December 31, 2011 State Farm Mutual Fund Trust ANNUAL REPORT Class A Shares Class B Shares Legacy Class A Shares Legacy Class B Shares Institutional Shares Class R-1, R-2 and R-3 Shares State Farm Equity Fund State Farm Small/Mid Cap Equity Fund State Farm International Equity Fund State Farm S&P 500 Index Fund State Farm Small Cap Index Fund State Farm International Index Fund State Farm Equity and Bond Fund State Farm Bond Fund State Farm Tax Advantaged Bond Fund State Farm Money Market Fund State Farm LifePath ® Retirement Fund State Farm LifePath 2020 ® Fund State Farm LifePath 2030 ® Fund State Farm LifePath 2040 ® Fund State Farm LifePath 2050 ® Fund To enroll in electronic delivery of mutual funds documents, go to statefarm.com ® , log into your account, scroll down to State Farm Mutual Funds, and then click on Electronic Delivery. Page1of1  STATE FARM MUTUAL FUND TRUST State Farm Tax Advantaged Bond Fund June 1, 2012 Supplement to State Farm Mutual Fund Trust Annual Report dated December 31, 2011 The information in this supplement is an amendment to the State Farm Mutual Fund Trust Annual Report dated December 31, 2011. On page 48 of the State Farm Mutual Fund Trust Annual Report dated December 31, 2011, in the table providing the Fund’s Average Annual Total Return as of December 31, 2011 for Class B shares, the 5 YEAR return was originally reported as 3.44%. With this amendment, the State Farm Tax Advantaged Bond Fund’s Average Annual Total Return for Class B shares for the 5 YEAR period ended December 31, 2011 should read 4.81%. Message to Shareholders 1 Management’s Discussions (unaudited) State Farm Equity Fund 3 State Farm Small/MId Cap Equity Fund 9 State Farm International Equity Fund 15 State Farm S&P 500 Index Fund 20 State Farm Small Cap Index Fund 25 State Farm International Index Fund 30 State Farm Equity and Bond Fund 35 State Farm Bond Fund 42 State Farm Tax Advantaged Bond Fund 46 State Farm Money Market Fund 51 State Farm LifePath ® Funds 52 Report on Shareholder Meeting 75 Expense Example (unaudited) 76 Schedule of Investments State Farm Equity Fund 85 State Farm Small/Mid Cap Equity Fund 87 State Farm International Equity Fund 90 State Farm Small Cap Index Fund 93 State Farm International Index Fund 112 State Farm Equity and Bond Fund 123 State Farm Bond Fund 124 State Farm Tax Advantaged Bond Fund 132 State Farm Money Market Fund 142 Financial Statements Statements of Assets and Liabilities 144 Statements of Operations 148 Statements of Changes in Net Assets 150 Notes to Financial Statements 156 Financial Highlights 182 Report of Independent Registered Public Accounting Firm 212 Change In Independent Registered Public Accounting Firm (unaudited) 213 Management Information (unaudited) 214 Master Investment Portfolio S&P 500 Stock Master Portfolio Master Portfolio Information 217 Schedule of Investments 218 Statement of Assets and Liabilities 226 Statement of Operations 227 Statement of Changes in Net Assets 228 Financial Highlights 229 Notes to Financial Statements 230 Report of Independent Registered Public Accounting Firm 234 LifePath Retirement, LifePath 2020, LifePath 2030, LifePath 2040, LifePath 2050, Active Stock, and CoreAlpha Bond Master Portfolios Master Portfolio Information 235 Schedules of Investments 238 Statements of Assets and Liabilities 266 Statements of Operations 269 Statements of Changes in Net Assets 272 Financial Highlights 276 Notes to Financial Statements 281 Report of Independent Registered Public Accounting Firm 290 Officers and Trustees 291 Investment return and principal value will flucuate and Fund shares, when redeemed, may be worth more or less than their original cost. Recent performance may be less than the figures shown in this report. Obtain total returns for the Funds current to the most recent month-end at statefarm.com ® under the Mutual Funds tab or by calling our Securities Response Center at 1.800.447.4930. Before investing, consider the Funds’ investment objectives, risks, charges and expenses. Contact State Farm VP Management Corp. (1-800-447-4930) for a prospectus or summary prospectus containing this and other information. Read it carefully. Investing involves risk, including potential for loss. A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities, and information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12 month period ended June 30, are available without charge upon request at 1-800-447-4930 and at “http://www.sec.gov.” The Funds file complete schedules of portfolio holdings for each Fund with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the Commission’s website at “http://www.sec.gov.” The Funds’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling 1- 800-SEC-0330. The Funds make the information on Form N-Q a vailable to shareholders upon request without charge at 1-800-447- 4930. Any website referenced in this report is an inactive textual reference only, and information contained in or otherwise accessible through that website does not form a part of, and is not incorporated by reference into, this report. Table of Contents The Funds may send one copy of each annual report, semi-annual report, prospectus, and proxy statement to an address shared by more than one shareholder, a practice commonly referred to as householding delivery of these documents. If the Fund documents you receive are being householded but you would like to receive individual copies of these documents, contact us to request individual delivery by writing to State Farm Investment Management Corp., P.O. Box 219548, Kansas City, Missouri 64121-9548 or by calling us at 1-800-447-4930. We will begin sending individual copies within 30 days after we receive notice that you have revoked your consent. State Farm LifePath Funds are target-date portfolios that provide a diversified exposure to stocks, bonds, and/or cash for those investors who have a specific date in mind (in this case years 2020, 2030, 2040, or 2050) for retirement or another goal. The target date is the approximate date when investors plan to start withdrawing assets. The investment objectives of each LifePath Fund are adjusted over time to become more conservative as the target date approaches. The principal value of the LifePath Fund(s) is not guaranteed at any time, including at the target date. Service is only a phone call away Contact your local Registered State Farm Agent or call our Securities Products Department toll free,at1-800-447-4930. Fund prices are available to you 24 hours a day, 7 days a week. Securities Products Response Center Representatives are available 8 a.m.–6 p.m. Central Time Monday through Friday (except holidays) 1-800-447-4930 Visit our website www.statefarm.com ® Message to Shareholders of State Farm Mutual Fund Trust Dear Shareholders, Thank you for investing with State Farm Mutual Funds ® . Enclosed is the Annual Report for the 12-month period ended December 31, 2011 for the State Farm Mutual Fund Trust (“the Trust”). In this report you will find management’s discussion of investment philosophy and process for Funds offered by the Trust, factors that affected a Fund’s performance over the 12-month period, and benchmark index comparisons that are designed to help put a Fund’s performance into context. This Annual Report also includes the Trust’s 2011 fiscal year-end audited financial statements and a list of portfolio holdings for each Fund to help you further understand the Fund(s) you own. We encourage your review and consideration of this entire report. Market Review During 2011, the financial markets experienced significant challenges and price volatility. The major U.S. equity markets generated mixed results while U.S. fixed income markets posted positive total returns. The major international equity markets generated negative total returns. In the U.S., equity markets produced somewhat mixed results with large-cap stocks posting a small total return while mid-cap and small cap stocks posted single-digit negative total returns. During this time period, the market environment was influenced by many positive factors, including higher corporate earnings, rising dividends, and generally modest increases in Gross Domestic Product (GDP). Moreover, the Federal Reserve maintained an accommodative monetary policy by leaving the Fed Funds Rate unchanged in a target range of 0% to 0.25%, where it remained for the entire 12-month period ended December 31, 2011. However, the market environment was not without its challenges throughout the period. During the year, equity markets were especially volatile due in part to ongoing sovereign debt issues in several European countries, including Greece, Spain, and Italy. Additionally, the equity markets were negatively impacted by the political unrest in the Middle East, the disasters in Japan, and concerns about federal budget issues here in the United States. For the year ended December 31, 2011, large cap stocks (as represented by the S&P 500 ® Index 1 ) posted total returns of 2.11%, while mid-cap stocks (as represented by the Russell Midcap ® Index 2 ) and small cap stocks (as represented by the Russell 2000 ® Index 3 ) posted total returns of –1.55% and –4.18%, respectively. International equities markets, as represented by the MSCI EAFE Free ® Index and the MSCI All Country World Index (ACWI) ex-U.S. Index, posted negative total returns of –12.14% and –13.71%, respectively, for the year in U.S. dollar terms. Within the MSCI EAFE Free Index, developed European markets like Greece and Austria were among the weakest performing markets, declining –62.77% and –36.43%, respectively, in U.S. dollar terms. Meanwhile, the United Kingdom – the largest country weighting in the MSCI EAFE Free Index at 23.3% – was among the relatively better performing countries in the Index for the year, declining only –2.56% in U.S. dollar terms. Stock market 1 Source: Standard & Poor’s. The S&P 500 ® Index is a capitalization-weighted measure of common stocks of 500 large U.S. companies. It is not possible to invest directly in an index. Past performance does not guarantee future results. 2 Source: Bloomberg. The Russell Midcap ® Index measures the performance of the mid-cap segment of the U.S. equity universe. The Russell Midcap is a subset of the Russell 1000 ® Index. It includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap represents approximately 31% of the total market capitalization of the Russell 1000 companies. It is not possible to invest directly in an index. Past performance does not guarantee future results. 3 Source: Bloomberg. The Russell 2000 ® Index tracks the common stock performance of the 2,000 smallest companies in the Russell 3000 ® Index, which represents approximately 10% of the total capitalization of the Russell 3000 Index. The stocks of small companies are more volatile than the stocks of larger, more established companies. It is not possible to invest directly in an index. Past performance does not guarantee future results. 1 performance in emerging market countries was even weaker during the period with the MSCI Emerging Markets Index posting a total return of –18.42% in U.S. dollar terms 4 . Within the bond markets, U.S. Treasuries gained ground during the 12-month period ended December 31, 2011 with yields declining across all maturities. The yield on 10-year U.S. Treasuries declined from 3.30% on January 1, 2011, to 1.89% on December 31, 2011. Short-term yields remained low, with 3-month U.S. Treasury yields declining from 0.12% on January 1, 2011, to 0.02% on December 31, 2011 5 . Interest rates were affected by ongoing concerns over the European debt crisis, which helped lift the demand for U.S. Treasuries. Among major fixed income indices, the Barclays Capital U.S. Aggregate Bond Index provided a total return of 7.84% for the year ended December 31, 2011, while the Barclays Capital Municipal Bond Index posted a total return of 10.70% for the same time period 6 . While changes in the markets, either positive or negative, are part of investing, State Farm Investment Management Corp. has consistently maintained a long-term, disciplined approach to managing investment risk. We believe individuals increase their chance for investment success by remaining focused on their long-term goals and maintaining an appropriate asset allocation mix 7 . As always, your registered State Farm agent is available to discuss your financial needs and risk tolerance. On behalf of the entire State Farm Mutual Funds team, thank you for your continued business and allowing us to serve your investment needs. Sincerely, Joe R. Monk Jr. Senior Vice President State Farm Investment Management Corp. 4 Source: Bloomberg. The Morgan Stanley Capital International Europe, Australasia and Far East Free (EAFE ® Free) Index currently measures the performance of stock markets of Europe, Australia, New Zealand, and the Far East. The MSCI All Country World Index (ex-U.S.) (MSCI ACWI ex-U.S. Index) is a free float adjusted market capitalization index that is designed to measure equity market performance in global developed and emerging markets, excluding the United States. As of December 31, 2011, the MSCI ACWI ex-U.S. Index consisted of 44 developed and emerging market country indices. The Morgan Stanley Capital International Emerging Markets Index is a float-adjusted market capitalization index designed to measure equity market performance in global emerging markets. Foreign securities involve risks not normally associated with investing in the U.S., including higher trading and custody costs, less stringent accounting, legal and reporting practices, potential for political and economic instability, and the fluctuation and potential regulation of currency exchange and exchange rates, all of which are magnified in emerging markets. It is not possible to invest directly in an index. Past performance does not guarantee future results. 5 Source: The U.S. Department of Treasury. A 10-year U.S. Treasury Bond is a debt obligation issued by the U.S. Treasury that has a term of more than one year, but not more than 10 years. A 3-month U.S. Treasury Bill is a debt obligation issued by the U.S. Treasury that has a term of 92 days or less. U.S. Treasury securities are backed by the full faith and credit of the U.S. government and are guaranteed only as to the prompt payment of principal and interest, and are subject to market risks if sold prior to maturity. Bonds have historically been less volatile than stocks, but are sensitive to changes in interest rates. Past performance does not guarantee future results. 6 The Barclays Capital U.S. Aggregate Bond Index and Barclays Capital Municipal Bond Index returns provided by Barclays Capital Inc. The Barclays Capital U.S. Aggregate Bond Index represents debt securities in the U.S. investment grade fixed rate taxable bond market, including government and corporate debt securities, mortgage pass-through debt securities and asset-backed debt securities with maturities greater than one year. The Barclays Capital Municipal Bond Index is representative of the tax-exempt bond market and is made up of investment grade municipal bonds issued after 12/31/90 having a remaining maturity of at least one year. Bonds have historically been less volatile than stocks, but are sensitive to changes in interest rates. It is not possible to invest directly in an index. Past performance does not guarantee future results. 7 Asset allocation cannot guarantee a profit or protect against a loss in a declining market. Message to Shareholders of State Farm Mutual Fund Trust (continued) 2 State Farm Equity Fund Management’s Discussion of Fund Performance (unaudited) Over view Describe the Fund’s investment objective and philosophy. The State Farm Equity Fund (the “Fund”) is sub-advised by Bridgeway Capital Management, Inc. (“Bridgeway”) and Westwood Management Corp. (“Westwood”). Bridgeway and Westwood each mana ge approximately one-half of the Fund’s assets. State Farm Investment Management Corp. monitors the performance of the sub-advisers and the split of the Fund’s portfolio between the sub-advisers. The benchmark for the Fund is the S&P 500 Index (the “Index”). The Fund seeks long-term growth of capital. In doing so, the Fund invests primarily in large capitalization stock issued by U.S. companies. Bridgeway defines “large stocks” as the largest 1,000 U.S. companies as measured by market capitalization (stock market worth). Westwood defines large capitalization companies as those companies with market capitalizations greater than $5 billion at the time of purchase. Bridgeway selects stocks using its proprietary, quantitative investment models to identify stocks within the large-cap growth category for the Fund. Growth stocks are those that Bridgeway believes have above a verage prospects for economic growth. Westwood invests in a portfolio of seasoned companies utilizing a value style of investing in which it chooses those stocks that Westwood believes have earnings prospects that are currently undervalued by the market rela tive to some financial measure of worth such as the ratio of price to earnings, price to sales or price to cash flow. Westwood defines seasoned companies as those that generally have been operating for at least three years. Describe the relevant market environment as it related to the Fund for the reporting period. The market environment was influenced by many positive factors including: higher corporate earnings, rising dividends, and generally modest increases in Gross Domestic Product (GDP). Moreover, the Federal Reserve maintained an accommodative monetary policy by leaving the Fed Funds Rate unchanged in a target range of 0% to 0.25%, where it remained for the entire 12- month period ended December 31, 2011. However, the market environment was not without its challenges throughout the period. During the fiscal year, equity markets were especially volatile due in part to ongoing sovereign debt issues in several European countries, including Greece, Spain, and Italy. Additionally, the equity markets were negatively impacted by the political unrest in the Middle East, the disasters in Japan, and concerns about federal budget issues here in the United States. Throughout the year, oil and gold prices were volatile. Oil prices began the period at around $91/barrel and rose to around $99/ barrel by the end of December 2011, an increase of 8% for the 12-month period. Gold prices began the period at around $1,421 per troy ounce and increased to around $1,566/oz. by the end of December 2011, an increase of 10% for the 12-month period. Due in part to concerns of the sovereign debt crisis in Europe, the U.S. dollar gained against the euro and British pound during the period. For the period January 2011 through December 2011, the U.S. dollar increased by approximately 3% to $1.30/euro. Versus the British pound, the U.S. dollar increased by less than 1% during the period to $1.55/£. The 12-month total return for the S&P 500 Index was 2.11% for the period ended December 31, 2011. The total return for the period reflected an increase in corporate earnings per share for the S&P 500 Index companies of approximately 16%, a contraction of the price/earnings valuation of the S&P 500 Index of approximately –14%, and a dividend return of approximately 2.1%. Growth stocks, as represented by the Russell 1000® Growth Index, produced a total return of 2.64%, which outperformed value stocks, as represented by the Russell 1000® Value Index, which experienced a total return of 0.39% 1 . 1 The Russell 1000 ® Growth Index is an unmanaged market capitalization-weighted index of growth-oriented stocks of the largest U.S. domiciled companies. It includes those Russell 1000 companies with higher price-to-book ratios and higher expected growth values. The Russell 1000 ® Value Index is an unmanaged market capitalization-weighted index of value-oriented stocks of the largest U.S. domiciled companies. It includes those Russell 1000 companies with lower price-to- book ratios and lower expected growth values. 3 Provide an illustration of the Fund’s investments. Fund Composition* Consumer Discretionary, 15.04% Telecommunication Services, 1.87% Information Technology, 18.36% Health Care, 13.58% Energy, 11.79% Financials, 11.50% Industrials, 10.73% Consumer Staples, 9.27% Materials, 3.80% Utilities, 2.00% Short-term Investments and Other Assets, Net of Liabilities, 2.06% * Illustrated by Sector and based on total net assets as of December 31, 2011. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings. 4 How did the Fund perform during the reporting period? For the 1-year period ended December 31, 2011, Legacy Class A shares of the State Farm Equity Fund had a total return of –0.82% (without sales charges) which underperformed the 2.11% total return of the S&P 500 Index over the same time period. The line graphs and tables below provide additional perspective on the Fund’s long term results. Comparison of change in value of $10,000 investment for the periods ended December 31, including applicable sales charges T H O U S A N D S $0 $5 $10 $15 Legend and Value as of December 31, 2011 Equity Fund – Class A $7,687 Equity Fund – Class B $7,689 S&P 500 Index 1 $10,873 05/01/2006 12/31/2011 12/31/2008 12/31/2007 12/31/2006 12/31/2009 12/31/2010 Fund’s Average Annual Total Return as of December 31, 2011 1 YEAR 5 YEAR Life of Class* Class A -5.69% -6.78% -4.54% Class B -6.45% -6.89% -4.53% * From 05/01/2006. The performance data quoted represents past performance and does not guarantee future results. Returns on the line graph reflect maximum sales charges of: 5% for Class A shares at initial investment; and 1% for Class B shares at the end of the most recent fiscal year. See the next page for the performance of the Fund’s other classes, which may be greater than or less than the lines shown above for Class A and Class B shares because of differing loads and expenses between share classes. Returns in the table above reflect maximum sales charges of: 5% for all Class A shares and for Class B shares at one year; 2% for Class B shares at five years; and 1% for Class B shares Life of Class performance. These figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. 1 The S&P 500 ® Index tracks the common stock performance of large U.S. companies in the manufacturing, utilities, transportation, and financial industries. In total, the S&P 500 is comprised of 500 common stocks. Unlike an investment in the Equity Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index. 5 [...]... shares outstanding) The State Farm Small Cap Index Fund is sub-advised by Northern Trust Investments, N.A (“Northern Trust ) State Farm Investment Management Corp monitors the investment performance of Northern Trust in sub-advising the Fund Describe the relevant market environment as it related to the Fund for the reporting period Major U.S equity market indexes were mixed during 2011 as small capitalization... before being completely sold from Westwood’s portion of the Fund s portfolio Financial highlights for this Fund can be found on pages 182-183 8 State Farm Small/Mid Cap Equity Fund Management’s Discussion of Fund Performance (unaudited) Overview Describe the Fund s investment objective and philosophy The State Farm Small/Mid Cap Equity Fund (the Fund ) is sub-advised by Bridgeway Capital Management, Inc... and has been licensed for use by the State Farm Mutual Fund Trust (the Trust ) The State Farm International Index Fund (the Fund ), based on the EAFE Free Index, has not been passed on by MSCI as to its legality or suitability, and is not issued, sponsored, endorsed, sold or promoted by MSCI MSCI makes no warranties and bears no liability with respect to the Fund MSCI has no responsibility for and... investments), which all posted double-digit declines during the year Financial highlights for this Fund can be found on pages 186-187 19 State Farm S&P 500 Index Fund Management’s Discussion of Fund Performance (unaudited) Overview Describe the Fund s investment objective and philosophy The State Farm S&P 500 Index Fund (the Fund ) seeks to approximate as closely as possible, before fees and expenses, the capitalization-weighted... on total net assets as of December 31, 2011 Please refer to the Schedule of Investments later in this report for details concerning Fund holdings 10 How did the Fund perform during the reporting period? Legacy Class A shares of the State Farm Small/Mid Cap Equity Fund finished 2011 with a total return of –2.65% (without sales charges) for the 12 month period The Fund underperformed the –2.51% total return... were removed from the Index, a turnover of 14.95% Financial highlights for this Fund can be found on pages 190-191 29 State Farm International Index Fund Management’s Discussion of Fund Performance (unaudited) Overview Describe the Fund s investment objective and philosophy The State Farm International Index Fund (the Fund ) seeks investment results that approximate as closely as possible the price... Singapore The Fund is sub-advised by Northern Trust Investments, N.A (“Northern Trust ) State Farm Investment Management Corp monitors the investment performance of Northern Trust in sub-advising the Fund Describe the relevant market environment as it related to the Fund for the reporting period International equity markets, as represented by the Index, had a total return of –12.14% for the reporting period,... performance before both were completely sold from the Fund Financial highlights for this Fund can be found on pages 184-185 14 State Farm International Equity Fund Management’s Discussion of Fund Performance (unaudited) Overview Describe the Fund s investment objective and philosophy The State Farm International Equity Fund (the Fund ) is sub-advised by Marsico Capital Management, Inc (“Marsico”) and Northern... all with gains in the single-digits Financial highlights for this Fund can be found on pages 188-189 24 State Farm Small Cap Index Fund Management’s Discussion of Fund Performance (unaudited) Overview Describe the Fund s investment objective and philosophy The State Farm Small Cap Index Fund (the Fund ) seeks to approximate as closely as possible, before fees and expenses, the capitalization-weighted... assets as of December 31, 2011 Please refer to the Schedule of Investments later in this report for details concerning Fund holdings ** Represents 13 other countries, each of which represents less than 2% of net assets 16 How did the Fund perform during the reporting period? For the 1-year ended December 31, 2011, Legacy Class A shares of the State Farm International Equity Fund had a total return of . Cap Index Fund State Farm International Index Fund State Farm Equity and Bond Fund State Farm Bond Fund State Farm Tax Advantaged Bond Fund State Farm Money. Market Fund State Farm LifePath ® Retirement Fund State Farm LifePath 2020 ® Fund State Farm LifePath 2030 ® Fund State Farm LifePath 2040 ® Fund State Farm