
12,688
3,322
7,527
2,751
8,936
6,109
6,355
6,609
5,449
1,973
2,773
16,076
9,819
3,588
5,755
4,306
6,237
12,272
2,576
7,322
6,916
1,592
11,272
14,048
320,819
152,132
1,316,818
493,456
166,875
88,488
126,389
297,928
168,623
255,917
12,624
372,812
424,754
75,956
93,162
52,302
395,747
305,416
296,838
89,984
616,675
140,903
599,124
324,007
73,202
88,066
157,450
198,352
1,165,955
7,123
3,662
42,383
736,677
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
21
Schedule of Investments (continued)
Common Stocks
Travel & Leisure (continued)
El Pollo Loco Holdings, Inc. (a)
Eldorado Resorts, Inc. (a)
Empire Resorts, Inc. (a)(b)
Entertainment Gaming Asia, Inc. (a)
Extended Stay America, Inc.
Famous Dave’s Of America, Inc. (a)
Fiesta Restaurant Group, Inc. (a)
Four Corners Property Trust, Inc.
Full House Resorts, Inc. (a)
Gaming Partners International Corp.
Habit Restaurants, Inc., Class A (a)
Hawaiian Holdings, Inc. (a)
Herc Holdings, Inc. (a)
Hertz Global Holdings, Inc. (a)
Hilton Worldwide Holdings, Inc.
Hyatt Hotels Corp., Class A (a)
ILG, Inc.
International Speedway Corp., Class A
Isle of Capri Casinos, Inc. (a)
J Alexander’s Holdings, Inc. (a)
Jack in the Box, Inc.
Jamba, Inc. (a)
JetBlue Airways Corp. (a)
La Quinta Holdings, Inc. (a)
Las Vegas Sands Corp.
Liberty Braves Group, Class A (a)
Liberty Braves Group, Class C (a)
Liberty Expedia Holdings, Inc., Class A (a)
Liberty TripAdvisor Holdings, Inc., Series A (a)
Luby’s, Inc. (a)
Madison Square Garden Co., Class A (a)
Marcus Corp.
Marriott Vacations Worldwide Corp.
MGM Resorts International (a)
Monarch Casino & Resort, Inc. (a)
Noodles & Co. (a)(b)
Norwegian Cruise Line Holdings Ltd. (a)
Panera Bread Co., Class A (a)
Papa John’s International, Inc.
Penn National Gaming, Inc. (a)
Pinnacle Entertainment, Inc. (a)
Planet Fitness, Inc., Class A
Popeyes Louisiana Kitchen, Inc. (a)
Potbelly Corp. (a)
RCI Hospitality Holdings, Inc.
Reading International, Inc., Class A (a)
Red Lion Hotels Corp. (a)
Red Robin Gourmet Burgers, Inc. (a)
Red Rock Resorts, Inc., Class A
Regal Entertainment Group, Class A
Ruby Tuesday, Inc. (a)
Ruth’s Hospitality Group, Inc.
Ryman Hospitality Properties, Inc.
Sabre Corp.
Scientific Games Corp., Class A (a)
SeaWorld Entertainment, Inc.
Shake Shack, Inc., Class A (a)
Six Flags Entertainment Corp.
SkyWest, Inc.
Sonic Corp.
Speedway Motorsports, Inc.
Spirit Airlines, Inc. (a)
Texas Roadhouse, Inc.
Town Sports International Holdings, Inc. (a)
Travelport Worldwide Ltd.
Travelzoo, Inc. (a)
Vail Resorts, Inc.
Shares
3,382
4,161
827
791
16,667
1,498
4,111
7,624
8,160
1,026
2,486
7,927
3,841
11,270
86,531
6,088
15,784
3,864
3,638
4,126
4,878
3,045
49,327
12,475
55,202
2,717
5,069
8,378
10,940
5,639
2,274
3,067
3,630
73,075
2,088
3,634
24,573
3,349
4,041
11,873
9,766
8,482
3,356
4,799
2,654
2,601
5,052
1,864
4,813
16,050
10,132
4,841
7,679
31,232
7,878
9,937
2,951
12,972
7,663
7,093
1,762
10,544
9,590
5,154
19,914
2,100
6,102
Master Extended Market Index Series
Value
$
41,599
70,529
18,814
1,099
269,172
7,415
122,713
156,444
19,584
12,117
42,884
451,839
154,255
242,981
2,353,643
336,423
286,795
142,195
89,822
44,355
544,580
31,364
1,105,911
177,270
2,948,339
55,671
104,371
332,355
164,647
24,135
390,014
96,611
308,006
2,106,752
53,829
14,899
1,045,090
686,846
345,829
163,729
141,607
170,488
202,971
61,907
45,383
43,177
42,184
105,130
111,613
330,630
32,726
88,590
483,854
779,238
110,292
188,107
105,616
777,801
279,316
188,035
38,183
610,076
462,622
12,885
280,787
19,740
984,314
Common Stocks
Travel & Leisure (continued)
Wendy’s Co.
Wingstop, Inc.
World Wrestling Entertainment, Inc., Class A
Zoe’s Kitchen, Inc. (a)
Shares
30,432
5,041
5,646
3,126
QUANTITATIVE MASTER SERIES LLC
411,441
149,163
103,886
74,993
Beneficial
Interest
(000)
$
Rights — 0.0%
Pharmaceuticals & Biotechnology — 0.0%
Dyax Corp. CVR (Expires 12/31/19) (a)
Technology Hardware & Equipment — 0.0%
Leap Wireless, CVR,
(Expires 07/16/18) (a)
Total Rights — 0.0%
3
—
4
—
4
45
13
—
45
21,860
24,265
8,850
28,099
52,364
Shares
Total Long-Term Investments
(Cost — $431,059,077) — 98.2%
Short-Term Securities
BlackRock T-Fund, Institutional
Class, 0.36% (c)(e)
SL Liquidity Series, LLC, Money Market
Series, 0.95% (c)(e)(f)
Total Short-Term Securities
(Cost — $16,415,631) — 2.4%
659,525,104
10,850,139
10,850,139
5,565,324
5,565,880
Total Investments (Cost — $447,474,708) — 100.6%
Liabilities in Excess of Other Assets — (0.6)%
Net Assets — 100.0%
16,416,019
675,941,123
(4,112,890)
$ 671,828,233
See Notes to Financial Statements.
22
$
32,662,300
659,472,695
Total Common Stocks — 98.2%
Other Interests (d)
Pharmaceuticals & Biotechnology — 0.0%
Merck KGaA
Real Estate Investment Trusts (REITs) — 0.0%
AmeriVest Properties, Inc. (a)
Technology Hardware & Equipment — 0.0%
Gerber Scientific, Inc.
Travel & Leisure — 0.0%
FRD Acquisition Co.
Total Other Interests — 0.0%
Value
DECEMBER 31, 2016
Schedule of Investments (continued)
Master Extended Market Index Series
Notes to Schedule of Investments
(a) Non-income producing security.
(b) Security, or a portion of security, is on loan.
(c) During the year ended December 31, 2016, investments in issuers considered to be affiliates of the Series for purposes of Section 2(a)(3) of the Investment Company Act of
1940, as amended, were as follows:
Shares Held at
December 31,
Affiliate
2015
BlackRock Liquidity Funds, T-Fund, Institutional Class . .
—
BlackRock Liquidity Funds, TempFund, Institutional
Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,610,860
PennyMac Mortgage Investment Trust . . . . . . . . . . . . .
10,450
SL Liquidity Series, LLC, Money Market Series . . . . . . . . 9,970,723
Total
Shares
Sold
Shares Held at
December 31,
2016
10,850,139
Value at
December 31,
2016
$10,850,139
Income
$ 9,814
Realized
Gain
—
(15,610,860)2
—
(4,405,399)2
—
10,450
5,565,324
—
171,066
5,565,880
$16,587,085
35,869
19,646
810,9193
$876,248
—
—
$231
$231
Shares
Purchased
10,850,1391
—
—
—
1
Represents net shares purchased.
Represents net shares sold.
3 Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other
payments to and from borrowers of securities.
(d) Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(e) Current yield as of period end.
(f) Security was purchased with the cash collateral from loaned securities.
2
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Contracts
Long
90
37
Total
Issue
Russell 2000 E-Mini Index
S&P MidCap 400 E-Mini Index
Expiration
March 2017
March 2017
Notional Value
$6,106,050
$6,138,670
Unrealized
Depreciation
$(15,549)
(55,510)
$(71,059)
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statement of Assets and Liabilities were as follows:
Liabilities — Derivative Financial Instruments
Futures contracts . . . . . . . . . .
Net unrealized depreciation1
1
Commodity
Contracts
—
Credit
Contracts
—
Equity
Contracts
$71,059
Foreign
Currency
Exchange
Contracts
—
Interest
Rate
Contracts
—
Other
Contracts
—
Total
$71,059
Includes cumulative depreciation on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
For the year ended December 31, 2016, the effect of derivative financial instruments in the Statement of Operation was as follows:
Commodity
Net Realized Gain (Loss) from:
Contracts
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
Credit
Contracts
—
—
Equity
Contracts
$1,795,920
$
(6,022)
Foreign
Currency
Exchange
Contracts
—
Interest
Rate
Contracts
—
Other
Contracts
—
—
—
—
Total
$1,795,920
$
(6,022)
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
23
Schedule of Investments (continued)
Master Extended Market Index Series
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts:
Average notional value of contracts — long . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $15,718,518
For more information about the Series’ investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Series’ policy regarding valuation of investments
and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Series’ investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1
Assets:
Investments:
Common Stocks:
Aerospace & Defense . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $10,812,177
Alternative Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
716,847
Automobiles & Parts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,791,241
Banks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54,745,786
Beverages . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
550,904
Chemicals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,524,584
Construction & Materials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,717,990
Electricity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8,112,367
Electronic & Electrical Equipment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,419,850
Financial Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,543,238
Fixed Line Telecommunications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,948,913
Food & Drug Retailers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4,479,091
Food Producers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,783,579
Forestry & Paper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,524,762
Gas, Water & Multi-Utilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9,848,281
General Industrials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,415,175
General Retailers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,850,245
Health Care Equipment & Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,981,066
Household Goods & Home Construction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,145,109
Industrial Engineering . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,557,222
Industrial Metals & Mining . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6,396,335
Industrial Transportation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8,550,945
Leisure Goods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5,540,434
Life Insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,293,670
Media . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,924,629
Mining . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3,891,925
Mobile Telecommunications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6,522,852
Nonlife Insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,552,156
Oil & Gas Producers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,528,076
Oil Equipment, Services & Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9,337,213
Personal Goods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6,078,382
Pharmaceuticals & Biotechnology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,582,013
Real Estate Investment & Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,130,038
Real Estate Investment Trusts (REITs) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58,563,809
Software & Computer Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48,302,183
Support Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,964,753
Technology Hardware & Equipment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,374,992
Tobacco . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
785,462
Travel & Leisure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,662,300
Other Interests:
Technology Hardware & Equipment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
Level 2
QUANTITATIVE MASTER SERIES LLC
Total
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
$22,101
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
$10,812,177
716,847
13,791,241
54,745,786
550,904
17,524,584
16,717,990
8,112,367
19,419,850
30,543,238
1,948,913
4,479,091
14,783,579
1,524,762
9,848,281
10,415,175
26,850,245
29,981,066
10,145,109
20,557,222
6,418,436
8,550,945
5,540,434
2,293,670
23,924,629
3,891,925
6,522,852
24,552,156
18,528,076
9,337,213
6,078,382
33,582,013
10,130,038
58,563,809
48,302,183
26,964,753
29,374,992
785,462
32,662,300
—
$45
45
See Notes to Financial Statements.
24
Level 3
DECEMBER 31, 2016
Schedule of Investments (concluded)
Master Extended Market Index Series
Level 1
Rights:
Pharmaceuticals & Biotechnology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
Technology Hardware & Equipment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
Short-Term Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10,850,139
SubTotal
$670,300,733
Level 2
Level 3
Total
—
—
—
$24,265
28,099
—
$
$22,101
$52,409
$670,375,243
Investments valued at NAV1
24,265
28,099
10,850,139
5,565,880
Total
$675,941,123
Derivative Financial Instruments2
Liabilities:
Equity contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $
(71,059)
—
—
$
(71,059)
1
As of December 31, 2016, certain of the Series’ investments were valued using NAV per share as no quoted market value is available and have been excluded from the fair
value hierarchy.
2
Derivative financial instruments are futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
During the year ended December 31, 2016, there were no transfers between levels.
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
25
Statement of Assets and Liabilities
Master Extended Market Index Series
December 31, 2016
Assets
Investments at value — unaffiliated (including securities loaned at value of $5,088,861) (cost — $430,842,503) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $659,354,038
Investments at value — affiliated (cost — $16,632,205) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
16,587,085
Cash pledged for futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
525,700
Receivables:
Dividends — unaffiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
931,603
Contributions from investors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
785,521
Securities lending income — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
40,181
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3,481
Dividends — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3,444
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,312
Total assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
678,233,365
Liabilities
Cash collateral on securities loaned at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Bank overdraft . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Payables:
Contributions to the Master . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Variation margin on futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Directors’ fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Other affiliates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5,565,262
8,670
Total liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6,405,132
523,469
50,151
5,136
5,569
3,661
243,214
Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $671,828,233
Net Assets Consist of
Investors’ capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $443,432,877
Net unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228,395,356
Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $671,828,233
See Notes to Financial Statements.
26
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Statement of Operations
Master Extended Market Index Series
Year Ended December 31, 2016
Investment Income
Dividends — unaffiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 8,964,045
Securities lending — affiliated — net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
810,919
Other income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
96,379
Dividends — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
65,329
Foreign taxes withheld . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(4,811)
Total investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9,931,861
Expenses
Investment advisory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Accounting services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Professional . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Custodian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Directors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Pricing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Printing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
61,284
128,094
69,477
56,243
27,590
26,514
22,143
3,578
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Less:
Fees waived by the Manager . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Fees paid indirectly . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
394,923
(8,730)
(163)
Total expenses after fees waived and paid indirectly . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
386,030
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9,545,831
Realized and Unrealized Gain (Loss)
Net realized gain from:
Investments — unaffiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Investments — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
36,304,303
231
1,795,920
38,100,454
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Investments — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
45,189,750
20,096
(6,022)
45,203,824
Net realized and unrealized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
83,304,278
Net Increase in Net Assets Resulting from Operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $92,850,109
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
27
Statements of Changes in Net Assets
Master Extended Market Index Series
Year Ended December 31,
2016
2015
Increase (Decrease) in Net Assets:
Operations
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9,545,831
Net realized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
38,100,454
Net change in unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
45,203,824
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$ 8,433,717
41,451,801
(71,694,731)
92,850,109
(21,809,213)
Proceeds from contributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Value of withdrawals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
55,281,518
(96,053,186)
74,606,931
(94,072,983)
Net decrease in net assets derived from capital transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(40,771,668)
(19,466,052)
52,078,441
619,749,792
(41,275,265)
661,025,057
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $671,828,233
$619,749,792
Capital Transactions
Net Assets
Total increase (decrease) in net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
See Notes to Financial Statements.
28
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Financial Highlights
Master Extended Market Index Series
2016
Year Ended December 31,
2015
2014
2013
2012
16.07%
(3.32)%
7.66%
37.98%
18.04%
0.06%
0.07%
0.07%1
0.07%
0.10%
0.06%
0.09%
1.32%
1.83%
Total Return
Total return . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Ratios to Average Net Assets
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total expenses after fees waived and paid indirectly . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
0.06%
0.06%
0.07%1
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.56%
1.27%
1.35%1
Net assets, end of year (000) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $671,828
$619,750
$661,025
14%
10%
Supplemental Data
Portfolio turnover rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
13%
$615,867 $398,305
18%
12%
Ratios do not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%.
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
29
Notes to Financial Statements
Master Extended Market Index Series
1. Organization:
Quantitative Master Series LLC (the “Master LLC”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an
open-end management investment company. Master Extended Market Index Series (the “Series”) is a series of the Master LLC. The Series is classified as
diversified. The Master LLC is organized as a Delaware limited liability company. The Master LLC’s Limited Liability Company Agreement permits the Board
of Directors of the Master LLC (the “Board”) to issue non-transferable interests, subject to certain limitations.
The Series, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in
a complex of open-end funds referred to as the Equity-Liquidity Complex.
2. Significant Accounting Policies:
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which
may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from
operations during the reporting period. Actual results could differ from those estimates. The Series is considered an investment company under U.S. GAAP
and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Segregation and Collateralization: In cases where the Series enters into certain investments (e.g., futures contracts) that would be treated as “senior securities” for 1940 Act purposes, the Series may segregate or designate on its books and records cash or liquid assets having a market value at least equal to
the amount of its future obligations under such investments. Doing so allows the investment to be excluded from treatment as a “senior
security.” Furthermore, if required by an exchange or counterparty agreement, the Series may be required to deliver/deposit cash and/or securities to/with
an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
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 date. 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.
Recent Accounting Standard: In April 2015, the Financial Accounting Standards Board issued “Disclosures for Investments in Certain Entities that Calculate Net Asset Value (“NAV”) per Share” which eliminates the requirement to categorize investments within the fair value hierarchy when fair value is based
on the NAV per share and no quoted market value is available. As of December 31, 2016, certain investments of the Series were valued using NAV per
share as no quoted market value was available and have been excluded from the fair value hierarchy.
In November 2016, the Financial Accounting Standards Board issued Accounting Standards Update “Restricted Cash” which will require entities to include
the total of cash, cash equivalents, restricted cash, and restricted cash equivalents in the beginning and ending cash balances in the Statement of Cash
Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those
years. Management is evaluating the impact, if any, of this guidance on the Series presentation in the Statement of Cash Flows.
Indemnifications: In the normal course of business, the Series enters into contracts that contain a variety of representations that provide general
indemnification. The Series’ maximum exposure under these arrangements is unknown because it involves future potential claims against the Series, which
cannot be predicted with any certainty.
Other: Expenses directly related to the Series are charged to the Series. Other operating expenses shared by several funds, including other funds managed
by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
Through May 31, 2016, the Series had an arrangement with its custodian whereby credits were earned on uninvested cash balances, which could be used
to reduce custody fees and/or overdraft charges. Credits previously earned may have been utilized until December 31, 2016. Under current arrangements
effective June 1, 2016, the Series no longer earns credits on uninvested cash, and may incur charges on uninvested cash balances and overdrafts, subject
to certain conditions.
3. Investment Valuation and Fair Value Measurements:
Investment Valuation Policies: The Series’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the
close of trading on the New York Stock Exchange (“NYSE”) generally 4:00 p.m., Eastern time (or if the reporting date falls on a day the NYSE is closed,
investments are valued at fair value as of the period end). U.S. GAAP defines fair value as the price the Series would receive to sell an asset or pay to
transfer a liability in an orderly transaction between market participants at the measurement date. The Series determines the fair values of its financial
instruments using various independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies
Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee
the pricing function for all financial instruments.
30
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Notes to Financial Statements (continued)
Master Extended Market Index Series
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Series’ assets and liabilities:
‰ Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments
traded on more than one exchange, the official closing 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 may be valued at the last available bid (long positions) or ask (short positions) price.
‰ Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.
‰ The Series values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based
upon its pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and
preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments
by a money market fund that is subject to Rule 2a-7 under the 1940 Act.
‰ Futures contracts traded on exchanges are valued at their last sale price.
If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments,
or in the event that the application of these methods of valuation results in a price for an investment that 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 by the Global Valuation Committee, or its delegate, in accordance with
a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation
Committee will include Market approach, Income approach and the Cost approach. Valuation techniques such as discounted cash flow, use of market
comparables and matrix pricing are types of valuation approaches and typically used in determining fair value. When determining the price for Fair Valued
Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that the Series might reasonably expect to receive or pay from
the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that
the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.
The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market
does not exist, including regular due diligence of the Series pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or
disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market
values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof
on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have
been used had an active market existed.
For investments in equity or debt issued by privately-held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair
Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the
following inputs.
Standard Inputs Generally Considered By Third Party Pricing Services
(i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;
(ii) recapitalizations and other transactions across the capital structure; and
(iii) market multiples of comparable issuers.
Income approach . . . . . . . . . . . (i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;
(ii) quoted prices for similar investments or assets in active markets; and
(iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts
and/or default rates.
Cost approach . . . . . . . . . . . . . (i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;
(ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;
(iii) relevant news and other public sources; and
(iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private
Company.
Market approach . . . . . . . . . . .
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of
the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are
used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a
determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its
capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by the Fund. Typically,
the most recently available information by a Private Company is as of a date that is earlier than the date the Fund is calculating its NAV. This factor may
result in a difference between the value of the investment and the price the Fund could receive upon the sale of the investment.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
31
Notes to Financial Statements (continued)
Master Extended Market Index Series
Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation
techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:
‰ Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Series has the ability to access
‰ 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 Series’ own assumptions used in determining the fair value of investments and derivative financial instruments)
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the
lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for
instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its
entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair
Valued investments. Level 3 investments include equity or debt issued by private companies. There may not be a secondary market, and/or there are a
limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount
estimated by the Global Valuation Committee in the absence of market information.
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Series’ policy, transfers
between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value
determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
4. Securities and Other Investments:
Securities Lending: The Series may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower
pledges and maintains with the Series collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by
the U.S. Government. The initial collateral received by the Series is required to have a value of at least 102% of the current value of the loaned securities
for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at
least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day
of the Series and any additional required collateral is delivered to the Series, or excess collateral returned by the Series, on the next business day. During
the term of the loan, the Series is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on 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.
The market value of any securities on loan, all of which were classified as common stocks in the Series’ Schedule of Investments, and the value of any
related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value-unaffiliated, and collateral on
securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash
collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”) if any, is disclosed in the Schedule of Investments.
Securities lending transactions are entered into by the Series under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in
the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the
defaulting party or request additional collateral. In the event that a borrower defaults, the Series, as lender, would offset the market value of the collateral
received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned,
the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose
restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an
event of default, the borrower can resell or re-pledge the loaned securities, and the Series can reinvest cash collateral received in connection with loaned
securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can
resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net
payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
32
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Notes to Financial Statements (continued)
Master Extended Market Index Series
As of period end, the following table is a summary of the Series’ securities lending agreements by counterparty, which are subject to offset under an MSLA:
Counterparty
Barclays Capital, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
BNP Paribas S.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Citigroup Global Markets, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Credit Suisse Securities (USA) LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Deutsche Bank Securities, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Goldman Sachs & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
JP Morgan Securities LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Merrill Lynch, Pierce, Fenner & Smith, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Morgan Stanley . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
National Financial Services LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SG Americas Securities LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
UBS Securities LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Securities
Loaned
at Value
$ 215,207
182,478
1,421,769
97,910
639,809
1,278,497
155,582
260,140
481,388
47,563
50,562
257,956
Cash
Collateral
Received1
$ (215,207)
(182,478)
(1,421,769)
(97,910)
(639,809)
(1,278,497)
(155,582)
(260,140)
(481,388)
(47,563)
(50,562)
(257,956)
Net
Amount
—
—
—
—
—
—
—
—
—
—
—
—
Total
$5,088,861
$(5,088,861)
—
1
Cash collateral with a value of $5,565,262 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned
from the individual counterparty is not shown for financial reporting purposes.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when
due. To mitigate these risks, the Series benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the
securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. The Series 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.
5. Derivative Financial Instruments:
The Series engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Series and/or to manage its
exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g.,
inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted
on an exchange or over-the-counter (“OTC”).
Futures Contracts: The Series invests in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure
to changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate
risk).
Futures contracts are agreements between the Series and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price
and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement
date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Series are required to deposit initial margin with
the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be
maintained at an established level over the life of the contract.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, is shown as cash pledged for futures
contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Series agrees to receive from or pay to the broker an amount of cash
equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation)
and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed,
a realized gain or loss is recorded in the Statement of Operations equal to the difference between the value of the contract at the time it was opened and
the value at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.
6. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.
Investment Advisory: The Master LLC, on behalf of the Series, entered into an Investment Advisory Agreement with the Manager, the Series’ investment
adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory. The Manager is responsible for the management of the Series’
portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Series.
For such services, the Series pays the Manager a monthly fee which is determined by calculating a percentage of the Series’ average daily net assets
based on an annual rate of 0.01%
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
33
Notes to Financial Statements (continued)
Master Extended Market Index Series
Expense Limitations, Waivers and Reimbursements: With respect to the Series, the Manager contractually agreed to waive and/or reimburse fees or
expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund
expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Series’ business (“expense limitation”). The expense limitation
as a percentage of average daily net assets is 0.12%
The Manager has agreed not to reduce or discontinue this contractual expense limitation prior to May 1, 2017, unless approved by the Board, including a
majority of the Directors who are not “interested persons” of the Master LLC, as defined in the 1940 Act, or by a vote of a majority of the outstanding
voting securities of the Series.
With respect to the Series, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Series pays
to the Manager indirectly through its investment in affiliated money market funds. This amount is shown as fees waived by the Manager in the Statement of
Operations. For the year ended December 31, 2016, the amount waived was $8,730.
Effective September 1, 2016, the Manager voluntarily agreed to waive its advisory fee with respect to any portion of the Series’ assets invested in affiliated
equity or fixed-income mutual funds or affiliated exchange-traded funds. Prior to September 1, 2016, the Manager did not waive such fees. This voluntary
waiver may be reduced or discontinued at any time without notice.
For the year ended December 31, 2016, the Series reimbursed the Manager $6,947 for certain accounting services, which is included in accounting services in the Statement of Operations.
Securities Lending: The U.S. Securities and Exchange Commission has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve
as securities lending agent for the Series, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to
securities lending. The Series is responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral
investment expenses”). The cash collateral is invested in a private investment company managed by the Manager or its affiliates. However, BIM has agreed
to cap the collateral investment expenses of the private investment company to an annual rate of 0.04%. The investment adviser to the private investment
company will not charge any advisory fees with respect to shares purchased by the Series.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from
borrowers of securities, and less the collateral investment expenses. The Series retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent. Pursuant to a securities lending agreement, BIM may lend securities only when the
difference between the borrower rebate rate and the risk free rate exceeds a certain level (such securities, the “specials only securities”).
Pursuant to such agreement, the Series retains 80% of securities lending income. In addition, commencing the business day following the date that the
aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, the
Series, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to
85% of securities lending income.
The share of securities lending income earned by the Series is shown as securities lending — affiliated — net in the Statement of Operations. For the year
ended December 31, 2016, the Series paid BIM $202,732 for securities lending agent services.
Officers and Directors: Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.
Other Transactions: The Series may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a
common investment adviser, common officers, or common trustees. For the year ended December 31, 2016, the purchase and sale transactions and any
net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:
Purchases
$2,990,449
Sales
$12,407,469
Net Realized Gain
$3,734,324
7. Purchases and Sales:
For the year ended December 31, 2016, purchases and sales of investments excluding short-term securities were $75,612,524 and $95,439,303
respectively.
8. Income Tax Information:
The Series is classified as a partnership for federal income tax purposes. As such, each investor in the Series is treated as the owner of its proportionate
share of net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no federal income tax provision is required. It
is intended that the Series’ assets will be managed so an investor in the Series can satisfy the requirements of Subchapter M of the Internal Revenue Code
of 1986, as amended.
34
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Notes to Financial Statements (continued)
Master Extended Market Index Series
The Series files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the
Series’ U.S. federal tax returns generally remains open for each of the four years ended December 31, 2016. The statutes of limitations on the Series’ state
and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Series as of December 31, 2016, inclusive of the open tax return years,
and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Series’ financial statements.
As of December 31, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:
Tax cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $450,288,887
Gross unrealized appreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $275,424,608
Gross unrealized depreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (49,772,372)
Net unrealized appreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $225,652,236
9. Bank Borrowings:
The Master LLC, on behalf of the Series, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a
364-day, $2.1 billion credit agreement with a group of lenders. Under this agreement, the Series may borrow to fund shareholder redemptions. Excluding
commitments designated for certain individual funds, the Participating Funds, including the Series, can borrow up to an aggregate commitment amount of
$1.6 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following
terms: a fee of 0.12% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event,
not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from
time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2017 unless extended or renewed. Prior to April 21, 2016, the
credit agreement had a fee per annum of 0.06% on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but,
in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%)
in effect from time to time plus 0.80% per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which, if
applicable, are included in miscellaneous expenses in the Statement of Operations. These fees were allocated among such funds based upon portions of
the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended December 31, 2016, the Series did not
borrow under the credit agreement.
10. Principal Risks:
In the normal course of business, the Series invests in securities and enters into transactions where risks exist due to fluctuations in the market (market
risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities
held by the Series may decline in response to certain events, including those directly involving the issuers of securities owned by the Series. Changes
arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and
price fluctuations, may also affect the securities’ value.
On October 11, 2016, BlackRock implemented certain changes required by amendments to Rule 2a-7 under the 1940 Act, which governs the operations
of U.S. money market funds. The Series may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to
maintain a stable NAV per share of $1.00 and which may be subject to redemption gates or liquidity fees under certain circumstances.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options,
may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect
a particular industry or industries. The Series may invest in illiquid investments and may experience difficulty in selling those investments in a timely
manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market
or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Series’ NAV to experience
significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Series may
lose value, regardless of the individual results of the securities and other instruments in which the Series invests.
Counterparty Credit Risk: Similar to issuer credit risk, the Series may be exposed to counterparty credit risk, or the risk that an entity may fail to or be
unable to perform on its commitments related to unsettled or open transactions. The Series manages counterparty credit risk by entering into transactions
only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those
counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Series’ exposure to market, issuer and counterparty credit risks with respect to these
financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Series.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of
the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
35
Notes to Financial Statements (concluded)
Master Extended Market Index Series
With exchange-traded futures there is less counterparty credit risk to the Series since the exchange or clearinghouse, as counterparty to such instruments,
guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure
of the clearinghouse. While offset rights may exist under applicable law, the Series does not have a contractual right of offset against a clearing broker or
clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to
initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from
their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount
of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s
customers, potentially resulting in losses to the Series.
11. Subsequent Events:
Management has evaluated the impact of all subsequent events on the Series 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.
36
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Report of Independent Public Accounting Firm
To the Board of Directors of Quantitative Master Series LLC and the Shareholders of Master Extended Market Index Series:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master Extended Market Index Series, one
of the series included in Quantitative Master Series LLC (the “Series”) as of December 31, 2016, and the related statement of operations for the year then
ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in
the period then ended. These financial statements and financial highlights are the responsibility of the Series’ management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require
that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material
misstatement. The Series is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits
included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the Series’ internal control over financial reporting. Accordingly, we express no such
opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2016, by correspondence with the custodian and brokers; where replies were not
received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master
Extended Market Index Series of Quantitative Master Series LLC as of December 31, 2016, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended,
in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Boston, Massachusetts
February 16, 2017
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
37
Officers and Directors1
Name, Address2
and Year of Birth
Position(s)
Length
Held with
of Time
the Master LLC Served4
Number of BlackRockAdvised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen
Principal Occupation(s) During Past Five Years
Public Company
and Other
Investment Company
Directorships Held
During Past Five Years
Independent Directors3
Rodney D. Johnson
1941
Chair of the
Board and
Director
Since
2007
President, Fairmount Capital Advisors, Inc. from 1987 to 2013;
Member of the Archdiocesan Investment Committee of the
Archdiocese of Philadelphia from 2004 to 2012; Director, The
Committee of Seventy (civic) from 2006 to 2012; Director, Fox
Chase Cancer Center from 2004 to 2011; Director, The Mainstay
(non-profit) since 2016.
26 RICs consisting of
146 Portfolios
None
Susan J. Carter
1956
Director
Since
2016
Director, Pacific Pension Institute since 2014; Advisory Board
Member, Center for Private Equity and Entrepreneurship at Tuck
School of Business since 1997; Senior Advisor, Commonfund
Capital, Inc. (“CCI”) (investment adviser) in 2015; Chief Executive
Officer, CCI from 2013 to 2014; President & Chief Executive Officer,
CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest
since 2015; Advisory Board Member, Bridges Ventures since 2016;
Trustee, Financial Accounting Foundation since 2017.
26 RICs consisting of
146 Portfolios
None
Collette Chilton
1958
Director
Since
2015
Chief Investment Officer, Williams College since 2006; Chief
Investment Officer, Lucent Asset Management Corporation from
1998 to 2006.
26 RICs consisting of
146 Portfolios
None
Neil A. Cotty
1954
Director
Since
2016
Bank of America Corporation from 1996 to 2015, serving in various 26 RICs consisting of
senior finance leadership roles, including Chief Accounting Officer,
146 Portfolios
from 2009 to 2015, Chief Financial Officer of Global Banking,
Markets and Wealth Management from 2008 to 2009, Chief
Accounting Officer from 2004 to 2008, Chief Financial Officer of
Consumer Bank from 2003 to 2004, Chief Financial Officer of Global
Corporate Investment Bank from 1999 to 2002.
None
Cynthia A. Montgomery
1952
Director
Since
2007
Professor, Harvard Business School since 1989; Director, McLean
Hospital from 2005 to 2012.
26 RICs consisting of
146 Portfolios
Newell Rubbermaid, Inc.
(manufacturing)
Joseph P. Platt
1947
Director
Since
2007
General Partner, Thorn Partners, LP (private investments) since
1998; Director, WQED Multi-Media (public broadcasting not-forprofit) since 2001; Chair, Basic Health International (non-profit)
since 2015.
26 RICs consisting of
146 Portfolios
Greenlight Capital Re, Ltd.
(reinsurance company);
Consol Energy Inc.
Robert C. Robb, Jr.
1945
Director
Since
2007
Partner, Lewis, Eckert, Robb and Company (management and
financial consulting firm) since 1981 and Principal since 2010.
26 RICs consisting of
146 Portfolios
None
Mark Stalnecker
1951
Director
Since
2015
Chief Investment Officer, University of Delaware from 1999 to 2013; 26 RICs consisting of
Trustee, Winterthur Museum and Country Estate from 2001 to 2015; 146 Portfolios
Member of the Investment Committee, Delaware Public Employees’
Retirement System since 2002; Member of the Investment
Committee, Christiana Care Health System since 2009; Member of
the Investment Committee, Delaware Community Foundation from
2013 to 2014; Director, SEI Private Trust Co. from 2001 to 2014.
None
Kenneth L. Urish
1951
Director
Since
2007
Managing Partner, Urish Popeck & Co., LLC (certified public
26 RICs consisting of
accountants and consultants) since 1976; Past-Chairman of the
146 Portfolios
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 founding in 2001; Principal,
UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee,
The Holy Family Institute from 2001 to 2010; President and Trustee,
Pittsburgh Catholic Publishing Associates from 2003 to 2008;
Director, Inter-Tel from 2006 to 2007.
None
Claire A. Walton
1957
Director
Since
2016
Chief Operating Officer and Chief Financial Officer of Liberty Square 26 RICs consisting of
Asset Management, LP from 1998 to 2015; General Partner of Neon 146 Portfolios
Liberty Capital Management, LLC since 2003; Director, Boston
Hedge Fund Group since 2009; Director, Woodstock Ski Runners
since 2013; Director, Massachusetts Council on Economic
Education from 2013 to 2015.
None
38
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Officers and Directors1 (continued)
Name, Address2
and Year of Birth
Position(s)
Length
Held with
of Time
the Master LLC Served4
Number of BlackRockAdvised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen
Principal Occupation(s) During Past Five Years
Public Company
and Other
Investment Company
Directorships Held
During Past Five Years
Independent Directors3 (concluded)
Frederick W. Winter
1945
Director
Since
2007
Director, Alkon Corporation since 1992; Dean Emeritus of the Joseph 26 RICs consisting of
M. Katz School of Business, University of Pittsburgh, Dean and
146 Portfolios
Professor from 1997 to 2005, Professor until 2013.
None
Barbara G. Novick
1960
Director
Since
2015
Vice Chairman of BlackRock, Inc. since 2006; Chair of BlackRock’s
Government Relations Steering Committee since 2009; Head of the
Global Client Group of BlackRock, Inc. from 1988 to 2008.
100 RICs consisting of
220 Portfolios
None
John M. Perlowski
1964
Director,
President and
Chief Executive
Officer
Since 2015
(Director);
Since 2010
(President and
Chief Executive
Officer)
Managing Director of BlackRock, Inc. since 2009; Head of
BlackRock Global Fund & Accounting Services 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;
Advisory Director of Goldman Sachs Offshore Funds from 2002 to
2009; Director of Family Resource Network (charitable foundation)
since 2009.
128 RICs consisting of
318 Portfolios
None
Interested Directors5
1
2
3
4
5
As of February 16, 2017.
The address of each Director is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
Independent Directors serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board has
determined to extend the terms of Independent Directors on a case-by-case basis, as appropriate.
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 Independent Directors as joining the Board in 2007, those Independent Directors first became members of the boards of other legacy
MLIM or legacy BlackRock funds as follows: Rodney D. Johnson, 1995; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1999;
Kenneth L. Urish, 1999; and Frederick W. Winter, 1999.
Ms. Novick and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Master LLC based on their positions with BlackRock and
its affiliates. Mr. Perlowski and Ms. Novick are also board members of certain complexes of BlackRock registered open-end and closed-end funds. Mr.
Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Closed-End Complex, and Ms. Novick is a board member of
the BlackRock Closed-End Complex.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
39
Officers and Directors (concluded)
Name, Address1
and Year of Birth
Position(s)
Length
Held with
of Time
the Master LLC Served
Principal Occupation(s) During Past Five Years
Officers Who Are Not Directors2
Jennifer McGovern
1977
Vice President
Since
2014
Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Product Structure
and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013; Vice President of BlackRock, Inc. from 2008 to 2010.
Neal J. Andrews
1966
Chief Financial
Officer
Since
2007
Managing Director of BlackRock, Inc. 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 M. Fife
1970
Treasurer
Since
2007
Managing Director of BlackRock, Inc. since 2007; Director of BlackRock, Inc. 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.
Charles Park
1967
Chief
Compliance
Officer
Since
2014
Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity
Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the
BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex since 2014;
Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors
(“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief
Compliance Officer for BlackRock Asset Management International Inc. since 2012.
Fernanda Piedra
1969
Anti-Money
Laundering
Compliance
Officer
Since
2015
Director of BlackRock, Inc. since 2014; Anti-Money Laundering Compliance Officer and Regional Head of Financial Crime for
the Americas at BlackRock, Inc. since 2014; Head of Regulatory Changes and Remediation for the Asset Wealth Management
Division of Deutsche Bank from 2010 to 2014; Vice President of Goldman Sachs (Anti-Money Laundering/Suspicious
Activities Group) from 2004 to 2010.
Benjamin Archibald
1975
Secretary
Since
2012
Managing Director of BlackRock, Inc. since 2014; Director of BlackRock, Inc. from 2010 to 2013; Secretary of the iShares®
exchange traded funds since 2015; Secretary of the BlackRock-advised mutual funds since 2012.
1
2
The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
Officers of the Master LLC serve at the pleasure of the Board.
Further information about the Officers and Directors is available in the Master LLC’s Statement of Additional Information, which can be obtained without charge by
calling (800) 441-7762.
Effective December 31, 2016, David O. Beim and Dr. Matina S. Horner resigned as Directors of the Master LLC.
Investment Adviser
BlackRock Advisors, LLC
Wilmington, DE 19809
40
QUANTITATIVE MASTER SERIES LLC
Accounting Agent and
Custodian
State Street Bank and
Trust Company
Boston, MA 02110
Legal Counsel
Sidley Austin LLP
New York, NY 10019
Independent Registered
Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Address of the Series
100 Bellevue Parkway
Wilmington, DE 19809
DECEMBER 31, 2016
Additional Information
Availability of Quarterly Schedule of Investments
The Series files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms
N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington,
D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by
calling (800) SEC-0330. The Series’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Series uses to determine how to vote proxies relating to portfolio securities is available upon request
and without charge (1) by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.
Availability of Proxy Voting Record
Information about how the Series voted proxies relating to securities held in the Series’ portfolio during the most recent 12-month period ended June 30 is
available upon request and without charge (1) at http://www.blackrock.com; or by calling (800) 441-7762; and (2) on the SEC’s website at
http://www.sec.gov.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
41
[THIS PAGE INTENTIONALLY LEFT BLANK]
Portfolio Management Commentary
How did the Series perform?
‰
For the 12-month period ended December 31, 2016, Master Extended
Market Index Series (the “Series”), a series of Quantitative Master Series
LLC, returned 16.07% while the benchmark Dow Jones U.S. Completion
Total Stock Market Index (the “Benchmark Index”) returned 15.75%.
Describe the market environment.
‰ The year started with U.S. stock prices falling due to fears of a global
economic slowdown, oil prices cratering, and terrorist attacks in Istanbul,
Jakarta, and Pakistan. Domestic equity markets rebounded in the second
quarter of 2016, despite increased volatility in June from the “Brexit”, i.e.,
the United Kingdom’s vote to leave the European Union.
‰ U.S. equities capitalized on the upward momentum from their second
quarter rally, which continued through the second half of the reporting
period, driven by a dovish Fed that kept rates unchanged and strongerthan-expected earnings releases versus analyst expectations. The U.S.
economy continued to strengthen into the fourth quarter as seen by strong
macro data and tightening of the U.S. labor market. As such, the Fed’s
Master Extended Market Index Series
decision to raise rates by 25 basis points at the end of the reporting
period did not come as a big surprise.
‰ The U.S. election and the Fed were front and center in 2016. The year
started with an increase in volatility as investors prepared for a possible
Fed rate increase, and weighed probable outcomes of the U.S. election. While many people were shocked by the Trump win, markets did not
experience the same type of volatility seen after the Brexit vote, with
major U.S. indexes posting solid gains in November.
Describe recent portfolio activity.
‰ During the period, as changes were made to the composition of the
Benchmark Index, the Series purchased and sold securities to maintain
its objective of matching the performance of the Benchmark Index as
closely as possible before the deduction of Series expenses.
Describe portfolio positioning at period end.
‰ The Series remains positioned to attempt to match the risk characteristics
of the Benchmark Index, irrespective of the market’s future direction.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These
views are not intended to be a forecast of future events and are no guarantee of future results.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
1
Portfolio Information as of December 31, 2016
Master Extended Market Index Series
Percent of
Net Assets
Sector Allocation
Financials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Information Technology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Consumer Discretionary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Industrials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Health Care . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Real Estate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Materials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Consumer Staples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Utilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Telecommunications Services . . . . . . . . . . . . . . . . . . . . . . . . . .
Short-Term Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Liabilities in Excess of Other Assets . . . . . . . . . . . . . . . . . . . . . .
18%
17
14
13
10
9
6
4
4
3
1
2
(1)
For Series compliance purposes, the Series’ sector classifications refer to 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 the investment
adviser. These definitions may not apply for purposes of this report, which may
combine such sector sub-classifications for reporting ease.
Derivative Financial Instruments
The Series may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market,
and/or other asset without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity,
credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic
leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible
default of the counterparty to the transaction or illiquidity of the instrument. The Series’ successful use of a derivative financial instrument depends on the
investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses
greater than if they had not been used, may limit the amount of appreciation the Series can realize on an investment and/or may result in lower distributions paid to shareholders. The Series’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
2
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Schedule of Investments December 31, 2016
Master Extended Market Index Series
(Percentages shown are based on Net Assets)
Common Stocks
Aerospace & Defense — 1.6%
AAR Corp.
Aerojet Rocketdyne Holdings, Inc. (a)
Aerovironment, Inc. (a)
American Outdoor Brands Corp. (a)
Astronics Corp. (a)
B/E Aerospace, Inc.
BWX Technologies, Inc.
CPI Aerostructures, Inc. (a)
Cubic Corp.
Curtiss-Wright Corp.
Ducommun, Inc. (a)
Engility Holdings, Inc. (a)
Esterline Technologies Corp. (a)
HEICO Corp.
HEICO Corp., Class A
Hexcel Corp.
Huntington Ingalls Industries, Inc.
Innovative Solutions & Support, Inc. (a)
KLX, Inc. (a)
Kratos Defense & Security Solutions, Inc. (a)
LMI Aerospace, Inc. (a)
Mantech International Corp., Class A
Moog, Inc., Class A (a)
Orbital ATK, Inc.
RBC Bearings, Inc. (a)
Spirit Aerosystems Holdings, Inc., Class A
Sturm Ruger & Co., Inc.
Taser International, Inc. (a)
Teledyne Technologies, Inc. (a)
Triumph Group, Inc.
VSE Corp.
Shares
4,851
10,910
3,384
8,805
3,613
15,620
15,015
2,281
3,758
6,672
1,874
2,637
4,377
3,308
5,544
13,909
7,025
4,600
8,765
7,970
2,720
3,813
4,945
8,889
3,670
19,601
2,841
8,193
5,328
7,487
1,288
Value
$
160,326
195,835
90,793
185,609
122,264
940,168
596,095
21,099
180,196
656,258
47,899
88,867
390,428
255,212
376,438
715,479
1,293,935
15,318
395,389
58,978
23,446
161,099
324,788
779,832
340,613
1,143,718
149,721
198,598
655,344
198,406
50,026
10,812,177
Alternative Energy — 0.1%
Aemetis, Inc. (a)(b)
Amyris, Inc. (a)
Enphase Energy, Inc. (a)
FuelCell Energy, Inc. (a)(b)
Green Brick Partners, Inc. (a)
Green Plains, Inc.
MagneGas Corp. (a)(b)
Ocean Power Technologies, Inc. (a)(b)
Pattern Energy Group, Inc.
Plug Power, Inc. (a)(b)
Renewable Energy Group, Inc. (a)
REX American Resources Corp. (a)
SolarEdge Technologies, Inc. (a)
SunPower Corp. (a)(b)
TerraVia Holdings, Inc. (a)
3,787
8,820
5,033
6,237
3,198
5,207
3,416
1,146
10,166
35,694
5,257
921
4,302
9,200
13,122
5,264
6,438
5,083
10,915
32,140
145,015
1,537
3,381
193,052
42,833
50,993
90,949
53,345
60,812
15,090
716,847
Automobiles & Parts — 2.0%
Adient PLC (a)
Allison Transmission Holdings, Inc.
American Axle & Manufacturing Holdings, Inc. (a)
Autoliv, Inc.
Cooper Tire & Rubber Co.
Cooper-Standard Holding, Inc. (a)
Dana, Inc.
Dorman Products, Inc. (a)
Federal-Mogul Holdings Corp. (a)
Gentex Corp.
Gentherm, Inc. (a)
14,214
25,197
11,370
13,229
8,072
2,832
21,805
4,690
4,135
43,484
5,419
832,940
848,887
219,441
1,496,861
313,597
292,772
413,859
342,651
42,632
856,200
183,433
Common Stocks
Automobiles & Parts (continued)
Lear Corp.
Modine Manufacturing Co. (a)
Motorcar Parts of America, Inc. (a)
Standard Motor Products, Inc.
Stoneridge, Inc. (a)
Strattec Security Corp.
Superior Industries International, Inc.
Tenneco, Inc. (a)
Tesla Motors, Inc. (a)
Titan International, Inc.
Tower International, Inc.
U.S. Auto Parts Network, Inc. (a)
Visteon Corp.
WABCO Holdings, Inc. (a)
Shares
10,615
7,896
2,943
2,952
4,259
573
3,414
8,465
18,887
6,931
3,363
3,527
5,070
7,941
Value
$
1,405,108
117,650
79,226
157,105
75,342
23,092
89,959
528,809
4,035,963
77,697
95,341
12,415
407,324
842,937
13,791,241
Banks — 8.1%
1st Source Corp.
American National Bankshares, Inc.
Ameris Bancorp
Ames National Corp.
Arrow Financial Corp.
Associated Banc-Corp
Astoria Financial Corp.
Banc of California, Inc.
Bancfirst Corp.
Bancorp of New Jersey, Inc.
Bancorp, Inc. (a)
BancorpSouth, Inc.
Bank Mutual Corp.
Bank of Hawaii Corp.
Bank of Marin Bancorp
Bank of the Ozarks, Inc.
BankFinancial Corp.
BankUnited, Inc.
Banner Corp.
Bar Harbor Bankshares
BCB Bancorp, Inc.
Bear State Financial, Inc.
Beneficial Bancorp, Inc.
Berkshire Hills Bancorp, Inc.
Blue Hills Bancorp, Inc.
BNC Bancorp
BofI Holding, Inc. (a)
BOK Financial Corp.
Boston Private Financial Holdings, Inc.
Bridge Bancorp, Inc.
Brookline Bancorp, Inc.
Bryn Mawr Bank Corp.
California First National Bancorp
Camden National Corp.
Capital Bank Financial Corp., Class A
Capital City Bank Group, Inc.
Capitol Federal Financial, Inc.
Cardinal Financial Corp.
Cascade Bancorp (a)
Cathay General Bancorp
Centerstate Banks, Inc.
Central Pacific Financial Corp.
Century Bancorp, Inc., Class A
Chemical Financial Corp.
Citizens & Northern Corp.
City Holding Co.
2,766
2,205
5,413
2,125
2,793
22,147
13,130
7,769
1,354
2,128
11,498
12,804
7,238
6,345
1,247
13,749
3,939
16,457
4,201
1,552
3,436
4,309
12,021
4,850
5,873
8,031
8,936
3,310
12,591
3,096
11,463
2,983
882
2,953
4,906
2,343
18,668
5,232
7,559
11,246
7,831
5,395
997
10,846
2,833
2,469
123,530
76,734
236,007
70,125
113,117
547,031
244,874
134,792
125,990
28,728
90,374
397,564
68,399
562,738
86,978
723,060
58,376
620,264
234,458
73,456
44,668
43,736
221,186
178,722
110,119
256,189
255,123
274,862
208,381
117,338
187,993
125,733
13,803
131,261
192,560
47,985
307,275
171,557
61,379
427,685
197,106
169,511
59,820
587,528
74,225
166,904
Portfolio Abbreviations
S&P
Standard and Poor’s
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
3
Schedule of Investments (continued)
Common Stocks
Banks (continued)
Civista Bancshares, Inc.
Clifton Bancorp, Inc.
CNB Financial Corp.
CoBiz Financial, Inc.
Colony Bankcorp, Inc. (a)
Columbia Banking System, Inc.
Commerce Bancshares, Inc.
Community Bank System, Inc.
Community Trust Bancorp, Inc.
ConnectOne Bancorp, Inc.
Cullen/Frost Bankers, Inc.
Customers Bancorp, Inc. (a)
CVB Financial Corp.
Dime Community Bancshares, Inc.
Eagle Bancorp, Inc. (a)
East West Bancorp, Inc.
Eastern Virginia Bankshares, Inc.
Enterprise Bancorp, Inc.
Enterprise Financial Services Corp.
ESSA Bancorp, Inc.
Farmers Capital Bank Corp.
FCB Financial Holdings, Inc., Class A (a)
Fidelity Southern Corp.
Financial Institutions, Inc.
First Bancorp, Inc.
First Bancorp, North Carolina
First BanCorp, Puerto Rico (a)
First Busey Corp.
First Citizens BancShares, Inc., Class A
First Commonwealth Financial Corp.
First Community Bancshares, Inc.
First Connecticut Bancorp, Inc.
First Defiance Financial Corp.
First Financial Bancorp
First Financial Bankshares, Inc.
First Financial Corp.
First Financial Northwest, Inc.
First Hawaiian, Inc.
First Horizon National Corp.
First Interstate Bancsystem, Inc., Class A
First Merchants Corp.
First Midwest Bancorp, Inc.
First NBC Bank Holding Co. (a)
First of Long Island Corp.
First Republic Bank
First South Bancorp, Inc.
First United Corp. (a)
Flagstar Bancorp, Inc. (a)
Flushing Financial Corp.
FNB Corp.
Fulton Financial Corp.
German American Bancorp, Inc.
Glacier Bancorp, Inc.
Great Southern Bancorp, Inc.
Great Western Bancorp, Inc.
Greene County Bancshares, Inc.
Guaranty Bancorp
Hancock Holding Co.
Hanmi Financial Corp.
HarborOne Bancorp, Inc. (a)
Heartland Financial USA, Inc.
Heritage Commerce Corp.
Heritage Financial Corp.
HMN Financial, Inc. (a)
Home Bancorp, Inc.
Home BancShares, Inc.
HomeStreet, Inc. (a)
Shares
1,968
4,768
2,894
6,271
463
8,927
13,261
6,838
2,821
4,852
8,679
4,665
15,007
5,246
4,741
22,021
2,546
1,672
3,377
3,300
1,739
6,311
3,947
2,741
2,552
3,740
21,981
5,356
1,356
13,854
3,087
3,182
1,683
9,739
10,240
2,125
2,323
3,770
35,537
3,341
6,558
12,439
2,797
4,315
23,194
3,052
2,396
3,391
4,602
31,145
26,033
2,419
11,462
2,007
9,153
3,466
3,022
11,721
5,135
6,258
3,267
5,501
5,517
1,907
1,783
18,592
3,639
Master Extended Market Index Series
Value
$
38,238
80,675
77,386
105,917
6,112
398,858
766,618
422,520
139,922
125,909
765,748
167,100
344,111
105,445
288,964
1,119,327
26,606
62,800
145,211
51,876
73,125
301,035
93,425
93,742
84,471
101,504
145,294
164,858
481,380
196,450
93,042
72,072
85,395
277,075
462,848
112,200
45,856
131,271
711,095
142,160
246,909
313,836
20,418
123,193
2,137,095
36,471
38,216
91,354
135,253
499,254
489,420
127,264
415,268
109,683
398,979
—
73,132
505,175
179,211
121,030
156,816
79,379
142,063
33,373
68,842
516,300
114,992
Common Stocks
Banks (continued)
HomeTrust Bancshares, Inc. (a)
Hope Bancorp, Inc.
Horizon Bancorp
Iberiabank Corp.
Independent Bank Corp.
Independent Bank Group, Inc.
International Bancshares Corp.
Investors Bancorp, Inc.
Kearny Financial Corp.
Lakeland Bancorp, Inc.
Lakeland Financial Corp.
LegacyTexas Financial Group, Inc.
Macatawa Bank Corp.
MainSource Financial Group, Inc.
MB Financial, Inc.
Mercantile Bank Corp.
Merchants Bancshares, Inc.
Meridian Bancorp, Inc.
Meta Financial Group, Inc.
MidSouth Bancorp, Inc.
MidWestOne Financial Group, Inc.
MutualFirst Financial, Inc.
National Bank Holdings Corp., Class A
National Bankshares, Inc.
NBT Bancorp, Inc.
New York Community Bancorp, Inc.
Northfield Bancorp, Inc.
Northrim BanCorp, Inc.
Northwest Bancshares, Inc.
Norwood Financial Corp.
OceanFirst Financial Corp.
OFG Bancorp
Ohio Valley Banc Corp. (b)
Old National Bancorp
Old Second Bancorp, Inc.
Opus Bank
Oritani Financial Corp.
Orrstown Financial Services, Inc.
Pacific Continental Corp.
Pacific Premier Bancorp, Inc. (a)
PacWest Bancorp
Park National Corp.
Park Sterling Corp.
Peapack Gladstone Financial Corp.
Penns Woods Bancorp, Inc.
Peoples Bancorp of North Carolina, Inc.
Peoples Bancorp, Inc.
Peoples Financial Corp. (a)
Pinnacle Financial Partners, Inc.
Popular, Inc.
Porter Bancorp, Inc. (a)
Preferred Bank
PrivateBancorp, Inc.
Prosperity Bancshares, Inc.
Provident Financial Holdings, Inc.
Provident Financial Services, Inc.
QCR Holdings, Inc.
Renasant Corp.
Republic Bancorp, Inc., Class A
Republic First Bancorp, Inc. (a)
Riverview Bancorp, Inc.
S&T Bancorp, Inc.
Sandy Spring Bancorp, Inc.
Seacoast Banking Corp. of Florida (a)
ServisFirst Bancshares, Inc.
Shore Bancshares, Inc.
Sierra Bancorp
See Notes to Financial Statements.
4
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Shares
3,223
19,879
3,930
6,713
8,552
1,902
8,860
46,137
14,266
6,993
4,198
6,540
6,531
4,056
10,674
3,191
1,379
8,210
1,405
2,061
1,932
1,697
4,215
1,700
6,847
73,392
7,214
1,757
15,090
1,347
5,201
7,031
1,099
21,036
6,505
3,144
6,327
2,093
3,946
4,390
18,500
2,061
9,934
2,519
1,209
1,497
3,210
1,245
6,503
15,449
1,229
2,333
12,060
10,420
2,303
9,234
2,381
6,481
1,667
9,649
5,394
5,620
3,931
5,628
7,126
3,680
2,508
Value
$
83,476
435,151
110,040
562,214
396,715
118,685
361,488
643,611
221,836
136,364
198,817
281,612
67,988
139,526
504,133
120,301
74,742
155,169
144,575
28,030
72,643
56,171
134,416
73,865
286,752
1,167,667
144,064
55,521
272,073
44,640
156,186
92,106
29,893
381,803
71,880
94,477
118,631
46,883
86,220
155,186
1,007,140
246,619
107,188
77,787
61,055
37,530
104,197
20,107
450,658
676,975
15,141
122,296
653,531
747,948
46,567
261,322
103,097
273,628
65,913
80,569
37,758
219,405
157,201
124,154
266,797
56,120
66,688
Schedule of Investments (continued)
Common Stocks
Banks (continued)
Signature Bank (a)
Simmons First National Corp., Class A
South State Corp.
Southside Bancshares, Inc.
Southwest Bancorp, Inc.
State Bank Financial Corp.
Sterling Bancorp
Stock Yards Bancorp, Inc.
Stonegate Bank
Suffolk Bancorp
Summit Financial Group, Inc. (b)
Sun Bancorp, Inc.
SVB Financial Group (a)
Synovus Financial Corp.
TCF Financial Corp.
Territorial Bancorp, Inc.
Texas Capital Bancshares, Inc. (a)
TFS Financial Corp.
Tompkins Financial Corp.
TowneBank
Trico Bancshares
TrustCo Bank Corp. NY
Trustmark Corp.
UMB Financial Corp.
Umpqua Holdings Corp.
Union Bankshares Corp.
United Bancorp, Inc.
United Bankshares, Inc.
United Community Banks, Inc.
United Community Financial Corp.
United Financial Bancorp, Inc.
United Security Bancshares (a)
Univest Corp. of Pennsylvania
Valley National Bancorp
Washington Federal, Inc.
Washington Trust Bancorp, Inc.
Waterstone Financial, Inc.
Webster Financial Corp.
WesBanco, Inc.
West BanCorp., Inc.
Westamerica BanCorp
Western Alliance Bancorp (a)
Western New England Bancorp, Inc.
Wintrust Financial Corp.
WSFS Financial Corp.
Xenith Bankshares, Inc. (a)
Yadkin Financial Corp.
Shares
8,204
4,484
3,796
4,104
3,696
5,894
19,874
3,828
2,415
2,100
2,289
2,292
7,951
19,003
25,532
2,198
7,471
9,927
2,027
8,811
3,317
14,741
10,227
6,522
33,031
7,003
3,115
10,188
11,340
9,075
8,517
4,172
4,547
38,204
13,426
2,472
4,794
13,987
6,370
3,190
4,025
14,629
7,717
7,733
4,170
1,536
8,345
Master Extended Market Index Series
Value
$
1,232,241
278,681
331,770
154,598
107,184
158,313
465,052
179,725
100,778
89,922
63,016
59,592
1,364,869
780,643
500,172
72,182
585,726
189,010
191,633
292,966
113,375
128,984
364,593
502,977
620,322
250,287
42,053
471,195
335,891
81,131
154,669
32,335
140,502
444,695
461,183
138,556
88,210
759,214
274,292
78,793
253,293
712,579
72,154
561,184
193,279
43,315
285,900
Common Stocks
Chemicals (continued)
Calgon Carbon Corp.
Cambrex Corp. (a)
Celanese Corp., Series A
Chase Corp.
Chemours Co.
Chemtura Corp. (a)
CSW Industrials, Inc. (a)
Ferro Corp. (a)
FutureFuel Corp.
GCP Applied Technologies, Inc. (a)
Hawkins, Inc.
HB Fuller Co.
Huntsman Corp.
Ingevity Corp. (a)
Innophos Holdings, Inc.
Innospec, Inc.
Intrepid Potash, Inc. (a)
KMG Chemicals, Inc.
Koppers Holdings, Inc. (a)
Kraton Corp. (a)
Kronos Worldwide, Inc.
LSB Industries, Inc. (a)
Metabolix, Inc. (a)
Minerals Technologies, Inc.
NewMarket Corp.
Nexeo Solutions, Inc. (a)
Olin Corp.
OMNOVA Solutions, Inc. (a)
Platform Specialty Products Corp. (a)
PolyOne Corp.
Quaker Chemical Corp.
Rayonier Advanced Materials, Inc.
Rentech, Inc. (a)
RPM International, Inc.
Senomyx, Inc. (a)
Sensient Technologies Corp.
Stepan Co.
TOR Minerals International, Inc. (a)
Tredegar Corp.
Trinseo SA
Tronox Ltd., Class A
Univar, Inc. (a)
Valspar Corp.
Versum Materials, Inc. (a)
Westlake Chemical Corp.
WR Grace & Co.
ZAGG, Inc. (a)
Shares
7,617
4,820
21,753
1,295
27,396
9,511
2,567
13,135
3,639
10,983
1,620
7,981
30,183
6,519
3,017
3,555
8,477
1,469
3,456
4,717
3,366
2,939
2,331
5,478
1,403
9,162
24,594
6,506
34,204
12,483
2,000
6,271
3,065
20,087
7,801
6,656
2,878
1,000
3,711
7,002
9,237
10,982
11,221
16,320
5,649
10,629
4,990
54,745,786
Beverages — 0.1%
Boston Beer Co., Inc., Class A (a)
Coca-Cola Bottling Co. Consolidated
Craft Brew Alliance, Inc. (a)
National Beverage Corp.
Primo Water Corp. (a)
Willamette Valley Vineyards, Inc. (a)
1,320
720
1,760
1,810
4,659
2,312
224,202
128,772
29,744
92,455
57,212
18,519
550,904
Chemicals — 2.6%
A. Schulman, Inc.
Aceto Corp.
AdvanSix, Inc. (a)
American Vanguard Corp.
Ashland Global Holdings, Inc.
Axalta Coating Systems Ltd. (a)
Balchem Corp.
Cabot Corp.
4,402
4,429
4,587
3,882
9,318
32,498
4,848
9,215
147,247
97,305
101,556
74,340
1,018,364
883,946
406,844
465,726
Value
$
129,489
260,039
1,712,831
108,197
605,178
315,765
94,594
188,225
50,582
293,795
87,399
385,562
575,892
357,632
157,668
243,518
17,632
57,129
139,277
134,340
40,190
24,746
816
423,176
594,648
85,298
629,852
65,060
335,541
399,955
255,880
96,950
7,601
1,081,283
7,489
523,029
234,499
6,050
89,064
415,219
95,234
311,559
1,162,608
458,102
316,288
718,946
35,429
17,524,584
Construction & Materials — 2.5%
AAON, Inc.
Advanced Drainage Systems, Inc.
AECOM (a)
Aegion Corp. (a)
Ameresco, Inc., Class A (a)
American DG Energy, Inc. (a)
American Woodmark Corp. (a)
AO Smith Corp.
Apogee Enterprises, Inc.
Argan, Inc.
Armstrong Flooring, Inc. (a)
Armstrong World Industries, Inc. (a)
BlueLinx Holdings, Inc. (a)
Blueprint Medicines Corp. (a)
BMC Stock Holdings, Inc. (a)
Boise Cascade Co. (a)
Builders FirstSource, Inc. (a)
5,823
5,721
23,736
5,610
3,372
13,435
2,117
22,278
4,823
1,952
4,145
7,446
2,204
3,284
7,562
5,862
13,413
192,450
117,853
863,041
132,957
18,546
3,762
159,304
1,054,863
258,320
137,714
82,527
311,243
16,464
92,116
147,459
131,895
147,141
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
5
Schedule of Investments (continued)
Common Stocks
Construction & Materials (continued)
Chicago Bridge & Iron Co. NV
Continental Building Products, Inc. (a)
Eagle Materials, Inc.
EMCOR Group, Inc.
Generac Holdings, Inc. (a)
Gibraltar Industries, Inc. (a)
Granite Construction, Inc.
Great Lakes Dredge & Dock Corp. (a)
Griffon Corp.
Headwaters, Inc. (a)
Hill International, Inc. (a)
IES Holdings, Inc. (a)
Installed Building Products, Inc. (a)
Insteel Industries, Inc.
Inteliquent, Inc.
KBR, Inc.
Layne Christensen Co. (a)
LB Foster Co., Class A
Lennox International, Inc.
Louisiana-Pacific Corp. (a)
Masonite International Corp. (a)
MasTec, Inc. (a)
MDU Resources Group, Inc.
Mueller Water Products, Inc., Series A
MYR Group, Inc. (a)
NCI Building Systems, Inc. (a)
Northwest Pipe Co. (a)
Omega Flex, Inc.
Orion Group Holdings, Inc. (a)
Owens Corning
Patrick Industries, Inc. (a)
PGT Innovations, Inc. (a)
Ply Gem Holdings, Inc. (a)
Primoris Services Corp.
Quanex Building Products Corp.
Simpson Manufacturing Co., Inc.
Sterling Construction Co., Inc. (a)
Summit Materials, Inc., Class A (a)
Thermon Group Holdings, Inc. (a)
TopBuild Corp. (a)
TRC Cos., Inc. (a)
Trex Co., Inc. (a)
Tutor Perini Corp. (a)
Universal Forest Products, Inc.
US Concrete, Inc. (a)
USG Corp. (a)
Valmont Industries, Inc.
Watsco, Inc.
Watts Water Technologies, Inc., Class A
Shares
15,246
6,349
7,311
9,242
9,944
5,276
6,000
9,666
4,996
11,159
7,303
1,636
3,192
2,808
4,943
21,005
3,913
1,479
5,921
21,512
4,641
9,981
29,313
24,820
2,843
6,628
2,132
980
5,034
17,228
2,393
7,825
3,732
5,751
5,075
5,984
5,074
14,794
5,345
6,084
4,693
4,443
6,087
3,003
2,197
13,936
3,342
3,927
4,067
Master Extended Market Index Series
Value
$
484,060
146,662
720,353
653,964
405,119
219,745
330,000
40,597
130,895
262,460
31,768
31,329
131,830
100,077
113,294
350,573
42,534
20,114
906,920
407,222
305,378
381,773
843,335
330,354
107,124
103,728
36,713
54,645
50,088
888,276
182,586
89,596
60,645
131,008
103,023
261,800
42,926
351,938
102,036
216,590
49,746
286,129
170,436
306,847
143,904
402,472
470,888
581,667
265,168
16,717,990
Electricity — 1.2%
ALLETE, Inc.
Avangrid, Inc.
Black Hills Corp.
Calpine Corp. (a)
Covanta Holding Corp.
Dynegy, Inc. (a)
El Paso Electric Co.
Empire District Electric Co.
Great Plains Energy, Inc.
Hawaiian Electric Industries, Inc.
IDACORP, Inc.
MGE Energy, Inc.
NorthWestern Corp.
Ormat Technologies, Inc.
Portland General Electric Co.
7,239
8,369
8,064
55,277
20,330
18,227
6,084
6,920
33,516
15,944
7,329
5,145
7,217
5,791
13,068
464,671
317,018
494,646
631,816
317,148
154,200
282,906
235,903
916,663
527,268
590,351
335,969
410,431
310,513
566,236
Common Stocks
Electricity (continued)
TerraForm Global, Inc., Class A (a)
TerraForm Power, Inc., Class A (a)
Unitil Corp.
US Geothermal, Inc. (a)
Vivint Solar, Inc. (a)(b)
Westar Energy, Inc.
QUANTITATIVE MASTER SERIES LLC
8,295
11,225
2,550
7,641
3,153
21,742
Value
$
32,765
143,792
115,617
31,252
8,040
1,225,162
8,112,367
Electronic & Electrical Equipment — 2.9%
Allied Motion Technologies, Inc.
Anixter International, Inc. (a)
Applied DNA Sciences, Inc. (a)(b)
Arrow Electronics, Inc. (a)
Avnet, Inc.
AVX Corp.
AZZ, Inc.
Badger Meter, Inc.
Bel Fuse, Inc., Class B
Belden, Inc.
Benchmark Electronics, Inc. (a)
Brady Corp., Class A
Capstone Turbine Corp. (a)(b)
Cognex Corp.
Coherent, Inc. (a)
Control4 Corp. (a)
CTS Corp.
CyberOptics Corp. (a)
Daktronics, Inc.
Electro Scientific Industries, Inc. (a)
eMagin Corp. (a)
Encore Wire Corp.
Energy Focus, Inc. (a)(b)
EnerNOC, Inc. (a)
EnerSys
ESCO Technologies, Inc.
Fabrinet (a)
FARO Technologies, Inc. (a)
General Cable Corp.
Houston Wire & Cable Co.
Hubbell, Inc.
II-VI, Inc. (a)
Integer Holdings Corp. (a)
Intevac, Inc. (a)
IntriCon Corp. (a)
IPG Photonics Corp. (a)
Itron, Inc. (a)
Jabil Circuit, Inc.
Kemet Corp. (a)
Keysight Technologies, Inc. (a)
Kimball Electronics, Inc. (a)
Knowles Corp. (a)
Landauer, Inc.
LightPath Technologies, Inc., Class A (a)
Littelfuse, Inc.
LSI Industries, Inc.
MACOM Technology Solutions Holdings, Inc. (a)
Maxwell Technologies, Inc. (a)
Mesa Laboratories, Inc.
Methode Electronics, Inc.
Microvision, Inc. (a)(b)
MTS Systems Corp.
NAPCO Security Technologies, Inc. (a)
National Instruments Corp.
Novanta, Inc. (a)
Nuvectra Corp. (a)
NVE Corp.
Orion Energy Systems, Inc. (a)
See Notes to Financial Statements.
6
Shares
DECEMBER 31, 2016
1,620
4,284
6,764
13,554
19,196
6,239
3,998
5,214
2,157
6,483
7,614
6,969
3,678
13,064
3,740
3,575
5,283
1,663
6,043
5,070
6,297
3,537
4,423
4,406
6,398
3,900
5,509
2,690
7,405
3,110
7,812
8,248
4,501
5,485
2,740
5,675
5,094
27,988
8,847
26,018
5,162
13,186
1,662
6,052
3,391
4,195
3,857
5,619
562
5,654
10,983
2,593
4,487
16,123
5,584
1,322
974
7,855
34,652
347,218
12,513
966,400
913,922
97,516
255,472
192,657
66,651
484,734
232,227
261,686
2,501
831,132
513,820
36,465
118,339
43,404
64,660
30,014
13,539
153,329
18,798
26,436
499,684
220,935
222,013
96,840
141,065
20,215
911,660
244,553
132,554
46,897
18,906
560,179
320,158
662,476
58,656
951,478
93,948
220,338
79,942
9,320
514,652
40,859
178,502
28,769
68,986
233,793
13,839
147,023
38,140
496,911
117,264
6,650
69,573
17,045
Schedule of Investments (continued)
Common Stocks
Electronic & Electrical Equipment (continued)
OSI Systems, Inc. (a)
Park Electrochemical Corp.
Plexus Corp. (a)
Powell Industries, Inc.
Regal-Beloit Corp.
Research Frontiers, Inc. (a)
Rogers Corp. (a)
Rubicon Technology, Inc. (a)
Sanmina Corp. (a)
Sensata Technologies Holding NV (a)
Synthesis Energy Systems, Inc. (a)(b)
Trimble, Inc. (a)
TTM Technologies, Inc. (a)
Turtle Beach Corp. (a)
Ultralife Corp. (a)
Universal Display Corp. (a)
Veeco Instruments, Inc. (a)
Vicor Corp. (a)
Vishay Intertechnology, Inc.
Vishay Precision Group, Inc. (a)
WESCO International, Inc. (a)
Zebra Technologies Corp., Class A (a)
Shares
2,791
3,206
5,087
1,398
6,610
5,552
2,685
5,299
11,339
25,803
5,951
38,775
13,962
6,063
4,545
6,767
6,043
3,135
20,274
2,569
6,444
8,305
Master Extended Market Index Series
Value
$
212,451
59,792
274,901
54,522
457,743
10,105
206,235
3,280
415,574
1,005,027
5,951
1,169,066
190,302
7,943
22,498
380,982
176,153
47,339
328,439
48,554
428,848
712,237
19,419,850
Financial Services — 4.5%
Actinium Pharmaceuticals, Inc. (a)
Ally Financial, Inc.
Artisan Partners Asset Management, Inc., Class A
Ashford, Inc. (a)
Associated Capital Group, Inc., Class A
Asta Funding, Inc. (a)
Atlanticus Holdings Corp. (a)
Bats Global Markets, Inc.
BGC Partners, Inc., Class A
Blackhawk Network Holdings, Inc. (a)
Calamos Asset Management, Inc., Class A
CBOE Holdings, Inc.
CIT Group, Inc.
Cohen & Steers, Inc.
Consumer Portfolio Services, Inc. (a)
Cowen Group, Inc., Class A (a)
Credit Acceptance Corp. (a)(b)
Diamond Hill Investment Group, Inc.
Eaton Vance Corp.
Emergent Capital, Inc. (a)
Encore Capital Group, Inc. (a)
Enova International, Inc. (a)
Essent Group Ltd. (a)
EverBank Financial Corp.
Evercore Partners, Inc., Class A
Ezcorp, Inc., Class A (a)
FBR & Co.
Federal Agricultural Mortgage Corp., Class C
Federated Investors, Inc., Class B
Financial Engines, Inc.
FirstCash, Inc.
FNF Group
FNFV Group (a)
FXCM, Inc., Class A (a)
GAMCO Investors, Inc., Class A
Green Dot Corp., Class A (a)
Greenhill & Co., Inc.
HealthEquity, Inc. (a)
HRG Group, Inc. (a)
IHS Markit, Ltd. (a)
Impac Mortgage Holdings, Inc. (a)
Interactive Brokers Group, Inc., Class A
8,447
72,093
6,398
394
805
1,501
251
4,726
32,343
8,248
3,789
12,335
30,460
3,036
5,716
4,324
1,948
522
17,202
5,857
3,846
4,701
11,345
17,410
5,798
8,094
1,765
1,734
13,995
8,155
7,433
40,253
12,743
1,155
805
6,679
4,276
6,578
20,653
49,578
1,830
10,219
7,391
1,371,209
190,340
17,379
26,444
14,710
715
158,368
330,869
310,743
32,396
911,433
1,300,033
102,010
29,266
67,022
423,709
109,818
720,420
7,087
110,188
58,998
367,238
338,624
398,323
86,201
22,945
99,306
395,779
299,696
349,351
1,366,992
174,579
8,143
24,866
157,290
118,445
266,541
321,361
1,755,557
25,657
373,096
Common Stocks
Financial Services (continued)
INTL. FCStone, Inc. (a)
Investment Technology Group, Inc.
Janus Capital Group, Inc.
Jason Industries, Inc. (a)
KCG Holdings, Inc., Class A (a)
Ladder Capital Corp.
Ladenburg Thalmann Financial Services, Inc. (a)
Lazard Ltd., Class A
Legg Mason, Inc.
LendingClub Corp. (a)
LendingTree, Inc. (a)
Liberty Ventures (a)
LPL Financial Holdings, Inc.
MarketAxess Holdings, Inc.
Marlin Business Services Corp.
MGIC Investment Corp. (a)
Moelis & Co., Class A
MoneyGram International, Inc. (a)
MSCI, Inc.
Nelnet, Inc., Class A
NewStar Financial, Inc. (a)
NMI Holdings, Inc., Class A (a)
NorthStar Asset Management Group, Inc.
NRG Yield, Inc., Class A
NRG Yield, Inc., Class C
Ocwen Financial Corp. (a)
On Deck Capital, Inc. (a)
OneMain Holdings, Inc. (a)
Oppenheimer Holdings, Inc., Class A
PICO Holdings, Inc. (a)
Piper Jaffray Cos. (a)
PJT Partners, Inc., Class A
PRA Group, Inc. (a)
Pzena Investment Management, Inc., Class A
Radian Group, Inc.
Raymond James Financial, Inc.
Safeguard Scientifics, Inc. (a)
Santander Consumer USA Holdings, Inc. (a)
SEI Investments Co.
SLM Corp. (a)
Stewart Information Services Corp.
Stifel Financial Corp. (a)
Synergy Resources Corp. (a)
TD Ameritrade Holding Corp.
TESARO, Inc. (a)
U.S. Global Investors, Inc., Class A (b)
Virtu Financial, Inc., Class A
Virtus Investment Partners, Inc.
VolitionRX Ltd. (a)(b)
Voya Financial, Inc.
Waddell & Reed Financial, Inc., Class A
Walker & Dunlop, Inc. (a)
Westwood Holdings Group, Inc.
WisdomTree Investments, Inc.
WMIH Corp. (a)
World Acceptance Corp. (a)
Shares
2,537
5,189
21,344
4,507
8,227
11,133
20,288
19,524
13,893
48,604
1,072
13,059
11,698
5,863
1,640
51,995
3,091
5,436
14,204
2,846
3,072
9,420
28,871
5,864
9,117
16,212
6,601
8,167
1,705
4,035
2,366
2,864
7,260
3,173
32,809
19,197
4,085
17,383
20,453
65,378
3,587
9,973
32,019
36,614
5,265
4,302
6,407
959
6,405
29,776
12,521
4,301
1,466
17,278
33,498
1,064
Value
$
100,465
102,431
283,235
8,113
109,008
152,745
49,503
802,241
415,540
255,171
108,647
481,485
411,887
861,392
34,276
529,829
104,785
64,199
1,118,991
144,434
28,416
100,323
430,755
90,071
144,049
87,383
30,563
180,817
31,713
61,130
171,535
88,440
283,866
35,252
589,906
1,329,776
54,943
234,670
1,009,560
720,466
165,289
498,151
285,289
1,596,370
708,037
5,851
102,192
113,210
29,271
1,167,815
244,285
134,191
87,945
192,477
51,922
68,394
30,543,238
Fixed Line Telecommunications — 0.3%
8x8, Inc. (a)
Cincinnati Bell, Inc. (a)
Consolidated Communications Holdings, Inc.
EarthLink Holdings Corp.
Fairpoint Communications, Inc. (a)
General Communication, Inc., Class A (a)
GTT Communications, Inc. (a)
Hawaiian Telcom Holdco, Inc. (a)
14,330
6,259
7,242
16,238
3,773
4,977
3,853
2,127
204,919
139,889
194,448
91,582
70,555
96,803
110,774
52,707
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
7
Schedule of Investments (continued)
Common Stocks
Fixed Line Telecommunications (continued)
IDT Corp., Class B
Lumos Networks Corp. (a)
Straight Path Communications, Inc., Class B (a)(b)
Vonage Holdings Corp. (a)
Windstream Holdings, Inc. (b)
Zayo Group Holdings, Inc. (a)
Shares
2,972
4,097
1,752
30,027
15,457
14,904
Master Extended Market Index Series
Value
$
55,101
63,995
59,410
205,685
113,300
489,745
1,948,913
Food & Drug Retailers — 0.7%
Casey’s General Stores, Inc.
Chefs’ Warehouse, Inc. (a)
Core-Mark Holding Co., Inc.
Diplomat Pharmacy, Inc. (a)
GNC Holdings, Inc., Class A
Ingles Markets, Inc., Class A
Natural Health Trends Corp. (b)
Performance Food Group Co. (a)
PetMed Express, Inc.
Rite Aid Corp. (a)
Smart & Final Stores, Inc. (a)
SpartanNash Co.
Sprouts Farmers Market, Inc. (a)
Supervalu, Inc. (a)
United Natural Foods, Inc. (a)
Vitamin Shoppe, Inc. (a)
Weis Markets, Inc.
5,952
3,358
7,129
6,690
10,229
2,303
1,354
8,150
3,455
160,858
4,080
5,521
20,641
41,309
7,684
3,693
2,324
707,574
53,056
307,046
84,294
112,928
110,774
33,647
195,600
79,707
1,325,470
57,528
218,300
390,528
192,913
366,681
87,709
155,336
4,479,091
Food Producers — 2.2%
AdvancePierre Foods Holdings, Inc.
Alico, Inc.
Amplify Snack Brands, Inc. (a)(b)
Andersons, Inc.
B&G Foods, Inc.
Blue Buffalo Pet Products, Inc. (a)
Bunge Ltd.
Cal-Maine Foods, Inc. (b)
Calavo Growers, Inc.
Darling Ingredients, Inc. (a)
Dean Foods Co.
Farmer Bros Co. (a)
Flowers Foods, Inc.
Fresh Del Monte Produce, Inc.
Griffin Industrial Realty, Inc.
Hain Celestial Group, Inc. (a)
Herbalife Ltd. (a)
HQ Sustainable Maritime Industries, Inc. (a)(b)
Ingredion, Inc.
J&J Snack Foods Corp.
John B Sanfilippo & Son, Inc.
Lamb Weston Holdings, Inc. (a)
Lancaster Colony Corp.
Lifevantage Corp. (a)
Lifeway Foods, Inc. (a)
Limoneira Co.
Lipocine, Inc. (a)(b)
Mannatech, Inc.
Medifast, Inc.
MGP Ingredients, Inc.
Nutraceutical International Corp.
Nutrisystem, Inc.
Omega Protein Corp. (a)
Phibro Animal Health Corp., Class A
Pilgrim’s Pride Corp.
Pinnacle Foods, Inc.
Post Holdings, Inc. (a)
Reliv International, Inc. (a)
2,846
610
5,088
3,787
9,901
15,208
20,826
4,515
2,423
24,480
13,709
1,660
27,550
4,797
1,073
15,731
10,471
4,100
10,983
2,190
1,422
21,514
2,973
3,491
1,804
2,404
5,425
644
1,806
1,817
1,376
4,434
3,642
2,839
9,086
18,245
9,938
59
84,754
16,562
44,825
169,279
433,664
365,600
1,504,470
199,450
148,772
316,037
298,582
60,922
550,173
290,842
34,046
613,981
504,074
—
1,372,436
292,212
100,095
814,305
420,352
28,452
20,764
51,710
19,964
13,073
75,184
90,814
48,091
153,638
91,232
83,183
172,543
975,195
798,916
274
Common Stocks
Food Producers (continued)
Rocky Mountain Chocolate Factory, Inc.
Sanderson Farms, Inc.
Seaboard Corp. (a)
Seneca Foods Corp., Class A (a)
Snyders-Lance, Inc.
Tootsie Roll Industries, Inc.
TreeHouse Foods, Inc. (a)(b)
U.S. Foods Holding Corp. (a)
USANA Health Sciences, Inc. (a)
WhiteWave Foods Co. (a)
QUANTITATIVE MASTER SERIES LLC
2,724
2,996
38
1,343
12,556
2,699
8,684
6,989
1,572
27,108
Value
$
27,758
282,343
150,176
53,787
481,397
107,285
626,898
192,058
96,206
1,507,205
14,783,579
Forestry & Paper — 0.2%
Clearwater Paper Corp. (a)
Deltic Timber Corp.
Domtar Corp.
KapStone Paper and Packaging Corp.
Mercer International, Inc.
Neenah Paper, Inc.
PH Glatfelter Co.
Resolute Forest Products (a)
Veritiv Corp. (a)
2,534
1,574
9,442
13,378
6,229
2,503
6,319
12,838
1,388
166,104
121,308
368,521
294,985
66,339
213,256
150,961
68,683
74,605
1,524,762
Gas, Water & Multi-Utilities — 1.5%
American States Water Co.
Aqua America, Inc.
Artesian Resources Corp., Class A
Atmos Energy Corp.
Avista Corp.
Cadiz, Inc. (a)
California Water Service Group
Chesapeake Utilities Corp.
Connecticut Water Service, Inc.
Delta Natural Gas Co., Inc.
Gas Natural, Inc.
Genie Energy Ltd. (a)
Middlesex Water Co.
National Fuel Gas Co.
New Jersey Resources Corp.
Northwest Natural Gas Co.
ONE Gas, Inc.
PNM Resources, Inc.
RGC Resources, Inc.
SJW Corp.
South Jersey Industries, Inc.
Southwest Gas Corp.
Spire, Inc.
UGI Corp.
Vectren Corp.
WGL Holdings, Inc.
York Water Co.
5,470
26,495
1,250
15,420
9,641
4,834
7,033
2,612
1,727
1,820
2,422
3,673
2,592
12,933
12,980
4,404
7,794
11,944
1,849
2,322
11,762
7,106
6,608
26,357
12,630
7,652
2,157
249,213
795,910
39,925
1,143,393
385,544
60,425
238,419
174,873
96,453
53,381
30,396
21,120
111,300
732,525
460,790
263,359
498,504
409,679
46,539
129,986
396,262
544,462
426,546
1,214,531
658,654
583,695
82,397
9,848,281
General Industrials — 1.5%
Actuant Corp., Class A
AEP Industries, Inc.
Aptargroup, Inc.
Bemis Co., Inc.
Berry Plastics Group, Inc. (a)
Carlisle Cos., Inc.
Crown Holdings, Inc. (a)
Global Brass & Copper Holdings, Inc.
Graphic Packaging Holding Co.
Greif, Inc., Class A
Greif, Inc., Class B
Harsco Corp.
See Notes to Financial Statements.
8
Shares
DECEMBER 31, 2016
8,768
632
9,486
14,201
18,869
9,769
21,691
3,673
46,961
3,637
1,414
11,862
227,530
73,375
696,747
679,092
919,486
1,077,423
1,140,296
125,984
586,073
186,615
95,516
161,323
Schedule of Investments (continued)
Common Stocks
General Industrials (continued)
ITT, Inc.
Landec Corp. (a)
Multi-Color Corp.
Myers Industries, Inc.
Otter Tail Corp.
Owens-Illinois, Inc. (a)
Packaging Corp. of America
Raven Industries, Inc.
Rexnord Corp. (a)
Silgan Holdings, Inc.
Sonoco Products Co.
TriMas Corp. (a)
UFP Technologies, Inc. (a)
Shares
13,665
4,881
2,155
3,762
5,878
25,629
14,165
5,522
15,645
6,035
15,076
6,652
1,471
Master Extended Market Index Series
Value
$
527,059
67,358
167,228
53,797
239,822
446,201
1,201,475
139,154
306,486
308,871
794,505
156,322
37,437
10,415,175
General Retailers — 4.0%
1-800-Flowers.com, Inc., Class A (a)
Aaron’s, Inc.
Abercrombie & Fitch Co., Class A
AMERCO, Inc.
America’s Car-Mart, Inc. (a)
American Eagle Outfitters, Inc.
American Public Education, Inc. (a)
Antero Resources Corp. (a)
Apollo Education Group, Inc. (a)
Asbury Automotive Group, Inc. (a)
Ascena Retail Group, Inc. (a)
Autobytel, Inc. (a)
Barnes & Noble Education, Inc. (a)
Barnes & Noble, Inc.
Beacon Roofing Supply, Inc. (a)
Big 5 Sporting Goods Corp.
Big Lots, Inc.
Blue Nile, Inc.
Bon-Ton Stores, Inc. (a)
Boot Barn Holdings, Inc. (a)
Bridgepoint Education, Inc. (a)
Bright Horizons Family Solutions, Inc. (a)
Buckle, Inc.
Build-A-Bear Workshop, Inc., Class A (a)
Burlington Stores, Inc. (a)
Cabela’s, Inc. (a)
Caleres, Inc.
Cambium Learning Group, Inc. (a)
Capella Education Co.
Career Education Corp. (a)
Carriage Services, Inc.
Cato Corp., Class A
CDK Global, Inc.
Chegg, Inc. (a)
Chemed Corp.
Chico’s FAS, Inc.
Children’s Place Retail Stores, Inc.
Christopher & Banks Corp. (a)
Citi Trends, Inc.
Clean Energy Fuels Corp. (a)
Collectors Universe, Inc.
Conn’s, Inc. (a)
Container Store Group, Inc. (a)
Copart, Inc. (a)
CST Brands, Inc.
Destination Maternity Corp.
Destination XL Group, Inc. (a)
Dick’s Sporting Goods, Inc.
Dillard’s, Inc., Class A
DSW, Inc., Class A
Etsy, Inc. (a)
5,670
9,518
10,514
821
1,386
25,423
2,731
22,816
15,593
3,061
25,130
2,014
6,163
8,898
9,402
2,684
6,639
1,962
2,228
2,185
2,758
6,601
3,973
2,727
10,899
7,999
6,284
4,720
1,792
10,687
2,462
3,894
22,672
8,886
2,353
19,485
2,665
6,159
2,593
15,034
1,741
3,781
2,847
15,570
11,330
2,770
8,559
13,283
3,993
11,768
14,238
60,669
304,481
126,168
303,433
60,637
385,667
67,046
539,598
154,371
188,864
155,555
27,088
70,690
99,213
433,150
46,567
333,344
79,716
3,275
27,356
27,939
462,202
90,584
37,496
923,690
468,341
206,241
23,553
157,338
107,832
70,512
117,131
1,353,292
65,579
377,445
280,389
269,032
14,412
48,852
42,997
36,961
47,830
18,078
862,734
545,539
14,321
36,376
705,327
250,321
266,545
167,724
Common Stocks
General Retailers (continued)
EVINE Live, Inc. (a)
Express, Inc. (a)
Finish Line, Inc., Class A
Five Below, Inc. (a)
Francesca’s Holdings Corp. (a)
Fred’s, Inc., Class A
FTD Cos., Inc. (a)
Gaia, Inc. (a)
GameStop Corp., Class A
Genesco, Inc. (a)
Grand Canyon Education, Inc. (a)
Group 1 Automotive, Inc.
GrubHub, Inc. (a)
Guess?, Inc.
Haverty Furniture Cos., Inc.
Hibbett Sports, Inc. (a)
Hillenbrand, Inc.
Houghton Mifflin Harcourt Co. (a)
HSN, Inc.
JC Penney Co., Inc. (a)
K12, Inc. (a)
KAR Auction Services, Inc.
Kirkland’s, Inc. (a)
Lands’ End, Inc. (a)(b)
Liquidity Services, Inc. (a)
Lithia Motors, Inc., Class A
Lumber Liquidators Holdings, Inc. (a)
MarineMax, Inc. (a)
Matthews International Corp., Class A
Michaels Cos., Inc. (a)
Monro Muffler Brake, Inc.
Murphy USA, Inc. (a)
Office Depot, Inc.
Ollie’s Bargain Outlet Holdings, Inc. (a)
Overstock.com, Inc. (a)
Party City Holdco, Inc. (a)
PCM, Inc. (a)
Penske Automotive Group, Inc.
Perfumania Holdings, Inc. (a)
Pier 1 Imports, Inc.
PriceSmart, Inc.
Providence Service Corp. (a)
RealNetworks, Inc. (a)
Regis Corp. (a)
Rent-A-Center, Inc., Class A
RH (a)
Rollins, Inc.
Rush Enterprises, Inc., Class A (a)
Sally Beauty Holdings, Inc. (a)
Sears Holdings Corp. (a)(b)
Service Corp. International
ServiceMaster Global Holdings, Inc. (a)
Shoe Carnival, Inc.
Shutterfly, Inc. (a)
SiteOne Landscape Supply, Inc. (a)
Sonic Automotive, Inc., Class A
Sotheby’s
SP Plus Corp. (a)
Sportsman’s Warehouse Holdings, Inc. (a)
Stage Stores, Inc.
Stamps.com, Inc. (a)
Stein Mart, Inc.
Strayer Education, Inc. (a)
Tailored Brands, Inc.
Tile Shop Holdings, Inc. (a)
Titan Machinery, Inc. (a)
TrueCar, Inc. (a)
Shares
7,906
12,371
6,356
8,397
6,453
4,994
3,190
3,595
14,951
3,006
7,107
3,063
12,850
9,276
3,228
3,484
9,955
15,421
4,839
46,484
5,636
20,813
2,707
2,026
4,477
3,487
4,057
4,129
4,866
15,846
4,709
5,579
78,695
7,432
2,766
3,899
1,516
5,762
1,362
12,905
3,440
2,023
5,145
5,786
7,864
5,948
14,452
5,240
22,385
7,621
28,408
20,442
2,381
5,172
3,757
4,134
7,190
2,950
4,298
4,672
2,505
4,383
1,653
7,130
5,605
2,671
8,752
Value
$
11,859
133,112
119,556
335,544
116,348
92,689
76,050
31,097
377,662
186,673
415,404
238,730
483,417
112,240
76,504
129,953
381,774
167,318
165,978
386,282
96,714
887,050
41,986
30,694
43,651
337,646
63,857
79,896
373,952
324,051
269,355
342,941
355,701
211,440
48,405
55,366
34,110
298,702
2,043
110,209
287,240
76,975
25,005
84,013
88,470
182,604
488,189
167,156
591,412
70,799
806,787
770,050
64,239
259,531
130,481
94,669
286,593
83,042
40,358
20,417
287,198
24,019
133,281
182,171
109,578
38,916
109,400
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
9
Schedule of Investments (continued)
Common Stocks
General Retailers (continued)
Trupanion, Inc. (a)(b)
Tuesday Morning Corp. (a)
VCA, Inc. (a)
Weight Watchers International, Inc. (a)(b)
West Marine, Inc. (a)
Williams-Sonoma, Inc.
Winmark Corp.
Zumiez, Inc. (a)
Shares
3,225
6,404
12,570
4,031
3,086
12,296
437
2,839
Master Extended Market Index Series
Value
$
50,052
34,582
862,930
46,155
32,310
595,003
55,128
62,032
26,850,245
Health Care Equipment & Services — 4.5%
AAC Holdings, Inc. (a)
Abaxis, Inc.
ABIOMED, Inc. (a)
Acadia Healthcare Co., Inc. (a)
Accuray, Inc. (a)
AdCare Health Systems, Inc. (a)
Addus HomeCare Corp. (a)
Adeptus Health, Inc., Class A (a)
Air Methods Corp. (a)
Alere, Inc. (a)
Align Technology, Inc. (a)
Alliance HealthCare Services, Inc. (a)
Almost Family, Inc. (a)
Alphatec Holdings, Inc. (a)
Amedisys, Inc. (a)
Analogic Corp.
AngioDynamics, Inc. (a)
Anika Therapeutics, Inc. (a)
Antares Pharma, Inc. (a)
AtriCure, Inc. (a)
Atrion Corp.
AxoGen, Inc. (a)
Bio-Rad Laboratories, Inc., Class A (a)
Biolase, Inc. (a)
BioScrip, Inc. (a)
Biostage, Inc. (a)
BioTelemetry, Inc. (a)
Bovie Medical Corp. (a)
Brookdale Senior Living, Inc. (a)
Bruker Corp.
CalAtlantic Group, Inc.
Cantel Medical Corp.
Capital Senior Living Corp. (a)
Cardiovascular Systems, Inc. (a)
Civitas Solutions, Inc. (a)
Cogentix Medical, Inc. (a)
Community Health Systems, Inc. (a)
CONMED Corp.
Corindus Vascular Robotics, Inc. (a)(b)
Corvel Corp. (a)
CryoLife, Inc.
Cutera, Inc. (a)
Cynosure, Inc., Class A (a)
CytoSorbents Corp. (a)
Derma Sciences, Inc. (a)
DexCom, Inc. (a)
Dextera Surgical, Inc. (a)
Endologix, Inc. (a)
Ensign Group, Inc.
Exactech, Inc. (a)
Five Star Quality Care, Inc. (a)
Fluidigm Corp. (a)
FONAR Corp. (a)
Genesis Healthcare, Inc. (a)
GenMark Diagnostics, Inc. (a)
Glaukos Corp. (a)
2,226
3,511
6,294
11,606
12,884
7,324
1,286
2,391
5,272
13,093
11,385
2,209
1,371
1,899
4,240
1,873
4,708
2,272
26,095
5,376
224
4,935
3,189
11,125
20,256
3,656
4,630
4,719
28,172
15,893
10,823
5,470
4,670
5,198
2,868
6,713
17,321
3,573
20,807
1,635
4,639
2,275
3,689
4,303
7,068
13,180
3,562
12,883
6,892
1,877
16,250
4,592
1,417
5,313
7,790
1,961
16,116
185,275
709,208
384,159
59,266
10,693
45,074
18,267
167,913
510,234
1,094,440
21,206
60,461
6,096
180,751
155,365
79,424
111,237
60,801
105,208
113,613
44,415
581,291
15,575
21,066
3,254
103,480
16,941
349,896
336,614
368,090
430,762
74,953
125,844
57,073
13,493
96,824
157,819
14,532
59,841
88,837
39,471
168,218
23,451
36,754
786,846
3,420
73,691
153,071
51,242
43,875
33,430
27,136
22,580
95,350
67,262
Common Stocks
Health Care Equipment & Services (continued)
Globus Medical, Inc., Class A (a)
Haemonetics Corp. (a)
Halyard Health, Inc. (a)
Healthcare Services Group, Inc.
HealthSouth Corp.
HealthStream, Inc. (a)
Healthways, Inc. (a)
Hill-Rom Holdings, Inc.
HMS Holdings Corp. (a)
Hooper Holmes, Inc. (a)
ICU Medical, Inc. (a)
IDEXX Laboratories, Inc. (a)
Inogen, Inc. (a)
Insulet Corp. (a)
Integra LifeSciences Holdings Corp. (a)
Intersect ENT, Inc. (a)
Invacare Corp.
Juno Therapeutics, Inc. (a)
K2M Group Holdings, Inc. (a)
Kindred Healthcare, Inc.
LHC Group, Inc. (a)
LifePoint Hospitals, Inc. (a)
LivaNova PLC (a)
Magellan Health, Inc. (a)
Masimo Corp. (a)
MEDNAX, Inc. (a)
Meridian Bioscience, Inc.
Merit Medical Systems, Inc. (a)
Molina Healthcare, Inc. (a)
Natera, Inc. (a)
National Healthcare Corp.
Natus Medical, Inc. (a)
Navidea Biopharmaceuticals, Inc. (a)
Neogen Corp. (a)
NeoGenomics, Inc. (a)
Nevro Corp. (a)
NuVasive, Inc. (a)
NxStage Medical, Inc. (a)
Omnicell, Inc. (a)
OraSure Technologies, Inc. (a)
Orthofix International NV (a)
Owens & Minor, Inc.
PAREXEL International Corp. (a)
Penumbra, Inc. (a)
PharMerica Corp. (a)
Psychemedics Corp.
Quidel Corp. (a)
Quorum Health Corp. (a)
RadNet, Inc. (a)
ResMed, Inc.
Retractable Technologies, Inc. (a)
Rockwell Medical, Inc. (a)(b)
RTI Surgical, Inc. (a)
SeaSpine Holdings Corp. (a)
Select Medical Holdings Corp. (a)
Spark Therapeutics, Inc. (a)
Spectranetics Corp. (a)
Staar Surgical Co. (a)
STERIS PLC
Surgery Partners, Inc. (a)
Surgical Care Affiliates, Inc. (a)
SurModics, Inc. (a)
T2 Biosystems, Inc. (a)
Tandem Diabetes Care, Inc. (a)
Team Health Holdings, Inc. (a)
Teleflex, Inc.
Tenet Healthcare Corp. (a)
See Notes to Financial Statements.
10
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Shares
11,083
7,760
6,988
10,637
13,931
3,976
5,011
9,361
13,041
639
2,348
13,766
2,528
8,659
4,784
4,481
4,891
11,502
6,090
12,162
2,418
6,081
6,732
3,447
6,952
13,919
6,734
7,010
6,417
4,291
1,472
5,169
26,298
5,645
9,277
3,648
7,914
9,415
5,518
9,831
2,789
9,148
7,939
4,182
4,613
1,320
4,380
4,330
5,911
21,713
4,605
7,565
10,112
1,779
16,098
3,374
6,991
5,027
12,865
3,215
4,259
2,327
4,053
3,670
11,401
6,811
12,189
Value
$
274,969
311,952
258,416
416,651
574,514
99,599
114,000
525,527
236,825
524
345,978
1,614,339
169,806
326,271
410,419
54,220
63,828
216,813
122,044
95,472
110,503
345,401
302,738
259,387
468,565
927,841
119,192
185,765
348,186
50,248
111,563
179,881
16,526
372,570
79,504
265,064
533,087
246,767
187,060
86,316
100,906
322,833
521,751
266,812
116,017
32,578
93,820
31,479
38,126
1,347,292
4,283
49,551
32,864
14,054
213,298
168,363
171,279
54,543
866,972
50,958
197,064
59,106
21,319
7,890
495,373
1,097,593
180,885
Schedule of Investments (continued)
Common Stocks
Health Care Equipment & Services (continued)
Triple-S Management Corp., Class B (a)
U.S. Physical Therapy, Inc.
Unilife Corp. (a)(b)
Universal American Corp. (a)
Utah Medical Products, Inc.
Vascular Solutions, Inc. (a)
VWR Corp. (a)
WellCare Health Plans, Inc. (a)
West Pharmaceutical Services, Inc.
Wright Medical Group NV (a)
Zafgen, Inc. (a)
Zeltiq Aesthetics, Inc. (a)
Shares
3,526
1,955
2,413
8,418
662
2,784
13,221
6,769
11,109
15,623
2,989
5,536
Master Extended Market Index Series
Value
$
72,988
137,241
5,550
83,759
48,160
156,182
330,922
927,895
942,376
359,017
9,505
240,927
29,981,066
Household Goods & Home Construction — 1.5%
ACCO Brands Corp. (a)
Bassett Furniture Industries, Inc.
Beazer Homes USA, Inc. (a)
Briggs & Stratton Corp.
Cavco Industries, Inc. (a)
Central Garden and Pet Co., Class A (a)
Compx International, Inc.
Comstock Holdings Cos., Inc. (a)
Dixie Group, Inc. (a)
Edgewell Personal Care Co. (a)
Energizer Holdings, Inc.
Ethan Allen Interiors, Inc.
Flexsteel Industries, Inc.
Forward Industries, Inc. (a)
Herman Miller, Inc.
HNI Corp.
Hooker Furniture Corp.
Hovnanian Enterprises, Inc., Class A (a)
Interface, Inc.
iRobot Corp. (a)
KB Home
Knoll, Inc.
La-Z-Boy, Inc.
LGI Homes, Inc. (a)
Libbey, Inc.
Lifetime Brands, Inc.
M/I Homes, Inc. (a)
Manitowoc Foodservice, Inc. (a)
MDC Holdings, Inc.
Meritage Homes Corp. (a)
National Presto Industries, Inc.
NVR, Inc. (a)
Oil-Dri Corp. of America
Scotts Miracle-Gro Co., Class A
Select Comfort Corp. (a)
Spectrum Brands Holdings, Inc.
Steelcase, Inc., Class A
Taylor Morrison Home Corp., Class A (a)
Tempur Sealy International, Inc. (a)
Toll Brothers, Inc. (a)
TRI Pointe Group, Inc. (a)
Tupperware Brands Corp.
Virco Manufacturing Corp. (a)
Wayfair, Inc., Class A (a)(b)
WCI Communities, Inc. (a)
WD-40 Co.
William Lyon Homes, Class A (a)
16,442
1,739
5,712
6,373
1,393
6,265
1,034
1,729
2,900
8,921
9,658
3,943
1,215
2,823
8,959
6,656
1,876
21,351
9,610
4,266
12,278
7,374
7,437
2,808
3,627
2,050
4,013
19,950
5,937
5,844
790
537
1,129
6,850
7,058
3,650
12,921
5,375
7,764
22,796
22,019
7,504
5,315
4,521
3,484
2,138
4,111
214,568
52,866
75,970
141,863
139,091
193,589
16,647
3,112
10,440
651,144
430,843
145,300
74,929
3,472
306,398
372,204
71,194
58,288
178,266
249,348
194,115
205,956
230,919
80,674
70,581
36,388
101,047
385,633
152,343
203,371
84,056
896,253
43,139
654,517
159,652
446,504
231,286
103,523
530,126
706,676
252,778
394,860
22,855
158,461
81,700
249,932
78,232
10,145,109
Industrial Engineering — 3.1%
AGCO Corp.
Alamo Group, Inc.
10,320
1,607
597,115
122,293
Common Stocks
Industrial Engineering (continued)
Albany International Corp., Class A
Altra Industrial Motion Corp.
American Railcar Industries, Inc.
Astec Industries, Inc.
Babcock & Wilcox Enterprises, Inc. (a)
Broadwind Energy, Inc. (a)
Ceco Environmental Corp.
Chicago Rivet & Machine Co.
CIRCOR International, Inc.
CLARCOR, Inc.
Colfax Corp. (a)
Columbus McKinnon Corp.
Commercial Vehicle Group, Inc. (a)
Crane Co.
DMC Global, Inc.
Donaldson Co., Inc.
Douglas Dynamics, Inc.
Energy Recovery, Inc. (a)
EnPro Industries, Inc.
Federal Signal Corp.
Franklin Electric Co., Inc.
FreightCar America, Inc.
GATX Corp.
Gorman-Rupp Co.
Graco, Inc.
Graham Corp.
Greenbrier Cos., Inc.
H&E Equipment Services, Inc.
Horizon Global Corp. (a)
Hurco Cos., Inc.
Hyster-Yale Materials Handling, Inc.
IDEX Corp.
John Bean Technologies Corp.
Joy Global, Inc.
Kadant, Inc.
Kennametal, Inc.
Key Technology, Inc. (a)
Kimball International, Inc., Class B
Lincoln Electric Holdings, Inc.
Lindsay Corp.
Lydall, Inc. (a)
Manitex International, Inc. (a)(b)
Manitowoc Co., Inc. (a)
Materion Corp.
Meritor, Inc. (a)
MFRI, Inc. (a)
Middleby Corp. (a)
Miller Industries, Inc.
MSA Safety, Inc.
Mueller Industries, Inc.
NACCO Industries, Inc., Class A
Navistar International Corp. (a)
NN, Inc.
Nordson Corp.
Oshkosh Corp.
Paylocity Holding Corp. (a)
Proto Labs, Inc. (a)
Spartan Motors, Inc.
SPX Corp. (a)
SPX FLOW, Inc. (a)
Standex International Corp.
Sun Hydraulics Corp.
Tennant Co.
Terex Corp.
Timken Co.
TimkenSteel Corp. (a)
Toro Co.
Shares
4,299
4,066
1,354
2,944
8,137
4,880
4,277
494
2,547
7,187
14,850
2,933
5,294
7,597
2,800
20,116
3,445
5,232
3,157
9,098
5,838
2,656
6,015
2,838
8,754
1,902
4,279
4,783
3,297
1,373
1,727
11,736
4,537
14,760
1,829
11,991
998
5,240
9,366
1,858
2,799
2,717
23,435
3,097
12,809
1,937
8,715
2,019
4,681
9,270
799
9,906
4,181
8,037
11,420
3,681
3,660
5,545
6,490
6,381
2,053
3,942
2,625
16,239
10,204
5,808
16,959
Value
$
199,044
150,035
61,323
198,602
134,993
19,740
59,664
20,550
165,249
592,712
533,560
79,308
29,276
547,896
44,380
846,481
115,924
54,151
212,655
142,020
227,098
39,654
370,404
87,836
727,370
42,129
177,792
111,205
79,128
45,446
110,131
1,056,944
389,955
413,280
111,935
374,839
11,637
92,014
718,091
138,625
173,118
18,639
140,141
122,641
159,088
15,690
1,122,579
53,403
324,534
370,429
72,349
310,751
79,648
900,546
737,846
110,467
187,941
51,291
153,943
204,575
180,356
157,562
186,900
512,016
405,099
89,908
948,856
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
11
Schedule of Investments (continued)
Common Stocks
Industrial Engineering (continued)
Trinity Industries, Inc.
Twin Disc, Inc.
Wabash National Corp. (a)
Wabtec Corp.
Woodward, Inc.
Shares
23,379
1,831
10,252
13,427
8,136
Master Extended Market Index Series
Value
$
649,001
26,733
162,187
1,114,710
561,791
20,557,222
Industrial Metals & Mining — 1.0%
AK Steel Holding Corp. (a)
Alcoa Corp.
Allegheny Technologies, Inc.
Ampco-Pittsburgh Corp.
Carpenter Technology Corp.
Century Aluminum Co. (a)
Cliffs Natural Resources, Inc. (a)
Commercial Metals Co.
Friedman Industries, Inc.
Handy & Harman Ltd. (a)
Haynes International, Inc.
Kaiser Aluminum Corp.
McEwen Mining, Inc.
Olympic Steel, Inc.
Reliance Steel & Aluminum Co.
Ryerson Holding Corp. (a)
Steel Dynamics, Inc.
Synalloy Corp.
United States Steel Corp.
Universal Stainless & Alloy Products, Inc. (a)
Uranium Energy Corp. (a)
Worthington Industries, Inc.
48,143
22,764
16,681
1,955
7,069
7,937
31,471
17,547
2,787
780
2,039
3,159
31,501
1,597
11,267
2,400
37,295
2,147
26,373
1,302
19,733
6,911
491,540
639,213
265,728
32,746
255,686
67,941
264,671
382,174
18,561
19,929
87,656
245,423
91,668
38,695
896,177
32,040
1,326,956
23,510
870,573
17,590
22,101
327,858
6,418,436
Industrial Transportation — 1.3%
Air Lease Corp.
Air Transport Services Group, Inc. (a)
Aircastle Ltd.
ArcBest Corp.
Ardmore Shipping Corp.
Atlas Air Worldwide Holdings, Inc. (a)
CAI International, Inc. (a)
Celadon Group, Inc.
Covenant Transportation Group, Inc., Class A (a)
Echo Global Logistics, Inc. (a)
Forward Air Corp.
FRP Holdings, Inc. (a)
Genco Shipping & Trading, Ltd. (a)
Gener8 Maritime, Inc. (a)
Genesee & Wyoming, Inc., Class A (a)
Heartland Express, Inc.
Hub Group, Inc., Class A (a)
International Seaways, Inc. (a)
Kirby Corp. (a)(b)
Knight Transportation, Inc.
Landstar System, Inc.
Macquarie Infrastructure Corp.
Marten Transport Ltd.
Matson, Inc.
Old Dominion Freight Line, Inc. (a)
Overseas Shipholding Group, Inc., Class A
PAM Transportation Services, Inc. (a)
Patriot Transportation Holding, Inc. (a)
PHH Corp. (a)
Rand Logistics, Inc. (a)
Roadrunner Transportation Systems, Inc. (a)
Saia, Inc. (a)
Swift Transportation Co. (a)
Teekay Corp.
14,722
7,220
8,419
3,519
6,365
3,769
2,930
4,175
2,275
4,536
4,502
1,209
177
12,477
8,719
6,722
5,287
1,937
8,071
9,738
6,328
11,459
3,567
6,329
10,535
5,813
659
627
8,457
5,032
4,706
4,133
12,764
6,907
505,406
115,231
175,536
97,300
47,101
196,553
25,403
29,851
43,999
113,627
213,305
45,579
1,306
55,897
605,186
136,860
231,306
27,196
536,722
321,841
539,778
936,200
83,111
223,983
903,798
22,264
17,121
14,609
128,208
4,176
48,895
182,472
310,931
55,463
Common Stocks
Industrial Transportation (continued)
Textainer Group Holdings Ltd.
Triton International, Ltd.
Universal Logistics Holdings, Inc.
USA Truck, Inc. (a)
Werner Enterprises, Inc.
Wesco Aircraft Holdings, Inc. (a)
Willis Lease Finance Corp. (a)
World Fuel Services Corp.
XPO Logistics, Inc. (a)
YRC Worldwide, Inc. (a)
QUANTITATIVE MASTER SERIES LLC
3,736
4,790
1,233
1,622
6,158
8,960
1,351
10,630
12,259
4,920
Value
$
27,833
75,682
20,160
14,128
165,958
133,952
34,559
488,023
529,098
65,338
8,550,945
Leisure Goods — 0.8%
Arctic Cat, Inc.
Black Diamond, Inc. (a)
Brunswick Corp.
Callaway Golf Co.
Eastman Kodak Co. (a)
Escalade, Inc.
Fitbit, Inc., Series A (a)
Fox Factory Holding Corp. (a)
Glu Mobile, Inc. (a)
GoPro, Inc., Class A (a)(b)
LCI Industries
Malibu Boats, Inc. (a)
Marine Products Corp.
Nautilus, Inc. (a)
Polaris Industries, Inc.
Pool Corp.
Take-Two Interactive Software, Inc. (a)
Thor Industries, Inc.
Universal Electronics, Inc. (a)
Vista Outdoor, Inc. (a)
Winnebago Industries, Inc.
Zedge, Inc., Class B (a)
2,143
4,738
13,523
14,931
6,100
2,070
20,556
5,319
17,785
15,121
3,780
3,744
1,493
4,821
9,046
6,438
13,053
7,223
2,235
9,083
4,162
4,053
32,188
25,348
737,544
163,644
94,550
27,324
150,470
147,602
34,503
131,704
407,295
71,436
20,708
89,189
745,300
671,741
643,382
722,661
144,269
335,163
131,727
12,686
5,540,434
Life Insurance — 0.3%
American Equity Investment Life Holding Co.
AMERISAFE, Inc.
Atlantic American Corp.
Citizens, Inc. (a)(b)
CNO Financial Group, Inc.
eHealth, Inc. (a)
Employers Holdings, Inc.
FBL Financial Group, Inc., Class A
Genworth Financial, Inc., Class A (a)
Independence Holding Co.
National Western Life Group, Inc., Class A
Primerica, Inc.
11,676
3,104
2,927
8,213
26,587
2,920
4,842
1,432
72,971
1,686
376
6,834
263,177
193,534
12,001
80,652
509,141
31,098
191,743
111,911
278,020
32,961
116,861
472,571
2,293,670
Media — 3.6%
Acxiom Corp. (a)
AH Belo Corp., Class A
AMC Networks, Inc., Class A (a)
Ascent Capital Group, Inc., Class A (a)
Avid Technology, Inc. (a)
Bankrate, Inc. (a)
Beasley Broadcasting Group, Inc., Class A
Cable One, Inc.
Clear Channel Outdoor Holdings, Inc., Class A
ComScore, Inc. (a)
CSS Industries, Inc.
CTN Media Group, Inc. (a)
Cumulus Media, Inc., Class A (a)
DISH Network Corp., Class A (a)
See Notes to Financial Statements.
12
Shares
DECEMBER 31, 2016
11,802
3,599
9,248
2,129
5,767
7,128
784
747
5,624
7,063
1,461
50
3,185
34,559
316,294
22,854
484,040
34,618
25,375
78,764
4,861
464,432
28,401
223,050
39,549
—
3,249
2,002,003
Schedule of Investments (continued)
Common Stocks
Media (continued)
Dolby Laboratories, Inc., Class A
Emmis Communications Corp., Class A (a)
Entercom Communications Corp., Class A
Entravision Communications Corp., Class A
EW Scripps Co., Class A (a)
FactSet Research Systems, Inc.
Formula One Group, Class A (a)
Formula One Group, Class C (a)
Gannett Co., Inc.
Global Eagle Entertainment, Inc. (a)
Graham Holdings Co., Class B
Gray Television, Inc. (a)
Groupon, Inc. (a)
Harte-Hanks, Inc.
John Wiley & Sons, Inc., Class A
Lamar Advertising Co., Class A
Lee Enterprises, Inc. (a)
Liberty Broadband Corp., Class A (a)
Liberty Broadband Corp., Class C (a)
Liberty Global PLC, Class A (a)
Liberty Global PLC, Class C (a)
Liberty Global PLC LiLAC, Class A (a)
Liberty Global PLC LiLAC, Class C (a)
Liberty Interactive Corp QVC Group, Series A (a)
Liberty SiriusXM Group, Class A (a)
Liberty SiriusXM Group, Class C (a)
Lions Gate Entertainment Corp., Class A
Lions Gate Entertainment Corp., Class B (a)
Live Nation Entertainment, Inc. (a)
Marchex, Inc., Class B (a)
The McClatchy Co., Class A (a)
Media General, Inc. (a)
Meredith Corp.
Morningstar, Inc.
MSG Networks, Inc., Class A (a)
National CineMedia, Inc.
New Media Investment Group, Inc.
New York Times Co., Class A
Nexstar Broadcasting Group, Inc., Class A
Outfront Media, Inc.
Pandora Media, Inc. (a)
QuinStreet, Inc. (a)
Quotient Technology, Inc. (a)
Remark Media, Inc. (a)(b)
RetailMeNot, Inc. (a)
Rubicon Project, Inc. (a)
Saga Communications, Inc., Class A
Scholastic Corp.
Sinclair Broadcast Group, Inc., Class A
Sirius XM Holdings, Inc.
Spanish Broadcasting System, Inc., Class A (a)
SPAR Group, Inc. (a)
TechTarget, Inc. (a)
TheStreet, Inc.
Time, Inc.
Tribune Media Co., Class A
TRONC, Inc.
Value Line, Inc.
WebMD Health Corp. (a)
XO Group, Inc. (a)
Yelp, Inc. (a)
Shares
8,934
2,653
4,346
10,513
8,572
6,123
3,415
6,777
17,822
7,875
660
10,007
60,701
6,749
6,748
12,563
8,464
4,076
10,186
39,624
96,606
7,846
18,370
66,900
13,849
25,336
12,466
16,634
20,179
5,246
1,090
15,632
5,493
2,851
9,903
9,730
9,733
18,334
4,695
21,224
34,802
7,427
10,529
4,264
6,625
6,574
1,046
4,495
9,315
265,230
1,474
3,165
2,802
16,585
15,065
11,076
3,616
906
5,699
4,167
8,984
Master Extended Market Index Series
Value
$
403,727
8,702
66,494
73,591
165,697
1,000,682
107,060
212,323
173,052
50,873
337,887
108,576
201,527
10,191
367,766
844,736
24,546
295,347
754,477
1,212,098
2,869,198
172,298
388,893
1,336,662
478,067
859,397
335,335
408,198
536,761
13,902
14,366
294,351
324,911
209,720
212,915
143,323
155,631
243,842
297,193
527,841
453,818
27,926
113,187
16,715
61,613
48,779
52,614
213,468
310,655
1,180,273
4,496
3,165
23,901
14,097
268,910
387,438
50,154
17,667
282,499
81,048
342,560
23,924,629
Mining — 0.6%
Arch Coal, Inc. (a)
Cloud Peak Energy, Inc. (a)
Coeur Mining, Inc. (a)
3,734
9,192
26,194
291,439
51,567
238,104
Common Stocks
Mining (continued)
Compass Minerals International, Inc.
CONSOL Energy, Inc.
Fairmount Santrol Holdings, Inc. (a)
General Moly, Inc. (a)
Gold Resource Corp.
Golden Minerals Co. (a)(b)
Hecla Mining Co.
Pershing Gold Corp. (a)(b)
Royal Gold, Inc.
Solitario Exploration & Royalty Corp. (a)
Stillwater Mining Co. (a)
SunCoke Energy, Inc.
U.S. Silica Holdings, Inc.
Westmoreland Coal Co. (a)
Shares
5,446
27,128
23,727
21,436
8,706
9,302
61,702
5,475
9,867
15,315
18,398
9,743
10,946
3,275
Value
$
426,694
494,543
279,741
5,361
37,871
5,396
323,319
17,903
625,074
9,747
296,392
110,486
620,419
57,869
3,891,925
Mobile Telecommunications — 1.0%
ATN International, Inc.
Globalstar, Inc. (a)
Iridium Communications, Inc. (a)
NII Holdings, Inc. (a)
ORBCOMM, Inc. (a)
pdvWireless, Inc. (a)(b)
SBA Communications Corp., Class A (a)
Shenandoah Telecommunications Co.
Spok Holdings, Inc.
Sprint Corp. (a)
T-Mobile U.S., Inc. (a)
Telephone & Data Systems, Inc.
United States Cellular Corp. (a)
1,577
50,267
12,372
14,857
10,768
1,832
19,097
6,758
3,740
95,860
43,914
13,666
1,710
126,365
79,422
118,771
31,943
89,051
41,312
1,971,956
184,493
77,605
807,141
2,525,494
394,538
74,761
6,522,852
Nonlife Insurance — 3.6%
Alleghany Corp. (a)
Allied World Assurance Co. Holdings AG
Ambac Financial Group, Inc. (a)
American Financial Group, Inc.
American National Insurance Co.
AmTrust Financial Services, Inc.
Arch Capital Group Ltd. (a)
Argo Group International Holdings Ltd.
Aspen Insurance Holdings Ltd.
Assured Guaranty Ltd.
Axis Capital Holdings Ltd.
Baldwin & Lyons, Inc., Class B
Brown & Brown, Inc.
CNA Financial Corp.
Donegal Group, Inc., Class A
EMC Insurance Group, Inc.
Endurance Specialty Holdings Ltd.
Enstar Group Ltd. (a)
Erie Indemnity Co., Class A
Everest Re Group Ltd.
Federated National Holding Co.
First Acceptance Corp. (a)
First American Financial Corp.
Global Indemnity, Ltd. (a)
Greenlight Capital Re Ltd., Class A (a)
Hanover Insurance Group, Inc.
HCI Group, Inc.
Heritage Insurance Holdings, Inc.
Hilltop Holdings, Inc.
Horace Mann Educators Corp.
Infinity Property & Casualty Corp.
James River Group Holdings Ltd.
Kemper Corp.
Maiden Holdings Ltd.
2,323
13,364
6,380
10,964
1,133
16,477
18,582
4,567
8,994
19,311
13,198
2,261
17,387
4,047
2,337
1,652
9,685
1,653
2,694
6,141
2,537
8,599
16,805
1,701
5,039
6,362
1,768
4,282
12,181
6,108
1,707
3,102
7,415
11,098
1,412,663
717,780
143,550
966,148
141,183
451,140
1,603,441
300,965
494,670
729,376
861,433
56,977
779,981
167,951
40,851
49,577
894,894
326,798
302,940
1,328,912
47,417
8,943
615,567
64,995
114,889
579,006
69,801
67,099
362,994
261,422
150,045
128,888
328,485
193,660
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
13
Schedule of Investments (continued)
Common Stocks
Nonlife Insurance (continued)
Markel Corp. (a)
MBIA, Inc. (a)
Mercury General Corp.
National General Holdings Corp.
Navigators Group, Inc.
Old Republic International Corp.
OneBeacon Insurance Group Ltd., Class A
Prism Technologies Group, Inc. (a)
ProAssurance Corp.
Reinsurance Group of America, Inc.
RenaissanceRe Holdings Ltd.
RLI Corp.
Safety Insurance Group, Inc.
Selective Insurance Group, Inc.
State Auto Financial Corp.
State National Cos., Inc.
Third Point Reinsurance Ltd. (a)
United Fire Group, Inc.
United Insurance Holdings Corp.
Universal Insurance Holdings, Inc.
Validus Holdings Ltd.
W.R. Berkley Corp.
White Mountains Insurance Group Ltd.
Shares
2,139
19,667
3,553
9,620
1,797
36,839
3,598
1,044
7,994
9,662
6,043
5,685
2,336
8,303
2,450
5,202
9,561
3,306
3,080
4,997
11,933
14,911
711
Master Extended Market Index Series
Value
$
1,934,725
210,437
213,926
240,404
211,597
699,941
57,748
313
449,263
1,215,769
823,177
358,894
172,163
357,444
65,685
72,100
110,430
162,556
46,631
141,915
656,434
991,731
594,432
24,552,156
Oil & Gas Producers — 2.8%
Abraxas Petroleum Corp. (a)
Adams Resources & Energy, Inc.
Alon USA Energy, Inc.
Approach Resources, Inc. (a)
Barnwell Industries, Inc. (a)
Bill Barrett Corp. (a)
Bonanza Creek Energy, Inc. (a)(b)
California Resources Corp. (a)
Callon Petroleum Co. (a)
Carrizo Oil & Gas, Inc. (a)
Centennial Resource Development, Inc., Class A (a)
Cheniere Energy, Inc. (a)
Clayton Williams Energy, Inc. (a)
Cobalt International Energy, Inc. (a)
Comstock Resources, Inc. (a)(b)
Contango Oil & Gas Co. (a)
Continental Resources, Inc. (a)
CVR Energy, Inc.
Dawson Geophysical Co. (a)
Delek U.S. Holdings, Inc.
Denbury Resources, Inc. (a)
Diamondback Energy, Inc. (a)
Eclipse Resources Corp. (a)
Energen Corp. (a)
EP Energy Corp., Class A (a)
Era Group, Inc. (a)
Evolution Petroleum Corp.
EXCO Resources, Inc. (a)
Gastar Exploration, Inc. (a)
Gulfport Energy Corp. (a)
Halcon Resources Corp. (a)
Harvest Natural Resources, Inc. (a)
HollyFrontier Corp.
Houston American Energy Corp. (a)
Isramco, Inc. (a)
Kosmos Energy Ltd. (a)
Laredo Petroleum, Inc. (a)
Magellan Petroleum Corp. (a)
Matador Resources Co. (a)
Nabors Industries Ltd.
Northern Oil and Gas, Inc. (a)
26,599
460
4,552
5,719
4,904
10,675
6,854
6,902
24,961
9,874
5,948
36,196
1,182
50,294
2,950
4,568
13,189
2,373
5,308
8,207
62,278
12,039
13,713
14,820
8,656
2,473
8,686
28,887
27,518
19,474
5,191
2,345
26,750
5,104
299
26,027
21,343
3,259
14,824
42,757
8,538
68,359
18,239
51,802
19,159
8,043
74,618
6,991
146,944
383,651
368,794
117,295
1,499,600
140,965
61,359
29,057
42,665
679,761
60,250
42,676
197,542
229,183
1,216,661
36,614
854,669
56,697
41,967
86,860
25,239
42,653
421,417
48,484
14,492
876,330
909
37,166
182,449
301,790
36,664
381,866
701,215
23,479
Common Stocks
Oil & Gas Producers (continued)
Oasis Petroleum, Inc. (a)
Pacific Ethanol, Inc. (a)
Panhandle Oil and Gas, Inc., Class A
Parsley Energy, Inc., Class A (a)
PBF Energy, Inc., Class A
PDC Energy, Inc. (a)
PetroQuest Energy, Inc. (a)
Pioneer Energy Services Corp. (a)
QEP Resources, Inc.
Resolute Energy Corp. (a)
Rex Energy Corp. (a)
Rice Energy, Inc. (a)
Ring Energy, Inc. (a)
RSP Permian, Inc. (a)
Sanchez Energy Corp. (a)
SemGroup Corp., Class A
SM Energy Co.
Syntroleum Corp. (a)
Targa Resources Corp.
Torchlight Energy Resources, Inc. (a)(b)
Trecora Resources (a)
Triangle Petroleum Corp. (a)(b)
VAALCO Energy, Inc. (a)
W&T Offshore, Inc. (a)
Western Refining, Inc.
Whiting Petroleum Corp. (a)
WPX Energy, Inc. (a)
Zion Oil & Gas, Inc. (a)
QUANTITATIVE MASTER SERIES LLC
36,278
6,461
3,182
23,857
14,864
8,598
2,933
10,165
36,814
2,135
39,593
18,655
8,085
14,013
8,884
7,987
14,914
2,214
27,622
15,877
4,189
11,728
10,701
5,629
12,046
42,577
52,600
14,230
Value
$
549,249
61,379
74,936
840,721
414,408
624,043
9,708
69,630
677,746
87,941
18,656
398,284
105,024
625,260
80,223
333,457
514,235
—
1,548,766
18,735
58,018
2,768
11,129
15,592
455,941
511,776
766,382
19,495
18,528,076
Oil Equipment, Services & Distribution — 1.4%
Archrock, Inc.
Atwood Oceanics, Inc.
Bristow Group, Inc.
CARBO Ceramics, Inc. (a)
Chart Industries, Inc. (a)
Core Laboratories NV
Diamond Offshore Drilling, Inc.
Dril-Quip, Inc. (a)
Ensco PLC, Class A
Exterran Corp. (a)
Flotek Industries, Inc. (a)
Forum Energy Technologies, Inc. (a)
Frank’s International NV (b)
Geospace Technologies Corp. (a)
Gulf Island Fabrication, Inc.
Gulfmark Offshore, Inc., Class A (a)
Helix Energy Solutions Group, Inc. (a)
Hornbeck Offshore Services, Inc. (a)
ION Geophysical Corp. (a)
Matrix Service Co. (a)
McDermott International, Inc. (a)
Mitcham Industries, Inc. (a)
MRC Global, Inc. (a)
Natural Gas Services Group, Inc. (a)
Newpark Resources, Inc. (a)
Noble Corp. PLC
NOW, Inc. (a)
Oceaneering International, Inc.
OGE Energy Corp.
Oil States International, Inc. (a)
Par Pacific Holdings, Inc. (a)
Parker Drilling Co. (a)
Patterson-UTI Energy, Inc.
PHI, Inc. (a)
Rowan Cos. PLC, Class A
RPC, Inc.
See Notes to Financial Statements.
14
Shares
DECEMBER 31, 2016
10,345
8,759
5,197
2,969
4,840
6,667
9,726
5,798
44,868
5,172
8,081
11,673
9,047
2,032
2,513
4,514
16,747
5,026
1,418
4,118
35,472
4,047
14,516
2,129
13,319
36,851
16,086
14,799
30,032
8,015
7,652
19,733
22,573
1,452
18,906
9,161
136,554
115,006
106,435
31,056
174,337
800,307
172,150
348,170
436,117
123,611
75,881
256,806
111,369
41,372
29,905
7,899
147,709
36,288
8,508
93,479
262,138
16,795
294,094
68,447
99,892
218,158
329,280
417,480
1,004,570
312,585
111,260
51,306
607,665
26,165
357,134
181,479
Schedule of Investments (continued)
Common Stocks
Oil Equipment, Services & Distribution (continued)
SEACOR Holdings, Inc. (a)
Superior Energy Services, Inc.
Tesco Corp.
TETRA Technologies, Inc. (a)
Tidewater, Inc.
Unit Corp. (a)
Weatherford International PLC (a)
Willbros Group, Inc. (a)
Shares
2,530
22,991
8,172
15,131
6,879
8,312
147,861
9,067
Master Extended Market Index Series
Value
$
180,338
388,088
67,419
75,958
23,457
223,343
737,826
29,377
9,337,213
Personal Goods — 0.9%
Avon Products, Inc.
Carter’s, Inc.
Cherokee, Inc. (a)
Columbia Sportswear Co.
Crocs, Inc. (a)
Culp, Inc.
Deckers Outdoor Corp. (a)
Fossil Group, Inc. (a)
G-III Apparel Group Ltd. (a)
Helen of Troy Ltd. (a)
Iconix Brand Group, Inc. (a)
Inter Parfums, Inc.
Kate Spade & Co. (a)
Lakeland Industries, Inc. (a)
lululemon athletica, Inc. (a)
Movado Group, Inc.
Nu Skin Enterprises, Inc., Class A
Orchids Paper Products Co.
Oxford Industries, Inc.
Perry Ellis International, Inc. (a)
Revlon, Inc., Class A (a)
Rocky Brands, Inc.
Sequential Brands Group, Inc. (a)
Skechers U.S.A., Inc., Class A (a)
Steven Madden Ltd. (a)
Unifi, Inc. (a)
Vera Bradley, Inc. (a)
Vince Holding Corp. (a)
Weyco Group, Inc.
Wolverine World Wide, Inc.
65,408
7,612
1,956
4,110
11,409
2,014
4,841
6,527
6,412
4,169
9,546
2,513
19,689
2,101
16,248
2,476
7,874
1,530
2,185
2,072
1,899
1,306
7,426
20,341
8,495
2,485
3,075
2,985
1,357
15,101
329,656
657,601
20,538
239,613
78,266
74,820
268,143
168,788
189,539
352,072
89,160
82,301
367,594
21,850
1,055,957
71,185
376,220
40,055
131,384
51,613
55,356
15,084
34,754
499,982
303,696
81,086
36,039
12,089
42,474
331,467
6,078,382
Pharmaceuticals & Biotechnology — 5.0%
ACADIA Pharmaceuticals, Inc. (a)
Accelerate Diagnostics, Inc. (a)
Acceleron Pharma, Inc. (a)
AcelRx Pharmaceuticals, Inc. (a)
Achillion Pharmaceuticals, Inc. (a)
Aclaris Therapeutics, Inc. (a)
Acorda Therapeutics, Inc. (a)
Acura Pharmaceuticals, Inc. (a)(b)
Adamas Pharmaceuticals, Inc. (a)
Adamis Pharmaceuticals Corp. (a)(b)
Aduro Biotech, Inc. (a)
Advaxis, Inc. (a)
Adverum Biotechnologies, Inc. (a)
Aerie Pharmaceuticals, Inc. (a)
Aevi Genomic Medicine, Inc. (a)
Agenus, Inc. (a)
Agios Pharmaceuticals, Inc. (a)
Aimmune Therapeutics, Inc. (a)
Akebia Therapeutics, Inc. (a)
Akorn, Inc. (a)
Albany Molecular Research, Inc. (a)
Alder Biopharmaceuticals, Inc. (a)
Aldeyra Therapeutics, Inc. (a)
14,086
3,723
4,714
6,998
18,775
2,540
6,967
3,204
2,439
4,970
4,726
5,697
2,724
5,385
7,157
11,520
5,310
3,518
5,628
13,339
4,097
6,773
2,978
406,240
77,252
120,301
18,195
77,541
68,936
130,980
2,456
41,219
15,656
53,876
40,791
7,900
203,822
37,073
47,462
221,586
71,943
58,587
291,190
76,860
140,878
15,932
Common Stocks
Pharmaceuticals & Biotechnology (continued)
Alimera Sciences, Inc. (a)(b)
Alkermes PLC (a)
Alnylam Pharmaceuticals, Inc. (a)
AMAG Pharmaceuticals, Inc. (a)
Amicus Therapeutics, Inc. (a)
Amphastar Pharmaceuticals, Inc. (a)
Ampio Pharmaceuticals, Inc. (a)(b)
Anavex Life Sciences Corp. (a)(b)
ANI Pharmaceuticals, Inc. (a)
Anthera Pharmaceuticals, Inc. (a)
Applied Genetic Technologies Corp. (a)
Apricus Biosciences, Inc. (a)
Aptevo Therapeutics, Inc. (a)
Aquinox Pharmaceuticals, Inc. (a)
Aratana Therapeutics, Inc. (a)
Arena Pharmaceuticals, Inc. (a)
Ariad Pharmaceuticals, Inc. (a)
ArQule, Inc. (a)
Array BioPharma, Inc. (a)
Arrowhead Pharmaceuticals, Inc. (a)(b)
Assembly Biosciences, Inc. (a)
Atara Biotherapeutics, Inc. (a)
Athersys, Inc. (a)(b)
AVEO Pharmaceuticals, Inc. (a)
Avexis, Inc. (a)
Aviragen Therapeutics, Inc. (a)
Bio-Path Holdings, Inc. (a)(b)
Bio-Techne Corp.
BioCryst Pharmaceuticals, Inc. (a)
BioDelivery Sciences International, Inc. (a)(b)
BioMarin Pharmaceutical, Inc. (a)
Biospecifics Technologies Corp. (a)
Biotime, Inc. (a)(b)
Bluebird Bio, Inc. (a)
Calithera Biosciences, Inc. (a)
Capricor Therapeutics, Inc. (a)(b)
Cara Therapeutics, Inc. (a)
Cascadian Therapeutics, Inc. (a)
CASI Pharmaceuticals, Inc. (a)
Catalent, Inc. (a)
Catalyst Pharmaceutical, Inc. (a)(b)
CEL-SCI Corp. (a)
Celldex Therapeutics, Inc. (a)
Cellular Biomedicine Group, Inc. (a)
Cempra, Inc. (a)(b)
Cerus Corp. (a)
Charles River Laboratories International, Inc. (a)
Chiasma, Inc. (a)
Chimerix, Inc. (a)
Cleveland BioLabs, Inc. (a)
Clovis Oncology, Inc. (a)
Coherus Biosciences, Inc. (a)
Collegium Pharmaceutical, Inc. (a)
Concert Pharmaceuticals, Inc. (a)
ContraVir Pharmaceuticals, Inc. (a)(b)
Corbus Pharmaceuticals Holdings, Inc. (a)(b)
Corcept Therapeutics, Inc. (a)
CorMedix, Inc. (a)(b)
CTI BioPharma Corp. (a)
Cumberland Pharmaceuticals, Inc. (a)
Curis, Inc. (a)
Cytokinetics, Inc. (a)
CytomX Therapeutics, Inc. (a)
Cytori Therapeutics, Inc. (a)(b)
CytRx Corp. (a)
Depomed, Inc. (a)
Dermira, Inc. (a)
Shares
7,469
23,312
10,795
5,495
21,883
5,565
8,902
8,408
1,215
5,522
2,151
1,237
2,249
4,402
4,787
36,143
29,611
14,883
27,191
11,227
2,704
3,237
16,987
13,305
3,058
9,180
16,724
5,650
10,728
8,009
26,423
943
9,573
5,658
2,540
1,665
4,726
2,537
7,740
19,937
12,442
21,543
14,541
1,597
7,488
15,994
7,243
6,599
6,230
2,800
5,926
4,633
3,841
2,663
18,000
6,152
12,029
7,588
26,414
4,500
19,155
6,535
3,758
2,594
9,758
9,157
4,023
Value
$
8,067
1,295,681
404,165
191,226
108,759
102,507
8,014
33,296
73,653
3,584
20,112
1,608
5,488
72,677
34,371
51,323
368,361
18,753
239,009
17,402
32,854
45,965
25,990
7,185
145,958
11,291
22,577
580,989
67,908
14,016
2,188,881
52,525
34,559
349,099
8,255
4,429
43,905
10,934
8,901
537,502
13,064
1,448
51,475
20,921
20,966
69,574
551,844
12,868
28,658
3,976
263,233
130,419
59,804
27,402
21,600
51,984
87,331
11,610
10,645
24,750
58,997
79,400
41,300
3,917
3,632
165,009
122,018
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
15
Schedule of Investments (continued)
Common Stocks
Pharmaceuticals & Biotechnology (continued)
Dicerna Pharmaceuticals, Inc. (a)
Durect Corp. (a)
Dynavax Technologies Corp. (a)
Eagle Pharmaceuticals, Inc. (a)
Edge Therapeutics, Inc. (a)
Editas Medicine, Inc. (a)
Egalet Corp. (a)
Eiger Biopharmaceuticals, Inc. (a)
Emergent Biosolutions, Inc. (a)
Enanta Pharmaceuticals, Inc. (a)
Endocyte, Inc. (a)
Enzo Biochem, Inc. (a)
Epizyme, Inc. (a)
Esperion Therapeutics, Inc. (a)
Exact Sciences Corp. (a)
Exelixis, Inc. (a)
Fate Therapeutics, Inc. (a)
Fibrocell Science, Inc. (a)
FibroGen, Inc. (a)
Five Prime Therapeutics, Inc. (a)
Flex Pharma, Inc. (a)
Flexion Therapeutics, Inc. (a)
Fortress Biotech, Inc. (a)(b)
Foundation Medicine, Inc. (a)
Galena Biopharma, Inc. (a)(b)
Genocea Biosciences, Inc. (a)
Genomic Health, Inc. (a)
GenVec, Inc. (a)
Geron Corp. (a)(b)
Global Blood Therapeutics, Inc. (a)
GTx, Inc. (a)
Halozyme Therapeutics, Inc. (a)
Harvard Bioscience, Inc. (a)
Heat Biologics, Inc. (a)(b)
Hemispherx Biopharma, Inc. (a)
Heron Therapeutics, Inc. (a)
Histogenics Corp. (a)
Horizon Pharma PLC (a)
iBio, Inc. (a)
Idera Pharmaceuticals, Inc. (a)
Ignyta, Inc. (a)
Immune Design Corp. (a)
ImmunoGen, Inc. (a)
Immunomedics, Inc. (a)(b)
Impax Laboratories, Inc. (a)
INC Research Holdings, Inc., Class A (a)
Incyte Corp. (a)
Infinity Pharmaceuticals, Inc. (a)
Innoviva, Inc. (a)
Inotek Pharmaceuticals Corp. (a)
Inovio Pharmaceuticals, Inc. (a)
Insmed, Inc. (a)
Insys Therapeutics, Inc. (a)(b)
Intercept Pharmaceuticals, Inc. (a)
Intrexon Corp. (a)
Invitae Corp., cost $28,390,380) (Acquired 10/08/14,
cost (a)
InVivo Therapeutics Holdings Corp. (a)(b)
Ionis Pharmaceuticals, Inc. (a)
Ironwood Pharmaceuticals, Inc. (a)
IsoRay, Inc. (a)
Jazz Pharmaceuticals PLC (a)
Juniper Pharmaceuticals, Inc. (a)
KalVista Pharmaceuticals, Inc. (a)
Karyopharm Therapeutics, Inc. (a)
KemPharm, Inc. (a)
Keryx Biopharmaceuticals, Inc. (a)(b)
Shares
2,670
19,556
6,009
1,253
3,751
2,530
2,864
1,169
5,255
2,059
7,477
8,028
6,286
2,194
16,377
34,745
4,030
4,586
8,044
4,356
2,196
3,651
6,807
2,028
1,385
3,917
2,857
826
25,126
3,298
1,784
17,395
6,840
2,991
5,727
5,286
1,354
24,357
21,015
15,546
6,135
1,494
12,865
20,713
10,889
8,229
26,843
7,013
12,381
3,215
10,866
9,141
3,557
2,687
9,146
Master Extended Market Index Series
Value
$
7,690
26,205
23,736
99,413
46,887
41,062
21,910
13,619
172,574
68,976
19,066
55,714
76,061
27,469
218,797
518,048
10,115
2,889
172,142
218,279
11,595
69,442
18,379
35,896
2,687
16,138
83,967
2,651
52,011
47,656
9,420
171,863
20,862
2,557
3,950
69,247
2,261
394,096
8,301
23,319
32,516
8,217
26,245
76,017
144,279
432,845
2,691,548
9,468
132,477
19,612
75,410
120,935
32,724
291,943
222,248
4,225
5,769
18,717
19,973
15,938
9,068
2,517
258
3,090
4,202
16,183
33,546
24,230
895,234
305,387
9,244
988,684
14,095
1,824
29,046
12,396
94,832
Common Stocks
Pharmaceuticals & Biotechnology (continued)
Kite Pharma, Inc. (a)
La Jolla Pharmaceutical Co. (a)
Lannett Co., Inc. (a)(b)
Lexicon Pharmaceuticals, Inc. (a)
Ligand Pharmaceuticals, Inc. (a)
Lion Biotechnologies, Inc. (a)
Loxo Oncology, Inc. (a)
Luminex Corp. (a)
MacroGenics, Inc. (a)
Madrigal Pharmaceuticals, Inc. (a)
MannKind Corp. (a)(b)
Mast Therapeutics, Inc. (a)
Medicines Co. (a)
MediciNova, Inc. (a)(b)
MEI Pharma, Inc. (a)
Merrimack Pharmaceuticals, Inc. (a)
Microbot Medical, Inc. (a)(b)
MiMedx Group, Inc. (a)
Minerva Neurosciences, Inc. (a)
Mirati Therapeutics, Inc. (a)
Momenta Pharmaceuticals, Inc. (a)
Myriad Genetics, Inc. (a)
NanoString Technologies, Inc. (a)
NantKwest, Inc. (a)
Nektar Therapeutics (a)
Neothetics, Inc. (a)
Neuralstem, Inc. (a)
Neurocrine Biosciences, Inc. (a)
NewLink Genetics Corp. (a)
Novavax, Inc. (a)(b)
Ohr Pharmaceutical, Inc. (a)
Omeros Corp. (a)(b)
Oncocyte Corp. (a)
OncoMed Pharmaceuticals, Inc. (a)
Ophthotech Corp. (a)
OPKO Health, Inc. (a)(b)
Orexigen Therapeutics, Inc. (a)(b)
Organovo Holdings, Inc. (a)
Osiris Therapeutics, Inc. (a)
Otonomy, Inc. (a)
OvaScience, Inc. (a)
Pacific Biosciences of California, Inc. (a)
Pacira Pharmaceuticals, Inc. (a)
Pain Therapeutics, Inc. (a)
Palatin Technologies, Inc. (a)
Paratek Pharmaceuticals, Inc. (a)
PDL BioPharma, Inc.
Peregrine Pharmaceuticals, Inc. (a)
Pernix Therapeutics Holdings, Inc. (a)
Pfenex, Inc. (a)
PharmAthene, Inc. (a)
Portola Pharmaceuticals, Inc. (a)
PRA Health Sciences, Inc. (a)
Prestige Brands Holdings, Inc. (a)
Progenics Pharmaceuticals, Inc. (a)
Proteon Therapeutics, Inc. (a)(b)
Prothena Corp. PLC (a)
pSivida Corp. (a)
PTC Therapeutics, Inc. (a)
Puma Biotechnology, Inc. (a)
Quintiles Transnational Holdings, Inc. (a)
Radius Health, Inc. (a)
Recro Pharma, Inc. (a)
REGENXBIO, Inc. (a)
Regulus Therapeutics, Inc. (a)
Rennova Health, Inc. (a)(b)
Repligen Corp. (a)
See Notes to Financial Statements.
16
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Shares
6,697
2,049
4,569
6,848
2,895
7,492
1,984
6,445
4,979
558
39,844
50,199
10,582
4,864
8,459
20,058
245
15,260
2,856
4,241
9,395
10,288
2,146
4,139
25,270
1,616
17,361
13,195
3,137
41,203
9,287
6,534
478
3,414
4,442
54,705
1,808
12,913
2,766
4,226
5,645
11,755
5,782
8,736
23,498
2,653
23,556
35,720
763
2,551
14,512
8,510
5,912
7,922
10,933
1,374
5,335
6,822
4,711
4,673
20,531
5,619
2,418
3,300
4,368
782
5,025
Value
$
300,293
35,919
100,746
94,708
294,161
52,069
63,716
130,382
101,771
8,314
25,369
4,357
359,153
29,330
12,181
81,837
1,495
135,204
33,558
20,145
141,395
171,501
47,856
23,675
310,063
1,810
4,790
510,646
32,248
51,916
13,931
64,817
3,370
26,322
21,455
508,756
3,146
43,775
13,581
67,193
8,637
44,669
186,759
4,981
11,979
40,856
49,939
11,016
1,480
23,138
47,164
190,964
325,869
412,736
94,461
2,611
262,429
11,666
51,397
143,461
1,561,383
213,691
19,489
61,215
9,828
65
154,870
Schedule of Investments (continued)
Common Stocks
Pharmaceuticals & Biotechnology (continued)
Repros Therapeutics, Inc. (a)
Retrophin, Inc. (a)
Revance Therapeutics, Inc. (a)
Rexahn Pharmaceuticals, Inc. (a)
Rigel Pharmaceuticals, Inc. (a)
Sage Therapeutics, Inc. (a)
Sangamo Biosciences, Inc. (a)
Sarepta Therapeutics, Inc. (a)
Sciclone Pharmaceuticals, Inc. (a)
Seattle Genetics, Inc. (a)
Seres Therapeutics, Inc. (a)
Sorrento Therapeutics, Inc. (a)
Spectrum Pharmaceuticals, Inc. (a)
Stemline Therapeutics, Inc. (a)
Sucampo Pharmaceuticals, Inc., Class A (a)
Sunesis Pharmaceuticals, Inc. (a)
Supernus Pharmaceuticals, Inc. (a)
Synergy Pharmaceuticals, Inc. (a)
Synthetic Biologics, Inc. (a)(b)
Teligent, Inc. (a)
Tenax Therapeutics, Inc. (a)
Tetraphase Pharmaceuticals, Inc. (a)
TG Therapeutics, Inc. (a)
TherapeuticsMD, Inc. (a)(b)
Theravance Biopharma, Inc. (a)(b)
Threshold Pharmaceuticals, Inc. (a)
Titan Pharmaceuticals, Inc. (a)
Tokai Pharmaceuticals, Inc. (a)
Tonix Pharmaceuticals Holding Corp. (a)
Tracon Pharmaceuticals, Inc. (a)
Trevena, Inc. (a)
Trovagene, Inc. (a)
Trubion Pharmaceuticals, Inc.
Ultragenyx Pharmaceutical, Inc. (a)
United Therapeutics Corp. (a)
Vanda Pharmaceuticals, Inc. (a)
Verastem, Inc. (a)
Versartis, Inc. (a)
Vical, Inc. (a)
Vital Therapies, Inc. (a)(b)
Vivus, Inc. (a)
Voyager Therapeutics, Inc. (a)
WaVe Life Sciences Ltd. (a)
Windtree Therapeutics, Inc. (a)
Xencor, Inc. (a)
XOMA Corp. (a)
ZIOPHARM Oncology, Inc. (a)(b)
Zogenix, Inc. (a)
Shares
4,528
5,293
3,551
44,878
16,778
5,160
10,912
7,996
8,444
14,494
3,552
6,112
9,945
3,075
4,244
2,343
7,705
26,838
13,497
6,994
1,873
6,125
6,103
25,609
6,417
10,962
3,672
1,487
1,554
1,428
7,025
5,524
3,113
5,955
6,559
6,494
5,333
3,367
2,976
3,761
17,507
1,200
1,603
2,806
6,254
1,089
18,936
4,527
Master Extended Market Index Series
Value
$
5,977
100,196
73,506
6,368
39,932
263,470
33,282
219,330
91,195
764,848
35,165
29,949
44,056
32,903
57,506
8,482
194,551
163,443
10,293
46,230
3,652
24,684
28,379
147,764
204,574
4,834
14,688
1,454
731
6,997
41,307
11,600
—
418,696
940,757
103,579
5,973
50,168
6,845
16,360
20,133
15,288
41,918
3,479
164,605
4,596
101,308
55,003
33,582,013
Real Estate Investment & Services — 1.5%
AG Mortgage Investment Trust, Inc.
Alexander & Baldwin, Inc.
Altisource Portfolio Solutions SA (a)
American Realty Investors, Inc. (a)(b)
AV Homes, Inc. (a)
Black Knight Financial Services, Inc., Class A (a)
Chimera Investment Corp.
Columbia Property Trust, Inc.
Communications Sales & Leasing, Inc. (a)
Consolidated-Tomoka Land Co.
Dynex Capital, Inc.
Forest City Realty Trust, Inc., Class A
Forestar Group, Inc. (a)
Gaming and Leisure Properties, Inc.
Hannon Armstrong Sustainable Infrastructure Capital,
Inc.
4,544
7,453
1,818
1,631
2,544
3,577
25,996
18,064
22,376
1,011
8,841
33,228
4,591
29,459
77,748
334,416
48,341
8,432
40,195
135,211
442,452
390,182
568,574
54,008
60,296
692,472
61,060
902,035
8,464
160,731
Common Stocks
Real Estate Investment & Services (continued)
HFF, Inc., Class A
Howard Hughes Corp. (a)
InfraREIT, Inc. (a)
Jones Lang LaSalle, Inc.
Kennedy-Wilson Holdings, Inc.
Marcus & Millichap, Inc. (a)
Maui Land & Pineapple Co., Inc. (a)
Monogram Residential Trust, Inc.
Nationstar Mortgage Holdings, Inc. (a)
Paramount Group, Inc.
QTS Realty Trust, Inc., Class A
RE/MAX Holdings, Inc., Class A
Realogy Holdings Corp.
Reis, Inc.
Rexford Industrial Realty, Inc.
St. Joe Co. (a)
STORE Capital Corp.
Tejon Ranch Co. (a)
Xenia Hotels & Resorts, Inc.
Zillow Group, Inc., Class A (a)
Zillow Group, Inc., Class C (a)
Shares
5,216
5,538
6,218
6,713
13,764
2,728
5,106
26,236
5,186
27,237
7,599
2,929
21,577
1,837
10,138
10,898
23,739
2,659
15,639
6,744
16,073
Value
$
157,784
631,886
111,364
678,282
282,162
72,892
37,018
283,874
93,659
435,520
377,290
164,024
555,176
40,873
235,100
207,062
586,591
67,618
303,709
245,819
586,182
10,130,038
Real Estate Investment Trusts (REITs) — 8.7%
Acadia Realty Trust
AGNC Investment Corp.
Agree Realty Corp.
Alexander’s, Inc.
Alexandria Real Estate Equities, Inc.
Altisource Residential Corp.
American Assets Trust, Inc.
American Campus Communities, Inc.
American Homes 4 Rent, Class A
Annaly Capital Management, Inc.
Anworth Mortgage Asset Corp.
Apollo Commercial Real Estate Finance, Inc.
Apple Hospitality REIT, Inc.
Arbor Realty Trust, Inc.
Ares Commercial Real Estate Corp.
Arlington Asset Investment Corp., Class A
Armada Hoffler Properties, Inc.
ARMOUR Residential REIT, Inc.
Ashford Hospitality Prime, Inc.
Ashford Hospitality Trust, Inc.
Blackstone Mortgage Trust, Inc., Class A
Bluerock Residential Growth REIT, Inc.
Brandywine Realty Trust
Brixmor Property Group, Inc.
BRT Realty Trust (a)
Camden Property Trust
Capstead Mortgage Corp.
Care Capital Properties, Inc.
CareTrust REIT, Inc.
Catchmark Timber Trust, Inc., Class A
CBL & Associates Properties, Inc.
Cedar Realty Trust, Inc.
Chatham Lodging Trust
Chesapeake Lodging Trust
CIM Commercial Trust Corp.
Colony Capital, Inc., Class A
Colony Starwood Homes
Condor Hospitality Trust, Inc.
CoreCivic, Inc.
CorEnergy Infrastructure Trust, Inc.
Coresite Realty Corp.
Corporate Office Properties Trust
Cousins Properties, Inc.
12,259
49,652
4,285
498
11,935
9,073
5,923
20,116
34,242
152,007
16,369
10,760
24,383
9,585
6,966
1,883
6,546
5,832
5,078
13,385
14,099
5,761
26,057
40,346
3,601
13,159
13,401
12,635
12,118
7,387
25,400
12,109
6,442
8,980
1,904
16,809
7,490
985
17,915
2,295
5,210
13,663
51,389
400,624
900,191
197,324
212,581
1,326,337
100,166
255,163
1,001,173
718,397
1,515,510
84,628
178,831
487,172
71,504
95,643
27,906
95,375
126,496
69,315
103,868
423,957
79,041
430,201
985,249
29,492
1,106,277
136,556
315,875
185,648
83,178
292,100
79,072
132,383
232,223
29,417
340,382
215,787
1,980
438,201
80,050
413,518
426,559
437,320
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
17
Schedule of Investments (continued)
Common Stocks
Real Estate Investment Trusts (REITs) (continued)
CubeSmart
CyrusOne, Inc.
CYS Investments, Inc.
DCT Industrial Trust, Inc.
DDR Corp.
DiamondRock Hospitality Co.
Douglas Emmett, Inc.
Duke Realty Corp.
DuPont Fabros Technology, Inc.
Easterly Government Properties, Inc.
EastGroup Properties, Inc.
Education Realty Trust, Inc.
Empire State Realty Trust, Inc., Class A
EPR Properties
Equity Commonwealth (a)
Equity Lifestyle Properties, Inc.
Equity One, Inc.
FelCor Lodging Trust, Inc.
First Industrial Realty Trust, Inc.
First Potomac Realty Trust
Franklin Street Properties Corp.
Geo Group, Inc.
Getty Realty Corp.
Gladstone Commercial Corp.
Global Net Lease, Inc.
Government Properties Income Trust
Gramercy Property Trust
Healthcare Realty Trust, Inc.
Healthcare Trust of America, Inc., Class A
Hersha Hospitality Trust
Highwoods Properties, Inc.
Hospitality Properties Trust
Hudson Pacific Properties, Inc.
Independence Realty Trust, Inc.
Invesco Mortgage Capital, Inc.
Investors Real Estate Trust
iStar, Inc. (a)
Kilroy Realty Corp.
Kite Realty Group Trust
LaSalle Hotel Properties
Lexington Realty Trust
Liberty Property Trust
Life Storage, Inc.
LTC Properties, Inc.
Mack-Cali Realty Corp.
Medical Properties Trust, Inc.
MFA Financial, Inc.
Monmouth Real Estate Investment Corp.
MTGE Investment Corp.
National Health Investors, Inc.
National Retail Properties, Inc.
National Storage Affiliates Trust
New Residential Investment Corp.
New Senior Investment Group, Inc.
New York Mortgage Trust, Inc.
New York REIT, Inc.
NexPoint Residential Trust, Inc.
NorthStar Realty Europe Corp.
NorthStar Realty Finance Corp.
Omega Healthcare Investors, Inc.
One Liberty Properties, Inc.
Parkway, Inc. (a)
Pebblebrook Hotel Trust
Pennsylvania Real Estate Investment Trust
PennyMac Mortgage Investment Trust (c)
Physicians Realty Trust
Piedmont Office Realty Trust, Inc., Class A
Shares
27,112
11,372
22,334
13,783
48,692
28,628
21,422
53,050
11,311
4,683
4,835
11,089
18,394
9,827
19,392
12,194
13,874
19,873
17,418
9,864
15,738
11,131
4,438
5,033
27,324
8,160
62,662
16,761
22,778
6,587
15,482
24,756
18,344
13,622
16,844
19,805
11,959
13,909
12,411
16,772
31,494
21,970
6,845
6,172
13,234
48,184
53,544
12,241
7,285
5,939
22,126
6,068
38,156
13,583
18,994
25,678
3,178
9,768
27,321
30,187
3,098
8,271
10,510
10,348
10,450
20,695
20,451
Master Extended Market Index Series
Value
$
725,788
508,670
172,642
659,930
743,527
330,081
783,188
1,409,008
496,892
93,754
357,016
469,065
371,375
705,284
586,414
879,187
425,793
159,183
488,575
108,208
203,964
399,937
113,125
101,163
213,947
155,570
575,237
508,194
663,068
141,620
789,737
785,755
638,004
121,508
245,922
141,210
147,933
1,018,417
291,410
511,043
340,135
867,815
583,605
289,961
384,051
592,663
408,541
186,553
114,375
440,496
977,969
133,921
599,812
132,978
125,360
259,861
70,997
122,784
413,913
943,646
77,822
184,030
312,672
196,198
171,066
392,377
427,630
Common Stocks
Real Estate Investment Trusts (REITs) (continued)
Potlatch Corp.
Preferred Apartment Communities, Inc., Class A
PS Business Parks, Inc.
Quality Care Properties, Inc. (a)
RAIT Financial Trust
Ramco-Gershenson Properties Trust
Rayonier, Inc.
Redwood Trust, Inc.
Regency Centers Corp.
Resource Capital Corp.
Retail Opportunity Investments Corp.
Retail Properties of America, Inc., Class A
RLJ Lodging Trust
RMR Group, Inc., Class A
Sabra Health Care REIT, Inc.
Saul Centers, Inc.
Select Income REIT
Senior Housing Properties Trust
Seritage Growth Properties, Class A (b)
Silver Bay Realty Trust Corp.
Spirit Realty Capital, Inc.
STAG Industrial, Inc.
Starwood Property Trust, Inc.
Summit Hotel Properties, Inc.
Sun Communities, Inc.
Sunstone Hotel Investors, Inc.
Tanger Factory Outlet Centers, Inc.
Taubman Centers, Inc.
Terreno Realty Corp.
Tier REIT, Inc.
Two Harbors Investment Corp.
UMH Properties, Inc.
Universal Health Realty Income Trust
Urban Edge Properties
Urstadt Biddle Properties, Inc., Class A
VEREIT, Inc.
Walter Investment Management Corp. (a)(b)
Washington Prime Group, Inc.
Washington Real Estate Investment Trust
Weingarten Realty Investors
Western Asset Mortgage Capital Corp.
Whitestone REIT
WP Carey, Inc.
QUANTITATIVE MASTER SERIES LLC
6,073
5,436
2,790
14,098
12,466
12,330
18,797
12,292
15,850
5,570
15,872
36,165
18,148
1,340
9,890
1,841
9,802
35,803
3,458
6,204
73,104
12,673
37,799
13,782
10,279
32,183
14,522
9,740
8,380
7,404
54,500
5,693
1,725
13,543
3,630
150,932
5,793
27,493
10,568
17,562
7,954
5,219
15,958
Value
$
252,940
81,051
325,091
218,519
41,886
204,431
500,000
186,961
1,092,857
46,398
335,375
554,409
444,445
52,930
241,514
122,629
247,010
677,751
147,691
106,337
793,909
302,505
829,688
220,925
787,474
490,791
519,597
720,078
238,746
128,756
475,240
85,680
113,143
372,568
87,519
1,276,885
27,517
286,202
345,468
628,544
80,097
75,049
942,958
58,563,809
Software & Computer Services — 7.2%
2U, Inc. (a)
A10 Networks, Inc. (a)
ACI Worldwide, Inc. (a)
Actua Corp. (a)
Alarm.com Holdings, Inc. (a)
Allscripts Healthcare Solutions, Inc. (a)
American Software, Inc., Class A
Angie’s List, Inc. (a)
ANSYS, Inc. (a)
Arista Networks, Inc. (a)
Aspen Technology, Inc. (a)
athenahealth, Inc. (a)
Barracuda Networks, Inc. (a)
Benefitfocus, Inc. (a)
Blackbaud, Inc.
Blucora, Inc. (a)
Boingo Wireless, Inc. (a)
Bottomline Technologies, Inc. (a)
Box, Inc., Class A (a)
Brightcove, Inc. (a)
BroadSoft, Inc. (a)
See Notes to Financial Statements.
18
Shares
DECEMBER 31, 2016
6,407
6,913
17,713
6,343
2,074
28,232
5,062
5,706
13,241
6,448
11,975
5,991
4,369
2,324
7,177
6,758
6,907
6,070
9,161
5,883
4,650
193,171
57,447
321,491
88,802
57,719
288,249
52,290
46,960
1,224,660
623,973
654,793
630,073
93,628
69,023
459,328
99,681
84,196
151,871
126,971
47,358
191,812
Schedule of Investments (continued)
Common Stocks
Software & Computer Services (continued)
CACI International, Inc., Class A (a)
Cadence Design Systems, Inc. (a)
Calix, Inc. (a)
Callidus Software, Inc. (a)
Castlight Health, Inc., Class B (a)
CDW Corp.
ChannelAdvisor Corp. (a)
Ciber, Inc. (a)
Cogent Communications Group, Inc.
CommerceHub, Inc., Series A (a)
CommerceHub, Inc., Series C (a)
CommVault Systems, Inc. (a)
Computer Programs & Systems, Inc.
Computer Sciences Corp.
Computer Task Group, Inc.
Cornerstone OnDemand, Inc. (a)
Covisint Corp. (a)
CSG Systems International, Inc.
Datalink Corp. (a)
Dell Technologies, Inc., Class V (a)
Determine, Inc. (a)
DeVry Education Group, Inc.
Digimarc Corp. (a)
DST Systems, Inc.
Ebix, Inc.
eGain Corp. (a)
Ellie Mae, Inc. (a)
Endurance International Group Holdings, Inc. (a)
Envestnet, Inc. (a)
EPAM Systems, Inc. (a)
Evolving Systems, Inc.
Fair Isaac Corp.
FalconStor Software, Inc. (a)
FireEye, Inc. (a)
Five9, Inc. (a)
Forrester Research, Inc.
Fortinet, Inc. (a)
Gartner, Inc. (a)
Gigamon, Inc. (a)
GoDaddy, Inc., Class A (a)
Gogo, Inc. (a)(b)
Great Elm Capital Group, Inc. (a)
GSE Systems, Inc. (a)
Guidance Software, Inc. (a)
Guidewire Software, Inc. (a)
Hackett Group, Inc.
Hortonworks, Inc. (a)
HubSpot, Inc. (a)
IAC/InterActiveCorp
Immersion Corp. (a)
Innodata, Inc. (a)
Internap Corp. (a)
IntraLinks Holdings, Inc. (a)
j2 Global, Inc.
Jive Software, Inc. (a)
KEYW Holding Corp. (a)
Leidos Holdings, Inc.
Limelight Networks, Inc. (a)
LivePerson, Inc. (a)
LogMeIn, Inc.
Manhattan Associates, Inc. (a)
Mastech Holdings, Inc. (a)
Match Group, Inc. (a)(b)
Medidata Solutions, Inc. (a)
MeetMe, Inc. (a)
Mentor Graphics Corp.
MicroStrategy, Inc., Class A (a)
Shares
3,622
43,480
7,426
10,869
9,141
24,522
4,783
11,476
5,978
2,884
2,799
6,399
1,686
21,262
2,432
7,793
8,788
4,927
3,557
34,079
2,985
8,559
1,894
4,914
3,364
1,227
5,282
9,536
6,555
6,794
2,275
4,791
12,659
22,955
6,058
1,630
22,211
12,511
4,621
7,736
8,869
4,587
5,963
4,351
11,713
4,211
6,260
4,668
11,156
5,072
6,741
9,211
6,886
7,099
9,460
6,373
21,458
11,498
8,346
3,829
10,859
1,020
6,727
8,294
8,480
16,704
1,413
Master Extended Market Index Series
Value
$
450,215
1,096,566
57,180
182,599
45,248
1,277,351
68,636
7,251
247,190
43,289
42,069
328,909
39,790
1,263,388
10,239
329,722
16,697
238,467
40,052
1,873,323
5,522
267,041
56,820
526,535
191,916
2,577
441,998
88,685
231,064
436,922
9,328
571,183
5,695
273,164
85,963
70,009
668,995
1,264,487
210,487
270,373
81,772
17,201
20,871
30,805
577,802
74,366
52,021
219,396
722,797
53,915
16,515
14,185
93,099
580,698
41,151
75,138
1,097,362
28,975
63,012
369,690
575,853
6,946
115,032
411,963
41,806
616,211
278,926
Common Stocks
Software & Computer Services (continued)
Mitek Systems, Inc. (a)
MobileIron, Inc. (a)
Model N, Inc. (a)
Monotype Imaging Holdings, Inc.
Netscout Systems, Inc. (a)
New Relic, Inc. (a)
NIC, Inc.
Nuance Communications, Inc. (a)
Palo Alto Networks, Inc. (a)
Paycom Software, Inc. (a)
PC-Tel, Inc.
PDF Solutions, Inc. (a)
Pegasystems, Inc.
Perficient, Inc. (a)
Premier, Inc., Class A (a)
Progress Software Corp.
Proofpoint, Inc. (a)
PROS Holdings, Inc. (a)
PTC, Inc. (a)
Q2 Holdings, Inc. (a)
QAD, Inc., Class A
QAD, Inc., Class B
Quality Systems, Inc.
Qualys, Inc. (a)
RealPage, Inc. (a)
Rightside Group Ltd. (a)
RigNet, Inc. (a)
RingCentral, Inc., Class A (a)
Rocket Fuel, Inc. (a)
Rosetta Stone, Inc. (a)
Science Applications International Corp.
ServiceNow, Inc. (a)
Shutterstock, Inc. (a)
Silver Spring Networks, Inc. (a)
Smith Micro Software, Inc. (a)
SoftBrands, Inc.
Splunk, Inc. (a)
SPS Commerce, Inc. (a)
Square, Inc., Class A (a)
SS&C Technologies Holdings, Inc.
Support.com, Inc. (a)
Synchronoss Technologies, Inc. (a)
Synopsys, Inc. (a)
Syntel, Inc.
Tableau Software, Inc., Class A (a)
Tangoe, Inc. (a)
TeleNav, Inc. (a)
TiVo Corp. (a)
Twilio, Inc. (a)(b)
Twitter, Inc. (a)
Tyler Technologies, Inc. (a)
Ultimate Software Group, Inc. (a)
Unisys Corp. (a)
Vantiv, Inc., Class A (a)
Varonis Systems, Inc. (a)
VASCO Data Security International, Inc. (a)
Vectrus, Inc. (a)
Veeva Systems, Inc., Class A (a)
Verint Systems, Inc. (a)
VirnetX Holding Corp. (a)(b)
Virtusa Corp. (a)
VMware, Inc., Class A (a)(b)
Web.com Group, Inc. (a)
Workday, Inc., Class A (a)
Workiva, Inc. (a)
Zendesk, Inc. (a)
Zix Corp. (a)
Shares
6,170
8,172
4,111
6,127
14,040
4,759
9,602
40,375
14,088
6,073
4,538
4,645
5,608
5,910
8,583
7,313
6,680
4,092
17,897
4,257
906
1,021
6,990
4,507
8,368
2,809
2,435
9,479
5,595
3,678
6,700
25,166
2,987
6,698
3,086
114
20,788
2,618
2,654
26,496
17,347
6,422
23,173
4,141
9,222
4,872
5,854
18,079
3,381
91,654
5,214
4,533
7,423
23,974
2,808
4,683
1,852
15,648
9,491
6,877
4,107
10,948
8,012
18,828
3,410
11,186
10,588
Value
$
37,946
30,645
36,382
121,621
442,260
134,442
229,488
601,587
1,761,704
276,261
24,414
104,745
201,888
103,366
260,580
233,504
471,942
88,060
828,094
122,814
27,542
26,087
91,919
142,647
251,040
23,230
56,370
195,267
9,567
32,771
568,160
1,870,840
141,942
89,150
4,845
—
1,063,306
182,972
36,174
757,786
14,918
245,963
1,363,963
81,950
388,707
38,391
41,271
377,851
97,542
1,493,960
744,403
826,593
110,974
1,429,330
75,254
63,923
44,170
636,874
334,558
15,129
103,168
861,936
169,454
1,244,343
46,547
237,143
52,305
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
19
Schedule of Investments (continued)
Common Stocks
Software & Computer Services (continued)
Zynga, Inc., Class A (a)
Shares
116,831
Master Extended Market Index Series
Value
$
300,256
48,302,183
Support Services — 4.0%
ABM Industries, Inc.
Acacia Research Corp.
Advisory Board Co. (a)
Amdocs Ltd.
AMN Healthcare Services, Inc. (a)
Applied Industrial Technologies, Inc.
ARC Document Solutions, Inc. (a)
Barnes Group, Inc.
Barrett Business Services, Inc.
Bazaarvoice, Inc. (a)
Black Box Corp.
Booz Allen Hamilton Holding Corp.
Brink’s Co.
Broadridge Financial Solutions, Inc.
Cardtronics PLC, Class A (a)
Cartesian, Inc. (a)
Casella Waste Systems, Inc., Class A (a)
Cass Information Systems, Inc.
CBIZ, Inc. (a)
CDI Corp.
CEB, Inc.
Cenveo, Inc. (a)
Clean Harbors, Inc. (a)
Comfort Systems USA, Inc.
Convergys Corp.
CoreLogic, Inc. (a)
CoStar Group, Inc. (a)
CRA International, Inc.
Crawford & Co., Class B
Cross Country Healthcare, Inc. (a)
Deluxe Corp.
DHI Group, Inc. (a)
DigitalGlobe, Inc. (a)
Donnelley Financial Solutions, Inc. (a)
DXP Enterprises, Inc. (a)
Ennis, Inc.
Essendant, Inc.
Euronet Worldwide, Inc. (a)
Everi Holdings, Inc. (a)
EVERTEC, Inc.
Evolent Health, Inc., Class A (a)
ExlService Holdings, Inc. (a)
ExOne Co. (a)
Exponent, Inc.
First Data Corp., Class A (a)
FleetCor Technologies, Inc. (a)
Franklin Covey Co. (a)
Frontline Capital Group (a)
FTI Consulting, Inc. (a)
G&K Services, Inc., Class A
Genpact Ltd. (a)
GP Strategies Corp. (a)
HD Supply Holdings, Inc. (a)
Heidrick & Struggles International, Inc.
Heritage-Crystal Clean, Inc. (a)
Hudson Global, Inc.
Huron Consulting Group, Inc. (a)
ICF International, Inc. (a)
Imperva, Inc. (a)
InnerWorkings, Inc. (a)
Inovalon Holdings, Inc., Class A (a)
Insperity, Inc.
Jack Henry & Associates, Inc.
8,327
8,239
6,250
22,690
7,153
5,724
6,901
7,338
1,189
12,100
2,668
22,760
6,657
18,185
6,774
2,116
7,582
1,314
9,058
1,891
4,733
1,842
7,847
5,684
14,425
13,193
4,952
1,412
3,693
5,168
7,253
8,680
9,636
3,992
2,735
3,906
5,328
7,929
10,402
9,459
2,726
5,026
1,784
3,885
30,401
14,116
2,677
300
6,259
2,985
20,239
2,813
30,472
2,753
3,226
7,493
3,240
3,065
4,450
7,279
10,521
2,827
11,869
340,075
53,554
207,813
1,321,692
275,033
340,006
35,057
347,968
76,215
58,685
40,687
820,953
274,601
1,205,665
369,657
1,924
94,093
96,671
124,095
13,993
286,820
12,876
436,686
189,277
354,278
485,898
933,402
51,679
46,384
80,672
519,387
54,250
276,071
91,736
95,014
67,769
111,355
574,297
22,572
167,897
40,345
253,511
16,663
234,266
431,390
1,997,696
53,942
—
282,156
287,903
492,617
80,452
1,295,365
66,485
50,648
10,190
164,106
169,188
170,880
71,698
108,366
200,576
1,053,730
Common Stocks
Support Services (continued)
Kaman Corp.
Kelly Services, Inc., Class A
Kforce, Inc.
Korn/Ferry International
LifeLock, Inc. (a)
Lionbridge Technologies, Inc. (a)
LSC Communications Inc.
ManpowerGroup, Inc.
MAXIMUS, Inc.
McGrath RentCorp
Mistras Group, Inc. (a)
Mobile Mini, Inc.
ModusLink Global Solutions, Inc. (a)
MSC Industrial Direct Co., Inc., Class A
Navigant Consulting, Inc. (a)
NeuStar, Inc., Class A (a)
Odyssey Marine Exploration, Inc. (a)(b)
On Assignment, Inc. (a)
Park-Ohio Holdings Corp.
Perma-Fix Environmental Services (a)
Planet Payment, Inc. (a)
Power Solutions International, Inc. (a)(b)
PRGX Global, Inc. (a)
Quad/Graphics, Inc.
Quest Resource Holding Corp. (a)
Resources Connection, Inc.
RPX Corp. (a)
RR Donnelley & Sons Co.
Schnitzer Steel Industries, Inc., Class A
ServiceSource International, Inc. (a)
Sharps Compliance Corp. (a)
StarTek, Inc. (a)
Sykes Enterprises, Inc. (a)
Team, Inc. (a)
TeleTech Holdings, Inc.
Tetra Tech, Inc.
TransUnion (a)
TriNet Group, Inc. (a)
TrueBlue, Inc. (a)
U.S. Ecology, Inc.
UniFirst Corp.
Universal Technical Institute, Inc.
Viad Corp.
WageWorks, Inc. (a)
WEX, Inc. (a)
QUANTITATIVE MASTER SERIES LLC
3,995
4,059
3,944
8,464
12,412
10,173
3,992
10,153
9,832
3,639
2,701
6,403
9,568
6,823
7,309
7,934
2,444
7,474
1,321
4,810
9,438
815
6,115
4,359
2,241
4,605
8,380
10,646
4,015
10,518
3,499
3,340
5,857
4,703
2,549
8,381
13,936
5,713
6,460
3,348
2,344
3,377
3,107
5,609
5,886
Value
$
195,475
93,032
91,106
249,096
296,895
59,003
118,483
902,297
548,527
142,612
69,362
193,691
13,969
630,377
191,350
264,996
8,358
330,052
56,275
18,759
38,507
6,113
36,079
117,170
5,490
88,646
90,504
173,743
103,186
59,742
13,401
28,223
169,033
184,593
77,745
361,640
431,040
146,367
159,239
164,554
336,716
9,827
137,019
406,653
656,878
26,964,753
Technology Hardware & Equipment — 4.4%
3D Systems Corp. (a)
Acacia Communications, Inc. (a)(b)
ADTRAN, Inc.
Advanced Energy Industries, Inc. (a)
Advanced Micro Devices, Inc. (a)
Agilysys, Inc. (a)
Alpha & Omega Semiconductor Ltd. (a)
Amkor Technology, Inc. (a)
Amtech Systems, Inc. (a)
Applied Micro Circuits Corp. (a)
Applied Optoelectronics, Inc. (a)
ARRIS International PLC (a)
Axcelis Technologies, Inc. (a)
Brocade Communications Systems, Inc.
Brooks Automation, Inc.
Cabot Microelectronics Corp.
CalAmp Corp. (a)
Cavium, Inc. (a)
CEVA, Inc. (a)
See Notes to Financial Statements.
20
Shares
DECEMBER 31, 2016
15,956
2,280
7,492
6,210
115,607
3,119
2,913
18,642
2,148
12,769
2,758
28,649
4,811
60,606
10,683
3,590
5,908
10,511
3,467
212,055
140,790
167,446
339,997
1,310,983
32,313
61,960
196,673
9,129
105,344
64,648
863,194
70,000
756,969
182,359
226,780
85,666
656,307
116,318
Schedule of Investments (continued)
Common Stocks
Technology Hardware & Equipment (continued)
Ciena Corp. (a)
Cirrus Logic, Inc. (a)
Clearfield, Inc. (a)
Cohu, Inc.
CommScope Holding Co., Inc. (a)
Comtech Telecommunications Corp.
Concurrent Computer Corp.
Cray, Inc. (a)
Cree, Inc. (a)
Cypress Semiconductor Corp.
Dataram Corp. (a)(b)
Diebold Nixdorf, Inc.
Digi International, Inc. (a)
Diodes, Inc. (a)
DSP Group, Inc. (a)
Dycom Industries, Inc. (a)
EchoStar Corp., Class A (a)
Electronics for Imaging, Inc. (a)
Emcore Corp.
Entegris, Inc. (a)
ePlus, Inc. (a)
Exar Corp. (a)
Extreme Networks, Inc. (a)
Finisar Corp. (a)
FormFactor, Inc. (a)
GigPeak, Inc. (a)
GSI Technology, Inc. (a)
Harmonic, Inc. (a)
ID Systems, Inc. (a)
Identiv, Inc. (a)
Infinera Corp. (a)
Inphi Corp. (a)
Insight Enterprises, Inc. (a)
Integrated Device Technology, Inc. (a)
InterDigital, Inc.
Intersil Corp., Class A
Intra-Cellular Therapies, Inc. (a)
InvenSense, Inc. (a)
Ixia (a)
IXYS Corp.
Kopin Corp. (a)
Kulicke & Soffa Industries, Inc. (a)
KVH Industries, Inc. (a)
Lantronix, Inc. (a)
Lattice Semiconductor Corp. (a)
Loral Space & Communications, Inc. (a)
LRAD Corp.
Lumentum Holdings, Inc. (a)
Marvell Technology Group Ltd.
Maxim Integrated Products, Inc.
MaxLinear, Inc., Class A (a)
Mercury Systems, Inc. (a)
Microsemi Corp. (a)
MKS Instruments, Inc.
Monolithic Power Systems, Inc.
MoSys, Inc. (a)
Nanometrics, Inc. (a)
NCR Corp. (a)
Neonode, Inc. (a)
NeoPhotonics Corp. (a)
NETGEAR, Inc. (a)
Nimble Storage, Inc. (a)
Oclaro, Inc. (a)
ON Semiconductor Corp. (a)
Optical Cable Corp. (a)
PAR Technology Corp. (a)
ParkerVision, Inc. (a)(b)
Shares
20,925
9,750
2,370
4,081
29,822
3,715
3,805
6,048
14,947
48,113
297
11,075
4,719
5,690
4,564
4,740
7,058
7,109
4,624
21,468
1,102
7,831
15,559
16,635
11,782
13,467
4,254
12,042
3,541
3,365
22,378
5,706
5,507
20,498
5,107
20,048
5,242
13,867
10,186
3,911
11,813
10,388
2,945
9,095
19,222
1,784
8,678
8,277
66,222
42,572
8,148
6,091
17,514
8,009
5,621
14,659
4,363
19,117
12,904
4,903
4,903
9,701
20,414
62,736
1,750
3,332
4,644
Master Extended Market Index Series
Value
$
510,779
551,265
49,059
56,726
1,109,378
44,023
20,357
125,194
394,451
550,413
653
278,536
64,886
146,062
59,560
380,575
362,711
311,801
40,229
384,277
126,950
84,418
78,262
503,541
131,958
33,937
26,375
60,210
19,192
10,701
189,989
254,602
222,703
482,933
466,524
447,070
79,102
177,359
163,995
46,541
33,549
165,689
34,751
15,462
141,474
73,233
14,839
319,906
918,499
1,642,002
177,626
184,070
945,231
475,735
460,529
3,373
109,337
775,386
23,743
53,001
266,478
76,832
182,705
800,511
5,600
18,593
8,545
Common Stocks
Technology Hardware & Equipment (continued)
PC Connection, Inc.
Pendrell Corp. (a)
Photronics, Inc. (a)
Pixelworks, Inc. (a)
Plantronics, Inc.
Power Integrations, Inc.
Pure Storage, Inc., Class A (a)
Quantum Corp. (a)
QuickLogic Corp. (a)
Qumu Corp. (a)
Rambus, Inc. (a)
Rudolph Technologies, Inc. (a)
ScanSource, Inc. (a)
Seachange International, Inc. (a)
Semtech Corp. (a)
ShoreTel, Inc. (a)
Sigma Designs, Inc. (a)
Silicon Laboratories, Inc. (a)
Sonic Foundry, Inc. (a)
Sonus Networks, Inc. (a)
Sunworks, Inc. (a)(b)
Super Micro Computer, Inc. (a)
Synaptics, Inc. (a)
SYNNEX Corp.
Systemax, Inc.
Tech Data Corp. (a)
Teradyne, Inc.
Tessera Holding Corp.
TransAct Technologies, Inc.
TransEnterix, Inc. (a)(b)
Ubiquiti Networks, Inc. (a)
Ultra Clean Holdings, Inc. (a)
Ultratech, Inc. (a)
USA Technologies, Inc. (a)
VeriFone Systems, Inc. (a)
ViaSat, Inc. (a)
Viavi Solutions, Inc. (a)
Vocera Communications, Inc. (a)
VOXX International Corp. (a)
West Corp.
Xcerra Corp. (a)
Shares
1,900
2,899
10,897
5,286
5,004
4,369
12,858
45,364
9,826
2,149
16,362
5,365
3,608
7,106
9,792
10,755
6,054
6,196
2,214
8,411
4,851
6,046
5,190
4,401
1,844
5,204
30,394
7,141
2,692
10,957
3,998
5,086
3,837
7,417
16,285
7,735
36,093
4,197
4,073
7,325
9,468
Value
$
53,371
19,568
123,136
14,801
274,019
296,437
145,424
37,747
13,658
5,115
225,305
125,273
145,583
16,344
308,938
76,898
36,324
402,740
10,959
52,989
9,702
169,590
278,080
532,609
16,172
440,675
772,008
315,632
17,767
14,244
231,084
49,334
92,011
31,893
288,733
512,212
295,241
77,603
19,143
181,367
72,336
29,374,992
Tobacco — 0.1%
Alliance One International, Inc. (a)
Schweitzer-Mauduit International, Inc.
Universal Corp.
Vector Group Ltd.
1,357
4,407
3,477
14,824
26,054
200,651
221,659
337,098
785,462
Travel & Leisure — 4.9%
Allegiant Travel Co.
AMC Entertainment Holdings, Inc., Class A
Aramark
Avis Budget Group, Inc. (a)
Belmond Ltd., Class A (a)
Biglari Holdings, Inc. (a)
BJ’s Restaurants, Inc. (a)
Bloomin’ Brands, Inc.
Bob Evans Farms, Inc.
Boyd Gaming Corp. (a)
Bravo Brio Restaurant Group, Inc. (a)
Brinker International, Inc.
Buffalo Wild Wings, Inc. (a)
Caesars Entertainment Corp. (a)(b)
Carrols Restaurant Group, Inc. (a)
Century Casinos, Inc. (a)
1,928
4,521
36,865
13,453
12,500
187
3,216
16,524
3,169
12,688
3,322
7,527
2,751
8,936
6,109
6,355
320,819
152,132
1,316,818
493,456
166,875
88,488
126,389
297,928
168,623
255,917
12,624
372,812
424,754
75,956
93,162
52,302
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
21
Schedule of Investments (continued)
Common Stocks
Travel & Leisure (continued)
Cheesecake Factory, Inc.
Choice Hotels International, Inc.
Churchill Downs, Inc.
Chuy’s Holdings, Inc. (a)
Cinemark Holdings, Inc.
ClubCorp Holdings, Inc.
Cracker Barrel Old Country Store, Inc.
Dave & Buster’s Entertainment, Inc. (a)
Del Frisco’s Restaurant Group, Inc. (a)
Del Taco Restaurants, Inc. (a)
Denny’s Corp. (a)
DineEquity, Inc.
Domino’s Pizza, Inc.
Dover Downs Gaming & Entertainment, Inc. (a)
Dover Motorsports, Inc.
Drive Shack, Inc.
Dunkin’ Brands Group, Inc.
El Pollo Loco Holdings, Inc. (a)
Eldorado Resorts, Inc. (a)
Empire Resorts, Inc. (a)(b)
Entertainment Gaming Asia, Inc. (a)
Extended Stay America, Inc.
Famous Dave’s Of America, Inc. (a)
Fiesta Restaurant Group, Inc. (a)
Four Corners Property Trust, Inc.
Full House Resorts, Inc. (a)
Gaming Partners International Corp.
Habit Restaurants, Inc., Class A (a)
Hawaiian Holdings, Inc. (a)
Herc Holdings, Inc. (a)
Hertz Global Holdings, Inc. (a)
Hilton Worldwide Holdings, Inc.
Hyatt Hotels Corp., Class A (a)
ILG, Inc.
International Speedway Corp., Class A
Isle of Capri Casinos, Inc. (a)
J Alexander’s Holdings, Inc. (a)
Jack in the Box, Inc.
Jamba, Inc. (a)
JetBlue Airways Corp. (a)
La Quinta Holdings, Inc. (a)
Las Vegas Sands Corp.
Liberty Braves Group, Class A (a)
Liberty Braves Group, Class C (a)
Liberty Expedia Holdings, Inc., Class A (a)
Liberty TripAdvisor Holdings, Inc., Series A (a)
Luby’s, Inc. (a)
Madison Square Garden Co., Class A (a)
Marcus Corp.
Marriott Vacations Worldwide Corp.
MGM Resorts International (a)
Monarch Casino & Resort, Inc. (a)
Noodles & Co. (a)(b)
Norwegian Cruise Line Holdings Ltd. (a)
Panera Bread Co., Class A (a)
Papa John’s International, Inc.
Penn National Gaming, Inc. (a)
Pinnacle Entertainment, Inc. (a)
Planet Fitness, Inc., Class A
Popeyes Louisiana Kitchen, Inc. (a)
Potbelly Corp. (a)
RCI Hospitality Holdings, Inc.
Reading International, Inc., Class A (a)
Red Lion Hotels Corp. (a)
Red Robin Gourmet Burgers, Inc. (a)
Red Rock Resorts, Inc., Class A
Regal Entertainment Group, Class A
Shares
6,609
5,449
1,973
2,773
16,076
9,819
3,588
5,755
4,306
6,237
12,272
2,576
7,322
6,916
1,592
11,272
14,048
3,382
4,161
827
791
16,667
1,498
4,111
7,624
8,160
1,026
2,486
7,927
3,841
11,270
86,531
6,088
15,784
3,864
3,638
4,126
4,878
3,045
49,327
12,475
55,202
2,717
5,069
8,378
10,940
5,639
2,274
3,067
3,630
73,075
2,088
3,634
24,573
3,349
4,041
11,873
9,766
8,482
3,356
4,799
2,654
2,601
5,052
1,864
4,813
16,050
Master Extended Market Index Series
Value
$
395,747
305,416
296,838
89,984
616,675
140,903
599,124
324,007
73,202
88,066
157,450
198,352
1,165,955
7,123
3,662
42,383
736,677
41,599
70,529
18,814
1,099
269,172
7,415
122,713
156,444
19,584
12,117
42,884
451,839
154,255
242,981
2,353,643
336,423
286,795
142,195
89,822
44,355
544,580
31,364
1,105,911
177,270
2,948,339
55,671
104,371
332,355
164,647
24,135
390,014
96,611
308,006
2,106,752
53,829
14,899
1,045,090
686,846
345,829
163,729
141,607
170,488
202,971
61,907
45,383
43,177
42,184
105,130
111,613
330,630
Common Stocks
Travel & Leisure (continued)
Ruby Tuesday, Inc. (a)
Ruth’s Hospitality Group, Inc.
Ryman Hospitality Properties, Inc.
Sabre Corp.
Scientific Games Corp., Class A (a)
SeaWorld Entertainment, Inc.
Shake Shack, Inc., Class A (a)
Six Flags Entertainment Corp.
SkyWest, Inc.
Sonic Corp.
Speedway Motorsports, Inc.
Spirit Airlines, Inc. (a)
Texas Roadhouse, Inc.
Town Sports International Holdings, Inc. (a)
Travelport Worldwide Ltd.
Travelzoo, Inc. (a)
Vail Resorts, Inc.
Wendy’s Co.
Wingstop, Inc.
World Wrestling Entertainment, Inc., Class A
Zoe’s Kitchen, Inc. (a)
Shares
10,132
4,841
7,679
31,232
7,878
9,937
2,951
12,972
7,663
7,093
1,762
10,544
9,590
5,154
19,914
2,100
6,102
30,432
5,041
5,646
3,126
QUANTITATIVE MASTER SERIES LLC
32,726
88,590
483,854
779,238
110,292
188,107
105,616
777,801
279,316
188,035
38,183
610,076
462,622
12,885
280,787
19,740
984,314
411,441
149,163
103,886
74,993
Beneficial
Interest
(000)
$
Rights — 0.0%
3
—
4
—
4
45
13
—
45
21,860
24,265
8,850
28,099
52,364
Shares
Pharmaceuticals & Biotechnology — 0.0%
Dyax Corp. (a)
Technology Hardware & Equipment — 0.0%
Leap Wireless, CVR,
Expires (07/16/18) (a)
Total Rights — 0.0%
Total Long-Term Investments
(Cost — $431,059,077) — 98.2%
Short-Term Securities
BlackRock T-Fund, Institutional
Class, 0.36% (c)(e)
659,525,104
Shares
10,850,139
See Notes to Financial Statements.
22
$
32,662,300
659,472,695
Total Common Stocks — 98.2%
Other Interests (d)
Pharmaceuticals & Biotechnology — 0.0%
Merck KGaA
Real Estate Investment Trusts (REITs) — 0.0%
AmeriVest Properties, Inc. (a)
Technology Hardware & Equipment — 0.0%
Gerber Scientific, Inc.
Travel & Leisure — 0.0%
FRD Acquisition Co.
Total Other Interests — 0.0%
Value
DECEMBER 31, 2016
10,850,139
Schedule of Investments (continued)
SL Liquidity Series, LLC, Money Market
Series, 0.95% (c)(e)(f)
Total Short-Term Securities
(Cost — $ 16,415,631) — 2.4%
Master Extended Market Index Series
Investment
Value
(000)
Value
$5,565
$ 5,565,880
16,416,019
Total Investments (Cost — $447,474,708) — 100.6%
Liabilities in Excess of Other Assets — (0.6)%
675,941,123
(4,112,890)
Net Assets — 100.0%
$671,828,233
Notes to Schedule of Investments
(a) Non-income producing security.
(b) Security, or a portion of security, is on loan.
(c) During the year ended December 31, 2016, investments in issuers considered to be affiliates of the Series for purposes of Section 2(a)(3) of the Investment Company Act of
1940, as amended, were as follows:
Affiliate
BlackRock Liquidity Funds, T-Fund, Institutional
Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
BlackRock Liquidity Funds, TempFund,
Institutional Class* . . . . . . . . . . . . . . . . . . .
PennyMac Mortgage Investment Trust . . . . . . . .
SL Liquidity Series, LLC, Money Market Series . . .
Total
Shares/
Investment
Value Held at
December 31,
2015
—
Shares/
Investment
Value
Purchased
Shares/
Investment
Value
Sold
10,850,1391
15,610,860
10,450
$ 9,970,723
—
—
—
(15,610,860)2
—
$ (4,405,399)2
Shares/
Investment
Value Held at
December 31,
2016
Value at
December 31,
2016
Income
10,850,139
$10,850,139
$ 9,814
—
10,450
$ 5,565,324
—
171,066
5,565,880
$16,587,085
35,869
19,646
810,9193
$876,248
Realized
Gain (Loss)
—
—
—
$231
$231
* No longer held by the Master LLC as of period end.
1 Represents net investment value purchased.
2 Represents net investment value sold.
3 Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other
payments to and from borrowers of securities.
(d) Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(e) Current yield as of period end.
(f) Security was purchased with the cash collateral from loaned securities.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Contracts
Long
90
37
Total
Issue
Russell 2000 E-Mini Index
S&P MidCap 400 E-Mini Index
Expiration
March 2017
March 2017
Notional Value
$6,106,050
$6,138,670
Unrealized
Depreciation
$(15,549)
(55,510)
$(71,059)
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statement of Assets and Liabilities were as follows:
Liabilities — Derivative Financial Instruments
Futures contracts . . . . . . . . . .
Net unrealized depreciation1
1
Commodity
Contracts
—
Credit
Contracts
—
Equity
Contracts
$71,059
Foreign
Currency
Exchange
Contracts
—
Interest
Rate
Contracts
—
Other
Contracts
—
Total
$71,059
Includes cumulative depreciation on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
23
Schedule of Investments (continued)
Master Extended Market Index Series
For the year ended December 31, 2016, the effect of derivative financial instruments in the Statement of Operation was as follows:
Commodity
Net Realized Gain (Loss) from:
Contracts
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
Credit
Contracts
—
—
Equity
Contracts
$1,795,920
$
(6,022)
Foreign
Currency
Exchange
Contracts
—
Interest
Rate
Contracts
—
Other
Contracts
—
—
—
—
Total
$1,795,920
$
(6,022)
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts:
Average notional value of contracts — long . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $15,718,518
For more information about the Series’ investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Series’ policy regarding valuation of investments
and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Series’ investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1
Assets:
Investments:
Common Stocks:
Aerospace & Defense . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $10,812,177
Alternative Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
716,847
Automobiles & Parts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,791,241
Banks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54,712,413
Beverages . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
550,904
Chemicals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,524,584
Construction & Materials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,717,990
Electricity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8,112,367
Electronic & Electrical Equipment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,419,850
Financial Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,543,238
Fixed Line Telecommunications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,948,913
Food & Drug Retailers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4,479,091
Food Producers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,783,579
Forestry & Paper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,524,762
Gas, Water & Multi-Utilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9,848,281
General Industrials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,415,175
General Retailers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,850,245
Health Care Equipment & Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,981,066
Household Goods & Home Construction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,145,109
Industrial Engineering . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,536,672
Industrial Metals & Mining . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6,396,335
Industrial Transportation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8,550,945
Leisure Goods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5,540,434
Life Insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,293,670
Media . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,924,629
Mining . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3,891,925
Mobile Telecommunications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6,522,852
Nonlife Insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,552,156
Oil & Gas Producers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,528,076
Oil Equipment, Services & Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9,337,213
Personal Goods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6,078,382
Pharmaceuticals & Biotechnology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,582,013
Real Estate Investment & Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,130,038
Real Estate Investment Trusts (REITs) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58,563,809
Software & Computer Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48,302,183
Support Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,964,753
Technology Hardware & Equipment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,374,992
Tobacco . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
785,462
Travel & Leisure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,662,300
Level 2
Level 3
Total
—
—
—
$33,373
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
20,550
22,101
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
$10,812,177
716,847
13,791,241
54,745,786
550,904
17,524,584
16,717,990
8,112,367
19,419,850
30,543,238
1,948,913
4,479,091
14,783,579
1,524,762
9,848,281
10,415,175
26,850,245
29,981,066
10,145,109
20,557,222
6,418,436
8,550,945
5,540,434
2,293,670
23,924,629
3,891,925
6,522,852
24,552,156
18,528,076
9,337,213
6,078,382
33,582,013
10,130,038
58,563,809
48,302,183
26,964,753
29,374,992
785,462
32,662,300
See Notes to Financial Statements.
24
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Schedule of Investments (concluded)
Master Extended Market Index Series
Level 1
Other Interests:
Technology Hardware & Equipment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
Rights:
Pharmaceuticals & Biotechnology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
Technology Hardware & Equipment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
Short-Term Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10,850,139
SubTotal
Investments valued at
$670,246,810
Level 2
—
Level 3
$
45
Total
$
45
—
—
—
24,265
28,099
—
24,265
28,099
10,850,139
$76,024
$52,409
$670,375,243
NAV1
5,565,880
Total
$675,941,123
Derivative Financial Instruments2
Liabilities:
Equity contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $
(71,059)
—
—
$
(71,059)
1
As of December 31, 2016, certain of the Master LLC’s investments were valued using NAV per share as no quoted market value is available and have been excluded from
the fair value hierarchy.
2
Derivative financial instruments are futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
During the year ended December 31, 2016, there were no transfers between levels.
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
25
Statement of Assets and Liabilities
Master Extended Market Index Series
December 31, 2016
Assets
Investments at value — unaffiliated (including securities loaned at value of $5,088,861) (cost — $430,842,503) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $659,354,038
Investments at value — affiliated (cost — $16,632,205) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
16,587,085
Cash pledged for futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
525,700
Receivables:
Dividends — unaffiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
931,603
Contributions from investors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
262,052
Securities lending income — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
40,181
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3,481
Dividends — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3,444
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,312
Total assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
677,709,896
Liabilities
Cash collateral on securities loaned at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Bank overdraft . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Other affiliates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Variation margin on futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Payables:
Investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Officer’s and Directors’ fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5,565,262
8,670
3,661
50,151
Total liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5,881,663
5,136
5,569
243,214
Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $671,828,233
Net Assets Consist of
Investors’ capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $443,432,877
Net unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228,395,356
Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $671,828,233
See Notes to Financial Statements.
26
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Statement of Operations
Master Extended Market Index Series
Year Ended December 31, 2016
Investment Income
Dividends — unaffiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 8,964,045
Securities lending — affiliated — net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
810,919
Other income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
96,379
Dividends — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
65,329
Foreign taxes withheld . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(4,811)
Total investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9,931,861
Expenses
Investment advisory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Accounting services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Professional . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Custodian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Directors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Pricing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Printing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
61,284
128,094
69,477
56,243
27,590
26,514
22,143
3,578
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Less:
Fees waived by the Manager . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Fees paid indirectly . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
394,923
(8,730)
(163)
Total expenses after fees waived and paid indirectly . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
386,030
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9,545,831
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — unaffiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Investments — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
36,304,303
231
1,795,920
38,100,454
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Investments — affiliated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
45,189,750
20,096
(6,022)
45,203,824
Net realized and unrealized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
83,304,278
Net Increase in Net Assets Resulting from Operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $92,850,109
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
27
Statements of Changes in Net Assets
Master Extended Market Index Series
Year Ended December 31,
2016
2015
Increase (Decrease) in Net Assets:
Operations
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9,545,831
Net realized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
38,100,454
Net change in unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
45,203,824
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$ 8,433,717
41,451,801
(71,694,731)
92,850,109
(21,809,213)
Proceeds from contributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Value of withdrawals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
55,281,518
(96,053,186)
74,606,931
(94,072,983)
Net decrease in net assets derived from capital transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(40,771,668)
(19,466,052)
52,078,441
619,749,792
(41,275,265)
661,025,057
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $671,828,233
$619,749,792
Capital Transactions
Net Assets
Total increase (decrease) in net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
See Notes to Financial Statements.
28
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Financial Highlights
Master Extended Market Index Series
2016
Year Ended December 31,
2015
2014
2013
2012
16.07%
(3.32)%
7.66%
37.98%
18.04%
0.06%
0.07%
0.07%1
0.07%
0.10%
0.06%
0.09%
1.32%
1.83%
Total Return
Total Return . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Ratios to Average Net Assets
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total expenses after fees waived and paid indirectly . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
0.06%
0.06%
0.07%1
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.56%
1.27%
1.35%1
Net assets, end of year (000) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $671,828
$619,750
$661,025
$615,867
$398,305
14%
10%
18%
12%
Supplemental Data
Portfolio turnover rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
13%
Ratios do not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%.
See Notes to Financial Statements.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
29
Notes to Financial Statements
Master Extended Market Index Series
1. Organization:
Quantitative Master Series LLC (the “Master LLC”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an
open-end management investment company. Master Extended Market Index Series (the “Series”) is a series of the Master LLC. The Series is classified as
diversified. The Master LLC is organized as a Delaware limited liability company. The Master LLC’s Limited Liability Company Agreement permits the Board
of Directors of the Master LLC (the “Board”) to issue non-transferable interests, subject to certain limitations.
The Series, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in
a complex of open-end funds referred to as the Equity-Liquidity Complex.
2. Significant Accounting Policies:
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which
may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from
operations during the reporting period. Actual results could differ from those estimates. The Series is considered an investment company under U.S. GAAP
and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Segregation and Collateralization: In cases where the Series enters into certain investments (e.g., futures contracts) that would be treated as “senior securities” for 1940 Act purposes, the Series may segregate or designate on its books and records cash or liquid assets having a market value at least equal to
the amount of its future obligations under such investments. Doing so allows the investment to be excluded from treatment as a “senior
security.” Furthermore, if required by an exchange or counterparty agreement, the Series may be required to deliver/deposit cash and/or securities to/with
an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
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 date. 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.
Recent Accounting Standard: In April 2015, the Financial Accounting Standards Board issued “Disclosures for Investments in Certain Entities that Calculate Net Asset Value (“NAV”) per Share” which eliminates the requirement to categorize investments within the fair value hierarchy when fair value is based
on the NAV per share and no quoted market value is available. As of December 31, 2016, certain investments of the Series were valued using NAV per
share as no quoted market value is available and have been excluded from the fair value hierarchy.
In November 2016, the Financial Accounting Standards Board issued Accounting Standards Update “restricted cash” which will require entities to include
the total of cash, cash equivalents, restricted cash, and restricted cash equivalents in the beginning and ending cash balances in the Statement of Cash
Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those
years. Management is evaluating the impact, if any, of this guidance on the Series presentation in the Statement of Cash Flows.
Indemnifications: In the normal course of business, the Series enters into contracts that contain a variety of representations that provide general
indemnification. The Series’ maximum exposure under these arrangements is unknown because it involves future potential claims against the Series, which
cannot be predicted with any certainty.
Other: Expenses directly related to the Series are charged to the Series. Other operating expenses shared by several funds, including other funds managed
by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
Through May 31, 2016, the Series had an arrangement with its custodian whereby credits were earned on uninvested cash balances, which could be used
to reduce custody fees and/or overdraft charges. Credits previously earned may be utilized until December 31, 2016. Under current arrangements effective
June 1, 2016, the Series no longer earns credits on uninvested cash, and may incur charges on uninvested cash balances and overdrafts, subject to certain conditions.
3. Investment Valuation and Fair Value Measurements:
Investment Valuation Policies: The Series’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the
close of trading on the New York Stock Exchange (“NYSE”) generally 4:00 p.m., Eastern time (or if the reporting date falls on a day the NYSE is closed,
investments are valued at fair value as of the period end). U.S. GAAP defines fair value as the price the Series would receive to sell an asset or pay to
transfer a liability in an orderly transaction between market participants at the measurement date. The Series determines the fair values of its financial
instruments using various independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies
Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee
the pricing function for all financial instruments.
30
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Notes to Financial Statements (continued)
Master Extended Market Index Series
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Series’ assets and liabilities:
‰ Investments are valued on the basis of prices provided by dealers or pricing services. 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 and information with respect to various relationships between investments.
‰ Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments
traded on more than one exchange, the official closing 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 may be valued at the last available bid (long positions)
or ask (short positions) price.
‰ Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.
‰ The Series values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based
upon its pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and
preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments
by a money market fund that is subject to Rule 2a-7 under the 1940 Act.
‰ Futures contracts traded on exchanges are valued at their last sale price.
If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments,
or in the event that the application of these methods of valuation results in a price for an investment that 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 by the Global Valuation Committee, or its delegate, in accordance with
a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation
Committee will include Market approach, Income approach and the Cost approach. Valuation techniques such as discounted cash flow, use of market
comparables and matrix pricing are types of valuation approaches and typically used in determining fair value. When determining the price for Fair Valued
Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that the Series might reasonably expect to receive or pay from
the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that
the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.
The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market
does not exist, including regular due diligence of the Series pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or
disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market
values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof
on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have
been used had an active market existed.
For investments in equity or debt issued by privately-held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair
Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the
following inputs.
Standard Inputs Generally Considered By Third Party Pricing Services
(i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;
(ii) recapitalizations and other transactions across the capital structure; and
(iii) market multiples of comparable issuers.
Income approach . . . . . . . . . . . (i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;
(ii) quoted prices for similar investments or assets in active markets; and
(iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts
and/or default rates.
Cost approach . . . . . . . . . . . . . (i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;
(ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;
(iii) relevant news and other public sources; and
(iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private
Company.
Market approach . . . . . . . . . . .
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of
the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are
used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a
determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its
capital structure.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
31
Notes to Financial Statements (continued)
Master Extended Market Index Series
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by the Fund. Typically,
the most recently available information by a Private Company is as of a date that is earlier than the date the Fund is calculating its NAV. This factor may
result in a difference between the value of the investment and the price the Fund could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation
techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:
‰ Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Series has the ability to access
‰ 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 Series’ assumptions used in determining the fair value of investments and derivative financial instruments)
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the
lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for
instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its
entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair
Valued investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a
limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount
estimated by the Global Valuation Committee in the absence of market information.
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Series’ policy, transfers
between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value
determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
4. Securities and Other Investments:
Securities Lending: The Series may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower
pledges and maintains with the Series collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by
the U.S. Government. The initial collateral received by the Series is required to have a value of at least 102% of the current value of the loaned securities
for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at
least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day
of the Series and any additional required collateral is delivered to the Series, or excess collateral returned by the Series, on the next business day. During
the term of the loan, the Series is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on 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.
The market value of any securities on loan, all of which were classified as common stocks in the Series Schedule of Investments, and the value of any
related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value-unaffiliated, and collateral on
securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash
collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”) if any, is disclosed in the Schedule of Investments.
Securities lending transactions are entered into by the Series under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in
the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the
defaulting party or request additional collateral. In the event that a borrower defaults, the Series, as lender, would offset the market value of the collateral
received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned,
the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose
restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an
event of default, the borrower can resell or re-pledge the loaned securities, and the Series can reinvest cash collateral received in connection with loaned
securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can
resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net
payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
32
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Notes to Financial Statements (continued)
Master Extended Market Index Series
As of period end, the following table is a summary of the Series’ securities lending agreements by counterparty, which are subject to offset under an MSLA:
Counterparty
Barclays Capital, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
BNP Paribas S.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Citigroup Global Markets, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Credit Suisse Securities (USA) LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Deutsche Bank Securities, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Goldman Sachs & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
JP Morgan Securities LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Merrill Lynch, Pierce, Fenner & Smith, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Morgan Stanley . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
National Financial Services LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SG Americas Securities LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
UBS Securities LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Securities
Loaned
at Value
$ 215,207
182,478
1,421,769
97,910
639,809
1,278,497
155,582
260,140
481,388
47,563
50,562
257,956
Cash
Collateral
Received1
$ (215,207)
(182,478)
(1,421,769)
(97,910)
(639,809)
(1,278,497)
(155,582)
(260,140)
(481,388)
(47,563)
(50,562)
(257,956)
Net
Amount
—
—
—
—
—
—
—
—
—
—
—
—
Total
$5,088,861
$(5,088,861)
—
1
Cash collateral with a value of $5,565,262 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned
from the individual counterparty is not shown for financial reporting purposes.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when
due. To mitigate these risks, the Series benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the
securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. The Series 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.
5. Derivative Financial Instruments:
The Series engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Series and/or to manage its
exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g.,
inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted
on an exchange or over-the-counter (“OTC”).
Futures Contracts: The Series invests in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure
to changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate
risk).
Futures contracts are agreements between the Series and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price
and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement
date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Series are required to deposit initial margin with
the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be
maintained at an established level over the life of the contract.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, is shown as cash pledged for futures
contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Series agrees to receive from or pay to the broker an amount of cash
equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation)
and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed,
a realized gain or loss is recorded in the Statement of Operations equal to the difference between the value of the contract at the time it was opened and
the value at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.
6. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.
Investment Advisory: The Master LLC, on behalf of the Series, entered into an Investment Advisory Agreement with the Manager, the Series’ investment
adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory. The Manager is responsible for the management of the Series’
portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Series.
For such services, the Series pays the Manager a monthly fee which is determined by calculating a percentage of the Series’ average daily net assets
based on an annual rate of 0.01%
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
33
Notes to Financial Statements (continued)
Master Extended Market Index Series
Expense Waivers and Reimbursements: The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses,
excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Series’ business (“expense limitation”). The current, expense limitation as a percentage of
average daily net assets is 0.12%
The Manager has agreed not to reduce or discontinue this contractual expense limitation prior to May 1, 2017, unless approved by the Board, including a
majority of the Independent Directors or by a vote of a majority of the outstanding voting securities of the Series.
With respect to the Series, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Series pays
to the Manager indirectly through its investment in affiliated money market funds. This amount is shown as fees waived by the Manager in the Statement of
Operations. For the year ended December 31, 2016, the amount waived was $8,730.
Effective September 1, 2016, the Manager voluntarily agreed to waive its advisory fee with respect to any portion of the Series’ assets invested in affiliated
equity or fixed-income mutual funds or affiliated exchange-traded funds. Prior to September 1, 2016, the Manager did not waive such fees. This voluntary
waiver may be reduced or discontinued at any time without notice.
For the year ended December 31, 2016, the Series reimbursed the Manager $6,947 for certain accounting services, which is included in accounting services in the Statement of Operations.
Securities Lending: The U.S. Securities and Exchange Commission has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve
as securities lending agent for the Series, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to
securities lending. The Series is responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral
investment expenses”). The cash collateral is invested in a private investment company managed by the Manager or its affiliates. However, BIM has agreed
to cap the collateral investment expenses of the private investment company to an annual rate of 0.04%. The investment adviser to the private investment
company will not charge any advisory fees with respect to shares purchased by the Series.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from
borrowers of securities, and less the collateral investment expenses. The Series retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent. Pursuant to a securities lending agreement, BIM may lend securities only when the
difference between the borrower rebate rate and the risk free rate exceeds a certain level (such securities, the “specials only securities”).
Pursuant to such agreement, the Series retains 80% of securities lending income. In addition, commencing the business day following the date that the
aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, the
Series, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to
85% of securities lending income.
The share of securities lending income earned by the Series is shown as securities lending — affiliated — net in the Statement of Operations. For the year
ended December 31, 2016, the Series paid BIM $202,732 for securities lending agent services.
Officers and Directors: Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.
7. Purchases and Sales:
For the year ended December 31, 2016 purchases and sales of investments excluding short-term securities were $75,612,524 and $95,439,303
respectively.
8. Income Tax Information:
The Series is classified as a partnership for federal income tax purposes. As such, each investor in the Series is treated as the owner of its proportionate
share of net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no federal income tax provision is required. It
is intended that the Series’ assets will be managed so an investor in the Series can satisfy the requirements of Subchapter M of the Internal Revenue Code
of 1986, as amended.
The Series files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the
Series’ U.S. federal tax returns generally remains open for each of the four years ended December 31, 2016. The statutes of limitations on the Series state
and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Series as of December 31, 2016, inclusive of the open tax return years,
and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Series’ financial statements.
34
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Notes to Financial Statements (continued)
Master Extended Market Index Series
As of December 31, 2016 gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:
Tax cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $447,474,708
Gross unrealized appreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $277,470,346
Gross unrealized depreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (49,003,931)
Net unrealized appreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $228,466,415
9. Bank Borrowings:
The Master LLC on behalf of the Series, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a
364-day, $2.1 billion credit agreement with a group of lenders. Under this agreement, the Series may borrow to fund shareholder redemptions. Excluding
commitments designated for certain individual funds, the Participating Funds, including the Series can borrow up to an aggregate commitment amount of
$1.6 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following
terms: a fee of 0.12% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event,
not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from
time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2017 unless extended or renewed. Prior to April 21, 2016, the
credit agreement had a fee per annum of 0.06% on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but,
in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%)
in effect from time to time plus 0.80% per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which, if
applicable, are included in miscellaneous expenses in the Statement of Operations. These fees were allocated among such funds based upon portions of
the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended December 31, 2016, the Series did not
borrow under the credit agreement.
10. Principal Risks:
In the normal course of business, the Series invests in securities and enters into transactions where risks exist due to fluctuations in the market (market
risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities
held by the Series may decline in response to certain events, including those directly involving the issuers of securities owned by the Series. Changes
arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and
price fluctuations, may also affect the securities’ value.
On October 11, 2016, BlackRock implemented certain changes required by amendments to Rule 2a-7 under the 1940 Act, which governs the operations
of U.S. money market funds. The Series may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to
maintain a stable NAV per share of $1.00 and which may be subject to redemption gates or liquidity fees under certain circumstances.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options,
may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect
a particular industry or industries. The Series may invest in illiquid investments and may experience difficulty in selling those investments in a timely
manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market
or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Series’ NAV to experience
significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Series may
lose value, regardless of the individual results of the securities and other instruments in which the Series invests.
Counterparty Credit Risk: Similar to issuer credit risk, the Series may be exposed to counterparty credit risk, or the risk that an entity may fail to or be
unable to perform on its commitments related to unsettled or open transactions. The Series manages counterparty credit risk by entering into transactions
only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those
counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Series exposure to market, issuer and counterparty credit risks with respect to these
financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Series.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of
the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures there is less counterparty credit risk to the Series since the exchange or clearinghouse, as counterparty to such instruments,
guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure
of the clearinghouse. While offset rights may exist under applicable law, the Series does not have a contractual right of offset against a clearing broker or
clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to
initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
35
Notes to Financial Statements (concluded)
Master Extended Market Index Series
their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount
of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s
customers, potentially resulting in losses to the Series.
Concentration Risk: As of period end, the Series invested a significant portion of its assets in securities in the financials sector. Changes in economic
conditions affecting such sector would have a greater impact on the Series and could affect the value, income and/or liquidity of positions in such
securities.
11. Subsequent Events:
Management has evaluated the impact of all subsequent events on the Series 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.
36
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Report of Independent Public Accounting Firm
To the Board of Directors of Quantitative Master Series LLC and the Shareholders of Master Extended Market Index Series:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master Extended Market Index Series, one
of the series constituting Quantitative Master Series LLC (the “Series”) as of December 31, 2016, and the related statement of operations for the year then
ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in
the period then ended. These financial statements and financial highlights are the responsibility of the Series’ management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require
that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material
misstatement. The Series is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits
included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the Series’ internal control over financial reporting. Accordingly, we express no such
opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2016, by correspondence with the custodian and brokers; where replies were not
received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master
Extended Market Index Series of Quantitative Master Series LLC as of December 31, 2016, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended,
in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Boston, Massachusetts
February XX, 2017
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
37
Officers and Directors
Name, Address1
and Year of Birth
Position(s)
Length
Held with
of Time
the Master LLC Served3
Number of BlackRockAdvised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen
Principal Occupation(s) During Past Five Years
Public Company
and Other
Investment Company
Directorships Held
During Past Five Years
Independent Directors2
Rodney D. Johnson
1941
Chair of the
Board and
Director
Since
2007
President, Fairmount Capital Advisors, Inc. from 1987 to 2013;
Member of the Archdiocesan Investment Committee of the
Archdiocese of Philadelphia from 2004 to 2012; Director, The
Committee of Seventy (civic) from 2006 to 2012; Director, Fox
Chase Cancer Center from 2004 to 2011; Director, The Mainstay
(non-profit) since 2016.
26 RICs consisting of
146 Portfolios
None
David O. Beim
1940
Director
Since
2007
Professor of Professional Practice at the Columbia University
Graduate School of Business from 1991 to 2014; Trustee, Phillips
Exeter Academy from 2002 to 2012; Chairman, Wave Hill, Inc.
(public garden and cultural center) from 1990 to 2006.
26 RICs consisting of
146 Portfolios
None
Susan J. Carter
1956
Director
Since
2016
Director, Pacific Pension Institute since 2014; Advisory Board
Member, Center for Private Equity and Entrepreneurship at Tuck
School of Business since 1997; Senior Advisor, Commonfund
Capital, Inc. (“CCI”) (investment adviser) in 2015; Chief Executive
Officer, CCI from 2013 to 2014; President & Chief Executive Officer,
CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest
since 2015; Advisory Board Member, Bridges Ventures since 2016.
26 RICs consisting of
146 Portfolios
None
Collette Chilton
1958
Director
Since
2015
Chief Investment Officer, Williams College since 2006; Chief
Investment Officer, Lucent Asset Management Corporation from
1998 to 2006.
26 RICs consisting of
146 Portfolios
None
Neil A. Cotty
1954
Director
Since
2016
Bank of America Corporation from 1996 to 2015, serving in various 26 RICs consisting of
senior finance leadership roles, including Chief Accounting Officer,
146 Portfolios
from 2009 to 2015, Chief Financial Officer of Global Banking,
Markets and Wealth Management from 2008 to 2009, Chief
Accounting Officer from 2004 to 2008, Chief Financial Officer of
Consumer Bank from 2003 to 2004, Chief Financial Officer of Global
Corporate Investment Bank from 1999 to 2002.
None
Dr. Matina S. Horner
1939
Director
Since
2007
Executive Vice President, Teachers Insurance and Annuity
Association and College Retirement Equities Fund from 1989 to
2003.
26 RICs consisting of
146 Portfolios
NSTAR (electric and gas
utility)
Cynthia A. Montgomery
1952
Director
Since
2007
Professor, Harvard Business School since 1989; Director, McLean
Hospital from 2005 to 2012.
26 RICs consisting of
146 Portfolios
Newell Rubbermaid, Inc.
(manufacturing)
Joseph P. Platt
1947
Director
Since
2007
General Partner, Thorn Partners, LP (private investments) since
1998; Director, WQED Multi-Media (public broadcasting not-forprofit) since 2001; Chair, Basic Health International (non-profit)
since 2015.
26 RICs consisting of
146 Portfolios
Greenlight Capital Re, Ltd.
(reinsurance company);
Consol Energy Inc.
Robert C. Robb, Jr.
1945
Director
Since
2007
Partner, Lewis, Eckert, Robb and Company (management and
financial consulting firm) since 1981 and Principal since 2010.
26 RICs consisting of
146 Portfolios
None
Mark Stalnecker
1951
Director
Since
2015
Chief Investment Officer, University of Delaware from 1999 to 2013; 26 RICs consisting of
Trustee, Winterthur Museum and Country Estate from 2001 to 2015; 146 Portfolios
Member of the Investment Committee, Delaware Public Employees’
Retirement System since 2002; Member of the Investment
Committee, Christiana Care Health System since 2009; Member of
the Investment Committee, Delaware Community Foundation from
2013 to 2014; Director, SEI Private Trust Co. from 2001 to 2014.
None
Kenneth L. Urish
1951
Director
Since
2007
Managing Partner, Urish Popeck & Co., LLC (certified public
26 RICs consisting of
accountants and consultants) since 1976; Past-Chairman of the
146 Portfolios
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 founding in 2001; Principal,
UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee,
The Holy Family Institute from 2001 to 2010; President and Trustee,
Pittsburgh Catholic Publishing Associates from 2003 to 2008;
Director, Inter-Tel from 2006 to 2007.
None
38
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
Officers and Directors (continued)
Name, Address1
and Year of Birth
Position(s)
Length
Held with
of Time
the Master LLC Served3
Number of BlackRockAdvised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen
Principal Occupation(s) During Past Five Years
Public Company
and Other
Investment Company
Directorships Held
During Past Five Years
Independent Directors2 (concluded)
Claire A. Walton
1957
Director
Since
2016
Chief Operating Officer and Chief Financial Officer of Liberty Square 26 RICs consisting of
Asset Management, LP from 1998 to 2015; General Partner of Neon 146 Portfolios
Liberty Capital Management, LLC since 2003; Director, Boston
Hedge Fund Group since 2009; Director, Woodstock Ski Runners
since 2013; Director, Massachusetts Council on Economic
Education from 2013 to 2015.
None
Frederick W. Winter
1945
Director
Since
2007
Director, Alkon Corporation since 1992; Dean Emeritus of the Joseph 26 RICs consisting of
M. Katz School of Business, University of Pittsburgh, Dean and
146 Portfolios
Professor from 1997 to 2005, Professor until 2013.
None
Barbara G. Novick
1960
Director
Since
2015
Vice Chairman of BlackRock, Inc. since 2006; Chair of BlackRock’s
Government Relations Steering Committee since 2009; Head of the
Global Client Group of BlackRock, Inc. from 1988 to 2008.
100 RICs consisting of
220 Portfolios
None
John M. Perlowski
1964
Director,
President and
Chief Executive
Officer
Since 2015
(Director);
Since 2010
(President and
Chief Executive
Officer)
Managing Director of BlackRock, Inc. since 2009; Head of
BlackRock Global Fund & Accounting Services 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.
128 RICs consisting of
318 Portfolios
None
Interested Directors4
1
2
3
4
The address of each Director is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
Independent Directors serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board has
determined to extend the terms of Independent Directors on a case-by-case basis, as appropriate. The Board has unanimously approved extending the
mandatory retirement age for David O. Beim and Dr. Matina S. Horner until December 31, 2016, which the Board believes is in the best interests of
shareholders of the Master LLC.
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 Independent Directors as joining the Board in 2007, those Independent Directors first became members of the boards of other legacy
MLIM or legacy BlackRock funds as follows: David O. Beim, 1998; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Cynthia A. Montgomery,
1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1999; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999.
Ms. Novick and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Master LLC based on their positions with BlackRock and
its affiliates. Mr. Perlowski and Ms. Novick are also board members of certain complexes of BlackRock registered open-end and closed-end funds. Mr.
Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Closed-End Complex, and Ms. Novick is a board member of
the BlackRock Closed-End Complex.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
39
Officers and Directors (concluded)
Name, Address1
and Year of Birth
Position(s)
Length
Held with
of Time
the Master LLC Served3
Principal Occupation(s) During Past Five Years
Officers Who Are Not Directors2
Thomas Callahan
1968
Vice President
Since
2016
Managing Director of BlackRock, Inc. since 2013; Head of BlackRock’s Global Cash Management Business since 2016; CoHead of the Global Cash Management Business from 2014 to 2016; Deputy Head of the Global Cash Management Business
from 2013 to 2014; Member of the Cash Management Group Executive Committee since 2013; Chief Executive Officer of
NYSE Liffe U.S. from 2008 to 2013.
Jennifer McGovern
1977
Vice President
Since
2014
Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Product Structure
and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013; Vice President of BlackRock, Inc. from 2008 to 2010.
Neal J. Andrews
1966
Chief Financial
Officer
Since
2007
Managing Director of BlackRock, Inc. 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 M. Fife
1970
Treasurer
Since
2007
Managing Director of BlackRock, Inc. since 2007; Director of BlackRock, Inc. 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.
Charles Park
1967
Chief
Compliance
Officer
Since
2014
Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity
Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the
BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex since 2014;
Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors
(“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief
Compliance Officer for BlackRock Asset Management International Inc. since 2012.
Fernanda Piedra
1969
Anti-Money
Laundering
Compliance
Officer
Since
2015
Director of BlackRock, Inc. since 2014; Anti-Money Laundering Compliance Officer and Regional Head of Financial Crime for
the Americas at BlackRock, Inc. since 2014; Head of Regulatory Changes and Remediation for the Asset Wealth Management
Division of Deutsche Bank from 2010 to 2014; Vice President of Goldman Sachs (Anti-Money Laundering/Suspicious
Activities Group) from 2004 to 2010.
Benjamin Archibald
1975
Secretary
Since
2012
Managing Director of BlackRock, Inc. since 2014; Director of BlackRock, Inc. from 2010 to 2013; Secretary of the iShares®
exchange traded funds since 2015; Secretary of the BlackRock-advised mutual funds since 2012.
1
2
The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
Officers of the Master LLC serve at the pleasure of the Board.
Further information about the Officers and Directors is available in the Master LLC’s Statement of Additional Information, which can be obtained without charge by
calling (800) 441-7762.
Effective December 31, 2016, David O. Beim and Dr. Matina S. Horner resigned as Directors of the Master LLC.
Investment Adviser
BlackRock Advisers, LLC
Wilmington, DE 19809
40
QUANTITATIVE MASTER SERIES LLC
Accounting Agent and
Custodian
State Street Bank and
Trust Company
Boston, MA 02110
Legal Counsel
Sidley Austin LLP
New York, NY 10019
Independent Registered
Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Address of the Series
100 Bellevue Parkway
Wilmington, DE 19809
DECEMBER 31, 2016
Additional Information
Master Extended Market Index Series
Availability of Quarterly Schedule of Investments
The Series files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms
N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington,
D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Series’ Forms N-Q
may also be obtained upon request and without charge by calling (800) 441-7762.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Series uses to determine how to vote proxies relating to portfolio securities is available upon request
and without charge (1) by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.
Availability of Proxy Voting Record
Information about how the Series voted proxies relating to securities held in the Series’ portfolio during the most recent 12-month period ended June 30 is
available upon request and without charge (1) at http://www.blackrock.com; or by calling (800) 441-7762; and (2) on the SEC’s website at
http://www.sec.gov.
QUANTITATIVE MASTER SERIES LLC
DECEMBER 31, 2016
41