Certified Annual Shareholder Report of a Management Investment Company · Form N-CSR
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1: N-CSR State Farm Mutual Fund Trust Class A, B and 442± 1,826K
Institutional Class Shares
2: EX-99.A.2 Certification As Required by Rule 30a-2(A) 2 16K
3: EX-99.B Certification Pursuant to Rule 906 of the 1 7K
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N-CSR · State Farm Mutual Fund Trust Class A, B and Institutional Class Shares
Document Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-10027
STATE FARM MUTUAL FUND TRUST
(Exact name of registrant as specified in charter)
One State Farm Plaza
Bloomington, IL 61710-0001
(Address of principal executive offices) (Zip code)
Michael L. Tipsord Alan Goldberg
One State Farm Plaza Bell, Boyd & Lloyd LLC
Bloomington, Illinois 61710-0001 Three First National Plaza
70 West Madison St., Suite 3300
Chicago, Illinois 60602
(Names and addresses of agents for service)
Registrant's telephone number, including area code: 1-800-447-4930
Date of fiscal year end: 12/31/2003
Date of reporting period: 12/31/2003
ITEM 1. REPORTS TO STOCKHOLDERS.
December 31, 2003
[LOGO] STATE FARM INSURANCE(R) Mutual
Funds(R)
State Farm Mutual Fund Trust
Annual Report
[GRAPHIC]
Class A Shares / Class B Shares / Institutional Shares
State Farm Equity Fund
State Farm Small Cap Equity Fund
State Farm International Equity Fund
State Farm S&P 500 Index Fund
State Farm Small Cap Index Fund
State Farm International Index Fund
State Farm Equity and Bond Fund
State Farm Bond Fund
State Farm Tax Advantaged Bond Fund
State Farm Money Market Fund
State Farm LifePath(R) Income Fund
State Farm LifePath 2010(R) Fund
State Farm LifePath 2020(R) Fund
State Farm LifePath 2030(R) Fund
State Farm LifePath 2040(R) Fund
[Download Table]
Table of Contents
Message to Shareowners............... i Master Investment Portfolio
Schedule of Investments
Schedule of Investments S&P 500 Index Master Portfolio...... 109
State Farm Equity Fund.............. 17 Russell 2000 Index Master Portfolio. 118
State Farm Small Cap Equity Fund.... 19 International Index Master Portfolio 140
State Farm International Equity Fund 22 LifePath Retirement Master Portfolio 152
State Farm Equity and Bond Fund..... 26 LifePath 2010 Master Portfolio...... 165
State Farm Bond Fund................ 27 LifePath 2020 Master Portfolio...... 181
State Farm Tax Advantaged Bond Fund. 32 LifePath 2030 Master Portfolio...... 197
State Farm Money Market Fund........ 36 LifePath 2040 Master Portfolio...... 212
Financial Statements
Financial Statements Statements of Assets and Liabilities 228
Statements of Assets and Liabilities 38 Statements of Operations............ 230
Statements of Operations............ 42 Statements of Change in Net Assets.. 232
Statements of Changes in Net Assets. 44 Notes to Financial Statements....... 236
Notes to Financial Statements....... 49 Report of Independent Auditors...... 244
Financial Highlights................. 60 Trustees Information................ 245
Report of Independent Auditors....... 105
Management Information............... 106
Service is only a phone call away
Contact your local Registered State Farm Agent or call our Securities Products
Department toll free, at 1-800-447-4930.
Fund prices are available to you 24 hours a day, 7 days a week.
Investor Services Representatives are available 8 a.m. - 6 p.m. Central Time
Monday through Friday (except holidays)
1-800-447-4930
Visit our website www.statefarm.com(R)
This report and material must be accompanied or preceded by a prospectus for
the State Farm Mutual Fund Trust (the "Trust").
The Trust offers Class A and Class B shares for fifteen separate funds through
two prospectuses, one for ten of the funds and another for five of the funds.
The Trust also offers Institutional shares for the fifteen funds in separate
prospectuses, one for ten of the funds and another for five of the funds.
Distributor: State Farm VP Management Corp.
[LOGO] STATE FARM Mutual
INSURANCE(R) Funds(R)
Message to Shareowners of State Farm Mutual Fund Trust
We are glad you chose State Farm Mutual Funds and your Registered State Farm
Agent to help you prepare for your financial future. Enclosed is the State Farm
Mutual Fund Trust Annual Report for the 12 months ended December 31, 2003.
Within this annual report, for each of the funds offered by the Trust, you will
find information such as: historical performance returns, performance
comparisons to securities indices, audited financial information and lists of
portfolio holdings. We encourage your review and consideration of this entire
report.
We have expanded the investment choices by adding State Farm LifePath Funds in
2003. This report includes information on the five funds added to the Trust in
late May 2003: the State Farm(R) LifePath(R) Income Fund, the State Farm
LifePath 2010(R) Fund, the State Farm LifePath 2020(R) Fund, the State Farm
LifePath 2030(R) Fund and the State Farm LifePath 2040(R) Fund. This report
also provides information concerning all three share classes for the fifteen
mutual funds available through investment with the Trust: Class A, Class B and
Institutional (Class I) shares. Institutional shares is a restricted class,
offered primarily for the funding of certain tax qualified accounts. While all
three share classes are invested in the same fund portfolios, performance
returns will differ between share classes due to differing expenses between the
share classes.
Overall, the funds' returns for this year reflected the many positive trends in
the world and U.S. economies. The U.S. stock market posted its first overall
positive year since 1999 and as a result, our funds' equity investments
outperformed our funds' fixed income investments.
As you review the returns for the funds it is important to realize that
historical returns are not good indicators of near term investments results.
The following pages contain additional discussion of factors impacting
performance, specific to each of the funds.
Thank you for investing with State Farm Mutual Funds(R).
Sincerely,
/s/ Phillip G. Hawkins
Phillip G. Hawkins
Vice President
State Farm Investment Management Corp.
LifePath(R), and LifePath followed by 2010, 2020, 2030 and 2040 are registered
trademarks of Barclays Global Investors, N.A.
i
State Farm Equity Fund
Investment Strategy Impacting Performance
The Equity Fund seeks long-term growth of capital. The manager, State Farm
Investment Management Corp., seeks to purchase the common stocks of large U.S.
companies that are considered well run and able to generate long-term capital
appreciation.
How the Equity Fund Performed
The Equity Fund generated a total return of 22.81% for Class A shares and
22.57% for Class B shares excluding sales charges, and 23.52% for Institutional
shares, in the 12 month period ended December 31, 2003. The total return of the
S&P 500(R) Index during the same time period was 28.68%. See the line graph
below for performance with sales charges for Class A and Class B shares.
Reasons for the Equity Fund's Performance
The Equity Fund's positive return reflected the overall positive results of the
equity markets that rebounded after three years of negative returns. The fund
performed below the S&P 500 Index as the fund's holdings of pharmaceutical
firms, consumer product companies, telecommunications operations and
international oil firms was below the index.
Over the past year, the fund has added to its holdings of financial services,
consumer products firms, oil and gas companies, telecommunications and
telecommunications equipment, healthcare firms, electrical manufacturing firms
and technology companies.
Financial highlights for this fund can be found on pages 60-62.
Performance Comparison
The following graph compares a $10,000 investment in the Equity Fund since
inception to a theoretical investment of the same amount in the S&P 500 Index**:
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT FOR THE PERIOD ENDED
DECEMBER 31, 2003, INCLUDING APPLICABLE SALES CHARGES
[CHART]
Equity Equity S&P 500(R)
Class A Class B Index**
12/18/00 $10,000.00 $10,000.00 $10,000.00
12/31/00 9,686.64 9,682.86 9,984.68
3/31/01 8,285.30 8,271.84 8,800.95
6/30/01 8,530.79 8,517.24 9,316.03
9/30/01 7,589.74 7,556.11 7,948.61
12/31/01 8,285.30 8,241.17 8,797.92
3/31/02 8,346.67 8,302.52 8,822.10
6/30/02 7,334.02 7,299.09 7,640.15
9/30/02 6,239.54 6,202.18 6,320.26
12/31/02 6,731.72 6,680.40 6,853.53
3/31/03 6,536.45 6,475.16 6,637.68
6/30/03 7,296.98 7,224.27 7,659.44
9/30/03 7,420.31 7,357.67 7,862.11
12/31/03 8,267.34 8,188.48 8,819.44
Fund's Average Annual Total Return
Since inception
Class A: -6.08%
Class B: -6.37%
Class I*: 2.60%
1 Year
Class A: 19.17%
Class B: 19.57%
Class I: 23.52%
*Class I inception date 11/1/2001. Class I share performance may
be greater than or less than the lines shown for Class A and
Class B shares because of differing loads and expenses between
the share classes.
**S&P 500(R) Index tracks the common stock performance of large
U.S. companies in the manufacturing, utilities, transportation,
and financial industries. In total, the S&P 500 is comprised of
500 common stocks. Unlike an investment in the Equity Fund, a
theoretical investment in the Index does not reflect any
expenses. It is not possible to invest directly in an index.
The performance data quoted represents past performance and does not guarantee
future results. Investment return and principal value will fluctuate and fund
shares, when redeemed, may be worth more or less than their original cost.
Recent performance may be less than the figures shown. Obtain total returns
current to the most recent month-end at statefarm.com(R) under the Mutual Funds
tab.
Average annual total return is the compounded rate of change in value during a
period of investment, including the value of shares acquired through
reinvestment of all dividends and of all capital gain distributions for the
period. This rate is based on an investment at the beginning of the period
through the end of of the period and includes all applicable fees and expenses.
Returns in the graph reflect a maximum sales charge of 3% for Class A shares
and Class B shares at one year, while the Class B shares since inception return
reflects a maximum sales charge of 2.50% (Class I does not include a sales
charge). These figures do not reflect the deduction of taxes that a shareholder
would pay on the fund distributions or the redemption of fund shares. A fund
may have commenced investment operations on or before 12/18/00, which is the
SEC effective registration date for the State Farm Mutual Fund Trust.
See Financial Highlights beginning on page 60.
1
State Farm Small Cap Equity Fund
Investment Strategy Impacting Performance
The Small Cap Equity Fund seeks long-term growth of capital. The Fund invests
its assets primarily in equity securities of companies with relatively small
market capitalizations located in the United States. These companies typically
have market capitalizations of $50 million to $1.5 billion at the time the Fund
purchases these securities. The Fund invests in securities that its
sub-advisor, Capital Guardian Trust Company (Capital Guardian), thinks are
undervalued and represent good long-term investment opportunities.
How the Small Cap Equity Fund Performed
The Small Cap Equity Fund generated a total return of 39.38% for Class A shares
and 39.00% for Class B shares excluding sales charges, and 40.23% for
Institutional shares in the 12 month period ended December 31, 2003. The total
return of the Russell 2000(R) Index during the same time period was 47.25%. See
the line graph below for performance with sales charges for Class A and Class B
shares.
Reasons for the Small Cap Equity Fund's Performance
The Fund's return somewhat varied from the Russell 2000 Index because the Fund
invests in a representative sample of the 2000 stocks in the Index, but not in
every stock included in the Index. The Fund satisfactorily tracked, before fees
and expenses, the performance of the Russell 2000 Index in 2003. Small cap
equities out-performed the overall equity market in 2003. Investments in the
information technology equities led performance while the telecommunications
sector underperformed the rest of the Index.
Financial highlights for this fund can be found on pages 63-65.
Performance Comparison
The following graph compares a $10,000 investment in the Small Cap Equity Fund
since inception to a theoretical investment of the same amount in the Russell
2000 Index**:
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT FOR THE PERIOD ENDED
DECEMBER 31, 2003, INCLUDING APPLICABLE SALES CHARGES
[CHART]
Small Cap Small Cap Russell
Equity Fund Equity Fund 2000
Class A Class B Index**
12/18/00 $10,000.00 $10,000.00 $10,000.00
12/31/00 9,915.49 9,925.29 10,446.99
3/31/01 8,648.17 8,640.68 9,767.38
6/30/01 10,371.72 10,374.87 11,174.41
9/30/01 7,705.29 7,687.37 8,842.24
12/31/01 9,702.86 9,675.43 10,706.69
3/31/02 10,159.59 10,124.73 11,133.21
6/30/02 8,819.86 8,794.86 10,203.34
9/30/02 6,718.93 6,697.94 8,019.80
12/31/02 7,165.50 7,125.47 8,513.61
3/31/03 6,729.08 6,697.94 8,131.20
6/30/03 8,271.79 8,214.65 10,035.90
9/30/03 8,850.31 8,784.68 10,946.92
12/31/03 9,987.04 9,909.00 12,536.61
Fund's Average Annual Total Return
1 Year
Class A: 35.16%
Class B: 36.00%
Class I: 40.23%
Since inception
Class A: -0.04%
Class B: -0.30%
Class I*: 5.32%
*Class I inception date 2/28/2002. Class I share performance may
be greater than or less than the lines shown for Class A and
Class B shares because of differing loads and expenses between
the share classes.
**The Russell 2000(R) Index tracks the common stock performance of
the 2,000 smallest U.S. companies in the Russell 3000(R) Index,
which represents approximately 10% of the total capitalization of
the Russell 3000 Index. Unlike an investment in the Small Cap
Equity Fund, a theoretical investment in the Index does not
reflect any expenses. It is not possible to invest directly in an
index.
The performance data quoted represents past performance and does not guarantee
future results. Investment return and principal value will fluctuate and fund
shares, when redeemed, may be worth more or less than their original cost.
Recent performance may be less than the figures shown. Obtain total returns
current to the most recent month-end at statefarm.com(R) under the Mutual Funds
tab.
Average annual total return is the compounded rate of change in value during a
period of investment, including the value of shares acquired through
reinvestment of all dividends and of all capital gain distributions for the
period. This rate is based on an investment at the beginning of the period
through the end of the period and includes all applicable fees and expenses.
Returns in the graph reflect a maximum sales charge of 3% for Class A shares
and Class B shares at one year, while the Class B shares since inception return
reflects a maximum sales charge of 2.50% (Class I does not include a sales
charge). These figures do not reflect the deduction of taxes that a shareholder
would pay on the fund distributions or the redemption of fund shares. A fund
may have commenced investment operations on or before 12/18/00, which is the
SEC effective registration date for the State Farm Mutual Fund Trust.
See Financial Highlights beginning on page 60.
2
State Farm International Equity Fund
Investment Strategy Impacting Performance
The International Equity Fund seeks long-term growth of capital. The Fund
invests its assets primarily in common stocks of companies located in 16
European countries. The Fund may also invest in companies located in emerging
markets. The Fund invests in securities that its sub-advisor, Capital Guardian,
thinks are undervalued and represent good long-term investment opportunities.
How the International Equity Fund Performed
The International Equity Fund generated a total return of 33.61% for Class A
shares and 33.18% for Class B shares excluding sales charges, and 34.56% for
Institutional shares in the 12 month period ended December 31, 2003. The total
return of the Morgan Stanley Capital International Europe, Australia and Far
East Free ("EAFE(R) Free Index") during the same time period was 38.59%.
Reasons for the International Equity Fund's Performance
The Fund satisfactorily tracked, before fees and expenses, the performance of
the EAFE Free Index in 2003. The utilities sector and a rebound in the
telecommunications sector lead gains while consumer discretionary stocks
underperformed the rest of the Index.
Financial highlights for this fund can be found on pages 66-68.
Performance Comparison
The following graph compares a $10,000 investment in the International Equity
Fund since inception to a theoretical investment of the same amount in the EAFE
Free Index**:
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT FOR THE PERIOD ENDED
DECEMBER 31, 2003, INCLUDING APPLICABLE SALES CHARGES
[CHART]
International International EAFE
Equity Fund Equity Fund FREE
Class A Class B Index**
12/18/00 $10,000.00 $10,000.00 $10,000.00
12/31/00 9,751.65 9,754.07 10,170.00
3/31/01 8,466.94 8,467.64 8,773.42
6/30/01 8,416.37 8,396.82 8,657.84
9/30/01 7,091.19 7,071.54 7,468.47
12/31/01 7,864.51 7,834.81 7,989.30
3/31/02 7,874.64 7,834.81 8,066.91
6/30/02 7,570.99 7,540.56 7,859.70
9/30/02 5,992.01 5,957.34 6,320.31
12/31/02 6,514.05 6,475.33 6,715.80
3/31/03 5,918.13 5,869.87 6,164.21
6/30/03 6,976.40 6,916.59 7,351.96
9/30/03 7,531.23 7,470.74 7,949.46
12/31/03 8,703.72 8,625.50 9,307.12
Fund's Average Annual Total Return
1 Year
Class A: 29.53%
Class B: 30.18%
Class I: 34.56%
Since inception
Class A: -4.47%
Class B: -4.75%
Class I*: 9.26%
*Class I inception date 2/28/2002. Class I share performance may
be greater than or less than the lines shown for Class A
and Class B shares because of differing loads and expenses
between the share classes.
**The Morgan Stanley Capital International Europe, Australia and
Far East Free (EAFE(R) Free) Index currently measures the
performance of stock markets of Europe, Australia, New Zealand,
and the Far East and takes into account local market restrictions
on share ownership by foreigners. EAFE Free is meant to reflect
actual opportunities for foreign investors in a local market.
Unlike an investment in the International Equity Fund, a
theoretical investment in the Index does not reflect any
expenses. It is not possible to invest directly in an index.
The performance data quoted represents past performance and does not guarantee
future results. Investment return and principal value will fluctuate and fund
shares, when redeemed, may be worth more or less than their original cost.
Recent performance may be less than the figures shown. Obtain total returns
current to the most recent month-end at statefarm.com(R) under the Mutual Funds
tab.
Average annual total return is the compounded rate of change in value during a
period of investment, including the value of shares acquired through
reinvestment of all dividends and of all capital gain distributions for the
period. This rate is based on an investment at the beginning of the period
through the end of of the period and includes all applicable fees and expenses.
Returns in the graph reflect a maximum sales charge of 3% for Class A shares
and Class B shares at one year, while the Class B shares since inception return
reflects a maximum sales charge of 2.50% (Class I does not include a sales
charge). These figures do not reflect the deduction of taxes that a shareholder
would pay on the fund distributions or the redemption of fund shares. A fund
may have commenced investment operations on or before 12/18/00, which is the
SEC effective registration date for the State Farm Mutual Fund Trust.
See Financial Highlights beginning on page 60.
3
State Farm S&P 500 Index Fund
Investment Strategy Impacting Performance
The S&P 500 Index Fund seeks to provide investment results that correspond to
the total return of publicly traded common stocks in the aggregate, as
represented by the Standard & Poor's 500(R) Stock Index ("S&P 500(R)
Index")./1/ The S&P 500 Index Fund invests all of its assets in a separate
series of an unaffiliated mutual fund called the S&P 500 Index Master
Portfolio, which holds each of the stocks that make up the S&P 500 Index.
Barclays Global Fund Advisors is the investment adviser to the S&P 500 Index
Master Portfolio and seeks to achieve investment performance that is similar to
the S&P 500 Index by staying as fully invested as practicable in common stocks.
How the S&P 500 Index Fund Performed
The S&P 500 Index Fund generated a total return of 27.39% for Class A shares
and 27.19% for Class B shares excluding sales charges, and 28.27% for
Institutional shares, in the 12 month period ended December 31, 2003. The total
return of the S&P 500 Index during the same time period was 28.68%. The Index
Master Portfolio satisfactorily tracked, before fees and expenses, the
performance of the S&P 500 Index during 2003. See the line graph below for
performance of the S&P 500 Index Fund with sales charges for Class A and Class
B shares.
Within the Index, sector performance was positive. Information technology
(17.74% of the Index as of December 31, 2003) led the way with a 47.23% gain
for the year. Materials (3.04% of the Index as of December 31, 2003) returned
38.23%. Consumer discretionary, at 11.29% of the Index as of December 31, 2003,
climbed 37.45%. Industrials (10.90% of the Index as of December 31, 2003) and
financials (the largest sector, at 20.65% of the Index as of December 31, 2003)
returned 32.11% and 31.06%, respectively, for the year.
Among the Index's ten largest constituents, all delivered positive results.
Technology Bellwethers Intel Corp. (2.04% of the Index as of December 31, 2003)
and Cisco Systems Inc. (1.63% of the Index as of December 31, 2003) gained
105.84% and 84.96%, respectively, for the year. Citigroup Inc. (2.43% of the
Index as of December 31, 2003) returned 37.94%, and General Electric Co.
(the largest constituent at 3.02% of the Index as of December 31, 2003) climbed
27.23%. International Business Machines Corp. (1.55% of the Index as of
December 31, 2003) gained 19.59% for the year.
Financial highlights for this fund can be found on pages 69-71.
Performance Comparison
The following graph compares a $10,000 investment in the S&P 500 Index Fund
since inception to a theoretical investment of the same amount in the S&P 500
Index**:
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT FOR THE PERIOD ENDED
DECEMBER 31, 2003, INCLUDING APPLICABLE SALES CHARGES
[CHART]
S&P 500 S&P 500
Index Index S&P 500
Class A Class B Index**
12/18/00 $10,000.00 $10,000.00 $10,000.00
12/31/00 9,681.07 9,680.63 9,984.68
3/31/01 8,507.32 8,497.23 8,800.95
6/30/01 8,992.34 8,972.53 9,316.03
9/30/01 7,643.97 7,624.22 7,948.61
12/31/01 8,446.46 8,419.06 8,797.92
3/31/02 8,456.22 8,419.06 8,822.10
6/30/02 7,305.31 7,281.34 7,640.15
9/30/02 6,037.37 6,014.17 6,320.26
12/31/02 6,537.46 6,500.50 6,853.53
3/31/03 6,311.69 6,275.67 6,637.68
6/30/03 7,273.66 7,214.09 7,659.44
9/30/03 7,440.53 7,390.05 7,862.11
12/31/03 8,327.90 8,268.83 8,819.44
Fund's Average Annual Total Return
Since inception
Class A: -5.85%
Class B: -6.07%
Class I*: 1.71%
1 Year
Class A: 23.49%
Class B: 24.19%
Class I: 28.27%
*Class I inception date 11/1/2001. Class I share performance may
be greater than or less than the lines shown for Class A and
Class B shares because of differing loads and expenses between
the share classes.
**The S&P 500(R) Index tracks the common stock performance of large
U.S. companies in the manufacturing, utilities, transportation,
and financial industries. In total, the S&P 500 is comprised of
500 common stocks. Unlike an investment in the S&P 500 Index
Fund, a theoretical investment in the Index does not reflect any
expenses. It is not possible to invest directly in an index.
The performance data quoted represents past performance and does not guarantee
future results. Investment return and principal value will fluctuate and fund
shares, when redeemed, may be worth more or less than their original cost.
Recent performance may be less than the figures shown. Obtain total returns
current to the most recent month-end at statefarm.com(R) under the Mutual Funds
tab.
Average annual total return is the compounded rate of change in value during a
period of investment, including the value of shares acquired through
reinvestment of all dividends and of all capital gain distributions for the
period. This rate is based on an investment at the beginning of the period
through the end of of the period and includes all applicable fees and expenses.
Returns in the graph reflect a maximum sales charge of 3% for Class A shares
and Class B shares at one year, while the Class B shares since inception return
reflects a maximum sales charge of 2.50% (Class I does not include a sales
charge). These figures do not reflect the deduction of taxes that a shareholder
would pay on the fund distributions or the redemption of fund shares. A fund
may have commenced investment operations on or before 12/18/00, which is the
SEC effective registration date for the State Farm Mutual Fund Trust.
See Financial Highlights beginning on page 60.
---------------------
(1)"S&P 500(R) Index" is a trademark of The McGraw-Hill Companies, Inc. and has
been licensed for use by the State Farm Mutual Fund Trust. The State Farm
S&P 500 Index Fund (the "Fund") is not sponsored, endorsed, sold or promoted
by Standard & Poor's and Standard & Poor's makes no representation regarding
the advisability of investing in the Fund.
4
State Farm Small Cap Index Fund
Investment Strategy Impacting Performance
The Small Cap Index Fund seeks to match as closely as practicable, before fees
and expenses, the performance of the Russell 2000(R) Small Stock Index./1/ The
Fund invests all of its assets in a separate series of an unaffiliated mutual
fund called the Russell 2000 Index Master Portfolio. Barclays Global Fund
Advisors is the investment adviser to the Russell 2000 Index Master Portfolio
and seeks to achieve investment performance that is similar to the Russell 2000
Index by staying as fully invested as possible in common stocks. The Russell
2000 Index Master Portfolio pursues its investment objective by investing in a
representative sample of the securities contained in the Russell 2000 Index
based upon sampling and modeling techniques.
How the Small Cap Index Fund Performed
The Small Cap Index Fund generated a total return of 44.70% for Class A shares
and 44.46% for Class B shares excluding sales charges, and 45.97% for
Institutional shares in the 12 month period ended December 31, 2003. The total
return of the Russell 2000 Index during the same time period was 47.25%. See
the line graph below for performance with sales charges for Class A and Class B
shares.
Reasons for the Small Cap Index Fund's Performance
The Fund's return somewhat varied from the Russell 2000 Index because the Fund
invested in a representative sample of the 2000 stocks in the Index, but not in
every stock included in the Index. The Fund satisfactorily tracked, before fees
and expenses, the performance of the Russell 2000 Index in 2003. Small cap
equities out-performed the overall equity market in 2003. Investments in the
information technology equities led performance while the telecommunications
sector underperformed the rest of the Index.
Financial highlights for this fund can be found on pages 72-74.
Performance Comparison
The following graph compares a $10,000 investment in the Small Cap Index Fund
since inception to a theoretical investment of the same amount in the Russell
2000 Small Stock Index**:
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT FOR THE PERIOD ENDED
DECEMBER 31, 2003, INCLUDING APPLICABLE SALES CHARGES
[CHART]
Small Cap Index Small Cap Index Russell 2000
Since Inception Fund Class A Fund Class B Index**
12/18/2000 $10,000.00 $10,000.00 $10,000.00
12/31/2000 10,122.56 10,135.19 10,446.99
03/31/2001 9,404.37 9,394.27 9,767.38
06/30/2001 10,753.40 10,765.50 11,174.41
09/30/2001 8,501.79 8,482.02 8,842.24
12/31/2001 10,266.62 10,242.39 10,706.69
03/31/2002 10,662.63 10,639.26 11,133.21
06/30/2002 9,761.70 9,728.06 10,203.34
09/30/2002 7,662.84 7,633.71 8,019.80
12/31/2002 8,104.25 8,066.57 8,513.61
03/31/2003 7,706.00 7,668.22 8,131.20
06/30/2003 9,458.27 9,401.04 10,035.90
09/30/2003 10,274.67 10,224.81 10,946.92
12/31/2003 11,727.16 11,699.39 12,536.61
Fund's Average Annual Total Return
1 Year
Class A: 40.39%
Class B: 41.46%
Class I: 45.97%
Since inception
Class A: 5.39%
Class B: 5.31%
Class I*: 10.69%
*Class I inception date 2/28/2002. Class I share performance may
be greater than or less than the lines shown for Class A and
Class B shares because of differing loads and expenses between
the share classes.
**The Russell 2000(R) Index tracks the common stock performance of
the 2,000 smallest U.S. companies in the Russell 3000(R) Index,
which represents approximately 10% of the total capitalization of
the Russell 3000 Index. Unlike an investment in the Small Cap
Index Fund, a theoretical investment in the Index does not
reflect any expenses. It is not possible to invest directly in an
index.
The performance data quoted represents past performance and does not guarantee
future results. Investment return and principal value will fluctuate and fund
shares, when redeemed, may be worth more or less than their original cost.
Recent performance may be less than the figures shown. Obtain total returns
current to the most recent month-end at statefarm.com(R) under the Mutual Funds
tab.
Average annual total return is the compounded rate of change in value during a
period of investment, including the value of shares acquired through
reinvestment of all dividends and of all capital gain distributions for the
period. This rate is based on an investment at the beginning of the period
through the end of of the period and includes all applicable fees and expenses.
Returns in the graph reflect a maximum sales charge of 3% for Class A shares
and Class B shares at one year, while the Class B shares since inception return
reflects a maximum sales charge of 2.50% (Class I does not include a sales
charge). These figures do not reflect the deduction of taxes that a shareholder
would pay on the fund distributions or the redemption of fund shares. A fund
may have commenced investment operations on or before 12/18/00, which is the
SEC effective registration date for the State Farm Mutual Fund Trust.
See Financial Highlights beginning on page 60.
---------------------
/(1)/The Russell 2000(R) Index is a trademark/service mark, and Russell(R) is a
trademark of the Frank Russell Company. The State Farm Small Cap Index
Fund (the "Fund") is not sponsored, endorsed, sold or promoted by, nor in
any way affiliated with the Frank Russell Company. Frank Russell company
is not responsible for and has not reviewed the Fund nor any associated
literature or publications and Frank Russell company makes no
representation or warranty, express or implied, as to their accuracy, or
completeness, or otherwise.
5
State Farm International Index Fund
Investment Strategy Impacting Performance
The International Index Fund seeks to match as closely as practicable, before
fees and expenses, the performance of an international portfolio of common
stocks represented by the Morgan Stanley Capital International Europe,
Australia, and Far East Free Index ("EAFE(R) Free Index")./1/ The Fund invests
all of its assets in a separate series of an unaffiliated mutual fund called
the International Index Master Portfolio. Barclays Global Fund Advisors is the
investment adviser to the International Index Master Portfolio. The
International Index Master Portfolio seeks to match the performance of the EAFE
Free Index by investing in common stocks included in the Index and by staying
as fully invested as possible in common stocks. The International Index Master
Portfolio selects a representative sample of the securities contained in the
EAFE Free Index based upon sampling and modeling techniques.
How the International Index Fund Performed
The International Index Fund generated a total return of 36.95% for Class A
shares and 36.71% for Class B shares excluding sales charges, and 37.79% for
Institutional shares in the 12 month period ended December 31, 2003. The total
return of the EAFE Free Index during the same time period was 38.59%. See the
line graph below for performance with sales charges for Class A and Class B
shares.
Reasons for the International Index Fund's Performance
The Fund satisfactorily tracked, before fees and expenses, the performance of
the EAFE Free Index in 2003. The utilities sector and a rebound in the
telecommunications sector lead gains while consumer discretionary stocks
underperformed the rest of the Index.
Financial highlights for this fund can be found on pages 75-77.
Performance Comparison
The following graph compares a $10,000 investment in the International Index
Fund since inception to a theoretical investment of the same amount in the EAFE
Free Index**:
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT FOR THE PERIOD ENDED
DECEMBER 31, 2003, INCLUDING APPLICABLE SALES CHARGES
[CHART]
International International Index EAFE FREE
Index Class A Class B Index**
12/18/2000 10,000.00 10,000.00 10,000.00
12/31/2000 9,846.24 9,850.27 10,170.00
03/31/2001 8,478.44 8,468.33 8,773.42
06/30/2001 8,362.03 8,342.22 8,657.84
09/30/2001 7,227.04 7,207.29 7,468.47
12/31/2001 7,661.21 7,637.36 7,989.30
03/31/2002 7,709.88 7,676.18 8,066.91
06/30/2002 7,495.72 7,472.28 7,859.70
09/30/2002 5,986.84 5,964.21 6,320.31
12/31/2002 6,352.41 6,314.02 6,715.80
03/31/2003 5,810.73 5,774.78 6,164.21
06/30/2003 6,923.64 6,872.87 7,351.96
09/30/2003 7,455.47 7,402.30 7,949.46
12/31/2003 8,699.88 8,633.98 9,307.12
Fund's Average Annual Total Return
1 Year
Class A: 32.84%
Class B: 33.71%
Class I: 37.79%
Since inception
Class A: -4.48%
Class B: -4.72%
Class I*: 10.74%
*Class I inception date 2/28/2002. Class I share performance may
be greater than or less than the lines shown for Class A and
Class B shares because of differing loads and expenses between
the share classes.
**The Morgan Stanley Capital International Europe, Australia and
Far East Free (EAFE(R) Free) Index currently measures the
performance of stock markets of Europe, Australia, New Zealand,
and the Far East and takes into account local market restrictions
on share ownership by foreigners. EAFE Free is meant to reflect
actual opportunities for foreign investors in a local market.
Unlike an investment in the International Index Fund, a
theoretical investment in the Index does not reflect any
expenses. It is not possible to invest directly in an index.
The performance data quoted represents past performance and does not guarantee
future results. Investment return and principal value will fluctuate and fund
shares, when redeemed, may be worth more or less that their original cost.
Recent performance may be less that the figures shown. Obtain total returns
current to the most recent month-end at statefarm.com(R) under the Mutual Funds
tab.
Average annual total return is the compounded rate of change in value during a
period of investment, including the value of shares acquired through
reinvestment of all dividends and of all capital gain distributions for the
period. This rate is based on an investment at the beginning of the period
through the end of the period and includes all applicable fees and expenses.
Returns in the graph reflect a maximum sales charge of 3% for Class A shares
and Class B shares at one year, while the Class B shares since inception return
reflects a maximum sales charge of 2.50% (Class I does not include a sales
charge). These figures do not reflect the deduction of taxes that a shareholder
would pay on the fund distributions or the redemption of fund shares. A fund
may have commenced investment operations on or before 12/18/00, which is the
SEC effective registration date for the State Farm Mutual Fund Trust.
See Financial Highlights beginning on page 60.
---------------------
/(1)/The EAFE(R) Free Index is a trademark, service mark and the exclusive
property of Morgan Stanley Capital International, Inc. ("MSCI") and its
affiliates and has been licensed for use by the State Farm Mutual Fund
Trust (the "Trust"). The State Farm International Index Fund (the "Fund"),
based on the EAFE(R) Free Index, has not been passed on by MSCI as to its
responsibility for and does not participate in the management of the fund
assets or sale of the fund shares. The Trust's Prospectus contains a more
detailed description of the limited relationship MSCI has with the Trust
and the Fund.
6
State Farm Equity and Bond Fund
Investment Strategy Impacting Performance
The Equity and Bond Fund seeks long-term growth of principal while providing
some current income. The Fund invests all of its assets in shares of the State
Farm Equity Fund and the State Farm Bond Fund. Generally, the State Farm Equity
and Bond Fund attempts to maintain approximately 60% of its net assets in
shares of the Equity Fund and approximately 40% of its net assets in shares of
the Bond Fund. The mix of assets was in line with these targets on December 31,
2003.
How the State Farm Equity and Bond Fund Performed
The Equity and Bond Fund generated a total return of 14.70% for Class A shares
and 14.36% for Class B shares excluding sales charges, and 15.26% for
Institutional shares in the 12 month period ended December 31, 2003. The total
return of the S&P 500(R) Index during the same time period was 28.68% and the
total return of the Lehman Brothers Aggregate Bond Index was 4.10%. See the
line graph below for performance with sales charges for Class A and Class B
shares.
Reasons for the State Farm Equity and Bond Fund's Performance
The equity portfolio of the fund reflected a positive return representative of
the overall positive results of the equity markets in the same time period. The
fund's equity investments performed under the S&P 500 Index benchmark as the
fund's holdings of pharmaceutical firms, consumer product companies,
telecommunications operations and international oil firm were below the index.
Within the fixed income portfolio of the fund's investments, corporate bond
holdings performed better than other asset classes over the past year.
Corporate bonds performed well as yield spreads to U.S. Treasuries narrowed
significantly. The lowest quality bonds provided the highest return. With short
term interest rates at historically low levels, the fund's cash investments
caused the fund's return to lag behind the Lehman Brothers Aggregate Bond Index.
Financial highlights for this fund can be found on pages 78-80.
Performance Comparison
The following graph compares a $10,000 investment in the Equity and Bond Fund
since inception to a theoretical investment of the same amount in the S&P 500
Index**, the Lehman Brothers Aggregate Bond Index**, and the Blended
Benchmark***:
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT FOR THE PERIOD ENDED
DECEMBER 31, 2003, INCLUDING APPLICABLE SALES CHARGES
[CHART]
[Download Table]
Equity & Equity & Lehman Brothers
Bond Bond U.S. Aggregate S&P 500(R) Blended
Class A Class B Bond Index** Index** Benchmark***
12/18/2000 $10,000.00 $10,000.00 $10,000.00 $10,000.00 $10,000.00
12/31/2000 9,702.67 9,698.82 10,031.00 9,984.68 10,003.21
3/31/2001 8,968.52 8,964.96 10,334.61 8,800.95 9,414.41
6/30/2001 9,139.59 9,136.08 10,392.30 9,316.03 9,746.54
9/30/2001 8,698.16 8,684.79 10,873.02 7,948.61 9,118.37
12/31/2001 9,152.48 9,126.97 10,877.05 8,797.92 9,629.57
3/31/2002 9,183.05 9,157.49 10,886.63 8,822.10 9,647.91
6/30/2002 8,620.78 8,619.88 11,288.41 7,640.15 9,099.45
9/30/2002 8,004.28 7,993.17 11,806.30 6,320.26 8,514.68
12/31/2002 8,426.89 8,405.96 11,991.65 6,853.53 8,908.78
3/31/2003 8,333.25 8,302.19 12,158.35 6,637.68 8,845.95
6/30/2003 8,985.27 8,947.32 12,463.28 7,659.44 9,438.01
9/30/2003 9,079.42 9,030.65 12,445.30 7,862.11 9,586.33
12/31/2003 9,665.51 9,616.58 12,484.48 8,819.44 10,290.67
Fund's Average Annual Total Return
Since inception
Class A: -1.11%
Class B: -1.28%
Class I(1): 3.78%
1 Year
Class A: 11.26%
Class B: 11.36%
Class I: 15.26%
*Class I inception date 2/28/2002. Class I share performance may
be greater than or less than the lines shown for Class A and
Class B shares because of differing loads and expenses between
the share classes.
**See footnotes for the Equity Fund and the Bond Fund for
descriptions of the indices.
***The Manager computes the Blended Benchmark using 60% S&P 500
Index and 40% Lehman Brothers Aggregate Bond Index. Unlike an
investment in the Equity and Bond Fund, returns of the Blended
Benchmark do not reflect expenses of investing. Moreover, returns
of the Blended Benchmark do not reflect any deductions for taxes.
Unlike an investment in the Equity and Bond Fund, a theoretical
investment in the index does not reflect any expenses. It is not
possible to invest directly in the index.
The performance data quoted represents past performance and does not guarantee
future results. Investment return and principal value will fluctuate and fund
shares, when redeemed, may be worth more or less than their original cost.
Recent performance may be less than the figures shown. Obtain total returns
current to the most recent month-end at statefarm.com(R) under the Mutual Funds
tab.
Average annual total return is the compounded rate of change in value during a
period of investment, including the value of shares acquired through
reinvestment of all dividends and of all capital gain distributions for the
period. This rate is based on an investment at the beginning of the period
through the end of the period and includes all applicable fees and expenses.
Returns in the graph reflect a maximum sales charge of 3% for Class A shares
and Class B shares at one year, while the Class B shares since inception return
reflects a maximum sales charge of 2.50% (Class I does not include a sales
charge). These figures do not reflect the deduction of taxes that a shareholder
would pay on the fund distributions or the redemption of fund shares. A fund
may have commenced investment operations on or before 12/18/00, which is the
SEC effective registration date for the State Farm Mutual Fund Trust.
See Financial Highlights beginning on page 60.
7
State Farm Bond Fund
Investment Strategy Impacting Performance
The Bond Fund seeks to realize over a period of years the highest yield
consistent with investing in investment grade bonds. The Fund invests primarily
in investment grade bonds issued by U.S. companies, U.S. government and agency
obligations, and mortgage backed securities.
How the State Farm Bond Fund Performed
The Bond Fund generated a total return of 3.16% for Class A shares and 2.78%
for Class B shares excluding sales charges, and 3.69% for Institutional shares,
in the 12 month period ended December 31, 2003. The total return of the Lehman
Brothers Aggregate Bond Index during the same time period was 4.10%. See the
line graph below for performance with sales charges for Class A and Class B
shares.
Reasons for the Bond Fund's Performance
The asset class composition of the fund's portfolio was similar to the previous
year. Overall, the fund's investments in corporate bonds performed better than
other asset classes of the fund over the past year. Corporate bonds performed
well as yield spreads to U.S. Treasuries narrowed significantly. The lowest
quality bonds provided the highest return. With short term interest rates at
historically low levels, the fund's cash investments caused the fund's return
to lag behind the Lehman Brothers Aggregate Bond Index.
Financial highlights for this fund can be found on pages 81-83.
Performance Comparison
The following graph compares a $10,000 investment in the Bond Fund since
inception to a theoretical investment of the same amount in the Lehman Brothers
Aggregate Bond Index**:
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT FOR THE PERIOD ENDED
DECEMBER 31, 2003, INCLUDING APPLICABLE SALES CHARGES
[CHART]
Lehman Brothers
Bond Bond U.S. Aggregate
Class A Class B Bond Index**
12/18/00 $10,000.00 $10,000.00 $10,000.00
12/31/00 9,724.31 9,728.19 10,031.00
3/31/01 10,002.47 10,004.84 10,334.61
6/30/01 10,022.34 10,015.06 10,392.30
9/30/01 10,481.69 10,477.19 10,873.02
12/31/01 10,445.75 10,429.85 10,877.05
3/31/02 10,403.35 10,376.31 10,886.63
6/30/02 10,734.58 10,730.43 11,288.41
9/30/02 11,242.94 11,239.78 11,806.30
12/31/02 11,388.05 11,376.94 11,991.65
3/31/03 11,538.95 11,520.33 12,158.35
6/30/03 11,808.37 11,794.81 12,463.28
9/30/03 11,771.35 11,736.79 12,445.30
12/31/03 11,747.61 11,725.49 12,484.48
Fund's Average Annual Total Return
Since inception
Class A: 5.45%
Class B: 5.38%
Class I*: 4.98%
1 Year
Class A: 0.08%
Class B: -0.22%
Class I: 3.69%
*Class I inception date 11/01/2001. Class I share performance may
be greater than or less than the lines shown for Class A and
Class B shares because of differing loads and expenses between
the share classes.
**The Lehman Brothers Aggregate Bond Index contains approximately
6,766 Government, corporate and collateralized debt instruments
with maturities greater than 1 year and an outstanding par value
of at least $150 million. The Lehman Brothers Aggregate Bond
Index represents an unmanaged group of bonds and mortgage-backed
securities that differ from the composition of the Bond Fund.
Unlike an investment in the Bond Fund, a theoretical investment
in the Index does not reflect any expenses. It is not possible to
invest directly in an index.
The performance data quoted represents past performance and does not guarantee
future results. Investment return and principal value will fluctuate and fund
shares, when redeemed, may be worth more or less than their original cost.
Recent performance may be less than the figures shown. Obtain total returns
current to the most recent month-end at statefarm.com(R) under the Mutual Funds
tab.
Average annual total return is the compounded rate of change in value during a
period of investment, including the value of shares acquired through
reinvestment of all dividends and of all capital gain distributions for the
period. This rate is based on an investment at the beginning of the period
through the end of of the period and includes all applicable fees and expenses.
Returns in the graph reflect a maximum sales charge of 3% for Class A shares
and Class B shares at one year, while the Class B shares since inception return
reflects a maximum sales charge of 2.50% (Class I does not include a sales
charge). These figures do not reflect the deduction of taxes that a shareholder
would pay on the fund distributions or the redemption of fund shares. A fund
may have commenced investment operations on or before 12/18/00, which is the
SEC effective registration date for the State Farm Mutual Fund Trust.
See Financial Highlights beginning on page 60.
8
State Farm Tax Advantaged Bond Fund
Investment Strategy Impacting Performance
The Tax Advantaged Bond Fund seeks as high a rate of income exempt from federal
income taxes as is consistent with prudent investment management. The fund
invests primarily in a diversified selection of municipal bonds. Dividends from
the fund largely will be exempt from federal income tax, but a portion of those
dividends may be subject to state and local taxes and (if applicable) the
alternative minimum tax. The fund may hold bonds with maturities of one to
thirty years.
How the Tax Advantaged Bond Fund Performed
The Tax Advantaged Bond Fund generated a total return of 5.60% for Class A
shares and 5.18% for Class B shares excluding sales charges, and 6.18% for
Institutional shares, in the 12 month period ended December 31, 2003. The total
return of the Lehman Brothers Municipal Bond Index was 5.31% during the same
time period. See the line graph below for performance with sales charges for
Class A and Class B shares.
Reasons for the Tax Advantaged Bond Fund's Performance
Interest rates declined slightly on the longer end of the yield curve.
Short-term interest rates remained at historically low levels throughout the
year. These factors tended to increase returns as the fund remained fully
invested throughout the year.
Lower quality bonds performed well during 2003. The market sector especially
benefited from the improving credit situation related to both tobacco
securitizations and airline facility bonds. The fund invested in bonds with
generally very good credit quality, and had no exposure to the high yield
sector. This lack of exposure to lower quality bonds put the fund at a
disadvantage and tended to decrease returns relative to the market.
The Fund's duration was slightly longer than the index, and this benefited the
performance in a declining yield environment. The credit quality of the fund
was better than that of the index, which lowered the performance of the fund as
lower quality assets performed particularly well.
The position of the portfolio on the yield curve increased return, as the
portions of the yield curve corresponding with the portfolio outperformed most
yield curve sectors not held in the fund. The holdings in the portfolio did not
change significantly during 2003. The structure of the portfolio remained
essentially constant for the year.
Financial highlights for this fund can be found on pages 84-86.
Performance Comparison
The following graph compares a $10,000 investment in the Tax Advantaged Bond
Fund since inception to a theoretical investment of the same amount in the
Lehman Brothers Municipal Bond Index**:
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT FOR THE PERIOD ENDED
DECEMBER 31, 2003, INCLUDING APPLICABLE SALES CHARGES
[CHART]
Tax Tax Lehman Brothers
Advantaged Advantaged Municipal
Class A Class B Bond Index**
12/18/2000 $10,000.00 $10,000.00 $10,000.00
12/31/2000 9,739.42 9,743.18 10,052.90
3/31/2001 9,912.25 9,911.21 10,276.58
6/30/2001 9,923.43 9,912.77 10,344.22
9/30/2001 10,212.29 10,199.42 10,634.24
12/31/2001 10,106.20 10,079.90 10,569.13
3/31/2002 10,240.09 10,207.42 10,667.74
6/30/2002 10,659.50 10,651.94 11,058.09
9/30/2002 11,357.81 11,356.01 11,583.38
12/31/2002 11,282.41 11,267.33 11,582.60
3/31/2003 11,441.73 11,418.82 11,722.42
6/30/2003 11,782.34 11,755.08 12,022.83
9/30/2003 11,779.90 11,741.00 12,033.07
12/31/2003 11,913.77 11,890.35 12,197.57
Fund's Average Annual Total Return
Since inception
Class A: 5.94%
Class B: 5.87%
Class I*: 7.93%
1 Year
Class A: 2.42%
Class B: 2.18%
Class I: 6.18%
*Class I inception date 2/28/2002. Class I share performance may
be greater than or less than the lines shown for Class A and
Class B shares because of differing loads and expenses between
the share classes.
**The Lehman Brothers Municipal Bond Index includes approximately
47,067 municipal bonds which are selected to be representative of
the market. To be included in the Index, a municipal bond must
meet the following criteria: have a minimum credit rating of Baa
assigned by Moody's Investors Service, Inc. or S&P; have been
issued as part of an issue of at least $50 million; have an
amount outstanding of at least 5 million; have been issued since
December 31,1990; and have a maturity of at least one year. The
Lehman Brothers Municipal Bond Index represents an unmanaged
group of bonds that differ from the composition of the Tax
Advantaged Bond Fund. Unlike an investment in the Tax Advantaged
Bond Fund, a theoretical investment in the Index does not reflect
any expenses. It is not possible to invest directly in an index.
The performance data quoted represents past performance and does not guarantee
future results. Investment return and principal value will fluctuate and fund
shares, when redeemed, may be worth more or less than their original cost.
Recent performance may be less than the figures shown. Obtain total returns
current to the most recent month-end at statefarm.com(R) under the Mutual Funds
tab.
Average annual total return is the compounded rate of change in value during a
period of investment, including the value of shares acquired through
reinvestment of all dividends and of all capital gain distributions for the
period. This rate is based on an investment at the beginning of the period
through the end of of the period and includes all applicable fees and expenses.
Returns in the graph reflect a maximum sales charge of 3% for Class A shares
and Class B shares at one year, while the Class B shares since inception return
reflects a maximum sales charge of 2.50% (Class I does not include a sales
charge). These figures do not reflect the deduction of taxes that a shareholder
would pay on the fund distributions or the redemption of fund shares. A fund
may have commenced investment operations on or before 12/18/00, which is the
SEC effective registration date for the State Farm Mutual Fund Trust.
See Financial Highlights beginning on page 60.
9
State Farm Money Market Fund
The Money Market Fund seeks to maximize current income to the extent consistent
with the preservation of capital and maintenance of liquidity. The Fund pursues
this objective by investing in high quality commercial paper and other
short-term debt securities. It is managed by State Farm Investment Management
Corp. An investment in the Money Market Fund is not insured or guaranteed by
the Federal Deposit Insurance Corporation or any other government agency.
Although the Fund seeks to preserve the value of your investment at $1.00 per
share, it is possible to lose money by investing in the Fund.
Financial highlights for this fund can be found on pages 87-89.
10
State Farm LifePath(R) Income Fund
Investment Strategy Impacting Performance
The State Farm LifePath Income Fund is managed for investors seeking income and
moderate long-term growth capital. The adviser expects that about 35% of the
Fund's assets will be invested in stocks, with the rest in bonds and money
market instruments./1/
How the State Farm LifePath Income Fund Performed
The State Farm LifePath Income Fund generated a total return of 8.20% for Class
A shares and 7.93% for Class B shares excluding sales charges, and 8.54% for
Institutional shares, since inception on May 9, 2003. See the line graph below
for performance with sales charges for Class A and Class B shares.
The total return of comparative indices for this fund, during the same time
period were as follows: S&P 500(R) Index 28.68%, Russell 3000(R) Index 24.15%,
MSCI EAFE(R) Index 35.02%, Citigroup Salomon 3 Month Treasury Bill Index 0.74%,
and Lehman Brothers Aggregate Bond Index 1.12%.
Reasons for the State Farm LifePath Income Fund's Performance
The LifePath Funds with a longer time horizon, because they were positioned
with a higher equity mix, had higher returns than LifePath Funds with a shorter
time horizon. The LifePath Funds were managed to seek the highest expected
return in exchange for the various levels of risk most investors that share the
Funds' time horizons are willing to take. The LifePath Funds' returns during
the year were consistent with this investment discipline.
Investment allocations within the LifePath Funds were very stable during the
year ended December 31, 2003. The allocation to international equities helped
performance for each LifePath Fund during the year, as a result of the
weakening U.S. dollar. The weakening U.S. dollar, all else being equal, caused
the value of international investments to rise in value in U.S. dollar terms.
In addition, while the LifePath Funds do not make sector or style bets,
portfolio allocations in sectors that usually responded quickly to changes in
the economic environments, such as technology sector securities, helped
portfolio performance across the LifePath Funds, as the U.S. economy recovered
during 2003. Financial highlights for this fund can be found on pages 90-92.
Performance Comparison
The following graph compares a $10,000 investment in the State Farm LifePath
Income Fund since inception to theoretical investments of the same amount in
the following indexes: S&P 500 Index*, Russell 3000 Index*, MSCI EAFE Index*,
Citigroup Salomon 3 Month Treasury Bill Index*, and Lehman Brothers Aggregate
Bond Index*:
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT FOR THE PERIOD ENDED
DECEMBER 31, 2003, INCLUDING APPLICABLE SALES CHARGES
[CHART]
5/9/2003 12/31/2003
LifePath Income Class A $10,000.00 $10,495.91
LifePath Income Class B 10,000.00 10,492.90
LifePath Income Class I 10,000.00 10,854.23
Russell 3000 Index 10,000.00 12,414.52
MSCI EAFE Index 10,000.00 13,502.28
Citigroup 3 Month Treasury Bill Index 10,000.00 10,073.54
Lehman Brothers U.S. Aggregated Bond Index 10,000.00 10,116.00
S&P 500 Index 10,000.00 12,051.38
Fund's Average Annual Total Return
Since Inception
Class A: 4.96%
Class B: 4.93%
Class I: 8.54%
*See footnotes for the LifePath 2040(R) Fund for description of
the indices.
The performance data quoted represents past performance and does not guarantee
future results. Investment return and principal value will fluctuate and fund
shares, when redeemed, may be worth more or less than their original cost.
Recent performance may be less than the figures shown. Obtain total returns
current to the most recent month-end at statefarm.com(R) under the Mutual Funds
tab.
Average annual total return is the compounded rate of change in value during a
period of investment, including the value of shares acquired through
reinvestment of all dividends and of all capital gain distributions for the
period. This rate is based on an investment at the beginning of the period
through the end of the period, reflects a maximum sales charge of 3% (Class I
does not include a sales charge), and includes all other applicable fees and
expenses. Ending net asset value on 5/9/2003 is used to calculate since
inception returns. These figures do not reflect the deduction of taxes that a
shareholder would pay on the fund distributions or the redemption of fund
shares. See Financial Highlights beginning on page 60.
---------------------
/(1)/All securities are held in the LifePath Master Portfolios in which the
State Farm LifePath Funds invest all their assets. For simplicity, all
references to LifePath Funds refer also to the LifePath Master Portfolios
except with respect to performance data quoted. State Farm Investment
Management Corp. is the investment adviser to the State Farm LifePath
Funds. Barclays Global Fund Advisors is the investment adviser to the
LifePath Master Portfolios.
11
State Farm LifePath 2010(R) Fund
Investment Strategy Impacting Performance
The State Farm LifePath 2010 Fund is managed for investors planning to begin to
withdraw substantial portions of their investment approximately in the year
2010. As of December 31, 2003, the State Farm LifePath 2010 Fund held about 49%
of its assets in stocks and the rest of its assets in bonds and money market
instruments./1/ The Fund pursues a strategy of allocating and reallocating
investments among stocks, bonds, and money market instruments. Through
strategic reallocation, this strategy takes into account the Fund's time
horizon and risk tolerance, resulting in a gradual decline of overall risk as
the investment horizon narrows.
How the State Farm LifePath 2010 Fund Performed
The State Farm LifePath 2010 Fund generated a total return of 11.14% for Class
A shares and 10.82% for Class B shares excluding sales charges, and 11.77% for
Institutional shares, since inception on May 9, 2003. See the line graph below
for performance with sales charges for Class A and Class B shares.
The total return of comparative indices for this fund, during the same time
period were as follows: S&P 500(R) Index 28.68%, Russell 3000(R) Index 24.15%,
MSCI EAFE(R) Index 35.02%, Citigroup Salomon 3 Month Treasury Bill Index 0.74%,
and Lehman Brothers Aggregate Bond Index 1.12%.
Reasons for the State Farm LifePath 2010 Fund's Performance
The LifePath Funds with a longer time horizon, because they were positioned
with a higher equity mix, had higher returns than LifePath Funds with a shorter
time horizon. The LifePath Funds were managed to seek the highest expected
return in exchange for the various levels of risk most investors that share the
Funds' time horizons are willing to take. The LifePath Funds' returns during
the year were consistent with this investment discipline.
Investment allocations within the LifePath Funds were very stable during the
year ended December 31, 2003. The allocation to international equities helped
performance for each LifePath Fund during the year, as a result of the
weakening U.S. dollar. The weakening U.S. dollar, all else being equal, caused
the value of international investments to rise in value in U.S. dollar terms.
In addition, while the LifePath Funds do not make sector or style bets,
portfolio allocations in sectors that usually responded quickly to changes in
the economic environments, such as technology sector securities, helped
portfolio performance across the LifePath Funds, as the U.S. economy recovered
during 2003. Financial highlights for this fund can be found on pages 93-95.
Performance Comparison
The following graph compares a $10,000 investment in the State Farm LifePath
2010 Fund since inception to theoretical investments of the same amount in the
following indexes: S&P 500 Index*, Russell 3000 Index*, MSCI EAFE Index*,
Citigroup Salomon 3 Month Treasury Bill Index*, and Lehman Brothers Aggregate
Bond Index*:
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT FOR THE PERIOD ENDED
DECEMBER 31, 2003, INCLUDING APPLICABLE SALES CHARGES
[CHART]
5/9/2003 12/31/2003
LifePath 2010 Class A $10,000.00 $10,781.60
LifePath 2010 Class B 10,000.00 10,782.42
LifePath 2010 Class I 10,000.00 11,176.96
Russell 3000 Index 10,000.00 12,414.52
MSCI EAFE Index 10,000.00 13,502.28
Citigroup 3 Month Treasury Bill Index 10,000.00 10,073.54
Lehman Brothers U.S. Aggregated Bond Index 10,000.00 10,116.00
S&P 500 Index 10,000.00 12,051.38
Fund's Average Annual Total Return
Since inception
Class A: 7.82%
Class B: 7.82%
Class I: 11.77%
*See footnotes for the LifePath 2040(R) Fund for description of the
indices.
The performance data quoted represents past performance and does not guarantee
future results. Investment return and principal value will fluctuate and fund
shares, when redeemed, may be worth more or less than their original cost.
Recent performance may be less than the figures shown. Obtain total returns
current to the most recent month-end at statefarm.com(R) under the Mutual Funds
tab.
Average annual total return is the compounded rate of change in value during a
period of investment, including the value of shares acquired through
reinvestment of all dividends and of all capital gain distributions for the
period. This rate is based on an investment at the beginning of the period
through the end of the period, reflects a maximum sales charge of 3% (Class I
does not include a sales charge), and includes all other applicable fees and
expenses. Ending net asset value on 5/9/2003 is used to calculate since
inception returns. These figures do not reflect the deduction of taxes that a
shareholder would pay on the fund distributions or the redemption of fund
shares. See Financial Highlights beginning on page 60.
---------------------
/(1)/All securities are held in the LifePath Master Portfolios in which the
State Farm LifePath Funds invest all their assets. For simplicity, all
references to LifePath Funds refer also to the LifePath Master Portfolios
except with respect to performance data quoted. State Farm Investment
Management Corp. is the investment adviser to the State Farm LifePath
Funds. Barclays Global Fund Advisors is the investment adviser to the
LifePath Master Portfolios.
12
State Farm LifePath 2020(R) Fund
Investment Strategy Impacting Performance
The State Farm LifePath 2020 Fund is managed for investors planning to begin to
withdraw substantial portions of their investment approximately in the year
2020. As of December 31, 2003, the State Farm LifePath 2020 Fund held about 65%
of its assets in stocks and the rest of its assets in bonds and money market
instruments./1/ The Fund pursues a strategy of allocating and reallocating
investments among stocks, bonds, and money market instruments. Through
strategic reallocation, this strategy takes into account the Fund's time
horizon and risk tolerance, resulting in a gradual decline of overall risk as
the investment horizon narrows.
How the State Farm LifePath 2020 Fund Performed
The State Farm LifePath 2020 Fund generated a total return of 14.67% for Class
A shares and 14.46% for Class B shares excluding sales charges, and 15.20% for
Institutional shares, since inception on May 9, 2003. See the line graph below
for performance with sales charges for Class A and Class B shares.
The total return of comparative indices for this fund, during the same time
period were as follows: S&P 500(R) Index 28.68%, Russell 3000(R) Index 24.15%,
MSCI EAFE(R) Index 35.02%, Citigroup Salomon 3 Month Treasury Bill Index 0.74%,
and Lehman Brothers Aggregate Bond Index 1.12%.
Reasons for the State Farm LifePath 2020 Fund's Performance
The LifePath Funds with a longer time horizon, because they were positioned
with a higher equity mix, had higher returns than LifePath Funds with a shorter
time horizon. The LifePath Funds were managed to seek the highest expected
return in exchange for the various levels of risk most investors that share the
Funds' time horizons are willing to take. The LifePath Funds' returns during
the year were consistent with this investment discipline.
Investment allocations within the LifePath Funds were very stable during the
year ended December 31, 2003. The allocation to international equities helped
performance for each LifePath Fund during the year, as a result of the
weakening U.S. dollar. The weakening U.S. dollar, all else being equal, caused
the value of international investments to rise in value in U.S. dollar terms.
In addition, while the LifePath Funds do not make sector or style bets,
portfolio allocations in sectors that usually responded quickly to changes in
the economic environments, such as technology sector securities, helped
portfolio performance across the LifePath Funds, as the U.S. economy recovered
during 2003. Financial highlights for this fund can be found on pages 96-98.
Performance Comparison
The following graph compares a $10,000 investment in the State Farm LifePath
2020 Fund since inception to theoretical investments of the same amount in the
following indexes: S&P 500 Index*, Russell 3000 Index*, MSCI EAFE Index*,
Citigroup Salomon 3 Month Treasury Bill Index*, and Lehman Brothers Aggregate
Bond Index*:
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT FOR THE PERIOD ENDED
DECEMBER 31, 2003, INCLUDING APPLICABLE SALES CHARGES
[CHART]
5/9/2003 12/31/2003
LifePath 2020 Class A $10,000.00 $11,125.34
LifePath 2020 Class B 10,000.00 11,146.12
LifePath 2020 Class I 10,000.00 11,519.78
Russell 3000 Index 10,000.00 12,414.52
MSCI EAFE Index 10,000.00 13,502.28
Citigroup 3 Month Treasury Bill Index 10,000.00 10,073.54
Lehman Brothers U.S. Aggregated Bond Index 10,000.00 10,116.00
S&P 500 Index 10,000.00 12,051.38
Fund's Average Annual Total Return
Since inception
Class A: 11.25%
Class B: 11.46%
Class I: 15.20%
*See footnotes for the LifePath 2040(R) Fund for description of the
indices.
The performance data quoted represents past performance and does not guarantee
future results. Investment return and principal value will fluctuate and fund
shares, when redeemed, may be worth more or less than their original cost.
Recent performance may be less than the figures shown. Obtain total returns
current to the most recent month-end at statefarm.com(R) under the Mutual Funds
tab.
Average annual total return is the compounded rate of change in value during a
period of investment, including the value of shares acquired through
reinvestment of all dividends and of all capital gain distributions for the
period. This rate is based on an investment at the beginning of the period
through the end of the period, reflects a maximum sales charge of 3% (Class I
does not include a sales charge), and includes all other applicable fees and
expenses. Ending net asset value on 5/9/2003 is used to calculate since
inception returns. These figures do not reflect the deduction of taxes that a
shareholder would pay on the fund distributions or the redemption of fund
shares. A fund may have commenced investment operations on or before 12/18/00,
which is the SEC effective registration date for the State Farm Mutual Fund
Trust. See Financial Highlights beginning on page 60.
---------------------
/(1)/All securities are held in the LifePath Master Portfolios in which the
State Farm LifePath Funds invest all their assets. For simplicity, all
references to LifePath Funds refer also to the LifePath Master Portfolios
except with respect to performance data quoted. State Farm Investment
Management Corp. is the investment adviser to the State Farm LifePath
Funds. Barclays Global Fund Advisors is the investment adviser to the
LifePath Master Portfolios.
13
State Farm LifePath 2030(R) Fund
Investment Strategy Impacting Performance
The State Farm LifePath 2030 Fund is managed for investors planning to begin to
withdraw substantial portions of their investment approximately in the year
2030. As of December 31, 2003, the State Farm LifePath 2030 Fund held about 79%
of its assets in stocks and the rest of its assets in bonds and money market
instruments./1/ The Fund pursues a strategy of allocating and reallocating
investments among stocks, bonds, and money market instruments. Through
strategic reallocation, this strategy takes into account the Fund's time
horizon and risk tolerance, resulting in a gradual decline of overall risk as
the investment horizon narrows.
How the State Farm LifePath 2030 Fund Performed
The State Farm LifePath 2030 Fund generated a total return of 17.02% for Class
A shares and 16.61% for Class B shares excluding sales charges, and 17.45% for
Institutional shares, since inception on May 9, 2003. See the line graph below
for performance with sales charges for Class A and Class B shares.
The total return of comparative indices for this fund, during the same time
period were as follows: S&P 500(R) Index 28.68%, Russell 3000(R) Index 24.15%,
MSCI EAFE(R) Index 35.02%, Citigroup Salomon 3 Month Treasury Bill Index 0.74%,
and Lehman Brothers Aggregate Bond Index 1.12%.
Reasons for the State Farm LifePath 2030 Fund's Performance
The LifePath Funds with a longer time horizon, because they were positioned
with a higher equity mix, had higher returns than LifePath Funds with a shorter
time horizon. The LifePath Funds were managed to seek the highest expected
return in exchange for the various levels of risk most investors that share the
Funds' time horizons are willing to take. The LifePath Funds' returns during
the year were consistent with this investment discipline.
Investment allocations within the LifePath Funds were very stable during the
year ended December 31, 2003. The allocation to international equities helped
performance for each LifePath Fund during the year, as a result of the
weakening U.S. dollar. The weakening U.S. dollar, all else being equal, caused
the value of international investments to rise in value in U.S. dollar terms.
In addition, while the LifePath Funds do not make sector or style bets,
portfolio allocations in sectors that usually responded quickly to changes in
the economic environments, such as technology sector securities, helped
portfolio performance across the LifePath Funds, as the U.S. economy recovered
during 2003. Financial highlights for this fund can be found on pages 99-101.
Performance Comparison
The following graph compares a $10,000 investment in the State Farm LifePath
2030 Fund since inception to theoretical investments of the same amount in the
following indexes: S&P 500 Index*, Russell 3000 Index*, MSCI EAFE Index*,
Citigroup Salomon 3 Month Treasury Bill Index*, and Lehman Brothers Aggregate
Bond Index*:
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT FOR THE PERIOD ENDED
DECEMBER 31, 2003, INCLUDING APPLICABLE SALES CHARGES
[CHART]
5/9/2003 12/31/2003
LifePath 2030 Class A $10,000.00 $11,354.30
LifePath 2030 Class B 10,000.00 11,360.91
LifePath 2030 Class I 10,000.00 11,744.99
Russell 3000 Index 10,000.00 12,414.52
MSCI EAFE Index 10,000.00 13,502.28
Citigroup 3 Month Treasury Bill Index 10,000.00 10,073.54
Lehman Brothers U.S. Aggregated Bond Index 10,000.00 10,116.00
S&P 500 Index 10,000.00 12,051.38
Fund's Average Annual Total Return
Since inception
Class A: 13.54%
Class B: 13.61%
Class I: 17.45%
*See footnotes for the LifePath 2040(R) Fund for description of the
indices.
The performance data quoted represents past performance and does not guarantee
future results. Investment return and principal value will fluctuate and fund
shares, when redeemed, may be worth more or less than their original cost.
Recent performance may be less than the figures shown. Obtain total returns
current to the most recent month-end at statefarm.com(R) under the Mutual Funds
tab.
Average annual total return is the compounded rate of change in value during a
period of investment, including the value of shares acquired through
reinvestment of all dividends and of all capital gain distributions for the
period. This rate is based on an investment at the beginning of the period
through the end of the period, reflects a maximum sales charge of 3% (Class I
does not include a sales charge), and includes all other applicable fees and
expenses. Ending net asset value on 5/9/2003 is used to calculate since
inception returns. These figures do not reflect the deduction of taxes that a
shareholder would pay on the fund distributions or the redemption of fund
shares. A fund may have commenced investment operations on or before 12/18/00,
which is the SEC effective registration date for the State Farm Mutual Fund
Trust. See Financial Highlights beginning on page 60.
---------------------
/(1)/All securities are held in the LifePath Master Portfolios in which the
State Farm LifePath Funds invest all their assets. For simplicity, all
references to LifePath Funds refer also to the LifePath Master Portfolios
except with respect to performance data quoted. State Farm Investment
Management Corp. is the investment adviser to the State Farm LifePath
Funds. Barclays Global Fund Advisors is the investment adviser to the
LifePath Master Portfolios.
14
State Farm LifePath 2040(R) Fund
Investment Strategy Impacting Performance
The State Farm LifePath 2040 Fund is managed for investors planning to begin to
withdraw substantial portions of their investment approximately in the year
2040. As of December 31, 2003, the State Farm LifePath 2040 Fund held about 89%
of its assets in stocks and the rest of its assets in bonds and money market
instruments./1/ The Fund pursues a strategy of allocating and reallocating
investments among stocks, bonds, and money market instruments. Through
strategic reallocation, this strategy takes into account the Fund's time
horizon and risk tolerance, resulting in a gradual decline of overall risk as
the investment horizon narrows.
How the State Farm LifePath 2040 Fund Performed
The State Farm LifePath 2040 Fund generated a total return of 19.93% for Class
A shares and 19.61% for Class B shares excluding sales charges, and 20.25% for
Institutional shares, since inception on May 9, 2003. See the line graph below
for performance with sales charges for Class A and Class B shares.
The total return of comparative indices for this fund, during the same time
period were as follows: S&P 500(R) Index 28.68%, Russell 3000(R) Index 24.15%,
MSCI EAFE(R) Index 35.02%, Citigroup Salomon 3 Month Treasury Bill Index 0.74%,
and Lehman Brothers Aggregate Bond Index 1.12%.
Reasons for the State Farm LifePath 2040 Fund's Performance
The LifePath Funds with a longer time horizon, because they were positioned
with a higher equity mix, had higher returns than LifePath Funds with a shorter
time horizon. The LifePath Funds were managed to seek the highest expected
return in exchange for the various levels of risk most investors that share the
Funds' time horizons are willing to take. The LifePath Funds' returns during
the year were consistent with this investment discipline.
Investment allocations within the LifePath Funds were very stable during the
year ended December 31, 2003. The allocation to international equities helped
performance for each LifePath Fund during the year, as a result of the
weakening U.S. dollar. The weakening U.S. dollar, all else being equal, caused
the value of international investments to rise in value in U.S. dollar terms.
In addition, while the LifePath Funds do not make sector or style bets,
portfolio allocations in sectors that usually responded quickly to changes in
the economic environments, such as technology sector securities, helped
portfolio performance across the LifePath Funds, as the U.S. economy recovered
during 2003. Financial highlights for this fund can be found on pages 102-104.
---------------------
/(1)/All securities are held in the LifePath Master Portfolios in which the
State Farm LifePath Funds invest all their assets. For simplicity, all
references to LifePath Funds refer also to the LifePath Master Portfolios
except with respect to performance data quoted. State Farm Investment
Management Corp. is the investment adviser to the State Farm LifePath
Funds. Barclays Global Advisors is the investment adviser to the LifePath
Master Portfolios.
15
State Farm LifePath 2040(R) Fund--Continued
Performance Comparison
The following graph compares a $10,000 investment in the State Farm LifePath
2040 Fund since inception to theoretical investments of the same amount in the
following indexes: S&P 500 Index*, Russell 3000 Index**, MSCI EAFE Index***,
Citigroup Salomon 3 Month Treasury Bill Index****, and Lehman Brothers
Aggregate Bond Index*****:
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT FOR THE PERIOD ENDED
DECEMBER 31, 2003, INCLUDING APPLICABLE SALES CHARGES
[CHART]
5/9/2003 12/31/2003
LifePath 2040 Class A $10,000.00 11,636.16
LifePath 2040 Class B 10,000.00 11,660.98
LifePath 2040 Class I 10,000.00 12,025.21
Russell 3000 Index 10,000.00 12,414.52
MSCI EAFE Index 10,000.00 13,502.28
Citigroup 3 Month Treasury Bill Index 10,000.00 10,073.54
Lehman Brothers U.S. Aggregated Bond Index 10,000.00 10,116.00
S&P 500 Index 10,000.00 12,051.38
Fund's Average Annual Total Return
Since inception
Class A: 16.36%
Class B: 16.61%
Class I: 20.25%
* The S&P 500(R) Index tracks the common stock performance of large
U.S. companies in the manufacturing, utilities, transportation, and
financial industries. In total, the S&P 500 is comprised of 500
common stocks.
**The Russell 3000(R) Index measures the performance of the 3,000
largest U.S. companies based on total market capitalization, which
represents approximately 98% of the investable U.S. equity market.
***The MSCI EAFE(R) Index is a free float-adjusted market
capitalization index that is designed to measure developed market
equity performance, excluding the U.S. and Canada.
****The Citigroup Salomon 3 Month Treasury Bill Index is an average of
the last 3-month Treasury bill issues (excluding the current
month-end bill).
*****The Lehman Brothers Aggregate Bond Index contains approximately
6,766 Government, corporate and collateralized debt instruments with
maturity greater than 1 year and an outstanding par value of at
least $150 million.
The indexes represent unmanaged groups of securities that differ
from the composition of the LifePath Funds. Unlike an investment in
the LifePath Funds, a theoretical investment in any of the Indexes
does not reflect any expenses. It is not possible to invest directly
in an index.
The performance data quoted represents past performance and does not guarantee
future results. Investment return and principal value will fluctuate and fund
shares, when redeemed, may be worth more or less than their original cost.
Recent performance may be less than the figures shown. Obtain total returns
current to the most recent month-end at statefarm.com(R) under the Mutual Funds
tab.
Average annual total return is the compounded rate of change in value during a
period of investment, including the value of shares acquired through
reinvestment of all dividends and of all capital gain distributions for the
period. This rate is based on an investment at the beginning of the period
through the end of the period, reflects a maximum sales charge of 3% (Class I
does not include a sales charge), and includes all other applicable fees and
expenses. Ending net asset value on 5/9/2003 is used to calculate since
inception returns. These figures do not reflect the deduction of taxes that a
shareholder would pay on the fund distributions or the redemption of fund
shares. See Financial Highlights beginning on page 60.
16
STATE FARM MUTUAL FUND TRUST EQUITY FUND
SCHEDULE OF INVESTMENTS
December 31, 2003
Shares Value
------- -----------
Common Stocks (94.9%)
Agriculture, Foods, & Beverage (10.4%)
Archer-Daniels-Midland Co. 162,750 $ 2,477,055
Campbell Soup Co. 31,300 838,840
Hershey Foods Corp. 11,300 869,987
Kellogg Co. 44,700 1,702,176
McCormick & Co. Inc. 57,700 1,736,770
Nestle SA ADR 56,100 3,504,124
Pepsico Inc. 69,800 3,254,076
Sara Lee Corp. 45,400 985,634
Sysco Corp. 40,500 1,507,815
The Coca-Cola Co. 79,200 4,019,400
-----------
20,895,877
-----------
Banks (8.0%)
Bank of America Corp. 22,000 1,769,460
Bank of New York Inc. 1,800 59,616
Fifth Third Bancorp 25,800 1,524,780
M&T Bank Corp. 15,500 1,523,650
Northern Trust Corp. 22,800 1,058,376
Popular Inc. ADR 18,900 849,366
SouthTrust Corp. 58,800 1,924,524
SunTrust Banks Inc. 29,600 2,116,400
Wells Fargo & Co. 88,300 5,199,987
-----------
16,026,159
-----------
Chemicals (3.1%)
Air Products & Chemicals Inc. 42,300 2,234,709
EI du Pont de Nemours and Co. 19,500 894,855
Sigma-Aldrich Corp. 36,600 2,092,788
The Dow Chemical Co. 23,100 960,267
-----------
6,182,619
-----------
Computer Software & Services (5.4%)
Automatic Data Processing Inc. 48,600 1,925,046
Check Point Software Technologies
Ltd. (a) 10,950 184,179
Electronic Data Systems Corp. 9,700 238,038
Intuit Inc. (a) 2,700 142,857
Microsoft Corp. 236,500 6,513,210
SAP AG 10,500 1,758,219
-----------
10,761,549
-----------
Computers (4.1%)
Hewlett-Packard Co. 179,200 4,116,224
International Business Machines Corp. 43,700 4,050,116
-----------
8,166,340
-----------
Consumer & Marketing (4.4%)
Colgate-Palmolive Co. 35,600 1,781,780
The Gillette Co. 55,500 2,038,515
The Procter & Gamble Co. 38,400 3,835,392
Unilever NV ADR 18,300 1,187,670
-----------
8,843,357
-----------
Electronic/Electrical Mfg. (8.7%)
Agilent Technologies Inc. (a) 27,400 801,176
Applied Materials Inc. (a) 59,400 1,333,530
Emerson Electric Co. 12,900 835,275
General Electric Co. 245,300 7,599,394
Intel Corp. 144,100 4,640,020
KLA Tencor Corp. (a) 8,400 492,828
Linear Technology Corp. 33,600 1,413,552
Texas Instruments Inc. 11,800 346,684
-----------
17,462,459
-----------
Financial Services (4.6%)
American Express Co. 9,500 458,185
Citigroup Inc. 104,300 5,062,722
First Data Corp. 8,200 336,938
MBNA Corp. 72,800 1,809,080
Wachovia Corp. 31,900 1,486,221
-----------
9,153,146
-----------
Health Care (14.0%)
Abbott Laboratories 40,800 1,901,280
Allergan Inc. 11,200 860,272
Amgen Inc. (a) 11,500 710,700
Baxter International Inc. (a) 26,500 808,780
Beckman Coulter Inc. 2,000 101,660
Biomet Inc. 23,550 857,456
Bristol-Myers Squibb Co. 8,200 234,520
Eli Lilly & Co. 45,200 3,178,916
GlaxoSmithKline PLC ADR 3,300 153,846
Johnson & Johnson 120,100 6,204,366
Medtronic Inc. 19,800 962,478
Merck & Co. Inc. 63,900 2,952,180
Novartis AG-ADR 14,900 683,761
Pfizer Inc. 202,980 7,171,283
Teva Pharmaceutical Industries Ltd. 15,600 884,676
Wyeth 9,600 407,520
-----------
28,073,694
-----------
Machinery & Manufacturing (4.5%)
3M Co. 33,600 2,857,008
AptarGroup Inc. 30,000 1,170,000
Caterpillar Inc. 38,600 3,204,572
Illinois Tool Works Inc. 21,600 1,812,456
-----------
9,044,036
-----------
Media & Broadcasting (3.5%)
Lee Enterprises Inc. Class B 3,800 165,870
Reuters Group PLC ADR 16,400 416,232
See accompanying notes to financial statements.
17
STATE FARM MUTUAL FUND TRUST EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2003
Shares Value
------- ------------
Common Stocks (Cont.)
Media & Broadcasting (Cont.)
The Walt Disney Co. 127,200 $ 2,967,576
Viacom Inc. Class B 79,800 3,541,524
------------
7,091,202
------------
Mining & Metals (2.9%)
BHP Billiton Plc 197,010 1,716,115
Newmont Mining Corp. Holding Co. 3,600 174,996
Nucor Corp. 23,200 1,299,200
Rio Tinto PLC ADR 22,700 2,526,737
------------
5,717,048
------------
Oil & Gas (12.2%)
Anadarko Petroleum Corp. 25,800 1,316,058
Baker Hughes Inc. 12,600 405,216
BG Group PLC 189,900 972,001
BP Amoco PLC ADR 87,600 4,323,060
ChevronTexaco Corp. 47,000 4,060,330
Devon Energy Corp. 18,400 1,053,584
Exxon Mobil Corp. 161,500 6,621,500
Murphy Oil Corp. 3,000 195,930
Royal Dutch Petroleum Co. ADR 61,200 3,206,268
Tidewater Inc. 16,500 493,020
Tom Brown Inc. (a) 13,200 425,700
Western Gas Resources Inc. 26,300 1,242,675
------------
24,315,342
------------
Retailers (3.4%)
Home Depot Inc. 19,200 681,408
Wal-Mart Stores Inc. 100,500 5,331,525
Walgreen Co. 22,500 818,550
------------
6,831,483
------------
Telecom & Telecom Equipment (5.4%)
ADC Telecommunications Inc. (a) 56,100 166,617
BellSouth Corp. 38,400 1,086,720
Cisco Systems Inc. (a) 111,800 2,715,622
Corning Inc. (a) 37,500 391,125
Lattice Semiconductor Corp. (a) 3,900 37,752
Motorola Inc. 50,600 711,942
Nokia Corp. ADR 91,300 1,552,100
SBC Communications Inc. 97,000 2,528,790
Verizon Communications 25,700 901,556
Vodafone Group PLC ADR 31,510 789,010
------------
10,881,234
------------
Utilities & Energy (0.3%)
Duke Energy Corp. 31,800 650,310
------------
Total Common Stocks
(cost $177,843,668) 190,095,855
------------
Shares or
principal
amount Value
---------- ------------
Short-term Investments (5.2%)
Toyota Motor Credit Corp.,
1.030%, 01/27/2004 $2,000,000 $ 1,999,961
JP Morgan Vista Treasury Plus Money
Market Fund 8,351,871 8,351,871
------------
Total Short-term Investments
(cost $10,351,832) 10,351,832
------------
TOTAL INVESTMENTS (100.1%)
(cost $188,195,500) 200,447,687
LIABILITIES, NET OF OTHER ASSETS (0.1%) (292,585)
------------
NET ASSETS (100.0%) $200,155,102
============
(a) Non-income producing security.
ADR - American Depository Receipt
See accompanying notes to financial statements.
18
STATE FARM MUTUAL FUND TRUST SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS
December 31, 2003
Shares Value
------- -----------
Common Stocks (94.2%)
Consumer Discretionary (19.3%)
ADVO Inc. 23,200 $ 736,832
Alloy Inc. (a) 46,200 240,702
American Eagle Outfitters Inc. (a) 8,000 131,200
American Greetings Corp. (a) 9,900 216,513
Beazer Homes USA Inc. 7,000 683,620
Boise Cascade Corp. 18,571 610,243
Borders Group Inc. (a) 9,300 203,856
Borg Warner Inc. 2,300 195,661
California Pizza Kitchen Inc. (a) 46,200 930,006
CEC Entertainment Inc. (a) 7,700 364,903
Christopher & Banks Corp. 14,700 287,091
Cox Radio Inc. (a) 7,000 176,610
Emmis Communications Corp. (a) 17,100 462,555
Entercom Communications Corp. (a) 5,300 280,688
Entravision Communications Corp. (a) 30,600 339,660
Four Seasons Hotels Inc. 6,200 317,130
Furniture Brands International Inc. 47,100 1,381,443
Gaiam Inc. (a) 10,900 64,855
Galyan's Trading Co. (a) 2,000 24,080
Genesco Inc. (a) 9,000 136,170
Insight Communications Inc. (a) 85,600 882,536
International Speedway Corp. 6,500 290,290
J Jill Group Inc. (a) 21,400 271,994
Landry's Restaurants Inc. 10,600 272,632
Libbey Inc. 19,500 555,360
Lithia Motors Inc. 17,600 443,696
Mediacom Communications Corp. (a) 117,200 1,016,124
Orbitz Inc. Class A (a) 3,200 74,240
Orient Express Hotels Ltd. Class A (a) 24,100 395,963
Petco Animal Supplies Inc. (a) 24,000 730,800
PF Chang's China Bistro Inc. (a) 14,600 742,848
Pixar Inc. (a) 2,500 173,225
Polaris Industries Inc. 6,500 575,770
Proquest Co. (a) 11,900 350,455
Radio One Inc. Class A (a) 4,000 78,200
Radio One Inc. Class D (a) 40,200 775,860
Reader's Digest Association Inc. 48,200 706,612
Ruby Tuesday Inc. 34,000 968,660
Six Flags Inc. (a) 25,700 193,264
Speedway Motorsports Inc. 16,600 480,072
Station Casinos Inc. 13,700 419,631
Steiner Leisure Ltd. (a) 25,000 357,500
Ultimate Electronics Inc. (a) 12,100 92,323
Warnaco Group Inc. (a) 41,100 655,545
Wesco International Inc. (a) 2,000 17,700
World Wrestling Entertainment 11,400 149,340
Young Broadcasting Inc. (a) 5,200 104,208
-----------
19,558,666
-----------
Consumer Staples (2.4%)
Adolph Coors Co. Class B 3,700 207,570
Corn Products International Inc. 27,000 930,150
International Multifoods Corp. (a) 34,900 628,200
Performance Food Group Co. (a) 7,700 278,509
Robert Mondavi Corp. (a) 2,400 93,216
Tootsie Roll Industries Inc. 7,999 287,964
-----------
2,425,609
-----------
Energy (3.5%)
Cabot Oil & Gas Corp. 7,400 217,190
Helmerich & Payne Inc. 19,900 555,807
Hydril (a) 35,100 839,943
Key Energy Services Inc. (a) 17,000 175,270
Newpark Resources Inc. (a) 53,000 253,870
Premcor Inc. (a) 6,500 169,000
San Juan Basin Realty 33,300 722,277
Seacor Smit Inc. (a) 3,200 134,496
Spinnaker Exploration Co. (a) 13,800 445,326
-----------
3,513,179
-----------
Financial Services (16.5%)
American Capital Strategies Ltd. 28,500 847,305
American Financial Realty Trust 10,500 179,025
AmeriCredit Corp. (a) 100,200 1,596,186
Annaly Mortgage Management Inc. 34,100 627,440
Anthracite Capital Inc. 50,100 554,607
Cathay Bancorp Inc. 4,900 272,832
Citizens Banking Corp. Michigan 33,500 1,096,120
Community First Bankshares Inc. 21,700 627,998
Endurance Specialty Holdings Ltd. 13,500 452,925
First American Corp. 18,000 535,860
First Community Bancorp CA 1,000 36,140
First Midwest Bancorp Inc. 13,000 421,330
Franklin Bank Corp. (a) 3,300 62,700
Fulton Financial Corp. 15,710 344,206
Greater Bay Bancorp 14,000 398,720
Harbor Florida Bancshares Inc. 16,000 475,360
Luminent Mortgage Capital, Inc. (a) 7,000 98,700
Max Re Capital Ltd. 17,700 397,188
Medallion Financial Corp. 24,000 227,760
Meristar Hospitality Corp. Inc. (a) 62,200 404,922
MFA Mortgage Investments Inc. 50,000 487,500
National Financial Partners Corp. (a) 10,100 278,255
Pan Pacific Retail Properties Inc. 5,900 281,135
PFF Bancorp Inc. 8,500 308,380
Philadelphia Consolidated Holding a
Corp. (a) 5,100 249,033
Provident Bankshares Corp. 21,000 618,240
SL Green Realty Corp. 28,600 1,174,030
Southern Financial Bancorp 11,511 495,779
Sterling Bancshares Inc. 32,300 430,559
Trammell Crow Co. (a) 46,900 621,425
Umpqua Holdings Corp. 31,300 650,727
Waypoint Financial Corp. 11,640 252,472
See accompanying notes to financial statements.
19
STATE FARM MUTUAL FUND TRUST SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2003
Shares Value
------- -----------
Common Stocks (Cont.)
Financial Services (Cont.)
WR Berkley Corp. 16,875 $ 589,781
Zenith National Insurance Corp. 17,000 553,350
-----------
16,647,990
-----------
Health Care (11.5%)
Aclara Biosciences Inc. (a) 30,900 112,785
Advisory Board Co. (a) 6,300 219,933
American Pharmaceutical Partners (a) 7,500 252,000
AMN Healthcare Services Inc. (a) 24,237 415,907
Amylin Pharmaceuticals Inc. (a) 49,800 1,106,556
Antigenics Inc. (a) 22,800 258,096
AtheroGenics Inc. (a) 46,700 698,165
ChromaVision Medical Systems Inc. (a) 44,600 142,274
Conceptus Inc. (a) 25,800 273,996
CTI Molecular Imaging Inc. (a) 70,500 1,192,155
Diversa Corp. (a) 12,500 115,625
Heska Corp. (a) 64,000 147,136
ILEX Oncology Inc. (a) 14,200 301,750
Illumina Inc. (a) 81,600 575,280
Kendle International Inc. (a) 20,800 131,872
Lexicon Genetics Inc. (a) 13,300 78,337
Lifepoint Hospitals Inc. (a) 23,800 700,910
NPS Pharmaceuticals Inc. (a) 9,200 282,808
Protein Design Labs Inc. (a) 44,800 801,920
Qiagen N. V. ADR (a) 47,800 571,688
SonoSite Inc. (a) 5,500 117,920
Tanox Inc. (a) 19,100 283,635
Trimeris Inc. (a) 17,500 367,150
Vicuron Pharmaceuticals Inc. (a) 36,900 688,185
Wilson Greatbatch Technologies (a) 31,100 1,314,597
Wright Medical Group, Inc. (a) 15,900 483,996
-----------
11,634,676
-----------
Industrials (10.0%)
Actuant Corp. (a) 17,600 637,120
Alaska Air Group Inc. (a) 30,200 824,158
ANC Rental Corp. (a) 36,400 3
Arbitron Inc. (a) 19,500 813,540
Aviall Inc. (a) 1,300 20,163
Central Freight Lines Inc. (a) 4,700 83,425
Columbus McKinnon Corp. (a) 18,000 155,700
CoStar Group Inc. (a) 14,900 621,032
Cummins Inc. 10,600 518,764
Delta Air Lines Inc. (a) 18,600 219,666
Devry Inc. (a) 7,600 190,988
Donaldson Inc. 4,300 254,388
Kansas City Southern (a) 54,800 784,736
Kirby Corp. (a) 8,400 292,992
Moog Inc. (a) 7,900 390,260
Orbital Sciences Corp. (a) 60,700 729,614
Oshkosh Truck Corp. 8,800 449,064
Overnite Corp. (a) 4,400 100,100
Pentair Inc. 4,300 196,510
Pinnacle Airlines Corp. (a) 30,500 423,645
Power-One Inc. (a) 79,800 864,234
Resources Connection Inc. (a) 7,700 210,287
School Speciality Inc. (a) 17,900 608,779
SCS Transportation Inc. (a) 3,000 52,740
West Corportation (a) 22,500 522,675
York International Corp. 4,900 180,320
-----------
10,144,903
-----------
Materials & Processes (6.9%)
AptarGroup Inc. 38,100 1,485,900
Ferro Corp. 57,600 1,567,296
Methanex Corp. 203,800 2,288,674
PH Glatfelter Co. 48,000 597,600
Scotts Co. (a) 18,200 1,076,712
-----------
7,016,182
-----------
Technology (20.7%)
Advanced Energy Industries Inc. (a) 37,900 987,295
Alliance Fiber Optic Products Inc. (a) 83,500 141,115
Amis Holdings Inc. (a) 7,400 135,272
Ariba Inc. (a) 84,400 253,200
ASM International NV (a) 39,200 793,408
Aspect Communications (a) 16,500 260,040
Cable Design Technologies Corp. (a) 31,400 282,286
Callidus Software Inc. (a) 2,000 35,380
CNET Networks Inc. (a) 18,500 126,170
Credence Systems Corp. (a) 91,400 1,202,824
Cymer Inc. (a) 36,000 1,662,840
Digital Insight Corp. (a) 16,000 398,400
Earthlink Inc. (a) 26,600 266,000
Electro Scientific Industries Inc. (a) 33,200 790,160
Emcore Corp. (a) 81,800 385,278
Exar Corp. (a) 14,900 254,492
FEI Co. (a) 38,900 875,250
Formfactor Inc. (a) 9,100 180,180
Gateway Inc. (a) 154,800 712,080
Helix Technology Corp. 18,900 388,962
Infospace Inc. (a) 6,500 149,825
Intergraph Corp. (a) 5,700 136,344
iPass Inc. (a) 12,800 205,184
Ixia (a) 28,200 329,940
Kulicke & Soffa Industries Inc. (a) 67,900 976,402
LTX Corp. (a) 79,600 1,196,388
MatrixOne Inc. (a) 114,200 703,472
MKS Instruments Inc. (a) 12,600 365,400
Nanometrics Inc. (a) 27,600 405,996
National Instruments Corp. 2,900 131,863
Netgear Inc. (a) 21,000 335,790
NetIQ Corp. (a) 18,300 242,475
Newport Corp. (a) 11,500 190,095
See accompanying notes to financial statements.
20
STATE FARM MUTUAL FUND TRUST SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2003
Shares Value
------- -----------
Common Stocks (Cont.)
Technology (Cont.)
Novell Inc. (a) 59,000 $ 620,680
Overland Storage Inc. (a) 23,100 434,280
Pinnacle Systems Inc. (a) 43,600 371,908
Polycom Inc. (a) 22,600 441,152
Power Integrations Inc. (a) 12,300 411,558
Quest Software Inc. (a) 25,700 364,940
Rudolph Technologies Inc. (a) 7,700 188,958
SCO Group Inc. (a) 22,100 375,700
Sigmatel Inc. (a) 3,000 74,040
SYNNEX Corp. (a) 13,500 185,760
TranSwitch Corp. (a) 163,300 375,590
TriQuint Semiconductor Inc. (a) 27,164 192,049
United Online Inc. (a) 6,600 110,814
Veeco Instruments Inc. (a) 33,000 930,600
Zygo Corp. (a) 22,800 375,972
-----------
20,953,807
-----------
Telecommunication Services (0.7%)
American Tower Corp. (a) 22,300 241,286
Cincinnati Bell Inc. (a) 42,600 215,130
Commonwealth Telephone
Enterprises Inc. (a) 5,600 211,400
-----------
667,816
-----------
Utilities (2.7%)
Allegheny Energy Inc. (a) 55,000 701,800
CMS Energy Corp. (a) 84,400 719,088
Energen Corp. 9,600 393,888
New Jersey Resources Corp. 5,200 200,252
Southwest Gas Corp. 31,900 716,155
-----------
2,731,183
-----------
Total Common Stocks
(cost $80,624,924) 95,294,011
-----------
Principal
amount Value
--------- -----------
Corporate Bonds (0.1%)
Telecommunication Services (0.1%)
American Tower Convertible Bond
6.250%, 10/15/2009 $146,000 $146,730
--------
Total Corporate Bonds
(cost $109,798) 146,730
--------
Shares Value
--------- ------------
Short-term Investments (5.5%)
JP Morgan 100% US Treasury
Securities Money Market Fund 3,293,643 $ 3,293,643
JP Morgan Vista Treasury Plus Money
Market Fund 2,314,922 2,314,922
------------
Total Short-term Investments
(cost $5,608,565) 5,608,565
------------
TOTAL INVESTMENTS (99.8%)
(cost $86,343,287) 101,049,306
OTHER ASSETS, NET OF LIABILITIES (0.2%) 172,178
------------
NET ASSETS (100.0%) $101,221,484
============
(a) Non-income producing security.
ADR - American Depository Receipt
See accompanying notes to financial statements.
21
STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS
December 31, 2003
Shares Value
------- ----------
Common Stocks (95.8%)
Australia (2.7%)
Alumina Ltd. 24,400 $ 120,784
Australian & New Zealand Bank Group 16,200 215,800
BHP Billiton Ltd. 37,343 342,979
Brambles Industries Ltd. 8,500 33,815
Foster's Brewing Group Ltd. 80,970 274,531
National Australia Bank Ltd. 9,293 209,704
News Corp. Ltd. ADR 12,348 111,550
Wesfarmers Ltd. 2,200 43,910
WMC Resources Ltd. (a) 24,400 103,503
Woolworths Ltd. 13,800 122,692
----------
1,579,268
----------
Canada (4.5%)
Abitibi Consolidated Inc. 24,700 198,212
Alcan Inc. 3,800 178,112
BCE Inc. COM 13,700 306,388
Bombardier Inc. Class B (b) 58,500 247,024
Bombardier Inc. Class B 22,200 94,573
Great West Lifeco Inc. 2,400 84,504
Inco Ltd. 4,400 175,864
Manulife Financial Corp. 2,800 90,679
Placer Dome Inc. 6,800 121,924
Suncor Energy Inc. 8,600 216,289
Telus Corp. 11,900 222,852
Thompson Corp. 10,300 373,375
Thomson Corp. 8,500 309,677
----------
2,619,473
----------
Denmark (0.3%)
Novo Nordisk 3,700 150,742
TDC AS 900 32,474
----------
183,216
----------
Finland (1.3%)
Nokia OYJ 31,200 539,545
UPM-Kymmene 11,800 225,045
----------
764,590
----------
France (11.2%)
Accor SA 5,400 244,525
Air Liquide SA 1,912 337,638
BNP Paribas 16,200 1,020,059
Bouygues 16,300 569,923
Essilor International 3,300 170,661
France Telecom SA (a) 10,000 285,822
Groupe Danone 2,100 342,759
L'Oreal 2,800 229,566
Renault SA 7,600 524,368
Sanofi-Synthelabo SA 24,800 1,867,505
Schneider SA 4,200 274,949
Societe Generale Class A 1,600 141,271
Vivendi Universal SA (a) 22,700 551,751
----------
6,560,797
----------
Germany (5.6%)
Allianz AG 3,500 441,826
Bayerische Motoren Werke AG 3,800 176,147
Daimler Chrysler AG 9,500 443,364
Deutsche Bank AG 4,400 364,631
Deutsche Telekom AG (a) 7,000 128,115
Epcos AG (a) 800 18,062
Infineon Technologies AG (a) 10,200 141,781
Metro AG 2,600 114,619
Muenchener Rueckvers AG (b) 550 66,357
Muenchener Rueckvers AG 1,930 234,321
SAP AG 1,900 319,103
SAP AG ADR 1,000 41,560
Siemans AG 7,750 620,742
Thyssen Krupp 7,800 154,170
----------
3,264,798
----------
Hong Kong (2.3%)
Cheung Kong Holdings Ltd. 24,000 190,891
Hang Lung Properties Ltd. 75,000 96,122
Hang Seng Bank Ltd. 8,300 109,047
Hong Kong Land Holdings Ltd. 50,000 85,000
Hutchison Whampoa Ltd. 15,000 110,612
Johnson Electric Holdings 158,000 201,479
Li & Fung Ltd. 124,000 212,427
Shangri-La Asia Ltd. 146,000 137,282
Sun Hung Kai Properties 11,000 91,034
Swire Pacific Ltd. "A" 19,500 120,311
----------
1,354,205
----------
Ireland (0.4%)
CRH PLC 10,925 223,929
----------
Italy (1.0%)
Assicurazione Generali SpA 3,900 103,304
ENI SpA 19,200 362,300
Unicredito Italiano SpA 22,000 118,769
----------
584,373
----------
Japan (20.2%)
Advantest Corp. 2,700 214,146
Aeon Co. Ltd. 15,000 502,473
Aiful Corp. 1,805 132,044
Canon Inc. 5,000 232,808
Dai Nippon Printing Co. Ltd. 7,000 98,302
Daiwa Securities Group Inc. 17,000 115,639
Fanuc Co. 3,700 221,648
Fuji Photo Film Co. Ltd. 3,000 96,855
Hirose Electric Co. Ltd. 2,800 321,359
See accompanying notes to financial statements.
22
STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2003
Shares Value
------- -----------
Common Stocks (Cont.)
Japan (Cont.)
Honda Motor Co. Ltd. 2,400 $ 106,597
Hoya Corp. 3,000 275,450
Japan Airlines System Corp. 23,000 60,735
Kansai Electric Power 13,200 231,311
Keyence Corp. 500 105,393
Millea Holdings Inc. 18 235,140
Mitsubishi Corp. 24,000 254,400
Mitsubishi Estate Co. Ltd. 36,000 341,290
Mitsubishi Heavy Industries Ltd. 37,000 102,883
Mitsubishi Motor Corp. 40,000 81,739
Mitsubishi Tokyo Financial 15 117,010
Mitsui Fudosan Co. Ltd. 24,000 216,777
Mitsui Sumitomo Insurance Co. 39,830 327,054
Murata Manufacturing Co. Ltd. 2,700 145,871
NEC Corp. 96,000 706,765
Nidec Corp. 600 57,273
Nikko Cordial Corp. 29,000 161,547
Nikon Corp. (a) 12,000 180,946
Nintendo Co. Ltd. 1,700 158,626
Nippon Steel Corp. 71,000 152,375
Nissan Motor Co. Ltd. 52,000 593,898
Nitto Denko Corp. 6,700 356,350
Nomura Holdings Inc. 16,000 272,464
NTT Docomo Inc. 37 83,895
Orix Corp. 3,900 322,422
Ricoh Co. Ltd. 6,000 118,410
Rohm Co. Ltd. 3,000 351,591
Sankyo Co. Ltd. 15,000 282,029
Sekisui House Ltd. 22,000 227,246
Shimamura Co. Ltd. 1,200 81,515
Shin-Etsu Chemical Co. Ltd. 2,400 98,087
Shionogi & Co. Ltd. 7,000 130,372
SMC Corp. 1,700 211,608
Softbank Corp. 1,200 36,727
Sompo Japan Insurance Co. 10,000 82,206
Sony Corp. 5,100 176,551
Sumitomo Chemical Co. Ltd. 37,000 152,599
Suzuki Motor Corp. 26,000 384,772
Takeda Chemical Industries 2,000 79,313
Tokyo Electron Ltd. 9,900 751,946
Toray Industries Inc. 61,000 254,997
Toyota Motor Corp. 8,300 280,358
UNI Charm Corp. 400 19,670
Vodafone Holdings 25 66,950
Yahoo Japan Corp. 19 255,295
Yamanouchi Pharmaceutical 4,000 124,289
Yamato Transport Co. Ltd. 6,000 70,654
-----------
11,820,670
-----------
Luxembourg (0.2%)
Societe Europeenne Satel-FDR 13,000 131,181
-----------
Netherlands (11.0%)
ABN Amro Holdings NV 40,120 938,729
Aegon NV 60,734 898,598
ASML Holding NV (a) 9,100 180,439
Heineken NV 20,850 793,971
ING Groep NV CVA 20,526 478,715
Koninklijke KPN NV (a) 76,000 586,679
Koninklijke Numico NV (a) 3,500 96,727
Philips Electronics NV 5,100 148,921
Reed Elsevier NV 3,700 45,970
Royal Dutch Petroleum Co. 27,800 1,465,739
Royal Dutch Petroleum Co. ADR 3,600 188,604
Stmicroelectronics NV 10,900 295,597
TNT Post Group 4,800 112,432
Unilever NV 700 45,781
VNU NV 5,688 179,723
-----------
6,456,625
-----------
New Zealand (0.0%)
Telecom Corp. of New Zealand 540 1,904
-----------
Norway (1.7%)
DNB Holding ASA 17,200 114,791
Norsk Hydro ASA 7,400 456,605
Norske Skogindustrier Class ASA 4,400 83,994
Statoil ASA 30,500 342,694
-----------
998,084
-----------
Singapore (1.8%)
DBS Group Holdings ADR (b) 32,000 276,982
Singapore Telecommunications (b) 499,000 575,961
Singapore Telecommunications 45,200 52,098
Venture Corp. Ltd. 10,000 117,765
-----------
1,022,806
-----------
Spain (2.8%)
Banco Bilbao Vizcaya Argenta 48,000 662,965
Inditex 19,100 387,878
Repsol VPF SA 8,600 167,704
Telefonica SA 29,671 435,633
-----------
1,654,180
-----------
Sweden (1.2%)
ASSA Abloy AB Class B 22,000 261,421
Forenings Sparbanken 17,800 350,048
Svenska Handelbanken 5,700 116,451
-----------
727,920
-----------
Switzerland (9.0%)
CIE Fincance Richemont Class A 25,087 602,453
Credit Suisse Group 3,329 121,801
Holcim Ltd. 10,665 496,708
See accompanying notes to financial statements.
23
STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2003
Shares Value
------- -----------
Common Stocks (Cont.)
Switzerland (Cont.)
Nestle SA 2,944 $ 735,554
Novartis AG 22,765 1,033,560
Roche Holding AG 3,447 347,696
Serono SA Class B 158 112,679
Stratec Holding AB 134 132,619
Swiss Reinsurance 10,228 690,550
Swisscom AG 1,722 568,082
UBS AG 6,685 457,829
-----------
5,299,531
-----------
United Kingdom (18.6%)
ARM Holdings (a) 35,400 81,432
Astrazenca PLC 39,100 1,904,653
Astrazeneca PLC 1,100 52,774
BAE Systems PLC 53,300 160,536
Barclays PLC 33,100 295,233
BG Group PLC 109,900 564,145
BHP Billiton PLC 43,610 380,974
Brambles Industries PLC 18,000 65,573
Centrica PLC 28,400 107,273
Compass Group PLC 11,600 78,910
Diageo PLC 15,300 201,311
GlaxoSmithKline PLC 4,500 103,113
HBOS PLC 30,500 395,028
HSBC Holdings PLC 35,600 559,543
National Grid Transco PLC 35,100 251,494
Pearson PLC 40,000 445,389
Prudential PLC 17,800 150,481
Reckitt Benckiser PLC 3,000 67,882
Reed International PLC 12,300 102,883
Rio Tinto PLC 4,400 121,537
Royal Bank of Scotland Group PLC 26,200 772,006
Smith & Nephew PLC 15,400 129,364
Smiths Group PLC 36,000 425,984
Standard Chartered PLC 23,900 394,688
Unilever PLC 57,700 537,891
Vodafone Group PLC 895,200 2,219,521
Wolseley PLC 8,200 115,966
Xstrata PLC 16,250 183,267
-----------
10,868,851
-----------
Total Common Stocks
(cost $51,638,532) 56,116,401
-----------
Principal
amount Value
----------- --------
Foreign Corporate Bonds (0.7%)
Cayman Islands (0.6%)
SMFG Finance (Cayman) LTD-CV
6.000%, 12/23/2005 $21,000,000 $357,228
--------
United Kingdom (0.1%)
Credit Suisse GP Finance
6.000%, 12/23/2005 68,000 74,831
--------
Total Foreign Corporate Bonds
(cost $253,980) 432,059
--------
See accompanying notes to financial statements.
24
STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2003
Principal
amount Value
--------- -----------
Repurchase Agreement (3.9%)
IBT Repurchase Agreement, (c)
0.720% to be repurchased at $2,263,301 on
01/02/2004 2,263,211 2,263,211
Total Repurchase Agreement -----------
(cost $2,263,211) 2,263,211
TOTAL INVESTMENTS (100.4%) -----------
(cost $54,155,723) 58,811,671
LIABILITIES, NET OF CASH AND OTHER ASSETS (-0.4%) (213,568)
-----------
NET ASSETS (100.0%) $58,598,103
===========
(a) Non-income producing security.
(b) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At December 31,
2003, the value of these securities amounted to $1,166,324 or 2.0% of net
assets.
(c) Repurchase agreement is fully collateralized by U.S. Treasury or Government
Agency Securities.
Approximately 33.5% of the investment securities are denominated in the Euro,
followed by 20.7% in the Japanese Yen, 12.9% in the British Pound, 9.4% in the
United States Dollar, 8.1% in the Swiss Franc, 4.5% in the Swedish Krone, 2.8%
in the Canadian Dollar and 2.7% in the Australian Dollar. The remaining
investment securities, representing 5.4% of total investments, are denominated
in five currencies, each of which represents less than 2.1% of total
investments.
INTERNATIONAL FUND INDUSTRY CLASSES
Industry Value %
----------------------------------------- ----------- -----
Communications $ 7,879,255 13.4%
Consumer Goods & Services 7,006,504 12.0
Health Care 6,724,671 11.5
Machinery, Manufacturing, & Construction 6,647,792 11.3
Real Estate & Other Financial 6,581,202 11.2
Banks 6,137,103 10.5
Mining & Refining 4,781,392 8.2
Transportation 3,436,586 5.9
Agriculture, Foods, & Beverage 2,886,018 4.9
Retail 2,559,803 4.4
Insurance 742,503 1.3
Chemicals 607,994 1.0
Utilities & Energy 482,806 0.8
----------- -----
Total Stocks 56,473,629 96.4
Foreign Corporate Bonds 74,831 0.1
Short-term Investments 2,263,211 3.9
Liabilities, Net of Cash and Other Assets (213,568) (0.4)
----------- -----
Net Assets $58,598,103 100.0%
=========== =====
See accompanying notes to financial statements.
25
STATE FARM MUTUAL FUND TRUST EQUITY AND BOND FUND
SCHEDULE OF INVESTMENTS
December 31, 2003
Shares Value
---------- ------------
Regulated Investment Companies (100.4%)
State Farm Mutual Fund Trust Bond Fund
Institutional Shares (40.0%) 5,137,977 54,719,452
State Farm Mutual Fund Trust Equity
Fund Institutional Shares (60.4%) 10,576,748 82,604,398
------------
Total Regulated Investment Companies
(cost $135,694,327) 137,323,850
------------
Short-term Investments (0.1%)
JP Morgan Vista Treasury Plus Money
Market Fund 91,125 91,125
Total Short-term Investments ------------
(cost $91,125) 91,125
TOTAL INVESTMENTS (100.5%) ------------
(cost $135,785,452) 137,414,975
LIABILITIES, NET OF OTHER ASSETS (-0.5%) (644,898)
------------
NET ASSETS (100.0%) $136,770,077
============
See accompanying notes to financial statements.
26
STATE FARM MUTUAL FUND TRUST BOND FUND
SCHEDULE OF INVESTMENTS
December 31, 2003
Principal
amount Value
---------- ----------
Corporate Bonds (34.3%)
Aerospace/Defense (0.7%)
Lockheed Martin Corp.
7.700%, 06/15/2008 $ 500,000 $ 580,671
General Dynamics Corp.
4.250%, 05/15/2013 1,000,000 956,692
----------
1,537,363
----------
Agriculture, Foods, & Beverage (2.9%)
Coca-Cola Enterprises Inc.
2.500%, 09/15/2006 1,000,000 997,283
Bottling Group LLC
2.450%, 10/16/2006 500,000 497,784
General Mills Inc.
2.625%, 10/24/2006 500,000 497,257
Kellogg Co.
2.875%, 06/01/2008 500,000 482,779
Sara Lee Corp.
2.750%, 06/15/2008 1,000,000 966,684
ConAgra Inc.
7.875%, 09/15/2010 500,000 596,584
Kellogg Co.
6.600%, 04/01/2011 500,000 560,346
General Mills Inc.
6.000%, 02/15/2012 500,000 534,684
Bottling Group LLC
4.625%, 11/15/2012 500,000 497,281
Coca-Cola Bottling Co.
5.300%, 04/01/2015 500,000 499,537
----------
6,130,219
----------
Automotive (1.2%)
Daimler Chrysler North America
6.400%, 05/15/2006 500,000 535,703
Goodyear Tire & Rubber Co.
7.857%, 08/15/2011 500,000 436,250
General Motors Corp.
7.125%, 07/15/2013 500,000 548,335
Daimler Chrysler North America
6.500%, 11/15/2013 500,000 526,705
Ford Motor Co.
7.450%, 07/16/2031 500,000 505,261
----------
2,552,254
----------
Banks (1.4%)
Wells Fargo & Co.
7.250%, 08/24/2005 500,000 543,149
JP Morgan Chase & Co.
3.625%, 05/01/2008 500,000 501,006
Bank One Corp.
2.625%, 06/30/2008 1,000,000 961,592
Bank of America Corp.
3.250%, 08/15/2008 $1,000,000 987,851
----------
2,993,598
----------
Building Materials & Construction (1.2%)
Masco Corp.
6.750%, 03/15/2006 500,000 545,058
Hanson Australia Funding
5.250%, 03/15/2013 500,000 497,692
Leggett & Platt Inc.
4.700%, 04/01/2013 500,000 493,977
CRH America Inc.
5.300%, 10/15/2013 1,000,000 1,008,997
----------
2,545,724
----------
Chemicals (1.2%)
Air Products & Chemicals Inc.
4.125%, 12/01/2010 1,000,000 993,674
EI du Pont de Nemours and Co.
4.125%, 03/06/2013 500,000 481,387
PPG Industries Inc.
7.400%, 08/15/2019 500,000 577,255
The Dow Chemical Co.
7.375%, 11/01/2029 500,000 559,077
----------
2,611,393
----------
Commercial Service/Supply (0.2%)
Pitney Bowes Inc.
4.625%, 10/01/2012 500,000 498,013
----------
Computers (0.5%)
Hewlett-Packard Co.
7.150%, 06/15/2005 500,000 537,562
International Business Machines Corp.
4.250%, 09/15/2009 500,000 512,930
----------
1,050,492
----------
Consumer & Marketing (2.4%)
The Procter & Gamble Co.
4.000%, 04/30/2005 500,000 515,303
The Gillette Co.
4.000%, 06/30/2005 500,000 517,742
2.500%, 06/01/2008 500,000 481,338
The Procter & Gamble Co.
3.500%, 12/15/2008 500,000 498,488
Newell Rubbermaid Inc.
4.000%, 05/01/2010 500,000 483,779
Avery Dennison Corp.
4.875%, 01/15/2013 500,000 497,290
McDonald's Corp.
4.125%, 06/01/2013 1,000,000 945,736
See accompanying notes to financial statements.
27
STATE FARM MUTUAL FUND TRUST BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2003
Principal
amount Value
---------- ----------
Corporate Bonds (Cont.)
Consumer & Marketing (Cont.)
Kimberly Clark Corp.
6.250%, 07/15/2018 $1,000,000 $1,123,550
----------
5,063,226
----------
Electronic/Electrical Mfg. (0.9%)
Raytheon Co.
6.550%, 03/15/2010 500,000 551,588
Emerson Electric Co.
7.125%, 08/15/2010 315,000 365,416
General Electric Co.
5.000%, 02/01/2013 500,000 505,667
Emerson Electric Co.
4.500%, 05/01/2013 500,000 488,071
----------
1,910,742
----------
Financial Services (2.7%)
Household Finance Corp.
8.000%, 05/09/2005 500,000 540,562
Morgan Stanley Dean Witter & Co.
7.750%, 06/15/2005 500,000 542,702
General Electric Capital Corp.
6.800%, 11/01/2005 500,000 542,944
Caterpillar Financial Services Corp.
5.950%, 05/01/2006 500,000 539,521
Caterpillar Financial Services
2.700%, 07/15/2008 500,000 483,135
Toyota Motor Credit Corp.
2.875%, 08/01/2008 1,000,000 981,309
Ford Motor Credit Co.
5.625%, 10/01/2008 500,000 513,296
Citigroup Inc.
7.250%, 10/01/2010 500,000 582,779
General Motors Acceptance Corp.
6.875%, 09/15/2011 500,000 538,563
Goldman Sachs Group Inc.
5.500%, 11/15/2014 500,000 512,187
----------
5,776,998
----------
Forest Products & Paper (1.0%)
MeadWestvaco Corp.
6.850%, 11/15/2004 375,000 389,847
International Paper Co.
6.750%, 09/01/2011 500,000 555,887
MeadWestvaco Corp.
6.850%, 04/01/2012 500,000 549,989
Willamette Industries Inc.
9.000%, 10/01/2021 500,000 605,806
----------
2,101,529
----------
Health Care (3.3%)
Pfizer Inc.
3.625%, 11/01/2004 $ 500,000 509,305
Merck & Co. Inc.
4.125%, 01/18/2005 500,000 513,589
Abbott Laboratories
6.400%, 12/01/2006 500,000 554,982
Bristol-Myers Squibb Co. (a)
4.000%, 08/15/2008 1,000,000 1,015,967
Merck & Co. Inc.
4.375%, 02/15/2013 500,000 492,181
Wyeth
5.500%, 03/15/2013 500,000 508,981
Becton Dickinson & Co.
4.550%, 04/15/2013 500,000 494,011
Johnson & Johnson
3.800%, 05/15/2013 1,000,000 944,044
Schering Plough Corp.
5.300%, 12/01/2013 1,000,000 1,017,449
Baxter International Inc.
4.625%, 03/15/2015 1,000,000 954,873
----------
7,005,382
----------
Machinery & Manufacturing (1.1%)
Deere & Co.
7.850%, 05/15/2010 500,000 604,166
Goodrich Corp.
7.625%, 12/15/2012 500,000 577,674
Parker Hannifin Corp.
4.875%, 02/15/2013 500,000 498,609
Johnson Controls Inc.
4.875%, 09/15/2013 750,000 756,586
----------
2,437,035
----------
Media & Broadcasting (0.6%)
The Walt Disney Co.
5.500%, 12/29/2006 500,000 536,168
Knight-Ridder Inc.
9.875%, 04/15/2009 500,000 640,614
----------
1,176,782
----------
Mining & Metals (1.1%)
Rio Tinto Finance USA Ltd.
2.625%, 09/30/2008 1,000,000 953,893
Alcoa Inc.
7.375%, 08/01/2010 500,000 586,110
6.500%, 06/01/2011 250,000 282,583
BHP Billiton Finance
4.800%, 04/15/2013 500,000 501,274
----------
2,323,860
----------
See accompanying notes to financial statements.
28
STATE FARM MUTUAL FUND TRUST BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2003
Principal
amount Value
---------- -----------
Corporate Bonds (Cont.)
Oil & Gas (2.4%)
BP Capital Markets PLC
2.625%, 03/15/2007 $1,000,000 $ 994,455
ChevronTexaco
3.500%, 09/17/2007 500,000 509,238
Phillips Petroleum Co.
8.750%, 05/25/2010 500,000 624,600
Marathon Oil Corp.
6.125%, 03/15/2012 500,000 540,723
Southern California Gas
4.800%, 10/01/2012 500,000 503,061
National Fuel Gas Co.
5.250%, 03/01/2013 500,000 512,318
Peoples Gas Lt.
4.625%, 05/01/2013 500,000 490,634
Vectren Utility
5.250%, 08/01/2013 500,000 501,236
Southern California Gas
5.450%, 04/15/2018 500,000 510,275
-----------
5,186,540
-----------
Retailers (1.5%)
Target Corp.
7.500%, 02/15/2005 500,000 531,310
Safeway Inc.
4.125%, 11/01/2008 1,000,000 995,622
Albertsons Inc.
7.500%, 02/15/2011 500,000 573,177
Wal-Mart Stores Inc.
4.550%, 05/01/2013 1,000,000 987,734
-----------
3,087,843
-----------
Telecom & Telecom Equipment (2.1%)
Motorola Inc.
6.750%, 02/01/2006 500,000 538,642
AT&T Corp.
7.250%, 11/15/2006 500,000 552,918
Cingular Wireless
5.625%, 12/15/2006 500,000 536,330
GTE North Inc.
5.650%, 11/15/2008 500,000 536,841
Vodafone Group PLC
7.750%, 02/15/2010 500,000 592,597
Deutsche Telekom International
Financial
8.500%, 06/15/2010 500,000 604,558
Telstra Corp. Ltd.
6.375%, 04/01/2012 500,000 552,544
Alltel Corp.
7.000%, 07/01/2012 500,000 567,725
-----------
4,482,155
-----------
Utilities & Energy (5.9%)
Dominion Resources Inc.
7.625%, 07/15/2005 $ 500,000 540,133
Duke Energy Field Services
7.500%, 08/16/2005 500,000 537,231
Alabama Power Co.
7.125%, 10/01/2007 300,000 340,951
3.125%, 05/01/2008 500,000 492,133
Pacificorp
4.300%, 09/15/2008 1,000,000 1,021,444
Duke Energy Corp.
4.500%, 04/01/2010 500,000 510,047
Commonwealth Edison
4.740%, 08/15/2010 500,000 511,168
Puget Sound Energy Inc.
7.690%, 02/01/2011 500,000 574,650
Reliant Energy
7.750%, 02/15/2011 500,000 562,450
Oncor Electric Delivery
6.375%, 05/01/2012 500,000 549,493
Tampa Electric Co.
6.875%, 06/15/2012 500,000 553,377
Northern States Power Co.
8.000%, 08/28/2012 500,000 609,615
Georgia Power
5.125%, 11/15/2012 200,000 204,037
Midamerican Energy Co.
5.125%, 01/15/2013 1,000,000 1,019,161
Florida Power Corp.
4.800%, 03/01/2013 500,000 496,680
Wisconsin Electric Power
4.500%, 05/15/2013 1,000,000 976,532
PSI Energy
5.000%, 09/15/2013 1,000,000 995,480
Union Elec Co.
4.750%, 04/01/2015 500,000 488,792
Commonwealth Edison
4.700%, 04/15/2015 500,000 486,792
Southwestern Electric Power
5.375%, 04/15/2015 500,000 498,613
Equitable Resources Inc. (a)
5.150%, 03/01/2018 500,000 489,561
-----------
12,458,340
-----------
Total Corporate Bonds
(cost $70,283,653) 72,929,488
-----------
See accompanying notes to financial statements.
29
STATE FARM MUTUAL FUND TRUST BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2003
Principal
amount Value
---------- -----------
Taxable Municipal Bonds (0.9%)
Illinois State
3.850%, 06/01/2013 $1,000,000 $ 933,790
New Jersey State Turnpike Authority
Transportation
2.840%, 01/01/2008 1,000,000 978,190
-----------
Total Taxable Municipal Bonds
(cost $1,998,101) 1,911,980
-----------
Foreign Government Bonds (0.3%)
Province of Ontario
5.500%, 10/01/2008 500,000 543,153
-----------
Total Foreign Government Bonds
(cost $474,779) 543,153
-----------
Government Agency Securities (36.5%)
Agency Notes & Bonds (8.0%)
Federal Home Loan Mortgage Corp.
3.750%, 04/15/2004 1,500,000 1,511,256
3.250%, 11/15/2004 900,000 915,113
7.000%, 07/15/2005 1,000,000 1,080,429
2.875%, 09/15/2005 1,000,000 1,018,283
6.625%, 09/15/2009 1,000,000 1,143,571
4.500%, 07/15/2013 1,500,000 1,481,923
Federal National Mortgage Association
2.875%, 10/15/2005 1,000,000 1,018,497
5.500%, 02/15/2006 500,000 535,273
6.625%, 10/15/2007 500,000 563,804
3.250%, 01/15/2008 3,000,000 3,007,995
3.250%, 08/15/2008 1,500,000 1,488,066
6.625%, 11/15/2010 1,000,000 1,148,976
4.375%, 09/15/2012 1,500,000 1,484,037
7.125%, 01/15/2030 500,000 602,253
-----------
16,999,476
-----------
Mortgage-Backed Securities (28.5%)
Federal Home Loan Mortgage Corp.
5.000%, 07/01/2018 979,870 999,432
5.000%, 09/01/2018 987,883 1,007,605
4.500%, 11/01/2018 1,992,495 1,994,577
6.000%, 11/01/2028 226,596 234,687
6.500%, 06/01/2029 388,504 407,150
7.500%, 12/01/2030 33,432 35,901
7.000%, 07/01/2031 57,770 61,123
6.500%, 09/01/2031 86,781 90,898
6.000%, 11/01/2032 987,646 1,021,039
6.000%, 12/01/2032 474,039 490,067
5.500%, 05/01/2033 2,970,203 3,007,604
5.500%, 07/01/2033 1,915,586 1,939,707
Federal National Mortgage Association
6.000%, 09/01/2013 742,853 780,970
5.500%, 12/01/2016 290,834 301,749
5.500%, 01/01/2017 173,490 180,002
5.500%, 01/01/2017 1,095,823 1,136,950
6.500%, 01/01/2017 241,942 256,706
5.500%, 02/01/2017 1,026,366 1,064,886
5.000%, 03/01/2017 1,237,784 1,263,928
6.000%, 04/01/2017 218,174 229,110
5.500%, 01/01/2018 869,289 901,776
5.000%, 02/01/2018 1,146,496 1,170,713
5.000%, 05/01/2018 885,619 903,299
5.000%, 05/01/2018 1,778,942 1,816,681
5.000%, 05/01/2018 1,806,788 1,845,117
4.500%, 05/01/2018 1,863,681 1,867,958
4.500%, 05/01/2018 1,923,306 1,927,720
7.500%, 09/01/2029 232,436 248,463
8.000%, 03/01/2030 91,583 99,016
6.500%, 05/01/2030 345,457 361,513
7.000%, 08/01/2030 51,985 55,043
7.000%, 08/01/2031 123,594 130,862
6.500%, 08/01/2031 99,366 103,925
6.500%, 10/01/2031 248,663 260,073
6.000%, 11/01/2031 320,424 331,359
7.000%, 01/01/2032 336,228 355,999
6.000%, 03/01/2032 262,945 271,919
6.500%, 03/01/2032 137,078 143,368
6.500%, 04/01/2032 856,805 896,209
7.000%, 04/01/2032 360,322 381,547
6.500%, 05/01/2032 1,721,508 1,800,679
6.000%, 05/01/2032 245,401 253,772
6.500%, 06/01/2032 385,353 403,075
7.000%, 06/01/2032 618,002 654,405
7.000%, 06/01/2032 715,600 757,752
6.500%, 07/01/2032 899,892 941,277
6.000%, 08/01/2032 732,044 757,016
6.500%, 10/01/2032 1,388,414 1,452,266
5.500%, 10/01/2032 2,308,558 2,339,839
6.000%, 11/01/2032 1,260,034 1,303,016
6.000%, 01/01/2033 946,042 978,313
5.500%, 03/01/2033 842,573 853,972
5.500%, 03/01/2033 1,735,319 1,758,796
6.000%, 04/01/2033 1,781,904 1,842,764
5.000%, 05/01/2033 958,900 949,399
5.000%, 05/01/2033 1,926,469 1,907,381
5.000%, 08/01/2033 1,962,929 1,943,480
5.500%, 10/01/2033 1,980,490 2,007,284
See accompanying notes to financial statements.
30
STATE FARM MUTUAL FUND TRUST BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2003
Principal
amount Value
---------- -----------
Government Agency Securities (Cont.)
Mortgage-Backed Securities (Cont.)
Government National Mortage Association
6.000%, 05/15/2017 $ 543,680 $ 573,845
6.500%, 06/15/2028 426,202 450,005
6.000%, 11/15/2028 371,527 386,717
6.500%, 03/15/2029 463,135 488,795
7.000%, 06/15/2029 576,567 614,898
7.500%, 08/20/2030 162,634 173,252
6.500%, 11/15/2031 127,356 134,340
6.000%, 01/15/2032 243,646 253,479
5.500%, 10/15/2033 1,989,555 2,024,746
5.000%, 11/20/2033 1,994,215 1,973,748
-----------
60,554,962
-----------
Total Government Agency Securities
(cost $76,807,327) 77,554,438
-----------
U.S. Treasury Obligations (24.6%)
U.S. Treasury Bonds
7.250%, 05/15/2016 3,000,000 3,742,383
7.500%, 11/15/2016 1,500,000 1,909,687
8.125%, 08/15/2019 750,000 1,013,086
6.250%, 08/15/2023 1,000,000 1,139,805
6.875%, 08/15/2025 1,000,000 1,223,320
U.S. Treasury Notes
7.250%, 05/15/2004 2,000,000 2,045,624
4.625%, 05/15/2006 3,000,000 3,179,532
6.500%, 10/15/2006 3,000,000 3,341,601
6.125%, 08/15/2007 1,750,000 1,958,565
3.000%, 11/15/2007 2,000,000 2,017,188
5.500%, 02/15/2008 2,000,000 2,205,000
5.625%, 05/15/2008 3,000,000 3,323,202
6.000%, 08/15/2009 4,600,000 5,210,397
6.500%, 02/15/2010 2,000,000 2,324,062
5.750%, 08/15/2010 2,000,000 2,242,500
5.000%, 02/15/2011 1,500,000 1,610,917
5.000%, 08/15/2011 4,000,000 4,280,624
4.375%, 08/15/2012 4,000,000 4,079,376
4.000%, 11/15/2012 1,500,000 1,485,587
3.875%, 02/15/2013 2,000,000 1,957,812
4.250%, 08/15/2013 2,000,000 2,002,500
-----------
Total U.S. Treasury Obligations
(cost $51,285,875) 52,292,768
-----------
Shares Value
--------- ------------
Short-term Investments (2.6%)
JP Morgan Vista Treasury Plus Money
Market Fund 5,589,075 $ 5,589,075
------------
Total Short-term Investments
(cost $5,589,075) 5,589,075
------------
TOTAL INVESTMENTS (99.2%)
(cost $206,438,810) 210,820,902
OTHER ASSETS, NET OF LIABILITIES (0.8%) 1,652,356
------------
NET ASSETS (100.0%) $212,473,258
============
(a) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At December 31,
2003, the value of these securities amounted to $1,505,528 or 0.71% of net
assets.
See accompanying notes to financial statements.
31
STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND
SCHEDULE OF INVESTMENTS
December 31, 2003
[Enlarge/Download Table]
Rating
(Moody's
Coupon Maturity or Principal
rate date S&P)(a) amount Value
------ ---------- -------- ---------- ----------
Long-term Municipal Bonds (97.2%)
California (10.4%)
Department of Water and Power of the City of Los Angeles, California,
Power System Revenue Bonds, 2001 Series A, Subseries A-1 5.250% 07/01/2015 Aa3 $1,500,000 $1,655,130
Moulton-Niguel California, Water District Consolidated Refunding Bonds 5.000% 09/01/2017 Aaa 1,395,000 1,520,536
Moulton-Niguel California, Water District Consolidated Refunding Bonds 5.000% 09/01/2018 Aaa 1,500,000 1,621,710
State of California, General Obligation Bonds 5.250% 02/01/2019 Baa1 2,330,000 2,405,096
State of California, Various Purpose General Obligation Bonds 5.000% 02/01/2019 Baa1 650,000 658,209
Metropolitan Water District, Souther California, Waterworks Revenue
Refunded Series B 4.750% 07/01/2021 Aaa 1,000,000 1,008,620
State of California, Various Purpose General Obligation Bonds 5.000% 11/01/2022 Baa1 1,000,000 996,260
----------
9,865,561
----------
Colorado (2.1%)
Adams County, School District, Number 12, Colorado, General
Obligation Bonds, Series 2001A 5.400% 12/15/2014 Aaa 440,000 499,954
Arapahoe County Water & Wastewater Public Improvement District (In
Arapahoe County, Colorado) General Obligation Project Bonds,
Series 2002A 5.750% 12/01/2018 Aaa 1,320,000 1,512,258
----------
2,012,212
----------
Georgia (2.4%)
Dekalb County, Georgia, Water & Sewage Revenue Bonds, Series 2000 5.500% 10/01/2014 Aa2 2,000,000 2,274,640
----------
Idaho (1.9%)
Joint School District Number 2 (Meridian) Ada and Canyon Counties,
Idaho General Obligation School Bonds, Series 2002 5.125% 07/30/2019 Aaa 700,000 748,412
Nampa School District Number 131, Canyon County, Idaho, General
Obligation School Bonds, Series 2003 4.875% 08/15/2020 Aaa 1,000,000 1,045,980
----------
1,794,392
----------
Illinois (1.2%)
State of Illinois, General Obligation Bonds, First Series of
December 2000 5.750% 12/01/2017 Aaa 1,000,000 1,150,850
----------
Indiana (1.6%)
Highland Schoold Building Corporation, Lake County, Indiana, First
Mortgage Refunding Bonds, Series 2003 5.000% 01/10/2020 Aaa 1,410,000 1,484,617
----------
Kansas (5.2%)
State of Kansas, Department of Transportation, Highway Revenue Bonds,
Series 2000A 5.750% 09/01/2013 Aa2 2,300,000 2,703,052
Johnson County, Kansas, Unified School District Number 229, Series A
(Prerefunded to 10-01-2008 @ 100) 5.500% 10/01/2016 Aa1 2,000,000 2,282,660
----------
4,985,712
----------
Louisiana (1.1%)
State of Louisiana, General Obligation Bonds, Series 2000-A 5.000% 11/15/2019 Aaa 1,000,000 1,050,810
----------
Maryland (1.5%)
Baltimore County Maryland, General Obligation Bonds, Consolidated
Public Improvement, Series 2002 5.000% 09/01/2014 Aaa 1,250,000 1,389,288
----------
See accompanying notes to financial statements.
32
STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2003
[Enlarge/Download Table]
Rating
(Moody's
Coupon Maturity or Principal
rate date S&P)(a) amount Value
------ ---------- -------- ---------- ---------
Long-term Municipal Bonds (Cont.)
Massachusetts (2.4%)
The Commonwealth of Massachusetts, General Obligation Bonds,
Consolidated Loan of 2002, Series E (Prerefunded to
01-01-2013 @ 100) 5.500% 01/01/2015 Aa2 $1,000,000 $1,163,110
The Commonwealth of Massachusetts, General Obligation Bonds,
Consolidated Loan of 2003, Series C 5.250% 08/01/2020 Aa2 1,000,000 1,151,780
---------
2,314,890
---------
Michigan (5.3%)
Forest Hills Public Schools, County of Kent, State of Michigan, 2000
School Building and Site Bonds (General Obligation - Unlimited Tax) 5.250% 05/01/2019 Aa2 2,575,000 2,775,155
State of Michigan, General Obligation Bonds, Environmental Protection
Program, Series 2000 (Prerefunded to 11/01/2010 @ 100) 5.250% 11/01/2020 Aa1 1,985,000 2,279,613
---------
5,054,768
---------
Minnesota (2.9%)
Independent School District Number 181 (Brainerd), Minnesota, General
Obligation School Building Bonds, Series 2002A 5.375% 02/01/2019 Aaa 2,500,000 2,751,750
---------
Mississippi (2.9%)
State of Mississippi, General Obligation Bonds, Capital Improvements
Issue, Series 2000 (Prerefunded to 11/01/2010 @ 100) 5.500% 11/01/2015 Aaa 2,400,000 2,793,168
---------
Missouri (7.1%)
The School District of North Kansas City, Missouri, General
Obligation School Building Bonds (Missouri Direct Deposit Program)
Series 2002 5.000% 03/01/2016 Aa+ 1,250,000 1,342,713
State Environmental Improvement and Energy Resources Authority,
(State of Missouri), Water Pollution Control and Drinking Water
Revenue Bonds, (State Revolving Funds Programs-Master Trust),
Series 2000B 5.625% 07/01/2016 Aaa 2,415,000 2,754,766
Missouri Highways and Transportation Commission, State Road Bonds,
Series A 2000 5.000% 02/01/2017 Aa2 2,500,000 2,663,700
---------
6,761,179
---------
Nebraska (1.8%)
City of Lincoln, Nebraska, Lincoln Electric System Revenue and
Refunding Bonds, Series 2002 5.000% 09/01/2015 Aa2 1,595,000 1,734,180
---------
New Hampshire (3.4%)
City of Manchester, New Hampshire, Water Revenue Bonds, Series 2003 5.000% 12/01/2021 Aaa 1,510,000 1,588,822
City of Manchester, New Hampshire, Water Revenue Bonds, Series 2003 5.000% 12/01/2023 Aaa 1,580,000 1,646,945
---------
3,235,767
---------
New Jersey (1.7%)
Passaic Valley Sewer Commissioners, State of New Jersey, Sewer System
Bonds, Series F 5.000% 12/01/2018 Aaa 1,500,000 1,604,520
---------
New York (1.5%)
New York City, Municipal Water Finance Authority, Water and Sewer
System Revenue Bonds, Fiscal 2003, Series D 5.000% 06/15/2016 Aa2 1,300,000 1,401,335
---------
North Carolina (2.3%)
City of Winston-Salem, North Carolina, Water and Sewer System Revenue
and Revenue Refunding Bonds, Series 2001 (Prerefunded to 6-01-2011
@100) 5.000% 06/01/2018 Aa2 1,000,000 1,139,880
See accompanying notes to financial statements.
33
STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2003
[Enlarge/Download Table]
Rating
Coupon Maturity (Moody's Principal
rate date or S&P)(a) amount Value
------ ---------- ---------- ---------- ----------
Long-term Municipal Bonds (Cont.)
North Carolina (Cont.)
City of Charlotte, North Carolina, General Obligation Refunding
Bonds, Series 2002B 5.000% 07/01/2021 Aaa $1,000,000 $1,054,630
----------
2,194,510
----------
Ohio (8.4%)
City of Columbus, Ohio, General Obligation Bonds, Various Purpose
Unlimited Tax Bonds, Series 2000-1 5.500% 11/15/2014 Aaa 2,400,000 2,717,208
City of Cleveland, Ohio, Waterworks Refunding Revenue Bonds, Series
J, 2001 5.375% 01/01/2016 Aaa 1,000,000 1,115,850
State of Ohio, Full Faith and Credit General Obligation
Infrastructure Improvement Bonds, Series 2000
(Prerefunded to 2-01-2010 @ 100) 5.750% 02/01/2016 Aa1 2,400,000 2,801,352
City of Cincinnati, Ohio, Water System Revenue Bonds, Series 2003 5.000% 12/01/2020 Aa2 1,270,000 1,328,318
----------
7,962,728
----------
Oklahoma (1.4%)
State of Oklahoma, General Obligation Bonds, Oklahoma Building Bonds
Commission 5.000% 07/15/2018 Aaa 1,200,000 1,310,976
Oregon (6.0%)
Newberg School District Number 29J, Yamhill, Clackamas and Washington
Counties, Oregon, General Obligation Bonds, Series 2002 5.250% 06/15/2015 Aaa 1,000,000 1,126,460
Eagle Point School District Number 9, Jackson County, Oregon, General
Obligation Bonds, Series 2000 5.625% 06/15/2017 Aa3 1,500,000 1,702,170
Reynolds School District Number 7, Multnomah County, Oregon, General
Obligation Bonds, Series 2000 5.000% 06/15/2018 Aa3 2,000,000 2,118,480
Emerald People's Utility District, Lane County, Oregon 5.250% 11/01/2021 Aaa 705,000 761,957
----------
5,709,067
----------
Tennessee (5.9%)
Tennessee State School Bonds Authority, Higher Educational Facilities
Second Program Bonds, Series A 5.400% 05/01/2013 Aa3 2,440,000 2,721,064
Williamson County, Tennessee, General Obligation Public Improvement
Bonds, Series 2000 (ULT) (Prerefunded to 3-01-2010 @ 100) 5.400% 03/01/2020 Aa1 2,500,000 2,874,075
----------
5,595,139
----------
Texas (11.6%)
City of Dallas, Texas, (Dallas, Denton, Collin and Rockwall Counties),
Waterworks and Sewer System Revenue Refunding Bonds, Series 2000 5.500% 10/01/2013 Aa2 2,400,000 2,719,656
City of San Antonio, Texas, Electric and Gas Systems Revenue Bonds,
New Series 2000A (Prerefunded to 2-01-2010 @ 100) 5.750% 02/01/2015 Aa1 2,400,000 2,786,808
Plano Independent School District, (Collin County, Texas), School
Building Unlimited Tax Bonds, Series 2000 5.125% 02/15/2016 Aaa 2,500,000 2,703,950
Fort Bend Independent School District, (Fort Bend County, Texas),
Unlimited Tax School Building Bonds, Series 2000 5.250% 08/15/2017 Aaa 2,550,000 2,784,371
----------
10,994,785
----------
Virginia (2.3%)
Virginia Public School Authority, School Financing Bonds, (1997
Resolution)Series 1999A 5.000% 08/01/2016 Aaa 1,000,000 1,083,330
See accompanying notes to financial statements.
34
STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2003
[Enlarge/Download Table]
Rating
(Moody's
Coupon Maturity or Principal
rate date S&P)(a) amount Value
------ ---------- -------- ---------- -----------
Long-term Municipal Bonds (Cont.)
Virginia (Cont.)
Fairfax County Water Authority, Water Refunding Revenue Bonds,
Series 1997 5.000% 04/01/2021 Aaa $1,000,000 $ 1,089,670
-----------
2,173,000
-----------
Wisconsin (2.9%)
State of Wisconsin, General Obligation Bonds of 2000, Series D 5.300% 05/01/2018 Aa3 2,500,000 2,711,100
-----------
Total Long-term Municipal Bonds
(cost $85,428,553) 92,310,944
-----------
Shares Value
---------- -----------
Short-term Investments (2.0%)
JP Morgan Vista Tax Free Money Market Fund 1,933,348 $ 1,933,348
-----------
Total Short-term Investments
(cost $1,933,348) 1,933,348
-----------
TOTAL INVESTMENTS (99.2%)
(cost $87,361,901) 94,244,292
OTHER ASSETS, NET OF LIABILITIES (0.8%) 756,195
-----------
NET ASSETS (100.0%) $95,000,487
===========
(a) Ratings are not audited.
Long-term Municipal Bonds consisted of 24.35% Advanced Refund Bonds, 48.92%
General Obligation Bonds, and 26.73% Municipal Revenue Bonds.
See accompanying notes to financial statements.
35
STATE FARM MUTUAL FUND TRUST MONEY MARKET FUND
SCHEDULE OF INVESTMENTS
December 31, 2003
Shares or
principal
amount Value
---------- -----------
Short-term Investments (100.2%)
Agriculture, Foods, & Beverage (4.9%)
Coca-Cola
1.030%, 01/30/2004 $3,800,000 $ 3,796,847
-----------
Automotive (9.7%)
FCAR Owner Trust Series I
1.090%, 01/16/2004 3,750,000 3,748,297
New Center Asset Trust
1.030%, 02/12/2004 3,800,000 3,795,434
-----------
7,543,731
-----------
Chemicals (4.8%)
EI du Pont de Nemours and Co.
1.060%, 01/20/2004 3,750,000 3,747,902
-----------
Computers (5.0%)
International Business Machines Corp.
1.000%, 01/09/2004 2,000,000 1,999,556
1.020%, 01/14/2004 1,870,000 1,869,311
-----------
3,868,867
-----------
Consumer & Marketing (4.4%)
The Procter & Gamble Co. (a)
1.010%, 01/23/2004 3,400,000 3,397,901
-----------
Financial Services (29.2%)
Household Finance Corp.
1.090%, 01/02/2004 250,000 249,992
0.900%, 01/02/2004 500,000 499,987
Citicorp
1.050%, 01/05/2004 3,800,000 3,799,557
ChevronTexaco Funding Corp.
1.020%, 01/06/2004 3,750,000 3,749,469
Caterpillar Financial Services Corp.
1.040%, 01/26/2004 3,700,000 3,697,328
Toyota Motor Credit Corp.
1.030%, 01/27/2004 3,000,000 2,997,768
Household Finance Corp.
1.050%, 02/04/2004 3,000,000 2,997,025
General Electric Capital Corp.
1.070%, 02/05/2004 3,600,000 3,596,255
1.030%, 02/05/2004 250,000 249,750
Toyota Motor Credit Corp.
1.030%, 02/17/2004 850,000 848,857
-----------
22,685,988
-----------
Government Agency Securities (29.0%)
Federal National Mortgage Association
1.070%, 01/07/2004 1,000,000 999,822
1.050%, 01/15/2004 3,000,000 2,998,775
1.075%, 01/21/2004 2,000,000 1,998,806
1.050%, 01/28/2004 3,500,000 3,497,244
1.040%, 02/02/2004 3,100,000 3,097,163
1.010%, 02/06/2004 4,000,000 3,995,960
1.030%, 03/31/2004 3,000,000 2,992,275
Federal Home Loan Mortgage Corp.
1.040%, 02/03/2004 3,000,000 2,997,140
-----------
22,577,185
-----------
Health Care (6.1%)
Johnson & Johnson (a)
1.000%, 01/15/2004 600,000 599,767
1.000%, 02/02/2004 269,000 268,761
Pfizer Inc.
1.050%, 02/25/2004 3,200,000 3,199,253
1.020%, 02/25/2004 650,000 648,987
-----------
4,716,768
-----------
Regulated Investment Companies (2.3%)
JP Morgan Vista Treasury Plus Money
Market Fund 1,773,425 1,773,425
-----------
Telecom & Telecom Equipment (4.8%)
Bellsouth Corp.
1.030%, 01/06/2004 850,000 849,878
1.020%, 01/14/2004 2,900,000 2,898,932
-----------
3,748,810
-----------
Total Short-term Investments
(cost $77,857,424) 77,857,424
-----------
TOTAL INVESTMENTS (100.2%)
(cost $77,857,424) 77,857,424
LIABILITIES, NET OF OTHER ASSETS (-0.2%) (169,980)
-----------
NET ASSETS (100.0%) $77,687,444
===========
(a) Securities exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from registration,
normally to qualified institutional buyers. At December 31, 2003, the value of
these securities amounted to $4,266,429 or 5.49% of net assets.
See accompanying notes to financial statements.
36
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37
STATE FARM MUTUAL FUND TRUST
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2003
[Enlarge/Download Table]
Equity Small Cap International
Fund Equity Fund Equity Fund
------------ ----------- -------------
Assets
Investments in securities
At identified cost $188,195,500 86,343,287 54,155,723
============ =========== ==========
At market value $200,447,687 101,049,306 58,811,671
In Master Portfolios -- -- --
Foreign currencies at value (cost $20,496) -- -- 20,791
Receivable for:
Dividends and interest 265,595 80,279 74,736
Shares of the Fund sold 202,708 77,425 20,033
Securities sold -- 580,462 99,450
Expense cap reimbursement 5,937 27,578 36,148
Unrealized gain on forward foreign currency contracts -- -- 79,203
Prepaid expenses 6,290 2,811 1,875
------------ ----------- ----------
Total assets 200,928,217 101,817,861 59,143,907
------------ ----------- ----------
Liabilities and Net Assets
Dividends to shareowners -- -- --
Payable for:
Shares of the Fund redeemed 50,739 22,949 8,405
Securities purchased 198,328 167,602 102,165
Unrealized loss on forward foreign currency contracts -- -- 114,209
Distribution Fees 94,313 89,086 127,213
Manager 380,831 271,710 140,949
Accrued liabilities 48,904 45,030 52,863
------------ ----------- ----------
Total Liabilities 773,115 596,377 545,804
------------ ----------- ----------
Net assets applicable to shares outstanding of common stock $200,155,102 101,221,484 58,598,103
============ =========== ==========
Analysis of Net Assets
Paid-in-capital $192,947,757 92,159,623 64,040,372
Accumulated net realized gain (loss) (5,062,185) (5,644,158) (9,928,516)
Net unrealized appreciation 12,252,187 14,706,019 4,627,848
Undistributed (distributions in excess of)
net investment income 17,343 -- (141,601)
------------ ----------- ----------
Net assets applicable to shares outstanding $200,155,102 101,221,484 58,598,103
============ =========== ==========
Class A Shares:
Fund shares outstanding 9,305,511 5,665,308 3,463,323
Net assets applicable to shares outstanding $ 74,428,419 55,757,161 29,070,162
============ =========== ==========
Net asset value $ 8.00 9.84 8.39
============ =========== ==========
Maximum offering price $ 8.25 10.14 8.65
============ =========== ==========
Class B Shares:
Fund shares outstanding 4,346,089 3,771,028 2,971,389
Net assets applicable to shares outstanding $ 34,576,211 36,698,250 24,824,290
============ =========== ==========
Net asset value $ 7.96 9.73 8.35
============ =========== ==========
Institutional Shares:
Fund shares outstanding 11,671,867 885,642 563,263
Net assets applicable to shares outstanding $ 91,150,472 8,766,073 4,703,651
============ =========== ==========
Net asset value $ 7.81 9.90 8.35
============ =========== ==========
See accompanying notes to financial statements.
38
[Enlarge/Download Table]
S&P 500 Small Cap International Equity and Bond Tax Advantaged Money Market
Index Fund Index Fund Index Fund Bond Fund Fund Bond Fund Fund
----------- ----------- ------------- ------------ ----------- -------------- ------------
-- -- -- 135,785,452 206,438,810 87,361,901 77,857,424
=========== =========== ========== ============ =========== ========== ==========
-- -- -- 137,414,975 210,820,902 94,244,292 77,857,424
301,123,264 154,841,611 71,224,971 -- -- -- --
-- -- -- -- -- -- --
-- -- -- 87 2,210,191 1,243,665 1,226
531,746 202,039 60,568 51,975 143,293 32,971 422,055
-- -- -- -- -- -- --
79,853 74,077 30,925 31,989 4,443 -- 18,201
-- -- -- -- -- -- --
8,962 4,206 1,750 4,427 8,027 3,357 3,051
----------- ----------- ---------- ------------ ----------- ---------- ----------
301,743,825 155,121,933 71,318,214 137,503,453 213,186,856 95,524,285 78,301,957
----------- ----------- ---------- ------------ ----------- ---------- ----------
1,716,502 1,038,426 -- -- 19,190 -- --
180,349 22,189 3,737 493,437 304,178 309,659 469,555
-- -- -- -- -- -- --
-- -- -- -- -- -- --
234,457 129,985 63,973 125,220 141,639 93,586 31,950
361,751 246,504 122,644 78,303 192,330 98,154 84,236
112,381 79,378 55,160 36,416 56,261 22,399 28,772
----------- ----------- ---------- ------------ ----------- ---------- ----------
2,605,440 1,516,482 245,514 733,376 713,598 523,798 614,513
----------- ----------- ---------- ------------ ----------- ---------- ----------
299,138,385 153,605,451 71,072,700 136,770,077 212,473,258 95,000,487 77,687,444
=========== =========== ========== ============ =========== ========== ==========
277,571,508 135,526,943 73,205,199 135,131,026 208,746,903 88,222,943 77,687,444
(8,121,131) 102,415 (5,819,007) (12,304) (655,737) (104,847) --
29,644,879 17,912,370 3,655,477 1,629,523 4,382,092 6,882,391 --
43,129 63,723 31,031 21,832 -- -- --
----------- ----------- ---------- ------------ ----------- ---------- ----------
299,138,385 153,605,451 71,072,700 136,770,077 212,473,258 95,000,487 77,687,444
=========== =========== ========== ============ =========== ========== ==========
21,852,341 7,493,958 4,120,147 9,079,035 9,494,634 5,348,290 65,054,010
184,302,960 87,631,211 36,022,942 83,026,649 101,223,261 59,631,825 65,054,010
=========== =========== ========== ============ =========== ========== ==========
8.43 11.69 8.74 9.14 10.66 11.15 1.00
=========== =========== ========== ============ =========== ========== ==========
8.69 12.05 9.01 9.42 10.99 11.49 --
=========== =========== ========== ============ =========== ========== ==========
10,642,708 4,493,489 3,310,211 5,360,713 4,664,392 3,157,209 5,699,331
89,739,802 52,368,093 28,916,471 49,049,079 49,740,487 35,207,029 5,699,331
=========== =========== ========== ============ =========== ========== ==========
8.43 11.65 8.74 9.15 10.66 11.15 1.00
=========== =========== ========== ============ =========== ========== ==========
2,969,607 1,153,319 700,704 516,018 5,776,940 14,488 6,934,103
25,095,623 13,606,147 6,133,287 $ 4,694,349 61,509,510 161,633 6,934,103
=========== =========== ========== ============ =========== ========== ==========
8.45 11.80 8.75 $ 9.10 10.65 11.16 1.00
=========== =========== ========== ============ =========== ========== ==========
See accompanying notes to financial statements.
39
STATE FARM MUTUAL FUND TRUST
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2003
[Enlarge/Download Table]
LifePath LifePath LifePath LifePath LifePath
Income Fund 2010 Fund 2020 Fund 2030 Fund 2040 Fund
----------- ---------- ---------- ---------- ----------
Assets
Investments in securities
At identified cost $ -- -- -- -- --
=========== ========== ========== ========== ==========
At market value $ -- -- -- -- --
In Master Portfolios 37,800,633 56,191,719 72,724,791 41,085,329 20,103,767
Foreign currencies at value -- -- -- -- --
Receivable for:
Dividends and interest -- -- -- -- --
Shares of the Fund sold 492,955 570,263 531,633 437,659 182,921
Securities sold -- -- -- -- --
Expense cap reimbursement 14,025 13,035 13,039 16,316 17,537
Unrealized gain on forward foreign currency contracts -- -- -- -- --
Prepaid expenses 264 372 454 229 111
----------- ---------- ---------- ---------- ----------
Total assets 38,307,877 56,775,389 73,269,917 41,539,533 20,304,336
----------- ---------- ---------- ---------- ----------
Liabilities and Net Assets
Dividends to shareowners 113,669 150,515 189,298 105,577 41,749
Payable for:
Shares of the Fund redeemed 7,925 8,279 7,664 -- 33,216
Securities purchased -- -- -- -- --
Unrealized loss on forward foreign currency contracts -- -- -- -- --
Distribution Fees 20,130 33,235 41,585 21,657 10,974
Manager 64,148 84,715 100,440 62,917 41,585
Accrued liabilities 24,197 25,970 27,563 25,124 23,454
----------- ---------- ---------- ---------- ----------
Total Liabilities 230,069 302,714 366,550 215,275 150,978
----------- ---------- ---------- ---------- ----------
Net assets applicable to shares outstanding of common stock $38,077,808 56,472,675 72,903,367 41,324,258 20,153,358
=========== ========== ========== ========== ==========
Analysis of Net Assets
Paid-in-capital 36,804,274 53,847,795 68,570,402 38,551,657 18,589,543
Accumulated net realized gain (loss) (5,548) 5,991 3,894 (1,251) 2,346
Net unrealized appreciation 1,278,677 2,622,123 4,331,519 2,776,761 1,563,301
Undistributed (distributions in excess of) net investment
income 405 (3,234) (2,448) (2,909) (1,832)
----------- ---------- ---------- ---------- ----------
Net assets applicable to shares outstanding $38,077,808 56,472,675 72,903,367 41,324,258 20,153,358
=========== ========== ========== ========== ==========
Class A Shares:
Fund shares outstanding 2,868,266 3,656,846 4,475,629 2,192,248 1,012,970
Net assets applicable to shares outstanding $31,025,269 40,819,937 51,690,892 25,869,639 12,263,128
=========== ========== ========== ========== ==========
Net asset value $ 10.82 11.16 11.55 11.80 12.11
=========== ========== ========== ========== ==========
Maximum offering price $ 11.15 11.51 11.91 12.16 12.48
=========== ========== ========== ========== ==========
Class B Shares:
Fund shares outstanding 380,174 1,024,585 1,342,877 808,469 423,572
Net assets applicable to shares outstanding $ 4,108,157 11,416,818 15,497,533 9,517,918 5,122,094
=========== ========== ========== ========== ==========
Net asset value $ 10.81 11.14 11.54 11.77 12.09
=========== ========== ========== ========== ==========
Institutional Shares:
Fund shares outstanding 271,701 378,028 493,078 501,802 228,241
Net assets applicable to shares outstanding $ 2,944,382 4,235,920 5,714,942 5,936,701 2,768,136
=========== ========== ========== ========== ==========
Net asset value $ 10.84 11.21 11.59 11.83 12.13
=========== ========== ========== ========== ==========
See accompanying notes to financial statements.
40
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41
STATE FARM MUTUAL FUND TRUST
STATEMENTS OF OPERATIONS
December 31, 2003 (a)
[Enlarge/Download Table]
Equity Small Cap International
Fund Equity Fund Equity Fund
----------- ----------- -------------
Investment Income: (b)
Dividends $ 2,753,214 729,380 992,268
Interest 85,215 61,936 12,222
Securities lending - net -- -- --
Tax-exempt interest -- -- --
----------- ---------- ----------
2,838,429 791,316 1,004,490
Less: foreign withholding taxes 51,376 4,722 115,846
Portfolio expenses of Master Portfolios -- -- --
----------- ---------- ----------
Total investment income 2,787,053 786,594 888,644
Expenses:
Investment advisory and management fees 871,147 578,311 363,283
Distribution fees 286,247 277,597 184,092
Transfer agent fees 186,335 165,900 104,754
Blue sky registration fees 39,700 34,496 33,445
Reports to shareowners 64,223 45,065 22,162
Professional fees 19,413 22,923 36,588
Errors & omissions insurance 13,912 7,919 5,451
Custodian fees 6,618 11,341 102,497
Trustees' fees 3,540 1,814 1,344
Security valuation fees 2,672 4,075 11,014
ICI dues 1,536 840 496
Fidelity bond expense 829 433 290
Administration fees -- -- --
Index license fees -- -- --
Fund accounting expense -- -- 65,401
----------- ---------- ----------
Total expenses 1,496,172 1,150,714 930,817
Less: expense reimbursement from Manager 18,644 56,617 187,870
----------- ---------- ----------
Net expenses 1,477,528 1,094,097 742,947
----------- ---------- ----------
Net investment income 1,309,525 (307,503) 145,697
Realized and unrealized gain (loss):
Net realized gain (loss) on sales of investments (577,465) (1,744,122) (3,591,637)
Net realized gain on forward foreign currency
contracts -- -- 237,852
Net realized gain (loss) on foreign currency
transactions -- -- (1,301)
Net realized gain (loss) on future contracts -- -- --
Net unrealized gain (loss) on open futures
contracts -- -- --
Change in net unrealized appreciation or
depreciation on investments and foreign currency
transactions 32,791,905 27,670,106 17,628,619
----------- ---------- ----------
Net realized and unrealized gain (loss) on investments 32,214,440 25,925,984 14,273,533
----------- ---------- ----------
Net change in net assets resulting from operations $33,523,965 25,618,481 14,419,230
=========== ========== ==========
S&P 500 Small Cap International
Index Fund Index Fund Index Fund
---------- ---------- -------------
Investment Income: (b)
Dividends 3,355,414 1,303,196 1,392,917
Interest 72,078 43,078 1,913
Securities lending - net 8,073 45,704 27,635
Tax-exempt interest -- -- --
---------- ---------- ----------
3,435,565 1,391,978 1,422,465
Less: foreign withholding taxes 1,227 -- 158,189
Portfolio expenses of Master Portfolios 96,062 102,100 129,122
---------- ---------- ----------
Total investment income 3,338,276 1,289,878 1,135,154
Expenses:
Investment advisory and management fees 287,317 254,371 128,825
Distribution fees 686,192 385,379 207,348
Transfer agent fees 438,869 234,073 118,674
Blue sky registration fees 48,878 36,710 33,560
Reports to shareowners 195,306 118,950 39,167
Professional fees 33,015 27,632 30,209
Errors & omissions insurance 16,307 10,195 6,269
Custodian fees -- -- --
Trustees' fees 4,658 2,470 1,317
Security valuation fees -- -- --
ICI dues 1,161 823 216
Fidelity bond expense 1,016 596 343
Administration fees 16,973 16,972 17,597
Index license fees 14,061 19,965 20,112
Fund accounting expense 31,025 30,660 30,164
---------- ---------- ----------
Total expenses 1,774,778 1,138,796 633,801
Less: expense reimbursement from Manager 171,116 163,605 101,956
---------- ---------- ----------
Net expenses 1,603,662 975,191 531,845
---------- ---------- ----------
Net investment income 1,734,614 314,687 603,309
Realized and unrealized gain (loss):
Net realized gain (loss) on sales of investments 265,952 9,531,086 (588,411)
Net realized gain on forward foreign currency
contracts -- -- --
Net realized gain (loss) on foreign currency
transactions -- -- 77,990
Net realized gain (loss) on future contracts 118,230 994,813 36,647
Net unrealized gain (loss) on open futures
contracts 152,203 66,391 18,024
Change in net unrealized appreciation or
depreciation on investments and foreign currency
transactions 49,776,912 29,387,563 18,007,683
---------- ---------- ----------
Net realized and unrealized gain (loss) on investments 50,313,297 39,979,853 17,551,933
---------- ---------- ----------
Net change in net assets resulting from operations 52,047,911 40,294,540 18,155,242
========== ========== ==========
(a) The period for the LifePath Funds is from commencement of investment
operations May 9, 2003 to December 31, 2003.
(b) Components of investment income for the S&P 500 Index, Small Cap Index,
International Index, LifePath Income, LifePath 2010, LifePath 2020,
LifePath 2030 and LifePath 2040 Funds reflect each Funds' proportionate
income from its Master Portfolio.
See accompanying notes to financial statements.
42
[Enlarge/Download Table]
Equity and Bond Tax Advantaged Money Market LifePath LifePath 2010 LifePath 2020 LifePath 2030 LifePath 2040
Bond Fund Fund Bond Fund Fund Income Fund Fund Fund Fund Fund
---------- ---------- -------------- ------------ ----------- ------------- ------------- ------------- -------------
2,582,593 -- -- -- 60,746 120,044 210,548 124,494 73,409
2,372 7,890,920 -- 753,445 190,638 214,654 210,011 100,354 30,432
-- -- -- -- 7,535 6,362 8,435 2,922 1,452
-- -- 4,023,659 -- -- -- -- -- --
---------- ---------- --------- ------- --------- --------- --------- --------- --------
2,584,965 7,890,920 4,023,659 753,445 258,919 341,060 428,994 227,770 105,293
-- -- -- -- 484 755 1,762 78 689
-- -- -- -- 37,429 52,783 65,044 34,337 17,072
---------- ---------- --------- ------- --------- --------- --------- --------- --------
2,584,965 7,890,920 4,023,659 753,445 221,006 287,522 362,188 193,355 87,532
-- 176,830 88,836 67,032 37,120 52,297 64,344 33,991 16,901
427,827 496,152 358,528 114,436 29,437 46,233 56,928 29,450 15,182
264,120 320,938 221,715 153,083 24,487 33,957 41,363 20,100 10,167
37,105 42,226 37,269 39,444 4,510 5,747 7,639 5,194 2,987
59,070 74,352 10,864 33,518 357 1,386 2,165 1,788 1,704
5,867 15,712 13,059 10,706 21,880 21,928 21,967 21,858 21,802
11,699 17,715 11,115 6,701 103 103 103 103 103
-- 6,775 902 3,591 -- -- -- -- --
2,841 4,615 2,484 1,713 144 196 237 130 79
-- 15,867 13,766 -- -- -- -- -- --
1,447 1,960 1,315 655 9 12 15 7 3
678 1,063 343 418 8 8 8 8 8
-- -- -- -- 12,985 12,985 12,985 12,985 12,985
-- -- -- -- -- -- -- -- --
-- -- -- -- 20,777 20,778 20,778 20,778 20,778
---------- ---------- --------- ------- --------- --------- --------- --------- ---------
810,654 1,174,205 760,196 431,297 151,817 195,630 228,532 146,392 102,699
118,707 4,444 2,281 29,715 50,476 48,687 48,214 53,486 55,791
---------- ---------- --------- ------- --------- --------- --------- --------- ---------
691,947 1,169,761 757,915 401,582 101,341 146,943 180,318 92,906 46,908
---------- ---------- --------- ------- --------- --------- --------- --------- ---------
1,893,018 6,721,159 3,265,744 351,863 119,665 140,579 181,870 100,449 40,624
5,456 (655,737) (102,062) -- 9,826 14,281 9,977 2,850 3,209
-- -- -- -- -- -- -- -- --
-- -- -- -- (2,704) (4,934) (4,854) (3,948) (2,913)
-- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
13,976,458 (863,354) 1,395,484 -- 1,278,677 2,622,123 4,331,519 2,776,761 1,563,301
---------- ---------- --------- ------- --------- --------- --------- --------- ---------
13,981,914 (1,519,091) 1,293,422 -- 1,285,799 2,631,470 4,336,642 2,775,663 1,563,597
---------- ---------- --------- ------- --------- --------- --------- --------- ---------
15,874,932 5,202,068 4,559,166 351,863 1,405,464 2,772,049 4,518,512 2,876,112 1,604,221
========== ========== ========= ======= ========= ========= ========= ========= =========
See accompanying notes to financial statements.
43
STATE FARM MUTUAL FUND TRUST
STATEMENTS OF CHANGES IN NET ASSETS
[Enlarge/Download Table]
Equity
Fund
--------------------------
Years ended December 31, 2003 2002
------------------------ ------------ -----------
From operations:
Net investment income $ 1,309,525 581,076
Net realized loss (577,465) (4,221,421)
Change in net unrealized appreciation or depreciation 32,791,905 (11,137,678)
------------ -----------
Net change in net assets resulting from operations 33,523,965 (14,778,023)
Distributions to shareowners from and in excess of:
Net investment income:
Class A Shares (405,992) (137,528)
Class B Shares (82,093) (15,557)
Institutional Shares (809,985) (423,981)
------------ -----------
(1,298,070) (577,066)
Net realized gain:
Class A Shares -- --
Class B Shares -- --
Institutional Shares -- --
------------ -----------
-- --
Total distributions to shareowners (1,298,070) (577,066)
From Fund share transactions:
Proceeds from shares sold 80,140,740 57,640,656
Reinvestment of distributions 1,231,370 576,469
------------ -----------
81,372,110 58,217,125
Less payments for shares redeemed 10,404,529 3,479,812
------------ -----------
Net increase in net assets from Fund share transactions 70,967,581 54,737,313
------------ -----------
Total increase (decrease) in net assets 103,193,476 39,382,224
------------ -----------
Net assets:
Beginning of period 96,961,626 57,579,402
------------ -----------
End of period $200,155,102 96,961,626
============ ===========
Including undistributed (distributions in excess of)
net investment income $ 17,343 5,888
============ ===========
See accompanying notes to financial statements.
44
[Enlarge/Download Table]
Small Cap International S&P 500 Small Cap
Equity Fund Equity Fund Index Fund Index Fund
------------------------- ----------------------- ------------------------- -------------------------
2003 2002 2003 2002 2003 2002 2003 2002
----------- ----------- ---------- ---------- ----------- ----------- ----------- -----------
(307,503) (223,975) 145,697 21,804 1,734,614 586,993 314,687 218,839
(1,744,122) (3,144,961) (3,355,086) (4,201,964) 384,182 (5,609,354) 10,525,899 (856,628)
27,670,106 (11,949,039) 17,628,619 (3,398,335) 49,929,115 (14,449,171) 29,453,954 (13,372,116)
----------- ----------- ---------- ---------- ----------- ----------- ----------- -----------
25,618,481 (15,317,975) 14,419,230 (7,578,495) 52,047,911 (19,471,532) 40,294,540 (14,009,905)
-- -- (275,831) (271,222) (1,180,969) (397,881) (295,866) (1,447)
-- -- (157,111) (185,714) (298,877) (105,252) (6,064) (1,148)
-- -- (62,820) (54,123) (238,027) (80,896) (88,020) (166)
----------- ----------- ---------- ---------- ----------- ----------- ----------- -----------
-- -- (495,762) (511,059) (1,717,873) (584,029) (389,950) (2,761)
-- -- -- -- -- -- (369,789) (187,950)
-- -- -- -- -- -- (221,837) (149,201)
-- -- -- -- -- -- (56,853) (21,604)
----------- ----------- ---------- ---------- ----------- ----------- ----------- -----------
-- -- -- -- -- -- (648,479) (358,755)
-- -- (495,762) (511,059) (1,717,873) (584,029) (1,038,429) (361,516)
29,695,693 18,056,642 7,442,714 9,515,399 163,659,401 76,148,199 56,274,100 24,796,541
-- -- 145,086 509,223 -- 582,293 -- 360,977
----------- ----------- ---------- ---------- ----------- ----------- ----------- -----------
29,695,693 18,056,642 7,587,800 10,024,622 163,659,401 76,730,492 56,274,100 25,157,518
4,379,705 3,881,143 1,461,529 4,075,842 24,422,639 5,662,222 6,616,478 2,969,704
----------- ----------- ---------- ---------- ----------- ----------- ----------- -----------
25,315,988 14,175,499 6,126,271 5,948,780 139,236,762 71,068,270 49,657,622 22,187,814
----------- ----------- ---------- ---------- ----------- ----------- ----------- -----------
50,934,469 (1,142,476) 20,049,739 (2,140,774) 189,566,800 51,012,709 88,913,733 7,816,393
----------- ----------- ---------- ---------- ----------- ----------- ----------- -----------
50,287,015 51,429,491 38,548,364 40,689,138 109,571,585 58,558,876 64,691,718 56,875,325
----------- ----------- ---------- ---------- ----------- ----------- ----------- -----------
101,221,484 50,287,015 58,598,103 38,548,364 299,138,385 109,571,585 153,605,451 64,691,718
=========== =========== ========== ========== =========== =========== =========== ===========
-- -- (141,601) (30,506) 43,129 1,687,464 63,723 183,215
=========== =========== ========== ========== =========== =========== =========== ===========
See accompanying notes to financial statements.
45
STATE FARM MUTUAL FUND TRUST FUND
STATEMENTS OF CHANGES IN NET ASSETS
[Enlarge/Download Table]
International
Index Fund
------------------------
Years ended December 31, 2003 2002
------------------------ ----------- ----------
From operations:
Net investment income $ 603,309 361,103
Net realized loss (473,774) (2,808,439)
Change in net unrealized appreciation or depreciation 18,025,707 (5,319,483)
----------- ----------
Net change in net assets resulting from operations 18,155,242 (7,766,819)
Distributions to shareowners from and in excess of:
Net investment income:
Class A Shares (380,736) (224,185)
Class B Shares (211,255) (137,217)
Institutional Shares (85,816) (45,611)
----------- ----------
(677,807) (407,013)
Net realized gain:
Class A Shares -- --
Class B Shares -- --
Institutional Shares -- --
----------- ----------
-- --
Total distributions to shareowners (677,807) (407,013)
From Fund share transactions:
Proceeds from shares sold 14,256,244 12,038,719
Reinvestment of distributions 269,416 406,916
----------- ----------
14,525,660 12,445,635
Less payments for shares redeemed 1,917,906 4,503,899
----------- ----------
Net increase in net assets from Fund share transactions 12,607,754 7,941,736
----------- ----------
Total increase (decrease) in net assets 30,085,189 (232,096)
----------- ----------
Net assets:
Beginning of period 40,987,511 41,219,607
----------- ----------
End of period $71,072,700 40,987,511
=========== ==========
Including undistributed (distributions in excess of) net investment income $ 31,031 26,537
=========== ==========
See accompanying notes to financial statements.
46
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Equity and Bond Tax Advantaged Money Market
Bond Fund Fund Bond Fund Fund
------------------------ ------------------------- ----------------------- ------------------------
2003 2002 2003 2002 2003 2002 2003 2002
----------- ---------- ----------- ----------- ---------- ---------- ----------- ----------
1,893,018 1,447,290 6,721,159 4,136,160 3,265,744 2,433,272 351,863 273,632
5,456 33,952 (655,737) 51,946 (102,062) (2,457) -- --
13,976,458 (7,058,935) (863,354) 3,726,997 1,395,484 4,363,522 -- --
----------- ---------- ----------- ----------- ---------- ---------- ----------- ----------
15,874,932 (5,577,693) 5,202,068 7,915,103 4,559,166 6,794,337 351,863 273,632
(1,237,982) (913,339) (3,176,919) (1,616,830) (2,086,321) (1,367,217) (290,823) (220,501)
(560,166) (498,001) (1,472,291) (1,008,716) (1,172,933) (1,061,881) (7,819) (38,634)
(88,175) (33,739) (2,071,949) (1,510,614) (6,490) (4,174) (53,221) (14,497)
----------- ---------- ----------- ----------- ---------- ---------- ----------- ----------
(1,886,323) (1,445,079) (6,721,159) (4,136,160) (3,265,744) (2,433,272) (351,863) (273,632)
(27,828) (3,403) -- (90,573) -- -- -- --
(16,473) (2,334) -- (51,338) -- -- -- --
(1,570) (104) -- (59,454) -- -- -- --
----------- ---------- ----------- ----------- ---------- ---------- ----------- ----------
(45,871) (5,841) -- (201,365) -- -- -- --
(1,932,194) (1,450,920) (6,721,159) (4,337,525) (3,265,744) (2,433,272) (351,863) (273,632)
50,420,409 38,669,980 116,829,702 60,997,070 30,913,396 14,812,024 118,836,004 50,516,537
1,245,137 1,445,495 5,543,620 4,283,771 1,267,241 2,391,647 317,358 269,538
----------- ---------- ----------- ----------- ---------- ---------- ----------- ----------
51,665,546 40,115,475 122,373,322 65,280,841 32,180,637 17,203,671 119,153,362 50,786,075
12,268,534 4,806,711 31,369,872 7,051,512 14,255,035 1,772,223 85,708,645 22,763,063
----------- ---------- ----------- ----------- ---------- ---------- ----------- ----------
39,397,012 35,308,764 91,003,450 58,229,329 17,925,602 15,431,448 33,444,717 28,023,012
----------- ---------- ----------- ----------- ---------- ---------- ----------- ----------
53,339,750 28,280,151 89,484,359 61,806,907 19,219,024 19,792,513 33,444,717 28,023,012
----------- ---------- ----------- ----------- ---------- ---------- ----------- ----------
83,430,327 55,150,176 122,988,899 61,181,992 75,781,463 55,988,950 44,242,727 16,219,715
----------- ---------- ----------- ----------- ---------- ---------- ----------- ----------
136,770,077 83,430,327 212,473,258 122,988,899 95,000,487 75,781,463 77,687,444 44,242,727
=========== ========== =========== =========== ========== ========== =========== ==========
21,832 15,137 -- -- -- -- -- --
=========== ========== =========== =========== ========== ========== =========== ==========
See accompanying notes to financial statements.
47
STATE FARM MUTUAL FUND TRUST
STATEMENTS OF CHANGES IN NET ASSETS
[Enlarge/Download Table]
LifePath LifePath LifePath LifePath LifePath
Income Fund 2010 Fund 2020 Fund 2030 Fund 2040 Fund
----------- ---------- ---------- ---------- ----------
From commencement of operations May 9, 2003 to December 31, 2003 2003 2003 2003 2003
----------------------------------------------------------- ----------- ---------- ---------- ---------- ----------
From operations:
Net investment income $ 119,665 140,579 181,870 100,449 40,624
Net realized gain (loss) 7,122 9,347 5,123 (1,098) 296
Change in net unrealized appreciation or depreciation 1,278,677 2,622,123 4,331,519 2,776,761 1,563,301
----------- ---------- ---------- ---------- ----------
Net change in net assets resulting from operations 1,405,464 2,772,049 4,518,512 2,876,112 1,604,221
Distributions to shareowners from and in excess of:
Net investment income:
Class A Shares (98,598) (106,950) (135,575) (65,424) (26,146)
Class B Shares (8,566) (18,687) (26,226) (14,518) (5,951)
Institutional Shares (12,164) (16,412) (21,414) (21,533) (8,810)
----------- ---------- ---------- ---------- ----------
(119,328) (142,049) (183,215) (101,475) (40,907)
Net realized gain:
Class A Shares (12,582) (6,105) (4,312) (2,565) (511)
Class B Shares (1,698) (1,725) (1,298) (949) (216)
Institutional Shares (1,094) (636) (473) (588) (115)
----------- ---------- ---------- ---------- ----------
(15,374) (8,466) (6,083) (4,102) (842)
Total distributions to shareowners (134,702) (150,515) (189,298) (105,577) (41,749)
From Fund share transactions:
Proceeds from shares sold 38,364,834 54,876,387 70,065,061 39,465,109 19,230,867
Reinvestment of distributions 18,316 -- -- -- --
----------- ---------- ---------- ---------- ----------
38,383,150 54,876,387 70,065,061 39,465,109 19,230,867
Less payments for shares redeemed 1,576,104 1,025,246 1,490,908 911,386 639,981
----------- ---------- ---------- ---------- ----------
Net increase (decrease) in net assets from Fund share
transactions 36,807,046 53,851,141 68,574,153 38,553,723 18,590,886
----------- ---------- ---------- ---------- ----------
Total increase in net assets 38,077,808 56,472,675 72,903,367 41,324,258 20,153,358
----------- ---------- ---------- ---------- ----------
Net assets:
End of period $38,077,808 56,472,675 72,903,367 41,324,258 20,153,358
=========== ========== ========== ========== ==========
Including undistributed (distributions in excess of) net
investment income $ 405 (3,234) (2,448) (2,909) (1,832)
=========== ========== ========== ========== ==========
See accompanying notes to financial statements.
48
STATE FARM MUTUAL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
1. Objective
State Farm Mutual Fund Trust (the "Trust") has 15 separate investment portfolios
(the "Funds"). Each Fund is a separate investment portfolio with its own
investment objective, investment policies, restrictions, and attendant risks.
The State Farm Equity Fund (the "Equity Fund") seeks long-term growth of
capital. The Fund seeks to achieve this objective by investing, under normal
circumstances, at least 80% of its assets in common stocks and other equity
securities of U.S. companies with market capitalizations of at least $1.5
billion.
The State Farm Small Cap Equity Fund (the "Small Cap Equity Fund") seeks
long-term growth of capital. The Fund invests most of its assets in equity
securities of companies with relatively small market capitalizations located in
the U.S. The companies in which the Fund invests typically have market
capitalizations of $50 million to $1.5 billion at the time the Fund purchases
the securities.
The State Farm International Equity Fund (the "International Equity Fund") seeks
long-term growth of capital. The Fund invests its assets primarily in common
stocks of companies located in 16 European countries (Austria, Belgium, Denmark,
Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Norway,
Portugal, Spain, Sweden, Switzerland and the United Kingdom), Australia, New
Zealand, Hong Kong, Japan and Singapore. The Fund may also invest in companies
located in other countries and in emerging markets.
The State Farm S&P 500 Index Fund (the "S&P 500 Index Fund") seeks to match as
closely as practicable, before fees and expenses, the performance of the
Standard & Poor's 500 Stock Index (the "S&P 500(R) Index"). The Fund invests all
of its assets in a separate series of an unaffiliated mutual fund called Master
Investment Portfolio. That series, called the S&P 500 Index Master Portfolio,
holds each of the stocks that make up the S&P 500 Index. The S&P 500 Index
Master Portfolio and the S&P 500 Index Fund have substantially similar
investment objectives.
The State Farm Small Cap Index Fund (the "Small Cap Index Fund") seeks to match
as closely as practicable, before fees and expenses, the performance of the
Russell 2000 Small Stock Index (the "Russell 2000(R) Index"). The Fund invests
all of its assets in a separate series of the Master Investment Portfolio,
called the Russell 2000 Index Master Portfolio. The Russell 2000 Index Master
Portfolio and the Small Cap Index Fund have substantially similar investment
objectives.
The State Farm International Index Fund (the "International Index Fund") seeks
to match as closely as practicable, before fees and expenses, the performance of
an international portfolio of common stocks represented by the Morgan Stanley
Capital International Europe, Australia, and Far East Free Index ("EAFE(R) Free
Index"). The Fund invests all of its assets in a separate series of the Master
Investment Portfolio, called the International Index Master Portfolio. The
International Index Master Portfolio and the International Index Fund have
substantially similar investment objectives.
The State Farm Equity and Bond Fund (the "Equity and Bond Fund") seeks long-term
growth of principal while providing some current income. The Fund invests
substantially all of its assets in shares of the Equity Fund and Bond Fund.
The State Farm Bond Fund (the "Bond Fund") seeks to realize over a period of
years the highest yield consistent with investing in investment grade bonds. The
Fund invests primarily in investment grade bonds issued by U.S. companies, U.S.
government and agency obligations, and mortgage backed securities.
The State Farm Tax Advantaged Bond Fund (the "Tax Advantaged Bond Fund") seeks
as high a rate of income exempt from federal income taxes as is consistent with
prudent investment management. The Fund normally invests so that either (1) 80%
or more of the Fund's net investment income is exempt from regular federal
income tax or (2) 80% or more of the Fund's net assets is invested in securities
that produce income exempt from regular federal income tax.
The State Farm Money Market Fund (the "Money Market Fund") seeks to maximize
current income to the extent consistent with the preservation of capital and
maintenance of liquidity. The Fund invests exclusively in short-term, U.S.
dollar-denominated money market securities, including those issued by U.S. and
foreign financial institutions, corporate issuers, the U.S. Government and its
agencies and instrumentalities, municipalities, foreign governments, and
multi-national organizations, such as the World Bank.
The State Farm LifePath(R) Income Fund (the "LifePath Income Fund") is managed
for investors seeking income and moderate long-term growth of capital. The
LifePath Income Fund invests all of its assets in a separate series of the
Master Investment Portfolio, called the LifePath Retirement Master Portfolio.
The LifePath Retirement Master Portfolio and the LifePath Income Fund have
substantially similar investment objectives.
The State Farm LifePath 2010(R) Fund (the "LifePath 2010 Fund") is managed for
investors planning to retire (or begin to withdraw substantial portions of their
investment) approximately in the year 2010. The LifePath 2010 Fund invests all
of its assets in a separate series of the Master Investment Portfolio, called
the LifePath 2010 Master Portfolio. The LifePath 2010 Master Portfolio and the
LifePath 2010 Fund have substantially similar investment objectives.
49
STATE FARM MUTUAL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
The State Farm LifePath 2020(R) Fund (the "LifePath 2020 Fund") is managed for
investors planning to retire (or begin to withdraw substantial portions of their
investment approximately in the year 2020. The LifePath 2020 Fund invests all of
its assets in a separate series of the Master Investment Portfolio, called the
LifePath 2020 Master Portfolio. The LifePath 2020 Master portfolio and the
LifePath 2020 Fund have substantially similar investment objectives.
The State Farm LifePath 2030(R) Fund (the "LifePath 2030 Fund") is managed for
investors planning to retire (or begin to withdraw substantial portions of their
investment) approximately in the year 2030. The LifePath 2030 Fund invests all
of its assets in a separate series of the Master Investment Portfolio, called
the LifePath 2030 Master Portfolio. The LifePath Master Portfolio and the
LifePath 2030 Fund have substantially similar investment objectives.
The State Farm LifePath 2040(R) Fund (the "LifePath 2040 Fund") is managed for
investors planning to retire (or begin to withdraw substantial portions of their
investment) approximately in the year 2040. The LifePath 2040 Fund invests all
of its assets in a separate series of the Master Investment Portfolio, called
the LifePath 2040 Master Portfolio. The LifePath Master Portfolio and the
LifePath 2040 Fund have substantially similar investment objectives.
Each LifePath Master Portfolio invests in a combination of stocks, bonds and
short-term money market instruments in proportions suggested by its own
comprehensive asset allocation strategy that gradually becomes more conservative
as the year in the Fund's name approaches, except for the LifePath Retirement
Master Portfolio that is already in its most conservative phase.
2. Significant accounting policies
Security valuation
Investments are stated at market value. Stocks traded on securities exchanges,
or in the over-the-counter market in which transaction prices are reported, are
valued at the last sales prices on the day of valuation or, if there are no
reported sales on that day, at the last reported bid price for the day. Equity
securities traded on NASDAQ are valued at the NASDAQ Official Closing Price
(NOCP). Portfolio securities that are primarily traded on foreign securities
exchanges are generally valued at the closing values of such securities on their
respective exchanges where primarily traded. Long-term debt securities and U.S.
Treasury bills are valued using quotations provided by an independent pricing
service. All of the securities and assets of the Money Market Fund and
short-term debt securities with remaining maturities of 60 days or less (other
than U.S. Treasury bills) held by any of the other Funds are valued on an
amortized cost basis, which approximates market value. Investments in open-end
investment companies are valued each day based on the closing net asset value of
the respective fund. Futures contracts are valued at the settlement price
established each day on the exchange on which they are traded. Forward foreign
currency contracts are valued daily using quoted forward exchange rates. Any
securities not valued as described above are valued at a fair value as
determined in good faith by the Trust's investment advisor under the supervision
of the Board of Trustees.
Securities transactions and investment income
Security transactions are accounted for on trade date (date the order to buy or
sell is executed) and dividend income is recorded on the ex-dividend date,
except that certain dividends from foreign securities are recorded as soon as
the information is available to the Funds. Interest income is recorded on the
accrual basis and includes amortization of premiums and accretion of discounts
on money market instruments and long-term debt instruments. Realized gains and
losses from security transactions are reported on an identified cost basis.
Multi-class fund structure
The Funds offer multiple classes of shares. Class A shares are offered to
investors subject to an initial sales charge. Class B shares are offered without
an initial sales charge but are subject to higher ongoing expenses than Class A
shares and a contingent deferred sales charge payable upon certain redemptions.
Class B shares automatically convert to Class A shares eight years after
issuance. Institutional shares are offered to institutional investors including
certain insurance companies, defined contribution plans, defined benefit plans,
and may be used as a funding vehicle for certain IRAs. Institutional shares are
not subject to an initial sales charge or a contingent deferred sales charge and
have lower ongoing expenses than the other classes.
Investment income and certain Fund level expenses and expense reductions, if
any, are borne pro rata on the basis of settled shares outstanding for the Fixed
Income Funds and relative net assets for all other Funds. Realized and
unrealized gains and losses are borne pro rata on the basis of relative net
assets for all Funds. However, each class bears certain expenses unique to that
class such as distribution services and certain other class specific expenses.
Differences in class expenses may result in the payment of different per share
dividends by class. All shares of the Funds have equal rights with respect to
voting subject to class specific arrangements.
50
STATE FARM MUTUAL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
Expenses
Expenses arising in connection with a specific Fund are allocated to that Fund.
Common Trust expenses are generally allocated between the Funds in proportion to
their relative net assets.
Fund share valuation
The offering price of the shares of each Fund, other than Money Market Fund, is
its Net Asset Value ("NAV"), plus an initial sales charge on the Class A shares.
The offering price of the Money Market Fund and all Funds' Class B and
Institutional shares is the NAV. A separate NAV is calculated for each class of
each Fund.
The NAV for each class of each Fund is determined as of the time of the close of
regular session trading on the New York Stock Exchange ("NYSE") (currently at
4:00 p.m., Eastern Time), on each day when the NYSE is open for business. Shares
of the Funds will not be priced on days when the NYSE is closed.
Investments in Master Portfolios
The S&P 500 Index, Small Cap Index, International Index , LifePath Income,
LifePath 2010, LifePath 2020, LifePath 2030 and the LifePath 2040 Funds ("Feeder
Funds") are registered under the Investment Company Act of 1940 as diversified,
open-end management investment companies. The Feeder Funds invest substantially
all of their assets in the Master Portfolios as detailed below:
--------------------------------------------------------------------------------
% ownership interest
held by the Feeder
Feeder Fund Invests in Master Portfolio Funds at 12/31/2003
------------------------ ------------------------------ --------------------
S&P 500 Index Fund S&P 500 Index Master Portfolio 8.3%
Small Cap Index Fund Russell 2000 Index Master 100.0%
Portfolio
International Index Fund International Index Master 47.1%
Portfolio
LifePath Income Fund LifePath Retirement Master 37.3%
Portfolio
LifePath 2010 Fund LifePath 2010 Master Portfolio 23.6%
LifePath 2020 Fund LifePath 2020 Master Portfolio 15.4%
LifePath 2030 Fund LifePath 2030 Master Portfolio 18.3%
LifePath 2040 Fund LifePath 2040 Master Portfolio 12.4%
--------------------------------------------------------------------------------
The Master Portfolios are diversified, open-end management investment companies,
which have similar investment objectives as the respective Feeder Funds. The
Master Portfolios operate as partnerships for federal income tax purposes. The
financial statements of each Master Portfolio, including the Portfolio of
Investments, are included elsewhere in this report and should be read in
conjunction with each Feeder Fund's financial statements.
Each Feeder Fund records its investment in its Master Portfolio at fair value
which represents each Feeder Fund's proportionate interest in the net assets of
the respective Master Portfolio. Valuation policies relating to securities held
by each Master Portfolio are disclosed in the notes of the respective Master
Portfolio financial statements included elsewhere in this report.
Each Feeder Fund records daily its proportionate share of the Master Portfolio's
income, expenses, and realized and unrealized gains and losses. In addition, the
Feeder Funds accrue their own expenses.
Federal income taxes, dividends and distributions to shareowners
It is the Funds' policy to comply with the special provisions of the Internal
Revenue Code available to regulated investment companies and, in the manner
provided therein, to distribute all of their taxable income, as well as any net
realized gain on sales of investments reportable for federal income tax
purposes. The Funds intend to comply with this policy and, accordingly, no
provision for federal income taxes has been made.
51
STATE FARM MUTUAL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
As of December 31, 2003, the Fund's aggregate security unrealized gains and
losses based on cost for federal income tax purposes were as follows:
[Enlarge/Download Table]
------------------------------------------------------------------------------------------------
Cost of Investments Gross Gross Net Unrealized
for Federal Unrealized Unrealized Appreciation
Fund Tax Purposes Appreciation (Depreciation) (Depreciation)
------------------------- ------------------- ------------ -------------- --------------
Equity Fund $188,195,500 $20,285,552 $(8,033,365) $12,252,187
Small Cap Equity Fund 86,425,431 19,110,531 (4,486,656) 14,623,875
International Equity Fund 54,461,021 9,074,092 (4,723,442) 4,350,650
Equity and Bond Fund 135,797,756 1,617,219 -- 1,617,219
Bond Fund 206,438,810 5,628,152 (1,246,060) 4,382,092
Tax Advantaged Bond Fund 87,361,901 6,911,494 (29,103) 6,882,391
Money Market Fund 77,857,424 -- -- --
-----------------------------------------------------------------------------------------------
The unrealized appreciation and depreciation information for the Master
Investment Portfolio (MIP) can be found in MIP Notes to Financial.
The Equity Fund, Small Cap Equity Fund, International Equity Fund, S&P 500 Index
Fund, Small Cap Index Fund, International Index Fund, Equity and Bond Fund,
LifePath 2010 Fund , LifePath 2020 Fund, LifePath 2030 Fund and LifePath 2040
Fund declare and pay dividend and capital gain distributions, if any, at least
annually.
The Bond Fund, Tax Advantaged Bond Fund, and Money Market Fund declare dividends
daily and pay dividends monthly on the last business day of the month. Capital
gain distributions on these Funds, if any, are generally paid annually.
The LifePath Income Fund declares and pay dividends quarterly and capital gain
distributions, if any, at least annually.
The timing and characterization of certain income and capital gain distributions
are determined annually in accordance with federal income tax regulations which
may differ from accounting principles generally accepted in the United States.
These differences are primarily due to differing treatments for futures
contracts (Feeder Funds), the recognition of net realized losses (Equity,
International Equity, S&P 500 Index, and International Index Funds), and foreign
currency transactions (International Equity and International Index Funds). As a
result, net investment income and net realized gain or loss on investment
transactions for a reporting period may differ from distributions during such
period. In addition, certain reclassifications were made among the components of
net assets. These reclassifications had no affect on net investment income, net
realized gain or loss, or net assets.
The International Equity Fund has elected to mark-to-market its investments in
Passive Foreign Investment Companies ("PFICs") for federal income tax purposes.
In accordance with this election, the International Equity Fund recognized
unrealized appreciation (depreciation) of $126,571 and ($18,960) during 2003 and
2002, respectively, which is treated as ordinary income (loss) for federal
income taxes. The cumulative amount of mark-to-market adjustments recognized on
PFICs at December 31, 2003, was $126,571.
The tax character of distributions for all classes were as follows for the years
ended December 31, 2003 and 2002 respectively:
[Enlarge/Download Table]
-----------------------------------------------------------------------------------------------------------------------------------
2003 Ordinary Income Long Term Capital Gain Total Distributions
---- ------------------------------------ --------------------------------- -----------------------------------
Class A Class B Institutional Class A Class B Institutional Class A Class B Institutional
---------- ------- ------------- ------- ------- ------------- --------- ------- -------------
Small Cap Index
Fund $ 383,160 58,432 101,441 282,495 169,469 43,432 665,655 227,901 144,873
Equity & Bond Fund 1,240,401 561,598 88,311 25,409 15,041 1,434 1,265,810 576,639 89,745
LifePath Income
Fund 100,534 8,827 12,333 10,646 1,437 925 111,180 10,264 13,258
LifePath 2010 Fund 108,739 19,192 16,598 4,316 1,220 450 113,055 20,412 17,048
LifePath 2020 Fund 137,715 26,870 21,649 2,172 654 238 139,887 27,524 21,887
LifePath 2030 Fund 66,102 14,769 21,688 1,887 698 433 67,989 15,467 22,121
LifePath 2040 Fund 26,657 6,167 8,925 -- -- -- 26,657 6,167 8,925
-----------------------------------------------------------------------------------------------------------------------------------
52
STATE FARM MUTUAL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
The tax character of distributions for the remaining Funds was the same as the
composition of distributions reflected in the Statement of Changes in Net
Assets.
[Enlarge/Download Table]
------------------------------------------------------------------------------------------------------------------------------------
2002 Ordinary Income Long Term Capital Gain Total Distributions
---- -------------------------------------- --------------------------------- -------------------------------------
Class A Class B Institutional Class A Class B Institutional Class A Class B Institutional
---------- --------- ------------- ------- ------- ------------- --------- --------- -------------
Small Cap Index
Fund $ 83,740 66,476 9,625 105,657 83,873 12,145 189,397 150,349 21,770
Equity & Bond
Fund 916,742 500,335 33,843 -- -- -- 916,742 500,335 33,843
Bond Fund 1,640,225 1,021,982 1,525,900 67,178 38,072 44,168 1,707,403 1,060,054 1,570,068
------------------------------------------------------------------------------------------------------------------------------------
The tax character of distributions for the remaining Funds was the same as the
composition of distributions reflected in the Statement of Changes in Net
Assets.
From November 1, 2003 through December 31, 2003, the S&P 500 Index Fund,
LifePath Income Fund, and LifePath 2030 Fund incurred approximately $142,828,
$5,548, and $1,251 of net realized losses, respectively. As permitted by tax
regulations, the Funds intend to elect to defer these losses and treat them as
arising on January 1, 2004.
From November 1, 2003 through December 31, 2003, the International Equity Fund,
LifePath Income Fund, LifePath 2010 Fund, LifePath 2020 Fund, LifePath 2030
Fund, and LifePath 2040 Fund incurred approximately $50,036, $597, $4,156,
$3,513, $3,841, and $1,832 in foreign exchange losses, respectively. As
permitted by tax regulations, the Funds intend to elect to defer these losses
and treat them as arising on January 1, 2004.
At December 31, 2003, the following Funds had unused capital loss carryforwards
available for federal income tax purposes to be applied against future capital
gains, if any. If not applied, the carryforwards will expire as follows:
--------------------------------------------------------------------------------
Year of Expirati on
--------------------------------
2009 2010 2011 Total
-------- --------- --------- ----------
Equity Fund $ 15,177 4,469,543 577,465 $5,062,185
Small Cap Equity Fund 560,938 1,437,647 3,540,808 5,539,393
International Equity Fund 648,443 4,360,867 4,740,479 9,749,789
S&P 500 Index Fund 618,955 3,819,734 904,024 5,342,713
International Index Fund 126,308 2,844,045 622,378 3,592,731
Bond Fund -- -- 655,737 655,737
Tax Advantaged Bond Fund 328 2,457 102,062 104,847
--------------------------------------------------------------------------------
The undistributed net investment income in accordance with the federal tax
regulations at December 31, 2003, for the International Equity Fund, S&P 500
Index Fund, Small Cap Index Fund, International Index Fund, Bond Fund, Money
Market Fund, LifePath Income Fund, LifePath 2010 Fund, LifePath 2020 Fund,
LifePath 2030 Fund and LifePath 2040 Fund was $0, $41,800, $216,096, $109,528,
$68,103, $7,441, $1,002, $1,122, $2,577, $932 and $2,392, respectively. The
difference between these amounts and the undistributed net investment income
reported on the Statement of Assets and Liabilities for the International Equity
Fund relates to forward foreign currency contracts, mark-to-market of PFICs, and
post October loss deferrals. For the Small Cap Index Fund and all LifePath
Funds, the difference relates to post October loss deferrals and non- deductible
12b-1 fees. For the International Index Fund, the difference relates to foreign
currency reclassifications and PFICs. For the Bond Fund, the difference relates
to non-deductible 12b-1 fees and dividends payable at December 31, 2003. For the
Money Market Fund, the difference relates to non-deductible 12b-1 fees. For the
remaining Funds, the undistributed net investment income in accordance with
federal tax regulations at December 31, 2003 was the same as the undistributed
net investment income reflected in the Statements of Assets and Liabilities.
53
STATE FARM MUTUAL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
Foreign currency translation
Investment securities and other assets and liabilities denominated in a foreign
currency are translated into U.S. dollars at the prevailing rates at period end.
Purchases and sales of investment securities, income and expenses are translated
into U.S. dollars at the prevailing exchange rates on the respective dates of
transactions. That portion of realized and unrealized gains and losses on
investments that results from fluctuations in foreign currency exchange rates is
not separately disclosed but is included with realized and unrealized gains and
losses on investment securities.
Use of estimates
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results could differ from those estimates.
Financial instruments
The Feeder Funds may enter into stock index futures contracts to hedge a portion
of their portfolios. These contracts obligate a Fund to make or take delivery of
a financial instrument or the cash value of a securities index at a specified
future date at a specified price. Realized and unrealized gains and losses are
reflected in the Statement of Operations. Unrealized gains and losses on open
futures contracts are reflected as a component of net unrealized appreciation
(depreciation) in the Statements of Assets and Liabilities. Daily fluctuations
in the margin requirements for futures contracts are recorded as variation
margin receivable or payable on the Statements of Assets and Liabilities.
Additionally, the International Equity and International Index Funds may engage
in portfolio hedging with respect to changes in currency exchange rates by
entering into forward foreign currency contracts to purchase or sell foreign
currencies. The Funds bear the market risk that arises from changes in the value
of financial instruments and securities indices (futures contracts) or from
changes in foreign currency rates (forward foreign currency contracts) and the
credit risk should a counterparty fail to perform under such contracts.
Investment Advisory and Management Services Agreement
The Trust has an investment advisory and management services agreement with
State Farm Investment Management Corp. ("Manager") who serves as the Trust's
investment adviser and conducts the business and affairs of the Trust. Each Fund
pays the Manager an investment advisory and management services fee based upon
that Fund's average daily net assets. The fee is accrued daily and paid to the
Manager quarterly. The rates for the Feeder Funds include the fee for Barclays
Global Fund Advisors investment advisory services to the Master Portfolio.
----------------------------------------------
Equity Fund 0.60%
Small Cap Equity Fund 0.80%
International Equity Fund 0.80%
S&P 500 Index Fund 0.20%
Small Cap Index Fund 0.35%
International Index Fund 0.50%
Equity and Bond Fund None
Bond Fund 0.10%
Tax Advantaged Bond Fund 0.10%
Money Market Fund 0.10%
LifePath Income Fund 0.70%
LifePath 2010 Fund 0.70%
LifePath 2020 Fund 0.70%
LifePath 2030 Fund 0.70%
LifePath 2040 Fund 0.70%
----------------------------------------------
The Manager does not receive an investment advisory and management services fee
for performing its services for the Equity and Bond Fund. However, the Manager
receives investment advisory and management services fees from managing the
underlying Funds in which the Equity and Bond Fund invests. The Equity and Bond
Fund pays no sales loads or similar compensation to the Manager to acquire
shares of each Fund in which it invests. Because the underlying Funds have
varied expenses and fee levels and the Equity and Bond Fund may own different
proportions of the underlying Funds at different times, the amount of fees and
expenses incurred indirectly by the Equity and Bond Fund will vary.
The Manager has engaged Capital Guardian as the investment sub-advisor to
provide day-to-day portfolio management for the Small Cap Equity Fund and
International Equity Fund. In accordance with the overall investment objectives
of each respective Fund, Capital Guardian determines which securities to buy and
sell for each of these Funds, selects the brokers and dealers to effect the
transactions, and negotiates commissions. Capital Guardian's sub advisory fees
for managing the respective portfolios are paid by the Manager. No additional
advisory fees are charged to the Funds.
54
STATE FARM MUTUAL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
Distribution and Shareholder Services Agreements
The Trust has entered into distribution plan agreements pursuant to Rule 12b-1
of the Investment Company Act of 1940 with State Farm VP Management Corp. ("VP
Management Corp."). Under terms of these agreements, each Fund pays VP
Management Corp. an annual fee based on a specified percentage of average daily
net assets, up to the following amounts:
--------------------------------------------------------------------------------
Class A Class B
------- -------
All Funds other than Money Market 0.25% 0.65%
Money Market Fund 0.15% 0.55%
--------------------------------------------------------------------------------
The Trust has a separate shareholder services agreement with the Manager. Under
terms of the shareholder services agreement, each Fund pays the Manager a fee of
0.25% of average daily nets assets of Class A and Class B.
Officers and Trustees
Certain officers and/or trustees of the Trust are also officers and/or directors
of the Manager. The Funds made no payments to any officers during the year ended
December 31, 2003.
Expense Limitation Agreements
The Manager has agreed to reimburse the expenses incurred by the Funds that
exceed the following annual percentages of such Fund's average daily net assets:
--------------------------------------------------------------------------------
Class A Class B Institutional
------- ------- -------------
Equity Fund 1.20% 1.60% .70%
Small Cap Equity Fund 1.40% 1.80% .90%
International Equity Fund 1.50% 1.90% 1.00%
S&P 500 Index Fund .80% 1.20% .30%
Small Cap Index Fund .95% 1.35% .45%
International Index Fund 1.15% 1.55% .65%
Equity and Bond Fund .50% .90% --
Bond Fund .70% 1.10% .20%
Tax Advantaged Bond Fund .70% 1.10% .20%
Money Market Fund .60% 1.00% .20%
LifePath Income Fund 1.30% 1.70% .80%
LifePath 2010 Fund 1.30% 1.70% .80%
LifePath 2020 Fund 1.30% 1.70% .80%
LifePath 2030 Fund 1.30% 1.70% .80%
LifePath 2040 Fund 1.30% 1.70% .80%
--------------------------------------------------------------------------------
The Manager has agreed to reimburse all expenses incurred by the Equity and Bond
Fund excluding distribution and transfer agent fees. These arrangements are
voluntary and may be eliminated by the Manager at any time.
55
STATE FARM MUTUAL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
3. Investment transactions
Investment transactions (exclusive of short-term instruments) were as follows:
[Enlarge/Download Table]
---------------------------------------------------------------------------------------
Year ended December 31, 2003 Year ended December 31, 2002
---------------------------- ----------------------------
Purchases Sales Purchases Sales
-------------- ----------- ------------- ------------
Equity Fund $ 68,861,223 2,018,041 53,178,769 2,271,849
Small Cap Equity Fund 45,356,016 22,328,859 27,301,985 13,624,822
International Equity Fund 12,161,367 7,016,804 16,467,204 8,991,663
Equity and Bond Fund 40,029,655 150,000 37,539,517 2,100,000
Bond Fund 126,417,688 30,441,620 62,461,845 11,659,949
Tax Advantaged Bond Fund 24,759,203 6,882,436 18,200,783 4,091,935
--------------------------------------------------------------------------------------
Foreign currency contracts
International Equity Fund had the following open forward foreign currency
contracts at December 31, 2003:
[Enlarge/Download Table]
---------------------------------------------------------------------------------------------------------------
Foreign amount Currency Contracts Settlement date U.S. Dollar Unrealized gain (loss)
-------------- ------------------- --------- --------------------- ----------- ----------------------
458,515 Canadian Dollar 1 01/20/2004 354,530 7,539
28,966 Euro 1 01/02/2004 36,536 357
245,287 Great British Pound 2 01/06/2004-05/12/2004 434,656 24,386
130,114,974 Japanese Yen 3 01/20/2004-05/26/2004 1,217,794 (3,496)
97,925 New Zealand Dollar 1 01/05/2004 64,269 (829)
2,111,694 Swiss Franc 5 01/05/2004-05/26/2004 1,711,613 (62,963)
Total $(35,006)
---------------------------------------------------------------------------------------------------------------
56
STATE FARM MUTUAL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
4. Fund share transactions
Proceeds and payments on Fund shares as shown in the statements of changes in
net assets are in respect of the following number of shares and dollars by
class:
Year ended December 31, 2003 (Since inception on May 9, 2003 for all LifePath
Funds)
[Download Table]
----------------------------------------------------------------------------------
Class A Dollar Amounts
------------------------------------------------------
Sales Reinvestments Redemptions Net
----------- ------------- ----------- ----------
Equity Fund $40,369,670 359,799 6,699,487 34,029,982
Small Cap Equity Fund 19,203,020 -- 2,917,094 16,285,926
International Equity Fund 4,718,455 98,695 948,321 3,868,829
S&P 500 Index Fund 109,580,802 -- 18,174,722 91,406,080
Small Cap Index Fund 36,797,676 -- 4,647,929 32,149,747
International Index Fund 8,958,156 174,507 1,322,725 7,809,938
Equity & Bond Fund 33,735,026 872,492 8,519,648 26,087,870
Bond Fund 66,394,567 2,521,029 22,754,353 46,161,243
Tax Advantaged Bond Fund 26,616,588 972,655 12,384,233 15,205,010
Money Market Fund 106,454,960 262,842 77,881,610 28,836,192
LifePath Income Fund 31,460,784 15,889 1,462,057 30,014,616
LifePath 2010 Fund 39,709,123 -- 744,906 38,964,217
LifePath 2020 Fund 49,508,616 -- 821,359 48,687,257
LifePath 2030 Fund 24,755,740 -- 548,491 24,207,249
LifePath 2040 Fund 11,761,012 -- 407,578 11,353,434
Class A Share Amounts
------------------------------------------------------
Sales Reinvestments Redemptions Net
----------- ------------- ----------- ----------
Equity Fund 5,739,918 45,144 942,309 4,842,753
Small Cap Equity Fund 2,365,565 -- 354,636 2,010,929
International Equity Fund 685,591 11,974 137,452 560,113
S&P 500 Index Fund 14,903,008 -- 2,501,283 12,401,725
Small Cap Index Fund 3,795,010 -- 471,682 3,323,328
International Index Fund 1,256,978 20,082 188,144 1,088,916
Equity & Bond Fund 3,974,771 97,025 1,000,024 3,071,772
Bond Fund 6,185,339 235,325 2,129,751 4,290,913
Tax Advantaged Bond Fund 2,409,622 88,172 1,127,953 1,369,841
Money Market Fund 106,454,960 262,842 77,881,610 28,836,192
LifePath Income Fund 3,006,512 1,529 139,775 2,868,266
LifePath 2010 Fund 3,726,098 -- 69,252 3,656,846
LifePath 2020 Fund 4,551,075 -- 75,446 4,475,629
LifePath 2030 Fund 140,619 -- 149 140,470
LifePath 2040 Fund 1,049,294 -- 36,324 1,012,970
----------------------------------------------------------------------------------
[Download Table]
----------------------------------------------------------------------------------
Class B Dollar Amounts
------------------------------------------------------
Sales Reinvestments Redemptions Net
----------- ------------- ----------- ----------
Equity Fund 15,156,173 63,136 2,411,970 12,807,339
Small Cap Equity Fund 6,748,506 -- 955,320 5,793,186
International Equity Fund 1,622,671 23,225 271,603 1,374,293
S&P 500 Index Fund 39,944,153 -- 4,654,660 35,289,493
Small Cap Index Fund 12,412,132 -- 1,344,688 11,067,444
International Index Fund 3,310,298 49,937 477,349 2,882,886
Equity & Bond Fund 13,505,104 286,494 3,228,171 10,563,427
Bond Fund 24,425,363 961,103 6,639,364 18,747,102
Tax Advantaged Bond Fund 4,106,859 292,154 1,727,387 2,671,626
Money Market Fund 670,961 2,995 422,646 251,310
LifePath Income Fund 4,039,613 1,183 91,125 3,949,671
LifePath 2010 Fund 11,111,427 -- 231,831 10,879,596
LifePath 2020 Fund 14,697,199 -- 115,943 14,581,256
LifePath 2030 Fund 9,045,151 -- 183,262 8,861,889
LifePath 2040 Fund 4,871,301 -- 160,726 4,710,575
Class B Share Amounts
---------------------------------------------------
Sales Reinvestments Redemptions Net
--------- ------------- ----------- ---------
Equity Fund 2,192,508 7,962 347,452 1,853,018
Small Cap Equity Fund 862,543 -- 118,357 744,186
International Equity Fund 242,121 2,791 39,127 205,785
S&P 500 Index Fund 5,509,764 -- 636,373 4,873,391
Small Cap Index Fund 1,323,974 -- 139,892 1,184,082
International Index Fund 474,374 5,753 67,750 412,377
Equity & Bond Fund 1,601,268 31,812 381,321 1,251,759
Bond Fund 2,271,753 89,678 620,264 1,741,167
Tax Advantaged Bond Fund 371,185 26,567 157,007 240,745
Money Market Fund 670,961 2,995 422,646 251,310
LifePath Income Fund 388,787 113 8,726 380,174
LifePath 2010 Fund 1,046,130 -- 21,545 1,024,585
LifePath 2020 Fund 1,353,383 -- 10,506 1,342,877
LifePath 2030 Fund 824,743 -- 16,274 808,469
LifePath 2040 Fund 437,793 -- 14,221 423,572
----------------------------------------------------------------------------------
57
STATE FARM MUTUAL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
[Download Table]
----------------------------------------------------------------------------------
Institutional Class Dollar Amounts
------------------------------------------------------
Sales Reinvestments Redemptions Net
----------- ------------- ----------- ----------
Equity Fund $24,614,897 808,435 1,293,072 24,130,260
Small Cap Equity Fund 3,744,167 -- 507,291 3,236,876
International Equity Fund 1,101,588 23,166 241,604 883,150
S&P 500 Index Fund 14,134,446 -- 1,593,257 12,541,189
Small Cap Index Fund 7,064,292 -- 623,861 6,440,431
International Index Fund 1,987,790 44,972 117,832 1,914,930
Equity & Bond Fund 3,180,279 86,150 520,715 2,745,714
Bond Fund 26,009,772 2,061,488 1,976,155 26,095,105
Tax Advantaged Bond Fund 189,949 2,432 143,415 48,966
Money Market Fund 11,710,083 51,521 7,404,389 4,357,215
LifePath Income Fund 2,864,437 1,244 22,922 2,842,759
LifePath 2010 Fund 4,055,837 -- 48,509 4,007,328
LifePath 2020 Fund 5,859,246 -- 553,606 5,305,640
LifePath 2030 Fund 5,664,218 -- 179,633 5,484,585
LifePath 2040 Fund 2,598,554 -- 71,677 2,526,877
Institutional Class Share Amounts
----------------------------------------------------
Sales Reinvestments Redemptions Net
---------- ------------- ----------- ---------
Equity Fund 3,689,671 103,912 191,040 3,602,543
Small Cap Equity Fund 475,828 -- 60,227 415,601
International Equity Fund 165,064 2,850 35,347 132,567
S&P 500 Index Fund 1,933,483 -- 212,672 1,720,811
Small Cap Index Fund 734,319 -- 62,064 672,255
International Index Fund 279,885 5,169 16,445 268,609
Equity & Bond Fund 380,774 9,650 60,476 329,948
Bond Fund 2,431,624 192,696 184,825 2,439,495
Tax Advantaged Bond Fund 17,173 220 12,965 4,428
Money Market Fund 11,710,083 51,521 7,404,389 4,357,215
LifePath Income Fund 273,727 120 2,146 271,701
LifePath 2010 Fund 382,544 -- 4,516 378,028
LifePath 2020 Fund 543,900 -- 50,822 493,078
LifePath 2030 Fund 517,893 -- 16,091 501,802
LifePath 2040 Fund 234,587 -- 6,346 228,241
----------------------------------------------------------------------------------
58
STATE FARM MUTUAL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
Year ended December 31, 2002
[Download Table]
----------------------------------------------------------------------------------
Class A Dollar Amounts
------------------------------------------------------
Sales Reinvestments Redemptions Net
----------- ------------- ----------- ----------
Equity Fund $22,125,784 137,174 2,442,405 19,820,553
Small Cap Equity Fund 10,014,875 -- 3,469,149 6,545,726
International Equity Fund 4,986,919 271,053 3,986,816 1,271,156
S&P 500 Index Fund 46,191,848 396,605 5,324,118 41,264,335
Small Cap Index Fund 14,232,703 189,300 2,830,095 11,591,908
International Index Fund 6,362,488 224,100 4,344,034 2,242,554
Equity & Bond Fund 26,004,523 912,676 3,523,986 23,393,213
Bond Fund 35,582,441 1,659,526 3,858,682 33,383,285
Tax Advantaged Bond Fund 12,574,082 1,330,592 1,552,134 12,352,540
Money Market Fund 46,900,814 216,454 21,937,626 25,179,642
Class A Share Amounts
-----------------------------------------------------
Sales Reinvestments Redemptions Net
---------- ------------- ----------- ----------
Equity Fund 3,119,906 20,974 358,332 2,782,548
Small Cap Equity Fund 1,250,052 -- 377,784 872,268
International Equity Fund 725,508 43,093 549,013 219,588
S&P 500 Index Fund 6,301,246 59,641 655,545 5,705,342
Small Cap Index Fund 1,580,989 23,286 266,666 1,337,609
International Index Fund 915,687 35,015 593,148 357,554
Equity & Bond Fund 3,063,630 111,595 426,900 2,748,325
Bond Fund 3,383,267 157,775 366,902 3,174,140
Tax Advantaged Bond Fund 1,167,258 124,665 144,989 1,146,934
Money Market Fund 46,900,814 216,454 21,937,626 25,179,642
----------------------------------------------------------------------------------
[Download Table]
----------------------------------------------------------------------------------
Class B Dollar Amounts
------------------------------------------------------
Sales Reinvestments Redemptions Net
----------- ------------- ----------- ----------
Equity Fund $ 9,001,370 15,551 918,386 8,098,535
Small Cap Equity Fund 3,696,112 -- 340,771 3,355,341
International Equity Fund 1,259,682 185,705 68,266 1,377,121
S&P 500 Index Fund 20,168,072 105,068 109,717 20,163,423
Small Cap Index Fund 5,714,841 150,072 44,703 5,820,210
International Index Fund 2,352,357 137,205 139,002 2,350,560
Equity & Bond Fund 11,105,850 499,373 1,243,339 10,361,884
Bond Fund 12,252,107 1,054,207 897,967 12,408,347
Tax Advantaged Bond Fund 2,078,120 1,057,035 161,420 2,973,735
Money Market Fund 260,624 38,670 32,812 266,482
Class B Share Amounts
---------------------------------------------------
Sales Reinvestments Redemptions Net
--------- ------------- ----------- ---------
Equity Fund 1,267,930 2,393 132,332 1,137,991
Small Cap Equity Fund 463,752 -- 43,251 420,501
International Equity Fund 180,531 29,666 9,394 200,803
S&P 500 Index Fund 2,753,017 15,800 15,064 2,753,753
Small Cap Index Fund 641,472 18,572 5,233 654,811
International Index Fund 330,789 21,472 19,107 333,154
Equity & Bond Fund 1,312,712 60,995 150,807 1,222,900
Bond Fund 1,164,944 100,410 85,259 1,180,095
Tax Advantaged Bond Fund 193,142 99,153 14,971 277,324
Money Market Fund 260,624 38,670 32,812 266,482
----------------------------------------------------------------------------------
[Download Table]
----------------------------------------------------------------------------------
Institutional Class Dollar Amounts
-----------------------------------------------------
Sales Reinvestment Redemptions Net
----------- ------------ ----------- ----------
Equity Fund $26,513,502 423,744 119,021 26,818,225
Small Cap Equity Fund 4,345,655 -- 71,223 4,274,432
International Equity Fund 3,268,798 52,465 20,760 3,300,503
S&P 500 Index Fund 9,788,280 80,620 228,387 9,640,513
Small Cap Index Fund 4,848,997 21,605 94,906 4,775,696
International Index Fund 3,323,874 45,611 20,863 3,348,622
Equity & Bond Fund 1,559,607 33,446 39,386 1,553,667
Bond Fund 13,162,522 1,570,038 2,294,863 12,437,697
Tax Advantaged Bond Fund 159,822 4,020 58,669 105,173
Money Market Fund 3,355,099 14,414 792,625 2,576,888
Institutional Class Share Amounts
---------------------------------------------------
Sales Reinvestments Redemptions Net
--------- ------------- ----------- ---------
Equity Fund 3,828,497 66,522 18,971 3,876,048
Small Cap Equity Fund 480,007 -- 9,966 470,041
International Equity Fund 425,481 8,394 3,179 430,696
S&P 500 Index Fund 1,272,809 12,123 36,136 1,248,796
Small Cap Index Fund 489,218 2,643 10,797 481,064
International Index Fund 428,096 7,138 3,139 432,095
Equity & Bond Fund 186,821 4,132 4,883 186,070
Bond Fund 1,261,598 149,872 218,057 1,193,413
Tax Advantaged Bond Fund 15,021 375 5,336 10,060
Money Market Fund 3,355,099 14,414 792,625 2,576,888
----------------------------------------------------------------------------------
59
STATE FARM MUTUAL FUND TRUST EQUITY FUND
FINANCIAL HIGHLIGHTS
The financial highlights table is intended to help you understand the financial
performance of each Fund. Certain information reflects financial results for a
single Fund share. The total returns in the table represent the rate that an
investor would have earned (or lost) on an investment in the Fund (assuming
reinvestment of all dividends and distributions).
(For a share outstanding throughout each period)
[Enlarge/Download Table]
From commencement
Year ended December 31, of investment operations
------------------------- October 31, 2000 to
2003 2002 2001 December 31, 2000
------ ------ ------- ------------------------
Class A Shares
Net asset value, beginning of period $ 6.55 8.10 9.47 10.00
Income from Investment Operations
Net investment income (a) 0.05 0.04 0.02 0.01
Net gain (loss) on investments
(both realized and unrealized) 1.44 (1.56) (1.39) (0.53)
------ ------ ------ -----
Total from investment operations 1.49 (1.52) (1.37) (0.52)
------ ------ ------ -----
Less Distributions
Net investment income (0.04) (0.03) -- (0.01)
------ ------ ------ -----
Total distributions (0.04) (0.03) -- (0.01)
------ ------ ------ -----
Net asset value, end of period $ 8.00 6.55 8.10 9.47
====== ====== ====== =====
Total Return (b) 22.81% (18.75)% (14.47)% (5.17)%
Ratios/Supplemental Data
Net assets, end of period (millions) $ 74.4 29.2 13.6 24.2
Average net asset ratios assuming expense
limitations
Expenses 1.20% 1.20% 1.20% 0.81%(c)
Net investment income 0.72% 0.58% 0.22% 0.86%(c)
Average net asset ratios absent expense
limitations
Expenses 1.23% 1.24% 1.27% 0.81%(c)
Net investment income 0.69% 0.54% 0.15% 0.86%(c)
Portfolio turnover rate 1% 3% 1% 0%(c)
(a) Beginning in 2001, average shares outstanding for the period were used to
calculate net investment income per share.
(b) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charge.
(c) Determined on an annualized basis.
See accompanying notes to financial statements.
60
STATE FARM MUTUAL FUND TRUST EQUITY FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
[Enlarge/Download Table]
From commencement
Year ended December 31, of investment operations
------------------------- October 31, 2000 to
2003 2002 2001 December 31, 2000
------ ------ ------ ------------------------
Class B Shares
Net asset value, beginning of period $ 6.51 8.06 9.47 10.00
Income from Investment Operations
Net investment income (a) 0.02 0.01 (0.02) 0.01
Net gain (loss) on investments (both realized and unrealized) 1.45 (1.55) (1.39) (0.53)
------ ------ ------ -----
Total from investment operations 1.47 (1.54) (1.41) (0.52)
------ ------ ------ -----
Less Distributions
Net investment income (0.02) (0.01) -- (0.01)
------ ------ ------ -----
Total distributions (0.02) (0.01) -- (0.01)
------ ------ ------ -----
Net asset value, end of period $ 7.96 6.51 8.06 9.47
====== ====== ====== =====
Total Return (b) 22.57% (19.15)% (14.89)% (5.17)%
Ratios/Supplemental Data
Net assets, end of period (millions) $ 34.6 16.2 10.9 24.2
Average net asset ratios assuming expense limitations
Expenses 1.60% 1.60% 1.60% 0.81%(c)
Net investment income (loss) 0.32% 0.16% (0.18)% 0.86%(c)
Average net asset ratios absent expense limitations
Expenses 1.62% 1.64% 1.67% 0.81%(c)
Net investment income (loss) 0.30% 0.12% (0.25)% 0.86%(c)
Portfolio turnover rate 1% 3% 1% 0%(c)
(a) Beginning in 2001, average shares outstanding for the period were used to
calculate net investment income per share.
(b) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charge.
(c) Determined on an annualized basis.
See accompanying notes to financial statements.
61
STATE FARM MUTUAL FUND TRUST EQUITY FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
[Enlarge/Download Table]
From commencement
Year ended December 31, of investment operations
----------------------- November 1, 2001 to
Institutional Shares 2003 2002 December 31, 2001
------ ------ ------------------------
Net asset value, beginning of period $ 6.38 7.88 7.54
Income from Investment Operations
Net investment income (a) 0.09 0.07 0.02
Net gain (loss) on investments (both realized and unrealized) 1.41 (1.52) 0.34
------ ------ -----
Total from investment operations 1.50 (1.45) 0.36
------ ------ -----
Less Distributions
Net investment income (0.07) (0.05) (0.02)
------ ------ -----
Total distributions (0.07) (0.05) (0.02)
------ ------ -----
Net asset value, end of period $ 7.81 6.38 7.88
====== ====== =====
Total Return (b) 23.52% (18.35)% 4.82%
Ratios/Supplemental Data
Net assets, end of period (millions) $ 91.2 51.5 33.0
Average net asset ratios assuming expense limitations
Expenses 0.68% 0.70% 0.70%(c)
Net investment income 1.24% 1.07% 0.85%(c)
Average net asset ratios absent expense limitations
Expenses 0.68% 0.72% 0.70%(c)
Net investment income 1.24% 1.05% 0.85%(c)
Portfolio turnover rate 1% 3% 1%(c)
(a) Average shares outstanding for the period were used to calculate net
investment income.
(b) Total return is not annualized for periods that are less than a full year.
(c) Determined on an annualized basis.
See accompanying notes to financial statements.
62
STATE FARM MUTUAL FUND TRUST SMALL CAP EQUITY FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
[Enlarge/Download Table]
From commencement
Year ended December 31, of investment operations
------------------------- December 5, 2000 to
2003 2002 2001 December 31, 2000
------ ------ ----- ------------------------
Class A Shares
Net asset value, beginning of period $ 7.06 9.56 9.78 10.00
Income from Investment Operations
Net investment income (a) (0.03) (0.02) (0.04) 0.01
Net gain (loss) on investments (both realized and unrealized) 2.81 (2.48) (0.17) (0.22)
------ ------ ----- -----
Total from investment operations 2.78 (2.50) (0.21) (0.21)
------ ------ ----- -----
Less Distributions
Net investment income (b) -- -- -- (0.01)
Net realized gain -- -- (0.01) --
------ ------ ----- -----
Total distributions -- -- (0.01) (0.01)
------ ------ ----- -----
Net asset value, end of period $ 9.84 7.06 9.56 9.78
====== ====== ===== =====
Total Return (c) 39.38% (26.15)% (2.14)% (2.13)%
Ratios/Supplemental Data
Net assets, end of period (millions) $ 55.8 25.8 26.6 24.5
Average net asset ratios assuming expense limitations
Expenses 1.40% 1.40% 1.40% 1.40%(d)
Net investment income (loss) (0.31)% (0.29)% (0.42)% 1.02%(d)
Average net asset ratios absent expense limitations
Expenses 1.48% 1.48% 1.48% 1.55%(d)
Net investment income (loss) (0.39)% (0.37)% (0.50)% 0.87%(d)
Portfolio turnover rate 33% 29% 44% 15%(d)
(a) Beginning in 2001, average shares outstanding for the period were used to
calculate net investment income per share.
(b) Distributions representing less than $.01 per share were made in 2001.
(c) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charge.
(d) Determined on an annualized basis.
See accompanying notes to financial statements.
63
STATE FARM MUTUAL FUND TRUST SMALL CAP EQUITY FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
[Enlarge/Download Table]
From commencement
Year ended December 31, of investment operations
------------------------- December 5, 2000 to
2003 2002 2001 December 31, 2000
------ ------ ----- ------------------------
Class B Shares
Net asset value, beginning of period $ 7.00 9.53 9.78 10.00
Income from Investment Operations
Net investment income (a) (0.06) (0.06) (0.08) 0.01
Net gain (loss) on investments (both realized and unrealized) 2.79 (2.47) (0.16) (0.22)
------ ------ ----- -----
Total from investment operations 2.73 (2.53) (0.24) (0.21)
------ ------ ----- -----
Less Distributions
Net investment income (b) -- -- -- (0.01)
Net realized gain -- -- (0.01) --
------ ------ ----- -----
Total distributions -- -- (0.01) (0.01)
------ ------ ----- -----
Net asset value, end of period $ 9.73 7.00 9.53 9.78
====== ====== ===== =====
Total Return (c) 39.00% (26.55)% (2.45)% (2.14)%
Ratios/Supplemental Data
Net assets, end of period (millions) $ 36.7 21.2 24.8 24.5
Average net asset ratios assuming expense limitations
Expenses 1.80% 1.80% 1.80% 1.55%(d)
Net investment income (loss) (0.71)% (0.70)% (0.82)% 0.87%(d)
Average net asset ratios absent expense limitations
Expenses 1.87% 1.88% 1.88% 1.55%(d)
Net investment income (loss) (0.78)% (0.78)% (0.90)% 0.87%(d)
Portfolio turnover rate 33% 29% 44% 15%(d)
(a) Beginning in 2001, average shares outstanding for the period were used to
calculate net investment income per share.
(b) Distributions represent less than $0.01 per share in 2001.
(c) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charge.
(d) Determined on an annualized basis.
See accompanying notes to financial statements.
64
STATE FARM MUTUAL FUND TRUST SMALL CAP EQUITY FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
[Enlarge/Download Table]
From commencement
of Investment operations
Year ended February 28, 2002 to
December 31, 2003 December 31, 2002
----------------- ------------------------
Institutional Shares
Net asset value, beginning of period $ 7.06 9.00
Income from Investment Operations
Net investment income (a) 0.02 0.03
Net gain (loss) on investments (both realized
and unrealized) 2.82 (1.97)
------ ------
Total from investment operations 2.84 (1.94)
------ ------
Less Distributions
Net investment income -- --
------ ------
Total distributions -- --
------ ------
Net asset value, end of period $ 9.90 7.06
====== ======
Total Return (b) 40.23% (22.00)%
Ratios/Supplemental Data
Net assets, end of period (millions) $ 8.8 3.3
Average net asset ratios assuming expense limitations
Expenses 0.90% 0.90%(c)
Net investment income 0.19% 0.40%(c)
Average net asset ratios absent expense limitations
Expenses 0.98% 0.98%(c)
Net investment income 0.11% 0.32%(c)
Portfolio turnover rate 33% 29%(c)
(a) Average shares outstanding for the period were used to calculate net
investment income.
(b) Total return is not annualized for periods that are less than a full year.
(c) Determined on an annualized basis.
See accompanying notes to financial statements.
65
STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
[Enlarge/Download Table]
From commencement
Year ended December 31, of investment operations
-------------------------- December 5, 2000 to
2003 2002 2001 December 31, 2000
------ ------ ------ ------------------------
Class A Shares
Net asset value, beginning of period $ 6.34 7.77 9.64 10.00
Income from Investment Operations
Net investment income (a) 0.03 0.02 -- --
Net gain (loss) on investments (both realized
and unrealized) 2.10 (1.35) (1.87) (0.36)
------ ------ ------ -----
Total from investment operations 2.13 (1.33) (1.87) (0.36)
------ ------ ------ -----
Less Distributions
Net investment income (b) (0.08) (0.10) -- --
Net realized gain (c) -- -- -- --
------ ------ ------ -----
Total distributions (0.08) (0.10) -- --
------ ------ ------ -----
Net asset value, end of period $ 8.39 6.34 7.77 9.64
====== ====== ====== =====
Total Return (d) 33.61% (17.17)% (19.35)% (3.56)%
Ratios/Supplemental Data
Net assets, end of period (millions) $ 29.1 18.4 20.8 24.1
Average net asset ratios assuming expense limitations
Expenses 1.50% 1.50% 1.50% 1.50%(e)
Net investment income 0.45% 0.23% 0.05% 0.71%(e)
Average net asset ratios absent expense limitations
Expenses 1.91% 2.00% 1.75% 2.05%(e)
Net investment income (loss) 0.04% (0.27)% (0.20)% 0.16%(e)
Portfolio turnover rate 16% 24% 26% 6%(e)
(a) Beginning in 2001, average shares outstanding for the period were used to
calculate net investment income per share.
(b) Distributions represent less than $0.01 per share in 2001 and 2000.
(c) Distributions represent less than $0.01 per share in 2001.
(d) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charge.
(e) Determined on an annualized basis.
See accompanying notes to financial statements.
66
STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
[Enlarge/Download Table]
From commencement
Year ended December 31, of investment operations
-------------------------- December 5, 2000 to
2003 2002 2001 December 31, 2000
------ ------ ------ ------------------------
Class B Shares
Net asset value, beginning of period $ 6.31 7.74 9.64 10.00
Income from Investment Operations
Net investment income (a) (b) -- (0.01) (0.03) --
Net gain (loss) on investments (both realized
and unrealized) 2.09 (1.35) (1.87) (0.36)
------ ------ ------ -----
Total from investment operations 2.09 (1.36) (1.90) (0.36)
------ ------ ------ -----
Less Distributions
Net investment income (c) (0.05) (0.07) -- --
Net realized gain (d) -- -- -- --
------ ------ ------ -----
Total distributions (0.05) (0.07) -- --
------ ------ ------ -----
Net asset value, end of period $ 8.35 6.31 7.74 9.64
====== ====== ====== =====
Total Return (e) 33.18% (17.59)% (19.66)% (3.58)%
Ratios/Supplemental Data
Net assets, end of period (millions) $ 24.8 17.4 19.8 24.1
Average net asset ratios assuming expense limitations
Expenses 1.90% 1.90% 1.90% 1.90%(f)
Net investment income (loss) 0.07% (0.17)% (0.35)% 0.31%(f)
Average net asset ratios absent expense limitations
Expenses 2.32% 2.40% 2.15% 2.05%(f)
Net investment income (loss) (0.35)% (0.67)% (0.60)% 0.16%(f)
Portfolio turnover rate 16% 24% 26% 6%(f)
(a) Beginning in 2001, average shares outstanding for the period were used to
calculate net investment income per share.
(b) Distributions represent less than $0.01 per share in 2003.
(c) Distributions represent less than $0.01 per share in 2001 and 2000.
(d) Distributions represent less than $0.01 per share were in 2001.
(e) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charge.
(f) Determined on an annualized basis.
See accompanying notes to financial statements.
67
STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
[Enlarge/Download Table]
From commencement
of Investment operations
Year ended February 28, 2002 to
December 31, 2003 December 31, 2002
----------------- ------------------------
Institutional Shares
Net asset value, beginning of period $ 6.29 7.34
Income from Investment Operations
Net investment income (a) 0.07 0.03
Net gain (loss) on investments (both realized
and unrealized) 2.10 (0.95)
------ ------
Total from investment operations 2.17 (0.92)
------ ------
Less Distributions
Net investment income (0.11) (0.13)
------ ------
Total distributions (0.11) (0.13)
------ ------
Net asset value, end of period $ 8.35 6.29
====== ======
Total Return (b) 34.56% (12.55)%
Ratios/Supplemental Data
Net assets, end of period (millions) $ 4.7 2.7
Average net asset ratios assuming expense limitations
Expenses 1.00% 1.00%(c)
Net investment income 0.94% 0.56%(c)
Average net asset ratios absent expense limitations
Expenses 1.41% 1.51%(c)
Net investment income 0.53% 0.05%(c)
Portfolio turnover rate 16% 24%(c)
(a) Average shares outstanding for the period were used to calculate net
investment income.
(b) Total return is not annualized for periods that are less than a full year.
(c) Determined on an annualized basis.
See accompanying notes to financial statements.
68
STATE FARM MUTUAL FUND TRUST S&P 500 INDEX FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
[Enlarge/Download Table]
From commencement
Year ended December 31, of investment operations
-------------------------- December 18, 2000 to
2003 2002 2001 December 31, 2000
------ ------ ------ ------------------------
Class A Shares
Net asset value, beginning of period $ 6.66 8.66 9.98 10.00
Income from Investment Operations
Net investment income (a) (b) 0.07 0.06 0.05 --
Net gain (loss) on investments (both realized
and unrealized) (a) 1.75 (2.02) (1.33) (0.02)
------ ------ ------ -----
Total from investment operations 1.82 (1.96) (1.28) (0.02)
------ ------ ------ -----
Less Distributions
Net investment income (c) (0.05) (0.04) (0.04) --
Net realized gain (d) -- -- -- --
------ ------ ------ -----
Total distributions (0.05) (0.04) (0.04) --
------ ------ ------ -----
Net asset value, end of period $ 8.43 6.66 8.66 9.98
====== ====== ====== =====
Total Return (e) 27.39% (22.60)% (12.75)% (0.19)%
Ratios/Supplemental Data
Net assets, end of period (millions) $184.3 62.9 32.4 25.0
Average net asset ratios assuming expense limitations
Expenses (a) 0.80% 0.80% 0.80% 0.80%(f)
Net investment income (a) 0.99% 0.88% 0.57% 0.41%(f)
Average net asset ratios absent expense limitations
Expenses (a) 0.89% 0.86% 0.90% 2.96%(f)
Net investment income (a) 0.90% 0.82% 0.47% (1.75)%(f)
Portfolio turnover rate (g) 8% 12% 9% 10%
(a) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of income and expenses of the
Master Portfolio. The expense and net investment income ratios for the
Master Portfolio were 0.05% and 1.74%, respectively, for the year ended
December 31, 2003.
(b) Beginning in 2001, average shares outstanding for the period were used to
calculate net investment income per share.
(c) Distributions represent less than $0.01 per share in 2000.
(d) Distributions represent less than $0.01 per share in 2001.
(e) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charge.
(f) Determined on an annualized basis.
(g) Amount represents the portfolio turnover rate of the Master Portfolio. The
rate for 2000 represents the entire year.
See accompanying notes to financial statements.
69
STATE FARM MUTUAL FUND TRUST S&P 500 INDEX FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
[Enlarge/Download Table]
From commencement
Year ended December 31, of investment operations
-------------------------- December 18, 2000 to
2003 2002 2001 December 31, 2000
------ ------ ------ ------------------------
Class B Shares
Net asset value, beginning of period 6.65 8.66 9.98 10.00
Income from Investment Operations
Net investment income (a) (b) 0.04 0.03 0.01 --
Net gain (loss) on investments (both realized
and unrealized) (a) 1.77 (2.02) (1.31) (0.02)
------ ------ ------ -----
Total from investment operations 1.81 (1.99) (1.30) (0.02)
------ ------ ------ -----
Less Distributions
Net investment income (c) (0.03) (0.02) (0.02) --
Net realized gain (d) -- -- -- --
------ ------ ------ -----
Total distributions (0.03) (0.02) (0.02) --
------ ------ ------ -----
Net asset value, end of period $ 8.43 6.65 8.66 9.98
====== ====== ====== =====
Total Return (e) 27.19% (23.00)% (13.03)% (0.20)%
Ratios/Supplemental Data
Net assets, end of period (millions) $ 89.7 38.4 26.1 24.9
Average net asset ratios assuming expense limitations
Expenses (a) 1.20% 1.20% 1.20% 1.20%(f)
Net investment income (a) 0.59% 0.46% 0.17% 0.01%(f)
Average net asset ratios absent expense limitations
Expenses (a) 1.29% 1.27% 1.30% 2.95%(f)
Net investment income (loss) (a) 0.50% 0.39% 0.07% (1.75)%(f)
Portfolio turnover rate (g) 8% 12% 9% 10%
(a) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of income and expenses of the
Master Portfolio. The expense and net investment income ratios for the
Master Portfolio were 0.05% and 1.74%, respectively, for the year ended
December 31, 2003.
(b) Beginning in 2001, average shares outstanding for the period were used to
calculate net investment income per share.
(c) Distributions represent less than $0.01 per share in 2000.
(d) Distributions represent less than $0.01 per share in 2001.
(e) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charge.
(f) Determined on an annualized basis.
(g) Amount represents the portfolio turnover rate of the Master Portfolio. The
rate for 2000 represents the entire year.
See accompanying notes to financial statements.
70
STATE FARM MUTUAL FUND TRUST S&P 500 INDEX FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
[Enlarge/Download Table]
From commencement
of Investment operations
Year ended February 28, 2002 to
December 31, 2003 December 31, 2002
----------------- ------------------------
Institutional Shares
Net asset value, beginning of period $ 6.65 8.35
Income from Investment Operations
Net investment income (a) (b) 0.11 0.09
Net gain (loss) on investments (both realized
and unrealized) 1.77 (1.72)
------ ------
Total from investment operations 1.88 (1.63)
------ ------
Less Distributions
Net investment income (0.08) (0.07)
------ ------
Total distributions (0.08) (0.07)
------ ------
Net asset value, end of period $ 8.45 6.65
====== ======
Total Return (c) 28.27% (19.57)%
Ratios/Supplemental Data
Net assets, end of period (millions) $ 25.1 8.3
Average net asset ratios assuming expense limitations
Expenses (a) 0.30% 0.30%(d)
Net investment income (a) 1.49% 1.48%(d)
Average net asset ratios absent expense limitations
Expenses (a) 0.39% 0.35%(d)
Net investment income (a) 1.40% 1.43%(d)
Portfolio turnover rate (e) 8% 12%
(a) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of income and expenses of the
Master Portfolio. The expense and net investment income ratios for the
Master Portfolio were 0.05% and 1.74%, respectively, for the year ended
December 31, 2003.
(b) Average shares outstanding for the period were used to calculate net
investment income.
(c) Total return is not annualized for periods that are less than a full year.
(d) Determined on an annualized basis.
(e) Amount represents the portfolio turnover rate of the Master Portfolio. The
rate for 2000 represents the entire year.
See accompanying notes to financial statements.
71
STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
[Enlarge/Download Table]
From commencement
Year ended December 31, of investment operations
------------------------- December 18, 2000 to
2003 2002 2001 December 31, 2000
------ ------ ----- -------------------------
Class A Shares
Net asset value, beginning of period $ 8.14 10.37 10.43 10.00
Income from Investment Operations
Net investment income (a) (b) 0.04 0.05 0.06 0.01
Net gain (loss) on investments (both realized
and unrealized) (a) 3.60 (2.23) 0.10 0.43
------ ------ ----- -----
Total from investment operations 3.64 (2.18) 0.16 0.44
------ ------ ----- -----
Less Distributions
Net investment income (c) (0.04) -- (0.07) (0.01)
Net realized gain (0.05) (0.05) (0.15) --
------ ------ ----- -----
Total distributions (0.09) (0.05) (0.22) (0.01)
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Net asset value, end of period $11.69 8.14 10.37 10.43
====== ====== ===== =====
Total Return (d) 44.70% (21.06)% 1.42% 4.36%
Ratios/Supplemental Data
Net assets, end of period (millions) $ 87.6 34.0 29.4 26.1
Average net asset ratios assuming expense limitations
Expenses (a) 0.95% 0.95% 0.95% 0.95%(e)
Net investment income (a) 0.42% 0.53% 0.61% 2.75%(e)
Average net asset ratios absent expense limitations
Expenses (a) 1.11% 1.05% 1.08% 3.21%(e)
Net investment income (a) 0.26% 0.43% 0.48% 0.51%(e)
Portfolio turnover rate (f) 48% 28% 46% 0%
(a) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of income and expenses of the
Master Portfolio. The expense and net investment income ratios for the
Master Portfolio were 0.10% and 1.26%, respectively, for the year ended
December 31, 2003.
(b) Beginning in 2001, average shares outstanding for the period were used to
calculate net investment income per share.
(c) Distributions represent less than $0.01 per share in 2002.
(d) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charge.
(e) Determined on an annualized basis.
(f) Amount represents the portfolio turnover rate of the Master Portfolio. The
rate for 2000 rounds to less than 1% for the one year period.
See accompanying notes to financial statements.
72
STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
[Enlarge/Download Table]
From commencement
Year ended December 31, of investment operations
--------------------------- December 18, 2000 to
2003 2002 2001 December 31, 2000
------ ------ ----- ------------------------
Class B Shares
Net asset value, beginning of period $ 8.10 10.36 10.43 10.00
Income from Investment Operations
Net investment income (a) (b) (c) --