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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-02224 |
MML Series Investment Fund |
(Exact name of registrant as specified in charter) |
100 Bright Meadow Blvd., Enfield, CT 06082 | ||
(Address of principal executive offices) | (Zip code) | |
Tina Wilson | ||
100 Bright Meadow Blvd., Enfield, CT 06082 | ||
(Name and address of agent for service) |
Registrant’s telephone number, including area code: (860) 562-1000 |
Date of fiscal year end: 12/31/2018 | ||
Date of reporting period: 12/31/2018 |
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Item 1. Reports to Stockholders.
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This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MML Series Investment Fund. Investors should consider a Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.
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To Our Shareholders
Tina Wilson
“MassMutual believes that those who invest with an eye toward helping their retirement savings withstand all market conditions have the potential for more favorable long-term financial outcomes.”
December 31, 2018
Despite the intense volatility, markets remained strong overall
I am pleased to present you with the MML Series Investment Fund Annual Report, covering the year ended December 31, 2018.
During the year, U.S. stocks encountered more volatility than investors experienced in 2017, varying widely throughout most of the year before dropping into negative return territory to end the year. Global economic optimism faded during the year under the weight of geopolitical tensions, indications of slowing global growth, trade war rhetoric, and a more hawkish Federal Reserve Board. Foreign stocks in developed markets trailed their U.S. counterparts for the year, but generally fared better than emerging-market stocks. U.S. bond investors struggled to find positive returns in a rising yield environment fueled by rate hikes, a strong U.S. dollar, falling oil prices, and central bank policy.
In MassMutual’s view, the dynamics of the investment markets during the year validate the importance of retirement investors maintaining a long-term perspective rather than reacting to current headlines. We also believe that individuals who follow certain investment guidelines, such as the ones below, may enhance their retirement income.
Suggestions for retirement investors underany market conditions
Save as much as possible
While you can’t control – or predict the direction of – the investment markets at any given time, youcan control how often and how much you contribute to your retirement savings account. Contributing as much as possible and increasing contribution levels regularly is one way retirement investors can help themselves reach their retirement income goals,regardless of how the markets perform.*
Invest continually
Financial professionals often advise their clients to stay in the market, regardless of short-term results.Here’s why:Individuals who can invest in all market conditions have the potential to be rewarded even during market downturns, when more favorable prices may enable them to accumulate larger positions. This has the potential to put them at an advantage when the markets turn around.
Invest for thelong run
Investing for retirement doesn’t happen overnight. Many people save and invest for retirement throughout their working years. It may help you to keep in mind that, although the financial markets will go up and down over time, taking a long-term approach to investing gives you more time to ride out the downturns as you work toward achieving your long-term investment goals. Even if you are approaching or in retirement, your retirement savings will likely remain invested for a number of years before being withdrawn.
* | Systematic investing and asset allocation do not ensure a profit or protect against loss in a declining market. Systematic investing involves continuous investment in securities regardless of fluctuating price levels. Investors should consider their ability to continue investing through periods of low price levels. |
(Continued)
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MML Series Investment Fund – President’s Letter to Shareholders (Unaudited)(Continued)
Monitor your asset allocation regularly – and diversify
The most common retirement plan investments – stocks, bonds, and short-term/money market investments – typically (although not always) behave differently at any given time. Each of these asset classes contains an array ofsub-categories, such assmall-cap stocks, international stocks, and high-yield bonds. Many financial professionals believe that investors can reduce the risk of over-exposure to one or two poorly performing investment types by investing in a diverse mix of investment types andsub-categories.**
Choose the investments you feel are right for you – and seek professional guidance
Many financial advisors believe that retirement savers who select an appropriate combination of investments that aligns with both their retirement income goals and how they feel about investing can help them withstand the inevitable ups and downs of the markets.
If you work with a financial professional, you may wish to consider reaching out to him or her for assistance in helping you ensure:
• | you are saving enough for retirement based on your long-term financial needs; |
• | your retirement account is invested properly for all market conditions, based on your goals and objectives, as well as your investment time horizon; and |
• | you are taking the right steps to help reduce your longevity risk, which is the risk that you could “run out” of retirement savings during your lifetime. |
Why we do what we do
Acts of mutuality are happening all around us. Every day, people go out of their way to look out for each other, from lending a hand to making sure their loved ones are financially taken care of. MassMutual believes that your long-term financial security is crucial – and we recognize that you want to make sure your loved ones are financially taken care of. That’s why we’re committed to helping people financially protect their families and put themselves on the path to a more secure retirement. And that’s why we continually stress the importance of maintaining a long-term perspective on retirement planning. We believe that those who invest with an eye toward helping their retirement savings withstand all market conditions have the potential for more favorable long-term financial outcomes. Thank you for your continued confidence and trust in MassMutual.
Sincerely,
Tina Wilson
President
The information provided is the opinion of MML Investment Advisers, LLC as of 1/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.
** | Diversification and asset allocation do not ensure a profit or protect against loss in a declining market, but can be sound investment strategies. |
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December 31, 2018
Market Highlights
• | During 2018, U.S. stocks encountered more volatility than investors experienced in 2017, varying widely throughout most of the year before dropping into negative return territory to end the period. |
• | Global economic optimism faded during the year under the weight of geopolitical tensions, indications of slowing global growth, trade war rhetoric, and a more hawkish Federal Reserve Board (the “Fed”) tone. |
• | Foreign stocks in developed markets trailed their U.S. counterparts for the period, but generally fared better than emerging-market stocks. |
• | U.S. bond investors struggled to find positive returns in a rising yield environment fueled by rate hikes, a strong U.S. dollar, falling oil prices, and central bank policy. |
Market Environment
U.S. equity investors encountered increased volatility in 2018. Through the first month of 2018, stocks hit record levels following a year of steady gains in 2017. However, after atwo-and-a-half-year streak of positive quarterly results, both the S&P 500® Index* (the “S&P 500”) and the Dow Jones Industrial AverageSM (the “Dow”) posted modest negative results for the first quarter of 2018.
During the first and second quarters of the year, markets fought to find their footing. Wage growth in the U.S. triggered a majorsell-off in early February 2018, as investors sought to balance the likelihood of continued growth against Federal Open Market Committee (FOMC) intentions to raise the short-term federal funds rate several times in the year ahead. (The federal funds rate is the interest rate that banks and financial institutions charge each other for borrowing funds overnight.) Scrutiny concerning revelations about how social media companies use data, and in particular, how social media giant Facebook had allowed customer data to be mined without users’ knowledge, undercut investor confidence in the information technology sector, triggering several rounds of sell-offs. Political turbulence, which characterized the entire reporting period, unsettled markets as investors tried to assess the potential impacts of reduced taxes, increasing federal debt limits, and ongoing rhetoric over global trade wars.
Markets gained some traction through the third quarter of the year. The S&P 500 rebounded, ending the quarter in positive territory. Corporate earnings reports continued to show strong performance, markets seemingly shrugged off three Fed rate hikes, and progress seemed evident on the trade war front. By the end of September, both the Dow and the S&P 500 reached record territory again, but investors were unsettled.
In early October, Fed Chairman Jerome Powell’s statements that the central bank was “a long way” from neutral interest rates stoked fears of more frequent and higher rate hikes. Along with trade war concerns, international political jitters, a strengthening U.S. dollar, and declining oil prices, this seemed enough to trigger a broad marketsell-off. October was the worst month for the S&P 500 since September 2011. Volatility continued through November, as investors looked for a lift following the U.S. midterm elections. Then, December brought another round of sell-offs, resulting in the worst performance for the month since 1931 for the Dow and S&P 500. Byyear-end, major equity markets dropped into negative return territory for the year for the first time since 2008.
Atyear-end, the broad market S&P 500 ended down 4.38% and the Dow followed a similar pattern, down 3.48%. The technology-heavy NASDAQ Composite Index ended down 2.84% for the year, as prominent technology companies like Facebook, Apple, Amazon, Netflix, and Google faced heavy sell-offs in the last quarter. Small- andmid-cap stocks underperformed their larger peers and growth stocks continued to outperform their value counterparts during the period.
The health care, information technology, and consumer discretionary sectors managed to end the year in positive territory and beat the S&P 500. The remaining sectors delivered negative returns, most lagging the S&P 500 and most falling below in the month of December. The reconfigured communication services and financials sectors delivered the worst performances for the
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* | Indexes referenced, other than the MSCI Indexes, are unmanaged, do not incur fees, expenses, or taxes, and cannot be purchased directly for investment. The MSCI Indexes are unmanaged, do not incur fees or expenses, and cannot be purchased directly for investment. |
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MML Series Investment Fund – Economic and Market Overview (Unaudited)(Continued)
year. (In September, the Global Industry Classification Standard (GICS) renamed the telecommunications sector and added media companies and internet services companies to the reconfigured communication services sector.)
Developed international markets, as measured by the MSCI EAFE® Index, trailed their domestic peers and ended the year down 13.79%. Developed international markets struggled to gain traction under the weight of a strong U.S. dollar, widespread local political issues, including floundering Brexit negotiations, and tariff speculations. (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the European Union.) Emerging-market stocks, as measured by the MSCI Emerging Markets Index, ended the year with a return of-14.58%.
The Fed reasserted its influence on markets through actual and forecasted rate hikes and a change in leadership during the year. Under new Fed Chairman Jerome Powell, the FOMC raised the target range for the federal funds rate four times. While investors had anticipated the rate hikes, the 1.00% total increase over the year – in tandem with prospects for additional hikes in 2019 – proved to be a headwind to overall market performance.
Bond yields rose during the fiscal year, with the10-year U.S. Treasury bond crossing the 3.00% threshold multiple times. After starting the year at 2.46%, yields rose 0.22% to end at 2.68%. Since rising yields drive bond prices down, returns on the Bloomberg Barclays U.S. Aggregate Bond Index failed to move significantly through the year, ending at 0.01%. Investment-grade corporate bonds also fared poorly in the rising yield environment. The Bloomberg Barclays U.S. Corporate 10+ Year Bond Index, which tracks investment-grade corporate bonds, ended the year down 2.51%. The Bloomberg Barclays U.S. Corporate High Yield Index also ended in negative territory, down 2.08% for the year. In December, yield curve inversion added additional pessimism to investor sentiment. (Yield curve inversion occurs when yields on longer-term bonds drop below yields of shorter-term bonds.)
At the end of a volatile year in which returns fell well short of those enjoyed in 2017, investors generally feel compelled to evaluate their investment strategy. At MassMutual, we remain convinced that a broadly diversified portfolio aligned with a long-term strategy is the wisest course for those investors seeking retirement income. We remind you that it is important to maintain perspective and have realistic expectations about the future performance of your investment portfolio. As described in this report, financial markets can reverse suddenly, stumble along sideways, and reverse again. As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level with respect to markets like these, with how long you have to save and invest, and with your specific financial goals and risk tolerance. Thank you for your confidence in MassMutual.
The information provided is the opinion of MML Investment Advisers, LLC as of 1/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.
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What are the investment approaches of the Funds that constitute the MML Allocation Series (the “Series”), and who is the Series’ investment adviser?
The MML Allocation Series comprises five Funds – each of which has a “fund of funds” structure. The five Funds in the Series are MML Conservative Allocation Fund, MML Balanced Allocation Fund, MML Moderate Allocation Fund, MML Growth Allocation Fund, and MML Aggressive Allocation Fund.
Each Fund seeks to achieve as high a total return over time as is considered consistent with prudent investment risk, preservation of capital, and recognition of the Fund’s stated asset allocation. Each Fund invests in a combination of domestic and international mutual funds (“MML Underlying Funds”) using an asset allocation strategy. MML Underlying Funds can include series of the MML Series Investment Fund and MML Series Investment Fund II (which are advised by MML Investment Advisers, LLC (MML Advisers)), Oppenheimer Funds (which are advised by OFI Global Asset Management, Inc. (OFI Global Asset Management), a majority owned, indirect subsidiary of MassMutual), andnon-affiliated funds. The Series’ investment adviser is MML Advisers.
Through their investment in MML Underlying Funds, the Funds may be exposed to a wide range of securities and other instruments with differing characteristics (such as credit quality, duration, geography, industry, and market capitalization), including, but not limited to, equity securities of small-,mid-, or large-capitalization U.S. ornon-U.S. issuers, fixed income securities of U.S. ornon-U.S. private or governmental issuers (including “junk” or “high-yield” bonds, including securities in default), inflation-protected securities, bank loans, commodities, real estate, and short-term investments of any kind.
Each Fund’s assets are allocated to its MML Underlying Funds according to an asset allocation strategy stated below. However, a portion of each Fund’s allocation to equity and/or fixed income funds may be allocated to funds that invest in “alternative” investments, such as commodities, precious metals, real estate, and foreign currencies; such “alternative” investments are limited to 15% of the Fund’s total assets.
• | MML Conservative Allocation Fund:Approximately 35% to 45% in equity funds and 55% to 65% in fixed income funds, including money market funds. |
• | MML Balanced Allocation Fund:Approximately 45% to 55% in equity funds and 45% to 55% in fixed income funds, including money market funds. |
• | MML Moderate Allocation Fund:Approximately 55% to 65% in equity funds and 35% to 45% in fixed income funds, including money market funds. |
• | MML Growth Allocation Fund:Approximately 70% to 80% in equity funds and 20% to 30% in fixed income funds, including money market funds. |
• | MML Aggressive Allocation Fund:Approximately 85% to 95% in equity funds and 5% to 15% in fixed income funds, including money market funds. |
How did each Fund perform during the 12 months ended December 31, 2018?
The return of each Fund’s Initial Class shares is shown below. Also shown are the returns of each Fund’s Custom Index (defined below); the Russell 3000® Index, which measures the performance of the 3,000 largest U.S. companies representing approximately 98% of the investable U.S. equity market; the MSCI All Country World Index (ACWI) ex USA, which measures the performance of the large- andmid-cap segments of the particular regions, excluding U.S. equity securities, including developed and emerging markets; and the Bloomberg Barclays U.S. Aggregate Bond Index, which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS).
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MML Allocation Series – Portfolio Manager Report (Unaudited)(Continued)
Fund’s Initial | Custom | Russell 3000 | MSCI ACWI ex | Bloomberg | ||||||
MML Conservative Allocation Fund | -3.50% | -2.71% | -5.24% | -14.20% | 0.01%* | |||||
MML Balanced Allocation Fund | -4.47% | -3.45% | -5.24%* | -14.20% | 0.01% | |||||
MML Moderate Allocation Fund | -5.48% | -4.21% | -5.24%* | -14.20% | 0.01% | |||||
MML Growth Allocation Fund | -6.90% | -5.40% | -5.24%* | -14.20% | 0.01% | |||||
MML Aggressive Allocation Fund | -8.12% | -6.63% | -5.24%* | -14.20% | 0.01% |
* Benchmark return
Each of the MML Allocation Series Funds underperformed its respective Custom Index and the Bloomberg Barclays U.S. Aggregate Bond Index, and outperformed the MSCI ACWI ex USA Index for the full year. The MML Conservative Allocation Fund and the MML Balanced Allocation Fund both outperformed the Russell 3000 Index, whereas the MML Moderate Allocation Fund, the MML Growth Allocation Fund, and the MML Aggressive Allocation Fund all underperformed the Russell 3000 Index.
MML Allocation Fund Series Custom Indexes
• | The Custom MML Conservative Allocation Indexcomprises the Bloomberg Barclays U.S. Aggregate Bond, Russell 3000, and MSCI ACWI ex USA Indexes. The weightings of each index are 60%, 30%, and 10%, respectively. |
• | The Custom MML Balanced Allocation Indexcomprises the Bloomberg Barclays U.S. Aggregate Bond, Russell 3000, and MSCI ACWI ex USA Indexes. The weightings of each index are 50%, 37.5%, and 12.5%, respectively. |
• | The Custom MML Moderate Allocation Indexcomprises the Bloomberg Barclays U.S. Aggregate Bond, Russell 3000, and MSCI ACWI ex USA Indexes. The weightings of each index are 40%, 45%, and 15%, respectively. |
• | The Custom MML Growth Allocation Index comprises the Bloomberg Barclays U.S. Aggregate Bond, Russell 3000, and MSCI ACWI ex USA Indexes. The weightings of each index are 25%, 56.25%, and 18.75%, respectively. |
• | The Custom MML Aggressive Allocation Index comprises the Bloomberg Barclays U.S. Aggregate Bond, Russell 3000, and MSCI ACWI ex USA Indexes. The weightings of each index are 10%, 67.5%, and 22.5%, respectively. |
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Review, beginning on page 3.
Investment adviser discussion of factors that contributed to the Funds’ performance
For the year ended December 31, 2018, the Series Funds delivered negative returns, as stocks underperformed fixed-income investments in 2018. Consequently, those Series Funds with higher fixed-income allocations outperformed their Series counterparts with higher equity allocations.
Stock markets across the globe were down significantly for the year as were the more credit- and interest rate-sensitive fixed-income markets. Allocations across various asset classes intended to diversify risks in the Funds delivered mixed results. The allocation to alternative asset classes in favor of stocks benefited performance, as these investments outperformed the global stock market. The allocation to international and emerging-market stocks hurt performance asnon-U.S. stocks underperformed U.S. stocks in the face of a weakening global economy and a strengthening U.S. dollar.
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MML Allocation Series – Portfolio Manager Report (Unaudited)(Continued)
Underlying Fund selection detracted from overall performance in 2018. The results of MML International Equity Fund and Oppenheimer Global Multi-Alternatives Fund were significant drivers of underperformance. Strong performance by MML Blue Chip Growth Fund, MML Focused Equity Fund, and MML Mid Cap Growth Fund helped overall performance.
Investment adviser outlook
As 2019 begins, MML Advisers regards stock market valuations to be high relative to market history, despite the recent stock market correction. Although the economy continues to grow modestly, Fund management expects that growth will settle back down again in 2019 and beyond. In our opinion, several factors support these views, including that we are late in a typical economic growth cycle, the U.S. Federal Reserve has been reducing stimulus through higher interest rates and by tapering their balance sheet, there are diminishing tailwinds from a declining unemployment rate, company profit margins remain above long-term trends, and corporate debt levels are back nearall-time highs. Against this backdrop, Fund management believes that diversification across global assets may be a smart approach for what could be a bumpy ride throughout 2019.
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MML Allocation Fund Series – Portfolio Manager Report (Unaudited)(Continued)
MML Conservative Allocation Fund Asset Allocation (% of Net Assets) on 12/31/18 | ||||
Fixed Income Funds | 61.0 | % | ||
Equity Funds | 39.1 | % | ||
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Total Long-Term Investments | 100.1 | % | ||
Other Assets & Liabilities | (0.1 | )% | ||
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Net Assets | 100.0 | % | ||
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MML Balanced Allocation Fund Asset Allocation (% of Net Assets) on 12/31/18 | ||||
Fixed Income Funds | 51.3 | % | ||
Equity Funds | 48.8 | % | ||
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Total Long-Term Investments | 100.1 | % | ||
Other Assets & Liabilities | (0.1 | )% | ||
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Net Assets | 100.0 | % | ||
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MML Moderate Allocation Fund Asset Allocation (% of Net Assets) on 12/31/18 | ||||
Equity Funds | 59.1 | % | ||
Fixed Income Funds | 41.0 | % | ||
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Total Long-Term Investments | 100.1 | % | ||
Other Assets & Liabilities | (0.1 | )% | ||
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Net Assets | 100.0 | % | ||
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MML Growth Allocation Fund Asset Allocation (% of Net Assets) on 12/31/18 | ||||
Equity Funds | 74.4 | % | ||
Fixed Income Funds | 25.7 | % | ||
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Total Long-Term Investments | 100.1 | % | ||
Other Assets & Liabilities | (0.1 | )% | ||
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Net Assets | 100.0 | % | ||
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MML Aggressive Allocation Fund Asset Allocation (% of Net Assets) on 12/31/18 | ||||
Equity Funds | 90.2 | % | ||
Fixed Income Funds | 9.9 | % | ||
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Total Long-Term Investments | 100.1 | % | ||
Other Assets & Liabilities | (0.1 | )% | ||
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Net Assets | 100.0 | % | ||
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MML Conservative Allocation Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Conservative Allocation Fund Initial Class, Service Class, the Bloomberg Barclays U.S. Aggregate Bond Index, the Russell 3000 Index, the MSCI ACWI ex USA, and the Custom MML Conservative Allocation Index.
TOTAL RETURN | One Year | Five Year | Ten Year 1/1/09 - | |||||||||
Initial Class | -3.50% | 3.22% | 7.29% | |||||||||
Service Class | -3.70% | 2.96% | 7.02% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index* | 0.01% | 2.52% | 3.48% | |||||||||
Russell 3000 Index | -5.24% | 7.91% | 13.18% | |||||||||
MSCI ACWI ex USA | -14.20% | 0.68% | 6.57% | |||||||||
Custom MML Conservative Allocation Index | -2.71% | 4.09% | 6.97% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Bloomberg Barclays U.S. Aggregate Bond Index, the Russell 3000 Index, the MSCI ACWI ex USA, and the Custom MML Conservative Allocation Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Balanced Allocation Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Balanced Allocation Fund Initial Class, Service Class, the Russell 3000 Index, the Bloomberg Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA, and the Custom MML Balanced Allocation Index.
TOTAL RETURN | One Year | Five Year | Ten Year 1/1/09 - | |||||||||
Initial Class | -4.47% | 3.48% | 8.02% | |||||||||
Service Class | -4.76% | 3.20% | 7.74% | |||||||||
Russell 3000 Index* | -5.24% | 7.91% | 13.18% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01% | 2.52% | 3.48% | |||||||||
MSCI ACWI ex USA | -14.20% | 0.68% | 6.57% | |||||||||
Custom MML Balanced Allocation Index | -3.45% | 4.46% | 7.80% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 3000 Index, the Bloomberg Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA, and the Custom MML Balanced Allocation Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Moderate Allocation Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Moderate Allocation Fund Initial Class, Service Class, the Russell 3000 Index, the Bloomberg Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA, and the Custom MML Moderate Allocation Index.
TOTAL RETURN | One Year | Five Year | Ten Year 1/1/09 - | |||||||||
Initial Class | -5.48% | 3.74% | 8.72% | |||||||||
Service Class | -5.70% | 3.48% | 8.44% | |||||||||
Russell 3000 Index* | -5.24% | 7.91% | 13.18% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01% | 2.52% | 3.48% | |||||||||
MSCI ACWI ex USA | -14.20% | 0.68% | 6.57% | |||||||||
Custom MML Moderate Allocation Index | -4.21% | 4.81% | 8.60% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 3000 Index, the Bloomberg Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA, and the Custom MML Moderate Allocation Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Growth Allocation Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Growth Allocation Fund Initial Class, Service Class, the Russell 3000 Index, the Bloomberg Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA, and the Custom MML Growth Allocation Index.
TOTAL RETURN | One Year | Five Year | Ten Year 1/1/09 - | |||||||||
Initial Class | -6.90% | 4.07% | 9.78% | |||||||||
Service Class | -7.10% | 3.82% | 9.51% | |||||||||
Russell 3000 Index* | -5.24% | 7.91% | 13.18% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01% | 2.52% | 3.48% | |||||||||
MSCI ACWI ex USA | -14.20% | 0.68% | 6.57% | |||||||||
Custom MML Growth Allocation Index | -5.40% | 5.32% | 9.76% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 3000 Index, the Bloomberg Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA, and the Custom MML Growth Allocation Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Aggressive Allocation Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Aggressive Allocation Fund Initial Class, Service Class, the Russell 3000 Index, the Bloomberg Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA, and the Custom MML Aggressive Allocation Index.
TOTAL RETURN | One Year | Five Year | Ten Year 1/1/09 - | |||||||||
Initial Class | -8.12% | 4.45% | 10.84% | |||||||||
Service Class | -8.44% | 4.17% | 10.56% | |||||||||
Russell 3000 Index* | -5.24% | 7.91% | 13.18% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01% | 2.52% | 3.48% | |||||||||
MSCI ACWI ex USA | -14.20% | 0.68% | 6.57% | |||||||||
Custom MML Aggressive Allocation Index | -6.63% | 5.81% | 10.86% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 3000 Index, the Bloomberg Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA, and the Custom MML Aggressive Allocation Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
13
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MML American Funds Growth Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML American Funds® Growth Fund, and who is the Fund’s investment adviser?
The Fund seeks to provide investors with growth of capital through a “master feeder” relationship. (See page 50 of this report for information about the “master feeder” relationship.) The Fund invests all of its assets in Class 1 shares of the American Funds Insurance Series – Growth Fund (the “Master Growth Fund”), a series of the American Funds Insurance Series®, a registeredopen-end investment company managed by Capital Research and Management Company (Capital Research), which has substantially the same investment objective. The Master Growth Fund invests primarily in common stocks and seeks to invest in companies that appear to offer superior opportunities for growth of capital. The Master Growth Fund may invest up to 25% of its assets in common stocks and other securities of issuers domiciled outside the United States. The Master Growth Fund may hold a portion of its assets in cash or cash equivalents. The Fund’s investment adviser is MML Investment Advisers, LLC (MML Advisers).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund returned-0.65%, outperforming the-4.38% return of the S&P 500® Index (the “benchmark”), which measures the performance of 500 widely held stocks in the U.S. equity market. The Fund outperformed the-1.51% return of the Russell 1000® Growth Index, which measures the performance of thelarge-cap growth segment of U.S. equity securities. It includes the Russell 1000 Index companies with higherprice-to-book ratios and higher forecasted growth values.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Review, beginning on page 3.
Capital Research’s discussion of factors that contributed to the Fund’s performance
In 2018, U.S. equities declined for the first calendar year since 2008, as concerns over trade conflicts, slowing global growth, and high valuations contributed to persistent volatility. In this environment, energy and materials companies were further pressured by falling commodity prices. While growth-oriented stocks performed better than defensive stocks, many companies’ share prices experienced wild swings throughout the year.
For the year ended December 31, 2018, Fund holdings in the information technology and consumer discretionary sectors boosted performance. Amazon (consumer discretionary) and ServiceNow (information technology) were among the Fund’s top contributors to returns, posting double-digit gains. Amazon (which focuses one-commerce, cloud computing, and artificial intelligence) reported strong third-quarter earnings that beat analyst estimates, thanks to its cloud and advertising segments. ServiceNow, a cloud computing company, benefited from increased demand for its cloud services.
The Fund’s exposure to the energy sector detracted from full-year results, as oil prices plummeted on concerns of excess supply.
Capital Research’s outlook
Although U.S. economic growth remained strong, with gross domestic product (GDP) growing at an annualized pace of 3.4% in the third quarter, Fund management is keeping a close watch on the impact of interest rate hikes on economic activity and the outlook for U.S. corporate profit growth. Fund management continues to favor well-positioned, growth-oriented companies that are capable of generating free cash flow in multiple economic environments.
14
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MML American Funds Growth Fund – Portfolio Manager Report (Unaudited)(Continued)
MML American Funds Growth Fund Asset Allocation (% of Net Assets) on 12/31/18 | ||||
Equity Funds | 100.1 | % | ||
|
| |||
Total Long-Term Investments | 100.1 | % | ||
Other Assets & Liabilities | (0.1 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
15
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MML American Funds Growth Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML American Funds Growth Fund Service Class I, the S&P 500 Index, and the Russell 1000 Growth Index.
TOTAL RETURN | One Year | Five Year | Ten Year | |||||||||
Service Class I | -0.65% | 9.72% | 14.22% | |||||||||
S&P 500 Index* | -4.38% | 8.49% | 13.12% | |||||||||
Russell 1000 Growth Index | -1.51% | 10.40% | 15.29% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the S&P 500 Index and the Russell 1000 Growth Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
16
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MML American Funds International Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML American Funds® International Fund, and who is the Fund’s investment adviser?
The Fund seeks long-term capital growth of assets through a “master-feeder” relationship. (See page 50 of this report for information about the “master feeder” relationship.) The Fund invests all of its assets in Class 1 shares of the American Funds Insurance Series – International Fund (the “Master International Fund”), a series of the American Funds Insurance Series®, a registeredopen-end investment company managed by Capital Research and Management Company (Capital Research), which has substantially the same investment objective. The Master International Fund invests primarily in common stocks of companies domiciled outside the United States, including companies domiciled in developing countries, that Capital Research believes have the potential for growth. The Master International Fund may hold a portion of its assets in cash or cash equivalents. The Fund’s investment adviser is MML Investment Advisers, LLC (MML Advisers).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund returned-13.52%, outperforming the-14.20% return of the MSCI All Country World Index (ACWI) ex USA (the “benchmark”), which measures the performance of the large- andmid-cap segments of the particular regions, excluding U.S. equity securities, including developed and emerging markets. The Fund outperformed the-13.79% return of the MSCI EAFE Index, which measures the performance of the large- andmid-cap segments of developed markets, excluding U.S. and Canada equity securities.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Review, beginning on page 3.
Capital Research’s discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, the Fund outperformed the benchmark. Global stocks, as measured by the benchmark, ended the year in negative territory, hindered by slowing economic growth, increased volatility, and higher interest rates in the U.S.
Ongoing turmoil over the United Kingdom’s Brexit strategy weighed on European stocks and a combination of a stronger U.S. dollar and heightened U.S.-China trade frictions impacted emerging-market equities. (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the European Union.) Cyclical stocks posted the biggest losses during the year, underscored by double-digit declines in the financials, industrials, and materials sectors. However, Fund holdings within the financials sector generated the highest relative returns for the Fund. Within the sector, HDFC Bank reported profit growth in the second quarter, and AIA Group, the largest publicly listedpan-Asian life insurance group, reported strong earnings for the first half of the year.
Fund holdings within the consumer staples sector detracted from the Fund’s relative performance. Most notably, British American Tobacco hindered performance amid pressure from competition and regulation.
Capital Research’s outlook
Fund management continues to monitor key indicators in developed countries as they seek the flexibility to pivot to areas of investment opportunity. These indicators range from wage growth and inflation dynamics to the impact of technology and demographics on productivity.
17
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MML American Funds International Fund – Portfolio Manager Report (Unaudited)(Continued)
MML American Funds International Fund Asset Allocation (% of Net Assets) on 12/31/18 | ||||
Mutual Funds | 100.2 | % | ||
|
| |||
Total Long-Term Investments | 100.2 | % | ||
Other Assets and Liabilities | (0.2 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
18
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MML American Funds International Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML American Funds International Fund Service Class I, the MSCI ACWI ex USA, and the MSCI EAFE Index.
TOTAL RETURN | One Year | Five Year | Ten Year | |||||||||
Service Class I | -13.52% | 1.55% | 7.19% | |||||||||
MSCI ACWI ex USA* | -14.20% | 0.68% | 6.57% | |||||||||
MSCI EAFE Index | -13.79% | 0.53% | 6.32% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI ACWI ex USA and the MSCI EAFE Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML American Funds Core Allocation Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML American Funds Core Allocation Fund, and who is the Fund’s investment adviser?
The Fund seeks to achieve as high a total return over time as is considered consistent with prudent investment risk, preservation of capital, and recognition of the Fund’s stated asset allocation. The Fund is a “fund of funds” and seeks to achieve its investment objective by principally investing in a combination of series of the American Funds Insurance Series® (the “American Underlying Funds”), managed by Capital Research and Management Company (Capital Research), using a flexible asset allocation approach. The Fund’s investment adviser invests the Fund’s assets in a combination of domestic and international American Underlying Funds. As of the date of this report, it is expected that the American Underlying Funds will include Class 1 shares of the American Funds Insurance Series – Bond Fund, the American Funds Insurance Series – Blue Chip Income and Growth Fund, the American Funds Insurance Series – Growth-Income Fund, and the American Funds Insurance Series – International Fund. The Fund’s investment adviser allocates the Fund’s assets among a variety of different asset classes through investing in American Underlying Funds in response to changing market, economic, and investment conditions. The Fund’s investment adviser is MML Investment Advisers, LLC (MML Advisers).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund returned-4.84%, underperforming the-4.38% return of the S&P 500® Index (the “benchmark”), which measures the performance of 500 widely held stocks in the U.S. equity market. The Fund outperformed the-14.20% return of the MSCI All Country World Index (ACWI) ex USA, which measures the performance of the large- andmid-cap segments of the particular regions, excluding U.S. equity securities, including developed and emerging markets. The Fund underperformed the 0.01% return of the Bloomberg Barclays U.S. Aggregate Bond Index, which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS). Finally, the Fund’s-4.84% return underperformed the-3.55% return of the Custom MML Core Allocation Index, which comprises the benchmark (55%), the Bloomberg Barclays U.S. Aggregate Bond Index (35%), and the MSCI ACWI ex USA (10%).
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Review, beginning on page 3.
Capital Research’s discussion of factors that contributed to the Fund’s performance
The following paragraphs discuss the results of each of the Fund’s underlying portfolio components. Because the Fund invests in both stock- and bond-based portfolios, its overall performance may vary considerably from the broad market indexes listed above, which each measure the performance of a specific group of securities. These component-specific discussions focus on results and positioning versus each component’s main comparative index, not how the Fund as a whole performed or was positioned versus those indexes.
TheAmerican Funds Insurance Series – Bond Fund (the “Bond Fund”) underperformed the Bloomberg Barclays U.S. Aggregate Bond Index (the “Index”) for the year, as rising yields made for mixed results across bond sectors and the10-year U.S. Treasury yield rose 0.22%. The Federal Reserve Board (the Fed) hiked the federal funds target rate – the Fed’s overnight bank lending rate – four times in 2018 on the back of a strong labor market and solid economic growth. For the year ended December 31, 2018, bond investments across a mix of issuers and sectors exposed the Fund to idiosyncratic risks, and an underweight position, relative to the Index, in U.S. Treasuries detracted from results. The Bond Fund’s exposure to higher-yielding securities contributed to returns.
TheAmerican Funds Insurance Series – Blue Chip Income and Growth Fund(the “Income and Growth Fund”) underperformed the benchmark in 2018, as domestic equities suffered their first full-year decline since 2008. Concerns over trade conflicts, slowing global growth, and high valuations contributed to persistent volatility. Energy and materials companies were further pressured by falling commodity prices. While growth-oriented stocks performed better than defensive stocks, many companies’ share prices experienced wild swings throughout the year. For the year ended December 31, 2018, the Income and Growth Fund’s holdings in health care and industrials hampered performance, as did its investments within the less-cyclical consumer staples sector. In particular, tobacco companies were hurt by concerns about nicotine regulation in the U.S., as well as competition from
20
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MML American Funds Core Allocation Fund – Portfolio Manager Report (Unaudited)(Continued)
vaping andheat-not-burn products. The Income and Growth Fund’s performance was also hindered by its lower allocations to select domestic growth stocks. Stock selection in the materials sector marginally helped boost relative returns.
TheAmerican Funds Insurance Series – Growth-Income Fund (the “Growth-Income Fund”) outperformed the benchmark for the year. The Growth-Income Fund’s holdings in the consumer discretionary sector contributed the most to benchmark-relative returns. Among its investments in the consumer discretionary sector, Amazon reported strong third-quarter earnings that beat analyst estimates, thanks to its cloud and advertising segments. On the downside, the Growth-Income Fund’s holdings in the energy sector, such as EOG Resources and Schlumberger, detracted from full-year results, as oil prices plummeted on concerns of a glut in supply.
TheAmerican Funds Insurance Series – International Fund (the “International Fund”) outperformed the MSCI ACWI ex USA (the “MSCI Index”) for the year. Global stocks, as measured by the MSCI Index, ended the year in negative territory, hurt by slowing economic growth, increased volatility, and higher interest rates in the U.S. Ongoing turmoil over the United Kingdom’s Brexit strategy weighed on European stocks and a combination of a stronger U.S. dollar and heightened U.S.-China trade frictions impacted emerging-market equities. (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the European Union.) Cyclical stocks posted the biggest losses during the year, underscored by double-digit declines in the financials, industrials, and materials sectors. However, the International Fund’s holdings in the financials sector generated the highest relative returns. Within the sector, HDFC Bank reported profit growth in the second quarter, and AIA Group, the largest publicly listedpan-Asian life insurance group, reported strong earnings for the first half of the year. The International Fund’s holdings within the consumer staples sector hampered its full-year results. Most notably, British American Tobacco hindered performance amid pressure from competition and regulation.
Capital Research’s outlook
On the whole, Capital Research believes that the U.S. economy appears to be in good shape – and has the potential to grow at a moderate pace. The Fed is well ahead of its peers on its path to monetary policy normalization, which Fund management believes may help contribute to a more stable environment for interest rate hikes in 2019. Fund management is optimistic about total returns against such a backdrop and for investing in a spectrum of U.S. fixed-income securities. With respect to domestic equities, Fund management continues to favor more stable, high-dividend-paying companies that they believe have the potential to hold up better in weak markets, while providing consistent income.
On the international stage, Fund management continues to monitor key indicators in advanced countries as they seek the flexibility to pivot to areas of investment opportunity. These indicators range from wage growth and inflation dynamics to the impact of technology and demographics on productivity.
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MML American Funds Core Allocation Fund – Portfolio Manager Report (Unaudited)(Continued)
MML American Funds Core Allocation Fund Asset Allocation (% of Net Assets) on 12/31/18 | ||||
Equity Funds | 63.5 | % | ||
Fixed Income Funds | 36.6 | % | ||
|
| |||
Total Long-Term Investments | 100.1 | % | ||
Other Assets & Liabilities | (0.1 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
22
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MML American Funds Core Allocation Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML American Funds Core Allocation Fund Service Class I, the S&P 500 Index, the MSCI ACWI ex USA, the Bloomberg Barclays U.S. Aggregate Bond Index, and the Custom MML Core Allocation Index.
TOTAL RETURN | One Year | Five Year 1/1/14 - | Ten Year | |||||||||
Service Class I | -4.84% | 4.95% | 8.61% | |||||||||
S&P 500 Index* | -4.38% | 8.49% | 13.12% | |||||||||
MSCI ACWI ex USA | -14.20% | 0.68% | 6.57% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01% | 2.52% | 3.48% | |||||||||
Custom MML Core Allocation Index | -3.55% | 5.74% | 9.33% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the S&P 500 Index, the MSCI ACWI ex USA, the Bloomberg Barclays U.S. Aggregate Bond Index, and the Custom MML Core Allocation Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
23
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December 31, 2018
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% |
| |||||||
Equity Funds — 39.1% |
| |||||||
MML Blue Chip Growth Fund, Initial Class (a) | 591,764 | $ | 8,639,754 | |||||
MML Equity Income Fund, Initial Class (a) | 1,121,418 | 11,259,033 | ||||||
MML Equity Index Fund, Class III (a) | 423,585 | 11,881,555 | ||||||
MML Focused Equity Fund, Class II (a) | 452,043 | 2,409,391 | ||||||
MML Foreign Fund, Initial Class (a) | 876,625 | 8,108,780 | ||||||
MML Fundamental Growth Fund, Class II (a) | 667,641 | 6,255,798 | ||||||
MML Fundamental Value Fund, Class II (a) | 687,802 | 8,514,994 | ||||||
MML Global Fund, Class I (a) | 1,008,564 | 10,337,781 | ||||||
MML Income & Growth Fund, Initial Class (a) | 1,440,426 | 12,229,220 | ||||||
MML International Equity Fund, Class II (a) | 757,333 | 6,747,836 | ||||||
MML Large Cap Growth Fund, Initial Class (a) | 268,525 | 2,599,324 | ||||||
MML Mid Cap Growth Fund, Initial Class (a) | 486,261 | 6,778,479 | ||||||
MML Mid Cap Value Fund, Initial Class (a) | 832,656 | 7,785,334 | ||||||
MML Small Cap Growth Equity Fund, Initial Class (a) | 112,493 | 1,441,789 | ||||||
MML Small Company Value Fund, Class II (a) | 263,619 | 3,653,765 | ||||||
MML Small/Mid Cap Value Fund, Initial Class (a) | 157,604 | 1,673,757 | ||||||
MML Strategic Emerging Markets Fund, Class II (a) | 49,456 | 500,495 | ||||||
Oppenheimer Discovery Mid Cap Growth Fund/VA,Non-Service Shares (a) | 35,609 | 2,444,532 | ||||||
Oppenheimer Global Fund/VA,Non-Service Shares (a) | 158,291 | 6,015,043 | ||||||
Oppenheimer Global Multi-Alternatives Fund/VA,Non-Service Shares (a) | 2,799,131 | 26,563,757 | ||||||
Oppenheimer International Growth Fund/VA,Non-Service Shares (a) | 2,584,425 | 5,246,382 | ||||||
Oppenheimer Main Street Fund/VA,Non-Service Shares (a) | 156,697 | 4,201,052 | ||||||
|
| |||||||
155,287,851 | ||||||||
|
| |||||||
Fixed Income Funds — 61.0% |
| |||||||
MML Dynamic Bond Fund, Class II (a) | 6,559,519 | 63,036,979 | ||||||
MML High Yield Fund, Class II (a) | 1,302,330 | 11,812,135 |
Number of Shares | Value | |||||||
MML Inflation-Protected and Income Fund, Initial Class (a) | 1,698,449 | $ | 16,508,925 | |||||
MML Managed Bond Fund, Initial Class (a) | 6,641,562 | 79,263,697 | ||||||
MML Short-Duration Bond Fund, Class II (a) | 2,095,159 | 20,092,579 | ||||||
MML Total Return Bond Fund, Class II (a) | 5,058,351 | 51,392,846 | ||||||
|
| |||||||
242,107,161 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $426,960,872) | 397,395,012 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $426,960,872) | 397,395,012 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.1% (Cost $426,960,872) (b) | 397,395,012 | |||||||
Other Assets/(Liabilities) — (0.1)% | (367,709 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 397,027,303 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers. |
(b) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
24
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December 31, 2018
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 48.8% | ||||||||
MML Blue Chip Growth Fund, Initial Class (a) | 980,796 | $ | 14,319,625 | |||||
MML Equity Income Fund, Initial Class (a) | 1,659,966 | 16,666,058 | ||||||
MML Equity Index Fund, Class III (a) | 559,453 | 15,692,671 | ||||||
MML Focused Equity Fund, Class II (a) | 504,233 | 2,687,561 | ||||||
MML Foreign Fund, Initial Class (a) | 1,532,575 | 14,176,316 | ||||||
MML Fundamental Growth Fund, Class II (a) | 991,405 | 9,289,466 | ||||||
MML Fundamental Value Fund, Class II (a) | 1,222,513 | 15,134,714 | ||||||
MML Global Fund, Class I (a) | 1,559,956 | 15,989,551 | ||||||
MML Income & Growth Fund, Initial Class (a) | 2,056,291 | 17,457,908 | ||||||
MML International Equity Fund, Class II (a) | 1,398,642 | 12,461,899 | ||||||
MML Large Cap Growth Fund, Initial Class (a) | 614,785 | 5,951,119 | ||||||
MML Mid Cap Growth Fund, Initial Class (a) | 898,344 | 12,522,921 | ||||||
MML Mid Cap Value Fund, Initial Class (a) | 1,449,346 | 13,551,381 | ||||||
MML Small Cap Growth Equity Fund, Initial Class (a) | 249,129 | 3,193,020 | ||||||
MML Small Company Value Fund, Class II (a) | 404,658 | 5,608,566 | ||||||
MML Small/Mid Cap Value Fund, Initial Class (a) | 334,063 | 3,547,754 | ||||||
MML Strategic Emerging Markets Fund, Class II (a) | 59,347 | 600,594 | ||||||
Oppenheimer Discovery Mid Cap Growth Fund/VA,Non-Service Shares (a) | 63,076 | 4,330,133 | ||||||
Oppenheimer Global Fund/VA,Non-Service Shares (a) | 232,307 | 8,827,673 | ||||||
Oppenheimer Global Multi-Alternatives Fund/VA,Non-Service Shares (a) | 3,817,702 | 36,229,988 | ||||||
Oppenheimer International Growth Fund/VA,Non-Service Shares (a) | 5,458,097 | 11,079,936 | ||||||
Oppenheimer Main Street Fund/VA,Non-Service Shares (a) | 309,515 | 8,298,100 | ||||||
|
| |||||||
247,616,954 | ||||||||
|
| |||||||
Fixed Income Funds — 51.3% | ||||||||
MML Dynamic Bond Fund, Class II (a) | 6,633,988 | 63,752,628 |
Number of Shares | Value | |||||||
MML High Yield Fund, Class II (a) | 1,481,538 | $ | 13,437,551 | |||||
MML Inflation-Protected and Income Fund, Initial Class (a) | 1,914,469 | 18,608,638 | ||||||
MML Managed Bond Fund, Initial Class (a) | 7,240,997 | 86,417,649 | ||||||
MML Short-Duration Bond Fund, Class II (a) | 2,488,666 | 23,866,311 | ||||||
MML Total Return Bond Fund, Class II (a) | 5,330,667 | 54,159,581 | ||||||
|
| |||||||
260,242,358 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $552,858,810) | 507,859,312 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $552,858,810) | 507,859,312 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.1% (Cost $552,858,810) (b) | 507,859,312 | |||||||
Other Assets/(Liabilities) — (0.1)% | (451,799 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 507,407,513 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers. |
(b) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
25
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 59.1% | ||||||||
MML Blue Chip Growth Fund, Initial Class (a) | 4,746,218 | $ | 69,294,777 | |||||
MML Equity Income Fund, Initial Class (a) | 8,176,312 | 82,090,173 | ||||||
MML Equity Index Fund, Class III (a) | 2,729,938 | 76,574,751 | ||||||
MML Focused Equity Fund, Class II (a) | 3,937,331 | 20,985,975 | ||||||
MML Foreign Fund, Initial Class (a) | 7,368,538 | 68,158,972 | ||||||
MML Fundamental Growth Fund, Class II (a) | 4,274,213 | 40,049,374 | ||||||
MML Fundamental Value Fund, Class II (a) | 5,834,021 | 72,225,183 | ||||||
MML Global Fund, Class I (a) | 7,186,853 | 73,665,241 | ||||||
MML Income & Growth Fund, Initial Class (a) | 9,589,024 | 81,410,810 | ||||||
MML International Equity Fund, Class II (a) | 7,392,388 | 65,866,175 | ||||||
MML Large Cap Growth Fund, Initial Class (a) | 2,282,303 | 22,092,695 | ||||||
MML Mid Cap Growth Fund, Initial Class (a) | 4,907,136 | 68,405,477 | ||||||
MML Mid Cap Value Fund, Initial Class (a) | 7,393,216 | 69,126,568 | ||||||
MML Small Cap Growth Equity Fund, Initial Class (a) | 1,003,383 | 12,860,106 | ||||||
MML Small Company Value Fund, Class II (a) | 2,008,483 | 27,837,569 | ||||||
MML Small/Mid Cap Value Fund, Initial Class (a) | 2,088,260 | 22,177,322 | ||||||
MML Strategic Emerging Markets Fund, Class II (a) | 5,227,340 | 52,900,676 | ||||||
Oppenheimer Discovery Mid Cap Growth Fund/VA,Non-Service Shares (a) | 330,447 | 22,685,185 | ||||||
Oppenheimer Global Fund/VA,Non-Service Shares (a) | 991,201 | 37,665,635 | ||||||
Oppenheimer Global Multi-Alternatives Fund/VA,Non-Service Shares (a) | 16,694,106 | 158,427,061 | ||||||
Oppenheimer International Growth Fund/VA,Non-Service Shares (a) | 17,397,621 | 35,317,171 | ||||||
Oppenheimer Main Street Fund/VA,Non-Service Shares (a) | 957,638 | 25,674,274 | ||||||
|
| |||||||
1,205,491,170 | ||||||||
|
|
Number of Shares | Value | |||||||
Fixed Income Funds — 41.0% | ||||||||
MML Dynamic Bond Fund, Class II (a) | 21,833,522 | $ | 209,820,148 | |||||
MML High Yield Fund, Class II (a) | 4,693,484 | 42,569,900 | ||||||
MML Inflation-Protected and Income Fund, Initial Class (a) | 6,453,760 | 62,730,545 | ||||||
MML Managed Bond Fund, Initial Class (a) | 21,942,305 | 261,870,348 | ||||||
MML Short-Duration Bond Fund, Class II (a) | 8,773,364 | 84,136,565 | ||||||
MML Total Return Bond Fund, Class II (a) | 17,228,580 | 175,042,376 | ||||||
|
| |||||||
836,169,882 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $2,237,529,423) | 2,041,661,052 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $2,237,529,423) | 2,041,661,052 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.1% (Cost $2,237,529,423) (b) | 2,041,661,052 | |||||||
Other Assets/(Liabilities) — (0.1)% | (1,726,529 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,039,934,523 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers. |
(b) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
26
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 74.4% | ||||||||
MML Blue Chip Growth Fund, Initial Class (a) | 4,234,287 | $ | 61,820,595 | |||||
MML Equity Income Fund, Initial Class (a) | 7,318,164 | 73,474,363 | ||||||
MML Equity Index Fund, Class III (a) | 2,464,377 | 69,125,769 | ||||||
MML Focused Equity Fund, Class II��(a) | 3,602,548 | 19,201,581 | ||||||
MML Foreign Fund, Initial Class (a) | 6,802,602 | 62,924,066 | ||||||
MML Fundamental Growth Fund, Class II (a) | 3,288,727 | 30,815,375 | ||||||
MML Fundamental Value Fund, Class II (a) | 5,239,977 | 64,870,915 | ||||||
MML Global Fund, Class I (a) | 6,546,281 | 67,099,378 | ||||||
MML Income & Growth Fund, Initial Class (a) | 8,674,465 | 73,646,206 | ||||||
MML International Equity Fund, Class II (a) | 6,885,828 | 61,352,726 | ||||||
MML Large Cap Growth Fund, Initial Class (a) | 2,149,863 | 20,810,674 | ||||||
MML Mid Cap Growth Fund, Initial Class (a) | 4,700,509 | 65,525,098 | ||||||
MML Mid Cap Value Fund, Initial Class (a) | 6,916,903 | 64,673,041 | ||||||
MML Small Cap Growth Equity Fund, Initial Class (a) | 927,630 | 11,889,198 | ||||||
MML Small Company Value Fund, Class II (a) | 1,919,528 | 26,604,654 | ||||||
MML Small/Mid Cap Value Fund, Initial Class (a) | 2,051,317 | 21,784,982 | ||||||
MML Strategic Emerging Markets Fund, Class II (a) | 5,082,566 | 51,435,567 | ||||||
Oppenheimer Discovery Mid Cap Growth Fund/VA,Non-Service Shares (a) | 292,360 | 20,070,503 | ||||||
Oppenheimer Global Fund/VA,Non-Service Shares (a) | 846,330 | 32,160,543 | ||||||
Oppenheimer Global Multi-Alternatives Fund/VA,Non-Service Shares (a) | 13,055,229 | 123,894,119 | ||||||
Oppenheimer International Growth Fund/VA,Non-Service Shares (a) | 15,714,158 | 31,899,741 | ||||||
Oppenheimer Main Street Fund/VA,Non-Service Shares (a) | 918,499 | 24,624,971 | ||||||
|
| |||||||
1,079,704,065 | ||||||||
|
|
Number of Shares | Value | |||||||
Fixed Income Funds — 25.7% | ||||||||
MML Dynamic Bond Fund, Class II (a) | 8,478,825 | $ | 81,481,511 | |||||
MML High Yield Fund, Class II (a) | 1,284,053 | 11,646,363 | ||||||
MML Inflation-Protected and Income Fund, Initial Class (a) | 5,949,770 | 57,831,762 | ||||||
MML Managed Bond Fund, Initial Class (a) | 9,199,247 | 109,788,382 | ||||||
MML Short-Duration Bond Fund, Class II (a) | 4,334,342 | 41,566,339 | ||||||
MML Total Return Bond Fund, Class II (a) | 7,002,234 | 71,142,702 | ||||||
|
| |||||||
373,457,059 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,600,256,773) | 1,453,161,124 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,600,256,773) | 1,453,161,124 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.1% (Cost $1,600,256,773) (b) | 1,453,161,124 | |||||||
Other Assets/(Liabilities) — (0.1)% | (1,076,506 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,452,084,618 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers. |
(b) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
27
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 90.2% | ||||||||
MML Blue Chip Growth Fund, Initial Class (a) | 513,193 | $ | 7,492,621 | |||||
MML Equity Income Fund, Initial Class (a) | 810,531 | 8,137,735 | ||||||
MML Equity Index Fund, Class III (a) | 231,443 | 6,491,985 | ||||||
MML Focused Equity Fund, Class II (a) | 554,290 | 2,954,365 | ||||||
MML Foreign Fund, Initial Class (a) | 766,198 | 7,087,331 | ||||||
MML Fundamental Growth Fund, Class II (a) | 387,536 | 3,631,211 | ||||||
MML Fundamental Value Fund, Class II (a) | 616,944 | 7,637,762 | ||||||
MML Global Fund, Class I (a) | 764,937 | 7,840,600 | ||||||
MML Income & Growth Fund, Initial Class (a) | 939,311 | 7,974,747 | ||||||
MML International Equity Fund, Class II (a) | 912,930 | 8,134,205 | ||||||
MML Large Cap Growth Fund, Initial Class (a) | 286,153 | 2,769,962 | ||||||
MML Mid Cap Growth Fund, Initial Class (a) | 575,661 | 8,024,717 | ||||||
MML Mid Cap Value Fund, Initial Class (a) | 803,013 | 7,508,175 | ||||||
MML Small Cap Growth Equity Fund, Initial Class (a) | 108,412 | 1,389,492 | ||||||
MML Small Company Value Fund, Class II (a) | 236,268 | 3,274,681 | ||||||
MML Small/Mid Cap Value Fund, Initial Class (a) | 228,601 | 2,427,738 | ||||||
MML Strategic Emerging Markets Fund, Class II (a) | 668,050 | 6,760,669 | ||||||
Oppenheimer Discovery Mid Cap Growth Fund/VA,Non-Service Shares (a) | 37,169 | 2,551,637 | ||||||
Oppenheimer Global Fund/VA,Non-Service Shares (a) | 88,999 | 3,381,972 | ||||||
Oppenheimer Global Multi-Alternatives Fund/VA,Non-Service Shares (a) | 1,348,186 | 12,794,289 | ||||||
Oppenheimer International Growth Fund/VA,Non-Service Shares (a) | 1,787,030 | 3,627,672 | ||||||
Oppenheimer Main Street Fund/VA,Non-Service Shares (a) | 141,339 | 3,789,298 | ||||||
|
| |||||||
125,682,864 | ||||||||
|
| |||||||
Fixed Income Funds — 9.9% | ||||||||
MML Dynamic Bond Fund, Class II (a) | 219,584 | 2,110,207 |
Number of Shares | Value | |||||||
MML Inflation-Protected and Income Fund, Initial Class (a) | 376,392 | $ | 3,658,525 | |||||
MML Managed Bond Fund, Initial Class (a) | 275,857 | 3,292,209 | ||||||
MML Short-Duration Bond Fund, Class II (a) | 304,947 | 2,924,442 | ||||||
MML Total Return Bond Fund, Class II (a) | 185,344 | 1,883,099 | ||||||
|
| |||||||
13,868,482 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $157,195,791) | 139,551,346 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $157,195,791) | 139,551,346 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.1% (Cost $157,195,791) (b) | 139,551,346 | |||||||
Other Assets/(Liabilities) — (0.1)% | (144,008 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 139,407,338 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers. |
(b) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
28
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 100.1% | ||||||||
American Funds Growth Fund, Class 1 | 2,324,067 | $ | 162,591,713 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $164,690,451) | 162,591,713 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $164,690,451) | 162,591,713 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.1% (Cost $164,690,451) (a) | 162,591,713 | |||||||
Other Assets/(Liabilities) — (0.1)% | (231,829 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 162,359,884 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
29
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.2% | ||||||||
Equity Funds — 100.2% | ||||||||
American Funds International Fund, Class 1 | 3,216,782 | $ | 56,808,366 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $59,951,316) | 56,808,366 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $59,951,316) | 56,808,366 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.2% (Cost $59,951,316) (a) | 56,808,366 | |||||||
Other Assets/(Liabilities) — (0.2)% | (96,119 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 56,712,247 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
30
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 63.5% | ||||||||
American Funds Blue Chip Income and Growth Fund, Class 1 | 18,852,146 | $ | 233,389,568 | |||||
American Funds Growth-Income Fund, Class 1 | 5,553,347 | 252,066,409 | ||||||
American Funds International Fund, Class 1 | 6,921,033 | 122,225,446 | ||||||
|
| |||||||
607,681,423 | ||||||||
|
| |||||||
Fixed Income Funds — 36.6% | ||||||||
American Funds Bond Fund, Class 1 | 33,386,669 | 349,558,423 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,012,508,598) | 957,239,846 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,012,508,598) | 957,239,846 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.1% (Cost $1,012,508,598) (a) | 957,239,846 | |||||||
Other Assets/(Liabilities) — (0.1)% | (1,188,803 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 956,051,043 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
31
Table of Contents
MML Series Investment Fund – Financial Statements
Statements of Assets and Liabilities
December 31, 2018
MML Conservative Allocation Fund | MML Balanced Allocation Fund | |||||||
Assets: | ||||||||
Investments, at value — unaffiliated issuers(Note 2) (a) | $ | - | $ | - | ||||
Investments, at value — affiliated issuers(Note 2 & 7) (b) | 397,395,012 | 507,859,312 | ||||||
|
|
|
| |||||
Total investments | 397,395,012 | 507,859,312 | ||||||
|
|
|
| |||||
Cash | - | - | ||||||
Receivables from: | ||||||||
Investments sold | 514,112 | 425,398 | ||||||
Investment adviser(Note 3) | - | - | ||||||
Fund shares sold | 240,337 | 112,491 | ||||||
|
|
|
| |||||
Total assets | 398,149,461 | 508,397,201 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | - | - | ||||||
Fund shares repurchased | 759,377 | 544,141 | ||||||
Trustees’ fees and expenses(Note 3) | 64,956 | 79,467 | ||||||
Affiliates(Note 3): | ||||||||
Investment advisory fees | 34,124 | 43,510 | ||||||
Administration fees | - | - | ||||||
Service fees | 205,142 | 262,677 | ||||||
Accrued expense and other liabilities | 58,559 | 59,893 | ||||||
|
|
|
| |||||
Total liabilities | 1,122,158 | 989,688 | ||||||
|
|
|
| |||||
Net assets | $ | 397,027,303 | $ | 507,407,513 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 408,989,868 | $ | 522,701,088 | ||||
Accumulated Gain (Loss) | (11,962,565 | ) | (15,293,575 | ) | ||||
|
|
|
| |||||
Net assets | $ | 397,027,303 | $ | 507,407,513 | ||||
|
|
|
| |||||
(a) Cost of investments — unaffiliated issuers: | $ | - | $ | - | ||||
(b) Cost of investments — affiliated issuers: | $ | 426,960,872 | $ | 552,858,810 |
The accompanying notes are an integral part of the financial statements.
32
Table of Contents
MML Moderate Allocation Fund | MML Growth Allocation Fund | MML Aggressive Allocation Fund | MML American Funds Growth Fund | MML American Funds International Fund | MML American Funds Core Allocation Fund | |||||||||||||||||
$ | - | $ | - | $ | - | $ | 162,591,713 | $ | 56,808,366 | $ | 957,239,846 | |||||||||||
2,041,661,052 | 1,453,161,124 | 139,551,346 | - | - | - | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
2,041,661,052 | 1,453,161,124 | 139,551,346 | 162,591,713 | 56,808,366 | 957,239,846 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
- | - | - | - | - | 6 | |||||||||||||||||
1,050,293 | 525,957 | - | - | - | 403,658 | |||||||||||||||||
- | - | - | - | 6,065 | - | |||||||||||||||||
289,929 | 60,385 | 28,271 | 1,801,945 | 1,393,458 | 121,101 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
2,043,001,274 | 1,453,747,466 | 139,579,617 | 164,393,658 | 58,207,889 | 957,764,611 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
- | - | 15,435 | 1,801,022 | 1,392,699 | - | |||||||||||||||||
1,365,068 | 604,069 | 14,691 | 9,822 | 3,320 | 538,238 | |||||||||||||||||
295,198 | 238,967 | 17,649 | 18,105 | 8,235 | 117,057 | |||||||||||||||||
176,539 | 125,974 | 12,026 | 20,902 | 7,150 | 160,603 | |||||||||||||||||
- | - | - | 34,837 | 11,916 | 206,683 | |||||||||||||||||
1,150,298 | 621,403 | 55,964 | 109,900 | 37,344 | 647,489 | |||||||||||||||||
79,648 | 72,435 | 56,514 | 39,186 | 34,978 | 43,498 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
3,066,751 | 1,662,848 | 172,279 | 2,033,774 | 1,495,642 | 1,713,568 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 2,039,934,523 | $ | 1,452,084,618 | $ | 139,407,338 | $ | 162,359,884 | $ | 56,712,247 | $ | 956,051,043 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 2,083,003,805 | $ | 1,453,593,145 | $ | 142,873,548 | $ | 140,372,179 | $ | 55,151,592 | $ | 919,120,315 | |||||||||||
(43,069,282 | ) | (1,508,527 | ) | (3,466,210 | ) | 21,987,705 | 1,560,655 | 36,930,728 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 2,039,934,523 | $ | 1,452,084,618 | $ | 139,407,338 | $ | 162,359,884 | $ | 56,712,247 | $ | 956,051,043 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | - | $ | - | $ | - | $ | 164,690,451 | $ | 59,951,316 | $ | 1,012,508,598 | |||||||||||
$ | 2,237,529,423 | $ | 1,600,256,773 | $ | 157,195,791 | $ | - | $ | - | $ | - |
33
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Statements of Assets and Liabilities
December 31, 2018
MML Conservative Allocation Fund | MML Balanced Allocation Fund | |||||||
Initial Class shares: | ||||||||
Net assets | $ | 90,797,421 | $ | 116,177,073 | ||||
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Shares outstanding (a) | 9,838,336 | 12,743,879 | ||||||
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Net asset value, offering price and redemption price per share | $ | 9.23 | $ | 9.12 | ||||
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Service Class shares: | ||||||||
Net assets | $ | 306,229,882 | $ | 391,230,440 | ||||
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Shares outstanding (a) | 33,532,959 | 43,313,145 | ||||||
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Net asset value, offering price and redemption price per share | $ | 9.13 | $ | 9.03 | ||||
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Service Class I shares: | ||||||||
Net assets | $ | - | $ | - | ||||
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Shares outstanding (a) | - | - | ||||||
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Net asset value, offering price and redemption price per share | $ | - | $ | - | ||||
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(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
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Table of Contents
MML Moderate Allocation Fund | MML Growth Allocation Fund | MML Aggressive Allocation Fund | MML American Funds Growth Fund | MML American Funds International Fund | MML American Funds Core Allocation Fund | |||||||||||||||||
$ | 349,719,451 | $ | 536,766,846 | $ | 56,195,079 | $ | - | $ | - | $ | - | |||||||||||
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36,010,229 | 64,262,009 | 6,110,330 | - | - | - | |||||||||||||||||
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$ | 9.71 | $ | 8.35 | $ | 9.20 | $ | - | $ | - | $ | - | |||||||||||
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$ | 1,690,215,072 | $ | 915,317,772 | $ | 83,212,259 | $ | - | $ | - | $ | - | |||||||||||
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176,031,988 | 110,539,538 | 9,181,923 | - | - | - | |||||||||||||||||
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$ | 9.60 | $ | 8.28 | $ | 9.06 | $ | - | $ | - | $ | - | |||||||||||
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$ | - | $ | - | $ | - | $ | 162,359,884 | $ | 56,712,247 | $ | 956,051,043 | |||||||||||
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- | - | - | 12,779,350 | 6,256,063 | 87,089,093 | |||||||||||||||||
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$ | - | $ | - | $ | - | $ | 12.70 | $ | 9.07 | $ | 10.98 | |||||||||||
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35
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
For the Year Ended December 31, 2018
MML Conservative Allocation Fund | MML Balanced Allocation Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends — unaffiliated issuers | $ | - | $ | - | ||||
Dividends — affiliated issuers(Note 7) | 10,355,788 | 12,125,825 | ||||||
Interest | - | - | ||||||
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Total investment income | 10,355,788 | 12,125,825 | ||||||
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Expenses (Note 3): |
| |||||||
Investment advisory fees | 445,740 | 569,082 | ||||||
Custody fees | 23,214 | 23,223 | ||||||
Audit fees | 31,558 | 31,652 | ||||||
Legal fees | 11,894 | 15,141 | ||||||
Proxy fees | 1,293 | 1,293 | ||||||
Shareholder reporting fees | 13,849 | 16,252 | ||||||
Trustees’ fees | 26,635 | 33,975 | ||||||
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554,183 | 690,618 | |||||||
Administration fees: | ||||||||
Service Class I | - | - | ||||||
Service fees: | ||||||||
Service Class | 859,603 | 1,091,648 | ||||||
Service Class I | - | - | ||||||
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Total expenses | 1,413,786 | 1,782,266 | ||||||
Expenses waived(Note 3): | ||||||||
Service Class I fees reimbursed by adviser | - | - | ||||||
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| |||||
Net expenses: | 1,413,786 | 1,782,266 | ||||||
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| |||||
Net investment income (loss) | 8,942,002 | 10,343,559 | ||||||
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Realized and unrealized gain (loss): |
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Net realized gain (loss) on: | ||||||||
Investment transactions — unaffiliated issuers | - | - | ||||||
Investment transactions — affiliated issuers(Note 7) | (1,704,469 | ) | (2,695,282 | ) | ||||
Realized gain distributions — unaffiliated issuers | - | - | ||||||
Realized gain distributions — affiliated issuers(Note 7) | 16,355,071 | 25,961,757 | ||||||
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Net realized gain (loss) | 14,650,602 | 23,266,475 | ||||||
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Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions — unaffiliated issuers | - | - | ||||||
Investment transactions — affiliated issuers(Note 7) | (38,676,162 | ) | (58,352,656 | ) | ||||
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Net change in unrealized appreciation (depreciation) | (38,676,162 | ) | (58,352,656 | ) | ||||
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Net realized gain (loss) and change in unrealized appreciation (depreciation) | (24,025,560 | ) | (35,086,181 | ) | ||||
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Net increase (decrease) in net assets resulting from operations | $ | (15,083,558 | ) | $ | (24,742,622 | ) | ||
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The accompanying notes are an integral part of the financial statements.
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Table of Contents
MML Moderate Allocation Fund | MML Growth Allocation Fund | MML Aggressive Allocation Fund | MML American Funds Growth Fund | MML American Funds International Fund | MML American Funds Core Allocation Fund | |||||||||||||||||
$ | - | $ | - | $ | - | $ | 1,222,766 | $ | 1,224,863 | $ | 22,531,468 | |||||||||||
44,302,170 | 26,173,938 | 1,949,505 | - | - | - | |||||||||||||||||
- | - | - | - | - | 72 | |||||||||||||||||
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44,302,170 | 26,173,938 | 1,949,505 | 1,222,766 | 1,224,863 | 22,531,540 | |||||||||||||||||
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2,322,866 | 1,648,404 | 154,083 | 264,129 | 94,927 | 2,048,863 | |||||||||||||||||
24,191 | 24,228 | 24,228 | 2,215 | 2,215 | 6,671 | |||||||||||||||||
33,026 | 32,498 | 31,327 | 31,346 | 31,168 | 32,037 | |||||||||||||||||
61,890 | 43,716 | 4,049 | 11,433 | 5,065 | 29,512 | |||||||||||||||||
1,293 | 1,293 | 1,293 | 1,293 | 1,293 | 1,293 | |||||||||||||||||
48,562 | 36,208 | 8,655 | 10,039 | 7,474 | 22,048 | |||||||||||||||||
138,538 | 98,290 | 9,153 | 10,507 | 3,781 | 63,382 | |||||||||||||||||
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2,630,366 | 1,884,637 | 232,788 | 330,962 | 145,923 | 2,203,806 | |||||||||||||||||
- | - | - | 440,215 | 158,212 | 2,659,090 | |||||||||||||||||
4,819,409 | 2,586,336 | 225,013 | - | - | - | |||||||||||||||||
- | - | - | 440,215 | 158,212 | 2,659,090 | |||||||||||||||||
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7,449,775 | 4,470,973 | 457,801 | 1,211,392 | 462,347 | 7,521,986 | |||||||||||||||||
- | - | - | - | (19,354 | ) | - | ||||||||||||||||
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7,449,775 | 4,470,973 | 457,801 | 1,211,392 | 442,993 | 7,521,986 | |||||||||||||||||
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36,852,395 | 21,702,965 | 1,491,704 | 11,374 | 781,870 | 15,009,554 | |||||||||||||||||
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- | - | - | 6,670,701 | 950,759 | 30,963,928 | |||||||||||||||||
(2,158,781 | ) | 16,457,831 | 833,897 | - | - | - | ||||||||||||||||
- | - | - | 17,418,686 | 3,016,061 | 46,324,879 | |||||||||||||||||
128,916,616 | 114,288,144 | 13,309,454 | - | - | - | |||||||||||||||||
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126,757,835 | 130,745,975 | 14,143,351 | 24,089,387 | 3,966,820 | 77,288,807 | |||||||||||||||||
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- | - | - | (24,719,323 | ) | (13,493,195 | ) | (140,549,710 | ) | ||||||||||||||
(286,045,480 | ) | (260,669,321 | ) | (28,171,514 | ) | - | - | - | ||||||||||||||
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(286,045,480 | ) | (260,669,321 | ) | (28,171,514 | ) | (24,719,323 | ) | (13,493,195 | ) | (140,549,710 | ) | |||||||||||
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(159,287,645 | ) | (129,923,346 | ) | (14,028,163 | ) | (629,936 | ) | (9,526,375 | ) | (63,260,903 | ) | |||||||||||
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$ | (122,435,250 | ) | $ | (108,220,381 | ) | $ | (12,536,459 | ) | $ | (618,562 | ) | $ | (8,744,505 | ) | $ | (48,251,349 | ) | |||||
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37
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Statements of Changes in Net Assets
MML Conservative Allocation Fund | ||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 8,942,002 | $ | 9,690,939 | ||||
Net realized gain (loss) | 14,650,602 | 8,140,970 | ||||||
Net change in unrealized appreciation (depreciation) | (38,676,162 | ) | 24,561,837 | |||||
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Net increase (decrease) in net assets resulting from operations | (15,083,558 | ) | 42,393,746 | |||||
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Distributions to shareholders (Note 2): | ||||||||
Initial Class | (4,578,931 | ) | (5,675,530 | )* | ||||
Service Class | (14,533,651 | ) | (18,039,455 | )* | ||||
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Total distributions | (19,112,582 | ) | (23,714,985 | ) | ||||
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Net fund share transactions (Note 5): | ||||||||
Initial Class | (8,677,685 | ) | (10,157,811 | ) | ||||
Service Class | (36,235,951 | ) | (9,736,334 | ) | ||||
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Increase (decrease) in net assets from fund share transactions | (44,913,636 | ) | (19,894,145 | ) | ||||
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Total increase (decrease) in net assets | (79,109,776 | ) | (1,215,384 | ) | ||||
Net assets* | ||||||||
Beginning of year | 476,137,079 | 477,352,463 | ||||||
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End of year | $ | 397,027,303 | $ | 476,137,079 | ||||
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* | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year RegulationS-X presentation changes. Refer to Note 2 for this prior year information. |
The accompanying notes are an integral part of the financial statements.
38
Table of Contents
MML Balanced Allocation Fund | MML Moderate Allocation Fund | MML Growth Allocation Fund | ||||||||||||||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||
$ | 10,343,559 | $ | 11,133,150 | $ | 36,852,395 | $ | 40,088,892 | $ | 21,702,965 | $ | 22,982,948 | |||||||||||
23,266,475 | 20,711,594 | 126,757,835 | 105,205,677 | 130,745,975 | 105,441,880 | |||||||||||||||||
(58,352,656 | ) | 30,903,077 | (286,045,480 | ) | 153,753,242 | (260,669,321 | ) | 117,606,564 | ||||||||||||||
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(24,742,622 | ) | 62,747,821 | (122,435,250 | ) | 299,047,811 | (108,220,381 | ) | 246,031,392 | ||||||||||||||
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(8,016,875 | ) | (8,430,852 | )* | (26,266,683 | ) | (27,061,575 | )* | (49,457,550 | ) | (52,625,520 | )* | |||||||||||
(25,727,972 | ) | (26,996,788 | )* | (124,671,100 | ) | (128,725,025 | )* | (81,733,948 | ) | (85,130,486 | )* | |||||||||||
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(33,744,847 | ) | (35,427,640 | ) | (150,937,783 | ) | (155,786,600 | ) | (131,191,498 | ) | (137,756,006 | ) | |||||||||||
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(10,129,837 | ) | (1,415,170 | ) | (21,673,573 | ) | (19,031,337 | ) | (22,368,057 | ) | (442,345 | ) | |||||||||||
(23,329,001 | ) | (263,281 | ) | (129,890,525 | ) | (40,068,539 | ) | (14,476,181 | ) | 11,701,041 | ||||||||||||
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(33,458,838 | ) | (1,678,451 | ) | (151,564,098 | ) | (59,099,876 | ) | (36,844,238 | ) | 11,258,696 | ||||||||||||
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(91,946,307 | ) | 25,641,730 | (424,937,131 | ) | 84,161,335 | (276,256,117 | ) | 119,534,082 | ||||||||||||||
599,353,820 | 573,712,090 | 2,464,871,654 | 2,380,710,319 | 1,728,340,735 | 1,608,806,653 | |||||||||||||||||
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$ | 507,407,513 | $ | 599,353,820 | $ | 2,039,934,523 | $ | 2,464,871,654 | $ | 1,452,084,618 | $ | 1,728,340,735 | |||||||||||
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39
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Statements of Changes in Net Assets
MML Aggressive Allocation Fund | ||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 1,491,704 | $ | 1,537,148 | ||||
Net realized gain (loss) | 14,143,351 | 7,674,076 | ||||||
Net change in unrealized appreciation (depreciation) | (28,171,514 | ) | 15,652,492 | |||||
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Net increase (decrease) in net assets resulting from operations | (12,536,459 | ) | 24,863,716 | |||||
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Distributions to shareholders (Note 2): | ||||||||
Initial Class | (4,023,507 | ) | (4,398,813 | )* | ||||
Service Class | (5,643,220 | ) | (5,976,807 | )* | ||||
Service Class I | - | - | ||||||
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Total distributions | (9,666,727 | ) | (10,375,620 | ) | ||||
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Net fund share transactions (Note 5): | ||||||||
Initial Class | (1,349,671 | ) | 1,722,871 | |||||
Service Class | 6,197,083 | 8,497,216 | ||||||
Service Class I | - | - | ||||||
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Increase (decrease) in net assets from fund share transactions | 4,847,412 | 10,220,087 | ||||||
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Total increase (decrease) in net assets | (17,355,774 | ) | 24,708,183 | |||||
Net assets* | ||||||||
Beginning of year | 156,763,112 | 132,054,929 | ||||||
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End of year | $ | 139,407,338 | $ | 156,763,112 | ||||
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* | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year RegulationS-X presentation changes. Refer to Note 2 for this prior year information. |
The accompanying notes are an integral part of the financial statements.
40
Table of Contents
MML American Funds Growth Fund | MML American Funds International Fund | MML American Funds Core Allocation Fund | ||||||||||||||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||
$ | 11,374 | $ | 110,310 | $ | 781,870 | $ | 496,676 | $ | 15,009,554 | $ | 12,957,792 | |||||||||||
24,089,387 | 20,411,936 | 3,966,820 | 2,109,074 | 77,288,807 | 78,116,274 | |||||||||||||||||
(24,719,323 | ) | 17,691,154 | (13,493,195 | ) | 14,131,377 | (140,549,710 | ) | 51,746,035 | ||||||||||||||
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(618,562 | ) | 38,213,400 | (8,744,505 | ) | 16,737,127 | (48,251,349 | ) | 142,820,101 | ||||||||||||||
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- | - | - | - | - | - | |||||||||||||||||
- | - | - | - | - | - | |||||||||||||||||
(20,518,506 | ) | (14,706,856 | )* | (2,601,370 | ) | (5,667,785 | )* | (91,047,579 | ) | (85,660,450 | )* | |||||||||||
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(20,518,506 | ) | (14,706,856 | ) | (2,601,370 | ) | (5,667,785 | ) | (91,047,579 | ) | (85,660,450 | ) | |||||||||||
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- | - | - | - | - | - | |||||||||||||||||
- | - | - | - | - | - | |||||||||||||||||
11,600,753 | 8,548,926 | 1,126,970 | 1,889,945 | 1,076,141 | 95,664,276 | |||||||||||||||||
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11,600,753 | 8,548,926 | 1,126,970 | 1,889,945 | 1,076,141 | 95,664,276 | |||||||||||||||||
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(9,536,315 | ) | 32,055,470 | (10,218,905 | ) | 12,959,287 | (138,222,787 | ) | 152,823,927 | ||||||||||||||
171,896,199 | 139,840,729 | 66,931,152 | 53,971,865 | 1,094,273,830 | 941,449,903 | |||||||||||||||||
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$ | 162,359,884 | $ | 171,896,199 | $ | 56,712,247 | $ | 66,931,152 | $ | 956,051,043 | $ | 1,094,273,830 | |||||||||||
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41
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Conservative Allocation Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assetsw | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 10.01 | $ | 0.22 | $ | (0.55 | ) | $ | (0.33 | ) | $ | (0.25 | ) | $ | (0.20 | ) | $ | (0.45 | ) | $ | 9.23 | (3.50% | ) | $ | 90,797 | 0.12% | 2.22% | |||||||||||||||||||||
12/31/17 | 9.63 | 0.22 | 0.70 | 0.92 | (0.23 | ) | (0.31 | ) | (0.54 | ) | 10.01 | 9.62% | 107,294 | 0.12% | 2.23% | |||||||||||||||||||||||||||||||||
12/31/16 | 9.83 | 0.20 | 0.37 | 0.57 | (0.24 | ) | (0.53 | ) | (0.77 | ) | 9.63 | 5.78% | 112,989 | 0.12% | 2.01% | |||||||||||||||||||||||||||||||||
12/31/15 | 10.94 | 0.21 | (0.25 | ) | (0.04 | ) | (0.32 | ) | (0.75 | ) | (1.07 | ) | 9.83 | (0.38% | ) | 117,636 | 0.12% | 1.96% | ||||||||||||||||||||||||||||||
12/31/14 | 11.40 | 0.25 | 0.33 | 0.58 | (0.29 | ) | (0.75 | ) | (1.04 | ) | 10.94 | 5.13% | 131,214 | 0.13% | 2.22% | |||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 9.90 | $ | 0.19 | $ | (0.53 | ) | $ | (0.34 | ) | $ | (0.23 | ) | $ | (0.20 | ) | $ | (0.43 | ) | $ | 9.13 | (3.70% | ) | $ | 306,230 | 0.37% | 1.94% | |||||||||||||||||||||
12/31/17 | 9.53 | 0.20 | 0.68 | 0.88 | (0.20 | ) | (0.31 | ) | (0.51 | ) | 9.90 | 9.33% | 368,843 | 0.37% | 2.00% | |||||||||||||||||||||||||||||||||
12/31/16 | 9.74 | 0.18 | 0.35 | 0.53 | (0.21 | ) | (0.53 | ) | (0.74 | ) | 9.53 | 5.48% | 364,364 | 0.37% | 1.80% | |||||||||||||||||||||||||||||||||
12/31/15 | 10.85 | 0.19 | (0.26 | ) | (0.07 | ) | (0.29 | ) | (0.75 | ) | (1.04 | ) | 9.74 | (0.63% | ) | 338,677 | 0.37% | 1.76% | ||||||||||||||||||||||||||||||
12/31/14 | 11.32 | 0.23 | 0.31 | 0.54 | (0.26 | ) | (0.75 | ) | (1.01 | ) | 10.85 | 4.83% | 342,234 | 0.38% | 2.01% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover ratex | 18 | % | 14 | % | 24 | % | 29 | % | 33 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
w | Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund. |
x | Amount does not include the portfolio activity of any underlying fund. |
The accompanying notes are an integral part of the financial statements.
42
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Balanced Allocation Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assetsw | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 10.16 | $ | 0.20 | $ | (0.61 | ) | $ | (0.41 | ) | $ | (0.24 | ) | $ | (0.39 | ) | $ | (0.63 | ) | $ | 9.12 | (4.47% | ) | $ | 116,177 | 0.12% | 2.00% | |||||||||||||||||||||
12/31/17 | 9.70 | 0.21 | 0.88 | 1.09 | (0.20 | ) | (0.43 | ) | (0.63 | ) | 10.16 | 11.48% | 139,773 | 0.12% | 2.06% | |||||||||||||||||||||||||||||||||
12/31/16 | 10.05 | 0.18 | 0.43 | 0.61 | (0.24 | ) | (0.72 | ) | (0.96 | ) | 9.70 | 6.15% | 134,716 | 0.12% | 1.84% | |||||||||||||||||||||||||||||||||
12/31/15 | 11.23 | 0.19 | (0.23 | ) | (0.04 | ) | (0.31 | ) | (0.83 | ) | (1.14 | ) | 10.05 | (0.36% | ) | 144,084 | 0.12% | 1.77% | ||||||||||||||||||||||||||||||
12/31/14 | 11.58 | 0.24 | 0.38 | 0.62 | (0.25 | ) | (0.72 | ) | (0.97 | ) | 11.23 | 5.35% | 167,530 | 0.12% | 2.05% | |||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 10.07 | $ | 0.17 | $ | (0.61 | ) | $ | (0.44 | ) | $ | (0.21 | ) | $ | (0.39 | ) | $ | (0.60 | ) | $ | 9.03 | (4.76% | ) | $ | 391,230 | 0.37% | 1.76% | |||||||||||||||||||||
12/31/17 | 9.62 | 0.18 | 0.88 | 1.06 | (0.18 | ) | (0.43 | ) | (0.61 | ) | 10.07 | 11.21% | 459,581 | 0.37% | 1.82% | |||||||||||||||||||||||||||||||||
12/31/16 | 9.98 | 0.16 | 0.42 | 0.58 | (0.22 | ) | (0.72 | ) | (0.94 | ) | 9.62 | 5.82% | 438,996 | 0.37% | 1.62% | |||||||||||||||||||||||||||||||||
12/31/15 | 11.16 | 0.17 | (0.23 | ) | (0.06 | ) | (0.29 | ) | (0.83 | ) | (1.12 | ) | 9.98 | (0.61% | ) | 427,682 | 0.37% | 1.56% | ||||||||||||||||||||||||||||||
12/31/14 | 11.52 | 0.21 | 0.37 | 0.58 | (0.22 | ) | (0.72 | ) | (0.94 | ) | 11.16 | 5.07% | 430,872 | 0.37% | 1.81% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover ratex | 17 | % | 15 | % | 18 | % | 26 | % | 23 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
w | Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund. |
x | Amount does not include the portfolio activity of any underlying fund. |
The accompanying notes are an integral part of the financial statements.
43
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Moderate Allocation Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assetsw | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 11.00 | $ | 0.19 | $ | (0.73 | ) | $ | (0.54 | ) | $ | (0.24 | ) | $ | (0.51 | ) | $ | (0.75 | ) | $ | 9.71 | (5.48% | ) | $ | 349,719 | 0.11% | 1.79% | |||||||||||||||||||||
12/31/17 | 10.38 | 0.20 | 1.15 | 1.35 | (0.20 | ) | (0.53 | ) | (0.73 | ) | 11.00 | 13.33% | 417,670 | 0.11% | 1.84% | |||||||||||||||||||||||||||||||||
12/31/16 | 10.66 | 0.18 | 0.54 | 0.72 | (0.23 | ) | (0.77 | ) | (1.00 | ) | 10.38 | 6.89% | 411,730 | 0.11% | 1.69% | |||||||||||||||||||||||||||||||||
12/31/15 | 11.83 | 0.18 | (0.26 | ) | (0.08 | ) | (0.28 | ) | (0.81 | ) | (1.09 | ) | 10.66 | (0.64% | ) | 416,556 | 0.11% | 1.59% | ||||||||||||||||||||||||||||||
12/31/14 | 12.10 | 0.21 | 0.47 | 0.68 | (0.21 | ) | (0.74 | ) | (0.95 | ) | 11.83 | 5.61% | 465,943 | 0.11% | 1.76% | |||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 10.88 | $ | 0.16 | $ | (0.72 | ) | $ | (0.56 | ) | $ | (0.21 | ) | $ | (0.51 | ) | $ | (0.72 | ) | $ | 9.60 | (5.70% | ) | $ | 1,690,215 | 0.36% | 1.54% | |||||||||||||||||||||
12/31/17 | 10.28 | 0.17 | 1.14 | 1.31 | (0.18 | ) | (0.53 | ) | (0.71 | ) | 10.88 | 12.99% | 2,047,202 | 0.36% | 1.60% | |||||||||||||||||||||||||||||||||
12/31/16 | 10.57 | 0.15 | 0.53 | 0.68 | (0.20 | ) | (0.77 | ) | (0.97 | ) | 10.28 | 6.59% | 1,968,981 | 0.36% | 1.45% | |||||||||||||||||||||||||||||||||
12/31/15 | 11.74 | 0.16 | (0.26 | ) | (0.10 | ) | (0.26 | ) | (0.81 | ) | (1.07 | ) | 10.57 | (0.86% | ) | 1,922,174 | 0.36% | 1.38% | ||||||||||||||||||||||||||||||
12/31/14 | 12.02 | 0.19 | 0.46 | 0.65 | (0.19 | ) | (0.74 | ) | (0.93 | ) | 11.74 | 5.37% | 1,790,903 | 0.36% | 1.55% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover ratex | 15 | % | 13 | % | 14 | % | 19 | % | 19 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
w | Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund. |
x | Amount does not include the portfolio activity of any underlying fund. |
The accompanying notes are an integral part of the financial statements.
44
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Growth Allocation Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assetsw | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 9.75 | $ | 0.14 | $ | (0.73 | ) | $ | (0.59 | ) | $ | (0.18 | ) | $ | (0.63 | ) | $ | (0.81 | ) | $ | 8.35 | (6.90% | ) | $ | 536,767 | 0.11% | 1.47% | |||||||||||||||||||||
12/31/17 | 9.16 | 0.15 | 1.28 | 1.43 | (0.15 | ) | (0.69 | ) | (0.84 | ) | 9.75 | 16.07% | 647,613 | 0.11% | 1.53% | |||||||||||||||||||||||||||||||||
12/31/16 | 9.69 | 0.13 | 0.58 | 0.71 | (0.19 | ) | (1.05 | ) | (1.24 | ) | 9.16 | 7.57% | 607,088 | 0.11% | 1.38% | |||||||||||||||||||||||||||||||||
12/31/15 | 11.28 | 0.13 | (0.21 | ) | (0.08 | ) | (0.28 | ) | (1.23 | ) | (1.51 | ) | 9.69 | (0.71% | ) | 605,993 | 0.11% | 1.22% | ||||||||||||||||||||||||||||||
12/31/14 | 11.80 | 0.16 | 0.52 | 0.68 | (0.19 | ) | (1.01 | ) | (1.20 | ) | 11.28 | 5.77% | 660,986 | 0.11% | 1.39% | |||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 9.67 | $ | 0.12 | $ | (0.73 | ) | $ | (0.61 | ) | $ | (0.15 | ) | $ | (0.63 | ) | $ | (0.78 | ) | $ | 8.28 | (7.10% | ) | $ | 915,318 | 0.36% | 1.22% | |||||||||||||||||||||
12/31/17 | 9.09 | 0.12 | 1.28 | 1.40 | (0.13 | ) | (0.69 | ) | (0.82 | ) | 9.67 | 15.81% | 1,080,728 | 0.36% | 1.27% | |||||||||||||||||||||||||||||||||
12/31/16 | 9.63 | 0.11 | 0.56 | 0.67 | (0.16 | ) | (1.05 | ) | (1.21 | ) | 9.09 | 7.23% | 1,001,718 | 0.36% | 1.13% | |||||||||||||||||||||||||||||||||
12/31/15 | 11.22 | 0.11 | (0.22 | ) | (0.11 | ) | (0.25 | ) | (1.23 | ) | (1.48 | ) | 9.63 | (0.97% | ) | 1,003,111 | 0.36% | 0.98% | ||||||||||||||||||||||||||||||
12/31/14 | 11.74 | 0.13 | 0.52 | 0.65 | (0.16 | ) | (1.01 | ) | (1.17 | ) | 11.22 | 5.56% | 1,034,580 | 0.36% | 1.14% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover ratex | 17 | % | 16 | % | 17 | % | 22 | % | 25 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
w | Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund. |
x | Amount does not include the portfolio activity of any underlying fund. |
The accompanying notes are an integral part of the financial statements.
45
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Aggressive Allocation Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assetsw | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 10.68 | $ | 0.12 | $ | (0.90 | ) | $ | (0.78 | ) | $ | (0.15 | ) | $ | (0.55 | ) | $ | (0.70 | ) | $ | 9.20 | (8.12% | ) | $ | 56,195 | 0.15% | 1.10% | |||||||||||||||||||||
12/31/17 | 9.67 | 0.12 | 1.65 | 1.77 | (0.12 | ) | (0.64 | ) | (0.76 | ) | 10.68 | 18.77% | 66,517 | 0.15% | 1.17% | |||||||||||||||||||||||||||||||||
12/31/16 | 10.10 | 0.11 | 0.72 | 0.83 | (0.16 | ) | (1.10 | ) | (1.26 | ) | 9.67 | 8.54% | 58,438 | 0.15% | 1.09% | |||||||||||||||||||||||||||||||||
12/31/15 | 11.86 | 0.10 | (0.20 | ) | (0.10 | ) | (0.25 | ) | (1.41 | ) | (1.66 | ) | 10.10 | (0.84% | ) | 55,420 | 0.16% | 0.92% | ||||||||||||||||||||||||||||||
12/31/14 | 12.38 | 0.12 | 0.60 | 0.72 | (0.14 | ) | (1.10 | ) | (1.24 | ) | 11.86 | 5.85% | 57,996 | 0.17% | 0.98% | |||||||||||||||||||||||||||||||||
Service Class | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 10.54 | $ | 0.09 | $ | (0.90 | ) | $ | (0.81 | ) | $ | (0.12 | ) | $ | (0.55 | ) | $ | (0.67 | ) | $ | 9.06 | (8.44% | ) | $ | 83,212 | 0.40% | 0.87% | |||||||||||||||||||||
12/31/17 | 9.56 | 0.10 | 1.62 | 1.72 | (0.10 | ) | (0.64 | ) | (0.74 | ) | 10.54 | 18.44% | 90,246 | 0.40% | 0.95% | |||||||||||||||||||||||||||||||||
12/31/16 | 10.00 | 0.08 | 0.72 | 0.80 | (0.14 | ) | (1.10 | ) | (1.24 | ) | 9.56 | 8.28% | 73,617 | 0.40% | 0.84% | |||||||||||||||||||||||||||||||||
12/31/15 | 11.76 | 0.08 | (0.21 | ) | (0.13 | ) | (0.22 | ) | (1.41 | ) | (1.63 | ) | 10.00 | (1.07% | ) | 67,973 | 0.41% | 0.69% | ||||||||||||||||||||||||||||||
12/31/14 | 12.29 | 0.09 | 0.59 | 0.68 | (0.11 | ) | (1.10 | ) | (1.21 | ) | 11.76 | 5.61% | 62,711 | 0.42% | 0.77% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover ratex | 19 | % | 20 | % | 19 | % | 22 | % | 31 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
w | Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund. |
x | Amount does not include the portfolio activity of any underlying fund. |
The accompanying notes are an integral part of the financial statements.
46
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML American Funds Growth Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waiversu | Ratio of expenses to average daily net assets after expense waiversu,j | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 14.37 | $ | 0.00 | d | $ | 0.15 | $ | 0.15 | $ | (0.04 | ) | $ | (1.78 | ) | $ | (1.82 | ) | $ | 12.70 | (0.73% | ) | $ | 162,360 | 0.69% | 0.69% | l | 0.01% | ||||||||||||||||||||||||
12/31/17 | 12.37 | 0.01 | 3.31 | 3.32 | (0.04 | ) | (1.28 | ) | (1.32 | ) | 14.37 | 27.78% | 171,896 | 0.68% | 0.68% | l | 0.07% | |||||||||||||||||||||||||||||||||||
12/31/16 | 14.53 | 0.05 | 1.16 | 1.21 | (0.03 | ) | (3.34 | ) | (3.37 | ) | 12.37 | 9.00% | 139,841 | 0.69% | 0.69% | l | 0.37% | |||||||||||||||||||||||||||||||||||
12/31/15 | 14.67 | 0.03 | 0.84 | 0.87 | (0.10 | ) | (0.91 | ) | (1.01 | ) | 14.53 | 6.41% | 127,667 | 0.69% | 0.69%l | 0.22% | ||||||||||||||||||||||||||||||||||||
12/31/14 | 14.14 | 0.12 | 1.00 | 1.12 | (0.06 | ) | (0.53 | ) | (0.59 | ) | 14.67 | 7.99% | 111,927 | 0.70% | 0.70% | l | 0.83% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover ratex | 12 | % | 11 | % | 8 | % | 7 | % | 4 | % |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Expenses incurred during the period fell under the expense cap. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
u | Expenses of the Master Fund are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of the Master Fund. |
x | Amount does not include the portfolio activity of the Master Fund. |
The accompanying notes are an integral part of the financial statements.
47
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML American Funds International Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waiversu | Ratio of expenses to average daily net assets after expense waiversu,j | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 10.93 | $ | 0.13 | $ | (1.55 | ) | $ | (1.42 | ) | $ | (0.09 | ) | $ | (0.35 | ) | $ | (0.44 | ) | $ | 9.07 | (13.52% | ) | $ | 56,712 | 0.73% | 0.70% | 1.24% | ||||||||||||||||||||||||
12/31/17 | 9.12 | 0.08 | 2.73 | 2.81 | (0.09 | ) | (0.91 | ) | (1.00 | ) | 10.93 | 31.65% | 66,931 | 0.72% | 0.70% | 0.80% | ||||||||||||||||||||||||||||||||||||
12/31/16 | 9.63 | 0.09 | 0.21 | 0.30 | (0.11 | ) | (0.70 | ) | (0.81 | ) | 9.12 | 2.97% | 53,972 | 0.72% | 0.70% | 0.94% | ||||||||||||||||||||||||||||||||||||
12/31/15 | 10.48 | 0.12 | (0.63 | ) | (0.51 | ) | (0.10 | ) | (0.24 | ) | (0.34 | ) | 9.63 | (4.93% | ) | 55,589 | 0.72% | 0.70% | 1.14% | |||||||||||||||||||||||||||||||||
12/31/14 | 11.27 | 0.11 | (0.43 | ) | (0.32 | ) | (0.10 | ) | (0.37 | ) | (0.47 | ) | 10.48 | (3.09% | ) | 51,341 | 0.73% | 0.70% | 1.02% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover ratex | 11 | % | 9 | % | 12 | % | 4 | % | 6 | % |
c | Per share amount calculated on the average shares method. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
u | Expenses of the Master Fund are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of the Master Fund. |
x | Amount does not include the portfolio activity of the Master Fund. |
The accompanying notes are an integral part of the financial statements.
48
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML American Funds Core Allocation Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assetsw | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.60 | $ | 0.17 | $ | (0.69 | ) | $ | (0.52 | ) | $ | (0.22 | ) | $ | (0.88 | ) | $ | (1.10 | ) | $ | 10.98 | (4.84% | ) | $ | 956,051 | 0.71% | 1.41% | |||||||||||||||||||||
12/31/17 | 11.94 | 0.16 | 1.56 | 1.72 | (0.18 | ) | (0.88 | ) | (1.06 | ) | 12.60 | 14.94% | 1,094,274 | 0.71% | 1.25% | |||||||||||||||||||||||||||||||||
12/31/16 | 12.08 | 0.16 | 0.92 | 1.08 | (0.24 | ) | (0.98 | ) | (1.22 | ) | 11.94 | 8.97% | 941,450 | 0.71% | 1.29% | |||||||||||||||||||||||||||||||||
12/31/15 | 12.72 | 0.16 | (0.31 | ) | (0.15 | ) | (0.17 | ) | (0.32 | ) | (0.49 | ) | 12.08 | (1.12% | ) | 813,103 | 0.71% | 1.28% | ||||||||||||||||||||||||||||||
12/31/14 | 12.28 | 0.21 | 0.78 | 0.99 | (0.13 | ) | (0.42 | ) | (0.55 | ) | 12.72 | 8.05% | 696,608 | 0.72% | 1.71% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover ratex | 15 | % | 16 | % | 7 | % | 3 | % | 3 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
w | Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund. |
x | Amount does not include the portfolio activity of any underlying fund. |
The accompanying notes are an integral part of the financial statements.
49
Table of Contents
1. | The Funds |
MML Series Investment Fund (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as ano-load,open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated December 19, 1984, as restated May 14, 1993, and further amended and restated as of December 15, 2011, as it may be further amended from time to time. The following are eight series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):
MML Conservative Allocation Fund (“Conservative Allocation Fund”)
MML Balanced Allocation Fund (“Balanced Allocation Fund”)
MML Moderate Allocation Fund (“Moderate Allocation Fund”)
MML Growth Allocation Fund (“Growth Allocation Fund”)
MML Aggressive Allocation Fund (“Aggressive Allocation Fund”)
MML American Funds® Growth Fund (“MML American Funds Growth Fund”)
MML American Funds® International Fund (“MML American Funds International Fund”)
MML American Funds Core Allocation Fund (“MML American Funds Core Allocation Fund”)
The Trust makes shares of the Funds available for the investment of assets of various separate investment accounts established by Massachusetts Mutual Life Insurance Company (“MassMutual”) and by life insurance companies which are subsidiaries of MassMutual. Shares of the Trust are not offered to the general public. MassMutual, MML Bay State Life Insurance Company, and C.M. Life Insurance Company are the record owners of all of the outstanding shares of the Funds.
Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.
The Conservative Allocation Fund, Balanced Allocation Fund, Moderate Allocation Fund, Growth Allocation Fund, and Aggressive Allocation Fund (the “Allocation Funds”) invest their investable assets in shares of series of the Trust and MML Series Investment Fund II (advised by MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of MassMutual), Oppenheimer Funds (advised by OFI Global Asset Management, Inc. (“OFI Global Asset Management”), a majority-owned, indirect subsidiary of MassMutual), andnon-affiliated funds (together, the “MML Underlying Funds”). The financial statements included herein are those of the Funds. The financial statements of the applicable MML Underlying Funds are presented separately and can be obtained from the Securities and Exchange Commission’s (“SEC”) EDGAR database on its website at http://www.sec.gov or by calling MML Advisers at1-888-309-3539.
MML American Funds Growth Fund and MML American Funds International Fund (each a “Feeder Fund,” collectively the “Feeder Funds”) invest all of their assets in Class 1 shares of the Growth and International Funds, respectively, each a series of the American Funds Insurance Series (each a “Master Fund,” collectively the “Master Funds”). Each Master Fund is anopen-end investment company and organized as a Massachusetts business trust. Each Feeder Fund has an investment objective that is consistent with its corresponding Master Fund. Each Master Fund intends to comply with the requirements under Subchapter M of the Internal Revenue Code applicable to mutual funds and intends to distribute substantially all of its taxable income and capital gains to shareholders, which includes the applicable Feeder Fund, to qualify as a regulated investment company. The performance of the Feeder Funds is directly affected by the performance of the Master Funds. The financial statements of the Master Funds, including the Summary Investment Portfolios, are provided separately and should be read in conjunction with the Feeder Funds’ financial statements. As of December 31, 2018, the MML American Funds Growth Fund and MML American Funds International Fund owned 69% and 63% of the Growth and International Master Funds, respectively. The MML American Funds Core Allocation Fund invests all of its investable assets in shares of various series of American Funds Insurance Series, which are managed by Capital Research and Management Company (together, the “American Underlying Funds” and collectively with the MML Underlying Funds, the “Underlying Funds”).
The SEC file number for the American Funds Insurance Series is811-03857. Additional information related to the Master Funds’ and American Underlying Funds’ financial reports can be located on the SEC’s EDGAR database on its website at http://www.sec.gov.
50
Table of Contents
Notes to Financial Statements(Continued)
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies.
New Disclosure Requirements
Pursuant to amendments to certain disclosure requirements in Regulation S-X adopted by the SEC, the presentation of certain disclosures within the Statements of Assets and Liabilities and the Statements of Changes in Net Assets have been conformed to meet these new requirements. There is no longer a requirement to present the components of distributable earnings on the Statements of Assets and Liabilities. Adjustments to the Statements of Changes in Net Assets include updates to prior year distributions to shareholders, distributions in excess of net investment income, and undistributed net investment income.
The following is a summary of the previously disclosed amounts, as reported at December 31, 2017:
Conservative Allocation Fund | Balanced Allocation Fund | Moderate Allocation Fund | Growth Allocation Fund | |||||||||||||
Distributions to shareholders | ||||||||||||||||
From net investment income: | ||||||||||||||||
Initial Class | $ | (2,403,173 | ) | $ | (2,662,293 | ) | $ | (7,462,860 | ) | $ | (9,408,950 | ) | ||||
Service Class | (7,118,539 | ) | (7,790,707 | ) | (31,997,619 | ) | (13,200,957 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (9,521,712 | ) | (10,453,000 | ) | (39,460,479 | ) | (22,609,907 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
From net realized gains: | ||||||||||||||||
Initial Class | (3,272,357 | ) | (5,768,559 | ) | (19,598,715 | ) | (43,216,570 | ) | ||||||||
Service Class | (10,920,916 | ) | (19,206,081 | ) | (96,727,406 | ) | (71,929,529 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | (14,193,273 | ) | (24,974,640 | ) | (116,326,121 | ) | (115,146,099 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income at end of year | $ | 10,268,085 | $ | 11,989,816 | $ | 44,411,862 | $ | 26,448,630 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Aggressive Allocation Fund | MML American Funds Growth Fund | MML American Funds International Fund | MML American Funds Core Allocation Fund | |||||||||||||
Distributions to shareholders | ||||||||||||||||
From net investment income: | ||||||||||||||||
Initial Class | $ | (703,424 | ) | $ | - | $ | - | $ | - | |||||||
Service Class | (810,785 | ) | - | - | - | |||||||||||
Service Class I | - | (471,539 | ) | (507,482 | ) | (14,606,463 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (1,514,209 | ) | (471,539 | ) | (507,482 | ) | (14,606,463 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
From net realized gains: | ||||||||||||||||
Initial Class | (3,695,389 | ) | - | - | - | |||||||||||
Service Class | (5,166,022 | ) | - | - | - | |||||||||||
Service Class I | - | (14,235,317 | ) | (5,160,303 | ) | (71,053,987 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | (8,861,411 | ) | (14,235,317 | ) | (5,160,303 | ) | (71,053,987 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income at end of year | $ | 1,903,413 | $ | 476,348 | $ | 512,758 | $ | 18,092,335 | ||||||||
|
|
|
|
|
|
|
|
51
Table of Contents
Notes to Financial Statements(Continued)
Investment Valuation
The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Trustees, and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, each Fund’s net asset value generally is not calculated and the Funds do not anticipate accepting buy or sell orders. However, the value of each Fund’s assets may still be affected on such days to the extent that an Underlying Fund or Master Fund holds foreign securities that trade on days that foreign securities markets are open.
The net asset value of each Fund is based upon the net asset value(s) of its corresponding Master Fund or Underlying Funds. Shares of the Master Fund and Underlying Funds are valued at their closing net asset values as reported on each business day.
Certain Underlying Funds or Master Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day.
The Prospectuses and Statements of Additional Information (“SAIs”) for the Underlying Funds and Master Funds, as applicable, explain the valuation methods for the Underlying Funds and Master Funds, including the circumstances under which the Underlying Funds or Master Funds, may use fair value pricing and the effects of doing so. Such Prospectuses and SAIs are available on the SEC’s EDGAR database on its website at http://www.sec.gov.
Various inputs may be used to determine the value of the Funds’ investments. The Funds categorize the inputs to valuation techniques used to value their investments into a disclosure hierarchy consisting of three levels as summarized below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
Each Fund characterized all investments at Level 1, as of December 31, 2018. For each Fund, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
The Funds had no transfers between Level 1, Level 2, and Level 3 of the fair value hierarchy during the year ended December 31, 2018. The Funds recognize transfers between the Levels as of the beginning of the year.
Accounting for Investment Transactions
Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and distributions including realized gain distributions are recorded on theex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on theex-dividend date or as soon as practicable after the Fund determines the existence of a
52
Table of Contents
Notes to Financial Statements(Continued)
dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds determine the classification of distributions received as return of capital distributions or capital gain distributions.
Allocation of Operating Activity
In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among the classes to which the expense relates based on relative net assets.
In addition, each Fund will also incur certain fees and expenses indirectly as a shareholder in the Underlying Funds or Master Funds. Because the Underlying Funds have varied expense and fee levels, and the Allocation Funds and MML American Funds Core Allocation Fund may own different proportions of Underlying Funds at different times, the amount of fees and expenses indirectly incurred by each of the Allocation Funds and MML American Funds Core Allocation Fund will vary.
Foreign Securities
Certain Underlying Funds or Master Funds may invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.
Federal Income Tax
It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended, applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.
Dividends and Distributions to Shareholders
Dividends from net investment income and distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.
Distributions to shareholders are recorded on theex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.
3. | Advisory Fees and Other Transactions |
Investment Advisory Fees
MML Advisers, a wholly-owned subsidiary of MassMutual, serves as investment adviser to each Fund. Under the investment advisory agreements between MML Advisers and the Trust on behalf of each Fund, MML Advisers is responsible for providing
53
Table of Contents
Notes to Financial Statements(Continued)
investment management services for each Fund. In return for these services, MML Advisers receives advisory fees, based upon each Fund’s average daily net assets, computed and accrued daily and payable monthly, at the following annual rates:
Fund | Investment Advisory Fee | |
Conservative Allocation Fund | 0.10% | |
Balanced Allocation Fund | 0.10% | |
Moderate Allocation Fund | 0.10% | |
Growth Allocation Fund | 0.10% | |
Aggressive Allocation Fund | 0.10% | |
MML American Funds Growth Fund | 0.15% on the first $500 million; and | |
0.125% on any excess over $500 million | ||
MML American Funds International Fund | 0.15% on the first $500 million; and | |
0.125% on any excess over $500 million | ||
MML American Funds Core Allocation Fund | 0.20% on the first $750 million; and | |
0.175% on any excess over $750 million |
Administration Fees
For the MML American Funds Growth Fund, MML American Funds International Fund, and MML American Funds Core Allocation Fund, under a separate Administrative and Shareholder Services Agreement between the Trust and MML Advisers, on behalf of each Fund, MML Advisers is obligated to provide administrative and shareholder services and bear some of the Fund specific administrative expenses. In return for these services, MML Advisers receives an administrative services fee based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:
Service Class I | ||||
MML American Funds Growth Fund | 0.25% | |||
MML American Funds International Fund | 0.25% | |||
MML American Funds Core Allocation Fund | 0.25% |
Distribution and Service Fees
MML Distributors, LLC (the “Distributor”) acts as distributor to the Funds. Pursuant to a Distribution and Services Plan adopted by the Funds pursuant to Rule 12b-1 under the 1940 Act, Service Class shares and Service Class I shares of the Funds pay an annual fee of 0.25% of the average daily net asset value of Service Class shares and Service Class I shares. This fee, or a portion thereof, is paid to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Service Class shares or Service Class I shares, as applicable, of each Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Service Class and Service Class I shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.
Expense Caps and Waivers
MML Advisers has agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Master Fund Fees and Expenses#, interest expense, short sale dividend and loan expense, or other non-recurring or
54
Table of Contents
Notes to Financial Statements(Continued)
unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable) based upon the average daily net assets of the applicable class of shares of the Funds, as follows:
Service Class I | ||||
MML American Funds Growth Fund* | 0.70% | |||
MML American Funds International Fund* | 0.70% |
# | Master Fund Fees and Expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles. |
* | Expense caps in effect through April 30, 2019. |
Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.
Deferred Compensation
Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of aNon-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.
Other
Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.
4. | Purchases and Sales of Investments |
Cost of purchases and proceeds from sales of investments in Underlying Funds or Master Funds (excluding short-term investments) for the year ended December 31, 2018, were as follows:
Purchases | Sales | |||||||||||||||
Long-Term U.S. Government Securities | Other Long-Term Securities | Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||||||||
Conservative Allocation Fund | $ | - | $ | 78,761,547 | $ | - | $ | 117,483,087 | ||||||||
Balanced Allocation Fund | - | 96,926,057 | - | 127,815,645 | ||||||||||||
Moderate Allocation Fund | - | 351,187,597 | - | 488,003,753 | ||||||||||||
Growth Allocation Fund | - | 285,791,721 | - | 317,837,246 | ||||||||||||
Aggressive Allocation Fund | - | 39,059,757 | - | 29,042,833 | ||||||||||||
MML American Funds Growth Fund | - | 29,441,324 | - | 20,895,009 | ||||||||||||
MML American Funds International Fund | - | 9,624,056 | - | 7,290,900 | ||||||||||||
MML American Funds Core Allocation Fund | - | 161,100,789 | - | 189,771,269 |
55
Table of Contents
Notes to Financial Statements(Continued)
5. | Capital Share Transactions |
Changes in shares outstanding for each Fund were as follows:
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Conservative Allocation Fund Initial Class | ||||||||||||||||
Sold | 1,216,359 | $ | 12,019,373 | 1,066,692 | $ | 10,625,566 | ||||||||||
Issued as reinvestment of dividends | 470,116 | 4,578,931 | 582,703 | 5,675,530 | ||||||||||||
Redeemed | (2,572,001 | ) | (25,275,989 | ) | (2,661,802 | ) | (26,458,907 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (885,526 | ) | $ | (8,677,685 | ) | (1,012,407 | ) | $ | (10,157,811 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Conservative Allocation Fund Service Class | ||||||||||||||||
Sold | 3,680,576 | $ | 35,883,005 | 3,521,990 | $ | 34,679,532 | ||||||||||
Issued as reinvestment of dividends | 1,506,078 | 14,533,651 | 1,869,374 | 18,039,455 | ||||||||||||
Redeemed | (8,898,513 | ) | (86,652,607 | ) | (6,363,380 | ) | (62,455,321 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,711,859 | ) | $ | (36,235,951 | ) | (972,016 | ) | $ | (9,736,334 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Allocation Fund Initial Class | ||||||||||||||||
Sold | 622,909 | $ | 6,214,916 | 1,315,628 | $ | 13,246,040 | ||||||||||
Issued as reinvestment of dividends | 820,560 | 8,016,875 | 858,539 | 8,430,852 | ||||||||||||
Redeemed | (2,461,785 | ) | (24,361,628 | ) | (2,295,300 | ) | (23,092,062 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,018,316 | ) | $ | (10,129,837 | ) | (121,133 | ) | $ | (1,415,170 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Allocation Fund Service Class | ||||||||||||||||
Sold | 3,628,825 | $ | 35,792,065 | 3,679,064 | $ | 36,764,859 | ||||||||||
Issued as reinvestment of dividends | 2,655,105 | 25,727,972 | 2,771,744 | 26,996,788 | ||||||||||||
Redeemed | (8,622,192 | ) | (84,849,038 | ) | (6,410,824 | ) | (64,024,928 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,338,262 | ) | $ | (23,329,001 | ) | 39,984 | $ | (263,281 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Moderate Allocation Fund Initial Class | ||||||||||||||||
Sold | 965,226 | $ | 10,462,004 | 1,364,854 | $ | 14,884,724 | ||||||||||
Issued as reinvestment of dividends | 2,489,733 | 26,266,683 | 2,562,649 | 27,061,575 | ||||||||||||
Redeemed | (5,423,874 | ) | (58,402,260 | ) | (5,613,792 | ) | (60,977,636 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,968,915 | ) | $ | (21,673,573 | ) | (1,686,289 | ) | $ | (19,031,337 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Moderate Allocation Fund Service Class | ||||||||||||||||
Sold | 5,179,339 | $ | 55,525,490 | 5,979,714 | $ | 64,293,602 | ||||||||||
Issued as reinvestment of dividends | 11,941,676 | 124,671,100 | 12,318,184 | 128,725,025 | ||||||||||||
Redeemed | (29,262,401 | ) | (310,087,115 | ) | (21,716,011 | ) | (233,087,166 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (12,141,386 | ) | $ | (129,890,525 | ) | (3,418,113 | ) | $ | (40,068,539 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Growth Allocation Fund Initial Class | ||||||||||||||||
Sold | 1,618,107 | $ | 15,066,584 | 1,513,269 | $ | 14,544,847 | ||||||||||
Issued as reinvestment of dividends | 5,329,477 | 49,457,550 | 5,683,102 | 52,625,520 | ||||||||||||
Redeemed | (9,127,446 | ) | (86,892,191 | ) | (7,026,762 | ) | (67,612,712 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,179,862 | ) | $ | (22,368,057 | ) | 169,609 | $ | (442,345 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Growth Allocation Fund Service Class | ||||||||||||||||
Sold | 4,096,589 | $ | 38,454,566 | 3,035,792 | $ | 28,983,498 | ||||||||||
Issued as reinvestment of dividends | 8,874,479 | 81,733,948 | 9,263,382 | 85,130,486 | ||||||||||||
Redeemed | (14,209,662 | ) | (134,664,695 | ) | (10,675,133 | ) | (102,412,943 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,238,594 | ) | $ | (14,476,181 | ) | 1,624,041 | $ | 11,701,041 | ||||||||
|
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|
|
|
|
|
|
56
Table of Contents
Notes to Financial Statements(Continued)
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Aggressive Allocation Fund Initial Class | ||||||||||||||||
Sold | 586,179 | $ | 6,224,912 | 577,723 | $ | 6,004,822 | ||||||||||
Issued as reinvestment of dividends | 385,393 | 4,023,507 | 437,693 | 4,398,813 | ||||||||||||
Redeemed | (1,086,527 | ) | (11,598,090 | ) | (831,073 | ) | (8,680,764 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (114,955 | ) | $ | (1,349,671 | ) | 184,343 | $ | 1,722,871 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Aggressive Allocation Fund Service Class | ||||||||||||||||
Sold | 1,017,849 | $ | 10,420,943 | 1,138,147 | $ | 11,593,094 | ||||||||||
Issued as reinvestment of dividends | 547,886 | 5,643,220 | 602,501 | 5,976,807 | ||||||||||||
Redeemed | (945,718 | ) | (9,867,080 | ) | (881,981 | ) | (9,072,685 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 620,017 | $ | 6,197,083 | 858,667 | $ | 8,497,216 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
MML American Funds Growth Fund Service Class I | ||||||||||||||||
Sold | 1,459,874 | $ | 21,236,847 | 1,304,886 | $ | 17,982,588 | ||||||||||
Issued as reinvestment of dividends | 1,383,581 | 20,518,506 | 1,108,278 | 14,706,856 | ||||||||||||
Redeemed | (2,025,375 | ) | (30,154,600 | ) | (1,755,361 | ) | (24,140,518 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 818,080 | $ | 11,600,753 | 657,803 | $ | 8,548,926 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
MML American Funds International Fund Service Class I | ||||||||||||||||
Sold | 780,190 | $ | 8,044,044 | 576,856 | $ | 5,835,785 | ||||||||||
Issued as reinvestment of dividends | 249,412 | 2,601,370 | 555,665 | 5,667,785 | ||||||||||||
Redeemed | (897,346 | ) | (9,518,444 | ) | (923,562 | ) | (9,613,625 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 132,256 | $ | 1,126,970 | 208,959 | $ | 1,889,945 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
MML American Funds Core Allocation Fund Service Class I | ||||||||||||||||
Sold | 3,821,495 | $ | 46,993,936 | 8,498,879 | $ | 105,750,324 | ||||||||||
Issued as reinvestment of dividends | 7,619,044 | 91,047,579 | 7,210,476 | 85,660,450 | ||||||||||||
Redeemed | (11,227,591 | ) | (136,965,374 | ) | (7,681,655 | ) | (95,746,498 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 212,948 | $ | 1,076,141 | 8,027,700 | $ | 95,664,276 | ||||||||||
|
|
|
|
|
|
|
|
6. Federal Income Tax Information
At December 31, 2018, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Conservative Allocation Fund | $ | 435,096,205 | $ | 333,075 | $ | (38,034,268 | ) | $ | (37,701,193 | ) | ||||||
Balanced Allocation Fund | 560,194,541 | 380,984 | (52,716,213 | ) | (52,335,229 | ) | ||||||||||
Moderate Allocation Fund | 2,260,035,653 | 1,798,171 | (220,172,772 | ) | (218,374,601 | ) | ||||||||||
Growth Allocation Fund | 1,612,964,876 | 2,641,226 | (162,444,978 | ) | (159,803,752 | ) | ||||||||||
Aggressive Allocation Fund | 159,419,128 | 189,615 | (20,057,397 | ) | (19,867,782 | ) | ||||||||||
MML American Funds Growth Fund | 164,690,451 | - | (2,098,738 | ) | (2,098,738 | ) | ||||||||||
MML American Funds International Fund | 60,021,230 | - | (3,212,864 | ) | (3,212,864 | ) | ||||||||||
MML American Funds Core Allocation Fund | 1,013,928,933 | - | (56,689,087 | ) | (56,689,087 | ) |
57
Table of Contents
Notes to Financial Statements(Continued)
Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Underpre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization ofpre-enactment losses.
At December 31, 2018, for federal income tax purposes, there were no unused capital losses.
Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2018, was as follows:
Ordinary Income | Long Term Capital Gain | |||||||
Conservative Allocation Fund | $ | 10,334,933 | $ | 8,777,649 | ||||
Balanced Allocation Fund | 12,058,721 | 21,686,126 | ||||||
Moderate Allocation Fund | 44,660,932 | 106,276,851 | ||||||
Growth Allocation Fund | 27,277,596 | 103,913,902 | ||||||
Aggressive Allocation Fund | 1,917,769 | 7,748,958 | ||||||
MML American Funds Growth Fund | 490,445 | 20,028,061 | ||||||
MML American Funds International Fund | 519,756 | 2,081,614 | ||||||
MML American Funds Core Allocation Fund | 18,186,189 | 72,861,390 |
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2017, was as follows:
Ordinary Income | Long Term Capital Gain | |||||||
Conservative Allocation Fund | $ | 9,521,712 | $ | 14,193,273 | ||||
Balanced Allocation Fund | 10,453,000 | 24,974,640 | ||||||
Moderate Allocation Fund | 39,460,479 | 116,326,121 | ||||||
Growth Allocation Fund | 22,609,907 | 115,146,099 | ||||||
Aggressive Allocation Fund | 1,514,209 | 8,861,411 | ||||||
MML American Funds Growth Fund | 471,539 | 14,235,317 | ||||||
MML American Funds International Fund | 507,482 | 5,160,303 | ||||||
MML American Funds Core Allocation Fund | 14,606,463 | 71,053,987 |
The following Fund(s) have elected to pass through the foreign tax credit for the year ended December 31, 2018:
Amount | ||||
Conservative Allocation Fund | $ | 39,135 | ||
Balanced Allocation Fund | 69,094 | |||
Moderate Allocation Fund | 423,464 | |||
Growth Allocation Fund | 390,805 | |||
Aggressive Allocation Fund | 45,168 | |||
MML American Funds International Fund | 92,674 | |||
MML American Funds Core Allocation Fund | 204,018 |
58
Table of Contents
Notes to Financial Statements(Continued)
Capital accounts within the financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At December 31, 2018, temporary book and tax accounting differences were primarily attributable to the deferral of wash sale losses and deferred Trustee compensation.
At December 31, 2018, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long Term Capital Gain (Capital Loss Carryover) | Other Temporary Differences | Unrealized Appreciation (Depreciation) | |||||||||||||
Conservative Allocation Fund | $ | 10,342,992 | $ | 15,457,653 | $ | (62,017 | ) | $ | (37,701,193 | ) | ||||||
Balanced Allocation Fund | 12,564,822 | 24,552,520 | (75,688 | ) | (52,335,229 | ) | ||||||||||
Moderate Allocation Fund | 48,785,866 | 126,799,289 | (279,836 | ) | (218,374,601 | ) | ||||||||||
Growth Allocation Fund | 32,280,327 | 126,242,935 | (228,037 | ) | (159,803,752 | ) | ||||||||||
Aggressive Allocation Fund | 2,782,163 | 13,636,022 | (16,613 | ) | (19,867,782 | ) | ||||||||||
MML American Funds Growth Fund | 581,641 | 23,521,702 | (16,900 | ) | (2,098,738 | ) | ||||||||||
MML American Funds International Fund | 1,681,466 | 3,099,871 | (7,818 | ) | (3,212,864 | ) | ||||||||||
MML American Funds Core Allocation Fund | 23,619,076 | 70,110,677 | (109,938 | ) | (56,689,087 | ) |
During the year ended December 31, 2018, the following amounts were reclassified due to permanent differences between book and tax accounting:
Paid-in Capital | Accumulated Net Realized Gain (Loss) on Investments | Undistributed Net Investment Income (Loss) | ||||||||||
Conservative Allocation Fund | $ | 491 | $ | (1,396,475 | ) | $ | 1,395,984 | |||||
Balanced Allocation Fund | 593 | (2,215,073 | ) | 2,214,480 | ||||||||
Moderate Allocation Fund | 2,154 | (11,904,860 | ) | 11,902,706 | ||||||||
Growth Allocation Fund | 1,796 | (10,560,538 | ) | 10,558,742 | ||||||||
Aggressive Allocation Fund | 124 | (1,288,326 | ) | 1,288,202 | ||||||||
MML American Funds Growth Fund | 123 | (567,587 | ) | 567,464 | ||||||||
MML American Funds International Fund | 60 | (898,836 | ) | 898,776 | ||||||||
MML American Funds Core Allocation Fund | 816 | (8,594,254 | ) | 8,593,438 |
The Funds did not have any unrecognized tax benefits at December 31, 2018, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the year ended December 31, 2018, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.
59
Table of Contents
Notes to Financial Statements(Continued)
7. | Investment in Affiliated Issuers |
A summary of the Funds’ transactions in the securities of affiliated issuers during the year ended December 31, 2018, was as follows:
Beginning Value as of 12/31/17 | Purchases | Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain (Loss) | Value as of 12/31/18 | Number of Shares Held as of 12/31/18 | Dividend Income | Realized Gains Distributions | ||||||||||||||||||||||||||||
Conservative Allocation Fund |
| |||||||||||||||||||||||||||||||||||
MML Blue Chip Growth Fund, Initial Class | $ | 11,453,863 | $ | 4,340,914 | $ | (5,835,235 | ) | $ | (2,408,029 | ) | $ | 1,088,241 | $ | 8,639,754 | 591,764 | $ | - | $ | 1,906,692 | |||||||||||||||||
MML Dynamic Bond Fund, Class II | 67,820,671 | 3,519,333 | (6,000,000 | ) | (2,139,022 | ) | (164,003 | ) | 63,036,979 | 6,559,519 | 2,204,333 | - | ||||||||||||||||||||||||
MML Equity Income Fund, Initial Class | 12,975,913 | 5,157,269 | (4,539,178 | ) | (2,363,761 | ) | 28,790 | 11,259,033 | 1,121,418 | 222,008 | 1,147,269 | |||||||||||||||||||||||||
MML Equity Index Fund, Class III | 13,611,967 | 705,540 | (1,200,000 | ) | (1,435,072 | ) | 199,120 | 11,881,555 | 423,585 | 240,922 | 464,618 | |||||||||||||||||||||||||
MML Focused Equity Fund, Class II | 2,381,942 | 2,500,897 | (1,170,613 | ) | (863,578 | ) | (439,257 | ) | 2,409,391 | 452,043 | 59,833 | 1,270,815 | ||||||||||||||||||||||||
MML Foreign Fund, Initial Class | 9,891,708 | 1,921,258 | (2,017,087 | ) | (1,818,199 | ) | 131,100 | 8,108,780 | 876,625 | 207,224 | - | |||||||||||||||||||||||||
MML Fundamental Growth Fund, Class II | 8,502,554 | 3,937,665 | (4,333,121 | ) | (2,128,842 | ) | 277,542 | 6,255,798 | 667,641 | 77,323 | 2,081,991 | |||||||||||||||||||||||||
MML Fundamental Value Fund, Class II | 12,563,957 | 3,187,592 | (5,072,827 | ) | (2,074,740 | ) | (88,988 | ) | 8,514,994 | 687,802 | 183,613 | 1,025,439 | ||||||||||||||||||||||||
MML Global Fund, Class I | 12,177,458 | 3,124,306 | (2,414,181 | ) | (2,541,487 | ) | (8,315 | ) | 10,337,781 | 1,008,564 | 127,089 | 1,397,115 | ||||||||||||||||||||||||
MML High Yield Fund, Class II | 14,332,217 | 848,348 | (2,099,999 | ) | (999,733 | ) | (268,698 | ) | 11,812,135 | 1,302,330 | 848,348 | - | ||||||||||||||||||||||||
MML Income & Growth Fund, Initial Class | 13,587,795 | 6,579,157 | (3,395,987 | ) | (4,604,419 | ) | 62,674 | 12,229,220 | 1,440,426 | 215,433 | 2,866,560 | |||||||||||||||||||||||||
MML Inflation-Protected and Income Fund, Initial Class | 20,240,785 | 2,028,727 | (4,923,907 | ) | (535,354 | ) | (301,326 | ) | 16,508,925 | 1,698,449 | 577,116 | - | ||||||||||||||||||||||||
MML International Equity Fund, Class II | 7,597,510 | 2,798,969 | (1,791,351 | ) | (2,126,471 | ) | 269,179 | 6,747,836 | 757,333 | 110,409 | 53,262 | |||||||||||||||||||||||||
MML Large Cap Growth Fund, Initial Class | 3,952,062 | 2,164,066 | (3,343,789 | ) | (169,229 | ) | (3,786 | ) | 2,599,324 | 268,525 | 18,672 | 210,939 | ||||||||||||||||||||||||
MML Managed Bond Fund, Initial Class | 100,563,014 | 14,298,041 | (31,857,391 | ) | (2,099,953 | ) | (1,640,014 | ) | 79,263,697 | 6,641,562 | 3,109,900 | - | ||||||||||||||||||||||||
MML Mid Cap Growth Fund, Initial Class | 7,962,302 | 1,699,782 | (1,874,400 | ) | (1,090,763 | ) | 81,558 | 6,778,479 | 486,261 | - | 955,449 | |||||||||||||||||||||||||
MML Mid Cap Value Fund, Initial Class | 10,285,049 | 2,049,254 | (2,334,944 | ) | (2,013,734 | ) | (200,291 | ) | 7,785,334 | 832,656 | 140,913 | 965,626 | ||||||||||||||||||||||||
MML Short-Duration Bond Fund, Class II | 25,435,499 | 3,224,323 | (8,247,669 | ) | (164,098 | ) | (155,476 | ) | 20,092,579 | 2,095,159 | 670,090 | - | ||||||||||||||||||||||||
MML Small Cap Growth Equity Fund, Initial Class | 2,374,588 | 626,962 | (1,311,908 | ) | (262,371 | ) | 14,518 | 1,441,789 | 112,493 | - | 243,946 | |||||||||||||||||||||||||
MML Small Company Value Fund, Class II | 4,815,407 | 734,960 | (1,076,963 | ) | (784,557 | ) | (35,082 | ) | 3,653,765 | 263,619 | 15,197 | 272,989 | ||||||||||||||||||||||||
MML Small/Mid Cap Value Fund, Initial Class | 2,496,808 | 387,305 | (673,122 | ) | (499,612 | ) | (37,622 | ) | 1,673,757 | 157,604 | 10,477 | 236,733 | ||||||||||||||||||||||||
MML Strategic Emerging Markets Fund, Class II | - | 500,000 | - | 495 | - | 500,495 | 49,456 | - | - | |||||||||||||||||||||||||||
MML Total Return Bond Fund, Class II | 60,022,275 | 6,517,807 | (13,918,003 | ) | (790,505 | ) | (438,728 | ) | 51,392,846 | 5,058,351 | 1,048,854 | - | ||||||||||||||||||||||||
Oppenheimer Discovery Mid Cap Growth Fund/VA,Non-Service Shares* | 2,673,680 | 828,235 | (575,652 | ) | (535,371 | ) | 53,640 | 2,444,532 | 35,609 | - | 370,178 | |||||||||||||||||||||||||
Oppenheimer Global Fund/VA,Non-Service Shares* | 7,978,470 | 1,540,017 | (2,081,563 | ) | (1,635,841 | ) | 213,960 | 6,015,043 | 158,291 | 73,494 | 519,596 | |||||||||||||||||||||||||
Oppenheimer Global Multi-Alternatives Fund/VA,Non-Service Shares* | 31,262,882 | 109,221 | (3,800,000 | ) | (633,163 | ) | (375,183 | ) | 26,563,757 | 2,799,131 | 109,221 | - | ||||||||||||||||||||||||
Oppenheimer International Growth Fund/VA,Non-Service Shares* | 6,713,523 | 1,451,604 | (1,594,197 | ) | (1,356,526 | ) | 31,978 | 5,246,382 | 2,584,425 | 52,462 | 118,716 | |||||||||||||||||||||||||
Oppenheimer Main Street Fund/VA,Non-Service Shares* | 2,823,284 | 1,979,995 | - | (602,227 | ) | - | 4,201,052 | 156,697 | 32,857 | 247,138 | ||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 476,497,183 | $ | 78,761,547 | $ | (117,483,087 | ) | $ | (38,676,162 | ) | $ | (1,704,469 | ) | $ | 397,395,012 | $ | 10,355,788 | $ | 16,355,071 | ||||||||||||||||||
|
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|
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|
|
60
Table of Contents
Notes to Financial Statements(Continued)
Beginning Value as of 12/31/17 | Purchases | Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain (Loss) | Value as of 12/31/18 | Number of Shares Held as of 12/31/18 | Dividend Income | Realized Gains Distributions | ||||||||||||||||||||||||||||
Balanced Allocation Fund |
| |||||||||||||||||||||||||||||||||||
MML Blue Chip Growth Fund, Initial Class | $ | 17,958,778 | $ | 5,421,035 | $ | (6,776,934 | ) | $ | (3,022,427 | ) | $ | 739,173 | $ | 14,319,625 | 980,796 | $ | - | $ | 3,085,799 | |||||||||||||||||
MML Dynamic Bond Fund, Class II | 67,836,306 | 5,093,045 | (6,850,000 | ) | (2,138,509 | ) | (188,214 | ) | 63,752,628 | 6,633,988 | 2,238,047 | - | ||||||||||||||||||||||||
MML Equity Income Fund, Initial Class | 20,130,705 | 5,184,763 | (4,792,049 | ) | (3,859,608 | ) | 2,247 | 16,666,058 | 1,659,966 | 361,089 | 1,865,995 | |||||||||||||||||||||||||
MML Equity Index Fund, Class III | 19,550,073 | 931,849 | (3,200,000 | ) | (2,134,448 | ) | 545,197 | 15,692,671 | 559,453 | 318,200 | 613,649 | |||||||||||||||||||||||||
MML Focused Equity Fund, Class II | 3,567,797 | 3,100,214 | (2,298,268 | ) | (727,328 | ) | (954,854 | ) | 2,687,561 | 504,233 | 79,490 | 1,688,305 | ||||||||||||||||||||||||
MML Foreign Fund, Initial Class | 17,196,665 | 3,165,621 | (3,200,014 | ) | (3,296,087 | ) | 310,131 | 14,176,316 | 1,532,575 | 369,571 | - | |||||||||||||||||||||||||
MML Fundamental Growth Fund, Class II | 13,726,720 | 4,936,053 | (6,757,191 | ) | (2,444,527 | ) | (171,589 | ) | 9,289,466 | 991,405 | 112,009 | 3,015,940 | ||||||||||||||||||||||||
MML Fundamental Value Fund, Class II | 20,094,654 | 3,708,293 | (4,998,190 | ) | (3,862,554 | ) | 192,511 | 15,134,714 | 1,222,513 | 301,227 | 1,682,291 | |||||||||||||||||||||||||
MML Global Fund, Class I | 18,151,487 | 4,553,258 | (2,831,373 | ) | (4,095,028 | ) | 211,207 | 15,989,551 | 1,559,956 | 192,004 | 2,110,730 | |||||||||||||||||||||||||
MML High Yield Fund, Class II | 16,078,587 | 957,246 | (2,165,000 | ) | (1,162,533 | ) | (270,749 | ) | 13,437,551 | 1,481,538 | 957,246 | - | ||||||||||||||||||||||||
MML Income & Growth Fund, Initial Class | 20,435,340 | 8,440,086 | (4,524,136 | ) | (7,151,432 | ) | 258,050 | 17,457,908 | 2,056,291 | 330,390 | 4,396,181 | |||||||||||||||||||||||||
MML Inflation-Protected and Income Fund, Initial Class | 22,060,179 | 2,119,485 | (4,641,405 | ) | (634,556 | ) | (295,065 | ) | 18,608,638 | 1,914,469 | 642,281 | - | ||||||||||||||||||||||||
MML International Equity Fund, Class II | 14,177,648 | 4,740,635 | (2,935,541 | ) | (3,766,746 | ) | 245,903 | 12,461,899 | 1,398,642 | 209,834 | 101,225 | |||||||||||||||||||||||||
MML Large Cap Growth Fund, Initial Class | 5,973,075 | 3,638,557 | (3,191,080 | ) | (393,989 | ) | (75,444 | ) | 5,951,119 | 614,785 | 35,094 | 396,469 | ||||||||||||||||||||||||
MML Managed Bond Fund, Initial Class | 104,252,244 | 12,457,010 | (26,318,185 | ) | (2,391,519 | ) | (1,581,901 | ) | 86,417,649 | 7,240,997 | 3,339,728 | - | ||||||||||||||||||||||||
MML Mid Cap Growth Fund, Initial Class | 14,599,661 | 2,613,948 | (2,765,962 | ) | (2,242,677 | ) | 317,951 | 12,522,921 | 898,344 | - | 1,786,392 | |||||||||||||||||||||||||
MML Mid Cap Value Fund, Initial Class | 17,315,093 | 2,788,769 | (2,639,900 | ) | (3,621,450 | ) | (291,131 | ) | 13,551,381 | 1,449,346 | 245,741 | 1,683,977 | ||||||||||||||||||||||||
MML Short-Duration Bond Fund, Class II | 29,806,611 | 2,500,871 | (8,061,197 | ) | (155,350 | ) | (224,624 | ) | 23,866,311 | 2,488,666 | 788,564 | - | ||||||||||||||||||||||||
MML Small Cap Growth Equity Fund, Initial Class | 4,237,103 | 1,029,923 | (1,504,050 | ) | (329,328 | ) | (240,628 | ) | 3,193,020 | 249,129 | - | 478,599 | ||||||||||||||||||||||||
MML Small Company Value Fund, Class II | 7,215,190 | 779,025 | (1,129,301 | ) | (867,245 | ) | (389,103 | ) | 5,608,566 | 404,658 | 22,987 | 412,929 | ||||||||||||||||||||||||
MML Small/Mid Cap Value Fund, Initial Class | 4,882,327 | 643,801 | (847,137 | ) | (1,140,256 | ) | 9,019 | 3,547,754 | 334,063 | 21,676 | 489,760 | |||||||||||||||||||||||||
MML Strategic Emerging Markets Fund, Class II | - | 600,001 | - | 593 | - | 600,594 | 59,347 | - | - | |||||||||||||||||||||||||||
MML Total Return Bond Fund, Class II | 62,750,547 | 6,903,663 | (14,168,163 | ) | (355,179 | ) | (971,287 | ) | 54,159,581 | 5,330,667 | 1,130,660 | - | ||||||||||||||||||||||||
Oppenheimer Discovery Mid Cap Growth Fund/VA,Non-Service Shares* | 4,986,388 | 1,099,124 | (857,902 | ) | (1,023,505 | ) | 126,028 | 4,330,133 | 63,076 | - | 682,016 | |||||||||||||||||||||||||
Oppenheimer Global Fund/VA,Non-Service Shares* | 11,706,652 | 2,216,609 | (3,012,461 | ) | (2,408,538 | ) | 325,411 | 8,827,673 | 232,307 | 108,743 | 768,812 | |||||||||||||||||||||||||
Oppenheimer Global Multi-Alternatives Fund/VA,Non-Service Shares* | 42,205,693 | 149,383 | (4,730,000 | ) | (902,722 | ) | (492,366 | ) | 36,229,988 | 3,817,702 | 149,383 | - | ||||||||||||||||||||||||
Oppenheimer International Growth Fund/VA,Non-Service Shares* | 14,392,028 | 2,205,318 | (2,620,206 | ) | (3,066,049 | ) | 168,845 | 11,079,936 | 5,458,097 | 112,192 | 253,884 | |||||||||||||||||||||||||
Oppenheimer Main Street Fund/VA,Non-Service Shares* | 4,509,287 | 4,948,472 | - | (1,159,659 | ) | - | 8,298,100 | 309,515 | 59,669 | 448,804 | ||||||||||||||||||||||||||
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$ | 599,796,838 | $ | 96,926,057 | $ | (127,815,645 | ) | $ | (58,352,656 | ) | $ | (2,695,282 | ) | $ | 507,859,312 | $ | 12,125,825 | $ | 25,961,757 | ||||||||||||||||||
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61
Table of Contents
Notes to Financial Statements(Continued)
Beginning Value as of 12/31/17 | Purchases | Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain (Loss) | Value as of 12/31/18 | Number of Shares Held as of 12/31/18 | Dividend Income | Realized Gains Distributions | ||||||||||||||||||||||||||||
Moderate Allocation Fund |
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MML Blue Chip Growth Fund, Initial Class | $ | 86,457,565 | $ | 22,863,159 | $ | (29,490,707 | ) | $ | (12,555,708 | ) | $ | 2,020,468 | $ | 69,294,777 | 4,746,218 | $ | - | $ | 14,227,483 | |||||||||||||||||
MML Dynamic Bond Fund, Class II | 221,108,920 | 12,646,556 | (16,300,000 | ) | (7,132,691 | ) | (502,637 | ) | 209,820,148 | 21,833,522 | 7,351,556 | - | ||||||||||||||||||||||||
MML Equity Income Fund, Initial Class | 98,746,858 | 21,380,622 | (18,968,838 | ) | (21,398,697 | ) | 2,330,228 | 82,090,173 | 8,176,312 | 1,762,982 | 9,110,548 | |||||||||||||||||||||||||
MML Equity Index Fund, Class III | 92,386,239 | 4,547,095 | (12,500,000 | ) | (9,960,753 | ) | 2,102,170 | 76,574,751 | 2,729,938 | 1,552,703 | 2,994,393 | |||||||||||||||||||||||||
MML Focused Equity Fund, Class II | 25,490,301 | 20,192,611 | (11,080,715 | ) | (9,687,659 | ) | (3,928,563 | ) | 20,985,975 | 3,937,331 | 633,930 | 13,464,258 | ||||||||||||||||||||||||
MML Foreign Fund, Initial Class | 92,788,041 | 7,612,162 | (18,156,686 | ) | (16,349,522 | ) | 2,264,977 | 68,158,972 | 7,368,538 | 1,735,279 | - | |||||||||||||||||||||||||
MML Fundamental Growth Fund, Class II | 53,241,410 | 18,678,147 | (20,357,847 | ) | (9,805,797 | ) | (1,706,539 | ) | 40,049,374 | 4,274,213 | 465,768 | 12,541,175 | ||||||||||||||||||||||||
MML Fundamental Value Fund, Class II | 99,428,806 | 10,061,568 | (19,652,616 | ) | (19,953,002 | ) | 2,340,427 | 72,225,183 | 5,834,021 | 1,423,835 | 7,951,812 | |||||||||||||||||||||||||
MML Global Fund, Class I | 86,476,962 | 19,933,256 | (13,922,439 | ) | (19,152,937 | ) | 330,399 | 73,665,241 | 7,186,853 | 943,645 | 10,373,657 | |||||||||||||||||||||||||
MML High Yield Fund, Class II | 51,621,220 | 3,060,553 | (7,500,000 | ) | (3,611,634 | ) | (1,000,239 | ) | 42,569,900 | 4,693,484 | 3,060,553 | - | ||||||||||||||||||||||||
MML Income & Growth Fund, Initial Class | 99,150,642 | 33,341,448 | (17,198,263 | ) | (36,985,430 | ) | 3,102,413 | 81,410,810 | 9,589,024 | 1,635,302 | 21,759,368 | |||||||||||||||||||||||||
MML Inflation-Protected and Income Fund, Initial Class | 77,574,907 | 6,532,874 | (18,049,053 | ) | (1,805,532 | ) | (1,522,651 | ) | 62,730,545 | 6,453,760 | 2,284,032 | - | ||||||||||||||||||||||||
MML International Equity Fund, Class II | 82,008,958 | 14,043,045 | (9,427,502 | ) | (21,708,857 | ) | 950,531 | 65,866,175 | 7,392,388 | 1,194,911 | 576,436 | |||||||||||||||||||||||||
MML Large Cap Growth Fund, Initial Class | 31,513,216 | 6,692,576 | (14,231,603 | ) | (1,408,544 | ) | (472,950 | ) | 22,092,695 | 2,282,303 | 155,533 | 1,757,082 | ||||||||||||||||||||||||
MML Managed Bond Fund, Initial Class | 336,695,620 | 24,380,475 | (86,391,620 | ) | (5,905,725 | ) | (6,908,402 | ) | 261,870,348 | 21,942,305 | 10,536,631 | - | ||||||||||||||||||||||||
MML Mid Cap Growth Fund, Initial Class | 79,918,423 | 14,081,615 | (15,020,326 | ) | (13,715,929 | ) | 3,141,694 | 68,405,477 | 4,907,136 | - | 9,772,460 | |||||||||||||||||||||||||
MML Mid Cap Value Fund, Initial Class | 88,761,637 | 13,773,641 | (14,060,866 | ) | (18,704,831 | ) | (643,013 | ) | 69,126,568 | 7,393,216 | 1,206,478 | 8,267,554 | ||||||||||||||||||||||||
MML Short-Duration Bond Fund, Class II | 104,664,844 | 8,736,639 | (27,925,149 | ) | (426,590 | ) | (913,179 | ) | 84,136,565 | 8,773,364 | 2,782,223 | - | ||||||||||||||||||||||||
MML Small Cap Growth Equity Fund, Initial Class | 21,201,651 | 2,932,124 | (9,274,458 | ) | (526,393 | ) | (1,472,818 | ) | 12,860,106 | 1,003,383 | - | 2,008,190 | ||||||||||||||||||||||||
MML Small Company Value Fund, Class II | 39,141,100 | 2,220,325 | (7,304,764 | ) | (3,693,935 | ) | (2,525,157 | ) | 27,837,569 | 2,008,483 | 114,757 | 2,061,433 | ||||||||||||||||||||||||
MML Small/Mid Cap Value Fund, Initial Class | 23,909,426 | 8,754,557 | (3,686,360 | ) | (6,773,098 | ) | (27,203 | ) | 22,177,322 | 2,088,260 | 123,273 | 2,785,344 | ||||||||||||||||||||||||
MML Strategic Emerging Markets Fund, Class II | 43,484,577 | 23,776,763 | (7,161,784 | ) | (7,985,507 | ) | 786,627 | 52,900,676 | 5,227,340 | 81,946 | - | |||||||||||||||||||||||||
MML Total Return Bond Fund, Class II | 202,044,395 | 14,860,399 | (37,668,200 | ) | (2,022,256 | ) | (2,171,962 | ) | 175,042,376 | 17,228,580 | 3,573,904 | - | ||||||||||||||||||||||||
Oppenheimer Discovery Mid Cap Growth Fund/VA,Non-Service Shares* | 24,970,974 | 8,144,716 | (5,760,952 | ) | (5,222,827 | ) | 553,274 | 22,685,185 | 330,447 | - | 3,479,149 | |||||||||||||||||||||||||
Oppenheimer Global Fund/VA,Non-Service Shares* | 56,206,012 | 5,232,776 | (14,883,540 | ) | (10,871,673 | ) | 1,982,060 | 37,665,635 | 991,201 | 461,598 | 3,263,477 | |||||||||||||||||||||||||
Oppenheimer Global Multi-Alternatives Fund/VA,Non-Service Shares* | 185,916,498 | 647,943 | (22,005,001 | ) | (5,728,326 | ) | (404,053 | ) | 158,427,061 | 16,694,106 | 647,943 | - | ||||||||||||||||||||||||
Oppenheimer International Growth Fund/VA,Non-Service Shares* | 47,235,197 | 7,034,445 | (10,024,464 | ) | (9,063,324 | ) | 135,317 | 35,317,171 | 17,397,621 | 340,393 | 770,287 | |||||||||||||||||||||||||
Oppenheimer Main Street Fund/VA,Non-Service Shares* | 14,537,070 | 15,025,507 | - | (3,888,303 | ) | - | 25,674,274 | 957,638 | 232,995 | 1,752,510 | ||||||||||||||||||||||||||
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$ | 2,466,681,469 | $ | 351,187,597 | $ | (488,003,753 | ) | $ | (286,045,480 | ) | $ | (2,158,781 | ) | $ | 2,041,661,052 | $ | 44,302,170 | $ | 128,916,616 | ||||||||||||||||||
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62
Table of Contents
Notes to Financial Statements(Continued)
Beginning Value as of 12/31/17 | Purchases | Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain (Loss) | Value as of 12/31/18 | Number of Shares Held as of 12/31/18 | Dividend Income | Realized Gains Distributions | ||||||||||||||||||||||||||||
Growth Allocation Fund |
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MML Blue Chip Growth Fund, Initial Class | $ | 75,223,853 | $ | 18,234,310 | $ | (21,919,658 | ) | $ | (12,738,325 | ) | $ | 3,020,415 | $ | 61,820,595 | 4,234,287 | $ | - | $ | 12,691,514 | |||||||||||||||||
MML Dynamic Bond Fund, Class II | 87,950,370 | 7,683,768 | (11,070,001 | ) | (2,833,452 | ) | (249,174 | ) | 81,481,511 | 8,478,825 | 2,943,768 | - | ||||||||||||||||||||||||
MML Equity Income Fund, Initial Class | 84,372,793 | 19,537,843 | (13,653,198 | ) | (20,813,718 | ) | 4,030,643 | 73,474,363 | 7,318,164 | 1,537,460 | 7,945,118 | |||||||||||||||||||||||||
MML Equity Index Fund, Class III | 81,664,763 | 4,104,767 | (9,499,999 | ) | (8,754,599 | ) | 1,610,837 | 69,125,769 | 2,464,377 | 1,401,660 | 2,703,107 | |||||||||||||||||||||||||
MML Focused Equity Fund, Class II | 23,386,361 | 16,899,468 | (9,404,209 | ) | (9,302,793 | ) | (2,377,246 | ) | 19,201,581 | 3,602,548 | 543,773 | 11,549,375 | ||||||||||||||||||||||||
MML Foreign Fund, Initial Class | 81,855,412 | 6,838,091 | (12,747,387 | ) | (15,018,297 | ) | 1,996,247 | 62,924,066 | 6,802,602 | 1,595,000 | - | |||||||||||||||||||||||||
MML Fundamental Growth Fund, Class II | 41,115,243 | 13,453,583 | (14,748,529 | ) | (8,627,292 | ) | (377,630 | ) | 30,815,375 | 3,288,727 | 364,555 | 9,815,941 | ||||||||||||||||||||||||
MML Fundamental Value Fund, Class II | 84,761,589 | 9,947,020 | (14,350,973 | ) | (19,424,017 | ) | 3,937,296 | 64,870,915 | 5,239,977 | 1,238,306 | 6,915,674 | |||||||||||||||||||||||||
MML Global Fund, Class I | 74,762,688 | 20,973,466 | (11,244,268 | ) | (17,892,762 | ) | 500,254 | 67,099,378 | 6,546,281 | 864,210 | 9,500,399 | |||||||||||||||||||||||||
MML High Yield Fund, Class II | 13,516,018 | 815,967 | (1,465,000 | ) | (1,035,133 | ) | (185,489 | ) | 11,646,363 | 1,284,053 | 815,967 | - | ||||||||||||||||||||||||
MML Income & Growth Fund, Initial Class | 85,307,296 | 29,968,941 | (11,812,372 | ) | (32,242,020 | ) | 2,424,361 | 73,646,206 | 8,674,465 | 1,428,991 | 19,014,168 | |||||||||||||||||||||||||
MML Inflation-Protected and Income Fund, Initial Class | 68,539,428 | 8,019,976 | (15,714,015 | ) | (1,900,956 | ) | (1,112,671 | ) | 57,831,762 | 5,949,770 | 2,087,954 | - | ||||||||||||||||||||||||
MML International Equity Fund, Class II | 75,344,818 | 13,287,284 | (8,248,110 | ) | (20,120,479 | ) | 1,089,213 | 61,352,726 | 6,885,828 | 1,092,970 | 527,259 | |||||||||||||||||||||||||
MML Large Cap Growth Fund, Initial Class | 28,068,081 | 5,906,718 | (11,394,987 | ) | (1,351,915 | ) | (417,223 | ) | 20,810,674 | 2,149,863 | 142,892 | 1,614,280 | ||||||||||||||||||||||||
MML Managed Bond Fund, Initial Class | 134,827,992 | 15,348,365 | (35,113,942 | ) | (2,172,558 | ) | (3,101,475 | ) | 109,788,382 | 9,199,247 | 4,406,260 | - | ||||||||||||||||||||||||
MML Mid Cap Growth Fund, Initial Class | 75,328,139 | 12,459,119 | (12,177,697 | ) | (13,161,927 | ) | 3,077,464 | 65,525,098 | 4,700,509 | - | 9,221,757 | |||||||||||||||||||||||||
MML Mid Cap Value Fund, Initial Class | 76,751,221 | 14,719,975 | (8,519,056 | ) | (19,896,435 | ) | 1,617,336 | 64,673,041 | 6,916,903 | 1,123,828 | 7,701,187 | |||||||||||||||||||||||||
MML Short-Duration Bond Fund, Class II | 50,354,773 | 4,272,396 | (12,399,120 | ) | (248,589 | ) | (413,121 | ) | 41,566,339 | 4,334,342 | 1,369,713 | - | ||||||||||||||||||||||||
MML Small Cap Growth Equity Fund, Initial Class | 18,042,210 | 2,909,431 | (7,087,589 | ) | (821,597 | ) | (1,153,257 | ) | 11,889,198 | 927,630 | - | 1,831,993 | ||||||||||||||||||||||||
MML Small Company Value Fund, Class II | 34,064,429 | 3,167,442 | (4,705,446 | ) | (5,383,435 | ) | (538,336 | ) | 26,604,654 | 1,919,528 | 106,437 | 1,911,980 | ||||||||||||||||||||||||
MML Small/Mid Cap Value Fund, Initial Class | 27,820,094 | 5,575,872 | (5,182,446 | ) | (6,657,031 | ) | 228,493 | 21,784,982 | 2,051,317 | 117,760 | 2,660,787 | |||||||||||||||||||||||||
MML Strategic Emerging Markets Fund, Class II | 45,975,823 | 18,246,081 | (5,974,264 | ) | (7,526,834 | ) | 714,761 | 51,435,567 | 5,082,566 | 78,315 | - | |||||||||||||||||||||||||
MML Total Return Bond Fund, Class II | 81,018,266 | 8,468,036 | (16,660,245 | ) | (1,260,959 | ) | (422,396 | ) | 71,142,702 | 7,002,234 | 1,463,171 | - | ||||||||||||||||||||||||
Oppenheimer Discovery Mid Cap Growth Fund/VA,Non-Service Shares* | 24,440,830 | 5,129,646 | (5,046,249 | ) | (4,901,922 | ) | 448,198 | 20,070,503 | 292,360 | - | 3,361,011 | |||||||||||||||||||||||||
Oppenheimer Global Fund/VA,Non-Service Shares* | 48,538,580 | 4,045,345 | (12,838,507 | ) | (8,859,566 | ) | 1,274,691 | 32,160,543 | 846,330 | 393,065 | 2,778,956 | |||||||||||||||||||||||||
Oppenheimer Global Multi-Alternatives Fund/VA,Non-Service Shares* | 142,332,587 | 2,811,250 | (16,400,000 | ) | (4,537,234 | ) | (312,484 | ) | 123,894,119 | 13,055,229 | 501,250 | - | ||||||||||||||||||||||||
Oppenheimer International Growth Fund/VA,Non-Service Shares* | 43,073,829 | 5,236,840 | (8,459,979 | ) | (9,099,073 | ) | 1,148,124 | 31,899,741 | 15,714,158 | 312,463 | 707,086 | |||||||||||||||||||||||||
Oppenheimer Main Street Fund/VA,Non-Service Shares* | 20,980,653 | 7,730,721 | - | (4,086,403 | ) | - | 24,624,971 | 918,499 | 244,170 | 1,836,552 | ||||||||||||||||||||||||||
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$ | 1,729,418,139 | $ | 285,791,721 | $ | (317,837,246 | ) | $ | (260,669,321 | ) | $ | 16,457,831 | $ | 1,453,161,124 | $ | 26,173,938 | $ | 114,288,144 | |||||||||||||||||||
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63
Table of Contents
Notes to Financial Statements(Continued)
Beginning Value as of 12/31/17 | Purchases | Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain (Loss) | Value as of 12/31/18 | Number of Shares Held as of 12/31/18 | Dividend Income | Realized Gains Distributions | ||||||||||||||||||||||||||||
Aggressive Allocation Fund |
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MML Blue Chip Growth Fund, Initial Class | $ | 8,363,872 | $ | 3,385,761 | $ | (3,124,922 | ) | $ | (1,489,065 | ) | $ | 356,975 | $ | 7,492,621 | 513,193 | $ | - | $ | 1,419,812 | |||||||||||||||||
MML Dynamic Bond Fund, Class II | 2,438,947 | 355,523 | (600,000 | ) | (72,734 | ) | (11,529 | ) | 2,110,207 | 219,584 | 81,248 | - | ||||||||||||||||||||||||
MML Equity Income Fund, Initial Class | 8,931,817 | 2,570,192 | (1,466,540 | ) | (1,871,982 | ) | (25,752 | ) | 8,137,735 | 810,531 | 174,215 | 900,289 | ||||||||||||||||||||||||
MML Equity Index Fund, Class III | 7,774,745 | 385,501 | (999,999 | ) | (838,495 | ) | 170,233 | 6,491,985 | 231,443 | 131,637 | 253,864 | |||||||||||||||||||||||||
MML Focused Equity Fund, Class II | 2,547,743 | 2,964,962 | (973,093 | ) | (1,425,825 | ) | (159,422 | ) | 2,954,365 | 554,290 | 71,900 | 1,527,112 | ||||||||||||||||||||||||
MML Foreign Fund, Initial Class | 8,917,658 | 899,015 | (1,268,171 | ) | (1,615,421 | ) | 154,250 | 7,087,331 | 766,198 | 175,041 | - | |||||||||||||||||||||||||
MML Fundamental Growth Fund, Class II | 4,064,203 | 2,017,766 | (1,359,685 | ) | (1,203,503 | ) | 112,430 | 3,631,211 | 387,536 | 41,607 | 1,120,310 | |||||||||||||||||||||||||
MML Fundamental Value Fund, Class II | 8,907,887 | 1,757,330 | (1,244,150 | ) | (1,759,341 | ) | (23,964 | ) | 7,637,762 | 616,944 | 138,755 | 774,915 | ||||||||||||||||||||||||
MML Global Fund, Class I | 8,649,029 | 2,288,968 | (1,116,799 | ) | (2,022,090 | ) | 41,492 | 7,840,600 | 764,937 | 97,219 | 1,068,747 | |||||||||||||||||||||||||
MML Income & Growth Fund, Initial Class | 9,037,523 | 3,627,970 | (1,348,335 | ) | (3,393,238 | ) | 50,827 | 7,974,747 | 939,311 | 161,592 | 2,150,145 | |||||||||||||||||||||||||
MML Inflation-Protected and Income Fund, Initial Class | 4,111,211 | 718,469 | (981,367 | ) | (116,094 | ) | (73,694 | ) | 3,658,525 | 376,392 | 131,855 | - | ||||||||||||||||||||||||
MML International Equity Fund, Class II | 8,025,233 | 3,227,883 | (913,302 | ) | (2,326,679 | ) | 121,070 | 8,134,205 | 912,930 | 125,592 | 60,586 | |||||||||||||||||||||||||
MML Large Cap Growth Fund, Initial Class | 3,082,620 | 1,111,662 | (1,168,171 | ) | (232,655 | ) | (23,494 | ) | 2,769,962 | 286,153 | 17,246 | 194,839 | ||||||||||||||||||||||||
MML Managed Bond Fund, Initial Class | 3,765,799 | 781,416 | (1,108,887 | ) | (87,590 | ) | (58,529 | ) | 3,292,209 | 275,857 | 125,849 | - | ||||||||||||||||||||||||
MML Mid Cap Growth Fund, Initial Class | 8,854,279 | 1,730,348 | (1,324,776 | ) | (1,468,718 | ) | 233,584 | 8,024,717 | 575,661 | - | 1,099,126 | |||||||||||||||||||||||||
MML Mid Cap Value Fund, Initial Class | 8,793,658 | 1,828,617 | (973,572 | ) | (2,018,528 | ) | (122,000 | ) | 7,508,175 | 803,013 | 130,444 | 893,881 | ||||||||||||||||||||||||
MML Short-Duration Bond Fund, Class II | 3,323,519 | 554,856 | (905,093 | ) | (22,371 | ) | (26,469 | ) | 2,924,442 | 304,947 | 100,744 | - | ||||||||||||||||||||||||
MML Small Cap Growth Equity Fund, Initial Class | 2,347,009 | 524,577 | (1,224,030 | ) | (172,241 | ) | (85,823 | ) | 1,389,492 | 108,412 | - | 231,840 | ||||||||||||||||||||||||
MML Small Company Value Fund, Class II | 4,005,568 | 603,011 | (620,285 | ) | (502,304 | ) | (211,309 | ) | 3,274,681 | 236,268 | 12,504 | 224,620 | ||||||||||||||||||||||||
MML Small/Mid Cap Value Fund, Initial Class | 3,100,389 | 548,422 | (480,276 | ) | (762,643 | ) | 21,846 | 2,427,738 | 228,601 | 13,689 | 309,297 | |||||||||||||||||||||||||
MML Strategic Emerging Markets Fund, Class II | 5,766,400 | 2,600,548 | (675,238 | ) | (1,020,266 | ) | 89,225 | 6,760,669 | 668,050 | 10,233 | - | |||||||||||||||||||||||||
MML Total Return Bond Fund, Class II | 2,295,000 | 454,794 | (817,430 | ) | (25,753 | ) | (23,512 | ) | 1,883,099 | 185,344 | 41,719 | - | ||||||||||||||||||||||||
Oppenheimer Discovery Mid Cap Growth Fund/VA,Non-Service Shares* | 3,037,934 | 624,550 | (570,277 | ) | (620,196 | ) | 79,626 | 2,551,637 | 37,169 | - | 399,114 | |||||||||||||||||||||||||
Oppenheimer Global Fund/VA,Non-Service Shares* | 5,224,658 | 624,817 | (1,681,819 | ) | (1,048,008 | ) | 262,324 | 3,381,972 | 88,999 | 40,510 | 286,402 | |||||||||||||||||||||||||
Oppenheimer Global Multi-Alternatives Fund/VA,Non-Service Shares* | 14,019,162 | 700,451 | (1,415,000 | ) | (478,052 | ) | (32,272 | ) | 12,794,289 | 1,348,186 | 50,451 | - | ||||||||||||||||||||||||
Oppenheimer International Growth Fund/VA,Non-Service Shares* | 4,266,387 | 922,177 | (681,616 | ) | (897,060 | ) | 17,784 | 3,627,672 | 1,787,030 | 32,896 | 74,443 | |||||||||||||||||||||||||
Oppenheimer Main Street Fund/VA,Non-Service Shares* | 3,219,789 | 1,250,171 | - | (680,662 | ) | - | 3,789,298 | 141,339 | 42,559 | 320,112 | ||||||||||||||||||||||||||
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$ | 156,872,039 | $ | 39,059,757 | $ | (29,042,833 | ) | $ | (28,171,514 | ) | $ | 833,897 | $ | 139,551,346 | $ | 1,949,505 | $ | 13,309,454 | |||||||||||||||||||
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* | Fund advised by OFI Global Asset Management. |
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Notes to Financial Statements(Continued)
8. | Indemnifications |
Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
9. | New Accounting Pronouncements |
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rule”). The Rule, which introduces two new regulatory reporting forms for investment companies — FormN-PORT and FormN-CEN — also contains amendments to RegulationS-X which impact financial statement presentation, particularly the presentation of derivative investments, for all reporting periods ending after August 1, 2017. The Funds have adopted the Rule’s RegulationS-X amendments and the Funds’ financial statements are in compliance with those amendments. In December 2017, the SEC issued a temporary final rule (“Temporary Rule”) that provides for a nine-month delay ofN-PORT filing with the SEC. Under the Temporary Rule, those funds subject to the original June 1, 2018 compliance date will still be required to gather and maintain all of the data required by FormN-PORT as of the original reporting date and such information will be subject to examination by the SEC staff.
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To the Board of Trustees of MML Series Investment Fund and Shareholders of MML Conservative Allocation Fund, MML Balanced Allocation Fund, MML Moderate Allocation Fund, MML Growth Allocation Fund, MML Aggressive Allocation Fund, MML American Funds Growth Fund, MML American Funds International Fund, and MML American Funds Core Allocation Fund (collectively, the “Funds,” certain of the funds constituting MML Series Investment Fund):
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of the Funds, including the portfolios of investments, as of December 31, 2018, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2018, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2018, by correspondence with the custodian and transfer agents; when replies were not received from the transfer agents, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Deloitte & Touche LLP
Boston, Massachusetts
February 22, 2019
We have served as the auditor of one or more MassMutual investment companies since 1995.
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The following table lists the Trust’s Trustees and Officers; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statements of Additional Information include additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MML Series Investment Fund, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981, Attention: MassMutual U.S. Product and Marketing.
Disinterested Trustees
Name, Address*, and Age | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
Allan W. Blair Age: 70 | Trustee | Since 2003 | Retired; President and Chief Executive Officer (1996-2014), Economic Development Council of Western Massachusetts (non-profit development company); President and Chief Executive Officer (1984-2014), Westover Metropolitan Development Corporation (quasi-public development company). | 111 | Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
Nabil N. El-Hage Age: 60 | Trustee | Since 2012
| Founder and CEO (since 2018), AEE International LLC (a Puerto Rico LLC); Founder and sole member (2016-2018), PR Academy of Executive Education LLC (a Puerto Rico LLC); Chairman (2011-2016), Academy of Executive Education, LLC (a Massachusetts LLC). | 111 | Director (2011-2015), Argo Group International Holdings, Ltd. (underwriter of specialty insurance and reinsurance products); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2005), Chairman (2006-2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company). | |||||
Maria D. Furman Age: 64 | Trustee | Since 2012 | Retired. | 111 | Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company). | |||||
R. Alan Hunter, Jr. Age: 72 | Chairperson
Trustee | Since 2016
Since 2003 | Retired. | 111 | Director (2007-2018), Actuant Corporation (diversified industrial company); Chairperson (since 2016), Trustee (since 2003), MassMutual Select Funds (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
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Trustees and Officers (Unaudited)(Continued)
Name, Address*, and Age | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships | |||||
C. Ann Merrifield Age: 67 | Trustee | Since 2012 | Retired; President and Chief Executive Officer (2012-2014), PathoGenetix (genomics company). | 111 | Director (2015-2018), Juniper Pharmaceuticals Inc. (specialty pharmaceutical company); Director (since 2014), Flexion Therapeutics (specialty pharmaceutical company); Chairperson(2017-2018) and Director (since 2014), InVivo Therapeutics (research and clinical-stage biomaterials and biotechnology company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company). | |||||
Susan B. Sweeney Age: 66 | Trustee | Since 2009 | Retired; Senior Vice President and Chief Investment Officer (2010-2014), Selective Insurance Group (property and casualty company). | 113^ | Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Trustee (since 2009), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
Interested Trustees
Name, Address*, and Age | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships | |||||
Teresa Hassara^^ Age: 56 | Trustee | Since 2017 | Head of Workplace Solutions (since 2017), MassMutual; President of Institutional Retirement (2009-2016), TIAA-CREF. | 111 | Director (since 2017), MML Advisers; Trustee (since 2017), MassMutual Select Funds (open-end investment company); Trustee (since 2017), MML Series Investment Fund II (open-end investment company); Trustee (since 2017), MassMutual Premier Funds (open-end investment company). | |||||
Robert E. Joyal^^^ Age: 73 | Trustee | Since 2003 | Retired. | 113^ | Director (since 2018), Jeffries Financial Group Inc. (holding company); Director(2013-2018), Leucadia National Corporation (holding company); Director (2012-2017), Ormat Technology, Inc. (provider of alternative energy technology); Director (2006-2014), Jefferies Group LLC (investment bank); Trustee (since 2003), Barings Corporate Investors (closed-end investment company); Trustee (since 2003), Barings Participation Investors (closed-end investment company); Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
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Trustees and Officers (Unaudited)(Continued)
Principal Officers who are Not Trustees
Name, Address*, and Age | Position(s) Held | Term of Office# and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Officer | ||||
Joseph Fallon Age: 43 | Vice President
Assistant Vice President | Since 2017
2015- | Investment Director (since 2014), MML Advisers; Head of Investment Consulting (since 2018), Head of Investment Consulting & Strategy (2017-2018), Investment Director (2006-2017), MassMutual; Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Select Funds (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund II (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Andrew M. Goldberg Age: 52 | Vice President, Secretary, and Chief Legal Officer
Assistant Secretary
| Since 2008
2001- | Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2004-2018), MassMutual; Secretary (since 2015), Assistant Secretary (2013-2015), MML Advisers; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MassMutual Select Funds (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2005-2008), MML Series Investment Fund II (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Renee Hitchcock Age: 48 | Chief Financial Officer and Treasurer
Assistant Treasurer | Since 2016
2007- | Head of Mutual Fund Administration (since 2018), Assistant Vice President (2015-2018), Director (2007-2015), MassMutual; Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Select Funds (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund II (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Jill Nareau Robert Age: 46 | Vice President and Assistant Secretary
Assistant Secretary | Since 2017
2008- | Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2009-2018), MassMutual; Assistant Secretary (since 2015), MML Advisers; Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MassMutual Select Funds (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MML Series Investment Fund II (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Douglas Steele Age: 43 | Vice President | Since 2016 | Vice President and Head of Investment Management (since 2017), Head of Investment Due Diligence (2016-2017), MML Advisers; Head of Investment Management (since 2017), Assistant Vice President (2013-2017), MassMutual; Vice President (since 2016), MassMutual Select Funds (open-end investment company); Vice President (since 2016), MML Series Investment Fund II (open-end investment company); Vice President (since 2016), MassMutual Premier Funds (open-end investment company). | 111 |
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Trustees and Officers (Unaudited)(Continued)
Name, Address*, and Age | Position(s) Held | Term of Office# and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Officer | ||||
Philip S. Wellman Age: 54 | Vice President and Chief Compliance Officer | Since 2007 | Vice President and Chief Compliance Officer (since 2013), MML Advisers; Head of Mutual Funds and RIA Compliance (since 2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (2014-2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (2008-2014), MassMutual; Vice President and Chief Compliance Officer (since 2007), MassMutual Select Funds (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund II (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Eric H. Wietsma Age: 52 | Vice President | Since 2006 | Vice President (since 2018), Director (since 2013), and President (2013-2018), MML Advisers; Head of Workplace Operations (since 2018), Senior Vice President (2010-2018), MassMutual; President (since 2008), Vice President (2006-2008), MassMutual Select Funds (open-end investment company); Vice President (since 2006), MML Series Investment Fund II (open-end investment company); President (since 2008) Vice President (2006-2008), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Tina Wilson Age: 48 | President
Vice President | Since 2017
2016- | President (since 2018), Head of Investments (since 2016), and Vice President (2016-2018), MML Advisers; Head of Investment Solutions Innovation, Product Management (since 2018), Senior Vice President (2014-2018), Vice President (2009-2014), MassMutual; Vice President (since 2016), MassMutual Select Funds (open-end investment company); President (since 2017), Vice President (2016-2017), MML Series Investment Fund II (open-end investment company); Vice President (since 2016), MassMutual Premier Funds (open-end investment company). | 111 |
* | The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, CT 06082-1981. |
** | Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, unless the Trustees determine that it is desirable and in the best interest of the Trust that an exception to the retirement policy of the Trust be made, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-five years, however, with the exception of Mr. Robert E. Joyal, an interested Trustee of the Trust shall no longer serve as a Trustee if or when they are no longer an employee of MassMutual or an affiliate. |
The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified. The Chairperson shall hold office at the pleasure of the Trustees. |
^ | Barings Participation Investors and Barings Corporate Investors are deemed to be a part of the Fund Complex, because they are managed by Barings LLC, an affiliate of MML Advisers. |
^^ | Ms. Hassara is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual. |
^^^ | Mr. Joyal is an Interested Person through his position as a director of Leucadia National Corporation, which controls Jefferies Group LLC, a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MML Advisers or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MML Advisers has brokerage placement discretion. |
# | The President, Treasurer, and Secretary and such other officers as the Trustees may in their discretion from time to time elect are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each officer shall hold office at the pleasure of the Trustees. |
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For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended December 31, 2018, qualified for the dividends received deduction, as follows:
Dividends Received Deductions | ||||
Conservative Allocation Fund | 13.86% | |||
Balanced Allocation Fund | 20.36% | |||
Moderate Allocation Fund | 24.25% | |||
Growth Allocation Fund | 33.04% | |||
Aggressive Allocation Fund | 94.50% | |||
MML American Funds Growth Fund | 100.00% | |||
MML American Funds International Fund | 0.47% | |||
MML American Funds Core Allocation Fund | 84.01% |
For the year ended December 31, 2018, the following Fund(s) earned the following foreign sources of income:
Amount | ||||
Conservative Allocation Fund | $ | 483,389 | ||
Balanced Allocation Fund | 851,059 | |||
Moderate Allocation Fund | 5,113,406 | |||
Growth Allocation Fund | 4,717,239 | |||
Aggressive Allocation Fund | 543,558 | |||
MML American Funds International Fund | 1,622,926 | |||
MML American Funds Core Allocation Fund | 3,582,147 |
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Other Information (Unaudited)
A description of the policies and procedures that each Fund’s investment adviser uses to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling1-888-309-3539, and on the SEC’s EDGAR database on its website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on FormN-Q. The Funds’ FormsN-Q are available on the SEC’s EDGAR database on its website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling1-800-SEC-0330.
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Other Information (Unaudited) (Continued)
Fund ExpensesDecember 31, 2018
Expense Examples:
The following information is in regards to expenses for the six months ended December 31, 2018:
As a shareholder of the Funds, you incur ongoing costs, including advisory fees, distribution and/or service(12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended December 31, 2018.
Actual Expenses:
The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes:
The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Conservative Allocation Fund | ||||||||||||||||||||||||
Initial Class | $ | 1,000 | 0.13 | % | $ | 967.00 | $ | 0.65 | $ | 1,024.70 | $ | 0.67 | ||||||||||||
Service Class | 1,000 | 0.38 | % | 966.00 | 1.89 | 1,023.40 | 1.95 | |||||||||||||||||
Balanced Allocation Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.12 | % | 955.30 | 0.59 | 1,024.70 | 0.62 | |||||||||||||||||
Service Class | 1,000 | 0.37 | % | 953.30 | 1.83 | 1,023.50 | 1.90 | |||||||||||||||||
Moderate Allocation Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.12 | % | 944.30 | 0.59 | 1,024.70 | 0.62 | |||||||||||||||||
Service Class | 1,000 | 0.37 | % | 943.00 | 1.82 | 1,023.50 | 1.90 | |||||||||||||||||
Growth Allocation Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.12 | % | 928.10 | 0.59 | 1,024.70 | 0.62 | |||||||||||||||||
Service Class | 1,000 | 0.37 | % | 927.10 | 1.81 | 1,023.50 | 1.90 |
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Other Information (Unaudited) (Continued)
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Aggressive Allocation Fund | ||||||||||||||||||||||||
Initial Class | $ | 1,000 | 0.16 | % | $ | 912.80 | $ | 0.78 | $ | 1,024.50 | $ | 0.82 | ||||||||||||
Service Class | 1,000 | 0.41 | % | 911.20 | 1.99 | 1,023.30 | 2.10 | |||||||||||||||||
MML American Funds Growth Fund | ||||||||||||||||||||||||
Service Class I** | 1,000 | 1.04 | % | 906.40 | 5.02 | 1,020.10 | 5.32 | |||||||||||||||||
MML American Funds International Fund | ||||||||||||||||||||||||
Service Class I** | 1,000 | 1.23 | % | 867.90 | 5.82 | 1,019.10 | 6.29 | |||||||||||||||||
MML American Funds Core Allocation Fund | ||||||||||||||||||||||||
Service Class I | 1,000 | 0.71 | % | 941.90 | 3.49 | 1,021.70 | 3.64 |
* | Expenses are calculated using the annualized expense ratio for the six months ended December 31, 2018, multiplied by the average account value over the period, multiplied by 185 days in the period, divided by 365 days in the year, unless stated otherwise. The annualized expense ratio does not reflect expenses deducted under the variable life insurance or variable annuity contract through which the Funds are invested in. Inclusion of these expenses would increase the annualized expense ratios shown. |
** | The annualized expense ratio reflects the expenses of both the Feeder Fund and the Master Fund in which it invests. |
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Underwriter:
MML Distributors, LLC 100 Bright Meadow Blvd. Enfield, CT 06082-1981 |
© 2019 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. Investment Adviser: MML Investment Advisers, LLC | RS-45238-01 |
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This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MML Series Investment Fund. Investors should consider a Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.
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To Our
Shareholders
Tina Wilson
“MassMutual believes that those who invest with an eye toward helping their retirement savings withstand all market conditions have the potential for more favorable long-term financial outcomes.”
December 31, 2018
Despite the intense volatility, markets remained strong overall
I am pleased to present you with the MML Series Investment Fund Annual Report, covering the year ended December 31, 2018.
During the year, U.S. stocks encountered more volatility than investors experienced in 2017, varying widely throughout most of the year before dropping into negative return territory to end the year. Global economic optimism faded during the year under the weight of geopolitical tensions, indications of slowing global growth, trade war rhetoric, and a more hawkish Federal Reserve Board. Foreign stocks in developed markets trailed their U.S. counterparts for the year, but generally fared better than emerging-market stocks. U.S. bond investors struggled to find positive returns in a rising yield environment fueled by rate hikes, a strong U.S. dollar, falling oil prices, and central bank policy.
In MassMutual’s view, the dynamics of the investment markets during the year validate the importance of retirement investors maintaining a long-term perspective rather than reacting to current headlines. We also believe that individuals who follow certain investment guidelines, such as the ones below, may enhance their retirement income.
Suggestions for retirement investors underany market conditions
Save as much as possible
While you can’t control – or predict the direction of – the investment markets at any given time, youcan control how often and how much you contribute to your retirement savings account. Contributing as much as possible and increasing contribution levels regularly is one way retirement investors can help themselves reach their retirement income goals,regardless of how the markets perform.*
Invest continually
Financial professionals often advise their clients to stay in the market, regardless of short-term results.Here’s why:Individuals who can invest in all market conditions have the potential to be rewarded even during market downturns, when more favorable prices may enable them to accumulate larger positions. This has the potential to put them at an advantage when the markets turn around.
Invest for thelong run
Investing for retirement doesn’t happen overnight. Many people save and invest for retirement throughout their working years. It may help you to keep in mind that, although the financial markets will go up and down over time, taking a long-term approach to investing gives you more time to ride out the downturns as you work toward achieving your long-term investment goals. Even if you are approaching or in retirement, your retirement savings will likely remain invested for a number of years before being withdrawn.
* | Systematic investing and asset allocation do not ensure a profit or protect against loss in a declining market. Systematic investing involves continuous investment in securities regardless of fluctuating price levels. Investors should consider their ability to continue investing through periods of low price levels. |
(Continued)
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MML Series Investment Fund – President’s Letter to Shareholders (Unaudited)(Continued)
Monitor your asset allocation regularly – and diversify
The most common retirement plan investments – stocks, bonds, and short-term/money market investments – typically (although not always) behave differently at any given time. Each of these asset classes contains an array ofsub-categories, such assmall-cap stocks, international stocks, and high-yield bonds. Many financial professionals believe that investors can reduce the risk of over-exposure to one or two poorly performing investment types by investing in a diverse mix of investment types andsub-categories.**
Choose the investments you feel are right for you – and seek professional guidance
Many financial advisors believe that retirement savers who select an appropriate combination of investments that aligns with both their retirement income goals and how they feel about investing can help them withstand the inevitable ups and downs of the markets.
If you work with a financial professional, you may wish to consider reaching out to him or her for assistance in helping you ensure:
• | you are saving enough for retirement based on your long-term financial needs; |
• | your retirement account is invested properly for all market conditions, based on your goals and objectives, as well as your investment time horizon; and |
• | you are taking the right steps to help reduce your longevity risk, which is the risk that you could “run out” of retirement savings during your lifetime. |
Why we do what we do
Acts of mutuality are happening all around us. Every day, people go out of their way to look out for each other, from lending a hand to making sure their loved ones are financially taken care of. MassMutual believes that your long-term financial security is crucial – and we recognize that you want to make sure your loved ones are financially taken care of. That’s why we’re committed to helping people financially protect their families and put themselves on the path to a more secure retirement. And that’s why we continually stress the importance of maintaining a long-term perspective on retirement planning. We believe that those who invest with an eye toward helping their retirement savings withstand all market conditions have the potential for more favorable long-term financial outcomes. Thank you for your continued confidence and trust in MassMutual.
Sincerely,
Tina Wilson
President
The information provided is the opinion of MML Investment Advisers, LLC as of 1/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.
** | Diversification and asset allocation do not ensure a profit or protect against loss in a declining market, but can be sound investment strategies. |
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December 31, 2018
Market Highlights
• | During 2018, U.S. stocks encountered more volatility than investors experienced in 2017, varying widely throughout most of the year before dropping into negative return territory to end the period. |
• | Global economic optimism faded during the year under the weight of geopolitical tensions, indications of slowing global growth, trade war rhetoric, and a more hawkish Federal Reserve Board (the “Fed”) tone. |
• | Foreign stocks in developed markets trailed their U.S. counterparts for the period, but generally fared better than emerging-market stocks. |
• | U.S. bond investors struggled to find positive returns in a rising yield environment fueled by rate hikes, a strong U.S. dollar, falling oil prices, and central bank policy. |
Market Environment
U.S. equity investors encountered increased volatility in 2018. Through the first month of 2018, stocks hit record levels following a year of steady gains in 2017. However, after atwo-and-a-half-year streak of positive quarterly results, both the S&P 500® Index* (the “S&P 500”) and the Dow Jones Industrial AverageSM (the “Dow”) posted modest negative results for the first quarter of 2018.
During the first and second quarters of the year, markets fought to find their footing. Wage growth in the U.S. triggered a majorsell-off in early February 2018, as investors sought to balance the likelihood of continued growth against Federal Open Market Committee (FOMC) intentions to raise the short-term federal funds rate several times in the year ahead. (The federal funds rate is the interest rate that banks and financial institutions charge each other for borrowing funds overnight.) Scrutiny concerning revelations about how social media companies use data, and in particular, how social media giant Facebook had allowed customer data to be mined without users’ knowledge, undercut investor confidence in the information technology sector, triggering several rounds of sell-offs. Political turbulence, which characterized the entire reporting period, unsettled markets as investors tried to assess the potential impacts of reduced taxes, increasing federal debt limits, and ongoing rhetoric over global trade wars.
Markets gained some traction through the third quarter of the year. The S&P 500 rebounded, ending the quarter in positive territory. Corporate earnings reports continued to show strong performance, markets seemingly shrugged off three Fed rate hikes, and progress seemed evident on the trade war front. By the end of September, both the Dow and the S&P 500 reached record territory again, but investors were unsettled.
In early October, Fed Chairman Jerome Powell’s statements that the central bank was “a long way” from neutral interest rates stoked fears of more frequent and higher rate hikes. Along with trade war concerns, international political jitters, a strengthening U.S. dollar, and declining oil prices, this seemed enough to trigger a broad marketsell-off. October was the worst month for the S&P 500 since September 2011. Volatility continued through November, as investors looked for a lift following the U.S. midterm elections. Then, December brought another round of sell-offs, resulting in the worst performance for the month since 1931 for the Dow and S&P 500. Byyear-end, major equity markets dropped into negative return territory for the year for the first time since 2008.
Atyear-end, the broad market S&P 500 ended down 4.38% and the Dow followed a similar pattern, down 3.48%. The technology-heavy NASDAQ Composite Index ended down 2.84% for the year, as prominent technology companies like Facebook, Apple, Amazon, Netflix, and Google faced heavy sell-offs in the last quarter. Small- andmid-cap stocks underperformed their larger peers and growth stocks continued to outperform their value counterparts during the period.
The health care, information technology, and consumer discretionary sectors managed to end the year in positive territory and beat the S&P 500. The remaining sectors delivered negative returns, most lagging the S&P 500 and most falling below in the month of December. The reconfigured communication services and financials sectors delivered the worst performances for the year. (In September, the Global Industry Classification Standard (GICS) renamed the telecommunications sector and added media companies and internet services companies to the reconfigured communication services sector.)
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MML Series Investment Fund – Economic and Market Overview (Unaudited)(Continued)
Developed international markets, as measured by the MSCI EAFE® Index, trailed their domestic peers and ended the year down 13.79%. Developed international markets struggled to gain traction under the weight of a strong U.S. dollar, widespread local political issues, including floundering Brexit negotiations, and tariff speculations. (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the European Union.) Emerging-market stocks, as measured by the MSCI Emerging Markets Index, ended the year with a return of-14.58%.
The Fed reasserted its influence on markets through actual and forecasted rate hikes and a change in leadership during the year. Under new Fed Chairman Jerome Powell, the FOMC raised the target range for the federal funds rate four times. While investors had anticipated the rate hikes, the 1.00% total increase over the year – in tandem with prospects for additional hikes in 2019 – proved to be a headwind to overall market performance.
Bond yields rose during the fiscal year, with the10-year U.S. Treasury bond crossing the 3.00% threshold multiple times. After starting the year at 2.46%, yields rose 0.22% to end at 2.68%. Since rising yields drive bond prices down, returns on the Bloomberg Barclays U.S. Aggregate Bond Index failed to move significantly through the year, ending at 0.01%. Investment-grade corporate bonds also fared poorly in the rising yield environment. The Bloomberg Barclays U.S. Corporate 10+ Year Bond Index, which tracks investment-grade corporate bonds, ended the year down 2.51%. The Bloomberg Barclays U.S. Corporate High Yield Index also ended in negative territory, down 2.08% for the year. In December, yield curve inversion added additional pessimism to investor sentiment. (Yield curve inversion occurs when yields on longer-term bonds drop below yields ofshorter-term bonds.)
At the end of a volatile year in which returns fell well short of those enjoyed in 2017, investors generally feel compelled to evaluate their investment strategy. At MassMutual, we remain convinced that a broadly diversified portfolio aligned with a long-term strategy is the wisest course for those investors seeking retirement income. We remind you that it is important to maintain perspective and have realistic expectations about the future performance of your investment portfolio. As described in this report, financial markets can reverse suddenly, stumble along sideways, and reverse again. As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level with respect to markets like these, with how long you have to save and invest, and with your specific financial goals and risk tolerance. Thank you for your confidence in MassMutual.
The information provided is the opinion of MML Investment Advisers, LLC as of 1/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.
* | Indexes referenced, other than the MSCI Indexes, are unmanaged, do not incur fees, expenses, or taxes, and cannot be purchased directly for investment. The MSCI Indexes are unmanaged, do not incur fees or expenses, and cannot be purchased directly for investment. |
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What is the investment approach of MML Blue Chip Growth Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital growth. Income is a secondary objective. Under normal circumstances, the Fund invests at least 80% of net assets (plus the amount of any borrowings for investment purposes) in the common stocks of large- andmedium-sized blue chip growth companies. The Fund’s subadviser currently defines blue chip growth companies to mean firms that, in its view, are well-established in their industries and have the potential for above-average earnings growth. The Fund’s subadviser is T. Rowe Price Associates, Inc. (T. Rowe Price).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class shares returned 1.88%, outperforming the-1.51% return of the Russell 1000® Growth Index (the “benchmark”), which measures the performance of thelarge-cap growth segment of U.S. equity securities. It includes the Russell 1000 Index companies with higherprice-to-book ratios and higher forecasted growth values. In addition, the Fund substantially outperformed the-4.38% return of the S&P 500®Index, which measures the performance of 500 widely held stocks in the U.S. equity market.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, stock selection was the primary driver of relative outperformance; group weighting was also notably positive. From a sector perspective, information technology, health care, and industrials were the key drivers of the Fund’s outperformance. Financials and communication services were the largest detractors.
The information technology sector was the leading relative outperformer due to stock selection. Below-benchmark exposure to Fund holding Apple was a key contributor, as shares sold off due to softer-than-expected demand for the latest iPhone, particularly among consumers in China. The Fund held an underweight position, relative to the benchmark, due in part to concerns over saturation and elongation of replacement cycles for smartphones. Fund holding ServiceNow, a cloud computing company, climbed higher, driven by strong demand for its portfolio of products. Health care also contributed on a relative basis, due to both stock selection and a favorable overweight in the sector. Accelerated growth in the number of global procedures being performed by da Vinci, Intuitive Surgical’s robotic surgical system, drove share prices of this Fund holding higher. The industrials sector also bolstered relative results, on both stock selection and below-benchmark exposure. Fund holding Boeing’s shares appreciated as operating margins continued to expand thanks to favorable delivery volume and the mix of commercial aircraft ordered and sold. Better-than-expected revenue growth from defense and services also helped.
In contrast, the financials sector, which declined for the period, weighed on the Fund’s relative performance. This was due to stock choices and an overweight position in the sector. Shares of Fund holding investment bank and financial services company Morgan Stanley came under pressure due to investor concerns over decelerating transaction revenue and compression of advisory fees, impacting the results of its wealth management division. Shares were weighed down further at year end as growing fears of recession in 2019 caused bank stocks to sell off. The communication services sector also detracted from the Fund’s relative returns, driven by both above-benchmark exposure and stock choices within the sector.
Subadviser outlook
Although the fourth-quarter marketsell-off was painful, Fund management was not surprised to see a downturn, given the length of the bull market and the third-quarter rally that pushed some equity valuations to overly elevated levels. Entering 2019, their expectations were more muted than they were a year ago, although Fund management does not believe a near-term recession is likely. Rather, their view is that corporate earnings and economic growth are likely to increase at a slower pace than in 2018, while remaining positive. They are concerned about the effects of the U.S./China trade dispute, although they do believe that a resolution to the standoff may boost markets.
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MML Blue Chip Growth Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Blue Chip Growth Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
Amazon.com, Inc. | 10.0 | % | ||
Microsoft Corp. | 5.8 | % | ||
Alphabet, Inc. Class C | 4.4 | % | ||
The Boeing Co. | 3.9 | % | ||
Facebook, Inc. Class A | 3.9 | % | ||
Visa, Inc. Class A | 3.5 | % | ||
UnitedHealth Group, Inc. | 3.2 | % | ||
Booking Holdings, Inc. | 3.0 | % | ||
Alibaba Group Holding Ltd. Sponsored ADR | 3.0 | % | ||
Mastercard, Inc. Class A | 2.9 | % | ||
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43.6 | % | |||
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MML Blue Chip Growth Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Communications | 29.7 | % | ||
Consumer,Non-cyclical | 24.6 | % | ||
Technology | 16.9 | % | ||
Financial | 12.5 | % | ||
Industrial | 7.8 | % | ||
Consumer, Cyclical | 7.6 | % | ||
Basic Materials | 0.3 | % | ||
Utilities | 0.1 | % | ||
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Total Long-Term Investments | 99.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.5 | % | ||
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Net Assets | 100.0 | % | ||
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MML Blue Chip Growth Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Blue Chip Growth Fund Initial Class, Service Class, the Russell 1000 Growth Index, and the S&P 500 Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Ten Year Average Annual 1/1/09 - 12/31/18 | |||||||||
Initial Class | 1.88% | 11.17% | 16.88% | |||||||||
Service Class | 1.68% | 10.89% | 16.58% | |||||||||
Russell 1000 Growth Index* | -1.51% | 10.40% | 15.29% | |||||||||
S&P 500 Index | -4.38% | 8.49% | 13.12% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Growth Index and the S&P 500 Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Equity Income Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Equity Income Fund, and who is the Fund’s subadviser?
The Fund seeks dividend income and long-term capital growth by investing primarily in common stocks, with an emphasis on large-capitalization companies that have a strong track record of paying dividends or that the Fund’s subadviser believes to be undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in common stocks. The Fund’s subadviser is T. Rowe Price Associates, Inc. (T. Rowe Price).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class shares returned-9.36%, underperforming the-4.38% return of the S&P 500® Index (the “benchmark”), which measures the performance of 500 widely held stocks in the U.S. equity market. In addition, the Fund underperformed the-8.27% return of the Russell 1000® Value Index, which measures the performance of thelarge-cap value segment of U.S. equity securities. It includes the Russell 1000 Index companies with lowerprice-to-book ratios and lower expected growth values.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, sector allocation weighed on the Fund’s relative returns, as financials, consumer staples, and utilities were the largest relative detractors. The industrials and energy sectors were the largest relative contributors.
Financials was the primary relative detractor from Fund performance due to stock selection. Shares of Fund holding Brighthouse Financial suffered due to higher-than-expected operating costs related to the company’sspin-off from MetLife and net outflows in its variable annuities segment. Fund holdings in the consumer staples sector also weighed on relative performance. Tyson Foods declined due to the unexpected resignation of its CEO, as well as heightened trade tensions with China – which drove an increase in the domestic supply of chicken, beef, and pork, thereby weighing on chicken prices.
Stock selection in the industrials sector contributed to relative performance. Fund holding Boeing benefited from strong demand for its commercial aircraft, increased defense spending, and lower production costs due to automation. Fund holdings in the energy sector also contributed to relative performance. Despite falling oil prices, integrated oil company Total outperformed the broader energy sector due to strong production growth, expense discipline, and a rise in demand for liquefied natural gas.
Subadviser outlook
In 2018, U.S. equities experienced their worst losses in a decade, as monetary policy developments, trade tensions, worries about slowing global growth, and macroeconomic concerns sparked volatility in the previously sanguine markets and drove stretches of sharp declines. Continued trade disputes between the U.S. and China periodically depressed equities and raised the level of uncertainty in the markets.
The Fund management believes the recent market volatility has the potential to persist until there is more clarity into how theU.S.-China trade situation will be resolved. In the meantime, they are concerned that global trade policy uncertainty could further dampen business capital spending and other growth-driving efforts. They also remain mindful of potential headwinds from increased political tensions in the U.S. and rising interest rates. That said, Fund management believes that the U.S. economy, although slowing, remains reasonably strong.
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MML Equity Income Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Equity Income Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
JP Morgan Chase & Co. | 3.4 | % | ||
Wells Fargo & Co. | 3.2 | % | ||
Twenty-First Century Fox, Inc. Class B | 2.5 | % | ||
Exxon Mobil Corp. | 2.5 | % | ||
Verizon Communications, Inc. | 2.2 | % | ||
Pfizer, Inc. | 2.1 | % | ||
DowDuPont, Inc. | 2.1 | % | ||
Total SA | 2.1 | % | ||
Johnson & Johnson | 2.1 | % | ||
The Southern Co. | 2.0 | % | ||
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24.2 | % | |||
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MML Equity Income Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Financial | 26.2 | % | ||
Consumer,Non-cyclical | 20.8 | % | ||
Communications | 9.7 | % | ||
Energy | 9.2 | % | ||
Industrial | 8.9 | % | ||
Utilities | 7.6 | % | ||
Technology | 5.7 | % | ||
Consumer, Cyclical | 5.5 | % | ||
Basic Materials | 4.6 | % | ||
Mutual Funds | 0.4 | % | ||
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Total Long-Term Investments | 98.6 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.4 | % | ||
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Net Assets | 100.0 | % | ||
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MML Equity Income Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Equity Income Fund Initial Class, Service Class, the S&P 500 Index, and the Russell 1000 Value Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Ten Year Average Annual 1/1/09 - 12/31/18 | |||||||||
Initial Class | -9.36% | 4.62% | 10.55% | |||||||||
Service Class | -9.60% | 4.35% | 10.27% | |||||||||
S&P 500 Index* | -4.38% | 8.49% | 13.12% | |||||||||
Russell 1000 Value Index | -8.27% | 5.95% | 11.18% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the S&P 500 Index and the Russell 1000 Value Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Equity Index Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Equity Index Fund, and who is the Fund’s subadviser?
The Fund’s investment objective is to provide investment results that correspond to the price and yield performance of publicly traded common stocks in the aggregate as represented by the S&P 500® Index* (the “Index”). Under normal circumstances, the Fund invests at least 80% (and, typically, substantially all) of its net assets (plus the amount of any borrowings for investment purposes) in the equity securities of companies included within the Index. The Fund’s subadviser is Northern Trust Investments, Inc. (NTI).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Class I shares returned-4.80%, underperforming the-4.38% return of the Index, which measures the performance of 500 widely held stocks in the U.S. equity market.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
The Fund’s underperformance versus the Index is mainly attributable to the impact of fees and expenses necessary for the management and operation of the Fund. The Index is not subject to fees or expenses, and it is not possible to invest directly in the Index.
For the year ended December 31, 2018, health care and utilities were the strongest-performing sectors within the Index, returning 6.03% and 4.11%, respectively. The energy and materials sectors exhibited the worst performance, returning-18.33% and-15.34%, respectively.
Domestic equities started 2018 off on a strong note, extending the exuberance from the late-2017 passage of tax reform. Markets climbed to new highs in early 2018 before volatility came back into the markets due to continued trade war speculation. This caused investors to pull back after disappointing jobs numbers in early 2018, leading to markets posting their first negative return in the first quarter since 2015.
Throughout the rest of 2018, talk of tariffs and trade wars with America’s main trading partners, China and Europe, dominated the headlines, leading to speculation of a global growth slowdown. Despite the global growth concerns, corporate earnings remained strong throughout the second and third quarters of the year, resulting in market advances, while oil took a volatile path throughout 2018.
Accompanying the strength in economic data and corporate earnings, the Federal Reserve Board (the Fed) continued with four quarterly rate hikes throughout 2018. In the third quarter, the U.S. markets hit newall-time highs, while yields edged higher and the U.S. dollar showed sustained strength. In September, however, ongoing geopolitical issues started to weigh on markets, leading to a significant decline in equities over the fourth quarter.
With the Fed’s continued rate hikes, the short end of the yield curve increased, while the long end remained relatively unchanged through the first part of the year. (The yield curve is a graph showing the term structure of interest rates by plotting the yields of all bonds of comparable quality with maturities ranging from the shortest – typically one month – to the longest – typically 30 years – available. The resulting curve shows whether short-term interest rates are higher or lower than long-term rates.) The economic turmoil in the fourth quarter inverted the medium term of the yield curve, while investors interpreted the final Fed minutes release for 2018 to imply a decrease in the number of rate increases for 2019. On the trade war front, despite initial positive reports coming out of the G20 Summit, investors questioned whether additional progress would be made before the March 1st deadline.
Subadviser outlook
Fund management believes that numerous forces will continue to influence the direction that the markets will take as we head into 2019, including central bank policy in both the United States and throughout the world, geopolitical tensions and trade war rhetoric, as well as the tense political discourse in the U.S. Fund management believes, however, that the Fund continues to be positioned to pursue returns that are consistent with those of the Index.
* The S&P 500 Index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by MML Advisers. Standard & Poor’s®, S&P® and S&P 500® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by MML Advisers. The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P 500 Index.
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MML Equity Index Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Equity Index Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
Microsoft Corp. | 3.6 | % | ||
Apple, Inc. | 3.3 | % | ||
Amazon.com, Inc. | 2.9 | % | ||
Berkshire Hathaway, Inc. Class B | 1.8 | % | ||
Johnson & Johnson | 1.6 | % | ||
JP Morgan Chase & Co. | 1.5 | % | ||
Alphabet, Inc. Class C | 1.5 | % | ||
Facebook, Inc. Class A | 1.5 | % | ||
Alphabet, Inc. Class A | 1.4 | % | ||
Exxon Mobil Corp. | 1.3 | % | ||
|
| |||
20.4 | % | |||
|
|
MML Equity Index Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Consumer,Non-cyclical | 22.7 | % | ||
Financial | 17.5 | % | ||
Technology | 15.5 | % | ||
Communications | 14.2 | % | ||
Industrial | 8.8 | % | ||
Consumer, Cyclical | 8.2 | % | ||
Energy | 5.2 | % | ||
Utilities | 3.3 | % | ||
Basic Materials | 2.2 | % | ||
Mutual Funds | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 97.6 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.4 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
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12
Table of Contents
MML Equity Index Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Equity Index Fund Class I, Class II, Class III, Service Class I, and the S&P 500 Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Ten Year Average Annual 1/1/09 - 12/31/18 | |||||||||
Class I | -4.80% | 8.04% | 12.66% | |||||||||
Class II | -4.63% | 8.20% | 12.83% | |||||||||
Class III | -4.52% | 8.34% | 12.99% | |||||||||
Service Class I | -5.04% | 7.77% | 12.37% | |||||||||
S&P 500 Index | -4.38% | 8.49% | 13.12% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the S&P 500 Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
13
Table of Contents
MML Focused Equity Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Focused Equity Fund, and who is the Fund’s subadviser?
The Fund seeks growth of capital over the long-term by investing primarily in equity securities of U.S. companies that the Fund’s subadviser believes are financially sound, valued conservatively by the market, and have improving prospects. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities. The Fund’s subadviser is Wellington Management Company LLP (Wellington Management).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Class II shares returned 1.18%, outperforming, by a wide margin, the-4.78% return of the Russell 1000® Index (the “benchmark”), which measures the performance of thelarge-cap segment of U.S. equity securities. It is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Strong security selection within the consumer discretionary, consumer staples, industrials, and information technology sectors drove the Fund’s relative outperformance for the year ended December 31, 2018 – while less-than-favorable stock selection in the health care sector partially offset the positive results. Sector allocation, which is a residual of the Fund’sbottom-up stock selection process, was weak and detracted from relative performance. The Fund’s underweight allocation, relative to the benchmark, to the information technology sector and overweight to the industrials sector weighed on relative results.
Fund holdings that were top relative contributors for the period included TJX Companies (consumer discretionary) and Nike (consumer discretionary). Shares of TJX Companies, anoff-price apparel and home goods retailer, rose following solid earnings and strong same-store sales, along with adjusted earnings per share. Its competitive advantage is how TJX Companies buys clothing: It purchases overages and acquires inventory at extremely favorable price points. In addition, the company is unique in large caps, as it has potential to outperform in both offensive and defensive macroeconomic environments. We view the company as a high-quality, cash-generative, dominant value creator and distributor. Nike, a provider of athletic footwear, apparel, and accessories, reported strong earnings and announced that sales were accelerating across all regions and channels and that prior inventory issues had been resolved, causing its shares to advance.
Fund holdings that were among the top relative detractors for the period were Colgate-Palmolive (consumer staples) and PNC Financial (financials). The share price of Colgate-Palmolive, one of the world’s largest consumer product companies, has been weak, similar to the experience of other consumer packaging goods companies. Although company revenue grew over the period, organic revenue fell below management and shareholder expectations. Cost savings continued to be an area of strength. The company has strong competitive advantages given its size and global scale, but a key reason for its success is that it has dominant market share (well above 50%) in many of its markets. The company has expansive geographic reach, with nearly 80% of sales generated from outside the U.S., with 50% of total sales coming from emerging markets. Despite reporting solid earnings results, shares of PNC Financial, a diversified financial services company, fell as the company faced headwinds from the market, including the flattening yield curve. (The yield curve is a graphical representation of bond yields with very short maturities to the longest available, with the curve indicating whether short-term rates are higher or lower than long-term rates. If the yield curve is flattening, that means the yield spread between long-term and short-term rates is decreasing.) Not owning benchmark constituent Amazon (a U.S.-based global leader ine-commerce retail), which performed well during the period, also weighed on relative results. McKesson (health care) was the top detractor in the poorly performing health care sector.
Subadviser outlook
Overall, Fund management remains highly cautious in their investment posture. They continue to believe in the power of compounding and in a growing dividend as the tool through which this power is expressed. Fund management believes a long-term outlook characterized by patience and low turnover is the best recipe for managing the portfolio.
At the end of the period, the Fund was most overweight in the consumer staples and industrials sectors, and most underweight in the information technology and communication services sectors.
14
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MML Focused Equity Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Focused Equity Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
Medtronic PLC | 4.5 | % | ||
McDonald’s Corp. | 4.5 | % | ||
The Coca-Cola Co. | 4.5 | % | ||
PepsiCo, Inc. | 4.3 | % | ||
American Tower Corp. | 4.2 | % | ||
The TJX Cos., Inc. | 4.1 | % | ||
Bristol-Myers Squibb Co. | 4.0 | % | ||
NIKE, Inc. Class B | 4.0 | % | ||
American Express Co. | 4.0 | % | ||
Chubb Ltd. | 4.0 | % | ||
|
| |||
42.1 | % | |||
|
|
MML Focused Equity Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Consumer,Non-cyclical | 31.6 | % | ||
Financial | 25.5 | % | ||
Industrial | 17.2 | % | ||
Consumer, Cyclical | 14.9 | % | ||
Technology | 6.3 | % | ||
Basic Materials | 2.7 | % | ||
|
| |||
Total Long-Term Investments | 98.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.8 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
15
Table of Contents
MML Focused Equity Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Focused Equity Fund Class II and the Russell 1000 Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Since Inception Average Annual 12/8/11 - 12/31/18 | |||||||||
Class II | 1.18% | 8.28% | 13.78% | |||||||||
Russell 1000 Index | -4.78% | 8.21% | 12.82% |
Hypothetical Investments in MML Focused Equity Fund Service Class I and the Russell 1000 Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Since Inception Average Annual 5/1/12 - 12/31/18 | |||||||||
Service Class I | 0.99% | 8.02% | 11.92% | |||||||||
Russell 1000 Index | -4.78% | 8.21% | 11.26% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund's return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
16
Table of Contents
MML Foreign Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Foreign Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital growth by investing, under normal circumstances, at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in investments of issuers located outside of the U.S., including those in emerging markets. Under normal market conditions, the Fund invests predominantly in equity securities, primarily to predominantly common stocks, and, while there are no set percentage targets, the Fund invests predominantly in large- to medium-capitalization companies with market capitalization values greater than $2 billion and may invest a portion in smaller companies. The Fund’s subadviser is Templeton Investment Counsel, LLC (Templeton).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class shares returned-15.90%, underperforming the-14.20% return of the MSCI All Country World Index (ACWI) ex USA (the “benchmark”), which measures the performance of the large- andmid-cap segments of the particular regions, excluding U.S. equity securities, including developed and emerging markets.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, stock selection, particularly in Europe, hindered the Fund’s performance relative to the benchmark. Within the region, Fund holdings in France and Sweden hurt results, while an overweighting in Germany also hampered performance. Additionally, stock selection in Japan and South Korea weighed on the Fund’s overall results in Asia.
From a sector perspective, Fund holdings in the financials, materials, and information technology sectors detracted from the Fund’s relative performance. In financials, French banking and financial services firm BNP Paribas significantly hindered results. In materials, German specialty chemicals company LANXESS was a notable detractor, while electronics company OMRON (Japan) weighed on results in information technology. Other major detractors included pharmaceuticals and life sciences company Bayer (Germany) in the health care sector, telecommunications services provider Vodafone Group (U.K.) in the communication services sector, and home improvement retailer Kingfisher (U.K.) in the consumer discretionary sector.
During the period, the U.S. dollar rose in value against most foreign currencies, which hurt the Fund’s performance because investments in securities withnon-U.S. currency exposure lost value as the U.S. dollar rose.
In contrast, an underweighted allocation in North America benefited the Fund’s relative results. Additionally, Fund holdings in China, Luxembourg, and Denmark contributed to relative performance, while the Fund’s overweighted allocations, relative to the benchmark, in the U.K. and Singapore also boosted results.
From a sector perspective, greater-than-benchmark stakes in the health care and energy sectors benefited relative results, while stock selection in the communication services sector also contributed. Medical devices manufacturer LivaNova (U.K.) boosted the Fund’s performance in the health care sector, Chinese wireless and mobile services provider China Telecom was a contributor in the communication services sector, and British integrated oil and gas company BP supported the Fund’s full-year returns in the energy sector.
Subadviser outlook
Fund management believes that one counterintuitive characteristic of financial markets is that the better things seem, the riskier they actually may be. Risks appear elevated to Fund management at this point in the cycle since central bank policy makers have begun raising interest rates against a backdrop of broadly high asset prices and historically low volatility. At Templeton, Fund management is resolved to avoid complacency and remain mindful of their privileged roles as stewards of client capital. However, the Fund will also remain invested in equity markets, with a focus, in the words of the firm’s founder, Sir John Templeton, on “those stocks having the lowest prices in relation to possible earning power of future years.”
17
Table of Contents
MML Foreign Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Foreign Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
Shire PLC | 3.1 | % | ||
Samsung Electronics Co. Ltd. | 2.7 | % | ||
BP PLC | 2.7 | % | ||
Royal Dutch Shell PLC Class B | 2.7 | % | ||
Standard Chartered PLC | 2.5 | % | ||
Roche Holding AG | 2.2 | % | ||
Sanofi | 2.1 | % | ||
BNP Paribas SA | 2.0 | % | ||
Suntory Beverage & Food Ltd. | 1.9 | % | ||
UBS Group AG Registered | 1.9 | % | ||
|
| |||
23.8 | % | |||
|
|
MML Foreign Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Financial | 22.5 | % | ||
Consumer,Non-cyclical | 20.6 | % | ||
Energy | 12.3 | % | ||
Communications | 10.7 | % | ||
Technology | 7.5 | % | ||
Industrial | 7.1 | % | ||
Basic Materials | 5.2 | % | ||
Consumer, Cyclical | 4.8 | % | ||
Utilities | 3.1 | % | ||
Diversified | 1.5 | % | ||
Mutual Funds | 0.5 | % | ||
|
| |||
Total Long-Term Investments | 95.8 | % | ||
Short-Term Investments and Other Assets and Liabilities | 4.2 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
18
Table of Contents
MML Foreign Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Foreign Fund Initial Class, Service Class, and the MSCI ACWI ex USA.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Ten Year Average Annual 1/1/09 - 12/31/18 | |||||||||
Initial Class | -15.90% | -1.53% | 4.97% | |||||||||
Service Class | -16.03% | -1.74% | 4.73% | |||||||||
MSCI ACWI ex USA | -14.20% | 0.68% | 6.57% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI ACWI ex USA is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
19
Table of Contents
MML Fundamental Growth Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Fundamental Growth Fund, and who is the Fund’s subadviser?
The Fund seeks long-term growth of capital by investing primarily in domestic equity securities that the Fund’s subadviser believes offer the potential for long-term growth. The Fund’s subadviser is Wellington Management Company LLP (Wellington Management).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Class II shares returned 0.80%, outperforming the-1.51% return of the Russell 1000® Growth Index (the “benchmark”), which measures the performance of thelarge-cap growth segment of U.S. equity securities. It includes the Russell 1000 Index companies with higherprice-to-book ratios and higher forecasted growth values.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Security selection within the consumer discretionary and energy sectors was the primary driver behind the Fund’s outperformance of its benchmark for the year ended December 31, 2018. Weak selection within the industrials, financials, and information technology sectors detracted from relative performance. The Fund also benefited from its overweight exposure, relative to the benchmark, to the information technology sector and its underweight exposure to the consumer staples sector, although this was partially offset by an underweight to the consumer discretionary sector.
Fund holdings that were top contributors to benchmark-relative returns were McDonald’s (consumer discretionary) and TJX (consumer discretionary). Shares of McDonald’s, a fast food franchiser, rose during the period as the company benefited from strong same-store sales due to the increased use of technology, a revamped “value” menu, and an upgraded design for its restaurants. TJX – the largest globaloff-price apparel and home goods retailer, which operates the TJ Maxx, Marshalls, and Home Goods brands – also contributed to the Fund’s relative returns. During the year, its shares rose after management reported strong consecutive quarterly earnings on the heels of strong same-store sales and better-than-expected 2018 guidance.
Fund holdings that were top detractors from relative performance included Caterpillar (industrials), Apple (information technology), and Citigroup (financials). Caterpillar, the world’s largest construction and mining manufacturer, underperformed, as rising material costs and fears of a slowdown of global growth drove down shares during the year. Apple designs, manufactures, and markets communication and media devices, and sells software, services, and accessories. Apple underperformed as the company began to face a maturing iPhone market. Shares fell as investors became concerned that a trade war between the United States and China could dim global growth prospects and decrease sales. Citigroup was the top underperformer in the lagging financials sector.
Subadviser outlook
In Fund management’s conversations with the management teams of the Funds’ portfolio companies, they are finding that most companies are focused on seeking ways to reduce costs, particularly by employing technology tools that promote productivity gain. Another secular trend Fund management continues to see is a focus on cyber security. Cyber breaches appear to be accelerating and the targets are getting much bigger. Companies are therefore seeking ways to quickly detect, mitigate, and localize any threats. The Fund owns several companies that Fund management believes have the potential to benefit from both of these trends.
As of the end of the period, the Fund’s largest overweight positions, relative to the benchmark, were in the information technology and consumer discretionary sectors and its largest underweight positions were in the industrials and consumer staples sectors.
20
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MML Fundamental Growth Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Fundamental Growth Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
Microsoft Corp. | 8.0 | % | ||
Alphabet, Inc. Class C | 6.1 | % | ||
Apple, Inc. | 4.1 | % | ||
Amazon.com, Inc. | 4.0 | % | ||
Visa, Inc. Class A | 3.1 | % | ||
Mastercard, Inc. Class A | 2.5 | % | ||
The Procter & Gamble Co. | 2.3 | % | ||
The Home Depot, Inc. | 2.2 | % | ||
Amgen, Inc. | 2.1 | % | ||
salesforce.com, Inc. | 2.1 | % | ||
|
| |||
36.5 | % | |||
|
|
MML Fundamental Growth Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Consumer,Non-cyclical | 24.6 | % | ||
Technology | 24.4 | % | ||
Communications | 16.7 | % | ||
Financial | 11.9 | % | ||
Consumer, Cyclical | 11.5 | % | ||
Industrial | 5.2 | % | ||
Energy | 1.2 | % | ||
Basic Materials | 1.0 | % | ||
|
| |||
Total Long-Term Investments | 96.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.5 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
21
Table of Contents
MML Fundamental Growth Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Fundamental Growth Fund Class II and the Russell 1000 Growth Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Since Inception Average Annual 12/8/11 - 12/31/18 | |||||||||
Class II | 0.80% | 9.51% | 12.82% | |||||||||
Russell 1000 Growth Index | -1.51% | 10.40% | 14.16% |
Hypothetical Investments in MML Fundamental Growth Fund Service Class I and the Russell 1000 Growth Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Since Inception Average Annual 5/1/12 - 12/31/18 | |||||||||
Service Class I | 0.66% | 9.26% | 11.01% | |||||||||
Russell 1000 Growth Index | -1.51% | 10.40% | 12.53% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Growth Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund's return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
22
Table of Contents
MML Fundamental Value Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Fundamental Value Fund, and who is the Fund’s subadviser?
The Fund seeks long-term total return by investing primarily in equity securities of issuers that the Fund’s subadviser believes are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities, with a focus on companies with large market capitalizations (which the subadviser believes are generally above $2 billion). The Fund’s subadviser is Wellington Management Company LLP (Wellington Management).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Class II shares returned-10.34%, underperforming the-8.27% return of the Russell 1000® Value Index (the “benchmark”), which measures the performance of thelarge-cap value segment of U.S. equity securities. It includes the Russell 1000 Index companies with lowerprice-to-book ratios and lower expected growth values.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Weak security selection was the primary driver of the Fund’s relative underperformance for the year ended December 31, 2018. Stock selection within the consumer staples, financials, and consumer discretionary sectors detracted from relative results, while strong stock choices in the information technology, communication services, and health care sectors partially offset the negative returns. Sector allocation, a residual of the Fund’sbottom-up stock selection process, marginally detracted from relative performance. The Fund’s overweight allocation, relative to the benchmark, to the energy sector and its underweight stake in the utilities sector weighed on performance, but was partially offset by an underweight allocation to the consumer staples sector and an overweight to the information technology sector.
Fund holdings that were top detractors from relative performance included Invesco (financials) and Halliburton (energy). Invesco, a U.S.-based investment management company, was hurt by broad market weakness and weak fund flows. Shares of Halliburton, a U.S.-based oil field services company, decreased over 40%. The energy sector experienced the steepest decline within the benchmark(-17.6%), primarily resulting from Organization of Petroleum Exporting Countries (OPEC) oversupplies and a related drop in oil prices. British-American Tobacco (consumer staples) was the top detractor in the poorly performing consumer staples sector. Not owning benchmark constituent Pfizer (health care), which performed well during the period, also detracted from the Fund’s relative results for the year.
Fund holdings that were top contributors to relative results for the year included Eli Lilly (health care) and XL Group (financials). Eli Lilly, a U.S.-based global pharmaceuticals company, returned over 47% during the period, as the company reported strong third-quarter results and released positive data on its diabetes franchise. Shares of XL Group, a global insurance and reinsurance company, rose sharply after the company agreed to be acquired by France-based insurer AXA. Since the share price of this Fund holding had reached its perceived value, Fund management eliminated the Fund’s position in this Fund holding during the period.
Subadviser outlook
Given the increase in economic uncertainty, Fund management is carefully monitoring business confidence for potential negative impact on 2019 spending plans. Fund management expects continued volatility in the near term, and they are evaluating new opportunities in companies where stock prices appear currently undervalued, offering what they believe to be attractive valuations in multiple economic scenarios.
The Fund ended the period with its largest overweight allocations to the information technology and energy sectors. The real estate and utilities sectors were the Fund’s largest underweight positions.
23
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MML Fundamental Value Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Fundamental Value Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
JP Morgan Chase & Co. | 4.3 | % | ||
Bank of America Corp. | 3.1 | % | ||
Chevron Corp. | 2.9 | % | ||
Verizon Communications, Inc. | 2.9 | % | ||
Comcast Corp. Class A | 2.7 | % | ||
Cisco Systems, Inc. | 2.7 | % | ||
Merck & Co., Inc. | 2.6 | % | ||
Intel Corp. | 2.5 | % | ||
Citigroup, Inc. | 2.3 | % | ||
Wells Fargo & Co. | 2.3 | % | ||
|
| |||
28.3 | % | |||
|
|
MML Fundamental Value Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Financial | 26.6 | % | ||
Consumer,Non-cyclical | 22.6 | % | ||
Energy | 10.6 | % | ||
Communications | 10.1 | % | ||
Industrial | 9.2 | % | ||
Technology | 8.1 | % | ||
Utilities | 4.6 | % | ||
Consumer, Cyclical | 4.2 | % | ||
Basic Materials | 3.0 | % | ||
|
| |||
Total Long-Term Investments | 99.0 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.0 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
24
Table of Contents
MML Fundamental Value Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Fundamental Value Fund Class II and the Russell 1000 Value Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Since Inception Average Annual 8/10/10 - 12/31/18 | |||||||||
Class II | -10.34% | 4.76% | 9.29% | |||||||||
Russell 1000 Value Index | -8.27% | 5.95% | 10.67% |
Hypothetical Investments in MML Fundamental Value Fund Service Class I and the Russell 1000 Value Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Since Inception Average Annual 5/1/12 - 12/31/18 | |||||||||
Service Class I | -10.56% | 4.52% | 8.20% | |||||||||
Russell 1000 Value Index | -8.27% | 5.95% | 9.89% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Value Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
25
Table of Contents
MML Global Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Global Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital appreciation by investing primarily in the equity securities of U.S. and foreign companies, including companies in developed and emerging markets. The Fund may invest a significant percentage of its assets in issuers in a single industry, sector, country, or region. The Fund’s subadviser is Massachusetts Financial Services Company (MFS).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Class I shares returned-9.53%, underperforming the-8.71% return of the MSCI World Index (the “benchmark”), which measures the performance of the large- andmid-cap segments of world equity securities.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, security selection and, to a lesser extent, an overweight position in the consumer staples sector were primary factors that detracted from the Fund’s performance relative to the benchmark. Within this sector, the Fund’s overweight position, relative to the benchmark, in American beauty products company Coty weighed on relative returns, as the stock underperformed the benchmark over the reporting period. An overweight position in the industrials sector also weakened relative returns, led by the Fund’s overweight stake in poorly performing Adecco (Switzerland), the largest temp staffing firm in the world. Not holding any positions in the strongly performing utilities sector further detracted from the Fund’s relative performance.
With respect to other Fund holdings, the Fund’s overweight positions in pharmaceutical company Bayer (Germany), custody bank State Street (U.S.), advertising and marketing firm WPP Group (U.K.), investment management and banking firm UBS (Switzerland), and two American companies – financial services firm Goldman Sachs and oil field services company Schlumberger – detracted from relative results. Additionally, not holding shares of two strongly performing American companies – software giant Microsoft and internet retailer Amazon – hurt relative performance.
During the reporting period, the Fund’s relative currency exposure, resulting primarily from differences between the Fund’s and the benchmark’s exposures to holdings of securities denominated in foreign currencies, was a detractor from relative performance.
Security selection in the materials sector was a primary factor that lifted the Fund’s relative performance. Within this sector, an overweight position in German industrial gas supplier Linde aided relative returns. An underweight position in the poorly performing financials sector further supported relative results, although no Fund holdings within this sector were among the top relative contributors during the reporting period. The Fund’s overweight position in the health care sector also benefited relative performance. Within this sector, with respect to specific Fund holdings, overweight positions in American life sciences supply company Thermo Fisher Scientific and medical equipment companies Medtronic (Ireland-based), Abbott Laboratories, Cooper Companies, and Stryker (all U.S.-based) contributed positively to relative returns. The Fund’s relative performance was also supported by overweight positions in global payments technology company Visa (U.S.), French beverage company Pernod Ricard, luxury goods company LVMH (France), as well as not holding shares of the poorly performing American social media company Facebook.
Subadviser outlook
Fund management believes that, under more challenging market conditions (a scenario they view as fairly likely in 2019), companies that have become less competitive in a digital economy will no longer benefit from leniency on the part of credit rating agencies. These companies may develop a pressing need for credit at a time when the bond market is experiencing challenges. In such an environment, they believe asset selection will be critical and that differentiating between those companies with sustainable margins and those without will likely have a greater impact on Fund returns than it has in recent years. Longer term, Fund management believes markets will decelerate from the above-average returns experienced over the last three decades. Their10-year capital market expectations currently forecast materially lower returns compared with what investors have experienced for the prior 10 years. Fund management forecasts potential returns for a global balanced portfolio (60/40 global equity/bond) at slightly above 4% (in U.S. dollar terms) before inflation.
26
Table of Contents
MML Global Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Global Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
Visa, Inc. Class A | 3.0 | % | ||
Medtronic PLC | 3.0 | % | ||
Thermo Fisher Scientific, Inc. | 3.0 | % | ||
Comcast Corp. Class A | 2.8 | % | ||
Nestle SA Registered | 2.6 | % | ||
Accenture PLC Class A | 2.4 | % | ||
Honeywell International, Inc. | 2.3 | % | ||
Essity AB Class B | 2.2 | % | ||
Reckitt Benckiser Group PLC | 2.2 | % | ||
Diageo PLC | 2.2 | % | ||
|
| |||
25.7 | % | |||
|
|
MML Global Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Consumer,Non-cyclical | 37.1 | % | ||
Industrial | 18.1 | % | ||
Financial | 12.6 | % | ||
Communications | 8.2 | % | ||
Technology | 7.5 | % | ||
Consumer, Cyclical | 7.5 | % | ||
Basic Materials | 6.1 | % | ||
Energy | 0.7 | % | ||
Mutual Funds | 0.4 | % | ||
|
| |||
Total Long-Term Investments | 98.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.8 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
27
Table of Contents
MML Global Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Global Fund Class I, Class II, Service Class I, and the MSCI World Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Ten Year Average Annual 1/1/09 - 12/31/18 | |||||||||
Class I | -9.53% | �� | 4.38% | 10.83% | ||||||||
Class II | -9.57% | 4.40% | 10.89% | |||||||||
Service Class I | -9.84% | 4.09% | 10.55% | |||||||||
MSCI World Index | -8.71% | 4.56% | 9.67% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI World Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
28
Table of Contents
MML Growth & Income Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Growth & Income Fund, and who is the Fund’s subadviser?
The Fund seeks capital appreciation and income by investing, under normal circumstances, at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities and equity-related securities, including convertible securities, preferred stocks, options, and warrants, of U.S. companies with market capitalizations at the time of purchase greater than $1 billion. The Fund’s subadviser is Massachusetts Financial Services Company (MFS).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class shares returned-5.20%, underperforming the-4.38% return of the S&P 500®Index (the “benchmark”), which measures the performance of 500 widely held stocks in the U.S. equity market.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, security selection in the information technology sector hurt performance relative to the benchmark. Within this sector, the Fund’s underweight position, relative to the benchmark, in software giant Microsoft hurt relative performance. The Fund’s overweight position in information technology company DXC Technology also held back relative returns. The timing of the Fund’s investment in broadband communications and networking services company Broadcom further hampered relative results. (The Fund sold Broadcom before the end of the reporting period.) Stock selection in the consumer discretionary sector also detracted from relative performance. Specifically, not owning shares of internet retailer Amazon negatively impacted the Fund’s relative returns. An overweight position in commercial products manufacturer Newell Brands further detracted from the Fund’s relative results.
In other sectors, the Fund’s overweight positions in oil field services company Schlumberger, financial services firm Goldman Sachs Group, and beauty products company Coty (which the Fund exited beforeyear-end) weighed on relative performance. The Fund’s holdings of consumer goods packaging products manufacturer Crown Holdings (not held by the benchmark) detracted from relative results. Additionally, not owning shares of strongly performing pharmaceutical company Merck further held back relative returns.
The Fund’s holdings in the health care and real estate sectors contributed to the Fund’s full-year relative performance. Within the health care sector, the Fund’s overweight positions in life sciences supply company Thermo Fisher Scientific, medical device maker Medtronic, industrial and health care tools company Danaher, and pharmaceuticals company Eli Lilly aided relative returns. Within the real estate sector, an overweight position in broadcast and communication tower management firm American Tower bolstered relative performance.
Elsewhere, the Fund’s overweight holdings of global payments technology company Visa, debit and credit transaction processing company Mastercard, global provider of banking and payment technologies Fidelity National Information Services, and coffee and tea company Starbucks buoyed relative returns. Avoiding shares of diversified industrial conglomerate General Electric boosted the Fund’s relative returns as the stock price underperformed during the year.
Subadviser outlook
Fund management believes that, under more challenging market conditions (a scenario which they view as fairly likely in 2019), companies that have become less competitive in a digital economy will no longer benefit from leniency on the part of credit rating agencies. These companies may develop a pressing need for credit at a time when the bond market is experiencing challenges. In such an environment, Fund management believes asset selection will be critical. They believe that differentiating between those companies with sustainable margins and those without will likely have a greater impact on Fund returns than it has in recent years.
29
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MML Growth & Income Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Growth & Income Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
Alphabet, Inc. Class A | 3.4 | % | ||
Visa, Inc. Class A | 3.2 | % | ||
Johnson & Johnson | 3.1 | % | ||
JP Morgan Chase & Co. | 3.1 | % | ||
American Tower Corp. | 2.9 | % | ||
Danaher Corp. | 2.6 | % | ||
Medtronic PLC | 2.6 | % | ||
Bank of America Corp. | 2.4 | % | ||
Thermo Fisher Scientific, Inc. | 2.4 | % | ||
Fidelity National Information Services, Inc. | 2.2 | % | ||
|
| |||
27.9 | % | |||
|
|
MML Growth & Income Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Consumer,Non-cyclical | 24.6 | % | ||
Financial | 21.6 | % | ||
Technology | 16.1 | % | ||
Consumer, Cyclical | 10.3 | % | ||
Communications | 9.9 | % | ||
Industrial | 8.9 | % | ||
Energy | 4.7 | % | ||
Basic Materials | 2.5 | % | ||
Utilities | 0.5 | % | ||
Mutual Funds | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 99.1 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.9 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
30
Table of Contents
MML Growth & Income Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Growth & Income Fund Initial Class, Service Class, and the S&P 500 Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Ten Year Average Annual 1/1/09 - 12/31/18 | |||||||||
Initial Class | -5.20% | 7.34% | 12.17% | |||||||||
Service Class | -5.46% | 7.07% | 11.89% | |||||||||
S&P 500 Index | -4.38% | 8.49% | 13.12% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the S&P 500 Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
31
Table of Contents
MML Income & Growth Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Income & Growth Fund, and who is the Fund’s subadviser?
The Fund seeks long-term total return and current income by investing primarily in equity securities of issuers that the Fund’s subadviser believes are undervalued. Although the Fund may invest in companies of any size, the Fund will tend to focus on companies with large market capitalizations (which the Fund’s subadviser believes are generally above $2 billion). The Fund’s subadviser is Barrow, Hanley, Mewhinney & Strauss, LLC (Barrow Hanley).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class shares returned-11.68%, underperforming the-8.27% return of the Russell 1000® Value Index (the “benchmark”), which measures the performance of thelarge-cap value segment of U.S. equity securities. It includes the Russell 1000 Index companies with lowerprice-to-book ratios and lower expected growth values.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, against a backdrop of extreme fear centering on trade issues and Federal Reserve policies, the only sectors in the benchmark that posted positive returns were utilities (a “bond-proxy” sector) and health care. Some of the areas in which the Fund found more value opportunities than in the benchmark (such as industrials and energy) did not fare well in thesell-off. Additionally, the stocks within the benchmark with the highest price tags outperformed their cheaper counterparts during the reporting period. (The Fund is more heavily concentrated in the lowest-priced stocks within the benchmark.) Consequently, the Fund lagged the benchmark for the year.
The Fund’s allocation to, and stock selection within, the industrials sector detracted from benchmark-relative performance for the year. Specifically, General Electric Co. (GE) underperformed due to poorly received third-quarter earnings. Operating income for GE’s Power business turned negative, leading new CEO Larry Culp to remove earnings and cash flow guidance for the year. The company also did little to define several uncertain liabilities, particularly those related to the long-term care insurance business. GE likely brought in Culp to significantly accelerate the restructuring of the Power business and reduce its leverage.
Turning to the positive, the Fund’s stock selection within the financials sector added to relative performance. Fund holding XL Group Ltd. (XL), a global insurance company, generated approximately 70% of its earnings primarily from insurance and 30% from reinsurance. XL was a meaningful contributor to performance during the year, as the French insurance conglomerate AXA acquired the company. Whereas XL entered 2018 trading at approximately $34 per share, thetake-out offer was for $57.60, nearly a 70% premium. With the takeover deal having closed, XL is no longer a Fund holding.
Subadviser outlook
The fourth-quarter market rout was a reminder that the market is a discounting mechanism. In Fund management’s view, swift downturn has the potential to imply an end to the longest bull market in recent history. Just as sentiment and returns for equity markets can shift rapidly, so, too, can investors’ preference for growth or value styles of investing. After many quarters and years of dominance by growth stocks, 2018 ended with better performance from value stocks, as the value benchmark outperformed its growth counterpart by more than 8% from the end of the third quarter through late November. The growth and value pendulum may be finally swinging toward value after the longest growth run in 90 years. With sharp corrections come opportunities, and while the market continues to be volatile, Fund management is patiently and methodically executing the Fund’s value process.
32
Table of Contents
MML Income & Growth Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Income & Growth Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
JP Morgan Chase & Co. | 2.7 | % | ||
Exelon Corp. | 2.6 | % | ||
Pfizer, Inc. | 2.6 | % | ||
ConocoPhillips | 2.5 | % | ||
Wells Fargo & Co. | 2.5 | % | ||
Dominion Energy, Inc. | 2.5 | % | ||
American Express Co. | 2.4 | % | ||
CVS Health Corp. | 2.4 | % | ||
Phillips 66 | 2.3 | % | ||
Stanley Black & Decker, Inc. | 2.3 | % | ||
|
| |||
24.8 | % | |||
|
|
MML Income & Growth Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Financial | 22.7 | % | ||
Consumer,Non-cyclical | 19.3 | % | ||
Energy | 13.4 | % | ||
Industrial | 10.0 | % | ||
Consumer, Cyclical | 9.0 | % | ||
Technology | 8.0 | % | ||
Utilities | 6.8 | % | ||
Basic Materials | 5.9 | % | ||
Communications | 3.3 | % | ||
Mutual Funds | 0.7 | % | ||
|
| |||
Total Long-Term Investments | 99.1 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.9 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
33
Table of Contents
MML Income & Growth Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Income & Growth Fund Initial Class, Service Class, and the Russell 1000 Value Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Ten Year Average Annual 1/1/09 - 12/31/18 | |||||||||
Initial Class | -11.68% | 5.67% | 9.85% | |||||||||
Service Class | -11.94% | 5.41% | 9.57% | |||||||||
Russell 1000 Value Index | -8.27% | 5.95% | 11.18% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Value Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
34
Table of Contents
MML International Equity Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML International Equity Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital growth by investing, under normal circumstances, at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities ofnon-U.S. companies located innon-U.S. markets throughout the world, including emerging markets. The Fund may invest a substantial portion of its assets in just one region or country and may, but does not currently intend to, invest in U.S. companies. Ordinarily, the Fund’s portfolio typically holds thirty to sixty stocks and the Fund invests in the securities of at least five countries outside the U.S. The Fund’s subadviser is Harris Associates L.P. (Harris).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Class II shares returned-23.79%, underperforming, by a wide margin, the-14.09% return of the MSCI World Index ex USA (the “benchmark”), which measures the performance of the large- andmid-cap segments of world, excluding U.S. equity securities.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, the Fund holding that was the most significant detractor from performance was banking firm BNP Paribas (France). The top individual contributor for the12-month period was aerospace/defense company Safran (France).
As the Fund uses a bottom-up approach in selecting stocks, country and sector allocations are a result of the Fund’s stock selection process. With respect to country and sector performance relative to the benchmark, stock selection drove the Fund’s underperformance.
During the year, from a geographic perspective, the Fund’s positions in the U.K., Germany, and France detracted the most from relative performance. These three regions were also the largest detractors from the Fund’s absolute return, as 14 of its 15 U.K.-based holdings, all six of its Germany-based holdings, and seven of its 10 France-based holdings declined for the year. From a sector perspective, consumer discretionary detracted the most from relative results, chiefly due to stock selection, as nine of the Fund’s 11 consumer discretionary holdings supplied negative absolute returns. The largest declines came from French global automotive supplier Valeo(-60%) and American auto parts company Continental(-48%). Financials was the largest detractor from the Fund’s absolute return, as 10 of 12 underlying holdings lost value for the year.
A larger-than-benchmark weighting in the U.S. and Fund holdings in India produced the best relative performance for the year. In addition, both the U.S. and India contributed to the Fund’s collective return for the period, as all underlying Fund holdings gained value. U.S.-traded (U.K.-headquartered) insurance company Willis Towers Watson and India-based software and services firm Infosys were the Fund holdings that were the top absolute performers in those two regions. The best relative performance for 2018 came from Fund holdings in the technology sector, and even though the sector’s absolute collective return was negative, software and services firm Infosys generated a positive absolute return. Consumer staples was the only sector that contributed to the Fund’s absolute return, due to food and retail company Alimentation Couche-Tard (Canada), which advanced 20%, and French spirits producer Pernod Ricard, which gained 5%.
As ofyear-end 2018, the Fund held hedges on the Swiss franc. Approximately 23% of the Fund’s exposure to the franc was hedged, on Fund management’s belief that the currency had appreciated above the range of its intrinsic value as measured by purchasing power parity and other economic fundamentals. Currency hedges contributed to the Fund’s performance for the year. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both.
Subadviser outlook
Market volatility prevailed throughout 2018, due to a combination of trade wars, faltering Brexit negotiations, a reversal of economic growth in Japan, and decelerating growth in China. (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the European Union.) Geopolitical headlines shook global markets and pressured equity prices, especially in the fourth quarter of 2018. As seasoned investors, Fund management knows that geopolitical events will always be part of the investing climate and can generate short-term impacts on stock prices. However, they believe that underlying business values are largely unaffected by macro events. Fund management remains focused on fundamental factors and utilizes discipline to take advantage of the market’s volatility and investors’ impatience. They believe that market declines offer ripe opportunities for them to identify extraordinary investment candidates that they believe have the potential to create long-term value for the Fund’s investors.
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Table of Contents
MML International Equity Fund – Portfolio Manager Report (Unaudited)(Continued)
MML International Equity Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
BNP Paribas SA | 3.8 | % | ||
Daimler AG Registered | 3.7 | % | ||
Lloyds Banking Group PLC | 3.6 | % | ||
Intesa Sanpaolo SpA | 3.6 | % | ||
Credit Suisse Group AG Registered | 3.4 | % | ||
Continental AG | 3.2 | % | ||
CNH Industrial NV | 3.1 | % | ||
Bayerische Motoren Werke AG | 2.9 | % | ||
Glencore PLC | 2.9 | % | ||
Naspers Ltd. | 2.8 | % | ||
|
| |||
33.0 | % | |||
|
|
MML International Equity Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Financial | 27.9 | % | ||
Consumer, Cyclical | 24.0 | % | ||
Industrial | 11.9 | % | ||
Communications | 11.8 | % | ||
Consumer,Non-cyclical | 10.7 | % | ||
Basic Materials | 5.0 | % | ||
Technology | 4.3 | % | ||
Energy | 1.3 | % | ||
|
| |||
Total Long-Term Investments | 96.9 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.1 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
36
Table of Contents
MML International Equity Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML International Equity Fund Class II and the MSCI World Index ex USA.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Since Inception Average Annual 1/7/14 - 12/31/18 | ||||||
Class II | -23.79% | -0.48% | ||||||
MSCI World Index ex USA | -14.09% | 0.56% |
Hypothetical Investments in MML International Equity Fund Service Class I and the MSCI World Index ex USA.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Since Inception Average Annual 5/1/14 - 12/31/18 | ||||||
Service Class I | -24.04% | -1.37% | ||||||
MSCI World Index ex USA | -14.09% | -0.20% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI World Index ex USA is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Large Cap Growth Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Large Cap Growth Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital appreciation by investing primarily in large-capitalization companies that the Fund’s subadviser believes offer the potential for long-term growth. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in the common stocks of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 1000® Growth Index. The Fund’s subadviser is Loomis, Sayles & Company, L.P. (Loomis Sayles).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class shares returned-2.26%, underperforming the-1.51% return of the Russell 1000 Growth Index (the “benchmark”), which measures the performance of thelarge-cap growth segment of U.S. equity securities. It includes the Russell 1000 Index companies with higherprice-to-book ratios and higher forecasted growth values.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, stock selection in the information technology, financials, consumer staples, health care, and energy sectors – as well as the Fund’s allocation to the energy, consumer discretionary, and consumer staples sectors – detracted from relative performance. Fund holdings Facebook and Schlumberger were the largest detractors. A strategic holding since its initial public offering (IPO) in 2012, Facebook reported solid overall growth and market share gains versus the prior-year period. However, investors reacted negatively to management’smid-year guidance for a near-term deceleration in revenue growth, coupled with a multi-year acceleration in investments. The company noted that revenue in the second half of 2018 would be negatively impacted by its decisions to provide users more choices around privacy and to increase focus on Instagram and FB Stories, two “experience” products that the company believes will drive improved engagement, but where monetization is lower. Facebook announced a substantial increase in investments for 2018 and 2019, targeting core product development, safety and security, virtual reality, marketing, and content acquisition. As a result, Facebook expects expenses will increase faster than revenue over the near term, pressuring margins. Schlumberger, the world’s leading oil field services company, reported global sales that rose 12% compared with theyear-ago period. Nevertheless, stocks in the oil services sector came under pressure on short-term concerns over slowing activity in North America, where stronger-than-expected production, coupled with insufficient takeaway capacity in the Permian basin, has led operators to delay well completions. More recently, concerns over global demand growth have contributed to falling oil prices, impacting expectations for global service activity in 2019.
Stock selection in the consumer discretionary, industrials, and communication services sectors – as well as the Fund’s allocation to the industrials, information technology, and communication services sectors – contributed positively to relative returns for the year. With respect to individual Fund holdings, Amazon and Visa were the largest contributors to performance.E-commerce giant Amazon reported healthy fundamentals and strong revenue growth during the period. Visa is the largest payments technology company in the world, with a comprehensive offering of digital payment products. During the reporting period, Visa reported revenue and earnings that were strong and in line with or better than market expectations.
Subadviser outlook
The Fund’s investment process is characterized bybottom-up, fundamental research and a long-term investment time horizon. The nature of the process can lead to a lower turnover portfolio, where sector positioning is the result of stock selection. Atyear-end, the Fund was overweight, relative to the benchmark, in the consumer staples, consumer discretionary, health care, energy, and financials sectors – and underweight in the information technology, industrials, and communication services sectors. The Fund held no positions in the materials, real estate, telecommunications services, or utilities sectors. Fund management remains committed to its long-term investment approach to invest in those few high-quality businesses with sustainable competitive advantages and profitable growth when they trade at a significant discount to intrinsic value.
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MML Large Cap Growth Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Large Cap Growth Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
Amazon.com, Inc. | 6.5 | % | ||
Visa, Inc. Class A | 6.4 | % | ||
Alibaba Group Holding Ltd. Sponsored ADR | 5.1 | % | ||
Oracle Corp. | 4.9 | % | ||
Facebook, Inc. Class A | 4.9 | % | ||
Autodesk, Inc. | 4.1 | % | ||
Regeneron Pharmaceuticals, Inc. | 3.7 | % | ||
Microsoft Corp. | 3.4 | % | ||
Starbucks Corp. | 3.3 | % | ||
Monster Beverage Corp. | 3.3 | % | ||
|
| |||
45.6 | % | |||
|
|
MML Large Cap Growth Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Consumer,Non-cyclical | 28.6 | % | ||
Communications | 27.2 | % | ||
Technology | 17.5 | % | ||
Financial | 9.6 | % | ||
Industrial | 6.8 | % | ||
Consumer, Cyclical | 6.7 | % | ||
Energy | 1.7 | % | ||
|
| |||
Total Long-Term Investments | 98.1 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.9 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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MML Large Cap Growth Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Large Cap Growth Fund Initial Class, Service Class, and the Russell 1000 Growth Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Ten Year Average Annual 1/1/09 - 12/31/18 | |||||||||
Initial Class | -2.26% | 8.39% | 13.32% | |||||||||
Service Class | -2.46% | 8.12% | 13.02% | |||||||||
Russell 1000 Growth Index | -1.51% | 10.40% | 15.29% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Growth Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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Table of Contents
MML Managed Volatility Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Managed Volatility Fund and who is the Fund’s subadviser?
The Fund seeks to capture the majority of the returns associated with equity market investments, while exposing investors to less risk than other equity investments. Under normal circumstances, the Fund invests in a broadly diversified portfolio of common stocks, while also selling index call options and purchasing index put options. The Fund’s stock portfolio will have approximately 500 stocks, and seeks to duplicate the investment composition and return of the S&P 500® Index* (the “Index”) by holding each stock included in the Index in approximately the same proportion as each stock’s relative weighting in the Index. The Fund’s subadviser is Gateway Investment Advisers, LLC (Gateway).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class shares returned-4.69%, underperforming the-4.38% return of the Index, which measures the performance of 500 widely held stocks in the U.S. equity market. The Index is the Fund’s benchmark. The Fund underperformed the 0.01% return of the Bloomberg Barclays U.S. Aggregate Bond Index, which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS).
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Throughout 2018, the Fund’stwo-part option strategy delivered equity market participation during market advances, while mitigating losses during market declines. Specifically, the Fund returned 1.54% through January 26, lagging the Index as expected in a period when the market advanced at an above-average rate with low implied volatility. The Fund subsequently delivered downside protection by declining 4.73% from January 26 through February 8, less than half the loss of the Index over the same time period.
The Fund ended the first quarter with a return of-2.36%, lessening the underperformance gap that was created in January, but not by enough to achieve a better return than the Index for the quarter. From March 31 through September 30, the Fund returned 5.53%, capturing slightly less than half the return of its benchmark over the same period. In the fourth quarter, the Fund returned-7.50%, offsetting nearly half the loss of its benchmark despite smaller-than-expected gains from Index put option positions due to the muted and delayed implied volatility response to the market’s decline.
The Fund’s equity portfolio returned-4.01% for the year, a performance differential of +0.37% versus the Index. Consistent with its investment objective, the Fund’s measured risk was low relative to the U.S. equity market, as its standard deviation for 2018 was 8.78% versus 17.06% for the Index.
Subadviser outlook
Fund management’s investment philosophy is informed by its long history and maintains that the U.S. equity market is the most reliable source of attractive long-term returns, despite its high volatility relative to other asset classes and tendency to periodically deliver significant short-term losses. Fund management’s investment philosophy also holds that consistency is key to long-term success and that generating cash flow, rather than seeking to forecast the market, can be a lower-risk means to participate in equity markets. By staying true to this philosophy and continuing to manage the Fund consistently with the firm’s historical approach, Fund management assists Fund shareholders in managing risk while pursuing long-term returns in an uncertain environment.
* The S&P 500 Index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by MML Advisers. Standard & Poor’s®, S&P® and S&P 500® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by MML Advisers. The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P 500 Index.
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MML Managed Volatility Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Managed Volatility Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
Microsoft Corp. | 3.8 | % | ||
Apple, Inc. | 3.4 | % | ||
Amazon.com, Inc. | 3.0 | % | ||
Berkshire Hathaway, Inc. Class B | 1.9 | % | ||
Johnson & Johnson | 1.7 | % | ||
JP Morgan Chase & Co. | 1.5 | % | ||
Alphabet, Inc. Class C | 1.5 | % | ||
Facebook, Inc. Class A | 1.5 | % | ||
Alphabet, Inc. Class A | 1.5 | % | ||
Exxon Mobil Corp. | 1.4 | % | ||
|
| |||
21.2 | % | |||
|
|
MML Managed Volatility Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Consumer,Non-cyclical | 23.4 | % | ||
Financial | 18.6 | % | ||
Technology | 16.0 | % | ||
Communications | 14.6 | % | ||
Industrial | 9.1 | % | ||
Consumer, Cyclical | 8.5 | % | ||
Energy | 5.3 | % | ||
Utilities | 3.4 | % | ||
Basic Materials | 2.2 | % | ||
Mutual Funds | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 101.1 | % | ||
Short-Term Investments and Other Assets and Liabilities | (1.1 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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MML Managed Volatility Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Managed Volatility Fund Initial Class, Service Class, the S&P 500 Index, and the Bloomberg Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Ten Year Average Annual 1/1/09 - 12/31/18 | |||||||||
Initial Class | -4.69% | 2.99% | 8.10% | |||||||||
Service Class | -4.93% | 2.73% | 7.83% | |||||||||
S&P 500 Index* | -4.38% | 8.49% | 13.12% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01% | 2.52% | 3.48% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the S&P 500 Index and the Bloomberg Barclays U.S. Aggregate Bond Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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Table of Contents
MML Mid Cap Growth Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Mid Cap Growth Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital appreciation by investing primarily in equity securities ofmid-capitalization companies that the Fund’s subadviser believes offer the potential for above-average earnings growth. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in a broadly diversified portfolio of common stocks ofmid-cap companies whose earnings the subadviser expects to grow at a faster rate than the average company. The Fund’s subadviser is T. Rowe Price Associates, Inc. (T. Rowe Price).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class shares returned-2.17%, outperforming the-4.75% return of the Russell Midcap® Growth Index (the “benchmark”), which measures the performance of themid-cap growth segment of the U.S. equity universe. It includes Russell Midcap Index companies with higherprice-to-book ratios and higher forecasted growth values. The Fund’s-2.17% return outperformed, by a wide margin, the-11.08% return of the S&P MidCap 400® Index, which measures the performance ofmid-sized U.S. companies, reflecting the distinctive risk and return characteristics of this market segment. It comprises stocks in the middle capitalization range, covering approximately 7% of the U.S. equity market.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Broadly speaking, stock selection contributed to relative performance for the year ended December 31, 2018, while sector allocation detracted. At the sector level, materials, communication services, information technology, and financials benefited relative performance, while health care hindered relative results.
The materials sector contributed to the Fund’s relative performance, due to stock selection. Fund holding Ball, a leading global manufacturer of metal food and beverage packaging products, benefited results. Its shares rose after Ball announced a joint venture project and closed a smaller Brazilian plant. Another Fund holding, coatings company RPM, saw its share price jump in late June 2018 – and remain elevated – following the announcement that an activist investor had taken a sizable position in the company. Shares of industrial gas company Air Products & Chemicals were volatile, but this Fund holding nevertheless outperformed the broader materials industry.
In the communication services sector, security selection and an underweight position, relative to the benchmark, aided relative performance. Shares of Fund holding IAC/InterActiveCorp, a media and internet services holding company, rose after strong second-quarter results alleviated concerns following a difficult first quarter. The information technology sector also boosted relative performance, due to stock selection. There, Fund holding and electronic design and test solutions provider Keysight Technologies helped to drive the Fund’s full-year results. Security selection in financials was another benefit to the Fund’s relative performance. Shares of property and casualty insurer Willis Towers Watson were volatile, sinking after this Fund holding’s disappointing second-quarter results – before jumping back up on the heels of its strong third-quarter results.
Despite a beneficial overweight position in health care, the sector hindered the Fund’s relative performance due to security selection. The share price of specialty pharmaceutical company Alkermes stumbled amid uncertainty around this Fund holding’s drug pipeline. Elsewhere, in the consumer staples sector, shares of food conglomerate Conagra Brands traded within a modest range for much of the period, until mediocre third-quarter results pressured the price of this Fund holding’s stock.
Subadviser outlook
Fund management moved to a more defensive position in recent quarters, given the worrisome echoes with past periods of exuberance – in particular, thedot-com bubble of the late 1990s, although valuations in 2018 never reached those extremes. In recent years, Fund management warned that companies were gorging on nearly cost-free financing due to the Federal Reserve’s extraordinary monetary easing. Consequently, they are closely monitoring how individual companies are faring as interest rates have begun to rise.
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MML Mid Cap Growth Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Mid Cap Growth Fund Largest Holdings | ||||
Teleflex, Inc. | 2.6 | % | ||
The Cooper Cos., Inc. | 2.1 | % | ||
Microchip Technology, Inc. | 2.0 | % | ||
Keysight Technologies, Inc. | 1.9 | % | ||
Hologic, Inc. | 1.9 | % | ||
Willis Towers Watson PLC | 1.7 | % | ||
Textron, Inc. | 1.7 | % | ||
Agilent Technologies, Inc. | 1.7 | % | ||
Harris Corp. | 1.6 | % | ||
IAC/InterActiveCorp | 1.5 | % | ||
|
| |||
18.7 | % | |||
|
|
MML Mid Cap Growth Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Consumer,Non-cyclical | 25.6 | % | ||
Industrial | 21.8 | % | ||
Consumer, Cyclical | 16.3 | % | ||
Technology | 13.1 | % | ||
Financial | 8.1 | % | ||
Basic Materials | 3.0 | % | ||
Communications | 2.9 | % | ||
Energy | 2.1 | % | ||
Mutual Funds | 1.8 | % | ||
Utilities | 1.1 | % | ||
|
| |||
Total Long-Term Investments | 95.8 | % | ||
Short-Term Investments and Other Assets and Liabilities | 4.2 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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Table of Contents
MML Mid Cap Growth Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Mid Cap Growth Fund Initial Class, Service Class, the Russell Midcap Growth Index, and the S&P MidCap 400 Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Ten Year Average Annual 1/1/09 - 12/31/18 | |||||||||
Initial Class | -2.17% | 9.44% | 16.20% | |||||||||
Service Class | -2.45% | 9.15% | 15.90% | |||||||||
Russell Midcap Growth Index * | -4.75% | 7.42% | 15.12% | |||||||||
S&P MidCap 400 Index | -11.08% | 6.03% | 13.68% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell Midcap Growth Index and the S&P MidCap 400 Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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Table of Contents
MML Mid Cap Value Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Mid Cap Value Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital growth. Income is a secondary objective. The Fund invests primarily in equity securities ofmid-capitalization companies that the Fund’s subadviser believes offer prospects for long-term capital growth. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities ofmedium-size companies. The Fund’s subadviser is American Century Investment Management, Inc. (American Century).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class shares returned-12.99%, underperforming the-12.29% return of the Russell Midcap® Value Index (the “benchmark”), which measures the performance of themid-cap value segment of the U.S. equity universe. It includes Russell Midcap Index companies with lowerprice-to-book ratios and lower forecasted growth values.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, equity markets declined. Broad U.S. equity markets fell considerably due to concerns about slowing global economic and earnings growth, less accommodative monetary policy, falling oil prices, trade tensions, and a partial U.S. government shutdown in late December. The energy sector was particularly weak, given the decline in oil prices, while the more defensive utilities sector held up best during this period of volatility.
During the year, value underperformed and quality outperformed. According to the FTSE Russell indices, growth outperformed value by a meaningful margin for the year. Additionally,large-cap stocks outperformed theirmid-cap counterparts for the year, and both categories outperformed small-caps. Furthermore, higher-quality stocks (rated B+ or better) generally outperformed their lower-quality competitors (rated B or lower).
The real estate sector was a key detractor for the year. The Fund’s underweight allocation, relative to the benchmark, to real estate and its position in Weyerhaeuser, one of the world’s largest private owners of timberlands, weighed on performance. Weyerhaeuser’s stock was pressured by a decline in timber pricing. The Fund maintained its sizable underweight in the real estate sector because Fund management’s metrics showed that valuations in the sector generally remained inflated.
The energy sector was another detractor during the year, as several of the Fund’s holdings within the sector declined and weighed on relative performance. These included Fund holdings Cimarex Energy, a higher-quality energy exploration and production company; and EQT, a natural gas exploration and pipeline company.
On the positive side, the consumer discretionary sector contributed and was an area of strength for the Fund. More specifically, automotive parts retailer Advance Auto Parts’ stock rose on solid quarterly results and guidance. The Fund’s health care holdings also outperformed – including hospital company LifePoint Health, which is being acquired for a significant premium by Apollo Global Management, a private equity firm.
Subadviser outlook
The Fund continues to invest in companies where Fund management believes the valuation does not reflect the quality and normal earnings power of the company. Their process is based on individual security selection, but broad themes have emerged. Atyear-end, the Fund held an overweight stake in the health care sector. The Fund also had a lower allocation to the consumer staples sector, and no investments in the communication services sector. Asbottom-up investors, Fund management generally finds securities in the new communication services sector to have relatively volatile business models and more leveraged balance sheets. As a result, the Fund had no exposure to the sector as of the end of the year.
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MML Mid Cap Value Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Mid Cap Value Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
Zimmer Biomet Holdings, Inc. | 3.4 | % | ||
Northern Trust Corp. | 2.7 | % | ||
Hubbell, Inc. | 2.5 | % | ||
BB&T Corp. | 2.2 | % | ||
Xcel Energy, Inc. | 1.9 | % | ||
Weyerhaeuser Co. | 1.8 | % | ||
iShares RussellMid-Cap Value ETF | 1.8 | % | ||
Invesco Ltd. | 1.6 | % | ||
NorthWestern Corp. | 1.6 | % | ||
Johnson Controls International PLC | 1.6 | % | ||
|
| |||
21.1 | % | |||
|
|
MML Mid Cap Value Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Financial | 27.7 | % | ||
Industrial | 18.2 | % | ||
Consumer,Non-cyclical | 15.6 | % | ||
Consumer, Cyclical | 11.1 | % | ||
Utilities | 8.7 | % | ||
Energy | 7.6 | % | ||
Technology | 5.8 | % | ||
Mutual Funds | 1.8 | % | ||
|
| |||
Total Long-Term Investments | 96.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.5 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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Table of Contents
MML Mid Cap Value Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Mid Cap Value Fund Initial Class, Service Class, and the Russell Midcap Value Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Ten Year Average Annual 1/1/09 - 12/31/18 | |||||||||
Initial Class | -12.99% | 6.61% | 12.54% | |||||||||
Service Class | -13.31% | 6.33% | 12.26% | |||||||||
Russell Midcap Value Index | -12.29% | 5.44% | 13.03% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell Midcap Value Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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Table of Contents
MML Small Cap Growth Equity Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Small Cap Growth Equity Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital appreciation by investing primarily in equity securities of smaller companies that the Fund’s subadviser believes offer potential for long-term growth. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in the equity securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000® Index or the S&P SmallCap 600 Index. The Fund’s subadviser is Wellington Management Company LLP (Wellington Management).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class shares returned-4.87%, outperforming the-9.31% return of the Russell 2000 Growth Index (the “benchmark”), which measures the performance of the small- tomid-cap growth segment of the U.S. equity universe. It includes Russell 2000 Index companies with higherprice-to-book ratios and higher forecasted growth values. The Fund’s-4.87% return outperformed, by a wide margin, the-11.01% return of the Russell 2000 Index, which measures the performance of thesmall-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, strong security selection was the main driver of the Fund’s relative outperformance. Selection was particularly positive within the health care, industrials, and information technology sectors. This was offset by weaker selection within the financials and consumer discretionary sectors, and underweight exposure, relative to the benchmark, to the health care sector. Sector allocation is a residual of the Fund’sbottom-up stock selection process.
Fund holdings that were top individual contributors to relative performance during the period included The Trade Desk and Zebra Technologies (both in the information technology sector), and DexCom (health care). The Trade Desk, a digital advertising platform for media buyers, exceeded market expectations as more ad dollars continued to shift to the digital platform. The Fund trimmed its position into strength throughout the period, but remained overweight at the end of the year. Zebra Technologies, a barcode scanning and radio frequency identification company, was another top contributor in the information technology sector. DexCom was the standout Fund holding in the well-performing health care sector.
Fund holdings that detracted most from relative returns during the period included Floor & Décor and Marriott Vacations Worldwide (both in the consumer discretionary sector), and Texas Capital Bank (financials). Floor & Décor, which sells hard-surface flooring, reported disappointing sales and lowered guidance. The Fund modestly trimmed its position, but continued to hold the stock. Marriott Vacations Worldwide, a global hotel operator and franchisor, was a detractor as near-term performance and conservative management of a recent acquisition created headwinds for the stock. Texas Capital Bank was the standout detractor in the poorly performing financials sector.
Subadviser outlook
Domesticsmall-cap equities suffered their largest quarterly loss in the fourth quarter since the third quarter of 2011. Volatility was elevated, as markets contended with a confluence of moderating economic growth, tighter liquidity and monetary policy, trade uncertainty, and political turmoil. These investor concerns more than offset the continued favorable corporate earnings growth cycle. While Fund management believes the U.S. economy continues to be solid, albeit growing more slowly than in the first half of 2018, they remain watchful for potential downside risks to both the general economy and financial markets that could disrupt the U.S. economic growth outlook.
As of the end of the year, the Fund was most overweight in the industrials, materials, and consumer discretionary sectors – and most underweight in the health care, consumer discretionary, and communication services sectors.
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MML Small Cap Growth Equity Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Small Cap Growth Equity Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
Insulet Corp. | 2.0 | % | ||
Performance Food Group Co. | 1.4 | % | ||
Haemonetics Corp. | 1.2 | % | ||
iShares Russell 2000 Index Fund | 1.2 | % | ||
Omnicell, Inc. | 1.2 | % | ||
TriNet Group, Inc. | 1.2 | % | ||
Entegris, Inc. | 1.1 | % | ||
EnerSys | 1.1 | % | ||
Actuant Corp. Class A | 1.1 | % | ||
Carpenter Technology Corp. | 1.1 | % | ||
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| |||
12.6 | % | |||
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MML Small Cap Growth Equity Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Consumer,Non-cyclical | 24.9 | % | ||
Financial | 18.8 | % | ||
Consumer, Cyclical | 14.1 | % | ||
Technology | 11.1 | % | ||
Industrial | 10.1 | % | ||
Communications | 6.7 | % | ||
Basic Materials | 4.4 | % | ||
Mutual Funds | 3.5 | % | ||
Energy | 3.0 | % | ||
Utilities | 0.6 | % | ||
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| |||
Total Long-Term Investments | 97.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.8 | % | ||
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Net Assets | 100.0 | % | ||
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MML Small Cap Growth Equity Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Small Cap Growth Equity Fund Initial Class, Service Class, the Russell 2000 Growth Index, and the Russell 2000 Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Ten Year Average Annual 1/1/09 - 12/31/18 | |||||||||
Initial Class | -4.87% | 5.77% | 13.59% | |||||||||
Service Class | -5.11% | 5.51% | 13.31% | |||||||||
Russell 2000 Growth Index * | -9.31% | 5.13% | 13.52% | |||||||||
Russell 2000 Index | -11.01% | 4.41% | 11.97% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 2000 Growth Index and the Russell 2000 Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Small Company Value Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Small Company Value Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital appreciation by investing primarily in equity securities that the Fund’s subadviser believes are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in the securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000® Index. The Fund’s subadviser is T. Rowe Price Associates, Inc. (T. Rowe Price).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Class II shares returned-12.94%, underperforming the-12.86% return of the Russell 2000 Value Index (the “benchmark”), which measures the performance of thesmall-cap value segment of the U.S. equity universe. It includes those Russell 2000 Index companies with lowerprice-to-book ratios and lower forecasted growth values. The Fund underperformed the-11.01% return of the Russell 2000 Index, which measures the performance of thesmall-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, Fund holdings within the industrials, financials, and consumer discretionary sectors hurt the Fund’s performance. Stock selection aided the Fund’s relative outperformance, although sector allocation offset most of those results. The health care and consumer staples sectors both helped relative results, primarily due to stock selection.
Stock selection in the industrials sector weighed on the Fund’s relative performance for the year. Fund holding Triumph Group is a global supplier of aerospace components and systems. The company’s aerostructures division continued to churn through a financially difficult transition, as old programs wound down and new programs began to ramp up.
Additionally, Fund holdings in both the financials and consumer discretionary sectors detracted from relative results, due to less-than-favorable stock selection. Within the consumer discretionary sector, a notable detractor from full-year returns was Fund holding Lumber Liquidators. The stock price of the company suffered as investors focused on the competitive threat frombig-box retailers offering a more varied selection of inventory, and the significant exposure that the firm has to the potential tariffs imposed on Chinese-sourced products.
On the other side of the ledger, the health care sector was the top relative performer for the year, due to stock selection. There, one notable Fund holding was the Ensign Group, which provides a broad range of skilled nursing and assisted living services. The firm recently reported a healthy quarter exhibiting organic growth, and it has been a consistent and stable grower historically. Additionally, Atrion – a Fund holding that develops and manufactures proprietary components for medical devices – is a quality company that generates regular cash flow, benefiting from tax reform more than many in its space, while holding up well in the generally challenged health care sector.
The consumer staples sector was also a relative contributor to performance during the period, due to stock choices. Post Holdings has proven to be an aggregator of attractive assets and a value creator with an impressive track record under Bill Stiritz, nownon-executive chairman of the company. In recent years, while the packaged foods space has been undergoing significant consolidation, this Fund holding has acquired a number of companies that have piqued investor interest. The firm recently announced plans to separate and launch an initial public offering (IPO) of its active nutrition business.
The Fund held warrants at various points during the period. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both.
Subadviser outlook
While Fund management believes that overall global growth has the potential to slow in 2019, they generally do not anticipate a recession in the U.S. – and they expect some rebound in European and Chinese growth. Their view is that the Federal Reserve has completed most of its anticipated tightening, making further rate hikes less of a challenge for investors. The auto and housing sectors in the U.S. have slowed as interest rates have risen, but the types of distortions that are typically apparent at the end of a market cycle are conspicuously absent in their view. As a result, Fund management does not expect a boom being followed by a bust. They observe that the current environment has not seen a widespread misallocation of capital and euphoria in certain sectors, such as what occurred in the telecommunications infrastructure in 1999, and in housing in themid-2000s.
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MML Small Company Value Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Small Company Value Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
Green Dot Corp. Class A | 1.7 | % | ||
Littelfuse, Inc. | 1.6 | % | ||
Home BancShares, Inc. | 1.5 | % | ||
Atrion Corp. | 1.5 | % | ||
ONE Gas, Inc. | 1.3 | % | ||
Belden, Inc. | 1.3 | % | ||
Nomad Foods Ltd. | 1.2 | % | ||
Landstar System, Inc. | 1.2 | % | ||
Chesapeake Utilities Corp. | 1.2 | % | ||
Quidel Corp. | 1.2 | % | ||
|
| |||
13.7 | % | |||
|
|
MML Small Company Value Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Financial | 33.5 | % | ||
Consumer,Non-cyclical | 18.1 | % | ||
Industrial | 14.1 | % | ||
Consumer, Cyclical | 8.6 | % | ||
Utilities | 6.9 | % | ||
Energy | 4.8 | % | ||
Technology | 4.1 | % | ||
Communications | 3.4 | % | ||
Basic Materials | 2.5 | % | ||
Mutual Funds | 1.9 | % | ||
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| |||
Total Long-Term Investments | 97.9 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.1 | % | ||
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| |||
Net Assets | 100.0 | % | ||
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MML Small Company Value Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Small Company Value Fund Class II, Service Class I, the Russell 2000 Value Index, and the Russell 2000 Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Since Inception Average Annual 2/27/09 - 12/31/18 | |||||||||
Class II | -12.94% | 4.14% | 13.82% | |||||||||
Service Class I | -13.19% | 3.87% | 13.53% | |||||||||
Russell 2000 Value Index* | -12.86% | 3.61% | 14.04% | |||||||||
Russell 2000 Index | -11.01% | 4.41% | 15.04% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 2000 Value Index and the Russell 2000 Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Small/Mid Cap Value Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Small/Mid Cap Value Fund, and who is the Fund’s subadviser?
The Fund seeks long-term total return by investing primarily in securities that the Fund’s subadviser believes to be undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in securities of small- andmid-cap companies. The Fund’s subadviser is AllianceBernstein L.P. (AllianceBernstein).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class Shares returned-14.92%, underperforming the-12.36% return of the Russell 2500TM Value Index (the “benchmark”), which measures the performance of the small- tomid-cap value segment of the U.S. equity universe. It includes Russell 2500 Index companies with lowerprice-to-book and lower forecasted growth values.
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, overall stock selection detracted from the Fund’s performance, primarily owing to Fund holdings in the consumer discretionary, financials, and industrials sectors. The Fund’s underweight position, relative to the benchmark, in the utilities sector and overweight allocation to the energy sector also detracted. An overweight position to and stock selection within the technology sector contributed, as did stock selection in the health care and real estate sectors.
Fund holdings that detracted from performance during the year included Cooper Standard, Texas Capital Bancshares, and Alcoa. The shares of Cooper Standard, a global auto parts supplier, traded down after management meaningfully reduced revenue and profit guidance. The company’s outlook was negatively impacted by a slowdown in Chinese and European auto sales, as well as by cost pressures from both rising input costs and trade tariffs. Texas Capital Bancshares, a Dallas-based regional bank, also underperformed. The bank reported weaker-than-expected earnings due to slowing loan growth and rising deposit costs, the result of increased competition. Shares of aluminum producer Alcoa detracted amid tariff and broader global supply concerns.
Two Fund holdings, Mellanox Technologies and Finisar, benefited the Fund’s performance due to strong company-specific catalysts. Mellanox, a supplier of high-speed storage and network connectivity computer chips, rose after the company delivered stronger-than-expected earnings. Mellanox surpassed growth expectations for its new ethernet products and significantly expanded its profit margins through internal cost-containment efforts. Finisar, a manufacturer of components used in data centers and telecommunications infrastructure, also outperformed. The company announced that it had reached a deal to be acquired at a significant premium by one of its competitors. Another Fund holding, Molina Healthcare, a managed-care company providing health care services for Medicaid, advanced; its shares rose sharply after it reported significantly better-than-expected profitability. Under its new CEO, Molina showed meaningful improvement in reducing its medical and overhead costs.
Subadviser outlook
As we enter 2019, Fund management believes that investors are faced with a world that is sharply different from that of just one year ago. The economy is still supported by the solid foundation of strong employment and high-capacity utilization, but vulnerability began to emerge in 2018, as the impact of Federal Reserve Board rate hikes and trade frictions sapped investor confidence. Markets reacted to the increased fragility of the economy by selling risk assets and creating a significant opportunity in value stocks.
While Fund management shares some of the market’s concerns about the state of the economy, their view is that many companies are entering this period of heightened risk on sounder footing relative to a decade ago. They have reduced fixed costs, strengthened balance sheets and improved free-cash-flow generation. The size and breadth of this opportunity makes it fertile ground for active managers. Not every company will emerge from a possible pullback unscathed. Consequently, Fund management’s view is that focusing on the companies with the best competitive positions and strongest balance sheets and cash flow will be more crucial than ever.
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MML Small/Mid Cap Value Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Small/Mid Cap Value Fund Largest Holdings (% of Net Assets) on 12/31/18 | ||||
Everest Re Group Ltd. | 2.0 | % | ||
Reinsurance Group of America, Inc. | 2.0 | % | ||
Zions Bancorp NA | 1.6 | % | ||
Camden Property Trust | 1.6 | % | ||
US Foods Holding Corp. | 1.6 | % | ||
Finisar Corp. | 1.6 | % | ||
American Campus Communities, Inc. | 1.5 | % | ||
CubeSmart | 1.5 | % | ||
Sun Communities, Inc. | 1.5 | % | ||
Alliant Energy Corp. | 1.5 | % | ||
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16.4 | % | |||
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MML Small/Mid Cap Value Fund Sector Table (% of Net Assets) on 12/31/18 | ||||
Financial | 32.9 | % | ||
Consumer, Cyclical | 12.4 | % | ||
Consumer,Non-cyclical | 11.5 | % | ||
Industrial | 11.3 | % | ||
Technology | 10.7 | % | ||
Energy | 6.8 | % | ||
Utilities | 5.6 | % | ||
Communications | 3.9 | % | ||
Basic Materials | 1.8 | % | ||
Mutual Funds | 0.0 | % | ||
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| |||
Total Long-Term Investments | 96.9 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.1 | % | ||
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Net Assets | 100.0 | % | ||
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MML Small/Mid Cap Value Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Small/Mid Cap Value Fund Initial Class, Service Class, and the Russell 2500 Value Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Ten Year Average Annual 1/1/09 - 12/31/18 | |||||||||
Initial Class | -14.92% | 4.54% | 13.15% | |||||||||
Service Class | -15.12% | 4.27% | 12.86% | |||||||||
Russell 2500 Value Index | -12.36% | 4.16% | 11.62% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 2500 Value Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Total Return Bond Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Total Return Bond Fund, and who is the Fund’s subadviser?
The Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing, under normal circumstances, at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in a diversified portfolio of investment grade fixed income securities (rated Baa3 or higher by Moody’s,BBB- or higher by Standard & Poor’s,BBB- or higher by Fitch, orA-2 by S&P,P-2 by Moody’s, orF-2 by Fitch for short-term debt obligations, or, if unrated, determined by the Fund’s subadviser to be of comparable quality). The Fund’s subadviser is Metropolitan West Asset Management, LLC (MetWest).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Class II shares returned-0.07%, underperforming the 0.01% return of the Bloomberg Barclays U.S. Aggregate Bond Index (the “benchmark”),which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS).
For a discussion on the economic and market environment during the12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
The year ended in whirlwind fashion, as markets whipsawed over concerns regarding slowing global growth, trade deterioration, and policy uncertainty. Heightened volatility dampened the mood of investors, who faced a liquidity-constrained environment atyear-end. Overall, 2018 was one of repriced expectations as the defining feature of this cycle – central bank support – continued to be withdrawn. While the Federal Reserve Board’s (the Fed) December hike was largely anticipated, market volatility and concerns about the economic outlook led many investors to expect the Fed to pause rate hikes in 2019, even as the Fed itself maintained a tightening bias. This mismatch in expectations may increase the possibility for a policy misstep, adding to numerous downside risks facing the economy. Meanwhile, the yield curve flattened considerably, as inflation expectations collapsed, and inverted between2- and5-year maturities inmid-December. (The yield curve is a graphical representation of bond yields with very short maturities to the longest available, with the curve indicating whether short-term rates are higher or lower than long-term rates. Yield curve inversion occurs when yields on longer-term bonds drop below yields of shorter-term bonds.) Whether this inversion was a classic recession signal or just a short-term aberration, it serves as a warning flag as the impact of tax cuts and deregulation fade.
For the year ended December 31, 2018, the Fund underperformed the benchmark by a small margin. An overweight allocation, relative to the benchmark, to securitized products slightly detracted from full-year returns, as mortgage- and asset-backed spreads widened in sympathy with broader markets.
The Fund’s duration positioning boosted returns. As interest rates marched higher in 2018, the duration of the Fund was extended in a disciplined fashion, from 0.3 years short the benchmark at the start of the year to 0.2 years long at the end on better yield compensation. (Duration is a measure of a bond fund’s sensitivity to interest rates. The longer the duration, the greater the price impact on the bond or portfolio when interest rates rise or fall.)
The Fund also benefited from an underweight tonon-U.S. sovereigns and emerging-market debt, which were among the worst performers in fixed income as the dollar strengthened and investors migrated into safer assets amid volatility. Finally, the Fund continued to see small contributions from its position in Japanese Government issuedT-bills, with the yen exposure fully hedged out using adollar-yen cross-currency swap.
During the year, the Fund utilized derivatives to manage duration and yield curve, which had no material impact on performance. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both.
Subadviser outlook
Vulnerabilities were exposed during the year as weakening flows and tight liquidity conditions proved to be challenges for broad swaths of the market. Fund management believes that this environment has the potential to continue, with global monetary policy possibly being less accommodative in 2019, coinciding with a general expectation for a deceleration in growth. In the U.S., it is possible that the Fed will be forced to pause its rate hikes, with the direction of policy a key source of uncertainty. Even with the spread widening and recalibration of investor sentiment over the year, Fund management believes that valuations may not have fully priced in long-term fundamental risks. As such, Fund positioning remains defensive, with corporate credit emphasizing regulated and defensive sectors, while Fund management continues to look for opportunities to add exposure as spreads widen toward median levels.
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MML Total Return Bond Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Total Return Bond Fund Portfolio Characteristics (% of Net Assets) on 12/31/18 | ||||
Corporate Debt | 34.0 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 32.7 | % | ||
U.S. Treasury Obligations | 17.7 | % | ||
Non-U.S. Government Agency Obligations | 15.8 | % | ||
Municipal Obligations | 1.2 | % | ||
Mutual Funds | 0.3 | % | ||
Bank Loans | 0.2 | % | ||
Sovereign Debt Obligations | 0.1 | % | ||
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| |||
Total Long-Term Investments | 102.0 | % | ||
Short-Term Investments and Other Assets and Liabilities | (2.0 | )% | ||
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| |||
Net Assets | 100.0 | % | ||
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MML Total Return Bond Fund – Portfolio Manager Report (Unaudited)(Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Total Return Bond Fund Class II and the Bloomberg Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Since Inception Average Annual 8/10/10 - 12/31/18 | |||||||||
Class II | -0.07% | 2.06% | 2.38% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01% | 2.52% | 2.63% |
Hypothetical Investments in MML Total Return Bond Fund Service Class I and the Bloomberg Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 | Five Year Average Annual 1/1/14 - 12/31/18 | Since Inception Average Annual 5/1/12 - 12/31/18 | |||||||||
Service Class I | -0.35% | 1.80% | 1.79% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01% | 2.52% | 2.01% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Bloomberg Barclays U.S. Aggregate Bond Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 99.5% |
| |||||||
COMMON STOCK — 99.5% |
| |||||||
Basic Materials — 0.3% |
| |||||||
Chemicals — 0.3% |
| |||||||
Air Products & Chemicals, Inc. | 1,643 | $ | 262,962 | |||||
DowDuPont, Inc. | 1,300 | 69,524 | ||||||
The Sherwin-Williams Co. | 1,930 | 759,378 | ||||||
|
| |||||||
1,091,864 | ||||||||
|
| |||||||
Communications — 29.7% |
| |||||||
Internet — 29.6% |
| |||||||
Alibaba Group Holding Ltd. Sponsored ADR (a) | 76,209 | 10,445,968 | ||||||
Alphabet, Inc. Class A (a) | 5,614 | 5,866,406 | ||||||
Alphabet, Inc. Class C (a) | 15,097 | 15,634,604 | ||||||
Amazon.com, Inc. (a) | 23,562 | 35,389,417 | ||||||
Booking Holdings, Inc. (a) | 6,162 | 10,613,552 | ||||||
Ctrip.com International Ltd. ADR (a) | 1,540 | 41,672 | ||||||
Facebook, Inc. Class A (a) | 103,880 | 13,617,629 | ||||||
IAC/InterActiveCorp (a) | 4,621 | 845,828 | ||||||
Netflix, Inc. (a) | 16,688 | 4,466,710 | ||||||
Tencent Holdings Ltd. | 196,200 | 7,777,177 | ||||||
|
| |||||||
104,698,963 | ||||||||
|
| |||||||
Telecommunications — 0.1% |
| |||||||
Motorola Solutions, Inc. | 1,600 | 184,064 | ||||||
|
| |||||||
104,883,027 | ||||||||
|
| |||||||
Consumer, Cyclical — 7.6% |
| |||||||
Airlines — 1.2% |
| |||||||
Alaska Air Group, Inc. | 6,885 | 418,952 | ||||||
American Airlines Group, Inc. | 14,967 | 480,590 | ||||||
Delta Air Lines, Inc. | 31,203 | 1,557,030 | ||||||
United Continental Holdings, Inc. (a) | 21,380 | 1,790,148 | ||||||
|
| |||||||
4,246,720 | ||||||||
|
| |||||||
Auto Manufacturers — 1.3% |
| |||||||
Ferrari NV | 3,395 | 337,599 | ||||||
Tesla, Inc. (a) | 12,477 | 4,152,345 | ||||||
|
| |||||||
4,489,944 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.5% |
| |||||||
Aptiv PLC | 27,367 | 1,684,986 | ||||||
|
| |||||||
Leisure Time — 0.5% |
| |||||||
Norwegian Cruise Line Holdings Ltd. (a) | 7,547 | 319,917 | ||||||
Royal Caribbean Cruises Ltd. | 16,972 | 1,659,692 | ||||||
|
| |||||||
1,979,609 | ||||||||
|
| |||||||
Lodging — 1.0% |
| |||||||
Hilton Worldwide Holdings, Inc. | 17,789 | 1,277,250 |
Number of Shares | Value | |||||||
Marriott International, Inc. Class A | 19,534 | $ | 2,120,611 | |||||
Wynn Resorts Ltd. | 451 | 44,609 | ||||||
|
| |||||||
3,442,470 | ||||||||
|
| |||||||
Retail — 3.1% |
| |||||||
Dollar General Corp. | 33,131 | 3,580,798 | ||||||
McDonald’s Corp. | 9,289 | 1,649,448 | ||||||
Restaurant Brands International, Inc. | 18,206 | 952,174 | ||||||
Ross Stores, Inc. | 37,710 | 3,137,472 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 600 | 146,904 | ||||||
Yum! Brands, Inc. | 16,870 | 1,550,690 | ||||||
|
| |||||||
11,017,486 | ||||||||
|
| |||||||
26,861,215 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 24.6% |
| |||||||
Agriculture — 0.0% |
| |||||||
Philip Morris International, Inc. | 500 | 33,380 | ||||||
|
| |||||||
Beverages — 0.1% |
| |||||||
Constellation Brands, Inc. Class A | 800 | 128,656 | ||||||
|
| |||||||
Biotechnology — 2.4% |
| |||||||
Alexion Pharmaceuticals, Inc. (a) | 21,123 | 2,056,535 | ||||||
Biogen, Inc. (a) | 66 | 19,861 | ||||||
Celgene Corp. (a) | 285 | 18,266 | ||||||
Illumina, Inc. (a) | 1,343 | 402,806 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 36,503 | 6,048,912 | ||||||
|
| |||||||
8,546,380 | ||||||||
|
| |||||||
Commercial Services — 4.2% |
| |||||||
Ant International Co., Ltd. Class C (Acquired 6/07/18, Cost $775,038) (a) (b) (c) (d) | 138,153 | 775,038 | ||||||
Automatic Data Processing, Inc. | 2,400 | 314,688 | ||||||
Cintas Corp. | 2,104 | 353,451 | ||||||
CoStar Group, Inc. (a) | 681 | 229,729 | ||||||
FleetCor Technologies, Inc. (a) | 3,082 | 572,389 | ||||||
Global Payments, Inc. | 38,181 | 3,937,606 | ||||||
IHS Markit Ltd. (a) | 1,148 | 55,070 | ||||||
PayPal Holdings, Inc. (a) | 72,666 | 6,110,484 | ||||||
S&P Global, Inc. | 5,635 | 957,612 | ||||||
Worldpay, Inc. Class A (a) | 22,484 | 1,718,452 | ||||||
|
| |||||||
15,024,519 | ||||||||
|
| |||||||
Health Care – Products — 8.1% |
| |||||||
Abbott Laboratories | 15,416 | 1,115,039 | ||||||
Becton, Dickinson & Co. | 31,534 | 7,105,241 | ||||||
Danaher Corp. | 36,052 | 3,717,682 | ||||||
Intuitive Surgical, Inc. (a) | 12,542 | 6,006,615 | ||||||
Stryker Corp. | 43,732 | 6,854,991 | ||||||
Thermo Fisher Scientific, Inc. | 17,347 | 3,882,085 | ||||||
|
| |||||||
28,681,653 | ||||||||
|
| |||||||
Health Care – Services — 6.7% |
| |||||||
Anthem, Inc. | 20,624 | 5,416,481 | ||||||
Centene Corp. (a) | 17,293 | 1,993,883 |
The accompanying notes are an integral part of the financial statements.
62
Table of Contents
MML Blue Chip Growth Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
HCA Healthcare, Inc. | 7,160 | $ | 891,062 | |||||
Humana, Inc. | 7,964 | 2,281,527 | ||||||
UnitedHealth Group, Inc. | 45,882 | 11,430,124 | ||||||
WellCare Health Plans, Inc. (a) | 7,550 | 1,782,479 | ||||||
|
| |||||||
23,795,556 | ||||||||
|
| |||||||
Pharmaceuticals — 3.1% |
| |||||||
Cigna Corp. (a) | 32,564 | 6,184,555 | ||||||
Eli Lilly & Co. | 23,311 | 2,697,549 | ||||||
Merck & Co., Inc. | 19,194 | 1,466,613 | ||||||
Pfizer, Inc. | 9,100 | 397,215 | ||||||
Zoetis, Inc. | 2,900 | 248,066 | ||||||
|
| |||||||
10,993,998 | ||||||||
|
| |||||||
87,204,142 | ||||||||
|
| |||||||
Financial — 12.5% |
| |||||||
Banks — 1.5% |
| |||||||
Citigroup, Inc. | 1,700 | 88,502 | ||||||
The Goldman Sachs Group, Inc. | 100 | 16,705 | ||||||
JP Morgan Chase & Co. | 12,272 | 1,197,992 | ||||||
Morgan Stanley | 93,618 | 3,711,954 | ||||||
Northern Trust Corp. | 500 | 41,795 | ||||||
State Street Corp. | 3,798 | 239,540 | ||||||
|
| |||||||
5,296,488 | ||||||||
|
| |||||||
Diversified Financial Services — 9.6% |
| |||||||
Ameriprise Financial, Inc. | 400 | 41,748 | ||||||
The Charles Schwab Corp. | 65,956 | 2,739,153 | ||||||
Intercontinental Exchange, Inc. | 35,014 | 2,637,605 | ||||||
Mastercard, Inc. Class A | 54,649 | 10,309,534 | ||||||
Raymond James Financial, Inc. | 4,740 | 352,703 | ||||||
TD Ameritrade Holding Corp. | 110,357 | 5,403,079 | ||||||
Visa, Inc. Class A | 94,292 | 12,440,886 | ||||||
|
| |||||||
33,924,708 | ||||||||
|
| |||||||
Insurance — 1.4% |
| |||||||
American International Group, Inc. | 12,902 | 508,468 | ||||||
Chubb Ltd. | 4,700 | 607,146 | ||||||
Marsh & McLennan Cos., Inc. | 6,861 | 547,165 | ||||||
The Progressive Corp. | 6,588 | 397,454 | ||||||
Willis Towers Watson PLC | 18,353 | 2,787,086 | ||||||
|
| |||||||
4,847,319 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.0% |
| |||||||
American Tower Corp. | 543 | 85,897 | ||||||
|
| |||||||
44,154,412 | ||||||||
|
| |||||||
Industrial — 7.8% |
| |||||||
Aerospace & Defense — 4.9% |
| |||||||
The Boeing Co. | 42,251 | 13,625,948 | ||||||
Harris Corp. | 10,021 | 1,349,328 | ||||||
L3 Technologies, Inc. | 261 | 45,325 | ||||||
Northrop Grumman Corp. | 9,999 | 2,448,755 | ||||||
|
| |||||||
17,469,356 | ||||||||
|
|
Number of Shares | Value | |||||||
Electronics — 1.0% |
| |||||||
Agilent Technologies, Inc. | 4,000 | $ | 269,840 | |||||
Corning, Inc. | 2,372 | 71,658 | ||||||
Fortive Corp. | 18,644 | 1,261,453 | ||||||
Honeywell International, Inc. | 15,849 | 2,093,970 | ||||||
|
| |||||||
3,696,921 | ||||||||
|
| |||||||
Machinery – Diversified — 0.8% |
| |||||||
Roper Technologies, Inc. | 9,694 | 2,583,645 | ||||||
Xylem, Inc. | 2,200 | 146,784 | ||||||
|
| |||||||
2,730,429 | ||||||||
|
| |||||||
Packaging & Containers — 0.2% |
| |||||||
Ball Corp. | 12,301 | 565,600 | ||||||
|
| |||||||
Transportation — 0.9% |
| |||||||
Canadian Pacific Railway Ltd. | 5,169 | 918,118 | ||||||
CSX Corp. | 23,173 | 1,439,738 | ||||||
Kansas City Southern | 888 | 84,760 | ||||||
Norfolk Southern Corp. | 1,534 | 229,394 | ||||||
Union Pacific Corp. | 4,000 | 552,920 | ||||||
|
| |||||||
3,224,930 | ||||||||
|
| |||||||
27,687,236 | ||||||||
|
| |||||||
Technology — 16.9% |
| |||||||
Computers — 0.5% |
| |||||||
Apple, Inc. | 10,899 | 1,719,208 | ||||||
|
| |||||||
Semiconductors — 1.6% |
| |||||||
Broadcom, Inc. | 1,212 | 308,187 | ||||||
Lam Research Corp. | 400 | 54,468 | ||||||
Maxim Integrated Products, Inc. | 31,741 | 1,614,030 | ||||||
Microchip Technology, Inc. | 668 | 48,043 | ||||||
NVIDIA Corp. | 7,442 | 993,507 | ||||||
Texas Instruments, Inc. | 19,299 | 1,823,756 | ||||||
Xilinx, Inc. | 8,136 | 692,943 | ||||||
|
| |||||||
5,534,934 | ||||||||
|
| |||||||
Software — 14.8% |
| |||||||
Activision Blizzard, Inc. | 11,868 | 552,693 | ||||||
Electronic Arts, Inc. (a) | 3,298 | 260,245 | ||||||
Fidelity National Information Services, Inc. | 18,373 | 1,884,151 | ||||||
Fiserv, Inc. (a) | 33,983 | 2,497,411 | ||||||
Intuit, Inc. | 29,318 | 5,771,248 | ||||||
Microsoft Corp. | 200,202 | 20,334,517 | ||||||
Red Hat, Inc. (a) | 3,570 | 627,035 | ||||||
salesforce.com, Inc. (a) | 53,350 | 7,307,350 | ||||||
ServiceNow, Inc. (a) | 33,158 | 5,903,782 | ||||||
Splunk, Inc. (a) | 15,219 | 1,595,712 | ||||||
VMware, Inc. Class A | 11,631 | 1,594,959 | ||||||
Workday, Inc. Class A (a) | 25,886 | 4,133,476 | ||||||
|
| |||||||
52,462,579 | ||||||||
|
| |||||||
59,716,721 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
63
Table of Contents
MML Blue Chip Growth Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Utilities — 0.1% |
| |||||||
Electric — 0.1% |
| |||||||
NextEra Energy, Inc. | 200 | $ | 34,764 | |||||
Sempra Energy | 3,774 | 408,309 | ||||||
|
| |||||||
443,073 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $234,949,245) | 352,041,690 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $234,949,245) | 352,041,690 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $234,949,245) | 352,041,690 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 2.0% |
| |||||||
Mutual Fund — 0.0% |
| |||||||
T. Rowe Price Government Reserve Investment Fund, 0.010%, due 9/19/34 | 1,047 | 1,047 | ||||||
|
| |||||||
Principal Amount | ||||||||
Repurchase Agreement — 2.0% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (e) | $ | 6,952,415 | 6,952,415 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,953,462) | 6,953,462 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.5% (Cost $241,902,707) (f) | 358,995,152 | |||||||
Other Assets/(Liabilities) — (1.5)% | (5,477,371 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 353,517,781 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Investment was valued using significant unobservable inputs. |
(c) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2018, these securities amounted to a value of $775,038 or 0.22% of net assets. |
(d) | Restricted security. Certain securities are restricted as to resale. At December 31, 2018, these securities amounted to a value of $775,038 or 0.22% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(e) | Maturity value of $6,952,898. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $7,092,483. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States | 91.6 | % | ||
Cayman Islands | 5.2 | % | ||
Ireland | 0.8 | % | ||
Canada | 0.5 | % | ||
United Kingdom | 0.5 | % | ||
Liberia | 0.5 | % | ||
Switzerland | 0.2 | % | ||
Bermuda | 0.1 | % | ||
Netherlands | 0.1 | % | ||
|
| |||
Total Long-Term Investments | 99.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.5 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
64
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 97.7% |
| |||||||
COMMON STOCK — 95.1% |
| |||||||
Basic Materials — 4.6% |
| |||||||
Chemicals — 3.4% |
| |||||||
Akzo Nobel NV | 10,696 | $ | 859,772 | |||||
CF Industries Holdings, Inc. | 97,300 | 4,233,524 | ||||||
DowDuPont, Inc. | 172,415 | 9,220,754 | ||||||
PPG Industries, Inc. | 5,000 | 511,150 | ||||||
|
| |||||||
14,825,200 | ||||||||
|
| |||||||
Forest Products & Paper — 0.9% |
| |||||||
International Paper Co. | 96,300 | 3,886,668 | ||||||
|
| |||||||
Iron & Steel — 0.3% |
| |||||||
Nucor Corp. | 24,300 | 1,258,983 | ||||||
|
| |||||||
19,970,851 | ||||||||
|
| |||||||
Communications — 9.7% |
| |||||||
Media — 4.6% |
| |||||||
Comcast Corp. Class A | 136,795 | 4,657,870 | ||||||
News Corp. Class A | 261,286 | 2,965,596 | ||||||
Twenty-First Century Fox, Inc. Class B | 224,500 | 10,726,610 | ||||||
The Walt Disney Co. | 14,600 | 1,600,890 | ||||||
|
| |||||||
19,950,966 | ||||||||
|
| |||||||
Telecommunications — 5.1% |
| |||||||
AT&T, Inc. | 70,048 | 1,999,170 | ||||||
CenturyLink, Inc. | 51,205 | 775,755 | ||||||
Cisco Systems, Inc. | 165,900 | 7,188,447 | ||||||
Telefonica SA | 326,157 | 2,752,846 | ||||||
Verizon Communications, Inc. | 171,835 | 9,660,563 | ||||||
|
| |||||||
22,376,781 | ||||||||
|
| |||||||
42,327,747 | ||||||||
|
| |||||||
Consumer, Cyclical — 5.2% |
| |||||||
Airlines — 1.4% |
| |||||||
Alaska Air Group, Inc. | 42,200 | 2,567,870 | ||||||
Delta Air Lines, Inc. | 39,400 | 1,966,060 | ||||||
Southwest Airlines Co. | 33,200 | 1,543,136 | ||||||
|
| |||||||
6,077,066 | ||||||||
|
| |||||||
Auto Manufacturers — 0.3% |
| |||||||
PACCAR, Inc. | 19,800 | 1,131,372 | ||||||
|
| |||||||
Auto Parts & Equipment — 0.1% |
| |||||||
Adient PLC | 32,481 | 489,164 | ||||||
|
| |||||||
Lodging — 0.9% |
| |||||||
Las Vegas Sands Corp. | 76,700 | 3,992,235 | ||||||
|
| |||||||
Retail — 2.1% |
| |||||||
Kohl’s Corp. | 35,100 | 2,328,534 | ||||||
L Brands, Inc. | 69,000 | 1,771,230 | ||||||
Walmart, Inc. | 52,100 | 4,853,115 | ||||||
|
| |||||||
8,952,879 | ||||||||
|
|
Number of Shares | Value | |||||||
Toys, Games & Hobbies — 0.4% |
| |||||||
Mattel, Inc. (a) (b) | 173,700 | $ | 1,735,263 | |||||
|
| |||||||
22,377,979 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 19.9% |
| |||||||
Agriculture — 1.6% |
| |||||||
Archer-Daniels-Midland Co. | 51,200 | 2,097,664 | ||||||
Philip Morris International, Inc. | 70,800 | 4,726,608 | ||||||
|
| |||||||
6,824,272 | ||||||||
|
| |||||||
Beverages — 0.5% |
| |||||||
PepsiCo, Inc. | 19,300 | 2,132,264 | ||||||
|
| |||||||
Biotechnology — 1.2% |
| |||||||
Gilead Sciences, Inc. | 85,600 | 5,354,280 | ||||||
|
| |||||||
Commercial Services — 0.9% |
| |||||||
Nielsen Holdings PLC | 171,154 | 3,993,022 | ||||||
|
| |||||||
Cosmetics & Personal Care — 0.1% |
| |||||||
Coty, Inc. Class A | 76,073 | 499,039 | ||||||
|
| |||||||
Foods — 1.9% |
| |||||||
Conagra Brands, Inc. | 97,839 | 2,089,841 | ||||||
Kellogg Co. | 15,000 | 855,150 | ||||||
Tyson Foods, Inc. Class A | 101,800 | 5,436,120 | ||||||
|
| |||||||
8,381,111 | ||||||||
|
| |||||||
Health Care – Products — 1.9% |
| |||||||
Becton, Dickinson & Co. | 6,900 | 1,554,708 | ||||||
Medtronic PLC | 68,449 | 6,226,121 | ||||||
Zimmer Biomet Holdings, Inc. | 4,000 | 414,880 | ||||||
|
| |||||||
8,195,709 | ||||||||
|
| |||||||
Health Care – Services — 1.9% |
| |||||||
Anthem, Inc. | 31,500 | 8,272,845 | ||||||
|
| |||||||
Household Products & Wares — 1.7% |
| |||||||
Kimberly-Clark Corp. | 63,800 | 7,269,372 | ||||||
|
| |||||||
Pharmaceuticals — 8.2% |
| |||||||
Bristol-Myers Squibb Co. | 53,000 | 2,754,940 | ||||||
CVS Health Corp. | 64,703 | 4,239,341 | ||||||
GlaxoSmithKline PLC Sponsored ADR | 38,800 | 1,482,548 | ||||||
GlaxoSmithKline PLC | 160,687 | 3,049,783 | ||||||
Johnson & Johnson | 69,300 | 8,943,165 | ||||||
Merck & Co., Inc. | 77,100 | 5,891,211 | ||||||
Pfizer, Inc. | 211,354 | 9,225,602 | ||||||
|
| |||||||
35,586,590 | ||||||||
|
| |||||||
86,508,504 | ||||||||
|
| |||||||
Energy — 9.2% |
| |||||||
Oil & Gas — 7.7% |
| |||||||
Apache Corp. | 64,986 | 1,705,883 | ||||||
Chevron Corp. | 37,800 | 4,112,262 | ||||||
EQT Corp. | 11,280 | 213,079 | ||||||
Exxon Mobil Corp. | 156,242 | 10,654,142 | ||||||
Hess Corp. | 85,200 | 3,450,600 |
The accompanying notes are an integral part of the financial statements.
65
Table of Contents
MML Equity Income Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Occidental Petroleum Corp. | 69,500 | $ | 4,265,910 | |||||
Total SA | 172,226 | 9,098,358 | ||||||
|
| |||||||
33,500,234 | ||||||||
|
| |||||||
Pipelines — 1.5% |
| |||||||
Equitrans Midstream Corp. (a) | 25,124 | 502,983 | ||||||
TransCanada Corp. | 168,300 | 6,008,310 | ||||||
|
| |||||||
6,511,293 | ||||||||
|
| |||||||
40,011,527 | ||||||||
|
| |||||||
Financial — 26.0% |
| |||||||
Banks — 15.4% |
| |||||||
Bank of America Corp. | 13,977 | 344,393 | ||||||
The Bank of New York Mellon Corp. | 63,800 | 3,003,066 | ||||||
Citigroup, Inc. | 63,076 | 3,283,737 | ||||||
Fifth Third Bancorp | 231,900 | 5,456,607 | ||||||
JP Morgan Chase & Co. | 152,170 | 14,854,835 | ||||||
KeyCorp | 99,466 | 1,470,108 | ||||||
Morgan Stanley | 178,000 | 7,057,700 | ||||||
Northern Trust Corp. | 14,700 | 1,228,773 | ||||||
The PNC Financial Services Group, Inc. | 37,200 | 4,349,052 | ||||||
State Street Corp. | 85,600 | 5,398,792 | ||||||
US Bancorp | 136,300 | 6,228,910 | ||||||
Wells Fargo & Co. | 305,800 | 14,091,264 | ||||||
|
| |||||||
66,767,237 | ||||||||
|
| |||||||
Diversified Financial Services — 1.1% |
| |||||||
Ameriprise Financial, Inc. | 7,200 | 751,464 | ||||||
Franklin Resources, Inc. | 131,600 | 3,903,256 | ||||||
|
| |||||||
4,654,720 | ||||||||
|
| |||||||
Insurance — 6.9% |
| |||||||
American International Group, Inc. | 133,495 | 5,261,038 | ||||||
Brighthouse Financial, Inc. (a) | 70,826 | 2,158,776 | ||||||
Chubb Ltd. | 57,371 | 7,411,186 | ||||||
Loews Corp. | 108,863 | 4,955,444 | ||||||
Marsh & McLennan Cos., Inc. | 23,400 | 1,866,150 | ||||||
MetLife, Inc. | 144,300 | 5,924,958 | ||||||
Willis Towers Watson PLC | 16,041 | 2,435,986 | ||||||
|
| |||||||
30,013,538 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 2.6% |
| |||||||
Equity Residential | 60,500 | 3,993,605 | ||||||
Rayonier, Inc. | 89,441 | 2,476,621 | ||||||
SL Green Realty Corp. | 30,621 | 2,421,509 | ||||||
Weyerhaeuser Co. | 115,871 | 2,532,940 | ||||||
|
| |||||||
11,424,675 | ||||||||
|
| |||||||
112,860,170 | ||||||||
|
| |||||||
Industrial — 8.9% |
| |||||||
Aerospace & Defense — 3.4% |
| |||||||
The Boeing Co. | 24,700 | 7,965,750 | ||||||
Harris Corp. | 48,935 | 6,589,098 | ||||||
Northrop Grumman Corp. | 1,500 | 367,350 | ||||||
|
| |||||||
14,922,198 | ||||||||
|
|
Number of Shares | Value | |||||||
Building Materials — 1.9% |
| |||||||
Johnson Controls International PLC | 206,199 | $ | 6,113,800 | |||||
Vulcan Materials Co. | 21,300 | 2,104,440 | ||||||
|
| |||||||
8,218,240 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.6% |
| |||||||
Emerson Electric Co. | 42,400 | 2,533,400 | ||||||
|
| |||||||
Electronics — 0.3% |
| |||||||
nVent Electric PLC | 34,900 | 783,854 | ||||||
TE Connectivity Ltd. | 8,800 | 665,544 | ||||||
|
| |||||||
1,449,398 | ||||||||
|
| |||||||
Environmental Controls — 0.6% |
| |||||||
Pentair PLC | 27,600 | 1,042,728 | ||||||
Stericycle, Inc. (a) | 48,702 | 1,786,877 | ||||||
|
| |||||||
2,829,605 | ||||||||
|
| |||||||
Machinery – Diversified — 0.1% |
| |||||||
Flowserve Corp. | 6,164 | 234,355 | ||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.7% |
| |||||||
General Electric Co. | 326,200 | 2,469,334 | ||||||
Illinois Tool Works, Inc. | 5,200 | 658,788 | ||||||
|
| |||||||
3,128,122 | ||||||||
|
| |||||||
Transportation — 1.3% |
| |||||||
United Parcel Service, Inc. Class B | 56,432 | 5,503,813 | ||||||
|
| |||||||
38,819,131 | ||||||||
|
| |||||||
Technology — 5.7% |
| |||||||
Computers — 0.3% |
| |||||||
Hewlett Packard Enterprise Co. | 59,100 | 780,711 | ||||||
Western Digital Corp. | 17,800 | 658,066 | ||||||
|
| |||||||
1,438,777 | ||||||||
|
| |||||||
Semiconductors — 3.4% |
| |||||||
Applied Materials, Inc. | 66,300 | 2,170,662 | ||||||
NXP Semiconductor NV | 10,600 | 776,768 | ||||||
QUALCOMM, Inc. | 149,400 | 8,502,354 | ||||||
Texas Instruments, Inc. | 33,973 | 3,210,448 | ||||||
|
| |||||||
14,660,232 | ||||||||
|
| |||||||
Software — 2.0% |
| |||||||
Microsoft Corp. | 84,400 | 8,572,508 | ||||||
|
| |||||||
24,671,517 | ||||||||
|
| |||||||
Utilities — 5.9% |
| |||||||
Electric — 4.4% |
| |||||||
Duke Energy Corp. | 29,200 | 2,519,960 | ||||||
Edison International | 52,350 | 2,971,909 | ||||||
Evergy, Inc. | 38,600 | 2,191,322 | ||||||
PG&E Corp. (a) | 67,804 | 1,610,345 | ||||||
Sempra Energy | 10,640 | 1,151,142 | ||||||
The Southern Co. | 201,427 | 8,846,674 | ||||||
|
| |||||||
19,291,352 | ||||||||
|
| |||||||
Gas — 1.5% |
| |||||||
NiSource, Inc. (c) | 20,142 | 510,600 |
The accompanying notes are an integral part of the financial statements.
66
Table of Contents
MML Equity Income Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
NiSource, Inc. | 228,980 | $ | 5,804,643 | |||||
|
| |||||||
6,315,243 | ||||||||
|
| |||||||
25,606,595 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $387,277,871) | 413,154,021 | |||||||
|
| |||||||
PREFERRED STOCK — 2.6% |
| |||||||
Consumer,Non-cyclical — 0.9% |
| |||||||
Health Care – Products — 0.9% |
| |||||||
Becton Dickinson and Co. Convertible 6.125% | 63,549 | 3,664,871 | ||||||
|
| |||||||
Utilities — 1.7% |
| |||||||
Electric — 1.7% |
| |||||||
DTE Energy Co. Convertible 6.500% | 15,505 | 800,988 | ||||||
NextEra Energy, Inc. Convertible 6.123% | 66,353 | 3,824,587 | ||||||
Sempra Energy Convertible 6.000% | 22,022 | 2,094,512 | ||||||
Sempra Energy Convertible 6.750% | 6,848 | 660,421 | ||||||
|
| |||||||
7,380,508 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $10,100,774) | 11,045,379 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $397,378,645) | 424,199,400 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 0.5% |
| |||||||
CORPORATE DEBT — 0.5% |
| |||||||
Insurance — 0.2% |
| |||||||
AXA SA Convertible 7.250% 5/15/21 (d) | $ | 895,000 | 780,378 | |||||
|
| |||||||
Toys, Games & Hobbies — 0.3% |
| |||||||
Mattel, Inc. 6.750% 12/31/25 (d) | 1,687,000 | 1,505,125 | ||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $2,554,236) | 2,285,503 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $2,554,236) | 2,285,503 | |||||||
|
|
Number of Shares | Value | |||||||
MUTUAL FUNDS — 0.4% |
| |||||||
Diversified Financial Services — 0.4% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (e) | 1,762,621 | $ | 1,762,621 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,762,621) | 1,762,621 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $401,695,502) | 428,247,524 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 1.2% |
| |||||||
Mutual Fund — 0.0% |
| |||||||
T. Rowe Price Government Reserve Investment Fund | 1,047 | 1,047 | ||||||
|
| |||||||
Principal Amount | ||||||||
Repurchase Agreement — 1.2% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (f) | $ | 4,970,050 | 4,970,050 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,971,097) | 4,971,097 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% (Cost $406,666,599) (g) | 433,218,621 | |||||||
Other Assets/(Liabilities) — 0.2% | 1,062,915 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 434,281,536 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $1,717,910 or 0.40% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers.(Note 2). |
(c) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2018, these securities amounted to a value of $510,600 or 0.12% of net assets. |
The accompanying notes are an integral part of the financial statements.
67
Table of Contents
MML Equity Income Fund – Portfolio of Investments(Continued)
Notes to Portfolio of Investments (Continued)
(d) | 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, 2018, these securities amounted to a value of $2,285,503 or 0.53% of net assets. |
(e) | Represents investment of security lending collateral.(Note 2). |
(f) | Maturity value of $4,970,395. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $5,069,609. |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
68
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 97.6% |
| |||||||
COMMON STOCK — 97.6% |
| |||||||
Basic Materials — 2.2% |
| |||||||
Chemicals — 1.9% |
| |||||||
Air Products & Chemicals, Inc. | 6,542 | $ | 1,047,047 | |||||
Albemarle Corp. | 3,179 | 245,006 | ||||||
Celanese Corp. | 3,995 | 359,430 | ||||||
CF Industries Holdings, Inc. | 6,902 | 300,306 | ||||||
DowDuPont, Inc. | 68,452 | 3,660,813 | ||||||
Eastman Chemical Co. | 4,223 | 308,744 | ||||||
FMC Corp. | 3,979 | 294,287 | ||||||
International Flavors & Fragrances, Inc. | 3,008 | 403,884 | ||||||
Linde PLC | 16,471 | 2,570,135 | ||||||
LyondellBasell Industries NV Class A | 9,388 | 780,706 | ||||||
The Mosaic Co. | 10,692 | 312,313 | ||||||
PPG Industries, Inc. | 7,193 | 735,340 | ||||||
The Sherwin-Williams Co. | 2,467 | 970,666 | ||||||
|
| |||||||
11,988,677 | ||||||||
|
| |||||||
Forest Products & Paper — 0.1% |
| |||||||
International Paper Co. | 12,061 | 486,782 | ||||||
|
| |||||||
Iron & Steel — 0.1% |
| |||||||
Nucor Corp. | 9,409 | 487,480 | ||||||
|
| |||||||
Mining — 0.1% |
| |||||||
Freeport-McMoRan, Inc. | 43,098 | 444,340 | ||||||
Newmont Mining Corp. | 15,778 | 546,708 | ||||||
|
| |||||||
991,048 | ||||||||
|
| |||||||
13,953,987 | ||||||||
|
| |||||||
Communications — 14.2% |
| |||||||
Advertising — 0.1% |
| |||||||
The Interpublic Group of Cos., Inc. | 11,403 | 235,244 | ||||||
Omnicom Group, Inc. | 6,722 | 492,319 | ||||||
|
| |||||||
727,563 | ||||||||
|
| |||||||
Internet — 8.6% |
| |||||||
Alphabet, Inc. Class A (a) | 8,931 | 9,332,538 | ||||||
Alphabet, Inc. Class C (a) | 9,191 | 9,518,292 | ||||||
Amazon.com, Inc. (a) | 12,270 | 18,429,172 | ||||||
Booking Holdings, Inc. (a) | 1,384 | 2,383,829 | ||||||
eBay, Inc. (a) | 27,060 | 759,574 | ||||||
Expedia Group, Inc. | 3,575 | 402,724 | ||||||
F5 Networks, Inc. (a) | 1,808 | 292,950 | ||||||
Facebook, Inc. Class A (a) | 71,772 | 9,408,591 | ||||||
Netflix, Inc. (a) | 13,031 | 3,487,877 | ||||||
Symantec Corp. | 19,114 | 361,159 | ||||||
TripAdvisor, Inc. (a) | 2,973 | 160,364 | ||||||
Twitter, Inc. (a) | 21,700 | 623,658 | ||||||
VeriSign, Inc. (a) | 3,195 | 473,787 | ||||||
|
| |||||||
55,634,515 | ||||||||
|
|
Number of Shares | Value | |||||||
Media — 2.3% |
| |||||||
CBS Corp. Class B | 10,100 | $ | 441,572 | |||||
Charter Communications, Inc. Class A (a) | 5,274 | 1,502,932 | ||||||
Comcast Corp. Class A | 135,545 | 4,615,307 | ||||||
Discovery, Inc. Class A (a) | 4,616 | 114,200 | ||||||
Discovery, Inc. Class C (a) | 10,700 | 246,956 | ||||||
DISH Network Corp. Class A (a) | 6,772 | 169,097 | ||||||
News Corp. Class A | 11,337 | 128,675 | ||||||
News Corp. Class B | 3,597 | 41,545 | ||||||
Twenty-First Century Fox, Inc. Class A | 31,605 | 1,520,833 | ||||||
Twenty-First Century Fox, Inc. Class B | 14,477 | 691,711 | ||||||
Viacom, Inc. Class B | 10,440 | 268,308 | ||||||
The Walt Disney Co. | 44,512 | 4,880,741 | ||||||
|
| |||||||
14,621,877 | ||||||||
|
| |||||||
Telecommunications — 3.2% |
| |||||||
Arista Networks, Inc. (a) | 1,537 | 323,846 | ||||||
AT&T, Inc. | 217,493 | 6,207,250 | ||||||
CenturyLink, Inc. | 28,259 | 428,124 | ||||||
Cisco Systems, Inc. | 134,369 | 5,822,209 | ||||||
Juniper Networks, Inc. | 10,327 | 277,899 | ||||||
Motorola Solutions, Inc. | 4,891 | 562,661 | ||||||
Verizon Communications, Inc. | 123,465 | 6,941,202 | ||||||
|
| |||||||
20,563,191 | ||||||||
|
| |||||||
91,547,146 | ||||||||
|
| |||||||
Consumer, Cyclical — 8.2% |
| |||||||
Airlines — 0.4% |
| |||||||
Alaska Air Group, Inc. | 3,646 | 221,859 | ||||||
American Airlines Group, Inc. | 12,377 | 397,425 | ||||||
Delta Air Lines, Inc. | 18,734 | 934,827 | ||||||
Southwest Airlines Co. | 15,089 | 701,337 | ||||||
United Continental Holdings, Inc. (a) | 6,816 | 570,704 | ||||||
|
| |||||||
2,826,152 | ||||||||
|
| |||||||
Apparel — 0.7% |
| |||||||
Hanesbrands, Inc. | 10,659 | 133,557 | ||||||
Michael Kors Holdings Ltd. (a) | 4,433 | 168,099 | ||||||
NIKE, Inc. Class B | 38,065 | 2,822,139 | ||||||
PVH Corp. | 2,279 | 211,833 | ||||||
Ralph Lauren Corp. | 1,647 | 170,399 | ||||||
Under Armour, Inc. Class A (a) | 5,501 | 97,203 | ||||||
Under Armour, Inc. Class C (a) | 5,571 | 90,083 | ||||||
VF Corp. | 9,684 | 690,857 | ||||||
|
| |||||||
4,384,170 | ||||||||
|
| |||||||
Auto Manufacturers — 0.4% |
| |||||||
Ford Motor Co. | 116,807 | 893,573 | ||||||
General Motors Co. | 39,282 | 1,313,983 | ||||||
PACCAR, Inc. | 10,406 | 594,599 | ||||||
|
| |||||||
2,802,155 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
69
Table of Contents
MML Equity Index Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Auto Parts & Equipment — 0.1% |
| |||||||
Aptiv PLC | 7,831 | $ | 482,155 | |||||
BorgWarner, Inc. | 6,225 | 216,256 | ||||||
The Goodyear Tire & Rubber Co. | 7,094 | 144,789 | ||||||
|
| |||||||
843,200 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.2% |
| |||||||
Fastenal Co. | 8,508 | 444,883 | ||||||
LKQ Corp. (a) | 9,486 | 225,103 | ||||||
W.W. Grainger, Inc. | 1,351 | 381,468 | ||||||
|
| |||||||
1,051,454 | ||||||||
|
| |||||||
Home Builders — 0.1% |
| |||||||
D.R. Horton, Inc. | 10,158 | 352,076 | ||||||
Lennar Corp. Class A | 8,696 | 340,449 | ||||||
PulteGroup, Inc. | 7,769 | 201,916 | ||||||
|
| |||||||
894,441 | ||||||||
|
| |||||||
Home Furnishing — 0.1% |
| |||||||
Leggett & Platt, Inc. | 3,883 | 139,167 | ||||||
Whirlpool Corp. | 1,908 | 203,908 | ||||||
|
| |||||||
343,075 | ||||||||
|
| |||||||
Housewares — 0.0% |
| |||||||
Newell Brands, Inc. | 12,934 | 240,443 | ||||||
|
| |||||||
Leisure Time — 0.2% |
| |||||||
Carnival Corp. | 12,008 | 591,994 | ||||||
Harley-Davidson, Inc. | 4,923 | 167,973 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) | 6,528 | 276,722 | ||||||
Royal Caribbean Cruises Ltd. | 5,095 | 498,240 | ||||||
|
| |||||||
1,534,929 | ||||||||
|
| |||||||
Lodging — 0.4% |
| |||||||
Hilton Worldwide Holdings, Inc. | 8,867 | 636,650 | ||||||
Marriott International, Inc. Class A | 8,469 | 919,395 | ||||||
MGM Resorts International | 14,811 | 359,315 | ||||||
Wynn Resorts Ltd. | 2,907 | 287,531 | ||||||
|
| |||||||
2,202,891 | ||||||||
|
| |||||||
Retail — 5.5% |
| |||||||
Advance Auto Parts, Inc. | 2,190 | 344,837 | ||||||
AutoZone, Inc. (a) | 752 | 630,432 | ||||||
Best Buy Co., Inc. | 6,993 | 370,349 | ||||||
CarMax, Inc. (a) | 5,267 | 330,399 | ||||||
Chipotle Mexican Grill, Inc. (a) | 723 | 312,184 | ||||||
Copart, Inc. (a) | 6,133 | 293,035 | ||||||
Costco Wholesale Corp. | 13,092 | 2,666,971 | ||||||
Darden Restaurants, Inc. | 3,758 | 375,274 | ||||||
Dollar General Corp. | 7,798 | 842,808 | ||||||
Dollar Tree, Inc. (a) | 7,149 | 645,698 | ||||||
Foot Locker, Inc. | 3,494 | 185,881 | ||||||
The Gap, Inc. | 6,418 | 165,328 | ||||||
Genuine Parts Co. | 4,340 | 416,727 | ||||||
The Home Depot, Inc. | 33,728 | 5,795,145 | ||||||
Kohl’s Corp. | 4,976 | 330,108 |
Number of Shares | Value | |||||||
L Brands, Inc. | 6,792 | $ | 174,351 | |||||
Lowe’s Cos., Inc. | 23,979 | 2,214,700 | ||||||
Macy’s, Inc. | 9,061 | 269,837 | ||||||
McDonald’s Corp. | 23,055 | 4,093,876 | ||||||
Nordstrom, Inc. | 3,474 | 161,923 | ||||||
O’Reilly Automotive, Inc. (a) | 2,394 | 824,326 | ||||||
Ross Stores, Inc. | 11,199 | 931,757 | ||||||
Starbucks Corp. | 37,066 | 2,387,050 | ||||||
Tapestry, Inc. | 8,801 | 297,034 | ||||||
Target Corp. | 15,643 | 1,033,846 | ||||||
Tiffany & Co. | 3,241 | 260,933 | ||||||
The TJX Cos., Inc. | 36,925 | 1,652,024 | ||||||
Tractor Supply Co. | 3,610 | 301,218 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 1,691 | 414,024 | ||||||
Walgreens Boots Alliance, Inc. | 24,024 | 1,641,560 | ||||||
Walmart, Inc. | 42,530 | 3,961,669 | ||||||
Yum! Brands, Inc. | 9,318 | 856,511 | ||||||
|
| |||||||
35,181,815 | ||||||||
|
| |||||||
Textiles — 0.0% |
| |||||||
Mohawk Industries, Inc. (a) | 1,875 | 219,300 | ||||||
|
| |||||||
Toys, Games & Hobbies — 0.1% |
| |||||||
Hasbro, Inc. | 3,480 | 282,750 | ||||||
Mattel, Inc. (a) (b) | 10,174 | 101,638 | ||||||
|
| |||||||
384,388 | ||||||||
|
| |||||||
52,908,413 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 22.7% |
| |||||||
Agriculture — 1.0% |
| |||||||
Altria Group, Inc. | 56,176 | 2,774,533 | ||||||
Archer-Daniels-Midland Co. | 16,740 | 685,838 | ||||||
Philip Morris International, Inc. | 46,429 | 3,099,600 | ||||||
|
| |||||||
6,559,971 | ||||||||
|
| |||||||
Beverages — 1.9% |
| |||||||
Brown-Forman Corp. Class B | 5,021 | 238,899 | ||||||
The Coca-Cola Co. | 114,404 | 5,417,029 | ||||||
Constellation Brands, Inc. Class A | 4,969 | 799,115 | ||||||
Molson Coors Brewing Co. Class B | 5,630 | 316,181 | ||||||
Monster Beverage Corp. (a) | 11,839 | 582,716 | ||||||
PepsiCo, Inc. | 42,161 | 4,657,947 | ||||||
|
| |||||||
12,011,887 | ||||||||
|
| |||||||
Biotechnology — 2.1% |
| |||||||
Alexion Pharmaceuticals, Inc. (a) | 6,664 | 648,807 | ||||||
Amgen, Inc. | 19,055 | 3,709,437 | ||||||
Biogen, Inc. (a) | 6,026 | 1,813,344 | ||||||
Celgene Corp. (a) | 20,906 | 1,339,865 | ||||||
Gilead Sciences, Inc. | 38,594 | 2,414,055 | ||||||
Illumina, Inc. (a) | 4,376 | 1,312,494 | ||||||
Incyte Corp. (a) | 5,204 | 330,922 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 2,314 | 864,279 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 7,654 | 1,268,344 | ||||||
|
| |||||||
13,701,547 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
70
Table of Contents
MML Equity Index Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Commercial Services — 2.0% |
| |||||||
Automatic Data Processing, Inc. | 13,106 | $ | 1,718,459 | |||||
Cintas Corp. | 2,617 | 439,630 | ||||||
Ecolab, Inc. | 7,619 | 1,122,660 | ||||||
Equifax, Inc. | 3,558 | 331,356 | ||||||
FleetCor Technologies, Inc. (a) | 2,651 | 492,344 | ||||||
Gartner, Inc. (a) | 2,699 | 345,040 | ||||||
Global Payments, Inc. | 4,719 | 486,670 | ||||||
H&R Block, Inc. | 6,148 | 155,975 | ||||||
IHS Markit Ltd. (a) | 10,741 | 515,246 | ||||||
Moody’s Corp. | 5,008 | 701,320 | ||||||
Nielsen Holdings PLC | 10,599 | 247,275 | ||||||
PayPal Holdings, Inc. (a) | 35,184 | 2,958,622 | ||||||
Quanta Services, Inc. | 4,426 | 133,222 | ||||||
Robert Half International, Inc. | 3,655 | 209,066 | ||||||
Rollins, Inc. | 4,377 | 158,010 | ||||||
S&P Global, Inc. | 7,480 | 1,271,151 | ||||||
Total System Services, Inc. | 5,009 | 407,182 | ||||||
United Rentals, Inc. (a) | 2,473 | 253,557 | ||||||
Verisk Analytics, Inc. (a) | 4,901 | 534,405 | ||||||
The Western Union Co. | 13,089 | 223,298 | ||||||
|
| |||||||
12,704,488 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 1.4% |
| |||||||
Colgate-Palmolive Co. | 25,961 | 1,545,199 | ||||||
Coty, Inc. Class A | 13,187 | 86,507 | ||||||
The Estee Lauder Cos., Inc. Class A | 6,574 | 855,277 | ||||||
The Procter & Gamble Co. | 74,405 | 6,839,307 | ||||||
|
| |||||||
9,326,290 | ||||||||
|
| |||||||
Foods — 1.2% |
| |||||||
Campbell Soup Co. (b) | 5,691 | 187,746 | ||||||
Conagra Brands, Inc. | 14,546 | 310,703 | ||||||
General Mills, Inc. | 17,763 | 691,691 | ||||||
The Hershey Co. | 4,229 | 453,264 | ||||||
Hormel Foods Corp. | 8,219 | 350,787 | ||||||
The J.M. Smucker Co. | 3,360 | 314,126 | ||||||
Kellogg Co. | 7,543 | 430,026 | ||||||
The Kraft Heinz Co. | 18,499 | 796,197 | ||||||
The Kroger Co. | 23,688 | 651,420 | ||||||
Lamb Weston Holdings, Inc. | 4,352 | 320,133 | ||||||
McCormick & Co., Inc. | 3,656 | 509,062 | ||||||
Mondelez International, Inc. Class A | 43,391 | 1,736,942 | ||||||
Sysco Corp. | 14,333 | 898,106 | ||||||
Tyson Foods, Inc. Class A | 8,802 | 470,027 | ||||||
|
| |||||||
8,120,230 | ||||||||
|
| |||||||
Health Care – Products — 3.8% |
| |||||||
Abbott Laboratories | 52,481 | 3,795,951 | ||||||
ABIOMED, Inc. (a) | 1,334 | 433,603 | ||||||
Align Technology, Inc. (a) | 2,173 | 455,091 | ||||||
Baxter International, Inc. | 14,775 | 972,491 | ||||||
Becton, Dickinson & Co. | 8,016 | 1,806,165 | ||||||
Boston Scientific Corp. (a) | 41,401 | 1,463,111 |
Number of Shares | Value | |||||||
The Cooper Cos., Inc. | 1,490 | $ | 379,205 | |||||
Danaher Corp. | 18,434 | 1,900,914 | ||||||
DENTSPLY SIRONA, Inc. | 6,727 | 250,312 | ||||||
Edwards Lifesciences Corp. (a) | 6,234 | 954,862 | ||||||
Henry Schein, Inc. (a) | 4,556 | 357,737 | ||||||
Hologic, Inc. (a) | 8,075 | 331,883 | ||||||
IDEXX Laboratories, Inc. (a) | 2,569 | 477,885 | ||||||
Intuitive Surgical, Inc. (a) | 3,415 | 1,635,512 | ||||||
Medtronic PLC | 40,157 | 3,652,681 | ||||||
ResMed, Inc. | 4,222 | 480,759 | ||||||
Stryker Corp. | 9,289 | 1,456,051 | ||||||
Thermo Fisher Scientific, Inc. | 12,037 | 2,693,760 | ||||||
Varian Medical Systems, Inc. (a) | 2,706 | 306,617 | ||||||
Zimmer Biomet Holdings, Inc. | 6,107 | 633,418 | ||||||
|
| |||||||
24,438,008 | ||||||||
|
| |||||||
Health Care – Services — 2.2% |
| |||||||
Anthem, Inc. | 7,727 | 2,029,342 | ||||||
Centene Corp. (a) | 6,152 | 709,326 | ||||||
DaVita, Inc. (a) | 3,778 | 194,416 | ||||||
HCA Healthcare, Inc. | 8,023 | 998,462 | ||||||
Humana, Inc. | 4,102 | 1,175,141 | ||||||
IQVIA Holdings, Inc. (a) | 4,700 | 545,999 | ||||||
Laboratory Corp. of America Holdings (a) | 3,026 | 382,365 | ||||||
Quest Diagnostics, Inc. | 4,017 | 334,495 | ||||||
UnitedHealth Group, Inc. | 28,731 | 7,157,467 | ||||||
Universal Health Services, Inc. Class B | 2,578 | 300,492 | ||||||
WellCare Health Plans, Inc. (a) | 1,490 | 351,774 | ||||||
|
| |||||||
14,179,279 | ||||||||
|
| |||||||
Household Products & Wares — 0.4% |
| |||||||
Avery Dennison Corp. | 2,604 | 233,917 | ||||||
Church & Dwight Co., Inc. | 7,391 | 486,032 | ||||||
The Clorox Co. | 3,831 | 590,511 | ||||||
Kimberly-Clark Corp. | 10,332 | 1,177,228 | ||||||
|
| |||||||
2,487,688 | ||||||||
|
| |||||||
Pharmaceuticals — 6.7% |
| |||||||
AbbVie, Inc. | 44,880 | 4,137,487 | ||||||
Allergan PLC | 9,483 | 1,267,498 | ||||||
AmerisourceBergen Corp. | 4,680 | 348,192 | ||||||
Bristol-Myers Squibb Co. | 48,777 | 2,535,429 | ||||||
Cardinal Health, Inc. | 8,909 | 397,341 | ||||||
Cigna Corp. (a) | 11,366 | 2,158,708 | ||||||
CVS Health Corp. | 38,633 | 2,531,234 | ||||||
Eli Lilly & Co. | 28,169 | 3,259,717 | ||||||
Johnson & Johnson | 80,127 | 10,340,389 | ||||||
McKesson Corp. | 5,809 | 641,720 | ||||||
Merck & Co., Inc. | 77,695 | 5,936,675 | ||||||
Mylan NV (a) | 15,246 | 417,740 | ||||||
Nektar Therapeutics (a) | 5,126 | 168,492 | ||||||
Perrigo Co. PLC | 3,809 | 147,599 |
The accompanying notes are an integral part of the financial statements.
71
Table of Contents
MML Equity Index Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Pfizer, Inc. | 172,711 | $ | 7,538,835 | |||||
Zoetis, Inc. | 14,311 | 1,224,163 | ||||||
|
| |||||||
43,051,219 | ||||||||
|
| |||||||
146,580,607 | ||||||||
|
| |||||||
Energy — 5.2% |
| |||||||
Oil & Gas — 4.3% |
| |||||||
Anadarko Petroleum Corp. | 15,023 | 658,608 | ||||||
Apache Corp. | 11,303 | 296,704 | ||||||
Cabot Oil & Gas Corp. | 12,891 | 288,114 | ||||||
Chevron Corp. | 57,085 | 6,210,277 | ||||||
Cimarex Energy Co. | 2,823 | 174,038 | ||||||
Concho Resources, Inc. (a) | 5,954 | 612,012 | ||||||
ConocoPhillips | 34,474 | 2,149,454 | ||||||
Devon Energy Corp. | 13,917 | 313,689 | ||||||
Diamondback Energy, Inc. | 4,622 | 428,459 | ||||||
EOG Resources, Inc. | 17,336 | 1,511,872 | ||||||
Exxon Mobil Corp. | 126,482 | 8,624,808 | ||||||
Helmerich & Payne, Inc. | 3,220 | 154,367 | ||||||
Hess Corp. | 7,491 | 303,385 | ||||||
HollyFrontier Corp. | 4,818 | 246,296 | ||||||
Marathon Oil Corp. | 24,533 | 351,803 | ||||||
Marathon Petroleum Corp. | 20,646 | 1,218,320 | ||||||
Newfield Exploration Co. (a) | 5,908 | 86,611 | ||||||
Noble Energy, Inc. | 14,329 | 268,812 | ||||||
Occidental Petroleum Corp. | 22,565 | 1,385,040 | ||||||
Phillips 66 | 12,691 | 1,093,330 | ||||||
Pioneer Natural Resources Co. | 5,117 | 672,988 | ||||||
Valero Energy Corp. | 12,745 | 955,493 | ||||||
|
| |||||||
28,004,480 | ||||||||
|
| |||||||
Oil & Gas Services — 0.5% |
| |||||||
Baker Hughes a GE Co. | 15,582 | 335,013 | ||||||
Halliburton Co. | 26,169 | 695,572 | ||||||
National Oilwell Varco, Inc. | 11,299 | 290,384 | ||||||
Schlumberger Ltd. | 41,404 | 1,493,857 | ||||||
TechnipFMC PLC | 12,838 | 251,368 | ||||||
|
| |||||||
3,066,194 | ||||||||
|
| |||||||
Pipelines — 0.4% |
| |||||||
Kinder Morgan, Inc. | 56,667 | 871,539 | ||||||
ONEOK, Inc. | 12,303 | 663,747 | ||||||
The Williams Cos., Inc. | 35,947 | 792,631 | ||||||
|
| |||||||
2,327,917 | ||||||||
|
| |||||||
33,398,591 | ||||||||
|
| |||||||
Financial — 17.5% |
| |||||||
Banks — 6.4% |
| |||||||
Bank of America Corp. | 272,681 | 6,718,860 | ||||||
The Bank of New York Mellon Corp. | 27,110 | 1,276,068 | ||||||
BB&T Corp. | 23,064 | 999,132 | ||||||
Citigroup, Inc. | 72,977 | 3,799,183 | ||||||
Citizens Financial Group, Inc. | 14,086 | 418,777 |
Number of Shares | Value | |||||||
Comerica, Inc. | 4,807 | $ | 330,193 | |||||
Fifth Third Bancorp | 19,417 | 456,882 | ||||||
First Republic Bank | 4,892 | 425,115 | ||||||
The Goldman Sachs Group, Inc. | 10,344 | 1,727,965 | ||||||
Huntington Bancshares, Inc. | 31,817 | 379,259 | ||||||
JP Morgan Chase & Co. | 99,347 | 9,698,254 | ||||||
KeyCorp | 30,725 | 454,116 | ||||||
M&T Bank Corp. | 4,196 | 600,573 | ||||||
Morgan Stanley | 39,117 | 1,550,989 | ||||||
Northern Trust Corp. | 6,632 | 554,369 | ||||||
The PNC Financial Services Group, Inc. | 13,801 | 1,613,475 | ||||||
Regions Financial Corp. | 30,730 | 411,167 | ||||||
State Street Corp. | 11,435 | 721,205 | ||||||
SunTrust Banks, Inc. | 13,438 | 677,813 | ||||||
SVB Financial Group (a) | 1,620 | 307,670 | ||||||
US Bancorp | 45,295 | �� | 2,069,981 | |||||
Wells Fargo & Co. | 126,574 | 5,832,530 | ||||||
Zions Bancorp NA | 5,831 | 237,555 | ||||||
|
| |||||||
41,261,131 | ||||||||
|
| |||||||
Diversified Financial Services — 4.0% |
| |||||||
Affiliated Managers Group, Inc. | 1,607 | 156,586 | ||||||
Alliance Data Systems Corp. | 1,426 | 214,014 | ||||||
American Express Co. | 20,886 | 1,990,854 | ||||||
Ameriprise Financial, Inc. | 4,117 | 429,691 | ||||||
BlackRock, Inc. | 3,622 | 1,422,794 | ||||||
Capital One Financial Corp. | 14,219 | 1,074,814 | ||||||
Cboe Global Markets, Inc. | 3,327 | 325,481 | ||||||
The Charles Schwab Corp. | 35,980 | 1,494,249 | ||||||
CME Group, Inc. | 10,690 | 2,011,003 | ||||||
Discover Financial Services | 10,026 | 591,334 | ||||||
E*TRADE Financial Corp. | 7,576 | 332,435 | ||||||
Franklin Resources, Inc. | 8,755 | 259,673 | ||||||
Intercontinental Exchange, Inc. | 17,004 | 1,280,911 | ||||||
Invesco Ltd. | 12,149 | 203,374 | ||||||
Jefferies Financial Group, Inc. | 8,536 | 148,185 | ||||||
Mastercard, Inc. Class A | 27,171 | 5,125,809 | ||||||
Nasdaq, Inc. | 3,457 | 281,988 | ||||||
Raymond James Financial, Inc. | 3,812 | 283,651 | ||||||
Synchrony Financial | 19,821 | 465,001 | ||||||
T. Rowe Price Group, Inc. | 7,144 | 659,534 | ||||||
Visa, Inc. Class A | 52,498 | 6,926,586 | ||||||
|
| |||||||
25,677,967 | ||||||||
|
| |||||||
Insurance — 4.2% |
| |||||||
Aflac, Inc. | 22,673 | 1,032,982 | ||||||
The Allstate Corp. | 10,269 | 848,527 | ||||||
American International Group, Inc. | 26,365 | 1,039,045 | ||||||
Aon PLC | 7,165 | 1,041,504 | ||||||
Arthur J Gallagher & Co. | 5,535 | 407,930 | ||||||
Assurant, Inc. | 1,567 | 140,152 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 58,122 | 11,867,350 | ||||||
Brighthouse Financial, Inc. (a) | 3,543 | 107,991 |
The accompanying notes are an integral part of the financial statements.
72
Table of Contents
MML Equity Index Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Chubb Ltd. | 13,777 | $ | 1,779,713 | |||||
Cincinnati Financial Corp. | 4,547 | 352,029 | ||||||
Everest Re Group Ltd. | 1,212 | 263,925 | ||||||
The Hartford Financial Services Group, Inc. | 10,593 | 470,859 | ||||||
Lincoln National Corp. | 6,469 | 331,924 | ||||||
Loews Corp. | 8,208 | 373,628 | ||||||
Marsh & McLennan Cos., Inc. | 15,007 | 1,196,808 | ||||||
MetLife, Inc. | 29,530 | 1,212,502 | ||||||
Principal Financial Group, Inc. | 7,878 | 347,971 | ||||||
The Progressive Corp. | 17,369 | 1,047,872 | ||||||
Prudential Financial, Inc. | 12,301 | 1,003,147 | ||||||
Torchmark Corp. | 3,125 | 232,906 | ||||||
The Travelers Cos., Inc. | 7,917 | 948,061 | ||||||
Unum Group | 6,543 | 192,233 | ||||||
Willis Towers Watson PLC | 3,900 | 592,254 | ||||||
|
| |||||||
26,831,313 | ||||||||
|
| |||||||
Real Estate — 0.1% |
| |||||||
CBRE Group, Inc. Class A (a) | 9,405 | 376,576 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 2.8% |
| |||||||
Alexandria Real Estate Equities, Inc. | 3,226 | 371,764 | ||||||
American Tower Corp. | 13,130 | 2,077,035 | ||||||
Apartment Investment & Management Co. Class A | 4,642 | 203,691 | ||||||
AvalonBay Communities, Inc. | 4,137 | 720,045 | ||||||
Boston Properties, Inc. | 4,646 | 522,907 | ||||||
Crown Castle International Corp. | 12,357 | 1,342,341 | ||||||
Digital Realty Trust, Inc. | 6,182 | 658,692 | ||||||
Duke Realty Corp. | 10,546 | 273,141 | ||||||
Equinix, Inc. | 2,403 | 847,202 | ||||||
Equity Residential | 11,029 | 728,024 | ||||||
Essex Property Trust, Inc. | 1,991 | 488,213 | ||||||
Extra Space Storage, Inc. | 3,834 | 346,900 | ||||||
Federal Realty Investment Trust | 2,243 | 264,764 | ||||||
HCP, Inc. | 14,311 | 399,706 | ||||||
Host Hotels & Resorts, Inc. | 21,918 | 365,373 | ||||||
Iron Mountain, Inc. | 8,603 | 278,823 | ||||||
Kimco Realty Corp. | 12,560 | 184,004 | ||||||
The Macerich Co. | 3,209 | 138,886 | ||||||
Mid-America Apartment Communities, Inc. | 3,360 | 321,552 | ||||||
Prologis, Inc. | 18,758 | 1,101,470 | ||||||
Public Storage | 4,479 | 906,594 | ||||||
Realty Income Corp. | 8,836 | 557,022 | ||||||
Regency Centers Corp. | 5,020 | 294,574 | ||||||
SBA Communications Corp. (a) | 3,406 | 551,397 | ||||||
Simon Property Group, Inc. | 9,213 | 1,547,692 | ||||||
SL Green Realty Corp. | 2,495 | 197,305 | ||||||
UDR, Inc. | 8,298 | 328,767 | ||||||
Ventas, Inc. | 10,697 | 626,737 | ||||||
Vornado Realty Trust | 5,113 | 317,159 | ||||||
Welltower, Inc. | 11,231 | 779,544 |
Number of Shares | Value | |||||||
Weyerhaeuser Co. | 22,254 | $ | 486,472 | |||||
|
| |||||||
18,227,796 | ||||||||
|
| |||||||
Savings & Loans — 0.0% |
| |||||||
People’s United Financial, Inc. | 11,079 | 159,870 | ||||||
|
| |||||||
112,534,653 | ||||||||
|
| |||||||
Industrial — 8.8% |
| |||||||
Aerospace & Defense — 2.3% |
| |||||||
Arconic, Inc. | 13,104 | 220,933 | ||||||
The Boeing Co. | 15,783 | 5,090,017 | ||||||
General Dynamics Corp. | 8,341 | 1,311,289 | ||||||
Harris Corp. | 3,512 | 472,891 | ||||||
L3 Technologies, Inc. | 2,375 | 412,442 | ||||||
Lockheed Martin Corp. | 7,376 | 1,931,332 | ||||||
Northrop Grumman Corp. | 5,189 | 1,270,786 | ||||||
Raytheon Co. | 8,496 | 1,302,862 | ||||||
TransDigm Group, Inc. (a) | 1,442 | 490,367 | ||||||
United Technologies Corp. | 24,272 | 2,584,483 | ||||||
|
| |||||||
15,087,402 | ||||||||
|
| |||||||
Building Materials — 0.3% |
| |||||||
Fortune Brands Home & Security, Inc. | 4,316 | 163,965 | ||||||
Johnson Controls International PLC | 27,710 | 821,601 | ||||||
Martin Marietta Materials, Inc. | 1,862 | 320,022 | ||||||
Masco Corp. | 9,183 | 268,511 | ||||||
Vulcan Materials Co. | 3,909 | 386,209 | ||||||
|
| |||||||
1,960,308 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.2% |
| |||||||
AMETEK, Inc. | 6,996 | 473,629 | ||||||
Emerson Electric Co. | 18,807 | 1,123,718 | ||||||
|
| |||||||
1,597,347 | ||||||||
|
| |||||||
Electronics — 1.3% |
| |||||||
Agilent Technologies, Inc. | 9,610 | 648,291 | ||||||
Allegion PLC | 2,809 | 223,905 | ||||||
Amphenol Corp. Class A | 9,039 | 732,340 | ||||||
Corning, Inc. | 24,107 | 728,272 | ||||||
FLIR Systems, Inc. | 4,059 | 176,729 | ||||||
Fortive Corp. | 8,834 | 597,708 | ||||||
Garmin Ltd. | 3,604 | 228,205 | ||||||
Honeywell International, Inc. | 22,092 | 2,918,795 | ||||||
Keysight Technologies, Inc. (a) | 5,570 | 345,786 | ||||||
Mettler-Toledo International, Inc. (a) | 751 | 424,751 | ||||||
PerkinElmer, Inc. | 3,272 | 257,016 | ||||||
TE Connectivity Ltd. | 10,219 | 772,863 | ||||||
Waters Corp. (a) | 2,263 | 426,915 | ||||||
|
| |||||||
8,481,576 | ||||||||
|
| |||||||
Engineering & Construction — 0.1% |
| |||||||
Fluor Corp. | 4,159 | 133,920 | ||||||
Jacobs Engineering Group, Inc. | 3,565 | 208,410 | ||||||
|
| |||||||
342,330 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
73
Table of Contents
MML Equity Index Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Environmental Controls — 0.3% |
| |||||||
Pentair PLC | 4,801 | $ | 181,382 | |||||
Republic Services, Inc. | 6,463 | 465,918 | ||||||
Waste Management, Inc. | 11,766 | 1,047,056 | ||||||
|
| |||||||
1,694,356 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.1% |
| |||||||
Snap-on, Inc. | 1,674 | 243,215 | ||||||
Stanley Black & Decker, Inc. | 4,481 | 536,555 | ||||||
|
| |||||||
779,770 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.3% |
| |||||||
Caterpillar, Inc. | 17,604 | 2,236,940 | ||||||
|
| |||||||
Machinery – Diversified — 0.7% |
| |||||||
Cummins, Inc. | 4,384 | 585,878 | ||||||
Deere & Co. | 9,631 | 1,436,656 | ||||||
Dover Corp. | 4,386 | 311,187 | ||||||
Flowserve Corp. | 3,870 | 147,137 | ||||||
Rockwell Automation, Inc. | 3,596 | 541,126 | ||||||
Roper Technologies, Inc. | 3,083 | 821,681 | ||||||
Xylem, Inc. | 5,322 | 355,084 | ||||||
|
| |||||||
4,198,749 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.4% |
| |||||||
3M Co. | 17,374 | 3,310,442 | ||||||
A.O. Smith Corp. | 4,291 | 183,226 | ||||||
Eaton Corp. PLC | 12,934 | 888,048 | ||||||
General Electric Co. | 259,929 | 1,967,662 | ||||||
Illinois Tool Works, Inc. | 9,159 | 1,160,354 | ||||||
Ingersoll-Rand PLC | 7,334 | 669,081 | ||||||
Parker-Hannifin Corp. | 3,933 | 586,568 | ||||||
Textron, Inc. | 7,176 | 330,024 | ||||||
|
| |||||||
9,095,405 | ||||||||
|
| |||||||
Packaging & Containers — 0.2% |
| |||||||
Ball Corp. | 10,115 | 465,088 | ||||||
Packaging Corp. of America | 2,791 | 232,937 | ||||||
Sealed Air Corp. | 4,766 | 166,047 | ||||||
WestRock Co. | 7,585 | 286,410 | ||||||
|
| |||||||
1,150,482 | ||||||||
|
| |||||||
Shipbuilding — 0.0% |
| |||||||
Huntington Ingalls Industries, Inc. | 1,277 | 243,026 | ||||||
|
| |||||||
Transportation — 1.6% |
| |||||||
C.H. Robinson Worldwide, Inc. | 4,118 | 346,282 | ||||||
CSX Corp. | 23,998 | 1,490,996 | ||||||
Expeditors International of Washington, Inc. | 5,166 | 351,753 | ||||||
FedEx Corp. | 7,230 | 1,166,416 | ||||||
J.B. Hunt Transport Services, Inc. | 2,615 | 243,299 | ||||||
Kansas City Southern | 3,035 | 289,691 | ||||||
Norfolk Southern Corp. | 8,148 | 1,218,452 | ||||||
Union Pacific Corp. | 21,981 | 3,038,434 | ||||||
United Parcel Service, Inc. Class B | 20,772 | 2,025,893 | ||||||
|
| |||||||
10,171,216 | ||||||||
|
| |||||||
57,038,907 | ||||||||
|
|
Number of Shares | Value | |||||||
Technology — 15.5% |
| |||||||
Computers — 4.9% |
| |||||||
Accenture PLC Class A | 19,021 | $ | 2,682,151 | |||||
Apple, Inc. | 134,674 | 21,243,477 | ||||||
Cognizant Technology Solutions Corp. Class A | 17,354 | 1,101,632 | ||||||
DXC Technology Co. | 8,315 | 442,109 | ||||||
Fortinet, Inc. (a) | 4,273 | 300,947 | ||||||
Hewlett Packard Enterprise Co. | 42,521 | 561,702 | ||||||
HP, Inc. | 47,492 | 971,686 | ||||||
International Business Machines Corp. | 27,127 | 3,083,526 | ||||||
NetApp, Inc. | 7,530 | 449,315 | ||||||
Seagate Technology PLC | 7,769 | 299,806 | ||||||
Western Digital Corp. | 8,664 | 320,308 | ||||||
|
| |||||||
31,456,659 | ||||||||
|
| |||||||
Office & Business Equipment — 0.0% |
| |||||||
Xerox Corp. | 6,162 | 121,761 | ||||||
|
| |||||||
Semiconductors — 3.7% |
| |||||||
Advanced Micro Devices, Inc. (a) | 26,286 | 485,240 | ||||||
Analog Devices, Inc. | 11,079 | 950,911 | ||||||
Applied Materials, Inc. | 29,229 | 956,957 | ||||||
Broadcom, Inc. | 12,352 | 3,140,867 | ||||||
Intel Corp. | 136,341 | 6,398,483 | ||||||
IPG Photonics Corp. (a) | 1,049 | 118,841 | ||||||
KLA-Tencor Corp. | 4,610 | 412,549 | ||||||
Lam Research Corp. | 4,615 | 628,425 | ||||||
Maxim Integrated Products, Inc. | 8,257 | 419,868 | ||||||
Microchip Technology, Inc. | 7,091 | 509,985 | ||||||
Micron Technology, Inc. (a) | 33,479 | 1,062,289 | ||||||
NVIDIA Corp. | 18,227 | 2,433,304 | ||||||
Qorvo, Inc. (a) | 3,741 | 227,191 | ||||||
QUALCOMM, Inc. | 36,211 | 2,060,768 | ||||||
Skyworks Solutions, Inc. | 5,270 | 353,195 | ||||||
Texas Instruments, Inc. | 28,694 | 2,711,583 | ||||||
Xilinx, Inc. | 7,607 | 647,888 | ||||||
|
| |||||||
23,518,344 | ||||||||
|
| |||||||
Software — 6.9% |
| |||||||
Activision Blizzard, Inc. | 22,888 | 1,065,894 | ||||||
Adobe, Inc. (a) | 14,566 | 3,295,412 | ||||||
Akamai Technologies, Inc. (a) | 4,877 | 297,887 | ||||||
ANSYS, Inc. (a) | 2,485 | 355,206 | ||||||
Autodesk, Inc. (a) | 6,558 | 843,424 | ||||||
Broadridge Financial Solutions, Inc. | 3,487 | 335,624 | ||||||
Cadence Design Systems, Inc. (a) | 8,339 | 362,580 | ||||||
Cerner Corp. (a) | 9,795 | 513,650 | ||||||
Citrix Systems, Inc. | 3,808 | 390,168 | ||||||
Electronic Arts, Inc. (a) | 9,075 | 716,108 | ||||||
Fidelity National Information Services, Inc. | 9,790 | 1,003,964 | ||||||
Fiserv, Inc. (a) | 11,848 | 870,709 | ||||||
Intuit, Inc. | 7,762 | 1,527,950 |
The accompanying notes are an integral part of the financial statements.
74
Table of Contents
MML Equity Index Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Jack Henry & Associates, Inc. | 2,294 | $ | 290,237 | |||||
Microsoft Corp. | 230,900 | 23,452,513 | ||||||
MSCI, Inc. | 2,633 | 388,183 | ||||||
Oracle Corp. | 76,124 | 3,436,999 | ||||||
Paychex, Inc. | 9,613 | 626,287 | ||||||
Red Hat, Inc. (a) | 5,312 | 933,000 | ||||||
salesforce.com, Inc. (a) | 22,863 | 3,131,545 | ||||||
Synopsys, Inc. (a) | 4,408 | 371,330 | ||||||
Take-Two Interactive Software, Inc. (a) | 3,383 | 348,246 | ||||||
|
| |||||||
44,556,916 | ||||||||
|
| |||||||
99,653,680 | ||||||||
|
| |||||||
Utilities — 3.3% |
| |||||||
Electric — 3.1% |
| |||||||
AES Corp. | 19,562 | 282,867 | ||||||
Alliant Energy Corp. | 7,077 | 299,003 | ||||||
Ameren Corp. | 7,355 | 479,767 | ||||||
American Electric Power Co., Inc. | 14,736 | 1,101,369 | ||||||
CenterPoint Energy, Inc. | 14,979 | 422,857 | ||||||
CMS Energy Corp. | 8,549 | 424,458 | ||||||
Consolidated Edison, Inc. | 9,315 | 712,225 | ||||||
Dominion Energy, Inc. | 19,592 | 1,400,044 | ||||||
DTE Energy Co. | 5,455 | 601,687 | ||||||
Duke Energy Corp. | 21,229 | 1,832,063 | ||||||
Edison International | 9,811 | 556,970 | ||||||
Entergy Corp. | 5,462 | 470,114 | ||||||
Evergy, Inc. | 7,812 | 443,487 | ||||||
Eversource Energy | 9,522 | 619,311 | ||||||
Exelon Corp. | 28,780 | 1,297,978 | ||||||
FirstEnergy Corp. | 14,513 | 544,963 | ||||||
NextEra Energy, Inc. | 14,262 | 2,479,021 | ||||||
NRG Energy, Inc. | 8,684 | 343,886 | ||||||
PG&E Corp. (a) | 15,709 | 373,089 | ||||||
Pinnacle West Capital Corp. | 3,311 | 282,097 | ||||||
PPL Corp. | 21,525 | 609,803 | ||||||
Public Service Enterprise Group, Inc. | 15,131 | 787,569 | ||||||
SCANA Corp. | 4,219 | 201,584 | ||||||
Sempra Energy | 8,144 | 881,099 | ||||||
The Southern Co. | 30,704 | 1,348,520 | ||||||
WEC Energy Group, Inc. | 9,472 | 656,031 | ||||||
Xcel Energy, Inc. | 15,287 | 753,190 | ||||||
|
| |||||||
20,205,052 | ||||||||
|
| |||||||
Gas — 0.1% |
| |||||||
NiSource, Inc. | 10,907 | 276,492 | ||||||
|
| |||||||
Water — 0.1% |
| |||||||
American Water Works Co., Inc. | 5,383 | 488,615 | ||||||
|
| |||||||
20,970,159 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $414,719,691) | 628,586,143 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $414,719,691) | 628,586,143 | |||||||
|
|
Number of Shares | Value | |||||||
MUTUAL FUNDS — 0.0% |
| |||||||
Diversified Financial Services — 0.0% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 293,386 | $ | 293,386 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $293,386) | 293,386 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $415,013,077) | 628,879,529 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 2.3% |
| |||||||
Repurchase Agreement — 2.1% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (d) | $ | 13,640,791 | 13,640,791 | |||||
|
| |||||||
U.S. Treasury Bill — 0.2% |
| |||||||
U.S. Treasury Bill | 1,085,000 | 1,084,457 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $14,725,223) | 14,725,248 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% (Cost $429,738,300) (f) | 643,604,777 | |||||||
|
| |||||||
Other Assets/(Liabilities) — 0.1% | 744,153 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 644,348,930 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $286,485 or 0.04% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(c) | Represents investment of security lending collateral. (Note 2). |
(d) | Maturity value of $13,641,739. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $13,916,574. |
(e) | A portion of this security is pledged/held as collateral for open futures contracts. (Note 2). |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
75
Table of Contents
MML Equity Index Fund – Portfolio of Investments(Continued)
Futures contracts at December 31, 2018:
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Long | ||||||||||||||||
S&P 500E-Mini Index | 3/15/19 | 122 | $ | 15,862,590 | $ | (580,870 | ) | |||||||||
|
|
The accompanying notes are an integral part of the financial statements.
76
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 98.2% |
| |||||||
COMMON STOCK — 98.2% |
| |||||||
Basic Materials — 2.7% |
| |||||||
Chemicals — 2.7% |
| |||||||
Linde PLC | 10,376 | $ | 1,619,071 | |||||
|
| |||||||
Consumer, Cyclical — 14.9% |
| |||||||
Apparel — 4.0% |
| |||||||
NIKE, Inc. Class B | 32,218 | 2,388,642 | ||||||
|
| |||||||
Retail — 10.9% |
| |||||||
Costco Wholesale Corp. | 6,590 | 1,342,449 | ||||||
McDonald’s Corp. | 15,098 | 2,680,952 | ||||||
The TJX Cos., Inc. | 53,889 | 2,410,994 | ||||||
|
| |||||||
6,434,395 | ||||||||
|
| |||||||
8,823,037 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 31.6% |
| |||||||
Beverages — 12.8% |
| |||||||
The Coca-Cola Co. | 55,932 | 2,648,380 | ||||||
Diageo PLC | 66,710 | 2,371,108 | ||||||
PepsiCo, Inc. | 22,866 | 2,526,236 | ||||||
|
| |||||||
7,545,724 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 3.7% |
| |||||||
Colgate-Palmolive Co. | 37,052 | 2,205,335 | ||||||
|
| |||||||
Health Care – Products — 6.8% |
| |||||||
Danaher Corp. | 12,920 | 1,332,311 | ||||||
Medtronic PLC | 29,592 | 2,691,688 | ||||||
|
| |||||||
4,023,999 | ||||||||
|
| |||||||
Health Care – Services — 2.0% |
| |||||||
UnitedHealth Group, Inc. | 4,796 | 1,194,779 | ||||||
|
| |||||||
Pharmaceuticals — 6.3% |
| |||||||
Bristol-Myers Squibb Co. | 46,118 | 2,397,214 | ||||||
Johnson & Johnson | 10,440 | 1,347,282 | ||||||
|
| |||||||
3,744,496 | ||||||||
|
| |||||||
18,714,333 | ||||||||
|
| |||||||
Financial — 25.5% |
| |||||||
Banks — 3.8% |
| |||||||
The PNC Financial Services Group, Inc. | 19,060 | 2,228,305 | ||||||
|
| |||||||
Diversified Financial Services — 7.0% |
| |||||||
American Express Co. | 24,972 | 2,380,331 | ||||||
Visa, Inc. Class A | 13,490 | 1,779,871 | ||||||
|
| |||||||
4,160,202 | ||||||||
|
| |||||||
Insurance — 6.8% |
| |||||||
Chubb Ltd. | 18,395 | 2,376,266 | ||||||
Marsh & McLennan Cos., Inc. | 20,554 | 1,639,181 | ||||||
|
| |||||||
4,015,447 | ||||||||
|
|
Number of Shares | Value | |||||||
Real Estate Investment Trusts (REITS) — 7.9% |
| |||||||
American Tower Corp. | 15,804 | $ | 2,500,035 | |||||
Public Storage | 10,913 | 2,208,900 | ||||||
|
| |||||||
4,708,935 | ||||||||
|
| |||||||
15,112,889 | ||||||||
|
| |||||||
Industrial — 17.2% |
| |||||||
Aerospace & Defense — 5.2% |
| |||||||
General Dynamics Corp. | 10,418 | 1,637,814 | ||||||
Lockheed Martin Corp. | 5,613 | 1,469,708 | ||||||
|
| |||||||
3,107,522 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 2.2% |
| |||||||
3M Co. | 6,968 | 1,327,683 | ||||||
|
| |||||||
Transportation — 9.8% |
| |||||||
Canadian National Railway Co. | 31,950 | 2,366,294 | ||||||
Union Pacific Corp. | 16,138 | 2,230,756 | ||||||
United Parcel Service, Inc. Class B | 12,150 | 1,184,989 | ||||||
|
| |||||||
5,782,039 | ||||||||
|
| |||||||
10,217,244 | ||||||||
|
| |||||||
Technology — 6.3% |
| |||||||
Computers — 3.3% |
| |||||||
Accenture PLC Class A | 13,697 | 1,931,414 | ||||||
|
| |||||||
Software — 3.0% |
| |||||||
Microsoft Corp. | 17,587 | 1,786,311 | ||||||
|
| |||||||
3,717,725 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $57,013,440) | 58,204,299 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $57,013,440) | 58,204,299 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $57,013,440) | 58,204,299 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 2.8% |
| |||||||
Repurchase Agreement — 2.8% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (a) | $ | 1,658,198 | 1,658,198 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,658,198) | 1,658,198 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.0% (Cost $58,671,638) (b) | 59,862,497 | |||||||
Other Assets/(Liabilities) — (1.0)% | (606,576 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 59,255,921 | ||||||
|
| |||||||
|
|
The accompanying notes are an integral part of the financial statements.
77
Table of Contents
MML Focused Equity Fund – Portfolio of Investments(Continued)
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Maturity value of $1,658,313. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $1,694,840. |
(b) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States | 75.7 | % | ||
Ireland | 10.5 | % | ||
Switzerland | 4.0 | % | ||
United Kingdom | 4.0 | % | ||
Canada | 4.0 | % | ||
|
| |||
Total Long-Term Investments | 98.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.8 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
78
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 95.4% |
| |||||||
COMMON STOCK — 95.4% |
| |||||||
Canada — 1.7% |
| |||||||
Alamos Gold, Inc. Class A (a) | 306,210 | $ | 1,102,356 | |||||
Husky Energy, Inc. | 207,400 | 2,143,579 | ||||||
Wheaton Precious Metals Corp. | 96,200 | 1,877,915 | ||||||
|
| |||||||
5,123,850 | ||||||||
|
| |||||||
Cayman Islands — 4.2% |
| |||||||
Baidu, Inc. Sponsored ADR (b) | 20,070 | 3,183,102 | ||||||
CK Asset Holdings Ltd. | 452,254 | 3,288,684 | ||||||
CK Hutchison Holdings Ltd. | 487,254 | 4,656,341 | ||||||
NetEase, Inc. ADR | 7,300 | 1,718,201 | ||||||
|
| |||||||
12,846,328 | ||||||||
|
| |||||||
China — 3.7% |
| |||||||
China Life Insurance Co. Ltd. Class H | 1,467,000 | 3,102,160 | ||||||
China Telecom Corp. Ltd. Class H | 11,037,643 | 5,616,485 | ||||||
Sinopharm Group Co. Ltd. Class H | 568,800 | 2,381,684 | ||||||
|
| |||||||
11,100,329 | ||||||||
|
| |||||||
Denmark — 1.7% |
| |||||||
Vestas Wind Systems A/S | 66,972 | 5,085,122 | ||||||
|
| |||||||
France — 10.6% |
| |||||||
AXA SA | 181,650 | 3,913,761 | ||||||
BNP Paribas SA | 137,593 | 6,196,940 | ||||||
Cie de Saint-Gobain | 84,080 | 2,798,631 | ||||||
Cie Generale des Etablissements Michelin SCA | 27,433 | 2,712,279 | ||||||
Credit Agricole SA | 112,057 | 1,205,295 | ||||||
Sanofi | 74,190 | 6,411,428 | ||||||
Total SA | 84,719 | 4,475,537 | ||||||
Veolia Environnement SA | 223,170 | 4,577,656 | ||||||
|
| |||||||
32,291,527 | ||||||||
|
| |||||||
Germany — 10.9% |
| |||||||
Bayer AG Registered | 60,663 | 4,206,442 | ||||||
E.ON SE | 486,062 | 4,805,460 | ||||||
HeidelbergCement AG | 46,022 | 2,814,613 | ||||||
Infineon Technologies AG | 241,765 | 4,810,811 | ||||||
LANXESS AG | 59,730 | 2,751,145 | ||||||
Merck KGaA | 50,900 | 5,251,795 | ||||||
Siemens AG Registered | 42,985 | 4,794,085 | ||||||
Telefonica Deutschland Holding AG | 930,975 | 3,642,697 | ||||||
|
| |||||||
33,077,048 | ||||||||
|
| |||||||
Hong Kong — 2.8% |
| |||||||
AIA Group Ltd. | 485,200 | 3,991,381 | ||||||
China Mobile Ltd. | 480,000 | 4,625,864 | ||||||
|
| |||||||
8,617,245 | ||||||||
|
| |||||||
Ireland — 2.3% |
| |||||||
Bank of Ireland Group PLC | 572,268 | 3,176,085 |
Number of Shares | Value | |||||||
CRH PLC | 141,012 | $ | 3,717,143 | |||||
|
| |||||||
6,893,228 | ||||||||
|
| |||||||
Israel — 1.5% |
| |||||||
Teva Pharmaceutical Industries Ltd. Sponsored ADR | 295,568 | 4,557,659 | ||||||
|
| |||||||
Italy — 2.4% |
| |||||||
Eni SpA | 350,704 | 5,522,937 | ||||||
UniCredit SpA | 160,689 | 1,822,844 | ||||||
|
| |||||||
7,345,781 | ||||||||
|
| |||||||
Japan — 10.8% |
| |||||||
Astellas Pharma, Inc. | 356,700 | 4,539,409 | ||||||
IHI Corp. | 45,800 | 1,257,162 | ||||||
Mitsui Fudosan Co. Ltd. | 173,300 | 3,839,874 | ||||||
Omron Corp. | 61,600 | 2,220,255 | ||||||
Panasonic Corp. | 345,400 | 3,099,164 | ||||||
Ryohin Keikaku Co. Ltd. | 7,400 | 1,800,935 | ||||||
Seven & i Holdings Co. Ltd. | 92,500 | 4,027,671 | ||||||
SoftBank Group Corp. | 19,500 | 1,285,338 | ||||||
Sumitomo Metal Mining Co. Ltd. | 44,200 | 1,175,586 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 67,000 | 2,209,448 | ||||||
Sumitomo Rubber Industries Ltd. | 121,700 | 1,448,372 | ||||||
Suntory Beverage & Food Ltd. | 129,100 | 5,827,002 | ||||||
|
| |||||||
32,730,216 | ||||||||
|
| |||||||
Luxembourg — 1.6% |
| |||||||
SES SA | 246,017 | 4,712,175 | ||||||
|
| |||||||
Netherlands — 5.9% |
| |||||||
Akzo Nobel NV | 32,182 | 2,586,872 | ||||||
ING Groep NV | 405,315 | 4,343,690 | ||||||
NN Group NV | 63,590 | 2,526,093 | ||||||
NXP Semiconductor NV | 45,500 | 3,334,240 | ||||||
QIAGEN NV (b) | 81,562 | 2,781,124 | ||||||
SBM Offshore NV | 159,233 | 2,357,389 | ||||||
|
| |||||||
17,929,408 | ||||||||
|
| |||||||
Norway — 1.0% |
| |||||||
Yara International ASA | 77,872 | 2,989,014 | ||||||
|
| |||||||
Republic of Korea — 4.7% |
| |||||||
Hana Financial Group, Inc. | 79,353 | 2,575,063 | ||||||
KB Financial Group, Inc. ADR (a) (b) | 88,116 | 3,699,110 | ||||||
Samsung Electronics Co. Ltd. | 235,300 | 8,141,538 | ||||||
|
| |||||||
14,415,711 | ||||||||
|
| |||||||
Singapore — 1.6% |
| |||||||
Singapore Telecommunications Ltd. | 2,216,600 | 4,754,568 | ||||||
|
| |||||||
Sweden — 0.4% |
| |||||||
Getinge AB Class B | 146,444 | 1,328,229 | ||||||
|
| |||||||
Switzerland — 6.3% |
| |||||||
Landis+Gyr Group AG (a) | 25,523 | 1,436,056 |
The accompanying notes are an integral part of the financial statements.
79
Table of Contents
MML Foreign Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Novartis AG Registered | 59,896 | $ | 5,129,995 | |||||
Roche Holding AG | 27,562 | 6,815,373 | ||||||
UBS Group AG Registered | 457,256 | 5,707,909 | ||||||
|
| |||||||
19,089,333 | ||||||||
|
| |||||||
Taiwan — 1.5% |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 641,275 | 4,655,193 | ||||||
|
| |||||||
Thailand — 1.5% |
| |||||||
Bangkok Bank PCL Foreign Registered | 709,700 | 4,517,788 | ||||||
|
| |||||||
United Kingdom — 18.3% |
| |||||||
BAE Systems PLC | 321,284 | 1,875,181 | ||||||
BP PLC | 1,281,535 | 8,085,746 | ||||||
Cobham PLC (b) | 1,698,528 | 2,108,518 | ||||||
HSBC Holdings PLC | 578,800 | 4,770,173 | ||||||
Johnson Matthey PLC | 96,470 | 3,441,947 | ||||||
Kingfisher PLC | 1,267,063 | 3,352,139 | ||||||
Royal Dutch Shell PLC Class A | 2,397 | 70,353 | ||||||
Royal Dutch Shell PLC Class B | 270,523 | 8,049,890 | ||||||
Shire PLC | 162,615 | 9,450,362 | ||||||
Standard Chartered PLC | 981,823 | 7,589,172 | ||||||
Travis Perkins PLC | 149,165 | 2,023,982 | ||||||
Vodafone Group PLC Sponsored ADR | 236,983 | 4,569,032 | ||||||
|
| |||||||
55,386,495 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $301,990,325) | 289,446,247 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $301,990,325) | 289,446,247 | |||||||
|
| |||||||
MUTUAL FUNDS — 0.4% |
| |||||||
United States — 0.4% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 1,400,448 | 1,400,448 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,400,448) | 1,400,448 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $303,390,773) | 290,846,695 | |||||||
|
|
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 4.2% |
| |||||||
Repurchase Agreement — 4.2% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (d) | $ | 12,665,502 | $ | 12,665,502 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $12,665,502) | 12,665,502 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% (Cost $316,056,275) (e) | 303,512,197 | |||||||
Other Assets/(Liabilities) — (0.0)% | (151,396 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 303,360,801 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $1,346,978 or 0.44% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers.(Note 2). |
(b) | Non-income producing security. |
(c) | Represents investment of security lending collateral.(Note 2). |
(d) | Maturity value of $12,666,382. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $12,922,533. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
Sector weightings, as a percentage of net assets, is as follows:
Financial | 22.5 | % | ||
Consumer,Non-cyclical | 20.6 | % | ||
Energy | 12.3 | % | ||
Communications | 10.7 | % | ||
Technology | 7.5 | % | ||
Industrial | 7.1 | % | ||
Basic Materials | 5.2 | % | ||
Consumer, Cyclical | 4.8 | % | ||
Utilities | 3.1 | % | ||
Diversified | 1.5 | % | ||
Mutual Funds | 0.5 | % | ||
|
| |||
Total Long-Term Investments | 95.8 | % | ||
Short-Term Investments and Other Assets and Liabilities | 4.2 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
80
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December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 96.5% |
| |||||||
COMMON STOCK — 96.5% |
| |||||||
Basic Materials — 1.0% |
| |||||||
Chemicals — 1.0% |
| |||||||
CF Industries Holdings, Inc. | 22,556 | $ | 981,412 | |||||
|
| |||||||
Communications — 16.7% |
| |||||||
Internet — 13.1% |
| |||||||
Alphabet, Inc. Class C (a) | 5,897 | 6,106,992 | ||||||
Amazon.com, Inc. (a) | 2,708 | 4,067,335 | ||||||
Booking Holdings, Inc. (a) | 859 | 1,479,559 | ||||||
Facebook, Inc. Class A (a) | 1,801 | 236,093 | ||||||
VeriSign, Inc. (a) | 8,611 | 1,276,925 | ||||||
|
| |||||||
13,166,904 | ||||||||
|
| |||||||
Media — 0.3% |
| |||||||
FactSet Research Systems, Inc. | 1,735 | 347,226 | ||||||
|
| |||||||
Telecommunications — 3.3% |
| |||||||
Cisco Systems, Inc. | 30,789 | 1,334,087 | ||||||
Verizon Communications, Inc. | 34,581 | 1,944,144 | ||||||
|
| |||||||
3,278,231 | ||||||||
|
| |||||||
16,792,361 | ||||||||
|
| |||||||
Consumer, Cyclical — 11.5% |
| |||||||
Apparel — 1.3% |
| |||||||
NIKE, Inc. Class B | 17,964 | 1,331,851 | ||||||
|
| |||||||
Retail — 10.2% |
| |||||||
AutoZone, Inc. (a) | 1,745 | 1,462,903 | ||||||
The Home Depot, Inc. | 12,783 | 2,196,375 | ||||||
Lowe’s Cos., Inc. | 12,499 | 1,154,408 | ||||||
McDonald’s Corp. | 11,775 | 2,090,887 | ||||||
O’Reilly Automotive, Inc. (a) | 3,609 | 1,242,687 | ||||||
Ross Stores, Inc. | 11,939 | 993,325 | ||||||
The TJX Cos., Inc. | 24,380 | 1,090,761 | ||||||
|
| |||||||
10,231,346 | ||||||||
|
| |||||||
11,563,197 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 24.6% |
| |||||||
Beverages — 0.4% |
| |||||||
Monster Beverage Corp. (a) | 9,212 | 453,415 | ||||||
|
| |||||||
Biotechnology — 4.9% |
| |||||||
Amgen, Inc. | 11,056 | 2,152,271 | ||||||
Biogen, Inc. (a) | 4,868 | 1,464,879 | ||||||
Gilead Sciences, Inc. | 20,898 | 1,307,170 | ||||||
|
| |||||||
4,924,320 | ||||||||
|
| |||||||
Commercial Services — 7.8% |
| |||||||
Experian PLC | 29,117 | 707,681 | ||||||
FleetCor Technologies, Inc. (a) | 6,249 | 1,160,564 | ||||||
Gartner, Inc. (a) | 2,354 | 300,935 | ||||||
Global Payments, Inc. | 13,683 | 1,411,128 | ||||||
IHS Markit Ltd. (a) | 21,990 | 1,054,860 |
Number of Shares | Value | |||||||
PayPal Holdings, Inc. (a) | 16,570 | $ | 1,393,371 | |||||
S&P Global, Inc. | 6,235 | 1,059,576 | ||||||
Worldpay, Inc. Class A (a) | 9,871 | 754,441 | ||||||
|
| |||||||
7,842,556 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 2.3% |
| |||||||
The Procter & Gamble Co. | 24,824 | 2,281,822 | ||||||
|
| |||||||
Health Care – Products — 4.6% |
| |||||||
Baxter International, Inc. | 17,271 | 1,136,777 | ||||||
Danaher Corp. | 11,197 | 1,154,635 | ||||||
Edwards Lifesciences Corp. (a) | 6,783 | 1,038,952 | ||||||
Thermo Fisher Scientific, Inc. | 5,851 | 1,309,395 | ||||||
|
| |||||||
4,639,759 | ||||||||
|
| |||||||
Health Care – Services — 2.5% |
| |||||||
Anthem, Inc. | 6,117 | 1,606,508 | ||||||
ICON PLC (a) | 7,205 | 930,958 | ||||||
|
| |||||||
2,537,466 | ||||||||
|
| |||||||
Pharmaceuticals — 2.1% |
| |||||||
Bristol-Myers Squibb Co. | 22,851 | 1,187,795 | ||||||
CVS Health Corp. | 13,362 | 875,478 | ||||||
|
| |||||||
2,063,273 | ||||||||
|
| |||||||
24,742,611 | ||||||||
|
| |||||||
Energy — 1.2% |
| |||||||
Oil & Gas — 1.2% |
| |||||||
BP PLC Sponsored ADR | 11,799 | 447,418 | ||||||
Chevron Corp. | 7,250 | 788,727 | ||||||
|
| |||||||
1,236,145 | ||||||||
|
| |||||||
Financial — 11.9% |
| |||||||
Diversified Financial Services — 9.8% |
| |||||||
American Express Co. | 15,501 | 1,477,555 | ||||||
Intercontinental Exchange, Inc. | 21,313 | 1,605,508 | ||||||
Mastercard, Inc. Class A | 13,517 | 2,549,982 | ||||||
TD Ameritrade Holding Corp. | 21,877 | 1,071,098 | ||||||
Visa, Inc. Class A | 23,987 | 3,164,845 | ||||||
|
| |||||||
9,868,988 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 2.1% |
| |||||||
American Tower Corp. | 13,472 | 2,131,136 | ||||||
|
| |||||||
12,000,124 | ||||||||
|
| |||||||
Industrial — 5.2% |
| |||||||
Aerospace & Defense — 1.0% |
| |||||||
Raytheon Co. | 6,533 | 1,001,836 | ||||||
|
| |||||||
Electrical Components & Equipment — 0.7% |
| |||||||
Emerson Electric Co. | 11,803 | 705,229 | ||||||
|
| |||||||
Electronics — 0.7% |
| |||||||
Fortive Corp. | 10,609 | 717,805 | ||||||
|
| |||||||
Machinery – Diversified — 1.1% |
| |||||||
Roper Technologies, Inc. | 4,244 | 1,131,111 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
81
Table of Contents
MML Fundamental Growth Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Transportation — 1.7% |
| |||||||
Expeditors International of Washington, Inc. | 7,558 | $ | 514,624 | |||||
Norfolk Southern Corp. | 7,728 | 1,155,645 | ||||||
|
| |||||||
1,670,269 | ||||||||
|
| |||||||
5,226,250 | ||||||||
|
| |||||||
Technology — 24.4% |
| |||||||
Computers — 7.5% |
| |||||||
Apple, Inc. | 25,869 | 4,080,576 | ||||||
Check Point Software Technologies Ltd. (a) | 15,678 | 1,609,347 | ||||||
Fortinet, Inc. (a) | 9,184 | 646,829 | ||||||
NetApp, Inc. | 19,233 | 1,147,633 | ||||||
|
| |||||||
7,484,385 | ||||||||
|
| |||||||
Software — 16.9% |
| |||||||
Adobe, Inc. (a) | 7,109 | 1,608,340 | ||||||
Electronic Arts, Inc. (a) | 6,821 | 538,245 | ||||||
Fiserv, Inc. (a) | 8,072 | 593,211 | ||||||
Guidewire Software, Inc. (a) | 4,436 | 355,900 | ||||||
Intuit, Inc. | 6,943 | 1,366,730 | ||||||
Microsoft Corp. | 79,264 | 8,050,845 | ||||||
salesforce.com, Inc. (a) | 15,646 | 2,143,033 | ||||||
ServiceNow, Inc. (a) | 2,806 | 499,608 | ||||||
SS&C Technologies Holdings, Inc | 18,175 | 819,874 | ||||||
VMware, Inc. Class A | 7,677 | 1,052,747 | ||||||
|
| |||||||
17,028,533 | ||||||||
|
| |||||||
24,512,918 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $88,281,696) | 97,055,018 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $88,281,696) | 97,055,018 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $88,281,696) | 97,055,018 | |||||||
|
|
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 4.2% |
| |||||||
Repurchase Agreement — 4.2% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (b) | $ | 4,245,256 | $ | 4,245,256 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,245,256) | 4,245,256 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.7% (Cost $92,526,952) (c) | 101,300,274 | |||||||
Other Assets/(Liabilities) — (0.7)% | (753,692 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 100,546,582 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Maturity value of $4,245,551. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $4,334,019. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
82
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 99.0% |
| |||||||
COMMON STOCK — 99.0% |
| |||||||
Basic Materials — 3.0% |
| |||||||
Chemicals — 3.0% |
| |||||||
DowDuPont, Inc. | 60,060 | $ | 3,212,009 | |||||
FMC Corp. | 29,570 | 2,186,997 | ||||||
|
| |||||||
5,399,006 | ||||||||
|
| |||||||
Communications — 10.1% |
| |||||||
Media — 3.3% |
| |||||||
Comcast Corp. Class A | 145,160 | 4,942,698 | ||||||
Viacom, Inc. Class B | 43,110 | 1,107,927 | ||||||
|
| |||||||
6,050,625 | ||||||||
|
| |||||||
Telecommunications — 6.8% |
| |||||||
Cisco Systems, Inc. | 112,810 | 4,888,058 | ||||||
Nokia OYJ Sponsored ADR | 374,710 | 2,180,812 | ||||||
Verizon Communications, Inc. | 93,600 | 5,262,192 | ||||||
|
| |||||||
12,331,062 | ||||||||
|
| |||||||
18,381,687 | ||||||||
|
| |||||||
Consumer, Cyclical — 4.2% |
| |||||||
Apparel — 0.4% |
| |||||||
Skechers U.S.A., Inc. Class A (a) | 33,360 | 763,610 | ||||||
|
| |||||||
Housewares — 0.5% |
| |||||||
Newell Brands, Inc. | 49,900 | 927,641 | ||||||
|
| |||||||
Lodging — 1.1% |
| |||||||
Hilton Worldwide Holdings, Inc. | 27,690 | 1,988,142 | ||||||
|
| |||||||
Retail — 2.2% |
| |||||||
The Home Depot, Inc. | 11,660 | 2,003,421 | ||||||
Qurate Retail, Inc. (a) | 99,840 | 1,948,877 | ||||||
|
| |||||||
3,952,298 | ||||||||
|
| |||||||
7,631,691 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 22.6% |
| |||||||
Agriculture — 1.7% |
| |||||||
Philip Morris International, Inc. | 46,310 | 3,091,656 | ||||||
|
| |||||||
Cosmetics & Personal Care — 1.1% |
| |||||||
Unilever NV NY Shares | 36,690 | 1,973,922 | ||||||
|
| |||||||
Foods — 3.4% |
| |||||||
The Kraft Heinz Co. | 47,866 | 2,060,153 | ||||||
Mondelez International, Inc. Class A | 53,120 | 2,126,393 | ||||||
US Foods Holding Corp. (a) | 63,750 | 2,017,050 | ||||||
|
| |||||||
6,203,596 | ||||||||
|
| |||||||
Health Care – Products — 4.2% |
| |||||||
Koninklijke Philips NV Sponsored ADR | 59,570 | 2,091,503 | ||||||
Medtronic PLC | 38,129 | 3,468,214 | ||||||
Zimmer Biomet Holdings, Inc. | 19,030 | 1,973,791 | ||||||
|
| |||||||
7,533,508 | ||||||||
|
|
Number of Shares | Value | |||||||
Health Care – Services — 2.8% |
| |||||||
Anthem, Inc. | 11,100 | $ | 2,915,193 | |||||
UnitedHealth Group, Inc. | 8,850 | 2,204,712 | ||||||
|
| |||||||
5,119,905 | ||||||||
|
| |||||||
Pharmaceuticals — 9.4% |
| |||||||
Allergan PLC | 13,440 | 1,796,390 | ||||||
AstraZeneca PLC Sponsored ADR | 61,030 | 2,317,919 | ||||||
Bristol-Myers Squibb Co. | 45,720 | 2,376,526 | ||||||
Eli Lilly & Co. | 26,960 | 3,119,811 | ||||||
Merck & Co., Inc. | 61,240 | 4,679,349 | ||||||
Roche Holding AG | 11,531 | 2,851,319 | ||||||
|
| |||||||
17,141,314 | ||||||||
|
| |||||||
41,063,901 | ||||||||
|
| |||||||
Energy — 10.6% |
| |||||||
Oil & Gas — 9.7% |
| |||||||
Canadian Natural Resources Ltd. | 80,390 | 1,939,810 | ||||||
Chevron Corp. | 48,980 | 5,328,534 | ||||||
Concho Resources, Inc. (a) | 17,630 | 1,812,188 | ||||||
EOG Resources, Inc. | 31,680 | 2,762,813 | ||||||
Exxon Mobil Corp. | 31,110 | 2,121,391 | ||||||
Occidental Petroleum Corp. | 34,340 | 2,107,789 | ||||||
Pioneer Natural Resources Co. | 12,040 | 1,583,501 | ||||||
|
| |||||||
17,656,026 | ||||||||
|
| |||||||
Oil & Gas Services — 0.9% |
| |||||||
Halliburton Co. | 56,630 | 1,505,226 | ||||||
|
| |||||||
19,161,252 | ||||||||
|
| |||||||
Financial — 26.6% |
| |||||||
Banks — 15.4% |
| |||||||
Bank of America Corp. | 229,990 | 5,666,954 | ||||||
Citigroup, Inc. | 79,920 | 4,160,635 | ||||||
JP Morgan Chase & Co. | 79,630 | 7,773,481 | ||||||
M&T Bank Corp. | 16,110 | 2,305,824 | ||||||
The PNC Financial Services Group, Inc. | 33,060 | 3,865,045 | ||||||
Wells Fargo & Co. | 90,140 | 4,153,651 | ||||||
|
| |||||||
27,925,590 | ||||||||
|
| |||||||
Diversified Financial Services — 2.2% |
| |||||||
BlackRock, Inc. | 6,030 | 2,368,704 | ||||||
Invesco Ltd. | 103,390 | 1,730,749 | ||||||
|
| |||||||
4,099,453 | ||||||||
|
| |||||||
Insurance — 5.9% |
| |||||||
American International Group, Inc. | 37,420 | 1,474,722 | ||||||
Chubb Ltd. | 24,665 | 3,186,225 | ||||||
Intact Financial Corp. | 27,250 | 1,979,877 | ||||||
Marsh & McLennan Cos., Inc. | 29,370 | 2,342,257 | ||||||
MetLife, Inc. | 41,900 | 1,720,414 | ||||||
|
| |||||||
10,703,495 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
83
Table of Contents
MML Fundamental Value Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Real Estate Investment Trusts (REITS) — 3.1% |
| |||||||
Brixmor Property Group, Inc. | 70,610 | $ | 1,037,261 | |||||
Crown Castle International Corp. | 27,110 | 2,944,959 | ||||||
Park Hotels & Resorts, Inc. | 66,220 | 1,720,396 | ||||||
|
| |||||||
5,702,616 | ||||||||
|
| |||||||
48,431,154 | ||||||||
|
| |||||||
Industrial — 9.2% |
| |||||||
Aerospace & Defense — 2.5% |
| |||||||
Lockheed Martin Corp. | 7,320 | 1,916,669 | ||||||
United Technologies Corp. | 23,860 | 2,540,613 | ||||||
|
| |||||||
4,457,282 | ||||||||
|
| |||||||
Building Materials — 1.0% |
| |||||||
Fortune Brands Home & Security, Inc. | 48,470 | 1,841,375 | ||||||
|
| |||||||
Machinery – Construction & Mining — 1.4% |
| |||||||
Caterpillar, Inc. | 20,540 | 2,610,018 | ||||||
|
| |||||||
Miscellaneous – Manufacturing — 2.3% |
| |||||||
Eaton Corp. PLC | 32,030 | 2,199,180 | ||||||
Ingersoll-Rand PLC | 21,220 | 1,935,900 | ||||||
|
| |||||||
4,135,080 | ||||||||
|
| |||||||
Packaging & Containers — 0.8% |
| |||||||
Sealed Air Corp. | 42,300 | 1,473,732 | ||||||
|
| |||||||
Transportation — 1.2% |
| |||||||
Union Pacific Corp. | 15,410 | 2,130,124 | ||||||
|
| |||||||
16,647,611 | ||||||||
|
| |||||||
Technology — 8.1% |
| |||||||
Computers — 0.9% |
| |||||||
NetApp, Inc. | 28,480 | 1,699,402 | ||||||
|
| |||||||
Semiconductors — 7.2% |
| |||||||
Analog Devices, Inc. | 28,050 | 2,407,531 | ||||||
Intel Corp. | 95,530 | 4,483,223 | ||||||
KLA-Tencor Corp. | 15,790 | 1,413,047 | ||||||
Maxim Integrated Products, Inc. | 42,500 | 2,161,125 | ||||||
QUALCOMM, Inc. | 45,570 | 2,593,389 | ||||||
|
| |||||||
13,058,315 | ||||||||
|
| |||||||
14,757,717 | ||||||||
|
| |||||||
Utilities — 4.6% |
| |||||||
Electric — 4.6% |
| |||||||
Dominion Energy, Inc. | 35,550 | 2,540,403 | ||||||
Edison International | 28,800 | 1,634,976 | ||||||
Eversource Energy | 38,060 | 2,475,422 | ||||||
Sempra Energy | 16,410 | 1,775,398 | ||||||
|
| |||||||
8,426,199 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $165,121,706) | 179,900,218 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $165,121,706) | 179,900,218 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $165,121,706) | 179,900,218 | |||||||
|
|
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 1.0% |
| |||||||
Repurchase Agreement — 1.0% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (b) | $ | 1,847,206 | $ | 1,847,206 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,847,206) | 1,847,206 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% (Cost $166,968,912) (c) | 181,747,424 | |||||||
Other Assets/(Liabilities) — 0.0% | 55,585 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 181,803,009 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Maturity value of $1,847,335. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $1,888,678. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States | 82.6 | % | ||
Ireland | 5.2 | % | ||
Switzerland | 3.3 | % | ||
Netherlands | 2.2 | % | ||
Canada | 2.2 | % | ||
United Kingdom | 1.3 | % | ||
Finland | 1.2 | % | ||
Bermuda | 1.0 | % | ||
|
| |||
Total Long-Term Investments | 99.0 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.0 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
84
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 97.8% |
| |||||||
COMMON STOCK — 97.8% |
| |||||||
Austria — 0.4% |
| |||||||
Erste Group Bank AG | 22,728 | $ | 757,304 | |||||
|
| |||||||
Brazil — 0.3% |
| |||||||
Ambev SA | 176,131 | 698,225 | ||||||
|
| |||||||
Canada — 1.8% |
| |||||||
Canadian National Railway Co. | 50,393 | 3,734,625 | ||||||
|
| |||||||
Cayman Islands — 0.2% |
| |||||||
Sands China Ltd. | 91,600 | 396,676 | ||||||
|
| |||||||
Denmark — 0.7% |
| |||||||
Carlsberg A/S Class B | 13,149 | 1,398,903 | ||||||
|
| |||||||
France — 10.1% |
| |||||||
Air Liquide SA | 18,146 | 2,246,572 | ||||||
Danone SA | 52,227 | 3,680,929 | ||||||
Hermes International | 832 | 460,135 | ||||||
Legrand SA | 32,794 | 1,845,764 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 15,519 | 4,560,192 | ||||||
Pernod Ricard SA | 25,641 | 4,210,186 | ||||||
Schneider Electric SE | 61,253 | 4,168,696 | ||||||
|
| |||||||
21,172,474 | ||||||||
|
| |||||||
Germany — 4.4% |
| |||||||
Bayer AG Registered | 61,345 | 4,253,733 | ||||||
Brenntag AG | 23,245 | 1,003,235 | ||||||
Deutsche Boerse AG | 7,333 | 881,847 | ||||||
Merck KGaA | 16,562 | 1,708,845 | ||||||
MTU Aero Engines AG | 7,327 | 1,330,813 | ||||||
|
| |||||||
9,178,473 | ||||||||
|
| |||||||
Ireland — 7.4% |
| |||||||
Accenture PLC Class A | 35,110 | 4,950,861 | ||||||
Linde PLC | 6,061 | 945,758 | ||||||
Linde PLC (a) | 20,686 | 3,284,667 | ||||||
Medtronic PLC | 69,399 | 6,312,533 | ||||||
|
| |||||||
15,493,819 | ||||||||
|
| |||||||
Israel — 1.3% |
| |||||||
Check Point Software Technologies Ltd. (a) | 26,506 | 2,720,841 | ||||||
|
| |||||||
Japan — 2.6% |
| |||||||
Hoya Corp. | 24,600 | 1,503,608 | ||||||
Kubota Corp. | 161,100 | 2,268,421 | ||||||
Olympus Corp. | 52,400 | 1,602,296 | ||||||
|
| |||||||
5,374,325 | ||||||||
|
| |||||||
Mexico — 0.3% |
| |||||||
Grupo Financiero Banorte SAB de CV Class O | 117,158 | 571,907 | ||||||
|
|
Number of Shares | Value | |||||||
Netherlands — 2.8% |
| |||||||
Akzo Nobel NV | 36,836 | $ | 2,960,973 | |||||
Heineken NV | 21,525 | 1,897,156 | ||||||
Schlumberger Ltd. | 24,794 | 894,567 | ||||||
|
| |||||||
5,752,696 | ||||||||
|
| |||||||
Republic of Korea — 0.8% |
| |||||||
Samsung Electronics Co. Ltd. | 47,938 | 1,658,687 | ||||||
|
| |||||||
Spain — 1.2% |
| |||||||
Aena SME SA (b) | 15,980 | 2,477,651 | ||||||
|
| |||||||
Sweden — 2.2% |
| |||||||
Essity AB Class B | 190,671 | 4,685,579 | ||||||
|
| |||||||
Switzerland — 7.5% |
| |||||||
Adecco Group AG Registered | 20,977 | 982,372 | ||||||
Cie Financiere Richemont SA Registered | 30,242 | 1,943,576 | ||||||
Julius Baer Group Ltd. | 22,303 | 796,970 | ||||||
Nestle SA Registered | 67,616 | 5,497,238 | ||||||
Roche Holding AG | 14,649 | 3,622,320 | ||||||
Sonova Holding AG Registered | 4,174 | 680,577 | ||||||
UBS Group AG Registered | 175,614 | 2,192,183 | ||||||
|
| |||||||
15,715,236 | ||||||||
|
| |||||||
Thailand — 0.2% |
| |||||||
Kasikornbank PCL | 80,700 | 457,928 | ||||||
|
| |||||||
United Kingdom — 9.4% |
| |||||||
Aon PLC | 15,601 | 2,267,762 | ||||||
Aptiv PLC | 14,432 | 888,578 | ||||||
Burberry Group PLC | 51,040 | 1,122,937 | ||||||
Compass Group PLC | 111,151 | 2,333,580 | ||||||
Diageo PLC | 130,506 | 4,638,642 | ||||||
Reckitt Benckiser Group PLC | 60,770 | 4,640,762 | ||||||
Whitbread PLC | 24,152 | 1,405,939 | ||||||
WPP PLC | 207,644 | 2,230,157 | ||||||
|
| |||||||
19,528,357 | ||||||||
|
| |||||||
United States — 44.2% |
| |||||||
3M Co. | 18,510 | 3,526,895 | ||||||
Abbott Laboratories | 46,869 | 3,390,035 | ||||||
American Express Co. | 30,250 | 2,883,430 | ||||||
Amphenol Corp. Class A | 13,890 | 1,125,368 | ||||||
AutoZone, Inc. (a) | 1,076 | 902,054 | ||||||
The Bank of New York Mellon Corp. | 71,365 | 3,359,151 | ||||||
Cisco Systems, Inc. | 44,095 | 1,910,636 | ||||||
Cognizant Technology Solutions Corp. Class A | 36,061 | 2,289,152 | ||||||
Colgate-Palmolive Co. | 39,557 | 2,354,433 | ||||||
Comcast Corp. Class A | 171,035 | 5,823,742 | ||||||
The Cooper Cos., Inc. | 10,230 | 2,603,535 | ||||||
Coty, Inc. Class A | 134,614 | 883,068 | ||||||
eBay, Inc. (a) | 55,009 | 1,544,103 | ||||||
Franklin Resources, Inc. | 25,128 | 745,296 |
The accompanying notes are an integral part of the financial statements.
85
Table of Contents
MML Global Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
The Goldman Sachs Group, Inc. | 10,761 | $ | 1,797,625 | |||||
Harley-Davidson, Inc. | 19,527 | 666,261 | ||||||
Honeywell International, Inc. | 35,846 | 4,735,973 | ||||||
Johnson & Johnson | 6,799 | 877,411 | ||||||
Kansas City Southern | 38,002 | 3,627,291 | ||||||
Kellogg Co. | 33,226 | 1,894,214 | ||||||
Microchip Technology, Inc. (c) | 11,352 | 816,436 | ||||||
National Oilwell Varco, Inc. | 17,023 | 437,491 | ||||||
NOW, Inc. (a) | 9,951 | 115,830 | ||||||
Omnicom Group, Inc. | 16,371 | 1,199,012 | ||||||
Oracle Corp. | 72,333 | 3,265,835 | ||||||
PayPal Holdings, Inc. (a) | 16,244 | 1,365,958 | ||||||
PPG Industries, Inc. | 23,402 | 2,392,386 | ||||||
Resideo Technologies, Inc. (a) | 6,106 | 125,478 | ||||||
Sally Beauty Holdings, Inc. (a) | 31,616 | 539,053 | ||||||
State Street Corp. | 50,810 | 3,204,587 | ||||||
Stryker Corp. | 23,485 | 3,681,274 | ||||||
Thermo Fisher Scientific, Inc. | 28,072 | 6,282,233 | ||||||
United Parcel Service, Inc. Class B | 34,434 | 3,358,348 | ||||||
United Technologies Corp. | 18,997 | 2,022,801 | ||||||
Visa, Inc. Class A | 47,854 | 6,313,857 | ||||||
The Walt Disney Co. | 40,319 | 4,420,978 | ||||||
Waters Corp. (a) | 9,851 | 1,858,391 | ||||||
Wynn Resorts Ltd. | 3,639 | 359,933 | ||||||
Zimmer Biomet Holdings, Inc. | 35,855 | 3,718,881 | ||||||
|
| |||||||
92,418,435 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $187,966,131) | 204,192,141 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $187,966,131) | 204,192,141 | |||||||
|
| |||||||
MUTUAL FUNDS — 0.4% |
| |||||||
United States — 0.4% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 825,993 | 825,993 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $825,993) | 825,993 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $188,792,124) | 205,018,134 | |||||||
|
|
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 2.0% |
| |||||||
Repurchase Agreement — 2.0% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (e) | $ | 4,240,369 | $ | 4,240,369 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,240,369) | 4,240,369 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.2% (Cost $193,032,493) (f) | 209,258,503 | |||||||
Other Assets/(Liabilities) — (0.2)% | (346,438 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 208,912,065 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(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, 2018, these securities amounted to a value of $2,477,651 or 1.19% of net assets. |
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $808,237 or 0.39% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers.(Note 2). |
(d) | Represents investment of security lending collateral.(Note 2). |
(e) | Maturity value of $4,240,663. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $4,329,049. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
Sector weightings, as a percentage of net assets, is as follows:
Consumer,Non-cyclical | 37.1 | % | ||
Industrial | 18.1 | % | ||
Financial | 12.6 | % | ||
Communications | 8.2 | % | ||
Technology | 7.5 | % | ||
Consumer, Cyclical | 7.5 | % | ||
Basic Materials | 6.1 | % | ||
Energy | 0.7 | % | ||
Mutual Funds | 0.4 | % | ||
|
| |||
Total Long-Term Investments | 98.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.8 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
86
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 99.1% |
| |||||||
COMMON STOCK — 99.1% |
| |||||||
Basic Materials — 2.5% |
| |||||||
Chemicals — 2.5% |
| |||||||
PPG Industries, Inc. | 12,678 | $ | 1,296,072 | |||||
The Sherwin-Williams Co. | 4,646 | 1,828,015 | ||||||
|
| |||||||
3,124,087 | ||||||||
|
| |||||||
Communications — 9.9% |
| |||||||
Internet — 6.0% |
| |||||||
Alphabet, Inc. Class A (a) | 4,117 | 4,302,100 | ||||||
Alphabet, Inc. Class C (a) | 1,633 | 1,691,151 | ||||||
Facebook, Inc. Class A (a) | 12,910 | 1,692,372 | ||||||
|
| |||||||
7,685,623 | ||||||||
|
| |||||||
Media — 2.8% |
| |||||||
Comcast Corp. Class A | 79,741 | 2,715,181 | ||||||
The Walt Disney Co. | 7,244 | 794,305 | ||||||
|
| |||||||
3,509,486 | ||||||||
|
| |||||||
Telecommunications — 1.1% |
| |||||||
Cisco Systems, Inc. | 31,178 | 1,350,943 | ||||||
|
| |||||||
12,546,052 | ||||||||
|
| |||||||
Consumer, Cyclical — 10.3% |
| |||||||
Apparel — 2.3% |
| |||||||
LVMH Moet Hennessy Louis Vuitton SE | 4,671 | 1,372,554 | ||||||
NIKE, Inc. Class B | 20,871 | 1,547,376 | ||||||
|
| |||||||
2,919,930 | ||||||||
|
| |||||||
Food Services — 0.6% |
| |||||||
Aramark | 26,294 | 761,737 | ||||||
|
| |||||||
Housewares — 0.9% |
| |||||||
Newell Brands, Inc. | 64,419 | 1,197,549 | ||||||
|
| |||||||
Retail — 6.5% |
| |||||||
Costco Wholesale Corp. | 7,130 | 1,452,452 | ||||||
Dollar Tree, Inc. (a) | 9,421 | 850,905 | ||||||
Ross Stores, Inc. | 20,396 | 1,696,947 | ||||||
Starbucks Corp. | 36,961 | 2,380,289 | ||||||
Tractor Supply Co. | 21,969 | 1,833,093 | ||||||
|
| |||||||
8,213,686 | ||||||||
|
| |||||||
13,092,902 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 24.6% |
| |||||||
Beverages — 2.4% |
| |||||||
Diageo PLC | 34,702 | 1,233,431 | ||||||
Pernod Ricard SA | 11,325 | 1,859,536 | ||||||
|
| |||||||
3,092,967 | ||||||||
|
| |||||||
Biotechnology — 1.1% |
| |||||||
Biogen, Inc. (a) | 4,602 | 1,384,834 | ||||||
|
|
Number of Shares | Value | |||||||
Cosmetics & Personal Care — 1.9% |
| |||||||
Colgate-Palmolive Co. | 26,585 | $ | 1,582,339 | |||||
The Estee Lauder Cos., Inc. Class A | 5,933 | 771,883 | ||||||
|
| |||||||
2,354,222 | ||||||||
|
| |||||||
Foods — 3.3% |
| |||||||
Danone SA | 25,005 | 1,762,338 | ||||||
Mondelez International, Inc. Class A | 58,783 | 2,353,084 | ||||||
|
| |||||||
4,115,422 | ||||||||
|
| |||||||
Health Care – Products — 8.7% |
| |||||||
Abbott Laboratories | 19,301 | 1,396,041 | ||||||
Danaher Corp. | 32,198 | 3,320,258 | ||||||
Medtronic PLC | 36,162 | 3,289,295 | ||||||
Thermo Fisher Scientific, Inc. | 13,567 | 3,036,159 | ||||||
|
| |||||||
11,041,753 | ||||||||
|
| |||||||
Household Products & Wares — 0.9% |
| |||||||
Kimberly-Clark Corp. | 9,718 | 1,107,269 | ||||||
|
| |||||||
Pharmaceuticals — 6.3% |
| |||||||
Elanco Animal Health, Inc. (a) (b) | 1,834 | 57,826 | ||||||
Eli Lilly & Co. | 14,860 | 1,719,599 | ||||||
Johnson & Johnson | 30,842 | 3,980,160 | ||||||
McKesson Corp. | 9,888 | 1,092,328 | ||||||
Zoetis, Inc. | 13,822 | 1,182,334 | ||||||
|
| |||||||
8,032,247 | ||||||||
|
| |||||||
31,128,714 | ||||||||
|
| |||||||
Energy — 4.7% |
| |||||||
Oil & Gas — 1.7% |
| |||||||
EOG Resources, Inc. | 24,615 | 2,146,674 | ||||||
|
| |||||||
Oil & Gas Services — 1.5% |
| |||||||
Core Laboratories NV | 6,213 | 370,668 | ||||||
Schlumberger Ltd. | 41,982 | 1,514,710 | ||||||
|
| |||||||
1,885,378 | ||||||||
|
| |||||||
Pipelines — 1.5% |
| |||||||
Enterprise Products Partners LP (c) | 78,444 | 1,928,938 | ||||||
|
| |||||||
5,960,990 | ||||||||
|
| |||||||
Financial — 21.6% |
| |||||||
Banks — 9.2% |
| |||||||
Bank of America Corp. | 125,872 | 3,101,486 | ||||||
The Goldman Sachs Group, Inc. | 9,989 | 1,668,662 | ||||||
JP Morgan Chase & Co. | 40,630 | 3,966,301 | ||||||
Morgan Stanley | 37,983 | 1,506,026 | ||||||
US Bancorp | 30,271 | 1,383,385 | ||||||
|
| |||||||
11,625,860 | ||||||||
|
| |||||||
Diversified Financial Services — 7.5% |
| |||||||
Mastercard, Inc. Class A | 14,263 | 2,690,715 | ||||||
Nasdaq, Inc. | 23,667 | 1,930,517 | ||||||
TD Ameritrade Holding Corp. | 15,801 | 773,617 | ||||||
Visa, Inc. Class A | 30,785 | 4,061,773 | ||||||
|
| |||||||
9,456,622 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
87
Table of Contents
MML Growth & Income Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Insurance — 1.2% |
| |||||||
Chubb Ltd. | 11,619 | $ | 1,500,942 | |||||
|
| |||||||
Private Equity — 0.8% |
| |||||||
The Blackstone Group LP (c) | 35,691 | 1,063,949 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 2.9% |
| |||||||
American Tower Corp. | 23,055 | 3,647,070 | ||||||
|
| |||||||
27,294,443 | ||||||||
|
| |||||||
Industrial — 8.9% |
| |||||||
Aerospace & Defense — 1.3% |
| |||||||
United Technologies Corp. | 15,973 | 1,700,805 | ||||||
|
| |||||||
Electrical Components & Equipment — 1.0% |
| |||||||
AMETEK, Inc. | 19,597 | 1,326,717 | ||||||
|
| |||||||
Electronics — 3.4% |
| |||||||
Fortive Corp. | 13,696 | 926,671 | ||||||
Honeywell International, Inc. | 17,334 | 2,290,168 | ||||||
TE Connectivity Ltd. | 15,066 | 1,139,442 | ||||||
|
| |||||||
4,356,281 | ||||||||
|
| |||||||
Engineering & Construction — 0.4% |
| |||||||
Fluor Corp. | 15,693 | 505,315 | ||||||
|
| |||||||
Packaging & Containers — 1.1% |
| |||||||
Crown Holdings, Inc. (a) | 32,051 | 1,332,360 | ||||||
|
| |||||||
Transportation — 1.7% |
| |||||||
Canadian National Railway Co. | 28,356 | 2,101,463 | ||||||
|
| |||||||
11,322,941 | ||||||||
|
| |||||||
Technology — 16.1% |
| |||||||
Computers — 7.0% |
| |||||||
Accenture PLC Class A | 15,777 | 2,224,715 | ||||||
Amdocs Ltd. | 28,804 | 1,687,338 | ||||||
Apple, Inc. | 8,547 | 1,348,204 | ||||||
Cognizant Technology Solutions Corp. Class A | 35,636 | 2,262,173 | ||||||
DXC Technology Co. | 24,629 | 1,309,524 | ||||||
|
| |||||||
8,831,954 | ||||||||
|
| |||||||
Semiconductors — 2.5% |
| |||||||
Analog Devices, Inc. | 13,151 | 1,128,750 | ||||||
Texas Instruments, Inc. | 21,771 | 2,057,360 | ||||||
|
| |||||||
3,186,110 | ||||||||
|
| |||||||
Software — 6.6% |
| |||||||
Adobe, Inc. (a) | 7,178 | 1,623,951 | ||||||
Electronic Arts, Inc. (a) | 15,846 | 1,250,408 | ||||||
Fidelity National Information Services, Inc. | 26,890 | 2,757,569 | ||||||
Microsoft Corp. | 18,769 | 1,906,367 | ||||||
salesforce.com, Inc. (a) | 6,013 | 823,601 | ||||||
|
| |||||||
8,361,896 | ||||||||
|
| |||||||
20,379,960 | ||||||||
|
|
Number of Shares | Value | |||||||
Utilities — 0.5% |
| |||||||
Electric — 0.5% |
| |||||||
American Electric Power Co., Inc. | 9,048 | $ | 676,247 | |||||
|
| |||||||
TOTAL COMMON STOCK (Cost $93,682,685) | 125,526,336 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $93,682,685) | 125,526,336 | |||||||
|
| |||||||
MUTUAL FUNDS — 0.0% |
| |||||||
Diversified Financial Services — 0.0% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 58,534 | 58,534 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $58,534) | 58,534 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $93,741,219) | 125,584,870 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.9% |
| |||||||
Repurchase Agreement — 0.9% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (e) | $ | 1,091,439 | 1,091,439 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,091,439) | 1,091,439 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% (Cost $94,832,658) (f) | 126,676,309 | |||||||
Other Assets/(Liabilities) — 0.0% | 37,653 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 126,713,962 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $57,227 or 0.05% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers.(Note 2). |
(c) | Security is a Master Limited Partnership. |
(d) | Represents investment of security lending collateral.(Note 2). |
The accompanying notes are an integral part of the financial statements.
88
Table of Contents
MML Growth & Income Fund – Portfolio of Investments(Continued)
Notes to Portfolio of Investments (Continued)
(e) | Maturity value of $1,091,514. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $1,113,326. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
89
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 98.4% |
| |||||||
COMMON STOCK — 98.4% |
| |||||||
Basic Materials — 5.9% |
| |||||||
Chemicals — 5.9% |
| |||||||
Air Products & Chemicals, Inc. | 14,859 | $ | 2,378,183 | |||||
DowDuPont, Inc. | 112,214 | 6,001,205 | ||||||
Linde PLC | 37,025 | 5,777,381 | ||||||
LyondellBasell Industries NV Class A | 14,376 | 1,195,508 | ||||||
Versum Materials, Inc. | 12,873 | 356,839 | ||||||
|
| |||||||
15,709,116 | ||||||||
|
| |||||||
Communications — 3.3% |
| |||||||
Media — 0.9% |
| |||||||
Comcast Corp. Class A | 69,260 | 2,358,303 | ||||||
|
| |||||||
Telecommunications — 2.4% |
| |||||||
AT&T, Inc. | 92,018 | 2,626,194 | ||||||
Verizon Communications, Inc. | 67,674 | 3,804,632 | ||||||
|
| |||||||
6,430,826 | ||||||||
|
| |||||||
8,789,129 | ||||||||
|
| |||||||
Consumer, Cyclical — 9.0% |
| |||||||
Airlines — 1.0% |
| |||||||
Southwest Airlines Co. | 54,598 | 2,537,715 | ||||||
|
| |||||||
Apparel — 0.3% |
| |||||||
Hanesbrands, Inc. | 65,319 | 818,447 | ||||||
|
| |||||||
Auto Parts & Equipment — 0.0% |
| |||||||
Adient PLC | 6,257 | 94,230 | ||||||
|
| |||||||
Food Services — 0.5% |
| |||||||
Aramark | 43,297 | 1,254,314 | ||||||
|
| |||||||
Home Builders — 0.4% |
| |||||||
Lennar Corp. Class A | 28,625 | 1,120,669 | ||||||
|
| |||||||
Home Furnishing — 0.5% |
| |||||||
Whirlpool Corp. | 12,517 | 1,337,692 | ||||||
|
| |||||||
Leisure Time — 1.4% |
| |||||||
Norwegian Cruise Line Holdings Ltd. (a) | 42,893 | 1,818,234 | ||||||
Royal Caribbean Cruises Ltd. | 20,487 | 2,003,424 | ||||||
|
| |||||||
3,821,658 | ||||||||
|
| |||||||
Lodging — 0.3% |
| |||||||
MGM Resorts International | 31,049 | 753,249 | ||||||
|
| |||||||
Retail — 4.6% |
| |||||||
Advance Auto Parts, Inc. | 13,049 | 2,054,696 | ||||||
Dollar General Corp. | 26,995 | 2,917,620 | ||||||
Lowe’s Cos., Inc. | 43,531 | 4,020,523 | ||||||
O’Reilly Automotive, Inc. (a) | 3,200 | 1,101,856 | ||||||
Walmart, Inc. | 22,616 | 2,106,680 | ||||||
|
| |||||||
12,201,375 | ||||||||
|
| |||||||
23,939,349 | ||||||||
|
|
Number of Shares | Value | |||||||
Consumer,Non-cyclical — 19.3% |
| |||||||
Agriculture — 3.1% |
| |||||||
Altria Group, Inc. | 84,144 | $ | 4,155,872 | |||||
Philip Morris International, Inc. | 58,750 | 3,922,150 | ||||||
|
| |||||||
8,078,022 | ||||||||
|
| |||||||
Beverages — 0.8% |
| |||||||
Coca-Cola European Partners PLC (a) | 44,203 | 2,026,708 | ||||||
|
| |||||||
Commercial Services — 1.1% |
| |||||||
AMERCO | 4,892 | 1,605,114 | ||||||
Nielsen Holdings PLC | 58,371 | 1,361,795 | ||||||
|
| |||||||
2,966,909 | ||||||||
|
| |||||||
Foods — 0.5% |
| |||||||
Tyson Foods, Inc. Class A | 25,643 | 1,369,336 | ||||||
|
| |||||||
Health Care – Products — 1.0% |
| |||||||
Medtronic PLC | 28,675 | 2,608,278 | ||||||
|
| |||||||
Health Care – Services — 2.4% |
| |||||||
Anthem, Inc. | 11,902 | 3,125,822 | ||||||
UnitedHealth Group, Inc. | 12,663 | 3,154,607 | ||||||
|
| |||||||
6,280,429 | ||||||||
|
| |||||||
Pharmaceuticals — 10.4% |
| |||||||
Cardinal Health, Inc. | 39,260 | 1,750,996 | ||||||
Cigna Corp. (a) | 15,866 | 3,013,248 | ||||||
CVS Health Corp. | 95,782 | 6,275,637 | ||||||
Johnson & Johnson | 24,676 | 3,184,438 | ||||||
Merck & Co., Inc. | 18,779 | 1,434,903 | ||||||
Pfizer, Inc. | 156,868 | 6,847,288 | ||||||
Sanofi ADR | 103,172 | 4,478,697 | ||||||
Teva Pharmaceutical Industries Ltd. Sponsored ADR | 43,850 | 676,167 | ||||||
|
| |||||||
27,661,374 | ||||||||
|
| |||||||
50,991,056 | ||||||||
|
| |||||||
Energy — 13.4% |
| |||||||
Oil & Gas — 12.3% |
| |||||||
BP PLC Sponsored ADR | 110,784 | 4,200,929 | ||||||
Chevron Corp. | 50,500 | 5,493,895 | ||||||
ConocoPhillips | 107,779 | 6,720,021 | ||||||
Hess Corp. | 41,652 | 1,686,906 | ||||||
Kosmos Energy Ltd. (a) | 200,231 | 814,940 | ||||||
Occidental Petroleum Corp. | 62,789 | 3,853,989 | ||||||
Parsley Energy, Inc. Class A (a) | 61,617 | 984,640 | ||||||
Phillips 66 | 71,361 | 6,147,750 | ||||||
Valero Energy Corp. | 16,381 | 1,228,083 | ||||||
Vermilion Energy, Inc. (b) | 67,038 | 1,412,491 | ||||||
|
| |||||||
32,543,644 | ||||||||
|
| |||||||
Oil & Gas Services — 1.1% |
| |||||||
Schlumberger Ltd. | 81,674 | 2,946,798 | ||||||
|
| |||||||
35,490,442 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
90
Table of Contents
MML Income & Growth Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Financial — 22.7% |
| |||||||
Banks — 12.2% |
| |||||||
Bank of America Corp. | 155,603 | $ | 3,834,058 | |||||
The Bank of New York Mellon Corp. | 46,285 | 2,178,635 | ||||||
JP Morgan Chase & Co. | 74,186 | 7,242,037 | ||||||
KeyCorp | 104,202 | 1,540,105 | ||||||
State Street Corp. | 87,795 | 5,537,231 | ||||||
US Bancorp | 116,931 | 5,343,747 | ||||||
Wells Fargo & Co. | 145,088 | 6,685,655 | ||||||
|
| |||||||
32,361,468 | ||||||||
|
| |||||||
Diversified Financial Services — 4.2% |
| |||||||
American Express Co. | 67,606 | 6,444,204 | ||||||
E*TRADE Financial Corp. | 38,565 | 1,692,232 | ||||||
Navient Corp. | 93,882 | 827,101 | ||||||
SLM Corp. (a) | 255,027 | 2,119,274 | ||||||
|
| |||||||
11,082,811 | ||||||||
|
| |||||||
Insurance — 3.3% |
| |||||||
Berkshire Hathaway, Inc. Class B (a) | 11,953 | 2,440,564 | ||||||
Fidelity National Financial, Inc. | 37,650 | 1,183,716 | ||||||
Loews Corp. | 61,374 | 2,793,744 | ||||||
Willis Towers Watson PLC | 15,110 | 2,294,605 | ||||||
|
| |||||||
8,712,629 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 2.5% |
| |||||||
HCP, Inc. | 134,071 | 3,744,603 | ||||||
Liberty Property Trust | 34,877 | 1,460,649 | ||||||
MGM Growth Properties LLC Class A | 51,684 | 1,364,974 | ||||||
|
| |||||||
6,570,226 | ||||||||
|
| |||||||
Savings & Loans — 0.5% |
| |||||||
New York Community Bancorp, Inc. | 140,512 | 1,322,218 | ||||||
|
| |||||||
60,049,352 | ||||||||
|
| |||||||
Industrial — 10.0% |
| |||||||
Aerospace & Defense — 2.9% |
| |||||||
Spirit AeroSystems Holdings, Inc. Class A | 28,045 | 2,021,764 | ||||||
United Technologies Corp. | 52,205 | 5,558,789 | ||||||
|
| |||||||
7,580,553 | ||||||||
|
| |||||||
Building Materials — 2.4% |
| |||||||
Johnson Controls International PLC | 172,670 | 5,119,665 | ||||||
Owens Corning | 28,415 | 1,249,692 | ||||||
|
| |||||||
6,369,357 | ||||||||
|
| |||||||
Hand & Machine Tools — 2.3% |
| |||||||
Stanley Black & Decker, Inc. | 51,339 | 6,147,332 | ||||||
|
| |||||||
Machinery - Diversified — 0.5% |
| |||||||
Wabtec Corp. (b) | 19,997 | 1,404,789 | ||||||
|
| |||||||
Miscellaneous - Manufacturing — 1.9% |
| |||||||
General Electric Co. | 662,625 | 5,016,071 | ||||||
|
| |||||||
26,518,102 | ||||||||
|
|
Number of Shares | Value | |||||||
Technology — 8.0% |
| |||||||
Computers — 1.4% |
| |||||||
Hewlett Packard Enterprise Co. | 74,169 | $ | 979,772 | |||||
International Business Machines Corp. | 23,707 | 2,694,775 | ||||||
|
| |||||||
3,674,547 | ||||||||
|
| |||||||
Semiconductors — 4.0% |
| |||||||
Broadcom, Inc. | 9,020 | 2,293,606 | ||||||
Microchip Technology, Inc. | 22,520 | 1,619,638 | ||||||
QUALCOMM, Inc. | 79,472 | 4,522,752 | ||||||
Texas Instruments, Inc. | 20,922 | 1,977,129 | ||||||
|
| |||||||
10,413,125 | ||||||||
|
| |||||||
Software — 2.6% |
| |||||||
Microsoft Corp. | 21,942 | 2,228,649 | ||||||
Oracle Corp. | 105,000 | 4,740,750 | ||||||
|
| |||||||
6,969,399 | ||||||||
|
| |||||||
21,057,071 | ||||||||
|
| |||||||
Utilities — 6.8% |
| |||||||
Electric — 6.8% |
| |||||||
Dominion Energy, Inc. | 90,877 | 6,494,070 | ||||||
Entergy Corp. | 53,620 | 4,615,073 | ||||||
Exelon Corp. | 154,196 | 6,954,240 | ||||||
|
| |||||||
18,063,383 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $285,106,883) | 260,607,000 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $285,106,883) | 260,607,000 | |||||||
|
| |||||||
MUTUAL FUNDS — 0.7% |
| |||||||
Diversified Financial Services — 0.7% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 1,934,285 | 1,934,285 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,934,285) | 1,934,285 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $287,041,168) | 262,541,285 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
91
Table of Contents
MML Income & Growth Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 1.5% |
| |||||||
Repurchase Agreement — 1.5% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (d) | $ | 3,897,784 | $ | 3,897,784 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,897,784) | 3,897,784 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.6% (Cost $290,938,952) (e) | 266,439,069 | |||||||
Other Assets/(Liabilities) — (0.6)% | (1,542,958 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 264,896,111 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $1,894,312 or 0.72% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers.(Note 2). |
(c) | Represents investment of security lending collateral.(Note 2). |
(d) | Maturity value of $3,898,055. Collateralized by U.S. Government Agency obligations with rates ranging from 0.375% - 1.500%, maturity dates ranging from 8/15/26 - 1/15/27, and an aggregate market value, including accrued interest, of $3,982,170. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States | 84.4 | % | ||
Ireland | 5.9 | % | ||
United Kingdom | 2.9 | % | ||
France | 1.7 | % | ||
Netherlands | 1.6 | % | ||
Bermuda | 1.0 | % | ||
Liberia | 0.8 | % | ||
Canada | 0.5 | % | ||
Israel | 0.3 | % | ||
|
| |||
Total Long-Term Investments | 99.1 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.9 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
92
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 96.9% |
| |||||||
COMMON STOCK — 96.9% |
| |||||||
Australia — 2.5% |
| |||||||
AMP Ltd. | 832,394 | $ | 1,436,818 | |||||
Brambles Ltd. | 38,000 | 271,655 | ||||||
Orica Ltd. | 182,167 | 2,213,169 | ||||||
|
| |||||||
3,921,642 | ||||||||
|
| |||||||
Canada — 1.7% |
| |||||||
Alimentation Couche-Tard, Inc. Class B | 12,400 | 616,821 | ||||||
Cenovus Energy, Inc. | 290,915 | 2,045,696 | ||||||
|
| |||||||
2,662,517 | ||||||||
|
| |||||||
Cayman Islands — 1.0% |
| |||||||
Baidu, Inc. Sponsored ADR (a) | 8,865 | 1,405,989 | ||||||
Ctrip.com International Ltd. ADR (a) | 5,500 | 148,830 | ||||||
|
| |||||||
1,554,819 | ||||||||
|
| |||||||
France — 10.5% |
| |||||||
Accor SA | 56,800 | 2,408,763 | ||||||
BNP Paribas SA | 133,835 | 6,027,687 | ||||||
Bureau Veritas SA | 72,200 | 1,466,430 | ||||||
Danone SA | 13,291 | 936,742 | ||||||
Pernod Ricard SA | 2,705 | 444,154 | ||||||
Publicis Groupe SA | 53,602 | 3,067,726 | ||||||
Valeo SA | 80,610 | 2,337,434 | ||||||
|
| |||||||
16,688,936 | ||||||||
|
| |||||||
Germany — 16.5% |
| |||||||
Allianz SE Registered | 20,990 | 4,211,988 | ||||||
Bayer AG Registered | 56,394 | 3,910,425 | ||||||
Bayerische Motoren Werke AG | 57,750 | 4,677,004 | ||||||
Continental AG | 36,310 | 5,020,885 | ||||||
Daimler AG Registered | 110,703 | 5,820,392 | ||||||
thyssenkrupp AG | 155,700 | 2,672,357 | ||||||
|
| |||||||
26,313,051 | ||||||||
|
| |||||||
India — 0.8% |
| |||||||
Axis Bank Ltd. (a) | 144,142 | 1,282,333 | ||||||
|
| |||||||
Indonesia — 1.8% |
| |||||||
Bank Mandiri Persero Tbk PT | 5,612,000 | 2,877,007 | ||||||
|
| |||||||
Ireland — 3.2% |
| |||||||
Ryanair Holdings PLC Sponsored ADR (a) | 45,985 | 3,280,570 | ||||||
Willis Towers Watson PLC | 11,599 | 1,761,424 | ||||||
|
| |||||||
5,041,994 | ||||||||
|
| |||||||
Italy — 3.6% |
| |||||||
Intesa Sanpaolo SpA | 2,585,700 | 5,730,623 | ||||||
|
| |||||||
Japan — 4.9% |
| |||||||
Komatsu Ltd. | 109,600 | 2,334,665 | ||||||
Olympus Corp. | 64,500 | 1,972,292 |
Number of Shares | Value | |||||||
Omron Corp. | 17,400 | $ | 627,150 | |||||
Toyota Motor Corp. | 50,300 | 2,921,463 | ||||||
|
| |||||||
7,855,570 | ||||||||
|
| |||||||
Mexico — 1.1% |
| |||||||
Grupo Televisa SAB Sponsored ADR | 132,800 | 1,670,624 | ||||||
|
| |||||||
Netherlands — 7.0% |
| |||||||
Akzo Nobel NV | 7,561 | 607,773 | ||||||
ASML Holding NV | 15,125 | 2,359,907 | ||||||
CNH Industrial NV | 547,808 | 4,928,350 | ||||||
EXOR NV | 61,400 | 3,317,893 | ||||||
|
| |||||||
11,213,923 | ||||||||
|
| |||||||
Republic of Korea — 2.4% |
| |||||||
NAVER Corp. | 16,240 | 1,769,474 | ||||||
Samsung Electronics Co. Ltd. | 60,150 | 2,081,230 | ||||||
|
| |||||||
3,850,704 | ||||||||
|
| |||||||
South Africa — 2.8% |
| |||||||
Naspers Ltd. | 22,655 | 4,500,130 | ||||||
|
| |||||||
Sweden — 5.6% |
| |||||||
Hennes & Mauritz AB Class B | 300,418 | 4,267,008 | ||||||
SKF AB Class B | 139,300 | 2,121,158 | ||||||
Volvo AB Class B | 187,970 | 2,471,563 | ||||||
|
| |||||||
8,859,729 | ||||||||
|
| |||||||
Switzerland — 8.9% |
| |||||||
Cie Financiere Richemont SA Registered | 39,140 | 2,515,427 | ||||||
Credit Suisse Group AG Registered | 491,623 | 5,417,756 | ||||||
Kuehne & Nagel International AG Registered | 13,080 | 1,686,174 | ||||||
LafargeHolcim Ltd. Registered | 76,380 | 3,156,192 | ||||||
Nestle SA Registered | 17,330 | 1,408,944 | ||||||
|
| |||||||
14,184,493 | ||||||||
|
| |||||||
Taiwan — 1.5% |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 337,000 | 2,446,377 | ||||||
|
| |||||||
United Kingdom — 21.1% |
| |||||||
Ashtead Group PLC | 131,759 | 2,729,834 | ||||||
Diageo PLC | 30,900 | 1,098,295 | ||||||
Experian PLC | 30,900 | 751,016 | ||||||
Ferguson PLC | 30,033 | 1,923,491 | ||||||
G4S PLC | 537,200 | 1,344,432 | ||||||
Glencore PLC | 1,250,300 | 4,611,557 | ||||||
Liberty Global PLC Series A (a) | 60,400 | 1,288,936 | ||||||
Liberty Global PLC Series C (a) | 111,400 | 2,299,296 | ||||||
Lloyds Banking Group PLC | 8,725,600 | 5,765,662 | ||||||
Meggitt PLC | 69,838 | 417,786 | ||||||
Reckitt Benckiser Group PLC | 8,200 | 626,201 | ||||||
Royal Bank of Scotland Group PLC | 1,163,800 | 3,199,949 | ||||||
Schroders PLC | 109,100 | 3,383,564 |
The accompanying notes are an integral part of the financial statements.
93
Table of Contents
MML International Equity Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Smiths Group PLC | 86,200 | $ | 1,492,444 | |||||
WPP PLC | 250,800 | 2,693,665 | ||||||
|
| |||||||
33,626,128 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $184,689,951) | 154,280,600 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $184,689,951) | 154,280,600 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $184,689,951) | 154,280,600 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 3.8% |
| |||||||
Repurchase Agreement — 3.8% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (b) | $ | 6,121,815 | 6,121,815 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,121,815) | 6,121,815 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.7% (Cost $190,811,766) (c) | 160,402,415 | |||||||
Other Assets/(Liabilities) — (0.7)% | (1,095,696 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 159,306,719 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Maturity value of $6,122,240. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $6,247,548. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
Sector weightings, as a percentage of net assets, is as follows:
Financial | 27.9 | % | ||||||||||
Consumer, Cyclical | 24.0 | % | ||||||||||
Industrial | 11.9 | % | ||||||||||
Communications | 11.8 | % | ||||||||||
Consumer,Non-cyclical | 10.7 | % | ||||||||||
Basic Materials | 5.0 | % | ||||||||||
Technology | 4.3 | % | ||||||||||
Energy | 1.3 | % | ||||||||||
|
| |||||||||||
Total Long-Term Investments | 96.9 | % | ||||||||||
Short-Term Investments and Other Assets and Liabilities | 3.1 | % | ||||||||||
|
| |||||||||||
Net Assets | 100.0 | % | ||||||||||
|
|
Forward contracts at December 31, 2018:
Counterparty | Settlement Date | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Contract to Deliver | ||||||||||||||||
CHF | 3,135,000 | State Street Bank and Trust Co.* | 6/19/19 | $ | 3,318,198 | $ | 77,015 | |||||||||
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
Currency Legend
CHF | Swiss Franc |
The accompanying notes are an integral part of the financial statements.
94
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 98.1% |
| |||||||
COMMON STOCK — 98.1% |
| |||||||
Communications — 27.2% |
| |||||||
Internet — 22.5% |
| |||||||
Alibaba Group Holding Ltd. Sponsored ADR (a) | 35,033 | $ | 4,801,973 | |||||
Alphabet, Inc. Class A (a) | 2,694 | 2,815,122 | ||||||
Alphabet, Inc. Class C (a) | 2,701 | 2,797,183 | ||||||
Amazon.com, Inc. (a) | 4,082 | 6,131,042 | ||||||
Facebook, Inc. Class A (a) | 34,876 | 4,571,895 | ||||||
|
| |||||||
21,117,215 | ||||||||
|
| |||||||
Media — 1.8% |
| |||||||
FactSet Research Systems, Inc. | 8,281 | 1,657,276 | ||||||
|
| |||||||
Telecommunications — 2.9% |
| |||||||
Cisco Systems, Inc. | 64,172 | 2,780,573 | ||||||
|
| |||||||
25,555,064 | ||||||||
|
| |||||||
Consumer, Cyclical — 6.7% |
| |||||||
Retail — 6.7% |
| |||||||
Starbucks Corp. | 48,643 | 3,132,609 | ||||||
Yum China Holdings, Inc. | 36,918 | 1,237,861 | ||||||
Yum! Brands, Inc. | 20,284 | 1,864,505 | ||||||
|
| |||||||
6,234,975 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 28.6% |
| |||||||
Beverages — 6.1% |
| |||||||
The Coca-Cola Co. | 55,244 | 2,615,804 | ||||||
Monster Beverage Corp. (a) | 62,156 | 3,059,318 | ||||||
|
| |||||||
5,675,122 | ||||||||
|
| |||||||
Biotechnology — 5.6% |
| |||||||
Amgen, Inc. | 9,534 | 1,855,984 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 9,174 | 3,426,489 | ||||||
|
| |||||||
5,282,473 | ||||||||
|
| |||||||
Commercial Services — 1.0% |
| |||||||
Automatic Data Processing, Inc. | 6,920 | 907,350 | ||||||
|
| |||||||
Cosmetics & Personal Care — 5.2% |
| |||||||
Colgate-Palmolive Co. | 32,272 | 1,920,829 | ||||||
The Procter & Gamble Co. | 32,415 | 2,979,587 | ||||||
|
| |||||||
4,900,416 | ||||||||
|
| |||||||
Foods — 2.8% |
| |||||||
Danone SA Sponsored ADR | 188,581 | 2,636,362 | ||||||
|
| |||||||
Health Care – Products — 1.8% |
| |||||||
Varian Medical Systems, Inc. (a) | 14,981 | 1,697,497 | ||||||
|
| |||||||
Pharmaceuticals — 6.1% |
| |||||||
Merck & Co., Inc. | 16,302 | 1,245,636 | ||||||
Novartis AG Sponsored ADR | 20,284 | 1,740,570 | ||||||
Novo Nordisk A/S Sponsored ADR | 59,394 | 2,736,282 | ||||||
|
| |||||||
5,722,488 | ||||||||
|
| |||||||
26,821,708 | ||||||||
|
|
Number of Shares | Value | |||||||
Energy — 1.7% |
| |||||||
Oil & Gas Services — 1.7% |
| |||||||
Schlumberger Ltd. | 45,023 | $ | 1,624,430 | |||||
|
| |||||||
Financial — 9.6% |
| |||||||
Diversified Financial Services — 9.6% |
| |||||||
American Express Co. | 11,030 | 1,051,380 | ||||||
SEI Investments Co. | 43,148 | 1,993,437 | ||||||
Visa, Inc. Class A | 45,273 | 5,973,320 | ||||||
|
| |||||||
9,018,137 | ||||||||
|
| |||||||
Industrial — 6.8% |
| |||||||
Machinery – Diversified — 2.8% |
| |||||||
Deere & Co. | 17,876 | 2,666,563 | ||||||
|
| |||||||
Transportation — 4.0% |
| |||||||
Expeditors International of Washington, Inc. | 41,603 | 2,832,748 | ||||||
United Parcel Service, Inc. Class B | 9,096 | 887,133 | ||||||
|
| |||||||
3,719,881 | ||||||||
|
| |||||||
6,386,444 | ||||||||
|
| |||||||
Technology — 17.5% |
| |||||||
Semiconductors — 2.9% |
| |||||||
QUALCOMM, Inc. | 47,042 | 2,677,160 | ||||||
|
| |||||||
Software — 14.6% |
| |||||||
Autodesk, Inc. (a) | 29,904 | 3,845,953 | ||||||
Cerner Corp. (a) | 38,786 | 2,033,938 | ||||||
Microsoft Corp. | 31,829 | 3,232,871 | ||||||
Oracle Corp. | 102,218 | 4,615,143 | ||||||
|
| |||||||
13,727,905 | ||||||||
|
| |||||||
16,405,065 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $73,468,107) | 92,045,823 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $73,468,107) | 92,045,823 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $73,468,107) | 92,045,823 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
95
Table of Contents
MML Large Cap Growth Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 3.7% |
| |||||||
Repurchase Agreement — 3.7% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (b) | $ | 3,488,875 | $ | 3,488,875 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,488,875) | 3,488,875 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.8% (Cost $76,956,982) (c) | 95,534,698 | |||||||
Other Assets/(Liabilities) — (1.8)% | (1,733,200 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 93,801,498 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Maturity value of $3,489,117. Collateralized by U.S. Government Agency obligations with a rate of 2.250%, maturity date of 2/15/27, and an aggregate market value, including accrued interest, of $3,561,608. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States | 83.7 | % | ||
Cayman Islands | 5.1 | % | ||
Denmark | 2.9 | % | ||
France | 2.8 | % | ||
Switzerland | 1.9 | % | ||
Netherlands | 1.7 | % | ||
|
| |||
Total Long-Term Investments | 98.1 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.9 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
96
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 100.4% |
| |||||||
COMMON STOCK — 100.4% |
| |||||||
Basic Materials — 2.2% |
| |||||||
Chemicals — 1.9% |
| |||||||
Air Products & Chemicals, Inc. (a) | 1,545 | $ | 247,276 | |||||
Albemarle Corp. (a) | 780 | 60,115 | ||||||
Celanese Corp. (a) | 1,025 | 92,219 | ||||||
CF Industries Holdings, Inc. (a) | 1,644 | 71,531 | ||||||
DowDuPont, Inc. (a) | 16,576 | 886,485 | ||||||
Eastman Chemical Co. (a) | 1,005 | 73,476 | ||||||
FMC Corp. (a) | 947 | 70,040 | ||||||
International Flavors & Fragrances, Inc. (a) | 678 | 91,035 | ||||||
Linde PLC (a) | 3,984 | 621,663 | ||||||
LyondellBasell Industries NV Class A (a) | 2,265 | 188,357 | ||||||
The Mosaic Co. (a) | 2,471 | 72,178 | ||||||
PPG Industries, Inc. (a) | 1,804 | 184,423 | ||||||
The Sherwin-Williams Co. (a) | 583 | 229,387 | ||||||
|
| |||||||
2,888,185 | ||||||||
|
| |||||||
Forest Products & Paper — 0.1% |
| |||||||
International Paper Co. (a) | 2,922 | 117,932 | ||||||
|
| |||||||
Iron & Steel — 0.1% |
| |||||||
Nucor Corp. (a) | 2,239 | 116,003 | ||||||
|
| |||||||
Mining — 0.1% |
| |||||||
Freeport-McMoRan, Inc. (a) | 10,834 | 111,698 | ||||||
Newmont Mining Corp. (a) | 3,763 | 130,388 | ||||||
|
| |||||||
242,086 | ||||||||
|
| |||||||
3,364,206 | ||||||||
|
| |||||||
Communications — 14.6% |
| |||||||
Advertising — 0.1% |
| |||||||
The Interpublic Group of Cos., Inc. (a) | 2,717 | 56,051 | ||||||
Omnicom Group, Inc. (a) | 1,603 | 117,404 | ||||||
|
| |||||||
173,455 | ||||||||
|
| |||||||
Internet — 8.9% |
| |||||||
Alphabet, Inc. Class A (a) (b) | 2,153 | 2,249,799 | ||||||
Alphabet, Inc. Class C (a) (b) | 2,211 | 2,289,734 | ||||||
Amazon.com, Inc. (a) (b) | 2,959 | 4,444,329 | ||||||
Booking Holdings, Inc. (a) (b) | 329 | 566,676 | ||||||
eBay, Inc. (a) (b) | 6,511 | 182,764 | ||||||
Expedia Group, Inc. (a) | 855 | 96,316 | ||||||
F5 Networks, Inc. (a) (b) | 431 | 69,835 | ||||||
Facebook, Inc. Class A (a) (b) | 17,312 | 2,269,430 | ||||||
Netflix, Inc. (a) (b) | 3,153 | 843,932 | ||||||
Symantec Corp. (a) | 4,375 | 82,666 | ||||||
TripAdvisor, Inc. (a) (b) | 787 | 42,451 | ||||||
Twitter, Inc. (a) (b) | 4,975 | 142,981 | ||||||
VeriSign, Inc. (a) (b) | 825 | 122,339 | ||||||
|
| |||||||
13,403,252 | ||||||||
|
|
Number of Shares | Value | |||||||
Media — 2.3% |
| |||||||
CBS Corp. Class B (a) | 2,407 | $ | 105,234 | |||||
Charter Communications, Inc. Class A (a) (b) | 1,282 | 365,331 | ||||||
Comcast Corp. Class A (a) | 32,691 | 1,113,129 | ||||||
Discovery, Inc. Class A (a) (b) | 1,098 | 27,164 | ||||||
Discovery, Inc. Class C (a) (b) | 2,410 | 55,623 | ||||||
DISH Network Corp. Class A (a) (b) | 1,613 | 40,277 | ||||||
News Corp. Class A (a) | 2,786 | 31,621 | ||||||
News Corp. Class B (a) | 778 | 8,986 | ||||||
Twenty-First Century Fox, Inc. Class A (a) | 7,682 | 369,658 | ||||||
Twenty-First Century Fox, Inc. Class B (a) | 3,452 | 164,937 | ||||||
Viacom, Inc. Class B (a) | 2,489 | 63,967 | ||||||
The Walt Disney Co. (a) | 10,717 | 1,175,119 | ||||||
|
| |||||||
3,521,046 | ||||||||
|
| |||||||
Telecommunications — 3.3% |
| |||||||
Arista Networks, Inc. (a) (b) | 396 | 83,437 | ||||||
AT&T, Inc. (a) | 52,313 | 1,493,013 | ||||||
CenturyLink, Inc. (a) | 6,918 | 104,808 | ||||||
Cisco Systems, Inc. (a) | 32,381 | 1,403,069 | ||||||
Juniper Networks, Inc. (a) | 2,465 | 66,333 | ||||||
Motorola Solutions, Inc. (a) | 1,135 | 130,570 | ||||||
Verizon Communications, Inc. (a) | 29,728 | 1,671,308 | ||||||
|
| |||||||
4,952,538 | ||||||||
|
| |||||||
22,050,291 | ||||||||
|
| |||||||
Consumer, Cyclical — 8.5% |
| |||||||
Airlines — 0.5% |
| |||||||
Alaska Air Group, Inc. (a) | 869 | 52,879 | ||||||
American Airlines Group, Inc. (a) | 2,937 | 94,307 | ||||||
Delta Air Lines, Inc. (a) | 4,608 | 229,939 | ||||||
Southwest Airlines Co. (a) | 3,530 | 164,075 | ||||||
United Continental Holdings, Inc. (a) (b) | 1,662 | 139,159 | ||||||
|
| |||||||
680,359 | ||||||||
|
| |||||||
Apparel — 0.7% |
| |||||||
Hanesbrands, Inc. (a) | 2,536 | 31,776 | ||||||
Michael Kors Holdings Ltd. (a) (b) | 1,057 | 40,081 | ||||||
NIKE, Inc. Class B (a) | 9,258 | 686,388 | ||||||
PVH Corp. (a) | 535 | 49,728 | ||||||
Ralph Lauren Corp. (a) | 392 | 40,556 | ||||||
Under Armour, Inc. Class A (a) (b) | 1,341 | 23,696 | ||||||
Under Armour, Inc. Class C (a) (b) | 1,292 | 20,892 | ||||||
VF Corp. (a) | 2,309 | 164,724 | ||||||
|
| |||||||
1,057,841 | ||||||||
|
| |||||||
Auto Manufacturers — 0.5% |
| |||||||
Ford Motor Co. (a) | 27,699 | 211,897 | ||||||
General Motors Co. (a) | 9,604 | 321,254 |
The accompanying notes are an integral part of the financial statements.
97
Table of Contents
MML Managed Volatility Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
PACCAR, Inc. (a) | 2,476 | $ | 141,479 | |||||
|
| |||||||
674,630 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.1% |
| |||||||
Aptiv PLC (a) | 1,876 | 115,505 | ||||||
BorgWarner, Inc. (a) | 1,381 | 47,976 | ||||||
The Goodyear Tire & Rubber Co. (a) | 1,678 | 34,248 | ||||||
|
| |||||||
197,729 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.2% |
| |||||||
Fastenal Co. (a) | 2,024 | 105,835 | ||||||
LKQ Corp. (a) (b) | 2,179 | 51,707 | ||||||
W.W. Grainger, Inc. (a) | 305 | 86,120 | ||||||
|
| |||||||
243,662 | ||||||||
|
| |||||||
Home Builders — 0.1% |
| |||||||
D.R. Horton, Inc. (a) | 2,420 | 83,877 | ||||||
Lennar Corp. Class A (a) | 2,268 | 88,792 | ||||||
PulteGroup, Inc. (a) | 1,867 | 48,524 | ||||||
|
| |||||||
221,193 | ||||||||
|
| |||||||
Home Furnishing — 0.1% |
| |||||||
Leggett & Platt, Inc. (a) | 920 | 32,973 | ||||||
Whirlpool Corp. (a) | 454 | 48,519 | ||||||
|
| |||||||
81,492 | ||||||||
|
| |||||||
Housewares — 0.0% |
| |||||||
Newell Brands, Inc. (a) | 2,884 | 53,614 | ||||||
|
| |||||||
Leisure Time — 0.2% |
| |||||||
Carnival Corp. (a) | 2,879 | 141,935 | ||||||
Harley-Davidson, Inc. (a) | 1,169 | 39,886 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) (b) | 1,454 | 61,635 | ||||||
Royal Caribbean Cruises Ltd. (a) | 1,200 | 117,348 | ||||||
|
| |||||||
360,804 | ||||||||
|
| |||||||
Lodging — 0.4% |
| |||||||
Hilton Worldwide Holdings, Inc. (a) | 2,251 | 161,622 | ||||||
Marriott International, Inc. Class A (a) | 1,989 | 215,926 | ||||||
MGM Resorts International (a) | 3,525 | 85,517 | ||||||
Wynn Resorts Ltd. (a) | 751 | 74,281 | ||||||
|
| |||||||
537,346 | ||||||||
|
| |||||||
Retail — 5.6% |
| |||||||
Advance Auto Parts, Inc. (a) | 520 | 81,879 | ||||||
AutoZone, Inc. (a) (b) | 187 | 156,770 | ||||||
Best Buy Co., Inc. (a) | 1,737 | 91,992 | ||||||
CarMax, Inc. (a) (b) | 1,272 | 79,793 | ||||||
Chipotle Mexican Grill, Inc. (a) (b) | 172 | 74,268 | ||||||
Copart, Inc. (a) (b) | 1,421 | 67,895 | ||||||
Costco Wholesale Corp. (a) | 3,169 | 645,557 | ||||||
Darden Restaurants, Inc. (a) | 872 | 87,078 | ||||||
Dollar General Corp. (a) | �� | 1,938 | 209,459 | |||||
Dollar Tree, Inc. (a) (b) | 1,678 | 151,557 | ||||||
Foot Locker, Inc. (a) | 832 | 44,262 | ||||||
The Gap, Inc. (a) | 1,532 | 39,464 |
Number of Shares | Value | |||||||
Genuine Parts Co. (a) | 1,033 | $ | 99,189 | |||||
The Home Depot, Inc. (a) | 8,105 | 1,392,601 | ||||||
Kohl’s Corp. (a) | 1,184 | 78,547 | ||||||
L Brands, Inc. (a) | 1,710 | 43,896 | ||||||
Lowe’s Cos., Inc. (a) | 5,789 | 534,672 | ||||||
Macy’s, Inc. (a) | 2,157 | 64,235 | ||||||
McDonald’s Corp. (a) | 5,545 | 984,626 | ||||||
Nordstrom, Inc. (a) | 827 | 38,546 | ||||||
O’Reilly Automotive, Inc. (a) (b) | 584 | 201,089 | ||||||
Ross Stores, Inc. (a) | 2,761 | 229,715 | ||||||
Starbucks Corp. (a) | 8,951 | 576,444 | ||||||
Tapestry, Inc. (a) | 2,029 | 68,479 | ||||||
Target Corp. (a) | 3,813 | 252,001 | ||||||
Tiffany & Co. (a) | 719 | 57,887 | ||||||
The TJX Cos., Inc. (a) | 8,842 | 395,591 | ||||||
Tractor Supply Co. (a) | 846 | 70,590 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a) (b) | 403 | 98,670 | ||||||
Walgreens Boots Alliance, Inc. (a) | 5,819 | 397,612 | ||||||
Walmart, Inc. (a) | 10,238 | 953,670 | ||||||
Yum! Brands, Inc. (a) | 2,285 | 210,037 | ||||||
|
| |||||||
8,478,071 | ||||||||
|
| |||||||
Textiles — 0.0% |
| |||||||
Mohawk Industries, Inc. (a) (b) | 445 | 52,047 | ||||||
|
| |||||||
Toys, Games & Hobbies — 0.1% |
| |||||||
Hasbro, Inc. (a) | 802 | 65,162 | ||||||
Mattel, Inc. (a) (b) (c) | 2,425 | 24,226 | ||||||
|
| |||||||
89,388 | ||||||||
|
| |||||||
12,728,176 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 23.4% |
| |||||||
Agriculture — 1.0% |
| |||||||
Altria Group, Inc. (a) | 13,572 | 670,321 | ||||||
Archer-Daniels-Midland Co. (a) | 3,944 | 161,586 | ||||||
Philip Morris International, Inc. (a) | 11,223 | 749,247 | ||||||
|
| |||||||
1,581,154 | ||||||||
|
| |||||||
Beverages — 1.9% |
| |||||||
Brown-Forman Corp. Class B (a) | 1,119 | 53,242 | ||||||
The Coca-Cola Co. (a) | 27,539 | 1,303,972 | ||||||
Constellation Brands, Inc. Class A (a) | 1,183 | 190,250 | ||||||
Molson Coors Brewing Co. Class B (a) | 1,303 | 73,176 | ||||||
Monster Beverage Corp. (a) (b) | 2,948 | 145,101 | ||||||
PepsiCo, Inc. (a) | 10,158 | 1,122,256 | ||||||
|
| |||||||
2,887,997 | ||||||||
|
| |||||||
Biotechnology — 2.2% |
| |||||||
Alexion Pharmaceuticals, Inc. (a) (b) | 1,567 | 152,563 | ||||||
Amgen, Inc. (a) | 4,609 | 897,234 | ||||||
Biogen, Inc. (a) (b) | 1,465 | 440,848 | ||||||
Celgene Corp. (a) (b) | 5,095 | 326,539 | ||||||
Gilead Sciences, Inc. (a) | 9,365 | 585,781 |
The accompanying notes are an integral part of the financial statements.
98
Table of Contents
MML Managed Volatility Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Illumina, Inc. (a) (b) | 1,036 | $ | 310,727 | |||||
Incyte Corp. (a) (b) | 1,239 | 78,788 | ||||||
Regeneron Pharmaceuticals, Inc. (a) (b) | 545 | 203,558 | ||||||
Vertex Pharmaceuticals, Inc. (a) (b) | 1,795 | 297,449 | ||||||
|
| |||||||
3,293,487 | ||||||||
|
| |||||||
Commercial Services — 2.0% |
| |||||||
Automatic Data Processing, Inc. (a) | 3,170 | 415,650 | ||||||
Cintas Corp. (a) | 609 | 102,306 | ||||||
Ecolab, Inc. (a) | 1,843 | 271,566 | ||||||
Equifax, Inc. (a) | 853 | 79,440 | ||||||
FleetCor Technologies, Inc. (a) (b) | 633 | 117,561 | ||||||
Gartner, Inc. (a) (b) | 643 | 82,201 | ||||||
Global Payments, Inc. (a) | 1,121 | 115,609 | ||||||
H&R Block, Inc. (a) | 1,471 | 37,319 | ||||||
IHS Markit Ltd. (a) (b) | 2,498 | 119,829 | ||||||
Moody’s Corp. (a) | 1,176 | 164,687 | ||||||
Nielsen Holdings PLC (a) | 2,358 | 55,012 | ||||||
PayPal Holdings, Inc. (a) (b) | 8,514 | 715,942 | ||||||
Quanta Services, Inc. (a) | 1,053 | 31,695 | ||||||
Robert Half International, Inc. (a) | 870 | 49,764 | ||||||
Rollins, Inc. (a) | 1,057 | 38,158 | ||||||
S&P Global, Inc. (a) | 1,771 | 300,964 | ||||||
Total System Services, Inc. (a) | 1,168 | 94,947 | ||||||
United Rentals, Inc. (a) (b) | 589 | 60,390 | ||||||
Verisk Analytics, Inc. (a) (b) | 1,254 | 136,736 | ||||||
The Western Union Co. (a) | 3,244 | 55,343 | ||||||
|
| |||||||
3,045,119 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 1.5% |
| |||||||
Colgate-Palmolive Co. (a) | 6,302 | 375,095 | ||||||
Coty, Inc. Class A (a) | 3,329 | 21,838 | ||||||
The Estee Lauder Cos., Inc. Class A (a) | 1,578 | 205,298 | ||||||
The Procter & Gamble Co. (a) | 17,921 | 1,647,299 | ||||||
|
| |||||||
2,249,530 | ||||||||
|
| |||||||
Foods — 1.3% |
| |||||||
Campbell Soup Co. (a) | 1,341 | 44,239 | ||||||
Conagra Brands, Inc. (a) | 3,741 | 79,908 | ||||||
General Mills, Inc. (a) | 4,184 | 162,925 | ||||||
The Hershey Co. (a) | 983 | 105,358 | ||||||
Hormel Foods Corp. (a) | 1,910 | 81,519 | ||||||
The J.M. Smucker Co. (a) | 788 | 73,670 | ||||||
Kellogg Co. (a) | 1,761 | 100,395 | ||||||
The Kraft Heinz Co. (a) | 4,574 | 196,865 | ||||||
The Kroger Co. (a) | 5,769 | 158,647 | ||||||
Lamb Weston Holdings, Inc. (a) | 1,100 | 80,916 | ||||||
McCormick & Co., Inc. (a) | 849 | 118,215 | ||||||
Mondelez International, Inc. Class A (a) | 10,543 | 422,036 | ||||||
Sysco Corp. (a) | 3,376 | 211,540 | ||||||
Tyson Foods, Inc. Class A (a) | 2,099 | 112,087 | ||||||
|
| |||||||
1,948,320 | ||||||||
|
|
Number of Shares | Value | |||||||
Health Care - Products — 3.9% |
| |||||||
Abbott Laboratories (a) | 12,661 | $ | 915,770 | |||||
ABIOMED, Inc. (a) (b) | 297 | 96,537 | ||||||
Align Technology, Inc. (a) (b) | 512 | 107,228 | ||||||
Baxter International, Inc. (a) | 3,470 | 228,395 | ||||||
Becton, Dickinson & Co. (a) | 1,947 | 438,698 | ||||||
Boston Scientific Corp. (a) (b) | 10,081 | 356,263 | ||||||
The Cooper Cos., Inc. (a) | 344 | 87,548 | ||||||
Danaher Corp. (a) | 4,472 | 461,153 | ||||||
DENTSPLY SIRONA, Inc. (a) | 1,600 | 59,536 | ||||||
Edwards Lifesciences Corp. (a) (b) | 1,485 | 227,458 | ||||||
Henry Schein, Inc. (a) (b) | 1,070 | 84,016 | ||||||
Hologic, Inc. (a) (b) | 1,921 | 78,953 | ||||||
IDEXX Laboratories, Inc. (a) (b) | 612 | 113,844 | ||||||
Intuitive Surgical, Inc. (a) (b) | 836 | 400,377 | ||||||
Medtronic PLC (a) | 9,667 | 879,310 | ||||||
ResMed, Inc. (a) | 1,005 | 114,439 | ||||||
Stryker Corp. (a) | 2,254 | 353,315 | ||||||
Thermo Fisher Scientific, Inc. (a) | 2,912 | 651,677 | ||||||
Varian Medical Systems, Inc. (a) (b) | 640 | 72,518 | ||||||
Zimmer Biomet Holdings, Inc. (a) | 1,432 | 148,527 | ||||||
|
| |||||||
5,875,562 | ||||||||
|
| |||||||
Health Care - Services — 2.3% |
| |||||||
Anthem, Inc. (a) | 1,882 | 494,270 | ||||||
Centene Corp. (a) (b) | 1,445 | 166,608 | ||||||
DaVita, Inc. (a) (b) | 807 | 41,528 | ||||||
HCA Healthcare, Inc. (a) | 1,957 | 243,549 | ||||||
Humana, Inc. (a) | 970 | 277,886 | ||||||
IQVIA Holdings, Inc. (a) (b) | 1,149 | 133,479 | ||||||
Laboratory Corp. of America Holdings (a) (b) | 721 | 91,105 | ||||||
Quest Diagnostics, Inc. (a) | 954 | 79,440 | ||||||
UnitedHealth Group, Inc. (a) | 6,926 | 1,725,405 | ||||||
Universal Health Services, Inc. Class B (a) | 612 | 71,335 | ||||||
WellCare Health Plans, Inc. (a) (b) | 347 | 81,923 | ||||||
|
| |||||||
3,406,528 | ||||||||
|
| |||||||
Household Products & Wares — 0.4% |
| |||||||
Avery Dennison Corp. (a) | 620 | 55,695 | ||||||
Church & Dwight Co., Inc. (a) | 1,723 | 113,304 | ||||||
The Clorox Co. (a) | 912 | 140,576 | ||||||
Kimberly-Clark Corp. (a) | 2,462 | 280,520 | ||||||
|
| |||||||
590,095 | ||||||||
|
| |||||||
Pharmaceuticals — 6.9% |
| |||||||
AbbVie, Inc. (a) | 10,840 | 999,340 | ||||||
Allergan PLC (a) | 2,304 | 307,953 | ||||||
AmerisourceBergen Corp. (a) | 1,152 | 85,709 | ||||||
Bristol-Myers Squibb Co. (a) | 11,784 | 612,532 | ||||||
Cardinal Health, Inc. (a) | 2,189 | 97,629 | ||||||
Cigna Corp. (a) | 2,767 | 525,488 | ||||||
CVS Health Corp. (a) | 9,331 | 611,367 |
The accompanying notes are an integral part of the financial statements.
99
Table of Contents
MML Managed Volatility Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Eli Lilly & Co. (a) | 6,813 | $ | 788,400 | |||||
Johnson & Johnson (a) | 19,306 | 2,491,439 | ||||||
McKesson Corp. (a) | 1,442 | 159,298 | ||||||
Merck & Co., Inc. (a) | 18,715 | 1,430,013 | ||||||
Mylan NV (a) (b) | 3,631 | 99,489 | ||||||
Nektar Therapeutics (a) (b) | 1,135 | 37,308 | ||||||
Perrigo Co. PLC (a) | 907 | 35,146 | ||||||
Pfizer, Inc. (a) | 41,618 | 1,816,626 | ||||||
Zoetis, Inc. (a) | 3,409 | 291,606 | ||||||
|
| |||||||
10,389,343 | ||||||||
|
| |||||||
35,267,135 | ||||||||
|
| |||||||
Energy — 5.3% |
| |||||||
Oil & Gas — 4.5% |
| |||||||
Anadarko Petroleum Corp. (a) | 3,629 | 159,095 | ||||||
Apache Corp. (a) | 2,693 | 70,691 | ||||||
Cabot Oil & Gas Corp. (a) | 3,181 | 71,095 | ||||||
Chevron Corp. (a) | 13,735 | 1,494,231 | ||||||
Cimarex Energy Co. (a) | 665 | 40,997 | ||||||
Concho Resources, Inc. (a) (b) | 1,476 | 151,718 | ||||||
ConocoPhillips (a) | 8,285 | 516,570 | ||||||
Devon Energy Corp. (a) | 3,368 | 75,915 | ||||||
Diamondback Energy, Inc. (a) | 1,153 | 106,883 | ||||||
EOG Resources, Inc. (a) | 4,204 | 366,631 | ||||||
Exxon Mobil Corp. (a) | 30,439 | 2,075,635 | ||||||
Helmerich & Payne, Inc. (a) | 778 | 37,297 | ||||||
Hess Corp. (a) | 1,660 | 67,230 | ||||||
HollyFrontier Corp. (a) | 1,080 | 55,210 | ||||||
Marathon Oil Corp. (a) | 6,008 | 86,155 | ||||||
Marathon Petroleum Corp. (a) | 5,042 | 297,528 | ||||||
Newfield Exploration Co. (a) (b) | 1,405 | 20,597 | ||||||
Noble Energy, Inc. (a) | 3,426 | 64,272 | ||||||
Occidental Petroleum Corp. (a) | 5,397 | 331,268 | ||||||
Phillips 66 (a) | 3,117 | 268,530 | ||||||
Pioneer Natural Resources Co. (a) | 1,201 | 157,956 | ||||||
Valero Energy Corp. (a) | 3,036 | 227,609 | ||||||
|
| |||||||
6,743,113 | ||||||||
|
| |||||||
Oil & Gas Services — 0.5% |
| |||||||
Baker Hughes a GE Co. (a) | 3,842 | 82,603 | ||||||
Halliburton Co. (a) | 6,174 | 164,105 | ||||||
National Oilwell Varco, Inc. (a) | 2,689 | 69,107 | ||||||
Schlumberger Ltd. (a) | 10,087 | 363,939 | ||||||
TechnipFMC PLC (a) | 3,054 | 59,797 | ||||||
|
| |||||||
739,551 | ||||||||
|
| |||||||
Pipelines — 0.3% |
| |||||||
Kinder Morgan, Inc. (a) | 13,375 | 205,708 | ||||||
ONEOK, Inc. (a) | 2,897 | 156,293 | ||||||
The Williams Cos., Inc. (a) | 8,949 | 197,325 | ||||||
|
| |||||||
559,326 | ||||||||
|
| |||||||
8,041,990 | ||||||||
|
|
Number of Shares | Value | |||||||
Financial — 17.9% |
| |||||||
Banks — 6.5% |
| |||||||
Bank of America Corp. (a) | 65,484 | $ | 1,613,526 | |||||
The Bank of New York Mellon Corp. (a) | 6,524 | 307,085 | ||||||
BB&T Corp. (a) | 5,587 | 242,029 | ||||||
Citigroup, Inc. (a) | 17,524 | 912,299 | ||||||
Citizens Financial Group, Inc. (a) | 3,415 | 101,528 | ||||||
Comerica, Inc. (a) | 1,274 | 87,511 | ||||||
Fifth Third Bancorp (a) | 4,943 | 116,309 | ||||||
The Goldman Sachs Group, Inc. (a) | 2,501 | 417,792 | ||||||
Huntington Bancshares, Inc. (a) | 7,779 | 92,726 | ||||||
JP Morgan Chase & Co. (a) | 23,845 | 2,327,749 | ||||||
KeyCorp (a) | 7,479 | 110,540 | ||||||
M&T Bank Corp. (a) | 961 | 137,548 | ||||||
Morgan Stanley (a) | 9,464 | 375,247 | ||||||
Northern Trust Corp. (a) | 1,661 | 138,843 | ||||||
The PNC Financial Services Group, Inc. (a) | 3,311 | 387,089 | ||||||
Regions Financial Corp. (a) | 7,307 | 97,768 | ||||||
State Street Corp. (a) | 2,792 | 176,091 | ||||||
SunTrust Banks, Inc. (a) | 3,276 | 165,241 | ||||||
SVB Financial Group (a) (b) | 374 | 71,030 | ||||||
US Bancorp (a) | 10,909 | 498,541 | ||||||
Wells Fargo & Co. (a) | 30,425 | 1,401,984 | ||||||
Zions Bancorp NA (a) | 1,363 | 55,529 | ||||||
|
| |||||||
9,834,005 | ||||||||
|
| |||||||
Diversified Financial Services — 4.1% |
| |||||||
Affiliated Managers Group, Inc. (a) | 383 | 37,320 | ||||||
Alliance Data Systems Corp. (a) | 339 | 50,877 | ||||||
American Express Co. (a) | 5,048 | 481,175 | ||||||
Ameriprise Financial, Inc. (a) | 1,027 | 107,188 | ||||||
BlackRock, Inc. (a) | 869 | 341,361 | ||||||
Capital One Financial Corp. (a) | 3,449 | 260,710 | ||||||
Cboe Global Markets, Inc. (a) | 792 | 77,481 | ||||||
The Charles Schwab Corp. (a) | 8,459 | 351,302 | ||||||
CME Group, Inc. (a) | 2,583 | 485,914 | ||||||
Discover Financial Services (a) | 2,323 | 137,011 | ||||||
E*TRADE Financial Corp. (a) | 1,856 | 81,441 | ||||||
Franklin Resources, Inc. (a) | 2,350 | 69,701 | ||||||
Intercontinental Exchange, Inc. (a) | 4,143 | 312,092 | ||||||
Invesco Ltd. (a) | 2,841 | 47,558 | ||||||
Jefferies Financial Group, Inc. (a) | 2,137 | 37,098 | ||||||
Mastercard, Inc. Class A (a) | 6,541 | 1,233,960 | ||||||
Nasdaq, Inc. (a) | 823 | 67,132 | ||||||
Raymond James Financial, Inc. (a) | 909 | 67,639 | ||||||
Synchrony Financial (a) | 4,630 | 108,620 | ||||||
T. Rowe Price Group, Inc. (a) | 1,705 | 157,406 | ||||||
Visa, Inc. Class A (a) | 12,630 | 1,666,402 | ||||||
|
| |||||||
6,179,388 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
100
Table of Contents
MML Managed Volatility Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Insurance — 4.3% |
| |||||||
Aflac, Inc. (a) | 5,460 | $ | 248,758 | |||||
The Allstate Corp. (a) | 2,498 | 206,410 | ||||||
American International Group, Inc. (a) | 6,329 | 249,426 | ||||||
Aon PLC (a) | 1,723 | 250,455 | ||||||
Arthur J Gallagher & Co. (a) | 1,286 | 94,778 | ||||||
Assurant, Inc. (a) | 369 | 33,003 | ||||||
Berkshire Hathaway, Inc. Class B (a) (b) | 13,977 | 2,853,824 | ||||||
Brighthouse Financial, Inc. (a) (b) | 843 | 25,695 | ||||||
Chubb Ltd. (a) | 3,321 | 429,007 | ||||||
Cincinnati Financial Corp. (a) | 1,053 | 81,523 | ||||||
Everest Re Group Ltd. (a) | 288 | 62,715 | ||||||
The Hartford Financial Services Group, Inc. (a) | 2,524 | 112,192 | ||||||
Lincoln National Corp. (a) | 1,526 | 78,299 | ||||||
Loews Corp. (a) | 2,096 | 95,410 | ||||||
Marsh & McLennan Cos., Inc. (a) | 3,650 | 291,087 | ||||||
MetLife, Inc. (a) | 7,125 | 292,552 | ||||||
Principal Financial Group, Inc. (a) | 1,875 | 82,819 | ||||||
The Progressive Corp. (a) | 4,104 | 247,594 | ||||||
Prudential Financial, Inc. (a) | 2,979 | 242,937 | ||||||
Torchmark Corp. (a) | 745 | 55,525 | ||||||
The Travelers Cos., Inc. (a) | 1,905 | 228,124 | ||||||
Unum Group (a) | 1,555 | 45,686 | ||||||
Willis Towers Watson PLC (a) | 965 | 146,545 | ||||||
|
| |||||||
6,454,364 | ||||||||
|
| |||||||
Real Estate — 0.1% |
| |||||||
CBRE Group, Inc. Class A (a) (b) | 2,130 | 85,285 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 2.9% |
| |||||||
Alexandria Real Estate Equities, Inc. (a) | 873 | 100,605 | ||||||
American Tower Corp. (a) | 3,181 | 503,202 | ||||||
Apartment Investment & Management Co. Class A (a) | 1,111 | 48,751 | ||||||
AvalonBay Communities, Inc. (a) | 1,049 | 182,578 | ||||||
Boston Properties, Inc. (a) | 1,088 | 122,454 | ||||||
Crown Castle International Corp. (a) | 2,924 | 317,634 | ||||||
Digital Realty Trust, Inc. (a) | 1,466 | 156,202 | ||||||
Duke Realty Corp. (a) | 2,511 | 65,035 | ||||||
Equinix, Inc. (a) | 560 | 197,434 | ||||||
Equity Residential (a) | 2,596 | 171,362 | ||||||
Essex Property Trust, Inc. (a) | 465 | 114,023 | ||||||
Extra Space Storage, Inc. (a) | 889 | 80,437 | ||||||
Federal Realty Investment Trust (a) | 517 | 61,027 | ||||||
HCP, Inc. (a) | 3,316 | 92,616 | ||||||
Host Hotels & Resorts, Inc. (a) | 5,224 | 87,084 | ||||||
Iron Mountain, Inc. (a) | 1,984 | 64,301 | ||||||
Kimco Realty Corp. (a) | 2,944 | 43,130 | ||||||
The Macerich Co. (a) | 765 | 33,109 | ||||||
Mid-America Apartment Communities, Inc. (a) | 794 | 75,986 |
Number of Shares | Value | |||||||
Prologis, Inc. (a) | 4,434 | $ | 260,364 | |||||
Public Storage (a) | 1,056 | 213,745 | ||||||
Realty Income Corp. (a) | 2,251 | 141,903 | ||||||
Regency Centers Corp. (a) | 1,368 | 80,274 | ||||||
SBA Communications Corp. (a) (b) | 812 | 131,455 | ||||||
Simon Property Group, Inc. (a) | 2,236 | 375,626 | ||||||
SL Green Realty Corp. (a) | 623 | 49,267 | ||||||
UDR, Inc. (a) | 2,282 | 90,413 | ||||||
Ventas, Inc. (a) | 2,511 | 147,119 | ||||||
Vornado Realty Trust (a) | 1,220 | 75,677 | ||||||
Welltower, Inc. (a) | 2,785 | 193,307 | ||||||
Weyerhaeuser Co. (a) | 5,383 | 117,672 | ||||||
|
| |||||||
4,393,792 | ||||||||
|
| |||||||
Savings & Loans — 0.0% |
| |||||||
People’s United Financial, Inc. (a) | 3,670 | 52,958 | ||||||
|
| |||||||
26,999,792 | ||||||||
|
| |||||||
Industrial — 9.1% |
| |||||||
Aerospace & Defense — 2.4% |
| |||||||
Arconic, Inc. (a) | 2,993 | 50,462 | ||||||
The Boeing Co. (a) | 3,801 | 1,225,822 | ||||||
General Dynamics Corp. (a) | 1,947 | 306,088 | ||||||
Harris Corp. (a) | 837 | 112,702 | ||||||
L3 Technologies, Inc. (a) | 550 | 95,513 | ||||||
Lockheed Martin Corp. (a) | 1,796 | 470,265 | ||||||
Northrop Grumman Corp. (a) | 1,268 | 310,533 | ||||||
Raytheon Co. (a) | 2,077 | 318,508 | ||||||
TransDigm Group, Inc. (a) (b) | 343 | 116,641 | ||||||
United Technologies Corp. (a) | 5,857 | 623,653 | ||||||
|
| |||||||
3,630,187 | ||||||||
|
| |||||||
Building Materials — 0.3% |
| |||||||
Fortune Brands Home & Security, Inc. (a) | 1,021 | 38,788 | ||||||
Johnson Controls International PLC (a) | 6,522 | 193,377 | ||||||
Martin Marietta Materials, Inc. (a) | 444 | 76,310 | ||||||
Masco Corp. (a) | 2,501 | 73,129 | ||||||
Vulcan Materials Co. (a) | 932 | 92,082 | ||||||
|
| |||||||
473,686 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.2% |
| |||||||
AMETEK, Inc. (a) | 1,630 | 110,351 | ||||||
Emerson Electric Co. (a) | 4,438 | 265,171 | ||||||
|
| |||||||
375,522 | ||||||||
|
| |||||||
Electronics — 1.4% |
| |||||||
Agilent Technologies, Inc. (a) | 2,252 | 151,920 | ||||||
Allegion PLC (a) | 667 | 53,167 | ||||||
Amphenol Corp. Class A (a) | 2,127 | 172,330 | ||||||
Corning, Inc. (a) | 5,934 | 179,266 | ||||||
FLIR Systems, Inc. (a) | 966 | 42,060 | ||||||
Fortive Corp. (a) | 2,172 | 146,957 | ||||||
Garmin Ltd. (a) | 950 | 60,154 |
The accompanying notes are an integral part of the financial statements.
101
Table of Contents
MML Managed Volatility Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Honeywell International, Inc. (a) | 5,315 | $ | 702,218 | |||||
Keysight Technologies, Inc. (a) (b) | 1,327 | 82,380 | ||||||
Mettler-Toledo International, Inc. (a) (b) | 179 | 101,239 | ||||||
PerkinElmer, Inc. (a) | 777 | 61,033 | ||||||
TE Connectivity Ltd. (a) | 2,558 | 193,461 | ||||||
Waters Corp. (a) (b) | 556 | 104,889 | ||||||
|
| |||||||
2,051,074 | ||||||||
|
| |||||||
Engineering & Construction — 0.1% |
| |||||||
Fluor Corp. (a) | 990 | 31,878 | ||||||
Jacobs Engineering Group, Inc. (a) | 848 | 49,574 | ||||||
|
| |||||||
81,452 | ||||||||
|
| |||||||
Environmental Controls — 0.3% |
| |||||||
Pentair PLC (a) | 1,140 | 43,069 | ||||||
Republic Services, Inc. (a) | 1,626 | 117,218 | ||||||
Waste Management, Inc. (a) | 2,853 | 253,889 | ||||||
|
| |||||||
414,176 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.1% |
| |||||||
Snap-on, Inc. (a) | 398 | 57,825 | ||||||
Stanley Black & Decker, Inc. (a) | 1,083 | 129,679 | ||||||
|
| |||||||
187,504 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.4% |
| |||||||
Caterpillar, Inc. (a) | 4,282 | 544,114 | ||||||
|
| |||||||
Machinery – Diversified — 0.7% |
| |||||||
Cummins, Inc. (a) | 1,023 | 136,714 | ||||||
Deere & Co. (a) | 2,348 | 350,251 | ||||||
Dover Corp. (a) | 1,157 | 82,089 | ||||||
Flowserve Corp. (a) | 900 | 34,218 | ||||||
Rockwell Automation, Inc. (a) | 830 | 124,898 | ||||||
Roper Technologies, Inc. (a) | 732 | 195,093 | ||||||
Xylem, Inc. (a) | 1,266 | 84,468 | ||||||
|
| |||||||
1,007,731 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.4% |
| |||||||
3M Co. (a) | 4,185 | 797,410 | ||||||
A.O. Smith Corp. (a) | 1,016 | 43,383 | ||||||
Eaton Corp. PLC (a) | 3,241 | 222,527 | ||||||
General Electric Co. (a) | 62,956 | 476,577 | ||||||
Illinois Tool Works, Inc. (a) | 2,147 | 272,003 | ||||||
Ingersoll-Rand PLC (a) | 1,746 | 159,288 | ||||||
Parker-Hannifin Corp. (a) | 938 | 139,893 | ||||||
Textron, Inc. (a) | 1,804 | 82,966 | ||||||
|
| |||||||
2,194,047 | ||||||||
|
| |||||||
Packaging & Containers — 0.2% |
| |||||||
Ball Corp. (a) | 2,460 | 113,111 | ||||||
Packaging Corp. of America (a) | 664 | 55,417 | ||||||
Sealed Air Corp. (a) | 1,110 | 38,672 | ||||||
WestRock Co. (a) | 1,805 | 68,157 | ||||||
|
| |||||||
275,357 | ||||||||
|
|
Number of Shares | Value | |||||||
Shipbuilding — 0.0% |
| |||||||
Huntington Ingalls Industries, Inc. (a) | 317 | $ | 60,328 | |||||
|
| |||||||
Transportation — 1.6% |
| |||||||
C.H. Robinson Worldwide, Inc. (a) | 990 | 83,249 | ||||||
CSX Corp. (a) | 5,630 | 349,792 | ||||||
Expeditors International of Washington, Inc. (a) | 1,227 | 83,546 | ||||||
FedEx Corp. (a) | 1,775 | 286,361 | ||||||
J.B. Hunt Transport Services, Inc. (a) | 597 | 55,545 | ||||||
Kansas City Southern (a) | 738 | 70,442 | ||||||
Norfolk Southern Corp. (a) | 1,990 | 297,585 | ||||||
Union Pacific Corp. (a) | 5,327 | 736,351 | ||||||
United Parcel Service, Inc. Class B (a) | 5,013 | 488,918 | ||||||
|
| |||||||
2,451,789 | ||||||||
|
| |||||||
13,746,967 | ||||||||
|
| |||||||
Technology — 16.0% |
| |||||||
Computers — 5.1% |
| |||||||
Accenture PLC Class A (a) | 4,582 | 646,108 | ||||||
Apple, Inc. (a) | 32,438 | 5,116,770 | ||||||
Cognizant Technology Solutions Corp. Class A (a) | 4,129 | 262,109 | ||||||
DXC Technology Co. (a) | 2,006 | 106,659 | ||||||
Fortinet, Inc. (a) (b) | 1,149 | 80,924 | ||||||
Hewlett Packard Enterprise Co. (a) | 10,073 | 133,064 | ||||||
HP, Inc. (a) | 11,512 | 235,535 | ||||||
International Business Machines Corp. (a) | 6,540 | 743,402 | ||||||
NetApp, Inc. (a) | 1,891 | 112,836 | ||||||
Seagate Technology PLC (a) | 1,765 | 68,111 | ||||||
Western Digital Corp. (a) | 2,108 | 77,933 | ||||||
|
| |||||||
7,583,451 | ||||||||
|
| |||||||
Office & Business Equipment — 0.0% |
| |||||||
Xerox Corp. (a) | 1,505 | 29,739 | ||||||
|
| |||||||
Semiconductors — 3.8% |
| |||||||
Advanced Micro Devices, Inc. (a) (b) | 5,804 | 107,142 | ||||||
Analog Devices, Inc. (a) | 2,613 | 224,274 | ||||||
Applied Materials, Inc. (a) | 7,293 | 238,773 | ||||||
Broadcom, Inc. (a) | 2,997 | 762,077 | ||||||
Intel Corp. (a) | 32,832 | 1,540,806 | ||||||
IPG Photonics Corp. (a) (b) | 264 | 29,909 | ||||||
KLA-Tencor Corp. (a) | 1,096 | 98,081 | ||||||
Lam Research Corp. (a) | 1,079 | 146,927 | ||||||
Maxim Integrated Products, Inc. (a) | 2,122 | 107,904 | ||||||
Microchip Technology, Inc. (a) | 1,654 | 118,956 | ||||||
Micron Technology, Inc. (a) (b) | 8,171 | 259,266 | ||||||
NVIDIA Corp. (a) | 4,415 | 589,402 | ||||||
Qorvo, Inc. (a) (b) | 891 | 54,110 | ||||||
QUALCOMM, Inc. (a) | 8,739 | 497,336 | ||||||
Skyworks Solutions, Inc. (a) | 1,294 | 86,724 | ||||||
Texas Instruments, Inc. (a) | 6,928 | 654,696 |
The accompanying notes are an integral part of the financial statements.
102
Table of Contents
MML Managed Volatility Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Xilinx, Inc. (a) | 1,784 | $ | 151,943 | |||||
|
| |||||||
5,668,326 | ||||||||
|
| |||||||
Software — 7.1% |
| |||||||
Activision Blizzard, Inc. (a) | 5,363 | 249,755 | ||||||
Adobe, Inc. (a) (b) | 3,536 | 799,985 | ||||||
Akamai Technologies, Inc. (a) (b) | 1,202 | 73,418 | ||||||
ANSYS, Inc. (a) (b) | 592 | 84,620 | ||||||
Autodesk, Inc. (a) (b) | 1,553 | 199,731 | ||||||
Broadridge Financial Solutions, Inc. (a) | 821 | 79,021 | ||||||
Cadence Design Systems, Inc. (a) (b) | 1,986 | 86,351 | ||||||
Cerner Corp. (a) (b) | 2,450 | 128,478 | ||||||
Citrix Systems, Inc. (a) | 907 | 92,931 | ||||||
Electronic Arts, Inc. (a) (b) | 2,161 | 170,525 | ||||||
Fidelity National Information Services, Inc. (a) | 2,394 | 245,505 | ||||||
Fiserv, Inc. (a) (b) | 2,931 | 215,399 | ||||||
Intuit, Inc. (a) | 1,894 | 372,834 | ||||||
Jack Henry & Associates, Inc. (a) | 537 | 67,941 | ||||||
Microsoft Corp. (a) | 55,611 | 5,648,409 | ||||||
MSCI, Inc. (a) | 630 | 92,881 | ||||||
Oracle Corp. (a) | 18,346 | 828,322 | ||||||
Paychex, Inc. (a) | 2,253 | 146,783 | ||||||
Red Hat, Inc. (a) (b) | 1,256 | 220,604 | ||||||
salesforce.com, Inc. (a) (b) | 5,578 | 764,019 | ||||||
Synopsys, Inc. (a) (b) | 1,049 | 88,368 | ||||||
Take-Two Interactive Software, Inc. (a) (b) | 805 | 82,867 | ||||||
|
| |||||||
10,738,747 | ||||||||
|
| |||||||
24,020,263 | ||||||||
|
| |||||||
Utilities — 3.4% |
| |||||||
Electric — 3.2% |
| |||||||
AES Corp. (a) | 4,650 | 67,239 | ||||||
Alliant Energy Corp. (a) | 1,977 | 83,528 | ||||||
Ameren Corp. (a) | 1,724 | 112,457 | ||||||
American Electric Power Co., Inc. (a) | 3,470 | 259,348 | ||||||
CenterPoint Energy, Inc. (a) | 3,657 | 103,237 | ||||||
CMS Energy Corp. (a) | 2,231 | 110,769 | ||||||
Consolidated Edison, Inc. (a) | 2,187 | 167,218 | ||||||
Dominion Energy, Inc. (a) | 4,757 | 339,935 | ||||||
DTE Energy Co. (a) | 1,284 | 141,625 | ||||||
Duke Energy Corp. (a) | 5,090 | 439,267 | ||||||
Edison International (a) | 2,302 | 130,685 | ||||||
Entergy Corp. (a) | 1,270 | 109,309 | ||||||
Evergy, Inc. (a) | 1,905 | 108,147 | ||||||
Eversource Energy (a) | 2,232 | 145,169 | ||||||
Exelon Corp. (a) | 6,801 | 306,725 | ||||||
FirstEnergy Corp. (a) | 3,624 | 136,081 | ||||||
NextEra Energy, Inc. (a) | 3,428 | 595,855 | ||||||
NRG Energy, Inc. (a) | 2,106 | 83,398 | ||||||
PG&E Corp. (a) (b) | 3,639 | 86,426 | ||||||
Pinnacle West Capital Corp. (a) | 786 | 66,967 |
Number of Shares | Value | |||||||
PPL Corp. (a) | 5,344 | $ | 151,396 | |||||
Public Service Enterprise Group, Inc. (a) | 3,588 | 186,755 | ||||||
SCANA Corp. (a) | 970 | 46,347 | ||||||
Sempra Energy (a) | 1,997 | 216,055 | ||||||
The Southern Co. (a) | 7,378 | 324,042 | ||||||
WEC Energy Group, Inc. (a) | 2,244 | 155,419 | ||||||
Xcel Energy, Inc. (a) | 3,807 | 187,571 | ||||||
|
| |||||||
4,860,970 | ||||||||
|
| |||||||
Gas — 0.1% |
| |||||||
NiSource, Inc. (a) | 2,926 | 74,174 | ||||||
|
| |||||||
Water — 0.1% |
| |||||||
American Water Works Co., Inc. (a) | 1,251 | 113,554 | ||||||
|
| |||||||
5,048,698 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $117,006,713) | 151,267,518 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $117,006,713) | 151,267,518 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 0.0% |
| |||||||
CORPORATE DEBT — 0.0% |
| |||||||
Forest Products & Paper — 0.0% |
| |||||||
Sino Forest Corp. 5.000% 8/01/49 (d) (e) | $ | 359,000 | — | |||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $0) | — | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $0) | — | |||||||
|
| |||||||
Number of Shares | ||||||||
MUTUAL FUNDS — 0.0% |
| |||||||
Diversified Financial Services — 0.0% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (f) | 8,989 | 8,989 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $8,989) | 8,989 | |||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (#) — 0.7% (Cost $1,518,575) | 1,039,310 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $118,534,277) | 152,315,817 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
103
Table of Contents
MML Managed Volatility Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 4.2% |
| |||||||
Repurchase Agreement — 4.2% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (g) | $ | 6,278,177 | $ | 6,278,177 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,278,177) | 6,278,177 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 105.3% (Cost $124,812,454) (h) | 158,593,994 | |||||||
|
| |||||||
Other Assets/(Liabilities) — (5.3)% | (7,995,971 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 150,598,023 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | All or a portion of these securities are pledged/held as collateral for written options.(Note 2). |
(b) | Non-income producing security. |
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $8,761 or 0.01% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers.(Note 2). |
(d) | Investment was valued using significant unobservable inputs. |
(e) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2018, these securities amounted to a value of $0 or 0.00% of net assets. |
(f) | Represents investment of security lending collateral.(Note 2). |
(g) | Maturity value of $6,278,613. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $6,406,594. |
(h) | See Note 6 for aggregate cost for federal tax purposes. |
(#) Purchased Options contracts at December 31, 2018:
Units | Notional Amount | Expiration Date | Description | Premiums Purchased | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
85 | USD | 18,912,500 | 1/18/19 | S&P 500 Index, Strike 2,225 | $ | 80,113 | $ | 35,275 | $ | (44,838 | ) | |||||||||||||||||
78 | USD | 16,575,000 | 2/15/19 | S&P 500 Index, Strike 2,125 | 248,307 | 66,300 | (182,007 | ) | ||||||||||||||||||||
85 | USD | 19,125,000 | 2/15/19 | S&P 500 Index, Strike 2,250 | 224,293 | 150,025 | (74,268 | ) | ||||||||||||||||||||
64 | USD | 14,880,000 | 2/15/19 | S&P 500 Index, Strike 2,325 | 179,360 | 195,840 | 16,480 | |||||||||||||||||||||
69 | USD | 16,387,500 | 2/15/19 | S&P 500 Index, Strike 2,375 | 255,472 | 262,890 | 7,418 | |||||||||||||||||||||
78 | USD | 17,160,000 | 3/15/19 | S&P 500 Index, Strike 2,200 | 347,295 | 179,400 | (167,895 | ) | ||||||||||||||||||||
54 | USD | 12,150,000 | 3/15/19 | S&P 500 Index, Strike 2,250 | 183,735 | 149,580 | (34,155 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
1,518,575 | 1,039,310 | (479,265 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
104
Table of Contents
MML Managed Volatility Fund – Portfolio of Investments(Continued)
Written Options contracts at December 31, 2018:
Units | Notional Amount | Expiration Date | Description | Premiums Received | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||
65 | USD | 16,412,500 | 1/11/19 | S&P 500 Index, Strike 2,525 | $ | (291,038 | ) | $ | (208,650 | ) | $ | 82,388 | ||||||||||||||||
68 | USD | 16,830,000 | 1/18/19 | S&P 500 Index, Strike 2,475 | (315,350 | ) | (497,080 | ) | (181,730 | ) | ||||||||||||||||||
69 | USD | 17,250,000 | 1/18/19 | S&P 500 Index, Strike 2,500 | (381,219 | ) | (401,580 | ) | (20,361 | ) | ||||||||||||||||||
68 | USD | 17,170,000 | 1/18/19 | S&P 500 Index, Strike 2,525 | (299,662 | ) | (261,800 | ) | 37,862 | |||||||||||||||||||
70 | USD | 18,025,000 | 1/18/19 | S&P 500 Index, Strike 2,575 | (373,173 | ) | (151,900 | ) | 221,273 | |||||||||||||||||||
71 | USD | 17,217,500 | 1/25/19 | S&P 500 Index, Strike 2,425 | (432,530 | ) | (785,970 | ) | (353,440 | ) | ||||||||||||||||||
65 | USD | 16,412,500 | 2/15/19 | S&P 500 Index, Strike 2,525 | (478,350 | ) | (468,000 | ) | 10,350 | |||||||||||||||||||
60 | USD | 15,600,000 | 2/15/19 | S&P 500 Index, Strike 2,600 | (457,650 | ) | (196,800 | ) | 260,850 | |||||||||||||||||||
65 | USD | 17,062,500 | 2/15/19 | S&P 500 Index, Strike 2,625 | (502,678 | ) | (157,950 | ) | 344,728 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
(3,531,650 | ) | (3,129,730 | ) | 401,920 | ||||||||||||||||||||||||
|
|
|
|
|
|
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
105
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 94.0% |
| |||||||
COMMON STOCK — 93.2% |
| |||||||
Basic Materials — 3.0% |
| |||||||
Chemicals — 2.5% |
| |||||||
Air Products & Chemicals, Inc. | 30,000 | $ | 4,801,500 | |||||
RPM International, Inc. | 61,000 | 3,585,580 | ||||||
Valvoline, Inc. | 104,000 | 2,012,400 | ||||||
|
| |||||||
10,399,480 | ||||||||
|
| |||||||
Mining — 0.5% |
| |||||||
Franco-Nevada Corp. (a) | 30,000 | 2,105,100 | ||||||
|
| |||||||
12,504,580 | ||||||||
|
| |||||||
Communications — 2.7% |
| |||||||
Internet — 2.6% |
| |||||||
IAC/InterActiveCorp (b) | 35,000 | 6,406,400 | ||||||
Shopify, Inc. Class A (b) | 5,000 | 692,250 | ||||||
Symantec Corp. | 159,000 | 3,004,305 | ||||||
Zillow Group, Inc. Class A (b) | 7,000 | 220,010 | ||||||
Zillow Group, Inc. Class C (a) (b) | 24,000 | 757,920 | ||||||
|
| |||||||
11,080,885 | ||||||||
|
| |||||||
Telecommunications — 0.1% |
| |||||||
Maxar Technologies Ltd. | 28,000 | 334,880 | ||||||
|
| |||||||
11,415,765 | ||||||||
|
| |||||||
Consumer, Cyclical — 16.3% |
| |||||||
Airlines — 0.9% |
| |||||||
Alaska Air Group, Inc. | 19,000 | 1,156,150 | ||||||
United Continental Holdings, Inc. (b) | 30,000 | 2,511,900 | ||||||
|
| |||||||
3,668,050 | ||||||||
|
| |||||||
Auto Manufacturers — 0.1% |
| |||||||
Ferrari NV (a) | 4,000 | 397,760 | ||||||
|
| |||||||
Auto Parts & Equipment — 1.1% |
| |||||||
Aptiv PLC | 57,000 | 3,509,490 | ||||||
Visteon Corp. (b) | 16,000 | 964,480 | ||||||
|
| |||||||
4,473,970 | ||||||||
|
| |||||||
Distribution & Wholesale — 1.0% |
| |||||||
HD Supply Holdings, Inc. (b) | 30,000 | 1,125,600 | ||||||
KAR Auction Services, Inc. | 60,000 | 2,863,200 | ||||||
|
| |||||||
3,988,800 | ||||||||
|
| |||||||
Entertainment — 0.9% |
| |||||||
Vail Resorts, Inc. | 18,000 | 3,794,760 | ||||||
|
| |||||||
Food Services — 0.5% |
| |||||||
Aramark | 73,000 | 2,114,810 | ||||||
|
| |||||||
Leisure Time — 1.3% |
| |||||||
Norwegian Cruise Line Holdings Ltd. (b) | 129,000 | 5,468,310 | ||||||
|
| |||||||
Lodging — 2.4% |
| |||||||
Hilton Worldwide Holdings, Inc. | 38,000 | 2,728,400 |
Number of Shares | Value | |||||||
Marriott International, Inc. Class A | 30,000 | $ | 3,256,800 | |||||
MGM Resorts International | 173,000 | 4,196,980 | ||||||
|
| |||||||
10,182,180 | ||||||||
|
| |||||||
Retail — 8.1% |
| |||||||
Burlington Stores, Inc. (b) | 21,000 | 3,416,070 | ||||||
CarMax, Inc. (b) | 42,000 | 2,634,660 | ||||||
Casey’s General Stores, Inc. | 29,000 | 3,716,060 | ||||||
Darden Restaurants, Inc. | 13,000 | 1,298,180 | ||||||
Dollar General Corp. | 48,000 | 5,187,840 | ||||||
Dollar Tree, Inc. (b) | 41,000 | 3,703,120 | ||||||
Dunkin’ Brands Group, Inc. | 38,000 | 2,436,560 | ||||||
The Michaels Cos., Inc. (b) | 60,000 | 812,400 | ||||||
O’Reilly Automotive, Inc. (b) | 8,000 | 2,754,640 | ||||||
Tapestry, Inc. | 181,000 | 6,108,750 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. (b) | 8,000 | 1,958,720 | ||||||
|
| |||||||
34,027,000 | ||||||||
|
| |||||||
68,115,640 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 25.1% |
| |||||||
Biotechnology — 1.7% |
| |||||||
Alnylam Pharmaceuticals, Inc. (b) | 19,000 | 1,385,290 | ||||||
Exact Sciences Corp. (b) | 26,000 | 1,640,600 | ||||||
Incyte Corp. (b) | 31,000 | 1,971,290 | ||||||
Sage Therapeutics, Inc. (b) | 7,000 | 670,530 | ||||||
Seattle Genetics, Inc. (b) | 26,000 | 1,473,160 | ||||||
|
| |||||||
7,140,870 | ||||||||
|
| |||||||
Commercial Services — 8.7% |
| |||||||
CoreLogic, Inc. (b) | 91,000 | 3,041,220 | ||||||
CoStar Group, Inc. (b) | 7,500 | 2,530,050 | ||||||
Equifax, Inc. | 23,000 | 2,141,990 | ||||||
FleetCor Technologies, Inc. (b) | 19,000 | 3,528,680 | ||||||
Gartner, Inc. (b) | 15,000 | 1,917,600 | ||||||
Global Payments, Inc. | 19,000 | 1,959,470 | ||||||
IHS Markit Ltd. (b) | 57,000 | 2,734,290 | ||||||
MarketAxess Holdings, Inc. | 7,000 | 1,479,170 | ||||||
ServiceMaster Global Holdings, Inc. (b) | 61,000 | 2,241,140 | ||||||
TransUnion | 60,000 | 3,408,000 | ||||||
Verisk Analytics, Inc. (b) | 45,000 | 4,906,800 | ||||||
WeWork Companies, Inc. Class A (b) (c) (d) | 8,764 | 454,063 | ||||||
Worldpay, Inc. Class A (b) | 79,000 | 6,037,970 | ||||||
|
| |||||||
36,380,443 | ||||||||
|
| |||||||
Foods — 2.1% |
| |||||||
Conagra Brands, Inc. | 75,000 | 1,602,000 | ||||||
The Kroger Co. | 86,000 | 2,365,000 | ||||||
Sprouts Farmers Market, Inc. (b) | 90,000 | 2,115,900 | ||||||
TreeHouse Foods, Inc. (b) | 53,000 | 2,687,630 | ||||||
|
| |||||||
8,770,530 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
106
Table of Contents
MML Mid Cap Growth Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Health Care – Products — 8.8% |
| |||||||
Bruker Corp. | 140,246 | $ | 4,175,123 | |||||
The Cooper Cos., Inc. | 34,000 | 8,653,000 | ||||||
Hologic, Inc. (b) | 193,000 | 7,932,300 | ||||||
ICU Medical, Inc. (b) | 8,000 | 1,837,040 | ||||||
IDEXX Laboratories, Inc. (b) | 6,000 | 1,116,120 | ||||||
Teleflex, Inc. | 42,000 | 10,856,160 | ||||||
West Pharmaceutical Services, Inc. | 23,000 | 2,254,690 | ||||||
|
| |||||||
36,824,433 | ||||||||
|
| |||||||
Health Care – Services — 2.0% |
| |||||||
Acadia Healthcare Co., Inc. (a) (b) | 56,000 | 1,439,760 | ||||||
Catalent, Inc. (b) | 117,000 | 3,648,060 | ||||||
IQVIA Holdings, Inc. (b) | 15,000 | 1,742,550 | ||||||
MEDNAX, Inc. (b) | 45,000 | 1,485,000 | ||||||
|
| |||||||
8,315,370 | ||||||||
|
| |||||||
Household Products & Wares — 0.3% |
| |||||||
Avery Dennison Corp. | 15,000 | 1,347,450 | ||||||
|
| |||||||
Pharmaceuticals — 1.5% |
| |||||||
Alkermes PLC (b) | 91,000 | 2,685,410 | ||||||
Amneal Pharmaceuticals, Inc. (b) | 109,000 | 1,474,770 | ||||||
Elanco Animal Health, Inc. (a) (b) | 12,000 | 378,360 | ||||||
Perrigo Co. PLC | 38,000 | 1,472,500 | ||||||
|
| |||||||
6,011,040 | ||||||||
|
| |||||||
104,790,136 | ||||||||
|
| |||||||
Energy — 2.1% |
| |||||||
Oil & Gas — 2.1% |
| |||||||
Cabot Oil & Gas Corp. | 106,000 | 2,369,100 | ||||||
Centennial Resource Development, Inc. Class A (a) (b) | 74,000 | 815,480 | ||||||
Concho Resources, Inc. (b) | 30,000 | 3,083,700 | ||||||
Continental Resources, Inc. (b) | 38,000 | 1,527,220 | ||||||
Venture Global LNG, Inc. Series B (b) (c) (d) | 21 | 109,200 | ||||||
Venture Global LNG, Inc. Series C (b) (c) (d) | 144 | 748,800 | ||||||
|
| |||||||
8,653,500 | ||||||||
|
| |||||||
Financial — 8.1% |
| |||||||
Banks — 1.0% |
| |||||||
Fifth Third Bancorp | 122,000 | 2,870,660 | ||||||
Webster Financial Corp. | 27,000 | 1,330,830 | ||||||
|
| |||||||
4,201,490 | ||||||||
|
| |||||||
Diversified Financial Services — 2.6% |
| |||||||
Cboe Global Markets, Inc. | 38,000 | 3,717,540 | ||||||
SLM Corp. (b) | 137,000 | 1,138,470 | ||||||
TD Ameritrade Holding Corp. | 125,000 | 6,120,000 | ||||||
|
| |||||||
10,976,010 | ||||||||
|
| |||||||
Insurance — 4.1% |
| |||||||
Assurant, Inc. | 24,000 | 2,146,560 | ||||||
Axis Capital Holdings Ltd. | 26,000 | 1,342,640 |
Number of Shares | Value | |||||||
Fidelity National Financial, Inc. | 136,000 | $ | 4,275,840 | |||||
The Progressive Corp. | 30,000 | 1,809,900 | ||||||
Willis Towers Watson PLC | 48,000 | 7,289,280 | ||||||
|
| |||||||
16,864,220 | ||||||||
|
| |||||||
Private Equity — 0.4% |
| |||||||
KKR & Co., Inc. Class A | 91,000 | 1,786,330 | ||||||
|
| |||||||
33,828,050 | ||||||||
|
| |||||||
Industrial — 21.8% |
| |||||||
Aerospace & Defense — 2.0% |
| |||||||
Harris Corp. | 51,000 | 6,867,150 | ||||||
L3 Technologies, Inc. | 8,000 | 1,389,280 | ||||||
|
| |||||||
8,256,430 | ||||||||
|
| |||||||
Building Materials — 0.4% |
| |||||||
Martin Marietta Materials, Inc. | 11,000 | 1,890,570 | ||||||
|
| |||||||
Electronics — 8.6% |
| |||||||
Agilent Technologies, Inc. | 106,000 | 7,150,760 | ||||||
Allegion PLC | 37,000 | 2,949,270 | ||||||
Coherent, Inc. (b) | 9,000 | 951,390 | ||||||
Corning, Inc. | 151,000 | 4,561,710 | ||||||
Fortive Corp. | 64,000 | 4,330,240 | ||||||
Keysight Technologies, Inc. (b) | 128,000 | 7,946,240 | ||||||
National Instruments Corp. | 34,000 | 1,542,920 | ||||||
Sensata Technologies Holding PLC (b) | 142,000 | 6,367,280 | ||||||
|
| |||||||
35,799,810 | ||||||||
|
| |||||||
Engineering & Construction — 0.2% |
| |||||||
frontdoor, Inc. (b) | 37,000 | 984,570 | ||||||
|
| |||||||
Environmental Controls — 0.7% |
| |||||||
Waste Connections, Inc. | 41,000 | 3,044,250 | ||||||
|
| |||||||
Machinery – Construction & Mining — 0.4% |
| |||||||
BWX Technologies, Inc. | 48,000 | 1,835,040 | ||||||
|
| |||||||
Machinery – Diversified — 4.1% |
| |||||||
Gardner Denver Holdings, Inc. (b) | 131,000 | 2,678,950 | ||||||
IDEX Corp. | 44,000 | 5,555,440 | ||||||
Roper Technologies, Inc. | 19,000 | 5,063,880 | ||||||
Xylem, Inc. | 57,000 | 3,803,040 | ||||||
|
| |||||||
17,101,310 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 2.2% |
| |||||||
Colfax Corp. (b) | 90,000 | 1,881,000 | ||||||
Textron, Inc. | 156,000 | 7,174,440 | ||||||
|
| |||||||
9,055,440 | ||||||||
|
| |||||||
Packaging & Containers — 2.2% |
| |||||||
Ardagh Group SA | 9,000 | 99,720 | ||||||
Ball Corp. | 139,000 | 6,391,220 | ||||||
Sealed Air Corp. | 74,000 | 2,578,160 | ||||||
|
| |||||||
9,069,100 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
107
Table of Contents
MML Mid Cap Growth Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Transportation — 1.0% |
| |||||||
J.B. Hunt Transport Services, Inc. | 13,000 | $ | 1,209,520 | |||||
Kansas City Southern | 30,000 | 2,863,500 | ||||||
|
| |||||||
4,073,020 | ||||||||
|
| |||||||
91,109,540 | ||||||||
|
| |||||||
Technology — 13.0% |
| |||||||
Semiconductors — 4.7% |
| |||||||
Marvell Technology Group Ltd. | 174,000 | 2,817,060 | ||||||
Maxim Integrated Products, Inc. | 57,000 | 2,898,450 | ||||||
Microchip Technology, Inc. (a) | 114,000 | 8,198,880 | ||||||
Skyworks Solutions, Inc. | 34,000 | 2,278,680 | ||||||
Xilinx, Inc. | 38,000 | 3,236,460 | ||||||
|
| |||||||
19,429,530 | ||||||||
|
| |||||||
Software — 8.3% |
| |||||||
athenahealth, Inc. (b) | 4,000 | 527,720 | ||||||
Atlassian Corp. PLC Class A (b) | 38,000 | 3,381,240 | ||||||
Black Knight, Inc. (b) | 68,000 | 3,064,080 | ||||||
CDK Global, Inc. | 28,000 | 1,340,640 | ||||||
Ceridian HCM Holding, Inc. (a) (b) | 12,000 | 413,880 | ||||||
DocuSign, Inc. (a) (b) | 18,999 | 761,480 | ||||||
Electronic Arts, Inc. (b) | 6,000 | 473,460 | ||||||
Fidelity National Information Services, Inc. | 30,000 | 3,076,500 | ||||||
Fiserv, Inc. (b) | 60,000 | 4,409,400 | ||||||
Guidewire Software, Inc. (b) | 10,000 | 802,300 | ||||||
Red Hat, Inc. (b) | 19,000 | 3,337,160 | ||||||
Splunk, Inc. (b) | 19,000 | 1,992,150 | ||||||
SS&C Technologies Holdings, Inc | 41,000 | 1,849,510 | ||||||
Tableau Software, Inc. Class A (b) | 26,000 | 3,120,000 | ||||||
Workday, Inc. Class A (b) | 38,000 | 6,067,840 | ||||||
|
| |||||||
34,617,360 | ||||||||
|
| |||||||
54,046,890 | ||||||||
|
| |||||||
Utilities — 1.1% |
| |||||||
Electric — 0.8% |
| |||||||
Sempra Energy | 30,000 | 3,245,700 | ||||||
|
| |||||||
Gas — 0.3% |
| |||||||
Atmos Energy Corp. | 16,000 | 1,483,521 | ||||||
|
| |||||||
4,729,221 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $318,757,017) | 389,193,322 | |||||||
|
| |||||||
PREFERRED STOCK — 0.8% |
| |||||||
Communications — 0.2% |
| |||||||
Internet — 0.2% |
| |||||||
Roofoods Ltd. Series F (b) (c) (d) | 1,915 | 976,516 | ||||||
|
|
Number of Shares | Value | |||||||
Consumer,Non-cyclical — 0.5% |
| |||||||
Commercial Services — 0.5% |
| |||||||
WeWork Companies, Inc. Series D 1 (b) (c) (d) | 22,197 | $ | 1,150,027 | |||||
WeWork Companies, Inc. Series D 2 (b) (c) (d) | 17,440 | 903,566 | ||||||
|
| |||||||
2,053,593 | ||||||||
|
| |||||||
Technology — 0.1% |
| |||||||
Software — 0.1% |
| |||||||
Slack Technologies, Inc. Series H (b) (c) (d) | 26,680 | 317,633 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $1,654,723) | 3,347,742 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $320,411,740) | 392,541,064 | |||||||
|
| |||||||
MUTUAL FUNDS — 1.8% |
| |||||||
Diversified Financial Services — 1.8% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (e) | 7,672,886 | 7,672,886 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $7,672,886) | 7,672,886 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $328,084,626) | 400,213,950 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 6.7% |
| |||||||
Mutual Fund — 2.9% |
| |||||||
T. Rowe Price Government Reserve Investment Fund, | 12,025,868 | 12,025,868 | ||||||
|
| |||||||
Principal Amount | ||||||||
Repurchase Agreement — 3.8% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (f) | $ | 16,035,413 | 16,035,413 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $28,061,281) | 28,061,281 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 102.5% (Cost $356,145,907) (g) | 428,275,231 | |||||||
Other Assets/(Liabilities) — (2.5)% | (10,607,964 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 417,667,267 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
108
Table of Contents
MML Mid Cap Growth Fund – Portfolio of Investments(Continued)
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $7,509,625 or 1.80% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers.(Note 2). |
(b) | Non-income producing security. |
(c) | Investment was valued using significant unobservable inputs. |
(d) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2018, these securities amounted to a value of $4,659,805 or 1.12% of net assets. |
(e) | Represents investment of security lending collateral.(Note 2). |
(f) | Maturity value of $16,036,526. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $16,356,945. |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
109
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 94.7% |
| |||||||
COMMON STOCK — 94.7% |
| |||||||
Consumer, Cyclical — 11.1% |
| |||||||
Airlines — 1.3% |
| |||||||
Southwest Airlines Co. | 107,300 | $ | 4,987,304 | |||||
|
| |||||||
Auto Manufacturers — 1.5% |
| |||||||
Honda Motor Co. Ltd. Sponsored ADR | 130,286 | 3,446,065 | ||||||
PACCAR, Inc. | 42,298 | 2,416,908 | ||||||
|
| |||||||
5,862,973 | ||||||||
|
| |||||||
Auto Parts & Equipment — 1.0% |
| |||||||
Aptiv PLC | 13,145 | 809,338 | ||||||
BorgWarner, Inc. | 95,975 | 3,334,171 | ||||||
|
| |||||||
4,143,509 | ||||||||
|
| |||||||
Food Services — 0.9% |
| |||||||
Sodexo SA | 34,858 | 3,565,063 | ||||||
|
| |||||||
Home Builders — 1.8% |
| |||||||
PulteGroup, Inc. | 173,066 | 4,497,985 | ||||||
Thor Industries, Inc. | 46,370 | 2,411,240 | ||||||
|
| |||||||
6,909,225 | ||||||||
|
| |||||||
Leisure Time — 0.7% |
| |||||||
Carnival Corp. | 52,799 | 2,602,991 | ||||||
|
| |||||||
Retail — 3.9% |
| |||||||
Advance Auto Parts, Inc. | 25,258 | 3,977,124 | ||||||
Genuine Parts Co. | 33,945 | 3,259,399 | ||||||
MSC Industrial Direct Co., Inc. Class A | 68,838 | 5,295,019 | ||||||
Target Corp. | 38,419 | 2,539,112 | ||||||
|
| |||||||
15,070,654 | ||||||||
|
| |||||||
43,141,719 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 15.6% |
| |||||||
Beverages — 0.5% |
| |||||||
Molson Coors Brewing Co. Class B | 34,431 | 1,933,645 | ||||||
|
| |||||||
Foods — 5.8% |
| |||||||
Conagra Brands, Inc. | 187,609 | 4,007,328 | ||||||
The J.M. Smucker Co. | 21,250 | 1,986,662 | ||||||
Kellogg Co. | 39,758 | 2,266,604 | ||||||
Mondelez International, Inc. Class A | 120,153 | 4,809,725 | ||||||
Orkla ASA | 708,259 | 5,569,373 | ||||||
Sysco Corp. | 60,711 | 3,804,151 | ||||||
|
| |||||||
22,443,843 | ||||||||
|
| |||||||
Health Care – Products — 4.5% |
| |||||||
Hologic, Inc. (a) | 62,348 | 2,562,503 | ||||||
Siemens Healthineers AG (a) (b) | 45,345 | 1,898,574 | ||||||
Zimmer Biomet Holdings, Inc. | 125,800 | 13,047,976 | ||||||
|
| |||||||
17,509,053 | ||||||||
|
|
Number of Shares | Value | |||||||
Health Care – Services — 1.2% |
| |||||||
Quest Diagnostics, Inc. | 54,081 | $ | 4,503,325 | |||||
|
| |||||||
Household Products & Wares — 1.1% |
| |||||||
Kimberly-Clark Corp. | 36,531 | 4,162,342 | ||||||
|
| |||||||
Pharmaceuticals — 2.5% |
| |||||||
Cardinal Health, Inc. | 126,114 | 5,624,684 | ||||||
McKesson Corp. | 38,225 | 4,222,716 | ||||||
|
| |||||||
9,847,400 | ||||||||
|
| |||||||
60,399,608 | ||||||||
|
| |||||||
Energy — 7.6% |
| |||||||
Anadarko Petroleum Corp. | 62,878 | 2,756,572 | ||||||
Baker Hughes a GE Co. | 198,625 | 4,270,437 | ||||||
Cimarex Energy Co. | 50,777 | 3,130,402 | ||||||
Devon Energy Corp. | 156,977 | 3,538,262 | ||||||
EQT Corp. | 152,654 | 2,883,634 | ||||||
Equitrans Midstream Corp. (a) | 122,123 | 2,444,902 | ||||||
Halliburton Co. | 104,623 | 2,780,879 | ||||||
Imperial Oil Ltd. | 66,232 | 1,678,117 | ||||||
National Oilwell Varco, Inc. | 86,583 | 2,225,183 | ||||||
Noble Energy, Inc. | 204,659 | 3,839,403 | ||||||
|
| |||||||
29,547,791 | ||||||||
|
| |||||||
Financial — 27.7% |
| |||||||
Banks — 14.0% |
| |||||||
Bank of Hawaii Corp. | 15,062 | 1,013,974 | ||||||
BB&T Corp. | 194,601 | 8,430,115 | ||||||
Comerica, Inc. | 17,491 | 1,201,457 | ||||||
Commerce Bancshares, Inc. | 74,565 | 4,203,229 | ||||||
First Hawaiian, Inc. | 194,320 | 4,374,143 | ||||||
M&T Bank Corp. | 36,935 | 5,286,507 | ||||||
Northern Trust Corp. | 125,053 | 10,453,180 | ||||||
Prosperity Bancshares, Inc. | 33,042 | 2,058,517 | ||||||
State Street Corp. | 48,917 | 3,085,195 | ||||||
SunTrust Banks, Inc. | 82,731 | 4,172,952 | ||||||
UMB Financial Corp. | 87,756 | 5,350,483 | ||||||
Westamerica Bancorp. | 79,237 | 4,411,916 | ||||||
|
| |||||||
54,041,668 | ||||||||
|
| |||||||
Diversified Financial Services — 3.0% |
| |||||||
Ameriprise Financial, Inc. | 51,072 | 5,330,385 | ||||||
Invesco Ltd. | 367,386 | 6,150,041 | ||||||
|
| |||||||
11,480,426 | ||||||||
|
| |||||||
Insurance — 5.3% |
| |||||||
Aflac, Inc. | 54,498 | 2,482,929 | ||||||
Arthur J Gallagher & Co. | 22,198 | 1,635,993 | ||||||
Brown & Brown, Inc. | 81,472 | 2,245,368 | ||||||
Chubb Ltd. | 45,054 | 5,820,076 | ||||||
ProAssurance Corp. | 47,963 | 1,945,379 | ||||||
Reinsurance Group of America, Inc. | 27,308 | 3,829,401 | ||||||
Torchmark Corp. | 17,294 | 1,288,922 |
The accompanying notes are an integral part of the financial statements.
110
Table of Contents
MML Mid Cap Value Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
The Travelers Cos., Inc. | 9,652 | $ | 1,155,827 | |||||
|
| |||||||
20,403,895 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 4.4% |
| |||||||
American Tower Corp. | 9,636 | 1,524,319 | ||||||
Empire State Realty Trust, Inc. Class A | 109,448 | 1,557,445 | ||||||
MGM Growth Properties LLC Class A | 144,921 | 3,827,364 | ||||||
Piedmont Office Realty Trust, Inc. Class A | 186,781 | 3,182,748 | ||||||
Weyerhaeuser Co. | 314,219 | 6,868,827 | ||||||
|
| |||||||
16,960,703 | ||||||||
|
| |||||||
Savings & Loans — 1.0% |
| |||||||
Capitol Federal Financial, Inc. | 318,423 | 4,066,262 | ||||||
|
| |||||||
106,952,954 | ||||||||
|
| |||||||
Industrial — 18.2% |
| |||||||
Building Materials — 1.5% |
| |||||||
Johnson Controls International PLC | 203,332 | 6,028,794 | ||||||
|
| |||||||
Electrical Components & Equipment — 4.2% |
| |||||||
Emerson Electric Co. | 56,588 | 3,381,133 | ||||||
Hubbell, Inc. | 96,615 | 9,597,734 | ||||||
Schneider Electric SE | 46,388 | 3,157,028 | ||||||
|
| |||||||
16,135,895 | ||||||||
|
| |||||||
Electronics — 1.8% |
| |||||||
nVent Electric PLC | 124,816 | 2,803,368 | ||||||
TE Connectivity Ltd. | 53,194 | 4,023,062 | ||||||
|
| |||||||
6,826,430 | ||||||||
|
| |||||||
Environmental Controls — 0.6% |
| |||||||
Republic Services, Inc. | 34,776 | 2,507,002 | ||||||
|
| |||||||
Machinery – Construction & Mining — 0.8% |
| |||||||
Atlas Copco AB Class B | 143,333 | 3,142,586 | ||||||
|
| |||||||
Machinery – Diversified — 1.3% |
| |||||||
Cummins, Inc. | 36,900 | 4,931,316 | ||||||
|
| |||||||
Miscellaneous – Manufacturing — 2.7% |
| |||||||
Eaton Corp. PLC | 54,719 | 3,757,007 | ||||||
IMI PLC | 344,073 | 4,127,315 | ||||||
Ingersoll-Rand PLC | 10,971 | 1,000,884 | ||||||
Textron, Inc. | 32,366 | 1,488,512 | ||||||
|
| |||||||
10,373,718 | ||||||||
|
| |||||||
Packaging & Containers — 4.2% |
| |||||||
Graphic Packaging Holding Co. | 500,610 | 5,326,490 | ||||||
Sonoco Products Co. | 101,787 | 5,407,943 | ||||||
WestRock Co. | 145,381 | 5,489,587 | ||||||
|
| |||||||
16,224,020 | ||||||||
|
| |||||||
Transportation — 1.1% |
| |||||||
Heartland Express, Inc. | 224,017 | 4,099,511 | ||||||
|
| |||||||
70,269,272 | ||||||||
|
|
Number of Shares | Value | |||||||
Technology — 5.8% |
| |||||||
Computers — 0.7% |
| |||||||
HP, Inc. | 131,401 | $ | 2,688,464 | |||||
|
| |||||||
Semiconductors — 4.3% |
| |||||||
Applied Materials, Inc. | 72,246 | 2,365,334 | ||||||
Lam Research Corp. | 22,634 | 3,082,072 | ||||||
Maxim Integrated Products, Inc. | 105,231 | 5,350,996 | ||||||
Microchip Technology, Inc. | 54,376 | 3,910,722 | ||||||
Teradyne, Inc. | 62,415 | 1,958,583 | ||||||
|
| |||||||
16,667,707 | ||||||||
|
| |||||||
Software — 0.8% |
| |||||||
Cerner Corp. (a) | 57,198 | 2,999,463 | ||||||
|
| |||||||
22,355,634 | ||||||||
|
| |||||||
Utilities — 8.7% |
| |||||||
Electric — 7.2% |
| |||||||
Ameren Corp. | 64,715 | 4,221,359 | ||||||
Edison International | 47,813 | 2,714,344 | ||||||
Eversource Energy | 38,206 | 2,484,918 | ||||||
NorthWestern Corp. | 102,704 | 6,104,726 | ||||||
Pinnacle West Capital Corp. | 57,443 | 4,894,144 | ||||||
Xcel Energy, Inc. | 149,992 | 7,390,106 | ||||||
|
| |||||||
27,809,597 | ||||||||
|
| |||||||
Gas — 1.5% |
| |||||||
Atmos Energy Corp. | 30,489 | 2,826,940 | ||||||
Spire, Inc. | 40,496 | 2,999,944 | ||||||
|
| |||||||
5,826,884 | ||||||||
|
| |||||||
33,636,481 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $404,995,038) | 366,303,459 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $404,995,038) | 366,303,459 | |||||||
|
| |||||||
MUTUAL FUNDS — 1.8% |
| |||||||
Diversified Financial Services — 1.8% |
| |||||||
iShares RussellMid-Cap Value ETF | 89,853 | 6,860,276 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $7,841,721) | 6,860,276 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $412,836,759) | 373,163,735 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
111
Table of Contents
MML Mid Cap Value Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 3.4% |
| |||||||
Repurchase Agreement — 3.4% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (c) | $ | 13,258,394 | $ | 13,258,394 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $13,258,394) | 13,258,394 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% (Cost $426,095,153) (d) | 386,422,129 | |||||||
Other Assets/(Liabilities) — 0.1% | 285,381 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 386,707,510 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
ETF | Exchange-Traded Fund |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(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, 2018, these securities amounted to a value of $1,898,574 or 0.49% of net assets. |
(c) | Maturity value of $13,259,314. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $13,523,928. |
(d) | See Note 6 for aggregate cost for federal tax purposes. |
Forward contracts at December 31, 2018:
Counterparty | Settlement Date | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Contracts to Buy | ||||||||||||||||
JPY | 8,430,943 | Bank of America N.A.* | 3/29/19 | $ | 76,906 | $ | 525 | |||||||||
|
|
|
| |||||||||||||
NOK | 1,372,029 | Goldman Sachs & Co.* | 3/29/19 | 157,958 | 1,321 | |||||||||||
SEK | 612,091 | Goldman Sachs & Co.* | 3/29/19 | 68,112 | 1,428 | |||||||||||
|
|
|
| |||||||||||||
226,070 | 2,749 | |||||||||||||||
|
|
|
| |||||||||||||
CAD | 87,824 | Morgan Stanley & Co. LLC* | 3/29/19 | 64,687 | (229 | ) | ||||||||||
|
|
|
| |||||||||||||
$ | 367,663 | $ | 3,045 | |||||||||||||
|
|
|
| |||||||||||||
Contracts to Deliver |
| |||||||||||||||
JPY | 230,222,167 | Bank of America N.A.* | 3/29/19 | $ | 2,061,559 | $ | (52,852 | ) | ||||||||
|
|
|
| |||||||||||||
EUR | 6,235,808 | Credit Suisse International* | 3/29/19 | 7,175,053 | (21,528 | ) | ||||||||||
|
|
|
| |||||||||||||
NOK | 41,639,936 | Goldman Sachs & Co.* | 3/29/19 | 4,780,705 | (53,261 | ) | ||||||||||
SEK | 24,164,857 | Goldman Sachs & Co.* | 3/29/19 | 2,687,063 | (58,316 | ) | ||||||||||
|
|
|
| |||||||||||||
7,467,768 | (111,577 | ) | ||||||||||||||
|
|
|
| |||||||||||||
GBP | 2,760,842 | JP Morgan Chase Bank N.A.* | 3/29/19 | 3,511,176 | (22,465 | ) | ||||||||||
|
|
|
| |||||||||||||
CAD | 2,043,588 | Morgan Stanley & Co. LLC* | 3/29/19 | 1,524,602 | 24,714 | |||||||||||
|
|
|
| |||||||||||||
$ | 21,740,158 | $ | (183,708 | ) | ||||||||||||
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
Currency Legend
CAD | Canadian Dollar |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
NOK | Norwegian Krone |
SEK | Swedish Krona |
The accompanying notes are an integral part of the financial statements.
112
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 93.7% |
| |||||||
COMMON STOCK — 93.5% |
| |||||||
Basic Materials — 4.4% |
| |||||||
Chemicals — 3.3% |
| |||||||
Cabot Corp. | 23,558 | $ | 1,011,581 | |||||
Ferro Corp. (a) | 94,537 | 1,482,340 | ||||||
Ingevity Corp. (a) | 7,511 | 628,596 | ||||||
Methanex Corp. | 10,845 | 522,404 | ||||||
Minerals Technologies, Inc. | 12,866 | 660,540 | ||||||
Orion Engineered Carbons SA | 35,641 | 901,004 | ||||||
PolyOne Corp. | 16,537 | 472,958 | ||||||
|
| |||||||
5,679,423 | ||||||||
|
| |||||||
Iron & Steel — 1.1% |
| |||||||
Carpenter Technology Corp. | 53,259 | 1,896,553 | ||||||
|
| |||||||
7,575,976 | ||||||||
|
| |||||||
Communications — 6.6% |
| |||||||
Advertising — 0.4% |
| |||||||
The Trade Desk, Inc. Class A (a) | 5,760 | 668,506 | ||||||
|
| |||||||
Internet — 4.2% |
| |||||||
Boingo Wireless, Inc. (a) | 29,297 | 602,639 | ||||||
DraftKings Inc. (a) (b) (c) | 78,904 | 201,170 | ||||||
Etsy, Inc. (a) | 19,991 | 950,972 | ||||||
Mimecast Ltd. (a) | 33,885 | 1,139,553 | ||||||
TrueCar, Inc. (a) | 63,948 | 579,369 | ||||||
Veracode, Inc. (Escrow Shares) (a) (b) (c) | 10,688 | 5,814 | ||||||
Wayfair, Inc. Class A (a) | 11,099 | 999,798 | ||||||
Wix.com Ltd. (a) | 18,295 | 1,652,770 | ||||||
Zendesk, Inc. (a) | 19,014 | 1,109,847 | ||||||
|
| |||||||
7,241,932 | ||||||||
|
| |||||||
Media — 0.6% |
| |||||||
The New York Times Co. Class A | 43,427 | 967,988 | ||||||
|
| |||||||
Telecommunications — 1.4% |
| |||||||
Acacia Communications, Inc. (a) | 13,899 | 528,162 | ||||||
Ciena Corp. (a) | 23,610 | 800,615 | ||||||
Vonage Holdings Corp. (a) | 119,441 | 1,042,720 | ||||||
|
| |||||||
2,371,497 | ||||||||
|
| |||||||
11,249,923 | ||||||||
|
| |||||||
Consumer, Cyclical — 14.1% |
| |||||||
Airlines — 0.7% |
| |||||||
JetBlue Airways Corp. (a) | 21,428 | 344,134 | ||||||
Spirit Airlines, Inc. (a) | 14,482 | 838,797 | ||||||
|
| |||||||
1,182,931 | ||||||||
|
| |||||||
Apparel — 2.1% |
| |||||||
Carter’s, Inc. | 16,485 | 1,345,506 | ||||||
Deckers Outdoor Corp. (a) | 6,729 | 860,976 | ||||||
Skechers U.S.A., Inc. Class A (a) | 18,672 | 427,402 | ||||||
Under Armour, Inc. Class A (a) | 4,494 | 79,409 |
Number of Shares | Value | |||||||
Under Armour, Inc. Class C (a) | 55,773 | $ | 901,849 | |||||
|
| |||||||
3,615,142 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.4% |
| |||||||
Tenneco, Inc. | 23,459 | 642,542 | ||||||
|
| |||||||
Entertainment — 1.4% |
| |||||||
Cinemark Holdings, Inc. | 32,055 | 1,147,569 | ||||||
Marriott Vacations Worldwide Corp. | 18,623 | 1,313,108 | ||||||
|
| |||||||
2,460,677 | ||||||||
|
| |||||||
Home Builders — 1.2% |
| |||||||
Skyline Champion Corp. | 85,303 | 1,253,101 | ||||||
TRI Pointe Group, Inc. (a) | 72,508 | 792,513 | ||||||
|
| |||||||
2,045,614 | ||||||||
|
| |||||||
Home Furnishing — 0.9% |
| |||||||
iRobot Corp. (a) | 10,517 | 880,693 | ||||||
Sleep Number Corp. (a) | 19,660 | 623,812 | ||||||
|
| |||||||
1,504,505 | ||||||||
|
| |||||||
Leisure Time — 2.2% |
| |||||||
Acushnet Holdings Corp. | 44,193 | 931,147 | ||||||
Lindblad Expeditions Holdings, Inc. (a) | 75,403 | 1,014,924 | ||||||
Planet Fitness, Inc. Class A (a) | 33,531 | 1,797,932 | ||||||
|
| |||||||
3,744,003 | ||||||||
|
| |||||||
Lodging — 0.4% |
| |||||||
Boyd Gaming Corp. | 34,757 | 722,250 | ||||||
|
| |||||||
Retail — 4.8% |
| |||||||
BMC Stock Holdings, Inc. (a) | 45,222 | 700,037 | ||||||
The Cheesecake Factory, Inc. (d) | 16,976 | 738,626 | ||||||
Chico’s FAS, Inc. | 96,070 | 539,913 | ||||||
The Children’s Place, Inc. | 7,927 | 714,143 | ||||||
FirstCash, Inc. | 13,767 | 996,043 | ||||||
Five Below, Inc. (a) | 10,428 | 1,066,993 | ||||||
Floor & Decor Holdings, Inc. Class A (a) (d) | 17,919 | 464,102 | ||||||
La-Z-Boy, Inc. | 32,970 | 913,599 | ||||||
Nu Skin Enterprises, Inc. Class A | 15,104 | 926,328 | ||||||
RH (a) | 5,643 | 676,144 | ||||||
Wingstop, Inc. | 6,272 | 402,600 | ||||||
|
| |||||||
8,138,528 | ||||||||
|
| |||||||
24,056,192 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 24.9% |
| |||||||
Beverages — 0.5% |
| |||||||
MGP Ingredients, Inc. (d) | 15,595 | 889,695 | ||||||
|
| |||||||
Biotechnology — 3.1% |
| |||||||
Abeona Therapeutics, Inc. (a) (d) | 33,290 | 237,691 | ||||||
Aduro Biotech, Inc. (a) | 19,479 | 51,425 | ||||||
Amicus Therapeutics, Inc. (a) (d) | 47,018 | 450,432 | ||||||
Arena Pharmaceuticals, Inc. (a) | 15,074 | 587,132 |
The accompanying notes are an integral part of the financial statements.
113
Table of Contents
MML Small Cap Growth Equity Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Blueprint Medicines Corp. (a) | 7,423 | $ | 400,174 | |||||
CRISPR Therapeutics AG (a) (d) | 7,671 | 219,160 | ||||||
CytomX Therapeutics, Inc. (a) | 7,390 | 111,589 | ||||||
Exact Sciences Corp. (a) | 15,218 | 960,256 | ||||||
Karyopharm Therapeutics, Inc. (a) | 30,500 | 285,785 | ||||||
Loxo Oncology, Inc. (a) | 4,838 | 677,659 | ||||||
Nightstar Therapeutics PLC ADR (a) | 29,655 | 341,626 | ||||||
REGENXBIO, Inc. (a) | 8,177 | 343,025 | ||||||
Sangamo Therapeutics, Inc. (a) | 30,226 | 346,994 | ||||||
Spark Therapeutics, Inc. (a) | 5,285 | 206,855 | ||||||
|
| |||||||
5,219,803 | ||||||||
|
| |||||||
Commercial Services — 6.6% |
| |||||||
2U, Inc. (a) | 29,368 | 1,460,177 | ||||||
The Brink’s Co. | 21,608 | 1,396,957 | ||||||
Cardtronics PLC Class A (a) | 31,449 | 817,674 | ||||||
CoStar Group, Inc. (a) | 2,146 | 723,932 | ||||||
Grand Canyon Education, Inc. (a) | 8,711 | 837,475 | ||||||
Green Dot Corp. Class A (a) | 10,978 | 872,971 | ||||||
HMS Holdings Corp. (a) | 63,953 | 1,798,998 | ||||||
Liveramp Holdings, Inc. (a) | 13,904 | 537,111 | ||||||
TriNet Group, Inc. (a) | 47,427 | 1,989,563 | ||||||
TrueBlue, Inc. (a) | 40,348 | 897,743 | ||||||
|
| |||||||
11,332,601 | ||||||||
|
| |||||||
Foods — 1.4% |
| |||||||
Performance Food Group Co. (a) | 73,990 | 2,387,657 | ||||||
|
| |||||||
Health Care – Products — 6.7% |
| |||||||
Avanos Medical, Inc. (a) | 9,900 | 443,421 | ||||||
Globus Medical, Inc. Class A (a) | 42,433 | 1,836,500 | ||||||
Haemonetics Corp. (a) | 20,885 | 2,089,544 | ||||||
Hill-Rom Holdings, Inc. | 13,863 | 1,227,569 | ||||||
Insulet Corp. (a) | 43,364 | 3,439,633 | ||||||
Merit Medical Systems, Inc. (a) | 26,619 | 1,485,606 | ||||||
Penumbra, Inc. (a) | 8,016 | 979,555 | ||||||
|
| |||||||
11,501,828 | ||||||||
|
| |||||||
Health Care – Services — 3.5% |
| |||||||
Amedisys, Inc. (a) | 15,825 | 1,853,266 | ||||||
LHC Group, Inc. (a) | 9,752 | 915,518 | ||||||
Molina Healthcare, Inc. (a) | 14,867 | 1,727,842 | ||||||
Syneos Health, Inc. (a) | 21,528 | 847,127 | ||||||
Teladoc Health, Inc. (a) (d) | 12,794 | 634,198 | ||||||
|
| |||||||
5,977,951 | ||||||||
|
| |||||||
Pharmaceuticals — 3.1% |
| |||||||
Aerie Pharmaceuticals, Inc. (a) | 13,849 | 499,949 | ||||||
DexCom, Inc. (a) | 3,554 | 425,769 | ||||||
G1 Therapeutics, Inc. (a) | 30,399 | 582,141 | ||||||
Galapagos NV Sponsored ADR (a) | 6,226 | 571,173 | ||||||
Heron Therapeutics, Inc. (a) | 18,122 | 470,085 | ||||||
MyoKardia, Inc. (a) | 11,355 | 554,805 | ||||||
Portola Pharmaceuticals, Inc. (a) (d) | 12,284 | 239,784 | ||||||
PRA Health Sciences, Inc. (a) | 9,521 | 875,551 |
Number of Shares | Value | |||||||
Ra Pharmaceuticals, Inc. (a) | 22,231 | $ | 404,604 | |||||
Revance Therapeutics, Inc. (a) | 9,824 | 197,757 | ||||||
Rhythm Pharmaceuticals, Inc. (a) | 17,221 | 462,901 | ||||||
|
| |||||||
5,284,519 | ||||||||
|
| |||||||
42,594,054 | ||||||||
|
| |||||||
Energy — 3.0% |
| |||||||
Energy – Alternate Sources — 1.2% |
| |||||||
First Solar, Inc. (a) | 23,108 | 981,050 | ||||||
Pattern Energy Group, Inc. Class A | 51,855 | 965,540 | ||||||
|
| |||||||
1,946,590 | ||||||||
|
| |||||||
Oil & Gas — 1.8% |
| |||||||
Callon Petroleum Co. (a) | 94,463 | 613,065 | ||||||
Centennial Resource Development, Inc. Class A (a) | 51,938 | 572,357 | ||||||
Delek US Holdings, Inc. | 16,956 | 551,239 | ||||||
Viper Energy Partners LP | 52,092 | 1,356,476 | ||||||
|
| |||||||
3,093,137 | ||||||||
|
| |||||||
5,039,727 | ||||||||
|
| |||||||
Financial — 18.8% |
| |||||||
Banks — 5.2% |
| |||||||
BancorpSouth Bank | 61,025 | 1,595,193 | ||||||
CenterState Bank Corp. | 24,389 | 513,144 | ||||||
First Financial Bancorp | 32,394 | 768,386 | ||||||
First Interstate BancSystem, Inc. Class A | 22,323 | 816,129 | ||||||
National Bank Holdings Corp. Class A | 26,984 | 832,996 | ||||||
Seacoast Banking Corp. of Florida (a) | 39,182 | 1,019,516 | ||||||
South State Corp. | 12,267 | 735,407 | ||||||
Texas Capital Bancshares, Inc. (a) | 22,651 | 1,157,240 | ||||||
Union Bankshares Corp. | 52,658 | 1,486,535 | ||||||
|
| |||||||
8,924,546 | ||||||||
|
| |||||||
Diversified Financial Services — 2.0% |
| |||||||
Air Lease Corp. | 25,815 | 779,871 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 92,196 | 1,756,334 | ||||||
PRA Group, Inc. (a) | 33,706 | 821,415 | ||||||
|
| |||||||
3,357,620 | ||||||||
|
| |||||||
Insurance — 3.8% |
| |||||||
Assured Guaranty Ltd. | 30,381 | 1,162,985 | ||||||
eHealth, Inc. (a) | 28,481 | 1,094,240 | ||||||
Horace Mann Educators Corp. | 19,179 | 718,254 | ||||||
James River Group Holdings Ltd. | 23,812 | 870,090 | ||||||
Kemper Corp. | 12,901 | 856,368 | ||||||
MGIC Investment Corp. (a) | 80,661 | 843,714 | ||||||
NMI Holdings, Inc. Class A (a) | 53,182 | 949,299 | ||||||
|
| |||||||
6,494,950 | ||||||||
|
| |||||||
Private Equity — 1.0% |
| |||||||
Kennedy-Wilson Holdings, Inc. | 98,186 | 1,784,040 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
114
Table of Contents
MML Small Cap Growth Equity Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Real Estate — 0.5% |
| |||||||
McGrath RentCorp | 16,200 | $ | 833,976 | |||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 5.3% |
| |||||||
Agree Realty Corp. | 19,427 | 1,148,524 | ||||||
Life Storage, Inc. | 9,267 | 861,738 | ||||||
MFA Financial, Inc. | 101,850 | 680,358 | ||||||
NexPoint Residential Trust, Inc. | 40,996 | 1,436,910 | ||||||
PotlatchDeltic Corp. | 22,769 | 720,411 | ||||||
PS Business Parks, Inc. | 7,409 | 970,579 | ||||||
Redwood Trust, Inc. | 57,897 | 872,508 | ||||||
Rexford Industrial Realty, Inc. | 31,566 | 930,250 | ||||||
Xenia Hotels & Resorts, Inc. | 85,361 | 1,468,209 | ||||||
|
| |||||||
9,089,487 | ||||||||
|
| |||||||
Savings & Loans — 1.0% |
| |||||||
Sterling Bancorp | 106,129 | 1,752,190 | ||||||
|
| |||||||
32,236,809 | ||||||||
|
| |||||||
Industrial — 10.1% |
| |||||||
Aerospace & Defense — 0.5% |
| |||||||
Aerojet Rocketdyne Holdings, Inc. (a) | 25,632 | 903,015 | ||||||
|
| |||||||
Electrical Components & Equipment — 1.1% |
| |||||||
EnerSys | 24,783 | 1,923,409 | ||||||
|
| |||||||
Electronics — 0.5% |
| |||||||
Watts Water Technologies, Inc. Class A | 12,254 | 790,751 | ||||||
|
| |||||||
Engineering & Construction — 1.0% |
| |||||||
Argan, Inc. | 45,219 | 1,711,087 | ||||||
|
| |||||||
Environmental Controls — 0.4% |
| |||||||
Clean Harbors, Inc. (a) | 15,984 | 788,810 | ||||||
|
| |||||||
Machinery – Diversified — 1.0% |
| |||||||
Chart Industries, Inc. (a) | 16,335 | 1,062,265 | ||||||
SPX FLOW, Inc. (a) | 21,280 | 647,338 | ||||||
|
| |||||||
1,709,603 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 1.2% |
| |||||||
Advanced Drainage Systems, Inc. | 40,757 | 988,357 | ||||||
Rexnord Corp. (a) | 45,574 | 1,045,924 | ||||||
|
| |||||||
2,034,281 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 2.9% |
| |||||||
Actuant Corp. Class A | 91,022 | 1,910,552 | ||||||
Ambarella, Inc. (a) (d) | 12,921 | 451,976 | ||||||
Axon Enterprise, Inc. (a) | 10,601 | 463,794 | ||||||
ITT, Inc. | 30,056 | 1,450,803 | ||||||
John Bean Technologies Corp. | 10,496 | 753,718 | ||||||
|
| |||||||
5,030,843 | ||||||||
|
| |||||||
Packaging & Containers — 0.5% |
| |||||||
Graphic Packaging Holding Co. | 77,649 | 826,185 | ||||||
|
| |||||||
Transportation — 0.6% |
| |||||||
Kirby Corp. (a) | 14,684 | 989,114 | ||||||
|
|
Number of Shares | Value | |||||||
Trucking & Leasing — 0.4% |
| |||||||
GATX Corp. | 8,900 | $ | 630,209 | |||||
|
| |||||||
17,337,307 | ||||||||
|
| |||||||
Technology — 11.0% |
| |||||||
Computers — 1.3% |
| |||||||
EPAM Systems, Inc. (a) | 6,354 | 737,127 | ||||||
Globant SA (a) | 25,193 | 1,418,870 | ||||||
|
| |||||||
2,155,997 | ||||||||
|
| |||||||
Office & Business Equipment — 0.8% |
| |||||||
Zebra Technologies Corp. Class A (a) | 8,882 | 1,414,281 | ||||||
|
| |||||||
Semiconductors — 2.3% |
| |||||||
Cohu, Inc. | 48,805 | 784,296 | ||||||
Entegris, Inc. | 69,782 | 1,946,569 | ||||||
MKS Instruments, Inc. | 300 | 19,383 | ||||||
Tower Semiconductor Ltd. (a) | 77,537 | 1,142,896 | ||||||
|
| |||||||
3,893,144 | ||||||||
|
| |||||||
Software — 6.6% |
| |||||||
Castlight Health, Inc. Class B (a) | 110,900 | 240,653 | ||||||
Cloudera, Inc. (a) | 62,795 | 694,513 | ||||||
Docusign, Inc. (Escrow Shares) (a) (b) (c) | 2,601 | 5,852 | ||||||
Everbridge, Inc. (a) | 15,058 | 854,692 | ||||||
Fair Isaac Corp. (a) | 5,083 | 950,521 | ||||||
Five9, Inc. (a) | 26,734 | 1,168,811 | ||||||
Guidewire Software, Inc. (a) | 8,704 | 698,322 | ||||||
HubSpot, Inc. (a) | 13,266 | 1,667,934 | ||||||
ManTech International Corp. Class A | 15,544 | 812,873 | ||||||
Omnicell, Inc. (a) | 32,814 | 2,009,529 | ||||||
Pivotal Software, Inc. Class A (a) | 33,997 | 555,851 | ||||||
SailPoint Technologies Holding, Inc. (a) | 30,359 | 713,133 | ||||||
Veeva Systems, Inc. Class A (a) | 11,089 | 990,470 | ||||||
|
| |||||||
11,363,154 | ||||||||
|
| |||||||
18,826,576 | ||||||||
|
| |||||||
Utilities — 0.6% |
| |||||||
Electric — 0.6% |
| |||||||
Black Hills Corp. | 16,677 | 1,046,982 | ||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $159,379,185) | 159,963,546 | |||||||
|
| |||||||
PREFERRED STOCK — 0.2% |
| |||||||
Communications — 0.1% |
| |||||||
Internet — 0.1% |
| |||||||
The Honest Company, Inc. Series D (a) (b) (c) | 4,027 | 147,952 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
115
Table of Contents
MML Small Cap Growth Equity Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Technology — 0.1% |
| |||||||
Software — 0.1% |
| |||||||
MarkLogic Corp. Series F (a) (b) (c) | 22,966 | $ | 229,660 | |||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $450,987) | 377,612 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $159,830,172) | 160,341,158 | |||||||
|
| |||||||
MUTUAL FUNDS — 3.5% |
| |||||||
Diversified Financial Services — 3.5% |
| |||||||
iShares Russell 2000 Index Fund | 15,478 | 2,072,504 | ||||||
State Street Navigator Securities Lending Prime Portfolio (e) | 3,923,260 | 3,923,260 | ||||||
|
| |||||||
5,995,764 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $5,924,295) | 5,995,764 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $165,754,467) | 166,336,922 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 3.0% |
| |||||||
Repurchase Agreement — 3.0% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (f) | $ | 5,141,313 | 5,141,313 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,141,313) | 5,141,313 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.2% (Cost $170,895,780) (g) | 171,478,235 | |||||||
Other Assets/(Liabilities) — (0.2)% | (343,643 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 171,134,592 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Investment was valued using significant unobservable inputs. |
(c) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2018, these securities amounted to a value of $590,448 or 0.35% of net assets. |
(d) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $3,820,925 or 2.23% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers.(Note 2). |
(e) | Represents investment of security lending collateral.(Note 2). |
(f) | Maturity value of $5,141,670. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $5,248,536. |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
116
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 96.0% |
| |||||||
COMMON STOCK — 96.0% |
| |||||||
Basic Materials — 2.5% |
| |||||||
Chemicals — 0.9% |
| |||||||
American Vanguard Corp. | 18,200 | $ | 276,458 | |||||
Minerals Technologies, Inc. | 9,100 | 467,194 | ||||||
|
| |||||||
743,652 | ||||||||
|
| |||||||
Forest Products & Paper — 0.2% |
| |||||||
Clearwater Paper Corp. (a) | 7,800 | 190,086 | ||||||
|
| |||||||
Iron & Steel — 1.0% |
| |||||||
Carpenter Technology Corp. | 15,400 | 548,394 | ||||||
Reliance Steel & Aluminum Co. | 4,900 | 348,733 | ||||||
|
| |||||||
897,127 | ||||||||
|
| |||||||
Mining — 0.4% |
| |||||||
Constellium NV Class A (a) | 35,500 | 248,145 | ||||||
New Gold, Inc. (a) | 110,400 | 83,551 | ||||||
|
| |||||||
331,696 | ||||||||
|
| |||||||
2,162,561 | ||||||||
|
| |||||||
Communications — 3.4% |
| |||||||
Internet — 0.9% |
| |||||||
Q2 Holdings, Inc. (a) | 7,200 | 356,760 | ||||||
Upwork, Inc. (a) (b) | 2,068 | 37,452 | ||||||
Zendesk, Inc. (a) | 6,800 | 396,916 | ||||||
|
| |||||||
791,128 | ||||||||
|
| |||||||
Media — 1.4% |
| |||||||
Cable One, Inc. | 1,064 | 872,586 | ||||||
Scholastic Corp. | 8,500 | 342,210 | ||||||
|
| |||||||
1,214,796 | ||||||||
|
| |||||||
Telecommunications — 1.1% |
| |||||||
GTT Communications, Inc. (a) (b) | 14,000 | 331,240 | ||||||
Harmonic, Inc. (a) | 129,731 | 612,330 | ||||||
|
| |||||||
943,570 | ||||||||
|
| |||||||
2,949,494 | ||||||||
|
| |||||||
Consumer, Cyclical — 8.6% |
| |||||||
Apparel — 1.0% |
| |||||||
Crocs, Inc. (a) | 7,200 | 187,056 | ||||||
Steven Madden Ltd. | 21,750 | 658,155 | ||||||
|
| |||||||
845,211 | ||||||||
|
| |||||||
Auto Manufacturers — 0.3% |
| |||||||
Blue Bird Corp. (a) (b) | 15,900 | 289,221 | ||||||
|
| |||||||
Auto Parts & Equipment — 0.9% |
| |||||||
Garrett Motion, Inc. (a) (b) | 30,200 | 372,668 | ||||||
Methode Electronics, Inc. | 7,500 | 174,675 | ||||||
Visteon Corp. (a) | 3,200 | 192,896 | ||||||
|
| |||||||
740,239 | ||||||||
|
|
Number of Shares | Value | |||||||
Distribution & Wholesale — 2.1% |
| |||||||
Dorman Products, Inc. (a) | 9,900 | $ | 891,198 | |||||
Pool Corp. | 6,100 | 906,765 | ||||||
|
| |||||||
1,797,963 | ||||||||
|
| |||||||
Entertainment — 0.3% |
| |||||||
Marriott Vacations Worldwide Corp. | 3,432 | 241,990 | ||||||
|
| |||||||
Home Builders — 1.2% |
| |||||||
Cavco Industries, Inc. (a) | 4,900 | 638,862 | ||||||
LCI Industries | 6,500 | 434,200 | ||||||
|
| |||||||
1,073,062 | ||||||||
|
| |||||||
Lodging — 0.4% |
| |||||||
The St. Joe Co. (a) | 28,100 | 370,077 | ||||||
|
| |||||||
Retail — 2.1% |
| |||||||
Beacon Roofing Supply, Inc. (a) | 9,400 | 298,168 | ||||||
BJ’s Wholesale Club Holdings, Inc. (a) | 8,557 | 189,623 | ||||||
Boot Barn Holdings, Inc. (a) | 6,060 | 103,202 | ||||||
Express, Inc. (a) | 28,300 | 144,613 | ||||||
Lumber Liquidators Holdings, Inc. (a) (b) | 27,756 | 264,237 | ||||||
Party City Holdco, Inc. (a) (b) | 29,755 | 296,955 | ||||||
PriceSmart, Inc. | 5,700 | 336,870 | ||||||
Red Robin Gourmet Burgers, Inc. (a) | 6,500 | 173,680 | ||||||
|
| |||||||
1,807,348 | ||||||||
|
| |||||||
Textiles — 0.3% |
| |||||||
Culp, Inc. | 14,800 | 279,720 | ||||||
|
| |||||||
7,444,831 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 18.1% |
| |||||||
Commercial Services — 7.2% |
| |||||||
Aaron’s, Inc. | 22,600 | 950,330 | ||||||
American Public Education, Inc. (a) | 16,218 | 461,564 | ||||||
The Brink’s Co. | 3,500 | 226,275 | ||||||
FTI Consulting, Inc. (a) | 12,500 | 833,000 | ||||||
Green Dot Corp. Class A (a) | 18,980 | 1,509,290 | ||||||
Huron Consulting Group, Inc. (a) | 4,100 | 210,371 | ||||||
I3 Verticals, Inc. Class A (a) | 13,500 | 325,350 | ||||||
Matthews International Corp. Class A | 4,900 | 199,038 | ||||||
Monro, Inc. | 4,300 | 295,625 | ||||||
Navigant Consulting, Inc. | 13,100 | 315,055 | ||||||
Strategic Education, Inc. | 8,131 | 922,218 | ||||||
|
| |||||||
6,248,116 | ||||||||
|
| |||||||
Foods — 2.9% |
| |||||||
Nomad Foods Ltd. (a) | 64,300 | 1,075,096 | ||||||
Post Holdings, Inc. (a) | 7,500 | 668,475 | ||||||
The Simply Good Foods Co. (a) | 25,110 | 474,579 | ||||||
SpartanNash Co. | 16,109 | 276,753 | ||||||
|
| |||||||
2,494,903 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
117
Table of Contents
MML Small Company Value Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Health Care – Products — 4.7% |
| |||||||
Atrion Corp. | 1,750 | $ | 1,296,890 | |||||
Avanos Medical, Inc. (a) | 19,100 | 855,489 | ||||||
Haemonetics Corp. (a) | 1,600 | 160,080 | ||||||
Patterson Cos., Inc. | 12,700 | 249,682 | ||||||
Quidel Corp. (a) | 20,987 | 1,024,585 | ||||||
West Pharmaceutical Services, Inc. | 4,900 | 480,347 | ||||||
|
| |||||||
4,067,073 | ||||||||
|
| |||||||
Health Care – Services — 2.6% |
| |||||||
The Ensign Group, Inc. | 23,400 | 907,686 | ||||||
Molina Healthcare, Inc. (a) | 7,100 | 825,162 | ||||||
Select Medical Holdings Corp. (a) | 38,200 | 586,370 | ||||||
|
| |||||||
2,319,218 | ||||||||
|
| |||||||
Household Products & Wares — 0.5% |
| |||||||
CSS Industries, Inc. | 12,293 | 110,268 | ||||||
Rosetta Stone, Inc. (a) | 20,300 | 332,920 | ||||||
|
| |||||||
443,188 | ||||||||
|
| |||||||
Pharmaceuticals — 0.2% |
| |||||||
Momenta Pharmaceuticals, Inc. (a) | 17,107 | 188,861 | ||||||
|
| |||||||
15,761,359 | ||||||||
|
| |||||||
Energy — 4.8% |
| |||||||
Oil & Gas — 2.7% |
| |||||||
Centennial Resource Development, Inc. Class A (a) | 55,100 | 607,202 | ||||||
Jagged Peak Energy, Inc. (a) (b) | 33,442 | 304,991 | ||||||
Kosmos Energy Ltd. (a) | 43,600 | 177,452 | ||||||
Matador Resources Co. (a) | 35,700 | 554,421 | ||||||
WPX Energy, Inc. (a) | 59,300 | 673,055 | ||||||
|
| |||||||
2,317,121 | ||||||||
|
| |||||||
Oil & Gas Services — 2.1% |
| |||||||
Frank’s International NV (a) (b) | 100,500 | 524,610 | ||||||
Keane Group, Inc. (a) | 58,285 | 476,771 | ||||||
Oceaneering International, Inc. (a) | 25,000 | 302,500 | ||||||
TETRA Technologies, Inc. (a) | 140,400 | 235,872 | ||||||
Thermon Group Holdings, Inc. (a) | 16,200 | 328,536 | ||||||
|
| |||||||
1,868,289 | ||||||||
|
| |||||||
4,185,410 | ||||||||
|
| |||||||
Financial — 33.5% |
| |||||||
Banks — 15.9% |
| |||||||
Atlantic Capital Bancshares, Inc. (a) | 18,622 | 304,842 | ||||||
BankUnited, Inc. | 30,200 | 904,188 | ||||||
BOK Financial Corp. | 6,375 | 467,479 | ||||||
Columbia Banking System, Inc. | 25,800 | 936,282 | ||||||
East West Bancorp, Inc. | 12,026 | 523,492 | ||||||
FB Financial Corp. | 15,350 | 537,557 | ||||||
Glacier Bancorp, Inc. | 22,100 | 875,602 | ||||||
Heritage Commerce Corp. | 22,800 | 258,552 | ||||||
Heritage Financial Corp. | 16,047 | 476,917 | ||||||
Home BancShares, Inc. | 79,450 | 1,298,213 |
Number of Shares | Value | |||||||
Hope Bancorp, Inc. | 31,800 | $ | 377,148 | |||||
Howard Bancorp, Inc. (a) | 16,742 | 239,410 | ||||||
Live Oak Bancshares, Inc. | 12,922 | 191,375 | ||||||
National Bank Holdings Corp. Class A | 23,700 | 731,619 | ||||||
Origin Bancorp, Inc. | 8,300 | 282,864 | ||||||
PCSB Financial Corp. | 18,813 | 367,982 | ||||||
Pinnacle Financial Partners, Inc. | 8,600 | 396,460 | ||||||
Ponce de Leon Federal Bank (a) | 18,784 | 239,308 | ||||||
Popular, Inc. | 15,900 | 750,798 | ||||||
Prosperity Bancshares, Inc. | 11,800 | 735,140 | ||||||
Sterling Bancorp, Inc. | 21,422 | 148,883 | ||||||
SVB Financial Group (a) | 1,200 | 227,904 | ||||||
Texas Capital Bancshares, Inc. (a) | 9,300 | 475,137 | ||||||
Towne Bank | 31,900 | 764,005 | ||||||
Webster Financial Corp. | 13,475 | 664,183 | ||||||
Wintrust Financial Corp. | 10,000 | 664,900 | ||||||
|
| |||||||
13,840,240 | ||||||||
|
| |||||||
Diversified Financial Services — 1.6% |
| |||||||
Cboe Global Markets, Inc. | 2,821 | 275,978 | ||||||
Focus Financial Partners, Inc. Class A (a) | 2,982 | 78,516 | ||||||
Houlihan Lokey, Inc. | 10,526 | 387,357 | ||||||
PennyMac Financial Services, Inc. | 18,200 | 386,932 | ||||||
Virtus Investment Partners, Inc. | 3,200 | 254,176 | ||||||
|
| |||||||
1,382,959 | ||||||||
|
| |||||||
Insurance — 3.3% |
| |||||||
Assured Guaranty Ltd. | 6,782 | 259,615 | ||||||
Employers Holdings, Inc. | 10,700 | 449,079 | ||||||
ProAssurance Corp. | 15,700 | 636,792 | ||||||
Radian Group, Inc. | 36,800 | 602,048 | ||||||
Safety Insurance Group, Inc. | 4,900 | 400,869 | ||||||
State Auto Financial Corp. | 14,600 | 496,984 | ||||||
|
| |||||||
2,845,387 | ||||||||
|
| |||||||
Real Estate — 0.7% |
| |||||||
McGrath RentCorp | 11,399 | 586,820 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 9.8% |
| |||||||
Acadia Realty Trust | 16,500 | 392,040 | ||||||
American Campus Communities, Inc. | 12,500 | 517,375 | ||||||
Cedar Realty Trust, Inc. | 153,212 | 481,086 | ||||||
Douglas Emmett, Inc. | 12,300 | 419,799 | ||||||
EastGroup Properties, Inc. | 9,800 | 898,954 | ||||||
Healthcare Realty Trust, Inc. | 27,200 | 773,568 | ||||||
JBG SMITH Properties | 17,327 | 603,153 | ||||||
Kilroy Realty Corp. | 7,600 | 477,888 | ||||||
PotlatchDeltic Corp. | 15,372 | 486,370 | ||||||
PS Business Parks, Inc. | 5,300 | 694,300 | ||||||
Retail Opportunity Investments Corp. | 20,100 | 319,188 | ||||||
Saul Centers, Inc. | 10,300 | 486,366 | ||||||
Sunstone Hotel Investors, Inc. | 50,900 | 662,209 | ||||||
Terreno Realty Corp. | 24,400 | 858,148 |
The accompanying notes are an integral part of the financial statements.
118
Table of Contents
MML Small Company Value Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Washington Real Estate Investment Trust | 19,300 | $ | 443,900 | |||||
|
| |||||||
8,514,344 | ||||||||
|
| |||||||
Savings & Loans — 2.2% |
| |||||||
Beneficial Bancorp, Inc. | 37,523 | 536,204 | ||||||
Meridian Bancorp, Inc. | 30,600 | 438,192 | ||||||
United Financial Bancorp, Inc. | 36,100 | 530,670 | ||||||
WSFS Financial Corp. | 12,200 | 462,502 | ||||||
|
| |||||||
1,967,568 | ||||||||
|
| |||||||
29,137,318 | ||||||||
|
| |||||||
Industrial — 14.1% |
| |||||||
Aerospace & Defense — 1.1% |
| |||||||
MSA Safety, Inc. | 4,900 | 461,923 | ||||||
Triumph Group, Inc. | 44,450 | 511,175 | ||||||
|
| |||||||
973,098 | ||||||||
|
| |||||||
Building Materials — 0.6% |
| |||||||
Universal Forest Products, Inc. | 18,900 | 490,644 | ||||||
|
| |||||||
Electrical Components & Equipment — 2.9% |
| |||||||
Belden, Inc. | 27,260 | 1,138,650 | ||||||
Littelfuse, Inc. | 8,100 | 1,388,988 | ||||||
|
| |||||||
2,527,638 | ||||||||
|
| |||||||
Electronics — 1.8% |
| |||||||
Brady Corp. Class A | 10,000 | 434,600 | ||||||
Knowles Corp. (a) | 43,500 | 578,985 | ||||||
Mesa Laboratories, Inc. | 2,400 | 500,136 | ||||||
|
| |||||||
1,513,721 | ||||||||
|
| |||||||
Engineering & Construction — 0.6% |
| |||||||
Aegion Corp. (a) | 33,600 | 548,352 | ||||||
|
| |||||||
Environmental Controls — 0.2% |
| |||||||
Stericycle, Inc. (a) | 4,600 | 168,774 | ||||||
|
| |||||||
Metal Fabricate & Hardware — 1.4% |
| |||||||
CIRCOR International, Inc. | 16,149 | 343,974 | ||||||
RBC Bearings, Inc. (a) | 3,900 | 511,290 | ||||||
Sun Hydraulics Corp. | 11,949 | 396,587 | ||||||
|
| |||||||
1,251,851 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 2.2% |
| |||||||
ESCO Technologies, Inc. | 12,200 | 804,590 | ||||||
Hillenbrand, Inc. | 9,130 | 346,301 | ||||||
Lydall, Inc. (a) | 8,500 | 172,635 | ||||||
Myers Industries, Inc. | 40,294 | 608,843 | ||||||
|
| |||||||
1,932,369 | ||||||||
|
| |||||||
Transportation — 3.3% |
| |||||||
Genesee & Wyoming, Inc. Class A (a) | 8,950 | 662,479 | ||||||
International Seaways, Inc. (a) | 26,300 | 442,892 | ||||||
Kirby Corp. (a) | 5,550 | 373,848 | ||||||
Landstar System, Inc. | 11,200 | 1,071,504 |
Number of Shares | Value | |||||||
Universal Logistics Holdings, Inc. | 14,900 | $ | 269,541 | |||||
|
| |||||||
2,820,264 | ||||||||
|
| |||||||
12,226,711 | ||||||||
|
| |||||||
Technology — 4.1% |
| |||||||
Computers — 1.3% |
| |||||||
Conduent, Inc. (a) | 43,200 | 459,216 | ||||||
Cubic Corp. | 12,809 | 688,356 | ||||||
|
| |||||||
1,147,572 | ||||||||
|
| |||||||
Semiconductors — 1.5% |
| |||||||
Cabot Microelectronics Corp. | 6,816 | 649,905 | ||||||
MaxLinear, Inc. (a) | 20,900 | 367,840 | ||||||
Rudolph Technologies, Inc. (a) | 11,200 | 229,264 | ||||||
|
| |||||||
1,247,009 | ||||||||
|
| |||||||
Software — 1.3% |
| |||||||
Ceridian HCM Holding, Inc. (a) | 10,091 | 348,039 | ||||||
Cision Ltd. (a) | 39,565 | 462,910 | ||||||
RealPage, Inc. (a) | 6,100 | 293,959 | ||||||
SVMK, Inc. (a) (b) | 1,817 | 22,295 | ||||||
|
| |||||||
1,127,203 | ||||||||
|
| |||||||
3,521,784 | ||||||||
|
| |||||||
Utilities — 6.9% |
| |||||||
Electric — 3.0% |
| |||||||
MGE Energy, Inc. | 5,200 | 311,792 | ||||||
NorthWestern Corp. | 12,900 | 766,776 | ||||||
PNM Resources, Inc. | 23,600 | 969,724 | ||||||
Portland General Electric Co. | 11,600 | 531,860 | ||||||
|
| |||||||
2,580,152 | ||||||||
|
| |||||||
Gas — 3.3% |
| |||||||
Atmos Energy Corp. | 4,900 | 454,328 | ||||||
Chesapeake Utilities Corp. | 13,100 | 1,065,030 | ||||||
ONE Gas, Inc. | 14,400 | 1,146,240 | ||||||
RGC Resources, Inc. | 4,064 | 121,758 | ||||||
South Jersey Industries, Inc. | 3,665 | 101,887 | ||||||
|
| |||||||
2,889,243 | ||||||||
|
| |||||||
Water — 0.6% |
| |||||||
California Water Service Group | 11,500 | 548,090 | ||||||
|
| |||||||
6,017,485 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $75,600,087) | 83,406,953 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $75,600,087) | 83,406,953 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
119
Table of Contents
MML Small Company Value Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 1.9% |
| |||||||
Diversified Financial Services — 1.9% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 1,649,486 | $ | 1,649,486 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,649,486) | 1,649,486 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $77,249,573) | 85,056,439 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 3.8% |
| |||||||
Mutual Fund — 0.0% |
| |||||||
T. Rowe Price Government Reserve Investment Fund | 1,037 | 1,037 | ||||||
|
| |||||||
Principal Amount | ||||||||
Repurchase Agreement — 3.8% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (d) | $ | 3,299,179 | 3,299,179 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,300,216) | 3,300,216 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.7% (Cost $80,549,789) (e) | 88,356,655 | |||||||
Other Assets/(Liabilities) — (1.7)% | (1,519,346 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 86,837,309 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $1,600,822 or 1.84% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers.(Note 2). |
(c) | Represents investment of security lending collateral.(Note 2). |
(d) | Maturity value of $3,299,408. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $3,369,799. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
120
Table of Contents
December 31, 2018
Number of Shares | Value | |||||||
EQUITIES — 96.9% |
| |||||||
COMMON STOCK — 96.9% |
| |||||||
Basic Materials — 1.8% |
| |||||||
Chemicals — 0.9% |
| |||||||
Orion Engineered Carbons SA | 63,067 | $ | 1,594,334 | |||||
|
| |||||||
Mining — 0.9% |
| |||||||
Alcoa Corp. (a) | 63,420 | 1,685,703 | ||||||
|
| |||||||
3,280,037 | ||||||||
|
| |||||||
Communications — 3.9% |
| |||||||
Internet — 0.9% |
| |||||||
CDW Corp. | 8,720 | 706,756 | ||||||
Criteo SA (a) | 44,690 | 1,015,357 | ||||||
|
| |||||||
1,722,113 | ||||||||
|
| |||||||
Media — 1.4% |
| |||||||
Houghton Mifflin Harcourt Co. (a) | 157,480 | 1,395,273 | ||||||
Scholastic Corp. | 28,170 | 1,134,124 | ||||||
|
| |||||||
2,529,397 | ||||||||
|
| |||||||
Telecommunications — 1.6% |
| |||||||
Finisar Corp. (a) | 131,330 | 2,836,728 | ||||||
|
| |||||||
7,088,238 | ||||||||
|
| |||||||
Consumer, Cyclical — 12.4% |
| |||||||
Airlines — 3.3% |
| |||||||
Alaska Air Group, Inc. | 41,530 | 2,527,101 | ||||||
Hawaiian Holdings, Inc. | 57,180 | 1,510,124 | ||||||
SkyWest, Inc. | 46,120 | 2,050,956 | ||||||
|
| |||||||
6,088,181 | ||||||||
|
| |||||||
Apparel — 0.9% |
| |||||||
Skechers U.S.A., Inc. Class A (a) | 68,321 | 1,563,868 | ||||||
|
| |||||||
Auto Parts & Equipment — 1.6% |
| |||||||
Cooper-Standard Holding, Inc. (a) | 22,215 | 1,379,996 | ||||||
Lear Corp. | 12,028 | 1,477,760 | ||||||
|
| |||||||
2,857,756 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.3% |
| |||||||
Anixter International, Inc. (a) | 11,248 | 610,879 | ||||||
|
| |||||||
Home Builders — 1.9% |
| |||||||
Lennar Corp. Class A | 47,284 | 1,851,168 | ||||||
Taylor Morrison Home Corp. Class A (a) | 101,950 | 1,621,005 | ||||||
|
| |||||||
3,472,173 | ||||||||
|
| |||||||
Office Furnishings — 0.8% |
| |||||||
Steelcase, Inc. Class A | 103,364 | 1,532,888 | ||||||
|
| |||||||
Retail — 3.6% |
| |||||||
Bloomin’ Brands, Inc. | 126,730 | 2,267,200 | ||||||
BMC Stock Holdings, Inc. (a) | 78,469 | 1,214,700 | ||||||
The Michaels Cos., Inc. (a) | 120,610 | 1,633,059 | ||||||
Signet Jewelers Ltd. | 43,120 | 1,369,922 | ||||||
|
| |||||||
6,484,881 | ||||||||
|
| |||||||
22,610,626 | ||||||||
|
|
Number of Shares | Value | |||||||
Consumer,Non-cyclical — 11.5% |
| |||||||
Beverages — 1.2% |
| |||||||
Cott Corp. | 152,614 | $ | 2,127,439 | |||||
|
| |||||||
Commercial Services — 3.3% |
| |||||||
Booz Allen Hamilton Holding Corp. | 46,258 | 2,084,848 | ||||||
Quanta Services, Inc. | 68,188 | 2,052,459 | ||||||
Sotheby’s (a) | 50,167 | 1,993,636 | ||||||
|
| |||||||
6,130,943 | ||||||||
|
| |||||||
Foods — 3.8% |
| |||||||
Ingredion, Inc. | 21,069 | 1,925,707 | ||||||
Nomad Foods Ltd. (a) | 129,590 | 2,166,745 | ||||||
US Foods Holding Corp. (a) | 91,040 | 2,880,505 | ||||||
|
| |||||||
6,972,957 | ||||||||
|
| |||||||
Health Care – Services — 3.2% |
| |||||||
ICON PLC (a) | 19,682 | 2,543,111 | ||||||
Molina Healthcare, Inc. (a) | 16,222 | 1,885,321 | ||||||
WellCare Health Plans, Inc. (a) | 5,852 | 1,381,599 | ||||||
|
| |||||||
5,810,031 | ||||||||
|
| |||||||
21,041,370 | ||||||||
|
| |||||||
Energy — 6.8% |
| |||||||
Oil & Gas — 3.9% |
| |||||||
HollyFrontier Corp. | 22,670 | 1,158,890 | ||||||
Oasis Petroleum, Inc. (a) | 222,350 | 1,229,596 | ||||||
Patterson-UTI Energy, Inc. | 120,960 | 1,251,936 | ||||||
QEP Resources, Inc. (a) | 278,989 | 1,570,708 | ||||||
SM Energy Co. | 94,840 | 1,468,123 | ||||||
SRC Energy, Inc. (a) | 112,220 | 527,434 | ||||||
|
| |||||||
7,206,687 | ||||||||
|
| |||||||
Oil & Gas Services — 2.9% |
| |||||||
Dril-Quip, Inc. (a) | 35,734 | 1,073,092 | ||||||
Helix Energy Solutions Group, Inc. (a) | 95,970 | 519,198 | ||||||
MRC Global, Inc. (a) | 104,520 | 1,278,280 | ||||||
Oil States International, Inc. (a) | 79,540 | 1,135,831 | ||||||
RPC, Inc. (b) | 128,237 | 1,265,699 | ||||||
|
| |||||||
5,272,100 | ||||||||
|
| |||||||
12,478,787 | ||||||||
|
| |||||||
Financial — 32.9% |
| |||||||
Banks — 9.9% |
| |||||||
Associated Banc-Corp. | 88,137 | 1,744,231 | ||||||
BankUnited, Inc. | 77,734 | 2,327,356 | ||||||
Comerica, Inc. | 29,620 | 2,034,598 | ||||||
Huntington Bancshares, Inc. | 105,848 | 1,261,708 | ||||||
Synovus Financial Corp. | 54,460 | 1,742,175 | ||||||
Texas Capital Bancshares, Inc. (a) | 39,294 | 2,007,531 | ||||||
Umpqua Holdings Corp. | 135,698 | 2,157,598 | ||||||
Webster Financial Corp. | 36,783 | 1,813,034 | ||||||
Zions Bancorp NA | 73,201 | 2,982,209 | ||||||
|
| |||||||
18,070,440 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
121
Table of Contents
MML Small/Mid Cap Value Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Diversified Financial Services — 0.7% |
| |||||||
OneMain Holdings, Inc. (a) | 51,970 | $ | 1,262,352 | |||||
|
| |||||||
Insurance — 10.2% |
| |||||||
American Financial Group, Inc. | 22,021 | 1,993,561 | ||||||
Essent Group Ltd. (a) | 61,920 | 2,116,426 | ||||||
Everest Re Group Ltd. | 16,940 | 3,688,854 | ||||||
First American Financial Corp. | 49,910 | 2,227,982 | ||||||
The Hanover Insurance Group, Inc. | 12,280 | 1,433,936 | ||||||
Kemper Corp. | 4,160 | 276,141 | ||||||
Old Republic International Corp. | 87,903 | 1,808,165 | ||||||
Reinsurance Group of America, Inc. | 26,010 | 3,647,382 | ||||||
Selective Insurance Group, Inc. | 24,367 | 1,484,925 | ||||||
|
| |||||||
18,677,372 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 10.9% |
| |||||||
American Campus Communities, Inc. | 68,148 | 2,820,646 | ||||||
Camden Property Trust | 32,942 | 2,900,543 | ||||||
CubeSmart | 95,240 | 2,732,435 | ||||||
Empire State Realty Trust, Inc. Class A | 165,694 | 2,357,825 | ||||||
MGM Growth Properties LLC Class A | 66,926 | 1,767,516 | ||||||
Park Hotels & Resorts, Inc. | 83,514 | 2,169,694 | ||||||
STAG Industrial, Inc. | 100,300 | 2,495,464 | ||||||
Sun Communities, Inc. | 26,377 | 2,682,805 | ||||||
|
| |||||||
19,926,928 | ||||||||
|
| |||||||
Savings & Loans — 1.2% |
| |||||||
Sterling Bancorp | 134,620 | 2,222,576 | ||||||
|
| |||||||
60,159,668 | ||||||||
|
| |||||||
Industrial — 11.3% |
| |||||||
Aerospace & Defense — 0.3% |
| |||||||
AAR Corp. | 15,438 | 576,455 | ||||||
|
| |||||||
Electrical Components & Equipment — 1.0% |
| |||||||
EnerSys | 22,759 | 1,766,326 | ||||||
|
| |||||||
Electronics — 1.6% |
| |||||||
Avnet, Inc. | 61,980 | 2,237,478 | ||||||
Sanmina Corp. (a) | 26,310 | 633,019 | ||||||
|
| |||||||
2,870,497 | ||||||||
|
| |||||||
Engineering & Construction — 2.4% |
| |||||||
AECOM (a) | 54,693 | 1,449,365 | ||||||
Granite Construction, Inc. | 37,980 | 1,529,834 | ||||||
Tutor Perini Corp. (a) | 87,080 | 1,390,668 | ||||||
|
| |||||||
4,369,867 | ||||||||
|
| |||||||
Hand & Machine Tools — 1.2% |
| |||||||
Regal Beloit Corp. | 30,408 | 2,130,080 | ||||||
|
| |||||||
Machinery – Construction & Mining — 1.7% |
| |||||||
Oshkosh Corp. | 32,560 | 1,996,254 | ||||||
Terex Corp. | 43,020 | 1,186,061 | ||||||
|
| |||||||
3,182,315 | ||||||||
|
|
Number of Shares | Value | |||||||
Machinery – Diversified — 0.4% |
| |||||||
SPX FLOW, Inc. (a) | 24,545 | $ | 746,659 | |||||
|
| |||||||
Miscellaneous – Manufacturing — 1.0% |
| |||||||
Trinseo SA | 40,930 | 1,873,775 | ||||||
|
| |||||||
Packaging & Containers — 1.1% |
| |||||||
Graphic Packaging Holding Co. | 170,197 | 1,810,896 | ||||||
Sealed Air Corp. | 7,743 | 269,766 | ||||||
|
| |||||||
2,080,662 | ||||||||
|
| |||||||
Transportation — 0.6% |
| |||||||
Atlas Air Worldwide Holdings, Inc. (a) | 23,660 | 998,215 | ||||||
|
| |||||||
20,594,851 | ||||||||
|
| |||||||
Technology — 10.7% |
| |||||||
Computers — 5.0% |
| |||||||
Amdocs Ltd. | 33,598 | 1,968,171 | ||||||
Genpact Ltd. | 96,807 | 2,612,821 | ||||||
NCR Corp. (a) | 108,619 | 2,506,927 | ||||||
NetScout Systems, Inc. (a) | 83,250 | 1,967,197 | ||||||
|
| |||||||
9,055,116 | ||||||||
|
| |||||||
Semiconductors — 2.6% |
| |||||||
Cypress Semiconductor Corp. | 146,010 | 1,857,247 | ||||||
Kulicke & Soffa Industries, Inc. | 29,450 | 596,951 | ||||||
MaxLinear, Inc. (a) | 81,896 | 1,441,370 | ||||||
Mellanox Technologies Ltd. (a) | 9,950 | 919,181 | ||||||
|
| |||||||
4,814,749 | ||||||||
|
| |||||||
Software — 3.1% |
| |||||||
CommVault Systems, Inc. (a) | 20,356 | 1,202,836 | ||||||
Nuance Communications, Inc. (a) | 155,157 | 2,052,727 | ||||||
Verint Systems, Inc. (a) | 56,605 | 2,394,958 | ||||||
|
| |||||||
5,650,521 | ||||||||
|
| |||||||
19,520,386 | ||||||||
|
| |||||||
Utilities — 5.6% |
| |||||||
Electric — 4.6% |
| |||||||
Alliant Energy Corp. | 63,054 | 2,664,032 | ||||||
Black Hills Corp. | 26,477 | 1,662,226 | ||||||
PNM Resources, Inc. | 46,163 | 1,896,838 | ||||||
Portland General Electric Co. | 47,897 | 2,196,077 | ||||||
|
| |||||||
8,419,173 | ||||||||
|
| |||||||
Gas — 1.0% |
| |||||||
Southwest Gas Holdings, Inc. | 24,160 | 1,848,240 | ||||||
|
| |||||||
10,267,413 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $187,737,243) | 177,041,376 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $187,737,243) | 177,041,376 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
122
Table of Contents
MML Small/Mid Cap Value Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 0.0% |
| |||||||
Diversified Financial Services — 0.0% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 205 | $ | 205 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $205) | 205 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $187,737,448) | 177,041,581 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.6% |
| |||||||
Repurchase Agreement — 0.6% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (d) | $ | 1,149,375 | 1,149,375 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,149,375) | 1,149,375 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 97.5% (Cost $188,886,823) (e) | 178,190,956 | |||||||
Other Assets/(Liabilities) — 2.5% | 4,605,247 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 182,796,203 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $197 or 0.00% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers.(Note 2). |
(c) | Represents investment of security lending collateral.(Note 2). |
(d) | Maturity value of $1,149,455. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $1,172,968. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States | 83.6 | % | ||
Bermuda | 5.4 | % | ||
Luxembourg | 1.9 | % | ||
Ireland | 1.4 | % | ||
British Virgin Islands | 1.2 | % | ||
Canada | 1.2 | % | ||
United Kingdom | 1.1 | % | ||
France | 0.6 | % | ||
Israel | 0.5 | % | ||
|
| |||
Total Long-Term Investments | 96.9 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.1 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
123
Table of Contents
December 31, 2018
Principal Amount | Value | |||||||
BONDS & NOTES — 101.7% |
| |||||||
BANK LOANS — 0.2% |
| |||||||
Advertising — 0.0% |
| |||||||
Lamar Media Corp., 2018 Term Loan B, 1 mo. LIBOR + 1.750% | $ | 99,250 | $ | 96,356 | ||||
|
| |||||||
Diversified Financial Services — 0.2% |
| |||||||
Delos Finance Sarl, 2018 Term Loan B, 3 mo. LIBOR + 1.750% | 591,000 | 573,565 | ||||||
|
| |||||||
TOTAL BANK LOANS (Cost $690,140) | 669,921 | |||||||
|
| |||||||
CORPORATE DEBT — 34.0% |
| |||||||
Advertising — 0.0% |
| |||||||
Clear Channel International BV | 80,000 | 80,600 | ||||||
|
| |||||||
Aerospace & Defense — 0.3% |
| |||||||
L3 Technologies, Inc. | 640,000 | 639,858 | ||||||
Northrop Grumman Corp. | 640,000 | 597,121 | ||||||
|
| |||||||
1,236,979 | ||||||||
|
| |||||||
Agriculture — 0.1% |
| |||||||
Reynolds American, Inc. | 195,000 | 188,026 | ||||||
|
| |||||||
Airlines — 0.5% |
| |||||||
Continental Airlines Pass-Through Trust | 1,536,112 | 1,577,433 | ||||||
Northwest Airlines Pass-Through Trust | 348,718 | 374,555 | ||||||
|
| |||||||
1,951,988 | ||||||||
|
| |||||||
Auto Manufacturers — 0.7% |
| |||||||
Ford Motor Credit Co. LLC | 575,000 | 559,891 | ||||||
3.305% FRN 10/12/21 (b) | 405,000 | 388,663 | ||||||
8.125% 1/15/20 | 805,000 | 835,733 | ||||||
General Motors Financial Co., Inc. | 500,000 | 495,644 | ||||||
2.400% 5/09/19 | 505,000 | 503,102 | ||||||
|
| |||||||
2,783,033 | ||||||||
|
| |||||||
Banks — 9.9% |
| |||||||
Bank of America Corp. | 515,000 | 505,784 | ||||||
2.738% VRN 1/23/22 (b) | 1,085,000 | 1,068,535 | ||||||
3.004% VRN 12/20/23 (b) | 1,274,000 | 1,238,339 | ||||||
3.093% VRN 10/01/25 (b) | 860,000 | 815,444 | ||||||
4.271% VRN 7/23/29 (b) | 1,750,000 | 1,741,786 |
Principal Amount | Value | |||||||
The Bank of New York Mellon Corp. | $ | 195,000 | $ | 192,475 | ||||
Citibank NA | 2,205,000 | 2,202,201 | ||||||
3.400% 7/23/21 | 250,000 | 250,318 | ||||||
Citigroup, Inc. | 1,000,000 | 991,970 | ||||||
3.142% VRN 1/24/23 (b) | 750,000 | 736,688 | ||||||
8.500% 5/22/19 | 1,200,000 | 1,224,488 | ||||||
Cooperatieve Rabobank UA | 850,000 | 846,890 | ||||||
Goldman Sachs Bank | 1,000,000 | 998,191 | ||||||
The Goldman Sachs Group, Inc. | 2,000,000 | 1,987,366 | ||||||
3.272% VRN 9/29/25 (b) | 645,000 | 604,605 | ||||||
3.814% VRN 4/23/29 (b) | 650,000 | 606,856 | ||||||
4.223% VRN 5/01/29 (b) | 195,000 | 187,666 | ||||||
JP Morgan Chase & Co. | 895,000 | 826,558 | ||||||
3 mo. USD LIBOR + 1.380% | 845,000 | 805,611 | ||||||
3 mo. USD LIBOR + 1.337% | 500,000 | 485,360 | ||||||
4.023% VRN 12/05/24 (b) | 970,000 | 977,718 | ||||||
JP Morgan Chase Bank NA | 2,215,000 | 2,197,409 | ||||||
2.868% FRN 2/13/20 (b) | 1,765,000 | 1,762,662 | ||||||
3.086% VRN 4/26/21 (b) | 485,000 | 483,040 | ||||||
Lloyds Banking Group PLC | 430,000 | 407,181 | ||||||
Macquarie Bank Ltd. | 750,000 | 747,756 | ||||||
Morgan Stanley | 510,000 | 502,842 | ||||||
3 mo. USD LIBOR + .800% | 3,395,000 | 3,395,088 | ||||||
5.500% 7/24/20 | 250,000 | 257,719 | ||||||
5.625% 9/23/19 | 500,000 | 507,399 | ||||||
PNC Bank NA | 1,090,000 | 1,075,548 | ||||||
Santander UK Group Holdings PLC | 645,000 | 611,994 | ||||||
Santander UK PLC | 1,250,000 | 1,243,901 | ||||||
State Street Corp. | 195,000 | 195,464 | ||||||
Wells Fargo & Co. | 195,000 | 188,031 | ||||||
3.000% 4/22/26 | 475,000 | 442,624 | ||||||
3.000% 10/23/26 | 845,000 | 782,237 |
The accompanying notes are an integral part of the financial statements.
124
Table of Contents
MML Total Return Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
3.550% 9/29/25 | $ | 725,000 | $ | 702,435 | ||||
3 mo. USD LIBOR + 1.310% | 565,000 | 542,443 | ||||||
Wells Fargo Bank NA | 1,500,000 | 1,487,241 | ||||||
3.325% VRN 7/23/21 (b) | 760,000 | 759,259 | ||||||
|
| |||||||
37,587,122 | ||||||||
|
| |||||||
Beverages — 0.5% |
| |||||||
Anheuser-Busch InBev Finance, Inc. | 600,000 | 556,431 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 435,000 | 416,092 | ||||||
Bacardi Ltd. | 195,000 | 187,392 | ||||||
5.300% 5/15/48 (a) | 210,000 | 189,581 | ||||||
Constellation Brands, Inc. | 500,000 | 501,859 | ||||||
|
| |||||||
1,851,355 | ||||||||
|
| |||||||
Biotechnology — 0.8% |
| |||||||
Amgen, Inc. | 200,000 | 197,335 | ||||||
4.400% 5/01/45 | 500,000 | 467,594 | ||||||
Baxalta, Inc. | 216,000 | 214,070 | ||||||
Celgene Corp. | 440,000 | 412,710 | ||||||
5.000% 8/15/45 | 750,000 | 693,512 | ||||||
Gilead Sciences, Inc. | 525,000 | 514,605 | ||||||
4.150% 3/01/47 | 445,000 | 409,908 | ||||||
|
| |||||||
2,909,734 | ||||||||
|
| |||||||
Chemicals — 0.1% |
| |||||||
Axalta Coating Systems LLC | 150,000 | 141,750 | ||||||
Valvoline, Inc. | 200,000 | 195,500 | ||||||
|
| |||||||
337,250 | ||||||||
|
| |||||||
Commercial Services — 0.2% |
| |||||||
IHS Markit Ltd. | 253,000 | 235,290 | ||||||
4.750% 8/01/28 | 385,000 | 376,988 | ||||||
Matthews International Corp. | 120,000 | 111,600 | ||||||
|
| |||||||
723,878 | ||||||||
|
| |||||||
Computers — 0.3% |
| |||||||
Apple, Inc. | 850,000 | 899,758 | ||||||
Dell International LLC/EMC Corp. | 400,000 | 398,818 | ||||||
|
| |||||||
1,298,576 | ||||||||
|
|
Principal Amount | Value | |||||||
Cosmetics & Personal Care — 0.0% |
| |||||||
First Quality Finance Co., Inc. | $ | 174,000 | $ | 155,730 | ||||
|
| |||||||
Diversified Financial Services — 1.0% |
| |||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 490,000 | 491,414 | ||||||
Air Lease Corp. | 575,000 | 565,854 | ||||||
4.750% 3/01/20 | 855,000 | 866,780 | ||||||
GE Capital International Funding Co. Unlimited Co. | 725,000 | 699,665 | ||||||
4.418% 11/15/35 | 780,000 | 653,302 | ||||||
Raymond James Financial, Inc. | 400,000 | 384,301 | ||||||
|
| |||||||
3,661,316 | ||||||||
|
| |||||||
Electric — 2.8% |
| |||||||
AEP Transmission Co. LLC | 855,000 | 826,102 | ||||||
Duke Energy Carolinas LLC | 1,000,000 | 960,748 | ||||||
Duquesne Light Holdings, Inc. | 1,000,000 | 1,042,884 | ||||||
Emera US Finance LP | 1,068,000 | 1,059,268 | ||||||
Jersey Central Power & Light Co. | 800,000 | 832,905 | ||||||
6.400% 5/15/36 | 425,000 | 495,098 | ||||||
Kansas City Power & Light Co. | 500,000 | 494,612 | ||||||
LG&E & KU Energy LLC | 1,200,000 | 1,219,482 | ||||||
MidAmerican Energy Co. | 1,400,000 | 1,532,577 | ||||||
NextEra Energy Capital Holdings, Inc. | 2,000,000 | 1,980,541 | ||||||
NextEra Energy Operating Partners LP | 177,000 | 157,530 | ||||||
|
| |||||||
10,601,747 | ||||||||
|
| |||||||
Electronics — 0.0% |
| |||||||
Itron, Inc. | 108,000 | 98,820 | ||||||
|
| |||||||
Foods — 1.4% |
| |||||||
Campbell Soup Co. | 650,000 | 646,621 | ||||||
Chobani LLC/Chobani Finance Corp., Inc. | 139,000 | 109,463 | ||||||
General Mills, Inc. | 630,000 | 617,346 |
The accompanying notes are an integral part of the financial statements.
125
Table of Contents
MML Total Return Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Kraft Heinz Foods Co. | $ | 750,000 | $ | 748,074 | ||||
3.950% 7/15/25 | 500,000 | 483,878 | ||||||
4.625% 1/30/29 | 1,020,000 | 1,008,493 | ||||||
Mondelez International Holdings Netherlands BV | 1,195,000 | 1,178,360 | ||||||
Pilgrim’s Pride Corp. | 152,000 | 137,940 | ||||||
Post Holdings, Inc. | 36,000 | 32,760 | ||||||
5.625% 1/15/28 (a) | 175,000 | 161,000 | ||||||
5.750% 3/01/27 (a) | 40,000 | 37,500 | ||||||
|
| |||||||
5,161,435 | ||||||||
|
| |||||||
Gas — 0.2% |
| |||||||
CenterPoint Energy Resources Corp. | 595,000 | 672,257 | ||||||
Southern Co. Gas Capital Corp. | 100,000 | 95,318 | ||||||
|
| |||||||
767,575 | ||||||||
|
| |||||||
Health Care – Products — 0.6% |
| |||||||
Becton Dickinson & Co. | 440,000 | 433,133 | ||||||
Becton Dickinson and Co. | 400,000 | 387,408 | ||||||
Boston Scientific Corp. | 650,000 | 666,422 | ||||||
Hologic, Inc. | 160,000 | 144,000 | ||||||
Teleflex, Inc. | 107,000 | 99,242 | ||||||
Zimmer Biomet Holdings, Inc. | 655,000 | 648,867 | ||||||
|
| |||||||
2,379,072 | ||||||||
|
| |||||||
Health Care – Services — 1.4% |
| |||||||
Aetna, Inc. | 485,000 | 461,239 | ||||||
Anthem, Inc. | 500,000 | 492,653 | ||||||
3.300% 1/15/23 | 530,000 | 521,505 | ||||||
Catalent Pharma Solutions, Inc. | 80,000 | 75,800 | ||||||
Centene Corp. | 422,000 | 423,055 | ||||||
CHS/Community Health Systems, Inc. | 60,000 | 59,250 | ||||||
Cigna Holding Co. | 945,000 | 864,424 | ||||||
Fresenius Medical Care US Finance II, Inc. | 485,000 | 490,462 |
Principal Amount | Value | |||||||
HCA, Inc. | $ | 371,000 | $ | 367,290 | ||||
6.500% 2/15/20 | 196,000 | 200,900 | ||||||
Molina Healthcare, Inc. | 225,000 | 217,125 | ||||||
Providence St. Joseph Health Obligated Group | 845,000 | 786,392 | ||||||
Tenet Healthcare Corp. | 26,000 | 25,285 | ||||||
4.625% 7/15/24 | 184,000 | 171,120 | ||||||
WellCare Health Plans, Inc. | 75,000 | 72,187 | ||||||
5.375% 8/15/26 (a) | 40,000 | 38,600 | ||||||
|
| |||||||
5,267,287 | ||||||||
|
| |||||||
Household Products & Wares — 0.1% |
| |||||||
Central Garden & Pet Co. | 36,000 | 35,910 | ||||||
5.125% 2/01/28 | 243,000 | 217,485 | ||||||
Spectrum Brands, Inc. | 245,000 | 232,677 | ||||||
|
| |||||||
486,072 | ||||||||
|
| |||||||
Insurance — 0.6% |
| |||||||
Berkshire Hathaway Finance Corp. | 500,000 | 507,811 | ||||||
4.400% 5/15/42 | 750,000 | 764,964 | ||||||
Farmers Exchange Capital III 3 mo. USD LIBOR + 3.454% | 970,000 | 938,668 | ||||||
|
| |||||||
2,211,443 | ||||||||
|
| |||||||
Internet — 0.0% |
| |||||||
Zayo Group LLC/Zayo Capital, Inc. | 113,000 | 100,853 | ||||||
|
| |||||||
Media — 0.8% |
| |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 122,000 | 113,631 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 950,000 | 859,385 | ||||||
6.484% 10/23/45 | 200,000 | 205,588 | ||||||
Comcast Corp. | 1,020,000 | 1,031,098 | ||||||
CSC Holdings LLC | 200,000 | 183,936 | ||||||
5.500% 5/15/26 (a) | 200,000 | 188,500 | ||||||
8.625% 2/15/19 | 100,000 | 100,250 | ||||||
DISH DBS Corp. | 100,000 | 92,000 | ||||||
Sirius XM Radio, Inc. | 220,000 | 209,000 |
The accompanying notes are an integral part of the financial statements.
126
Table of Contents
MML Total Return Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Virgin Media Secured Finance PLC | $ | 200,000 | $ | 183,250 | ||||
|
| |||||||
3,166,638 | ||||||||
|
| |||||||
Mining — 0.1% |
| |||||||
Indonesia Asahan Aluminium Persero PT | 200,000 | 209,776 | ||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.0% |
| |||||||
General Electric Co. | 875,000 | 885,308 | ||||||
4.625% 1/07/21 | 1,020,000 | 1,022,634 | ||||||
4.650% 10/17/21 | 370,000 | 371,110 | ||||||
5.550% 1/05/26 | 580,000 | 567,304 | ||||||
5.875% 1/14/38 | 244,000 | 233,286 | ||||||
Siemens Financieringsmaatschappij NV | 550,000 | 513,001 | ||||||
|
| |||||||
3,592,643 | ||||||||
|
| |||||||
Oil & Gas — 0.7% |
| |||||||
Antero Resources Corp. | 125,000 | 117,500 | ||||||
Canadian Natural Resources Ltd. | 171,000 | 161,308 | ||||||
Diamondback Energy, Inc. | 16,000 | 15,440 | ||||||
4.750% 11/01/24 | 104,000 | 100,360 | ||||||
Gulfport Energy Corp. | 47,000 | 41,595 | ||||||
KazMunayGas National Co. JSC | 200,000 | 196,305 | ||||||
Matador Resources Co. | 105,000 | 96,600 | ||||||
Noble Energy, Inc. | 140,000 | 124,268 | ||||||
Parsley Energy LLC / Parsley Finance Corp. | 210,000 | 193,200 | ||||||
Petrobras Global Finance BV | 200,000 | 185,000 | ||||||
Petroleos Mexicanos | 400,000 | 373,000 | ||||||
Range Resources Corp. | 125,000 | 102,500 | ||||||
5.000% 3/15/23 (c) | 75,000 | 66,000 | ||||||
Shell International Finance BV | 415,000 | 425,539 | ||||||
Transocean Guardian Ltd. | 152,000 | 145,540 | ||||||
Transocean Pontus Ltd. | 138,000 | 133,170 | ||||||
|
| |||||||
2,477,325 | ||||||||
|
| |||||||
Oil & Gas Services — 0.0% |
| |||||||
Transocean Proteus Ltd. | 66,400 | 63,578 | ||||||
|
|
Principal Amount | Value | |||||||
Packaging & Containers — 0.7% |
| |||||||
Amcor Finance USA, Inc. | $ | 650,000 | $ | 615,527 | ||||
Ball Corp. | 350,000 | 351,312 | ||||||
Graphic Packaging International LLC | 200,000 | 188,000 | ||||||
Multi-Color Corp. | 130,000 | 111,800 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu | 397,334 | 396,341 | ||||||
Sealed Air Corp. | 190,000 | 187,625 | ||||||
Silgan Holdings, Inc. | 250,000 | 233,125 | ||||||
Westrock Co. | 385,000 | 395,715 | ||||||
|
| |||||||
2,479,445 | ||||||||
|
| |||||||
Pharmaceuticals — 1.3% |
| |||||||
AbbVie, Inc. | 500,000 | 479,592 | ||||||
Bausch Health Cos., Inc. | 138,000 | 126,270 | ||||||
5.500% 11/01/25 (a) | 117,000 | 109,103 | ||||||
Bayer US Finance Il LLC | 850,000 | 811,539 | ||||||
Bayer US Finance LLC | 850,000 | 843,206 | ||||||
Cigna Corp. | 800,000 | 798,873 | ||||||
CVS Health Corp. | 1,090,000 | 1,060,145 | ||||||
Shire Acquisitions Investments Ireland DAC | 500,000 | 492,993 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 277,000 | 272,700 | ||||||
|
| |||||||
4,994,421 | ||||||||
|
| |||||||
Pipelines — 1.9% |
| |||||||
Energy Transfer LP | 254,000 | 247,650 | ||||||
Energy Transfer Operating LP | 400,000 | 346,040 | ||||||
Energy Transfer Partners LP | 400,000 | 407,000 | ||||||
Florida Gas Transmission Co. LLC | 1,000,000 | 1,015,024 | ||||||
Kinder Morgan, Inc. | 500,000 | 489,369 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Plains All American Pipeline LP/PAA Finance Corp. | $ | 600,000 | $ | 590,065 | ||||
Rockies Express Pipeline LLC | 381,000 | 381,000 | ||||||
6.000% 1/15/19 (a) | 228,000 | 228,000 | ||||||
Ruby Pipeline LLC | 630,682 | 653,276 | ||||||
Sabine Pass Liquefaction LLC, Series WI, | 290,000 | 302,574 | ||||||
Sunoco Logistics Partners Operations LP | 644,000 | 583,597 | ||||||
TC PipeLines LP | 500,000 | 477,299 | ||||||
TransMontaigne Partners LP/TLP Finance Corp. | 130,000 | 116,350 | ||||||
Williams Cos., Inc. | 683,000 | 670,166 | ||||||
4.500% 11/15/23 | 570,000 | 573,002 | ||||||
|
| |||||||
7,080,412 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 3.1% |
| |||||||
Alexandria Real Estate Equities, Inc. | 450,000 | 433,146 | ||||||
American Campus Communities Operating Partnership LP | 500,000 | 498,288 | ||||||
3.750% 4/15/23 | 650,000 | 645,306 | ||||||
American Tower Corp. | 430,000 | 413,713 | ||||||
Boston Properties LP | 430,000 | 410,596 | ||||||
Crown Castle International Corp. | 625,000 | 592,941 | ||||||
Duke Realty LP | 1,000,000 | 1,008,319 | ||||||
GLP Capital LP/GLP Financing II, Inc. | 190,000 | 188,655 | ||||||
5.300% 1/15/29 | 310,000 | 303,189 | ||||||
5.375% 4/15/26 | 695,000 | 687,362 | ||||||
HCP, Inc. | 500,000 | 496,438 | ||||||
3.875% 8/15/24 | 500,000 | 492,080 | ||||||
4.250% 11/15/23 | 500,000 | 500,763 | ||||||
Healthcare Realty Trust, Inc. | 235,000 | 231,390 | ||||||
MGM Growth Properties Operating Partnership LP/MGP FinanceCo-Issuer, Inc. | 80,000 | 70,000 | ||||||
5.625% 5/01/24 | 100,000 | 99,000 |
Principal Amount | Value | |||||||
SBA Communications Corp. | $ | 98,000 | $ | 92,120 | ||||
SL Green Operating Partnership LP | 500,000 | 483,099 | ||||||
Ventas Realty LP | 1,500,000 | 1,435,899 | ||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC | 500,000 | 497,786 | ||||||
3.250% 10/05/20 (a) | 700,000 | 699,028 | ||||||
Welltower, Inc. | 830,000 | 819,146 | ||||||
4.125% 4/01/19 | 750,000 | 750,210 | ||||||
|
| |||||||
11,848,474 | ||||||||
|
| |||||||
Retail — 0.7% |
| |||||||
1011778 BC ULC/New Red Finance, Inc. | 299,000 | 275,080 | ||||||
Alimentation Couche-Tard, Inc. | 195,000 | 188,171 | ||||||
The Home Depot, Inc. | 215,000 | 220,215 | ||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC | 210,000 | 195,300 | ||||||
Rite Aid Corp. | 321,000 | 253,590 | ||||||
Walgreens Boots Alliance, Inc. | 400,000 | 393,917 | ||||||
4.800% 11/18/44 | 275,000 | 250,380 | ||||||
Walmart, Inc. | 930,000 | 940,256 | ||||||
|
| |||||||
2,716,909 | ||||||||
|
| |||||||
Semiconductors — 0.2% |
| |||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 750,000 | 740,633 | ||||||
NXP BV/NXP Funding LLC | 200,000 | 197,500 | ||||||
|
| |||||||
938,133 | ||||||||
|
| |||||||
Software — 0.1% |
| |||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. | 122,000 | 113,765 | ||||||
IQVIA, Inc. | 200,000 | 191,000 | ||||||
|
| |||||||
304,765 | ||||||||
|
| |||||||
Telecommunications — 1.8% |
| |||||||
AT&T, Inc. | 160,000 | 156,457 | ||||||
4.350% 6/15/45 | 250,000 | 211,267 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
4.800% 6/15/44 | $ | 1,300,000 | $ | 1,165,208 | ||||
5.150% 11/15/46 | 530,000 | 492,521 | ||||||
5.250% 3/01/37 | 425,000 | 417,447 | ||||||
Intelsat Jackson Holdings SA | 56,000 | 48,720 | ||||||
8.500% 10/15/24 (a) | 114,000 | 110,580 | ||||||
9.750% 7/15/25 (a) | 223,000 | 223,624 | ||||||
Level 3 Financing, Inc. | 85,000 | 77,775 | ||||||
5.375% 5/01/25 | 160,000 | 150,000 | ||||||
Sprint Capital Corp. | 71,000 | 67,095 | ||||||
Sprint Corp. | 21,000 | 20,797 | ||||||
7.625% 2/15/25 | 49,000 | 49,000 | ||||||
7.625% 3/01/26 | 169,000 | 166,887 | ||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | 443,438 | 437,895 | ||||||
4.738% 3/20/25 (a) | 870,000 | 853,687 | ||||||
T-Mobile USA, Inc. | 104,000 | 95,420 | ||||||
4.750% 2/01/28 | 269,000 | 243,445 | ||||||
Verizon Communications, Inc. | 340,000 | 299,974 | ||||||
4.329% 9/21/28 | 300,000 | 301,233 | ||||||
5.250% 3/16/37 | 630,000 | 656,250 | ||||||
Vodafone Group PLC | 420,000 | 407,429 | ||||||
|
| |||||||
6,652,711 | ||||||||
|
| |||||||
Transportation — 0.1% |
| |||||||
Union Pacific Corp. | 425,000 | 424,420 | ||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $132,109,505) | 128,789,541 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 1.2% |
| |||||||
City of New York NY | 750,000 | 850,350 | ||||||
Jersey City Municipal Utilities Authority | 850,000 | 938,247 | ||||||
Los Angeles Unified School District | 1,000,000 | 1,157,250 | ||||||
New York State Dormitory Authority | 750,000 | 857,160 | ||||||
State of California | 850,000 | 897,396 | ||||||
|
| |||||||
4,700,403 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $4,946,955) | 4,700,403 | |||||||
|
|
Principal Amount | Value | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 15.8% |
| |||||||
Commercial MBS — 1.7% |
| |||||||
BAMLL Commercial Mortgage Securities Trust, Series 2018-PARK, Class A, | $ | 620,000 | $ | 643,982 | ||||
CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A | 420,000 | 420,426 | ||||||
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class A | 340,000 | 338,847 | ||||||
COMM Mortgage Trust | 340,000 | 336,095 | ||||||
Series 2013-300P, Class A1, | 325,000 | 340,147 | ||||||
Core Industrial Trust, | 412,672 | 409,781 | ||||||
Core Industrial Trust 2015-TEXW, Series 2015-TEXW, Class A | 416,849 | 413,654 | ||||||
GS Mortgage Securities Corp Trust, Series 2012-ALOH, Class A | 370,000 | 371,470 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series2012-C6, Class A4 | 1,582,829 | 1,560,561 | ||||||
Morgan Stanley Capital I Trust,Series 2015-420, Class A | 400,000 | 402,656 | ||||||
RBS Commercial Funding, Inc. Trust, Series2013-GSP, Class A, | 330,000 | 331,699 | ||||||
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A1, | 370,000 | 335,463 | ||||||
Wells Fargo Commercial Mortgage Trust, Series2010-C1, Class A2 | 500,000 | 507,138 | ||||||
|
| |||||||
6,411,919 | ||||||||
|
| |||||||
Home Equity ABS — 1.0% |
| |||||||
Bear Stearns I Trust, Series2006-HE1, Class 1M1, 1 mo. USD LIBOR + .410% | 275,902 | 277,030 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series2006-HE2, Class M1, 1 mo. USD LIBOR + .290% | 2,400,000 | 2,307,161 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Wells Fargo Home Equity Trust,Series 2004-2, Class M3, 1 mo. USD LIBOR + 1.050% | $ | 1,135,123 | $ | 1,128,926 | ||||
|
| |||||||
3,713,117 | ||||||||
|
| |||||||
Other ABS — 2.0% |
| |||||||
AIMCO CLO, Series2014-AA, Class AR, 3 mo. USD LIBOR + 1.100% | 304,319 | 303,040 | ||||||
Countrywide Asset-Backed Certificates, Series2006-15, Class A3, | 1,005,032 | 966,411 | ||||||
Dryden XXVI Senior Loan Fund,Series 2013-26A, Class AR, | 975,000 | 957,225 | ||||||
First Frankin Mortgage Loan Trust, Series2005-FF7, Class M2, 1 mo. USD LIBOR + .470% | 196,571 | 196,401 | ||||||
LCM XXI LP, Series 21A, Class AR, | 740,000 | 727,991 | ||||||
Magnetite VII Ltd., Series2012-7A, Class A1R2, | 1,000,000 | 984,583 | ||||||
Saxon Asset Securities Trust | 2,326,744 | 1,788,930 | ||||||
Series2005-1, Class M1, 1 mo. USD LIBOR + .690% | 721,414 | 709,993 | ||||||
Voya CLO Ltd., Series2014-3A, Class A1R, | 895,806 | 891,354 | ||||||
|
| |||||||
7,525,928 | ||||||||
|
| |||||||
Student Loans ABS — 6.0% |
| |||||||
Access Group, Inc., Series2015-1, Class A, 1 mo. USD LIBOR + .700% | 689,816 | 689,610 | ||||||
Collegiate Funding Services Education Loan Trust, Series2005-A, Class A4, 3 mo. USD LIBOR + .200% | 1,500,000 | 1,445,401 | ||||||
Navient Student Loan Trust | 1,024,490 | 1,018,516 | ||||||
Series2018-3A, Class A3, 3.306% FRN 3/25/67 (a) (b) | 630,000 | 622,205 | ||||||
Series2017-3A, Class A3, 1 mo. USD LIBOR + 1.050% | 1,100,000 | 1,111,116 |
Principal Amount | Value | |||||||
Nelnet Student Loan Trust | $ | 1,238,873 | $ | 1,227,741 | ||||
Series2015-3A, Class A2, 1 mo. USD LIBOR + .600% | 1,443,532 | 1,438,320 | ||||||
Pennsylvania Higher Education Assistance Agency, Series2013-3A, Class A, 1 mo. USD LIBOR + .750% | 1,101,215 | 1,105,935 | ||||||
SLC Student Loan Trust, Series2006-2, Class A6, 3 mo. USD LIBOR + .160% | 2,300,000 | 2,238,529 | ||||||
SLM Student Loan Trust | 1,100,000 | 1,084,853 | ||||||
Series2008-1, Class A4, 3 mo. USD LIBOR + .650% | 923,455 | 916,881 | ||||||
Series2012-7, Class A3, 1 mo. USD LIBOR + .650% | 970,035 | 958,316 | ||||||
Series2012-2, Class A, 1 mo. USD LIBOR + .700% | 1,111,954 | 1,105,075 | ||||||
Series2012-1, Class A3, 1 mo. USD LIBOR + .950% | 948,679 | 950,149 | ||||||
Series2008-6, Class A4, 3 mo. USD LIBOR + 1.100% | 1,441,170 | 1,450,672 | ||||||
Series2008-9, Class A, 3 mo. USD LIBOR + 1.500% | 2,001,735 | 2,022,260 | ||||||
Series2008-5, Class B, 3 mo. USD LIBOR + 1.850% | 700,000 | 715,456 | ||||||
Series2008-9, Class B, 3 mo. USD LIBOR + 2.250% | 1,430,000 | 1,483,536 | ||||||
SLM Student Loan Trust2007-7, Series2007-7, Class A4, 3 mo. USD LIBOR + .330% | 994,718 | 976,779 | ||||||
|
| |||||||
22,561,350 | ||||||||
|
| |||||||
WL Collateral CMO — 5.1% |
| |||||||
American Home Mortgage Investment Trust, Series2005-1, Class 6A, 6 mo. USD LIBOR + 2.000% | 1,426,235 | 1,411,985 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Banc of America Funding Trust,Series 2016-R1, Class A1, | $ | 1,104,909 | $ | 1,075,476 | ||||
Chase Mortgage Finance Trust,Series 2007-A1, Class 11A4, | 561,977 | 539,601 | ||||||
Citigroup Mortgage Loan Trust,Series 2005-11, Class A2A, 1 year CMT + 2.400% | 526,054 | 533,039 | ||||||
CSMC 2018-RPL9 Trust,Series 2018-RPL9, Class A, | 1,948,638 | 1,972,321 | ||||||
First Horizon Mortgage Pass-Through Trust, Series2005-AR5, Class 2A1, | 711,625 | 671,114 | ||||||
GS Mortgage-Backed Securities Trust 2018-RPL1, Series 2018-RPL1, Class A1A | 1,782,019 | 1,751,896 | ||||||
HarborView Mortgage Loan Trust,Series 2006-10, Class 1A1A, 1 mo. USD LIBOR + .200% | 2,041,422 | 1,750,128 | ||||||
Impac CMB Trust, Series2005-1, Class 1A1, 1 mo. USD LIBOR + .520% | 1,229,566 | 1,162,334 | ||||||
IndyMac Index Mortgage Loan Trust | 1,971,548 | 1,294,973 | ||||||
Series 2005-AR19, Class A1, 3.755% VRN 10/25/35 (b) | 1,087,151 | 899,804 | ||||||
Morgan Stanley Resecuritization Trust, Series2014-R9, Class 3A, 12 mo. MTA + .840% | 860,844 | 840,214 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series2005-AR1, Class M1, 1 mo. LIBOR + 1.070% | 1,778,234 | 1,749,016 | ||||||
Nomura Resecuritization Trust,Series 2015-1R, Class 6A1, 1 mo. USD LIBOR + .210% | 174,683 | 173,952 | ||||||
Washington Mutual Mortgage Pass-Through Certificates | 953,166 | 906,590 |
Principal Amount | Value | |||||||
Series2005-AR2, Class 2A21, 1 mo. USD LIBOR + .330% | $ | 940,775 | $ | 905,053 | ||||
Series2006-1 Class 3A2, 5.750% 2/25/36 | 963,919 | 901,676 | ||||||
Wells Fargo Mortgage Backed Securities Trust | 756,422 | 755,200 | ||||||
Series2004-DD, Class 2A6, 4.717% VRN 1/25/35 (b) | 169,114 | 168,243 | ||||||
|
| |||||||
19,462,615 | ||||||||
|
| |||||||
TOTALNON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $59,272,401) | 59,674,929 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.1% |
| |||||||
Oman Government International Bond | 200,000 | 176,075 | ||||||
Russian Foreign Bond | 200,000 | 198,002 | ||||||
|
| |||||||
374,077 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $385,300) | 374,077 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 32.7% |
| |||||||
Collateralized Mortgage Obligations — 2.5% |
| |||||||
Federal Home Loan Mortgage Corp. | 1,014,331 | 996,538 | ||||||
Series S8FX, Class A2 | 1,775,000 | 1,761,512 | ||||||
Series K158, Class A3, 3.900% 10/25/33 | 785,000 | 806,488 | ||||||
Series 4846, Class PA, 4.000% 6/15/47 | 1,129,545 | 1,166,664 | ||||||
Federal Home Loan Mortgage Corp. REMICS | 1,420,657 | 1,340,933 | ||||||
Federal National Mortgage Association | 677,925 | 671,588 | ||||||
Series2018-57, Class QA, 3.500% 5/25/46 | 1,291,148 | 1,309,339 | ||||||
Series2018-55, Class PA, 3.500% 1/25/47 | 747,025 | 757,749 | ||||||
Government National Mortgage Association | 831,638 | 837,921 | ||||||
|
| |||||||
9,648,732 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
131
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Principal Amount | Value | |||||||
Pass-Through Securities — 30.2% |
| |||||||
Federal Home Loan Mortgage Corp. | $ | 421,938 | $ | 412,527 | ||||
Pool #G18592 3.000% 3/01/31 | 555,986 | 555,291 | ||||||
Pool #G18627 3.000% 1/01/32 | 1,660,584 | 1,656,433 | ||||||
Pool #G08710 3.000% 6/01/46 | 381,464 | 372,434 | ||||||
Pool #G08715 3.000% 8/01/46 | 2,919,699 | 2,850,584 | ||||||
Pool #G08726 3.000% 10/01/46 | 2,790,040 | 2,723,994 | ||||||
Pool #G08732 3.000% 11/01/46 | 981,942 | 958,697 | ||||||
Pool #G08737 3.000% 12/01/46 | 353,905 | 345,417 | ||||||
Pool #G08741 3.000% 1/01/47 | 2,456,139 | 2,397,230 | ||||||
Pool #G08791 3.000% 12/01/47 | 941,685 | 918,805 | ||||||
Pool #G08795 3.000% 1/01/48 | 741,276 | 723,266 | ||||||
Pool #G07848 3.500% 4/01/44 | 2,449,389 | 2,465,750 | ||||||
Pool #G60023 3.500% 4/01/45 | 2,523,547 | 2,536,460 | ||||||
Pool #G08711 3.500% 6/01/46 | 1,496,209 | 1,498,255 | ||||||
Pool #G08716 3.500% 8/01/46 | 2,077,137 | 2,079,977 | ||||||
Pool #G67700 3.500% 8/01/46 | 1,399,749 | 1,404,724 | ||||||
Pool #G08722 3.500% 9/01/46 | 359,785 | 360,276 | ||||||
Pool #G08742 3.500% 1/01/47 | 1,465,085 | 1,466,173 | ||||||
Pool #G08757 3.500% 4/01/47 | 516,067 | 516,450 | ||||||
Pool #G67703 3.500% 4/01/47 | 2,007,201 | 2,013,709 | ||||||
Pool #G67706 3.500% 12/01/47 | 1,896,444 | 1,901,408 | ||||||
Pool #G67707 3.500% 1/01/48 | 4,441,358 | 4,458,533 | ||||||
Pool #G08800 3.500% 2/01/48 | 188,215 | 188,178 | ||||||
Pool #G67708 3.500% 3/01/48 | 4,137,750 | 4,142,114 | ||||||
Pool #G67710 3.500% 3/01/48 | 2,914,111 | 2,915,818 | ||||||
Pool #G08816 3.500% 6/01/48 | 2,304,075 | 2,303,625 | ||||||
Pool #G60344 4.000% 12/01/45 | 1,639,670 | 1,684,120 | ||||||
Pool #G67711 4.000% 3/01/48 | 1,855,010 | 1,901,530 | ||||||
Pool #G67713 4.000% 6/01/48 (e) | 1,906,494 | 1,952,518 | ||||||
Pool #G08843 4.500% 10/01/48 | 983,677 | 1,018,605 | ||||||
Pool #G08833 5.000% 7/01/48 | 562,094 | 588,552 | ||||||
Pool #G08844 5.000% 10/01/48 | 592,776 | 620,678 | ||||||
Federal Home Loan Mortgage Corp. TBA | 625,000 | 632,666 | ||||||
Pool #4200 4.000% 12/01/48 (e) | 215,000 | 219,107 | ||||||
Pool #6222 4.500% 12/01/48 (e) | 2,000,000 | 2,069,375 | ||||||
Federal National Mortgage Association | 500,000 | 490,488 | ||||||
Pool #AM0827 2.600% 11/01/22 | 954,993 | 945,683 | ||||||
Pool #AM2808 2.700% 3/01/23 | 375,000 | 372,018 | ||||||
Pool #AL6829 2.964% 5/01/27 | 1,118,984 | 1,088,125 | ||||||
Pool #MA1607 3.000% 10/01/33 | 687,595 | 685,903 | ||||||
Pool #AM9188 3.120% 6/01/35 | 780,000 | 727,097 | ||||||
Pool #FN0039 3.201% 9/01/27 | 807,735 | 804,724 | ||||||
Pool #AN7345 3.210% 11/01/37 | 1,025,506 | 971,646 | ||||||
Pool #AN4431 3.220% 1/01/27 | 805,000 | 802,569 | ||||||
Pool #AM9623 3.340% 7/01/30 | 755,000 | 743,003 | ||||||
Pool #AB4262 3.500% 1/01/32 | 695,094 | 705,765 | ||||||
Pool #MA1512 3.500% 7/01/33 | 323,434 | 328,197 | ||||||
Pool #MA1148 3.500% 8/01/42 | 2,260,692 | 2,274,909 | ||||||
Pool #MA3210 3.500% 12/01/47 | 831,447 | 831,479 | ||||||
Pool #CA0996 3.500% 1/01/48 | 363,133 | 363,601 |
Principal Amount | Value | |||||||
Pool #MA3305 3.500% 3/01/48 | $ | 418,368 | $ | 418,384 | ||||
Pool #MA3332 3.500% 4/01/48 | 4,177,401 | 4,177,564 | ||||||
Pool #BL1132 3.730% 1/01/29 | 920,000 | 942,505 | ||||||
Pool #BL0242 3.820% 11/01/30 | 1,000,000 | 1,021,971 | ||||||
Pool #466960 3.890% 12/01/20 | 1,090,660 | 1,108,275 | ||||||
Pool #466919 3.930% 1/01/21 | 1,426,602 | 1,452,445 | ||||||
Pool #AM4236 3.940% 8/01/25 | 609,387 | 635,320 | ||||||
Pool #AS9830 4.000% 6/01/47 | 1,154,011 | 1,178,669 | ||||||
Pool #MA3027 4.000% 6/01/47 | 1,136,227 | 1,160,149 | ||||||
Pool #AS9972 4.000% 7/01/47 | 1,006,961 | 1,028,476 | ||||||
Pool #MA3088 4.000% 8/01/47 | 1,618,947 | 1,653,034 | ||||||
Pool #MA3333 4.000% 4/01/48 | 1,004,972 | 1,025,190 | ||||||
Pool #931504 4.500% 7/01/39 | 97,122 | 101,553 | ||||||
Pool #CA1710 4.500% 5/01/48 | 2,534,581 | 2,625,667 | ||||||
Pool #CA1711 4.500% 5/01/48 | 842,955 | 873,249 | ||||||
Pool #CA2208 4.500% 8/01/48 | 1,637,829 | 1,696,689 | ||||||
Pool #MA3444 4.500% 8/01/48 | 1,859,102 | 1,925,914 | ||||||
Pool #986268 5.000% 7/01/38 | 1,573 | 1,670 | ||||||
Pool #AD6374 5.000% 5/01/40 | 27,908 | 29,613 | ||||||
Pool #AI2733 5.000% 5/01/41 | 211,080 | 223,844 | ||||||
Pool #977014 5.500% 5/01/38 | 38,246 | 41,149 | ||||||
Pool #985524 5.500% 6/01/38 | 29,465 | 31,701 | ||||||
Pool #988578 5.500% 8/01/38 | 165,807 | 178,378 | ||||||
Pool #995482 5.500% 1/01/39 | 142,291 | 153,101 | ||||||
Federal National Mortgage Association TBA | 50,000 | 49,906 | ||||||
Pool #1963 3.500% 12/01/48 (e) | 1,925,000 | 1,924,098 | ||||||
Pool #9174 4.000% 12/01/48 (e) | 1,910,000 | 1,946,857 | ||||||
Government National Mortgage Association | 544,845 | 549,059 | ||||||
Pool #MA4838 4.000% 11/20/47 | 953,420 | 977,553 | ||||||
Pool #MA3666 5.000% 5/20/46 | 272,109 | 284,003 | ||||||
Pool #MA4199 5.000% 1/20/47 | 292,623 | 305,413 | ||||||
Pool #MA4722 5.000% 9/20/47 | 805,263 | 841,971 | ||||||
Government National Mortgage Association II | 2,399,948 | 2,366,105 | ||||||
Pool #MA4718 3.000% 9/20/47 | 275,625 | 271,652 | ||||||
Pool #MA4836 3.000% 11/20/47 | 2,188,973 | 2,156,737 | ||||||
Pool #MA3521 3.500% 3/20/46 | 963,136 | 971,789 | ||||||
Pool #MA3597 3.500% 4/20/46 | 299,344 | 302,033 | ||||||
Pool #MA3663 3.500% 5/20/46 | 451,016 | 455,068 | ||||||
Pool #MA3937 3.500% 9/20/46 | 362,387 | 365,530 | ||||||
Pool #MA4127 3.500% 12/20/46 | 1,223,044 | 1,233,268 | ||||||
Pool #MA4262 3.500% 2/20/47 | 1,452,714 | 1,464,858 | ||||||
Pool #MA4382 3.500% 4/20/47 | 405,254 | 408,642 | ||||||
Pool #MA4837 3.500% 11/20/47 | 524,812 | 528,871 | ||||||
Pool #MA4454 5.000% 5/20/47 | 590,356 | 615,792 | ||||||
Government National Mortgage Association II TBA | 1,015,000 | 1,039,344 | ||||||
Pool #872 4.500% 11/01/48 (e) | 4,465,000 | 4,617,787 | ||||||
|
| |||||||
114,349,332 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
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MML Total Return Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $126,099,036) | $ | 123,998,064 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 17.7% |
| |||||||
U.S. Treasury Bonds & Notes — 17.7% |
| |||||||
U.S. Treasury Bond | $ | 925,000 | 920,760 | |||||
3.375% 11/15/48 | 20,050,000 | 21,440,447 | ||||||
U.S. Treasury Inflation Index | 895,348 | 863,148 | ||||||
0.000% 2/15/48 | 2,522,258 | 2,390,201 | ||||||
0.125% 7/15/24 | 1,017,037 | 975,264 | ||||||
0.750% 7/15/28 | 2,951,653 | 2,889,045 | ||||||
U.S. Treasury Note | 3,025,000 | 3,041,070 | ||||||
2.875% 9/30/23 | 3,375,000 | 3,429,976 | ||||||
2.875% 10/31/23 | 21,045,000 | 21,395,751 | ||||||
3.125% 11/15/28 | 9,520,000 | 9,875,265 | ||||||
|
| |||||||
67,220,927 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $65,604,195) | 67,220,927 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $389,107,532) | 385,427,862 | |||||||
|
| |||||||
Number of Shares | ||||||||
MUTUAL FUNDS — 0.3% |
| |||||||
Diversified Financial Services — 0.3% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (f) | 1,042,865 | 1,042,865 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,042,865) | 1,042,865 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $390,150,397) | 386,470,727 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.3% |
| |||||||
Commercial Paper — 0.2% |
| |||||||
Ford Motor Credit Co. | 815,000 | 807,886 | ||||||
|
| |||||||
Repurchase Agreement — 0.7% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (g) | 2,589,412 | 2,589,412 | ||||||
|
|
Principal Amount | Value | |||||||
U.S. Treasury Bill — 0.4% |
| |||||||
U.S. Treasury Bill | $ | 531,000 | $ | 528,027 | ||||
0.000% 4/18/19 | 1,040,000 | 1,032,669 | ||||||
|
| |||||||
1,560,696 | ||||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,958,476) | 4,957,994 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 103.3% (Cost $395,108,873) (i) | 391,428,721 | |||||||
Other Assets/(Liabilities) — (3.3)% | (12,324,370 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 379,104,351 | ||||||
|
|
Abbreviation Legend
ABS | Asset-Backed Security |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
MTA | Monthly Treasury Average Index |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
WL | Whole Loan |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(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, 2018, these securities amounted to a value of $43,900,880 or 11.58% of net assets. |
(b) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2018. |
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $1,020,755 or 0.27% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(d) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At December 31, 2018, these securities amounted to a value of $394,307 or 0.10% of net assets. |
The accompanying notes are an integral part of the financial statements.
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MML Total Return Bond Fund – Portfolio of Investments(Continued)
(e) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(f) | Represents investment of security lending collateral. (Note 2). |
(g) | Maturity value of $2,589,592. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, |
maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $2,644,149. |
(h) | A portion of this security is pledged/held as collateral for open futures contracts. (Note 2) |
(i) | See Note 6 for aggregate cost for federal tax purposes. |
Futures contracts at December 31, 2018:
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Long | ||||||||||||||||
U.S. Treasury Note 2 Year | 3/29/19 | 130 | $ | 27,418,183 | $ | 182,442 | ||||||||||
U.S. Treasury Note 5 Year | 3/29/19 | 457 | 51,566,970 | 845,218 | ||||||||||||
|
| |||||||||||||||
$ | 1,027,660 | |||||||||||||||
|
| |||||||||||||||
Short | ||||||||||||||||
Euro-BOBL | 3/07/19 | 64 | $ | (9,690,928 | ) | $ | (26,496 | ) | ||||||||
|
|
Swap agreements at December 31, 2018:
Counterparty | Currency | Notional Amount | Expiration Date | Payment Frequency | Payments Made by Fund | Payments Received by Fund | Unrealized Appreciation (Depreciation) | Premium Received (Paid) | Value | |||||||||||||||||||
Interest Rate Swaps |
| |||||||||||||||||||||||||||
Centrally Cleared Swaps |
| |||||||||||||||||||||||||||
USD | 20,975,000 | 11/21/21 | Quarterly/Semi-Annually | 3-Month USD -LIBOR- BBA | Fixed 3.071% | $ | 222,518 | $ | - | $ | 222,518 | |||||||||||||||||
USD | 8,620,000 | 11/21/24 | Semi-Annually/ Quarterly | Fixed 3.082% | 3-Month USD -LIBOR- BBA | (203,114 | ) | - | (203,114 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
19,404 | - | 19,404 | ||||||||||||||||||||||||||
|
|
|
|
|
|
Collateral for swap agreements held by Citibank N.A. amounted to $72,977 in cash at December 31, 2018.
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
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135
Table of Contents
MML Series Investment Fund – Financial Statements
Statements of Assets and Liabilities
December 31, 2018
MML Blue Chip Growth Fund | MML Equity Income Fund | |||||||
Assets: | ||||||||
Investments, at value(Note 2) (a) | $ | 352,041,690 | $ | 428,247,524 | ||||
Repurchase agreements, at value(Note 2) (b) | 6,952,415 | 4,970,050 | ||||||
Other short-term investments, at value(Note 2) (c) | 1,047 | 1,047 | ||||||
|
|
|
| |||||
Total investments (d) | 358,995,152 | 433,218,621 | ||||||
|
|
|
| |||||
Cash | 290,148 | 107 | ||||||
Foreign currency, at value (e) | - | - | ||||||
Receivables from: | ||||||||
Investments sold | - | - | ||||||
Fund shares sold | 288,577 | 2,449,185 | ||||||
Variation margin on open derivative instruments(Note 2) | - | - | ||||||
Interest and dividends | 116,347 | 1,140,767 | ||||||
Foreign taxes withheld | - | 2,990 | ||||||
|
|
|
| |||||
Total assets | 359,690,224 | 436,811,670 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | 5,345,418 | 2 | ||||||
Fund shares repurchased | 364,529 | 231,564 | ||||||
Securities on loan(Note 2) | - | 1,762,621 | ||||||
Trustees’ fees and expenses(Note 3) | 62,068 | 91,028 | ||||||
Affiliates(Note 3): | ||||||||
Investment advisory fees | 227,023 | 285,305 | ||||||
Administration fees | - | - | ||||||
Service fees | 66,177 | 51,472 | ||||||
Commitment and Contingent Liabilities(Note 9) | - | - | ||||||
Accrued expense and other liabilities | 107,228 | 108,142 | ||||||
|
|
|
| |||||
Total liabilities | 6,172,443 | 2,530,134 | ||||||
|
|
|
| |||||
Net assets | $ | 353,517,781 | $ | 434,281,536 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 184,824,965 | $ | 356,071,961 | ||||
Accumulated Gain (Loss) | 168,692,816 | 78,209,575 | ||||||
|
|
|
| |||||
Net assets | $ | 353,517,781 | $ | 434,281,536 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | 234,949,245 | $ | 401,695,502 | ||||
(b) Cost of repurchase agreements: | $ | 6,952,415 | $ | 4,970,050 | ||||
(c) Cost of other short-term investments: | $ | 1,047 | $ | 1,047 | ||||
(d) Securities on loan with market value of: | $ | - | $ | 1,717,910 | ||||
(e) Cost of foreign currency: | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
136
Table of Contents
MML Equity Index Fund | MML Focused Equity Fund | MML Foreign Fund | MML Fundamental Growth Fund | MML Fundamental Value Fund | ||||||||||||||
$ | 628,879,529 | $ | 58,204,299 | $ | 290,846,695 | $ | 97,055,018 | $ | 179,900,218 | |||||||||
13,640,791 | 1,658,198 | 12,665,502 | 4,245,256 | 1,847,206 | ||||||||||||||
1,084,457 | - | - | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
643,604,777 | 59,862,497 | 303,512,197 | 101,300,274 | 181,747,424 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
3,887 | - | - | 81,540 | 11,390 | ||||||||||||||
- | - | 15 | - | 11,877 | ||||||||||||||
190,222 | 524,794 | - | 499,702 | - | ||||||||||||||
833,962 | 98,683 | 1,075,843 | 143,445 | 39,821 | ||||||||||||||
120,255 | - | - | - | - | ||||||||||||||
729,376 | 72,328 | 442,050 | 27,613 | 332,118 | ||||||||||||||
- | - | 500,243 | - | 57,035 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
645,482,479 | 60,558,302 | 305,530,348 | 102,052,574 | 182,199,665 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
425,107 | 1,079,276 | - | 1,205,005 | - | ||||||||||||||
28,261 | 107,645 | 99,440 | 148,233 | 167,919 | ||||||||||||||
293,386 | - | 1,400,448 | - | - | ||||||||||||||
119,364 | 16,460 | 65,631 | 23,132 | 31,600 | ||||||||||||||
53,415 | 35,527 | 232,188 | 52,695 | 96,276 | ||||||||||||||
45,063 | 7,613 | - | 12,749 | 24,069 | ||||||||||||||
28,171 | 7,143 | 6,299 | 6,673 | 9,135 | ||||||||||||||
- | - | - | - | - | ||||||||||||||
140,782 | 48,717 | 365,541 | 57,505 | 67,657 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,133,549 | 1,302,381 | 2,169,547 | 1,505,992 | 396,656 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 644,348,930 | $ | 59,255,921 | $ | 303,360,801 | $ | 100,546,582 | $ | 181,803,009 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 374,166,087 | $ | 51,253,106 | $ | 306,219,037 | $ | 70,031,318 | $ | 141,822,954 | |||||||||
270,182,843 | 8,002,815 | (2,858,236 | ) | 30,515,264 | 39,980,055 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 644,348,930 | $ | 59,255,921 | $ | 303,360,801 | $ | 100,546,582 | $ | 181,803,009 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 415,013,077 | $ | 57,013,440 | $ | 303,390,773 | $ | 88,281,696 | $ | 165,121,706 | |||||||||
$ | 13,640,791 | $ | 1,658,198 | $ | 12,665,502 | $ | 4,245,256 | $ | 1,847,206 | |||||||||
$ | 1,084,432 | $ | - | $ | - | $ | - | $ | - | |||||||||
$ | 286,485 | $ | - | $ | 1,346,978 | $ | - | $ | - | |||||||||
$ | - | $ | - | $ | 15 | $ | - | $ | 11,871 |
137
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Statements of Assets and Liabilities
December 31, 2018
MML Blue Chip Growth Fund | MML Equity Income Fund | |||||||
Initial Class shares: | ||||||||
Net assets | $ | 254,049,966 | $ | 358,946,567 | ||||
|
|
|
| |||||
Shares outstanding (a) | 17,398,511 | 35,757,230 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 14.60 | $ | 10.04 | ||||
|
|
|
| |||||
Class I shares: | ||||||||
Net assets | $ | - | $ | - | ||||
|
|
|
| |||||
Shares outstanding (a) | - | - | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | - | ||||
|
|
|
| |||||
Class II shares: | ||||||||
Net assets | $ | - | $ | - | ||||
|
|
|
| |||||
Shares outstanding (a) | - | - | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | - | ||||
|
|
|
| |||||
Class III shares: | ||||||||
Net assets | $ | - | $ | - | ||||
|
|
|
| |||||
Shares outstanding (a) | - | - | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | - | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | 99,467,815 | $ | 75,334,969 | ||||
|
|
|
| |||||
Shares outstanding (a) | 7,089,686 | 7,594,774 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 14.03 | $ | 9.92 | ||||
|
|
|
| |||||
Service Class I shares: | ||||||||
Net assets | $ | - | $ | - | ||||
|
|
|
| |||||
Shares outstanding (a) | - | - | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | - | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
138
Table of Contents
MML Equity Index Fund | MML Focused Equity Fund | MML Foreign Fund | MML Fundamental Growth Fund | MML Fundamental Value Fund | ||||||||||||||
$ | - | $ | - | $ | 294,036,968 | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
- | - | 31,773,015 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | - | $ | - | $ | 9.25 | $ | - | �� | $ | - | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 51,997,760 | $ | - | $ | - | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,851,262 | - | - | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 28.09 | $ | - | $ | - | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 159,637,585 | $ | 48,276,158 | $ | - | $ | 90,145,481 | $ | 168,519,597 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
5,681,940 | 9,054,615 | - | 9,615,616 | 13,610,276 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 28.10 | $ | 5.33 | $ | - | $ | 9.37 | $ | 12.38 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 391,891,259 | $ | - | $ | - | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
13,971,360 | - | - | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 28.05 | $ | - | $ | - | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | - | $ | - | $ | 9,323,833 | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
- | - | 1,013,890 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | - | $ | - | $ | 9.20 | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 40,822,326 | $ | 10,979,763 | $ | - | $ | 10,401,101 | $ | 13,283,412 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,498,727 | 2,132,435 | - | 1,137,251 | 1,091,468 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 27.24 | $ | 5.15 | $ | - | $ | 9.15 | $ | 12.17 | |||||||||
|
|
|
|
|
|
|
|
|
|
139
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MML Series Investment Fund – Financial Statements(Continued)
Statements of Assets and Liabilities
December 31, 2018
MML Global Fund | MML Growth & Income Fund | |||||||
Assets: | ||||||||
Investments, at value(Note 2) (a) | $ | 205,018,134 | $ | 125,584,870 | ||||
Repurchase agreements, at value(Note 2) (b) | 4,240,369 | 1,091,439 | ||||||
Other short-term investments, at value(Note 2) (c) | - | - | ||||||
|
|
|
| |||||
Total investments (d) | 209,258,503 | 126,676,309 | ||||||
|
|
|
| |||||
Cash | 1 | 3 | ||||||
Foreign currency, at value (e) | 109 | 55 | ||||||
Receivables from: | ||||||||
Investments sold | - | - | ||||||
Open forward contracts(Note 2) | - | - | ||||||
Investment adviser(Note 3) | - | - | ||||||
Fund shares sold | 294,740 | 146,114 | ||||||
Interest and dividends | 232,237 | 155,768 | ||||||
Foreign taxes withheld | 426,429 | - | ||||||
|
|
|
| |||||
Total assets | 210,212,019 | 126,978,249 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | - | - | ||||||
Written options outstanding, at value(Note 2) (f) | - | - | ||||||
Fund shares repurchased | 136,276 | 34,255 | ||||||
Securities on loan(Note 2) | 825,993 | 58,534 | ||||||
Trustees’ fees and expenses(Note 3) | 31,648 | 30,387 | ||||||
Affiliates(Note 3): | ||||||||
Investment advisory fees | 108,164 | 55,383 | ||||||
Administration fees | 27,041 | - | ||||||
Service fees | 9,379 | 22,939 | ||||||
Commitment and Contingent Liabilities(Note 9) | - | - | ||||||
Accrued expense and other liabilities | 161,453 | 62,789 | ||||||
|
|
|
| |||||
Total liabilities | 1,299,954 | 264,287 | ||||||
|
|
|
| |||||
Net assets | $ | 208,912,065 | $ | 126,713,962 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 177,090,171 | $ | 80,484,924 | ||||
Accumulated Gain (Loss) | 31,821,894 | 46,229,038 | ||||||
|
|
|
| |||||
Net assets | $ | 208,912,065 | $ | 126,713,962 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | 188,792,124 | $ | 93,741,219 | ||||
(b) Cost of repurchase agreements: | $ | 4,240,369 | $ | 1,091,439 | ||||
(c) Cost of other short-term investments: | $ | - | $ | - | ||||
(d) Securities on loan with market value of: | $ | 808,237 | $ | 57,227 | ||||
(e) Cost of foreign currency: | $ | 109 | $ | 54 | ||||
(f) Premiums on written options: | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
140
Table of Contents
MML Income & Growth Fund | MML International Equity Fund | MML Large Cap Growth Fund | MML Managed Volatility Fund | MML Mid Cap Growth Fund | ||||||||||||||
$ | 262,541,285 | $ | 154,280,600 | $ | 92,045,823 | $ | 152,315,817 | $ | 400,213,950 | |||||||||
3,897,784 | 6,121,815 | 3,488,875 | 6,278,177 | 16,035,413 | ||||||||||||||
- | - | - | - | 12,025,868 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
266,439,069 | 160,402,415 | 95,534,698 | 158,593,994 | 428,275,231 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2 | - | 6 | 925 | 7,494 | ||||||||||||||
- | 303 | - | 25,037 | 2,033 | ||||||||||||||
17,084 | 189,484 | - | - | 27,716 | ||||||||||||||
- | 77,015 | - | - | - | ||||||||||||||
- | 29,223 | - | - | - | ||||||||||||||
284,921 | 43,361 | 39,939 | 9,663 | 378,693 | ||||||||||||||
532,105 | 88,886 | 64,087 | 172,312 | 216,801 | ||||||||||||||
- | 405,652 | 24,833 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
267,273,181 | 161,236,339 | 95,663,563 | 158,801,931 | 428,907,968 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
- | 1,453,027 | 1,563,226 | - | 2,699,599 | ||||||||||||||
- | - | - | 3,129,730 | - | ||||||||||||||
136,285 | 71,696 | 158,535 | 4,576,728 | 336,956 | ||||||||||||||
1,934,285 | - | - | 8,989 | 7,672,886 | ||||||||||||||
41,507 | 17,671 | 26,528 | 49,901 | 72,646 | ||||||||||||||
151,486 | 103,681 | 52,408 | 100,657 | 278,633 | ||||||||||||||
- | 19,440 | - | - | - | ||||||||||||||
16,922 | 3,145 | 6,859 | 19,599 | 60,711 | ||||||||||||||
- | - | - | - | - | ||||||||||||||
96,585 | 260,960 | 54,509 | 318,304 | 119,270 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,377,070 | 1,929,620 | 1,862,065 | 8,203,908 | 11,240,701 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 264,896,111 | $ | 159,306,719 | $ | 93,801,498 | $ | 150,598,023 | $ | 417,667,267 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 273,872,239 | $ | 177,063,198 | $ | 62,291,582 | $ | 120,176,960 | $ | 280,369,541 | |||||||||
(8,976,128 | ) | (17,756,479 | ) | 31,509,916 | 30,421,063 | 137,297,726 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 264,896,111 | $ | 159,306,719 | $ | 93,801,498 | $ | 150,598,023 | $ | 417,667,267 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 287,041,168 | $ | 184,689,951 | $ | 73,468,107 | $ | 118,534,277 | $ | 328,084,626 | |||||||||
$ | 3,897,784 | $ | 6,121,815 | $ | 3,488,875 | $ | 6,278,177 | $ | 16,035,413 | |||||||||
$ | - | $ | - | $ | - | $ | - | $ | 12,025,868 | |||||||||
$ | 1,894,312 | $ | - | $ | - | $ | 8,761 | $ | 7,509,625 | |||||||||
$ | - | $ | 300 | $ | - | $ | 26,049 | $ | 1,993 | |||||||||
$ | - | $ | - | $ | - | $ | 3,531,650 | $ | - |
141
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MML Series Investment Fund – Financial Statements(Continued)
Statements of Assets and Liabilities
December 31, 2018
MML Global Fund | MML Growth & Income Fund | |||||||
Initial Class shares: | ||||||||
Net assets | $ | - | $ | 92,892,713 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 5,682,154 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 16.35 | ||||
|
|
|
| |||||
Class I shares: | ||||||||
Net assets | $ | 179,973,261 | $ | - | ||||
|
|
|
| |||||
Shares outstanding (a) | 17,562,352 | - | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 10.25 | $ | - | ||||
|
|
|
| |||||
Class II shares: | ||||||||
Net assets | $ | 14,950,161 | $ | - | ||||
|
|
|
| |||||
Shares outstanding (a) | 1,427,009 | - | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 10.48 | $ | - | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | - | $ | 33,821,249 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 2,084,662 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 16.22 | ||||
|
|
|
| |||||
Service Class I shares: | ||||||||
Net assets | $ | 13,988,643 | $ | - | ||||
|
|
|
| |||||
Shares outstanding (a) | 1,383,341 | - | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 10.11 | $ | - | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
142
Table of Contents
MML Income & Growth Fund | MML International Equity Fund | MML Large Cap Growth Fund | MML Managed Volatility Fund | MML Mid Cap Growth Fund | ||||||||||||||
$ | 240,456,275 | $ | - | $ | 83,210,508 | $ | 121,634,665 | $ | 328,715,098 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
28,319,804 | - | 8,595,896 | 10,222,623 | 23,588,631 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 8.49 | $ | - | $ | 9.68 | $ | 11.90 | $ | 13.94 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | - | $ | - | $ | - | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
- | - | - | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | - | $ | - | $ | - | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | - | $ | 154,539,906 | $ | - | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
- | 17,349,520 | - | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | - | $ | 8.91 | $ | - | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 24,439,836 | $ | - | $ | 10,590,990 | $ | 28,963,358 | $ | 88,952,169 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,922,935 | - | 1,131,161 | 2,454,662 | 6,652,000 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 8.36 | $ | - | $ | 9.36 | $ | 11.80 | $ | 13.37 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | - | $ | 4,766,813 | $ | - | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
- | 539,271 | - | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | - | $ | 8.84 | $ | - | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
|
143
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Statements of Assets and Liabilities
December 31, 2018
MML Mid Cap Value Fund | MML Small Cap Growth Equity Fund | |||||||
Assets: | ||||||||
Investments, at value(Note 2) (a) | $ | 373,163,735 | $ | 166,336,922 | ||||
Repurchase agreements, at value(Note 2) (b) | 13,258,394 | 5,141,313 | ||||||
Other short-term investments, at value(Note 2) (c) | - | - | ||||||
|
|
|
| |||||
Total investments (d) | 386,422,129 | 171,478,235 | ||||||
|
|
|
| |||||
Cash | 10,004 | 3,544 | ||||||
Foreign currency, at value (e) | 1 | 11 | ||||||
Receivables from: | ||||||||
Investments sold | 895,625 | 525,111 | ||||||
Open forward contracts(Note 2) | 27,988 | - | ||||||
Investment adviser(Note 3) | - | - | ||||||
Fund shares sold | 3,785,734 | 5,813,527 | ||||||
Collateral pledged for open swaps agreements(Note 2) | - | - | ||||||
Variation margin on open derivative instruments(Note 2) | - | - | ||||||
Interest and dividends | 902,763 | 171,005 | ||||||
|
|
|
| |||||
Total assets | 392,044,244 | 177,991,433 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | 4,434,673 | 2,589,784 | ||||||
Open forward contracts(Note 2) | 208,651 | - | ||||||
Investments purchased on a when-issued basis(Note 2) | - | - | ||||||
Fund shares repurchased | 168,388 | 53,622 | ||||||
Securities on loan(Note 2) | - | 3,923,260 | ||||||
Trustees’ fees and expenses(Note 3) | 83,356 | 49,986 | ||||||
Affiliates(Note 3): | ||||||||
Investment advisory fees | 282,856 | 150,291 | ||||||
Administration fees | - | - | ||||||
Service fees | 29,796 | 13,216 | ||||||
Due to custodian | - | - | ||||||
Commitment and Contingent Liabilities(Note 9) | - | - | ||||||
Accrued expense and other liabilities | 129,014 | 76,682 | ||||||
|
|
|
| |||||
Total liabilities | 5,336,734 | 6,856,841 | ||||||
|
|
|
| |||||
Net assets | $ | 386,707,510 | $ | 171,134,592 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 382,342,097 | $ | 137,688,791 | ||||
Accumulated Gain (Loss) | 4,365,413 | 33,445,801 | ||||||
|
|
|
| |||||
Net assets | $ | 386,707,510 | $ | 171,134,592 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | 412,836,759 | $ | 165,754,467 | ||||
(b) Cost of repurchase agreements: | $ | 13,258,394 | $ | 5,141,313 | ||||
(c) Cost of other short-term investments: | $ | - | $ | - | ||||
(d) Securities on loan with market value of: | $ | - | $ | 3,820,925 | ||||
(e) Cost of foreign currency: | $ | 1 | $ | 11 |
The accompanying notes are an integral part of the financial statements.
144
Table of Contents
MML Small Company Value Fund | MML Small/Mid Cap Value Fund | MML Total Return Bond Fund | ||||||||
$ | 85,056,439 | $ | 177,041,581 | $ | 386,470,727 | |||||
3,299,179 | 1,149,375 | 2,589,412 | ||||||||
1,037 | - | 2,368,582 | ||||||||
|
|
|
|
|
| |||||
88,356,655 | 178,190,956 | 391,428,721 | ||||||||
|
|
|
|
|
| |||||
2 | - | - | ||||||||
- | - | 1 | ||||||||
- | 323,254 | 589,308 | ||||||||
- | - | - | ||||||||
1 | - | - | ||||||||
219,550 | 4,490,823 | 106,373 | ||||||||
- | - | 72,977 | ||||||||
- | - | 171,968 | ||||||||
121,244 | 382,771 | 2,258,054 | ||||||||
|
|
|
|
|
| |||||
88,697,452 | 183,387,804 | 394,627,402 | ||||||||
|
|
|
|
|
| |||||
2 | 303,162 | 1,268,692 | ||||||||
- | - | - | ||||||||
- | - | 12,436,726 | ||||||||
54,089 | 50,784 | 294,271 | ||||||||
1,649,486 | 205 | 1,042,865 | ||||||||
16,347 | 39,968 | 55,203 | ||||||||
61,444 | 119,052 | 131,253 | ||||||||
11,521 | - | 49,220 | ||||||||
13,916 | 13,429 | 16,046 | ||||||||
- | - | 38,785 | ||||||||
- | - | - | ||||||||
53,338 | 65,001 | 189,990 | ||||||||
|
|
|
|
|
| |||||
1,860,143 | 591,601 | 15,523,051 | ||||||||
|
|
|
|
|
| |||||
$ | 86,837,309 | $ | 182,796,203 | $ | 379,104,351 | |||||
|
|
|
|
|
| |||||
$ | 65,318,236 | $ | 169,162,873 | $ | 382,118,969 | |||||
21,519,073 | 13,633,330 | (3,014,618 | ) | |||||||
|
|
|
|
|
| |||||
$ | 86,837,309 | $ | 182,796,203 | $ | 379,104,351 | |||||
|
|
|
|
|
| |||||
$ | 77,249,573 | $ | 187,737,448 | $ | 390,150,397 | |||||
$ | 3,299,179 | $ | 1,149,375 | $ | 2,589,412 | |||||
$ | 1,037 | $ | - | $ | 2,369,064 | |||||
$ | 1,600,822 | $ | 197 | $ | 1,020,755 | |||||
$ | - | $ | - | $ | 1 |
145
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Statements of Assets and Liabilities
December 31, 2018
MML Mid Cap Value Fund | MML Small Cap Growth Equity Fund | |||||||
Initial Class shares: | ||||||||
Net assets | $ | 343,432,297 | $ | 151,853,826 | ||||
|
|
|
| |||||
Shares outstanding (a) | 36,732,659 | 11,848,024 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 9.35 | $ | 12.82 | ||||
|
|
|
| |||||
Class II shares: | ||||||||
Net assets | $ | - | $ | - | ||||
|
|
|
| |||||
Shares outstanding (a) | - | - | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | - | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | 43,275,213 | $ | 19,280,766 | ||||
|
|
|
| |||||
Shares outstanding (a) | 4,711,687 | 1,592,349 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 9.18 | $ | 12.11 | ||||
|
|
|
| |||||
Service Class I shares: | ||||||||
Net assets | $ | - | $ | - | ||||
|
|
|
| |||||
Shares outstanding (a) | - | - | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | - | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
146
Table of Contents
MML Small Company Value Fund | MML Small/Mid Cap Value Fund | MML Total Return Bond Fund | ||||||||
$ | - | $ | 163,607,374 | $ | - | |||||
|
|
|
|
|
| |||||
- | 15,414,208 | - | ||||||||
|
|
|
|
|
| |||||
$ | - | $ | 10.61 | $ | - | |||||
|
|
|
|
|
| |||||
$ | 66,976,363 | $ | - | $ | 353,571,290 | |||||
|
|
|
|
|
| |||||
4,833,724 | - | 34,810,416 | ||||||||
|
|
|
|
|
| |||||
$ | 13.86 | $ | - | $ | 10.16 | |||||
|
|
|
|
|
| |||||
$ | - | $ | 19,188,829 | $ | - | |||||
|
|
|
|
|
| |||||
- | 1,828,080 | - | ||||||||
|
|
|
|
|
| |||||
$ | - | $ | 10.50 | $ | - | |||||
|
|
|
|
|
| |||||
$ | 19,860,946 | $ | - | $ | 25,533,061 | |||||
|
|
|
|
|
| |||||
1,478,422 | - | 2,538,434 | ||||||||
|
|
|
|
|
| |||||
$ | 13.43 | $ | - | $ | 10.06 | |||||
|
|
|
|
|
|
147
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
For the Year Ended December 31, 2018
MML Blue Chip Growth Fund | MML Equity Income Fund | |||||||
Investment income (Note 2): |
| |||||||
Dividends (a) | $ | 2,966,531 | $ | 14,300,228 | ||||
Interest | 14,200 | 228,884 | ||||||
Securities lending net income | 204 | 599 | ||||||
|
|
|
| |||||
Total investment income | 2,980,935 | 14,529,711 | ||||||
|
|
|
| |||||
Expenses (Note 3): |
| |||||||
Investment advisory fees | 2,904,482 | 3,719,558 | ||||||
Custody fees | 41,287 | 57,213 | ||||||
Audit fees | 41,230 | 36,407 | ||||||
Legal fees | 3,683 | 5,179 | ||||||
Proxy fees | 1,293 | 1,293 | ||||||
Shareholder reporting fees | 48,695 | 60,082 | ||||||
Trustees’ fees | 22,934 | 29,620 | ||||||
|
|
|
| |||||
3,063,604 | 3,909,352 | |||||||
Administration fees: | ||||||||
Class I | - | - | ||||||
Class II | - | - | ||||||
Service Class I | - | - | ||||||
Service fees: | ||||||||
Service Class | 238,869 | 209,934 | ||||||
Service Class I | - | - | ||||||
|
|
|
| |||||
Total expenses | 3,302,473 | 4,119,286 | ||||||
Expenses waived: | ||||||||
Initial Class advisory fees waived | - | (123,707 | ) | |||||
Class II advisory fees waived | - | - | ||||||
Service Class advisory fees waived | - | (25,196 | ) | |||||
Service Class I advisory fees waived | - | - | ||||||
|
|
|
| |||||
Net expenses: | 3,302,473 | 3,970,383 | ||||||
|
|
|
| |||||
Net investment income (loss) | (321,538 | ) | 10,559,328 | |||||
|
|
|
| |||||
Realized and unrealized gain (loss): |
| |||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | 52,073,682 | 41,613,819 | ||||||
Futures contracts | - | - | ||||||
Foreign currency transactions | 213 | 3,810 | ||||||
|
|
|
| |||||
Net realized gain (loss) | 52,073,895 | 41,617,629 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | (41,246,962 | ) | (95,794,221 | ) | ||||
Futures contracts | - | - | ||||||
Translation of assets and liabilities in foreign currencies | (3 | ) | (3,178 | ) | ||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | (41,246,965 | ) | (95,797,399 | ) | ||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 10,826,930 | (54,179,770 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | 10,505,392 | $ | (43,620,442 | ) | |||
|
|
|
| |||||
(a) Net of foreign withholding tax of: | $ | 4,621 | $ | 142,234 | ||||
* Net of net increase (decrease) in accrued foreign capital gains tax of: | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
148
Table of Contents
MML Equity Index Fund | MML Focused Equity Fund | MML Foreign Fund | MML Fundamental Growth Fund | MML Fundamental Value Fund | ||||||||||||||
$ | 14,359,681 | $ | 1,328,059 | $ | 9,660,272 | $ | 1,514,283 | $ | 5,509,185 | |||||||||
96,787 | 8,020 | 80,562 | 10,686 | 28,695 | ||||||||||||||
195 | - | 115,503 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
14,456,663 | 1,336,079 | 9,856,337 | 1,524,969 | 5,537,880 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
679,076 | 441,719 | 3,152,049 | 709,303 | 1,308,639 | ||||||||||||||
64,143 | 13,380 | 211,485 | 12,024 | 22,667 | ||||||||||||||
37,239 | 36,068 | 41,351 | 36,107 | 36,187 | ||||||||||||||
7,485 | 524 | 3,835 | 1,331 | 2,232 | ||||||||||||||
1,293 | 1,293 | 1,293 | 1,293 | 1,293 | ||||||||||||||
93,810 | 9,525 | 49,498 | 16,768 | 29,460 | ||||||||||||||
42,989 | 3,230 | 21,072 | 6,588 | 13,155 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
926,035 | 505,739 | 3,480,583 | 783,414 | 1,413,633 | ||||||||||||||
190,495 | - | - | - | - | ||||||||||||||
261,903 | 78,705 | - | 158,332 | 305,733 | ||||||||||||||
140,378 | 15,949 | - | 13,274 | 21,427 | ||||||||||||||
- | - | 26,809 | - | - | ||||||||||||||
116,981 | 26,582 | - | 22,123 | 35,712 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,635,792 | 626,975 | 3,507,392 | 977,143 | 1,776,505 | ||||||||||||||
- | - | (31,261 | ) | - | - | |||||||||||||
- | (44,093 | ) | - | - | (40,761 | ) | ||||||||||||
- | - | (984 | ) | - | - | |||||||||||||
- | (8,926 | ) | - | - | (2,860 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,635,792 | 573,956 | 3,475,147 | 977,143 | 1,732,884 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
12,820,871 | 762,123 | 6,381,190 | 547,826 | 3,804,996 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
51,813,543 | 6,192,420 | 16,155,184 | 21,377,219 | 21,506,939 | ||||||||||||||
(1,157,059 | ) | - | - | - | - | |||||||||||||
- | (679 | ) | (378 | ) | (351 | ) | (3,085 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
50,656,484 | 6,191,741 | 16,154,806 | 21,376,868 | 21,503,854 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(91,631,047 | ) | (5,823,916 | ) | (78,979,691 | )* | (18,532,549 | ) | (45,954,923 | ) | |||||||||
(700,199 | ) | - | - | - | - | |||||||||||||
- | (77 | ) | (3,986 | ) | - | (1,840 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(92,331,246 | ) | (5,823,993 | ) | (78,983,677 | ) | (18,532,549 | ) | (45,956,763 | ) | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(41,674,762 | ) | 367,748 | (62,828,871 | ) | 2,844,319 | (24,452,909 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | (28,853,891 | ) | $ | 1,129,871 | $ | (56,447,681 | ) | $ | 3,392,145 | $ | (20,647,913 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | - | $ | 7,156 | $ | 947,625 | $ | - | $ | 63,377 | |||||||||
$ | - | $ | - | $ | 52,686 | $ | - | $ | - |
149
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Statements of Operations
For the Year Ended December 31, 2018
MML Global Fund | MML Growth & Income Fund | |||||||
Investment income (Note 2): |
| |||||||
Dividends (a) | $ | 4,616,276 | $ | 2,265,141 | ||||
Interest | 13,911 | 16,264 | ||||||
Securities lending net income | 31,675 | 211 | ||||||
Non cash income | 102,015 | 46,295 | ||||||
|
|
|
| |||||
Total investment income | 4,763,877 | 2,327,911 | ||||||
|
|
|
| |||||
Expenses (Note 3): |
| |||||||
Investment advisory fees | 1,402,275 | 710,954 | ||||||
Custody fees | 90,048 | 17,659 | ||||||
Audit fees | 44,030 | 36,130 | ||||||
Legal fees | 2,390 | 1,389 | ||||||
Proxy fees | 1,293 | 1,293 | ||||||
Shareholder reporting fees | 33,847 | 24,337 | ||||||
Trustees’ fees | 13,886 | 8,452 | ||||||
|
|
|
| |||||
1,587,769 | 800,214 | |||||||
Administration fees: | ||||||||
Class I | 301,339 | - | ||||||
Class II | 25,848 | - | ||||||
Service Class I | 23,382 | - | ||||||
Service fees: | ||||||||
Service Class | - | 85,841 | ||||||
Service Class I | 38,970 | - | ||||||
|
|
|
| |||||
Total expenses | 1,977,308 | 886,055 | ||||||
Expenses waived: | ||||||||
Class II fees reimbursed by adviser | - | - | ||||||
Service Class I fees reimbursed by adviser | - | - | ||||||
|
|
|
| |||||
Net expenses: | 1,977,308 | 886,055 | ||||||
|
|
|
| |||||
Net investment income (loss) | 2,786,569 | 1,441,856 | ||||||
|
|
|
| |||||
Realized and unrealized gain (loss): |
| |||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | 13,162,500 | 12,938,823 | ||||||
Written options | - | - | ||||||
Foreign currency transactions | (20,444 | ) | 994 | |||||
Forward contracts | - | - | ||||||
|
|
|
| |||||
Net realized gain (loss) | 13,142,056 | 12,939,817 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | (37,600,860 | )* | (21,180,132 | ) | ||||
Written options | - | - | ||||||
Translation of assets and liabilities in foreign currencies | (2,888 | ) | 1 | |||||
Forward contracts | - | - | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | (37,603,748 | ) | (21,180,131 | ) | ||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | (24,461,692 | ) | (8,240,314 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | (21,675,123 | ) | $ | (6,798,458 | ) | ||
|
|
|
| |||||
(a) Net of foreign withholding tax of: | $ | 278,788 | $ | 24,383 | ||||
* Net of net increase (decrease) in accrued foreign capital gains tax of: | $ | 21,205 | $ | - |
The accompanying notes are an integral part of the financial statements.
150
Table of Contents
MML Income & Growth Fund | MML International Equity Fund | MML Large Cap Growth Fund | MML Managed Volatility Fund | MML Mid Cap Growth Fund | ||||||||||||||
$ | 7,551,274 | $ | 4,629,591 | $ | 1,264,476 | $ | 3,369,819 | $ | 3,678,003 | |||||||||
60,417 | 40,656 | 11,901 | 35,367 | 385,065 | ||||||||||||||
141 | 95,502 | - | 3 | 68,972 | ||||||||||||||
- | 367,579 | 82,758 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
7,611,832 | 5,133,328 | 1,359,135 | 3,405,189 | 4,132,040 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,933,114 | 1,409,628 | 693,007 | 1,310,202 | 3,633,999 | ||||||||||||||
33,856 | 192,952 | 11,453 | 285,170 | 51,892 | ||||||||||||||
36,909 | 66,008 | 36,102 | 36,152 | 37,043 | ||||||||||||||
3,023 | 1,831 | 1,128 | 1,823 | 4,669 | ||||||||||||||
1,293 | 1,293 | 1,293 | 1,293 | 1,293 | ||||||||||||||
53,902 | 25,800 | 13,178 | 24,820 | 57,709 | ||||||||||||||
17,572 | 10,535 | 6,369 | 10,410 | 28,118 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,079,669 | 1,708,047 | 762,530 | 1,669,870 | 3,814,723 | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | 257,035 | - | - | - | ||||||||||||||
- | 7,270 | - | - | - | ||||||||||||||
68,402 | - | 24,388 | 80,200 | 239,409 | ||||||||||||||
- | 12,116 | - | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,148,071 | 1,984,468 | 786,918 | 1,750,070 | 4,054,132 | ||||||||||||||
- | (204,356 | ) | - | - | - | |||||||||||||
- | (5,961 | ) | - | - | - | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,148,071 | 1,774,151 | 786,918 | 1,750,070 | 4,054,132 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
5,463,761 | 3,359,177 | 572,217 | 1,655,119 | 77,908 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
10,299,450 | 11,484,076 | 12,394,030 | 12,333,710 | 65,559,459 | ||||||||||||||
- | - | - | (4,156,580 | ) | - | |||||||||||||
(423 | ) | (51,873 | ) | - | - | 211 | ||||||||||||
- | 140,330 | - | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
10,299,027 | 11,572,533 | 12,394,030 | 8,177,130 | 65,559,670 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(49,997,079 | ) | (59,720,485 | )* | (13,787,226 | ) | (18,669,824 | ) | (72,246,480 | ) | |||||||||
- | - | - | 1,102,504 | - | ||||||||||||||
(25 | ) | (9,238 | ) | - | (1,690 | ) | (68 | ) | ||||||||||
- | 14,443 | - | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(49,997,104 | ) | (59,715,280 | ) | (13,787,226 | ) | (17,569,010 | ) | (72,246,548 | ) | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(39,698,077 | ) | (48,142,747 | ) | (1,393,196 | ) | (9,391,880 | ) | (6,686,878 | ) | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | (34,234,316 | ) | $ | (44,783,570 | ) | $ | (820,979 | ) | $ | (7,736,761 | ) | $ | (6,608,970 | ) | ||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 33,504 | $ | 539,362 | $ | 33,437 | $ | - | $ | 18,737 | |||||||||
$ | - | $ | 36,493 | $ | - | $ | - | $ | - |
151
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Statements of Operations
For the Year Ended December 31, 2018
MML Mid Cap Value Fund | MML Small Cap Growth Equity Fund | |||||||
Investment income (Note 2): |
| |||||||
Dividends (a) | $ | 9,866,091 | $ | 1,736,702 | ||||
Interest | 97,871 | 23,697 | ||||||
Securities lending net income | 2,455 | 125,941 | ||||||
|
|
|
| |||||
Total investment income | 9,966,417 | 1,886,340 | ||||||
|
|
|
| |||||
Expenses (Note 3): |
| |||||||
Investment advisory fees | 3,838,306 | 2,172,894 | ||||||
Custody fees | 68,913 | 29,065 | ||||||
Audit fees | 37,030 | 38,803 | ||||||
Legal fees | 4,692 | 2,120 | ||||||
Proxy fees | 1,293 | 1,293 | ||||||
Shareholder reporting fees | 54,512 | 30,200 | ||||||
Trustees’ fees | 27,357 | 12,645 | ||||||
|
|
|
| |||||
4,032,103 | 2,287,020 | |||||||
Administration fees: | ||||||||
Class II | - | - | ||||||
Service Class I | - | - | ||||||
Service fees: | ||||||||
Service Class | 122,224 | 48,478 | ||||||
Service Class I | - | - | ||||||
|
|
|
| |||||
Total expenses | 4,154,327 | 2,335,498 | ||||||
Expenses waived: | ||||||||
Initial Class advisory fees waived | - | (38,007 | ) | |||||
Class II advisory fees waived | - | - | ||||||
Service Class advisory fees waived | - | (3,884 | ) | |||||
Service Class I advisory fees waived | - | - | ||||||
|
|
|
| |||||
Net expenses: | 4,154,327 | 2,293,607 | ||||||
|
|
|
| |||||
Net investment income (loss) | 5,812,090 | (407,267 | ) | |||||
|
|
|
| |||||
Realized and unrealized gain (loss): |
| |||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | 41,496,060 | 33,594,694 | ||||||
Futures contracts | - | - | ||||||
Foreign currency transactions | (1,060 | ) | 118 | |||||
Forward contracts | 1,017,006 | - | ||||||
|
|
|
| |||||
Net realized gain (loss) | 42,512,006 | 33,594,812 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | (105,139,209 | ) | (38,364,498 | ) | ||||
Futures contracts | - | - | ||||||
Swap agreements | - | - | ||||||
Translation of assets and liabilities in foreign currencies | (848 | ) | - | |||||
Forward contracts | 68,071 | - | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | (105,071,986 | ) | (38,364,498 | ) | ||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | (62,559,980 | ) | (4,769,686 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | (56,747,890 | ) | $ | (5,176,953 | ) | ||
|
|
|
| |||||
(a) Net of foreign withholding tax of: | $ | 59,614 | $ | 7,755 |
The accompanying notes are an integral part of the financial statements.
152
Table of Contents
MML Small Company Value Fund | MML Small/Mid Cap Value Fund | MML Total Return Bond Fund | ||||||||
$ | 1,309,964 | $ | 3,105,449 | $ | - | |||||
16,354 | 29,665 | 12,949,980 | ||||||||
23,026 | 87 | 652 | ||||||||
|
|
|
|
|
| |||||
1,349,344 | 3,135,201 | 12,950,632 | ||||||||
|
|
|
|
|
| |||||
848,279 | 1,643,875 | 1,663,853 | ||||||||
14,787 | 18,197 | 92,006 | ||||||||
36,756 | 36,191 | 25,166 | ||||||||
1,062 | 2,224 | 5,396 | ||||||||
1,293 | 1,293 | 1,293 | ||||||||
17,789 | 29,704 | 59,343 | ||||||||
6,383 | 13,213 | 24,670 | ||||||||
|
|
|
|
|
| |||||
926,349 | 1,744,697 | 1,871,727 | ||||||||
126,284 | - | 588,442 | ||||||||
32,769 | - | 35,503 | ||||||||
- | 55,482 | - | ||||||||
54,615 | - | 59,172 | ||||||||
|
|
|
|
|
| |||||
1,140,017 | 1,800,179 | 2,554,844 | ||||||||
- | - | - | ||||||||
(42,087 | ) | - | - | |||||||
- | - | - | ||||||||
(10,930 | ) | - | - | |||||||
|
|
|
|
|
| |||||
1,087,000 | 1,800,179 | 2,554,844 | ||||||||
|
|
|
|
|
| |||||
262,344 | 1,335,022 | 10,395,788 | ||||||||
|
|
|
|
|
| |||||
13,598,498 | 23,331,127 | (6,147,250 | ) | |||||||
- | - | (1,097,580 | ) | |||||||
- | - | 45,412 | ||||||||
- | - | (215,621 | ) | |||||||
|
|
|
|
|
| |||||
13,598,498 | 23,331,127 | (7,415,039 | ) | |||||||
|
|
|
|
|
| |||||
(26,684,365 | ) | (55,718,558 | ) | (5,394,125 | ) | |||||
- | - | 1,093,556 | ||||||||
- | - | 19,404 | ||||||||
- | - | - | ||||||||
- | - | (83,538 | ) | |||||||
|
|
|
|
|
| |||||
(26,684,365 | ) | (55,718,558 | ) | (4,364,703 | ) | |||||
|
|
|
|
|
| |||||
(13,085,867 | ) | (32,387,431 | ) | (11,779,742 | ) | |||||
|
|
|
|
|
| |||||
$ | (12,823,523 | ) | $ | (31,052,409 | ) | $ | (1,383,954 | ) | ||
|
|
|
|
|
| |||||
$ | 2,250 | $ | 11,120 | $ | - |
153
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Statements of Changes in Net Assets
MML Blue Chip Growth Fund | ||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (321,538 | ) | $ | (139,233 | ) | ||
Net realized gain (loss) | 52,073,895 | 72,878,500 | ||||||
Net change in unrealized appreciation (depreciation) | (41,246,965 | ) | 42,058,422 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 10,505,392 | 114,797,689 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
Initial Class | (52,821,553 | ) | (25,612,496 | )* | ||||
Class I | - | - | ||||||
Class II | - | - | ||||||
Class III | - | - | ||||||
Service Class | (19,580,121 | ) | (5,770,103 | )* | ||||
Service Class I | - | - | ||||||
|
|
|
| |||||
Total distributions | (72,401,674 | ) | (31,382,599 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Initial Class | (5,467,464 | ) | (102,659,338 | ) | ||||
Class I | - | - | ||||||
Class II | - | - | ||||||
Class III | - | - | ||||||
Service Class | 42,736,063 | 17,290,881 | ||||||
Service Class I | - | - | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 37,268,599 | (85,368,457 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | (24,627,683 | ) | (1,953,367 | ) | ||||
Net assets* | ||||||||
Beginning of year | 378,145,464 | 380,098,831 | ||||||
|
|
|
| |||||
End of year | $ | 353,517,781 | $ | 378,145,464 | ||||
|
|
|
|
* | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year RegulationS-X presentation changes. Refer to Note 2 for this prior year information. |
The accompanying notes are an integral part of the financial statements.
154
Table of Contents
MML Equity Income Fund | MML Equity Index Fund | |||||||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||
$ | 10,559,328 | $ | 9,468,368 | $ | 12,820,871 | $ | 12,249,288 | |||||||
41,617,629 | 49,566,468 | 50,656,484 | 25,743,864 | |||||||||||
(95,797,399 | ) | 17,116,051 | (92,331,246 | ) | 96,421,876 | |||||||||
|
|
|
|
|
|
|
| |||||||
(43,620,442 | ) | 76,150,887 | (28,853,891 | ) | 134,415,028 | |||||||||
|
|
|
|
|
|
|
| |||||||
(48,263,863 | ) | (37,160,987 | )* | - | - | |||||||||
- | - | (3,197,013 | ) | (2,327,832 | )* | |||||||||
- | - | (9,207,167 | ) | (7,414,887 | )* | |||||||||
- | - | (23,328,843 | ) | (16,125,159 | )* | |||||||||
(9,835,943 | ) | (6,848,988 | )* | - | - | |||||||||
- | - | (2,351,504 | ) | (1,642,992 | )* | |||||||||
|
|
|
|
|
|
|
| |||||||
(58,099,806 | ) | (44,009,975 | ) | (38,084,527 | ) | (27,510,870 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
2,490,166 | 304,296 | - | - | |||||||||||
- | - | (9,079,134 | ) | (10,341,658 | ) | |||||||||
- | - | (10,657,696 | ) | (18,748,239 | ) | |||||||||
- | - | (7,296,991 | ) | 100,677,105 | ||||||||||
6,711,055 | 3,404,774 | - | - | |||||||||||
- | - | (3,680,668 | ) | (464,084 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
9,201,221 | 3,709,070 | (30,714,489 | ) | 71,123,124 | ||||||||||
|
|
|
|
|
|
|
| |||||||
(92,519,027 | ) | 35,849,982 | (97,652,907 | ) | 178,027,282 | |||||||||
526,800,563 | 490,950,581 | 742,001,837 | 563,974,555 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 434,281,536 | $ | 526,800,563 | $ | 644,348,930 | $ | 742,001,837 | |||||||
|
|
|
|
|
|
|
|
155
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Statements of Changes in Net Assets
MML Focused Equity Fund | ||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 762,123 | $ | 1,683,292 | ||||
Net realized gain (loss) | 6,191,741 | 35,907,288 | ||||||
Net change in unrealized appreciation (depreciation) | (5,823,993 | ) | (19,195,108 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 1,129,871 | 18,395,472 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
Initial Class | - | - | ||||||
Class II | (30,902,335 | ) | (12,328,298 | )* | ||||
Service Class | - | - | ||||||
Service Class I | (6,784,266 | ) | (1,901,369 | )* | ||||
|
|
|
| |||||
Total distributions | (37,686,601 | ) | (14,229,667 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Initial Class | - | - | ||||||
Class II | 20,746,796 | (76,022,756 | ) | |||||
Service Class | - | - | ||||||
Service Class I | 7,702,980 | 3,401,694 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 28,449,776 | (72,621,062 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | (8,106,954 | ) | (68,455,257 | ) | ||||
Net assets* | ||||||||
Beginning of year | 67,362,875 | 135,818,132 | ||||||
|
|
|
| |||||
End of year | $ | 59,255,921 | $ | 67,362,875 | ||||
|
|
|
|
* | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year RegulationS-X presentation changes. Refer to Note 2 for this prior year information. |
The accompanying notes are an integral part of the financial statements.
156
Table of Contents
MML Foreign Fund | MML Fundamental Growth Fund | |||||||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||
$ | 6,381,190 | $ | 6,873,114 | $ | 547,826 | $ | 1,243,943 | |||||||
16,154,806 | 4,425,136 | 21,376,868 | 31,281,201 | |||||||||||
(78,983,677 | ) | 63,838,925 | (18,532,549 | ) | 4,712,494 | |||||||||
|
|
|
|
|
|
|
| |||||||
(56,447,681 | ) | 75,137,175 | 3,392,145 | 37,237,638 | ||||||||||
|
|
|
|
|
|
|
| |||||||
(7,662,312 | ) | (7,849,280 | )* | - | - | |||||||||
- | - | (29,655,294 | ) | (14,966,176 | )* | |||||||||
(214,292 | ) | (200,743 | )* | - | - | |||||||||
- | - | (2,890,500 | ) | (655,646 | )* | |||||||||
|
|
|
|
|
|
|
| |||||||
(7,876,604 | ) | (8,050,023 | ) | (32,545,794 | ) | (15,621,822 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(26,429,265 | ) | (31,216,352 | ) | - | - | |||||||||
- | - | (4,513,200 | ) | (65,501,533 | ) | |||||||||
(186,364 | ) | (637,618 | ) | - | - | |||||||||
- | - | 6,672,694 | 1,980,177 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(26,615,629 | ) | (31,853,970 | ) | 2,159,494 | (63,521,356 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
(90,939,914 | ) | 35,233,182 | (26,994,155 | ) | (41,905,540 | ) | ||||||||
394,300,715 | 359,067,533 | 127,540,737 | 169,446,277 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 303,360,801 | $ | 394,300,715 | $ | 100,546,582 | $ | 127,540,737 | |||||||
|
|
|
|
|
|
|
|
157
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Statements of Changes in Net Assets
MML Fundamental Value Fund | ||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 3,804,996 | $ | 3,712,430 | ||||
Net realized gain (loss) | 21,503,854 | 19,464,426 | ||||||
Net change in unrealized appreciation (depreciation) | (45,956,763 | ) | 9,100,650 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (20,647,913 | ) | 32,277,506 | |||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
Initial Class | - | - | ||||||
Class I | - | - | ||||||
Class II | (21,649,257 | ) | (19,195,489 | )* | ||||
Service Class | - | - | ||||||
Service Class I | (1,585,954 | ) | (1,029,891 | )* | ||||
|
|
|
| |||||
Total distributions | (23,235,211 | ) | (20,225,380 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Initial Class | - | - | ||||||
Class I | - | - | ||||||
Class II | (16,638,818 | ) | (9,424,599 | ) | ||||
Service Class | - | - | ||||||
Service Class I | 3,230,591 | 3,346,211 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (13,408,227 | ) | (6,078,388 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (57,291,351 | ) | 5,973,738 | |||||
Net assets* | ||||||||
Beginning of year | 239,094,360 | 233,120,622 | ||||||
|
|
|
| |||||
End of year | $ | 181,803,009 | $ | 239,094,360 | ||||
|
|
|
|
* | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year RegulationS-X presentation changes. Refer to Note 2 for this prior year information. |
The accompanying notes are an integral part of the financial statements.
158
Table of Contents
MML Global Fund | MML Growth & Income Fund | |||||||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||
$ | 2,786,569 | $ | 2,650,161 | $ | 1,441,856 | $ | 1,305,226 | |||||||
13,142,056 | 28,855,545 | 12,939,817 | 9,536,242 | |||||||||||
(37,603,748 | ) | 21,870,966 | (21,180,131 | ) | 17,668,759 | |||||||||
|
|
|
|
|
|
|
| |||||||
(21,675,123 | ) | 53,376,672 | (6,798,458 | ) | 28,510,227 | |||||||||
|
|
|
|
|
|
|
| |||||||
- | - | (922,933 | ) | (991,174 | )* | |||||||||
(27,480,281 | ) | (18,143,851 | )* | - | - | |||||||||
(2,282,278 | ) | (1,521,236 | )* | - | - | |||||||||
- | - | (242,772 | ) | (208,011 | )* | |||||||||
(2,109,930 | ) | (1,327,217 | )* | - | - | |||||||||
|
|
|
|
|
|
|
| |||||||
(31,872,489 | ) | (20,992,304 | ) | (1,165,705 | ) | (1,199,185 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
- | - | (13,338,083 | ) | (12,980,668 | ) | |||||||||
19,251,978 | (40,436,076 | ) | - | - | ||||||||||
745,727 | 175,037 | - | - | |||||||||||
- | - | 5,575,818 | 2,055,683 | |||||||||||
1,595,733 | 2,159,339 | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
21,593,438 | (38,101,700 | ) | (7,762,265 | ) | (10,924,985 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
(31,954,174 | ) | (5,717,332 | ) | (15,726,428 | ) | 16,386,057 | ||||||||
240,866,239 | 246,583,571 | 142,440,390 | 126,054,333 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 208,912,065 | $ | 240,866,239 | $ | 126,713,962 | $ | 142,440,390 | |||||||
|
|
|
|
|
|
|
|
159
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Statements of Changes in Net Assets
MML Income & Growth Fund | ||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 5,463,761 | $ | 5,273,219 | ||||
Net realized gain (loss) | 10,299,027 | 69,871,476 | ||||||
Net change in unrealized appreciation (depreciation) | (49,997,104 | ) | (27,080,685 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (34,234,316 | ) | 48,064,010 | |||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
Initial Class | (68,070,720 | ) | (23,838,298 | )* | ||||
Class II | - | - | ||||||
Service Class | (7,008,633 | ) | (2,016,278 | )* | ||||
Service Class I | - | - | ||||||
|
|
|
| |||||
Total distributions | (75,079,353 | ) | (25,854,576 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Initial Class | 50,138,981 | 11,012,736 | ||||||
Class II | - | - | ||||||
Service Class | 7,077,289 | 5,271,619 | ||||||
Service Class I | - | - | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 57,216,270 | 16,284,355 | ||||||
|
|
|
| |||||
Total increase (decrease) in net assets | (52,097,399 | ) | 38,493,789 | |||||
Net assets* | ||||||||
Beginning of year | 316,993,510 | 278,499,721 | ||||||
|
|
|
| |||||
End of year | $ | 264,896,111 | $ | 316,993,510 | ||||
|
|
|
|
* | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year RegulationS-X presentation changes. Refer to Note 2 for this prior year information. |
The accompanying notes are an integral part of the financial statements.
160
Table of Contents
MML International Equity Fund | MML Large Cap Growth Fund | |||||||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||
$ | 3,359,177 | $ | 2,864,574 | $ | 572,217 | $ | 634,474 | |||||||
11,572,533 | 16,175,645 | 12,394,030 | 7,311,742 | |||||||||||
(59,715,280 | ) | 26,887,343 | (13,787,226 | ) | 24,299,190 | |||||||||
|
|
|
|
|
|
|
| |||||||
(44,783,570 | ) | 45,927,562 | (820,979 | ) | 32,245,406 | |||||||||
|
|
|
|
|
|
|
| |||||||
- | - | (7,127,458 | ) | (26,552,428 | )* | |||||||||
(4,053,077 | ) | (2,875,413 | )* | - | - | |||||||||
- | - | (826,941 | ) | (1,424,445 | )* | |||||||||
(116,423 | ) | (37,585 | )* | - | - | |||||||||
|
|
|
|
|
|
|
| |||||||
(4,169,500 | ) | (2,912,998 | ) | (7,954,399 | ) | (27,976,873 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
- | - | (16,230,772 | ) | (607,361 | ) | |||||||||
14,784,522 | (6,097,450 | ) | - | - | ||||||||||
- | - | 4,308,540 | 3,918,089 | |||||||||||
2,262,286 | 2,479,792 | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
17,046,808 | (3,617,658 | ) | (11,922,232 | ) | 3,310,728 | |||||||||
|
|
|
|
|
|
|
| |||||||
(31,906,262 | ) | 39,396,906 | (20,697,610 | ) | 7,579,261 | |||||||||
191,212,981 | 151,816,075 | 114,499,108 | 106,919,847 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 159,306,719 | $ | 191,212,981 | $ | 93,801,498 | $ | 114,499,108 | |||||||
|
|
|
|
|
|
|
|
161
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Statements of Changes in Net Assets
MML Managed Volatility Fund | ||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 1,655,119 | $ | 2,004,379 | ||||
Net realized gain (loss) | 8,177,130 | (9,260,695 | ) | |||||
Net change in unrealized appreciation (depreciation) | (17,569,010 | ) | 23,195,016 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (7,736,761 | ) | 15,938,700 | |||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
Initial Class | (1,709,123 | ) | (1,918,611 | )* | ||||
Service Class | (306,248 | ) | (348,002 | )* | ||||
|
|
|
| |||||
Total distributions | (2,015,371 | ) | (2,266,613 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Initial Class | (21,156,586 | ) | (12,023,577 | ) | ||||
Service Class | (2,928,584 | ) | (1,319,141 | ) | ||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (24,085,170 | ) | (13,342,718 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (33,837,302 | ) | 329,369 | |||||
Net assets* | ||||||||
Beginning of year | 184,435,325 | 184,105,956 | ||||||
|
|
|
| |||||
End of year | $ | 150,598,023 | $ | 184,435,325 | ||||
|
|
|
|
* | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year RegulationS-X presentation changes. Refer to Note 2 for this prior year information. |
The accompanying notes are an integral part of the financial statements.
162
Table of Contents
MML Mid Cap Growth Fund | MML Mid Cap Value Fund | |||||||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||
$ | 77,908 | $ | (568,188 | ) | $ | 5,812,090 | $ | 7,888,283 | ||||||
65,559,670 | 60,271,297 | 42,512,006 | 46,993,648 | |||||||||||
(72,246,548 | ) | 40,371,696 | (105,071,986 | ) | (2,340,294 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
(6,608,970 | ) | 100,074,805 | (56,747,890 | ) | 52,541,637 | |||||||||
|
|
|
|
|
|
|
| |||||||
(47,102,641 | ) | (35,796,423 | )* | (48,304,550 | ) | (32,246,793 | )* | |||||||
(12,765,952 | ) | (8,306,713 | )* | (5,905,971 | ) | (3,535,518 | )* | |||||||
|
|
|
|
|
|
|
| |||||||
(59,868,593 | ) | (44,103,136 | ) | (54,210,521 | ) | (35,782,311 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(2,498,117 | ) | (16,756,988 | ) | 3,437,432 | (9,668,318 | ) | ||||||||
12,831,279 | 10,616,432 | 5,903,652 | 4,039,848 | |||||||||||
|
|
|
|
|
|
|
| |||||||
10,333,162 | (6,140,556 | ) | 9,341,084 | (5,628,470 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
(56,144,401 | ) | 49,831,113 | (101,617,327 | ) | 11,130,856 | |||||||||
473,811,668 | 423,980,555 | 488,324,837 | 477,193,981 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 417,667,267 | $ | 473,811,668 | $ | 386,707,510 | $ | 488,324,837 | |||||||
|
|
|
|
|
|
|
|
163
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Statements of Changes in Net Assets
MML Small Cap Growth Equity Fund | ||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (407,267 | ) | $ | (467,078 | ) | ||
Net realized gain (loss) | 33,594,812 | 23,785,277 | ||||||
Net change in unrealized appreciation (depreciation) | (38,364,498 | ) | 19,597,542 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (5,176,953 | ) | 42,915,741 | |||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
Initial Class | (20,293,872 | ) | (7,444,016 | )* | ||||
Class II | - | - | ||||||
Service Class | (2,377,009 | ) | (591,748 | )* | ||||
Service Class I | - | - | ||||||
|
|
|
| |||||
Total distributions | (22,670,881 | ) | (8,035,764 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Initial Class | (22,524,973 | ) | (25,383,985 | ) | ||||
Class II | - | - | ||||||
Service Class | 6,979,396 | 818,278 | ||||||
Service Class I | - | - | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (15,545,577 | ) | (24,565,707 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (43,393,411 | ) | 10,314,270 | |||||
Net assets* | ||||||||
Beginning of year | 214,528,003 | 204,213,733 | ||||||
|
|
|
| |||||
End of year | $ | 171,134,592 | $ | 214,528,003 | ||||
|
|
|
|
* | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year RegulationS-X presentation changes. Refer to Note 2 for this prior year information. |
The accompanying notes are an integral part of the financial statements.
164
Table of Contents
MML Small Company Value Fund | MML Small/Mid Cap Value Fund | |||||||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||
$ | 262,344 | $ | 271,244 | $ | 1,335,022 | $ | 1,004,789 | |||||||
13,598,498 | 6,262,328 | 23,331,127 | 23,444,864 | |||||||||||
(26,684,365 | ) | 5,180,820 | (55,718,558 | ) | 3,802,915 | |||||||||
|
|
|
|
|
|
|
| |||||||
(12,823,523 | ) | 11,714,392 | (31,052,409 | ) | 28,252,568 | |||||||||
|
|
|
|
|
|
|
| |||||||
- | - | (21,802,071 | ) | (13,127,909 | )* | |||||||||
(5,157,012 | ) | (10,256,867 | )* | - | - | |||||||||
- | - | (2,507,665 | ) | (1,293,719 | )* | |||||||||
(1,405,903 | ) | (2,139,278 | )* | - | - | |||||||||
|
|
|
|
|
|
|
| |||||||
(6,562,915 | ) | (12,396,145 | ) | (24,309,736 | ) | (14,421,628 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
- | - | 3,073,451 | (14,368,459 | ) | ||||||||||
(7,330,491 | ) | 1,080,128 | - | - | ||||||||||
- | - | 2,668,133 | 1,541,770 | |||||||||||
3,627,613 | 5,333,990 | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
(3,702,878 | ) | 6,414,118 | 5,741,584 | (12,826,689 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
(23,089,316 | ) | 5,732,365 | (49,620,561 | ) | 1,004,251 | |||||||||
109,926,625 | 104,194,260 | 232,416,764 | 231,412,513 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 86,837,309 | $ | 109,926,625 | $ | 182,796,203 | $ | 232,416,764 | |||||||
|
|
|
|
|
|
|
|
165
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Statements of Changes in Net Assets
MML Total Return Bond Fund | ||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 10,395,788 | $ | 7,785,921 | ||||
Net realized gain (loss) | (7,415,039 | ) | (524,588 | ) | ||||
Net change in unrealized appreciation (depreciation) | (4,364,703 | ) | 5,278,805 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (1,383,954 | ) | 12,540,138 | |||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
Class II | (7,259,284 | ) | (8,304,200 | )* | ||||
Service Class I | (416,963 | ) | (372,986 | )* | ||||
|
|
|
| |||||
Total distributions | (7,676,247 | ) | (8,677,186 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class II | (46,010,891 | ) | 11,225,248 | |||||
Service Class I | 4,117,875 | 2,614,895 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (41,893,016 | ) | 13,840,143 | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | (50,953,217 | ) | 17,703,095 | |||||
Net assets* | ||||||||
Beginning of year | 430,057,568 | 412,354,473 | ||||||
|
|
|
| |||||
End of year | $ | 379,104,351 | $ | 430,057,568 | ||||
|
|
|
|
* | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year RegulationS-X presentation changes. Refer to Note 2 for this prior year information. |
The accompanying notes are an integral part of the financial statements.
166
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Blue Chip Growth Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 17.41 | $ | (0.00 | )d | $ | 0.86 | $ | 0.86 | $ | - | $ | (3.67 | ) | $ | (3.67 | ) | $ | 14.60 | 1.88% | $ | 254,050 | 0.79% | (0.02% | ) | |||||||||||||||||||||||
12/31/17 | 13.98 | 0.00 | d | 4.93 | 4.93 | (0.00 | )d | (1.50 | ) | (1.50 | ) | 17.41 | 36.22% | 301,054 | 0.80% | 0.00% | e | |||||||||||||||||||||||||||||||
12/31/16 | 15.79 | 0.00 | d | 0.13 | 0.13 | - | (1.94 | ) | (1.94 | ) | 13.98 | 0.91% | 332,688 | 0.79% | 0.03% | |||||||||||||||||||||||||||||||||
12/31/15 | 17.09 | (0.01 | ) | 1.70 | 1.69 | - | (2.99 | ) | (2.99 | ) | 15.79 | 11.10% | 388,654 | 0.79% | (0.06% | ) | ||||||||||||||||||||||||||||||||
12/31/14 | 17.35 | (0.01 | ) | 1.55 | 1.54 | - | (1.80 | ) | (1.80 | ) | 17.09 | 9.13% | 390,322 | 0.79% | (0.09% | ) | ||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 16.88 | $ | (0.05 | ) | $ | 0.87 | $ | 0.82 | $ | - | $ | (3.67 | ) | $ | (3.67 | ) | $ | 14.03 | 1.68% | $ | 99,468 | 1.04% | (0.26% | ) | |||||||||||||||||||||||
12/31/17 | 13.62 | (0.04 | ) | 4.80 | 4.76 | - | (1.50 | ) | (1.50 | ) | 16.88 | 35.89% | 77,091 | 1.05% | (0.25% | ) | ||||||||||||||||||||||||||||||||
12/31/16 | 15.47 | (0.03 | ) | 0.12 | 0.09 | - | (1.94 | ) | (1.94 | ) | 13.62 | 0.65% | 47,411 | 1.04% | (0.22% | ) | ||||||||||||||||||||||||||||||||
12/31/15 | 16.85 | (0.05 | ) | 1.66 | 1.61 | - | (2.99 | ) | (2.99 | ) | 15.47 | 10.76% | 42,486 | 1.04% | (0.31% | ) | ||||||||||||||||||||||||||||||||
12/31/14 | 17.17 | (0.06 | ) | 1.54 | 1.48 | - | (1.80 | ) | (1.80 | ) | 16.85 | 8.87% | 31,721 | 1.04% | (0.34% | ) |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 28 | % | 25 | % | 29 | % | 31 | % | 30 | % |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
e | Amount is less than 0.005%. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
167
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Equity Income Fund
| Income (loss) from investment operations | | | Less distributions to shareholders | | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waiver | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.50 | $ | 0.26 | $ | (1.23 | ) | $ | (0.97 | ) | $ | (0.24 | ) | $ | (1.25 | ) | $ | (1.49 | ) | $ | 10.04 | (9.36% | ) | $ | 358,947 | 0.79% | 0.76 | % | 2.17% | |||||||||||||||||||||||
12/31/17 | 11.78 | 0.23 | 1.58 | 1.81 | (0.27 | ) | (0.82 | ) | (1.09 | ) | 12.50 | 16.33% | 440,607 | 0.79% | 0.76 | % | 1.93% | |||||||||||||||||||||||||||||||||||
12/31/16 | 11.29 | 0.27 | 1.73 | 2.00 | (0.25 | ) | (1.26 | ) | (1.51 | ) | 11.78 | 18.68% | 413,304 | 0.79% | 0.77 | % | 2.33% | |||||||||||||||||||||||||||||||||||
12/31/15 | 13.93 | 0.25 | (1.28 | ) | (1.03 | ) | (0.26 | ) | (1.35 | ) | (1.61 | ) | 11.29 | (6.88% | ) | 409,298 | 0.78% | N/A | 1.96% | |||||||||||||||||||||||||||||||||
12/31/14 | 13.47 | 0.25 | 0.76 | 1.01 | (0.24 | ) | (0.31 | ) | (0.55 | ) | 13.93 | 7.54% | 472,989 | 0.78% | N/A | 1.84% | ||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.37 | $ | 0.23 | $ | (1.22 | ) | $ | (0.99 | ) | $ | (0.21 | ) | $ | (1.25 | ) | $ | (1.46 | ) | $ | 9.92 | (9.60% | ) | $ | 75,335 | 1.04% | 1.01 | % | 1.92% | |||||||||||||||||||||||
12/31/17 | 11.68 | 0.20 | 1.56 | 1.76 | (0.25 | ) | (0.82 | ) | (1.07 | ) | 12.37 | 15.97% | 86,193 | 1.04% | 1.01 | % | 1.68% | |||||||||||||||||||||||||||||||||||
12/31/16 | 11.20 | 0.24 | 1.72 | 1.96 | (0.22 | ) | (1.26 | ) | (1.48 | ) | 11.68 | 18.46% | 77,647 | 1.04% | 1.02 | % | 2.10% | |||||||||||||||||||||||||||||||||||
12/31/15 | 13.83 | 0.22 | (1.27 | ) | (1.05 | ) | (0.23 | ) | (1.35 | ) | (1.58 | ) | 11.20 | (7.10% | ) | 63,263 | 1.03% | N/A | 1.72% | |||||||||||||||||||||||||||||||||
12/31/14 | 13.39 | 0.22 | 0.74 | 0.96 | (0.21 | ) | (0.31 | ) | (0.52 | ) | 13.83 | 7.23% | 63,751 | 1.03% | N/A | 1.58% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 19 | % | 25 | % | 22 | % | 39 | % | 9 | % |
c | Per share amount calculated on the average shares method. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
168
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Equity Index Fund
| Income (loss) from investment operations | | | Less distributions to shareholders | | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000's) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 31.01 | $ | 0.49 | $ | (1.76 | ) | $ | (1.27 | ) | $ | (0.50 | ) | $ | (1.15 | ) | $ | (1.65 | ) | $ | 28.09 | (4.80% | ) | $ | 51,998 | 0.43% | N/A | 1.57% | ||||||||||||||||||||||||
12/31/17 | 26.53 | 0.45 | 5.11 | 5.56 | (0.29 | ) | (0.79 | ) | (1.08 | ) | 31.01 | 21.34% | 66,374 | 0.43% | N/A | 1.57% | ||||||||||||||||||||||||||||||||||||
12/31/16 | 24.76 | 0.44 | 2.37 | 2.81 | (0.43 | ) | (0.61 | ) | (1.04 | ) | 26.53 | 11.48% | 66,343 | 0.43% | N/A | 1.76% | ||||||||||||||||||||||||||||||||||||
12/31/15 | 25.52 | 0.42 | (0.23 | ) | 0.19 | (0.38 | ) | (0.57 | ) | (0.95 | ) | 24.76 | 0.95% | 74,631 | 0.43% | N/A | 1.67% | |||||||||||||||||||||||||||||||||||
12/31/14 | 23.14 | 0.38 | 2.65 | 3.03 | (0.33 | ) | (0.32 | ) | (0.65 | ) | 25.52 | 13.17% | 84,445 | 0.44% | N/A | 1.58% | ||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 31.01 | $ | 0.54 | $ | (1.75 | ) | $ | (1.21 | ) | $ | (0.55 | ) | $ | (1.15 | ) | $ | (1.70 | ) | $ | 28.10 | (4.63% | ) | $ | 159,638 | 0.28% | N/A | 1.72% | ||||||||||||||||||||||||
12/31/17 | 26.55 | 0.50 | 5.10 | 5.60 | (0.35 | ) | (0.79 | ) | (1.14 | ) | 31.01 | 21.50% | 186,674 | 0.28% | N/A | 1.72% | ||||||||||||||||||||||||||||||||||||
12/31/16 | 24.80 | 0.48 | 2.36 | 2.84 | (0.48 | ) | (0.61 | ) | (1.09 | ) | 26.55 | 11.62% | 175,525 | 0.28% | N/A | 1.91% | ||||||||||||||||||||||||||||||||||||
12/31/15 | 25.56 | 0.47 | (0.23 | ) | 0.24 | (0.43 | ) | (0.57 | ) | (1.00 | ) | 24.80 | 1.17% | 164,515 | 0.30% | 0.28 | % | 1.83% | ||||||||||||||||||||||||||||||||||
12/31/14 | 23.19 | 0.42 | 2.65 | 3.07 | (0.38 | ) | (0.32 | ) | (0.70 | ) | 25.56 | 13.35% | 154,210 | 0.33% | 0.28 | % | 1.74% | |||||||||||||||||||||||||||||||||||
Class III |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 30.97 | $ | 0.59 | $ | (1.75 | ) | $ | (1.16 | ) | $ | (0.60 | ) | $ | (1.16 | ) | $ | (1.76 | ) | $ | 28.05 | (4.52% | ) | $ | 391,891 | 0.13% | N/A | 1.87% | ||||||||||||||||||||||||
12/31/17 | 26.51 | 0.54 | 5.10 | 5.64 | (0.39 | ) | (0.79 | ) | (1.18 | ) | 30.97 | 21.69% | 440,242 | 0.13% | N/A | 1.87% | ||||||||||||||||||||||||||||||||||||
12/31/16 | 24.78 | 0.52 | 2.34 | 2.86 | (0.52 | ) | (0.61 | ) | (1.13 | ) | 26.51 | 11.69% | 279,941 | 0.13% | N/A | 2.05% | ||||||||||||||||||||||||||||||||||||
12/31/15 | 25.54 | 0.50 | (0.22 | ) | 0.28 | (0.47 | ) | (0.57 | ) | (1.04 | ) | 24.78 | 1.32% | 172,992 | 0.15% | 0.13 | % | 1.97% | ||||||||||||||||||||||||||||||||||
12/31/14 | 23.16 | 0.46 | 2.65 | 3.11 | (0.41 | ) | (0.32 | ) | (0.73 | ) | 25.54 | 13.54% | 173,459 | 0.19% | 0.14 | % | 1.88% | |||||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 30.13 | $ | 0.40 | $ | (1.70 | ) | $ | (1.30 | ) | $ | (0.43 | ) | $ | (1.16 | ) | $ | (1.59 | ) | $ | 27.24 | (5.04% | ) | $ | 40,822 | 0.68% | N/A | 1.32% | ||||||||||||||||||||||||
12/31/17 | 25.84 | 0.37 | 4.96 | 5.33 | (0.25 | ) | (0.79 | ) | (1.04 | ) | 30.13 | 21.01% | 48,712 | 0.68% | N/A | 1.32% | ||||||||||||||||||||||||||||||||||||
12/31/16 | 24.16 | 0.37 | 2.31 | 2.68 | (0.39 | ) | (0.61 | ) | (1.00 | ) | 25.84 | 11.24% | 42,165 | 0.68% | N/A | 1.51% | ||||||||||||||||||||||||||||||||||||
12/31/15 | 24.98 | 0.35 | (0.23 | ) | 0.12 | (0.37 | ) | (0.57 | ) | (0.94 | ) | 24.16 | 0.70% | 38,691 | 0.68% | N/A | 1.43% | |||||||||||||||||||||||||||||||||||
12/31/14 | 22.72 | 0.32 | 2.59 | 2.91 | (0.33 | ) | (0.32 | ) | (0.65 | ) | 24.98 | 12.92% | 32,075 | 0.69% | N/A | 1.34% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 3 | % | 7 | % | 8 | % | 4 | % | 3 | % |
c | Per share amount calculated on the average shares method. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
169
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Focused Equity Fund
| Income (loss) from investment operations | | | Less distributions to shareholders | |
| Ratios / Supplemental Data |
| ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gain | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.69 | $ | 0.11 | $ | 0.66 | $ | 0.77 | $ | (0.37 | ) | $ | (7.76 | ) | $ | (8.13 | ) | $ | 5.33 | 1.18% | $ | 48,276 | 0.95% | 0.87% | 1.25% | |||||||||||||||||||||||||||
12/31/17 | 13.20 | 0.27 | 2.35 | 2.62 | (0.36 | ) | (2.77 | ) | (3.13 | ) | 12.69 | 21.99% | 57,382 | 0.94% | N/A | 2.00% | ||||||||||||||||||||||||||||||||||||
12/31/16 | 12.15 | 0.13 | 1.96 | 2.09 | (0.20 | ) | (0.84 | ) | (1.04 | ) | 13.20 | 17.96% | 128,990 | 0.90% | N/A | 1.11% | ||||||||||||||||||||||||||||||||||||
12/31/15 | 15.97 | 0.21 | (1.71 | ) | (1.50 | ) | (0.28 | ) | (2.04 | ) | (2.32 | ) | 12.15 | (8.93% | ) | 147,436 | 0.90% | N/A | 1.43% | |||||||||||||||||||||||||||||||||
12/31/14 | 15.64 | 0.29 | 1.59 | 1.88 | (0.06 | ) | (1.49 | ) | (1.55 | ) | 15.97 | 12.24% | 160,206 | 0.90% | N/A | 1.86% | ||||||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.52 | $ | 0.09 | $ | 0.66 | $ | 0.75 | $ | (0.36 | ) | $ | (7.76 | ) | $ | (8.12 | ) | $ | 5.15 | 0.99% | $ | 10,980 | 1.20% | 1.12% | 1.01% | |||||||||||||||||||||||||||
12/31/17 | 13.11 | 0.18 | 2.37 | 2.55 | (0.37 | ) | (2.77 | ) | (3.14 | ) | 12.52 | 21.61% | 9,981 | 1.19% | N/A | 1.39% | ||||||||||||||||||||||||||||||||||||
12/31/16 | 12.06 | 0.10 | 1.95 | 2.05 | (0.16 | ) | (0.84 | ) | (1.00 | ) | 13.11 | 17.74% | 6,829 | 1.15% | N/A | 0.87% | ||||||||||||||||||||||||||||||||||||
12/31/15 | 15.87 | 0.17 | (1.69 | ) | (1.52 | ) | (0.25 | ) | (2.04 | ) | (2.29 | ) | 12.06 | (9.16% | ) | 7,023 | 1.15% | N/A | 1.20% | |||||||||||||||||||||||||||||||||
12/31/14 | 15.58 | 0.22 | 1.61 | 1.83 | (0.05 | ) | (1.49 | ) | (1.54 | ) | 15.87 | 11.97% | 7,289 | 1.15% | N/A | 1.39% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 64 | % | 108 | % | 37 | % | 52 | % | 35 | % |
c | Per share amount calculated on the average shares method. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
170
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Foreign Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 11.25 | $ | 0.20 | $ | (1.95 | ) | $ | (1.75 | ) | $ | (0.25 | ) | $ | (0.25 | ) | $ | 9.25 | (15.90% | ) | $ | 294,037 | 0.98% | 0.97 | % | 1.81% | ||||||||||||||||||||||
12/31/17 | 9.44 | 0.19 | 1.85 | 2.04 | (0.23 | ) | (0.23 | ) | 11.25 | 21.73% | 382,813 | 0.97% | N/A | 1.79% | ||||||||||||||||||||||||||||||||||
12/31/16 | 9.49 | 0.20 | (0.07 | ) | 0.13 | (0.18 | ) | (0.18 | ) | 9.44 | 1.44% | 348,836 | 0.97% | N/A | 2.22% | |||||||||||||||||||||||||||||||||
12/31/15 | 10.22 | 0.20 | (0.63 | ) | (0.43 | ) | (0.30 | ) | (0.30 | ) | 9.49 | (4.26% | ) | 347,072 | 0.97% | N/A | 1.89% | |||||||||||||||||||||||||||||||
12/31/14 | 11.22 | 0.34 | (1.09 | ) | (0.75 | ) | (0.25 | ) | (0.25 | ) | 10.22 | (6.97% | ) | 328,045 | 0.97% | N/A | 3.09% | |||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 11.18 | $ | 0.17 | $ | (1.93 | ) | $ | (1.76 | ) | $ | (0.22 | ) | $ | (0.22 | ) | $ | 9.20 | (16.03% | ) | $ | 9,324 | 1.23% | 1.22 | % | 1.57% | ||||||||||||||||||||||
12/31/17 | 9.38 | 0.16 | 1.84 | 2.00 | (0.20 | ) | (0.20 | ) | 11.18 | 21.45% | 11,488 | 1.22% | N/A | 1.53% | ||||||||||||||||||||||||||||||||||
12/31/16 | 9.43 | 0.18 | (0.07 | ) | 0.11 | (0.16 | ) | (0.16 | ) | 9.38 | 1.18% | 10,231 | 1.22% | N/A | 2.02% | |||||||||||||||||||||||||||||||||
12/31/15 | 10.16 | 0.17 | (0.62 | ) | (0.45 | ) | (0.28 | ) | (0.28 | ) | 9.43 | (4.51% | ) | 11,396 | 1.22% | N/A | 1.59% | |||||||||||||||||||||||||||||||
12/31/14 | 11.16 | 0.30 | (1.07 | ) | (0.77 | ) | (0.23 | ) | (0.23 | ) | 10.16 | (7.07% | ) | 11,089 | 1.22% | N/A | 2.72% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 18 | % | 15 | % | 19 | % | 12 | % | 13 | %t |
c | Per share amount calculated on the average shares method. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
t | The portfolio turnover rate was not impacted as a result of the cash merger. |
The accompanying notes are an integral part of the financial statements.
171
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Fundamental Growth Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.94 | $ | 0.06 | $ | 0.66 | $ | 0.72 | $ | (0.15 | ) | $ | (4.14 | ) | $ | (4.29 | ) | $ | 9.37 | 0.80% | $ | 90,145 | 0.83% | 0.83%1 | 0.50% | |||||||||||||||||||||||||||
12/31/17 | 11.42 | 0.11 | 2.92 | 3.03 | (0.13 | ) | (1.38 | ) | (1.51 | ) | 12.94 | 27.67% | 120,666 | 0.84% | 0.84% | l | 0.84% | |||||||||||||||||||||||||||||||||||
12/31/16 | 12.53 | 0.09 | 0.36 | 0.45 | (0.08 | ) | (1.48 | ) | (1.56 | ) | 11.42 | 3.73% | 165,183 | 0.83% | 0.83% | l | 0.79% | |||||||||||||||||||||||||||||||||||
12/31/15 | 14.89 | 0.09 | 0.64 | 0.73 | (0.13 | ) | (2.96 | ) | (3.09 | ) | 12.53 | 6.22% | 183,094 | 0.84% | 0.84% | l | 0.63% | |||||||||||||||||||||||||||||||||||
12/31/14 | 14.46 | 0.12 | 1.44 | 1.56 | (0.11 | ) | (1.02 | ) | (1.13 | ) | 14.89 | 11.06% | 207,086 | 0.86% | 0.85% | 0.81% | ||||||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.74 | $ | 0.03 | $ | 0.67 | $ | 0.70 | $ | (0.15 | ) | $ | (4.14 | ) | $ | (4.29 | ) | $ | 9.15 | 0.66% | $ | 10,401 | 1.08% | 1.08%1 | 0.27% | |||||||||||||||||||||||||||
12/31/17 | 11.29 | 0.07 | 2.89 | 2.96 | (0.13 | ) | (1.38 | ) | (1.51 | ) | 12.74 | 27.32% | 6,875 | 1.09% | 1.09% | l | 0.57% | |||||||||||||||||||||||||||||||||||
12/31/16 | 12.41 | 0.06 | 0.37 | 0.43 | (0.07 | ) | (1.48 | ) | (1.55 | ) | 11.29 | 3.54% | 4,263 | 1.08% | 1.08% | l | 0.54% | |||||||||||||||||||||||||||||||||||
12/31/15 | 14.80 | 0.05 | 0.63 | 0.68 | (0.11 | ) | (2.96 | ) | (3.07 | ) | 12.41 | 5.91% | 2,955 | 1.09% | 1.09% | l | 0.36% | |||||||||||||||||||||||||||||||||||
12/31/14 | 14.40 | 0.09 | 1.43 | 1.52 | (0.10 | ) | (1.02 | ) | (1.12 | ) | 14.80 | 10.81% | 2,214 | 1.11% | 1.10% | 0.59% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 61 | % | 40 | % | 49 | % | 44 | % | 51 | % |
c | Per share amount calculated on the average shares method. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Expenses incurred during the period fell under the expense cap. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
172
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Fundamental Value Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 15.42 | $ | 0.26 | $ | (1.63 | ) | $ | (1.37 | ) | $ | (0.25 | ) | $ | (1.42 | ) | $ | (1.67 | ) | $ | 12.38 | (10.34% | ) | $ | 168,520 | 0.80% | 0.78 | % | 1.76% | |||||||||||||||||||||||
12/31/17 | 14.74 | 0.25 | 1.83 | 2.08 | (0.29 | ) | (1.11 | ) | (1.40 | ) | 15.42 | 15.10% | 225,883 | 0.80% | 0.79 | % | 1.65% | |||||||||||||||||||||||||||||||||||
12/31/16 | 14.20 | 0.26 | 1.56 | 1.82 | (0.21 | ) | (1.07 | ) | (1.28 | ) | 14.74 | 13.25% | 223,801 | 0.79% | N/A | 1.81% | ||||||||||||||||||||||||||||||||||||
12/31/15 | 16.20 | 0.23 | (0.76 | ) | (0.53 | ) | (0.22 | ) | (1.25 | ) | (1.47 | ) | 14.20 | (2.88% | ) | 217,109 | 0.79% | N/A | 1.51% | |||||||||||||||||||||||||||||||||
12/31/14 | 15.46 | 0.23 | 1.47 | 1.70 | (0.25 | ) | (0.71 | ) | (0.96 | ) | 16.20 | 11.19% | 219,679 | 0.79% | N/A | 1.47% | ||||||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 15.20 | $ | 0.22 | $ | (1.60 | ) | $ | (1.38 | ) | $ | (0.23 | ) | $ | (1.42 | ) | $ | (1.65 | ) | $ | 12.17 | (10.56% | ) | $ | 13,283 | 1.05% | 1.03 | % | 1.53% | |||||||||||||||||||||||
12/31/17 | 14.57 | 0.21 | 1.80 | 2.01 | (0.27 | ) | (1.11 | ) | (1.38 | ) | 15.20 | 14.78% | 13,212 | 1.05% | 1.04 | % | 1.39% | |||||||||||||||||||||||||||||||||||
12/31/16 | 14.05 | 0.22 | 1.55 | 1.77 | (0.18 | ) | (1.07 | ) | (1.25 | ) | 14.57 | 13.05% | 9,319 | 1.04% | N/A | 1.55% | ||||||||||||||||||||||||||||||||||||
12/31/15 | 16.07 | 0.19 | (0.76 | ) | (0.57 | ) | (0.20 | ) | (1.25 | ) | (1.45 | ) | 14.05 | (3.18% | ) | 7,757 | 1.04% | N/A | 1.26% | |||||||||||||||||||||||||||||||||
12/31/14 | 15.37 | 0.19 | 1.47 | 1.66 | (0.25 | ) | (0.71 | ) | (0.96 | ) | 16.07 | 10.98% | 5,611 | 1.04% | N/A | 1.21% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 28 | % | 18 | % | 20 | % | 19 | % | 14 | % |
c | Per share amount calculated on the average shares method. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
173
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Global Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 13.04 | $ | 0.15 | $ | (1.16 | ) | $ | (1.01 | ) | $ | (0.15 | ) | $ | (1.63 | ) | $ | (1.78 | ) | $ | 10.25 | (9.53% | ) | $ | 179,973 | 0.83% | | N/A | | 1.21% | ||||||||||||||||||||||
12/31/17 | 11.54 | 0.14 | 2.56 | 2.70 | (0.16 | ) | (1.04 | ) | (1.20 | ) | 13.04 | 24.16% | 206,795 | 0.83% | N/A | 1.10% | ||||||||||||||||||||||||||||||||||||
12/31/16 | 11.74 | 0.14 | 0.76 | 0.90 | (0.14 | ) | (0.96 | ) | (1.10 | ) | 11.54 | 7.55% | 218,698 | 0.82% | N/A | 1.18% | ||||||||||||||||||||||||||||||||||||
12/31/15 | 12.61 | 0.14 | (0.33 | ) | (0.19 | ) | (0.14 | ) | (0.54 | ) | (0.68 | ) | 11.74 | (1.36% | ) | 224,808 | 0.86% | 0.85 | % | 1.13% | ||||||||||||||||||||||||||||||||
12/31/14 | 12.44 | 0.16 | 0.33 | 0.49 | (0.11 | ) | (0.21 | ) | (0.32 | ) | 12.61 | 3.95% | 210,395 | 0.95% | 0.90 | % | 1.29% | |||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 13.30 | $ | 0.15 | $ | (1.19 | ) | $ | (1.04 | ) | $ | (0.15 | ) | $ | (1.63 | ) | $ | (1.78 | ) | $ | 10.48 | (9.57% | ) | $ | 14,950 | 0.83% | | N/A | | 1.21% | ||||||||||||||||||||||
12/31/17 | 11.74 | 0.14 | 2.62 | 2.76 | (0.16 | ) | (1.04 | ) | (1.20 | ) | 13.30 | 24.30% | 18,082 | 0.83% | N/A | 1.09% | ||||||||||||||||||||||||||||||||||||
12/31/16 | 11.93 | 0.14 | 0.77 | 0.91 | (0.14 | ) | (0.96 | ) | (1.10 | ) | 11.74 | 7.54% | 15,757 | 0.82% | N/A | 1.17% | ||||||||||||||||||||||||||||||||||||
12/31/15 | 12.81 | 0.15 | (0.34 | ) | (0.19 | ) | (0.15 | ) | (0.54 | ) | (0.69 | ) | 11.93 | (1.35% | ) | 15,876 | 0.83% | 0.81 | % | 1.13% | ||||||||||||||||||||||||||||||||
12/31/14 | 12.63 | 0.17 | 0.33 | 0.50 | (0.11 | ) | (0.21 | ) | (0.32 | ) | 12.81 | 4.00% | 17,481 | 0.85% | 0.80 | % | 1.35% | |||||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.90 | $ | 0.12 | $ | (1.16 | ) | $ | (1.04 | ) | $ | (0.12 | ) | $ | (1.63 | ) | $ | (1.75 | ) | $ | 10.11 | | (9.84% | ) | $ | 13,989 | 1.08% | | N/A | | 0.97% | |||||||||||||||||||||
12/31/17 | 11.43 | 0.11 | 2.54 | 2.65 | (0.14 | ) | (1.04 | ) | (1.18 | ) | 12.90 | 23.95% | 15,989 | 1.08% | N/A | 0.84% | ||||||||||||||||||||||||||||||||||||
12/31/16 | 11.65 | 0.10 | 0.76 | 0.86 | (0.12 | ) | (0.96 | ) | (1.08 | ) | 11.43 | 7.25% | 12,129 | 1.07% | N/A | 0.89% | ||||||||||||||||||||||||||||||||||||
12/31/15 | 12.52 | 0.10 | (0.31 | ) | (0.21 | ) | (0.12 | ) | (0.54 | ) | (0.66 | ) | 11.65 | (1.55% | ) | 10,646 | 1.11% | 1.10 | % | 0.84% | ||||||||||||||||||||||||||||||||
12/31/14 | 12.38 | 0.12 | 0.32 | 0.44 | (0.09 | ) | (0.21 | ) | (0.30 | ) | 12.52 | 3.57% | 9,220 | 1.20% | 1.15 | % | 1.00% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | | 15 | % | | 10 | % | 15 | % | 17 | % | 12 | % |
c | Per share amount calculated on the average shares method. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
174
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Growth & Income Fund
| Income (loss) from investment operations | | | Less distributions to shareholders | | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 17.39 | $ | 0.19 | $ | (1.07 | ) | $ | (0.88 | ) | $ | (0.16 | ) | $ | (0.16 | ) | $ | 16.35 | (5.20% | ) | $ | 92,893 | 0.56% | 1.07% | ||||||||||||||||||||
12/31/17 | 14.19 | 0.16 | 3.19 | 3.35 | (0.15 | ) | (0.15 | ) | 17.39 | 23.70% | 111,830 | 0.56% | 1.02% | |||||||||||||||||||||||||||||||
12/31/16 | 13.18 | 0.15 | 1.00 | 1.15 | (0.14 | ) | (0.14 | ) | 14.19 | 8.77% | 102,858 | 0.56% | 1.10% | |||||||||||||||||||||||||||||||
12/31/15 | 13.28 | 0.14 | (0.08 | ) | 0.06 | (0.16 | ) | (0.16 | ) | 13.18 | 0.49% | 106,578 | 0.56% | 1.01% | ||||||||||||||||||||||||||||||
12/31/14 | 12.08 | 0.14 | 1.20 | 1.34 | (0.14 | ) | (0.14 | ) | 13.28 | 11.19% | 121,667 | 0.56% | 1.16% | |||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 17.27 | $ | 0.15 | $ | (1.08 | ) | $ | (0.93 | ) | $ | (0.12 | ) | $ | (0.12 | ) | $ | 16.22 | | (5.46% | ) | $ | 33,821 | 0.81% | 0.83% | |||||||||||||||||||
12/31/17 | 14.10 | 0.12 | 3.17 | 3.29 | (0.12 | ) | (0.12 | ) | 17.27 | 23.41% | 30,610 | 0.81% | 0.77% | |||||||||||||||||||||||||||||||
12/31/16 | 13.10 | 0.11 | 1.00 | 1.11 | (0.11 | ) | (0.11 | ) | 14.10 | 8.50% | 23,197 | 0.81% | 0.85% | |||||||||||||||||||||||||||||||
12/31/15 | 13.21 | 0.10 | (0.08 | ) | 0.02 | (0.13 | ) | (0.13 | ) | 13.10 | 0.18% | 18,797 | 0.81% | 0.76% | ||||||||||||||||||||||||||||||
12/31/14 | 12.02 | 0.11 | 1.20 | 1.31 | (0.12 | ) | (0.12 | ) | 13.21 | 10.94% | 18,929 | 0.81% | 0.91% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 15 | % | 12 | % | 17 | % | 17 | % | 20 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
175
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Income & Growth Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.72 | $ | 0.21 | $ | (1.25 | ) | $ | (1.04 | ) | $ | (0.22 | ) | $ | (2.97 | ) | $ | (3.19 | ) | $ | 8.49 | (11.68% | ) | $ | 240,456 | 0.70% | 1.86% | |||||||||||||||||||||
12/31/17 | 11.86 | 0.22 | 1.74 | 1.96 | (0.21 | ) | (0.89 | ) | (1.10 | ) | 12.72 | 17.43% | 289,310 | 0.70% | 1.80% | |||||||||||||||||||||||||||||||||
12/31/16 | 11.35 | 0.22 | 1.55 | 1.77 | (0.21 | ) | (1.05 | ) | (1.26 | ) | 11.86 | 16.40% | 257,874 | 0.69% | 1.97% | |||||||||||||||||||||||||||||||||
12/31/15 | 12.44 | 0.23 | (0.31 | ) | (0.08 | ) | (0.24 | ) | (0.77 | ) | (1.01 | ) | 11.35 | (0.09% | ) | 221,763 | 0.69% | 1.90% | ||||||||||||||||||||||||||||||
12/31/14 | 11.60 | 0.23 | 0.83 | 1.06 | (0.22 | ) | - | (0.22 | ) | 12.44 | 9.22% | 232,187 | 0.70% | 1.91% | ||||||||||||||||||||||||||||||||||
Service Class | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.58 | $ | 0.18 | $ | (1.23 | ) | $ | (1.05 | ) | $ | (0.20 | ) | $ | (2.97 | ) | $ | (3.17 | ) | $ | 8.36 | (11.94% | ) | $ | 24,440 | 0.95% | 1.62% | |||||||||||||||||||||
12/31/17 | 11.74 | 0.19 | 1.73 | 1.92 | (0.19 | ) | (0.89 | ) | (1.08 | ) | 12.58 | 17.21% | 27,683 | 0.95% | 1.55% | |||||||||||||||||||||||||||||||||
12/31/16 | 11.25 | 0.19 | 1.54 | 1.73 | (0.19 | ) | (1.05 | ) | (1.24 | ) | 11.74 | 16.10% | 20,626 | 0.94% | 1.71% | |||||||||||||||||||||||||||||||||
12/31/15 | 12.34 | 0.20 | (0.31 | ) | (0.11 | ) | (0.21 | ) | (0.77 | ) | (0.98 | ) | 11.25 | (0.35% | ) | 16,906 | 0.94% | 1.65% | ||||||||||||||||||||||||||||||
12/31/14 | 11.51 | 0.20 | 0.83 | 1.03 | (0.20 | ) | - | (0.20 | ) | 12.34 | 8.96% | 16,131 | 0.95% | 1.66% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 30 | % | 110 | % | 30 | % | 27 | % | 19 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
176
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML International Equity Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 11.97 | $ | 0.21 | $ | (3.02 | ) | $ | (2.81 | ) | $ | (0.17 | ) | $ | (0.08 | ) | $ | (0.25 | ) | $ | 8.91 | (23.79% | ) | $ | 154,540 | 1.12% | 1.00% | 1.91% | ||||||||||||||||||||||||
12/31/17 | 9.33 | 0.18 | 2.64 | 2.82 | (0.18 | ) | - | (0.18 | ) | 11.97 | 30.35% | 187,213 | 1.09% | 1.00% | 1.62% | |||||||||||||||||||||||||||||||||||||
12/31/16 | 8.81 | 0.15 | 0.56 | 0.71 | (0.17 | ) | (0.02 | ) | (0.19 | ) | 9.33 | 8.27% | 150,753 | 1.07% | 1.00% | 1.70% | ||||||||||||||||||||||||||||||||||||
12/31/15 | 9.27 | 0.15 | (0.59 | ) | (0.44 | ) | (0.02 | ) | - | (0.02 | ) | 8.81 | (4.77% | ) | 164,083 | 1.09% | 1.00% | 1.59% | ||||||||||||||||||||||||||||||||||
12/31/14g | 10.00 | 0.18 | (0.65 | ) | (0.47 | ) | (0.20 | ) | (0.06 | ) | (0.26 | ) | 9.27 | (4.67% | )b | 123,915 | 1.15% | a | 1.00% | a | 1.79% | a | ||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 11.90 | $ | 0.18 | $ | (2.99 | ) | $ | (2.81 | ) | $ | (0.17 | ) | $ | (0.08 | ) | $ | (0.25 | ) | $ | 8.84 | (23.98% | ) | $ | 4,767 | 1.37% | 1.25% | 1.64% | ||||||||||||||||||||||||
12/31/17 | 9.29 | 0.11 | 2.67 | 2.78 | (0.17 | ) | - | (0.17 | ) | 11.90 | 30.05% | 4,000 | 1.34% | 1.25% | 0.95% | |||||||||||||||||||||||||||||||||||||
12/31/16 | 8.78 | 0.13 | 0.56 | 0.69 | (0.16 | ) | (0.02 | ) | (0.18 | ) | 9.29 | 7.97% | 1,063 | 1.32% | 1.25% | 1.50% | ||||||||||||||||||||||||||||||||||||
12/31/15 | 9.27 | 0.10 | (0.57 | ) | (0.47 | ) | (0.02 | ) | - | (0.02 | ) | 8.78 | (5.10% | ) | 1,513 | 1.35% | 1.25% | 1.11% | ||||||||||||||||||||||||||||||||||
12/31/14h | 10.29 | 0.07 | (0.83 | ) | (0.76 | ) | (0.20 | ) | (0.06 | ) | (0.26 | ) | 9.27 | (7.44% | )b | 298 | 1.36% | a | 1.25% | a | 1.08% | a |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 43 | % | 45 | % | 50 | % | 46 | % | 39 | %b,g |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
g | For the period January 7, 2014 (commencement of operations) through December 31, 2014. |
h | For the period May 1, 2014 (commencement of operations) through December 31, 2014. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
177
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Large Cap Growth Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 10.69 | $ | 0.06 | $ | (0.19 | ) | $ | (0.13 | ) | $ | (0.07 | ) | $ | (0.81 | ) | $ | (0.88 | ) | $ | 9.68 | (2.26% | ) | $ | 83,211 | 0.72% | 0.56% | |||||||||||||||||||||
12/31/17 | 10.63 | 0.07 | 3.23 | 3.30 | (0.05 | )�� | (3.19 | ) | (3.24 | ) | 10.69 | 33.51% | 106,989 | 0.73% | 0.58% | |||||||||||||||||||||||||||||||||
12/31/16 | 11.70 | 0.03 | (0.06 | ) | (0.03 | ) | (0.01 | ) | (1.03 | ) | (1.04 | ) | 10.63 | (0.38% | ) | 103,315 | 0.70% | 0.24% | ||||||||||||||||||||||||||||||
12/31/15 | 14.06 | 0.01 | 0.58 | 0.59 | - | (2.95 | ) | (2.95 | ) | 11.70 | 5.12% | 214,299 | 0.69% | 0.10% | ||||||||||||||||||||||||||||||||||
12/31/14 | 14.63 | (0.01 | ) | 1.36 | 1.35 | - | (1.92 | ) | (1.92 | ) | 14.06 | 9.51% | 242,229 | 0.69% | (0.07% | ) | ||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 10.37 | $ | 0.03 | $ | (0.17 | ) | $ | (0.14 | ) | $ | (0.06 | ) | $ | (0.81 | ) | $ | (0.87 | ) | $ | 9.36 | (2.46% | ) | $ | 10,591 | 0.97% | 0.30% | |||||||||||||||||||||
12/31/17 | 10.41 | 0.03 | 3.15 | 3.18 | (0.03 | ) | (3.19 | ) | (3.22 | ) | 10.37 | 33.00% | 7,510 | 0.98% | 0.29% | |||||||||||||||||||||||||||||||||
12/31/16 | 11.48 | (0.00 | )d | (0.04 | ) | (0.04 | ) | - | (1.03 | ) | (1.03 | ) | 10.41 | (0.52% | ) | 3,604 | 0.95% | (0.02% | ) | |||||||||||||||||||||||||||||
12/31/15 | 13.89 | (0.02 | ) | 0.56 | 0.54 | - | (2.95 | ) | (2.95 | ) | 11.48 | 4.80% | 3,501 | 0.94% | (0.15% | ) | ||||||||||||||||||||||||||||||||
12/31/14 | 14.51 | (0.04 | ) | 1.34 | 1.30 | - | (1.92 | ) | (1.92 | ) | 13.89 | 9.23% | 2,726 | 0.94% | (0.29% | ) |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 16 | % | 3 | % | 134 | % | 73 | % | 77 | % |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
178
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Managed Volatility Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.63 | $ | 0.12 | $ | (0.69 | ) | $ | (0.57 | ) | $ | (0.16 | ) | $ | - | $ | (0.16 | ) | $ | 11.90 | (4.69% | ) | $ | 121,635 | 0.96% | 0.99% | ||||||||||||||||||||||
12/31/17 | 11.74 | 0.14 | 0.91 | 1.05 | (0.16 | ) | - | (0.16 | ) | 12.63 | 9.03% | 150,737 | 0.90% | 1.13% | ||||||||||||||||||||||||||||||||||
12/31/16 | 14.27 | 0.17 | 0.31 | 0.48 | (0.26 | ) | (2.75 | ) | (3.01 | ) | 11.74 | 3.69% | 151,537 | 0.91% | 1.29% | |||||||||||||||||||||||||||||||||
12/31/15 | 14.11 | 0.17 | 0.25 | 0.42 | (0.26 | ) | - | (0.26 | ) | 14.27 | 3.01% | 162,332 | 0.89% | 1.18% | ||||||||||||||||||||||||||||||||||
12/31/14 | 14.33 | 0.16 | 0.46 | 0.62 | (0.10 | ) | (0.74 | ) | (0.84 | ) | 14.11 | 4.41% | 336,931 | 0.90% | 1.14% | |||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.53 | $ | 0.09 | $ | (0.70 | ) | $ | (0.61 | ) | $ | (0.12 | ) | $ | - | $ | (0.12 | ) | $ | 11.80 | (4.93% | ) | $ | 28,963 | 1.21% | 0.74% | ||||||||||||||||||||||
12/31/17 | 11.64 | 0.11 | 0.91 | 1.02 | (0.13 | ) | - | (0.13 | ) | 12.53 | 8.76% | 33,698 | 1.15% | 0.88% | ||||||||||||||||||||||||||||||||||
12/31/16 | 14.18 | 0.14 | 0.29 | 0.43 | (0.22 | ) | (2.75 | ) | (2.97 | ) | 11.64 | 3.42% | 32,569 | 1.16% | 1.04% | |||||||||||||||||||||||||||||||||
12/31/15 | 14.02 | 0.14 | 0.24 | 0.38 | (0.22 | ) | - | (0.22 | ) | 14.18 | 2.79% | 33,180 | 1.14% | 0.95% | ||||||||||||||||||||||||||||||||||
12/31/14 | 14.25 | 0.13 | 0.45 | 0.58 | (0.07 | ) | (0.74 | ) | (0.81 | ) | 14.02 | 4.14% | 31,812 | 1.15% | 0.88% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 5 | % | 2 | % | 4 | % | 3 | % | 14 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
179
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Mid Cap Growth Fund
| Income (loss) from investment operations | | | Less distributions to shareholders | | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 16.19 | $ | 0.01 | $ | (0.07 | ) | $ | (0.06 | ) | $ | - | $ | (2.19 | ) | $ | (2.19 | ) | $ | 13.94 | (2.17% | ) | $ | 328,715 | 0.81% | 0.07% | ||||||||||||||||||||||
12/31/17 | 14.35 | (0.01 | ) | 3.45 | 3.44 | (0.01 | ) | (1.59 | ) | (1.60 | ) | 16.19 | 24.81% | 382,666 | 0.81% | (0.08% | ) | |||||||||||||||||||||||||||||||
12/31/16 | 15.50 | (0.00 | )d | 0.97 | 0.97 | - | (2.12 | ) | (2.12 | ) | 14.35 | 6.29% | 352,754 | 0.81% | (0.02% | ) | ||||||||||||||||||||||||||||||||
12/31/15 | 16.41 | (0.01 | ) | 1.05 | 1.04 | - | (1.95 | ) | (1.95 | ) | 15.50 | 6.78% | 375,328 | 0.81% | (0.07% | ) | ||||||||||||||||||||||||||||||||
12/31/14 | 16.59 | (0.03 | ) | 2.11 | 2.08 | - | (2.26 | ) | (2.26 | ) | 16.41 | 13.27% | 377,028 | 0.81% | (0.17% | ) | ||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 15.65 | $ | (0.03 | ) | $ | (0.06 | ) | $ | (0.09 | ) | $ | - | $ | (2.19 | ) | $ | (2.19 | ) | $ | 13.37 | (2.45% | ) | $ | 88,952 | 1.06% | (0.18% | ) | ||||||||||||||||||||
12/31/17 | 13.95 | (0.05 | ) | 3.34 | 3.29 | - | (1.59 | ) | (1.59 | ) | 15.65 | 24.47% | 91,145 | 1.06% | (0.33% | ) | ||||||||||||||||||||||||||||||||
12/31/16 | 15.16 | (0.04 | ) | 0.95 | 0.91 | - | (2.12 | ) | (2.12 | ) | 13.95 | 6.02% | 71,227 | 1.06% | (0.27% | ) | ||||||||||||||||||||||||||||||||
12/31/15 | 16.12 | (0.05 | ) | 1.04 | 0.99 | - | (1.95 | ) | (1.95 | ) | 15.16 | 6.59% | 66,936 | 1.06% | (0.31% | ) | ||||||||||||||||||||||||||||||||
12/31/14 | 16.38 | (0.07 | ) | 2.07 | 2.00 | - | (2.26 | ) | (2.26 | ) | 16.12 | 12.93% | 56,457 | 1.06% | (0.42% | ) |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 26 | % | 28 | % | 29 | % | 35 | % | 25 | % |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
180
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Mid Cap Value Fund
| Income (loss) from investment operations | | | Less distributions to shareholders | | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.14 | $ | 0.15 | $ | (1.48 | ) | $ | (1.33 | ) | $ | (0.19 | ) | $ | (1.27 | ) | $ | (1.46 | ) | $ | 9.35 | (12.99% | ) | $ | 343,432 | 0.88% | 1.30% | |||||||||||||||||||||
12/31/17 | 11.79 | 0.20 | 1.09 | 1.29 | (0.19 | ) | (0.75 | ) | (0.94 | ) | 12.14 | 11.70% | 438,601 | 0.88% | 1.69% | |||||||||||||||||||||||||||||||||
12/31/16 | 10.74 | 0.17 | 2.22 | 2.39 | (0.19 | ) | (1.15 | ) | (1.34 | ) | 11.79 | 23.23% | 433,046 | 0.88% | 1.55% | |||||||||||||||||||||||||||||||||
12/31/15 | 13.12 | 0.16 | (0.43 | ) | (0.27 | ) | (0.25 | ) | (1.86 | ) | (2.11 | ) | 10.74 | (1.45% | ) | 427,920 | 0.88% | 1.26% | ||||||||||||||||||||||||||||||
12/31/14 | 13.65 | 0.19 | 1.97 | 2.16 | (0.24 | ) | (2.45 | ) | (2.69 | ) | 13.12 | 16.66% | 465,533 | 0.88% | 1.39% | |||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 11.96 | $ | 0.12 | $ | (1.47 | ) | $ | (1.35 | ) | $ | (0.16 | ) | $ | (1.27 | ) | $ | (1.43 | ) | $ | 9.18 | (13.31% | ) | $ | 43,275 | 1.13% | 1.06% | |||||||||||||||||||||
12/31/17 | 11.63 | 0.17 | 1.08 | 1.25 | (0.17 | ) | (0.75 | ) | (0.92 | ) | 11.96 | 11.46% | 49,723 | 1.13% | 1.46% | |||||||||||||||||||||||||||||||||
12/31/16 | 10.62 | 0.15 | 2.18 | 2.33 | (0.17 | ) | (1.15 | ) | (1.32 | ) | 11.63 | 22.86% | 44,148 | 1.13% | 1.35% | |||||||||||||||||||||||||||||||||
12/31/15 | 12.99 | 0.12 | (0.41 | ) | (0.29 | ) | (0.22 | ) | (1.86 | ) | (2.08 | ) | 10.62 | (1.60% | ) | 32,950 | 1.13% | 1.03% | ||||||||||||||||||||||||||||||
12/31/14 | 13.55 | 0.16 | 1.94 | 2.10 | (0.21 | ) | (2.45 | ) | (2.66 | ) | 12.99 | 16.33% | 30,017 | 1.13% | 1.16% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 59 | % | 42 | % | 52 | % | 68 | % | 66 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
181
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Small Cap Growth Equity Fund
| Income (loss) from investment operations | | | Less distributions to shareholders | | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000's) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 14.98 | $ | (0.03 | ) | $ | (0.32 | ) | $ | (0.35 | ) | $ | (1.81 | ) | $ | (1.81 | ) | $ | 12.82 | (4.87 | %) | $ | 151,854 | 1.09 | % | 1.07 | % | (0.17 | %) | |||||||||||||||||||
12/31/17 | 12.69 | (0.03 | ) | 2.87 | 2.84 | (0.55 | ) | (0.55 | ) | 14.98 | 22.81 | % | 198,404 | 1.09 | % | 1.09 | %k | (0.21 | %) | |||||||||||||||||||||||||||||
12/31/16 | 13.51 | 0.00 | d | 1.59 | 1.59 | (2.41 | ) | (2.41 | ) | 12.69 | 12.74 | % | 191,245 | 1.10 | % | N/A | 0.01 | % | ||||||||||||||||||||||||||||||
12/31/15 | 17.85 | (0.04 | ) | (0.74 | ) | (0.78 | ) | (3.56 | ) | (3.56 | ) | 13.51 | (5.11 | %) | 194,889 | 1.09 | % | N/A | (0.22 | %) | ||||||||||||||||||||||||||||
12/31/14 | 22.81 | (0.09 | ) | 1.21 | 1.12 | (6.08 | ) | (6.08 | ) | 17.85 | 5.92 | % | 253,096 | 1.08 | % | N/A | (0.43 | %) | ||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 14.27 | $ | (0.06 | ) | $ | (0.29 | ) | $ | (0.35 | ) | $ | (1.81 | ) | $ | (1.81 | ) | $ | 12.11 | (5.11 | %) | $ | 19,281 | 1.34 | % | 1.32 | % | (0.39 | %) | |||||||||||||||||||
12/31/17 | 12.14 | (0.06 | ) | 2.74 | 2.68 | (0.55 | ) | (0.55 | ) | 14.27 | 22.51 | % | 16,124 | 1.35 | % | 1.34 | % | (0.45 | %) | |||||||||||||||||||||||||||||
12/31/16 | 13.05 | (0.03 | ) | 1.53 | 1.50 | (2.41 | ) | (2.41 | ) | 12.14 | 12.46 | % | 12,969 | 1.35 | % | N/A | (0.23 | %) | ||||||||||||||||||||||||||||||
12/31/15 | 17.40 | (0.07 | ) | (0.72 | ) | (0.79 | ) | (3.56 | ) | (3.56 | ) | 13.05 | (5.33 | %) | 11,375 | 1.34 | % | N/A | (0.46 | %) | ||||||||||||||||||||||||||||
12/31/14 | 22.44 | (0.13 | ) | 1.17 | 1.04 | (6.08 | ) | (6.08 | ) | 17.40 | 5.62 | % | 9,977 | 1.33 | % | N/A | (0.67 | %) |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 76 | % | 74 | % | 105 | % | 78 | % | 78 | % |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
k | Amount waived had no impact on the ratio of expenses to average daily net assets. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
182
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Small Company Value Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 16.90 | $ | 0.05 | $ | (2.01 | ) | $ | (1.96 | ) | $ | (0.06 | ) | $ | (1.02 | ) | $ | (1.08 | ) | $ | 13.86 | (12.94% | ) | $ | 66,976 | 1.02% | 0.97% | 0.30% | ||||||||||||||||||||||||
12/31/17 | 17.23 | 0.05 | 1.73 | 1.78 | (0.10 | ) | (2.01 | ) | (2.11 | ) | 16.90 | 11.69% | 89,256 | 1.02% | 0.97% | 0.30% | ||||||||||||||||||||||||||||||||||||
12/31/16 | 14.88 | 0.10 | 4.44 | 4.54 | (0.10 | ) | (2.09 | ) | (2.19 | ) | 17.23 | 32.46% | 88,729 | 1.02% | 0.97% | 0.66% | ||||||||||||||||||||||||||||||||||||
12/31/15 | 17.59 | 0.10 | (1.06 | ) | (0.96 | ) | (0.06 | ) | (1.69 | ) | (1.75 | ) | 14.88 | (5.36% | ) | 88,068 | 1.09% | 1.05% | 0.62% | |||||||||||||||||||||||||||||||||
12/31/14 | 23.88 | 0.05 | (0.01 | ) | 0.04 | - | (6.33 | ) | (6.33 | ) | 17.59 | 0.47% | 95,788 | 1.17% | 1.15% | 0.26% | ||||||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 16.43 | $ | 0.01 | $ | (1.96 | ) | $ | (1.95 | ) | $ | (0.03 | ) | $ | (1.02 | ) | $ | (1.05 | ) | $ | 13.43 | (13.19% | ) | $ | 19,861 | 1.27% | 1.22% | 0.06% | ||||||||||||||||||||||||
12/31/17 | 16.83 | 0.01 | 1.68 | 1.69 | (0.08 | ) | (2.01 | ) | (2.09 | ) | 16.43 | 11.42% | 20,671 | 1.27% | 1.22% | 0.06% | ||||||||||||||||||||||||||||||||||||
12/31/16 | 14.58 | 0.07 | 4.34 | 4.41 | (0.07 | ) | (2.09 | ) | (2.16 | ) | 16.83 | 32.16% | 15,465 | 1.27% | 1.22% | 0.44% | ||||||||||||||||||||||||||||||||||||
12/31/15 | 17.29 | 0.06 | (1.06 | ) | (1.00 | ) | (0.02 | ) | (1.69 | ) | (1.71 | ) | 14.58 | (5.65% | ) | 10,829 | 1.33% | 1.30% | 0.37% | |||||||||||||||||||||||||||||||||
12/31/14 | 23.63 | 0.00 | d | (0.01 | ) | (0.01 | ) | - | (6.33 | ) | (6.33 | ) | 17.29 | 0.24% | 10,726 | 1.42% | 1.40% | 0.02% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 22 | % | 14 | % | 23 | % | 44 | % | 22 | % |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
183
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Small/Mid Cap Value Fund
| Income (loss) from investment operations | | Less distributions to shareholders | | Ratios / Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 13.99 | $ | 0.09 | $ | (1.87 | ) | $ | (1.78 | ) | $ | (0.07 | ) | $ | (1.53 | ) | $ | (1.60 | ) | $ | 10.61 | (15.00% | ) | $ | 163,607 | 0.80% | 0.63% | |||||||||||||||||||||
12/31/17 | 13.23 | 0.06 | 1.60 | 1.66 | (0.07 | ) | (0.83 | ) | (0.90 | ) | 13.99 | 13.44% | 210,030 | 0.80% | 0.47% | |||||||||||||||||||||||||||||||||
12/31/16 | 11.34 | 0.06 | 2.70 | 2.76 | (0.07 | ) | (0.80 | ) | (0.87 | ) | 13.23 | 25.10% | 211,849 | 0.79% | 0.51% | |||||||||||||||||||||||||||||||||
12/31/15 | 14.69 | 0.07 | (0.89 | ) | (0.82 | ) | (0.11 | ) | (2.42 | ) | (2.53 | ) | 11.34 | (5.53% | ) | 197,297 | 0.79% | 0.50% | ||||||||||||||||||||||||||||||
12/31/14 | 13.80 | 0.11 | 1.19 | 1.30 | (0.09 | ) | (0.32 | ) | (0.41 | ) | 14.69 | 9.45% | 236,399 | 0.79% | 0.80% | |||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 13.85 | $ | 0.05 | $ | (1.83 | ) | $ | (1.78 | ) | $ | (0.04 | ) | $ | (1.53 | ) | $ | (1.57 | ) | $ | 10.50 | (15.12% | ) | $ | 19,189 | 1.05% | 0.39% | |||||||||||||||||||||
12/31/17 | 13.12 | 0.03 | 1.57 | 1.60 | (0.04 | ) | (0.83 | ) | (0.87 | ) | 13.85 | 13.08% | 22,386 | 1.05% | 0.23% | |||||||||||||||||||||||||||||||||
12/31/16 | 11.25 | 0.03 | 2.68 | 2.71 | (0.04 | ) | (0.80 | ) | (0.84 | ) | 13.12 | 24.83% | 19,563 | 1.04% | 0.26% | |||||||||||||||||||||||||||||||||
12/31/15 | 14.59 | 0.04 | (0.89 | ) | (0.85 | ) | (0.07 | ) | (2.42 | ) | (2.49 | ) | 11.25 | (5.74% | ) | 15,919 | 1.04% | 0.27% | ||||||||||||||||||||||||||||||
12/31/14 | 13.72 | 0.08 | 1.18 | 1.26 | (0.07 | ) | (0.32 | ) | (0.39 | ) | 14.59 | 9.16% | 15,484 | 1.04% | 0.56% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 38 | % | 34 | % | 58 | % | 42 | % | 46 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
184
Table of Contents
MML Series Investment Fund – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Total Return Bond Fund
| Income (loss) from investment operations | | | Less distributions to shareholders | | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers (including interest expense) | Ratio of expenses to average daily net assets after expense waivers (including interest expense)j | Ratio of expenses to average daily net assets after expense waivers (excluding interest expense)j | Net investment income (loss) to average daily net assets (including interest expense) | |||||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 10.36 | $ | 0.25 | $ | (0.26 | ) | $ | (0.01 | ) | $ | (0.19 | ) | $ | - | $ | (0.19 | ) | $ | 10.16 | (0.07% | ) | $ | 353,571 | 0.60% | 0.60% | l | N/A | 2.51% | |||||||||||||||||||||||||||
12/31/17 | 10.27 | 0.19 | 0.11 | 0.30 | (0.21 | ) | - | (0.21 | ) | 10.36 | 2.96% | 408,199 | 0.62% | 0.60% | N/A | 1.85% | ||||||||||||||||||||||||||||||||||||||||
12/31/16 | 10.19 | 0.17 | 0.09 | 0.26 | (0.18 | ) | - | (0.18 | ) | 10.27 | 2.52% | 393,276 | 0.62% | 0.60% | N/A | 1.67% | ||||||||||||||||||||||||||||||||||||||||
12/31/15 | 10.64 | 0.14 | (0.11 | ) | 0.03 | (0.36 | ) | (0.12 | ) | (0.48 | ) | 10.19 | 0.24% | 328,928 | 0.66% | 0.60% | N/A | 1.32% | ||||||||||||||||||||||||||||||||||||||
12/31/14 | 10.34 | 0.13 | 0.36 | 0.49 | (0.19 | ) | - | (0.19 | ) | 10.64 | 4.75% | 403,732 | 0.70% | p | 0.65% | p | 0.65% | n | 1.27% | p | ||||||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 10.27 | $ | 0.23 | $ | (0.27 | ) | $ | (0.04 | ) | $ | (0.17 | ) | $ | - | $ | (0.17 | ) | $ | 10.06 | (0.35% | ) | $ | 25,533 | 0.85% | 0.85% | l | N/A | 2.28% | |||||||||||||||||||||||||||
12/31/17 | 10.18 | 0.16 | 0.12 | 0.28 | (0.19 | ) | - | (0.19 | ) | 10.27 | 2.73% | 21,858 | 0.87% | 0.85% | N/A | 1.60% | ||||||||||||||||||||||||||||||||||||||||
12/31/16 | 10.11 | 0.15 | 0.09 | 0.24 | (0.17 | ) | - | (0.17 | ) | 10.18 | 2.30% | 19,079 | 0.87% | 0.85% | N/A | 1.43% | ||||||||||||||||||||||||||||||||||||||||
12/31/15 | 10.57 | 0.11 | (0.11 | ) | (0.00 | )d | (0.34 | ) | (0.12 | ) | (0.46 | ) | 10.11 | (0.05% | ) | 17,161 | 0.90% | 0.85% | N/A | 1.09% | ||||||||||||||||||||||||||||||||||||
12/31/14 | 10.29 | 0.10 | 0.35 | 0.45 | (0.17 | ) | - | (0.17 | ) | 10.57 | 4.43% | 14,435 | 0.95% | p | 0.90% | p | 0.90% | n | 1.00% | p |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate | 250 | % | 313 | % | 278 | % | 322 | % | 447 | %u |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Expenses incurred during the period fell under the expense cap. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
n | Amount of interest expense had no impact on the ratio of expenses to average daily net assets. |
p | Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund’s net expenses in the Statements of Operations. Income earned on investing proceeds from reverse repurchase agreements is included in interest income in the Statements of Operations. |
u | Excludes Treasury roll transactions. Including these transactions, the portfolio turnover would have been 479% for the year ended December 31, 2014. |
The accompanying notes are an integral part of the financial statements.
185
Table of Contents
1. | The Funds |
MML Series Investment Fund (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as ano-load,open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated December 19, 1984, as restated May 14, 1993, and further amended and restated as of December 15, 2011, as it may be further amended from time to time. The following are 19 series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):
MML Blue Chip Growth Fund (“Blue Chip Growth Fund”)
MML Equity Income Fund (“Equity Income Fund”)
MML Equity Index Fund (“Equity Index Fund”)
MML Focused Equity Fund (“Focused Equity Fund”)
MML Foreign Fund (“Foreign Fund”)
MML Fundamental Growth Fund (“Fundamental Growth Fund”)
MML Fundamental Value Fund (“Fundamental Value Fund”)
MML Global Fund (“Global Fund”)
MML Growth & Income Fund (“Growth & Income Fund”)
MML Income & Growth Fund (“Income & Growth Fund”)
MML International Equity Fund (“International Equity Fund”)
MML Large Cap Growth Fund (“Large Cap Growth Fund”)
MML Managed Volatility Fund (“Managed Volatility Fund”)
MML Mid Cap Growth Fund (“Mid Cap Growth Fund”)
MML Mid Cap Value Fund (“Mid Cap Value Fund”)
MML Small Cap Growth Equity Fund (“Small Cap Growth Equity Fund”)
MML Small Company Value Fund (“Small Company Value Fund”)
MML Small/Mid Cap Value Fund (“Small/Mid Cap Value Fund”)
MML Total Return Bond Fund (“Total Return Bond Fund”)
The Trust makes shares of the Funds available for the investment of assets of various separate investment accounts established by Massachusetts Mutual Life Insurance Company (“MassMutual”) and by life insurance companies which are subsidiaries of MassMutual. Shares of the Trust are not offered to the general public. MassMutual, MML Bay State Life Insurance Company, C.M. Life Insurance Company, and the MML Allocation Funds, which are “funds of funds” series of the Trust, are the record owners of all of the outstanding shares of the Funds.
Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies.
186
Table of Contents
Notes to Financial Statements(Continued)
New Disclosure Requirements
Pursuant to amendments to certain disclosure requirements in Regulation S-X adopted by the Securities and Exchange Commission (“SEC”), the presentation of certain disclosures within the Statements of Assets and Liabilities and the Statements of Changes in Net Assets have been conformed to meet these new requirements. There is no longer a requirement to present the components of distributable earnings on the Statements of Assets and Liabilities. Adjustments to the Statements of Changes in Net Assets include updates to prior year distributions to shareholders, distributions in excess of net investment income, and undistributed net investment income.
The following is a summary of the previously disclosed amounts, as reported at December 31, 2017:
Blue Chip Growth Fund | Equity Income Fund | Equity Index Fund | Focused Equity Fund | Foreign Fund | Fundamental Growth Fund | Fundamental Value Fund | ||||||||||||||||||||||
Distributions to shareholders | ||||||||||||||||||||||||||||
From net investment income: | ||||||||||||||||||||||||||||
Initial Class | $ | (32,493 | ) | $(9,221,700) | $ | - | $ | - | $ | (7,849,280 | ) | $ | - | $ | - | |||||||||||||
Class I | - | - | (624,117 | ) | - | - | - | - | ||||||||||||||||||||
Class II | - | - | (2,272,325 | ) | (1,400,996 | ) | - | (1,314,332 | ) | (4,019,511 | ) | |||||||||||||||||
Class III | - | - | (5,304,119 | ) | - | - | - | - | ||||||||||||||||||||
Service Class | - | (1,575,413 | ) | - | - | (200,743 | ) | - | - | |||||||||||||||||||
Service Class I | - | - | (395,720 | ) | (222,205 | ) | - | (55,714 | ) | (204,734 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total distributions from net investment income | (32,493 | ) | (10,797,113 | ) | (8,596,281 | ) | (1,623,201 | ) | (8,050,023 | ) | (1,370,046 | ) | (4,224,245 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
From net realized gains: | ||||||||||||||||||||||||||||
Initial Class | (25,580,003 | ) | (27,939,287 | ) | - | - | - | - | - | |||||||||||||||||||
Class I | - | - | (1,703,715 | ) | - | - | - | - | ||||||||||||||||||||
Class II | - | - | (5,142,562 | ) | (10,927,302 | ) | - | (13,651,844 | ) | (15,175,978 | ) | |||||||||||||||||
Class III | - | - | (10,821,040 | ) | - | - | - | - | ||||||||||||||||||||
Service Class | (5,770,103 | ) | (5,273,575 | ) | - | - | - | - | - | |||||||||||||||||||
Service Class I | - | - | (1,247,272 | ) | (1,679,164 | ) | - | (599,932 | ) | (825,157 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total distributions from net realized gains | (31,350,106 | ) | (33,212,862 | ) | (18,914,589 | ) | (12,606,466 | ) | - | (14,251,776 | ) | (16,001,135 | ) | |||||||||||||||
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|
|
|
|
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| |||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income at end of year | $ | (55,713 | ) | $ | 9,475,861 | $ | 12,530,229 | $ | 1,670,547 | $ | 6,148,272 | $ | 1,224,164 | $ | 3,690,269 | |||||||||||||
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187
Table of Contents
Notes to Financial Statements(Continued)
Global Fund | Growth & Income Fund | Income & Growth Fund | International Equity Fund | Large Cap Growth Fund | Managed Volatility Fund | Mid Cap Growth Fund | ||||||||||||||||||||||
Distributions to shareholders | ||||||||||||||||||||||||||||
From net investment income: | ||||||||||||||||||||||||||||
Initial Class | $ | - | $ | (991,174 | ) | $ | (4,623,698 | ) | $ | - | $ | (391,609 | ) | $ | (1,918,611 | ) | $ | (130,181 | ) | |||||||||
Class I | (2,418,638 | ) | - | - | - | - | - | - | ||||||||||||||||||||
Class II | (206,465 | ) | - | - | (2,875,413 | ) | - | - | - | |||||||||||||||||||
Service Class | - | (208,011 | ) | (355,159 | ) | - | (12,785 | ) | (348,002 | ) | - | |||||||||||||||||
Service Class I | (158,628 | ) | - | - | (37,585 | ) | - | - | - | |||||||||||||||||||
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| |||||||||||||||
Total distributions from net investment income | (2,783,731 | ) | (1,199,185 | ) | (4,978,857 | ) | (2,912,998 | ) | (404,394 | ) | (2,266,613 | ) | (130,181 | ) | ||||||||||||||
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|
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| |||||||||||||||
From net realized gains: | ||||||||||||||||||||||||||||
Initial Class | - | - | (19,214,600 | ) | - | (26,160,819 | ) | - | (35,666,242 | ) | ||||||||||||||||||
Class I | (15,725,213 | ) | - | - | - | - | - | - | ||||||||||||||||||||
Class II | (1,314,771 | ) | - | - | - | - | - | - | ||||||||||||||||||||
Service Class | - | - | (1,661,119 | ) | - | (1,411,660 | ) | - | (8,306,713 | ) | ||||||||||||||||||
Service Class I | (1,168,589 | ) | - | - | - | - | - | - | ||||||||||||||||||||
|
|
|
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|
|
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|
|
|
|
|
|
| |||||||||||||||
Total distributions from net realized gains | (18,208,573 | ) | - | (20,875,719 | ) | - | (27,572,479 | ) | - | (43,972,955 | ) | |||||||||||||||||
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| |||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income at end of year | $ | 2,602,686 | $ | 1,276,731 | $ | 5,247,136 | $ | 2,677,223 | $ | 608,991 | $ | 2,033,496 | $ (275,603 | ) | ||||||||||||||
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|
Mid Cap Value Fund | Small Cap Growth Equity Fund | Small Company Value Fund | Small/Mid Cap Value Fund | Total Return Bond Fund | ||||||||||||||||
Distributions to shareholders | ||||||||||||||||||||
From net investment income: | ||||||||||||||||||||
Initial Class | $ | (6,665,180 | ) | $ | - | $ | - | $ | (1,001,313 | ) | $ | - | ||||||||
Class I | - | - | - | - | - | |||||||||||||||
Class II | - | - | (490,843 | ) | - | (8,304,200 | ) | |||||||||||||
Service Class | (656,987 | ) | - | - | (60,317 | ) | - | |||||||||||||
Service Class I | - | - | (83,665 | ) | - | (372,986 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions from net investment income | (7,322,167 | ) | - | (574,508 | ) | (1,061,630 | ) | (8,677,186 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
From net realized gains: | ||||||||||||||||||||
Initial Class | (25,581,613 | ) | (7,444,016 | ) | - | (12,126,596 | ) | - | ||||||||||||
Class I | - | - | - | - | - | |||||||||||||||
Class II | - | - | (9,766,024 | ) | - | - | ||||||||||||||
Service Class | (2,878,531 | ) | (591,748 | ) | - | (1,233,402 | ) | - | ||||||||||||
Service Class I | - | - | (2,055,613 | ) | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions from net realized gains | (28,460,144 | ) | (8,035,764 | ) | (11,821,637 | ) | (13,359,998 | ) | - | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Accumulated undistributed (distributions in excess of) net investment income at end of year | $ | 7,226,444 | $ | (48,314 | ) | $ | 288,981 | $ | 951,221 | $ | 7,545,522 | |||||||||
|
|
|
|
|
|
|
|
|
|
188
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Notes to Financial Statements(Continued)
Investment Valuation
The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Trustees, and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, each Fund’s net asset value generally is not calculated and the Funds do not anticipate accepting buy or sell orders. However, the value of each Fund’s assets may still be affected on such days to the extent that a Fund holds foreign securities that trade on days that foreign securities markets are open.
Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System (“NASDAQ System”), or in the case ofover-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such asinstitutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of otheropen-end mutual funds are valued at their closing net asset values as reported on each business day.
Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.
Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Funds’ Valuation Committee1 in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of significant inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at its regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.
The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of
1 | The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Secretary, and Assistant Secretaries of the Trust, as well as such alternate members as the Trustees may from time to time designate. The Valuation Committee reviews and determines the fair valuation of portfolio securities and the Funds’ pricing procedures in general. |
189
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Notes to Financial Statements(Continued)
the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and any other investments fair valued using significant unobservable inputs, as described below, the fair valuation approaches used by third party service providers and/or the Funds’ subadvisers utilize one or a combination of, but not limited to, the following inputs:
Market approach: (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers.
Income approach: (i) future cash flows discounted to present value and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts, and/or default rates.
Cost approach: (i) audited or unaudited financial statements, investor communications, and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.
Investments in series of preferred stock issued by Private Companies are typically valued utilizing Market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as the current value method (“CVM”), an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The CVM allocates value among the various parts of a company’s capital structure assuming that the value of convertible preferred stock is represented by the most favorable claim the preferred stockholders have on the enterprise value as of the valuation date. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information for a Private Company is as of a date that is earlier than the date a Fund is calculating its net asset value. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in
190
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Notes to Financial Statements(Continued)
the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares ofopen-end mutual funds.
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. Government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; andnon-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Funds determine their net asset values.
Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned significant inputs are unobservable. Generally, securities whose trading has been suspended or that have beende-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued bynon-public entities are categorized in Level 3.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.
The Income & Growth Fund and Small/Mid Cap Value Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of December 31, 2018. For each Fund noted in the preceding sentence, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
191
Table of Contents
Notes to Financial Statements(Continued)
The following is the aggregate value by input level, as of December 31, 2018, for the remaining Funds’ investments:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Blue Chip Growth Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 343,489,475 | $ | 7,777,177 | * | $ | 775,038 | ** | $ | 352,041,690 | ||||||
Short-Term Investments | 1,047 | 6,952,415 | - | 6,953,462 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 343,490,522 | $ | 14,729,592 | $ | 775,038 | $ | 358,995,152 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Income Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 396,882,662 | $ | 16,271,359 | * | $ | - | $ | 413,154,021 | |||||||
Preferred Stock | 11,045,379 | - | - | 11,045,379 | ||||||||||||
Corporate Debt | - | 2,285,503 | - | 2,285,503 | ||||||||||||
Mutual Funds | 1,762,621 | - | - | 1,762,621 | ||||||||||||
Short-Term Investments | 1,047 | 4,970,050 | - | 4,971,097 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 409,691,709 | $ | 23,526,912 | $ | - | $ | 433,218,621 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Index Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 628,586,143 | $ | - | $ | - | $ | 628,586,143 | ||||||||
Mutual Funds | 293,386 | - | - | 293,386 | ||||||||||||
Short-Term Investments | - | 14,725,248 | - | 14,725,248 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 628,879,529 | $ | 14,725,248 | $ | - | $ | 643,604,777 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (580,870 | ) | $ | - | $ | - | $ | (580,870 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Focused Equity Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 55,833,191 | $ | 2,371,108 | * | $ | - | $ | 58,204,299 | |||||||
Short-Term Investments | - | 1,658,198 | - | 1,658,198 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 55,833,191 | $ | 4,029,306 | $ | - | $ | 59,862,497 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | �� | |||||||||||||||
Canada | $ | 5,123,850 | $ | - | $ | - | $ | 5,123,850 | ||||||||
Cayman Islands | 4,901,303 | 7,945,025 | - | 12,846,328 | ||||||||||||
China | - | 11,100,329 | - | 11,100,329 | ||||||||||||
Denmark | - | 5,085,122 | - | 5,085,122 | ||||||||||||
France | - | 32,291,527 | - | 32,291,527 | ||||||||||||
Germany | - | 33,077,048 | - | 33,077,048 | ||||||||||||
Hong Kong | - | 8,617,245 | - | 8,617,245 | ||||||||||||
Ireland | - | 6,893,228 | - | 6,893,228 | ||||||||||||
Israel | 4,557,659 | - | - | 4,557,659 | ||||||||||||
Italy | - | 7,345,781 | - | 7,345,781 | ||||||||||||
Japan | - | 32,730,216 | - | 32,730,216 | ||||||||||||
Luxembourg | - | 4,712,175 | - | 4,712,175 | ||||||||||||
Netherlands | 3,334,240 | 14,595,168 | - | 17,929,408 |
192
Table of Contents
Notes to Financial Statements(Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Foreign Fund (Continued) | ||||||||||||||||
Asset Investments (Continued) | ||||||||||||||||
Common Stock* (Continued) | ||||||||||||||||
Norway | $ | - | $ | 2,989,014 | $ | - | $ | 2,989,014 | ||||||||
Republic of Korea | 3,699,110 | 10,716,601 | - | 14,415,711 | ||||||||||||
Singapore | - | 4,754,568 | - | 4,754,568 | ||||||||||||
Sweden | - | 1,328,229 | - | 1,328,229 | ||||||||||||
Switzerland | - | 19,089,333 | - | 19,089,333 | ||||||||||||
Taiwan | - | 4,655,193 | - | 4,655,193 | ||||||||||||
Thailand | - | 4,517,788 | - | 4,517,788 | ||||||||||||
United Kingdom | 4,569,032 | 50,817,463 | - | 55,386,495 | ||||||||||||
Mutual Funds | 1,400,448 | - | - | 1,400,448 | ||||||||||||
Short-Term Investments | - | 12,665,502 | - | 12,665,502 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 27,585,642 | $ | 275,926,555 | $ | - | $ | 303,512,197 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Growth Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 96,347,337 | $ | 707,681 | * | $ | - | $ | 97,055,018 | |||||||
Short-Term Investments | - | 4,245,256 | - | 4,245,256 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 96,347,337 | $ | 4,952,937 | $ | - | $ | 101,300,274 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Value Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 177,048,899 | $ | 2,851,319 | * | $ | - | $ | 179,900,218 | |||||||
Short-Term Investments | - | 1,847,206 | - | 1,847,206 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 177,048,899 | $ | 4,698,525 | $ | - | $ | 181,747,424 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Austria | $ | - | $ | 757,304 | $ | - | $ | 757,304 | ||||||||
Brazil | - | 698,225 | - | 698,225 | ||||||||||||
Canada | 3,734,625 | - | - | 3,734,625 | ||||||||||||
Cayman Islands | - | 396,676 | - | 396,676 | ||||||||||||
Denmark | - | 1,398,903 | - | 1,398,903 | ||||||||||||
France | - | 21,172,474 | - | 21,172,474 | ||||||||||||
Germany | - | 9,178,473 | - | 9,178,473 | ||||||||||||
Ireland | 12,209,152 | 3,284,667 | - | 15,493,819 | ||||||||||||
Israel | 2,720,841 | - | - | 2,720,841 | ||||||||||||
Japan | - | 5,374,325 | - | 5,374,325 | ||||||||||||
Mexico | 571,907 | - | - | 571,907 | ||||||||||||
Netherlands | 894,567 | 4,858,129 | - | 5,752,696 | ||||||||||||
Republic of Korea | - | 1,658,687 | - | 1,658,687 | ||||||||||||
Spain | - | 2,477,651 | - | 2,477,651 | ||||||||||||
Sweden | - | 4,685,579 | - | 4,685,579 | ||||||||||||
Switzerland | - | 15,715,236 | - | 15,715,236 | ||||||||||||
Thailand | - | 457,928 | - | 457,928 | ||||||||||||
United Kingdom | 3,156,340 | 16,372,017 | - | 19,528,357 | ||||||||||||
United States | 92,418,435 | - | - | 92,418,435 | ||||||||||||
Mutual Funds | 825,993 | - | - | 825,993 | ||||||||||||
Short-Term Investments | - | 4,240,369 | - | 4,240,369 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 116,531,860 | $ | 92,726,643 | $ | - | $ | 209,258,503 | ||||||||
|
|
|
|
|
|
|
|
193
Table of Contents
Notes to Financial Statements(Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Growth & Income Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 119,298,477 | $ | 6,227,859 | * | $ | - | $ | 125,526,336 | |||||||
Mutual Funds | 58,534 | - | - | 58,534 | ||||||||||||
Short-Term Investments | - | 1,091,439 | - | 1,091,439 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 119,357,011 | $ | 7,319,298 | $ | - | $ | 126,676,309 | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Australia | $ | - | $ | 3,921,642 | $ | - | $ | 3,921,642 | ||||||||
Canada | 2,662,517 | - | - | 2,662,517 | ||||||||||||
Cayman Islands | 1,554,819 | - | - | 1,554,819 | ||||||||||||
France | - | 16,688,936 | - | 16,688,936 | ||||||||||||
Germany | - | 26,313,051 | - | 26,313,051 | ||||||||||||
India | - | 1,282,333 | - | 1,282,333 | ||||||||||||
Indonesia | - | 2,877,007 | - | 2,877,007 | ||||||||||||
Ireland | 5,041,994 | - | - | 5,041,994 | ||||||||||||
Italy | - | 5,730,623 | - | 5,730,623 | ||||||||||||
Japan | - | 7,855,570 | - | 7,855,570 | ||||||||||||
Mexico | 1,670,624 | - | - | 1,670,624 | ||||||||||||
Netherlands | - | 11,213,923 | - | 11,213,923 | ||||||||||||
Republic of Korea | - | 3,850,704 | - | 3,850,704 | ||||||||||||
South Africa | - | 4,500,130 | - | 4,500,130 | ||||||||||||
Sweden | - | 8,859,729 | - | 8,859,729 | ||||||||||||
Switzerland | - | 14,184,493 | - | 14,184,493 | ||||||||||||
Taiwan | - | 2,446,377 | - | 2,446,377 | ||||||||||||
United Kingdom | 3,588,232 | 30,037,896 | - | 33,626,128 | ||||||||||||
Short-Term Investments | - | 6,121,815 | - | 6,121,815 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 14,518,186 | $ | 145,884,229 | $ | - | $ | 160,402,415 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | 77,015 | $ | - | $ | 77,015 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Large Cap Growth Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 89,409,461 | $ | 2,636,362 | $ | - | $ | 92,045,823 | ||||||||
Short-Term Investments | - | 3,488,875 | - | 3,488,875 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 89,409,461 | $ | 6,125,237 | $ | - | $ | 95,534,698 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Managed Volatility Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 151,267,518 | $ | - | $ | - | $ | 151,267,518 | ||||||||
Corporate Debt | - | - | - | +,** | - | |||||||||||
Mutual Funds | 8,989 | - | - | 8,989 | ||||||||||||
Purchased Options | 1,039,310 | - | - | 1,039,310 | ||||||||||||
Short-Term Investments | - | 6,278,177 | - | 6,278,177 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 152,315,817 | $ | 6,278,177 | $ | - | $ | 158,593,994 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Written Options | $ | (3,129,730 | ) | $ | - | $ | - | $ | (3,129,730 | ) | ||||||
|
|
|
|
|
|
|
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Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Mid Cap Growth Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 387,881,259 | $ | - | $ | 1,312,063 | $ | 389,193,322 | ||||||||
Preferred Stock | - | - | 3,347,742 | 3,347,742 | ||||||||||||
Mutual Funds | 7,672,886 | - | - | 7,672,886 | ||||||||||||
Short-Term Investments | 12,025,868 | 16,035,413 | - | 28,061,281 | ||||||||||||
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| |||||||||
Total Investments | $ | 407,580,013 | $ | 16,035,413 | $ | 4,659,805 | $ | 428,275,231 | ||||||||
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Mid Cap Value Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 344,843,520 | $ | 21,459,939 | * | $ | - | $ | 366,303,459 | |||||||
Mutual Funds | 6,860,276 | - | - | 6,860,276 | ||||||||||||
Short-Term Investments | - | 13,258,394 | - | 13,258,394 | ||||||||||||
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| |||||||||
Total Investments | $ | 351,703,796 | $ | 34,718,333 | $ | - | $ | 386,422,129 | ||||||||
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Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | 27,988 | $ | - | $ | 27,988 | ||||||||
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| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | (208,651 | ) | $ | - | $ | (208,651 | ) | ||||||
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Small Cap Growth Equity Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 159,750,710 | $ | - | $ | 212,836 | ** | $ | 159,963,546 | |||||||
Preferred Stock | - | - | 377,612 | ** | 377,612 | |||||||||||
Mutual Funds | 5,995,764 | - | - | 5,995,764 | ||||||||||||
Short-Term Investments | - | 5,141,313 | - | 5,141,313 | ||||||||||||
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| |||||||||
Total Investments | $ | 165,746,474 | $ | 5,141,313 | $ | 590,448 | $ | 171,478,235 | ||||||||
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Small Company Value Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 83,406,953 | $ | - | $ | - | $ | 83,406,953 | ||||||||
Mutual Funds | 1,649,486 | - | - | 1,649,486 | ||||||||||||
Short-Term Investments | 1,037 | 3,299,179 | - | 3,300,216 | ||||||||||||
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| |||||||||
Total Investments | $ | 85,057,476 | $ | 3,299,179 | $ | - | $ | 88,356,655 | ||||||||
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Total Return Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Bank Loans | $ | - | $ | 669,921 | $ | - | $ | 669,921 | ||||||||
Corporate Debt | - | 128,789,541 | - | 128,789,541 | ||||||||||||
Municipal Obligations | - | 4,700,403 | - | 4,700,403 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 59,674,929 | - | 59,674,929 | ||||||||||||
Sovereign Debt Obligations | - | 374,077 | - | 374,077 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 123,998,064 | - | 123,998,064 | ||||||||||||
U.S. Treasury Obligations | - | 67,220,927 | - | 67,220,927 | ||||||||||||
Mutual Funds | 1,042,865 | - | - | 1,042,865 | ||||||||||||
Short-Term Investments | - | 4,957,994 | - | 4,957,994 | ||||||||||||
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| |||||||||
Total Investments | $ | 1,042,865 | $ | 390,385,856 | $ | - | $ | 391,428,721 | ||||||||
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Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Total Return Bond Fund (Continued) | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 1,027,660 | $ | - | $ | - | $ | 1,027,660 | ||||||||
Swap Agreements | - | 222,518 | - | 222,518 | ||||||||||||
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| |||||||||
Total | $ | 1,027,660 | $ | 222,518 | $ | - | $ | 1,250,178 | ||||||||
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Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (26,496 | ) | $ | - | $ | - | $ | (26,496 | ) | ||||||
Swap Agreements | - | (203,114 | ) | - | (203,114 | ) | ||||||||||
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Total | $ | (26,496 | ) | $ | (203,114 | ) | $ | - | $ | (229,610 | ) | |||||
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* | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments after the close of trading in their applicable foreign markets, as applicable. |
** | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund(s). Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended December 31, 2018 is not presented. |
+ | Represents a security at $0 value as of December 31, 2018. |
The following table shows Fund(s) with certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of December 31, 2018.
Statements of Assets and | Equity | Equity | Foreign | Global | Growth & | Income & | Managed Volatility | Mid | Small | Small | Small/ | Total | ||||||||||||
Receivables from: | ||||||||||||||||||||||||
Collateral pledged for open swaps agreements | X | |||||||||||||||||||||||
Payables for: | ||||||||||||||||||||||||
Investments purchased on a when-issued basis | X | |||||||||||||||||||||||
Securities on loan | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Due to custodian | X |
The Funds, with the exception of the Total Return Bond Fund, had no transfers between Levels of the fair value hierarchy during the year ended December 31, 2018. The Total Return Bond Fund had transfers between Level 2 and Level 3 of the fair value hierarchy during the year ended December 31, 2018; however, none of the transfers individually or collectively had a material impact on the Fund. The Funds recognize transfers between the Levels as of the beginning of the year.
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Following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining value:
Asset Valuation Inputs
Investments in Securities | ||||||||||||||||||||||||||||||||||||||||
Balance as of 12/31/17 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | (Sales) | Transfers into Level 3 | Transfers (out) of Level 3 | Balance as of 12/31/18 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of 12/31/18 | |||||||||||||||||||||||||||||||
Mid Cap Growth Fund |
| |||||||||||||||||||||||||||||||||||||||
Common Stock | $ | 999,872 | $ | - | $ | - | $ | 278,972 | $ | 114,760 | $ | (81,541 | ) | $ | - | $ | - | $ | 1,312,063 | $ | 316,556 | |||||||||||||||||||
Preferred Stock | 3,369,013 | - | - | 259,739 | 317,633 | (598,643 | ) | - | - | 3,347,742 | 535,665 | |||||||||||||||||||||||||||||
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| |||||||||||||||||||||
$ | 4,368,885 | $ | - | $ | - | $ | 538,711 | $ | 432,393 | $ | (680,184 | ) | $ | - | $ | - | $ | 4,659,805 | $ | 852,221 | ||||||||||||||||||||
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The Mid Cap Growth Fund fair values certain of its Level 3 investments using acquisition cost, although the transaction may not have occurred during the current reporting period. These investments are generally privately held investments, but may include defaulted securities and new debt issuances. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Valuation Committee. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment, also referred to as enterprise value (EV) to earnings before interest, taxes, depreciation, and amortization (EBITDA) ratios. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment, and the fact that comparable public companies are not identical to the investments being fair valued by the Mid Cap Growth Fund. All market variables are assessed on a regular frequency and calibrated as necessary.
Mid Cap Growth Fund | Fair Value Amount | Valuation | Unobservable Input Description | Value/ Weighted Average Range | ||||||||
Common stock — $1,312,063 | ||||||||||||
WeWork Companies, Inc., Class A | $ | 454,063 | Market Approach | Market Transaction | $ | 51.81 | ||||||
Venture Global LNG, Inc. Series B | 109,200 | Market Approach | Market Transaction | $ | 5,200.00 | |||||||
Venture Global LNG, Inc. Series C | 748,800 | Market Approach | Market Transaction | $ | 5,200.00 | |||||||
Preferred stock — $3,347,742 | ||||||||||||
Roofoods Ltd. Series F | $ | 976,516 | Market Approach | Market Transaction | $ | 88.39 | ||||||
EV to GP/Multiple | 15.10x | |||||||||||
EV to GMV/Multiple | 2.0x | |||||||||||
Discount for Lack of Marketability | 10% | |||||||||||
Slack Technologies, Inc. Series H | 317,633 | Market Approach | Market Transaction | $ | 11.91 | |||||||
WeWork Companies, Inc. Series D 1 | 1,150,027 | Market Approach | Market Transaction | $ | 51.81 | |||||||
WeWork Companies, Inc. Series D 2 | 903,566 | Market Approach | Market Transaction | $ | 51.81 | |||||||
|
| |||||||||||
Total | $ | 4,659,805 | ||||||||||
|
|
Derivative Instruments
Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. Losses from
197
Table of Contents
Notes to Financial Statements(Continued)
derivatives can be substantially greater than their original cost and can sometimes be unlimited. A Fund may not be able to close out a derivative transaction at a favorable time or price. For those Funds that held derivatives during the year ended December 31, 2018, the following table shows how the Fund used these types of derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).
Type of Derivative and Objective for Use | Equity | International | Managed | Mid Cap | Total | |||||
Foreign Currency Exchange Transactions* | ||||||||||
Hedging/Risk Management | A | A | A | |||||||
Directional Exposures to Currencies | M | |||||||||
Futures Contracts** | ||||||||||
Hedging/Risk Management | A | |||||||||
Duration/Credit Quality Management | A | |||||||||
Substitution for Direct Investment | A | M | ||||||||
Interest Rate Swaps*** | ||||||||||
Hedging/Risk Management | A | |||||||||
Duration Management | A | |||||||||
Options (Purchased) | ||||||||||
Hedging/Risk Management | A | |||||||||
Options (Written) | ||||||||||
Hedging/Risk Management | A | |||||||||
Income | A |
* | Includes any options purchased or written, futures contracts, forward contracts, and swap agreements, if applicable. |
** | Includes any options purchased or written on futures contracts, if applicable. |
*** | Includes any caps, floors, and collars, and related purchased or written options, if applicable. |
At December 31, 2018, and during the year then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:
Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | |||||||||||||
Equity Index Fund | ||||||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts^^ | $ | (580,870 | ) | $ | - | $ | - | $ | (580,870 | ) | ||||||
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| |||||||||
Realized Gain (Loss)# | ||||||||||||||||
Futures Contracts | $ | (1,157,059 | ) | $ | - | $ | - | $ | (1,157,059 | ) | ||||||
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| |||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Futures Contracts | $ | (700,199 | ) | $ | - | $ | - | $ | (700,199 | ) | ||||||
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| |||||||||
International Equity Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts* | $ | - | $ | 77,015 | $ | - | $ | 77,015 | ||||||||
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| |||||||||
Realized Gain (Loss)# | ||||||||||||||||
Forward Contracts | $ | - | $ | 140,330 | $ | - | $ | 140,330 | ||||||||
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Table of Contents
Notes to Financial Statements(Continued)
Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | |||||||||||||
International Equity Fund (Continued) |
| |||||||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Forward Contracts | $ | - | $ | 14,443 | $ | - | $ | 14,443 | ||||||||
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| |||||||||
Managed Volatility Fund |
| |||||||||||||||
Asset Derivatives | ||||||||||||||||
Purchased Options*,^^^ | $ | 1,039,310 | $ | - | $ | - | $ | 1,039,310 | ||||||||
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| |||||||||
Liability Derivatives | ||||||||||||||||
Written Options^,^^^ | $ | (3,129,730 | ) | $ | - | $ | - | $ | (3,129,730 | ) | ||||||
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| |||||||||
Realized Gain (Loss)# | ||||||||||||||||
Purchased Options | $ | 1,898,643 | $ | - | $ | - | $ | 1,898,643 | ||||||||
Written Options | (4,156,580 | ) | - | - | (4,156,580 | ) | ||||||||||
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|
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| |||||||||
Total Realized Gain (Loss) | $ | (2,257,937 | ) | $ | - | $ | - | $ | (2,257,937 | ) | ||||||
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| |||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Purchased Options | $ | 47,175 | $ | - | $ | - | $ | 47,175 | ||||||||
Written Options | 1,102,504 | - | - | 1,102,504 | ||||||||||||
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|
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|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | 1,149,679 | $ | - | $ | - | $ | 1,149,679 | ||||||||
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| |||||||||
Mid Cap Value Fund |
| |||||||||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts* | $ | - | $ | 27,988 | $ | - | $ | 27,988 | ||||||||
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| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts^ | $ | - | $ | (208,651 | ) | $ | - | $ | (208,651 | ) | ||||||
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| |||||||||
Realized Gain (Loss)# | ||||||||||||||||
Forward Contracts | $ | - | $ | 1,017,006 | $ | - | $ | 1,017,006 | ||||||||
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| |||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Forward Contracts | $ | - | $ | 68,071 | $ | - | $ | 68,071 | ||||||||
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| |||||||||
Total Return Bond Fund |
| |||||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | 1,027,660 | $ | 1,027,660 | ||||||||
Swap Agreements^^,^^^ | - | - | 222,518 | 222,518 | ||||||||||||
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| |||||||||
Total Value | $ | - | $ | - | $ | 1,250,178 | $ | 1,250,178 | ||||||||
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| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | (26,496 | ) | $ | (26,496 | ) | ||||||
Swap Agreements^^,^^^ | - | - | (203,114 | ) | (203,114 | ) | ||||||||||
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| |||||||||
Total Value | $ | - | $ | - | $ | (229,610 | ) | $ | (229,610 | ) | ||||||
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| |||||||||
Realized Gain (Loss)# | ||||||||||||||||
Forward Contracts | $ | - | $ | (215,621 | ) | $ | - | $ | (215,621 | ) | ||||||
Futures Contracts | - | - | (1,097,580 | ) | (1,097,580 | ) | ||||||||||
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|
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|
|
| |||||||||
Total Realized Gain (Loss) | $ | - | $ | (215,621 | ) | $ | (1,097,580 | ) | $ | (1,313,201 | ) | |||||
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199
Table of Contents
Notes to Financial Statements(Continued)
Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | |||||||||||||
Total Return Bond Fund (Continued) |
| |||||||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Forward Contracts | $ | - | $ | (83,538 | ) | $ | - | $ | (83,538 | ) | ||||||
Futures Contracts | - | - | 1,093,556 | 1,093,556 | ||||||||||||
Swap Agreements | - | - | 19,404 | 19,404 | ||||||||||||
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|
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|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | - | $ | (83,538 | ) | $ | 1,112,960 | $ | 1,029,422 | |||||||
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* | Statements of Assets and Liabilities location: Investments, at value, or Receivables from: open forward contracts, as applicable. |
^ | Statements of Assets and Liabilities location: Payables for: open forward contracts or written options outstanding, at value, as applicable. |
^^ | Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” in each applicable Fund’s Portfolio of Investments. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities. |
^^^ | Represents exchange-traded purchased options, centrally cleared swaps, or exchange-traded written options, which are not subject to a master netting agreement. |
# | Statements of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, forward contracts, futures contracts, or written options, as applicable. |
## | Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, forward contracts, futures contracts, swap agreements, or written options, as applicable. |
For the year ended December 31, 2018, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:
Number of Contracts, Notional Amounts, or Shares/Units† | ||||||||||||||||||||
Fund Name | Futures Contracts | Forward Contracts | Swap Agreements | Purchased Options | Written Options | |||||||||||||||
Equity Index Fund | 80 | $ | - | $ | - | - | - | |||||||||||||
International Equity Fund | - | 3,538,506 | - | - | - | |||||||||||||||
Managed Volatility Fund | - | - | - | 584 | 622 | |||||||||||||||
Mid Cap Value Fund | - | 22,001,949 | - | - | - | |||||||||||||||
Total Return Bond Fund | 577 | 8,883,527 | 29,595,000 | - | - |
† | Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts and swap agreements, or shares/units outstanding for purchased options and written options, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the year ended December 31, 2018. |
The following table presents derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”), or similar agreement, and net of the related collateral received by the Fund(s) as of December 31, 2018.
Counterparty | Derivative Assets Subject to an MNA by Counterparty† | Financial Instruments Available for Offset | Collateral Received*** | Net Amount* | ||||||||||||
International Equity Fund | ||||||||||||||||
State Street Bank and Trust Co. | $ | 77,015 | $ | - | $ | - | $ | 77,015 | ||||||||
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| |||||||||
Mid Cap Value Fund | ||||||||||||||||
Bank of America N.A. | $ | 525 | $ | (525 | ) | $ | - | $ | - | |||||||
Goldman Sachs & Co. | 2,749 | (2,749 | ) | - | - | |||||||||||
Morgan Stanley & Co. LLC | 24,714 | (229 | ) | - | 24,485 | |||||||||||
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| |||||||||
$27,988 | $ | (3,503 | ) | $ | - | $ | 24,485 | |||||||||
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200
Table of Contents
Notes to Financial Statements(Continued)
The following table presents derivative liabilities by counterparty net of amounts available for offset under an MNA, or similar agreement, and net of the related collateral pledged by the Fund(s) as of December 31, 2018.
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty† | Financial Instruments Available for Offset | Collateral Pledged*** | Net Amount** | ||||||||||||
Mid Cap Value Fund | ||||||||||||||||
Bank of America N.A. | $ | (52,852 | ) | $ | 525 | $ | - | $ | (52,327 | ) | ||||||
Credit Suisse International | (21,528 | ) | - | - | (21,528 | ) | ||||||||||
Goldman Sachs & Co. | (111,577 | ) | 2,749 | - | (108,828 | ) | ||||||||||
JP Morgan Chase Bank N.A. | (22,465 | ) | - | - | (22,465 | ) | ||||||||||
Morgan Stanley & Co. LLC | (229 | ) | 229 | - | - | |||||||||||
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| |||||||||
$(208,651) | $ | 3,503 | $ | - | $ | (205,148 | ) | |||||||||
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|
* | Represents the net amount receivable from the counterparty in the event of default. |
** | Represents the net amount payable to the counterparty in the event of default. |
*** | The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0. |
† | The amount presented here may be less than the total amount shown in the Statements of Assets and Liabilities as some derivatives held by the counterparty are not covered within the master netting agreements. |
Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. Typically, the Fund(s) and counterparties are not permitted to sell,re-pledge, or use the collateral they receive.
Further details regarding the derivatives and other investments held by the Fund(s) during the year ended December 31, 2018, are discussed below.
Foreign Currency Exchange Transactions
A Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other,non-hedging purposes.
A Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.
Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.
Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference
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between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered.
A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.
Futures Contracts
A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts.A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed-income security, during a specified future period at a specified price. A Fund may use index futures contracts to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets, including commodities and precious metals. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures contracts may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.
Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.
When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Swap Agreements
Swap agreements are typicallytwo-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments or rates, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include, among others, interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.
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Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may benon-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
Centrally Cleared Swaps.Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements aremarked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on a Fund’s Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.
A Fund’s current exposure to a counterparty is the fair value of the transaction.
Options, Rights, and Warrants
A Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.
Call Options.A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date.
Put Options.A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date.
Writing putandcall options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a
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decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.
When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.
Purchasing putandcall options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.
Exchange Traded Options.Exchange traded options purchased or sold by a Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited. Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price.
Rights and Warrants.A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in aso-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.
When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights
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that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may benon-transferable, others may be tradedover-the-counter or on an exchange.
Inflation-Linked Securities
Inflation-linked securities are typically fixed income securities whose principal values are periodically adjusted according to a measure of inflation. If the index measuring inflation falls, the principal value of an inflation-linked security will be adjusted downward, and consequently the interest payable on the security (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original principal of the security upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-linked securities. For securities that do not provide a similar guarantee, the adjusted principal value of the security repaid at maturity may be less than the original principal.
Alternatively, the interest rates payable on certain inflation-linked securities may be adjusted according to a measure of inflation. As a result, the principal values of such securities do not adjust according to the rate of inflation, although the interest payable on such securities may decline during times of falling inflation.
The values of inflation-linked securities are expected to change in response to changes in real interest rates. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, leading to a decrease in value of inflation-linked securities. Inflation-linked securities may cause a potential cash flow mismatch to investors, because an increase in the principal amount of an inflation-linked security will be treated as interest income currently subject to tax at ordinary income rates even though investors will not receive repayment of principal until maturity. If a Fund invests in such securities, it will be required to distribute such interest income in order to qualify for treatment as a regulated investment company and eliminate the Fund-level tax, without a corresponding receipt of cash, and therefore may be required to dispose of portfolio securities at a time when it may not be advantageous to do so in order to make such distributions.
Bank Loans
A Fund may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. A Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by a Fund. A Fund may also invest in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, a Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.
Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.
At December 31, 2018, the Funds had no unfunded loan commitments.
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Repurchase Agreements
Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral.
When-Issued, Delayed-Delivery, Forward Commitment, andTo-Be-Announced Transactions
A Fund may enter into when-issued, delayed-delivery, forward commitment, orto-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such asinstitutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.
Dollar Roll Transactions
A Fund may enter into dollar roll transactions, in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to purchase substantially similar securities on a specified future date from the same party. A Fund may invest in dollar rolls in order to benefit from anticipated changes in pricing for the mortgage-backed securities during the term of the transaction, or for the purpose of creating investment leverage. In a dollar roll, the securities that are to be purchased will be of the same type as the securities sold, but will be supported by different pools of mortgages.
Dollar rolls involve the risk that the Fund’s counterparty will be unable to deliver the mortgage-backed securities underlying the dollar roll at the fixed time. If the counterparty files for bankruptcy or becomes insolvent, a Fund’s use of the transaction proceeds may be restricted pending a determination by the counterparty or its representative, whether to enforce the Fund’s obligation to repurchase the securities. A Fund can incur a loss on a dollar roll transaction (either because its counterparty fails to perform or because the value of the mortgages subject to the transaction declines) and on the investments made by the Fund with the proceeds of the dollar roll transaction.
A Fund accounts for a dollar roll transaction as a purchase and sale whereby the difference in the sales price and purchase price of the security sold is recorded as a realized gain (loss). If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sales price and the future purchase price is recorded as an adjustment to interest income. Dollar roll transactions generally have the effect of creating leverage in a Fund’s portfolio.
Securities Lending
Each Fund may lend its securities; however, lending cannot exceed 33% of the total assets of the Fund taken at current value. The Funds’ securities lending activities are governed by a Securities Lending Agency Agreement (“Lending Agreement”) between each
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Fund and the lending agent (“Agent”). The Lending Agreement authorizes the Agent to lend portfolio securities held by a Fund to approved borrowers (each, a “Borrower”).
Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash (U.S. currency) adjusted daily to have value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the Agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At December 31, 2018, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan.
Subject to the terms of the Lending Agreement and the agreement between the Agent and the applicable Borrower (“Borrowing Agreement”), security loans can be terminated by the Agent, the Fund, or the Borrower and the related securities must be returned within the earlier of the customary settlement period for such securities or the period of time specified in the Borrowing Agreement. For all Funds, all securities on loan are classified as common stock in the Fund’s Portfolio of Investments at December 31, 2018.
The Funds employ the Agent to implement their securities lending program and the Agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the Borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the Agent or Borrower, respectively. For the year ended December 31, 2018, the Fund(s) earned securities lending net income as follows:
Securities Lending Gross Income | Securities Lending Fees and Expenses | Securities Lending Net Income | ||||||||||
Blue Chip Growth Fund | $ | 230 | $ | 26 | $ | 204 | ||||||
Equity Income Fund | 701 | 102 | 599 | |||||||||
Equity Index Fund | 229 | 34 | 195 | |||||||||
Foreign Fund | 135,910 | 20,407 | 115,503 | |||||||||
Global Fund | 36,815 | 5,140 | 31,675 | |||||||||
Growth & Income Fund | 248 | 37 | 211 | |||||||||
Income & Growth Fund | 166 | 25 | 141 | |||||||||
International Equity Fund | 112,292 | 16,790 | 95,502 | |||||||||
Managed Volatility Fund | 4 | 1 | 3 | |||||||||
Mid Cap Growth Fund | 81,092 | 12,120 | 68,972 | |||||||||
Mid Cap Value Fund | 2,867 | 412 | 2,455 | |||||||||
Small Cap Growth Equity Fund | 147,924 | 21,983 | 125,941 | |||||||||
Small Company Value Fund | 27,058 | 4,032 | 23,026 | |||||||||
Small/Mid Cap Value Fund | 102 | 15 | 87 | |||||||||
Total Return Bond Fund | 766 | 114 | 652 |
Accounting for Investment Transactions
Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and realized capital gain distributions are recorded on theex-dividend date.Non-cash dividends received in the form of stock are recorded as dividend income at market value. Withholding taxes on foreign interest, dividends, and capital gains
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have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on theex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds determine the classification of distributions received as return of capital distributions or capital gain distributions.
Foreign Currency Translation
The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.
Allocation of Operating Activity
In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among the classes to which the expense relates based on relative net assets.
Foreign Securities
The Global Fund invests a significant amount of its assets in foreign securities and each of the Foreign Fund and the International Equity Fund invests substantially all of its assets in foreign securities. The other Funds may also invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.
Federal Income Tax
It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended, applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.
Dividends and Distributions to Shareholders
Dividends from net investment income and distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.
Distributions to shareholders are recorded on theex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.
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3. | Advisory Fees and Other Transactions |
Investment Advisory Fees and Investment Subadvisers
MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of MassMutual, serves as investment adviser to each Fund. Under the investment advisory agreements between MML Advisers and the Trust on behalf of each Fund, MML Advisers is responsible for providing investment management services for each Fund. In return for these services, MML Advisers receives advisory fees, based upon each Fund’s average daily net assets, computed and accrued daily and payable monthly, at the annual rates shown in the following table.
MML Advisers has also entered into investment subadvisory agreements for each Fund with the unaffiliated investment subadviser(s) shown in the following table. MML Advisers pays a subadvisory fee to each of these subadvisers based upon the aggregate net assets under management which include (1) the average daily net assets of the specified Fund which it manages, and, if applicable, (2) the average daily net assets of other Funds or accounts of MML Advisers or its affiliates for which the subadviser provides subadvisory services.
The Funds’ subadvisory fees are paid monthly by MML Advisers out of the advisory fees.
Fund | Investment Advisory Fee | Investment Subadviser(s) | ||
Blue Chip Growth Fund | 0.75% on the first $400 million; and | T. Rowe Price Associates, Inc. | ||
0.70% on any excess over $400 million | ||||
Equity Income Fund | 0.75% on the first $500 million; and | T. Rowe Price Associates, Inc. | ||
0.70% on any excess over $500 million | ||||
Equity Index Fund | 0.10% on the first $500 million; and | Northern Trust Investments, Inc. | ||
0.08% on any excess over $500 million | ||||
Focused Equity Fund | 0.70% on the first $250 million; and | Wellington Management Company LLP | ||
0.60% on any excess over $250 million | ||||
Foreign Fund | 0.89% on the first $500 million; and | Templeton Investment Counsel, LLC | ||
0.85% on any excess over $500 million | ||||
Fundamental Growth Fund | 0.62% on the first $250 million; and | Wellington Management Company LLP | ||
0.60% on any excess over $250 million | ||||
Fundamental Value Fund | 0.60% on the first $500 million; and | Wellington Management Company LLP | ||
0.575% on any excess over $500 million | ||||
Global Fund | 0.60% on the first $500 million; and | Massachusetts Financial Services Company | ||
0.55% on any excess over $500 million | ||||
Growth & Income Fund | 0.50% on the first $500 million; and | Massachusetts Financial Services Company | ||
0.475% on any excess over $500 million | ||||
Income & Growth Fund | 0.65% on the first $500 million; and | Barrow, Hanley, Mewhinney & Strauss, LLC | ||
0.60% on any excess over $500 million | ||||
International Equity Fund | 0.80% on the first $250 million; and | Harris Associates L.P. | ||
0.75% on any excess over $250 million | ||||
Large Cap Growth Fund | 0.65% on the first $500 million; and | Loomis, Sayles & Company, L.P. | ||
0.60% on any excess over $500 million | ||||
Managed Volatility Fund | 0.75% on the first $500 million; and | Gateway Investment Advisers, LLC | ||
0.70% on any excess over $500 million | ||||
Mid Cap Growth Fund | 0.77% on the first $500 million; and | T. Rowe Price Associates, Inc. | ||
0.75% on any excess over $500 million | ||||
Mid Cap Value Fund | 0.84% on the first $500 million; and | American Century Investment Management, Inc. | ||
0.80% on any excess over $500 million | ||||
Small Cap Growth Equity Fund | 1.04% on the first $200 million; and | Wellington Management Company LLP | ||
1.00% on any excess over $200 million | ||||
Small Company Value Fund | 0.80% on the first $150 million; and | T. Rowe Price Associates, Inc. | ||
0.70% on any excess over $150 million | ||||
Small/Mid Cap Value Fund | 0.75% on the first $500 million; and | AllianceBernstein L.P. | ||
0.70% on any excess over $500 million | ||||
Total Return Bond Fund | 0.40% on the first $500 million; and | Metropolitan West Asset Management, LLC | ||
0.38% on any excess over $500 million |
209
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Notes to Financial Statements(Continued)
Administration Fees
For the Equity Index Fund, Focused Equity Fund, Fundamental Growth Fund, Fundamental Value Fund, Global Fund, International Equity Fund, Small Company Value Fund, and Total Return Bond Fund, under a separate Administrative and Shareholder Services Agreement between the Trust and MML Advisers, on behalf of each Fund, MML Advisers is obligated to provide administrative and shareholder services and bear some of the Fund specific administrative expenses. In return for these services, MML Advisers receives an administrative services fee based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:
Class I | Class II | Class III | Service Class I | |||||||||||||
Equity Index Fund | 0.30% | 0.15% | None | 0.30% | ||||||||||||
Focused Equity Fund | N/A | 0.15% | N/A | 0.15% | ||||||||||||
Fundamental Growth Fund | N/A | 0.15% | N/A | 0.15% | ||||||||||||
Fundamental Value Fund | N/A | 0.15% | N/A | 0.15% | ||||||||||||
Global Fund | 0.15% | 0.15% | N/A | 0.15% | ||||||||||||
International Equity Fund | N/A | 0.15% | N/A | 0.15% | ||||||||||||
Small Company Value Fund | N/A | 0.15% | N/A | 0.15% | ||||||||||||
Total Return Bond Fund | N/A | 0.15% | N/A | 0.15% |
Distribution and Service Fees
MML Distributors, LLC (the “Distributor”) acts as distributor to the Funds. Pursuant to a Distribution and Services Plan adopted by the Funds pursuant to Rule 12b-1 under the 1940 Act, Service Class shares and Service Class I shares of the Funds pay an annual fee of 0.25% of the average daily net asset value of Service Class shares and Service Class I shares. This fee, or a portion thereof, is paid to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Service Class shares or Service Class I shares, as applicable, of each Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Service Class and Service Class I shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.
Expense Caps and Waivers
MML Advisers has agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable) based upon the average daily net assets of the applicable class of shares of the Funds, as follows:
Class II | Service Class I | |||||||
Fundamental Growth Fund* | 0.85% | 1.10% | ||||||
International Equity Fund* | 1.00% | 1.25% | ||||||
Total Return Bond Fund* | 0.60% | 0.85% |
# | Acquired Fund Fees and Expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles. |
* | Expense caps in effect through April 30, 2019. |
MML Advisers has agreed to voluntarily waive 0.03% of the advisory fee of the Equity Income Fund. MML Advisers may amend or discontinue this waiver at any time without advance notice.
MML Advisers has agreed to voluntarily waive 0.05% of the advisory fee of each of the Focused Equity Fund and Small Company Value Fund. MML Advisers may amend or discontinue these waivers at any time without advance notice.
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Notes to Financial Statements(Continued)
Effective October 1, 2018, MML Advisers has agreed to waive 0.04% of the advisory fee of the Foreign Fund through April 30, 2020.
MML Advisers has agreed to waive 0.02% of the advisory fee of each of the Fundamental Value Fund and Small Cap Growth Equity Fund through April 30, 2019.
Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.
Rebated Brokerage Commissions
The Funds listed below have entered into agreements with certain brokers whereby the brokers will rebate to the Funds, in cash, a portion of brokerage commissions. Rebated brokerage commissions are amounts earned by the Funds and are included with realized gain or loss on investment transactions presented in the Statements of Operations. For the year ended December 31, 2018, brokerage commissions rebated under these agreements were as follows:
Rebated Commissions | ||||
Blue Chip Growth Fund | $ | 245 | ||
Equity Income Fund | 136 | |||
Focused Equity Fund | 14 | |||
Foreign Fund | 1,024 | |||
Fundamental Growth Fund | 30 | |||
Fundamental Value Fund | 594 | |||
Global Fund | 29 | |||
Income & Growth Fund | 1,931 | |||
Large Cap Growth Fund | 1,487 | |||
Managed Volatility Fund | 477 | |||
Mid Cap Growth Fund | 157 | |||
Small Cap Growth Equity Fund | 1,712 | |||
Small Company Value Fund | 221 | |||
Small/Mid Cap Value Fund | 14,841 |
Deferred Compensation
Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of aNon-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.
Other
Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.
211
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Notes to Financial Statements(Continued)
4. | Purchases and Sales of Investments |
Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the year ended December 31, 2018, were as follows:
Purchases | Sales | |||||||||||||||
Long-Term U.S. Government Securities | Other Long-Term Securities | Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||||||||
Blue Chip Growth Fund | $ | - | $ | 108,295,942 | $ | - | $ | 143,928,018 | ||||||||
Equity Income Fund | - | 91,996,947 | - | 127,334,056 | ||||||||||||
Equity Index Fund | - | 24,704,493 | - | 83,402,914 | ||||||||||||
Focused Equity Fund | - | 39,912,565 | - | 48,250,578 | ||||||||||||
Foreign Fund | - | 62,090,897 | - | 92,508,715 | ||||||||||||
Fundamental Growth Fund | - | 68,905,176 | - | 101,028,353 | ||||||||||||
Fundamental Value Fund | - | 60,415,270 | - | 89,084,377 | ||||||||||||
Global Fund | - | 34,586,690 | - | 42,439,791 | ||||||||||||
Growth & Income Fund | - | 20,960,332 | - | 27,592,656 | ||||||||||||
Income & Growth Fund | - | 88,526,349 | - | 98,338,713 | ||||||||||||
International Equity Fund | - | 90,487,916 | - | 73,851,193 | ||||||||||||
Large Cap Growth Fund | - | 16,358,121 | - | 36,808,732 | ||||||||||||
Managed Volatility Fund | - | 8,687,798 | - | 30,855,281 | ||||||||||||
Mid Cap Growth Fund | - | 112,600,430 | - | 166,298,249 | ||||||||||||
Mid Cap Value Fund | - | 260,464,229 | - | 297,503,400 | ||||||||||||
Small Cap Growth Equity Fund | - | 155,160,320 | - | 198,904,863 | ||||||||||||
Small Company Value Fund | - | 22,418,446 | - | 32,668,455 | ||||||||||||
Small/Mid Cap Value Fund | - | 82,203,672 | - | 100,442,492 | ||||||||||||
Total Return Bond Fund | 947,065,435 | 101,481,460 | 1,000,897,317 | 77,168,436 |
The Funds may purchase from, or sell securities to, other affiliated Funds under procedures adopted by the Trustees. These procedures have been designed to ensure that cross trades conducted by the Funds comply with Rule17a-7 under the 1940 Act. The cross trades disclosed in the table below are included within the respective purchases and sales amounts shown in the table above, as applicable.
Purchases | Sales | |||||||
Mid Cap Growth Fund | $ | - | $ | 8,023 |
5. | Capital Share Transactions |
Changes in shares outstanding for each Fund were as follows:
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Blue Chip Growth Fund Initial Class | ||||||||||||||||
Sold | 2,464,836 | $ | 41,097,524 | 1,482,018 | $ | 24,146,807 | ||||||||||
Issued as reinvestment of dividends | 3,092,597 | 52,821,553 | 1,602,785 | 25,612,496 | ||||||||||||
Redeemed | (5,453,960 | ) | (99,386,541 | ) | (9,593,538 | ) | (152,418,641 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 103,473 | $ | (5,467,464 | ) | (6,508,735 | ) | $ | (102,659,338 | ) | |||||||
|
|
|
|
|
|
|
|
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Blue Chip Growth Fund Service Class | ||||||||||||||||
Sold | 1,887,622 | $ | 32,739,994 | 1,095,342 | $ | 17,544,966 | ||||||||||
Issued as reinvestment of dividends | 1,191,730 | 19,580,121 | 371,785 | 5,770,103 | ||||||||||||
Redeemed | (555,547 | ) | (9,584,052 | ) | (381,362 | ) | (6,024,188 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,523,805 | $ | 42,736,063 | 1,085,765 | $ | 17,290,881 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Income Fund Initial Class | ||||||||||||||||
Sold | 3,644,888 | $ | 42,637,761 | 3,849,143 | $ | 47,033,271 | ||||||||||
Issued as reinvestment of dividends | 4,160,678 | 48,263,863 | 3,262,598 | 37,160,987 | ||||||||||||
Redeemed | (7,303,653 | ) | (88,411,458 | ) | (6,929,438 | ) | (83,889,962 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 501,913 | $ | 2,490,166 | 182,303 | $ | 304,296 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Income Fund Service Class | ||||||||||||||||
Sold | 699,128 | $ | 7,902,373 | 731,065 | $ | 8,744,889 | ||||||||||
Issued as reinvestment of dividends | 857,536 | 9,835,943 | 607,180 | 6,848,988 | ||||||||||||
Redeemed | (930,971 | ) | (11,027,261 | ) | (1,018,878 | ) | (12,189,103 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 625,693 | $ | 6,711,055 | 319,367 | $ | 3,404,774 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Index Fund Class I | ||||||||||||||||
Sold | 91,995 | $ | 2,966,868 | 163,370 | $ | 4,680,045 | ||||||||||
Issued as reinvestment of dividends | 98,430 | 3,197,012 | 82,082 | 2,327,832 | ||||||||||||
Redeemed | (479,758 | ) | (15,243,014 | ) | (605,423 | ) | (17,349,535 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (289,333 | ) | $ | (9,079,134 | ) | (359,971 | ) | $ | (10,341,658 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Equity Index Fund Class II | ||||||||||||||||
Sold | 361,961 | $ | 11,272,722 | 824,627 | $ | 23,653,381 | ||||||||||
Issued as reinvestment of dividends | 283,559 | 9,207,167 | 261,548 | 7,414,887 | ||||||||||||
Redeemed | (982,582 | ) | (31,137,585 | ) | (1,678,018 | ) | (49,816,507 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (337,062 | ) | $ | (10,657,696 | ) | (591,843 | ) | $ | (18,748,239 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Equity Index Fund Class III | ||||||||||||||||
Sold | 615,653 | $ | 20,621,085 | 3,464,358 | $ | 95,343,796 | ||||||||||
Issued as reinvestment of dividends | 720,026 | 23,328,843 | 569,794 | 16,125,159 | ||||||||||||
Redeemed | (1,580,294 | ) | (51,246,919 | ) | (378,540 | ) | (10,791,850 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (244,615 | ) | $ | (7,296,991 | ) | 3,655,612 | $ | 100,677,105 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Index Fund Service Class I | ||||||||||||||||
Sold | 74,399 | $ | 2,163,647 | 131,430 | $ | 3,644,032 | ||||||||||
Issued as reinvestment of dividends | 74,604 | 2,351,504 | 59,572 | 1,642,992 | ||||||||||||
Redeemed | (267,117 | ) | (8,195,819 | ) | (206,249 | ) | (5,751,108 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (118,114 | ) | $ | (3,680,668 | ) | (15,247 | ) | $ | (464,084 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Focused Equity Fund Class II | ||||||||||||||||
Sold | 2,662,739 | $ | 21,522,181 | 693,604 | $ | 9,238,953 | ||||||||||
Issued as reinvestment of dividends | 5,355,691 | 30,902,335 | 1,059,132 | 12,328,298 | ||||||||||||
Redeemed | (3,486,605 | ) | (31,677,720 | ) | (7,000,220 | ) | (97,590,007 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,531,825 | $ | 20,746,796 | (5,247,484 | ) | $ | (76,022,756 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Focused Equity Fund Service Class I | ||||||||||||||||
Sold | 376,431 | $ | 3,091,551 | 256,583 | $ | 3,422,281 | ||||||||||
Issued as reinvestment of dividends | 1,215,818 | 6,784,266 | 165,480 | 1,901,369 | ||||||||||||
Redeemed | (257,087 | ) | (2,172,837 | ) | (145,844 | ) | (1,921,956 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,335,162 | $ | 7,702,980 | 276,219 | $ | 3,401,694 | ||||||||||
|
|
|
|
|
|
|
|
213
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Notes to Financial Statements(Continued)
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Foreign Fund Initial Class | ||||||||||||||||
Sold | 3,243,058 | $ | 34,018,741 | 1,762,962 | $ | 18,142,876 | ||||||||||
Issued as reinvestment of dividends | 713,437 | 7,662,312 | 745,421 | 7,849,280 | ||||||||||||
Redeemed | (6,201,582 | ) | (68,110,318 | ) | (5,448,887 | ) | (57,208,508 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,245,087 | ) | $ | (26,429,265 | ) | (2,940,504 | ) | $ | (31,216,352 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Fund Service Class | ||||||||||||||||
Sold | 116,294 | $ | 1,204,281 | 90,005 | $ | 941,821 | ||||||||||
Issued as reinvestment of dividends | 20,065 | 214,292 | 19,155 | 200,743 | ||||||||||||
Redeemed | (149,688 | ) | (1,604,937 | ) | (172,623 | ) | (1,780,182 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (13,329 | ) | $ | (186,364 | ) | (63,463 | ) | $ | (637,618 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Growth Fund Class II | ||||||||||||||||
Sold | 1,949,758 | $ | 21,593,805 | 888,782 | $ | 11,185,241 | ||||||||||
Issued as reinvestment of dividends | 2,708,246 | 29,655,294 | 1,255,552 | 14,966,176 | ||||||||||||
Redeemed | (4,370,488 | ) | (55,762,299 | ) | (7,277,808 | ) | (91,652,950 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 287,516 | $ | (4,513,200 | ) | (5,133,474 | ) | $ | (65,501,533 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Growth Fund Service Class I | ||||||||||||||||
Sold | 458,941 | $ | 5,393,912 | 190,964 | $ | 2,374,345 | ||||||||||
Issued as reinvestment of dividends | 270,393 | 2,890,500 | 55,847 | 655,646 | ||||||||||||
Redeemed | (131,913 | ) | (1,611,718 | ) | (84,626 | ) | (1,049,814 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 597,421 | $ | 6,672,694 | 162,185 | $ | 1,980,177 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Value Fund Class II | ||||||||||||||||
Sold | 1,036,350 | $ | 15,435,084 | 1,918,050 | $ | 29,257,704 | ||||||||||
Issued as reinvestment of dividends | 1,508,659 | 21,649,257 | 1,375,035 | 19,195,489 | ||||||||||||
Redeemed | (3,583,028 | ) | (53,723,159 | ) | (3,827,642 | ) | (57,877,792 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,038,019 | ) | $ | (16,638,818 | ) | (534,557 | ) | $ | (9,424,599 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Value Fund Service Class I | ||||||||||||||||
Sold | 250,690 | $ | 3,680,455 | 253,529 | $ | 3,788,789 | ||||||||||
Issued as reinvestment of dividends | 112,320 | 1,585,954 | 74,792 | 1,029,891 | ||||||||||||
Redeemed | (140,737 | ) | (2,035,818 | ) | (98,918 | ) | (1,472,469 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 222,273 | $ | 3,230,591 | 229,403 | $ | 3,346,211 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Class I | ||||||||||||||||
Sold | 2,554,449 | $ | 31,314,905 | 833,525 | $ | 10,585,260 | ||||||||||
Issued as reinvestment of dividends | 2,338,747 | 27,480,281 | 1,488,421 | 18,143,851 | ||||||||||||
Redeemed | (3,185,325 | ) | (39,543,208 | ) | (5,421,433 | ) | (69,165,187 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,707,871 | $ | 19,251,978 | (3,099,487 | ) | $ | (40,436,076 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Class II | ||||||||||||||||
Sold | 39,560 | $ | 504,041 | 62,632 | $ | 805,960 | ||||||||||
Issued as reinvestment of dividends | 189,873 | 2,282,278 | 122,384 | 1,521,236 | ||||||||||||
Redeemed | (162,413 | ) | (2,040,592 | ) | (166,722 | ) | (2,152,159 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 67,020 | $ | 745,727 | 18,294 | $ | 175,037 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Service Class I | ||||||||||||||||
Sold | 207,223 | $ | 2,493,252 | 260,118 | $ | 3,245,449 | ||||||||||
Issued as reinvestment of dividends | 181,734 | 2,109,930 | 109,960 | 1,327,217 | ||||||||||||
Redeemed | (245,364 | ) | (3,007,449 | ) | (191,283 | ) | (2,413,327 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 143,593 | $ | 1,595,733 | 178,795 | $ | 2,159,339 | ||||||||||
|
|
|
|
|
|
|
|
214
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Notes to Financial Statements(Continued)
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Growth & Income Fund Initial Class | ||||||||||||||||
Sold | 119,769 | $ | 2,132,714 | 110,768 | $ | 1,745,482 | ||||||||||
Issued as reinvestment of dividends | 49,276 | 922,933 | 62,181 | 991,174 | ||||||||||||
Redeemed | (918,605 | ) | (16,393,730 | ) | (992,201 | ) | (15,717,324 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (749,560 | ) | $ | (13,338,083 | ) | (819,252 | ) | $ | (12,980,668 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Growth & Income Fund Service Class | ||||||||||||||||
Sold | 578,617 | $ | 10,270,519 | 350,699 | $ | 5,565,536 | ||||||||||
Issued as reinvestment of dividends | 13,045 | 242,772 | 13,124 | 208,011 | ||||||||||||
Redeemed | (279,656 | ) | (4,937,473 | ) | (236,528 | ) | (3,717,864 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 312,006 | $ | 5,575,818 | 127,295 | $ | 2,055,683 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Income & Growth Fund Initial Class | ||||||||||||||||
Sold | 3,358,694 | $ | 36,563,702 | 2,996,060 | $ | 37,011,365 | ||||||||||
Issued as reinvestment of dividends | 6,882,783 | 68,070,720 | 2,060,354 | 23,838,298 | ||||||||||||
Redeemed | (4,660,765 | ) | (54,495,441 | ) | (4,058,420 | ) | (49,836,927 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 5,580,712 | $ | 50,138,981 | 997,994 | $ | 11,012,736 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Income & Growth Fund Service Class | ||||||||||||||||
Sold | 457,539 | $ | 5,136,040 | 515,103 | $ | 6,259,724 | ||||||||||
Issued as reinvestment of dividends | 718,834 | 7,008,633 | 176,094 | 2,016,278 | ||||||||||||
Redeemed | (454,154 | ) | (5,067,384 | ) | (246,629 | ) | (3,004,383 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 722,219 | $ | 7,077,289 | 444,568 | $ | 5,271,619 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Class II | ||||||||||||||||
Sold | 3,756,873 | $ | 38,252,215 | 1,771,196 | $ | 18,597,206 | ||||||||||
Issued as reinvestment of dividends | 373,555 | 4,053,077 | 257,885 | 2,875,413 | ||||||||||||
Redeemed | (2,418,348 | ) | (27,520,770 | ) | (2,550,772 | ) | (27,570,069 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,712,080 | $ | 14,784,522 | (521,691 | ) | $ | (6,097,450 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Service Class I | ||||||||||||||||
Sold | 250,373 | $ | 2,770,944 | 270,277 | $ | 3,012,126 | ||||||||||
Issued as reinvestment of dividends | 10,810 | 116,423 | 3,389 | 37,585 | ||||||||||||
Redeemed | (57,918 | ) | (625,081 | ) | (52,072 | ) | (569,919 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 203,265 | $ | 2,262,286 | 221,594 | $ | 2,479,792 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Large Cap Growth Fund Initial Class | ||||||||||||||||
Sold | 2,298,401 | $ | 24,058,167 | 1,190,878 | $ | 13,387,491 | ||||||||||
Issued as reinvestment of dividends | 643,854 | 7,127,458 | 2,690,216 | 26,552,428 | ||||||||||||
Redeemed | (4,357,531 | ) | (47,416,397 | ) | (3,585,531 | ) | (40,547,280 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,415,276 | ) | $ | (16,230,772 | ) | 295,563 | $ | (607,361 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Large Cap Growth Fund Service Class | ||||||||||||||||
Sold | 446,254 | $ | 4,710,446 | 297,962 | $ | 3,268,288 | ||||||||||
Issued as reinvestment of dividends | 77,140 | 826,941 | 148,534 | 1,424,445 | ||||||||||||
Redeemed | (116,132 | ) | (1,228,847 | ) | (68,908 | ) | (774,644 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 407,262 | $ | 4,308,540 | 377,588 | $ | 3,918,089 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Managed Volatility Fund Initial Class | ||||||||||||||||
Sold | 492,848 | $ | 6,197,396 | 762,233 | $ | 9,288,168 | ||||||||||
Issued as reinvestment of dividends | 133,484 | 1,709,123 | 156,715 | 1,918,611 | ||||||||||||
Redeemed | (2,333,988 | ) | (29,063,105 | ) | (1,899,774 | ) | (23,230,356 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,707,656 | ) | $ | (21,156,586 | ) | (980,826 | ) | $ | (12,023,577 | ) | ||||||
|
|
|
|
|
|
|
|
215
Table of Contents
Notes to Financial Statements(Continued)
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Managed Volatility Fund Service Class | ||||||||||||||||
Sold | 202,575 | $ | 2,518,645 | 177,787 | $ | 2,144,134 | ||||||||||
Issued as reinvestment of dividends | 24,099 | 306,248 | 28,640 | 348,002 | ||||||||||||
Redeemed | (461,486 | ) | (5,753,477 | ) | (314,656 | ) | (3,811,277 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (234,812 | ) | $ | (2,928,584 | ) | (108,229 | ) | $ | (1,319,141 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Growth Fund Initial Class | ||||||||||||||||
Sold | 1,138,114 | $ | 18,294,113 | 760,551 | $ | 12,007,734 | ||||||||||
Issued as reinvestment of dividends | 2,925,630 | 47,102,641 | 2,376,921 | 35,796,423 | ||||||||||||
Redeemed | (4,110,331 | ) | (67,894,871 | ) | (4,076,355 | ) | (64,561,145 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (46,587 | ) | $ | (2,498,117 | ) | (938,883 | ) | $ | (16,756,988 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Growth Fund Service Class | ||||||||||||||||
Sold | 844,382 | $ | 13,330,015 | 755,731 | $ | 11,621,005 | ||||||||||
Issued as reinvestment of dividends | 825,741 | 12,765,952 | 570,124 | 8,306,713 | ||||||||||||
Redeemed | (841,191 | ) | (13,264,688 | ) | (607,819 | ) | (9,311,286 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 828,932 | $ | 12,831,279 | 718,036 | $ | 10,616,432 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Value Fund Initial Class | ||||||||||||||||
Sold | 2,443,831 | $ | 26,255,117 | 2,068,226 | $ | 24,969,955 | ||||||||||
Issued as reinvestment of dividends | 4,297,558 | 48,304,550 | 2,905,116 | 32,246,793 | ||||||||||||
Redeemed | (6,127,501 | ) | (71,122,235 | ) | (5,576,341 | ) | (66,885,066 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 613,888 | $ | 3,437,432 | (602,999 | ) | $ | (9,668,318 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Value Fund Service Class | ||||||||||||||||
Sold | 648,931 | $ | 7,119,700 | 735,449 | $ | 8,724,071 | ||||||||||
Issued as reinvestment of dividends | 534,477 | 5,905,971 | 323,174 | 3,535,518 | ||||||||||||
Redeemed | (630,619 | ) | (7,122,019 | ) | (695,980 | ) | (8,219,741 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 552,789 | $ | 5,903,652 | 362,643 | $ | 4,039,848 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Growth Equity Fund Initial Class | ||||||||||||||||
Sold | 1,193,475 | $ | 16,874,435 | 560,830 | $ | 7,816,100 | ||||||||||
Issued as reinvestment of dividends | 1,248,350 | 20,293,872 | 551,546 | 7,444,016 | ||||||||||||
Redeemed | (3,841,118 | ) | (59,693,280 | ) | (2,933,480 | ) | (40,644,101 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,399,293 | ) | $ | (22,524,973 | ) | (1,821,104 | ) | $ | (25,383,985 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Growth Equity Fund Service Class | ||||||||||||||||
Sold | 493,662 | $ | 7,292,510 | 191,887 | $ | 2,559,433 | ||||||||||
Issued as reinvestment of dividends | 154,642 | 2,377,009 | 45,989 | 591,748 | ||||||||||||
Redeemed | (186,179 | ) | (2,690,123 | ) | (175,615 | ) | (2,332,903 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 462,125 | $ | 6,979,396 | 62,261 | $ | 818,278 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Company Value Fund Class II | ||||||||||||||||
Sold | 311,558 | $ | 5,228,843 | 245,227 | $ | 4,150,868 | ||||||||||
Issued as reinvestment of dividends | 294,350 | 5,157,012 | 673,465 | 10,256,867 | ||||||||||||
Redeemed | (1,053,838 | ) | (17,716,346 | ) | (787,220 | ) | (13,327,607 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (447,930 | ) | $ | (7,330,491 | ) | 131,472 | $ | 1,080,128 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Company Value Fund Service Class I | ||||||||||||||||
Sold | 339,490 | $ | 5,463,333 | 384,126 | $ | 6,338,052 | ||||||||||
Issued as reinvestment of dividends | 82,700 | 1,405,903 | 144,351 | 2,139,278 | ||||||||||||
Redeemed | (201,731 | ) | (3,241,623 | ) | (189,368 | ) | (3,143,340 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 220,459 | $ | 3,627,613 | 339,109 | $ | 5,333,990 | ||||||||||
|
|
|
|
|
|
|
|
216
Table of Contents
Notes to Financial Statements(Continued)
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Small/Mid Cap Value Fund Initial Class | ||||||||||||||||
Sold | 1,709,758 | $ | 21,459,255 | 932,151 | $ | 12,499,876 | ||||||||||
Issued as reinvestment of dividends | 1,642,960 | 21,802,071 | 1,069,048 | 13,127,909 | ||||||||||||
Redeemed | (2,953,473 | ) | (40,187,875 | ) | (2,994,947 | ) | (39,996,244 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 399,245 | $ | 3,073,451 | (993,748 | ) | $ | (14,368,459 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small/Mid Cap Value Fund Service Class | ||||||||||||||||
Sold | 288,847 | $ | 3,713,859 | 269,021 | $ | 3,566,299 | ||||||||||
Issued as reinvestment of dividends | 190,987 | 2,507,665 | 106,304 | 1,293,719 | ||||||||||||
Redeemed | (267,604 | ) | (3,553,391 | ) | (250,665 | ) | (3,318,248 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 212,230 | $ | 2,668,133 | 124,660 | $ | 1,541,770 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return Bond Fund Class II | ||||||||||||||||
Sold | 4,313,580 | $ | 44,049,434 | 5,523,539 | $ | 57,254,481 | ||||||||||
Issued as reinvestment of dividends | 720,882 | 7,259,284 | 800,791 | 8,304,200 | ||||||||||||
Redeemed | (9,622,499 | ) | (97,319,609 | ) | (5,236,172 | ) | (54,333,433 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (4,588,037 | ) | $ | (46,010,891 | ) | 1,088,158 | $ | 11,225,248 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return Bond Fund Service Class I | ||||||||||||||||
Sold | 675,219 | $ | 6,781,521 | 573,867 | $ | 5,906,177 | ||||||||||
Issued as reinvestment of dividends | 41,780 | 416,963 | 36,247 | 372,986 | ||||||||||||
Redeemed | (306,990 | ) | (3,080,609 | ) | (356,440 | ) | (3,664,268 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 410,009 | $ | 4,117,875 | 253,674 | $ | 2,614,895 | ||||||||||
|
|
|
|
|
|
|
|
6. | Federal Income Tax Information |
At December 31, 2018, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Blue Chip Growth Fund | $ | 242,685,658 | $ | 123,973,326 | $ | (7,663,832 | ) | $ | 116,309,494 | |||||||
Equity Income Fund | 407,116,018 | 67,729,449 | (41,626,846 | ) | 26,102,603 | |||||||||||
Equity Index Fund | 435,824,683 | 230,710,954 | (23,511,730 | ) | 207,199,224 | |||||||||||
Focused Equity Fund | 58,870,943 | 2,959,191 | (1,967,637 | ) | 991,554 | |||||||||||
Foreign Fund | 316,411,718 | 26,101,828 | (39,001,349 | ) | (12,899,521 | ) | ||||||||||
Fundamental Growth Fund | 92,749,291 | 11,920,214 | (3,369,231 | ) | 8,550,983 | |||||||||||
Fundamental Value Fund | 167,103,762 | 28,571,188 | (13,927,526 | ) | 14,643,662 | |||||||||||
Global Fund | 193,529,655 | 31,404,022 | (15,675,174 | ) | 15,728,848 | |||||||||||
Growth & Income Fund | 94,815,716 | 38,283,216 | (6,422,623 | ) | 31,860,593 | |||||||||||
Income & Growth Fund | 291,202,153 | 15,756,081 | (40,519,165 | ) | (24,763,084 | ) | ||||||||||
International Equity Fund | 193,345,598 | 2,348,622 | (35,189,547 | ) | (32,840,925 | ) | ||||||||||
Large Cap Growth Fund | 77,180,338 | 20,983,075 | (2,628,715 | ) | 18,354,360 | |||||||||||
Managed Volatility Fund | 125,304,952 | 44,792,420 | (11,580,723 | ) | 33,211,697 | |||||||||||
Mid Cap Growth Fund | 356,873,838 | 96,956,642 | (25,555,249 | ) | 71,401,393 | |||||||||||
Mid Cap Value Fund | 431,362,115 | 17,991,047 | (62,931,033 | ) | (44,939,986 | ) | ||||||||||
Small Cap Growth Equity Fund | 171,907,106 | 18,070,178 | (18,499,049 | ) | (428,871 | ) | ||||||||||
Small Company Value Fund | 80,869,736 | 17,466,827 | (9,979,908 | ) | 7,486,919 | |||||||||||
Small/Mid Cap Value Fund | 189,249,788 | 15,901,168 | (26,960,000 | ) | (11,058,832 | ) | ||||||||||
Total Return Bond Fund | 397,094,615 | 5,337,467 | (10,002,197 | ) | (4,664,730 | ) |
217
Table of Contents
Notes to Financial Statements(Continued)
Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Underpre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization ofpre-enactment losses.
At December 31, 2018, the following Fund(s) had post-enactment accumulated capital loss carryforwards:
Short Term Capital Loss Carryforward | Long Term Capital Loss Carryforward | |||||||
Managed Volatility Fund | $ | 5,688,779 | $ | - | ||||
Total Return Bond Fund | 6,931,323 | 2,687,567 |
Net capital loss carryforwards for the Fund(s) shown in the above table are from post-enactment years and are, therefore, not subject to the eight-year carryforward period and possible expiration.
Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2018, was as follows:
Ordinary Income | Long Term Capital Gain | |||||||
Blue Chip Growth Fund | $ | 2,762,920 | $ | 69,638,754 | ||||
Equity Income Fund | 10,466,886 | 47,632,920 | ||||||
Equity Index Fund | 13,482,441 | 24,602,086 | ||||||
Focused Equity Fund | 11,225,249 | 26,461,352 | ||||||
Foreign Fund | 7,876,604 | - | ||||||
Fundamental Growth Fund | 3,230,141 | 29,315,653 | ||||||
Fundamental Value Fund | 4,334,895 | 18,900,316 | ||||||
Global Fund | 3,159,128 | 28,713,361 | ||||||
Growth & Income Fund | 1,165,705 | - | ||||||
Income & Growth Fund | 11,954,498 | 63,124,855 | ||||||
International Equity Fund | 2,955,099 | 1,214,401 | ||||||
Large Cap Growth Fund | 2,955,815 | 4,998,584 | ||||||
Managed Volatility Fund | 2,015,371 | - | ||||||
Mid Cap Growth Fund | 2,899,486 | 56,969,107 | ||||||
Mid Cap Value Fund | 12,507,747 | 41,702,774 | ||||||
Small Cap Growth Equity Fund | 8,093,369 | 14,577,512 | ||||||
Small Company Value Fund | 444,790 | 6,118,125 | ||||||
Small/Mid Cap Value Fund | 1,752,551 | 22,557,185 | ||||||
Total Return Bond Fund | 7,676,247 | - |
218
Table of Contents
Notes to Financial Statements(Continued)
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2017, was as follows:
Ordinary Income | Long Term Capital Gain | |||||||
Blue Chip Growth Fund | $ | 32,478 | $ | 31,350,121 | ||||
Equity Income Fund | 11,528,073 | 32,481,902 | ||||||
Equity Index Fund | 8,997,680 | 18,513,190 | ||||||
Focused Equity Fund | 3,204,748 | 11,024,919 | ||||||
Foreign Fund | 8,050,023 | - | ||||||
Fundamental Growth Fund | 1,370,046 | 14,251,776 | ||||||
Fundamental Value Fund | 4,677,319 | 15,548,061 | ||||||
Global Fund | 2,880,184 | 18,112,120 | ||||||
Growth & Income Fund | 1,199,185 | - | ||||||
Income & Growth Fund | 5,911,133 | 19,943,443 | ||||||
International Equity Fund | 2,912,998 | - | ||||||
Large Cap Growth Fund | 5,221,204 | 22,755,669 | ||||||
Managed Volatility Fund | 2,266,613 | - | ||||||
Mid Cap Growth Fund | 2,119,102 | 41,984,034 | ||||||
Mid Cap Value Fund | 12,193,913 | 23,588,398 | ||||||
Small Cap Growth Equity Fund | - | 8,035,764 | ||||||
Small Company Value Fund | 574,508 | 11,821,637 | ||||||
Small/Mid Cap Value Fund | 1,463,885 | 12,957,743 | ||||||
Total Return Bond Fund | 8,677,186 | - |
The following Fund(s) have elected to pass through the foreign tax credit for the year ended December 31, 2018:
Amount | ||||
Foreign Fund | $ | 610,400 | ||
Global Fund | 209,422 | |||
International Equity Fund | 412,337 |
Capital accounts within the financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At December 31, 2018, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, futures contracts, options contracts, swap agreements, premium amortization accruals, passive foreign investment companies,non-taxable dividends basis adjustments, the deferral of wash sale losses, and deferred Trustee compensation.
At December 31, 2018, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long Term Capital Gain (Capital Loss Carryover) | Other Temporary Differences | Unrealized Appreciation (Depreciation) | |||||||||||||
Blue Chip Growth Fund | $ | - | $ | 52,442,781 | $ | (59,459) | $ | 116,309,494 | ||||||||
Equity Income Fund | 11,270,345 | 40,923,546 | (87,701) | 26,103,385 | ||||||||||||
Equity Index Fund | 16,182,916 | 46,915,165 | (114,462) | 207,199,224 | ||||||||||||
Focused Equity Fund | 2,443,895 | 4,583,485 | (16,041) | 991,476 | ||||||||||||
Foreign Fund | 5,562,645 | 4,636,330 | (63,330) | (12,993,881) | ||||||||||||
Fundamental Growth Fund | 800,702 | 21,185,964 | (22,385) | 8,550,983 | ||||||||||||
Fundamental Value Fund | 5,992,279 | 19,375,050 | (30,162) | 14,642,888 |
219
Table of Contents
Notes to Financial Statements(Continued)
Undistributed Ordinary Income | Undistributed Long Term Capital Gain (Capital Loss Carryover) | Other Temporary Differences | Unrealized Appreciation (Depreciation) | |||||||||||||
Global Fund | $ | 2,940,576 | $ | 13,188,882 | $ | (30,088) | $ | 15,722,524 | ||||||||
Growth & Income Fund | 1,443,154 | 12,954,715 | (29,425) | 31,860,594 | ||||||||||||
Income & Growth Fund | 7,814,137 | 8,012,333 | (39,497) | (24,763,101) | ||||||||||||
International Equity Fund | 4,167,639 | 10,979,227 | (16,538) | (32,886,807) | ||||||||||||
Large Cap Growth Fund | 571,996 | 12,609,401 | (25,841) | 18,354,360 | ||||||||||||
Managed Volatility Fund | 2,468,628 | (5,688,779) | (48,736) | 33,689,950 | ||||||||||||
Mid Cap Growth Fund | 4,508,508 | 61,457,198 | (69,458) | 71,401,478 | ||||||||||||
Mid Cap Value Fund | 11,246,040 | 38,140,933 | (80,333) | (44,941,227) | ||||||||||||
Small Cap Growth Equity Fund | 4,374,913 | 29,548,359 | (48,600) | (428,871) | ||||||||||||
Small Company Value Fund | 403,171 | 13,644,620 | (15,637) | 7,486,919 | ||||||||||||
Small/Mid Cap Value Fund | 2,996,229 | 21,734,450 | (38,517) | (11,058,832) | ||||||||||||
Total Return Bond Fund | 11,302,033 | (9,618,890) | (52,435) | (4,645,326) |
During the year ended December 31, 2018, the following amounts were reclassified due to permanent differences between book and tax accounting:
Paid-in Capital | Accumulated Net Realized Gain (Loss) on Investments | Undistributed Net Investment Income (Loss) | ||||||||||
Blue Chip Growth Fund | $ | (317,578 | ) | $ | (214 | ) | $ | 317,792 | ||||
Equity Income Fund | (19,602 | ) | 396,393 | (376,791 | ) | |||||||
Equity Index Fund | 919 | (3,239,686 | ) | 3,238,767 | ||||||||
Focused Equity Fund | 137 | 679 | (816 | ) | ||||||||
Foreign Fund | 519 | (846,976 | ) | 846,457 | ||||||||
Fundamental Growth Fund | 185 | 81,770 | (81,955 | ) | ||||||||
Fundamental Value Fund | 237 | 209,894 | (210,131 | ) | ||||||||
Global Fund | 234 | 23,066 | (23,300 | ) | ||||||||
Growth & Income Fund | 74,317 | (21,656 | ) | (52,661 | ) | |||||||
Income & Growth Fund | 309 | 89,747 | (90,056 | ) | ||||||||
International Equity Fund | 114 | (48,467 | ) | 48,353 | ||||||||
Large Cap Growth Fund | 217 | 3 | (220 | ) | ||||||||
Managed Volatility Fund | 417 | (747,065 | ) | 746,648 | ||||||||
Mid Cap Growth Fund | 554 | (28,796 | ) | 28,242 | ||||||||
Mid Cap Value Fund | (419 | ) | (438,868 | ) | 439,287 | |||||||
Small Cap Growth Equity Fund | 408 | (407,389 | ) | 406,981 | ||||||||
Small Company Value Fund | 123 | 15,566 | (15,689 | ) | ||||||||
Small/Mid Cap Value Fund | 314 | - | (314 | ) | ||||||||
Total Return Bond Fund | 407 | (984,942 | ) | 984,535 |
The Funds did not have any unrecognized tax benefits at December 31, 2018, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the year ended December 31, 2018, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.
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7. | Indemnifications |
Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
8. | New Accounting Pronouncements |
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rule”). The Rule, which introduces two new regulatory reporting forms for investment companies — FormN-PORT and FormN-CEN — also contains amendments to RegulationS-X which impact financial statement presentation, particularly the presentation of derivative investments, for all reporting periods ending after August 1, 2017. The Funds have adopted the Rule’s RegulationS-X amendments and the Funds’ financial statements are in compliance with those amendments. In December 2017, the SEC issued a temporary final rule (“Temporary Rule”) that provides for a nine-month delay ofN-PORT filing with the SEC. Under the Temporary Rule, those funds subject to the original June 1, 2018 compliance date will still be required to gather and maintain all of the data required by FormN-PORT as of the original reporting date and such information will be subject to examination by the SEC staff.
In March 2017, FASB issued Accounting Standards Update2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU2017-08”). For entities that hold callable debt securities at a premium, ASU2017-08 requires that the premium be amortized to the earliest call date. ASU2017-08 would first be effective for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years. Management is currently evaluating the implication, if any, of these changes and its impact on the Funds’ financial statements.
In August 2018, FASB issued Accounting Standards Update2018-13 — Fair Value Measurement (Topic 820) Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU2018-13”). The amendments modify fair value measurement disclosures and are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management is currently evaluating the implication, if any, of these changes and its impact on the Funds’ financial statements.
9. | Legal Proceedings |
On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds. On April 5, 2012, the adversary proceeding was transferred to the Southern District of New York for consolidated pretrial proceedings. The action is now being prosecuted by the litigation trustee (“Trustee”) for the Tribune Litigation Trust.
The potential amounts sought to be recovered from the Equity Income Fund and Equity Index Fund are approximately $4,562,800 and $207,706, respectively, plus interest and the Official Committee’s court costs.
In addition, on June 2, 2011, the Equity Income Fund was named as a defendant in two closely related, parallel adversary proceedings brought in connection with the Tribune Company’s LBO by Deutsche Bank Trust Company Americas, in its capacity as successor indenture trustee for a certain series of Senior Notes, Law Debenture Trust Company of New York, in its capacity as successor indenture trustee for a certain series of Senior Notes, and Wilmington Trust Company, in its capacity as successor indenture trustee for the PHONES Notes (together, the “Plaintiffs”), one in the United States District Court for the District of
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Massachusetts and one in the United States District Court for the District of Connecticut. The Plaintiffs also seek to recover payments of the Proceeds. On December 20, 2011, this action was transferred to the Southern District of New York for consolidated pretrial proceedings.
The Funds cannot predict the outcome of these proceedings. Accordingly, the Funds have not accrued any amounts related to these proceedings. If the proceedings were to be decided in a manner adverse to the Funds, or if the Funds were to enter into a settlement agreement with the Trustee or the Plaintiffs, as applicable, the payment of such judgment or settlement could potentially have a material adverse effect on the Funds’ net asset values depending on the net assets of each applicable Fund at the time of such judgment or settlement.
10. | Subsequent Events |
In preparation of these financial statements, management has evaluated the events and transactions subsequent to December 31, 2018, through the date when the financial statements were issued, and determined that there are no subsequent events or transactions that would require adjustments to or disclosures in the Funds’ financial statements other than those disclosed below.
Effective February 5, 2019, Boston Partners Global Investors, Inc. replaced Wellington Management Company LLP as subadviser to the Fundamental Value Fund.
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To the Board of Trustees of MML Series Investment Fund and Shareholders of MML Blue Chip Growth Fund, MML Equity Income Fund, MML Equity Index Fund, MML Focused Equity Fund, MML Foreign Fund, MML Fundamental Growth Fund, MML Fundamental Value Fund, MML Global Fund, MML Growth & Income Fund, MML Income & Growth Fund, MML International Equity Fund, MML Large Cap Growth Fund, MML Managed Volatility Fund, MML Mid Cap Growth Fund, MML Mid Cap Value Fund, MML Small Cap Growth Equity Fund, MML Small Company Value Fund, MML Small/Mid Cap Value Fund, and MML Total Return Bond Fund (collectively, the “Funds,” certain of the funds constituting MML Series Investment Fund):
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of the Funds, including the portfolios of investments, as of December 31, 2018, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for the periods indicated in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2018, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.
Individual Funds | Financial Highlights | |
MML Blue Chip Growth Fund, MML Equity Income Fund, MML Equity Index Fund, MML Focused Equity Fund, MML Foreign Fund, MML Fundamental Growth Fund, MML Fundamental Value Fund, MML Global Fund, MML Growth & Income Fund, MML Income & Growth Fund, MML Large Cap Growth Fund, MML Managed Volatility Fund, MML Mid Cap Growth Fund, MML Mid Cap Value Fund, MML Small Cap Growth Equity Fund, MML Small Company Value Fund, MML Small/Mid Cap Value Fund, and MML Total Return Bond Fund | For the years ended December 31, 2018, 2017, 2016, 2015, and 2014 | |
MML International Equity Fund | For the years ended December 31, 2018, 2017, 2016, 2015 and the period from January 7, 2014 (commencement of operations) through December 31, 2014 |
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
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Report of Independent Registered Public Accounting Firm (Continued)
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2018, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Deloitte & Touche LLP
Boston, Massachusetts
February 22, 2019
We have served as the auditor of one or more MassMutual investment companies since 1995.
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The following table lists the Trust’s Trustees and Officers; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statements of Additional Information include additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MML Series Investment Fund, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981, Attention: MassMutual U.S. Product and Marketing.
Disinterested Trustees
Name, Address*, and Age | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
Allan W. Blair Age: 70 | Trustee | Since 2003 | Retired; President and Chief Executive Officer (1996-2014), Economic Development Council of Western Massachusetts (non-profit development company); President and Chief Executive Officer (1984-2014), Westover Metropolitan Development Corporation (quasi-public development company). | 111 | Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
Nabil N. El-Hage Age: 60 | Trustee | Since 2012
| Founder and CEO (since 2018), AEE International LLC (a Puerto Rico LLC); Founder and sole member (2016-2018), PR Academy of Executive Education LLC (a Puerto Rico LLC); Chairman (2011-2016), Academy of Executive Education, LLC (a Massachusetts LLC). | 111 | Director (2011-2015), Argo Group International Holdings, Ltd. (underwriter of specialty insurance and reinsurance products); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2005), Chairman (2006-2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company). | |||||
Maria D. Furman Age: 64 | Trustee | Since 2012 | Retired. | 111 | Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company). | |||||
R. Alan Hunter, Jr. Age: 72 | Chairperson
Trustee | Since 2016
Since 2003 | Retired. | 111 | Director (2007-2018), Actuant Corporation (diversified industrial company); Chairperson (since 2016), Trustee (since 2003), MassMutual Select Funds (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
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Name, Address*, and Age | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships | |||||
C. Ann Merrifield Age: 67 | Trustee | Since 2012 | Retired; President and Chief Executive Officer (2012-2014), PathoGenetix (genomics company). | 111 | Director (2015-2018), Juniper Pharmaceuticals Inc. (specialty pharmaceutical company); Director (since 2014), Flexion Therapeutics (specialty pharmaceutical company); Chairperson (2017-2018) and Director (since 2014), InVivo Therapeutics (research and clinical-stage biomaterials and biotechnology company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company). | |||||
Susan B. Sweeney Age: 66 | Trustee | Since 2009 | Retired; Senior Vice President and Chief Investment Officer (2010-2014), Selective Insurance Group (property and casualty company). | 113^ | Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Trustee (since 2009), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
Interested Trustees
Name, Address*, and Age | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships | |||||
Teresa Hassara^^ Age: 56 | Trustee | Since 2017 | Head of Workplace Solutions (since 2017), MassMutual; President of Institutional Retirement (2009-2016), TIAA-CREF. | 111 | Director (since 2017), MML Advisers; Trustee (since 2017), MassMutual Select Funds (open-end investment company); Trustee (since 2017), MML Series Investment Fund II (open-end investment company); Trustee (since 2017), MassMutual Premier Funds (open-end investment company). | |||||
Robert E. Joyal^^^ Age: 73 | Trustee | Since 2003 | Retired. | 113^ | Director (since 2018), Jeffries Financial Group Inc. (holding company); Director (2013-2018), Leucadia National Corporation (holding company); Director (2012-2017), Ormat Technology, Inc. (provider of alternative energy technology); Director (2006-2014), Jefferies Group LLC (investment bank); Trustee (since 2003), Barings Corporate Investors (closed-end investment company); Trustee (since 2003), Barings Participation Investors (closed-end investment company); Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
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Principal Officers who are Not Trustees
Name, Address*, and Age | Position(s) Held | Term of Office# and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Officer | ||||
Joseph Fallon Age: 43 | Vice President
Assistant Vice President | Since 2017
2015- | Investment Director (since 2014), MML Advisers; Head of Investment Consulting (since 2018), Head of Investment Consulting & Strategy (2017-2018), Investment Director (2006-2017), MassMutual; Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Select Funds (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund II (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Andrew M. Goldberg Age: 52 | Vice President, Secretary, and Chief Legal Officer
Assistant Secretary
| Since 2008
2001- | Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2004-2018), MassMutual; Secretary (since 2015), Assistant Secretary (2013-2015), MML Advisers; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MassMutual Select Funds (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2005-2008), MML Series Investment Fund II (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Renee Hitchcock Age: 48 | Chief Financial Officer and Treasurer
Assistant Treasurer | Since 2016
2007- | Head of Mutual Fund Administration (since 2018), Assistant Vice President (2015-2018), Director (2007-2015), MassMutual; Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Select Funds (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund II (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Jill Nareau Robert Age: 46 | Vice President and Assistant Secretary
Assistant Secretary | Since 2017
2008- | Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2009-2018), MassMutual; Assistant Secretary (since 2015), MML Advisers; Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MassMutual Select Funds (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MML Series Investment Fund II (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Douglas Steele Age: 43 | Vice President | Since 2016 | Vice President and Head of Investment Management (since 2017), Head of Investment Due Diligence (2016-2017), MML Advisers; Head of Investment Management (since 2017), Assistant Vice President (2013-2017), MassMutual; Vice President (since 2016), MassMutual Select Funds (open-end investment company); Vice President (since 2016), MML Series Investment Fund II (open-end investment company); Vice President (since 2016), MassMutual Premier Funds (open-end investment company). | 111 |
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Name, Address*, and Age | Position(s) Held | Term of Office# and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Officer | ||||
Philip S. Wellman Age: 54 | Vice President and Chief Compliance Officer | Since 2007 | Vice President and Chief Compliance Officer (since 2013), MML Advisers; Head of Mutual Funds and RIA Compliance (since 2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (2014-2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (2008-2014), MassMutual; Vice President and Chief Compliance Officer (since 2007), MassMutual Select Funds (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund II (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Eric H. Wietsma Age: 52 | Vice President | Since 2006 | Vice President (since 2018), Director (since 2013), and President (2013-2018), MML Advisers; Head of Workplace Operations (since 2018), Senior Vice President (2010-2018), MassMutual; President (since 2008), Vice President (2006-2008), MassMutual Select Funds (open-end investment company); Vice President (since 2006), MML Series Investment Fund II (open-end investment company); President (since 2008) Vice President (2006-2008), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Tina Wilson Age: 48 | President
Vice President | Since 2017
2016- | President (since 2018), Head of Investments (since 2016), and Vice President (2016-2018), MML Advisers; Head of Investment Solutions Innovation, Product Management (since 2018), Senior Vice President (2014-2018), Vice President (2009-2014), MassMutual; Vice President (since 2016), MassMutual Select Funds (open-end investment company); President (since 2017), Vice President (2016-2017), MML Series Investment Fund II (open-end investment company); Vice President (since 2016), MassMutual Premier Funds (open-end investment company). | 111 |
* | The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, CT 06082-1981. |
** | Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, unless the Trustees determine that it is desirable and in the best interest of the Trust that an exception to the retirement policy of the Trust be made, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-five years, however, with the exception of Mr. Robert E. Joyal, an interested Trustee of the Trust shall no longer serve as a Trustee if or when they are no longer an employee of MassMutual or an affiliate. |
The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified. The Chairperson shall hold office at the pleasure of the Trustees. |
^ | Barings Participation Investors and Barings Corporate Investors are deemed to be a part of the Fund Complex, because they are managed by Barings LLC, an affiliate of MML Advisers. |
^^ | Ms. Hassara is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual. |
^^^ | Mr. Joyal is an Interested Person through his position as a director of Leucadia National Corporation, which controls Jefferies Group LLC, a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MML Advisers or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MML Advisers has brokerage placement discretion. |
# | The President, Treasurer, and Secretary and such other officers as the Trustees may in their discretion from time to time elect are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each officer shall hold office at the pleasure of the Trustees. |
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For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended December 31, 2018, qualified for the dividends received deduction, as follows:
Dividends Received Deductions | ||||
Blue Chip Growth Fund | 93.16% | |||
Equity Income Fund | 97.64% | |||
Equity Index Fund | 93.75% | |||
Focused Equity Fund | 19.87% | |||
Fundamental Growth Fund | 69.28% | |||
Fundamental Value Fund | 92.86% | |||
Global Fund | 47.40% | |||
Growth & Income Fund | 100.00% | |||
Income & Growth Fund | 46.17% | |||
Large Cap Growth Fund | 29.79% | |||
Managed Volatility Fund | 100.00% | |||
Mid Cap Value Fund | 73.70% | |||
Small Cap Growth Equity Fund | 11.04% | |||
Small Company Value Fund | 100.00% | |||
Small/Mid Cap Value Fund | 100.00% |
For the year ended December 31, 2018, the following Fund(s) earned the following foreign sources of income:
Amount | ||||
Foreign Fund | $ | 8,013,238 | ||
Global Fund | 2,644,845 | |||
International Equity Fund | 4,679,295 |
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Other Information (Unaudited)
A description of the policies and procedures that each Fund’s investment adviser and subadvisers use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling1-888-309-3539, and on the SEC’s EDGAR database on its website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on FormN-Q. The Funds’ FormsN-Q are available on the SEC’s EDGAR database on its website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling1-800-SEC-0330.
Trustees’ Approval of Investment Advisory Contracts
At their meeting in September 2018, the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust, MML Advisers, or the subadvisers (the “Independent Trustees”), reviewed and approved a proposal to make changes to the existing subadvisory agreement between MML Advisers and Templeton Investment Counsel, LLC (“Templeton”) for the Foreign Fund in order to lower the subadvisory fee. In arriving at their decision, the Trustees discussed the fees payable to Templeton on behalf of the Foreign Fund by MML Advisers and the effect of such fees on the profitability to MML Advisers. The Trustees concluded that they were satisfied that MML Advisers’ projected level of profitability due to the amended subadvisory agreement (the “September Amended Agreement”) was not excessive and the subadvisory fee amount under the September Amended Agreement was fair and reasonable. In their deliberations, the Trustees were advised by independent counsel.
Prior to the votes being taken to approve the September Amended Agreement, the Independent Trustees met separately in executive session to discuss the appropriateness of the contract. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter asall-important or controlling. The foregoing summary does not detail all of the matters considered.
The September Amended Agreement became effective on October 1, 2018.
At their meeting in December 2018, the Trustees, including the Independent Trustees, approved a new subadvisory agreement with Boston Partners Global Investors, Inc. (“Boston Partners”) for the Fundamental Value Fund (the “Fund” and the “New Subadvisory Agreement”). In preparation for the meeting, the Trustees requested, and MML Advisers provided in advance, certain materials relevant to the consideration of the New Subadvisory Agreement. In all of their deliberations, the Trustees were advised by independent counsel.
In reviewing the New Subadvisory Agreement, the Independent Trustees discussed with MML Advisers and considered a wide range of information about, among other things: (i) Boston Partners and its personnel with responsibilities for providing services to the Fund; (ii) the terms of the New Subadvisory Agreement; (iii) the scope and quality of services that Boston Partners will provide under the New Subadvisory Agreement; (iv) the historical investment performance track record of Boston Partners; and (v) the fees payable to Boston Partners by MML Advisers for the Fund, the effect of such fees on the profitability to MML Advisers, and the subadvisory fees paid to Boston Partners by other funds with similar investment objectives as the Fund.
Prior to the votes being taken to approve the New Subadvisory Agreement, the Independent Trustees met separately in executive session to discuss the appropriateness of the contract. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter asall-important or controlling. The foregoing summary does not detail all of the matters considered.
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Other Information (Unaudited)(Continued)
Based on the foregoing, the Trustees concluded that: (i) overall, they were satisfied with the nature, extent, and quality of services expected to be provided under the New Subadvisory Agreement; (ii) MML Advisers’ projected levels of profitability due to the New Subadvisory Agreement were not excessive and the subadvisory fee amount under the New Subadvisory Agreement is fair and reasonable; (iii) the investment processes, research capabilities, and philosophy of Boston Partners appear well suited to the Fund given its investment objective and policies; and (iv) the terms of the New Subadvisory Agreement are fair and reasonable with respect to the Fund and are in the best interests of the Fund’s shareholders. After carefully considering the information summarized above, the Trustees, including the Independent Trustees voting separately, unanimously voted to approve the New Subadvisory Agreement.
The New Subadvisory Agreement became effective on February 5, 2019.
Also at their meeting in December 2018, the Trustees, including the Independent Trustees, reviewed and approved a proposal to make changes to the existing subadvisory agreement between MML Advisers and T. Rowe Price Associates, Inc. (“T. Rowe Price”) for the Equity Income Fund in order to lower the subadvisory fee. In arriving at their decision, the Trustees discussed the fees payable to T. Rowe Price on behalf of the Equity Income Fund by MML Advisers and the effect of such fees on the profitability to MML Advisers. The Trustees concluded that they were satisfied that MML Advisers’ projected level of profitability due to the amended subadvisory agreement (the “December Amended Agreement”) was not excessive and the subadvisory fee amount under the December Amended Agreement was fair and reasonable. In their deliberations, the Trustees were advised by independent counsel.
Prior to the votes being taken to approve the December Amended Agreement, the Independent Trustees met separately in executive session to discuss the appropriateness of the contract. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter asall-important or controlling. The foregoing summary does not detail all of the matters considered.
The December Amended Agreement became effective on January 1, 2019.
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Other Information (Unaudited)(Continued)
Fund ExpensesDecember 31, 2018
Expense Examples:
The following information is in regards to expenses for the six months ended December 31, 2018:
As a shareholder of the Funds, you incur ongoing costs, including advisory fees, distribution and/or service(12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended December 31, 2018.
Actual Expenses:
The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes:
The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Blue Chip Growth Fund | ||||||||||||||||||||||||
Initial Class | $ | 1,000 | 0.79 | % | $ | 911.90 | $ | 3.83 | $ | 1,021.30 | $ | 4.05 | ||||||||||||
Service Class | 1,000 | 1.04 | % | 911.00 | 5.04 | 1,020.10 | 5.32 | |||||||||||||||||
Equity Income Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.76 | % | 910.70 | 3.68 | 1,021.50 | 3.89 | |||||||||||||||||
Service Class | 1,000 | 1.01 | % | 909.20 | 4.89 | 1,020.20 | 5.17 | |||||||||||||||||
Equity Index Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.43 | % | 929.50 | 2.10 | 1,023.20 | 2.20 | |||||||||||||||||
Class II | 1,000 | 0.28 | % | 930.30 | 1.37 | 1,023.90 | 1.44 | |||||||||||||||||
Class III | 1,000 | 0.13 | % | 930.80 | 0.64 | 1,024.70 | 0.67 | |||||||||||||||||
Service Class I | 1,000 | 0.68 | % | 928.00 | 3.32 | 1,021.90 | 3.48 | |||||||||||||||||
Focused Equity Fund | ||||||||||||||||||||||||
Class II | 1,000 | 0.90 | % | 984.70 | 4.53 | 1,020.80 | 4.61 | |||||||||||||||||
Service Class I | 1,000 | 1.15 | % | 984.00 | 5.78 | 1,019.50 | 5.89 | |||||||||||||||||
Foreign Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.98 | % | 874.40 | 4.66 | 1,020.40 | 5.02 | |||||||||||||||||
Service Class | 1,000 | 1.23 | % | 874.10 | 5.84 | 1,019.10 | 6.29 |
232
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Other Information (Unaudited)(Continued)
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Fundamental Growth Fund | ||||||||||||||||||||||||
Class II | $ | 1,000 | 0.84 | % | $ | 926.40 | $ | 4.10 | $ | 1,021.10 | $ | 4.30 | ||||||||||||
Service Class I | 1,000 | 1.09 | % | 926.60 | 5.32 | 1,019.80 | 5.58 | |||||||||||||||||
Fundamental Value Fund | ||||||||||||||||||||||||
Class II | 1,000 | 0.79 | % | 907.70 | 3.82 | 1,021.30 | 4.05 | |||||||||||||||||
Service Class I | 1,000 | 1.04 | % | 906.90 | 5.03 | 1,020.10 | 5.32 | |||||||||||||||||
Global Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.83 | % | 922.40 | 4.04 | 1,021.10 | 4.25 | |||||||||||||||||
Class II | 1,000 | 0.83 | % | 922.30 | 4.04 | 1,021.10 | 4.25 | |||||||||||||||||
Service Class I | 1,000 | 1.08 | % | 920.90 | 5.26 | 1,019.90 | 5.53 | |||||||||||||||||
Growth & Income Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.57 | % | 935.10 | 2.80 | 1,022.50 | 2.92 | |||||||||||||||||
Service Class | 1,000 | 0.82 | % | 934.00 | 4.02 | 1,021.20 | 4.20 | |||||||||||||||||
Income & Growth Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.70 | % | 905.20 | 3.38 | 1,021.80 | 3.59 | |||||||||||||||||
Service Class | 1,000 | 0.95 | % | 904.30 | 4.58 | 1,020.50 | 4.86 | |||||||||||||||||
International Equity Fund | ||||||||||||||||||||||||
Class II | 1,000 | 1.00 | % | 824.10 | 4.62 | 1,020.30 | 5.12 | |||||||||||||||||
Service Class I | 1,000 | 1.25 | % | 823.10 | 5.78 | 1,019.00 | 6.40 | |||||||||||||||||
Large Cap Growth Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.72 | % | 944.70 | 3.55 | 1,021.70 | 3.69 | |||||||||||||||||
Service Class | 1,000 | 0.97 | % | 942.70 | 4.78 | 1,020.40 | 4.97 | |||||||||||||||||
Managed Volatility Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 1.04 | % | 957.00 | 5.16 | 1,020.10 | 5.32 | |||||||||||||||||
Service Class | 1,000 | 1.29 | % | 955.80 | 6.39 | 1,018.80 | 6.60 | |||||||||||||||||
Mid Cap Growth Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.81 | % | 932.20 | 3.97 | 1,021.20 | 4.15 | |||||||||||||||||
Service Class | 1,000 | 1.06 | % | 930.90 | 5.19 | 1,020.00 | 5.43 | |||||||||||||||||
Mid Cap Value Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.89 | % | 877.30 | 4.23 | 1,020.80 | 4.56 | |||||||||||||||||
Service Class | 1,000 | 1.14 | % | 875.70 | 5.42 | 1,019.60 | 5.83 | |||||||||||||||||
Small Cap Growth Equity Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 1.08 | % | 859.60 | 5.09 | 1,019.90 | 5.53 | |||||||||||||||||
Service Class | 1,000 | 1.33 | % | 858.50 | 6.26 | 1,018.60 | 6.80 | |||||||||||||||||
Small Company Value Fund | ||||||||||||||||||||||||
Class II | 1,000 | 0.97 | % | 840.80 | 4.53 | 1,020.40 | 4.97 | |||||||||||||||||
Service Class I | 1,000 | 1.23 | % | 839.00 | 5.73 | 1,019.10 | 6.29 | |||||||||||||||||
Small/Mid Cap Value Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.80 | % | 829.40 | 3.71 | 1,021.30 | 4.10 | |||||||||||||||||
Service Class | 1,000 | 1.05 | % | 828.50 | 4.87 | 1,020.00 | 5.38 | |||||||||||||||||
Total Return Bond Fund | ||||||||||||||||||||||||
Class II | 1,000 | 0.60 | % | 1,013.00 | 3.06 | 1,022.30 | 3.08 | |||||||||||||||||
Service Class I | 1,000 | 0.85 | % | 1,012.30 | 4.33 | 1,021.00 | 4.35 |
* | Expenses are calculated using the annualized expense ratio for the six months ended December 31, 2018, multiplied by the average account value over the period, multiplied by 185 days in the period, divided by 365 days in the year, unless stated otherwise. The annualized expense ratio does not reflect expenses deducted under the variable life insurance or variable annuity contract through which the Funds are invested in. Inclusion of these expenses would increase the annualized expense ratios shown. |
233
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Underwriter:
MML Distributors, LLC 100 Bright Meadow Blvd. Enfield, CT 06082-1981 |
© 2019 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. Investment Adviser: MML Investment Advisers, LLC | RS-45237-01 |
Table of Contents
American Funds Insurance Series® | |
Annual report for the year ended December 31, 2018 | |
We believe in
investing in global
companies for
the long term.
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, you may not receive paper copies of the fund’s shareholder reports from the insurance company that offers your contract unless you specifically request paper copies from the insurance company or from your financial intermediary. Instead, the shareholder reports will be made available on a website, and the insurance company will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the insurance company electronically by following the instructions provided by the insurance company.
You may elect to receive paper copies of all future reports free of charge from the insurance company. You can inform the insurance company that you wish to continue receiving paper copies of your shareholder reports by following the instructions provided by the insurance company. Your election to receive paper reports will apply to all investment options available under your contract.
American Funds Insurance Series, by Capital Group, is the underlying investment vehicle for many variable annuities and insurance products. For more than 85 years, Capital Group has invested with a long-term focus based on thorough research and attention to risk.
Investing for short periods makes losses more likely. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Investing outside the United States involves risks, such as currency fluctuations, periods of illiquidity and price volatility, as more fully described in the prospectus. These risks may be heightened in connection with investments in developing countries. Investing in small-capitalization stocks can involve greater risk than is customarily associated with investing in stocks of larger, more established companies. The return of principal for bond funds and for funds with significant underlying bond holdings is not guaranteed. Fund shares are subject to the same interest rate, inflation and credit risks associated with the underlying bond holdings. High-yield bonds are subject to greater fluctuations in value and risk of loss of income and principal than investment-grade bonds. Bond ratings, which typically range from AAA/Aaa (highest) to D (lowest), are assigned by credit rating agencies such as Standard & Poor’s, Moody’s and/or Fitch as an indication of an issuer’s creditworthiness. Futures may not provide an effective hedge of the underlying securities because changes in the prices of futures may not track those of the securities they are intended to hedge. In addition, the managed risk strategy may not effectively protect the funds from market declines and will limit the funds’ participation in market gains. The use of the managed risk strategy could cause the funds’ returns to lag those of the applicable underlying funds in certain rising market conditions. Refer to the funds’ prospectuses and the Risk Factors section of this report for more information on these and other risks associated with investing in the funds.
Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so they may lose value.
Contents
Global equity markets, pressured by rising interest rates and a slowing global economy, fell on an annual basis for the first time since 2015, as measured by the 9.42% decline in the MSCI ACWI (All Country World Index).1,2Tighter monetary policy, potentially peaking earnings and a brewing trade war involving the U.S., China and Europe reverberated around the world, halting one of the longest-running bull markets in history.
Despite strong corporate earnings and economic growth boosted by tax cuts early in the year, a decline of 4.50% was recorded by the MSCI USA Index.1,3The nation’s GDP is estimated to have grown at an annualized 3.4% in the third quarter with the U.S. unemployment rate remaining at 3.7% in November, the lowest level in nearly 50 years. However, a series of trade-related issues between the U.S. and China that elevated geopolitical tensions, combined with political turmoil and high valuation in the U.S., contributed to a decline in the fourth quarter that wiped out the gains of the previous three quarters. Meanwhile, the Federal Reserve raised the benchmark federal funds rate to a range of 2.25% to 2.50%. The Fed continued on its path to reduce the size of its balance sheet and raised rates by a quarter percentage point four times over the past 12 months. This added to investor unease by the time they got to the fourth increase.
In Europe, worries over trade, delays in reaching a separation agreement between the U.K. and the European Union, and a general retreat in favor of U.S. equities hurt markets. The MSCI Europe Index1fell 14.86% with Germany (-22.17%), Italy (-17.75%), France (-12.76%) and the U.K. (-14.15%) all registering double-digit losses. In an unexpected shift from the prior year, the European economy lurched to a near halt. Deteriorating trade relations also weighed on European stocks, given the region’s dependence on international trade. Adding to those concerns, the European Central Bank ended its bond-buying stimulus program in December, removing a degree of support for the economy. As business sentiment dropped, eurozone economic growth slowed to an annualized 0.6% in the third quarter, down from 2.3% at the end of 2017. Elsewhere among developed markets, Japanese equities declined 12.88% as the economy stumbled, contracting for the first time since 2015. Private consumption faltered and output declined, owing partly to natural disasters that hurt exports and tourism.
Emerging markets stocks also fell (the MSCI Emerging Markets Investable Market Index1,4was down 15.05%), dragged down by China’s weakening economy, heightened U.S.-China trade frictions and a rally in the U.S. dollar. In China, selling intensified as the economy decelerated and its trade clash with the U.S. escalated. Chinese stocks (-18.74%) posted their worst annual return since 2011, as shares of their leading technology-related companies fell from lofty levels. Individual market economies
All market indexes referenced in this report are unmanaged and, therefore, have no expenses. Investors cannot invest directly in an index. Country returns are based on MSCI indexes, which reflect reinvestment of distributions and dividends net of withholding taxes, except for the MSCI USA Index, which reflects dividends gross of withholding taxes.
1 | Source: MSCI. |
2 | The MSCI ACWI is a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets, consisting of more than 40 developed and emerging market country indexes. Results reflect dividends net of withholding taxes. |
3 | The MSCI USA Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the U.S. portion of the world market. Results reflect dividends gross of withholding taxes. |
4 | MSCI Emerging Markets Investable Market Index (IMI) is a free float-adjusted market capitalization-weighted index that is designed to measure results of the large-, mid-, and small-capitalization segments of more than 20 emerging equity markets. Results reflect dividends net of withholding taxes. |
American Funds Insurance Series | 1 |
— Brazil and Turkey most notably — were impacted by idiosyncratic political and economic developments.
In bond markets, U.S. corporate investment-grade securities (rated BBB/ Baa and above) declined 2.51% (as measured by the Bloomberg Barclays U.S. Corporate Investment Grade Index5,6), while U.S. high-yield corporate debt slipped 2.08% (as measured by the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index5,7). More broadly, the Bloomberg Barclays Global Aggregate Index5,8was down 1.20%, while the Bloomberg Barclays U.S. Aggregate Index5,9was virtually unchanged at 0.01%. The 10-year Treasury yield, which stood at 2.40% on December 31, 2017, rose marginally to finish at 2.69%. The J.P. Morgan Emerging Markets Bond Index – Global10lost 4.61%.
In currency markets, the U.S. dollar rose against most currencies. The euro (-4.80%), British pound (-5.85%) and Canadian dollar (-8.26%) all experienced headwinds from a stronger U.S. dollar. Although most currencies slipped, the Japanese yen was a rare gainer, as it rose 2.68% against the dollar.
Looking ahead
All over the globe, economies appear to be slowing down and equity markets are exhibiting volatility. The current environment is rife with uncertainty, from trade-related disputes to geopolitical tensions to elevated debt levels. We will be following and analyzing each of these issues. But now that these uncertainties have been priced into markets, we can utilize these new lower valuations as we search for securities that are attractive on a longer-term basis. We’re careful by nature, and we know that after a period when everyone is very concerned, it is usually a good time to pick one’s head up and look around for bargains.
Our time-tested approach — based on extensive research, a long-term outlook and close attention to valuation — has served investors well over time. As always, we thank you for your continued support of our efforts and we look forward to reporting to you again in six months.
Sincerely,
Donald D. O’Neal
Co-President
Alan N. Berro
Co-President
February 12, 2019
5 | Source: Bloomberg Index Services Ltd. |
6 | The Bloomberg Barclays U.S. Corporate Investment Grade Index represents the universe of investment grade, publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity and quality requirements. |
7 | The Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index covers the universe of fixed-rate, non-investment-grade debt. The index limits the maximum exposure of any one issuer to 2%. |
8 | The Bloomberg Barclays Global Aggregate Index represents the global investment-grade fixed income markets. |
9 | The Bloomberg Barclays U.S. Aggregate Index represents the U.S. investment-grade fixed-rate bond market. |
10 | The J.P. Morgan Emerging Markets Bond Index – Global tracks total returns for U.S. dollar-denominated debt instruments issued by emerging markets sovereign and quasi-sovereign entities, including Brady bonds, loans and Eurobonds. |
2 | American Funds Insurance Series |
Summary investment portfolios
Summary investment portfolios are designed to streamline this report and help investors better focus on the funds’ principal holdings. Ultra-Short Bond Fund, Managed Risk Growth Fund, Managed Risk International Fund, Managed Risk Blue Chip Income and Growth Fund, Managed Risk Growth-Income Fund and Managed Risk Asset Allocation Fund show a complete listing of portfolio holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings for each fund in the series.
Unless otherwise indicated, American Funds Insurance Series investment results are for Class 1 shares (Class P1 shares for managed risk funds). Class 1A shares began operations on January 6, 2017. Class 2 shares began operations on April 30, 1997. Class 3 shares began operations on January 16, 2004. Class 4 shares began operations on December 14, 2012. Results encompassing periods prior to those dates assume a hypothetical investment in Class 1 shares and include the deduction of additional annual expenses (0.25% for Class 1A shares, 0.25% for Class 2 shares, 0.18% for Class 3 shares and 0.50% for Class 4 shares).
The variable annuities and life insurance contracts that use the series funds contain certain fees and expenses not reflected in this report. Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The series investment adviser waived a portion of its management fees for all existing funds from September 1, 2004, through December 31, 2008, for Global Growth and Income Fund from May 1, 2006, through December 31, 2008, for International Growth and Income Fund from November 18, 2008, through December 31, 2008, for U.S. Government/AAA-Rated Securities Fund from July 1, 2010, through December 31, 2010, and for Blue Chip Income and Growth Fund from February 1, 2014, through January 31, 2015.
For the managed risk funds, the investment adviser is currently waiving a portion of its management fee equal to 0.05% of the funds’ net assets. In addition, the investment adviser is currently reimbursing a portion of other expenses for Managed Risk International Fund and Managed Risk Growth-Income Fund. The waivers and reimbursements will be in effect through at least May 1, 2020, unless modified or terminated by the series board. After that time, the investment adviser may elect to extend, modify or terminate the reimbursements. The waivers may only be modified or terminated with the approval of the series board. Applicable fund results shown reflect the waivers and reimbursements, without which results would have been lower. See the Financial Highlights tables in this report for details.
The Managed Risk Growth Fund pursues its objective by investing in shares of American Funds Insurance Series — Growth FundSMand American Funds Insurance Series — Bond FundSM. The Managed Risk International Fund pursues its objective by investing in shares of American Funds Insurance Series — International FundSMand American Funds Insurance Series — Bond FundSM. The Managed Risk Blue Chip Income and Growth Fund pursues its objective by investing in shares of American Funds Insurance Series — Blue Chip Income and Growth FundSMand American Funds Insurance Series — U.S. Government/AAA-Rated Securities FundSM. The Managed Risk Growth-Income Fund pursues its objective by investing in shares of American Funds Insurance Series — Growth-Income FundSMand American Funds Insurance Series — Bond FundSM. The Managed Risk Asset Allocation Fund pursues its objective by investing in shares of American Funds Insurance Series — Asset Allocation FundSM. The funds seek to manage portfolio volatility and provide downside protection, primarily through the use of exchange-traded futures. The benefit of the funds’ managed risk strategy should be most apparent during periods of high volatility and in down markets. In steady or rising markets, the funds’ results can be expected to lag those of the underlying fund.
Funds are listed in the report as follows: equity, balanced, fixed income and managed risk.
American Funds Insurance Series | 3 |
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Global Growth Fund slipped 8.81% for the 12 months ended December 31, 2018, compared with a 9.42% decrease for the MSCI ACWI (All Country World Index),1a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets, consisting of more than 40 developed and emerging market country indexes.
Global stocks, as measured by the MSCI ACWI, ended the year in negative territory hurt by slowing economic growth, increased volatility and higher interest rates in the U.S. While ongoing turmoil over the U.K.’s departure from the European Union weighed on European stocks, a combination of a stronger U.S. dollar and heightened U.S.-China trade frictions impacted emerging markets equities. Cyclical stocks posted the biggest losses, underscored by double-digit declines in the financials, industrials and materials sectors.
An eclectic mix of financials and consumer discretionary investments boosted the fund’s relative returns. Amazon reported strong third-quarter earnings that beat analyst estimates thanks to its cloud and advertising segments, and was the top contributor to the fund’s relative returns. Investments in information technology were the biggest drag on relative results led by AAC Technologies Holdings, Tencent and Facebook, losing ground as a broad selloff continued in the formerly high-flying sector.
On a geographic basis, stocks of companies domiciled in the U.S., Germany and India were additive to relative results, while stocks of companies based in the U.K., China and Brazil lagged.
Despite market volatility, the fund’s portfolio managers are optimistic they will continue to find good companies globally that offer high-quality products, and whose values are not yet fully reflected in their share prices.
Country diversification | Percent of net assets | |||
The Americas | ||||
United States | 43.6 | % | ||
Other | 1.2 | |||
44.8 | ||||
Europe | ||||
United Kingdom | 6.8 | |||
Netherlands | 5.0 | |||
France | 4.4 | |||
Switzerland | 3.8 | |||
Germany | 1.8 | |||
Russian Federation | 1.3 | |||
Sweden | 1.1 | |||
Other | 2.8 | |||
27.0 | ||||
Asia/Pacific Basin | ||||
China | 4.7 | |||
Japan | 4.4 | |||
Taiwan | 4.3 | |||
Hong Kong | 3.2 | |||
India | 1.9 | |||
Other | 2.4 | |||
20.9 | ||||
Other regions | ||||
South Africa | 1.7 | |||
Short-term securities & other assets less liabilities | 5.6 | |||
Total | 100.0 | % | ||
Largest equity securities | Percent of net assets | |||
Amazon | 6.24 | % | ||
TSMC | 3.82 | |||
Alphabet | 3.54 | |||
ASML | 3.32 | |||
Microsoft | 2.92 | |||
Visa | 2.74 | |||
Alibaba Group | 2.32 | |||
AIA Group | 2.26 | |||
Broadcom | 2.25 | |||
Airbus Group | 1.91 |
4 | American Funds Insurance Series |
Global Growth Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Expense | |||||||||||||||||||
1 year | 5 years | 10 years | (since April 30, 1997) | ratio | ||||||||||||||||
Class 1 | –8.81 | % | 5.92 | % | 11.96 | % | 9.16 | % | .55 | % | ||||||||||
Class 1A | –9.02 | 5.66 | 11.69 | 8.89 | .80 | |||||||||||||||
Class 2 | –9.04 | 5.65 | 11.69 | 8.89 | .80 | |||||||||||||||
Class 4 | –9.24 | 5.39 | 11.45 | 8.64 | 1.05 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: MSCI. The MSCI index result reflects dividends net of withholding taxes and reinvestment of distributions. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 5 |
Global Small Capitalization Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Global Small Capitalization Fund declined 10.31% for the 12 months ended December 31, 2018. Its benchmark, the MSCI All Country World Small Cap Index,1a free float-adjusted market capitalization-weighted index that is designed to measure equity market results of smaller capitalization companies in both developed and emerging markets, fell 14.39%.
Global stocks, as measured by the MSCI ACWI, ended the year in negative territory hurt by slowing economic growth, increased volatility and higher interest rates in the U.S. While ongoing turmoil over the U.K.’s departure from the European Union weighed on European stocks, a combination of a stronger U.S. dollar and heightened U.S.-China trade frictions impacted emerging markets equities. Cyclical stocks posted the biggest losses, underscored by double-digit declines in the financials, industrials and materials sectors.
Fund holdings in the health care sector, which includes investments across multiple sub-segments from biotechnology and pharmaceuticals to life sciences tools and services, aided returns. Evolent Health contributed to the fund’s results as the benefits of value-based care gained support. However, the fund’s investments in consumer discretionary stocks, such as Tele Columbus and Melco International Development, hurt results amid market volatility and weak economic data from the Eurozone and China.
While investments in U.S. companies were additive to relative returns, investments in companies domiciled in Hong Kong detracted.
The fund’s portfolio managers continue to seek investment opportunities in undervalued companies that have the potential to revolutionize industries and benefit shareholders. Innovation at smaller health care companies, for example, helps facilitate breakthroughs and the biotechnology industry is an area of interest due to continuous improvements in drug research methods and approval processes. The fund also currently invests in nearly 300 companies diversified across geographies. Political uncertainty in both the U.S. and U.K. leads to some concerns about business confidence in the short term. As always, we maintain our commitment to investing for the long term and believe our rigorous bottom-up research into each potential equity investment can help achieve this goal.
Country diversification | Percent of net assets | |||
The Americas | ||||
United States | 42.4 | % | ||
Brazil | 1.5 | |||
Canada | 1.2 | |||
Other | .7 | |||
45.8 | ||||
Asia/Pacific Basin | ||||
India | 5.8 | |||
Japan | 5.5 | |||
China | 4.7 | |||
Hong Kong | 2.6 | |||
Philippines | 1.8 | |||
South Korea | 1.2 | |||
Thailand | 1.0 | |||
Taiwan | 1.0 | |||
Other | 1.1 | |||
24.7 | ||||
Europe | ||||
United Kingdom | 7.3 | |||
Germany | 2.2 | |||
Sweden | 2.0 | |||
Switzerland | 1.1 | |||
Italy | 1.1 | |||
Other | 4.9 | |||
18.6 | ||||
Short-term securities & other assets less liabilities | 10.9 | |||
Total | 100.0 | % |
Largest equity securities | Percent of net assets | |||
GW Pharmaceuticals | 2.19 | % | ||
Insulet | 1.87 | |||
Kotak Mahindra Bank | 1.54 | |||
Paycom | 1.44 | |||
Allakos | 1.27 | |||
Molina Healthcare | 1.21 | |||
Five Below | 1.18 | |||
International Container Terminal Services | 1.17 | |||
iRhythm | 1.17 | |||
Integra LifeSciences Holdings | 1.14 |
6 | American Funds Insurance Series |
Global Small Capitalization Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Expense | |||||||||||||||||||
1 year | 5 years | 10 years | (since April 30, 1998) | ratio | ||||||||||||||||
Class 1 | –10.31 | % | 3.57 | % | 11.32 | % | 8.73 | % | .74 | % | ||||||||||
Class 1A | –10.56 | 3.32 | 11.04 | 8.46 | .99 | |||||||||||||||
Class 2 | –10.55 | 3.32 | 11.04 | 8.46 | .99 | |||||||||||||||
Class 4 | –10.80 | 3.06 | 10.77 | 8.19 | 1.24 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: MSCI. The MSCI index result reflects dividends net of withholding taxes and reinvestment of distributions. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 7 |
Growth Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Growth Fund marginally lost 0.01% for the 12 months ended December 31, 2018, compared with a 4.38% decline in its benchmark index, Standard & Poor’s 500 Composite Index,1a market capitalization-weighted index based on the results of approximately 500 widely held common stocks.
U.S. equities declined for the first calendar year since 2008. Concerns over trade conflicts, slowing global growth and high valuations contributed to persistent volatility. Energy and materials companies were further pressured by falling commodity prices. While growth-oriented stocks performed relatively better than defensive stocks, many companies experienced wild swings throughout the year.
Investments in the information technology and consumer discretionary sectors boosted the fund’s returns. Among the fund’s top contributors to returns (posting double-digit gains) was consumer discretionary company Amazon and information technology company ServiceNow. While Amazon reported strong third-quarter earnings that beat analyst estimates thanks to its cloud and advertising segments, ServiceNow benefited from increased demand for cloud services. Exposure to the energy sector detracted from fund results as oil prices plummeted on concerns of excess supply.
Although U.S. economic growth remained strong with GDP growing at an annualized pace of 3.4% in the third quarter, the fund’s portfolio managers are keeping a close watch on the impact of interest rate hikes on economic activity and the outlook for corporate profit growth in the U.S. Portfolio managers continue to favor well-positioned, growth-oriented companies that are capable of generating free cash flow in myriad economic environments and remain optimistic that our global research will help us identify attractive long-term investment opportunities.
Largest equity securities | Percent of net assets | |||
Microsoft | 4.53 | % | ||
4.20 | ||||
Broadcom | 3.70 | |||
UnitedHealth Group | 3.59 | |||
Amazon | 3.40 | |||
Alphabet | 3.05 | |||
Netflix | 2.74 | |||
Tesla | 2.57 | |||
Regeneron Pharmaceuticals | 2.14 | |||
Intuitive Surgical | 1.92 |
8 | American Funds Insurance Series |
Growth Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Expense | |||||||||||||||||||
1 year | 5 years | 10 years | (since February 8, 1984) | ratio | ||||||||||||||||
Class 1 | –0.01 | % | 10.47 | % | 15.00 | % | 12.44 | % | .34 | % | ||||||||||
Class 1A | –0.26 | 10.20 | 14.72 | 12.16 | .59 | |||||||||||||||
Class 2 | –0.25 | 10.19 | 14.72 | 12.16 | .59 | |||||||||||||||
Class 3 | –0.18 | 10.26 | 14.80 | 12.24 | .52 | |||||||||||||||
Class 4 | –0.50 | 9.92 | 14.45 | 11.89 | .84 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 9 |
International Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
International Fund declined 12.94% for the 12 months ended December 31, 2018. That compares to the 14.20% decline of its benchmark, the MSCI ACWI (All Country World Index) ex USA,1a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets (consisting of more than 40 developed and emerging market country indexes excluding the U.S.).
Global stocks, as measured by the MSCI ACWI, ended the year in negative territory hurt by slowing economic growth, increased volatility and higher interest rates in the U.S. While ongoing turmoil over the U.K.’s departure from the European Union weighed on European stocks, a combination of a stronger U.S. dollar and heightened U.S.-China trade frictions impacted emerging markets equities. Cyclical stocks posted the biggest losses, underscored by double-digit declines in the financials, industrials and materials sectors.
In the fund, stocks in the financials sector generated the highest relative returns. Within the sector, HDFC Bank reported profit growth in the second quarter and AIA Group reported strong earnings for the first half of the year. On the flip side, investments in consumer staples companies were a drag on results. Within the sector, British American Tobacco hindered results amid pressure from competition and regulation.
The fund’s portfolio managers continue to monitor key indicators in advanced countries — from wage growth and inflation dynamics to the impact of technology and demographics on productivity — as they seek the flexibility to pivot to areas of opportunity. Our focus on a company’s fundamental growth drivers and intrinsic worth is critical to helping us identify companies that we believe represent the best value over the long term.
Country diversification | Percent of net assets | |||
Asia/Pacific Basin | ||||
Japan | 13.1 | % | ||
China | 9.6 | |||
Hong Kong | 7.3 | |||
India | 7.0 | |||
South Korea | 3.7 | |||
Philippines | 1.1 | |||
Australia | 1.0 | |||
Other | 1.1 | |||
43.9 | ||||
Europe | ||||
United Kingdom | 11.5 | |||
France | 10.2 | |||
Switzerland | 5.1 | |||
Germany | 2.8 | |||
Spain | 2.4 | |||
Netherlands | 1.4 | |||
Ireland | 1.1 | |||
Other | 1.8 | |||
36.3 | ||||
The Americas | ||||
Canada | 2.9 | |||
Brazil | 2.0 | |||
United States | 1.7 | |||
Mexico | .4 | |||
7.0 | ||||
Other regions | ||||
Israel | 1.2 | |||
Other | .6 | |||
1.8 | ||||
Short-term securities & other assets less liabilities | 11.0 | |||
Total | 100.0 | % | ||
Largest equity securities | Percent of net assets | |||
AIA Group | 3.78 | % | ||
HDFC Bank | 3.21 | |||
Airbus | 3.12 | |||
Novartis | 3.11 | |||
Tencent | 2.22 | |||
Shire | 2.17 | |||
Samsung Electronics | 1.90 | |||
Pernod Ricard | 1.69 | |||
Alibaba Group | 1.68 | |||
Royal Dutch Shell | 1.53 |
10 | American Funds Insurance Series |
International Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Expense | |||||||||||||||||||
1 year | 5 years | 10 years | (since May 1, 1990) | ratio | ||||||||||||||||
Class 1 | –12.94 | % | 2.26 | % | 7.93 | % | 7.72 | % | .53 | % | ||||||||||
Class 1A | –13.11 | 2.02 | 7.67 | 7.45 | .78 | |||||||||||||||
Class 2 | –13.13 | 2.01 | 7.65 | 7.45 | .78 | |||||||||||||||
Class 3 | –13.10 | 2.07 | 7.73 | 7.53 | .71 | |||||||||||||||
Class 4 | –13.41 | 1.75 | 7.41 | 7.19 | 1.03 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: MSCI. The MSCI index result reflects dividends net of withholding taxes and reinvestment of distributions. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 11 |
New World Fund®
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
New World Fund was down 13.83% for the 12 months ended December 31, 2018. Its benchmark index, the MSCI ACWI (All Country World Index),1 a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets (consisting of more than 40 developed and emerging market country indexes), declined 9.42%. The MSCI Emerging Markets Index,1a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global emerging markets (consisting of more than 20 emerging market country indexes), decreased by 14.58%.
Global stocks, as measured by the MSCI ACWI, ended the year in negative territory hurt by slowing economic growth, increased volatility and higher interest rates in the U.S. While ongoing turmoil over the U.K.’s departure from the European Union weighed on European stocks, a combination of a stronger U.S. dollar and heightened U.S.-China trade frictions impacted emerging markets equities. In emerging markets, Russia was impacted by U.S. sanctions, while Argentina suffered from a currency crisis as the peso collapsed more than 45% against the greenback.
Investments in the energy sector were beneficial to the fund. Reliance Industries rose led by strong earnings growth from its petrochemical business. The company also benefited from continued expansion and success of its telecommunications network Jio. Among detractors, investments in the financials sector hurt results with Grupo Financiero Galicia hindering returns, despite reporting a rise in second-quarter profits from the same period in 2017. Investments in tobacco companies such as British American Tobacco were also a drag on results due to concerns about nicotine regulation in the U.S., as well as competition from vaping and heat-not-burn products.
At this point in the market cycle and amid increased volatility, selectivity and close attention to individual holdings are particularly important. The fund’s portfolio managers continue to pursue a bottom-up approach to investing and continue to search for undervalued companies with solid foundations around the world.
Country diversification | Percent of net assets | |||
Asia/Pacific Basin | ||||
India | 13.0 | % | ||
China | 10.3 | |||
Japan | 4.8 | |||
Taiwan | 3.1 | |||
Hong Kong | 2.9 | |||
Other | 3.3 | |||
37.4 | ||||
The Americas | ||||
United States | 15.5 | |||
Brazil | 9.1 | |||
Canada | 1.3 | |||
Other | 2.6 | |||
28.5 | ||||
Europe | ||||
United Kingdom | 4.9 | |||
France | 2.3 | |||
Russian Federation | 2.1 | |||
Switzerland | 2.1 | |||
Germany | 1.3 | |||
Other | 2.3 | |||
15.0 | ||||
Other regions | ||||
Other | 2.0 | |||
Short-term securities & other assets less liabilities | 17.1 | |||
Total | 100.0 | % | ||
Largest equity securities | Percent of net assets | |||
Reliance Industries | 6.16 | % | ||
TSMC | 2.89 | |||
HDFC Bank | 2.71 | |||
Alphabet | 2.21 | |||
AIA Group | 1.79 | |||
Alibaba Group | 1.76 | |||
PagSeguro Digital | 1.75 | |||
Vale | 1.74 | |||
British American Tobacco | 1.62 | |||
B3 | 1.48 |
12 | American Funds Insurance Series |
New World Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Expense | |||||||||||||||||||
1 year | 5 years | 10 years | (since June 17, 1999) | ratio | ||||||||||||||||
Class 1 | –13.83 | % | 1.14 | % | 7.87 | % | 7.51 | % | .76 | % | ||||||||||
Class 1A | –14.02 | 0.89 | 7.61 | 7.24 | 1.01 | |||||||||||||||
Class 2 | –14.04 | 0.89 | 7.61 | 7.24 | 1.01 | |||||||||||||||
Class 4 | –14.25 | 0.63 | 7.35 | 6.98 | 1.26 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: MSCI. Results for MSCI indexes reflect dividends net of withholding taxes and reinvestment of distributions. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 13 |
Blue Chip Income and Growth Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Blue Chip Income and Growth Fund lost 8.45% for the 12 months ended December 31, 2018, trailing its benchmark index, Standard & Poor’s 500 Composite Index,1a market capitalization-weighted index based on the results of approximately 500 widely held common stocks, which declined 4.38%.
U.S. equities declined for the first calendar year since 2008. Concerns over trade conflicts, slowing global growth and high valuations contributed to persistent volatility. Energy and materials companies were further pressured by falling commodity prices. While growth-oriented stocks performed relatively better than defensive stocks, many companies experienced wild swings throughout the year.
Over the fiscal year, stock selection in the materials sector helped marginally boost relative returns, while positions in health care and industrials lagged, as did holdings among the less-cyclical consumer staples sector. In particular, tobacco companies were hurt by concerns about nicotine regulation in the U.S., as well as competition from vaping and heat-not-burn products. The fund was also disadvantaged by its lower holding of select, U.S. growth stocks.
The fund’s portfolio managers are keeping a close watch on the U.S. economy. Portfolio managers continue to favor more stable, high-dividend-paying companies that are likely to hold up better in weak markets, while providing consistent income and remain optimistic that our global research will help us identify attractive long-term investment opportunities.
Largest equity securities | Percent of net assets | |||
AbbVie | 7.70 | % | ||
Abbott Laboratories | 5.19 | |||
Lowe’s | 3.58 | |||
Amgen | 3.43 | |||
Microsoft | 3.30 | |||
Intel | 3.22 | |||
EOG Resources | 2.95 | |||
Gilead Sciences | 2.93 | |||
Philip Morris International | 2.78 | |||
QUALCOMM | 2.72 |
14 | American Funds Insurance Series |
Blue Chip Income and Growth Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Expense | |||||||||||||||||||
1 year | 5 years | 10 years | (since July 5, 2001) | ratio | ||||||||||||||||
Class 1 | –8.45 | % | 7.55 | % | 12.12 | % | 5.91 | % | .41 | % | ||||||||||
Class 1A | –8.67 | 7.30 | 11.85 | 5.65 | .66 | |||||||||||||||
Class 2 | –8.66 | 7.28 | 11.86 | 5.64 | .66 | |||||||||||||||
Class 4 | –8.92 | 7.01 | 11.63 | 5.41 | .91 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008, and from February 1, 2014, through January 31, 2015. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 15 |
Global Growth and Income Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Global Growth and Income Fund declined 9.36% for the 12 months ended December 31, 2018, compared with a 9.42% decrease in its benchmark index, MSCI ACWI (All Country World Index),1a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets, consisting of more than 40 developed and emerging market country indexes.
Global stocks, as measured by the MSCI ACWI, ended the year in negative territory hurt by slowing economic growth, increased volatility and higher interest rates in the U.S. While ongoing turmoil over the U.K.’s departure from the European Union weighed on European stocks, a combination of a stronger U.S. dollar and heightened U.S.-China trade frictions impacted emerging markets equities. Cyclical stocks posted the biggest losses, underscored by double-digit declines in the financials, industrials and materials sectors.
Several sectors including health care contributed to the fund’s returns. Health care companies UnitedHealth Group and Centene rallied on solid earnings reports and were among the top contributors to results. On the downside, investments in information technology – representing the fund’s largest sector holding – were a drag on relative results led by PagSeguro and AAC Technologies Holdings, losing ground as a broad selloff continued in the formerly high-flying sector.
With quantitative easing programs ending or set to end and slower economic growth in the U.S. and Europe, the fund’s portfolio managers remain cautiously optimistic about prospects for the global economy. Portfolio managers continue to invest based on a bottom-up approach to long-term investing and believe they can uncover promising companies with sustainable dividends and income.
Country diversification | Percent of net assets | |||
The Americas | ||||
United States | 37.5 | % | ||
Brazil | 6.0 | |||
Canada | 1.5 | |||
Other | .2 | |||
45.2 | ||||
Europe | ||||
France | 6.5 | |||
United Kingdom | 5.8 | |||
Switzerland | 3.7 | |||
Germany | 2.6 | |||
Denmark | 2.1 | |||
Netherlands | 2.1 | |||
Spain | 1.2 | |||
Italy | 1.0 | |||
Other | 1.6 | |||
26.6 | ||||
Asia/Pacific Basin | ||||
Japan | 6.8 | |||
Taiwan | 3.8 | |||
India | 3.6 | |||
China | 2.3 | |||
Hong Kong | 1.6 | |||
Australia | 1.3 | |||
Other | 2.2 | |||
21.6 | ||||
Other regions | ||||
Israel | .5 | |||
Short-term securities & other assets less liabilities | 6.1 | |||
Total | 100.0 | % |
Largest equity securities | Percent of net assets | |||
Nintendo | 4.24 | % | ||
TSMC | 3.85 | |||
UnitedHealth Group | 3.74 | |||
Airbus Group | 3.12 | |||
Reliance Industries | 2.83 | |||
Vale | 2.49 | |||
Microsoft | 2.33 | |||
Nestlé | 2.18 | |||
Alphabet | 2.04 | |||
Broadcom | 2.04 |
16 | American Funds Insurance Series |
Global Growth and Income Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
1 year | 5 years | 10 years | Lifetime (since May 1, 2006) | Expense ratio | ||||||||||||||||
Class 1 | –9.36 | % | 5.26 | % | 10.84 | % | 5.87 | % | .63 | % | ||||||||||
Class 1A | –9.62 | 5.03 | 10.59 | 5.62 | .88 | |||||||||||||||
Class 2 | –9.63 | 4.97 | 10.56 | 5.60 | .88 | |||||||||||||||
Class 4 | –9.89 | 4.71 | 10.31 | 5.36 | 1.13 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from May 1, 2006, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source MSCI. The MSCI index result reflects dividends net of withholding taxes and reinvestment of distributions. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 17 |
Growth-Income Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Growth-Income Fund lost 1.55% for the 12 months ended December 31, 2018. Standard & Poor’s 500 Composite Index,1a market capitalization-weighted index based on the results of approximately 500 widely held common stocks, declined 4.38%.
U.S. equities declined for the first calendar year since 2008. Concerns over trade conflicts, slowing global growth and high valuations contributed to persistent volatility. Energy and materials companies were further pressured by falling commodity prices. While growth-oriented stocks performed relatively better than defensive stocks, many companies experienced wild swings throughout the year.
Regarding the fund, investments in the consumer discretionary sector contributed the most to the fund’s relative returns. Among consumer discretionary companies, Amazon reported strong third-quarter earnings that beat analyst estimates thanks to its cloud and advertising segments. On the downside, investments in the energy sector, such as EOG Resources and Schlumberger, detracted from the fund’s results as oil prices plummeted on concerns of a glut.
Largest equity holdings | Percent of net assets | |||
Microsoft | 3.30 | % | ||
Alphabet | 2.32 | |||
AbbVie | 2.25 | |||
2.18 | ||||
UnitedHealth Group | 1.91 | |||
Amazon | 1.76 | |||
Broadcom | 1.69 | |||
JPMorgan Chase | 1.63 | |||
Intel | 1.56 | |||
Gilead Sciences | 1.49 |
18 | American Funds Insurance Series |
Growth-Income Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
1 year | 5 years | 10 years | Lifetime (since February 8, 1984) | Expense ratio | ||||||||||||||||
Class 1 | –1.55 | % | 8.79 | % | 13.26 | % | 11.06 | % | .28 | % | ||||||||||
Class 1A | –1.78 | 8.53 | 12.98 | 10.78 | .53 | |||||||||||||||
Class 2 | –1.79 | 8.51 | 12.98 | 10.78 | .53 | |||||||||||||||
Class 3 | –1.72 | 8.59 | 13.05 | 10.86 | .46 | |||||||||||||||
Class 4 | –2.05 | 8.24 | 12.71 | 10.51 | .78 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 19 |
International Growth and Income Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
International Growth and Income Fund declined 11.00% for the 12 months ended December 31, 2018, compared to the 14.20% decline in its benchmark index, the MSCI ACWI (All Country World Index) ex USA,1a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets (consisting of more than 40 developed and emerging market country indexes excluding the U.S.).
Global stocks, as measured by the MSCI ACWI, ended the year in negative territory hurt by slowing economic growth, increased volatility and higher interest rates in the U.S. While ongoing turmoil over the U.K.’s departure from the European Union weighed on European stocks, a combination of a stronger U.S. dollar and heightened U.S.-China trade frictions impacted emerging markets equities. Cyclical stocks posted the biggest losses, underscored by double-digit declines in the financials, industrials and materials sectors.
An eclectic mix of stocks contributed to the fund’s relative returns led by companies in the industrials and utilities sectors. Danish energy group Ørsted recorded double-digit returns and was among the top contributors to the fund’s returns as the company reported strong third-quarter profits from operational wind farms. On the downside, investments in the consumer staples sector was a weak spot. British American Tobacco detracted from relative results amid pressure from competition and regulation.
The fund’s portfolio managers continue to monitor global geopolitics that may derail economic growth, and are optimistic that global research combined with the fund’s flexible mandate will help us identify attractive investment opportunities.
Country diversification | Percent of net assets | |||
Europe | ||||
United Kingdom | 20.4 | % | ||
France | 9.5 | |||
Switzerland | 5.3 | |||
Germany | 4.1 | |||
Spain | 3.1 | |||
Denmark | 2.2 | |||
Sweden | 1.9 | |||
Netherlands | 1.5 | |||
Russian Federation | 1.3 | |||
Norway | 1.0 | |||
Other | .7 | |||
51.0 | ||||
Asia/Pacific Basin | ||||
China | 7.4 | |||
Japan | 7.4 | |||
Hong Kong | 6.5 | |||
India | 4.0 | |||
South Korea | 3.0 | |||
Philippines | 1.1 | |||
Thailand | 1.0 | |||
Other | 1.5 | |||
31.9 | ||||
The Americas | ||||
Brazil | 3.1 | |||
Other | 1.7 | |||
4.8 | ||||
Other regions | ||||
Turkey | 1.8 | |||
Other | .8 | |||
2.6 | ||||
Short-term securities & other assets less liabilities | 9.7 | |||
Total | 100.0 | % |
Largest equity securities | Percent of net assets | |||
Royal Dutch Shell | 4.56 | % | ||
Shire | 4.04 | |||
Rio Tinto | 3.11 | |||
HDFC Bank | 2.79 | |||
Novartis | 2.72 | |||
British American Tobacco | 2.56 | |||
Sun Hung Kai Properties | 2.37 | |||
Ørsted | 2.20 | |||
CK Asset Holdings | 2.15 | |||
Zurich | 2.06 |
20 | American Funds Insurance Series |
International Growth and Income Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
1 year | 5 years | 10 years | Lifetime (since November 18, 2008) | Expense ratio | ||||||||||||||||
Class 1 | –11.00 | % | 0.83 | % | 7.19 | % | 8.05 | % | .66 | % | ||||||||||
Class 1A | –11.24 | 0.60 | 6.93 | 7.79 | .91 | |||||||||||||||
Class 2 | –11.23 | 0.58 | 6.92 | 7.77 | .91 | |||||||||||||||
Class 4 | –11.46 | 0.33 | 6.69 | 7.54 | 1.16 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from November 18, 2008, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: MSCI. The MSCI index result reflects dividends net of withholding taxes and reinvestment of distributions. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 21 |
Capital Income Builder®
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Capital Income Builder, a mix of stocks and bonds, lost 6.77% for the 12 months ended December 31, 2018. During the same period, the MSCI ACWI (All Country World Index)1, a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets (consisting of more than 40 developed and emerging market country indexes), declined 9.42%. The Bloomberg Barclays U.S. Aggregate Index,2which represents the U.S. investment-grade (rated BBB/Baa and above) fixed-rate bond market, was virtually unchanged and returned 0.01%. The index blend of 70%/30% MSCI ACWI/Bloomberg Barclays U.S. Aggregate Index3lost 6.48%. The Lipper Global Equity Income Funds Average4, a measure of similar funds, fell 9.41%.
U.S. equities declined for the first calendar year since 2008. Concerns over trade conflicts, slowing global growth and high valuations contributed to persistent volatility. Energy and materials companies were further pressured by falling commodity prices. While growth-oriented stocks performed relatively better than defensive stocks, many companies experienced wild swings throughout the year. In a turbulent year, a fourth quarter rally helped bonds outperform other asset classes.
In the equity portfolio, the best contributors to the fund in relative terms were the financials and real estate sectors. A mix of stocks such as CME Group and American Tower contributed to results on the back of strong third quarter earnings that beat analyst estimates. The fund’s fixed income portfolio was also additive to results and benefited from duration positioning.
On the downside, the consumer staples sector, which comprised the second-largest share of the fund’s equity holdings, detracted from returns. Tobacco firms Philip Morris International and British American Tobacco fell due to competition from next-generation smoking products, such as JUUL.
The current market environment is rife with uncertainty. Given that the U.S. is late in the economic cycle, the fund’s portfolio managers are paying close attention to companies’ leverage and are more sharply focused on monitoring balance sheets. They seek to avoid companies that take on debt to pay dividends, and are focused on identifying companies with strong business models and a commitment to paying and growing dividends over time. Higher interest rates should also allow portfolio managers to reinvest bond coupon payments into higher yielding securities, thereby generating more income from the bond portfolio.
Country diversification | Percent of net assets | |||
The Americas | ||||
United States | 56.1 | % | ||
Canada | 2.6 | |||
58.7 | ||||
Europe | ||||
United Kingdom | 12.4 | |||
France | 3.4 | |||
Switzerland | 2.9 | |||
Sweden | 2.0 | |||
Italy | 1.5 | |||
Netherlands | 1.0 | |||
Other | 2.7 | |||
25.9 | ||||
Asia/Pacific Basin | ||||
Hong Kong | 3.1 | |||
Taiwan | 2.3 | |||
Japan | 1.3 | |||
Singapore | 1.2 | |||
New Zealand | 1.0 | |||
Other | .4 | |||
9.3 | ||||
Short-term securities & other assets less liabilities | 6.1 | |||
Total | 100.0 | % |
22 | American Funds Insurance Series |
Capital Income Builder
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Expense | |||||||||||
1 year | (since May 1, 2014) | ratio | ||||||||||
Class 1 | –6.77 | % | 1.82 | % | .54 | % | ||||||
Class 1A | –7.01 | 1.57 | .79 | |||||||||
Class 2 | –7.08 | 1.68 | .79 | |||||||||
Class 4 | –7.25 | 1.31 | 1.04 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: MSCI. The MSCI index result reflects dividends net of withholding taxes and reinvestment of distributions. |
2 | Source: Bloomberg Index Services Ltd. |
3 | Data sources: MSCI and Bloomberg Index Services Ltd. The 70%/30% MSCI ACWI/Bloomberg Barclays U.S. Aggregate Index blends the MSCI ACWI (All Country World Index) with the Bloomberg Barclays U.S. Aggregate Index by weighting their total returns at 70% and 30%, respectively. Its result assumes the blend is rebalanced monthly. |
4 | Source: Thomson Reuters Lipper. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 23 |
Asset Allocation Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Asset Allocation Fund, which is a mix of stocks and bonds, fell 4.35% for the 12 months ended December 31, 2018. Standard & Poor’s 500 Composite Index,1a market capitalization-weighted index based on the results of approximately 500 widely held common stocks, declined 4.38% over the same period, while the Bloomberg Barclays U.S. Aggregate Index,2which represents the U.S. investment-grade (rated BBB/Baa and above) fixed-rate bond market, returned 0.01%. A blend of the two indexes, the 60%/40% S&P 500 Index/Bloomberg Barclays U.S. Aggregate Index,3slipped 2.35%.
U.S. equities declined for the first time since 2008. Concerns over trade conflicts, slowing global growth and high valuations contributed to persistent volatility. Energy and materials companies were further pressured by falling commodity prices. While growth-oriented stocks performed relatively better than defensive stocks, many companies experienced wild swings throughout the year. In a turbulent year, a fourth quarter rally helped bonds outperform other asset classes.
Investments in the health care sector — one of the fund’s largest sector holdings — contributed to the fund’s returns. Molina Healthcare, UnitedHealth Group and Express Scripts boosted results, as all three companies had double-digit returns, which were on the back of strong third-quarter earnings for UnitedHealth Group and Express Scripts. On the downside, energy stocks detracted from returns as oil prices slipped due to fears of growing U.S. output and weaker global demand. The fund’s fixed income holdings were also a drag on returns due to curve positioning.
The fund’s portfolio managers continue to evaluate the economic and market-sector implications of the current administration’s decisions regarding trade. The fund’s cash position allows portfolio managers to remain flexible and better navigate uncertainty by focusing on opportunities when stock prices are favorable.
Largest equity securities | Percent of net assets | |||
Microsoft | 2.88 | % | ||
TSMC | 2.26 | |||
Broadcom | 2.21 | |||
UnitedHealth Group | 2.19 | |||
Johnson & Johnson | 1.95 | |||
DowDuPont | 1.81 | |||
Boeing | 1.60 | |||
Philip Morris International | 1.58 | |||
Nestlé | 1.47 | |||
Cigna | 1.40 |
24 | American Funds Insurance Series |
Asset Allocation Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Expense | |||||||||||||||||||
1 year | 5 years | 10 years | (since August 1,1989) | ratio | ||||||||||||||||
Class 1 | –4.35 | % | 5.60 | % | 10.44 | % | 8.22 | % | .29 | % | ||||||||||
Class 1A | –4.58 | 5.35 | 10.17 | 7.95 | .54 | |||||||||||||||
Class 2 | –4.60 | 5.33 | 10.16 | 7.95 | .54 | |||||||||||||||
Class 3 | –4.49 | 5.41 | 10.24 | 8.03 | .47 | |||||||||||||||
Class 4 | –4.83 | 5.07 | 9.93 | 7.70 | .79 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. |
2 | Source: Bloomberg Index Services Ltd. |
3 | Data sources: S&P Dow Jones Indices LLC and Bloomberg Index Services Ltd. The 60%/40% S&P 500 Index/Bloomberg Barclays U.S. Aggregate Index blends the S&P 500 with the Bloomberg Barclays U.S. Aggregate Index by weighting their cumulative total returns at 60% and 40%, respectively. This assumes the blend is rebalanced monthly. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 25 |
Global Balanced Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Global Balanced Fund declined 5.81% for the 12 months ended December 31, 2018. The MSCI ACWI (All Country World Index)1, a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets (consisting of more than 40 developed and emerging market country indexes), lost 9.42%, while the Bloomberg Barclays Global Aggregate Index,2a measure of global investment-grade bonds (rated BBB/Baa and above), fell 1.20%. The 60%/40% MSCI ACWI/ Bloomberg Barclays Global Aggregate Index3, a blend of the two indexes, slipped 6.00%.
Global stocks, as measured by the MSCI ACWI, ended the year in negative territory hurt by slowing economic growth, increased volatility and higher interest rates in the U.S. While ongoing turmoil over the U.K.’s departure from the European Union weighed on European stocks, a combination of a stronger U.S. dollar and heightened U.S.-China trade frictions impacted emerging markets equities.
Investments in the health care sector boosted the fund’s returns led by companies such as U.S. health insurer Humana. The company’s shares hit new highs on the back of strong third-quarter earnings and amid a wider boost to the health insurance sector following U.S. congressional mid-term elections.
On the flip side, investments in consumer staples companies hindered results. In particular, tobacco companies were hurt by concerns about nicotine regulation in the U.S. and increased competition. Fixed income investments also detracted from returns led by the fund’s exposure to emerging market debt.
While there is reason for caution in the global outlook, there are broad themes that offer the fund’s portfolio managers investment opportunities. Equity investments in health care and technology can provide exposure to innovations with significant growth potential. Within fixed income, portfolio managers see pockets of opportunities in emerging markets, such as Mexico and Poland, where selling in response to higher rates belies underlying strengths.
Largest sectors in common stock holdings | Percent of net assets | |||
Information technology | 11.3 | % | ||
Financials | 8.1 | |||
Health care | 7.5 | |||
Industrials | 6.8 | |||
Energy | 5.0 | |||
Largest fixed income holdings (by issuer) | ||||
U.S. Treasury | 12.5 | |||
Japanese Government | 4.3 | |||
Mexican Government | 1.2 | |||
Polish Government | 1.1 | |||
Fannie Mae | 1.1 |
Currency diversification | Percent of net assets |
Equity securities | Bonds & notes | Forward currency contracts | Short–term securities & other assets less liabilities | Total | ||||||||||||||||
U.S. dollars | 29.2 | % | 21.3 | % | .3 | % | 6.3 | % | 57.1 | % | ||||||||||
Euros | 7.4 | 3.6 | .4 | — | 11.4 | |||||||||||||||
Japanese yen | 2.8 | 4.3 | .7 | — | 7.8 | |||||||||||||||
British pounds | 6.3 | .7 | .7 | — | 7.7 | |||||||||||||||
Hong Kong dollars | 2.5 | — | — | — | 2.5 | |||||||||||||||
Swiss francs | 2.1 | — | — | — | 2.1 | |||||||||||||||
Danish kroner | 1.0 | .6 | — | — | 1.6 | |||||||||||||||
Taiwan new dollar | 1.5 | — | — | — | 1.5 | |||||||||||||||
Other currencies | 3.9 | 6.5 | (2.1 | ) | — | 8.3 | ||||||||||||||
100.0 | % | |||||||||||||||||||
Largest equity securities | Percent of net assets | |||
Nintendo | 1.55 | % | ||
ASML | 1.54 | |||
TSMC | 1.46 | |||
Merck | 1.39 | |||
Microsoft | 1.34 | |||
Boeing | 1.34 | |||
JPMorgan Chase | 1.29 | |||
Humana | 1.28 | |||
HSBC Holding | 1.22 | |||
PagSeguro | 1.13 |
26 | American Funds Insurance Series |
Global Balanced Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Expense | |||||||||||||||
1 year | 5 years | (since May 2, 2011) | ratio | |||||||||||||
Class 1 | –5.81 | 3.66 | % | 4.75 | % | .72 | % | |||||||||
Class 1A | –6.03 | 3.43 | 4.51 | .97 | ||||||||||||
Class 2 | –6.01 | 3.40 | 4.49 | .97 | ||||||||||||
Class 4 | –6.31 | 3.29 | 4.38 | 1.22 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: MSCI. The MSCI index result reflects dividends net of withholding taxes and reinvestment of distributions. |
2 | Source: Bloomberg Index Services Ltd. |
3 | Data sources: MSCI and Bloomberg Index Services Ltd. The 60%/40% MSCI ACWI/Barclays Global Aggregate Index blends the MSCI ACWI (All Country World Index) with the Bloomberg Barclays Global Aggregate Index by weighting their cumulative total returns at 60% and 40%, respectively. Its result assumes the blend is rebalanced monthly. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 27 |
Bond Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Bond Fund slipped 0.45% for the 12 months ended December 31, 2018. In comparison, the fund’s benchmark, the Bloomberg Barclays U.S. Aggregate Index,1which represents the U.S. investment-grade (rated BBB/Baa and above) fixed-rate bond market, was flat and returned 0.01%.
Rising yields made for mixed results across bond sectors as the 10-year Treasury yield rose 29 basis points. The Federal Reserve hiked the federal funds target rate four times this year to a range of 2.25% to 2.50% on the back of a strong labor market and solid economic growth.
The fund’s exposure to higher-yielding securities contributed to results. Bond investments across a mix of issuers and sectors exposed the fund to idiosyncratic risks and an underweight position in U.S. Treasuries detracted from results.
On the whole, the U.S. economy appears to be in good shape and is expected to grow at a moderate pace. The Fed is well ahead of its peers on its path to monetary policy normalization that may help contribute to a more stable environment for interest rate hikes. The fund’s portfolio managers are optimistic about total returns against such a backdrop and for investing in a spectrum of U.S. fixed income securities.
Largest holdings (by issuer) | Percent of net assets | |||
U.S. Treasury | 28.9 | % | ||
Fannie Mae | 12.3 | |||
Freddie Mac | 5.5 | |||
Ginnie Mae | 4.8 | |||
Mexican Government | 2.6 | |||
Teva Pharmaceutical | 1.7 | |||
State of Illinois | 1.3 | |||
Portuguese Government | 1.3 | |||
Bank of America | 1.1 | |||
Japanese Government | 1.1 |
28 | American Funds Insurance Series |
Bond Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Expense | |||||||||||||||||||
1 year | 5 years | 10 years | (since January 2, 1996) | ratio | ||||||||||||||||
Class 1 | –0.45 | % | 2.52 | % | 4.16 | % | 4.51 | % | .38 | % | ||||||||||
Class 1A | –0.60 | 2.29 | 3.91 | 4.26 | .63 | |||||||||||||||
Class 2 | –0.71 | 2.27 | 3.90 | 4.25 | .63 | |||||||||||||||
Class 4 | –0.89 | 2.03 | 3.66 | 4.00 | .88 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: Bloomberg Index Services Ltd. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 29 |
Global Bond Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Global Bond Fund slipped 1.14% for the 12 months ended December 31, 2018. This was in line with the fund’s benchmark, the Bloomberg Barclays Global Aggregate Index,1which measures global investment-grade bonds (rated BBB/Baa and above) that declined 1.20%.
U.S. Treasury bonds rose modestly, boosted by safe-haven buying as volatile financial markets sent investors fleeing for cover. The positive gains, however, masked a more tumultuous year as rising U.S. interest rates jolted markets around the world. The U.S. dollar also strengthened in response to higher rates and quantitative tightening. Investment-grade and high-yield corporate bonds finished the year in negative territory, as did emerging markets debt. Meanwhile, the Federal Reserve hiked the federal funds target rate four times this year to a range of 2.25% to 2.50%.
Country allocation contributed the most to the fund’s relative returns, driven by above-benchmark investments in Polish, Indian and Brazilian debt. On the downside, duration positioning and currency exposure hampered returns. Emerging market currencies were particularly under pressure due to a stronger dollar, and investments in the Indian rupee hindered results.
As growth in the U.S. moderates, the fund’s portfolio managers seek to identify long-term investments around the world such as in emerging markets where corporate and high-yield debt may present opportunities. Given the fund’s core objective is to provide a high-level of total return over the long term, the fund’s portfolio managers maintain a cautious approach to investing in different sectors of the bond market, such as high-yield debt.
Percent of net assets | ||||||||
Currency weighting (after hedging) by country | ||||||||
United States2 | 47.5 | % | ||||||
Japan | 16.9 | |||||||
Eurozone3 | 15.7 | |||||||
United Kingdom | 5.0 | |||||||
Mexico | 3.6 | |||||||
Poland | 2.5 | |||||||
Denmark | 1.7 | |||||||
Other | 7.1 | |||||||
Total | 100.0 | % | ||||||
Non-U.S. government bonds by country | ||||||||
Eurozone3: | ||||||||
Germany | 2.7 | % | ||||||
Spain | 2.0 | |||||||
Italy | 1.4 | |||||||
Other | 2.0 | 8.1 | % | |||||
Japan | 11.9 | |||||||
Poland | 3.8 | |||||||
Mexico | 3.5 | |||||||
India | 2.2 | |||||||
United Kingdom | 2.0 | |||||||
Brazil | 1.6 | |||||||
Romania | 1.6 | |||||||
Thailand | 1.3 | |||||||
Other | 11.7 | |||||||
Total | 47.7 | % |
Largest holdings (by issuer) | Percent of net assets | |||
U.S. Treasury | 18.2 | % | ||
Japanese Government | 11.9 | |||
Mexican Government | 3.9 | |||
Polish Government | 3.8 | |||
Nykredit Realkredit | 3.1 | |||
Fannie Mae | 2.6 | |||
German Government | 2.5 | |||
Indian Government | 2.0 | |||
Spanish Government | 2.0 | |||
Brazilian Government | 1.7 |
30 | American Funds Insurance Series |
Global Bond Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Expense | |||||||||||||||||||
1 year | 5 years | 10 years | (since October 4, 2006) | ratio | ||||||||||||||||
Class 1 | –1.14 | % | 1.31 | % | 3.04 | % | 3.75 | % | .57 | % | ||||||||||
Class 1A | –1.29 | 1.10 | 2.80 | 3.51 | .82 | |||||||||||||||
Class 24 | –1.33 | 1.04 | 2.78 | 3.49 | .82 | |||||||||||||||
Class 4 | –1.61 | 0.80 | 2.57 | 3.27 | 1.07 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from October 4, 2006, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: Bloomberg Index Services Ltd. |
2 | Includes U.S. dollar-denominated debt of other countries, totaling 13.7%. |
3 | Countries using the euro as a common currency; those represented in the fund’s portfolio are France, Germany, Greece, Ireland, Italy, Portugal and Spain. |
4 | Global Bond Fund Class 2 shares were first sold on November 6, 2006. Results prior to that date are hypothetical based on Class 1 share results adjusted for estimated additional annual expenses of 0.25%. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 31 |
High-Income Bond Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
High-Income Bond Fund declined 2.15% for the 12 months ended December 31, 2018. In comparison, the fund’s benchmark, the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index,1which measures non-investment-grade bonds and limits the exposure of an issuer to 2%, fell 2.08%.
Rising yields made for mixed results across bond sectors as the 10-year Treasury yield rose 29 basis points. The Federal Reserve hiked the federal funds target rate four times this year to a range of 2.25% to 2.50% on the back of a strong labor market and solid economic growth.
While the fund’s returns were in line with the benchmark, an allocation to select industries contributed to relative returns — an underweight position in consumer cyclicals and an overweight position in technology boosted results.
The fund’s portfolio managers continue to believe current fundamentals support a mildly constructive outlook for the high-yield market. While we are monitoring the Federal Reserve’s tightening monetary policy, the higher yields and relatively short duration of high-yield bonds should help mitigate any impact from rising rates.
Largest holdings (by issuer) | Percent of net assets | |||
Bausch Health Companies | 2.6 | % | ||
Tenet Healthcare | 1.9 | |||
Cheniere Energy | 1.9 | |||
Frontier Communications | 1.8 | |||
First Quantum Minerals | 1.8 | |||
iHeartMedia, Inc. | 1.6 | |||
Petsmart | 1.5 | |||
Cleveland-Cliffs | 1.4 | |||
CCO Holdings LLC and CCO Holdings Capital | 1.3 | |||
Gogo | 1.2 |
32 | American Funds Insurance Series |
High-Income Bond Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Expense | |||||||||||||||||||
1 year | 5 years | 10 years | (since February 8, 1984) | ratio | ||||||||||||||||
Class 1 | –2.15 | % | 3.01 | % | 8.79 | % | 8.55 | % | .50 | % | ||||||||||
Class 1A | –2.35 | 2.78 | 8.53 | 8.28 | .75 | |||||||||||||||
Class 2 | –2.34 | 2.77 | 8.51 | 8.28 | .75 | |||||||||||||||
Class 3 | –2.33 | 2.82 | 8.58 | 8.35 | .68 | |||||||||||||||
Class 4 | –2.64 | 2.50 | 8.30 | 8.02 | 1.00 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: Bloomberg Index Services Ltd. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 33 |
Mortgage Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Mortgage Fund gained 0.58% for the 12 months ended December 31, 2018, while the Bloomberg Barclays U.S. Mortgage-Backed Securities Index,1which covers the mortgage-backed pass-through securities of Ginnie Mae, Fannie Mae and Freddie Mac, rose 0.99%.
Rising yields made for mixed results across bond sectors as the 10-year Treasury yield rose 29 basis points. The Federal Reserve hiked the federal funds target rate four times this year to a range of 2.25% to 2.50% on the back of a strong labor market and solid economic growth.
The fund’s allocation to Treasuries, Agency debentures, and high-quality liquid asset-backed securities contributed to relative results as agency mortgage-backed securities lagged some of the other sectors during the calendar year. Duration had little impact and on the downside the fund’s yield curve position detracted from results.
The fund’s portfolio managers remain focused on meeting the core objectives of the fund — providing current income and protecting capital. The fund’s relatively low allocation to agency mortgage-backed securities, combined with an interest rate stance that anticipates that the yield curve will steepen, are positions that the portfolio managers expect will contribute to relative results in the future as markets evolve. As the Fed continues to withdraw liquidity by divesting Treasuries and mortgage securities from its balance sheet, more attractive valuations for mortgage investments are expected to emerge.
Breakdown of mortgage-backed obligations | Percent of net assets | |||||||
30-year pass-throughs: | ||||||||
Freddie Mac | 6.3 | % | ||||||
Ginnie Mae | 21.5 | |||||||
Fannie Mae | 18.1 | 45.9 | % | |||||
Other | 26.0 | |||||||
Total | 71.9 | % |
34 | American Funds Insurance Series |
Mortgage Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Expense | |||||||||||||||
1 year | 5 years | (since May 2, 2011) | ratio | |||||||||||||
Class 1 | 0.58 | % | 2.42 | % | 2.34 | % | .48 | % | ||||||||
Class 1A | 0.36 | 2.17 | 2.09 | .73 | ||||||||||||
Class 2 | 0.32 | 2.16 | 2.09 | .73 | ||||||||||||
Class 4 | 0.07 | 1.92 | 1.91 | .98 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: Bloomberg Index Services Ltd. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 35 |
Ultra-Short Bond Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Ultra-Short Bond Fund gained 1.58% for the 12 months ended December 31, 2018, compared with a 1.99% rise in the Bloomberg Barclays Short-Term Government/Corporate Index,1which consists of investment-grade (rated BBB/Baa and above), fixed-rate, publicly placed, dollar-denominated and non-convertible securities with remaining maturity from one up to (but not including) 12 months within either the government or corporate sector.
The fund’s returns were higher than in 2017 as the Federal Reserve continued on its path to reducing the size of its balance sheet, raising rates by a quarter percentage point four times over the past 12 months, to the current range of 2.25% to 2.50%. Given an increase in interest rates to reassure investors of persistent U.S. economic strength, the fund’s portfolio managers believe the fund has the potential to provide current income.
36 | American Funds Insurance Series |
Ultra-Short Bond Fund
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Expense | |||||||||||||||||||
1 year | 5 years | 10 years | (since February 8, 1984) | ratio | ||||||||||||||||
Class 1 | 1.58 | % | 0.37 | % | 0.10 | % | 3.44 | % | .35 | % | ||||||||||
Class 1A | 1.58 | 0.23 | –0.10 | 3.19 | .60 | |||||||||||||||
Class 2 | 1.36 | 0.13 | –0.15 | 3.18 | .60 | |||||||||||||||
Class 3 | 1.38 | 0.18 | –0.09 | 3.25 | .53 | |||||||||||||||
Class 4 | 1.14 | –0.06 | –0.33 | 2.94 | .85 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: Bloomberg Index Services Ltd. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets | |||
Commercial paper | 69.8 | % | ||
U.S Treasury bills | 24.4 | |||
Federal agency discount notes | 5.9 | |||
Other assets less liabilities | (.1 | ) | ||
Total | 100.0 | % |
American Funds Insurance Series | 37 |
U.S. Government/AAA-Rated Securities Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
U.S. Government/AAA-Rated Securities Fund rose 0.91% for the 12 months ended December 31, 2018, while the Bloomberg Barclays U.S. Government/Mortgage-Backed Securities Index,1which covers obligations issued by the U.S. Treasury and U.S. government agencies, increased by 0.93%.
Rising yields made for mixed results across bond sectors as the 10-year Treasury yield rose 29 basis points. The Federal Reserve hiked the federal funds target rate four times this year to a range of 2.25% to 2.50% on the back of a strong labor market and solid economic growth.
During the period, curve positioning led by higher yields contributed to relative returns. On the downside, TIPS (Treasury inflation protected securities) detracted from relative returns as inflation expectations fell in the fourth quarter of 2018.
The fund strives to meet its objective of providing a high level of current income consistent with the preservation of capital. The fund’s portfolio managers have positioned the fund with the expectation that rate hikes in the near future will be at a gradual pace and believe this can lead to a steepening yield curve and higher inflation expectations.
Breakdown of mortgage-backed obligations | Percent of net assets | |||||||
30-year pass-throughs: | ||||||||
Fannie Mae | 12.3 | % | ||||||
Ginnie Mac | 4.7 | |||||||
Freddie Mac | 2.5 | 19.5 | % | |||||
15-year pass-throughs | 2.3 | |||||||
Other | 6.8 | |||||||
Total | 28.6 | % |
38 | American Funds Insurance Series |
U.S. Government/AAA-Rated Securities Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Expense | |||||||||||||||||||
1 year | 5 years | 10 years | (since December 2, 1985) | ratio | ||||||||||||||||
Class 1 | 0.91 | % | 2.26 | % | 2.69 | % | 5.71 | % | .36 | % | ||||||||||
Class 1A | 0.70 | 2.04 | 2.45 | 5.45 | .61 | |||||||||||||||
Class 2 | 0.73 | 2.01 | 2.44 | 5.45 | .61 | |||||||||||||||
Class 3 | 0.71 | 2.07 | 2.50 | 5.52 | .54 | |||||||||||||||
Class 4 | 0.50 | 1.75 | 2.22 | 5.20 | .86 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008, and from July 1, 2010, through December 31, 2010. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2019 (unaudited). See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: Bloomberg Index Services Ltd. |
Where the fund’s assets were invested as of December 31, 2018 | Percent of net assets |
American Funds Insurance Series | 39 |
Managed Risk Growth Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
The fund slipped 0.04% for the 12 months ended December 31, 2018. Standard & Poor’s 500 Managed Risk Index – Moderate Aggressive1fell 2.51%. Standard & Poor’s 500 Composite Index,2a market capitalization-weighted index based on the results of approximately 500 widely held common stocks, lost 4.38%.
The fund pursues its objective by investing in shares of American Funds Insurance Series – Growth FundSMand American Funds Insurance Series – Bond FundSMwhile seeking to manage portfolio volatility and provide downside protection, primarily through the use of exchange-traded futures. The benefit of the fund’s managed risk strategy should be most apparent during periods of high volatility and in down markets. In steady or rising markets, the fund’s results can be expected to lag those of the underlying Growth Fund.
The underlying Growth Fund’s investments in consumer discretionary added to returns, while investments in communication services detracted from the fund’s results.
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Gross expense | Net expense | ||||||||||||||
1 year | (since May 1, 2013) | ratio | ratio | |||||||||||||
Class P1 | –0.04 | % | 7.94 | % | .77 | % | .72 | % | ||||||||
Class P2 | –0.37 | 7.62 | 1.02 | .97 |
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. Standard & Poor’s Managed Risk Index Series is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indexes, while maintaining a fixed allocation to the underlying bond index. |
2 | Source: S&P Dow Jones Indices LLC. |
Milliman Financial Risk Management LLC serves as the subadviser with respect to the management of the fund’s managed risk strategy.
40 | American Funds Insurance Series |
Managed Risk International Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
The fund declined 10.11% for the 12 months ended December 31, 2018, compared to the S&P EPAC Ex. Korea LargeMidCap Managed Risk Index – Moderate Aggressive,1which fell 10.15%. The MSCI ACWI (All Country World Index) ex USA,2a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets (consisting of more than 40 developed and emerging market country indexes excluding the U.S.), decreased by 14.20%.
The fund pursues its objective by investing in shares of American Funds Insurance Series – International FundSMand American Funds Insurance Series – Bond FundSMwhile seeking to manage portfolio volatility and provide downside protection, primarily through the use of exchange-traded futures. The benefit of the fund’s managed risk strategy should be most apparent during periods of high volatility and in down markets. In steady or rising markets, the fund’s results can be expected to lag those of the underlying International Fund.
The underlying International Fund’s investments in the financials sector added to returns, while investments in the consumer staples sector hindered the fund’s results.
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Gross expense | Net expense | ||||||||||||||
1 year | (since May 1, 2013) | ratio | ratio | |||||||||||||
Class P1 | –10.11 | % | 1.66 | % | .96 | % | .87 | % | ||||||||
Class P2 | –10.50 | 1.25 | 1.21 | 1.12 |
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. Standard & Poor’s Managed Risk Index Series is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indexes, while maintaining a fixed allocation to the underlying bond index. |
2 | Source: MSCI. The MSCI index result reflects reinvestment of distributions and dividends net of withholding taxes. |
Milliman Financial Risk Management LLC serves as the subadviser with respect to the management of the fund’s managed risk strategy.
American Funds Insurance Series | 41 |
Managed Risk Blue Chip Income and Growth Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
The fund lost 6.99% for the 12 months ended December 31, 2018, trailing the S&P 500 Managed Risk Index – Moderate,1which fell 2.13%. Standard & Poor’s 500 Composite Index,2a market capitalization-weighted index based on the results of approximately 500 widely held common stocks, decreased by 4.38%.
The fund pursues its objective by investing in shares of American Funds Insurance Series – Blue Chip Income and Growth FundSMand American Funds Insurance Series – U.S. Government/AAA-Rated Securities FundSMwhile seeking to manage portfolio volatility and provide downside protection, primarily through the use of exchange-traded futures. The benefit of the fund’s managed risk strategy should be most apparent during periods of high volatility and in down markets. In steady or rising markets, the fund’s results can be expected to lag those of the underlying Blue Chip Income and Growth Fund.
The underlying Blue Chip Income and Growth Fund’s investments in consumer staples stocks detracted the most from the fund’s results.
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Gross expense | Net expense | ||||||||||||||||||
1 year | 5 years | (since May 1, 2013) | ratio | ratio | ||||||||||||||||
Class P1 | –6.99 | % | 4.28 | % | 5.89 | % | .82 | % | .77 | % | ||||||||||
Class P2 | –7.38 | 3.87 | 5.50 | 1.07 | 1.02 |
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. Standard & Poor’s Managed Risk Index Series is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indexes, while maintaining a fixed allocation to the underlying bond index. |
2 | Source: S&P Dow Jones Indices LLC. |
Milliman Financial Risk Management LLC serves as the subadviser with respect to the management of the fund’s managed risk strategy.
42 | American Funds Insurance Series |
Managed Risk Growth-Income Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
The fund slipped 1.66% for the 12 months ended December 31, 2018, compared to the S&P 500 Managed Risk Index – Moderate,1which declined 2.13%. Standard & Poor’s 500 Composite Index,2a market capitalization-weighted index based on the results of approximately 500 widely held common stocks, decreased by 4.38%.
The fund pursues its objective by investing in shares of American Funds Insurance Series – Growth-Income FundSMand American Funds Insurance Series – Bond FundSMwhile seeking to manage portfolio volatility and provide downside protection, primarily through the use of exchange-traded futures. The benefit of the fund’s managed risk strategy should be most apparent during periods of high volatility and in down markets. In steady or rising markets, the fund’s results can be expected to lag those of the underlying Growth-Income Fund.
The underlying Growth-Income Fund’s investments in the consumer discretionary sector contributed the most to the fund’s relative returns, while investments in the information technology sector detracted the most from the fund’s relative results.
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Gross expense | Net expense | ||||||||||||||||||
1 year | 5 years | (since May 1, 2013) | ratio | ratio | ||||||||||||||||
Class P1 | –1.66 | % | 5.08 | % | 7.27 | % | .73 | % | .67 | % | ||||||||||
Class P2 | –1.97 | 4.73 | 6.93 | .98 | .92 |
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. Standard & Poor’s Managed Risk Index Series is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indexes, while maintaining a fixed allocation to the underlying bond index. |
2 | Source: S&P Dow Jones Indices LLC. |
Milliman Financial Risk Management LLC serves as the subadviser with respect to the management of the fund’s managed risk strategy.
American Funds Insurance Series | 43 |
Managed Risk Asset Allocation Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
The fund declined 4.63% for the 12 months ended December 31, 2018, trailing the S&P 500 Managed Risk Index – Moderate Conservative,1which lost 1.88%. Standard & Poor’s 500 Composite Index,2a market capitalization-weighted index based on the results of approximately 500 widely held common stocks, fell 4.38%.
The fund pursues its objective by investing in shares of American Funds Insurance Series – Asset Allocation FundSMwhile seeking to manage portfolio volatility and provide downside protection, primarily through the use of exchange-traded futures. The benefit of the fund’s managed risk strategy should be most apparent during periods of high volatility and in down markets. In steady or rising markets, the fund’s results can be expected to lag those of the underlying Asset Allocation Fund.
The fund’s underlying investments in the industrials sector contributed the most to relative returns, while investments in the energy sector hindered results the most.
44 | American Funds Insurance Series |
Managed Risk Asset Allocation Fund
How a $10,000 investment has grown
Average annual total returns based on a $1,000 investment
For periods ended December 31, 2018
Lifetime | Gross expense | Net expense | ||||||||||||||||||
1 year | 5 years | (since September 28, 2012) | ratio | ratio | ||||||||||||||||
Class P1 | –4.63 | % | 3.86 | % | 6.45 | % | .69 | % | .64 | % | ||||||||||
Class P2 | –4.89 | 3.58 | 6.18 | .94 | .89 |
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. Standard & Poor’s Managed Risk Index Series is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indexes, while maintaining a fixed allocation to the underlying bond index. |
2 | Source: S&P Dow Jones Indices LLC. |
3 | Source: Bloomberg Index Services Ltd. |
Milliman Financial Risk Management LLC serves as the subadviser with respect to the management of the fund’s managed risk strategy.
American Funds Insurance Series | 45 |
Summary investment portfolioDecember 31, 2018
Common stocks 94.37% | Shares | Value (000) | ||||||
Information technology 24.34% | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd.1 | 27,188,000 | $ | 197,997 | |||||
Taiwan Semiconductor Manufacturing Co., Ltd. (ADR) | 335,000 | 12,365 | ||||||
ASML Holding NV | 648,442 | 101,904 | ||||||
ASML Holding NV (New York registered) | 517,300 | 80,502 | ||||||
Microsoft Corp. | 1,583,100 | 160,795 | ||||||
Visa Inc., Class A | 1,142,800 | 150,781 | ||||||
Broadcom Inc. | 487,050 | 123,847 | ||||||
Temenos AG1 | 637,000 | 76,403 | ||||||
Paycom Software, Inc.2 | 357,000 | 43,715 | ||||||
Amadeus IT Group SA, Class A, non-registered shares | 486,200 | 33,892 | ||||||
Adobe Inc.2 | 135,000 | 30,542 | ||||||
Other securities | 326,242 | |||||||
1,338,985 | ||||||||
Consumer discretionary 17.99% | ||||||||
Amazon.com, Inc.2 | 228,600 | 343,350 | ||||||
Alibaba Group Holding Ltd. (ADR)2 | 931,050 | 127,619 | ||||||
NIKE, Inc., Class B | 562,500 | 41,704 | ||||||
Home Depot, Inc. | 236,800 | 40,687 | ||||||
Just Eat PLC2 | 5,292,000 | 39,581 | ||||||
Booking Holdings Inc.2 | 22,700 | 39,099 | ||||||
Ocado Group PLC2 | 3,115,000 | 31,366 | ||||||
Moncler SpA1 | 915,000 | 30,352 | ||||||
Other securities | 296,182 | |||||||
989,940 | ||||||||
Health care 12.51% | ||||||||
UnitedHealth Group Inc. | 324,200 | 80,765 | ||||||
Merck & Co., Inc. | 886,000 | 67,699 | ||||||
Boston Scientific Corp.2 | 1,638,200 | 57,894 | ||||||
Elanco Animal Health Inc.2 | 1,799,658 | 56,743 | ||||||
AstraZeneca PLC | 721,300 | 53,995 | ||||||
Sartorius AG, nonvoting preferred, non-registered shares1 | 381,500 | 47,577 | ||||||
Mettler-Toledo International Inc.2 | 65,000 | 36,763 | ||||||
Cigna Corp. | 177,511 | 33,713 | ||||||
Hologic, Inc.2 | 800,000 | 32,880 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. | 3,680,000 | 32,110 | ||||||
Other securities | 188,418 | |||||||
688,557 | ||||||||
Communication services 10.57% | ||||||||
Alphabet Inc., Class A2 | 116,500 | 121,738 | ||||||
Alphabet Inc., Class C2 | 71,052 | 73,582 | ||||||
Nintendo Co., Ltd.1 | 345,600 | 92,022 | ||||||
Naspers Ltd., Class N | 379,000 | 76,189 | ||||||
Tencent Holdings Ltd. | 1,800,000 | 72,179 | ||||||
Facebook, Inc., Class A2 | 408,000 | 53,485 | ||||||
SoftBank Group Corp.1 | 776,000 | 51,643 | ||||||
Other securities | 40,753 | |||||||
581,591 | ||||||||
Financials 10.39% | ||||||||
AIA Group Ltd. | 15,004,900 | 124,554 | ||||||
JPMorgan Chase & Co. | 853,600 | 83,328 | ||||||
Kotak Mahindra Bank Ltd. | 3,471,000 | 62,470 | ||||||
MarketAxess Holdings Inc. | 211,000 | 44,586 | ||||||
Société Générale | 1,234,350 | 39,345 | ||||||
Other securities | 217,484 | |||||||
571,767 |
46 | American Funds Insurance Series |
Global Growth Fund
Common stocks | Shares | Value (000) | ||||||
Consumer staples 6.94% | ||||||||
Nestlé SA1 | 739,650 | $ | 60,038 | |||||
Coca-Cola European Partners PLC | 1,194,500 | 54,768 | ||||||
British American Tobacco PLC | 1,710,800 | 54,514 | ||||||
Philip Morris International Inc. | 602,200 | 40,203 | ||||||
Other securities | 172,025 | |||||||
381,548 | ||||||||
Industrials 6.15% | ||||||||
Airbus SE, non-registered shares | 1,093,500 | 105,192 | ||||||
Other securities | 233,387 | |||||||
338,579 | ||||||||
Materials 2.82% | ||||||||
Sherwin-Williams Co. | 155,500 | 61,183 | ||||||
Other securities | 94,160 | |||||||
155,343 | ||||||||
Energy 2.66% | ||||||||
Royal Dutch Shell PLC, Class B | 1,042,000 | 31,078 | ||||||
Other securities | 115,155 | |||||||
146,233 | ||||||||
Total common stocks (cost: $3,929,871,000) | 5,192,543 |
Short-term securities 5.35% | Principal amount (000) | |||||||
Federal Home Loan Bank 2.15%–2.29% due 1/2/2019–1/10/2019 | $ | 60,100 | 60,080 | |||||
Nestle Capital Corp. 2.68% due 3/19/20193 | 40,000 | 39,778 | ||||||
Toronto-Dominion Bank 2.65% due 2/20/20193 | 50,000 | 49,815 | ||||||
U.S. Treasury Bills 2.37% due 2/12/2019 | 50,000 | 49,868 | ||||||
Other securities | 94,832 | |||||||
Total short-term securities (cost: $294,370,000) | 294,373 | |||||||
Total investment securities 99.72% (cost: $4,224,241,000) | 5,486,916 | |||||||
Other assets less liabilities 0.28% | 15,237 | |||||||
Net assets 100.00% | $ | 5,502,153 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio.
1 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Other securities,” was $1,042,869,000, which represented 18.95% of the net assets of the fund. This amount includes $1,012,346,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading. |
2 | Security did not produce income during the last 12 months. |
3 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $168,168,000, which represented 3.06% of the net assets of the fund. |
Key to abbreviation
ADR = American Depositary Receipts
See notes to financial statements
American Funds Insurance Series | 47 |
Global Small Capitalization Fund
Summary investment portfolioDecember 31, 2018
Common stocks 88.97% | Shares | Value (000) | ||||||
Health care 21.25% | ||||||||
GW Pharmaceuticals PLC (ADR)1 | 823,718 | $ | 80,222 | |||||
Insulet Corp.1 | 860,355 | 68,243 | ||||||
Allakos Inc.1,2 | 886,580 | 46,341 | ||||||
Molina Healthcare, Inc.1 | 381,000 | 44,280 | ||||||
iRhythm Technologies, Inc.1 | 614,905 | 42,724 | ||||||
Integra LifeSciences Holdings Corp.1 | 926,365 | 41,779 | ||||||
Evolent Health, Inc., Class A1 | 1,545,000 | 30,823 | ||||||
Illumina, Inc.1 | 100,200 | 30,053 | ||||||
NuCana PLC (ADR)1,2,3 | 2,067,724 | 29,982 | ||||||
China Biologic Products Holdings, Inc.1,2 | 360,000 | 27,328 | ||||||
Haemonetics Corp.1 | 242,825 | 24,295 | ||||||
CONMED Corp. | 332,500 | 21,346 | ||||||
Other securities | 289,222 | |||||||
776,638 | ||||||||
Information technology 15.61% | ||||||||
Paycom Software, Inc.1 | 428,885 | 52,517 | ||||||
Mellanox Technologies, Ltd.1 | 389,200 | 35,954 | ||||||
Qorvo, Inc.1 | 510,300 | 30,991 | ||||||
Cree, Inc.1 | 711,507 | 30,435 | ||||||
HubSpot, Inc.1 | 229,100 | 28,805 | ||||||
Ceridian HCM Holding Inc.1,2 | 801,777 | 27,653 | ||||||
Other securities | 363,983 | |||||||
570,338 | ||||||||
Industrials 14.49% | ||||||||
International Container Terminal Services, Inc.4 | 22,581,620 | 42,947 | ||||||
Nihon M&A Center Inc.4 | 1,667,392 | 33,670 | ||||||
frontdoor, inc.1 | 903,000 | 24,029 | ||||||
Bravida Holding AB4 | 3,229,000 | 22,319 | ||||||
Other securities | 406,656 | |||||||
529,621 | ||||||||
Consumer discretionary 13.40% | ||||||||
Five Below, Inc.1 | 423,000 | 43,281 | ||||||
Melco International Development Ltd. | 15,579,000 | 31,753 | ||||||
Mattel, Inc.1,2 | 2,583,800 | 25,812 | ||||||
Domino’s Pizza, Inc. | 100,000 | 24,799 | ||||||
ServiceMaster Global Holdings, Inc.1 | 658,750 | 24,202 | ||||||
Cedar Fair, LP | 500,000 | 23,650 | ||||||
Hilton Grand Vacations Inc.1 | 851,000 | 22,458 | ||||||
Other securities | 293,641 | |||||||
489,596 | ||||||||
Financials 8.66% | ||||||||
Kotak Mahindra Bank Ltd. | 3,135,263 | 56,427 | ||||||
Essent Group Ltd.1 | 1,018,841 | 34,824 | ||||||
Trupanion, Inc.1,2 | 1,140,800 | 29,045 | ||||||
Cannae Holdings, Inc.1 | 1,625,000 | 27,820 | ||||||
Bharat Financial Inclusion Ltd.1 | 1,897,444 | 27,523 | ||||||
Other securities | 140,992 | |||||||
316,631 | ||||||||
Materials 3.90% | ||||||||
Lundin Mining Corp. | 6,820,000 | 28,175 | ||||||
Allegheny Technologies Inc.1 | 1,200,950 | 26,145 | ||||||
Other securities | 88,349 | |||||||
142,669 |
48 | American Funds Insurance Series |
Global Small Capitalization Fund
Common stocks | Shares | Value (000) | ||||||
Consumer staples 3.31% | ||||||||
Other securities | $ | 120,907 | ||||||
Communication services 2.54% | ||||||||
Entertainment One Ltd. | 5,114,389 | 23,246 | ||||||
Other securities | 69,377 | |||||||
92,623 | ||||||||
Energy 2.13% | ||||||||
Other securities | 77,770 | |||||||
Real estate 2.02% | ||||||||
WHA Corp. PCL4 | 229,577,250 | 30,221 | ||||||
MGM Growth Properties LLC REIT, Class A | 892,500 | 23,571 | ||||||
Other securities | 19,934 | |||||||
73,726 | ||||||||
Utilities 1.66% | ||||||||
ENN Energy Holdings Ltd. | 4,686,900 | 41,569 | ||||||
Other securities | 19,216 | |||||||
60,785 | ||||||||
Total common stocks (cost: $2,973,377,000) | 3,251,304 |
Bonds, notes & other debt instruments 0.13% | Principal amount (000) | |||||||
U.S. Treasury bonds & notes 0.13% | ||||||||
U.S. Treasury 0.13% | ||||||||
Other securities | 4,989 | |||||||
Total bonds, notes & other debt instruments (cost: $4,991,000) | 4,989 | |||||||
Short-term securities 12.25% | ||||||||
Commercial paper 8.31% | ||||||||
National Australia Bank Ltd. 2.34% due 1/16/20195 | $ | 40,000 | 39,957 | |||||
Sumitomo Mitsui Banking Corp. 2.57% due 2/15/20195 | 50,000 | 49,838 | ||||||
Canadian Imperial Bank of Commerce 2.56% due 1/15/20195 | 32,000 | 31,968 | ||||||
ExxonMobil Corp. 2.36% due 1/4/2019 | 50,000 | 49,987 | ||||||
Mizuho Bank, Ltd. 2.50% due 2/1/20195 | 62,400 | 62,261 | ||||||
United Overseas Bank Ltd. 2.71% due 3/4/20195 | 50,000 | 49,764 | ||||||
Other securities | 19,894 | |||||||
303,669 | ||||||||
Shares | ||||||||
Money market investments 1.49% | ||||||||
Fidelity Institutional Money Market Funds - Government Portfolio6 | 6,646 | 6,646 | ||||||
Goldman Sachs Financial Square Government Fund6 | 16,023 | 16,023 | ||||||
Invesco Short-Term Investments Trust - Government & Agency Portfolio6 | 29,254 | 29,254 | ||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio6 | 2,513 | 2,513 | ||||||
54,436 |
American Funds Insurance Series | 49 |
Global Small Capitalization Fund
Short-term securities(continued) | Principal amount (000) | Value (000) | ||||||
Bonds & notes of governments & government agencies outside the U.S. 1.00% | ||||||||
KfW 2.43% due 1/11/20195 | $ | 28,600 | $ | 28,579 | ||||
Other securities | 7,888 | |||||||
36,467 | ||||||||
Federal agency discount notes 0.82% | ||||||||
Federal Home Loan Bank 2.29% due 1/10/2019 | 30,000 | 29,984 | ||||||
U.S. Treasury bonds & notes 0.63% | ||||||||
U.S. Treasury Bills 2.35% due 2/7/2019 | 23,100 | 23,046 | ||||||
Total short-term securities (cost: $447,616,000) | 447,602 | |||||||
Total investment securities 101.35% (cost: $3,425,984,000) | 3,703,895 | |||||||
Other assets less liabilities (1.35)% | (49,381 | ) | ||||||
Net assets 100.00% | $ | 3,654,514 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. One security in “Other securities” (with a value of $16,560,000, an aggregate cost of $8,280,000, and which represented .45% of the net assets of the fund) was acquired on 5/1/2015 through private placement transactions exempt from registration under the Securities Act of 1933, which may subject it to legal or contractual restrictions on resale.
Investments in affiliates
A company is an affiliate of the fund under the Investment Company Act of 1940 if the fund’s holdings in that company represent 5% or more of the outstanding voting shares. The value of the fund’s holdings in affiliated companies is included in “Other securities” under the respective industry sectors in the summary investment portfolio. Further details on these holdings and related transactions during the year ended December 31, 2018, appear below.
Beginning shares | Additions | Reductions | Ending shares | Net realized gain (000) | Net unrealized depreciation (000) | Dividend income (000) | Value of affiliates at 12/31/2018 (000) | |||||||||||||||||||||||||
Common stocks 0.82% | ||||||||||||||||||||||||||||||||
Health care 0.82% | ||||||||||||||||||||||||||||||||
NuCana PLC (ADR)1,2 | 416,620 | 1,651,104 | — | 2,067,724 | $ | — | $ | (13,335 | ) | $ | — | $ | 29,982 | |||||||||||||||||||
Consumer discretionary 0.00% | ||||||||||||||||||||||||||||||||
Hostelworld Group PLC7 | 6,212,000 | — | 6,212,000 | — | 2,632 | (6,656 | ) | 437 | — | |||||||||||||||||||||||
Total 0.82% | $ | 2,632 | $ | (19,991 | ) | $ | 437 | $ | 29,982 |
50 | American Funds Insurance Series |
Global Small Capitalization Fund
1 | Security did not produce income during the last 12 months. |
2 | All or a portion of this security was on loan. The total value of all such securities, including those in “Other securities,” was $67,607,000, which represented 1.85% of the net assets of the fund. Refer to Note 5 for more information on securities lending. |
3 | Represents an affiliated company as defined under the Investment Company Act of 1940. |
4 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Other securities,” was $729,211,000, which represented 19.95% of the net assets of the fund. This amount includes $697,427,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading. |
5 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $309,041,000, which represented 8.46% of the net assets of the fund. |
6 | Security purchased with cash collateral from securities on loan. Refer to Note 5 for more information on securities lending. |
7 | Unaffiliated issuer at 12/31/2018. |
Key to abbreviation
ADR = American Depositary Receipts
See notes to financial statements
American Funds Insurance Series | 51 |
Summary investment portfolioDecember 31, 2018
Common stocks 91.48% | Shares | Value (000) | ||||||
Information technology 21.29% | ||||||||
Microsoft Corp. | 10,468,400 | $ | 1,063,275 | |||||
Broadcom Inc. | 3,414,000 | 868,112 | ||||||
ASML Holding NV (New York registered) | 1,278,400 | 198,944 | ||||||
ASML Holding NV | 985,000 | 154,794 | ||||||
Visa Inc., Class A | 2,650,400 | 349,694 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd.1 | 31,814,000 | 231,687 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. (ADR) | 2,419,592 | 89,307 | ||||||
ServiceNow, Inc.2 | 1,653,000 | 294,317 | ||||||
Intel Corp. | 4,769,400 | 223,828 | ||||||
Workday, Inc., Class A2 | 1,123,000 | 179,321 | ||||||
Samsung Electronics Co., Ltd.1 | 3,901,400 | 134,758 | ||||||
Paycom Software, Inc.2 | 1,028,500 | 125,940 | ||||||
RingCentral, Inc., Class A2 | 1,433,100 | 118,145 | ||||||
Other securities | 958,728 | |||||||
4,990,850 | ||||||||
Health care 16.77% | ||||||||
UnitedHealth Group Inc. | 3,377,000 | 841,278 | ||||||
Regeneron Pharmaceuticals, Inc.2 | 1,341,000 | 500,864 | ||||||
Intuitive Surgical, Inc.2 | 940,500 | 450,424 | ||||||
Humana Inc. | 1,056,200 | 302,580 | ||||||
Centene Corp.2 | 2,014,700 | 232,295 | ||||||
Vertex Pharmaceuticals Inc.2 | 1,400,900 | 232,143 | ||||||
Boston Scientific Corp.2 | 4,791,000 | 169,314 | ||||||
Cigna Corp. | 739,902 | 140,522 | ||||||
Thermo Fisher Scientific Inc. | 622,100 | 139,220 | ||||||
Other securities | 924,343 | |||||||
3,932,983 | ||||||||
Communication services 13.53% | ||||||||
Facebook, Inc., Class A2 | 7,518,400 | 985,587 | ||||||
Alphabet Inc., Class C2 | 532,700 | 551,670 | ||||||
Alphabet Inc., Class A2 | 157,500 | 164,581 | ||||||
Netflix, Inc.2 | 2,401,060 | 642,668 | ||||||
Charter Communications, Inc., Class A2 | 997,380 | 284,223 | ||||||
Comcast Corp., Class A | 7,616,400 | 259,339 | ||||||
Activision Blizzard, Inc. | 3,895,800 | 181,427 | ||||||
Other securities | 103,032 | |||||||
3,172,527 | ||||||||
Consumer discretionary 13.10% | ||||||||
Amazon.com, Inc.2 | 531,016 | 797,570 | ||||||
Tesla, Inc.2 | 1,813,000 | 603,366 | ||||||
Home Depot, Inc. | 2,568,237 | 441,274 | ||||||
NIKE, Inc., Class B | 2,479,800 | 183,852 | ||||||
Ulta Beauty, Inc.2 | 700,000 | 171,388 | ||||||
Other securities | 875,296 | |||||||
3,072,746 | ||||||||
Financials 9.72% | ||||||||
Wells Fargo & Co. | 7,294,754 | 336,142 | ||||||
Berkshire Hathaway Inc., Class A2 | 410 | 125,460 | ||||||
BlackRock, Inc. | 494,000 | 194,053 | ||||||
JPMorgan Chase & Co. | 1,683,000 | 164,294 | ||||||
PNC Financial Services Group, Inc. | 1,133,600 | 132,529 | ||||||
Intercontinental Exchange, Inc. | 1,699,900 | 128,054 | ||||||
Goldman Sachs Group, Inc. | 752,400 | 125,688 | ||||||
Legal & General Group PLC | 40,158,246 | 118,239 | ||||||
Other securities | 955,543 | |||||||
2,280,002 |
52 | American Funds Insurance Series |
Growth Fund
Common stocks | Shares | Value (000) | ||||||
Industrials 5.14% | ||||||||
TransDigm Group Inc.2 | 717,100 | $ | 243,857 | |||||
MTU Aero Engines AG1 | 751,103 | 136,234 | ||||||
Other securities | 824,453 | |||||||
1,204,544 | ||||||||
Energy 5.04% | ||||||||
Concho Resources Inc.2 | 2,421,560 | 248,912 | ||||||
EOG Resources, Inc. | 2,182,000 | 190,292 | ||||||
Diamondback Energy, Inc. | 1,189,000 | 110,220 | ||||||
Other securities | 632,511 | |||||||
1,181,935 | ||||||||
Materials 2.68% | ||||||||
Linde PLC | 705,000 | 110,008 | ||||||
Other securities | 519,044 | |||||||
629,052 | ||||||||
Consumer staples 2.22% | ||||||||
Costco Wholesale Corp. | 627,500 | 127,828 | ||||||
Other securities | 391,450 | |||||||
519,278 | ||||||||
Real estate 1.59% | ||||||||
Equinix, Inc. REIT | 433,500 | 152,835 | ||||||
Other securities | 218,914 | |||||||
371,749 | ||||||||
Utilities 0.40% | ||||||||
Other securities | 94,291 | |||||||
Total common stocks (cost: $14,970,485,000) | 21,449,957 | |||||||
Convertible stocks 0.06% | ||||||||
Consumer discretionary 0.06% | ||||||||
Other securities | 13,104 | |||||||
Total convertible stocks (cost: $10,650,000) | 13,104 | |||||||
Short-term securities 8.29% | Principal amount (000) | |||||||
Federal Home Loan Bank 2.22%–2.39% due 1/7/2019–2/21/2019 | $ | 728,800 | 727,650 | |||||
U.S. Treasury Bills 2.16%–2.43% due 1/2/2019–5/2/2019 | 689,200 | 686,594 | ||||||
Other securities | 530,171 | |||||||
Total short-term securities (cost: $1,944,441,000) | 1,944,415 | |||||||
Total investment securities 99.83% (cost: $16,925,576,000) | 23,407,476 | |||||||
Other assets less liabilities 0.17% | 40,385 | |||||||
Net assets 100.00% | $ | 23,447,861 |
American Funds Insurance Series | 53 |
Growth Fund
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. Some securities in “Other securities” (with an aggregate value of $50,104,000, an aggregate cost of $47,650,000, and which represented .21% of the net assets of the fund) were acquired from 5/22/2015 to 12/21/2018 through private placement transactions exempt from registration under the Securities Act of 1933, which may subject them to legal or contractual restrictions on resale. “Other securities” also includes securities (with an aggregate value of $427,632,000, which represented 1.82% of the net assets of the fund) which were acquired in transactions exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933 and may be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers.
1 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Other securities,” was $819,772,000, which represented 3.50% of the net assets of the fund. This amount includes $719,983,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading. |
2 | Security did not produce income during the last 12 months. |
Key to abbreviation
ADR = American Depositary Receipts
See notes to financial statements
54 | American Funds Insurance Series |
Summary investment portfolioDecember 31, 2018
Common stocks 88.00% | Shares | Value (000) | ||||||
Financials 15.22% | ||||||||
AIA Group Ltd. | 40,985,700 | $ | 340,217 | |||||
HDFC Bank Ltd. | 7,804,100 | 237,169 | ||||||
HDFC Bank Ltd. (ADR) | 498,647 | 51,655 | ||||||
Kotak Mahindra Bank Ltd. | 6,186,048 | 111,334 | ||||||
Axis Bank Ltd.1 | 7,399,300 | 65,700 | ||||||
Axis Bank Ltd.1,2,3,4 | 3,222,055 | 26,034 | ||||||
Prudential PLC | 3,810,265 | 68,089 | ||||||
Credit Suisse Group AG2 | 5,523,789 | 60,403 | ||||||
Other securities | 411,019 | |||||||
1,371,620 | ||||||||
Industrials 13.93% | ||||||||
Airbus SE, non-registered shares | 2,926,849 | 281,555 | ||||||
Yamato Holdings Co., Ltd.2 | 4,239,395 | 116,573 | ||||||
Rolls-Royce Holdings PLC1 | 10,833,188 | 114,606 | ||||||
Adani Ports & Special Economic Zone Ltd. | 14,643,483 | 81,319 | ||||||
SMC Corp.2 | 266,100 | 80,325 | ||||||
Ryanair Holdings PLC (ADR)1 | 991,700 | 70,748 | ||||||
Melrose Industries PLC | 33,132,733 | 69,196 | ||||||
Safran SA | 549,000 | 66,298 | ||||||
Other securities | 374,728 | |||||||
1,255,348 | ||||||||
Health care 12.21% | ||||||||
Novartis AG2 | 3,279,000 | 280,111 | ||||||
Shire PLC | 3,360,150 | 195,726 | ||||||
Teva Pharmaceutical Industries Ltd. (ADR) | 7,166,598 | 110,509 | ||||||
Grifols, SA, Class B, preferred nonvoting, non-registered shares | 3,026,230 | 55,962 | ||||||
Grifols, SA, Class A, non-registered shares | 881,000 | 23,116 | ||||||
Grifols, SA, Class B (ADR) | 793,690 | 14,572 | ||||||
Fresenius SE & Co. KGaA2 | 1,819,000 | 88,503 | ||||||
Chugai Pharmaceutical Co., Ltd.2 | 1,434,500 | 83,302 | ||||||
Daiichi Sankyo Co., Ltd.2 | 2,160,000 | 69,011 | ||||||
Hikma Pharmaceuticals PLC | 2,761,980 | 60,410 | ||||||
Other securities | 118,954 | |||||||
1,100,176 | ||||||||
Consumer discretionary 10.25% | ||||||||
Alibaba Group Holding Ltd. (ADR)1 | 1,104,000 | 151,325 | ||||||
Galaxy Entertainment Group Ltd. | 18,284,000 | 116,282 | ||||||
Kering SA | 176,551 | 83,260 | ||||||
Hyundai Motor Co.2 | 682,393 | 72,333 | ||||||
Industria de Diseño Textil, SA | 2,566,027 | 65,710 | ||||||
Ryohin Keikaku Co., Ltd.2 | 248,400 | 59,976 | ||||||
Other securities | 374,282 | |||||||
923,168 | ||||||||
Consumer staples 6.67% | ||||||||
Pernod Ricard SA | 929,337 | 152,584 | ||||||
Nestlé SA2 | 1,003,500 | 81,454 | ||||||
Kirin Holdings Co., Ltd.2 | 3,139,000 | 65,793 | ||||||
British American Tobacco PLC | 1,862,200 | 59,339 | ||||||
Other securities | 242,250 | |||||||
601,420 | ||||||||
Communication services 6.52% | ||||||||
Tencent Holdings Ltd. | 4,992,087 | 200,181 | ||||||
SoftBank Group Corp.2 | 1,283,900 | 85,443 | ||||||
Nintendo Co., Ltd.2 | 216,239 | 57,577 | ||||||
Other securities | 243,972 | |||||||
587,173 |
American Funds Insurance Series | 55 |
International Fund
Common stocks (continued) | Shares | Value (000) | ||||||
Information technology 5.65% | ||||||||
Samsung Electronics Co., Ltd.2 | 4,945,950 | $ | 170,838 | |||||
ASML Holding NV | 507,174 | 79,703 | ||||||
Other securities | 258,653 | |||||||
509,194 | ||||||||
Materials 5.65% | ||||||||
Asahi Kasei Corp.2 | 11,328,780 | 116,444 | ||||||
Vale SA, ordinary nominative (ADR) | 6,875,266 | 90,685 | ||||||
Vale SA, ordinary nominative | 102,481 | 1,348 | ||||||
Teck Resources Ltd., Class B | 3,152,000 | 67,856 | ||||||
Other securities | 232,548 | |||||||
508,881 | ||||||||
Utilities 5.31% | ||||||||
ENN Energy Holdings Ltd. | 14,004,000 | 124,204 | ||||||
China Gas Holdings Ltd. | 24,134,000 | 85,989 | ||||||
Ørsted AS2 | 1,235,208 | 82,426 | ||||||
Other securities | 185,495 | |||||||
478,114 | ||||||||
Energy 4.58% | ||||||||
Royal Dutch Shell PLC, Class B | 3,191,000 | 95,174 | ||||||
Royal Dutch Shell PLC, Class A | 1,440,256 | 42,360 | ||||||
Other securities | 274,769 | |||||||
412,303 | ||||||||
Real estate 2.01% | ||||||||
China Overseas Land & Investment Ltd. | 19,930,217 | 68,466 | ||||||
Other securities | 112,771 | |||||||
181,237 | ||||||||
Total common stocks (cost: $7,462,877,000) | 7,928,634 | |||||||
Rights & warrants 0.14% | ||||||||
Financials 0.07% | ||||||||
Axis Bank Ltd., warrants, expire 20191,2 | 2,466,000 | 6,664 | ||||||
Other securities | — | |||||||
6,664 | ||||||||
Real estate 0.07% | ||||||||
Other securities | 6,382 | |||||||
Total rights & warrants (cost: $13,714,000) | 13,046 | |||||||
Bonds, notes & other debt instruments 0.87% | Principal amount (000) | |||||||
Corporate bonds & notes 0.50% | ||||||||
Other 0.50% | ||||||||
Other securities | 44,890 | |||||||
Total corporate bonds & notes | 44,890 | |||||||
Bonds & notes of governments & government agencies outside the U.S. 0.37% | ||||||||
Other securities | 33,018 | |||||||
Total bonds, notes & other debt instruments (cost: $70,215,000) | 77,908 |
56 | American Funds Insurance Series |
International Fund
Short-term securities 10.84% | Principal amount (000) | Value (000) | ||||||
Canadian Imperial Bank of Commerce 2.31%–2.50% due 1/22/2019–1/25/20194 | $ | 100,000 | $ | 99,839 | ||||
Federal Home Loan Bank 2.15%–2.41% due 1/2/2019–3/21/2019 | 314,475 | 313,688 | ||||||
Mizuho Bank, Ltd. 2.61% due 2/25/20194 | 75,000 | 74,694 | ||||||
Siemens Capital Co. LLC 2.50% due 2/19/20194 | 55,000 | 54,808 | ||||||
U.S. Treasury Bill 2.38% due 2/19/2019 | 125,000 | 124,608 | ||||||
Other securities | 309,216 | |||||||
Total short-term securities (cost: $976,875,000) | 976,853 | |||||||
Total investment securities 99.85% (cost: $8,523,681,000) | 8,996,441 | |||||||
Other assets less liabilities 0.15% | 13,669 | |||||||
Net assets 100.00% | $ | 9,010,110 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio.
Forward currency contracts
Contract amount | Unrealized depreciation | ||||||||||
Purchases (000) | Sales (000) | Counterparty | Settlement date | at 12/31/2018 (000) | |||||||
USD39,858 | INR2,825,000 | Goldman Sachs | 1/17/2019 | $(525 | ) |
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Security did not produce income during the last 12 months. |
2 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Other securities,” was $2,613,221,000, which represented 29.00% of the net assets of the fund. This amount includes $2,569,796,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading. |
3 | Acquired through a private placement transaction exempt from registration under the Securities Act of 1933. May be subject to legal or contractual restrictions on resale. Further details on this holding appear below. |
4 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $462,479,000, which represented 5.13% of the net assets of the fund. |
Private placement security | Acquisition date | Cost (000) | Value (000) | Percent of net assets | ||||||
Axis Bank Ltd. | 11/14/2017 | $17,232 | $26,034 | .29 | % |
Key to abbreviations and symbol
ADR = American Depositary Receipts
INR = Indian rupees
USD/$ = U.S. dollars
See notes to financial statements
American Funds Insurance Series | 57 |
Summary investment portfolioDecember 31, 2018
Common stocks 79.74% | Shares | Value (000) | ||||||
Information technology 16.77% | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd.1 | 9,901,000 | $ | 72,104 | |||||
Taiwan Semiconductor Manufacturing Co., Ltd. (ADR) | 400,000 | 14,764 | ||||||
PagSeguro Digital Ltd., Class A2 | 2,813,223 | 52,692 | ||||||
Broadcom Inc. | 167,150 | 42,503 | ||||||
Temenos AG1 | 204,800 | 24,564 | ||||||
Microsoft Corp. | 232,100 | 23,574 | ||||||
StoneCo Ltd., Class A2 | 1,275,126 | 23,513 | ||||||
Kingdee International Software Group Co. Ltd. | 22,463,000 | 19,851 | ||||||
Keyence Corp.1 | 38,300 | 19,434 | ||||||
EPAM Systems, Inc.2 | 167,200 | 19,397 | ||||||
Visa Inc., Class A | 132,000 | 17,416 | ||||||
Murata Manufacturing Co., Ltd.1 | 123,800 | 16,783 | ||||||
Other securities | 158,420 | |||||||
505,015 | ||||||||
Financials 10.94% | ||||||||
HDFC Bank Ltd. | 2,688,876 | 81,716 | ||||||
AIA Group Ltd. | 6,477,600 | 53,770 | ||||||
B3 SA - Brasil, Bolsa, Balcao | 6,435,200 | 44,515 | ||||||
IndusInd Bank Ltd. | 906,300 | 20,761 | ||||||
Shriram Transport Finance Co. Ltd. | 1,150,000 | 20,425 | ||||||
Sberbank of Russia PJSC (ADR) | 1,551,500 | 17,004 | ||||||
Other securities | 91,189 | |||||||
329,380 | ||||||||
Energy 9.73% | ||||||||
Reliance Industries Ltd. | 11,548,513 | 185,473 | ||||||
Royal Dutch Shell PLC, Class B | 1,284,000 | 38,296 | ||||||
Royal Dutch Shell PLC, Class A | 68,628 | 2,019 | ||||||
LUKOIL Oil Co. PJSC (ADR) | 303,000 | 21,658 | ||||||
Exxon Mobil Corp. | 32,000 | 2,182 | ||||||
Other securities | 43,261 | |||||||
292,889 | ||||||||
Consumer discretionary 9.40% | ||||||||
Alibaba Group Holding Ltd. (ADR)2 | 386,237 | 52,941 | ||||||
Sony Corp.1 | 767,000 | 37,102 | ||||||
General Motors Co. | 542,000 | 18,130 | ||||||
Other securities | 174,720 | |||||||
282,893 | ||||||||
Health care 8.35% | ||||||||
Yunnan Baiyao Group Co., Ltd., Class A1 | 2,730,912 | 29,419 | ||||||
BioMarin Pharmaceutical Inc.2 | 318,000 | 27,078 | ||||||
AstraZeneca PLC | 268,500 | 20,099 | ||||||
Other securities | 174,692 | |||||||
251,288 | ||||||||
Consumer staples 6.31% | ||||||||
British American Tobacco PLC | 1,529,000 | 48,722 | ||||||
JBS SA, ordinary nominative | 9,930,600 | 29,696 | ||||||
Nestlé SA1 | 258,196 | 20,958 | ||||||
Kweichow Moutai Co., Ltd., Class A1 | 225,899 | 19,388 | ||||||
Other securities | 71,102 | |||||||
189,866 |
58 | American Funds Insurance Series |
New World Fund
Common stocks | Shares | Value (000) | ||||||
Communication services 5.74% | ||||||||
Alphabet Inc., Class C2 | 47,300 | $ | 48,984 | |||||
Alphabet Inc., Class A2 | 16,900 | 17,660 | ||||||
Tencent Holdings Ltd. | 591,600 | 23,723 | ||||||
Facebook, Inc., Class A2 | 162,200 | 21,263 | ||||||
Other securities | 61,205 | |||||||
172,835 | ||||||||
Materials 5.59% | ||||||||
Vale SA, ordinary nominative | 3,595,086 | 47,307 | ||||||
Vale SA, ordinary nominative (ADR) | 395,000 | 5,210 | ||||||
First Quantum Minerals Ltd. | 3,305,000 | 26,727 | ||||||
Other securities | 89,219 | |||||||
168,463 | ||||||||
Industrials 4.49% | ||||||||
Azul SA, preference shares (ADR)2 | 866,446 | 23,992 | ||||||
Azul SA, preference shares2 | 838,500 | 7,788 | ||||||
Airbus SE, non-registered shares | 280,229 | 26,957 | ||||||
Nidec Corp.1 | 151,400 | 17,171 | ||||||
Other securities | 59,384 | |||||||
135,292 | ||||||||
Real estate 1.34% | ||||||||
American Tower Corp. REIT | 176,800 | 27,968 | ||||||
Other securities | 12,440 | |||||||
40,408 | ||||||||
Utilities 1.08% | ||||||||
Other securities | 32,453 | |||||||
Total common stocks (cost: $2,216,498,000) | 2,400,782 | |||||||
Rights & warrants 0.11% | ||||||||
Consumer staples 0.11% | ||||||||
Other securities | 3,502 | |||||||
Total rights & warrants (cost: $3,452,000) | 3,502 | |||||||
Bonds, notes & other debt instruments 3.09% | Principal amount (000) | |||||||
Bonds & notes of governments & government agencies outside the U.S. 2.61% | ||||||||
Other securities | 78,507 | |||||||
Corporate bonds & notes 0.48% | ||||||||
Other 0.48% | ||||||||
Other securities | 14,360 | |||||||
Total corporate bonds & notes | 14,360 | |||||||
Total bonds, notes & other debt instruments (cost: $97,609,000) | 92,867 | |||||||
Short-term securities 16.68% | ||||||||
American Honda Finance Corp. 2.35% due 1/10/2019 | $ | 25,000 | 24,983 | |||||
ANZ New Zealand (International) Ltd. 2.72% due 3/13/20193 | 20,000 | 19,893 | ||||||
Bank of Nova Scotia 2.62% due 2/19/20193 | 50,000 | 49,820 | ||||||
Colgate-Palmolive Co. 2.39% due 1/14/20193 | 20,000 | 19,981 | ||||||
Commonwealth Bank of Australia 2.50% due 1/23/20193 | 49,600 | 49,522 | ||||||
ExxonMobil Corp. 2.38% due 1/8/2019 | 40,000 | 39,979 | ||||||
Federal Home Loan Bank 2.37% due 2/22/2019 | 95,500 | 95,169 | ||||||
Mizuho Bank, Ltd. 2.51% due 2/1/20193 | 69,800 | 69,645 |
American Funds Insurance Series | 59 |
New World Fund
Short-term securities (continued) | Principal amount (000) | Value (000) | ||||||
Swedbank AB 2.56% due 2/1/2019 | $ | 88,900 | $ | 88,705 | ||||
Toronto-Dominion Bank 2.39% due 1/7/20193 | 21,100 | 21,090 | ||||||
Other securities | 23,530 | |||||||
Total short-term securities (cost: $502,291,000) | 502,317 | |||||||
Total investment securities 99.62% (cost: $2,819,850,000) | 2,999,468 | |||||||
Other assets less liabilities 0.38% | 11,411 | |||||||
Net assets 100.00% | $ | 3,010,879 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio.
Forward currency contracts
Contract amount | Unrealized appreciation (depreciation) | ||||||||||
Purchases (000) | Sales (000) | Counterparty | Settlement date | at 12/31/2018 (000) | |||||||
INR120,000 | USD1,673 | HSBC Bank | 1/10/2019 | $ | 44 | ||||||
USD1,689 | INR120,000 | Citibank | 1/10/2019 | (28 | ) | ||||||
EUR590 | USD672 | Morgan Stanley | 1/14/2019 | 5 | |||||||
USD674 | EUR590 | JPMorgan Chase | 1/14/2019 | (2 | ) | ||||||
INR112,350 | USD1,565 | HSBC Bank | 1/15/2019 | 41 | |||||||
USD1,586 | INR112,350 | HSBC Bank | 1/15/2019 | (20 | ) | ||||||
EUR385 | USD439 | Morgan Stanley | 1/18/2019 | 3 | |||||||
USD439 | EUR385 | HSBC Bank | 1/18/2019 | (3 | ) | ||||||
USD406 | EUR320 | Citibank | 3/6/2019 | 37 | |||||||
EUR320 | USD366 | Morgan Stanley | 3/6/2019 | 2 | |||||||
USD531 | EUR415 | Goldman Sachs | 3/8/2019 | 53 | |||||||
USD323 | EUR255 | Goldman Sachs | 3/8/2019 | 29 | |||||||
EUR670 | USD767 | Morgan Stanley | 3/8/2019 | 5 | |||||||
USD1,397 | EUR1,100 | JPMorgan Chase | 3/15/2019 | 128 | |||||||
EUR1,100 | USD1,259 | Morgan Stanley | 3/15/2019 | 9 | |||||||
$ | 303 |
1 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Other securities,” was $486,458,000, which represented 16.16% of the net assets of the fund. This amount includes $463,432,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading. |
2 | Security did not produce income during the last 12 months. |
3 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $277,296,000, which represented 9.21% of the net assets of the fund. |
Key to abbreviations and symbol
ADR = American Depositary Receipts
EUR = Euros
INR = Indian rupees
USD/$ = U.S. dollars
See notes to financial statements
60 | American Funds Insurance Series |
Blue Chip Income and Growth Fund
Summary investment portfolioDecember 31, 2018
Common stocks 94.94% | Shares | Value (000) | ||||||
Health care 25.24% | ||||||||
AbbVie Inc. | 6,711,500 | $ | 618,733 | |||||
Abbott Laboratories | 5,764,000 | 416,910 | ||||||
Amgen Inc. | 1,416,510 | 275,752 | ||||||
Gilead Sciences, Inc. | 3,761,212 | 235,264 | ||||||
Teva Pharmaceutical Industries Ltd. (ADR) | 10,833,800 | 167,057 | ||||||
Medtronic PLC | 900,000 | 81,864 | ||||||
UnitedHealth Group Inc. | 211,000 | 52,564 | ||||||
Thermo Fisher Scientific Inc. | 209,600 | 46,907 | ||||||
Other securities | 132,401 | |||||||
2,027,452 | ||||||||
Information technology 13.45% | ||||||||
Microsoft Corp. | 2,612,000 | 265,301 | ||||||
Intel Corp. | 5,515,000 | 258,819 | ||||||
QUALCOMM Inc. | 3,845,300 | 218,836 | ||||||
Broadcom Inc. | 385,000 | 97,898 | ||||||
Texas Instruments Inc. | 780,000 | 73,710 | ||||||
Mastercard Inc., Class A | 337,000 | 63,575 | ||||||
Apple Inc. | 400,000 | 63,096 | ||||||
Other securities | 39,281 | |||||||
1,080,516 | ||||||||
Consumer staples 12.67% | ||||||||
Philip Morris International Inc. | 3,349,900 | 223,639 | ||||||
Coca-Cola Co. | 3,558,000 | 168,471 | ||||||
Altria Group, Inc. | 2,872,800 | 141,888 | ||||||
Costco Wholesale Corp. | 591,255 | 120,444 | ||||||
British American Tobacco PLC (ADR) | 3,723,112 | 118,618 | ||||||
Kimberly-Clark Corp. | 500,000 | 56,970 | ||||||
Kellogg Co. | 792,000 | 45,152 | ||||||
PepsiCo, Inc. | 400,000 | 44,192 | ||||||
Other securities | 98,359 | |||||||
1,017,733 | ||||||||
Energy 9.44% | ||||||||
EOG Resources, Inc. | 2,713,800 | 236,671 | ||||||
Exxon Mobil Corp. | 2,699,800 | 184,099 | ||||||
Royal Dutch Shell PLC, Class B (ADR) | 1,737,000 | 104,116 | ||||||
Halliburton Co. | 2,844,730 | 75,613 | ||||||
Canadian Natural Resources, Ltd. | 2,673,000 | 64,499 | ||||||
Noble Energy, Inc. | 2,862,000 | 53,691 | ||||||
Other securities | 39,514 | |||||||
758,203 | ||||||||
Communication services 9.11% | ||||||||
Alphabet Inc., Class A1 | 184,550 | 192,847 | ||||||
Alphabet Inc., Class C1 | 20,500 | 21,230 | ||||||
Verizon Communications Inc. | 3,306,480 | 185,890 | ||||||
Facebook, Inc., Class A1 | 1,089,000 | 142,757 | ||||||
CBS Corp., Class B | 2,886,400 | 126,194 | ||||||
Viacom Inc., Class B | 2,435,136 | 62,583 | ||||||
731,501 | ||||||||
Industrials 8.56% | ||||||||
General Dynamics Corp. | 1,206,000 | 189,595 | ||||||
CSX Corp. | 2,726,000 | 169,366 | ||||||
Illinois Tool Works Inc. | 650,000 | 82,349 | ||||||
Union Pacific Corp. | 400,000 | 55,292 |
American Funds Insurance Series | 61 |
Blue Chip Income and Growth Fund
Common stocks (continued) | Shares | Value (000) | ||||||
Industrials (continued) | ||||||||
United Technologies Corp. | 500,000 | $ | 53,240 | |||||
Northrop Grumman Corp. | 174,300 | 42,686 | ||||||
Other securities | 94,989 | |||||||
687,517 | ||||||||
Consumer discretionary 8.11% | ||||||||
Lowe’s Companies, Inc. | 3,111,572 | 287,385 | ||||||
Marriott International, Inc., Class A | 952,500 | 103,403 | ||||||
McDonald’s Corp. | 500,000 | 88,785 | ||||||
General Motors Co. | 1,752,800 | 58,631 | ||||||
Other securities | 112,783 | |||||||
650,987 | ||||||||
Financials 4.89% | ||||||||
JPMorgan Chase & Co. | 1,579,000 | 154,142 | ||||||
Charles Schwab Corp. | 2,655,000 | 110,262 | ||||||
U.S. Bancorp | 1,000,000 | 45,700 | ||||||
Other securities | 82,299 | |||||||
392,403 | ||||||||
Materials 1.68% | ||||||||
Linde PLC | 665,700 | 103,876 | ||||||
Other securities | 31,028 | |||||||
134,904 | ||||||||
Other 1.79% | ||||||||
Other securities | 143,876 | |||||||
Total common stocks (cost: $6,925,880,000) | 7,625,092 | |||||||
Rights & warrants 0.05% | ||||||||
Financials 0.05% | ||||||||
Other securities | 3,520 | |||||||
Total rights & warrants (cost: $10,088,000) | 3,520 | |||||||
Short-term securities 4.85% | Principal amount (000) | |||||||
Coca-Cola Co. 2.40% due 1/23/20192 | $ | 15,000 | 14,976 | |||||
Federal Home Loan Bank 2.33%–2.36% due 1/18/2019–2/14/2019 | 154,500 | 154,194 | ||||||
U.S. Treasury Bills 2.24%–2.38% due 1/2/2019–2/19/2019 | 99,300 | 99,160 | ||||||
Other securities | 121,091 | |||||||
Total short-term securities (cost: $389,429,000) | 389,421 | |||||||
Total investment securities 99.84% (cost: $7,325,397,000) | 8,018,033 | |||||||
Other assets less liabilities 0.16% | 13,239 | |||||||
Net assets 100.00% | $ | 8,031,272 |
62 | American Funds Insurance Series |
Blue Chip Income and Growth Fund
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio.
1 | Security did not produce income during the last 12 months. |
2 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $54,948,000, which represented .68% of the net assets of the fund. |
Key to abbreviation
ADR = American Depositary Receipts
See notes to financial statements
American Funds Insurance Series | 63 |
Summary investment portfolioDecember 31, 2018
Common stocks 91.72% | Shares | Value (000) | ||||||
Information technology 15.54% | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd.1 | 9,589,800 | $ | 69,838 | |||||
Microsoft Corp. | 416,000 | 42,253 | ||||||
Broadcom Inc. | 145,500 | 36,998 | ||||||
Murata Manufacturing Co., Ltd.1 | 170,000 | 23,046 | ||||||
Apple Inc. | 119,000 | 18,771 | ||||||
PagSeguro Digital Ltd., Class A2 | 998,752 | 18,707 | ||||||
Tableau Software, Inc., Class A2 | 104,000 | 12,480 | ||||||
ASML Holding NV | 70,000 | 11,001 | ||||||
Halma PLC | 610,000 | 10,605 | ||||||
Other securities | 38,430 | |||||||
282,129 | ||||||||
Health care 11.07% | ||||||||
UnitedHealth Group Inc. | 272,825 | 67,966 | ||||||
Merck & Co., Inc. | 282,000 | 21,548 | ||||||
Hologic, Inc.2 | 400,000 | 16,440 | ||||||
Novartis AG1 | 148,000 | 12,643 | ||||||
AstraZeneca PLC | 167,000 | 12,501 | ||||||
Boston Scientific Corp.2 | 351,000 | 12,404 | ||||||
Centene Corp.2 | 101,000 | 11,645 | ||||||
Other securities | 45,961 | |||||||
201,108 | ||||||||
Financials 10.25% | ||||||||
AIA Group Ltd. | 3,005,000 | 24,944 | ||||||
CME Group Inc., Class A | 75,000 | 14,109 | ||||||
HDFC Bank Ltd. | 444,000 | 13,493 | ||||||
DBS Group Holdings Ltd. | 705,000 | 12,254 | ||||||
Blackstone Group LP | 355,000 | 10,583 | ||||||
Ping An Insurance (Group) Co. of China, Ltd., Class H | 1,195,000 | 10,553 | ||||||
Other securities | 100,183 | |||||||
186,119 | ||||||||
Communication services 10.13% | ||||||||
Nintendo Co., Ltd.1 | 289,000 | 76,951 | ||||||
Alphabet Inc., Class A2 | 26,500 | 27,691 | ||||||
Alphabet Inc., Class C2 | 9,000 | 9,321 | ||||||
Vivendi SA | 715,200 | 17,438 | ||||||
Other securities | 52,538 | |||||||
183,939 | ||||||||
Industrials 9.89% | ||||||||
Airbus SE, non-registered shares | 589,200 | 56,679 | ||||||
Boeing Co. | 97,400 | 31,411 | ||||||
Safran SA | 143,000 | 17,269 | ||||||
Lockheed Martin Corp. | 45,000 | 11,783 | ||||||
CCR SA, ordinary nominative | 4,025,000 | 11,631 | ||||||
Other securities | 50,746 | |||||||
179,519 | ||||||||
Consumer discretionary 9.55% | ||||||||
Home Depot, Inc. | 146,000 | 25,086 | ||||||
LVMH Moët Hennessy-Louis Vuitton SE | 56,200 | 16,626 | ||||||
Carnival Corp., units | 319,000 | 15,727 | ||||||
Alibaba Group Holding Ltd. (ADR)2 | 93,500 | 12,816 | ||||||
Daimler AG1 | 222,000 | 11,680 | ||||||
Norwegian Cruise Line Holdings Ltd.2 | 275,000 | 11,657 | ||||||
Other securities | 79,751 | |||||||
173,343 |
64 | American Funds Insurance Series |
Global Growth and Income Fund
Common stocks | Shares | Value (000) | ||||||
Materials 6.53% | ||||||||
Vale SA, ordinary nominative | 2,925,000 | $ | 38,489 | |||||
Vale SA, ordinary nominative (ADR) | 505,000 | 6,661 | ||||||
Other securities | 73,399 | |||||||
118,549 | ||||||||
Energy 6.04% | ||||||||
Reliance Industries Ltd. | 3,195,148 | 51,315 | ||||||
Royal Dutch Shell PLC, Class B | 450,000 | 13,422 | ||||||
Galp Energia, SGPS, SA, Class B | 708,000 | 11,190 | ||||||
Other securities | 33,752 | |||||||
109,679 | ||||||||
Consumer staples 5.58% | ||||||||
Nestlé SA1 | 488,700 | 39,668 | ||||||
British American Tobacco PLC | 937,000 | 29,858 | ||||||
Other securities | 31,809 | |||||||
101,335 | ||||||||
Real estate 3.69% | ||||||||
MGM Growth Properties LLC REIT, Class A | 676,200 | 17,858 | ||||||
Gaming and Leisure Properties, Inc. REIT | 425,000 | 13,732 | ||||||
Other securities | 35,494 | |||||||
67,084 | ||||||||
Utilities 3.45% | ||||||||
Ørsted AS1 | 491,552 | 32,802 | ||||||
Enel SPA1 | 2,780,000 | 16,066 | ||||||
Other securities | 13,861 | |||||||
62,729 | ||||||||
Total common stocks (cost: $1,481,838,000) | 1,665,533 | |||||||
Bonds, notes & other debt instruments 2.17% | Principal amount (000) | |||||||
Corporate bonds & notes 2.17% | ||||||||
Communication services 1.87% | ||||||||
Sprint Corp. 7.25% 2021 | $ | 33,000 | 33,858 | |||||
Health care 0.30% | ||||||||
Other securities | 5,526 | |||||||
Total bonds, notes & other debt instruments (cost: $38,299,000) | 39,384 | |||||||
Short-term securities 5.89% | ||||||||
BASF SE 2.50% due 1/11/20193 | 15,000 | 14,989 | ||||||
Federal Home Loan Bank 2.15%–2.38% due 1/2/2019–2/19/2019 | 57,200 | 57,104 | ||||||
KfW 2.51% due 2/13/20193 | 25,000 | 24,922 | ||||||
Other securities | 9,999 | |||||||
Total short-term securities (cost: $107,023,000) | 107,014 | |||||||
Total investment securities 99.78% (cost: $1,627,160,000) | 1,811,931 | |||||||
Other assets less liabilities 0.22% | 3,943 | |||||||
Net assets 100.00% | $ | 1,815,874 |
American Funds Insurance Series | 65 |
Global Growth and Income Fund
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio.
Forward currency contracts
Unrealized | |||||||||||
Contract amount | appreciation | ||||||||||
Purchases | Sales | Settlement | at 12/31/2018 | ||||||||
(000) | (000) | Counterparty | date | (000) | |||||||
USD7,748 | AUD10,500 | Citibank | 1/11/2019 | $351 |
1 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Other securities,” was $395,472,000, which represented 21.78% of the net assets of the fund. This amount includes $391,460,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading. |
2 | Security did not produce income during the last 12 months. |
3 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $49,910,000, which represented 2.75% of the net assets of the fund. |
Key to abbreviations and symbol
AUD = Australian dollars
ADR = American Depositary Receipts
USD/$ = U.S. dollars
See notes to financial statements
66 | American Funds Insurance Series |
Summary investment portfolioDecember 31, 2018
Common stocks 90.59% | Shares | Value (000) | ||||||
Health care 15.91% | ||||||||
AbbVie Inc. | 7,288,241 | $ | 671,903 | |||||
UnitedHealth Group Inc. | 2,286,268 | 569,555 | ||||||
Gilead Sciences, Inc. | 7,114,800 | 445,031 | ||||||
Amgen Inc. | 2,283,200 | 444,470 | ||||||
Abbott Laboratories | 4,812,269 | 348,071 | ||||||
Merck & Co., Inc. | 3,714,380 | 283,816 | ||||||
Cigna Corp. | 1,277,418 | 242,607 | ||||||
Eli Lilly and Co. | 1,567,600 | 181,403 | ||||||
Other securities | 1,566,133 | |||||||
4,752,989 | ||||||||
Information technology 13.79% | ||||||||
Microsoft Corp. | 9,710,500 | 986,297 | ||||||
Broadcom Inc. | 1,985,134 | 504,780 | ||||||
Intel Corp. | 9,945,900 | 466,761 | ||||||
Texas Instruments Inc. | 3,188,582 | 301,321 | ||||||
Accenture PLC, Class A | 1,490,900 | 210,232 | ||||||
QUALCOMM Inc. | 3,500,275 | 199,201 | ||||||
Other securities | 1,449,685 | |||||||
4,118,277 | ||||||||
Financials 11.01% | ||||||||
JPMorgan Chase & Co. | 4,986,230 | 486,756 | ||||||
Bank of New York Mellon Corp. | 6,217,700 | 292,667 | ||||||
CME Group Inc., Class A | 1,464,600 | 275,521 | ||||||
Wells Fargo & Co. | 5,210,100 | 240,081 | ||||||
Intercontinental Exchange, Inc. | 3,183,555 | 239,817 | ||||||
Aon PLC, Class A | 1,214,800 | 176,583 | ||||||
Berkshire Hathaway Inc., Class B1 | 814,500 | 166,305 | ||||||
Other securities | 1,410,515 | |||||||
3,288,245 | ||||||||
Communication services 10.28% | ||||||||
Alphabet Inc., Class C1 | 348,784 | 361,204 | ||||||
Alphabet Inc., Class A1 | 317,250 | 331,514 | ||||||
Facebook, Inc., Class A1 | 4,975,927 | 652,294 | ||||||
Netflix, Inc.1 | 1,266,777 | 339,066 | ||||||
Verizon Communications Inc. | 4,588,600 | 257,971 | ||||||
Twenty-First Century Fox, Inc., Class A | 4,796,000 | 230,784 | ||||||
Comcast Corp., Class A | 5,903,800 | 201,024 | ||||||
Other securities | 695,140 | |||||||
3,068,997 | ||||||||
Industrials 9.19% | ||||||||
General Dynamics Corp. | 2,033,000 | 319,608 | ||||||
Airbus SE, non-registered shares | 2,559,564 | 246,223 | ||||||
BWX Technologies, Inc.2 | 5,290,948 | 202,273 | ||||||
Textron Inc. | 3,831,077 | 176,191 | ||||||
Other securities | 1,800,478 | |||||||
2,744,773 | ||||||||
Consumer staples 8.91% | ||||||||
Coca-Cola Co. | 8,433,100 | 399,307 | ||||||
Philip Morris International Inc. | 3,686,270 | 246,095 | ||||||
British American Tobacco PLC | 6,830,460 | 217,653 | ||||||
British American Tobacco PLC (ADR) | 479,440 | 15,275 | ||||||
Pernod Ricard SA | 1,233,233 | 202,480 | ||||||
Other securities | 1,579,033 | |||||||
2,659,843 |
American Funds Insurance Series | 67 |
Growth-Income Fund
Common stocks (continued) | Shares | Value (000) | ||||||
Energy 6.84% | ||||||||
Exxon Mobil Corp. | 5,277,700 | $ | 359,886 | |||||
Chevron Corp. | 2,725,900 | 296,551 | ||||||
EOG Resources, Inc. | 2,406,800 | 209,897 | ||||||
Enbridge Inc. (CAD denominated) | 5,120,559 | 159,071 | ||||||
Enbridge Inc. (CAD denominated)3 | 1,340,553 | 41,644 | ||||||
Other securities | 974,704 | |||||||
2,041,753 | ||||||||
Consumer discretionary 6.35% | ||||||||
Amazon.com, Inc.1 | 350,400 | 526,290 | ||||||
Lowe’s Companies, Inc. | 2,000,000 | 184,720 | ||||||
Other securities | 1,184,040 | |||||||
1,895,050 | ||||||||
Materials 4.69% | ||||||||
Celanese Corp. | 3,329,233 | 299,531 | ||||||
Vale SA, ordinary nominative (ADR) | 14,557,884 | 192,018 | ||||||
Vale SA, ordinary nominative | 3,570,848 | 46,988 | ||||||
DowDuPont Inc. | 3,404,500 | 182,073 | ||||||
Linde PLC | 1,152,000 | 179,758 | ||||||
International Flavors & Fragrances Inc. | 1,267,500 | 170,187 | ||||||
Other securities | 330,092 | |||||||
1,400,647 | ||||||||
Real estate 1.79% | ||||||||
Crown Castle International Corp. REIT | 1,827,000 | 198,467 | ||||||
Other securities | 337,258 | |||||||
535,725 | ||||||||
Utilities 1.68% | ||||||||
Sempra Energy | 1,840,000 | 199,070 | ||||||
Other securities | 303,746 | |||||||
502,816 | ||||||||
Mutual funds 0.15% | ||||||||
Other securities | 45,729 | |||||||
Total common stocks (cost: $22,571,835,000) | 27,054,844 | |||||||
Convertible stocks 0.13% | ||||||||
Real estate 0.13% | ||||||||
Other securities | 38,828 | |||||||
Total convertible stocks (cost: $39,390,000) | 38,828 | |||||||
Convertible bonds 0.09% | Principal amount (000) | |||||||
Energy 0.09% | ||||||||
Other securities | 27,617 | |||||||
Total convertible bonds (cost: $43,359,000) | 27,617 | |||||||
Short-term securities 9.11% | ||||||||
Chevron Corp. 2.50% due 2/11/20193 | $ | 30,000 | 29,913 | |||||
Coca-Cola Co. 2.27% due 1/3/20193 | 20,000 | 19,996 | ||||||
ExxonMobil Corp. 2.46% due 2/5/2019 | 100,000 | 99,752 | ||||||
Federal Home Loan Bank 2.20%–2.41% due 1/4/2019–3/26/2019 | 1,219,600 | 1,215,496 | ||||||
General Dynamics Corp. 2.52% due 1/10/20193 | 45,000 | 44,970 |
68 | American Funds Insurance Series |
Growth-Income Fund
Short-term securities | Principal amount (000) | Value (000) | ||||||
Merck & Co. Inc. 2.35%–2.50% due 1/29/2019–2/27/20193 | $ | 126,900 | $ | 126,512 | ||||
U.S. Treasury Bills 2.27%–2.43% due 1/17/2019–5/2/2019 | 672,600 | 669,783 | ||||||
Other securities | 513,291 | |||||||
Total short-term securities (cost: $2,719,773,000) | 2,719,713 | |||||||
Total investment securities 99.92% (cost: $25,374,357,000) | 29,841,002 | |||||||
Other assets less liabilities 0.08% | 23,133 | |||||||
Net assets 100.00% | $ | 29,864,135 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. “Other securities” includes securities which were valued under fair value procedures adopted by authority of the board of trustees. The total value of securities which were valued under fair value procedures was $1,082,559,000, which represented 3.62% of the net assets of the fund. This amount includes $974,212,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading.
Investments in affiliates
A company is an affiliate of the fund under the Investment Company Act of 1940 if the fund’s holdings in that company represent 5% or more of the outstanding voting shares. The value of the fund’s affiliated-company holding is shown in the summary investment portfolio. Further details on this holding and related transactions during the year ended December 31, 2018, appear below.
Beginning shares | Additions | Reductions | Ending shares | Net realized gain (000) | Net unrealized depreciation (000) | Dividend income (000) | Value of affiliate at 12/31/2018 (000) | |||||||||||||
Common stocks 0.68% | ||||||||||||||||||||
Industrials 0.68% | ||||||||||||||||||||
BWX Technologies, Inc. | 4,772,174 | 518,774 | — | 5,290,948 | $ — | $ | (116,886 | ) | $ 3,182 | $ 202,273 |
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Security did not produce income during the last 12 months. |
2 | Represents an affiliated company as defined under the Investment Company Act of 1940. |
3 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $706,416,000, which represented 2.37% of the net assets of the fund. |
Key to abbreviations
ADR = American Depositary Receipts
CAD = Canadian dollars
See notes to financial statements
American Funds Insurance Series | 69 |
International Growth and Income Fund
Summary investment portfolioDecember 31, 2018
Common stocks 89.17% | Shares | Value (000) | ||||||
Financials 18.67% | ||||||||
HDFC Bank Ltd. | 1,228,800 | $ | 37,344 | |||||
Zurich Insurance Group AG1 | 92,200 | 27,498 | ||||||
AIA Group Ltd. | 1,833,000 | 15,215 | ||||||
KB Financial Group Inc.1 | 356,500 | 14,918 | ||||||
Swedbank AB, Class A1 | 611,000 | 13,631 | ||||||
GT Capital Holdings, Inc.1 | 733,589 | 13,598 | ||||||
Itaú Unibanco Holding SA, preferred nominative (ADR) | 1,486,950 | 13,591 | ||||||
Prudential PLC | 738,000 | 13,188 | ||||||
Banco Santander, SA | 2,611,538 | 11,888 | ||||||
Sumitomo Mitsui Financial Group, Inc.1 | 308,000 | 10,218 | ||||||
Other securities | 78,569 | |||||||
249,658 | ||||||||
Health care 13.34% | ||||||||
Shire PLC | 927,000 | 53,997 | ||||||
Novartis AG1 | 426,145 | 36,404 | ||||||
Fresenius SE & Co. KGaA1 | 551,600 | 26,838 | ||||||
Daiichi Sankyo Co., Ltd.1 | 561,000 | 17,924 | ||||||
Teva Pharmaceutical Industries Ltd. (ADR) | 662,000 | 10,208 | ||||||
Other securities | 33,003 | |||||||
178,374 | ||||||||
Industrials 8.49% | ||||||||
Airbus SE, non-registered shares | 253,960 | 24,430 | ||||||
Shanghai International Airport Co., Ltd., Class A1 | 2,855,033 | 21,203 | ||||||
ASSA ABLOY AB, Class B1 | 681,100 | 12,151 | ||||||
Adani Ports & Special Economic Zone Ltd. | 2,008,779 | 11,155 | ||||||
Airports of Thailand PCL, foreign registered1 | 5,250,000 | 10,333 | ||||||
Other securities | 34,231 | |||||||
113,503 | ||||||||
Energy 7.09% | ||||||||
Royal Dutch Shell PLC, Class A | 1,933,691 | 56,872 | ||||||
Royal Dutch Shell PLC, Class B | 138,000 | 4,116 | ||||||
TOTAL SA | 399,350 | 21,130 | ||||||
Other securities | 12,695 | |||||||
94,813 | ||||||||
Materials 7.06% | ||||||||
Rio Tinto PLC | 874,100 | 41,557 | ||||||
Vale SA, ordinary nominative (ADR) | 1,386,000 | 18,281 | ||||||
Yara International ASA1 | 343,000 | 13,223 | ||||||
Other securities | 21,347 | |||||||
94,408 | ||||||||
Real estate 7.04% | ||||||||
Sun Hung Kai Properties Ltd. | 2,227,000 | 31,739 | ||||||
CK Asset Holdings Ltd. | 3,939,348 | 28,826 | ||||||
Daito Trust Construction Co., Ltd.1 | 95,500 | 13,077 | ||||||
China Resources Land Ltd. | 3,162,000 | 12,155 | ||||||
Other securities | 8,396 | |||||||
94,193 | ||||||||
Consumer staples 7.04% | ||||||||
British American Tobacco PLC | 1,075,402 | 34,268 | ||||||
Pernod Ricard SA | 128,650 | 21,123 | ||||||
Coca-Cola Icecek AS, Class C | 2,631,000 | 15,351 | ||||||
Imperial Brands PLC | 316,016 | 9,574 | ||||||
Other securities | 13,864 | |||||||
94,180 |
70 | American Funds Insurance Series |
International Growth and Income Fund
Common stocks | Shares | Value (000) | ||||||
Communication services 6.31% | ||||||||
Tencent Holdings Ltd. | 440,700 | $ | 17,672 | |||||
BT Group PLC | 4,859,461 | 14,748 | ||||||
Yandex NV, Class A2 | 470,000 | 12,855 | ||||||
Other securities | 39,178 | |||||||
84,453 | ||||||||
Utilities 6.08% | ||||||||
Ørsted AS1 | 441,200 | 29,441 | ||||||
ENN Energy Holdings Ltd. | 1,658,000 | 14,705 | ||||||
Naturgy Energy Group, SA | 400,000 | 10,202 | ||||||
Other securities | 26,923 | |||||||
81,271 | ||||||||
Consumer discretionary 4.49% | ||||||||
LVMH Moët Hennessy-Louis Vuitton SE | 48,000 | 14,200 | ||||||
EssilorLuxottica | 105,000 | 13,288 | ||||||
Other securities | 32,513 | |||||||
60,001 | ||||||||
Information technology 3.56% | ||||||||
Samsung Electronics Co., Ltd.1 | 417,500 | 14,421 | ||||||
Tokyo Electron Ltd.1 | 96,500 | 11,004 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd.1 | 1,464,000 | 10,662 | ||||||
Other securities | 11,493 | |||||||
47,580 | ||||||||
Total common stocks (cost: $1,222,804,000) | 1,192,434 | |||||||
Bonds, notes & other debt instruments 1.14% | Principal amount (000) | |||||||
Bonds & notes of governments & government agencies outside the U.S. 0.61% | ||||||||
Other securities | 8,169 | |||||||
Corporate bonds & notes 0.53% | ||||||||
Other 0.53% | ||||||||
Other securities | 7,102 | |||||||
Total corporate bonds & notes | 7,102 | |||||||
Total bonds, notes & other debt instruments (cost: $15,574,000) | 15,271 | |||||||
Short-term securities 9.40% | ||||||||
BASF SE 2.62% due 2/5/20193 | $ | 10,000 | 9,975 | |||||
Federal Home Loan Bank 2.22%–2.41% due 1/2/2019–3/21/2019 | 49,700 | 49,556 | ||||||
KfW 2.43% due 1/11/20193 | 23,200 | 23,183 | ||||||
L’Oréal USA, Inc. 2.50% due 1/16/20193 | 10,000 | 9,989 | ||||||
National Rural Utilities Cooperative Finance Corp. 2.50% due 2/6/2019 | 18,100 | 18,054 | ||||||
Siemens Capital Corp. 2.50% due 1/16/20193 | 15,000 | 14,984 | ||||||
Total short-term securities (cost: $125,744,000) | 125,741 | |||||||
Total investment securities 99.71% (cost: $1,364,122,000) | 1,333,446 | |||||||
Other assets less liabilities 0.29% | 3,812 | |||||||
Net assets 100.00% | $ | 1,337,258 |
American Funds Insurance Series | 71 |
International Growth and Income Fund
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio.
1 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Other securities,” was $410,893,000, which represented 30.73% of the net assets of the fund. This entire amount relates to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading. |
2 | Security did not produce income during the last 12 months. |
3 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $59,763,000, which represented 4.47% of the net assets of the fund. |
Key to abbreviation
ADR = American Depositary Receipts
See notes to financial statements
72 | American Funds Insurance Series |
Summary investment portfolioDecember 31, 2018
Common stocks 68.05% | Shares | Value (000) | ||||||
Financials 10.16% | ||||||||
CME Group Inc., Class A | 73,016 | $ | 13,736 | |||||
Zurich Insurance Group AG1 | 23,867 | 7,118 | ||||||
Wells Fargo & Co. | 148,000 | 6,820 | ||||||
Sampo Oyj, Class A1 | 130,569 | 5,747 | ||||||
Svenska Handelsbanken AB, Class A1 | 475,408 | 5,274 | ||||||
DBS Group Holdings Ltd. | 293,600 | 5,103 | ||||||
Other securities | 24,783 | |||||||
68,581 | ||||||||
Consumer staples 9.24% | ||||||||
Philip Morris International Inc. | 145,220 | 9,695 | ||||||
Coca-Cola Co. | 177,700 | 8,414 | ||||||
Diageo PLC | 233,000 | 8,301 | ||||||
Altria Group, Inc. | 150,370 | 7,427 | ||||||
British American Tobacco PLC | 189,300 | 6,032 | ||||||
Nestlé SA1 | 69,277 | 5,623 | ||||||
Other securities | 16,929 | |||||||
62,421 | ||||||||
Information technology 8.94% | ||||||||
Broadcom Inc. | 47,700 | 12,129 | ||||||
Microsoft Corp. | 99,520 | 10,108 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd.1 | 1,277,800 | 9,306 | ||||||
Intel Corp. | 176,700 | 8,292 | ||||||
QUALCOMM Inc. | 140,900 | 8,019 | ||||||
Other securities | 12,493 | |||||||
60,347 | ||||||||
Real estate 7.81% | ||||||||
Crown Castle International Corp. REIT | 118,400 | 12,862 | ||||||
American Tower Corp. REIT | 68,369 | 10,815 | ||||||
Link Real Estate Investment Trust REIT | 582,500 | 5,899 | ||||||
Other securities | 23,132 | |||||||
52,708 | ||||||||
Energy 6.62% | ||||||||
Enbridge Inc. (CAD denominated) | 335,970 | 10,437 | ||||||
Royal Dutch Shell PLC, Class B | 321,740 | 9,596 | ||||||
Royal Dutch Shell PLC, Class B (ADR) | 8,500 | 509 | ||||||
Royal Dutch Shell PLC, Class A | 101 | 3 | ||||||
Williams Companies, Inc. | 231,200 | 5,098 | ||||||
Chevron Corp. | 22,600 | 2,459 | ||||||
Other securities | 16,621 | |||||||
44,723 | ||||||||
Communication services 6.02% | ||||||||
Vodafone Group PLC | 5,377,800 | 10,481 | ||||||
Verizon Communications Inc. | 119,950 | 6,743 | ||||||
Koninklijke KPN NV | 2,175,375 | 6,381 | ||||||
HKT Trust and HKT Ltd., units | 3,699,240 | 5,329 | ||||||
Other securities | 11,749 | |||||||
40,683 | ||||||||
Health care 5.69% | ||||||||
AstraZeneca PLC | 105,100 | 7,867 | ||||||
AstraZeneca PLC (ADR) | 145,100 | 5,511 | ||||||
Johnson & Johnson | 60,200 | 7,769 | ||||||
Pfizer Inc. | 158,900 | 6,936 | ||||||
Other securities | 10,313 | |||||||
38,396 |
American Funds Insurance Series | 73 |
Capital Income Builder
Common stocks (continued) | Shares | Value (000) | ||||||
Utilities 5.52% | ||||||||
Edison International | 135,100 | $ | 7,670 | |||||
Enel SPA1 | 1,284,246 | 7,422 | ||||||
SSE PLC | 477,689 | 6,585 | ||||||
Other securities | 15,588 | |||||||
37,265 | ||||||||
Consumer discretionary 3.52% | ||||||||
Las Vegas Sands Corp. | 154,300 | 8,031 | ||||||
Other securities | 15,747 | |||||||
23,778 | ||||||||
Industrials 3.12% | ||||||||
Airbus SE, non-registered shares | 73,714 | 7,091 | ||||||
Boeing Co. | 17,900 | 5,773 | ||||||
Other securities | 8,208 | |||||||
21,072 | ||||||||
Materials 1.41% | ||||||||
Other securities | 9,546 | |||||||
Total common stocks (cost: $480,374,000) | 459,520 | |||||||
Rights & warrants 0.00% | ||||||||
Energy 0.00% | ||||||||
Other securities | — | |||||||
Total rights & warrants (cost: $1,000) | — | |||||||
Convertible stocks 0.91% | ||||||||
Utilities 0.61% | ||||||||
Other securities | 4,128 | |||||||
Real estate 0.30% | ||||||||
Crown Castle International Corp. REIT, Series A, 6.875% convertible preferred 2020 | 1,900 | 1,999 | ||||||
Total convertible stocks (cost: $6,292,000) | 6,127 | |||||||
Bonds, notes & other debt instruments 24.91% | Principal amount (000) | |||||||
U.S. Treasury bonds & notes 13.84% | ||||||||
U.S. Treasury 13.02% | ||||||||
U.S. Treasury 1.625% 2022 | $ | 6,050 | 5,872 | |||||
U.S. Treasury 2.00% 2022 | 15,000 | 14,741 | ||||||
U.S. Treasury 2.125% 2022 | 8,800 | 8,681 | ||||||
U.S. Treasury 2.00% 2025 | 13,200 | 12,729 | ||||||
U.S. Treasury 2.00% 2026 | 7,500 | 7,160 | ||||||
U.S. Treasury, principal only, 0% 2047 | 12,400 | 5,188 | ||||||
U.S. Treasury 1.75%–3.13% 2021–20482 | 33,658 | 33,580 | ||||||
87,951 | ||||||||
U.S. Treasury inflation-protected securities 0.82% | ||||||||
U.S. Treasury Inflation-Protected Security 0.625% 20233 | 5,599 | 5,512 | ||||||
Total U.S. Treasury bonds & notes | 93,463 |
74 | American Funds Insurance Series |
Capital Income Builder
Bonds, notes & other debt instruments | Principal amount (000) | Value (000) | ||||||
Mortgage-backed obligations 6.96% | ||||||||
Federal agency mortgage-backed obligations 6.72% | ||||||||
Fannie Mae 4.00% 20474 | $ | 9,196 | $ | 9,385 | ||||
Fannie Mae 4.50% 20484,5 | 6,846 | 7,099 | ||||||
Fannie Mae 4.50% 20484 | 5,816 | 6,033 | ||||||
Fannie Mae 4.50% 20484 | 5,689 | 5,901 | ||||||
Fannie Mae 3.50%–4.00% 2046–20494,5 | 2,344 | 2,382 | ||||||
Government National Mortgage Assn. 4.30%–6.87% 2049–20634,5 | 7,553 | 7,817 | ||||||
Other securities | 6,759 | |||||||
45,376 | ||||||||
Collateralized mortgage-backed obligations (privately originated) 0.24% | ||||||||
Other securities | 1,582 | |||||||
Total mortgage-backed obligations | 46,958 | |||||||
Corporate bonds & notes 3.97% | ||||||||
Financials 0.98% | ||||||||
CME Group Inc. 4.15% 2048 | 100 | 102 | ||||||
Wells Fargo & Co. 3.55%–4.60% 2021–2023 | 600 | 606 | ||||||
Other securities | 5,886 | |||||||
6,594 | ||||||||
Utilities 0.83% | ||||||||
Enel Finance International SA 3.625% 20276 | 215 | 190 | ||||||
Southern California Edison Co. 4.65% 2043 | 100 | 101 | ||||||
Other securities | 5,297 | |||||||
5,588 | ||||||||
Health care 0.54% | ||||||||
AstraZeneca PLC 3.38%–3.50% 2023–2025 | 470 | 463 | ||||||
Other securities | 3,196 | |||||||
3,659 | ||||||||
Communication services 0.38% | ||||||||
Verizon Communications Inc. 4.329% 2028 | 312 | 314 | ||||||
Vodafone Group PLC 3.75%–5.25% 2024–2048 | 600 | 582 | ||||||
Other securities | 1,668 | |||||||
2,564 | ||||||||
Consumer staples 0.36% | ||||||||
Philip Morris International Inc. 2.63%–3.60% 2022–2023 | 273 | 265 | ||||||
Other securities | 2,203 | |||||||
2,468 | ||||||||
Energy 0.26% | ||||||||
Shell International Finance BV 3.50% 2023 | 100 | 101 | ||||||
Other securities | 1,629 | |||||||
1,730 | ||||||||
Information technology 0.04% | ||||||||
Broadcom Ltd. 3.50%–3.88% 2027–2028 | 328 | 291 | ||||||
Other 0.58% | ||||||||
Other securities | 3,923 | |||||||
Total corporate bonds & notes | 26,817 |
American Funds Insurance Series | 75 |
Capital Income Builder
Bonds, notes & other debt instruments(continued) | Principal amount (000) | Value (000) | ||||||
Asset-backed obligations 0.14% | ||||||||
Other securities | $ | 967 | ||||||
Total bonds, notes & other debt instruments (cost: $169,549,000) | 168,205 | |||||||
Short-term securities 6.79% | ||||||||
Chevron Corp. 2.39% due 1/28/20196 | $ | 10,000 | 9,981 | |||||
Federal Home Loan Bank 2.33%–2.38% due 1/18/2019–2/21/2019 | 22,200 | 22,140 | ||||||
National Rural Utilities Cooperative Finance Corp. 2.52% due 1/31/2019 | 9,600 | 9,579 | ||||||
Pfizer Inc. 2.31% due 1/15/20196 | 4,200 | 4,196 | ||||||
Total short-term securities (cost: $45,898,000) | 45,896 | |||||||
Total investment securities 100.66% (cost: $702,114,000) | 679,748 | |||||||
Other assets less liabilities (0.66)% | (4,468 | ) | ||||||
Net assets 100.00% | $ | 675,280 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio.
Futures contracts
Unrealized | |||||||||||||||
appreciation | |||||||||||||||
Notional | Value at | (depreciation) | |||||||||||||
Number of | amount7 | 12/31/20188 | at 12/31/2018 | ||||||||||||
Contracts | Type | contracts | Expiration | (000) | (000) | (000) | |||||||||
90 Day Euro Dollar Futures | Long | 100 | December 2019 | $25,000 | $24,338 | $ | 151 | ||||||||
2 Year U.S. Treasury Note Futures | Long | 49 | April 2019 | 9,800 | 10,403 | 67 | |||||||||
5 Year U.S. Treasury Note Futures | Long | 988 | April 2019 | 98,800 | 113,311 | 1,810 | |||||||||
10 Year Ultra U.S. Treasury Note Futures | Short | 473 | March 2019 | (47,300 | ) | (61,527 | ) | (1,820 | ) | ||||||
20 Year U.S. Treasury Bond Futures | Long | 64 | March 2019 | 6,400 | 9,344 | 439 | |||||||||
30 Year Ultra U.S. Treasury Bond Futures | Short | 26 | March 2019 | (2,600 | ) | (4,177 | ) | (218 | ) | ||||||
$ | 429 |
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Other securities,” was $77,218,000, which represented 11.43% of the net assets of the fund. This amount includes $76,827,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading. |
2 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $284,000, which represented .04% of the net assets of the fund. |
3 | Index-linked bond whose principal amount moves with a government price index. |
4 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
5 | Purchased on a TBA basis. |
6 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $23,524,000, which represented 3.48% of the net assets of the fund. |
7 | Notional amount is calculated based on the number of contracts and notional contract size. |
8 | Value is calculated based on the notional amount and current market price. |
76 | American Funds Insurance Series |
Capital Income Builder
Key to abbreviations
ADR = American Depositary Receipts
CAD = Canadian dollars
TBA = To-be-announced
See notes to financial statements
American Funds Insurance Series | 77 |
Summary investment portfolioDecember 31, 2018
Common stocks 58.94% | Shares | Value (000) | ||||||
Information technology 13.64% | ||||||||
Microsoft Corp. | 6,500,000 | $ | 660,205 | |||||
Taiwan Semiconductor Manufacturing Co., Ltd. (ADR) | 14,016,000 | 517,331 | ||||||
Broadcom Inc. | 1,995,000 | 507,289 | ||||||
VeriSign, Inc.1 | 2,000,000 | 296,580 | ||||||
ASML Holding NV (New York registered) | 1,865,000 | 290,231 | ||||||
Intel Corp. | 5,820,000 | 273,133 | ||||||
Intuit Inc. | 1,100,000 | 216,535 | ||||||
Visa Inc., Class A | 1,032,000 | 136,162 | ||||||
Other securities | 230,164 | |||||||
3,127,630 | ||||||||
Health care 11.11% | ||||||||
UnitedHealth Group Inc. | 2,016,300 | 502,301 | ||||||
Johnson & Johnson | 3,472,000 | 448,062 | ||||||
Cigna Corp. | 1,689,540 | 320,877 | ||||||
Humana Inc. | 965,000 | 276,453 | ||||||
AbbVie Inc. | 2,675,300 | 246,636 | ||||||
Merck & Co., Inc. | 2,420,300 | 184,935 | ||||||
Bluebird Bio, Inc.1 | 1,617,100 | 160,416 | ||||||
Other securities | 406,972 | |||||||
2,546,652 | ||||||||
Financials 9.49% | ||||||||
Chubb Ltd. | 2,450,000 | 316,491 | ||||||
Arch Capital Group Ltd.1 | 8,595,000 | 229,658 | ||||||
First Republic Bank | 2,580,000 | 224,202 | ||||||
Wells Fargo & Co. | 3,500,000 | 161,280 | ||||||
JPMorgan Chase & Co. | 1,600,000 | 156,192 | ||||||
Bank of America Corp. | 6,000,000 | 147,840 | ||||||
CME Group Inc., Class A | 738,200 | 138,870 | ||||||
Citigroup Inc. | 2,500,000 | 130,150 | ||||||
Other securities | 670,432 | |||||||
2,175,115 | ||||||||
Industrials 4.39% | ||||||||
Boeing Co. | 1,140,000 | 367,650 | ||||||
Northrop Grumman Corp. | 1,249,400 | 305,978 | ||||||
Lockheed Martin Corp. | 847,200 | 221,831 | ||||||
Other securities | 111,429 | |||||||
1,006,888 | ||||||||
Energy 4.17% | ||||||||
Noble Energy, Inc. | 10,500,000 | 196,980 | ||||||
Cenovus Energy Inc. | 27,000,000 | 189,862 | ||||||
Royal Dutch Shell PLC, Class B (ADR) | 2,745,000 | 164,535 | ||||||
Other securities | 404,961 | |||||||
956,338 | ||||||||
Consumer discretionary 3.94% | ||||||||
Home Depot, Inc. | 1,125,000 | 193,297 | ||||||
Amazon.com, Inc.1 | 103,000 | 154,703 | ||||||
General Motors Co. | 4,100,000 | 137,145 | ||||||
VF Corp. | 1,600,000 | 114,144 | ||||||
Other securities | 304,124 | |||||||
903,413 |
78 | American Funds Insurance Series |
Asset Allocation Fund
Common stocks | Shares | Value (000) | ||||||
Communication services 3.70% | ||||||||
Comcast Corp., Class A | 7,550,000 | $ | 257,077 | |||||
Facebook, Inc., Class A1 | 1,332,000 | 174,612 | ||||||
Verizon Communications Inc. | 2,040,000 | 114,689 | ||||||
Other securities | 301,633 | |||||||
848,011 | ||||||||
Consumer staples 3.52% | ||||||||
Philip Morris International Inc. | 5,430,000 | 362,507 | ||||||
Nestlé SA2 | 3,242,230 | 263,173 | ||||||
Nestlé SA (ADR) | 900,000 | 72,864 | ||||||
Other securities | 109,682 | |||||||
808,226 | ||||||||
Materials 3.23% | ||||||||
DowDuPont Inc. | 7,753,100 | 414,636 | ||||||
Other securities | 324,972 | |||||||
739,608 | ||||||||
Utilities 0.94% | ||||||||
CMS Energy Corp. | 2,284,700 | 113,435 | ||||||
Other securities | 102,464 | |||||||
215,899 | ||||||||
Real estate 0.81% | ||||||||
Other securities | 184,779 | |||||||
Total common stocks (cost: $10,995,856,000) | 13,512,559 | |||||||
Rights & warrants 0.00% | ||||||||
Other 0.00% | ||||||||
Other securities | 242 | |||||||
Total rights & warrants (cost: $70,000) | 242 | |||||||
Convertible stocks 0.03% | ||||||||
Industrials 0.03% | ||||||||
Other securities | 6,074 | |||||||
Total convertible stocks (cost: $4,800,000) | 6,074 | |||||||
Convertible bonds 0.00% | Principal amount (000) | |||||||
Communication services 0.00% | ||||||||
Other securities | 1,272 | |||||||
Bonds, notes & other debt instruments 28.92% | ||||||||
U.S. Treasury bonds & notes 12.30% | ||||||||
U.S. Treasury 9.54% | ||||||||
U.S. Treasury 1.50% 2019 | $ | 400,000 | 399,688 | |||||
U.S. Treasury 1.25% 20203 | 298,117 | 293,842 | ||||||
U.S. Treasury 1.625% 2020 | 125,000 | 123,238 | ||||||
U.S. Treasury 2.25% 2027 | 126,075 | 122,452 | ||||||
U.S. Treasury 1.13%–4.75% 2019–20483 | 1,260,397 | 1,247,301 | ||||||
2,186,521 |
American Funds Insurance Series | 79 |
Asset Allocation Fund
Bonds, notes & other debt instruments(continued) | Principal amount (000) | Value (000) | ||||||
U.S. Treasury bonds & notes (continued) | ||||||||
U.S. Treasury inflation-protected securities 2.76% | ||||||||
U.S. Treasury Inflation-Protected Security 0.625% 20244 | $ | 221,289 | $ | 217,968 | ||||
U.S. Treasury Inflation-Protected Security 1.375% 20443,4 | 139,180 | 144,107 | ||||||
U.S. Treasury Inflation-Protected Securities 0.13%–2.38% 2021–20474 | 283,125 | 271,873 | ||||||
633,948 | ||||||||
Total U.S. Treasury bonds & notes | 2,820,469 | |||||||
Corporate bonds & notes 9.97% | ||||||||
Energy 1.60% | ||||||||
Other securities | 367,218 | |||||||
Financials 1.56% | ||||||||
ACE INA Holdings Inc. 2.30%–4.35% 2020–2045 | 6,905 | 6,864 | ||||||
Other securities | 349,954 | |||||||
356,818 | ||||||||
Health care 1.52% | ||||||||
AbbVie Inc. 4.25%–4.88% 2028–2048 | 11,404 | 10,435 | ||||||
Cigna Corp. 3.40%–4.90% 2021–20485 | 18,585 | 18,521 | ||||||
Johnson & Johnson 2.45% 2026 | 5,285 | 4,970 | ||||||
Other securities | 315,654 | |||||||
349,580 | ||||||||
Communication services 1.07% | ||||||||
Comcast Corp. 2.35%–4.70% 2025–2048 | 24,439 | 24,085 | ||||||
NBCUniversal Enterprise, Inc. 1.974% 20195 | 100 | 100 | ||||||
Other securities | 220,154 | |||||||
244,339 | ||||||||
Materials 0.73% | ||||||||
Dow Chemical Co. 4.55% 20255 | 8,394 | 8,556 | ||||||
DowDuPont Inc. 4.21%–4.73% 2023–2028 | 16,125 | 16,632 | ||||||
Other securities | 142,841 | |||||||
168,029 | ||||||||
Industrials 0.63% | ||||||||
Lockheed Martin Corp. 2.50%–3.55% 2020–2026 | 10,050 | 9,962 | ||||||
Northrop Grumman Corp. 2.93%–3.25% 2025–2028 | 8,140 | 7,676 | ||||||
Other securities | 127,441 | |||||||
145,079 | ||||||||
Consumer staples 0.59% | ||||||||
Nestle Holdings, Inc. 3.50% 20255 | 4,500 | 4,526 | ||||||
Philip Morris International Inc. 1.88%–4.25% 2020–2044 | 15,405 | 14,816 | ||||||
Other securities | 116,177 | |||||||
135,519 | ||||||||
Information technology 0.29% | ||||||||
Broadcom Ltd. 3.00%–3.63% 2022–2028 | 6,277 | 5,582 | ||||||
Microsoft Corp. 4.10%–4.20% 2035–2037 | 7,000 | 7,268 | ||||||
Other securities | 52,778 | |||||||
65,628 | ||||||||
Other 1.98% | ||||||||
Other securities | 454,358 | |||||||
Total corporate bonds & notes | 2,286,568 |
80 | American Funds Insurance Series |
Table of Contents
Asset Allocation Fund
Bonds, notes & other debt instruments | Principal amount (000) | Value (000) | ||||||
Mortgage-backed obligations 5.75% | ||||||||
Federal agency mortgage-backed obligations 5.59% | ||||||||
Fannie Mae 0%–7.50% 2021–20496,7,8 | $ | 576,633 | $ | 585,310 | ||||
Freddie Mac 3.00%–6.50% 2037–20496,8 | 309,698 | 312,698 | ||||||
Other securities | 383,453 | |||||||
1,281,461 | ||||||||
Other 0.16% | ||||||||
Other securities | 37,382 | |||||||
Total mortgage-backed obligations | 1,318,843 | |||||||
Federal agency bonds & notes 0.07% | ||||||||
Fannie Mae 1.88%–2.00% 2022–2026 | 16,000 | 15,031 | ||||||
Other 0.83% | ||||||||
Other securities | 190,115 | |||||||
Total bonds, notes & other debt instruments (cost: $6,771,429,000) | 6,631,026 | |||||||
Short-term securities 13.60% | ||||||||
Federal Home Loan Bank 2.13%–2.41% due 1/2/2019–3/15/2019 | 1,506,150 | 1,501,682 | ||||||
Merck & Co. Inc. 2.37%–2.50% due 1/23/2019–2/27/20195 | 149,000 | 148,526 | ||||||
U.S. Treasury Bills 2.12%–2.38% due 1/15/2019–3/7/2019 | 660,200 | 658,327 | ||||||
United Parcel Service Inc. 2.34%–2.40% due 1/14/2019–1/22/20195 | 175,000 | 174,804 | ||||||
Other securities | 633,289 | |||||||
Total short-term securities (cost: $3,116,790,000) | 3,116,628 | |||||||
Total investment securities 101.49% (cost: $20,890,335,000) | 23,267,801 | |||||||
Other assets less liabilities (1.49)% | (342,350 | ) | ||||||
Net assets 100.00% | $ | 22,925,451 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. “Other securities“ also includes loan participations and assignments, which may be subject to legal or contractual restrictions on resale. The total value of all such loans was $43,203,000, which represented .19% of the net assets of the fund. Some securities in “Other securities” (with an aggregate value of $30,904,000, an aggregate cost of $36,241,000, and which represented .13% of the net assets of the fund) were acquired from 9/26/2013 to 11/16/2018 through private placement transactions exempt from registration under the Securities Act of 1933, which may subject them to legal or contractual restrictions on resale.
American Funds Insurance Series | 81 |
Asset Allocation Fund
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount (000) | 9 | Value at 12/31/2018 (000) | 10 | Unrealized appreciation (depreciation) at 12/31/2018 (000) | ||||||||||||
2 Year U.S. Treasury Note Futures | Long | 2,898 | April 2019 | $ | 579,600 | $ | 615,282 | $ | 2,012 | |||||||||||
5 Year U.S. Treasury Note Futures | Long | 1,317 | April 2019 | 131,700 | 151,043 | 2,659 | ||||||||||||||
10 Year U.S. Treasury Note Futures | Long | 817 | March 2019 | 81,700 | 99,687 | 1,364 | ||||||||||||||
10 Year Ultra U.S. Treasury Note Futures | Short | 211 | March 2019 | (21,100 | ) | (27,447 | ) | (874 | ) | |||||||||||
$ | 5,161 |
Swap contracts
Interest rate swaps
Upfront | Unrealized | |||||||||||||||||||||
Value at | payments/ | depreciation | ||||||||||||||||||||
Expiration | Notional | 12/31/2018 | receipts | at 12/31/2018 | ||||||||||||||||||
Receive | Pay | date | (000) | (000) | (000) | (000) | ||||||||||||||||
1.6365% | 3-month USD-LIBOR | 10/16/2019 | $ | 124,000 | $(1,066 | ) | $ | — | $ | (1,066 | ) | |||||||||||
U.S. EFFR | 2.4435% | 12/20/2023 | 17,844 | (137 | ) | — | (137 | ) | ||||||||||||||
U.S. EFFR | 2.45375% | 12/20/2023 | 159,848 | (1,304 | ) | — | (1,304 | ) | ||||||||||||||
U.S. EFFR | 2.4225% | 12/24/2023 | 73,206 | (490 | ) | — | (490 | ) | ||||||||||||||
3-month USD-LIBOR | 2.945% | 10/16/2044 | 28,000 | (560 | ) | — | (560 | ) | ||||||||||||||
$ | — | $ | (3,557 | ) |
82 | American Funds Insurance Series |
Asset Allocation Fund
Investments in affiliates
A company is an affiliate of the fund under the Investment Company Act of 1940 if the fund’s holdings in that company represent 5% or more of the outstanding voting shares. The value of the fund’s holdings in affiliated companies is included in “Other securities” under the respective industry sectors in the summary investment portfolio. Further details on these holdings and related transactions during the year ended December 31, 2018, appear below.
Beginning | Ending | Net | Net | Dividend | Value of | |||||||||||||||||||||||||||
shares or | shares or | realized | unrealized | or interest | affiliates at | |||||||||||||||||||||||||||
principal | principal | gain | depreciation | income | 12/31/2018 | |||||||||||||||||||||||||||
amount | Additions | Reductions | amount | (000) | (000) | (000) | (000) | |||||||||||||||||||||||||
Common stocks 0.59% | ||||||||||||||||||||||||||||||||
Energy 0.14% | ||||||||||||||||||||||||||||||||
Weatherford International PLC1 | 56,000,000 | 4,000,000 | — | 60,000,000 | $ | — | $ | (210,215 | ) | $ | — | $ | 33,540 | |||||||||||||||||||
Consumer discretionary 0.45% | ||||||||||||||||||||||||||||||||
Dillard’s, Inc., Class A (USA)11 | 807,618 | 892,382 | — | 1,700,000 | — | (9,607 | ) | 562 | 102,527 | |||||||||||||||||||||||
Total common stocks | 136,067 | |||||||||||||||||||||||||||||||
Bonds, notes & other debt instruments 0.08% | ||||||||||||||||||||||||||||||||
Energy 0.08% | ||||||||||||||||||||||||||||||||
Weatherford International PLC 4.50% 2022 | $ | 2,670,000 | $ | 3,695,000 | — | $ | 6,365,000 | — | (1,890 | ) | 340 | 3,755 | ||||||||||||||||||||
Weatherford International PLC 8.25% 2023 | $ | 5,500,000 | $ | 300,000 | — | $ | 5,800,000 | — | (2,350 | ) | 484 | 3,523 | ||||||||||||||||||||
Weatherford International PLC 9.875% 2024 | — | $ | 1,000,000 | — | $ | 1,000,000 | — | (391 | ) | 86 | 620 | |||||||||||||||||||||
Weatherford International PLC 9.875% 20255 | — | $ | 2,550,000 | — | $ | 2,550,000 | — | (973 | ) | 214 | 1,562 | |||||||||||||||||||||
Weatherford International PLC 6.50% 2036 | $ | 7,595,000 | — | — | $ | 7,595,000 | — | (2,323 | ) | 519 | 3,987 | |||||||||||||||||||||
Weatherford International PLC 6.75% 2040 | $ | 7,825,000 | — | — | $ | 7,825,000 | — | (2,412 | ) | 553 | 4,069 | |||||||||||||||||||||
17,516 | ||||||||||||||||||||||||||||||||
Total 0.67% | $ | — | $ | (230,161 | ) | $ | 2,758 | $ | 153,583 |
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Security did not produce income during the last 12 months. |
2 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Other securities,” was $396,462,000, which represented 1.73% of the net assets of the fund. This amount includes $369,780,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading. |
3 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $10,162,000, which represented .04% of the net assets of the fund. |
4 | Index-linked bond whose principal amount moves with a government price index. |
5 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $1,612,443,000, which represented 7.03% of the net assets of the fund. |
6 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
7 | Coupon rate may change periodically. |
8 | Purchased on a TBA basis. |
9 | Notional amount is calculated based on the number of contracts and notional contract size. |
10 | Value is calculated based on the notional amount and current market price. |
11 | This security was an unaffiliated issuer in its initial period of acquisition at 12/31/2017; it was not publicly disclosed. |
Key to abbreviations and symbol
ADR = American Depositary Receipts
EFFR = Effective Federal Funds Rate
LIBOR = London Interbank Offered Rate
TBA = To-be-announced
USD/$ = U.S. dollars
See notes to financial statements
American Funds Insurance Series | 83 |
Summary investment portfolioDecember 31, 2018
Common stocks 56.65% | Shares | Value (000) | ||||||
Information technology 11.31% | ||||||||
ASML Holding NV | 35,800 | $ | 5,626 | |||||
Taiwan Semiconductor Manufacturing Co., Ltd.1 | 732,000 | 5,331 | ||||||
Microsoft Corp. | 48,500 | 4,926 | ||||||
PagSeguro Digital Ltd., Class A2 | 220,528 | 4,130 | ||||||
Broadcom Inc. | 15,150 | 3,852 | ||||||
Temenos AG1 | 25,000 | 2,999 | ||||||
Keyence Corp.1 | 4,400 | 2,233 | ||||||
Intel Corp. | 44,000 | 2,065 | ||||||
Other securities | 10,273 | |||||||
41,435 | ||||||||
Financials 8.12% | ||||||||
JPMorgan Chase & Co. | 48,270 | 4,712 | ||||||
HSBC Holdings PLC (GBP denominated) | 539,633 | 4,449 | ||||||
Berkshire Hathaway Inc., Class A2 | 12 | 3,672 | ||||||
B3 SA - Brasil, Bolsa, Balcao | 376,000 | 2,601 | ||||||
HDFC Bank Ltd. (ADR) | 21,605 | 2,238 | ||||||
Credicorp Ltd. | 10,050 | 2,228 | ||||||
Wells Fargo & Co. | 47,900 | 2,207 | ||||||
AIA Group Ltd. | 250,000 | 2,075 | ||||||
Other securities | 5,545 | |||||||
29,727 | ||||||||
Health care 7.49% | ||||||||
Merck & Co., Inc. | 66,870 | 5,110 | ||||||
Humana Inc. | 16,330 | 4,678 | ||||||
UnitedHealth Group Inc. | 8,985 | 2,238 | ||||||
Other securities | 15,420 | |||||||
27,446 | ||||||||
Industrials 6.81% | ||||||||
Boeing Co. | 15,250 | 4,918 | ||||||
Edenred SA | 65,000 | 2,391 | ||||||
Other securities | 17,629 | |||||||
24,938 | ||||||||
Energy 4.95% | ||||||||
ConocoPhillips | 56,006 | 3,492 | ||||||
Royal Dutch Shell PLC, Class B | 114,200 | 3,406 | ||||||
LUKOIL Oil Co. PJSC (ADR) | 39,800 | 2,845 | ||||||
Enbridge Inc. (CAD denominated) | 62,117 | 1,929 | ||||||
Enbridge Inc. (CAD denominated)3 | 16,157 | 502 | ||||||
TOTAL SA | 45,200 | 2,391 | ||||||
Other securities | 3,564 | |||||||
18,129 | ||||||||
Consumer staples 4.85% | ||||||||
Nestlé SA1 | 45,300 | 3,677 | ||||||
Philip Morris International Inc. | 50,800 | 3,391 | ||||||
British American Tobacco PLC | 78,900 | 2,514 | ||||||
Coca-Cola European Partners PLC | 48,000 | 2,201 | ||||||
Other securities | 5,994 | |||||||
17,777 | ||||||||
Consumer discretionary 4.05% | ||||||||
Amazon.com, Inc.2 | 2,500 | 3,755 | ||||||
Ocado Group PLC2 | 259,500 | 2,613 | ||||||
Other securities | 8,465 | |||||||
14,833 |
84 | American Funds Insurance Series |
Global Balanced Fund
Common stocks | Shares | Value (000) | ||||||
Materials 3.54% | ||||||||
DowDuPont Inc. | 40,738 | $ | 2,179 | |||||
Linde PLC1 | 13,706 | 2,176 | ||||||
Randgold Resources Ltd.1 | 25,000 | 2,068 | ||||||
Other securities | 6,530 | |||||||
12,953 | ||||||||
Communication services 2.21% | ||||||||
Nintendo Co., Ltd.1 | 21,300 | 5,671 | ||||||
Other securities | 2,412 | |||||||
8,083 | ||||||||
Real estate 1.91% | ||||||||
Link Real Estate Investment Trust REIT | 211,697 | 2,144 | ||||||
Other securities | 4,838 | |||||||
6,982 | ||||||||
Utilities 1.41% | ||||||||
Ørsted AS1 | 33,800 | 2,255 | ||||||
ENN Energy Holdings Ltd. | 232,000 | 2,058 | ||||||
Other securities | 839 | |||||||
5,152 | ||||||||
Total common stocks (cost: $181,317,000) | 207,455 | |||||||
Bonds, notes & other debt instruments 36.97% | Principal amount (000) | |||||||
Bonds & notes of governments & government agencies outside the U.S. 16.15% | ||||||||
Canada 1.00%–2.25% 2022–2025 | C$ | 2,000 | 1,484 | |||||
Japan, Series 395, 0.10% 2020 | ¥ | 251,100 | 2,301 | |||||
Japan, Series 346, 0.10% 2027 | 380,450 | 3,529 | ||||||
Japan 0.10%–1.70% 2020–20464 | 1,018,875 | 9,836 | ||||||
Poland (Republic of) 3.25%–5.75% 2020–2025 | PLN | 14,140 | 4,068 | |||||
United Mexican States 5.75%–10.00% 2020–2042 | MXN | 63,500 | 2,995 | |||||
United Mexican States 4.15%–4.60% 2027–2046 | $ | 600 | 565 | |||||
Other securities | 34,368 | |||||||
59,146 | ||||||||
U.S. Treasury bonds & notes 12.50% | ||||||||
U.S. Treasury 10.13% | ||||||||
U.S. Treasury 2.875% 2021 | 2,250 | 2,276 | ||||||
U.S. Treasury 1.625% 2022 | 2,850 | 2,766 | ||||||
U.S. Treasury 2.875% 2023 | 2,250 | 2,288 | ||||||
U.S. Treasury 2.25% 2027 | 2,800 | 2,711 | ||||||
U.S. Treasury 2.875% 20285 | 2,170 | 2,205 | ||||||
U.S. Treasury 1.00%–3.13% 2019–20465 | 25,142 | 24,843 | ||||||
37,089 | ||||||||
U.S. Treasury inflation-protected securities 2.37% | ||||||||
U.S. Treasury Inflation-Protected Securities 0.13%–2.38% 2022–20444 | 8,962 | 8,681 | ||||||
Total U.S. Treasury bonds & notes | 45,770 | |||||||
Corporate bonds & notes 6.43% | ||||||||
Financials 1.61% | ||||||||
Banco Nacional de Comercio Exterior SNC 3.80% 2026 (UST Yield Curve Rate T Note Constant Maturity 5 year + 3.00% on 8/11/2021)3,6 | 200 | 191 | ||||||
Berkshire Hathaway Inc. 3.00% 2022 | 75 | 75 | ||||||
HSBC Holdings PLC 3.375% 2024 (5 year EURO Mid Swap + 1.95% on 1/10/2019)6 | € | 100 | 115 | |||||
HSBC Holdings PLC 3.03%–4.29% 2023–20266 | $ | 650 | 633 |
American Funds Insurance Series | 85 |
Global Balanced Fund
Bonds, notes & other debt instruments(continued) | Principal amount (000) | Value (000) | ||||||
Corporate bonds & notes (continued) | ||||||||
Financials (continued) | ||||||||
JPMorgan Chase & Co. 2.55%–6.75% 2021–20496 | $ | 389 | $ | 387 | ||||
JPMorgan Chase Bank NA (3-month USD-LIBOR + 0.34%) 2.848% 20217 | 300 | 297 | ||||||
Other securities | 4,193 | |||||||
5,891 | ||||||||
Utilities 0.98% | ||||||||
Sierra Pacific Power Co., General and Refunding Mortgage Notes, Series T, 3.375% 2023 | 72 | 72 | ||||||
Other securities | 3,539 | |||||||
3,611 | ||||||||
Health care 0.92% | ||||||||
Humana Inc. 3.15% 2022 | 100 | 98 | ||||||
Other securities | 3,277 | |||||||
3,375 | ||||||||
Consumer discretionary 0.56% | ||||||||
Amazon.com, Inc. 2.80%–3.15% 2024–2027 | 220 | 213 | ||||||
Other securities | 1,826 | |||||||
2,039 | ||||||||
Energy 0.53% | ||||||||
Petróleos Mexicanos 7.47% 2026 | MXN | 4,000 | 150 | |||||
Petróleos Mexicanos 6.35%–6.50% 2027–2048 | $ | 487 | 408 | |||||
Shell International Finance BV 3.50% 2023 | 330 | 334 | ||||||
Other securities | 1,035 | |||||||
1,927 | ||||||||
Information technology 0.31% | ||||||||
Broadcom Ltd. 3.875% 2027 | 190 | 171 | ||||||
Microsoft Corp. 2.40%–3.30% 2026–2027 | 652 | 630 | ||||||
Other securities | 338 | |||||||
1,139 | ||||||||
Other 1.52% | ||||||||
Other securities | 5,550 | |||||||
Total corporate bonds & notes | 23,532 | |||||||
Mortgage-backed obligations 1.89% | ||||||||
Federal agency mortgage-backed obligations 1.18% | ||||||||
Fannie Mae 4.00%–4.50% 2041–20498,9 | 3,775 | 3,871 | ||||||
Other securities | 474 | |||||||
4,345 | ||||||||
Other 0.71% | ||||||||
Other securities | 2,591 | |||||||
Total mortgage-backed obligations | 6,936 | |||||||
Total bonds, notes & other debt instruments(cost: $138,335,000) | 135,384 |
86 | American Funds Insurance Series |
Global Balanced Fund
Short-term securities 6.99% | Principal amount (000) | Value (000) | ||||||
Canada Bill 2.32% due 1/3/2019 | $ | 6,000 | $ | 6,000 | ||||
Federal Home Loan Bank 2.15%–2.39% due 1/2/2019–1/22/2019 | 9,600 | 9,592 | ||||||
National Rural Utilities Cooperative Finance Corp. 2.55% due 1/14/2019 | 5,000 | 4,995 | ||||||
U.S. Treasury Bills 2.28% due 1/15/2019 | 5,000 | 4,996 | ||||||
Total short-term securities (cost: $25,583,000) | 25,583 | |||||||
Total investment securities 100.61% (cost: $345,235,000) | 368,422 | |||||||
Other assets less liabilities (0.61)% | (2,233 | ) | ||||||
Net assets 100.00% | $ | 366,189 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio.
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount (000) | 10 | Value at 12/31/2018 (000) | 11 | Unrealized appreciation at 12/31/2018 (000) | ||||||||||||
2 Year U.S. Treasury Note Futures | Long | 6 | April 2019 | $1,200 | $ | 1,274 | $ | 6 | ||||||||||||
5 Year U.S. Treasury Note Futures | Long | 97 | April 2019 | 9,700 | 11,124 | 116 | ||||||||||||||
10 Year Ultra U.S. Treasury Note Futures | Long | 9 | March 2019 | 900 | 1,171 | 38 | ||||||||||||||
10 Year U.S. Treasury Note Futures | Long | 7 | March 2019 | 700 | 854 | 20 | ||||||||||||||
$ | 180 |
Forward currency contracts
Unrealized | ||||||||||||||
(depreciation) | ||||||||||||||
Contract amount | appreciation | |||||||||||||
Purchases | Sales | Settlement | at 12/31/2018 | |||||||||||
(000) | (000) | Counterparty | date | (000) | ||||||||||
USD500 | MYR2,100 | JPMorgan Chase | 1/4/2019 | $(8 | ) | |||||||||
USD482 | THB15,900 | HSBC Bank | 1/8/2019 | (6 | ) | |||||||||
USD1,367 | EUR1,200 | Citibank | 1/8/2019 | (9 | ) | |||||||||
JPY57,806 | EUR450 | HSBC Bank | 1/9/2019 | 12 | ||||||||||
JPY42,300 | USD374 | Citibank | 1/9/2019 | 12 | ||||||||||
EUR534 | USD606 | Goldman Sachs | 1/9/2019 | 6 | ||||||||||
USD354 | JPY40,000 | Bank of New York Mellon | 1/9/2019 | (11 | ) | |||||||||
USD513 | BRL2,000 | Citibank | 1/10/2019 | (3 | ) | |||||||||
USD350 | INR24,900 | Citibank | 1/10/2019 | (6 | ) | |||||||||
JPY9,730 | USD86 | JPMorgan Chase | 1/11/2019 | 3 | ||||||||||
JPY9,730 | USD86 | Goldman Sachs | 1/11/2019 | 3 | ||||||||||
USD162 | ILS600 | Goldman Sachs | 1/11/2019 | 1 | ||||||||||
USD497 | PLN1,870 | JPMorgan Chase | 1/11/2019 | (3 | ) | |||||||||
USD172 | JPY19,459 | Goldman Sachs | 1/11/2019 | (6 | ) | |||||||||
USD356 | INR25,000 | Citibank | 1/14/2019 | (1 | ) | |||||||||
USD378 | MYR1,580 | JPMorgan Chase | 1/14/2019 | (4 | ) | |||||||||
USD692 | INR49,000 | HSBC Bank | 1/15/2019 | (9 | ) | |||||||||
JPY116,594 | USD1,033 | JPMorgan Chase | 1/17/2019 | 32 | ||||||||||
USD871 | CAD1,165 | Citibank | 1/17/2019 | 17 | ||||||||||
EUR938 | USD1,068 | Goldman Sachs | 1/17/2019 | 9 | ||||||||||
KRW900,000 | USD802 | JPMorgan Chase | 1/17/2019 | 5 | ||||||||||
USD259 | THB8,500 | Bank of America, N.A. | 1/17/2019 | (2 | ) |
American Funds Insurance Series | 87 |
Global Balanced Fund
Forward currency contracts(continued)
Unrealized | |||||||||||||||
(depreciation) | |||||||||||||||
Contract amount | appreciation | ||||||||||||||
Purchases | Sales | Settlement | at 12/31/2018 | ||||||||||||
(000) | (000) | Counterparty | date | (000) | |||||||||||
USD796 | KRW900,000 | Morgan Stanley | 1/17/2019 | $ | (11 | ) | |||||||||
USD740 | JPY83,520 | Citibank | 1/17/2019 | (23 | ) | ||||||||||
JPY110,281 | EUR860 | Goldman Sachs | 1/18/2019 | 21 | |||||||||||
USD520 | AUD725 | JPMorgan Chase | 1/18/2019 | 10 | |||||||||||
USD113 | CAD150 | Goldman Sachs | 1/18/2019 | 4 | |||||||||||
KRW532,100 | USD475 | HSBC Bank | 1/18/2019 | 2 | |||||||||||
GBP190 | USD243 | Citibank | 1/18/2019 | (1 | ) | ||||||||||
USD474 | KRW532,100 | Goldman Sachs | 1/18/2019 | (3 | ) | ||||||||||
USD116 | INR8,300 | Citibank | 1/22/2019 | (3 | ) | ||||||||||
USD588 | BRL2,300 | JPMorgan Chase | 1/22/2019 | (5 | ) | ||||||||||
GBP1,476 | USD1,871 | Citibank | 1/24/2019 | 13 | |||||||||||
EUR1,565 | USD1,787 | JPMorgan Chase | 1/24/2019 | 10 | |||||||||||
GBP270 | EUR300 | Bank of America, N.A. | 1/24/2019 | — | 12 | ||||||||||
NOK2,700 | USD316 | Bank of New York Mellon | 1/24/2019 | (3 | ) | ||||||||||
USD699 | AUD970 | UBS AG | 1/25/2019 | 15 | |||||||||||
USD462 | INR32,718 | JPMorgan Chase | 1/25/2019 | (6 | ) | ||||||||||
EUR717 | USD812 | HSBC Bank | 1/28/2019 | 11 | |||||||||||
EUR400 | USD459 | HSBC Bank | 1/28/2019 | 1 | |||||||||||
NOK3,054 | USD351 | UBS AG | 1/29/2019 | 3 | |||||||||||
USD143 | MXN2,900 | HSBC Bank | 1/29/2019 | (3 | ) | ||||||||||
JPY85,000 | USD754 | JPMorgan Chase | 2/13/2019 | 24 | |||||||||||
USD504 | CNH3,500 | JPMorgan Chase | 2/28/2019 | (6 | ) | ||||||||||
USD62 | BRL250 | HSBC Bank | 12/20/2019 | — | 12 | ||||||||||
$ | 82 |
Swap contracts
Interest rate swaps
Unrealized | ||||||||||||||||||||
Upfront | (depreciation) | |||||||||||||||||||
Value at | payments/ | appreciation | ||||||||||||||||||
Expiration | Notional | 12/31/2018 | receipts | at 12/31/2018 | ||||||||||||||||
Receive | Pay | date | (000) | (000) | (000) | (000) | ||||||||||||||
U.S. EFFR | 2.521% | 5/1/2019 | $ | 153,000 | $ | (19 | ) | $ | — | $ | (19 | ) | ||||||||
(0.0385)% | EONIA | 12/4/2021 | € | 4,300 | 12 | — | 12 | |||||||||||||
(0.0405)% | EONIA | 12/4/2021 | 4,400 | 12 | — | 12 | ||||||||||||||
$ | — | $ | 5 |
88 | American Funds Insurance Series |
Global Balanced Fund
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Other securities,” was $42,136,000, which represented 11.51% of the net assets of the fund. This amount includes $40,068,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading. |
2 | Security did not produce income during the last 12 months. |
3 | Acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $10,661,000, which represented 2.91% of the net assets of the fund. |
4 | Index-linked bond whose principal amount moves with a government price index. |
5 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $154,000, which represented .04% of the net assets of the fund. |
6 | Step bond; coupon rate may change at a later date. |
7 | Coupon rate may change periodically. |
8 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
9 | Purchased on a TBA basis. |
10 | Notional amount is calculated based on the number of contracts and notional contract size. |
11 | Value is calculated based on the notional amount and current market price. |
12 | Amount less than one thousand. |
Key to abbreviations and symbols
ADR = American Depositary Receipts
AUD = Australian dollars
BRL = Brazilian reais
CAD/C$ = Canadian dollars
CNH = Chinese yuan renminbi
EFFR = Effective Federal Funds Rate
EONIA = Euro Overnight Index Average
EUR/€ = Euros
GBP = British pounds
ILS = Israeli shekels
INR = Indian rupees
JPY/¥ = Japanese yen
KRW = South Korean won
LIBOR = London Interbank Offered Rate
MXN = Mexican pesos
MYR = Malaysian ringgits
NOK = Norwegian kroner
PLN = Polish zloty
TBA = To-be-announced
THB = Thai baht
USD/$ = U.S. dollars
See notes to financial statements
American Funds Insurance Series | 89 |
Summary investment portfolioDecember 31, 2018
Bonds, notes & other debt instruments 98.44% | Principal amount (000) | Value (000) | ||||||
Corporate bonds & notes 36.57% | ||||||||
Financials 10.49% | ||||||||
Bank of America Corp. 2.82%–4.27% 2023–20291 | $ | 111,866 | $ | 108,914 | ||||
General Motors Financial Co. 4.20% 2021 | 12,600 | 12,602 | ||||||
Intesa Sanpaolo SpA 5.017% 20242 | 70,790 | 64,129 | ||||||
Morgan Stanley 2.50%–3.88% 2021–20291,3 | 103,230 | 100,523 | ||||||
Other securities | 747,734 | |||||||
1,033,902 | ||||||||
Health care 6.53% | ||||||||
Teva Pharmaceutical Finance Co. BV 2.80% 2023 | 77,814 | 67,082 | ||||||
Teva Pharmaceutical Finance Co. BV 2.20%–6.75% 2021–2046 | 133,539 | 103,666 | ||||||
Other securities | 472,682 | |||||||
643,430 | ||||||||
Energy 5.02% | ||||||||
Petróleos Mexicanos 7.47% 2026 | MXN | 295,000 | 11,075 | |||||
Petróleos Mexicanos 4.63%–6.75% 2022–2048 | $ | 65,035 | 57,055 | |||||
Other securities | 426,114 | |||||||
494,244 | ||||||||
Utilities 3.49% | ||||||||
Other securities | 344,262 | |||||||
Consumer discretionary 3.03% | ||||||||
General Motors Co. 4.35%–5.95% 2025–2049 | 20,265 | 18,401 | ||||||
General Motors Financial Co. 3.15%–3.95% 2020–2024 | 71,039 | 67,851 | ||||||
Other securities | 212,152 | |||||||
298,404 | ||||||||
Consumer staples 2.82% | ||||||||
Other securities | 277,569 | |||||||
Communication services 2.07% | ||||||||
Other securities | 204,443 | |||||||
Industrials 1.04% | ||||||||
Other securities | 102,117 | |||||||
Other 2.08% | ||||||||
Other securities | 205,279 | |||||||
Total corporate bonds & notes | 3,603,650 | |||||||
U.S. Treasury bonds & notes 28.94% | ||||||||
U.S. Treasury 23.96% | ||||||||
U.S. Treasury 2.25% 2023 | 110,600 | 109,231 | ||||||
U.S. Treasury 2.50% 2023 | 57,200 | 57,218 | ||||||
U.S. Treasury 2.625% 2023 | 297,846 | 299,451 | ||||||
U.S. Treasury 2.75% 2023 | 173,600 | 175,425 | ||||||
U.S. Treasury 2.125% 20244 | 250,100 | 245,361 | ||||||
U.S. Treasury 2.125% 20244 | 72,100 | 70,548 | ||||||
U.S. Treasury 2.125% 2024 | 72,100 | 70,475 | ||||||
U.S. Treasury 2.25% 2024 | 65,000 | 64,175 | ||||||
U.S. Treasury 2.625% 2025 | 76,884 | 77,076 | ||||||
U.S. Treasury 2.75% 2025 | 132,000 | 133,361 | ||||||
U.S. Treasury 2.875% 2025 | 162,218 | 165,056 | ||||||
U.S. Treasury 2.875% 2025 | 96,200 | 97,906 | ||||||
U.S. Treasury 2.25% 2027 | 120,200 | 116,223 |
90 | American Funds Insurance Series |
Bond Fund
Bonds, notes & other debt instruments | Principal amount (000) | Value (000) | ||||||
U.S. Treasury 2.25% 2027 | $ | 73,175 | $ | 71,072 | ||||
U.S. Treasury 3.125% 2028 | 125,656 | 130,492 | ||||||
U.S. Treasury 3.00% 20484 | 72,499 | 72,268 | ||||||
U.S. Treasury 3.125% 20484 | 85,768 | 87,519 | ||||||
U.S. Treasury 3.375% 20484 | 105,392 | 112,851 | ||||||
U.S. Treasury 2.38%–8.75% 2020–2045 | 195,161 | 206,044 | ||||||
2,361,752 | ||||||||
U.S. Treasury inflation-protected securities 4.98% | ||||||||
U.S. Treasury Inflation-Protected Security 0.625% 20235 | 50,902 | 50,107 | ||||||
U.S. Treasury Inflation-Protected Security 0.375% 20255 | 54,409 | 52,483 | ||||||
U.S. Treasury Inflation-Protected Security 0.375% 20275 | 155,061 | 147,380 | ||||||
U.S. Treasury Inflation-Protected Security 0.50% 20285 | 128,145 | 122,360 | ||||||
U.S. Treasury Inflation-Protected Security 0.75% 20285 | 71,633 | 70,160 | ||||||
U.S. Treasury Inflation-Protected Securities 0.88%–1.00% 2047–20484,5 | 57,402 | 48,055 | ||||||
490,545 | ||||||||
Total U.S. Treasury bonds & notes | 2,852,297 | |||||||
Mortgage-backed obligations 22.67% | ||||||||
Federal agency mortgage-backed obligations 22.65% | ||||||||
Fannie Mae 3.50% 20476 | 94,234 | 94,300 | ||||||
Fannie Mae 3.50% 20476 | 65,315 | 65,360 | ||||||
Fannie Mae 3.50% 20496,7 | 538,377 | 538,494 | ||||||
Fannie Mae 4.00% 20496,7 | 225,210 | 229,666 | ||||||
Fannie Mae 4.50% 20496,7 | 98,000 | 101,542 | ||||||
Fannie Mae 3.00%–9.19% 2023–20493,6 | 170,534 | 172,675 | ||||||
Freddie Mac 3.50% 20476 | 111,522 | 111,566 | ||||||
Freddie Mac 3.50% 20476 | 61,286 | 61,335 | ||||||
Freddie Mac 4.00% 20486 | 63,344 | 64,620 | ||||||
Freddie Mac 4.00% 20486 | 58,724 | 59,906 | ||||||
Freddie Mac 4.00% 20486 | 50,769 | 51,791 | ||||||
Freddie Mac 3.00%–5.50% 2033–20486 | 186,165 | 186,978 | ||||||
Government National Mortgage Assn. 4.00% 20496,7 | 78,661 | 80,560 | ||||||
Government National Mortgage Assn. 4.00% 20496,7 | 69,539 | 71,158 | ||||||
Government National Mortgage Assn. 4.50% 20496,7 | 117,450 | 121,553 | ||||||
Government National Mortgage Assn. 5.00% 20496,7 | 168,137 | 174,944 | ||||||
Government National Mortgage Assn. 5.00% 20496,7 | 23,839 | 24,782 | ||||||
Other securities | 21,002 | |||||||
2,232,232 | ||||||||
Other 0.02% | ||||||||
Other securities | 1,863 | |||||||
Total mortgage-backed obligations | 2,234,095 | |||||||
Bonds & notes of governments & government agencies outside the U.S. 6.22% | ||||||||
Italy (Republic of) 0.95% 2023 | € | 45,000 | 50,312 | |||||
Italy (Republic of) 2.00% 2028 | 21,000 | 23,045 | ||||||
Japan, Series 20, 0.10% 20255 | ¥ | 11,430,000 | 107,256 | |||||
Portuguese Republic 5.125% 2024 | $ | 89,175 | 93,569 | |||||
Portuguese Republic 4.10%–5.65% 2024–2045 | € | 20,375 | 29,237 | |||||
United Mexican States, Series M, 6.50% 2021 | MXN | 3,132,700 | 152,312 | |||||
United Mexican States 3.60% 2025 | $ | 11,500 | 10,994 | |||||
United Mexican States, Series M, 5.75% 2026 | MXN | 527,500 | 22,701 | |||||
Other securities | 123,316 | |||||||
612,742 | ||||||||
Asset-backed obligations 2.00% | ||||||||
Other securities | 197,268 |
American Funds Insurance Series | 91 |
Bond Fund
Bonds, notes & other debt instruments (continued) | Principal amount (000) | Value (000) | ||||||
Municipals 1.93% | ||||||||
Illinois 1.64% | ||||||||
G.O. Bonds, Pension Funding Series 2003, 4.95% 2023 | $ | 27,060 | $ | 27,489 | ||||
G.O. Bonds, Pension Funding Series 2003, 5.10% 20336 | 86,885 | 82,973 | ||||||
G.O. Bonds, Pension Funding Series 2013, 5.877% 2019 | 400 | 402 | ||||||
G.O. Bonds, Series 2013-B, 3.65% 2020 | 1,825 | 1,826 | ||||||
G.O. Bonds, Series 2013-B, 4.11% 2022 | 750 | 748 | ||||||
G.O. Bonds, Series 2013-B, 4.31% 2023 | 2,125 | 2,101 | ||||||
G.O. Bonds, Taxable Build America Bonds, Series 2010-2, 5.65% 2020 | 250 | 256 | ||||||
G.O. Bonds, Taxable Build America Bonds, Series 2010-2, 5.85% 2022 | 2,370 | 2,487 | ||||||
G.O. Bonds, Taxable Build America Bonds, Series 2010-2, 5.95% 2023 | 3,210 | 3,376 | ||||||
G.O. Bonds, Taxable Build America Bonds, Series 2010-3, 5.547% 2019 | 335 | 337 | ||||||
G.O. Bonds, Taxable Build America Bonds, Series 2010-3, 5.727% 2020 | 2,400 | 2,462 | ||||||
G.O. Bonds, Taxable Build America Bonds, Series 2010-5, 6.20% 20216 | 5,838 | 6,050 | ||||||
Other securities | 31,113 | |||||||
161,620 | ||||||||
Other 0.29% | ||||||||
Other securities | 28,321 | |||||||
Total municipals | 189,941 | |||||||
Federal agency bonds & notes 0.11% | ||||||||
Fannie Mae 2.125% 2026 | 11,910 | 11,395 | ||||||
Total bonds, notes & other debt instruments (cost: $9,812,916,000) | 9,701,388 | |||||||
Common stocks 0.01% | Shares | |||||||
Other 0.01% | ||||||||
Other securities | 422 | |||||||
Total common stocks (cost: $1,854,000) | 422 | |||||||
Rights & warrants 0.00% | ||||||||
Energy 0.00% | ||||||||
Other securities | 67 | |||||||
Total rights & warrants (cost: $18,000) | 67 | |||||||
Short-term securities 12.62% | Principal amount (000) | |||||||
Chevron Corp. 2.49% due 2/4/20192 | $ | 75,000 | 74,819 | |||||
Fannie Mae 2.23% due 1/2/2019 | 3,200 | 3,199 | ||||||
Federal Home Loan Bank 2.23%–2.39% due 1/11/2019–3/6/2019 | 483,800 | 482,671 | ||||||
Italian Treasury Bill 0.53% due 8/14/2019 | € | 46,400 | 53,030 | |||||
Merck & Co. Inc. 2.38% due 1/25/2019–1/29/20192 | $ | 80,000 | 79,849 | |||||
U.S. Treasury Bills 2.19%–2.44% due 1/17/2019–5/16/2019 | 366,500 | 364,843 | ||||||
Wal-Mart Stores, Inc. 2.46%–2.49% due 1/7/2019–1/14/20192 | 64,800 | 64,756 | ||||||
Other securities | 120,466 | |||||||
Total short-term securities (cost: $1,244,163,000) | 1,243,633 | |||||||
Total investment securities 111.07% (cost: $11,058,951,000) | 10,945,510 | |||||||
Other assets less liabilities (11.07)% | (1,090,823 | ) | ||||||
Net assets 100.00% | $ | 9,854,687 |
92 | American Funds Insurance Series |
Bond Fund
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. “Other securities” includes securities which were valued under fair value procedures adopted by authority of the board of trustees. The total value of securities which were valued under fair value procedures was $1,591,000, which represented .02% of the net assets of the fund. “Other securities” also includes loan participations and assignments, which may be subject to legal or contractual restrictions on resale. The total value of all such loans was $1,243,000, which represented .01% of the net assets of the fund.
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount (000) | 8 | Value at 12/31/2018 (000) | 9 | Unrealized appreciation (depreciation) at 12/31/2018 (000) | |||||||||||||
2 Year U.S. Treasury Note Futures | Long | 3,076 | April 2019 | $ | 615,200 | $ | 653,073 | $ | 2,119 | ||||||||||||
5 Year Euro-Bobl Futures | Short | 2,022 | March 2019 | € | (202,200 | ) | (307,010 | ) | (813 | ) | |||||||||||
5 Year U.S. Treasury Note Futures | Long | 10,571 | April 2019 | $ | 1,057,100 | 1,212,362 | 17,566 | ||||||||||||||
10 Year Euro-Bund Futures | Short | 715 | March 2019 | € | (71,500 | ) | (133,974 | ) | (934 | ) | |||||||||||
10 Year U.S. Treasury Note Futures | Long | 579 | March 2019 | $ | 57,900 | 70,647 | 1,495 | ||||||||||||||
10 Year Ultra U.S. Treasury Note Futures | Short | 171 | March 2019 | (17,100 | ) | (22,243 | ) | (666 | ) | ||||||||||||
30 Year Euro-Buxl Futures | Long | 268 | March 2019 | € | 26,800 | 55,462 | 1,118 | ||||||||||||||
30 Year Ultra U.S. Treasury Bond Futures | Short | 33 | March 2019 | $ | (3,300 | ) | (5,302 | ) | (277 | ) | |||||||||||
$ | 19,608 |
Forward currency contracts
Contract amount | Unrealized (depreciation) appreciation | ||||||||||
Purchases (000) | Sales (000) | Counterparty | Settlement date | at 12/31/2018 (000) | |||||||
USD25,523 | EUR22,400 | Citibank | 1/8/2019 | $ | (159 | ) | |||||
USD12,784 | JPY1,445,000 | Bank of America, N.A. | 1/11/2019 | (412 | ) | ||||||
USD60,130 | MXN1,220,000 | Citibank | 1/11/2019 | (1,853 | ) | ||||||
KRW44,456,000 | USD39,480 | JPMorgan Chase | 1/14/2019 | 380 | |||||||
USD40,106 | KRW44,456,000 | Morgan Stanley | 1/14/2019 | 247 | |||||||
USD53,016 | EUR46,600 | HSBC Bank | 1/17/2019 | (456 | ) | ||||||
USD117,705 | MXN2,400,000 | Morgan Stanley | 1/17/2019 | (4,095 | ) | ||||||
JPY13,203,300 | USD117,462 | Goldman Sachs | 1/18/2019 | 3,183 | |||||||
EUR34,400 | USD39,182 | Citibank | 1/18/2019 | 294 | |||||||
CNH273,100 | USD39,613 | Citibank | 1/18/2019 | 149 | |||||||
USD39,868 | CNH273,100 | HSBC Bank | 1/18/2019 | 107 | |||||||
USD439 | EUR385 | HSBC Bank | 1/18/2019 | (3 | ) | ||||||
USD39,223 | EUR34,400 | HSBC Bank | 1/18/2019 | (253 | ) | ||||||
USD39,249 | JPY4,444,800 | Citibank | 1/18/2019 | (1,365 | ) | ||||||
USD78,055 | JPY8,758,500 | HSBC Bank | 1/18/2019 | (1,976 | ) | ||||||
USD5,622 | EUR4,925 | JPMorgan Chase | 1/24/2019 | (33 | ) | ||||||
USD12,492 | MXN252,000 | Citibank | 1/24/2019 | (281 | ) | ||||||
USD124,696 | EUR109,250 | HSBC Bank | 1/24/2019 | (743 | ) | ||||||
USD64,722 | JPY7,300,000 | Morgan Stanley | 1/24/2019 | (2,013 | ) | ||||||
USD30,599 | JPY3,430,000 | Goldman Sachs | 1/29/2019 | (770 | ) | ||||||
USD54,526 | EUR46,000 | Bank of America, N.A. | 8/14/2019 | 781 | |||||||
$ | (9,271 | ) |
American Funds Insurance Series | 93 |
Bond Fund
Swap contracts
Interest rate swaps
Receive | Pay | Expiration date | Notional (000) | Value at 12/31/2018 (000) | Upfront payments/ receipts (000) | Unrealized (depreciation) appreciation at 12/31/2018 (000) | |||||||||||||||
1.6915% | 3-month USD-LIBOR | 6/3/2020 | $ | 1,600 | $ | (23 | ) | $— | $ | (23 | ) | ||||||||||
3-month USD-LIBOR | 1.975% | 4/27/2022 | 15,000 | 288 | — | 288 | |||||||||||||||
U.S. EFFR | 2.4435% | 12/20/2023 | 5,508 | (42 | ) | — | (42 | ) | |||||||||||||
U.S. EFFR | 2.45375% | 12/20/2023 | 49,336 | (403 | ) | — | (403 | ) | |||||||||||||
U.S. EFFR | 2.4225% | 12/24/2023 | 22,594 | (151 | ) | — | (152 | ) | |||||||||||||
6-month EURIBOR | 0.9852% | 10/17/2024 | € | 25,000 | (1,119 | ) | — | (1,119 | ) | ||||||||||||
3-month USD-LIBOR | 2.438% | 11/19/2024 | $ | 750 | 6 | — | 6 | ||||||||||||||
3-month USD-LIBOR | 2.0475% | 3/23/2025 | 450 | 14 | — | 14 | |||||||||||||||
3-month USD-LIBOR | 2.3175% | 5/8/2025 | 1,500 | 25 | — | 25 | |||||||||||||||
3-month USD-LIBOR | 2.339% | 5/13/2025 | 375 | 6 | — | 6 | |||||||||||||||
3-month USD-LIBOR | 2.351% | 5/15/2025 | 590 | 9 | — | 9 | |||||||||||||||
3-month USD-LIBOR | 2.287% | 5/20/2025 | 500 | 9 | — | 9 | |||||||||||||||
3-month USD-LIBOR | 2.227% | 5/28/2025 | 260 | 6 | — | 6 | |||||||||||||||
3-month USD-LIBOR | 2.2125% | 5/29/2025 | 465 | 11 | — | 11 | |||||||||||||||
3-month USD-LIBOR | 2.451% | 6/5/2025 | 650 | 6 | — | 6 | |||||||||||||||
3-month USD-LIBOR | 2.46% | 6/10/2025 | 2,536 | 22 | — | 22 | |||||||||||||||
3-month USD-LIBOR | 2.455% | 6/24/2025 | 235 | 2 | — | 2 | |||||||||||||||
3-month USD-LIBOR | 2.397% | 7/13/2025 | 900 | 11 | — | 11 | |||||||||||||||
3-month USD-LIBOR | 2.535% | 7/15/2025 | 800 | 4 | — | 4 | |||||||||||||||
3-month USD-LIBOR | 2.4615% | 7/22/2025 | 1,300 | 12 | — | 12 | |||||||||||||||
3-month USD-LIBOR | 2.312% | 7/29/2025 | 1,000 | 18 | — | 18 | |||||||||||||||
3-month USD-LIBOR | 2.331% | 7/30/2025 | 435 | 7 | — | 7 | |||||||||||||||
3-month USD-LIBOR | 2.228% | 9/4/2025 | 12,000 | 285 | — | 285 | |||||||||||||||
6-month JPY-LIBOR | 0.0875% | 3/10/2026 | ¥ | 11,100,000 | (92 | ) | — | (92 | ) | ||||||||||||
3-month USD-LIBOR | 1.595% | 5/12/2026 | $ | 8,500 | 593 | — | 593 | ||||||||||||||
3-month USD-LIBOR | 1.592% | 5/12/2026 | 4,000 | 280 | — | 280 | |||||||||||||||
3.0865% | 3-month USD-LIBOR | 8/18/2034 | 2,250 | 80 | — | 80 | |||||||||||||||
2.844% | 3-month USD-LIBOR | 6/11/2035 | 3,250 | 11 | — | 11 | |||||||||||||||
2.773% | 3-month USD-LIBOR | 7/13/2035 | 500 | (3 | ) | — | (3 | ) | |||||||||||||
2.589% | 3-month USD-LIBOR | 9/4/2035 | 3,100 | (98 | ) | — | (98 | ) | |||||||||||||
2.377% | 3-month USD-LIBOR | 4/29/2045 | 1,910 | (169 | ) | — | (169 | ) | |||||||||||||
6-month JPY-LIBOR | 0.58295% | 3/23/2046 | ¥ | 2,000,000 | 518 | — | 518 | ||||||||||||||
0.64355% | 6-month JPY-LIBOR | 4/27/2046 | 2,000,000 | (237 | ) | — | (237 | ) | |||||||||||||
3-month USD-LIBOR | 2.1155% | 5/13/2046 | $ | 2,400 | 342 | — | 342 | ||||||||||||||
$— | $ | 227 |
94 | American Funds Insurance Series |
Bond Fund
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Step bond; coupon rate may change at a later date. |
2 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $1,180,984,000, which represented 11.98% of the net assets of the fund. |
3 | Coupon rate may change periodically. |
4 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $25,155,000, which represented .26% of the net assets of the fund. |
5 | Index-linked bond whose principal amount moves with a government price index. |
6 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
7 | Purchased on a TBA basis. |
8 | Notional amount is calculated based on the number of contracts and notional contract size. |
9 | Value is calculated based on the notional amount and current market price. |
Key to abbreviations and symbols
CNH = Chinese yuan renminbi
EFFR = Effective Federal Funds Rate
EUR/€ = Euros
EURIBOR = Euro Interbank Offered Rate
G.O. = General Obligation
JPY/¥ = Japanese yen
KRW = South Korean won
LIBOR = London Interbank Offered Rate
MXN = Mexican pesos
TBA = To-be-announced
USD/$ = U.S. dollars
See notes to financial statements
American Funds Insurance Series | 95 |
Summary investment portfolioDecember 31, 2018
Bonds, notes & other debt instruments 92.18% | Principal amount (000) | Value (000) | ||||||
Japanese yen 11.88% | ||||||||
Japan, Series 395, 0.10% 2020 | ¥ | 5,380,000 | $ | 49,306 | ||||
Japan, Series 19, 0.10% 20241 | 2,428,632 | 22,734 | ||||||
Japan, Series 18, 0.10% 20241 | 1,958,856 | 18,301 | ||||||
Japan, Series 21, 0.10% 20261 | 989,420 | 9,329 | ||||||
Japan, Series 346, 0.10% 2027 | 3,125,000 | 28,990 | ||||||
Japan, Series 116, 2.20% 2030 | 1,735,000 | 19,560 | ||||||
Japan, Series 145, 1.70% 2033 | 2,210,000 | 24,308 | ||||||
Japan 0.10%–2.30% 2020–20481 | 7,835,970 | 75,509 | ||||||
248,037 | ||||||||
Euros 11.27% | ||||||||
Canada 3.50% 2020 | € | 2,500 | 2,983 | |||||
Germany (Federal Republic of) 0.50% 2027 | 12,360 | 14,640 | ||||||
Germany (Federal Republic of) 0.50% 2028 | 11,000 | 12,976 | ||||||
Germany (Federal Republic of) 1.25% 20482 | 8,750 | 11,016 | ||||||
Germany (Federal Republic of) 1.75%–6.25% 2024–2046 | 9,670 | 14,363 | ||||||
Ireland (Republic of) 0.90% 2028 | 8,090 | 9,275 | ||||||
Italy (Republic of) 1.35% 2022 | 12,950 | 14,891 | ||||||
Italy (Republic of) 2.05%–4.75% 2023–2027 | 12,730 | 15,089 | ||||||
Romania 2.88%–3.88% 2029–2038 | 12,150 | 13,170 | ||||||
Spain (Kingdom of) 1.45% 2027 | 18,230 | 21,194 | ||||||
Spain (Kingdom of) 1.50% 2027 | 10,350 | 12,131 | ||||||
Spain (Kingdom of) 2.70%–2.90% 2046–2048 | 7,145 | 8,415 | ||||||
Other securities | 85,261 | |||||||
235,404 | ||||||||
Mexican pesos 3.57% | ||||||||
Petróleos Mexicanos 7.47% 2026 | MXN | 59,000 | 2,215 | |||||
United Mexican States, Series M, 8.00% 2023 | 301,000 | 14,960 | ||||||
United Mexican States, Series M, 5.75% 2026 | 611,500 | 26,316 | ||||||
United Mexican States 6.50%–10.00% 2020–2042 | 618,500 | 30,947 | ||||||
74,438 | ||||||||
Polish zloty 3.51% | ||||||||
Poland (Republic of), Series 1021, 5.75% 2021 | PLN | 101,030 | 29,970 | |||||
Poland (Republic of), Series 0922, 5.75% 2022 | 34,600 | 10,513 | ||||||
Poland (Republic of), Series 0725, 3.25% 2025 | 34,750 | 9,721 | ||||||
Poland (Republic of) 1.50%–5.25% 2020–2023 | 82,090 | 23,109 | ||||||
73,313 | ||||||||
Danish kroner 3.15% | ||||||||
Nykredit Realkredit AS, Series 01E, 1.50% 20373 | DKr | 107,828 | 16,675 | |||||
Nykredit Realkredit AS, Series 01E, 1.50% 20403 | 284,656 | 43,453 | ||||||
Nykredit Realkredit AS 2.00%–2.50% 2037–20473 | 35,015 | 5,605 | ||||||
65,733 | ||||||||
Indian rupees 2.19% | ||||||||
India (Republic of) 8.83% 2023 | INR | 884,200 | 13,507 | |||||
India (Republic of) 6.79%–7.88% 2021–2030 | 2,013,270 | 28,514 | ||||||
Other securities | 3,779 | |||||||
45,800 | ||||||||
British pounds 2.08% | ||||||||
United Kingdom 3.25% 2044 | £ | 6,500 | 10,597 | |||||
United Kingdom 1.25%–4.25% 2022–2047 | 22,535 | 30,170 | ||||||
Other securities | 2,609 | |||||||
43,376 |
96 | American Funds Insurance Series |
Global Bond Fund
Bonds, notes & other debt instruments | Principal amount (000) | Value (000) | ||||||
Brazilian reais 1.58% | ||||||||
Brazil (Federative Republic of) 0% 2021 | BRL | 14,000 | $ | 3,000 | ||||
Brazil (Federative Republic of) 0% 2022 | 75,000 | 14,641 | ||||||
Brazil (Federative Republic of) 10.00% 2025 | 57,090 | 15,395 | ||||||
33,036 | ||||||||
Thai baht 1.30% | ||||||||
Thailand (Kingdom of) 2.125% 2026 | THB | 317,750 | 9,552 | |||||
Thailand (Kingdom of) 1.88%–3.85% 2022–2032 | 363,200 | 11,440 | ||||||
Other securities | 6,237 | |||||||
27,229 | ||||||||
Israeli shekels 0.88% | ||||||||
Israel (State of) 5.50% 2042 | ILS | 29,300 | 10,802 | |||||
Other securities | 7,518 | |||||||
18,320 | ||||||||
Chilean pesos 0.73% | ||||||||
Chile (Banco Central de) 4.00% 2023 | CLP | 6,765,000 | 9,796 | |||||
Other securities | 5,378 | |||||||
15,174 | ||||||||
Malaysian ringgits 0.72% | ||||||||
Malaysia (Federation of), Series 0310, 4.498% 2030 | MYR | 42,250 | 10,327 | |||||
Other securities | 4,802 | |||||||
15,129 | ||||||||
Romanian leu 0.69% | ||||||||
Romania 2.30%–5.95% 2020–2022 | RON | 59,100 | 14,495 | |||||
Canadian dollars 0.48% | ||||||||
Canada 1.00%–2.25% 2022–2025 | C$ | 10,500 | 7,808 | |||||
Other securities | 2,231 | |||||||
10,039 | ||||||||
U.S. dollars 43.81% | ||||||||
Banco Nacional de Comercio Exterior SNC 3.80% 2026 (UST Yield Curve Rate T Note Constant Maturity 5 year + 3.00% on 8/11/2021)4,5 | $ | 880 | 843 | |||||
Fannie Mae 3.50% 20493,6 | 15,500 | 15,503 | ||||||
Fannie Mae 4.00% 20493,6 | 17,329 | 17,672 | ||||||
Fannie Mae 4.50% 20493,6 | 13,050 | 13,522 | ||||||
Fannie Mae 2.18%–4.00% 2022–20483 | 8,034 | 8,110 | ||||||
Petrobras Global Finance Co. 5.30%–6.13% 2022–2025 | 2,307 | 2,256 | ||||||
Petróleos Mexicanos 6.35%–6.50% 2027–2048 | 3,602 | 3,264 | ||||||
Poland (Republic of) 3.25%–4.00% 2024–2026 | 5,570 | 5,508 | ||||||
Romania 5.125% 20485 | 6,200 | 5,991 | ||||||
U.S. Treasury 1.875% 20242 | 9,400 | 9,076 | ||||||
U.S. Treasury 2.75% 2025 | 10,140 | 10,244 | ||||||
U.S. Treasury 2.00% 20262 | 33,560 | 32,039 | ||||||
U.S. Treasury 2.25% 2027 | 27,700 | 26,783 | ||||||
U.S. Treasury 2.75% 20282 | 62,500 | 62,881 | ||||||
U.S. Treasury 2.875% 2028 | 43,500 | 44,217 | ||||||
U.S. Treasury 2.875% 2028 | 19,850 | 20,171 | ||||||
U.S. Treasury 2.75% 20472 | 17,800 | 16,872 | ||||||
U.S. Treasury 3.00% 20482 | 23,800 | 23,724 | ||||||
U.S. Treasury 3.00% 2048 | 10,600 | 10,559 | ||||||
U.S. Treasury 2.13%–2.88% 2020–2025 | 36,730 | 36,781 | ||||||
U.S. Treasury Inflation-Protected Security 0.625% 20241 | 27,337 | 26,927 | ||||||
U.S. Treasury Inflation-Protected Security 0.25% 20251 | 11,851 | 11,349 | ||||||
U.S. Treasury Inflation-Protected Security 0.625% 20261 | 10,323 | 10,059 |
American Funds Insurance Series | 97 |
Global Bond Fund
Bonds, notes & other debt instruments (continued) | Principal amount (000) | Value (000) | ||||||
U.S. dollars (continued) | ||||||||
U.S. Treasury Inflation-Protected Securities 0.13%–2.38% 2023–20461,2 | $ | 39,818 | $ | 38,799 | ||||
United Mexican States 4.15% 2027 | 1,910 | 1,850 | ||||||
Other securities | 459,714 | |||||||
914,714 | ||||||||
Other 4.34% | ||||||||
Other securities | 90,558 | |||||||
Total bonds, notes & other debt instruments (cost: $1,967,091,000) | 1,924,795 | |||||||
Convertible bonds 0.00% | ||||||||
U.S. dollars 0.00% | ||||||||
Other securities | 100 | |||||||
Total convertible bonds (cost: $110,000) | 100 | |||||||
Convertible stocks 0.05% | Shares | |||||||
U.S. dollars 0.05% | ||||||||
Other securities | 1,033 | |||||||
Total convertible stocks (cost: $816,000) | 1,033 | |||||||
Common stocks 0.05% | ||||||||
Swiss francs 0.01% | ||||||||
Other securities | 283 | |||||||
U.S. dollars 0.04% | ||||||||
Other securities | 752 | |||||||
Total common stocks (cost: $3,196,000) | 1,035 | |||||||
Rights & warrants 0.00% | ||||||||
U.S. dollars 0.00% | ||||||||
Other securities | 41 | |||||||
Total rights & warrants (cost: $11,000) | 41 | |||||||
Short-term securities 9.42% | Principal amount (000) | |||||||
Bank of New York Mellon Corp. 2.30% due 1/2/2019 | $ | 17,600 | 17,598 | |||||
Canada Bill 2.32% due 1/3/2019 | 20,000 | 19,996 | ||||||
Federal Home Loan Bank 2.29% due 1/10/2019 | 10,000 | 9,995 | ||||||
Japanese Treasury Discount Bill (0.14)% due 5/20/2019 | ¥ | 11,900,000 | 108,639 | |||||
Québec (Province of) 2.52% due 1/22/20195 | $ | 15,000 | 14,978 | |||||
Other securities | 25,382 | |||||||
Total short-term securities (cost: $195,904,000) | 196,588 | |||||||
Total investment securities 101.70% (cost: $2,167,128,000) | 2,123,592 | |||||||
Other assets less liabilities (1.70)% | (35,575 | ) | ||||||
Net assets 100.00% | $ | 2,088,017 |
98 | American Funds Insurance Series |
Global Bond Fund
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. “Other securities” includes securities which were valued under fair value procedures adopted by authority of the board of trustees. The total value of securities which were valued under fair value procedures was $2,483,000, which represented .12% of the net assets of the fund. This amount includes $283,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading. “Other securities” also includes loan participations and assignments, which may be subject to legal or contractual restrictions on resale. The total value of all such loans was $3,706,000, which represented .18% of the net assets of the fund. Some securities in “Other securities” (with an aggregate value of $2,768,000, an aggregate cost of $2,711,000, and which represented .13% of the net assets of the fund) were acquired from 8/31/2015 to 11/16/2018 through private placement transactions exempt from registration under the Securities Act of 1933, which may subject them to legal or contractual restrictions on resale.
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount (000) | 7 | Value at 12/31/2018 (000) | 8 | Unrealized (depreciation) appreciation at 12/31/2018 (000) | |||||||||||||
90 Day Euro Dollar Futures | Short | 224 | September 2019 | $ | (56,000 | ) | $ | (54,510 | ) | $ | (171 | ) | |||||||||
5 Year U.S. Treasury Note Futures | Long | 2,309 | April 2019 | 230,900 | 264,813 | 3,348 | |||||||||||||||
10 Year Euro-Bund Futures | Long | 149 | March 2019 | € | 14,900 | 27,919 | 193 | ||||||||||||||
10 Year Ultra U.S. Treasury Note Futures | Long | 232 | March 2019 | $ | 23,200 | 30,178 | 972 | ||||||||||||||
10 Year U.S. Treasury Note Futures | Long | 175 | March 2019 | 17,500 | 21,353 | 493 | |||||||||||||||
30 Year Euro-Buxl Futures | Long | 54 | March 2019 | € | 5,400 | 11,175 | 225 | ||||||||||||||
30 Year Ultra U.S. Treasury Bond Futures | Short | 94 | March 2019 | $ | (9,400 | ) | (15,102 | ) | (789 | ) | |||||||||||
$ | 4,271 |
Forward currency contracts
Contract amount | Unrealized (depreciation) appreciation | ||||||||||
Purchases (000) | Sales (000) | Counterparty | Settlement date | at 12/31/2018 (000) | |||||||
USD1,415 | EUR1,235 | Morgan Stanley | 1/4/2019 | $ | (1 | ) | |||||
GBP5,400 | USD6,935 | Citibank | 1/4/2019 | (51 | ) | ||||||
USD5,236 | MYR22,000 | JPMorgan Chase | 1/4/2019 | (87 | ) | ||||||
EUR23,161 | DKK172,900 | Morgan Stanley | 1/7/2019 | 3 | |||||||
USD8,200 | CNH57,000 | Citibank | 1/7/2019 | (100 | ) | ||||||
USD8,990 | ILS33,250 | Bank of America, N.A. | 1/8/2019 | 92 | |||||||
EUR6,815 | USD7,765 | Citibank | 1/8/2019 | 48 | |||||||
USD11,166 | EUR9,800 | Citibank | 1/8/2019 | (69 | ) | ||||||
USD7,414 | THB244,600 | HSBC Bank | 1/8/2019 | (98 | ) | ||||||
JPY1,402,472 | USD12,401 | Citibank | 1/9/2019 | 405 | |||||||
JPY898,800 | USD7,932 | HSBC Bank | 1/9/2019 | 274 | |||||||
JPY616,594 | EUR4,800 | HSBC Bank | 1/9/2019 | 126 | |||||||
EUR10,070 | USD11,427 | Goldman Sachs | 1/9/2019 | 120 | |||||||
GBP2,900 | USD3,707 | Goldman Sachs | 1/9/2019 | (9 | ) | ||||||
NOK32,228 | DKK24,600 | Citibank | 1/9/2019 | (49 | ) | ||||||
USD3,560 | JPY400,000 | Morgan Stanley | 1/9/2019 | (92 | ) | ||||||
USD3,479 | JPY392,473 | JPMorgan Chase | 1/9/2019 | (105 | ) | ||||||
USD3,933 | JPY445,000 | Bank of New York Mellon | 1/9/2019 | (131 | ) | ||||||
USD8,751 | JPY988,000 | Bank of New York Mellon | 1/9/2019 | (270 | ) | ||||||
USD8,438 | BRL32,900 | Citibank | 1/10/2019 | (44 | ) | ||||||
USD7,107 | INR504,900 | Citibank | 1/10/2019 | (116 | ) | ||||||
JPY652,169 | USD5,766 | JPMorgan Chase | 1/11/2019 | 190 | |||||||
JPY652,169 | USD5,766 | Goldman Sachs | 1/11/2019 | 190 | |||||||
USD5,171 | CAD6,810 | Bank of America, N.A. | 1/11/2019 | 181 | |||||||
JPY429,000 | USD3,818 | HSBC Bank | 1/11/2019 | 100 | |||||||
EUR4,100 | USD4,676 | Bank of America, N.A. | 1/11/2019 | 26 |
American Funds Insurance Series | 99 |
Global Bond Fund
Forward currency contracts(continued)
Contract amount | Unrealized (depreciation) appreciation | ||||||||||
Purchases (000) | Sales (000) | Counterparty | Settlement date | at 12/31/2018 (000) | |||||||
USD2,787 | ILS10,350 | Goldman Sachs | 1/11/2019 | $ | 17 | ||||||
EUR3,810 | USD4,362 | Citibank | 1/11/2019 | 7 | |||||||
USD1,439 | CNH10,000 | Bank of America, N.A. | 1/11/2019 | (17 | ) | ||||||
USD5,584 | PLN21,020 | JPMorgan Chase | 1/11/2019 | (34 | ) | ||||||
USD9,031 | EUR7,910 | HSBC Bank | 1/11/2019 | (40 | ) | ||||||
NOK34,715 | USD4,070 | HSBC Bank | 1/11/2019 | (53 | ) | ||||||
USD2,787 | JPY314,337 | JPMorgan Chase | 1/11/2019 | (84 | ) | ||||||
USD6,138 | JPY693,000 | Morgan Stanley | 1/11/2019 | (191 | ) | ||||||
USD6,420 | JPY726,000 | Goldman Sachs | 1/11/2019 | (210 | ) | ||||||
USD11,983 | INR852,700 | HSBC Bank | 1/11/2019 | (215 | ) | ||||||
USD7,733 | COP24,598,000 | Goldman Sachs | 1/14/2019 | 164 | |||||||
EUR14,620 | USD16,744 | Citibank | 1/14/2019 | 27 | |||||||
DKK49,300 | USD7,562 | Morgan Stanley | 1/14/2019 | 13 | |||||||
COP24,598,000 | USD7,574 | Citibank | 1/14/2019 | (5 | ) | ||||||
GBP3,000 | USD3,842 | Bank of America, N.A. | 1/14/2019 | (15 | ) | ||||||
USD5,446 | EUR4,765 | JPMorgan Chase | 1/14/2019 | (20 | ) | ||||||
USD7,641 | INR536,000 | Citibank | 1/14/2019 | (24 | ) | ||||||
USD3,515 | MYR14,700 | JPMorgan Chase | 1/14/2019 | (42 | ) | ||||||
USD7,492 | DKK49,300 | HSBC Bank | 1/14/2019 | (83 | ) | ||||||
JPY925,000 | AUD11,424 | Morgan Stanley | 1/15/2019 | 401 | |||||||
USD7,602 | CLP5,210,800 | Goldman Sachs | 1/15/2019 | 91 | |||||||
USD2,613 | INR185,000 | Goldman Sachs | 1/15/2019 | (32 | ) | ||||||
USD2,612 | INR185,000 | Citibank | 1/15/2019 | (34 | ) | ||||||
CLP5,210,800 | USD7,816 | HSBC Bank | 1/15/2019 | (305 | ) | ||||||
JPY2,838,652 | USD25,158 | Goldman Sachs | 1/17/2019 | 778 | |||||||
JPY2,613,753 | USD23,167 | JPMorgan Chase | 1/17/2019 | 715 | |||||||
EUR29,522 | USD33,592 | Goldman Sachs | 1/17/2019 | 283 | |||||||
KRW10,400,000 | USD9,265 | JPMorgan Chase | 1/17/2019 | 61 | |||||||
USD365 | JPY41,240 | Morgan Stanley | 1/17/2019 | (11 | ) | ||||||
USD2,369 | THB77,700 | Bank of America, N.A. | 1/17/2019 | (18 | ) | ||||||
USD9,204 | KRW10,400,000 | Morgan Stanley | 1/17/2019 | (122 | ) | ||||||
USD23,182 | JPY2,613,753 | JPMorgan Chase | 1/17/2019 | (699 | ) | ||||||
USD22,776 | AUD31,600 | JPMorgan Chase | 1/18/2019 | 510 | |||||||
JPY1,061,774 | EUR8,280 | Goldman Sachs | 1/18/2019 | 200 | |||||||
USD3,805 | AUD5,300 | JPMorgan Chase | 1/18/2019 | 71 | |||||||
KRW8,289,700 | USD7,397 | HSBC Bank | 1/18/2019 | 37 | |||||||
GBP2,890 | USD3,693 | Citibank | 1/18/2019 | (6 | ) | ||||||
USD7,381 | KRW8,289,700 | Goldman Sachs | 1/18/2019 | (53 | ) | ||||||
AUD31,600 | USD23,270 | Citibank | 1/18/2019 | (1,004 | ) | ||||||
USD7,968 | ZAR114,700 | Citibank | 1/22/2019 | 18 | |||||||
USD2,044 | BRL8,000 | JPMorgan Chase | 1/22/2019 | (18 | ) | ||||||
USD4,171 | INR299,650 | Citibank | 1/22/2019 | (110 | ) | ||||||
TRY13,100 | USD1,928 | Citibank | 1/24/2019 | 512 | |||||||
GBP19,649 | USD24,901 | Citibank | 1/24/2019 | 175 | |||||||
GBP6,123 | USD7,757 | HSBC Bank | 1/24/2019 | 57 | |||||||
GBP4,430 | EUR4,917 | Bank of America, N.A. | 1/24/2019 | 8 | |||||||
EUR13,105 | PLN56,400 | HSBC Bank | 1/24/2019 | (30 | ) | ||||||
NOK37,200 | USD4,352 | Bank of New York Mellon | 1/24/2019 | (45 | ) | ||||||
USD2,192 | TRY13,100 | Morgan Stanley | 1/24/2019 | (248 | ) | ||||||
USD9,370 | AUD13,010 | UBS AG | 1/25/2019 | 202 | |||||||
USD2,300 | INR163,000 | JPMorgan Chase | 1/25/2019 | (28 | ) | ||||||
EUR12,479 | USD14,143 | HSBC Bank | 1/28/2019 | 190 | |||||||
EUR6,600 | USD7,570 | HSBC Bank | 1/28/2019 | 11 | |||||||
GBP2,580 | USD3,267 | HSBC Bank | 1/29/2019 | 27 | |||||||
USD6,286 | CNH44,000 | JPMorgan Chase | 1/31/2019 | (119 | ) | ||||||
JPY964,000 | USD8,549 | JPMorgan Chase | 2/13/2019 | 277 | |||||||
USD5,553 | CNH38,600 | JPMorgan Chase | 2/28/2019 | (66 | ) |
100 | American Funds Insurance Series |
Global Bond Fund
Contract amount | Unrealized (depreciation) appreciation | ||||||||||
Purchases (000) | Sales (000) | Counterparty | Settlement date | at 12/31/2018 (000) | |||||||
USD5,778 | BRL19,300 | Citibank | 3/11/2019 | $ | 824 | ||||||
BRL19,300 | USD5,077 | JPMorgan Chase | 3/11/2019 | (123 | ) | ||||||
USD16,793 | BRL56,500 | JPMorgan Chase | 3/15/2019 | 2,296 | |||||||
BRL28,900 | USD7,207 | Citibank | 3/15/2019 | 208 | |||||||
USD1,143 | EUR900 | JPMorgan Chase | 3/15/2019 | 105 | |||||||
BRL27,600 | USD7,227 | JPMorgan Chase | 3/15/2019 | (145 | ) | ||||||
USD3,620 | BRL14,200 | JPMorgan Chase | 3/18/2019 | (23 | ) | ||||||
USD947 | EUR745 | Goldman Sachs | 4/12/2019 | 85 | |||||||
USD4,015 | BRL15,125 | Morgan Stanley | 4/30/2019 | 148 | |||||||
JPY4,675,000 | USD41,886 | JPMorgan Chase | 5/20/2019 | 1,270 | |||||||
USD110,652 | JPY11,900,000 | Citibank | 5/20/2019 | 801 | |||||||
JPY445,496 | USD3,988 | Citibank | 5/20/2019 | 124 | |||||||
USD2,780 | BRL11,000 | Morgan Stanley | 12/16/2019 | 20 | |||||||
USD10,781 | BRL43,200 | Citibank | 12/18/2019 | (58 | ) | ||||||
USD2,365 | BRL9,500 | HSBC Bank | 12/20/2019 | (18 | ) | ||||||
$ | 6,918 |
Swap contracts
Interest rate swaps
Receive | Pay | Expiration date | Notional (000) | Value at 12/31/2018 (000) | Upfront payments/ receipts (000) | Unrealized (depreciation) appreciation at 12/31/2018 (000) | |||||||||||||||||
U.S. EFFR | 2.521% | 5/1/2019 | $ | 2,284,000 | $ | (284 | ) | $ | — | $ | (284 | ) | |||||||||||
(0.025)% | EONIA | 12/3/2021 | € | 48,000 | 152 | — | 152 | ||||||||||||||||
(0.0385)% | EONIA | 12/4/2021 | 64,600 | 183 | — | 183 | |||||||||||||||||
$ | — | $ | 51 |
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Index-linked bond whose principal amount moves with a government price index. |
2 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $4,216,000, which represented .20% of the net assets of the fund. |
3 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
4 | Step bond; coupon rate may change at a later date. |
5 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $188,658,000, which represented 9.04% of the net assets of the fund. |
6 | Purchased on a TBA basis. |
7 | Notional amount is calculated based on the number of contracts and notional contract size. |
8 | Value is calculated based on the notional amount and current market price. |
American Funds Insurance Series | 101 |
Global Bond Fund
Key to abbreviations and symbols
ADR = American Depositary Receipts
AUD/A$ = Australian dollars
BRL = Brazilian reais
CAD/C$ = Canadian dollars
CDI = CREST Depository Interest
CHF = Swiss francs
CLP = Chilean pesos
CNH = Chinese yuan renminbi
DKr = Danish kroner
EFFR = Effective Federal Funds Rate
EONIA = Euro Overnight Index Average
EUR/€ = Euros
EURIBOR = Euro Interbank Offered Rate
GBP/£ = British pounds
ILS = Israeli shekels
INR = Indian rupees
JPY/¥ = Japanese yen
KRW = South Korean won
LIBOR = London Interbank Offered Rate
MXN = Mexican pesos
MYR = Malaysian ringgits
NOK/NKr = Norwegian kroner
PEN = Peruvian nuevos soles
PLN = Polish zloty
TBA = To-be-announced
THB = Thai baht
USD/$ = U.S. dollars
ZAR = South African rand
See notes to financial statements
102 | American Funds Insurance Series |
Summary investment portfolioDecember 31, 2018
Bonds, notes & other debt instruments 94.82% | Principal amount (000) | Value (000) | ||||||
Corporate bonds & notes 94.56% | ||||||||
Communication services 15.62% | ||||||||
Cablevision Systems Corp. 6.75% 2021 | $ | 5,025 | $ | 5,163 | ||||
CCO Holdings LLC and CCO Holdings Capital Corp. 5.75% 20261 | 6,450 | 6,337 | ||||||
CCO Holdings LLC and CCO Holdings Capital Corp. 4.00%–5.88% 2023–20281 | 10,400 | 9,816 | ||||||
CenturyLink, Inc. 6.75% 2023 | 7,100 | 6,860 | ||||||
Clear Channel Worldwide Holdings, Inc. 7.625% 2020 | 18,500 | 18,107 | ||||||
Frontier Communications Corp. 10.50% 2022 | 9,440 | 6,608 | ||||||
Frontier Communications Corp. 11.00% 2025 | 16,975 | 10,651 | ||||||
Frontier Communications Corp. 7.13%–9.25% 2019–20261 | 5,750 | 4,886 | ||||||
Gogo Inc. 12.50% 20221 | 13,925 | 14,943 | ||||||
iHeartCommunications, Inc. 9.00% 20192 | 1,025 | 692 | ||||||
Intelsat Jackson Holding Co. 8.50% 20241 | 6,625 | 6,459 | ||||||
Meredith Corp. 6.875% 20261 | 9,015 | 8,835 | ||||||
Sprint Corp. 11.50% 2021 | 7,130 | 8,110 | ||||||
Sprint Corp. 6.88%–8.75% 2021–2032 | 6,820 | 6,822 | ||||||
Other securities | 73,784 | |||||||
188,073 | ||||||||
Energy 14.89% | ||||||||
Blackstone CQP Holdco LP 6.00% 20211,3 | 1,600 | 1,610 | ||||||
Blackstone CQP Holdco LP 6.50% 20211,3 | 17,430 | 17,561 | ||||||
Cheniere Energy Partners, LP 5.25% 2025 | 950 | 889 | ||||||
Cheniere Energy, Inc. 5.88%–7.00% 2024–2025 | 3,175 | 3,262 | ||||||
CONSOL Energy Inc. 5.875% 2022 | 9,824 | 9,456 | ||||||
Teekay Corp. 8.50% 2020 | 10,418 | 9,988 | ||||||
Other securities | 136,552 | |||||||
179,318 | ||||||||
Health care 14.79% | ||||||||
HCA Inc. 4.50%–7.50% 2020–2047 | 14,665 | 14,358 | ||||||
Kinetic Concepts, Inc. 12.50% 20211 | 7,628 | 8,200 | ||||||
Molina Healthcare, Inc. 5.375% 2022 | 11,060 | 10,714 | ||||||
Molina Healthcare, Inc. 4.875% 20251 | 2,919 | 2,675 | ||||||
Rotech Healthcare Inc., Term Loan, (3-month USD-LIBOR + 11.00%) 13.34% 2023(100% PIK)4,5,6,7,8,9 | 7,398 | 6,730 | ||||||
Tenet Healthcare Corp. 4.375% 2021 | 5,755 | 5,597 | ||||||
Tenet Healthcare Corp. 4.50%–8.13% 2020–2024 | 18,222 | 17,882 | ||||||
Valeant Pharmaceuticals International, Inc. 5.875% 20231 | 10,610 | 9,854 | ||||||
Valeant Pharmaceuticals International, Inc. 6.125% 20251 | 11,130 | 9,739 | ||||||
Valeant Pharmaceuticals International, Inc. 9.25% 20261 | 6,210 | 6,226 | ||||||
Valeant Pharmaceuticals International, Inc. 5.63%–9.00% 2021–20251 | 3,465 | 3,445 | ||||||
Valeant Pharmaceuticals International, Inc., Term Loan B, (3-month USD-LIBOR + 3.00%) 5.379% 20254,5,6 | 1,612 | 1,548 | ||||||
Other securities | 81,103 | |||||||
178,071 | ||||||||
Materials 12.38% | ||||||||
Cleveland-Cliffs Inc. 4.875% 20241 | 5,500 | 5,129 | ||||||
Cleveland-Cliffs Inc. 5.75% 2025 | 13,250 | 11,958 | ||||||
First Quantum Minerals Ltd. 7.50% 20251 | 10,200 | 8,453 | ||||||
First Quantum Minerals Ltd. 6.50%–7.25% 2021–20261 | 15,470 | 13,639 | ||||||
Freeport-McMoRan Inc. 3.55% 2022 | 5,315 | 5,043 | ||||||
Platform Specialty Products Corp. 5.875% 20251 | 6,435 | 6,049 | ||||||
Ryerson Inc. 11.00% 20221 | 7,186 | 7,258 | ||||||
Other securities | 91,478 | |||||||
149,007 |
American Funds Insurance Series | 103 |
High-Income Bond Fund
Bonds, notes & other debt instruments (continued) | Principal amount (000) | Value (000) | ||||||
Corporate bonds & notes (continued) | ||||||||
Industrials 9.44% | ||||||||
Builders FirstSource, Inc. 5.625% 20241 | $ | 8,310 | $ | 7,739 | ||||
DAE Aviation Holdings, Inc. 10.00% 20231 | 7,790 | 8,335 | ||||||
Deck Chassis Acquisition Inc. 10.00% 20231 | 6,615 | 6,383 | ||||||
Hertz Global Holdings Inc. 7.625% 20221 | 5,669 | 5,357 | ||||||
Other securities | 85,897 | |||||||
113,711 | ||||||||
Consumer discretionary 9.33% | ||||||||
Cirsa Gaming Corporation SA 7.875% 20231 | 5,860 | 5,827 | ||||||
Petsmart, Inc. 5.875% 20251 | 15,240 | 11,087 | ||||||
Petsmart, Inc. 7.13%–8.88% 2023–20251 | 12,275 | 7,200 | ||||||
Sally Holdings LLC and Sally Capital Inc. 5.625% 2025 | 6,555 | 6,055 | ||||||
Six Flags Entertainment Corp. 4.875% 20241 | 5,475 | 5,174 | ||||||
Sotheby’s 4.875% 20251 | 5,795 | 5,273 | ||||||
Uber Technologies, Inc. 8.00% 20261 | 6,950 | 6,724 | ||||||
Other securities | 64,953 | |||||||
112,293 | ||||||||
Information technology 7.37% | ||||||||
Almonde Inc., Term Loan, (3-month USD-LIBOR + 7.25%) 10.053% 20254,5,6 | 7,150 | 6,605 | ||||||
Camelot Finance SA 7.875% 20241 | 7,405 | 7,200 | ||||||
Genesys Telecommunications Laboratories, Inc. 10.00% 20241 | 4,895 | 5,140 | ||||||
Infor Software 7.125% 20211,7 | 6,935 | 6,779 | ||||||
Kronos Inc., Term Loan B, (3-month USD-LIBOR + 8.25%) 9.25% 20244,5,6 | 8,645 | 8,563 | ||||||
Unisys Corp. 10.75% 20221 | 6,600 | 7,252 | ||||||
Other securities | 47,146 | |||||||
88,685 | ||||||||
Financials 3.48% | ||||||||
Compass Diversified Holdings 8.00% 20261 | 5,710 | 5,664 | ||||||
FS Energy and Power Fund 7.50% 20231 | 5,765 | 5,491 | ||||||
HUB International Ltd. 7.00% 20261 | 6,155 | 5,601 | ||||||
Other securities | 25,142 | |||||||
41,898 | ||||||||
Utilities 3.00% | ||||||||
Other securities | 36,139 | |||||||
Consumer staples 2.17% | ||||||||
B&G Foods, Inc. 5.25% 2025 | 5,758 | 5,377 | ||||||
Other securities | 20,705 | |||||||
26,082 | ||||||||
Real estate 2.09% | ||||||||
Howard Hughes Corp. 5.375% 20251 | 6,520 | 6,161 | ||||||
Other securities | 18,979 | |||||||
25,140 | ||||||||
Total corporate bonds & notes | 1,138,417 | |||||||
Other bonds & notes 0.26% | ||||||||
Other securities | 3,083 | |||||||
Total bonds, notes & other debt instruments (cost: $1,229,811,000) | 1,141,500 |
104 | American Funds Insurance Series |
High-Income Bond Fund
Convertible bonds 0.45% | Principal amount (000) | Value (000) | ||||||
Communication services 0.23% | ||||||||
Gogo Inc., convertible notes, 6.00% 20221 | $ | 2,140 | $ | 1,958 | ||||
Other securities | 818 | |||||||
2,776 | ||||||||
Other 0.22% | ||||||||
Other securities | 2,662 | |||||||
Total convertible bonds (cost: $6,098,000) | 5,438 | |||||||
Convertible stocks 0.54% | Shares | |||||||
Industrials 0.49% | ||||||||
Associated Materials, LLC, 14.00% convertible preferred 20208,9 | 4,850 | 5,892 | ||||||
Utilities 0.05% | ||||||||
Other securities | 629 | |||||||
Total convertible stocks (cost: $5,288,000) | 6,521 | |||||||
Common stocks 1.03% | ||||||||
Communication services 0.01% | ||||||||
Frontier Communications Corp. | 13,333 | 32 | ||||||
Other securities | 86 | |||||||
118 | ||||||||
Other 1.02% | ||||||||
Other securities | 12,265 | |||||||
Total common stocks (cost: $16,871,000) | 12,383 | |||||||
Rights & warrants 0.02% | ||||||||
Energy 0.02% | ||||||||
Other securities | 256 | |||||||
Total rights & warrants (cost: $71,000) | 256 | |||||||
Short-term securities 1.40% | Principal amount (000) | |||||||
ADP Tax Services, Inc. 2.38% due 1/2/20191 | $ | 6,800 | 6,799 | |||||
Apple Inc. 2.33% due 1/9/20191 | 10,000 | 9,994 | ||||||
Total short-term securities (cost: $16,795,000) | 16,793 | |||||||
Total investment securities 98.26% (cost: $1,274,934,000) | 1,182,891 | |||||||
Other assets less liabilities 1.74% | 21,008 | |||||||
Net assets 100.00% | $ | 1,203,899 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. “Other securities” also includes securities which were pledged as collateral. The total value of pledged collateral was $1,233,000, which represented 0.10% of the net assets of the fund.
American Funds Insurance Series | 105 |
High-Income Bond Fund
Swap contracts
Interest rate swaps
Receive | Pay | Expiration date | Notional (000) | Value at 12/31/2018 (000) | Upfront payments/ receipts (000) | Unrealized (depreciation) appreciation at 12/31/2018 (000) | ||||||||||||
3-month USD-LIBOR | 2.772% | 2/28/2025 | $7,200 | $ (71) | $ | — | $ | (71 | ) | |||||||||
3-month USD-LIBOR | 2.2825% | 4/13/2027 | 5,300 | 149 | — | 149 | ||||||||||||
2.2865% | 3-month USD-LIBOR | 10/2/2027 | 10,100 | (309) | — | (309 | ) | |||||||||||
3-month USD-LIBOR | 2.6475% | 1/25/2028 | 2,500 | 7 | — | 7 | ||||||||||||
$ | — | $ | (224 | ) |
Credit default swaps
Centrally cleared credit default swaps on credit indices — buy protection
Receive | Pay/ Payment frequency | Expiration date | Notional (000) | Value at 12/31/2018 (000) | Upfront payments (000) | Unrealized appreciation at 12/31/2018 (000) | |||||||||||
CDX.NA.HY.31 | 5.00%/Quarterly | 12/20/2023 | $24,200 | $(482) | $ | (1,706) | $ | 1,224 | |||||||||
CDX.NA.IG.31 | 1.00%/Quarterly | 12/20/2023 | 34,525 | (192) | (512) | 320 | |||||||||||
$ | (2,218) | $ | 1,544 |
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $681,560,000, which represented 56.61% of the net assets of the fund. |
2 | Scheduled interest and/or principal payment was not received. |
3 | Acquired through a private placement transaction exempt from registration under the Securities Act of 1933. May be subject to legal or contractual restrictions on resale. Further details on these holdings appear below. |
4 | Loan participations and assignments; may be subject to legal or contractual restrictions on resale. The total value of all such loans, including those in “Other securities,” was $76,517,000, which represented 6.36% of the net assets of the fund. |
5 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
6 | Coupon rate may change periodically. |
7 | Payment in kind; the issuer has the option of paying additional securities in lieu of cash. Most recent payment was 100% cash unless otherwise noted. |
8 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Other securities,” was $30,796,000, which represented 2.56% of the net assets of the fund. This amount includes $3,926,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading. |
9 | Value determined using significant unobservable inputs. |
Private placement securities | Acquisition date(s) | Cost (000) | Value (000) | Percent of net assets | ||||||||||
Blackstone CQP Holdco LP 6.50% 2021 | 3/6/2017-2/5/2018 | $ | 17,430 | $ | 17,561 | 1.46 | % | |||||||
Blackstone CQP Holdco LP 6.00% 2021 | 8/9/2017 | 1,600 | 1,610 | .13 | ||||||||||
Other securities | 12/13/2012-11/16/2018 | 5,683 | 3,671 | .31 | ||||||||||
Total private placement securities | $ | 24,713 | $ | 22,842 | 1.90 | % |
Key to abbreviations and symbol
LIBOR = London Interbank Offered Rate
USD/$ = U.S. dollars
See notes to financial statements
106 | American Funds Insurance Series |
Summary investment portfolioDecember 31, 2018
Bonds, notes & other debt instruments 95.20% | Principal amount (000) | Value (000) | ||||||
Mortgage-backed obligations 71.87% | ||||||||
Federal agency mortgage-backed obligations 68.28% | ||||||||
Fannie Mae 4.00% 20471 | $ | 7,103 | $ | 7,249 | ||||
Fannie Mae 4.00% 20471 | 4,751 | 4,848 | ||||||
Fannie Mae 4.50% 20481 | 14,594 | 15,132 | ||||||
Fannie Mae 4.50% 20481 | 7,755 | 8,044 | ||||||
Fannie Mae 4.50% 20481 | 4,339 | 4,501 | ||||||
Fannie Mae 4.50% 20481,2 | 1,663 | 1,724 | ||||||
Fannie Mae 3.50% 20491,2 | 3,200 | 3,201 | ||||||
Fannie Mae 4.00% 20491,2 | 5,163 | 5,265 | ||||||
Fannie Mae 4.00%–5.00% 2036–20481 | 2,455 | 2,517 | ||||||
Freddie Mac 4.00% 20361 | 5,020 | 5,180 | ||||||
Freddie Mac 3.203% 20451,3 | 2,217 | 2,234 | ||||||
Freddie Mac 3.00% 20461 | 7,155 | 7,036 | ||||||
Freddie Mac 4.00% 20481 | 1,857 | 1,895 | ||||||
Freddie Mac 4.00% 20481 | 1,842 | 1,880 | ||||||
Freddie Mac 2.60%–5.00% 2020–20361 | 5,086 | 5,209 | ||||||
Freddie Mac, Series K031, Class A2, Multi Family, 3.30% 20231 | 4,722 | 4,795 | ||||||
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class HA, 2.50% 20561 | 1,671 | 1,642 | ||||||
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class MA, 3.00% 20561 | 1,588 | 1,533 | ||||||
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT, 2.50% 20571,3 | 12,143 | 11,833 | ||||||
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MT, 3.50% 20571 | 10,978 | 10,862 | ||||||
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT, 3.50% 20571 | 7,496 | 7,448 | ||||||
Freddie Mac Seasoned Loan Structured Transaction, Series 2018-2, Class A1, 3.50% 20281,3 | 7,830 | 7,698 | ||||||
Freddie Mac Seasoned Loan Structured Transaction, Series 2018-1, Class A1, 3.50% 20281 | 2,101 | 2,093 | ||||||
Government National Mortgage Assn. 5.50% 20401 | 1,797 | 1,900 | ||||||
Government National Mortgage Assn. 3.50% 20431 | 2,015 | 2,042 | ||||||
Government National Mortgage Assn. 4.25% 20441 | 1,724 | 1,796 | ||||||
Government National Mortgage Assn. 4.00% 20491,2 | 6,200 | 6,350 | ||||||
Government National Mortgage Assn. 4.50% 20491,2 | 34,750 | 35,964 | ||||||
Government National Mortgage Assn. 5.00% 20491,2 | 2,627 | 2,734 | ||||||
Government National Mortgage Assn. 3.50%–6.50% 2034–20661,2 | 17,870 | 18,265 | ||||||
Vendee Mortgage Trust, Series 2011-2, Class V, 3.75% 20281 | 4,166 | 4,131 | ||||||
Vendee Mortgage Trust, Series 2010-1, Class DA, 4.25% 20351 | 478 | 484 | ||||||
Other securities | 1,324 | |||||||
198,809 | ||||||||
Collateralized mortgage-backed obligations (privately originated) 3.59% | ||||||||
Finance of America Structured Securities Trust, Series 2018-HB1, Class A, 3.375% 20281,3,4 | 2,287 | 2,293 | ||||||
Other securities | 8,168 | |||||||
10,461 | ||||||||
Total mortgage-backed obligations | 209,270 | |||||||
U.S. Treasury bonds & notes 10.99% | ||||||||
U.S. Treasury 6.63% | ||||||||
U.S. Treasury 2.00% 2022 | 2,400 | 2,359 | ||||||
U.S. Treasury 1.75% 2023 | 3,500 | 3,393 | ||||||
U.S. Treasury 2.875% 2023 | 4,350 | 4,423 | ||||||
U.S. Treasury 2.50% 2024 | 2,500 | 2,496 | ||||||
U.S. Treasury 3.00% 20485 | 5,000 | 4,981 | ||||||
U.S. Treasury 1.50%–2.75% 2020–2023 | 1,668 | 1,650 | ||||||
19,302 |
American Funds Insurance Series | 107 |
Mortgage Fund
Bonds, notes & other debt instruments (continued) | Principal amount (000) | Value (000) | ||||||
U.S. Treasury bonds & notes (continued) | ||||||||
U.S. Treasury inflation-protected securities 4.36% | ||||||||
U.S. Treasury Inflation-Protected Security 0.625% 20236 | $ | 6,108 | $ | 6,013 | ||||
U.S. Treasury Inflation-Protected Security 2.125% 20416 | 127 | 150 | ||||||
U.S. Treasury Inflation-Protected Security 0.75% 20425,6 | 7,201 | 6,547 | ||||||
12,710 | ||||||||
Total U.S. Treasury bonds & notes | 32,012 | |||||||
Federal agency bonds & notes 6.35% | ||||||||
Fannie Mae 2.00% 2022 | 5,800 | 5,716 | ||||||
Federal Home Loan Bank 1.38%–1.88% 2021 | 13,000 | 12,767 | ||||||
18,483 | ||||||||
Asset-backed obligations 5.96% | ||||||||
Hertz Vehicle Financing LLC, Rental Car Asset-Backed Notes, Series 2015-1, Class A, 2.73% 20211,4 | 1,823 | 1,808 | ||||||
SLM Private Credit Student Loan Trust, Series 2010-1, Class A, (1-month USD-LIBOR + 0.40%) 2.906% 20251,3 | 2,629 | 2,573 | ||||||
Other securities | 12,959 | |||||||
17,340 | ||||||||
Corporate bonds & notes 0.03% | ||||||||
Financials 0.03% | ||||||||
Other securities | 80 | |||||||
Total bonds, notes & other debt instruments (cost: $278,182,000) | 277,185 | |||||||
Short-term securities 22.86% | ||||||||
ADP Tax Services, Inc. 2.38% due 1/2/20194 | 8,700 | 8,699 | ||||||
Emerson Electric Co. 2.37% due 1/4/20194 | 3,300 | 3,299 | ||||||
ExxonMobil Corp. 2.43% due 1/10/2019 | 5,000 | 4,997 | ||||||
Federal Home Loan Bank 2.23%–2.27% due 1/4/2019–1/11/2019 | 15,000 | 14,993 | ||||||
Kimberly-Clark Corp. 2.47% due 1/11/20194 | 2,100 | 2,098 | ||||||
Mizuho Bank, Ltd. 2.42% due 1/4/20194 | 10,000 | 9,997 | ||||||
National Rural Utilities Cooperative Finance Corp. 2.50% due 1/8/2019 | 11,000 | 10,994 | ||||||
Paccar Financial Corp. 2.50% due 1/29/2019 | 2,600 | 2,595 | ||||||
Pfizer Inc. 2.43% due 1/10/20194 | 5,100 | 5,097 | ||||||
Québec (Province of) 2.53% due 1/22/20194 | 3,800 | 3,794 | ||||||
Total short-term securities (cost: $66,566,000) | 66,563 | |||||||
Total investment securities 118.06% (cost: $344,748,000) | 343,748 | |||||||
Other assets less liabilities (18.06)% | (52,573 | ) | ||||||
Net assets 100.00% | $ | 291,175 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. “Other securities” includes securities which were valued under fair value procedures adopted by authority of the board of trustees. The total value of securities which were valued under fair value procedures was $2,863,000, which represented .98% of the net assets of the fund.
108 | American Funds Insurance Series |
Mortgage Fund
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount (000) | 7 | Value at 12/31/2018 (000) | 8 | Unrealized appreciation at 12/31/2018 (000) | |||||||
90 Day Euro Dollar Futures | Long | 108 | December 2019 | $27,000 | $26,285 | $ | 163 | ||||||||
2 Year U.S. Treasury Note Futures | Long | 374 | April 2019 | 74,800 | 79,405 | 188 | |||||||||
5 Year U.S. Treasury Note Futures | Long | 464 | April 2019 | 46,400 | 53,215 | 741 | |||||||||
10 Year Ultra U.S. Treasury Note Futures | Long | 102 | March 2019 | 10,200 | 13,268 | 427 | |||||||||
20 Year U.S. Treasury Bond Futures | Long | 56 | March 2019 | 5,600 | 8,176 | 338 | |||||||||
30 Year Ultra U.S. Treasury Bond Futures | Long | 5 | March 2019 | 500 | 803 | 42 | |||||||||
$ | 1,899 |
Swap contracts
Interest rate swaps
Receive | Pay | Expiration date | Notional (000) | Value at 12/31/2018 (000) | Upfront payments/ receipts (000) | Unrealized appreciation (depreciation) at 12/31/2018 (000) | ||||||||||||
2.5215% | U.S. EFFR | 8/29/2020 | $16,490 | $ 47 | $ | — | $ | 47 | ||||||||||
3-month USD-LIBOR | 2.806% | 8/29/2020 | 300 | (1) | — | (1 | ) | |||||||||||
2.622% | U.S. EFFR | 9/14/2020 | 7,500 | 34 | — | 34 | ||||||||||||
2.729% | U.S. EFFR | 10/22/2020 | 22,900 | 152 | — | 152 | ||||||||||||
2.4825% | U.S. EFFR | 12/26/2020 | 41,000 | 104 | — | 104 | ||||||||||||
3-month USD-LIBOR | 1.217% | 9/22/2021 | 11,500 | 421 | — | 421 | ||||||||||||
3-month USD-LIBOR | 1.225% | 9/22/2021 | 11,500 | 418 | — | 418 | ||||||||||||
3-month USD-LIBOR | 1.2796% | 10/11/2021 | 14,500 | 513 | — | 513 | ||||||||||||
2.0135% | 3-month USD-LIBOR | 10/20/2021 | 30,000 | (473) | — | (473 | ) | |||||||||||
2.012% | 3-month USD-LIBOR | 10/4/2022 | 9,000 | (182) | — | (182 | ) | |||||||||||
2.00% | 3-month USD-LIBOR | 10/5/2022 | 41,500 | (857) | — | (856 | ) | |||||||||||
2.1045% | 3-month USD-LIBOR | 10/31/2022 | 4,000 | (68) | — | (68 | ) | |||||||||||
3-month USD-LIBOR | 2.2835% | 1/5/2023 | 36,000 | 398 | — | 398 | ||||||||||||
3-month USD-LIBOR | 2.24% | 12/5/2026 | 10,500 | 310 | — | 310 | ||||||||||||
3-month USD-LIBOR | 2.27% | 12/5/2026 | 8,500 | 232 | — | 232 | ||||||||||||
3-month USD-LIBOR | 3.206% | 7/31/2044 | 1,000 | (69) | — | (69 | ) | |||||||||||
3-month USD-LIBOR | 3.238% | 8/8/2044 | 2,000 | (150) | — | (150 | ) | |||||||||||
3-month USD-LIBOR | 3.2265% | 9/25/2044 | 3,000 | (219) | — | (219 | ) | |||||||||||
U.S. EFFR | 2.145% | 11/9/2047 | 2,200 | 167 | — | 167 | ||||||||||||
U.S. EFFR | 2.153% | 11/10/2047 | 2,200 | 163 | — | 163 | ||||||||||||
U.S. EFFR | 2.155% | 11/10/2047 | 1,280 | 95 | — | 95 | ||||||||||||
U.S. EFFR | 2.17% | 11/13/2047 | 2,320 | 164 | — | 164 | ||||||||||||
U.S. EFFR | 2.5635% | 2/12/2048 | 4,528 | (49) | — | (49 | ) | |||||||||||
2.98% | 3-month USD-LIBOR | 3/15/2048 | 300 | 9 | — | 9 | ||||||||||||
2.9625% | 3-month USD-LIBOR | 3/15/2048 | 300 | 8 | — | 8 | ||||||||||||
U.S. EFFR | 2.4615% | 3/15/2048 | 300 | 3 | — | 3 | ||||||||||||
U.S. EFFR | 2.485% | 3/15/2048 | 300 | 2 | — | 2 | ||||||||||||
U.S. EFFR | 2.425% | 3/16/2048 | 600 | 11 | — | 11 | ||||||||||||
2.917% | 3-month USD-LIBOR | 3/16/2048 | 600 | 10 | — | 10 | ||||||||||||
$ | — | $ | 1,194 |
American Funds Insurance Series | 109 |
Mortgage Fund
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
2 | Purchased on a TBA basis. |
3 | Coupon rate may change periodically. |
4 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $52,359,000, which represented 17.98% of the net assets of the fund. |
5 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $2,758,000, which represented .95% of the net assets of the fund. |
6 | Index-linked bond whose principal amount moves with a government price index. |
7 | Notional amount is calculated based on the number of contracts and notional contract size. |
8 | Value is calculated based on the notional amount and current market price. |
Key to abbreviations and symbol
EFFR = Effective Federal Funds Rate
LIBOR = London Interbank Offered Rate
TBA = To-be-announced
USD/$ = U.S. dollars
See notes to financial statements
110 | American Funds Insurance Series |
Investment portfolioDecember 31, 2018
Short-term securities 100.11% | Principal amount (000) | Value (000) | ||||||
Commercial paper 69.84% | ||||||||
3M Co. 2.40% due 1/7/20191 | $ | 10,000 | $ | 9,996 | ||||
Alberta (Province of) 2.48% due 1/22/20191 | 10,000 | 9,985 | ||||||
Apple Inc. 2.45% due 2/5/20191 | 10,000 | 9,975 | ||||||
Bank of New York Mellon Corp. 2.34% due 1/22/2019 | 8,000 | 7,988 | ||||||
BASF SE 2.56% due 2/1/20191 | 8,750 | 8,730 | ||||||
CHARTA, LLC 2.85% due 3/26/20191 | 8,022 | 7,968 | ||||||
Coca-Cola Co. 2.30% due 1/4/20191 | 10,000 | 9,997 | ||||||
Emerson Electric Co. 2.52% due 1/17/20191 | 10,000 | 9,989 | ||||||
IBM Credit LLC 2.47% due 1/22/20191 | 10,000 | 9,985 | ||||||
Intel Corp. 2.40% due 1/10/20191 | 7,000 | 6,995 | ||||||
John Deere Capital Corp. 2.40% due 1/16/20191 | 10,000 | 9,989 | ||||||
KfW 2.46% due 1/18/20191 | 8,400 | 8,390 | ||||||
Merck & Co. Inc. 2.50% due 2/27/20191 | 10,000 | 9,960 | ||||||
Mizuho Bank, Ltd. 2.48% due 1/15/20191 | 10,000 | 9,990 | ||||||
National Australia Bank Ltd. 2.65% due 2/25/20191 | 10,000 | 9,959 | ||||||
National Rural Utilities Cooperative Finance Corp. 2.40% due 1/4/2019 | 6,000 | 5,998 | ||||||
Nordea Bank AB 2.77% due 3/18/20191 | 10,000 | 9,942 | ||||||
Paccar Financial Corp. 2.39% due 1/2/2019 | 8,000 | 7,999 | ||||||
Pfizer Inc. 2.28% due 1/14/20191 | 7,400 | 7,393 | ||||||
Procter & Gamble Co. 2.30% due 1/14/20191 | 10,000 | 9,991 | ||||||
Siemens Capital Corp. 2.50% due 1/16/20191 | 4,700 | 4,695 | ||||||
Simon Property Group, LP 2.51% due 1/14/20191 | 8,100 | 8,092 | ||||||
United Overseas Bank Ltd. 2.55% due 1/8/20191 | 5,000 | 4,997 | ||||||
United Parcel Service Inc. 2.34% due 1/22/20191 | 5,000 | 4,993 | ||||||
Wal-Mart Stores, Inc. 2.37% due 1/7/20191 | 10,000 | 9,995 | ||||||
213,991 | ||||||||
U.S. Treasury bonds & notes 24.41% | ||||||||
U.S. Treasury Bills 2.23%–2.38% due 1/8/2019–2/19/2019 | 74,900 | 74,797 | ||||||
Federal agency discount notes 5.86% | ||||||||
Fannie Mae 2.29% due 1/23/2019 | 3,000 | 2,996 | ||||||
Federal Home Loan Bank 2.38% due 2/8/2019 | 15,000 | 14,962 | ||||||
17,958 | ||||||||
Total short-term securities (cost: $306,754,000) | 306,746 | |||||||
Total investment securities 100.11% (cost: $306,754,000) | 306,746 | |||||||
Other assets less liabilities (0.11)% | (342 | ) | ||||||
Net assets 100.00% | $ | 306,404 |
1 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $192,006,000, which represented 62.66% of the net assets of the fund. |
See notes to financial statements
American Funds Insurance Series | 111 |
U.S. Government/AAA-Rated Securities Fund
Summary investment portfolioDecember 31, 2018
Bonds, notes & other debt instruments 97.30% | Principal amount (000) | Value (000) | ||||||
U.S. Treasury bonds & notes 47.72% | ||||||||
U.S. Treasury 39.27% | ||||||||
U.S. Treasury 2.25% 2020 | $ | 29,900 | $ | 29,789 | ||||
U.S. Treasury 2.50% 2020 | 78,000 | 77,950 | ||||||
U.S. Treasury 1.125% 2021 | 31,950 | 30,853 | ||||||
U.S. Treasury 1.75% 20211 | 33,540 | 32,877 | ||||||
U.S. Treasury 2.00% 2021 | 46,300 | 45,692 | ||||||
U.S. Treasury 2.125% 2021 | 23,450 | 23,241 | ||||||
U.S. Treasury 2.25% 2021 | 23,580 | 23,459 | ||||||
U.S. Treasury 1.75% 2022 | 174,300 | 170,261 | ||||||
U.S. Treasury 1.875% 2022 | 63,000 | 61,823 | ||||||
U.S. Treasury 1.875% 2022 | 25,000 | 24,496 | ||||||
U.S. Treasury 2.00% 2022 | 69,500 | 68,300 | ||||||
U.S. Treasury 2.125% 20231 | 64,095 | 62,954 | ||||||
U.S. Treasury 2.50% 2023 | 49,894 | 49,910 | ||||||
U.S. Treasury 2.625% 2023 | 31,000 | 31,170 | ||||||
U.S. Treasury 2.875% 2023 | 43,000 | 43,721 | ||||||
U.S. Treasury 2.875% 2023 | 22,500 | 22,896 | ||||||
U.S. Treasury 2.125% 2024 | 55,975 | 54,713 | ||||||
U.S. Treasury 2.50% 2024 | 44,000 | 43,931 | ||||||
U.S. Treasury 2.75% 2025 | 38,000 | 38,392 | ||||||
U.S. Treasury 2.875% 2025 | 25,000 | 25,434 | ||||||
U.S. Treasury 1.38%–2.88% 2020–2028 | 167,015 | 165,047 | ||||||
1,126,909 | ||||||||
U.S. Treasury inflation-protected securities 8.45% | ||||||||
U.S. Treasury Inflation-Protected Security 0.625% 20232 | 36,140 | 35,576 | ||||||
U.S. Treasury Inflation-Protected Security 0.75% 20282 | 39,288 | 38,480 | ||||||
U.S. Treasury Inflation-Protected Security 1.375% 20441,2 | 46,878 | 48,537 | ||||||
U.S. Treasury Inflation-Protected Security 1.00% 20481,2 | 43,513 | 33,238 | ||||||
U.S. Treasury Inflation-Protected Securities 0.14%–2.13% 2022–20471,2 | 92,250 | 86,670 | ||||||
242,501 | ||||||||
Total U.S. Treasury bonds & notes | 1,369,410 | |||||||
Mortgage-backed obligations 28.63% | ||||||||
Federal agency mortgage-backed obligations 28.63% | ||||||||
Fannie Mae 4.00% 20343,4 | 40,000 | 40,933 | ||||||
Fannie Mae 3.00% 20363 | 26,454 | 26,207 | ||||||
Fannie Mae 4.00% 20473 | 31,328 | 31,969 | ||||||
Fannie Mae 4.50% 20483,4 | 44,012 | 45,636 | ||||||
Fannie Mae 4.50% 20483 | 42,653 | 44,240 | ||||||
Fannie Mae 3.50% 20493,4 | 69,981 | 69,997 | ||||||
Fannie Mae 0%–9.19% 2022–20493,4,5 | 142,780 | 144,922 | ||||||
Freddie Mac 3.50% 20333 | 25,000 | 25,333 | ||||||
Freddie Mac 0%–5.50% 2020–20493,4,5 | 77,993 | 79,500 | ||||||
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MT, 3.50% 20573 | 42,088 | 41,644 | ||||||
Freddie Mac Seasoned Loan Structured Transaction, Series 2018-2, Class A1, 3.50% 20283,5 | 45,026 | 44,268 | ||||||
Government National Mortgage Assn. 3.50% 20493,4 | 25,000 | 25,172 | ||||||
Government National Mortgage Assn. 4.00% 20493,4 | 40,200 | 41,171 | ||||||
Government National Mortgage Assn. 4.50% 20493,4 | 34,075 | 35,265 | ||||||
Government National Mortgage Assn. 3.00%–6.64% 2034–20653,4,5 | 46,756 | 48,654 | ||||||
Other securities | 76,482 | |||||||
821,393 | ||||||||
Federal agency bonds & notes 20.95% | ||||||||
Fannie Mae 1.25%–7.13% 2019–2030 | 85,400 | 87,260 | ||||||
Federal Home Loan Bank 3.25%–5.50% 2023–2036 | 30,315 | 31,296 | ||||||
Freddie Mac 2.38%–3.75% 2019–2021 | 112,750 | 112,469 | ||||||
Private Export Funding Corp. 1.45%–3.55% 2019–2024 | 28,840 | 28,957 | ||||||
Tennessee Valley Authority 2.88%–5.88% 2021–2060 | 47,305 | 49,048 |
112 | American Funds Insurance Series |
U.S. Government/AAA-Rated Securities Fund
Bonds, notes & other debt instruments | Principal amount (000) | Value (000) | ||||||
U.S. Department of Housing and Urban Development 1.98%–3.70% 2020–2034 | $ | 73,632 | $ | 73,777 | ||||
United States Agency for International Development, Iraq (State of), 2.149% 2022 | 6,670 | 6,566 | ||||||
United States Agency for International Development, Jordan (Kingdom of) 1.95%–3.00% 2019–2025 | 194,000 | 193,524 | ||||||
United States Agency for International Development, Morocco (Kingdom of) 7.55% 20263 | 3,328 | 3,838 | ||||||
United States Agency for International Development, Tunisia (Kingdom of) 1.416% 2021 | 3,000 | 2,907 | ||||||
United States Agency for International Development, Ukraine 1.47%–1.84% 2019–2021 | 5,855 | 5,712 | ||||||
Other securities | 5,720 | |||||||
601,074 | ||||||||
Total bonds, notes & other debt instruments (cost: $2,805,986,000) | 2,791,877 | |||||||
Short-term securities 11.11% | ||||||||
Apple Inc. 2.36% due 1/23/20196 | 25,000 | 24,960 | ||||||
Bank of New York Mellon Corp. 2.34% due 1/22/2019 | 50,000 | 49,924 | ||||||
Chevron Corp. 2.38%–2.49% due 1/9/2019–2/4/20196 | 51,900 | 51,815 | ||||||
National Rural Utilities Cooperative Finance Corp. 2.50% due 2/5/2019 | 60,000 | 59,850 | ||||||
Procter & Gamble Co. 2.50% due 2/7/20196 | 25,000 | 24,933 | ||||||
Tennessee Valley Authority 2.31% due 1/15/2019 | 38,000 | 37,966 | ||||||
Wal-Mart Stores, Inc. 2.42% due 1/15/20196 | 40,000 | 39,959 | ||||||
Other securities | 29,420 | |||||||
Total short-term securities (cost: $318,855,000) | 318,827 | |||||||
Total investment securities 108.41% (cost: $3,124,841,000) | 3,110,704 | |||||||
Other assets less liabilities (8.41)% | (241,401 | ) | ||||||
Net assets 100.00% | $ | 2,869,303 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio.
Futures contracts
Unrealized | |||||||||||||||
appreciation | |||||||||||||||
Notional | Value at | (depreciation) | |||||||||||||
Number of | amount | 7 | 12/31/2018 | 8 | at 12/31/2018 | ||||||||||
Contracts | Type | contracts | Expiration | (000) | (000) | (000) | |||||||||
90 Day Euro Dollar Futures | Long | 623 | December 2019 | $ 155,750 | $ 151,623 | $ | 941 | ||||||||
90 Day Euro Dollar Futures | Long | 316 | December 2021 | 79,000 | 77,029 | 431 | |||||||||
2 Year U.S. Treasury Note Futures | Long | 3,850 | April 2019 | 770,000 | 817,403 | 4,332 | |||||||||
5 Year U.S. Treasury Note Futures | Long | 11,518 | April 2019 | 1,151,800 | 1,320,970 | 20,231 | |||||||||
10 Year U.S. Treasury Note Futures | Long | 2,675 | March 2019 | 267,500 | 326,392 | 4,968 | |||||||||
10 Year Ultra U.S. Treasury Note Futures | Short | 1,050 | March 2019 | (105,000 | ) | (136,582 | ) | (3,030 | ) | ||||||
20 Year U.S. Treasury Bond Futures | Long | 108 | March 2019 | 10,800 | 15,768 | 118 | |||||||||
30 Year Ultra U.S. Treasury Bond Futures | Short | 172 | March 2019 | (17,200 | ) | (27,633 | ) | (541 | ) | ||||||
$ | 27,450 |
American Funds Insurance Series | 113 |
U.S. Government/AAA-Rated Securities Fund
Swap contracts
Interest rate swaps
Receive | Pay | Expiration date | Notional (000) | Value at 12/31/2018 (000) | Upfront payments/ receipts (000) | Unrealized appreciation (depreciation) at 12/31/2018 (000) | |||||||||||||
2.40625% | U.S. EFFR | 3/20/2019 | $ | 3,420,000 | $ 9 | $ | — | $ | 9 | ||||||||||
2.426% | U.S. EFFR | 5/1/2019 | 1,625,200 | 24 | — | 24 | |||||||||||||
2.414% | U.S. EFFR | 5/1/2019 | 2,374,800 | 1 | — | 1 | |||||||||||||
2.782% | U.S. EFFR | 9/18/2019 | 884,184 | 438 | — | 438 | |||||||||||||
U.S. EFFR | 2.405% | 1/29/2020 | 1,463,000 | (67 | ) | — | (67 | ) | |||||||||||
U.S. EFFR | 2.403% | 1/29/2020 | 2,027,000 | (88 | ) | — | (88 | ) | |||||||||||
1.997% | U.S. EFFR | 2/13/2020 | 60,900 | (257 | ) | — | (257 | ) | |||||||||||
1.989% | U.S. EFFR | 2/13/2020 | 61,000 | (263 | ) | — | (263 | ) | |||||||||||
3-month USD-LIBOR | 2.761% | 4/27/2020 | 100,000 | (63 | ) | — | (63 | ) | |||||||||||
3-month USD-LIBOR | 2.8025% | 8/15/2020 | 101,840 | (194 | ) | — | (194 | ) | |||||||||||
2.5045% | U.S. EFFR | 8/29/2020 | 133,910 | 344 | — | 344 | |||||||||||||
2.5215% | U.S. EFFR | 8/29/2020 | 98,090 | 279 | — | 279 | |||||||||||||
3-month USD-LIBOR | 2.806% | 8/29/2020 | 34,300 | (68 | ) | — | (68 | ) | |||||||||||
2.48% | U.S. EFFR | 12/20/2020 | 82,528 | 200 | — | 200 | |||||||||||||
2.4825% | U.S. EFFR | 12/26/2020 | 665,000 | 1,684 | — | 1,684 | |||||||||||||
3-month USD-LIBOR | 1.217% | 9/22/2021 | 60,000 | 2,195 | — | 2,195 | |||||||||||||
3-month USD-LIBOR | 1.225% | 9/22/2021 | 60,000 | 2,182 | — | 2,182 | |||||||||||||
3-month USD-LIBOR | 1.2255% | 9/23/2021 | 5,000 | 182 | — | 182 | |||||||||||||
3-month USD-LIBOR | 1.9665% | 2/2/2022 | 50,000 | 921 | — | 921 | |||||||||||||
3-month USD-LIBOR | 2.2175% | 3/17/2022 | 52,000 | 592 | — | 592 | |||||||||||||
3-month USD-LIBOR | 1.8675% | 4/19/2022 | 70,000 | 1,577 | — | 1,577 | |||||||||||||
3-month USD-LIBOR | 1.75918% | 4/29/2022 | 58,000 | 1,514 | — | 1,514 | |||||||||||||
2.5775% | U.S. EFFR | 7/16/2022 | 181,639 | 671 | — | 671 | |||||||||||||
3-month USD-LIBOR | 1.948% | 7/28/2022 | 20,000 | 427 | — | 427 | |||||||||||||
2.80% | 3-month USD-LIBOR | 9/2/2022 | 280,000 | 1,670 | — | 1,670 | |||||||||||||
2.75% | 3-month USD-LIBOR | 9/2/2022 | 280,000 | 1,408 | — | 1,408 | |||||||||||||
2.009% | 3-month USD-LIBOR | 10/4/2022 | 50,000 | (1,017 | ) | — | (1,017 | ) | |||||||||||
2.08934% | 3-month USD-LIBOR | 11/17/2022 | 40,700 | (723 | ) | — | (723 | ) | |||||||||||
2.2025% | 3-month USD-LIBOR | 12/4/2022 | 20,000 | (276 | ) | — | (276 | ) | |||||||||||
3-month USD-LIBOR | 2.2455% | 12/21/2022 | 25,000 | 310 | — | 310 | |||||||||||||
2.27403% | 3-month USD-LIBOR | 12/29/2022 | 60,000 | (683 | ) | — | (683 | ) | |||||||||||
3-month USD-LIBOR | 2.6778% | 2/12/2023 | 51,000 | (213 | ) | — | (213 | ) | |||||||||||
2.7435% | 3-month USD-LIBOR | 2/16/2023 | 41,000 | 278 | — | 278 | |||||||||||||
3-month USD-LIBOR | 2.8655% | 4/23/2023 | 55,000 | (668 | ) | — | (668 | ) | |||||||||||
2.5815% | U.S. EFFR | 5/25/2023 | 80,000 | 1,099 | — | 1,099 | |||||||||||||
2.9075% | 3-month USD-LIBOR | 9/7/2023 | 50,000 | 734 | — | 734 | |||||||||||||
3-month USD-LIBOR | 3.09009% | 10/31/2023 | 46,320 | (1,095 | ) | — | (1,095 | ) | |||||||||||
3-month USD-LIBOR | 3.0965% | 10/31/2023 | 46,055 | (1,102 | ) | — | (1,102 | ) | |||||||||||
U.S. EFFR | 2.4435% | 12/20/2023 | 7,589 | (58 | ) | — | (58 | ) | |||||||||||
U.S. EFFR | 2.45375% | 12/20/2023 | 67,985 | (555 | ) | — | (555 | ) | |||||||||||
U.S. EFFR | 2.4325% | 12/21/2023 | 24,000 | (172 | ) | — | (172 | ) | |||||||||||
3-month USD-LIBOR | 2.0815% | 2/10/2024 | 28,700 | 683 | — | 683 | |||||||||||||
3-month USD-LIBOR | 2.0955% | 2/10/2024 | 14,300 | 331 | — | 331 | |||||||||||||
3-month USD-LIBOR | 2.3875% | 3/17/2024 | 160,700 | 1,520 | — | 1,520 | |||||||||||||
3-month USD-LIBOR | 2.12813% | 10/3/2024 | 65,000 | 1,617 | — | 1,617 | |||||||||||||
3-month USD-LIBOR | 2.4595% | 1/12/2025 | 26,400 | 203 | — | 203 | |||||||||||||
3-month USD-LIBOR | 2.588% | 1/26/2025 | 15,600 | 7 | — | 7 | |||||||||||||
2.8775% | 3-month USD-LIBOR | 3/23/2025 | 29,800 | 473 | — | 473 | |||||||||||||
3-month USD-LIBOR | 2.24% | 12/5/2026 | 55,100 | 1,625 | — | 1,625 | |||||||||||||
3-month USD-LIBOR | 2.27% | 12/5/2026 | 44,900 | 1,227 | — | 1,227 | |||||||||||||
2.579% | 3-month USD-LIBOR | 3/14/2027 | 53,000 | (306 | ) | — | (306 | ) | |||||||||||
2.333% | 3-month USD-LIBOR | 3/29/2027 | 42,000 | (1,020 | ) | — | (1,020 | ) | |||||||||||
2.91% | 3-month USD-LIBOR | 2/1/2028 | 16,000 | 84 | — | 84 | |||||||||||||
2.908% | 3-month USD-LIBOR | 2/1/2028 | 16,000 | 83 | — | 83 | |||||||||||||
2.925% | 3-month USD-LIBOR | 2/1/2028 | 12,800 | 75 | — | 75 | |||||||||||||
2.92% | 3-month USD-LIBOR | 2/2/2028 | 12,200 | 69 | — | 69 |
114 | American Funds Insurance Series |
U.S. Government/AAA-Rated Securities Fund
Receive | Pay | Expiration date | Notional (000) | Value at 12/31/2018 (000) | Upfront payments/ receipts (000) | Unrealized appreciation (depreciation) at 12/31/2018 (000) | |||||||||||||
U.S. EFFR | 2.5065% | 3/22/2028 | $ | 8,700 | $ (92 | ) | $ | — | $ | (92 | ) | ||||||||
U.S. EFFR | 2.535% | 3/23/2028 | 6,700 | (87 | ) | — | (87 | ) | |||||||||||
U.S. EFFR | 2.471% | 3/27/2028 | 8,100 | (62 | ) | — | (62 | ) | |||||||||||
U.S. EFFR | 2.4575% | 3/29/2028 | 9,638 | (62 | ) | — | (62 | ) | |||||||||||
U.S. EFFR | 2.424% | 3/30/2028 | 8,160 | (30 | ) | — | (30 | ) | |||||||||||
U.S. EFFR | 2.412% | 4/5/2028 | 3,702 | (10 | ) | — | (10 | ) | |||||||||||
3-month USD-LIBOR | 2.97125% | 9/2/2030 | 62,000 | (1,081 | ) | — | (1,081 | ) | |||||||||||
3-month USD-LIBOR | 3.005% | 9/2/2030 | 62,000 | (1,259 | ) | — | (1,259 | ) | |||||||||||
3-month USD-LIBOR | 2.9625% | 2/1/2038 | 9,800 | 30 | — | 30 | |||||||||||||
3-month USD-LIBOR | 2.963% | 2/1/2038 | 9,800 | 30 | — | 30 | |||||||||||||
3-month USD-LIBOR | 2.986% | 2/1/2038 | 7,800 | 11 | — | 11 | |||||||||||||
3-month USD-LIBOR | 2.967% | 2/2/2038 | 7,600 | 21 | — | 21 | |||||||||||||
3-month USD-LIBOR | 3.34% | 6/27/2044 | 10,000 | (937 | ) | — | (937 | ) | |||||||||||
3-month USD-LIBOR | 3.206% | 7/31/2044 | 16,000 | (1,108 | ) | — | (1,108 | ) | |||||||||||
3-month USD-LIBOR | 3.238% | 8/8/2044 | 16,000 | (1,201 | ) | — | (1,201 | ) | |||||||||||
3-month USD-LIBOR | 2.7045% | 1/2/2045 | 12,000 | 310 | — | 310 | |||||||||||||
3-month USD-LIBOR | 2.5055% | 1/9/2045 | 11,000 | 700 | — | 700 | |||||||||||||
3-month USD-LIBOR | 2.4945% | 1/9/2045 | 2,000 | 131 | — | 131 | |||||||||||||
3-month USD-LIBOR | 2.52822% | 11/23/2045 | 4,390 | 266 | — | 266 | |||||||||||||
U.S. EFFR | 2.166% | 10/23/2047 | 10,000 | 714 | — | 714 | |||||||||||||
U.S. EFFR | 2.145% | 11/9/2047 | 15,400 | 1,169 | — | 1,169 | |||||||||||||
U.S. EFFR | 2.153% | 11/10/2047 | 15,300 | 1,137 | — | 1,137 | |||||||||||||
U.S. EFFR | 2.155% | 11/10/2047 | 8,640 | 638 | — | 638 | |||||||||||||
U.S. EFFR | 2.17% | 11/13/2047 | 15,660 | 1,109 | — | 1,109 | |||||||||||||
U.S. EFFR | 2.5635% | 2/12/2048 | 33,204 | (358 | ) | — | (358 | ) | |||||||||||
U.S. EFFR | 2.4615% | 3/15/2048 | 2,000 | 20 | — | 20 | |||||||||||||
U.S. EFFR | 2.485% | 3/15/2048 | 2,000 | 11 | — | 11 | |||||||||||||
U.S. EFFR | 2.425% | 3/16/2048 | 4,100 | 73 | — | 73 | |||||||||||||
U.S. EFFR | 2.505% | 3/22/2048 | 4,300 | 5 | — | 5 | |||||||||||||
U.S. EFFR | 2.51375% | 3/22/2048 | 4,700 | (3 | ) | — | (3 | ) | |||||||||||
U.S. EFFR | 2.625% | 5/25/2048 | 18,000 | (435 | ) | — | (435 | ) | |||||||||||
U.S. EFFR | 2.445% | 6/4/2048 | 6,700 | 90 | — | 90 | |||||||||||||
U.S. EFFR | 2.52% | 8/24/2048 | 4,500 | (9 | ) | — | (9 | ) | |||||||||||
3.236% | 3-month USD-LIBOR | 10/31/2048 | 10,650 | 896 | — | 896 | |||||||||||||
3.22859% | 3-month USD-LIBOR | 10/31/2048 | 10,645 | 879 | — | 879 | |||||||||||||
$ | — | $ | 19,354 |
American Funds Insurance Series | 115 |
U.S. Government/AAA-Rated Securities Fund
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $36,486,000, which represented 1.27% of the net assets of the fund. |
2 | Index-linked bond whose principal amount moves with a government price index. |
3 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
4 | Purchased on a TBA basis. |
5 | Coupon rate may change periodically. |
6 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $151,166,000, which represented 5.27% of the net assets of the fund. |
7 | Notional amount is calculated based on the number of contracts and notional contract size. |
8 | Value is calculated based on the notional amount and current market price. |
Key to abbreviations and symbol
EFFR = Effective Federal Funds Rate
LIBOR = London Interbank Offered Rate
TBA = To-be-announced
USD/$ = U.S. dollars
See notes to financial statements
116 | American Funds Insurance Series |
Investment portfolioDecember 31, 2018
Growth funds 80.77% | Shares | Value (000) | ||||||
American Funds Insurance Series – Growth Fund, Class 1 | 3,963,500 | $ | 277,286 | |||||
Total growth funds(cost: $279,168,000) | 277,286 | |||||||
Fixed income funds 15.59% | ||||||||
American Funds Insurance Series – Bond Fund, Class 1 | 5,110,855 | 53,511 | ||||||
Total fixed income funds (cost: $55,321,000) | 53,511 | |||||||
Short-term securities 1.50% | ||||||||
Government Cash Management Fund | 5,144,216 | 5,144 | ||||||
Total short-term securities(cost: $5,144,000) | 5,144 | |||||||
Total investment securities 97.86%(cost: $339,633,000) | 335,941 | |||||||
Other assets less liabilities 2.14% | 7,332 | |||||||
Net assets 100.00% | $ | 343,273 |
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount (000) | 1 | Value at 12/31/2018 (000) | 2 | Unrealized appreciation (depreciation) at 12/31/2018 (000) | ||||||||||||||
5 Year U.S. Treasury Note Futures | Long | 1,474 | March 2019 | $ | 147,400 | $169,049 | $ | 1,914 | ||||||||||||||
FTSE 100 Index Contracts | Short | 33 | March 2019 | £ | — | 3 | (2,801 | ) | 18 | |||||||||||||
Euro Stoxx 50 Index Contracts | Short | 131 | March 2019 | € | (1 | ) | (4,464 | ) | 86 | |||||||||||||
Nikkei 225 Index Contracts | Short | 1 | March 2019 | ¥ | (1 | ) | (182 | ) | 10 | |||||||||||||
S&P Mid 400 E-mini Index Contracts | Short | 7 | March 2019 | $ | (1 | ) | (1,164 | ) | 49 | |||||||||||||
Mini MSCI Emerging Market Index Contracts | Short | 123 | March 2019 | (6 | ) | (5,946 | ) | 37 | ||||||||||||||
Russell 2000 Mini Index Contracts | Short | 229 | March 2019 | (12 | ) | (15,446 | ) | 629 | ||||||||||||||
S&P 500 E-mini Index Contracts | Short | 895 | March 2019 | (45 | ) | (112,108 | ) | 3,193 | ||||||||||||||
British Pound Currency Contracts | Short | 36 | March 2019 | (2,250 | ) | (2,878 | ) | (18 | ) | |||||||||||||
Euro Currency Contracts | Short | 33 | March 2019 | (4,125 | ) | (4,753 | ) | (20 | ) | |||||||||||||
Japanese Yen Currency Contracts | Short | 2 | March 2019 | (25,000 | ) | (229 | ) | (7 | ) | |||||||||||||
$ | 5,891 |
American Funds Insurance Series | 117 |
Managed Risk Growth Fund
Investments in affiliates
These holdings are affiliates of the fund under the Investment Company Act of 1940 since they are controlled by the same board of trustees as the series. Further details on these holdings and related transactions during the year ended December 31, 2018, appear below.
Beginning shares | Additions | Reductions | Ending shares | Net realized gain (loss) (000) | Net unrealized depreciation (000) | Dividend income (000) | Value of affiliates at 12/31/2018 (000) | |||||||||||||||||||||||||
Growth funds 80.77% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Growth Fund, Class 1 | 2,960,791 | 1,174,907 | 172,198 | 3,963,500 | $ | 2,267 | $ | (31,537 | ) | $ | 1,939 | $ | 277,286 | |||||||||||||||||||
Fixed income funds 15.59% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Bond Fund, Class 1 | 4,022,202 | 1,831,995 | 743,342 | 5,110,855 | (255 | ) | (1,309 | ) | 1,401 | 53,511 | ||||||||||||||||||||||
Total 96.36% | $ | 2,012 | $ | (32,846 | ) | $ | 3,340 | $ | 330,797 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
3 | Amount less than one thousand. |
Key to symbols
£ = British pounds
€ = Euros
¥ = Japanese yen
See notes to financial statements
118 | American Funds Insurance Series |
Managed Risk International Fund
Investment portfolioDecember 31, 2018
Growth funds 79.58% | Shares | Value (000) | ||||||
American Funds Insurance Series – International Fund, Class 1 | 6,802,836 | $ | 120,138 | |||||
Total growth funds (cost: $126,861,000) | 120,138 | |||||||
Fixed income funds 15.00% | ||||||||
American Funds Insurance Series – Bond Fund, Class 1 | 2,162,908 | 22,646 | ||||||
Total fixed income funds(cost: $23,477,000) | 22,646 | |||||||
Short-term securities 3.43% | ||||||||
Government Cash Management Fund | 5,178,097 | 5,178 | ||||||
Total short-term securities(cost: $5,178,000) | 5,178 | |||||||
Total investment securities 98.01%(cost: $155,516,000) | 147,962 | |||||||
Other assets less liabilities 1.99% | 2,997 | |||||||
Net assets 100.00% | $ | 150,959 |
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount (000) | 1 | Value at 12/31/2018 (000) | 2 | Unrealized appreciation (depreciation) at 12/31/2018 (000) | |||||||||||||||
5 Year U.S. Treasury Note Futures | Long | 472 | March 2019 | $ | 47,200 | $ | 54,133 | $ | 615 | ||||||||||||||
S&P 500 E-mini Index Contracts | Short | 3 | March 2019 | — | 3 | (376 | ) | 23 | |||||||||||||||
FTSE 100 Index Contracts | Short | 55 | March 2019 | £ | (1 | ) | (4,668 | ) | 65 | ||||||||||||||
Russell 2000 Mini Index Contracts | Short | 13 | March 2019 | $ | (1 | ) | (877 | ) | 44 | ||||||||||||||
Euro Stoxx 50 Index Contracts | Short | 353 | March 2019 | € | (4 | ) | (12,028 | ) | 268 | ||||||||||||||
Mini MSCI Emerging Market Index Contracts | Short | 323 | March 2019 | $ | (16 | ) | (15,614 | ) | 186 | ||||||||||||||
Nikkei 225 Index Contracts | Short | 37 | March 2019 | ¥ | (37 | ) | (6,751 | ) | 296 | ||||||||||||||
British Pound Currency Contracts | Short | 60 | March 2019 | $ | (3,750 | ) | (4,796 | ) | (35 | ) | |||||||||||||
Euro Currency Contracts | Short | 88 | March 2019 | (11,000 | ) | (12,675 | ) | (61 | ) | ||||||||||||||
Japanese Yen Currency Contracts | Short | 61 | March 2019 | (762,500 | ) | (6,993 | ) | (182 | ) | ||||||||||||||
$ | 1,219 |
American Funds Insurance Series | 119 |
Managed Risk International Fund
Investments in affiliates
These holdings are affiliates of the fund under the Investment Company Act of 1940 since they are controlled by the same board of trustees as the series. Further details on these holdings and related transactions during the year ended December 31, 2018, appear below.
Beginning shares | Additions | Reductions | Ending shares | Net realized gain (loss) (000) | Net unrealized depreciation (000) | Dividend income (000) | Value of affiliates at 12/31/2018 (000) | |||||||||||||||||||||||||
Growth funds 79.58% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – International Fund, Class 1 | 5,479,657 | 1,623,392 | 300,213 | 6,802,836 | $ | 360 | $ | (25,996 | ) | $ | 2,591 | $ | 120,138 | |||||||||||||||||||
Fixed income funds 15.00% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Bond Fund, Class 1 | 2,063,150 | 605,333 | 505,575 | 2,162,908 | (190 | ) | (574 | ) | 611 | 22,646 | ||||||||||||||||||||||
Total 94.58% | $ | 170 | $ | (26,570 | ) | $ | 3,202 | $ | 142,784 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
3 | Amount less than one thousand. |
Key to symbols
£ = British pounds
€ = Euros
¥ = Japanese yen
See notes to financial statements
120 | American Funds Insurance Series |
Managed Risk Blue Chip Income and Growth Fund
Investment portfolioDecember 31, 2018
Growth-and-income funds 80.54% | Shares | Value (000) | ||||||
American Funds Insurance Series – Blue Chip Income and Growth Fund, Class 1 | 21,901,978 | $ | 271,146 | |||||
Total growth-and-income funds(cost: $294,629,000) | 271,146 | |||||||
Fixed income funds 15.90% | ||||||||
American Funds Insurance Series – U.S. Government/AAA-Rated Securities Fund, Class 1 | 4,484,388 | 53,544 | ||||||
Total fixed income funds(cost: $54,558,000) | 53,544 | |||||||
Short-term securities 1.37% | ||||||||
Government Cash Management Fund | 4,613,010 | 4,613 | ||||||
Total short-term securities(cost: $4,613,000) | 4,613 | |||||||
Total investment securities 97.81%(cost: $353,800,000) | 329,303 | |||||||
Other assets less liabilities 2.19% | 7,366 | |||||||
Net assets 100.00% | $ | 336,669 |
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount (000) | 1 | Value at 12/31/2018 (000) | 2 | Unrealized appreciation (depreciation) at 12/31/2018 (000) | ||||||||||||||
5 Year U.S. Treasury Note Futures | Long | 1,512 | March 2019 | $ | 151,200 | $ | 173,408 | $ | 1,865 | |||||||||||||
FTSE 100 Index Contracts | Short | 24 | March 2019 | £ | — | 3 | (2,037 | ) | 10 | |||||||||||||
S&P Mid 400 E-mini Index Contracts | Short | 4 | March 2019 | $ | — | 3 | (665 | ) | 18 | |||||||||||||
Euro Stoxx 50 Index Contracts | Short | 117 | March 2019 | € | (1 | ) | (3,987 | ) | 74 | |||||||||||||
Mini MSCI Emerging Market Index Contracts | Short | 42 | March 2019 | $ | (2 | ) | (2,030 | ) | 13 | |||||||||||||
Russell 2000 Mini Index Contracts | Short | 34 | March 2019 | (2 | ) | (2,293 | ) | 81 | ||||||||||||||
S&P 500 E-mini Index Contracts | Short | 1,088 | March 2019 | (54 | ) | (136,283 | ) | 3,750 | ||||||||||||||
British Pound Currency Contracts | Short | 27 | March 2019 | (1,688 | ) | (2,158 | ) | (13 | ) | |||||||||||||
Euro Currency Contracts | Short | 29 | March 2019 | (3,625 | ) | (4,177 | ) | (17 | ) | |||||||||||||
$ | 5,781 |
American Funds Insurance Series | 121 |
Managed Risk Blue Chip Income and Growth Fund
Investments in affiliates
These holdings are affiliates of the fund under the Investment Company Act of 1940 since they are controlled by the same board of trustees as the series. Further details on these holdings and related transactions during the year ended December 31, 2018, appear below.
Beginning shares | Additions | Reductions | Ending shares | Net realized gain (loss) (000) | Net unrealized depreciation (000) | Dividend income (000) | Value of affiliates at 12/31/2018 (000) | |||||||||||||||||||||||||
Growth-and-income funds 80.54% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Blue Chip Income and Growth Fund, Class 1 | 19,699,331 | 4,153,608 | 1,950,961 | 21,901,978 | $ | 4,481 | $ | (54,782 | ) | $ | 6,179 | $ | 271,146 | |||||||||||||||||||
Fixed income funds 15.90% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – U.S. Government/AAA-Rated Securities Fund, Class 1 | 4,530,491 | 736,682 | 782,785 | 4,484,388 | (273 | ) | (347 | ) | 1,085 | 53,544 | ||||||||||||||||||||||
Total 96.44% | $ | 4,208 | $ | (55,129 | ) | $ | 7,264 | $ | 324,690 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
3 | Amount less than one thousand. |
Key to symbols
£ = British pounds
€ = Euros
¥ = Japanese yen
See notes to financial statements
122 | American Funds Insurance Series |
Managed Risk Growth-Income Fund
Investment portfolioDecember 31, 2018
Growth-and-income funds 79.46% | Shares | Value (000) | ||||||
American Funds Insurance Series – Growth-Income Fund, Class 1 | 33,123,343 | $ | 1,503,469 | |||||
Total growth-and-income funds(cost: $1,522,773,000) | 1,503,469 | |||||||
Fixed income funds 14.91% | ||||||||
American Funds Insurance Series – Bond Fund, Class 1 | 26,945,898 | 282,124 | ||||||
Total fixed income funds(cost: $281,542,000) | 282,124 | |||||||
Short-term securities 3.54% | ||||||||
Government Cash Management Fund | 66,924,852 | 66,925 | ||||||
Total short-term securities(cost: $66,925,000) | 66,925 | |||||||
Options purchased 0.46% | ||||||||
Options purchased* | 8,674 | |||||||
Total options purchased(cost: $7,663,000) | 8,674 | |||||||
Total investment securities 98.37%(cost: $1,878,903,000) | 1,861,192 | |||||||
Other assets less liabilities 1.63% | 30,910 | |||||||
Net assets 100.00% | $ | 1,892,102 |
*Options purchased
Put
Description | Number of contracts | Notional amount (000) | Exercise price | Expiration date | Value at 12/31/2018 (000) | |||||||||||||||
S&P 500 Index | 4,360 | $1,092,987 | $1,850.00 | 6/21/2019 | $ | 6,178 | ||||||||||||||
S&P 500 Index | 811 | 203,306 | 2,000.00 | 6/21/2019 | 2,064 | |||||||||||||||
S&P 500 Index | 138 | 34,595 | 2,050.00 | 6/21/2019 | 432 | |||||||||||||||
$ | 8,674 |
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount (000) | 1 | Value at 12/31/2018 (000) | 2 | Unrealized appreciation (depreciation) at 12/31/2018 (000) | ||||||||||||||
5 Year U.S. Treasury Note Futures | Long | 7,323 | March 2019 | $ | 732,300 | $ | 839,857 | $ | 6,919 | |||||||||||||
FTSE 100 Index Contracts | Short | 272 | March 2019 | £ | (3 | ) | (23,086 | ) | (39 | ) | ||||||||||||
S&P Mid 400 E-mini Index Contracts | Short | 50 | March 2019 | $ | (5 | ) | (8,311 | ) | 127 | |||||||||||||
Euro Stoxx 50 Index Contracts | Short | 1,107 | March 2019 | € | (11 | ) | (37,721 | ) | 466 | |||||||||||||
Russell 2000 Mini Index Contracts | Short | 430 | March 2019 | $ | (21 | ) | (29,003 | ) | 435 | |||||||||||||
Mini MSCI Emerging Market Index Contracts | Short | 532 | March 2019 | (27 | ) | (25,717 | ) | (62 | ) | |||||||||||||
Nikkei 225 Index Contracts | Short | 27 | March 2019 | ¥ | (27 | ) | (4,927 | ) | 180 | |||||||||||||
S&P 500 E-mini Index Contracts | Short | 3,478 | March 2019 | $ | (174 | ) | (435,654 | ) | 2,778 | |||||||||||||
British Pound Currency Contracts | Short | 298 | March 2019 | (18,625 | ) | (23,821 | ) | (167 | ) | |||||||||||||
Euro Currency Contracts | Short | 268 | March 2019 | (33,500 | ) | (38,600 | ) | (222 | ) | |||||||||||||
Japanese Yen Currency Contracts | Short | 45 | March 2019 | (562,500 | ) | (5,159 | ) | (108 | ) | |||||||||||||
$ | 10,307 |
American Funds Insurance Series | 123 |
Managed Risk Growth-Income Fund
Investments in affiliates
These holdings are affiliates of the fund under the Investment Company Act of 1940 since they are controlled by the same board of trustees as the series. Further details on these holdings and related transactions during the year ended December 31, 2018, appear below.
Beginning shares | Additions | Reductions | Ending shares | Net realized loss (000) | Net unrealized (depreciation) appreciation (000) | Dividend income (000) | Value of affiliates at 12/31/2018 (000) | |||||||||||||||||||||||||
Growth-and-income funds 79.46% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Growth-Income Fund, Class 1 | 3,331,787 | 30,474,528 | 682,972 | 33,123,343 | $ | (1,765 | ) | $(33,463 | ) | $3,205 | $1,503,469 | |||||||||||||||||||||
Fixed income funds 14.91% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Bond Fund, Class 1 | 2,916,097 | 25,446,042 | 1,416,241 | 26,945,898 | (614 | ) | 951 | 958 | 282,124 | |||||||||||||||||||||||
Total 94.37% | $ | (2,379 | ) | $(32,512 | ) | $4,163 | $1,785,593 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
Key to symbols
£ = British pounds
€ = Euros
¥ = Japanese yen
See notes to financial statements
124 | American Funds Insurance Series |
Managed Risk Asset Allocation Fund
Investment portfolioDecember 31, 2018
Asset allocation funds 96.69% | Shares | Value (000) | ||||||
American Funds Insurance Series – Asset Allocation Fund, Class 1 | 115,468,223 | $ | 2,458,318 | |||||
Total asset allocation funds(cost: $2,512,141,000) | 2,458,318 | |||||||
Short-term securities 1.91% | ||||||||
Government Cash Management Fund | 48,607,102 | 48,607 | ||||||
Total short-term securities(cost: $48,607,000) | 48,607 | |||||||
Total investment securities 98.60%(cost: $2,560,748,000) | 2,506,925 | |||||||
Other assets less liabilities 1.40% | 35,572 | |||||||
Net assets 100.00% | $ | 2,542,497 |
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount (000) | 1 | Value at 12/31/2018 (000) | 2 | Unrealized appreciation (depreciation) at 12/31/2018 (000) | ||||||||||||||
5 Year U.S. Treasury Note Futures | Long | 7,806 | March 2019 | $ | 780,600 | $ | 895,251 | $ | 8,348 | |||||||||||||
FTSE 100 Index Contracts | Short | 120 | March 2019 | £ | (1 | ) | (10,185 | ) | 46 | |||||||||||||
S&P Mid 400 E-mini Index Contracts | Short | 33 | March 2019 | $ | (3 | ) | (5,485 | ) | 146 | |||||||||||||
Euro Stoxx 50 Index Contracts | Short | 671 | March 2019 | € | (7 | ) | (22,864 | ) | 375 | |||||||||||||
Nikkei 225 Index Contracts | Short | 7 | March 2019 | ¥ | (7 | ) | (1,277 | ) | 49 | |||||||||||||
Russell 2000 Mini Index Contracts | Short | 895 | March 2019 | $ | (45 | ) | (60,368 | ) | 1,608 | |||||||||||||
Mini MSCI Emerging Market Index Contracts | Short | 1,027 | March 2019 | (51 | ) | (49,645 | ) | 184 | ||||||||||||||
S&P 500 E-mini Index Contracts | Short | 4,514 | March 2019 | (226 | ) | (565,424 | ) | 14,749 | ||||||||||||||
British Pound Currency Contracts | Short | 131 | March 2019 | (8,188 | ) | (10,472 | ) | (63 | ) | |||||||||||||
Euro Currency Contracts | Short | 165 | March 2019 | (20,625 | ) | (23,765 | ) | (88 | ) | |||||||||||||
Japanese Yen Currency Contracts | Short | 12 | March 2019 | (150,000 | ) | (1,376 | ) | (31 | ) | |||||||||||||
$ | 25,323 |
Investment in affiliates
This holding is an affiliate of the fund under the Investment Company Act of 1940 since it is controlled by the same board of trustees as the series. Further details on this holding and related transactions during the year ended December 31, 2018, appear below.
Beginning shares | Additions | Reductions | Ending shares | Net realized loss (000) | Net unrealized depreciation (000) | Dividend income (000) | Value of affiliate at 12/31/2018 (000) | |||||||||||||||||||||||||
Asset allocation funds 96.69% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Asset Allocation Fund, Class 1 | 178,833,494 | 22,204,494 | 85,569,765 | 115,468,223 | $ | (39,223 | ) | $(392,470 | ) | $80,687 | $ | 2,458,318 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
Key to symbols
£ = British pounds
€ = Euros
¥ = Japanese yen
See notes to financial statements
American Funds Insurance Series | 125 |
Statements of assets and liabilities
at December 31, 2018
Global Growth Fund | Global Small Capitalization Fund | Growth Fund | International Fund | New World Fund | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investment securities, at value: | ||||||||||||||||||||
Unaffiliated issuers | $ | 5,486,916 | $ | 3,673,913 | $ | 23,407,476 | $ | 8,996,441 | $ | 2,999,468 | ||||||||||
Affiliated issuers | — | 29,982 | — | — | — | |||||||||||||||
Cash | 178 | 156 | 1,343 | 131 | 4,433 | |||||||||||||||
Cash pledged for securities on loan | — | 6,049 | — | — | — | |||||||||||||||
Cash pledged for forward currency contracts | — | — | — | 330 | — | |||||||||||||||
Cash denominated in currencies other than U.S. dollars | 1 | 80 | — | 1,626 | 712 | |||||||||||||||
Unrealized appreciation on open forward currency contracts | — | — | — | — | 356 | |||||||||||||||
Receivables for: | ||||||||||||||||||||
Sales of investments | 319 | 3,233 | 21,198 | 1,944 | 4,847 | |||||||||||||||
Sales of fund’s shares | 28,743 | 5,568 | 49,254 | 16,453 | 1,400 | |||||||||||||||
Dividends and interest | 8,330 | 3,564 | 13,574 | 16,015 | 5,498 | |||||||||||||||
Variation margin on futures contracts | — | — | — | — | — | |||||||||||||||
Variation margin on swap contracts | — | — | — | — | — | |||||||||||||||
Securities lending income | — | 160 | — | — | — | |||||||||||||||
Other | 378 | 124 | 2 | 136 | 7 | |||||||||||||||
5,524,865 | 3,722,829 | 23,492,847 | 9,033,076 | 3,016,721 | ||||||||||||||||
Liabilities: | ||||||||||||||||||||
Collateral for securities on loan | — | 60,486 | — | — | — | |||||||||||||||
Unrealized depreciation on open forward currency contracts | — | — | — | 525 | 53 | |||||||||||||||
Payables for: | ||||||||||||||||||||
Purchases of investments | 16,115 | 3,150 | 21,907 | 6,618 | 808 | |||||||||||||||
Repurchases of fund’s shares | 2,128 | 605 | 11,254 | 4,966 | 1,595 | |||||||||||||||
Investment advisory services | 2,473 | 2,214 | 6,602 | 3,815 | 1,833 | |||||||||||||||
Insurance administrative fees | 163 | 95 | 706 | 193 | 293 | |||||||||||||||
Services provided by related parties | 810 | 506 | 3,421 | 970 | 302 | |||||||||||||||
Trustees’ deferred compensation | 72 | 48 | 503 | 213 | 32 | |||||||||||||||
Variation margin on futures contracts | — | — | — | — | — | |||||||||||||||
Variation margin on swap contracts | — | — | — | — | — | |||||||||||||||
Non-U.S. taxes | 853 | 931 | 515 | 5,462 | 793 | |||||||||||||||
Other | 98 | 280 | 78 | 204 | 133 | |||||||||||||||
22,712 | 68,315 | 44,986 | 22,966 | 5,842 | ||||||||||||||||
Net assets at December 31, 2018 | $ | 5,502,153 | $ | 3,654,514 | $ | 23,447,861 | $ | 9,010,110 | $ | 3,010,879 | ||||||||||
Net assets consist of: | ||||||||||||||||||||
Capital paid in on shares of beneficial interest | $ | 3,889,612 | $ | 3,067,044 | $ | 14,176,248 | $ | 8,331,112 | $ | 2,702,017 | ||||||||||
Total distributable earnings (accumulated loss) | 1,612,541 | 587,470 | 9,271,613 | 678,998 | 308,862 | |||||||||||||||
Net assets at December 31, 2018 | $ | 5,502,153 | $ | 3,654,514 | $ | 23,447,861 | $ | 9,010,110 | $ | 3,010,879 | ||||||||||
Investment securities, at cost: | ||||||||||||||||||||
Unaffiliated issuers | $ | 4,224,241 | $ | 3,380,162 | $ | 16,925,576 | $ | 8,523,681 | $ | 2,819,850 | ||||||||||
Affiliated issuers | — | 45,822 | — | — | — | |||||||||||||||
Cash denominated in currencies other than U.S. dollars, at cost | 1 | 86 | — | 1,620 | 711 |
See end of statements of assets and liabilities for footnote.
See notes to financial statements
126 | American Funds Insurance Series |
(dollars in thousands)
Blue Chip Income and Growth Fund | Global Growth and Income Fund | Growth- Income Fund | International Growth and Income Fund | Capital Income Builder | Asset Allocation Fund | Global Balanced Fund | Bond Fund | Global Bond Fund | ||||||||||||||||||||||||||
$ | 8,018,033 | $ | 1,811,931 | $ | 29,638,729 | $ | 1,333,446 | $ | 679,748 | $ | 23,114,218 | $ | 368,422 | $ | 10,945,510 | $ | 2,123,592 | |||||||||||||||||
— | — | 202,273 | — | — | 153,583 | — | — | — | ||||||||||||||||||||||||||
1,442 | 226 | 5,392 | 131 | 493 | 3,965 | 111 | 5,730 | 633 | ||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
— | — | 1 | 162 | 116 | 840 | 7 | 6,114 | 964 | ||||||||||||||||||||||||||
— | 351 | — | — | — | — | 214 | 5,141 | 12,488 | ||||||||||||||||||||||||||
— | — | 50,544 | — | 425 | 103,114 | 81 | 766,356 | 3,468 | ||||||||||||||||||||||||||
4,453 | 597 | 41,007 | 127 | 1,890 | 10,186 | 175 | 2,561 | 30 | ||||||||||||||||||||||||||
14,855 | 4,749 | 41,209 | 5,240 | 2,673 | 66,435 | 1,558 | 63,965 | 17,559 | ||||||||||||||||||||||||||
— | — | — | — | 286 | 1,056 | 32 | 3,526 | 755 | ||||||||||||||||||||||||||
— | — | — | — | — | 83 | 4 | 94 | 49 | ||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
— | 25 | — | 31 | 3 | 313 | 18 | 377 | 53 | ||||||||||||||||||||||||||
8,038,783 | 1,817,879 | 29,979,155 | 1,339,137 | 685,634 | 23,453,793 | 370,622 | 11,799,374 | 2,159,591 | ||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
— | — | — | — | — | — | 132 | 14,412 | 5,570 | ||||||||||||||||||||||||||
— | — | 75,910 | 112 | 9,280 | 506,077 | 3,803 | 1,901,710 | 56,897 | ||||||||||||||||||||||||||
3,583 | 545 | 27,805 | 301 | 228 | 11,216 | 134 | 23,576 | 7,155 | ||||||||||||||||||||||||||
2,735 | 940 | 6,567 | 701 | 283 | 5,477 | 206 | 3,023 | 948 | ||||||||||||||||||||||||||
231 | 61 | 588 | 46 | 225 | 2,313 | 44 | 225 | 25 | ||||||||||||||||||||||||||
766 | 301 | 3,070 | 76 | 80 | 1,980 | 57 | 918 | 247 | ||||||||||||||||||||||||||
80 | 23 | 576 | 9 | 3 | 258 | 2 | 116 | 24 | ||||||||||||||||||||||||||
— | — | — | — | 237 | 99 | — | 351 | 145 | ||||||||||||||||||||||||||
— | — | — | — | — | 756 | 1 | 356 | 7 | ||||||||||||||||||||||||||
100 | 87 | 407 | 592 | 12 | 126 | 48 | — | 453 | ||||||||||||||||||||||||||
16 | 48 | 97 | 42 | 6 | 40 | 6 | — | 103 | ||||||||||||||||||||||||||
7,511 | 2,005 | 115,020 | 1,879 | 10,354 | 528,342 | 4,433 | 1,944,687 | 71,574 | ||||||||||||||||||||||||||
$ | 8,031,272 | $ | 1,815,874 | $ | 29,864,135 | $ | 1,337,258 | $ | 675,280 | $ | 22,925,451 | $ | 366,189 | $ | 9,854,687 | $ | 2,088,017 | |||||||||||||||||
$ | 6,594,985 | $ | 1,523,636 | $ | 21,925,796 | $ | 1,347,787 | $ | 710,885 | $ | 19,064,550 | $ | 341,847 | $ | 10,077,153 | $ | 2,124,152 | |||||||||||||||||
1,436,287 | 292,238 | 7,938,339 | (10,529 | ) | (35,605 | ) | 3,860,901 | 24,342 | (222,466 | ) | (36,135 | ) | ||||||||||||||||||||||
$ | 8,031,272 | $ | 1,815,874 | $ | 29,864,135 | $ | 1,337,258 | $ | 675,280 | $ | 22,925,451 | $ | 366,189 | $ | 9,854,687 | $ | 2,088,017 | |||||||||||||||||
$ | 7,325,397 | $ | 1,627,160 | $ | 25,100,577 | $ | 1,364,122 | $ | 702,114 | $ | 20,304,078 | $ | 345,235 | $ | 11,058,951 | $ | 2,167,128 | |||||||||||||||||
— | — | 273,780 | — | — | 586,257 | — | — | — | ||||||||||||||||||||||||||
— | — | 1 | 159 | 116 | 840 | 7 | 6,229 | 961 |
American Funds Insurance Series | 127 |
Statements of assets and liabilities
at December 31, 2018
High- Income Bond Fund | Mortgage Fund | Ultra-Short Bond Fund | U.S. Government/ AAA-Rated Securities Fund | Managed Risk Growth Fund | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investment securities, at value: | ||||||||||||||||||||
Unaffiliated issuers | $ | 1,182,891 | $ | 343,748 | $ | 306,746 | $ | 3,110,704 | $ | 5,144 | ||||||||||
Affiliated issuers | — | — | — | — | 330,797 | |||||||||||||||
Cash | 840 | 383 | 80 | 3,850 | — | |||||||||||||||
Cash pledged for futures contracts | — | — | — | — | 8,181 | |||||||||||||||
Cash denominated in currencies other than U.S. dollars | — | * | — | — | — | — | ||||||||||||||
Receivables for: | ||||||||||||||||||||
Sales of investments | 2,745 | 460 | — | 45,521 | — | |||||||||||||||
Sales of fund’s shares | 77 | 204 | 48 | 642 | 596 | |||||||||||||||
Dividends and interest | 21,205 | 877 | — | 11,543 | 22 | |||||||||||||||
Variation margin on futures contracts | — | 249 | — | 4,583 | 394 | |||||||||||||||
Variation margin on swap contracts | 40 | 170 | — | 2,783 | — | |||||||||||||||
Other | 168 | 2 | — | 28 | — | |||||||||||||||
1,207,966 | 346,093 | 306,874 | 3,179,654 | 345,134 | ||||||||||||||||
Liabilities: | ||||||||||||||||||||
Payables for: | ||||||||||||||||||||
Purchases of investments | 1,934 | 54,109 | — | 295,152 | 563 | |||||||||||||||
Repurchases of fund’s shares | 1,312 | 356 | 301 | 8,565 | 3 | |||||||||||||||
Investment advisory services | 498 | 105 | 82 | 830 | 29 | |||||||||||||||
Insurance administrative fees | 22 | 13 | 10 | 49 | 215 | |||||||||||||||
Services provided by related parties | 163 | 19 | 59 | 328 | 71 | |||||||||||||||
Trustees’ deferred compensation | 50 | 3 | 18 | 60 | 1 | |||||||||||||||
Variation margin on futures contracts | — | — | — | 594 | 979 | |||||||||||||||
Variation margin on swap contracts | 87 | 313 | — | 4,772 | — | |||||||||||||||
Other | 1 | — | — | 1 | — | |||||||||||||||
4,067 | 54,918 | 470 | 310,351 | 1,861 | ||||||||||||||||
Net assets at December 31, 2018 | $ | 1,203,899 | $ | 291,175 | $ | 306,404 | $ | 2,869,303 | $ | 343,273 | ||||||||||
Net assets consist of: | ||||||||||||||||||||
Capital paid in on shares of beneficial interest | $ | 1,464,474 | $ | 295,903 | $ | 305,431 | $ | 2,910,880 | $ | 326,588 | ||||||||||
Total distributable earnings (accumulated loss) | (260,575 | ) | (4,728 | ) | 973 | (41,577 | ) | 16,685 | ||||||||||||
Net assets at December 31, 2018 | $ | 1,203,899 | $ | 291,175 | $ | 306,404 | $ | 2,869,303 | $ | 343,273 | ||||||||||
Investment securities, at cost: | ||||||||||||||||||||
Unaffiliated issuers | $ | 1,274,934 | $ | 344,748 | $ | 306,754 | $ | 3,124,841 | $ | 5,144 | ||||||||||
Affiliated issuers | — | — | — | — | 334,489 | |||||||||||||||
Cash denominated in currencies other than U.S. dollars, at cost | — | * | — | — | — | — |
See end of statements of assets and liabilities for footnote.
See notes to financial statements
128 | American Funds Insurance Series |
(dollars in thousands)
Managed Risk International Fund | Managed Risk Blue Chip Income and Growth Fund | Managed Risk Growth- Income Fund | Managed Risk Asset Allocation Fund | |||||||||||
$ | 5,178 | $ | 4,613 | $ | 75,599 | $ | 48,607 | |||||||
142,784 | 324,690 | 1,785,593 | 2,458,318 | |||||||||||
— | — | — | — | |||||||||||
3,017 | 8,327 | 34,515 | 41,388 | |||||||||||
— | — | — | — | |||||||||||
— | — | 27,293 | 374 | |||||||||||
190 | 386 | 339 | 336 | |||||||||||
10 | 22 | 67 | 305 | |||||||||||
182 | 389 | 1,951 | 2,143 | |||||||||||
— | — | — | — | |||||||||||
— | — | — | — | |||||||||||
151,361 | 338,427 | 1,925,357 | 2,551,471 | |||||||||||
174 | 364 | — | — | |||||||||||
6 | 3 | 29,069 | 729 | |||||||||||
13 | 29 | 84 | 298 | |||||||||||
96 | 214 | 308 | 2,570 | |||||||||||
31 | 70 | 48 | 538 | |||||||||||
1 | 2 | 1 | 23 | |||||||||||
81 | 1,076 | 3,745 | 4,816 | |||||||||||
— | — | — | — | |||||||||||
— | — | — | — | |||||||||||
402 | 1,758 | 33,255 | 8,974 | |||||||||||
$ | 150,959 | $ | 336,669 | $ | 1,892,102 | $ | 2,542,497 | |||||||
$ | 157,470 | $ | 340,198 | $ | 1,895,504 | $ | 2,426,171 | |||||||
(6,511 | ) | (3,529 | ) | (3,402 | ) | 116,326 | ||||||||
$ | 150,959 | $ | 336,669 | $ | 1,892,102 | $ | 2,542,497 | |||||||
$ | 5,178 | $ | 4,613 | $ | 74,588 | $ | 48,607 | |||||||
150,338 | 349,187 | 1,804,315 | 2,512,141 | |||||||||||
— | — | — | — |
American Funds Insurance Series | 129 |
Statements of assets and liabilities
at December 31, 2018
Global Growth Fund | Global Small Capitalization Fund | Growth Fund | International Fund | New World Fund | ||||||||||||||||||
Shares of beneficial interest issued and outstanding (no stated par value) — unlimited shares authorized | ||||||||||||||||||||||
Class 1: | Net assets | $ | 1,942,639 | $ | 1,452,476 | $ | 8,474,126 | $ | 4,811,429 | $ | 1,701,716 | |||||||||||
Shares outstanding | 75,457 | 66,791 | 121,126 | 272,408 | 81,098 | |||||||||||||||||
Net asset value per share | $ | 25.74 | $ | 21.75 | $ | 69.96 | $ | 17.66 | $ | 20.98 | ||||||||||||
Class 1A: | Net assets | $ | 4,778 | $ | 353 | $ | 9,862 | $ | 4,936 | $ | 2,363 | |||||||||||
Shares outstanding | 186 | 16 | 141 | 280 | 113 | |||||||||||||||||
Net asset value per share | $ | 25.69 | $ | 21.71 | $ | 69.77 | $ | 17.62 | $ | 20.92 | ||||||||||||
Class 2: | Net assets | $ | 3,306,059 | $ | 2,055,787 | $ | 13,700,966 | $ | 3,875,242 | $ | 843,316 | |||||||||||
Shares outstanding | 129,626 | 97,154 | 197,204 | 220,231 | 40,558 | |||||||||||||||||
Net asset value per share | $ | 25.50 | $ | 21.16 | $ | 69.48 | $ | 17.60 | $ | 20.79 | ||||||||||||
Class 3: | Net assets | $ | 187,003 | $ | 23,753 | |||||||||||||||||
Shares outstanding | Not applicable | Not applicable | 2,655 | 1,342 | Not applicable | |||||||||||||||||
Net asset value per share | $ | 70.44 | $ | 17.70 | ||||||||||||||||||
Class 4: | Net assets | $ | 248,677 | $ | 145,898 | $ | 1,075,904 | $ | 294,750 | $ | 463,484 | |||||||||||
Shares outstanding | 9,795 | 6,855 | 15,676 | 16,935 | 22,375 | |||||||||||||||||
Net asset value per share | $ | 25.39 | $ | 21.28 | $ | 68.64 | $ | 17.40 | $ | 20.71 | ||||||||||||
High- Income Bond Fund | Mortgage Fund | Ultra-Short Bond Fund | U.S. Government/ AAA-Rated Securities Fund | Managed Risk Growth Fund | ||||||||||||||||||
Shares of beneficial interest issued and outstanding (no stated par value) — unlimited shares authorized | ||||||||||||||||||||||
Class 1: | Net assets | $ | 501,284 | $ | 209,329 | $ | 36,869 | $ | 1,445,275 | |||||||||||||
Shares outstanding | 53,676 | 20,330 | 3,259 | 121,022 | Not applicable | |||||||||||||||||
Net asset value per share | $ | 9.34 | $ | 10.30 | $ | 11.31 | $ | 11.94 | ||||||||||||||
Class 1A: | Net assets | $ | 644 | $ | 739 | $ | 10 | $ | 1,510 | |||||||||||||
Shares outstanding | 69 | 72 | 1 | 127 | Not applicable | |||||||||||||||||
Net asset value per share | $ | 9.33 | $ | 10.28 | $ | 11.31 | $ | 11.93 | ||||||||||||||
Class 2: | Net assets | $ | 661,317 | $ | 56,871 | $ | 247,022 | $ | 1,322,968 | |||||||||||||
Shares outstanding | 71,992 | 5,534 | 22,403 | 111,891 | Not applicable | |||||||||||||||||
Net asset value per share | $ | 9.19 | $ | 10.28 | $ | 11.03 | $ | 11.82 | ||||||||||||||
Class 3: | Net assets | $ | 9,485 | $ | 4,516 | $ | 8,900 | |||||||||||||||
Shares outstanding | 1,011 | Not applicable | 405 | 743 | Not applicable | |||||||||||||||||
Net asset value per share | $ | 9.38 | $ | 11.14 | $ | 11.97 | ||||||||||||||||
Class 4: | Net assets | $ | 31,169 | $ | 24,236 | $ | 17,987 | $ | 90,650 | |||||||||||||
Shares outstanding | 3,129 | 2,379 | 1,613 | 7,659 | Not applicable | |||||||||||||||||
Net asset value per share | $ | 9.96 | $ | 10.19 | $ | 11.15 | $ | 11.84 | ||||||||||||||
Class P1: | Net assets | $ | 2,850 | |||||||||||||||||||
Shares outstanding | Not applicable | Not applicable | Not applicable | Not applicable | 232 | |||||||||||||||||
Net asset value per share | $ | 12.30 | ||||||||||||||||||||
Class P2: | Net assets | $ | 340,423 | |||||||||||||||||||
Shares outstanding | Not applicable | Not applicable | Not applicable | Not applicable | 27,883 | |||||||||||||||||
Net asset value per share | $ | 12.21 |
* | Amount less than one thousand. |
See notes to financial statements
130 | American Funds Insurance Series |
(dollars and shares in thousands, except per-share amounts)
Blue Chip Income and Growth Fund | Global Growth and Income Fund | Growth- Income Fund | International Growth and Income Fund | Capital Income Builder | Asset Allocation Fund | Global Balanced Fund | Bond Fund | Global Bond Fund | ||||||||||||||||||||||||||
$ | 4,809,964 | $ | 492,281 | $ | 16,782,983 | $ | 1,034,317 | $ | 316,763 | $ | 14,626,696 | $ | 109,776 | $ | 5,961,685 | $ | 1,015,292 | |||||||||||||||||
388,433 | 37,818 | 369,768 | 67,397 | 33,820 | 686,976 | 9,410 | 569,176 | 88,889 | ||||||||||||||||||||||||||
$ | 12.38 | $ | 13.02 | $ | 45.39 | $ | 15.35 | $ | 9.37 | $ | 21.29 | $ | 11.67 | $ | 10.47 | $ | 11.42 | |||||||||||||||||
$ | 3,162 | $ | 927 | $ | 6,733 | $ | 1,749 | $ | 2,686 | $ | 6,982 | $ | 2,007 | $ | 3,284 | $ | 400 | |||||||||||||||||
256 | 72 | 149 | 114 | 287 | 328 | 172 | 314 | 35 | ||||||||||||||||||||||||||
$ | 12.35 | $ | 13.00 | $ | 45.28 | $ | 15.33 | $ | 9.36 | $ | 21.26 | $ | 11.65 | $ | 10.45 | $ | 11.41 | |||||||||||||||||
$ | 2,850,294 | $ | 1,227,787 | $ | 12,035,441 | $ | 230,035 | $ | 3,719 | $ | 4,667,683 | $ | 184,786 | $ | 3,523,963 | $ | 1,032,370 | |||||||||||||||||
232,925 | 94,484 | 268,073 | 15,034 | 397 | 221,412 | 15,865 | 340,694 | 91,060 | ||||||||||||||||||||||||||
$ | 12.24 | $ | 12.99 | $ | 44.90 | $ | 15.30 | $ | 9.36 | $ | 21.08 | $ | 11.65 | $ | 10.34 | $ | 11.34 | |||||||||||||||||
$ | 140,465 | $ | 29,682 | |||||||||||||||||||||||||||||||
Not applicable | Not applicable | 3,089 | Not applicable | Not applicable | 1,392 | Not applicable | Not applicable | Not applicable | ||||||||||||||||||||||||||
$ | 45.47 | $ | 21.32 | |||||||||||||||||||||||||||||||
$ | 367,852 | $ | 94,879 | $ | 898,513 | $ | 71,157 | $ | 352,112 | $ | 3,594,408 | $ | 69,620 | $ | 365,755 | $ | 39,955 | |||||||||||||||||
30,177 | 7,405 | 20,203 | 4,675 | 37,666 | 171,230 | 6,029 | 35,411 | 3,554 | ||||||||||||||||||||||||||
$ | 12.19 | $ | 12.81 | $ | 44.47 | $ | 15.22 | $ | 9.35 | $ | 20.99 | $ | 11.55 | $ | 10.33 | $ | 11.24 | |||||||||||||||||
Managed Risk International Fund | Managed Risk Blue Chip Income and Growth Fund | Managed Risk Growth- Income Fund | Managed Risk Asset Allocation Fund | |||||||||||||||||||||||||||||||
Not applicable | Not applicable | Not applicable | Not applicable | |||||||||||||||||||||||||||||||
Not applicable | Not applicable | Not applicable | Not applicable | |||||||||||||||||||||||||||||||
Not applicable | Not applicable | Not applicable | Not applicable | |||||||||||||||||||||||||||||||
Not applicable | Not applicable | Not applicable | Not applicable | |||||||||||||||||||||||||||||||
Not applicable | Not applicable | Not applicable | Not applicable | |||||||||||||||||||||||||||||||
$ | 379 | $ | 492 | $ | 1,661,806 | $ | 1,596 | |||||||||||||||||||||||||||
39 | 44 | 141,701 | 130 | |||||||||||||||||||||||||||||||
$ | 9.82 | $ | 11.28 | $ | 11.73 | $ | 12.23 | |||||||||||||||||||||||||||
$ | 150,580 | $ | 336,177 | $ | 230,296 | $ | 2,540,901 | |||||||||||||||||||||||||||
15,421 | 29,981 | 19,726 | 207,856 | |||||||||||||||||||||||||||||||
$ | 9.76 | $ | 11.21 | $ | 11.67 | $ | 12.22 |
American Funds Insurance Series | 131 |
Statements of operations
for the year ended December 31, 2018
Global Growth Fund | Global Small Capitalization Fund | Growth Fund | International Fund | New World Fund | ||||||||||||||||
Investment income: | ||||||||||||||||||||
Income (net of non-U.S. taxes*): | ||||||||||||||||||||
Dividends | $ | 89,435 | $ | 40,551 | $ | 266,249 | $ | 188,307 | $ | 47,131 | ||||||||||
Interest | 6,142 | 7,378 | 28,788 | 23,999 | 16,421 | |||||||||||||||
Securities lending income | — | 730 | — | — | — | |||||||||||||||
95,577 | 48,659 | 295,037 | 212,306 | 63,552 | ||||||||||||||||
Fees and expenses*: | ||||||||||||||||||||
Investment advisory services | 32,234 | 29,438 | 83,065 | 48,247 | 23,782 | |||||||||||||||
Distribution services | 10,330 | 6,459 | 42,560 | 11,764 | 3,589 | |||||||||||||||
Insurance administrative services | 633 | 367 | 2,750 | 790 | 1,164 | |||||||||||||||
Transfer agent services | 1 | — | † | 3 | 1 | — | † | |||||||||||||
Administrative services | 624 | 423 | 2,573 | 981 | 339 | |||||||||||||||
Reports to shareholders | 218 | 136 | 900 | 342 | 127 | |||||||||||||||
Registration statement and prospectus | 47 | 88 | 197 | 66 | 29 | |||||||||||||||
Trustees’ compensation | 37 | 25 | 150 | 58 | 20 | |||||||||||||||
Auditing and legal | 76 | 65 | 80 | 102 | 72 | |||||||||||||||
Custodian | 964 | 643 | 502 | 1,867 | 1,253 | |||||||||||||||
Other | 137 | 228 | 252 | 202 | 342 | |||||||||||||||
Total fees and expenses before waivers | 45,301 | 37,872 | 133,032 | 64,420 | 30,717 | |||||||||||||||
Less waivers of fees and expenses: | ||||||||||||||||||||
Investment advisory services waivers | — | — | — | — | — | |||||||||||||||
Total waivers of fees and expenses | — | — | — | — | — | |||||||||||||||
Total fees and expenses after waivers | 45,301 | 37,872 | 133,032 | 64,420 | 30,717 | |||||||||||||||
Net investment income | 50,276 | 10,787 | 162,005 | 147,886 | 32,835 | |||||||||||||||
Net realized gain (loss) and unrealized (depreciation) appreciation: | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments | ||||||||||||||||||||
Unaffiliated issuers | 344,211 | 244,684 | 2,850,252 | 248,667 | 125,246 | |||||||||||||||
Affiliated issuers | — | 2,632 | — | — | — | |||||||||||||||
Futures contracts | — | — | — | — | — | |||||||||||||||
Forward currency contracts | (21 | ) | 94 | — | 1,317 | 649 | ||||||||||||||
Swap contracts | — | — | — | — | — | |||||||||||||||
Currency transactions | (648 | ) | (349 | ) | (1,358 | ) | (2,744 | ) | 308 | |||||||||||
343,542 | 247,061 | 2,848,894 | 247,240 | 126,203 | ||||||||||||||||
Net unrealized (depreciation) appreciation on: | ||||||||||||||||||||
Investments | ||||||||||||||||||||
Unaffiliated issuers | (919,949 | ) | (654,311 | ) | (2,970,971 | ) | (1,741,395 | ) | (647,695 | ) | ||||||||||
Affiliated issuers | — | (19,991 | ) | — | — | — | ||||||||||||||
Futures contracts | — | — | — | — | — | |||||||||||||||
Forward currency contracts | (15 | ) | 1,103 | — | (170 | ) | 626 | |||||||||||||
Swap contracts | — | — | — | — | — | |||||||||||||||
Currency translations | 288 | 41 | (119 | ) | (189 | ) | 36 | |||||||||||||
(919,676 | ) | (673,158 | ) | (2,971,090 | ) | (1,741,754 | ) | (647,033 | ) | |||||||||||
Net realized gain (loss) and unrealized (depreciation) appreciation | (576,134 | ) | (426,097 | ) | (122,196 | ) | (1,494,514 | ) | (520,830 | ) | ||||||||||
Net (decrease) increase in net assets resulting from operations | $ | (525,858 | ) | $ | (415,310 | ) | $ | 39,809 | $ | (1,346,628 | ) | $ | (487,995 | ) |
See end of statements of operations for footnotes.
See notes to financial statements
132 | American Funds Insurance Series |
(dollars in thousands)
Blue Chip Income and Growth Fund | Global Growth and Income Fund | Growth- Income Fund | International Growth and Income Fund | Capital Income Builder | Asset Allocation Fund | Global Balanced Fund | Bond Fund | Global Bond Fund | ||||||||||||||||||||||||||
$ | 225,462 | $ | 47,619 | $ | 561,216 | $ | 42,953 | $ | 18,229 | $ | 330,664 | $ | 5,923 | $ | — | $ | — | |||||||||||||||||
5,328 | 5,256 | 43,954 | 4,649 | 5,121 | 270,199 | 3,763 | 319,829 | 71,425 | ||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
230,790 | 52,875 | 605,170 | 47,602 | 23,350 | 600,863 | 9,686 | 319,829 | 71,425 | ||||||||||||||||||||||||||
35,312 | 12,167 | 81,100 | 8,812 | 3,229 | 68,775 | 2,520 | 37,656 | 12,085 | ||||||||||||||||||||||||||
9,118 | 3,848 | 36,914 | 840 | 885 | 22,505 | 680 | 10,220 | 2,901 | ||||||||||||||||||||||||||
794 | 233 | 2,300 | 183 | 884 | 9,354 | 167 | 835 | 97 | ||||||||||||||||||||||||||
1 | — | † | 4 | — | † | — | † | 3 | — | † | 1 | — | † | |||||||||||||||||||||
909 | 205 | 3,139 | 146 | 65 | 2,590 | 38 | 1,037 | 228 | ||||||||||||||||||||||||||
239 | 47 | 1,105 | 23 | 10 | 837 | 6 | 320 | 58 | ||||||||||||||||||||||||||
28 | 9 | 202 | 19 | 21 | 400 | 11 | 61 | 10 | ||||||||||||||||||||||||||
53 | 12 | 182 | 8 | 3 | 150 | 2 | 61 | 13 | ||||||||||||||||||||||||||
49 | 62 | 79 | 60 | 51 | 76 | 59 | 60 | 51 | ||||||||||||||||||||||||||
269 | 349 | 894 | 391 | 43 | 362 | 42 | 277 | 386 | ||||||||||||||||||||||||||
126 | 86 | 232 | 44 | 62 | 188 | 56 | 214 | 162 | ||||||||||||||||||||||||||
46,898 | 17,018 | 126,151 | 10,526 | 5,253 | 105,240 | 3,581 | 50,742 | 15,991 | ||||||||||||||||||||||||||
— | — | — | 1 | 23 | — | — | — | — | ||||||||||||||||||||||||||
— | — | — | 1 | 23 | — | — | — | — | ||||||||||||||||||||||||||
46,898 | 17,018 | 126,151 | 10,525 | 5,230 | 105,240 | 3,581 | 50,742 | 15,991 | ||||||||||||||||||||||||||
183,892 | 35,857 | 479,019 | 37,077 | 18,120 | 495,623 | 6,105 | 269,087 | 55,434 | ||||||||||||||||||||||||||
687,346 | 100,225 | 3,359,804 | 19,373 | (12,976 | ) | 1,252,346 | 4,175 | (159,911 | ) | 1,326 | ||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
— | — | — | — | 242 | 677 | 23 | (38,790 | ) | (3,980 | ) | ||||||||||||||||||||||||
— | (72 | ) | — | — | — | — | (541 | ) | 14,487 | (6,955 | ) | |||||||||||||||||||||||
— | — | — | — | — | (2,209 | ) | (5 | ) | 16,367 | (44 | ) | |||||||||||||||||||||||
38 | (281 | ) | (2,288 | ) | 273 | (169 | ) | 85 | (76 | ) | (565 | ) | (2,076 | ) | ||||||||||||||||||||
687,384 | 99,872 | 3,357,516 | 19,646 | (12,903 | ) | 1,250,899 | 3,576 | (168,412 | ) | (11,729 | ) | |||||||||||||||||||||||
(1,602,181 | ) | (325,794 | ) | (4,115,868 | ) | (222,546 | ) | (54,286 | ) | (2,657,935 | ) | (34,350 | ) | (164,246 | ) | (82,168 | ) | |||||||||||||||||
— | — | (116,886 | ) | — | — | (230,161 | ) | — | — | — | ||||||||||||||||||||||||
— | — | — | — | 429 | 5,914 | 180 | 23,764 | 4,630 | ||||||||||||||||||||||||||
— | 351 | — | — | — | — | 207 | (16,813 | ) | 6,258 | |||||||||||||||||||||||||
— | — | — | — | — | 2,691 | 5 | (7,301 | ) | 1,530 | |||||||||||||||||||||||||
(41 | ) | (87 | ) | (237 | ) | (23 | ) | (10 | ) | (72 | ) | 1 | (246 | ) | (258 | ) | ||||||||||||||||||
(1,602,222 | ) | (325,530 | ) | (4,232,991 | ) | (222,569 | ) | (53,867 | ) | (2,879,563 | ) | (33,957 | ) | (164,842 | ) | (70,008 | ) | |||||||||||||||||
(914,838 | ) | (225,658 | ) | (875,475 | ) | (202,923 | ) | (66,770 | ) | (1,628,664 | ) | (30,381 | ) | (333,254 | ) | (81,737 | ) | |||||||||||||||||
$ | (730,946 | ) | $ | (189,801 | ) | $ | (396,456 | ) | $ | (165,846 | ) | $ | (48,650 | ) | $ | (1,133,041 | ) | $ | (24,276 | ) | $ | (64,167 | ) | $ | (26,303 | ) |
American Funds Insurance Series | 133 |
Statements of operations
for the year ended December 31, 2018
High- Income Bond Fund | Mortgage Fund | Ultra-Short Bond Fund | U.S. Government/ AAA-Rated Securities Fund | Managed Risk Growth Fund | ||||||||||||||||
Investment income: | ||||||||||||||||||||
Income (net of non-U.S. taxes*): | ||||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | $ | 3,341 | ||||||||||
Interest | 93,699 | 7,928 | 5,763 | 71,451 | 216 | |||||||||||||||
93,699 | 7,928 | 5,763 | 71,451 | 3,557 | ||||||||||||||||
Fees and expenses*: | ||||||||||||||||||||
Investment advisory services | 6,485 | 1,361 | 947 | 10,160 | 486 | |||||||||||||||
Distribution services | 1,953 | 191 | 643 | 3,706 | 803 | |||||||||||||||
Insurance administrative services | 86 | 42 | 37 | 171 | 809 | |||||||||||||||
Transfer agent services | — | † | — | † | — | † | — | † | — | † | ||||||||||
Administrative services | 137 | 32 | 30 | 300 | — | |||||||||||||||
Accounting and administrative services | — | — | — | — | 43 | |||||||||||||||
Reports to shareholders | 33 | 5 | 6 | 65 | 5 | |||||||||||||||
Registration statement and prospectus | 9 | 2 | 3 | 15 | 7 | |||||||||||||||
Trustees’ compensation | 8 | 2 | 2 | 18 | 2 | |||||||||||||||
Auditing and legal | 49 | 44 | 42 | 46 | 23 | |||||||||||||||
Custodian | 32 | 35 | 1 | 56 | 9 | |||||||||||||||
Other | 95 | 66 | 16 | 129 | 23 | |||||||||||||||
Total fees and expenses before waivers | 8,887 | 1,780 | 1,727 | 14,666 | 2,210 | |||||||||||||||
Less waivers of fees and expenses: | ||||||||||||||||||||
Investment advisory services waivers | — | — | — | — | 162 | |||||||||||||||
Total waivers of fees and expenses | — | — | — | — | 162 | |||||||||||||||
Total fees and expenses after waivers | 8,887 | 1,780 | 1,727 | 14,666 | 2,048 | |||||||||||||||
Net investment income | 84,812 | 6,148 | 4,036 | 56,785 | 1,509 | |||||||||||||||
Net realized gain (loss) and unrealized (depreciation) appreciation: | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments | ||||||||||||||||||||
Unaffiliated issuers | (24,151 | ) | (3,538 | ) | — | (39,630 | ) | — | ||||||||||||
Affiliated issuers | — | — | — | — | 2,012 | |||||||||||||||
Futures contracts | 2 | (4,529 | ) | — | (45,333 | ) | (5,288 | ) | ||||||||||||
Swap contracts | (390 | ) | 449 | — | (1,752 | ) | — | |||||||||||||
Currency transactions | (5 | ) | — | — | — | 7 | ||||||||||||||
Capital gain distributions received from affiliated issuers | — | — | — | — | 24,732 | |||||||||||||||
(24,544 | ) | (7,618 | ) | — | (86,715 | ) | 21,463 | |||||||||||||
Net unrealized (depreciation) appreciation on: | ||||||||||||||||||||
Investments | ||||||||||||||||||||
Unaffiliated issuers | (87,512 | ) | (1,970 | ) | 33 | (13,160 | ) | — | ||||||||||||
Affiliated issuers | — | — | — | — | (32,846 | ) | ||||||||||||||
Futures contracts | — | 2,531 | — | 34,895 | 5,929 | |||||||||||||||
Swap contracts | 1,317 | 1,980 | — | 27,782 | — | |||||||||||||||
Currency translations | (1 | ) | — | — | — | — | ||||||||||||||
(86,196 | ) | 2,541 | 33 | 49,517 | (26,917 | ) | ||||||||||||||
Net realized gain (loss) and unrealized (depreciation) appreciation | (110,740 | ) | (5,077 | ) | 33 | (37,198 | ) | (5,454 | ) | |||||||||||
Net (decrease) increase in net assets resulting from operations | $ | (25,928 | ) | $ | 1,071 | $ | 4,069 | $ | 19,587 | $ | (3,945 | ) |
* | Additional information related to non-U.S. taxes, class-specific fees and expenses and affiliated income is included in the notes to financial statements. |
† | Amount less than one thousand. |
See notes to financial statements
134 | American Funds Insurance Series |
(dollars in thousands)
Managed Risk International Fund | Managed Risk Blue Chip Income and Growth Fund | Managed Risk Growth- Income Fund | Managed Risk Asset Allocation Fund | |||||||||||
$ | 3,202 | $ | 7,264 | $ | 4,163 | $ | 80,686 | |||||||
112 | 246 | 195 | 2,846 | |||||||||||
3,314 | 7,510 | 4,358 | 83,532 | |||||||||||
234 | 530 | 439 | 6,609 | |||||||||||
389 | 883 | 564 | 6,862 | |||||||||||
389 | 883 | 731 | 11,015 | |||||||||||
— | † | — | † | — | † | — | † | |||||||
— | — | — | — | |||||||||||
40 | 43 | 42 | 114 | |||||||||||
3 | 6 | 4 | 73 | |||||||||||
5 | 7 | 5 | 70 | |||||||||||
1 | 2 | 1 | 26 | |||||||||||
23 | 23 | 33 | 28 | |||||||||||
9 | 9 | 9 | 9 | |||||||||||
(18 | ) | 25 | (9 | ) | (1,637 | ) | ||||||||
1,075 | 2,411 | 1,819 | 23,169 | |||||||||||
78 | 177 | 146 | 2,203 | |||||||||||
78 | 177 | 146 | 2,203 | |||||||||||
997 | 2,234 | 1,673 | 20,966 | |||||||||||
2,317 | 5,276 | 2,685 | 62,566 | |||||||||||
— | — | — | — | |||||||||||
170 | 4,208 | (2,379 | ) | (39,223 | ) | |||||||||
(301 | ) | (7,698 | ) | (3,064 | ) | (49,333 | ) | |||||||
— | — | — | — | |||||||||||
(4 | ) | 7 | — | † | 62 | |||||||||
5,857 | 21,501 | 12,396 | 185,909 | |||||||||||
5,722 | 18,018 | 6,953 | 97,415 | |||||||||||
— | — | 1,011 | — | |||||||||||
(26,570 | ) | (55,129 | ) | (32,512 | ) | (392,470 | ) | |||||||
1,238 | 5,830 | 10,335 | 25,915 | |||||||||||
— | — | — | — | |||||||||||
— | — | — | — | |||||||||||
(25,332 | ) | (49,299 | ) | (21,166 | ) | (366,555 | ) | |||||||
(19,610 | ) | (31,281 | ) | (14,213 | ) | (269,140 | ) | |||||||
$ | (17,293 | ) | $ | (26,005 | ) | $ | (11,528 | ) | $ | (206,574 | ) |
American Funds Insurance Series | 135 |
Statements of changes in net assets
Global Growth Fund | Global Small Capitalization Fund | Growth Fund | ||||||||||||||||||||||
Year ended December 31 | Year ended December 31 | Year ended December 31 | ||||||||||||||||||||||
2018 | 2017 | 2018 | 2017 | 2018 | 2017 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 50,276 | $ | 44,912 | $ | 10,787 | $ | 15,312 | $ | 162,005 | $ | 136,774 | ||||||||||||
Net realized gain (loss) | 343,542 | 433,191 | 247,061 | 207,903 | 2,848,894 | 2,561,073 | ||||||||||||||||||
Net unrealized (depreciation) appreciation | (919,676 | ) | 1,102,516 | (673,158 | ) | 731,086 | (2,971,090 | ) | 3,159,797 | |||||||||||||||
Net (decrease) increase in net assets resulting from operations | (525,858 | ) | 1,580,619 | (415,310 | ) | 954,301 | 39,809 | 5,857,644 | ||||||||||||||||
Distributions paid to shareholders* | (474,814 | ) | (196,135 | ) | (2,648,515 | ) | ||||||||||||||||||
Dividends from net investment income | (42,742 | ) | (21,019 | ) | (136,164 | ) | ||||||||||||||||||
Distributions from net realized gain on investments | (174,096 | ) | — | (2,251,429 | ) | |||||||||||||||||||
Total dividends and distributions paid to shareholders | (216,838 | ) | (21,019 | ) | (2,387,593 | ) | ||||||||||||||||||
Net capital share transactions | 267,749 | (335,425 | ) | (49,079 | ) | (495,098 | ) | 1,071,109 | (34,343 | ) | ||||||||||||||
Total (decrease) increase in net assets | (732,923 | ) | 1,028,356 | (660,524 | ) | 438,184 | (1,537,597 | ) | 3,435,708 | |||||||||||||||
Net assets: | ||||||||||||||||||||||||
Beginning of year | 6,235,076 | 5,206,720 | 4,315,038 | 3,876,854 | 24,985,458 | 21,549,750 | ||||||||||||||||||
End of year | $ | 5,502,153 | $ | 6,235,076 | $ | 3,654,514 | $ | 4,315,038 | $ | 23,447,861 | $ | 24,985,458 | ||||||||||||
International Growth and Income Fund | Capital Income Builder | Asset Allocation Fund | ||||||||||||||||||||||
Year ended December 31 | Year ended December 31 | Year ended December 31 | ||||||||||||||||||||||
2018 | 2017 | 2018 | 2017 | 2018 | 2017 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 37,077 | $ | 35,259 | $ | 18,120 | $ | 14,607 | $ | 495,623 | $ | 419,292 | ||||||||||||
Net realized gain (loss) | 19,646 | 5,636 | (12,903 | ) | 8,964 | 1,250,899 | 1,243,464 | |||||||||||||||||
Net unrealized (depreciation) appreciation | (222,569 | ) | 242,768 | (53,867 | ) | 35,709 | (2,879,563 | ) | 1,880,231 | |||||||||||||||
Net (decrease) increase in net assets resulting from operations | (165,846 | ) | 283,663 | (48,650 | ) | 59,280 | (1,133,041 | ) | 3,542,987 | |||||||||||||||
Distributions paid to shareholders* | (35,982 | ) | (20,515 | ) | (1,587,775 | ) | ||||||||||||||||||
Dividends from net investment income | (32,772 | ) | (14,010 | ) | (405,124 | ) | ||||||||||||||||||
Distributions from net realized gain on investments | — | — | (1,069,604 | ) | ||||||||||||||||||||
Total dividends and distributions paid to shareholders | (32,772 | ) | (14,010 | ) | (1,474,728 | ) | ||||||||||||||||||
Net capital share transactions | 77,119 | 109,624 | 149,988 | 137,152 | (13,827 | ) | 2,543,934 | |||||||||||||||||
Total (decrease) increase in net assets | (124,709 | ) | 360,515 | 80,823 | 182,422 | (2,734,643 | ) | 4,612,193 | ||||||||||||||||
Net assets: | ||||||||||||||||||||||||
Beginning of year | 1,461,967 | 1,101,452 | 594,457 | 412,035 | 25,660,094 | 21,047,901 | ||||||||||||||||||
End of year | $ | 1,337,258 | $ | 1,461,967 | $ | 675,280 | $ | 594,457 | $ | 22,925,451 | $ | 25,660,094 |
See end of statements of changes in net assets for footnote.
See notes to financial statements
136 | American Funds Insurance Series |
(dollars in thousands)
International Fund | New World Fund | Blue Chip Income and Growth Fund | Global Growth and Income Fund | Growth-Income Fund | ||||||||||||||||||||||||||||||||||
Year ended December 31 | Year ended December 31 | Year ended December 31 | Year ended December 31 | Year ended December 31 | ||||||||||||||||||||||||||||||||||
2018 | 2017 | 2018 | 2017 | 2018 | 2017 | 2018 | 2017 | 2018 | 2017 | |||||||||||||||||||||||||||||
$ | 147,886 | $ | 105,868 | $ | 32,835 | $ | 32,918 | $ | 183,892 | $ | 195,270 | $ | 35,857 | $ | 44,369 | $ | 479,019 | $ | 445,666 | |||||||||||||||||||
247,240 | 438,684 | 126,203 | 236,990 | 687,384 | 686,720 | 99,872 | 151,286 | 3,357,516 | 2,102,617 | |||||||||||||||||||||||||||||
(1,741,754 | ) | 1,850,536 | (647,033 | ) | 567,588 | (1,602,222 | ) | 550,461 | (325,530 | ) | 281,638 | (4,232,991 | ) | 3,222,646 | ||||||||||||||||||||||||
(1,346,628 | ) | 2,395,088 | (487,995 | ) | 837,496 | (730,946 | ) | 1,432,451 | (189,801 | ) | 477,293 | (396,456 | ) | 5,770,929 | ||||||||||||||||||||||||
(646,470 | ) | (126,412 | ) | (883,615 | ) | (186,991 | ) | (2,606,909 | ) | |||||||||||||||||||||||||||||
(124,236 | ) | (34,131 | ) | (188,626 | ) | (42,795 | ) | (435,451 | ) | |||||||||||||||||||||||||||||
(100,924 | ) | — | (328,660 | ) | (33,692 | ) | (1,807,557 | ) | ||||||||||||||||||||||||||||||
(225,160 | ) | (34,131 | ) | (517,286 | ) | (76,487 | ) | (2,243,008 | ) | |||||||||||||||||||||||||||||
1,245,386 | 133,019 | 92,573 | (164,517 | ) | 265,984 | (178,554 | ) | 90,220 | (289,969 | ) | 2,175,138 | 1,071,251 | ||||||||||||||||||||||||||
(747,712 | ) | 2,302,947 | (521,834 | ) | 638,848 | (1,348,577 | ) | 736,611 | (286,572 | ) | 110,837 | (828,227 | ) | 4,599,172 | ||||||||||||||||||||||||
9,757,822 | 7,454,875 | 3,532,713 | 2,893,865 | 9,379,849 | 8,643,238 | 2,102,446 | 1,991,609 | 30,692,362 | 26,093,190 | |||||||||||||||||||||||||||||
$ | 9,010,110 | $ | 9,757,822 | $ | 3,010,879 | $ | 3,532,713 | $ | 8,031,272 | $ | 9,379,849 | $ | 1,815,874 | $ | 2,102,446 | $ | 29,864,135 | $ | 30,692,362 | |||||||||||||||||||
Global Balanced Fund | Bond Fund | Global Bond Fund | High-Income Bond Fund | Mortgage Fund | ||||||||||||||||||||||||||||||||||
Year ended December 31 | Year ended December 31 | Year ended December 31 | Year ended December 31 | Year ended December 31 | ||||||||||||||||||||||||||||||||||
2018 | 2017 | 2018 | 2017 | 2018 | 2017 | 2018 | 2017 | 2018 | 2017 | |||||||||||||||||||||||||||||
$ | 6,105 | $ | 4,343 | $ | 269,087 | $ | 226,928 | $ | 55,434 | $ | 53,646 | $ | 84,812 | $ | 96,458 | $ | 6,148 | $ | 5,003 | |||||||||||||||||||
3,576 | 9,276 | (168,412 | ) | (10,510 | ) | (11,729 | ) | (26,825 | ) | (24,544 | ) | 24,442 | (7,618 | ) | 408 | |||||||||||||||||||||||
(33,957 | ) | 38,239 | (164,842 | ) | 193,041 | (70,008 | ) | 132,187 | (86,196 | ) | (3,823 | ) | 2,541 | (431 | ) | |||||||||||||||||||||||
(24,276 | ) | 51,858 | (64,167 | ) | 409,459 | (26,303 | ) | 159,008 | (25,928 | ) | 117,077 | 1,071 | 4,980 | |||||||||||||||||||||||||
(9,700 | ) | (267,421 | ) | (56,130 | ) | (79,933 | ) | (6,505 | ) | |||||||||||||||||||||||||||||
(3,252 | ) | (220,546 | ) | (11,164 | ) | (98,414 | ) | (5,571 | ) | |||||||||||||||||||||||||||||
(10,070 | ) | (157,395 | ) | (14,449 | ) | — | (2,214 | ) | ||||||||||||||||||||||||||||||
(13,322 | ) | (377,941 | ) | (25,613 | ) | (98,414 | ) | (7,785 | ) | |||||||||||||||||||||||||||||
46,266 | 63,483 | (511,419 | ) | (223,341 | ) | (297,128 | ) | 85,999 | (144,120 | ) | (346,424 | ) | (43,561 | ) | 2,570 | |||||||||||||||||||||||
12,290 | 102,019 | (843,007 | ) | (191,823 | ) | (379,561 | ) | 219,394 | (249,981 | ) | (327,761 | ) | (48,995 | ) | (235 | ) | ||||||||||||||||||||||
353,899 | 251,880 | 10,697,694 | 10,889,517 | 2,467,578 | 2,248,184 | 1,453,880 | 1,781,641 | 340,170 | 340,405 | |||||||||||||||||||||||||||||
$ | 366,189 | $ | 353,899 | $ | 9,854,687 | $ | 10,697,694 | $ | 2,088,017 | $ | 2,467,578 | $ | 1,203,899 | $ | 1,453,880 | $ | 291,175 | $ | 340,170 |
American Funds Insurance Series | 137 |
Statements of changes in net assets
Ultra-Short Bond Fund | U.S. Government/ AAA-Rated Securities Fund | Managed Risk Growth Fund | ||||||||||||||||||||||
Year ended December 31 | Year ended December 31 | Year ended December 31 | ||||||||||||||||||||||
2018 | 2017 | 2018 | 2017 | 2018 | 2017 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 4,036 | $ | 1,388 | $ | 56,785 | $ | 46,503 | $ | 1,509 | $ | 859 | ||||||||||||
Net realized gain (loss) | — | 9 | (86,715 | ) | 11,669 | 21,463 | 19,268 | |||||||||||||||||
Net unrealized (depreciation) appreciation | 33 | (64 | ) | 49,517 | (6,874 | ) | (26,917 | ) | 35,360 | |||||||||||||||
Net (decrease) increase in net assets resulting from operations | 4,069 | 1,333 | 19,587 | 51,298 | (3,945 | ) | 55,487 | |||||||||||||||||
Distributions paid to shareholders* | (3,517 | ) | (55,819 | ) | (21,941 | ) | ||||||||||||||||||
Dividends from net investment income | (906 | ) | (43,993 | ) | (734 | ) | ||||||||||||||||||
Distributions from net realized gain on investments | — | — | (4,142 | ) | ||||||||||||||||||||
Total dividends and distributions paid to shareholders | (906 | ) | (43,993 | ) | (4,876 | ) | ||||||||||||||||||
Net capital share transactions | 1,047 | (46,638 | ) | (197,780 | ) | 58,286 | 81,200 | 36,220 | ||||||||||||||||
Total (decrease) increase in net assets | 1,599 | (46,211 | ) | (234,012 | ) | 65,591 | 55,314 | 86,831 | ||||||||||||||||
Net assets: | ||||||||||||||||||||||||
Beginning of year | 304,805 | 351,016 | 3,103,315 | 3,037,724 | 287,959 | 201,128 | ||||||||||||||||||
End of year | $ | 306,404 | $ | 304,805 | $ | 2,869,303 | $ | 3,103,315 | $ | 343,273 | $ | 287,959 |
* | Current year amounts reflect current presentation under new accounting standards. |
See notes to financial statements
138 | American Funds Insurance Series |
(dollars in thousands)
Managed Risk International Fund | Managed Risk Blue Chip Income and Growth Fund | Managed Risk Growth-Income Fund | Managed Risk Asset Allocation Fund | |||||||||||||||||||||||||||
Year ended December 31 | Year ended December 31 | Year ended December 31 | Year ended December 31 | |||||||||||||||||||||||||||
2018 | 2017 | 2018 | 2017 | 2018 | 2017 | 2018 | 2017 | |||||||||||||||||||||||
$ | 2,317 | $ | 1,283 | $ | 5,276 | $ | 5,049 | $ | 2,685 | $ | 2,028 | $ | 62,566 | $ | 50,782 | |||||||||||||||
5,722 | 248 | 18,018 | 12,835 | 6,953 | 8,283 | 97,415 | 177,329 | |||||||||||||||||||||||
(25,332 | ) | 28,741 | (49,299 | ) | 30,876 | (21,166 | ) | 24,060 | (366,555 | ) | 329,033 | |||||||||||||||||||
(17,293 | ) | 30,272 | (26,005 | ) | 48,760 | (11,528 | ) | 34,371 | (206,574 | ) | 557,144 | |||||||||||||||||||
(3,428 | ) | (23,525 | ) | (12,352 | ) | (242,968 | ) | |||||||||||||||||||||||
(900 | ) | (5,161 | ) | (1,867 | ) | (31,722 | ) | |||||||||||||||||||||||
(1,403 | ) | (5,568 | ) | (7,726 | ) | (38,742 | ) | |||||||||||||||||||||||
(2,303 | ) | (10,729 | ) | (9,593 | ) | (70,464 | ) | |||||||||||||||||||||||
23,257 | 22,849 | 19,295 | 37,657 | 1,707,014 | 23,434 | (1,462,371 | ) | 408,750 | ||||||||||||||||||||||
2,536 | 50,818 | (30,235 | ) | 75,688 | 1,683,134 | 48,212 | (1,911,913 | ) | 895,430 | |||||||||||||||||||||
148,423 | 97,605 | 366,904 | 291,216 | 208,968 | 160,756 | 4,454,410 | 3,558,980 | |||||||||||||||||||||||
$ | 150,959 | $ | 148,423 | $ | 336,669 | $ | 366,904 | $ | 1,892,102 | $ | 208,968 | $ | 2,542,497 | $ | 4,454,410 |
American Funds Insurance Series | 139 |
Notes to financial statements
1. Organization
American Funds Insurance Series (the “series”) is registered under the Investment Company Act of 1940 as an open-end, diversified management investment company with 28 different funds (the “funds”). Twenty-three funds in the series are covered in this report. The other five funds in the series, American Funds Insurance Series - Portfolio Series, are covered in a separate report. The assets of each fund are segregated, with each fund accounted for separately. Capital Research and Management Company (“CRMC”) is the series’ investment adviser. Milliman Financial Risk Management LLC (“Milliman FRM”) is the subadviser for the risk management strategy for eight of the funds (the “managed risk funds”), five of which are covered in this report.
The managed risk funds covered in this report are Managed Risk Growth Fund, Managed Risk International Fund, Managed Risk Blue Chip Income and Growth Fund, Managed Risk Growth-Income Fund and Managed Risk Asset Allocation Fund. The managed risk funds invest in other funds within the series (the “underlying funds”) and employ Milliman FRM to implement the risk management strategy, which consists of using hedging instruments — primarily short positions on exchange-traded futures contracts — to attempt to stabilize the volatility of the funds around target volatility levels and reduce the downside exposure of the funds during periods of significant market declines.
In 2009, shareholders approved the reorganization of the series from a Massachusetts business trust to a Delaware statutory trust. The series reserved the right to delay implementing the reorganization and has elected to do so.
The investment objectives for each fund covered in this report are as follows:
Global Growth Fund— Seeks to provide long-term growth of capital.
Global Small Capitalization Fund— Seeks to provide long-term growth of capital.
Growth Fund— Seeks to provide growth of capital.
International Fund— Seeks to provide long-term growth of capital.
New World Fund— Seeks long-term capital appreciation.
Blue Chip Income and Growth Fund— Seeks to produce income exceeding the average yield on U.S. stocks generally and to provide an opportunity for growth of principal consistent with sound common stock investing.
Global Growth and Income Fund— Seeks to provide long-term growth of capital while providing current income.
Growth-Income Fund— Seeks to achieve long-term growth of capital and income.
International Growth and Income Fund— Seeks to provide long-term growth of capital while providing current income.
Capital Income Builder— Seeks to provide a level of current income that exceeds the average yield on U.S. stocks generally and to provide a growing stream of income over the years. Secondarily, seeks to provide growth of capital.
Asset Allocation Fund— Seeks to provide high total return consistent with preservation of capital over the long term.
Global Balanced Fund— Seeks the balanced accomplishment of three objectives: long-term growth of capital, conservation of principal and current income.
Bond Fund— Seeks to provide as high a level of current income as is consistent with the preservation of capital.
Global Bond Fund— Seeks to provide, over the long term, a high level of total return consistent with prudent investment management.
High-Income Bond Fund— Seeks to provide a high level of current income and, secondarily, capital appreciation.
Mortgage Fund— Seeks to provide current income and preservation of capital.
140 | American Funds Insurance Series |
Ultra-Short Bond Fund— Seeks to provide current income, consistent with the maturity and quality standards applicable to the fund, and preservation of capital and liquidity.
U.S. Government/AAA-Rated Securities Fund— Seeks to provide a high level of current income consistent with preservation of capital.
Managed Risk Growth Fund— Seeks to provide growth of capital while seeking to manage volatility and provide downside protection.
Managed Risk International Fund— Seeks to provide long-term growth of capital while seeking to manage volatility and provide downside protection.
Managed Risk Blue Chip Income and Growth Fund— Seeks to produce income exceeding the average yield on U.S. stocks generally and to provide an opportunity for growth of principal consistent with sound common stock investing, in each case while seeking to manage volatility and provide downside protection.
Managed Risk Growth-Income Fund— Seeks to achieve long-term growth of capital and income while seeking to manage volatility and provide downside protection.
Managed Risk Asset Allocation Fund— Seeks to provide high total return consistent with preservation of capital over the long term while seeking to manage volatility and provide downside protection.
Each fund in the series, except the managed risk funds, offers either four or five share classes (Classes 1, 1A, 2, 3 or 4); the managed risk funds offer two share classes (Classes P1 and P2). Holders of all share classes of each fund have equal pro rata rights to assets, dividends and liquidation proceeds of each fund held. Each share class of each fund has identical voting rights, except for the exclusive right to vote on matters affecting only its class. Share classes have different fees and expenses (“class-specific fees and expenses”), primarily due to different arrangements for certain distribution expenses. Differences in class-specific fees and expenses will result in differences in net investment income and, therefore, the payment of different per-share dividends by each class of each fund.
2. Significant accounting policies
Each fund is an investment company that applies the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board. Each fund’s financial statements have been prepared to comply with U.S. generally accepted accounting principles (“U.S. GAAP”). These principles require the series’ investment adviser to make estimates and assumptions that affect reported amounts and disclosures. Actual results could differ from those estimates. Subsequent events, if any, have been evaluated through the date of issuance in the preparation of the financial statements. The funds follow the significant accounting policies described in this section, as well as the valuation policies described in the next section on valuation.
Security transactions and related investment income— Security transactions are recorded by the funds as of the date the trades are executed with brokers. Realized gains and losses from security transactions are determined based on the specific identified cost of the securities. In the event a security is purchased with a delayed payment date, the funds will segregate liquid assets sufficient to meet their payment obligations. Dividend income is recognized on the ex-dividend date and interest income is recognized on an accrual basis. Market discounts, premiums and original issue discounts on fixed-income securities are amortized daily over the expected life of the security.
Fees and expenses— The fees and expenses of the underlying funds held by the managed risk funds are not included in the fees and expenses reported for each of the managed risk funds; however, they are indirectly reflected in the valuation of each of the underlying funds. These fees are included in the net effective expense ratios that are provided as additional information in the financial highlights tables.
Class allocations— Income, fees and expenses (other than class-specific fees and expenses) and realized and unrealized gains and losses are allocated daily among the various share classes of each fund based on their relative net assets. Class-specific fees and expenses, such as distribution expenses, are accrued daily and charged directly to the respective share class of each fund.
Distributions paid to shareholders— Income dividends and capital gain distributions are recorded on each fund’s ex-dividend date.
American Funds Insurance Series | 141 |
Currency translation— Assets and liabilities, including investment securities, denominated in currencies other than U.S. dollars are translated into U.S. dollars at the exchange rates supplied by one or more pricing vendors on the valuation date. Purchases and sales of investment securities and income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions. The effects of changes in exchange rates on investment securities are included with the net realized gain or loss and net unrealized appreciation or depreciation on investments in the funds’ statements of operations. The realized gain or loss and unrealized appreciation or depreciation resulting from all other transactions denominated in currencies other than U.S. dollars are disclosed separately.
3. Valuation
CRMC, the series’ investment adviser, values the funds’ investments at fair value as defined by U.S. GAAP. The net asset value of each share class of each fund is generally determined as of approximately 4:00 p.m. New York time each day the New York Stock Exchange is open.
Methods and inputs— The series’ investment adviser uses the following methods and inputs to establish the fair value of each fund’s assets and liabilities. Use of particular methods and inputs may vary over time based on availability and relevance as market and economic conditions evolve.
Equity securities are generally valued at the official closing price of, or the last reported sale price on, the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the last available bid price. Prices for each security are taken from the principal exchange or market on which the security trades. The value of an underlying fund is based on its reported net asset value.
Fixed-income securities, including short-term securities, are generally valued at prices obtained from one or more pricing vendors. Vendors value such securities based on one or more of the inputs described in the following table. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed-income securities in which the funds are authorized to invest. However, these classifications are not exclusive and any of the inputs may be used to value any other class of fixed-income security.
Fixed-income class | Examples of standard inputs |
All | Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”) |
Corporate bonds & notes; convertible securities | Standard inputs and underlying equity of the issuer |
Bonds & notes of governments & government agencies | Standard inputs and interest rate volatilities |
Mortgage-backed; asset-backed obligations | Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information |
Municipal securities | Standard inputs and, for certain distressed securities, cash flows or liquidation values using a net present value calculation based on inputs that include, but are not limited to, financial statements and debt contracts |
When the series’ investment adviser deems it appropriate to do so (such as when vendor prices are unavailable or not deemed to be representative), fixed-income securities will be valued in good faith at the mean quoted bid and ask prices that are reasonably and timely available (or bid prices, if ask prices are not available) or at prices for securities of comparable maturity, quality and type.
142 | American Funds Insurance Series |
Securities with both fixed-income and equity characteristics, or equity securities traded principally among fixed-income dealers, are generally valued in the manner described for either equity or fixed-income securities, depending on which method is deemed most appropriate by the series’ investment adviser. The Government Cash Management Fund held by the managed risk funds is managed to maintain a $1.00 net asset value per share. The net asset value of each share class of each managed risk fund is calculated based on the reported net asset values of the underlying funds in which each fund invests.
Exchange-traded options and futures are generally valued at the official closing price for options and official settlement price for futures of the exchange or market on which such instruments are traded, as of the close of business on the day such instruments are being valued. Forward currency contracts are valued at the mean of representative quoted bid and ask prices, generally based on prices supplied by one or more pricing vendors. Interest rate swaps and credit default swaps are generally valued by pricing vendors based on market inputs that include the index and term of index, reset frequency, payer/receiver, currency and pay frequency.
Securities and other assets for which representative market quotations are not readily available or are considered unreliable by the series’ investment adviser are fair valued as determined in good faith under fair value guidelines adopted by authority of the series’ board of trustees as further described. The investment adviser follows fair valuation guidelines, consistent with U.S. Securities and Exchange Commission rules and guidance, to consider relevant principles and factors when making fair value determinations. The investment adviser considers relevant indications of value that are reasonably and timely available to it in determining the fair value to be assigned to a particular security, such as the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; significant events occurring after the close of trading in the security; and changes in overall market conditions. In addition, the closing prices of equity securities and futures that trade in markets outside U.S. time zones may be adjusted to reflect significant events that occur after the close of local trading but before the net asset value of each share class of each fund is determined. Fair valuations and valuations of investments and futures that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.
Processes and structure— The series’ board of trustees has delegated authority to the series’ investment adviser to make fair value determinations, subject to board oversight. The investment adviser has established a Joint Fair Valuation Committee (the “Fair Valuation Committee”) to administer, implement and oversee the fair valuation process, and to make fair value decisions. The Fair Valuation Committee regularly reviews its own fair value decisions, as well as decisions made under its standing instructions to the investment adviser’s valuation teams. The Fair Valuation Committee reviews changes in fair value measurements from period to period and may, as deemed appropriate, update the fair valuation guidelines to better reflect the results of back testing and address new or evolving issues. The Fair Valuation Committee reports any changes to the fair valuation guidelines to the board of trustees. The series’ board and audit committee also regularly review reports that describe fair value determinations and methods.
The series’ investment adviser has also established a Fixed-Income Pricing Review Group to administer and oversee the fixed-income valuation process, including the use of fixed-income pricing vendors. This group regularly reviews pricing vendor information and market data. Pricing decisions, processes and controls over security valuation are also subject to additional internal reviews, including an annual control self-evaluation program facilitated by the investment adviser’s compliance group.
Classifications— The series’ investment adviser classifies the funds’ assets and liabilities into three levels based on the inputs used to value the assets or liabilities. Level 1 values are based on quoted prices in active markets for identical securities. Level 2 values are based on significant observable market inputs, such as quoted prices for similar securities and quoted prices in inactive markets. Certain securities trading outside the U.S. may transfer between Level 1 and Level 2 due to valuation adjustments resulting from significant market movements following the close of local trading. Level 3 values are based on significant unobservable inputs that reflect the investment adviser’s determination of assumptions that market participants might reasonably use in valuing the securities.
American Funds Insurance Series | 143 |
The valuation levels are not necessarily an indication of the risk or liquidity associated with the underlying investment. For example, U.S. government securities are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market. The following tables present the funds’ valuation levels as of December 31, 2018 (dollars in thousands):
Global Growth Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Information technology | $ | 943,486 | $ | 395,499 | $ | — | $ | 1,338,985 | ||||||||
Consumer discretionary | 902,718 | 87,222 | — | 989,940 | ||||||||||||
Health care | 582,877 | 105,680 | — | 688,557 | ||||||||||||
Communication services | 437,926 | 143,665 | — | 581,591 | ||||||||||||
Financials | 518,235 | 53,532 | — | 571,767 | ||||||||||||
Consumer staples | 294,556 | 86,992 | — | 381,548 | ||||||||||||
Industrials | 209,141 | 129,438 | — | 338,579 | ||||||||||||
Materials | 114,502 | 40,841 | — | 155,343 | ||||||||||||
Energy | 146,233 | — | — | 146,233 | ||||||||||||
Short-term securities | — | 294,373 | — | 294,373 | ||||||||||||
Total | $ | 4,149,674 | $ | 1,337,242 | $ | — | $ | 5,486,916 | ||||||||
Global Small Capitalization Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Health care | $ | 727,659 | $ | 48,979 | $ | — | $ | 776,638 | ||||||||
Information technology | 452,675 | 117,663 | — | 570,338 | ||||||||||||
Industrials | 267,672 | 261,949 | — | 529,621 | ||||||||||||
Consumer discretionary | 404,803 | 84,793 | — | 489,596 | ||||||||||||
Financials | 277,316 | 39,228 | 87 | 316,631 | ||||||||||||
Materials | 113,426 | 29,243 | — | 142,669 | ||||||||||||
Consumer staples | 64,850 | 56,057 | — | 120,907 | ||||||||||||
Communication services | 71,742 | 20,881 | — | 92,623 | ||||||||||||
Energy | 45,304 | 15,906 | 16,560 | 77,770 | ||||||||||||
Real estate | 35,861 | 37,865 | — | 73,726 | ||||||||||||
Utilities | 60,785 | — | — | 60,785 | ||||||||||||
Bonds, notes & other debt instruments | — | 4,989 | — | 4,989 | ||||||||||||
Short-term securities | 54,436 | 393,166 | — | 447,602 | ||||||||||||
Total | $ | 2,576,529 | $ | 1,110,719 | $ | 16,647 | $ | 3,703,895 | ||||||||
Growth Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Information technology | $ | 4,465,985 | $ | 524,865 | $ | — | $ | 4,990,850 | ||||||||
Health care | 3,895,983 | — | 37,000 | 3,932,983 | ||||||||||||
Communication services | 3,172,527 | — | — | 3,172,527 | ||||||||||||
Consumer discretionary | 3,047,437 | 25,309 | — | 3,072,746 | ||||||||||||
Financials | 2,280,002 | — | — | 2,280,002 | ||||||||||||
Industrials | 1,068,310 | 136,234 | — | 1,204,544 | ||||||||||||
Energy | 1,181,935 | — | — | 1,181,935 | ||||||||||||
Materials | 545,792 | 83,260 | — | 629,052 | ||||||||||||
Consumer staples | 519,278 | — | — | 519,278 | ||||||||||||
Real estate | 371,749 | — | — | 371,749 | ||||||||||||
Utilities | 94,291 | — | — | 94,291 | ||||||||||||
Convertible stocks | — | — | 13,104 | 13,104 | ||||||||||||
Short-term securities | — | 1,944,415 | — | 1,944,415 | ||||||||||||
Total | $ | 20,643,289 | $ | 2,714,083 | $ | 50,104 | $ | 23,407,476 |
144 | American Funds Insurance Series |
International Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Financials | $ | 1,182,886 | $ | 188,734 | $ | — | $ | 1,371,620 | ||||||||
Industrials | 801,285 | 454,063 | — | 1,255,348 | ||||||||||||
Health care | 460,295 | 639,881 | — | 1,100,176 | ||||||||||||
Consumer discretionary | 702,613 | 220,555 | — | 923,168 | ||||||||||||
Consumer staples | 375,070 | 226,350 | — | 601,420 | ||||||||||||
Communication services | 369,938 | 217,235 | — | 587,173 | ||||||||||||
Information technology | 184,960 | 324,234 | — | 509,194 | ||||||||||||
Materials | 343,320 | 165,561 | — | 508,881 | ||||||||||||
Utilities | 376,043 | 102,071 | — | 478,114 | ||||||||||||
Energy | 395,858 | 16,445 | — | 412,303 | ||||||||||||
Real estate | 136,191 | 45,046 | — | 181,237 | ||||||||||||
Rights & warrants | — | 13,046 | — | 13,046 | ||||||||||||
Bonds, notes & other debt instruments | — | 77,908 | — | 77,908 | ||||||||||||
Short-term securities | — | 976,853 | — | 976,853 | ||||||||||||
Total | $ | 5,328,459 | $ | 3,667,982 | $ | — | $ | 8,996,441 | ||||||||
Other investments* | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on open forward currency contracts | $ | — | $ | (525 | ) | $ | — | $ | (525 | ) |
* | Forward currency contracts are not included in the investment portfolio. |
New World Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Information technology | $ | 326,284 | $ | 178,731 | $ | — | $ | 505,015 | ||||||||
Financials | 305,640 | 23,740 | — | 329,380 | ||||||||||||
Energy | 292,889 | — | — | 292,889 | ||||||||||||
Consumer discretionary | 218,235 | 64,658 | — | 282,893 | ||||||||||||
Health care | 175,401 | 75,887 | — | 251,288 | ||||||||||||
Consumer staples | 119,696 | 70,170 | — | 189,866 | ||||||||||||
Communication services | 167,031 | 5,804 | — | 172,835 | ||||||||||||
Materials | 154,547 | 13,916 | — | 168,463 | ||||||||||||
Industrials | 94,592 | 40,700 | — | 135,292 | ||||||||||||
Real estate | 31,058 | 9,324 | 26 | 40,408 | ||||||||||||
Utilities | 32,453 | — | — | 32,453 | ||||||||||||
Rights & warrants | — | 3,502 | — | 3,502 | ||||||||||||
Bonds, notes & other debt instruments | — | 92,867 | — | 92,867 | ||||||||||||
Short-term securities | — | 502,317 | — | 502,317 | ||||||||||||
Total | $ | 1,917,826 | $ | 1,081,616 | $ | 26 | $ | 2,999,468 | ||||||||
Other investments* | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on open forward currency contracts | $ | — | $ | 356 | $ | — | $ | 356 | ||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on open forward currency contracts | — | (53 | ) | — | (53 | ) | ||||||||||
Total | $ | — | $ | 303 | $ | — | $ | 303 |
* | Forward currency contracts are not included in the investment portfolio. |
American Funds Insurance Series | 145 |
Blue Chip Income and Growth Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Health care | $ | 2,027,452 | $ | — | $ | — | $ | 2,027,452 | ||||||||
Information technology | 1,080,516 | — | — | 1,080,516 | ||||||||||||
Consumer staples | 1,017,733 | — | — | 1,017,733 | ||||||||||||
Energy | 758,203 | — | — | 758,203 | ||||||||||||
Communication services | 731,501 | — | — | 731,501 | ||||||||||||
Industrials | 687,517 | — | — | 687,517 | ||||||||||||
Consumer discretionary | 650,987 | — | — | 650,987 | ||||||||||||
Financials | 392,403 | — | — | 392,403 | ||||||||||||
Materials | 134,904 | — | — | 134,904 | ||||||||||||
Other | 143,876 | — | — | 143,876 | ||||||||||||
Rights & warrants | 3,520 | — | — | 3,520 | ||||||||||||
Short-term securities | — | 389,421 | — | 389,421 | ||||||||||||
Total | $ | 7,628,612 | $ | 389,421 | $ | — | $ | 8,018,033 | ||||||||
Global Growth and Income Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Information technology | $ | 182,049 | $ | 100,080 | $ | — | $ | 282,129 | ||||||||
Health care | 185,566 | 15,542 | — | 201,108 | ||||||||||||
Financials | 175,070 | 11,049 | — | 186,119 | ||||||||||||
Communication services | 83,225 | 100,714 | — | 183,939 | ||||||||||||
Industrials | 162,543 | 16,976 | — | 179,519 | ||||||||||||
Consumer discretionary | 138,158 | 35,185 | — | 173,343 | ||||||||||||
Materials | 104,115 | 14,434 | — | 118,549 | ||||||||||||
Energy | 109,679 | — | — | 109,679 | ||||||||||||
Consumer staples | 61,667 | 39,668 | — | 101,335 | ||||||||||||
Real estate | 54,128 | 12,956 | — | 67,084 | ||||||||||||
Utilities | 13,861 | 48,868 | — | 62,729 | ||||||||||||
Bonds, notes & other debt instruments | — | 39,384 | — | 39,384 | ||||||||||||
Short-term securities | — | 107,014 | — | 107,014 | ||||||||||||
Total | $ | 1,270,061 | $ | 541,870 | $ | — | $ | 1,811,931 | ||||||||
Other investments* | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on open forward currency contracts | $ | — | $ | 351 | $ | — | $ | 351 |
* | Forward currency contracts are not included in the investment portfolio. |
146 | American Funds Insurance Series |
Growth-Income Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Health care | $ | 4,572,074 | $ | 180,915 | $ | — | $ | 4,752,989 | ||||||||
Information technology | 4,016,946 | 101,331 | — | 4,118,277 | ||||||||||||
Financials | 3,123,284 | 164,961 | — | 3,288,245 | ||||||||||||
Communication services | 3,068,997 | — | — | 3,068,997 | ||||||||||||
Industrials | 2,744,773 | — | — | 2,744,773 | ||||||||||||
Consumer staples | 2,202,506 | 457,337 | — | 2,659,843 | ||||||||||||
Energy | 2,041,753 | — | — | 2,041,753 | ||||||||||||
Consumer discretionary | 1,778,690 | 116,360 | — | 1,895,050 | ||||||||||||
Materials | 1,394,285 | 6,362 | — | 1,400,647 | ||||||||||||
Real estate | 535,725 | — | — | 535,725 | ||||||||||||
Utilities | 447,523 | 55,293 | — | 502,816 | ||||||||||||
Mutual funds | 45,729 | — | — | 45,729 | ||||||||||||
Convertible stocks | 38,828 | — | — | 38,828 | ||||||||||||
Convertible bonds | — | 27,617 | — | 27,617 | ||||||||||||
Short-term securities | — | 2,719,713 | — | 2,719,713 | ||||||||||||
Total | $ | 26,011,113 | $ | 3,829,889 | $ | — | $ | 29,841,002 | ||||||||
International Growth and Income Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Financials | $ | 141,167 | $ | 108,491 | $ | — | $ | 249,658 | ||||||||
Health care | 77,210 | 101,164 | — | 178,374 | ||||||||||||
Industrials | 56,914 | 56,589 | — | 113,503 | ||||||||||||
Energy | 94,813 | — | — | 94,813 | ||||||||||||
Materials | 81,185 | 13,223 | — | 94,408 | ||||||||||||
Real estate | 81,116 | 13,077 | — | 94,193 | ||||||||||||
Consumer staples | 87,620 | 6,560 | — | 94,180 | ||||||||||||
Communication services | 49,598 | 34,855 | — | 84,453 | ||||||||||||
Utilities | 45,795 | 35,476 | — | 81,271 | ||||||||||||
Consumer discretionary | 54,630 | 5,371 | — | 60,001 | ||||||||||||
Information technology | 11,493 | 36,087 | — | 47,580 | ||||||||||||
Bonds, notes & other debt instruments | — | 15,271 | — | 15,271 | ||||||||||||
Short-term securities | — | 125,741 | — | 125,741 | ||||||||||||
Total | $ | 781,541 | $ | 551,905 | $ | — | $ | 1,333,446 |
American Funds Insurance Series | 147 |
Capital Income Builder | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Financials | $ | 43,071 | $ | 25,510 | $ | — | $ | 68,581 | ||||||||
Consumer staples | 52,008 | 10,413 | — | 62,421 | ||||||||||||
Information technology | 44,754 | 15,593 | — | 60,347 | ||||||||||||
Real estate | 51,257 | 1,451 | — | 52,708 | ||||||||||||
Energy | 44,723 | — | — | 44,723 | ||||||||||||
Communication services | 32,340 | 8,343 | — | 40,683 | ||||||||||||
Health care | 36,507 | 1,889 | — | 38,396 | ||||||||||||
Utilities | 29,843 | 7,422 | — | 37,265 | ||||||||||||
Consumer discretionary | 23,778 | — | — | 23,778 | ||||||||||||
Industrials | 19,005 | 2,067 | — | 21,072 | ||||||||||||
Materials | 5,407 | 4,139 | — | 9,546 | ||||||||||||
Convertible stocks | 6,127 | — | — | 6,127 | ||||||||||||
Bonds, notes & other debt instruments: | ||||||||||||||||
U.S. Treasury bonds & notes | — | 93,463 | — | 93,463 | ||||||||||||
Mortgage-backed obligations | — | 46,958 | — | 46,958 | ||||||||||||
Corporate bonds & notes | — | 26,817 | — | 26,817 | ||||||||||||
Asset-backed obligations | — | 967 | — | 967 | ||||||||||||
Short-term securities | — | 45,896 | — | 45,896 | ||||||||||||
Total | $ | 388,820 | $ | 290,928 | $ | — | $ | 679,748 | ||||||||
Other investments* | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on futures contracts | $ | 2,467 | $ | — | $ | — | $ | 2,467 | ||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on futures contracts | (2,038 | ) | — | — | (2,038 | ) | ||||||||||
Total | $ | 429 | $ | — | $ | — | $ | 429 |
* | Futures contracts are not included in the investment portfolio. |
148 | American Funds Insurance Series |
Asset Allocation Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Information technology | $ | 3,092,137 | $ | 35,434 | $ | 59 | $ | 3,127,630 | ||||||||
Health care | 2,518,947 | 26,969 | 736 | 2,546,652 | ||||||||||||
Financials | 2,175,115 | — | — | 2,175,115 | ||||||||||||
Industrials | 1,002,104 | 4,784 | — | 1,006,888 | ||||||||||||
Energy | 953,558 | 2,780 | — | 956,338 | ||||||||||||
Consumer discretionary | 861,048 | 42,365 | — | 903,413 | ||||||||||||
Communication services | 847,896 | 115 | — | 848,011 | ||||||||||||
Consumer staples | 545,053 | 263,173 | — | 808,226 | ||||||||||||
Materials | 739,608 | — | — | 739,608 | ||||||||||||
Utilities | 215,899 | — | — | 215,899 | ||||||||||||
Real estate | 184,779 | — | — | 184,779 | ||||||||||||
Rights & warrants | — | — | 242 | 242 | ||||||||||||
Convertible stocks | — | — | 6,074 | 6,074 | ||||||||||||
Convertible bonds | — | 1,272 | — | 1,272 | ||||||||||||
Bonds, notes & other debt instruments: | ||||||||||||||||
U.S. Treasury bonds & notes | — | 2,820,469 | — | 2,820,469 | ||||||||||||
Corporate bonds & notes | — | 2,275,813 | 10,755 | 2,286,568 | ||||||||||||
Mortgage-backed obligations | — | 1,318,843 | — | 1,318,843 | ||||||||||||
Federal agency bonds & notes | — | 15,031 | — | 15,031 | ||||||||||||
Other | — | 190,115 | — | 190,115 | ||||||||||||
Short-term securities | — | 3,116,628 | — | 3,116,628 | ||||||||||||
Total | $ | 13,136,144 | $ | 10,113,791 | $ | 17,866 | $ | 23,267,801 | ||||||||
Other investments* | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on futures contracts | $ | 6,035 | $ | — | $ | — | $ | 6,035 | ||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on futures contracts | (874 | ) | — | — | (874 | ) | ||||||||||
Unrealized depreciation on interest rate swaps | — | (3,557 | ) | — | (3,557 | ) | ||||||||||
Total | $ | 5,161 | $ | (3,557 | ) | $ | — | $ | 1,604 |
* | Futures contracts and interest rate swaps are not included in the investment portfolio. |
American Funds Insurance Series | 149 |
Global Balanced Fund
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Information technology | $ | 29,939 | $ | 11,496 | $ | — | $ | 41,435 | ||||||||
Financials | 26,524 | 3,203 | — | 29,727 | ||||||||||||
Health care | 23,425 | 4,021 | — | 27,446 | ||||||||||||
Industrials | 19,589 | 5,349 | — | 24,938 | ||||||||||||
Energy | 18,129 | — | — | 18,129 | ||||||||||||
Consumer staples | 14,100 | 3,677 | — | 17,777 | ||||||||||||
Consumer discretionary | 13,799 | 1,034 | — | 14,833 | ||||||||||||
Materials | 8,709 | 4,244 | — | 12,953 | ||||||||||||
Communication services | 2,053 | 6,030 | — | 8,083 | ||||||||||||
Real estate | 6,155 | 827 | — | 6,982 | ||||||||||||
Utilities | 2,897 | 2,255 | — | 5,152 | ||||||||||||
Bonds, notes & other debt instruments: | ||||||||||||||||
Bonds & notes of governments & government agencies outside the U.S. | — | 59,146 | — | 59,146 | ||||||||||||
U.S. Treasury bonds & notes | — | 45,770 | — | 45,770 | ||||||||||||
Corporate bonds & notes | — | 23,532 | — | 23,532 | ||||||||||||
Mortgage-backed obligations | — | 6,936 | — | 6,936 | ||||||||||||
Short-term securities | — | 25,583 | — | 25,583 | ||||||||||||
Total | $ | 165,319 | $ | 203,103 | $ | — | $ | 368,422 | ||||||||
Other investments* | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on futures contracts | $ | 180 | $ | — | $ | — | $ | 180 | ||||||||
Unrealized appreciation on open forward currency contracts | — | 214 | — | 214 | ||||||||||||
Unrealized appreciation on interest rate swaps | — | 24 | — | 24 | ||||||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on open forward currency contracts | — | (132 | ) | — | (132 | ) | ||||||||||
Unrealized depreciation on interest rate swaps | — | (19 | ) | — | (19 | ) | ||||||||||
Total | $ | 180 | $ | 87 | $ | — | $ | 267 | ||||||||
* | Futures contracts, forward currency contracts and interest rate swaps are not included in the investment portfolio. |
Bond Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Bonds, notes & other debt instruments: | ||||||||||||||||
Corporate bonds & notes | $ | — | $ | 3,603,650 | $ | — | $ | 3,603,650 | ||||||||
U.S. Treasury bonds & notes | — | 2,852,297 | — | 2,852,297 | ||||||||||||
Mortgage-backed obligations | — | 2,234,095 | — | 2,234,095 | ||||||||||||
Bonds & notes of governments & government agencies outside the U.S. | — | 612,742 | — | 612,742 | ||||||||||||
Asset-backed obligations | — | 197,268 | — | 197,268 | ||||||||||||
Municipals | — | 189,941 | — | 189,941 | ||||||||||||
Federal agency bonds & notes | — | 11,395 | — | 11,395 | ||||||||||||
Common stocks | — | 396 | 26 | 422 | ||||||||||||
Rights & warrants | — | — | 67 | 67 | ||||||||||||
Short-term securities | — | 1,243,633 | — | 1,243,633 | ||||||||||||
Total | $ | — | $ | 10,945,417 | $ | 93 | $ | 10,945,510 |
150 | American Funds Insurance Series |
Other investments* | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on futures contracts | $ | 22,298 | $ | — | $ | — | $ | 22,298 | ||||||||
Unrealized appreciation on open forward currency contracts | — | 5,141 | — | 5,141 | ||||||||||||
Unrealized appreciation on interest rate swaps | — | 2,565 | — | 2,565 | ||||||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on futures contracts | (2,690 | ) | — | — | (2,690 | ) | ||||||||||
Unrealized depreciation on open forward currency contracts | — | (14,412 | ) | — | (14,412 | ) | ||||||||||
Unrealized depreciation on interest rate swaps | — | (2,338 | ) | — | (2,338 | ) | ||||||||||
Total | $ | 19,608 | $ | (9,044 | ) | $ | — | $ | 10,564 | |||||||
* | Futures contracts, forward currency contracts and interest rate swaps are not included in the investment portfolio. |
Global Bond Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Bonds, notes & other debt instruments: | ||||||||||||||||
Japanese yen | $ | — | $ | 248,037 | $ | — | $ | 248,037 | ||||||||
Euros | — | 235,404 | — | 235,404 | ||||||||||||
Mexican pesos | — | 74,438 | — | 74,438 | ||||||||||||
Polish zloty | — | 73,313 | — | 73,313 | ||||||||||||
Danish kroner | — | 65,733 | — | 65,733 | ||||||||||||
Indian rupees | — | 45,800 | — | 45,800 | ||||||||||||
British pounds | — | 43,376 | — | 43,376 | ||||||||||||
Brazilian reais | — | 33,036 | — | 33,036 | ||||||||||||
Thai baht | — | 27,229 | — | 27,229 | ||||||||||||
Israeli shekels | — | 18,320 | — | 18,320 | ||||||||||||
Chilean pesos | — | 15,174 | — | 15,174 | ||||||||||||
Malaysian ringgits | — | 15,129 | — | 15,129 | ||||||||||||
Romanian leu | — | 14,495 | — | 14,495 | ||||||||||||
Canadian dollars | — | 10,039 | — | 10,039 | ||||||||||||
U.S. dollars | — | 914,227 | 487 | 914,714 | ||||||||||||
Other | — | 90,558 | — | 90,558 | ||||||||||||
Convertible bonds | — | 100 | — | 100 | ||||||||||||
Convertible stocks | — | — | 1,033 | 1,033 | ||||||||||||
Common stocks | 113 | 913 | 9 | 1,035 | ||||||||||||
Rights & warrants | — | — | 41 | 41 | ||||||||||||
Short-term securities | — | 196,588 | — | 196,588 | ||||||||||||
Total | $ | 113 | $ | 2,121,909 | $ | 1,570 | $ | 2,123,592 | ||||||||
Other investments* | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on futures contracts | $ | 5,231 | $ | — | $ | — | $ | 5,231 | ||||||||
Unrealized appreciation on open forward currency contracts | — | 12,488 | — | 12,488 | ||||||||||||
Unrealized appreciation on interest rate swaps | — | 335 | — | 335 | ||||||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on futures contracts | (960 | ) | — | — | (960 | ) | ||||||||||
Unrealized depreciation on open forward currency contracts | — | (5,570 | ) | — | (5,570 | ) | ||||||||||
Unrealized depreciation on interest rate swaps | — | (284 | ) | — | (284 | ) | ||||||||||
Total | $ | 4,271 | $ | 6,969 | $ | — | $ | 11,240 |
* | Futures contracts, forward currency contracts and interest rate swaps are not included in the investment portfolio. |
American Funds Insurance Series | 151 |
High-Income Bond Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Bonds, notes & other debt instruments: | ||||||||||||||||
Corporate bonds & notes | $ | — | $ | 1,129,425 | $ | 8,992 | $ | 1,138,417 | ||||||||
Other | — | 3,083 | — | 3,083 | ||||||||||||
Convertible bonds | — | 5,438 | — | 5,438 | ||||||||||||
Convertible stocks | 629 | — | 5,892 | 6,521 | ||||||||||||
Common stocks | 1,642 | 8,344 | 2,397 | 12,383 | ||||||||||||
Rights & warrants | — | — | 256 | 256 | ||||||||||||
Short-term securities | — | 16,793 | — | 16,793 | ||||||||||||
Total | $ | 2,271 | $ | 1,163,083 | $ | 17,537 | $ | 1,182,891 | ||||||||
Other investments1 | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on interest rate swaps | $ | — | $ | 156 | $ | — | $ | 156 | ||||||||
Unrealized appreciation on credit default swaps | — | 1,544 | — | 1,544 | ||||||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on interest rate swaps | — | (380 | ) | — | (380 | ) | ||||||||||
Total | $ | — | $ | 1,320 | $ | — | $ | 1,320 | ||||||||
1 | Interest rate swaps and credit default swaps are not included in the investment portfolio. |
The following table reconciles the valuation of the fund’s Level 3 investment securities and related transactions for the year ended December 31, 2018 (dollars in thousands):
Beginning value at 1/1/2018 | Transfers into Level 32 | Purchases | Sales | Net realized gain3 | Unrealized appreciation3 | Transfers out of Level 32 | Ending value at 12/31/2018 | |||||||||||||||||||||||||
Investment securities | $ | 23,741 | $ | — | $ | 17,504 | $ | (34,559 | ) | $ | 6,060 | $ | 9,202 | $ | (4,411 | ) | $ | 17,537 | ||||||||||||||
Net unrealized appreciation during the period on Level 3 investment securities held at December 31, 2018 | $ | 1,603 |
2 | Transfers into or out of Level 3 are based on the beginning market value of the quarter in which they occurred. |
3 | Net realized gain and unrealized appreciation are included in the related amounts on investments in the statement of operations. |
152 | American Funds Insurance Series |
Unobservable inputs— Valuation of the fund’s Level 3 securities is based on significant unobservable inputs that reflect the investment adviser’s determination of assumptions that market participants might reasonably use in valuing the securities. The following table provides additional information used by the fund’s investment adviser to fair value the fund’s Level 3 securities (dollars in thousands):
Impact to | |||||||||||||||||||
valuation from | |||||||||||||||||||
Value at | Valuation | Unobservable | Weighted | an increase in | |||||||||||||||
12/31/2018 | techniques | inputs | Range | average | input* | ||||||||||||||
Bonds, notes & other debt instruments | $ | 8,992 | Yield analysis | Yield to maturity risk premium | 0-400 bps | 299 bps | Decrease | ||||||||||||
Convertible securities | 5,892 | Market comparables | EBITDA multiple | 8.9 | x | 8.9x | Increase | ||||||||||||
Recent market information | Market comparables | 25 | % | 25% | Decrease | ||||||||||||||
Enterprise value | Revenue multiple | 1.3 | x | 1.3x | Increase | ||||||||||||||
Common stocks | 2,397 | Expected proceeds | Discount to reflect timing of receipt and amount of proceeds | 50 | % | 50% | Decrease | ||||||||||||
Black-Scholes | Implied volatility | 30 | % | 30% | Increase | ||||||||||||||
Rights & warrants | 256 | Recent market information | Quoted price | N/A | N/A | N/A | |||||||||||||
$ | 17,537 |
* | This column represents the directional change in fair value of the Level 3 securities that would result in an increase from the corresponding input. A decrease to the unobservable input would have the opposite effect. Significant increases and decreases in these inputs in isolation could result in significantly higher or lower fair value measurements. |
Key to abbreviation
EBITDA = Earnings before income taxes, depreciation and amortization
Mortgage Fund
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Bonds, notes & other debt instruments: | ||||||||||||||||
Mortgage-backed obligations | $ | — | $ | 209,270 | $ | — | $ | 209,270 | ||||||||
U.S. Treasury bonds & notes | — | 32,012 | — | 32,012 | ||||||||||||
Federal agency bonds & notes | — | 18,483 | — | 18,483 | ||||||||||||
Asset-backed obligations | — | 17,340 | — | 17,340 | ||||||||||||
Corporate bonds & notes | — | — | 80 | 80 | ||||||||||||
Short-term securities | — | 66,563 | — | 66,563 | ||||||||||||
Total | $ | — | $ | 343,668 | $ | 80 | $ | 343,748 | ||||||||
Other investments* | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on futures contracts | $ | 1,899 | $ | — | $ | — | $ | 1,899 | ||||||||
Unrealized appreciation on interest rate swaps | — | 3,261 | — | 3,261 | ||||||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on interest rate swaps | — | (2,067 | ) | — | (2,067 | ) | ||||||||||
Total | $ | 1,899 | $ | 1,194 | $ | — | $ | 3,093 | ||||||||
* | Futures contracts and interest rate swaps are not included in the investment portfolio. |
Ultra-Short Bond Fund
At December 31, 2018, all of the fund’s investment securities were classified as Level 2.
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U.S. Government/AAA-Rated Securities Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Bonds, notes & other debt instruments: | ||||||||||||||||
U.S. Treasury bonds & notes | $ | — | $ | 1,369,410 | $ | — | $ | 1,369,410 | ||||||||
Mortgage-backed obligations | — | 821,393 | — | 821,393 | ||||||||||||
Federal agency bonds & notes | — | 601,074 | — | 601,074 | ||||||||||||
Short-term securities | — | 318,827 | — | 318,827 | ||||||||||||
Total | $ | — | $ | 3,110,704 | $ | — | $ | 3,110,704 | ||||||||
Other investments* | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on futures contracts | $ | 31,021 | $ | — | $ | — | $ | 31,021 | ||||||||
Unrealized appreciation on interest rate swaps | — | 34,976 | — | 34,976 | ||||||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on futures contracts | (3,571 | ) | — | — | (3,571 | ) | ||||||||||
Unrealized depreciation on interest rate swaps | — | (15,622 | ) | — | (15,622 | ) | ||||||||||
Total | $ | 27,450 | $ | 19,354 | $ | — | $ | 46,804 | ||||||||
* | Futures contracts and interest rate swaps are not included in the investment portfolio. |
Managed Risk Growth Fund
At December 31, 2018, all of the fund’s investments were classified as Level 1.
Managed Risk International Fund
At December 31, 2018, all of the fund’s investments were classified as Level 1.
Managed Risk Blue Chip Income and Growth Fund
At December 31, 2018, all of the fund’s investments were classified as Level 1.
Managed Risk Growth-Income Fund
At December 31, 2018, all of the fund’s investments were classified as Level 1.
Managed Risk Asset Allocation Fund
At December 31, 2018, all of the fund’s investments were classified as Level 1.
4. Risk factors
Investing in the funds may involve certain risks including, but not limited to, those described below.
Market conditions— The prices of, and the income generated by, the common stocks, bonds and other securities held by a fund may decline — sometimes rapidly or unpredictably — due to various factors, including events or conditions affecting the general economy or particular industries; overall market changes; local, regional or global political, social or economic instability; governmental, governmental agency or central bank responses to economic conditions; and currency exchange rate, interest rate and commodity price fluctuations.
Issuer risks— The prices of, and the income generated by, securities held by a fund may decline in response to various factors directly related to the issuers of such securities, including reduced demand for an issuer’s goods or services, poor management performance, major litigation against the issuer, changes in government regulations affecting the issuer or its competitive environment and strategic initiatives such as mergers, acquisitions or dispositions and the market response to any such initiatives.
Investing in growth-oriented stocks— Growth-oriented common stocks and other equity-type securities (such as preferred stocks, convertible preferred stocks and convertible bonds) may involve larger price swings and greater potential for loss than other types of investments. These risks may be even greater in the case of smaller capitalization stocks.
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Investing in income-oriented stocks— The value of a fund’s securities and income provided by a fund may be reduced by changes in the dividend policies of, and the capital resources available for dividend payments at, the companies in which the fund invests.
Investing in small companies— Investing in smaller companies may pose additional risks. For example, it is often more difficult to value or dispose of small company stocks and more difficult to obtain information about smaller companies than about larger companies. Furthermore, smaller companies often have limited product lines, operating histories, markets and/or financial resources, may be dependent on one or a few key persons for management, and can be more susceptible to losses. Moreover, the prices of their stocks may be more volatile than stocks of larger, more established companies, particularly during times of market turmoil.
Investing outside the U.S.— Securities of issuers domiciled outside the U.S., or with significant operations or revenues outside the U.S., may lose value because of adverse political, social, economic or market developments (including social instability, regional conflicts, terrorism and war) in the countries or regions in which the issuers operate or generate revenue. These securities may also lose value due to changes in foreign currency exchange rates against the U.S. dollar and/or currencies of other countries. Issuers of these securities may be more susceptible to actions of foreign governments, such as nationalization, currency blockage or the imposition of price controls or punitive taxes, each of which could adversely impact the value of these securities. Securities markets in certain countries may be more volatile and/or less liquid than those in the U.S. Investments outside the U.S. may also be subject to different accounting practices and different regulatory, legal and reporting standards and practices, and may be more difficult to value, than those in the U.S. In addition, the value of investments outside the U.S. may be reduced by foreign taxes, including foreign withholding taxes on interest and dividends. Further, there may be increased risks of delayed settlement of securities purchased or sold by the fund. The risks of investing outside the U.S. may be heightened in connection with investments in emerging markets.
Investing in developing countries— Investing in countries with developing economies and/or markets may involve risks in addition to and greater than those generally associated with investing in developed countries. For instance, emerging market countries may have less developed legal and accounting systems than those in developed countries. The governments of these countries may be less stable and more likely to impose capital controls, nationalize a company or industry, place restrictions on foreign ownership and on withdrawing sale proceeds of securities from the country, and/or impose punitive taxes that could adversely affect the prices of securities. In addition, the economies of these countries may be dependent on relatively few industries that are more susceptible to local and global changes. Securities markets in these countries can also be relatively small and have substantially lower trading volumes. As a result, securities issued in these countries may be more volatile and less liquid, and may be more difficult to value, than securities issued in countries with more developed economies and/or markets. Less certainty with respect to security valuations may lead to additional challenges and risks in calculating the fund’s net asset value. Additionally, emerging markets are more likely to experience problems with the clearing and settling of trades and the holding of securities by banks, agents and depositories that are less established than those in developed countries.
Investing in emerging markets— Investing in emerging markets may involve risks in addition to and greater than those generally associated with investing in the securities markets of developed countries. For instance, emerging market countries may have less developed legal and accounting systems than those in developed countries. The governments of these countries may be less stable and more likely to impose capital controls, nationalize a company or industry, place restrictions on foreign ownership and on withdrawing sale proceeds of securities from the country, and/or impose punitive taxes that could adversely affect the prices of securities. In addition, the economies of these countries may be dependent on relatively few industries that are more susceptible to local and global changes. Securities markets in these countries can also be relatively small and have substantially lower trading volumes. As a result, securities issued in these countries may be more volatile and less liquid, and may be more difficult to value, than securities issued in countries with more developed economies and/or markets. Less certainty with respect to security valuations may lead to additional challenges and risks in calculating a fund’s net asset value. Additionally, emerging markets are more likely to experience problems with the clearing and settling of trades and the holding of securities by banks, agents and depositories that are less established than those in developed countries.
Investing in debt instruments— The prices of, and the income generated by, bonds and other debt securities held by a fund may be affected by changing interest rates and by changes in the effective maturities and credit ratings of these securities.
Rising interest rates will generally cause the prices of bonds and other debt securities to fall. A general rise in interest rates may cause investors to sell debt securities on a large scale, which could also adversely affect the price and liquidity of debt securities and could also result in increased redemptions from a fund. Falling interest rates may cause an issuer to redeem, call or refinance a debt security before its stated maturity, which may result in a fund failing to recoup the full amount of its initial investment and having to reinvest the proceeds in lower yielding securities. Longer maturity debt securities generally have greater sensitivity to changes in interest rates and may be subject to greater price fluctuations than shorter maturity debt securities.
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Bonds and other debt securities are also subject to credit risk, which is the possibility that the credit strength of an issuer or guarantor will weaken or be perceived to be weaker, and/or an issuer of a debt security will fail to make timely payments of principal or interest and the security will go into default. A downgrade or default affecting any of a fund’s securities could cause the value of a fund’s shares to decrease. Lower quality debt securities generally have higher rates of interest and may be subject to greater price fluctuations than higher quality debt securities. Credit risk is gauged, in part, by the credit ratings of the debt securities in which a fund invests. However, ratings are only the opinions of the rating agencies issuing them and are not guarantees as to credit quality or an evaluation of market risk. The funds’ investment adviser relies on its own credit analysts to research issuers and issues in seeking to assess credit and default risks.
Investing in lower rated debt instruments— Lower rated bonds and other lower rated debt securities generally have higher rates of interest and involve greater risk of default or price declines due to changes in the issuer’s creditworthiness than those of higher quality debt securities. The market prices of these securities may fluctuate more than the prices of higher quality debt securities and may decline significantly in periods of general economic difficulty. These risks may be increased with respect to investments in junk bonds.
Investing in derivatives— The use of derivatives involves a variety of risks, which may be different from, or greater than, the risks associated with investing in traditional securities, such as stocks and bonds. Changes in the value of a derivative may not correlate perfectly with, and may be more sensitive to market events than, the underlying asset, rate or index, and a derivative instrument may expose a fund to losses in excess of its initial investment. Derivatives may be difficult to value, difficult for a fund to buy or sell at an opportune time or price and difficult to terminate or otherwise offset. A fund’s use of derivatives may result in losses to the fund, and investing in derivatives may reduce a fund’s returns and increase a fund’s price volatility. A fund’s counterparty to a derivative transaction (including, if applicable, the fund’s clearing broker, the derivatives exchange or the clearinghouse) may be unable or unwilling to honor its financial obligations in respect of the transaction.
Currency— The prices of, and the income generated by, most debt securities held by a fund may also be affected by changes in relative currency values. If the U.S. dollar appreciates against foreign currencies, the value in U.S. dollars of a fund’s securities denominated in such currencies would generally fall and vice versa. U.S. dollar-denominated securities of foreign issuers may also be affected by changes in relative currency values.
Investing in mortgage-related and other asset-backed securities— Mortgage-related securities, such as mortgage-backed securities, and other asset-backed securities, include debt obligations that represent interests in pools of mortgages or other income-bearing assets, such as consumer loans or receivables. Such securities often involve risks that are different from or more acute than the risks associated with investing in other types of debt securities. Mortgage-backed and other asset-backed securities are subject to changes in the payment patterns of borrowers of the underlying debt, potentially increasing the volatility of the securities and a fund’s net asset value. When interest rates fall, borrowers are more likely to refinance or prepay their debt before its stated maturity. This may result in a fund having to reinvest the proceeds in lower yielding securities, effectively reducing a fund’s income. Conversely, if interest rates rise and borrowers repay their debt more slowly than expected, the time in which the mortgage-backed and other asset-backed securities are paid off could be extended, reducing a fund’s cash available for reinvestment in higher yielding securities. Mortgage-backed securities are also subject to the risk that underlying borrowers will be unable to meet their obligations and the value of property that secures the mortgages may decline in value and be insufficient, upon foreclosure, to repay the associated loans. Investments in asset-backed securities are subject to similar risks.
Investing in future delivery contracts— A fund may enter into contracts, such as to-be-announced contracts and mortgage dollar rolls, that involve a fund selling mortgage-related securities and simultaneously contracting to repurchase similar securities for delivery at a future date at a predetermined price. This can increase a fund’s market exposure, and the market price of the securities that the fund contracts to repurchase could drop below their purchase price. While a fund can preserve and generate capital through the use of such contracts by, for example, realizing the difference between the sale price and the future purchase price, the income generated by the fund may be reduced by engaging in such transactions. In addition, these transactions may increase the turnover rate of a fund.
Investing in inflation linked bonds— The values of inflation linked bonds generally fluctuate in response to changes in real interest rates — i.e., rates of interest after factoring in inflation. A rise in real interest rates may cause the prices of inflation linked securities to fall, while a decline in real interest rates may cause the prices to increase. Inflation linked bonds may experience greater losses than other debt securities with similar durations when real interest rates rise faster than nominal interest rates. There can be no assurance that the value of an inflation linked security will be directly correlated to changes in interest rates; for example, if interest rates rise for reasons other than inflation, the increase may not be reflected in the security’s inflation measure.
Investing in inflation linked bonds may also reduce a fund’s distributable income during periods of deflation. If prices for goods and services decline throughout the economy, the principal and income on inflation linked securities may decline and result in losses to a fund.
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Investing in securities backed by the U.S. government— Securities backed by the U.S. Treasury or the full faith and credit of the U.S. government are guaranteed only as to the timely payment of interest and principal when held to maturity. Accordingly, the current market values for these securities will fluctuate with changes in interest rates and the credit rating of the U.S. government. Securities issued by government-sponsored entities and federal agencies and instrumentalities that are not backed by the full faith and credit of the U.S. government are neither issued nor guaranteed by the U.S. government.
Investing in repurchase agreements— Upon entering into a repurchase agreement, a fund purchases a security from a bank or broker-dealer, which simultaneously commits to repurchase the security within a specified time at the fund’s cost with interest. The security purchased by the fund constitutes collateral for the seller’s repurchase obligation. If the party agreeing to repurchase should default, the fund may seek to sell the security it holds as collateral. The fund may incur a loss if the value of the collateral securing the repurchase obligation falls below the repurchase price. The fund may also incur disposition costs and encounter procedural delays in connection with liquidating the collateral.
Interest rate risk— The values and liquidity of the securities held by a fund may be affected by changing interest rates. For example, the values of these securities may decline when interest rates rise and increase when interest rates fall. Longer maturity debt securities generally have greater sensitivity to changes in interest rates and may be subject to greater price fluctuations than shorter maturity debt securities. A fund may invest in variable and floating rate securities. When a fund holds variable or floating rate securities, a decrease in market interest rates will adversely affect the income received from such securities and the net asset value of a fund’s shares. Although the values of such securities are generally less sensitive to interest rate changes than those of other debt securities, the value of variable and floating rate securities may decline if their interest rates do not rise as quickly, or as much, as market interest rates. Conversely, floating rate securities will not generally increase in value if interest rates decline. During periods of extremely low short-term interest rates, a fund may not be able to maintain a positive yield and, given the current low interest rate environment, risks associated with rising rates are currently heightened.
Credit and liquidity support— Changes in the credit quality of banks and financial institutions providing credit and liquidity support features with respect to securities held by a fund could cause the values of these securities to decline.
Asset allocation— A fund’s percentage allocation to equity securities, debt securities and money market instruments could cause the fund to underperform relative to relevant benchmarks and other funds with similar investment objectives.
Nondiversification risk — As nondiversified funds, certain funds have the ability to invest a larger percentage of their assets in the securities of a smaller number of issuers than diversified funds. Although the funds do not intend to limit their investments to the securities of a small number of issuers, if they were to do so, poor performance by a single large holding could adversely impact the funds’ investment results more than if the funds were invested in a larger number of issuers.
Liquidity risk— Certain fund holdings may be or become difficult or impossible to sell, particularly during times of market turmoil. Illiquidity may result from the lack of an active market for a holding, legal or contractual restrictions on resale, or the reduced number and capacity of market participants to make a market in such holding. Market prices for less liquid or illiquid holdings may be volatile, and reduced liquidity may have an adverse impact on the market price of such holdings. Additionally, the sale of less liquid or illiquid holdings may involve substantial delays (including delays in settlement) and additional costs and the fund may be unable to sell such holdings when necessary to meet its liquidity needs or may be forced to sell at a loss.
Management— The investment adviser to the funds actively manages the funds’ investments. Consequently, the funds are subject to the risk that the methods and analyses, including models, tools and data, employed by the investment adviser in this process may be flawed or incorrect and may not produce the desired results. This could cause the funds to lose value or their investment results to lag relevant benchmarks or other funds with similar objectives.
Investing in the managed risk funds may involve additional risks including, but not limited to, those described below.
Fund structure— The managed risk funds invest in underlying funds and incur expenses related to those underlying funds. In addition, investors in the managed risk funds will incur fees to pay for certain expenses related to the operations of the managed risk funds. An investor holding the underlying fund directly would incur lower overall expenses but would not receive the benefit of the managed risk strategy.
Management— The managed risk funds are subject to the risk that the managed risk strategy or the methods employed by the subadviser in implementing the managed risk strategy may not produce the desired results. This could cause the managed risk funds to lose value or their investment results to lag relevant benchmarks or other funds with similar objectives.
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Underlying fund risks— Because the managed risk funds’ investments consist of investments in underlying funds, the managed risk funds’ risks are directly related to the risks of the respective underlying fund in which each managed fund invests. For this reason, it is important to understand the risks associated with investing both in the managed risk fund and in each of the underlying funds.
Investing in options and futures contracts— In addition to the risks generally associated with investing in derivative instruments, options and futures contracts are subject to the creditworthiness of the clearing organizations, exchanges and, in the case of futures, futures commission merchants with which a fund transacts. Additionally, although futures require only a small initial investment in the form of a deposit of initial margin, the amount of a potential loss on a futures contract could greatly exceed the initial amount invested. While both options and futures contracts are generally liquid instruments, under certain market conditions, options and futures may be deemed to be illiquid. For example, a fund may be temporarily prohibited from closing out its position in an options or futures contract if intraday price change limits or limits on trading volume imposed by the applicable exchange are triggered. If a fund is unable to close out a position on an options or futures contract, the fund would remain subject to the risk of adverse price movements until the fund is able to close out the position in question. The ability of a fund to successfully utilize options and futures contracts may depend in part upon the ability of the fund’s investment adviser or subadviser to accurately forecast interest rates and other economic factors and to assess and predict the impact of such economic factors on the options and futures in which the fund invests. If the investment adviser or subadviser incorrectly forecasts economic developments or incorrectly predicts the impact of such developments on the options and futures in which it invests, a fund could be exposed to the risk of loss. Whereas the risk of loss on a put option purchased by the fund is limited to the initial cost of the option, the amount of a potential loss on a futures contract could greatly exceed the relatively small initial amount invested in entering the futures position.
Hedging— There may be imperfect or even negative correlation between the prices of the options and futures contracts in which a fund invests and the prices of the underlying securities or indexes which the fund seeks to hedge. For example, options and futures contracts may not provide an effective hedge because changes in options and futures contract prices may not track those of the underlying securities or indexes they are intended to hedge. In addition, there are significant differences between the securities market, on the one hand, and the options and futures markets, on the other, that could result in an imperfect correlation between the markets, causing a given hedge not to achieve its objectives. The degree of imperfection of correlation depends on circumstances such as variations in speculative market demand for options and futures, including technical influences in options and futures trading, and differences between the financial instruments being hedged and the instruments underlying the standard contracts available for trading. A decision as to whether, when and how to hedge involves the exercise of skill and judgment, and even a well-conceived hedge may be unsuccessful to some degree because of market behavior or unexpected interest rate trends. In addition, the fund’s investment in exchange-traded options and futures and their resulting costs could limit the fund’s gains in rising markets relative to those of the underlying funds, or to those of unhedged funds in general.
Short positions— A fund may suffer losses from short positions in futures contracts. Losses from short positions in futures contracts occur when the underlying index increases in value. As the underlying index increases in value, the holder of the short position in the corresponding futures contract is required to pay the difference in value of the futures contract resulting from the increase in the index on a daily basis. Losses from a short position in an index futures contract could potentially be very large if the value of the underlying index rises dramatically in a short period of time.
5. Certain investment techniques
Securities lending— One of the funds has entered into securities lending transactions in which the fund earns income by lending investment securities to brokers, dealers or other institutions. Each transaction involves three parties: the fund, acting as the lender of the securities, a borrower, and a lending agent that acts as an intermediary.
Securities lending transactions are entered into by the fund under the securities lending agreement with the lending agent. The lending agent facilitates the exchange of securities between the lender and the borrower, generally provides protection from borrower default, marks to market the value of collateral daily, secures additional collateral from the borrower if it falls below preset terms, and may reinvest the collateral on behalf of the fund according to agreed parameters. The lending agent has indemnified the fund against losses resulting from borrower default. Although risk is mitigated by the collateral and indemnification, the fund could experience a delay in recovering its securities and a potential loss of income or value if the borrower fails to return the securities, collateral investments decline in value or the lending agent fails to perform.
The borrower is required to post highly liquid assets, such as cash or U.S. government securities, as collateral for the loan in an amount at least equal to the value of the securities loaned. Investments made with cash collateral are recognized as assets in the fund’s investment portfolio. The same amount is recorded as a liability in the fund’s statement of assets and liabilities. While securities are on loan, the fund will continue to receive the equivalent of the interest, dividends or other distributions paid by the issuer, as well as a
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portion of the interest on the investment of the collateral. Additionally, although the fund does not have the right to vote on securities while they are on loan, the fund has a right to consent on corporate actions and a right to recall loaned securities to vote on proposals affecting them. The borrower is obligated to return the loaned security at the conclusion of the loan or, during the pendency of the loan, on demand from the fund.
As of December 31, 2018, the total value of securities on loan was $67,607,000, and the total value of collateral received was $72,379,000. Collateral received included cash of $60,486,000 and non-cash U.S. Government securities of $11,893,000. Investment securities purchased from cash collateral of $54,436,000 are disclosed in the summary investment portfolio as short-term securities. Securities received as collateral, if any, are not recognized as fund assets. The contractual maturity of collateral received under the securities lending agreement is classified as overnight and continuous.
Index-linked bonds— Some of the funds have invested in index-linked bonds, which are fixed-income securities whose principal value is periodically adjusted to a government price index. Over the life of an index-linked bond, interest is paid on the adjusted principal value. Increases or decreases in the principal value of index-linked bonds are recorded as interest income in the fund’s statement of operations.
Mortgage dollar rolls— Some of the funds have entered into mortgage dollar roll transactions in which the fund sells a mortgage-backed security to a counterparty and simultaneously enters into an agreement with the same counterparty to buy back a similar security on a specific future date at a predetermined price. Mortgage dollar rolls are accounted for as purchase and sale transactions, which may increase the funds’ portfolio turnover rates.
Loan transactions— Some of the funds have entered into loan transactions in which the fund acquires a loan either through an agent, by assignment from another holder, or as a participation interest in another holder’s portion of a loan. The loan is often administered by a financial institution that acts as agent for the holders of the loan, and the fund may be required to receive approval from the agent and/or borrower prior to the sale of the investment. The loan’s interest rate and maturity date may change based on the terms of the loan, including potential early payments of principal.
Short-term securities— The managed risk funds hold shares of the Government Cash Management Fund, a cash management vehicle offered by the Bank of New York Mellon (“BNY Mellon”), the funds’ custodian bank. The Government Cash Management Fund is managed by the Dreyfus Corporation.
Options contracts— The Managed Risk Growth-Income Fund has entered into options contracts, which give the holder of the option, in return for a premium payment, the right to buy from (in the case of a call) or sell to (in the case of a put) the writer of the option, the security underlying the option (or the cash value of the index underlying the option) at a specified price. As part of its managed risk strategy, the Managed Risk Growth-Income Fund will at times purchase put options on equity indexes in standardized contracts traded on foreign or domestic securities exchanges, boards of trade, or similar entities. By purchasing a put option on an equity index, the fund obtains the right (but not the obligation) to sell the cash value of the index underlying the option at a specified exercise price, and in return for this right, the fund pays the current market price, or the option premium, for the option.
The fund may terminate its position in a put option by allowing the option to expire or by exercising the option. If the option is allowed to expire, the fund will lose the entire premium. If the option is exercised, the fund completes the sale of the underlying instrument (or delivers the cash value of the index underlying the option) at the exercise price. The fund may also terminate a put option position by entering into opposing close-out transactions in advance of the option expiration date.
Premiums paid on options purchased, as well as the daily fluctuation in market value, are included in investment securities in the fund’s statement of assets and liabilities. Realized gains or losses are recorded at the time the option contract is closed or expires. Net realized gains or losses and net unrealized appreciation or depreciation from options contracts are recorded in the fund’s statement of operations.
Futures contracts— Some of the funds have entered into futures contracts, which provide for the future sale by one party and purchase by another party of a specified amount of a specific financial instrument for a specified price, date, time and place designated at the time the contract is made. Futures contracts are used to strategically manage the fund’s interest rate sensitivity by increasing or decreasing the duration of the fund or a portion of the fund’s portfolio. For the managed risk funds, futures contracts are used to strategically manage portfolio volatility and downside equity risk.
Upon entering into futures contracts, and to maintain the fund’s open positions in futures contracts, the fund is required to deposit with a futures broker, or FCM, in a segregated account in the name of the FCM an amount of cash, U.S. government securities or other liquid securities, known as initial margin. The margin required for a particular futures contract is set by the exchange on which the contract is
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Table of Contents
traded to serve as collateral, and may be significantly modified from time to time by the exchange during the term of the contract. Securities deposited as initial margin, if any, are disclosed in the investment portfolio and cash deposited as initial margin, if any, is reflected as restricted cash pledged for futures contracts in the fund’s statement of assets and liabilities.
On a daily basis, each fund pays or receives variation margin based on the increase or decrease in the value of the futures contracts and records variation margin on futures contracts in each fund’s statement of assets and liabilities. In addition, each fund segregates liquid assets equivalent to the fund’s outstanding obligations under the contract in excess of the initial margin and variation margin, if any. Futures contracts may involve a risk of loss in excess of the variation margin shown on each fund’s statement of assets and liabilities. Each fund records realized gains or losses at the time the futures contract is closed or expires. Net realized gains or losses and net unrealized appreciation or depreciation from futures contracts are recorded in each fund’s statement of operations.
Forward currency contracts— Some of the funds have entered into forward currency contracts, which represent agreements to exchange currencies on specific future dates at predetermined rates. The series’ investment adviser uses forward currency contracts to manage the fund’s exposure to changes in exchange rates. Upon entering into these contracts, risks may arise from the potential inability of counterparties to meet the terms of their contracts and from possible movements in exchange rates.
On a daily basis, the series’ investment adviser values forward currency contracts based on the applicable exchange rates and records unrealized appreciation or depreciation for open forward currency contracts in each fund’s statement of assets and liabilities. Realized gains or losses are recorded at the time the forward contract is closed or offset by another contract with the same broker for the same settlement date and currency. Closed forward currency contracts that have not reached their settlement date are included in the respective receivables or payables for closed forward currency contracts in each fund’s statement of assets and liabilities. Net realized gains or losses from closed forward currency contracts and net unrealized appreciation or depreciation from open forward currency contracts are recorded in each fund’s statement of operations.
Interest rate swaps— Some of the funds have entered into interest rate swaps, which are agreements to exchange one stream of future interest payments for another based on a specified notional amount. Typically, interest rate swaps exchange a fixed interest rate for a payment that floats relative to a benchmark or vice versa. The series’ investment adviser uses interest rate swaps to manage the interest rate sensitivity of the fund by increasing or decreasing the duration of the fund or a portion of the fund’s portfolio. Risks may arise as a result of the series’ investment adviser incorrectly anticipating changes in interest rates, increased volatility, reduced liquidity and the potential inability of counterparties to meet the terms of their agreements.
Upon entering into an interest rate swap contract, the fund is required to deposit cash, U.S. government securities or other liquid securities, which is known as initial margin. Generally, the initial margin required for a particular interest rate swap is set and held as collateral by the clearinghouse on which the contract is cleared. The amount of initial margin required may be significantly modified from time to time by the clearinghouse during the term of the contract.
On a daily basis, the series’ investment adviser records daily interest accruals related to the exchange of future payments as a receivable and payable in each fund’s statement of assets and liabilities. Each fund also pays or receives a variation margin based on the increase or decrease in the value of the interest rate swaps, including accrued interest, and records variation margin on interest rate swaps in each fund’s statement of assets and liabilities. Each fund records realized gains and losses on both the net accrued interest and any gain or loss recognized at the time the interest rate swap is closed or expires. Net realized gains or losses, as well as any net unrealized appreciation or depreciation, from interest rate swaps are recorded in each fund’s statement of operations.
Credit default swap indices— Some of the funds have entered into centrally cleared credit default swap agreements on credit indices (“CDSI”) that involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified return upon the occurrence of a credit event, such as a default or restructuring, with respect to any of the underlying issuers (reference obligations) in the referenced index. The series’ investment adviser uses credit default swaps to assume exposure to a diversified portfolio of credits or to hedge against existing credit risks.
CDSI are portfolios of credit instruments or exposures designed to be representative of some part of the credit market, such as the high-yield or investment-grade credit market. CDSI are generally traded using standardized terms, including a fixed spread and standard maturity dates, and reference all the names in the index. If there is a credit event, it is settled based on that name’s weight in the index. The composition of the underlying issuers or obligations within a particular index may change periodically, usually every six months. A specified credit event may affect all or individual underlying reference obligations included in the index, and will be settled based upon the relative weighting of the affected obligation(s) within the index. The value of each CDSI can be used as a measure of the current payment/performance risk of the CDSI and represents the likelihood of an expected liability or profit should the notional amount of the CDSI be closed or sold as of the period end. An increasing value, as compared to the notional amount of the CDSI, represents a deterioration of the referenced indices’ credit soundness and a greater likelihood of risk of default or other credit event
160 | American Funds Insurance Series |
occurring as defined under the terms of the agreement. When a fund provides sell protection, its maximum exposure is the notional amount of the credit default swap agreement.
Upon entering into a centrally cleared CDSI contract, the fund is required to deposit with a derivatives clearing member (“DCM”) in a segregated account in the name of the DCM an amount of cash, U.S. government securities or other liquid securities, which is known as initial margin. Generally, the initial margin required for a particular credit default swap is set and held as collateral by the clearinghouse on which the contract is cleared. The amount of initial margin required may be significantly modified from time to time by the clearinghouse during the term of the contract. Securities deposited as initial margin are designated on the investment portfolio.
On a daily basis, interest accruals related to the exchange of future payments are recorded as a receivable and payable in each fund’s statement of assets and liabilities. Each fund also pays or receives a variation margin based on the increase or decrease in the value of the centrally cleared swaps, and records variation margin in each fund’s statement of assets and liabilities. Each fund records realized gains and losses on both the net accrued interest and any gain or loss recognized at the time the swap is closed or expires. Net realized gains or losses, as well as any net unrealized appreciation or depreciation, from credit default swaps are recorded in each fund’s statement of operations.
The following table presents the average month-end notional amounts of options purchased, futures contracts, forward currency contracts, interest rate swaps and credit default swaps while held for each fund (dollars in thousands):
Options purchased | Futures contracts | Forward currency contracts | Interest rate swaps | Credit default swaps | ||||||||||||||||
Global Growth Fund | Not applicable | Not applicable | $6,220 | * | Not applicable | Not applicable | ||||||||||||||
Global Small Capitalization Fund | Not applicable | Not applicable | 93,340 | * | Not applicable | Not applicable | ||||||||||||||
International Fund | Not applicable | Not applicable | 35,647 | Not applicable | Not applicable | |||||||||||||||
New World Fund | Not applicable | Not applicable | 15,738 | Not applicable | Not applicable | |||||||||||||||
Global Growth and Income Fund | Not applicable | Not applicable | 7,640 | Not applicable | Not applicable | |||||||||||||||
Capital Income Builder | Not applicable | $188,467 | Not applicable | Not applicable | Not applicable | |||||||||||||||
Asset Allocation Fund | Not applicable | 375,571 | Not applicable | $2,197,665 | Not applicable | |||||||||||||||
Global Balanced Fund | Not applicable | 6,967 | 24,260 | 86,959 | Not applicable | |||||||||||||||
Bond Fund | Not applicable | 2,619,856 | 581,133 | 3,448,366 | $48,409 | * | ||||||||||||||
Global Bond Fund | Not applicable | 197,591 | 772,080 | 823,223 | Not applicable | |||||||||||||||
High-Income Bond Fund | Not applicable | 9,800 | * | Not applicable | 46,142 | 84,946 | ||||||||||||||
Mortgage Fund | Not applicable | 153,475 | Not applicable | 366,044 | Not applicable | |||||||||||||||
U.S. Government/AAA-Rated Securities Fund | Not applicable | 2,838,731 | Not applicable | 8,956,391 | Not applicable | |||||||||||||||
Managed Risk Growth Fund | Not applicable | 57,567 | Not applicable | Not applicable | Not applicable | |||||||||||||||
Managed Risk International Fund | Not applicable | 174,691 | Not applicable | Not applicable | Not applicable | |||||||||||||||
Managed Risk Blue Chip Income and Growth Fund | Not applicable | 47,916 | Not applicable | Not applicable | Not applicable | |||||||||||||||
Managed Risk Growth-Income Fund | $777,368 | 138,587 | Not applicable | Not applicable | Not applicable | |||||||||||||||
Managed Risk Asset Allocation Fund | Not applicable | 399,717 | Not applicable | Not applicable | Not applicable | |||||||||||||||
* | No contracts were held at the end of the reporting period; amount represents the average month-end notional amount of contracts while they were held. |
American Funds Insurance Series | 161 |
The following tables present the financial statement impacts resulting from the funds’ use of options, futures contracts, forward currency contracts, interest rate swaps and/or credit default swaps as of, or for the year ended, December 31, 2018 (dollars in thousands):
Global Growth Fund
Net realized loss | Net unrealized depreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Forward currency | Currency | Net realized loss on forward currency contracts | $ | (21 | ) | Net unrealized depreciation on forward currency contracts | $ | (15 | ) | |||||
Global Small Capitalization Fund | ||||||||||||||
Net realized gain | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Forward currency | Currency | Net realized gain on forward currency contracts | $ | 94 | Net unrealized appreciation on forward currency contracts | $ | 1,103 | |||||||
International Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Forward currency | Currency | Unrealized appreciation on open forward currency contracts | $ | — | Unrealized depreciation on open forward currency contracts | $ | 525 | |||||||
Net realized gain | Net unrealized depreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Forward currency | Currency | Net realized gain on forward currency contracts | $ | 1,317 | Net unrealized depreciation on forward currency contracts | $ | (170 | ) | ||||||
New World Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Forward currency | Currency | Unrealized appreciation on open forward currency contracts | $ | 356 | Unrealized depreciation on open forward currency contracts | $ | 53 | |||||||
Net realized gain | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Forward currency | Currency | Net realized gain on forward currency contracts | $ | 649 | Net unrealized appreciation on forward currency contracts | $ | 626 |
162 | American Funds Insurance Series |
Global Growth and Income Fund
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Forward currency | Currency | Unrealized appreciation on open forward currency contracts | $ | 351 | Unrealized depreciation on open forward currency contracts | $ | — | |||||||
Net realized loss | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Forward currency | Currency | Net realized loss on forward currency contracts | $ | (72 | ) | Net unrealized appreciation on forward currency contracts | $ | 351 | ||||||
Capital Income Builder | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation1 | $ | 2,467 | Unrealized depreciation1 | $ | 2,038 | |||||||
Net realized gain | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Interest | Net realized gain on futures contracts | $ | 242 | Net unrealized appreciation on futures contracts | $ | 429 | |||||||
Asset Allocation Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation1 | $ | 6,035 | Unrealized depreciation1 | $ | 874 | |||||||
Swaps | Interest | Unrealized appreciation1 | — | Unrealized depreciation1 | 3,557 | |||||||||
$ | 6,035 | $ | 4,431 | |||||||||||
Net realized gain (loss) | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Interest | Net realized gain on futures contracts | $ | 677 | Net unrealized appreciation on futures contracts | $ | 5,914 | |||||||
Swaps | Interest | Net realized loss on swap contracts | (2,209 | ) | Net unrealized appreciation on swap contracts | 2,691 | ||||||||
$ | (1,532 | ) | $ | 8,605 |
See end of tables for footnotes.
American Funds Insurance Series | 163 |
Global Balanced Fund
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation1 | $ | 180 | Unrealized depreciation1 | $ | — | |||||||
Forward currency | Currency | Unrealized appreciation on open forward currency contracts | 214 | Unrealized depreciation on open forward currency contracts | 132 | |||||||||
Swaps | Interest | Unrealized appreciation1 | 24 | Unrealized depreciation1 | 19 | |||||||||
$ | 418 | $ | 151 | |||||||||||
Net realized gain (loss) | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Interest | Net realized gain on futures contracts | $ | 23 | Net unrealized appreciation on futures contracts | $ | 180 | |||||||
Forward currency | Currency | Net realized loss on forward currency contracts | (541 | ) | Net unrealized appreciation on forward currency contracts | 207 | ||||||||
Swaps | Interest | Net realized loss on swap contracts | (5 | ) | Net unrealized appreciation on swap contracts | 5 | ||||||||
$ | (523 | ) | $ | 392 | ||||||||||
Bond Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation1 | $ | 22,298 | Unrealized depreciation1 | $ | 2,690 | |||||||
Forward currency | Currency | Unrealized appreciation on open forward currency contracts | 5,141 | Unrealized depreciation on open forward currency contracts | 14,412 | |||||||||
Swaps | Interest | Unrealized appreciation1 | 2,565 | Unrealized depreciation1 | 2,338 | |||||||||
$ | 30,004 | $ | 19,440 | |||||||||||
Net realized (loss) gain | Net unrealized appreciation (depreciation) | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Interest | Net realized loss on futures contracts | $ | (38,790 | ) | Net unrealized appreciation on futures contracts | $ | 23,764 | ||||||
Forward currency | Currency | Net realized gain on forward currency contracts | 14,487 | Net unrealized depreciation on forward currency contracts | (16,813 | ) | ||||||||
Swaps | Interest | Net realized gain on swap contracts | 16,325 | Net unrealized depreciation on swap contracts | (7,485 | ) | ||||||||
Swaps | Credit | Net realized gain on swap contracts | 42 | Net unrealized appreciation on swap contracts | 184 | |||||||||
$ | (7,936 | ) | $ | (350 | ) |
164 | American Funds Insurance Series |
Global Bond Fund
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation1 | $ | 5,231 | Unrealized depreciation1 | $ | 960 | |||||||
Forward currency | Currency | Unrealized appreciation on open forward currency contracts | 12,488 | Unrealized depreciation on open forward currency contracts | 5,570 | |||||||||
Swaps | Interest | Unrealized appreciation1 | 335 | Unrealized depreciation1 | 284 | |||||||||
$ | 18,054 | $ | 6,814 | |||||||||||
Net realized loss | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Interest | Net realized loss on futures contracts | $ | (3,980 | ) | Net unrealized appreciation on futures contracts | $ | 4,630 | ||||||
Forward currency | Currency | Net realized loss on forward currency contracts | (6,955 | ) | Net unrealized appreciation on forward currency contracts | 6,258 | ||||||||
Swaps | Interest | Net realized loss on swap contracts | (44 | ) | Net unrealized appreciation on swap contracts | 1,530 | ||||||||
$ | (10,979 | ) | $ | 12,418 | ||||||||||
High-Income Bond Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Swaps | Interest | Unrealized appreciation1 | $ | 156 | Unrealized depreciation1 | $ | 380 | |||||||
Swaps | Credit | Unrealized appreciation1 | 1,544 | Unrealized depreciation1 | — | |||||||||
$ | 1,700 | $ | 380 | |||||||||||
Net realized gain (loss) | Net unrealized appreciation (depreciation) | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Interest | Net realized gain on futures contracts | $ | 2 | Net unrealized appreciation on futures contracts | $ | — | |||||||
Swaps | Interest | Net realized gain on swap contracts | 743 | Net unrealized depreciation on swap contracts | (646 | ) | ||||||||
Swaps | Credit | Net realized loss on swap contracts | (1,133 | ) | Net unrealized appreciation on swap contracts | 1,963 | ||||||||
$ | (388 | ) | $ | 1,317 | ||||||||||
Mortgage Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation1 | $ | 1,899 | Unrealized depreciation1 | $ | — | |||||||
Swaps | Interest | Unrealized appreciation1 | 3,261 | Unrealized depreciation1 | 2,067 | |||||||||
$ | 5,160 | $ | 2,067 |
See end of tables for footnotes.
American Funds Insurance Series | 165 |
Net realized (loss) gain | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Interest | Net realized loss on futures contracts | $ | (4,529 | ) | Net unrealized appreciation on futures contracts | $ | 2,531 | ||||||
Swaps | Interest | Net realized gain on swap contracts | 449 | Net unrealized appreciation on swap contracts | 1,980 | |||||||||
$ | (4,080 | ) | $ | 4,511 | ||||||||||
U.S. Government/AAA-Rated Securities Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation1 | $ | 31,021 | Unrealized depreciation1 | $ | 3,571 | |||||||
Swaps | Interest | Unrealized appreciation1 | 34,976 | Unrealized depreciation1 | 15,622 | |||||||||
$ | 65,997 | $ | 19,193 | |||||||||||
Net realized loss | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Interest | Net realized loss on futures contracts | $ | (45,333 | ) | Net unrealized appreciation on futures contracts | $ | 34,895 | ||||||
Swaps | Interest | Net realized loss on swap contracts | (1,752 | ) | Net unrealized appreciation on swap contracts | 27,782 | ||||||||
$ | (47,085 | ) | $ | 62,677 | ||||||||||
Managed Risk Growth Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Currency | Unrealized appreciation1 | $ | — | Unrealized depreciation1 | $ | 45 | |||||||
Futures | Equity | Unrealized appreciation1 | 4,022 | Unrealized depreciation1 | — | |||||||||
Futures | Interest | Unrealized appreciation1 | 1,914 | Unrealized depreciation1 | — | |||||||||
$ | 5,936 | $ | 45 | |||||||||||
Net realized gain (loss) | Net unrealized (depreciation) appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Currency | Net realized gain on futures contracts | $ | 118 | Net unrealized depreciation on futures contracts | $ | (45 | ) | ||||||
Futures | Equity | Net realized loss on futures contracts | (4,716 | ) | Net unrealized appreciation on futures contracts | 4,022 | ||||||||
Futures | Interest | Net realized loss on futures contracts | (690 | ) | Net unrealized appreciation on futures contracts | 1,952 | ||||||||
$ | (5,288 | ) | $ | 5,929 |
166 | American Funds Insurance Series |
Managed Risk International Fund
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Currency | Unrealized appreciation1 | $ | — | Unrealized depreciation1 | $ | 278 | |||||||
Futures | Equity | Unrealized appreciation1 | 882 | Unrealized depreciation1 | — | |||||||||
Futures | Interest | Unrealized appreciation1 | 615 | Unrealized depreciation1 | — | |||||||||
$ | 1,497 | $ | 278 | |||||||||||
Net realized gain (loss) | Net unrealized (depreciation) appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Currency | Net realized gain on futures contracts | $ | 356 | Net unrealized depreciation on futures contracts | $ | (278 | ) | ||||||
Futures | Equity | Net realized loss on futures contracts | (600 | ) | Net unrealized appreciation on futures contracts | $ | 882 | |||||||
Futures | Interest | Net realized loss on futures contracts | (57 | ) | Net unrealized appreciation on futures contracts | 634 | ||||||||
$ | (301 | ) | $ | 1,238 | ||||||||||
Managed Risk Blue Chip Income and Growth Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Currency | Unrealized appreciation1 | $ | — | Unrealized depreciation1 | $ | 30 | |||||||
Futures | Equity | Unrealized appreciation1 | 3,946 | Unrealized depreciation1 | — | |||||||||
Futures | Interest | Unrealized appreciation1 | 1,865 | Unrealized depreciation1 | — | |||||||||
$ | 5,811 | $ | 30 | |||||||||||
Net realized gain (loss) | Net unrealized (depreciation) appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Currency | Net realized gain on futures contracts | $ | 115 | Net unrealized depreciation on futures contracts | $ | (30 | ) | ||||||
Futures | Equity | Net realized loss on futures contracts | (6,778 | ) | Net unrealized appreciation on futures contracts | $ | 3,946 | |||||||
Futures | Interest | Net realized loss on futures contracts | (1,035 | ) | Net unrealized appreciation on futures contracts | 1,914 | ||||||||
$ | (7,698 | ) | $ | 5,830 |
See end of tables for footnotes.
American Funds Insurance Series | 167 |
Managed Risk Growth-Income Fund
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Options purchased | Equity | Investment securities from unaffiliated issuers2 | $ | 8,674 | Investment securities from unaffiliated issuers2 | $ | — | |||||||
Futures | Currency | Unrealized appreciation1 | — | Unrealized depreciation1 | 497 | |||||||||
Futures | Equity | Unrealized appreciation1 | 3,986 | Unrealized depreciation1 | 101 | |||||||||
Futures | Interest | Unrealized appreciation1 | 6,919 | Unrealized depreciation1 | $ | — | ||||||||
$ | 19,579 | $ | 598 | |||||||||||
Net realized gain (loss) | Net unrealized appreciation (depreciation) | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Options purchased | Equity | Net realized gain on options contracts3 | $ | — | Net unrealized appreciation on options contracts4 | $ | 1,011 | |||||||
Futures | Currency | Net realized gain on futures contracts | $ | 28 | Net unrealized depreciation on futures contracts | (497 | ) | |||||||
Futures | Equity | Net realized loss on futures contracts | (2,611 | ) | Net unrealized appreciation on futures contracts | $ | 3,885 | |||||||
Futures | Interest | Net realized loss on futures contracts | (481 | ) | Net unrealized appreciation on futures contracts | 6,947 | ||||||||
$ | (3,064 | ) | $ | 11,346 | ||||||||||
Managed Risk Asset Allocation Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Currency | Unrealized appreciation1 | $ | — | Unrealized depreciation1 | $ | 182 | |||||||
Futures | Equity | Unrealized appreciation1 | 17,157 | Unrealized depreciation1 | — | |||||||||
Futures | Interest | Unrealized appreciation1 | 8,348 | Unrealized depreciation1 | — | |||||||||
$ | 25,505 | $ | 182 | |||||||||||
Net realized gain (loss) | Net unrealized (depreciation) appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Currency | Net realized gain on futures contracts | $ | 420 | Net unrealized depreciation on futures contracts | $ | (182 | ) | ||||||
Futures | Equity | Net realized loss on futures contracts | (43,889 | ) | Net unrealized appreciation on futures contracts | $ | 8,940 | |||||||
Futures | Interest | Net realized loss on futures contracts | (5,864 | ) | Net unrealized appreciation on futures contracts | 17,157 | ||||||||
$ | (49,333 | ) | $ | 25,915 |
1 | Includes cumulative appreciation/depreciation on futures contracts, interest rate swaps and credit default swaps as reported in the applicable table following each fund’s investment portfolio. Only current day’s variation margin is reported within the statements of assets and liabilities. |
2 | Includes options purchased as reported in the fund’s investment portfolio. |
3 | Options purchased are included in net realized gain (loss) on unaffiliated investments. |
4 | Options purchased are included in net unrealized (depreciation) appreciation on unaffiliated investments. |
168 | American Funds Insurance Series |
Collateral— Some funds participate in a collateral program that calls for the funds to either receive or pledge highly liquid assets, such as cash or U.S. government securities, as collateral due to securities lending and/or their use of futures contracts, forward currency contracts, interest rate swaps, credit default swaps and/or future delivery contracts. For securities lending, each participating fund receives collateral in exchange for lending investment securities. The purpose of the collateral is to cover potential losses that could occur in the event that the borrower cannot meet its contractual obligation. The lending agent may reinvest collateral from securities lending transactions according to agreed parameters. For futures contracts, interest rate swaps and credit default swaps, the program calls for each participating fund to pledge collateral for initial and variation margin by contract. For forward currency contracts, the program calls for each participating fund to either receive or pledge collateral based on the net gain or loss on unsettled forward currency contracts by counterparty. For future delivery contracts, the program calls for each participating fund to either receive or pledge collateral based on the net gain or loss on unsettled contracts by certain counterparties. The purpose of the collateral is to cover potential losses that could occur in the event that either party cannot meet its contractual obligation. Non-cash collateral pledged by each participating fund, if any, is disclosed in each fund’s investment portfolio, and cash collateral pledged by each participating fund, if any, is held in a segregated account with the fund’s custodian, which is reflected as pledged cash in each fund’s statement of assets and liabilities.
Rights of offset— Funds that hold forward currency contracts have enforceable master netting agreements with certain counterparties, where amounts payable by each party to the other in the same currency (with the same settlement date and with the same counter-party) are settled net of each party’s payment obligation. If an early termination date occurs under these agreements following an event of default or termination event, all obligations of each party to its counterparty are settled net through a single payment in a single currency (“close-out netting”). For financial reporting purposes, the funds do not offset financial assets and financial liabilities that are subject to these master netting arrangements in the statements of assets and liabilities.
The following tables present each fund’s forward currency contracts by counterparty that are subject to master netting agreements but that are not offset in the funds’ statements of assets and liabilities. The net amount column shows the impact of offsetting on the funds’ statement of assets and liabilities as of December 31, 2018, if close-out netting was exercised (dollars in thousands):
International Fund
Gross amounts not offset in the | ||||||||||||||||||||
Gross amounts | statement of assets and liabilities and | |||||||||||||||||||
recognized in the | subject to a master netting agreement | |||||||||||||||||||
statement of assets | Available | Non-cash | Cash | Net | ||||||||||||||||
Counterparty | and liabilities | to offset | collateral* | collateral | amount | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Goldman Sachs | $ | 525 | $ | — | $ | — | $ | (330 | ) | $ | 195 | |||||||||
New World Fund | ||||||||||||||||||||
Gross amounts not offset in the | ||||||||||||||||||||
Gross amounts | statement of assets and liabilities and | |||||||||||||||||||
recognized in the | subject to a master netting agreement | |||||||||||||||||||
statement of assets | Available | Non-cash | Cash | Net | ||||||||||||||||
Counterparty | and liabilities | to offset | collateral* | collateral | amount | |||||||||||||||
Assets: | ||||||||||||||||||||
Citibank | $ | 37 | $ | (28 | ) | $ | — | $ | — | $ | 9 | |||||||||
Goldman Sachs | 82 | — | — | (82 | ) | — | ||||||||||||||
HSBC Bank | 85 | (23 | ) | — | — | 62 | ||||||||||||||
JPMorgan Chase | 128 | (2 | ) | (126 | ) | — | — | |||||||||||||
Morgan Stanley | 24 | — | — | — | 24 | |||||||||||||||
Total | $ | 356 | $ | (53 | ) | $ | (126 | ) | $ | (82 | ) | $ | 95 | |||||||
Liabilities: | ||||||||||||||||||||
Citibank | $ | 28 | $ | (28 | ) | $ | — | $ | — | $ | — | |||||||||
HSBC Bank | 23 | (23 | ) | — | — | — | ||||||||||||||
JPMorgan Chase | 2 | (2 | ) | — | — | — | ||||||||||||||
Total | $ | 53 | $ | (53 | ) | $ | — | $ | — | $ | — |
See end of tables for footnote.
American Funds Insurance Series | 169 |
Global Growth and Income Fund
Gross amounts not offset in the | ||||||||||||||||||||
Gross amounts | statement of assets and liabilities and | |||||||||||||||||||
recognized in the | subject to a master netting agreement | |||||||||||||||||||
statement of assets | Available | Non-cash | Cash | Net | ||||||||||||||||
Counterparty | and liabilities | to offset | collateral* | collateral | amount | |||||||||||||||
Assets: | ||||||||||||||||||||
Citibank | $ | 351 | $ | — | $ | — | $ | (280 | ) | $ | 71 | |||||||||
Global Balanced Fund | ||||||||||||||||||||
Gross amounts not offset in the | ||||||||||||||||||||
Gross amounts | statement of assets and liabilities and | |||||||||||||||||||
recognized in the | subject to a master netting agreement | |||||||||||||||||||
statement of assets | Available | Non-cash | Cash | Net | ||||||||||||||||
Counterparty | and liabilities | to offset | collateral* | collateral | amount | |||||||||||||||
Assets: | ||||||||||||||||||||
Citibank | $ | 42 | $ | (42 | ) | $ | — | $ | — | $ | — | |||||||||
Goldman Sachs | 44 | (9 | ) | — | — | 35 | ||||||||||||||
HSBC Bank | 26 | (18 | ) | — | — | 8 | ||||||||||||||
JPMorgan Chase | 84 | (32 | ) | — | — | 52 | ||||||||||||||
UBS AG | 18 | — | — | — | 18 | |||||||||||||||
Total | $ | 214 | $ | (101 | ) | $ | — | $ | — | $ | 113 | |||||||||
Liabilities: | ||||||||||||||||||||
Bank of America, N.A. | $ | 2 | $ | — | $ | — | $ | — | $ | 2 | ||||||||||
Bank of New York Mellon | 14 | — | — | — | 14 | |||||||||||||||
Citibank | 46 | (42 | ) | — | — | 4 | ||||||||||||||
Goldman Sachs | 9 | (9 | ) | — | — | — | ||||||||||||||
HSBC Bank | 18 | (18 | ) | — | — | — | ||||||||||||||
JPMorgan Chase | 32 | (32 | ) | — | — | — | ||||||||||||||
Morgan Stanley | 11 | — | — | — | 11 | |||||||||||||||
Total | $ | 132 | $ | (101 | ) | $ | — | $ | — | $ | 31 | |||||||||
Bond Fund | ||||||||||||||||||||
Gross amounts not offset in the | ||||||||||||||||||||
Gross amounts | statement of assets and liabilities and | |||||||||||||||||||
recognized in the | subject to a master netting agreement | |||||||||||||||||||
statement of assets | Available | Non-cash | Cash | Net | ||||||||||||||||
Counterparty | and liabilities | to offset | collateral* | collateral | amount | |||||||||||||||
Assets: | ||||||||||||||||||||
Bank of America, N.A. | $ | 781 | $ | (412 | ) | $ | (369 | ) | $ | — | $ | — | ||||||||
Citibank | 443 | (443 | ) | — | — | — | ||||||||||||||
Goldman Sachs | 3,183 | (770 | ) | — | (1,460 | ) | 953 | |||||||||||||
HSBC Bank | 107 | (107 | ) | — | — | — | ||||||||||||||
JPMorgan Chase | 380 | (33 | ) | — | — | 347 | ||||||||||||||
Morgan Stanley | 247 | (247 | ) | — | — | — | ||||||||||||||
Total | $ | 5,141 | $ | (2,012 | ) | $ | (369 | ) | $ | (1,460 | ) | $ | 1,300 | |||||||
Liabilities: | ||||||||||||||||||||
Bank of America, N.A. | $ | 412 | $ | (412 | ) | $ | — | $ | — | $ | — | |||||||||
Citibank | 3,658 | (443 | ) | (2,831 | ) | — | 384 | |||||||||||||
Goldman Sachs | 770 | (770 | ) | — | — | — | ||||||||||||||
HSBC Bank | 3,431 | (107 | ) | (1,748 | ) | — | 1,576 | |||||||||||||
JPMorgan Chase | 33 | (33 | ) | — | — | — | ||||||||||||||
Morgan Stanley | 6,108 | (247 | ) | (4,788 | ) | — | 1,073 | |||||||||||||
Total | $ | 14,412 | $ | (2,012 | ) | $ | (9,367 | ) | $ | — | $ | 3,033 |
170 | American Funds Insurance Series |
Global Bond Fund
Gross amounts not offset in the | ||||||||||||||||||||
Gross amounts | statement of assets and liabilities and | |||||||||||||||||||
recognized in the | subject to a master netting agreement | |||||||||||||||||||
statement of assets | Available | Non-cash | Cash | Net | ||||||||||||||||
Counterparty | and liabilities | to offset | collateral* | collateral | amount | |||||||||||||||
Assets: | ||||||||||||||||||||
Bank of America, N.A. | $ | 307 | $ | (50 | ) | $ | (257 | ) | $ | — | $ | — | ||||||||
Citibank | 3,149 | (1,670 | ) | — | (1,479 | ) | — | |||||||||||||
Goldman Sachs | 1,928 | (304 | ) | — | (1,370 | ) | 254 | |||||||||||||
HSBC Bank | 822 | (822 | ) | — | — | — | ||||||||||||||
JPMorgan Chase | 5,495 | (1,593 | ) | (3,646 | ) | — | 256 | |||||||||||||
Morgan Stanley | 585 | (585 | ) | — | — | — | ||||||||||||||
UBS AG | 202 | — | — | — | 202 | |||||||||||||||
Total | $ | 12,488 | $ | (5,024 | ) | $ | (3,903 | ) | $ | (2,849 | ) | $ | 712 | |||||||
Liabilities: | ||||||||||||||||||||
Bank of America, N.A. | $ | 50 | $ | (50 | ) | $ | — | $ | — | $ | — | |||||||||
Bank of New York Mellon | 446 | — | (319 | ) | — | 127 | ||||||||||||||
Citibank | 1,670 | (1,670 | ) | — | — | — | ||||||||||||||
Goldman Sachs | 304 | (304 | ) | — | — | — | ||||||||||||||
HSBC Bank | 842 | (822 | ) | (20 | ) | — | — | |||||||||||||
JPMorgan Chase | 1,593 | (1,593 | ) | — | — | — | ||||||||||||||
Morgan Stanley | 665 | (585 | ) | — | — | 80 | ||||||||||||||
Total | $ | 5,570 | $ | (5,024 | ) | $ | (339 | ) | $ | — | $ | 207 |
* | Non-cash collateral is shown on a settlement basis. |
6. Taxation and distributions
Federal income taxation— Each fund complies with the requirements under Subchapter M of the Internal Revenue Code applicable to mutual funds and intends to distribute substantially all of its net taxable income and net capital gains each year. The funds are not subject to income taxes to the extent such distributions are made. Therefore, no federal income tax provision is required.
As of and during the period ended December 31, 2018, none of the funds had a liability for any unrecognized tax benefits. Each fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in their respective statements of operations. During the period, none of the funds incurred any significant interest or penalties.
Each fund’s tax returns are not subject to examination by federal, state and, if applicable, non-U.S. tax authorities after the expiration of each jurisdiction’s statute of limitations, which is generally three years after the date of filing but can be extended in certain jurisdictions.
Non-U.S. taxation— Dividend and interest income, if any, are recorded net of non-U.S. taxes paid. The funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. As a result of rulings from European courts, the funds filed for additional reclaims related to prior years. These reclaims are recorded when the amount is known and there are no significant uncertainties on collectability. Gains realized by the funds on the sale of securities in certain countries, if any, may be subject to non-U.S. taxes. If applicable, the funds record an estimated deferred tax liability based on unrealized gains to provide for potential non-U.S. taxes payable upon the sale of these securities.
Distributions— Distributions paid to shareholders are based on each fund’s net investment income and net realized gains determined on a tax basis, which may differ from net investment income and net realized gains for financial reporting purposes. These differences are due primarily to different treatment for items such as currency gains and losses; short-term capital gains and losses; capital losses related to sales of certain securities within 30 days of purchase; unrealized appreciation of certain investments in securities outside the U.S.; deferred expenses; cost of investments sold; paydowns on fixed-income securities; net capital losses; non-U.S. taxes on capital gains, amortization of premiums and discounts and income on certain investments. The fiscal year in which amounts are distributed may differ from the year in which the net investment income and net realized gains are recorded by the funds for financial reporting purposes.
American Funds Insurance Series | 171 |
Additional tax basis disclosures for each fund as of December 31, 2018, were as follows (dollars in thousands):
Global | Blue Chip | |||||||||||||||||||||||
Global | Small | New | Income and | |||||||||||||||||||||
Growth | Capitalization | Growth | International | World | Growth | |||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | |||||||||||||||||||
Undistributed ordinary income | $ | 8,660 | $ | 49,672 | $ | 198,816 | $ | 15,101 | $ | 6,466 | $ | 36,690 | ||||||||||||
Undistributed long-term capital gains | 343,497 | 226,394 | 2,617,605 | 244,466 | 127,685 | 688,634 | ||||||||||||||||||
Gross unrealized appreciation on investments | 1,604,496 | 696,725 | 7,325,355 | 1,447,585 | 450,625 | 1,466,280 | ||||||||||||||||||
Gross unrealized depreciation on investments | (343,672 | ) | (384,458 | ) | (869,582 | ) | (1,024,206 | ) | (275,197 | ) | (755,225 | ) | ||||||||||||
Net unrealized (depreciation) appreciation on investments | 1,260,824 | 312,267 | 6,455,773 | 423,379 | 175,428 | 711,055 | ||||||||||||||||||
Cost of investments | 4,226,092 | 3,337,191 | 16,951,703 | 8,572,537 | 2,824,343 | 7,306,978 | ||||||||||||||||||
Reclassification from (to) total distributable earnings/accumulated loss to (from) capital paid in on shares of beneficial interest | — | — | — | (1 | ) | — | — | |||||||||||||||||
Global | International | |||||||||||||||||||||||
Growth | Growth- | Growth | Capital | Asset | Global | |||||||||||||||||||
and Income | Income | and Income | Income | Allocation | Balanced | |||||||||||||||||||
Fund | Fund | Fund | Builder | Fund | Fund | |||||||||||||||||||
Undistributed ordinary income | $ | 6,636 | $ | 252,809 | $ | 21,126 | $ | 1,595 | $ | 110,523 | $ | 541 | ||||||||||||
Undistributed long-term capital gains | 100,790 | 3,204,751 | — | — | 1,278,077 | 353 | ||||||||||||||||||
Capital loss carryforward* | — | — | — | (13,776 | ) | — | — | |||||||||||||||||
Capital loss carryforward utilized | — | — | 4,708 | — | — | — | ||||||||||||||||||
Gross unrealized appreciation on investments | 301,662 | 6,581,607 | 116,642 | 32,592 | 4,196,275 | 44,069 | ||||||||||||||||||
Gross unrealized depreciation on investments | (116,841 | ) | (2,100,241 | ) | (148,050 | ) | (55,480 | ) | (1,720,590 | ) | (20,622 | ) | ||||||||||||
Net unrealized (depreciation) appreciation on investments | 184,821 | 4,481,366 | (31,408 | ) | (22,888 | ) | 2,475,685 | 23,447 | ||||||||||||||||
Cost of investments | 1,627,461 | 25,359,635 | 1,364,854 | 703,065 | 20,793,720 | 345,242 | ||||||||||||||||||
Reclassification from (to) total distributable earnings/accumulated loss to (from) capital paid in on shares of beneficial interest | — | (1 | ) | — | — | — | — | |||||||||||||||||
U.S. | ||||||||||||||||||||||||
High- | Government/ | |||||||||||||||||||||||
Global | Income | Ultra-Short | AAA-Rated | |||||||||||||||||||||
Bond | Bond | Bond | Mortgage | Bond | Securities | |||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | |||||||||||||||||||
Undistributed ordinary income | $ | 56,980 | $ | 15,875 | $ | 15,462 | $ | 1,266 | $ | 999 | $ | 11,344 | ||||||||||||
Capital loss carryforward* | (159,206 | ) | (3,784 | ) | (160,099 | ) | (6,175 | ) | — | (52,033 | ) | |||||||||||||
Gross unrealized appreciation on investments | 101,569 | 34,171 | — | 4,698 | 6 | 51,575 | ||||||||||||||||||
Gross unrealized depreciation on investments | (219,353 | ) | (80,326 | ) | (114,581 | ) | (4,505 | ) | (14 | ) | (47,613 | ) | ||||||||||||
Net unrealized (depreciation) appreciation on investments | (117,784 | ) | (46,155 | ) | (114,581 | ) | 193 | (8 | ) | 3,962 | ||||||||||||||
Cost of investments | 11,073,859 | 2,180,987 | 1,301,010 | 346,647 | 306,754 | 3,153,546 | ||||||||||||||||||
Reclassification from (to) total distributable earnings/accumulated loss to (from) capital paid in on shares of beneficial interest | — | (1 | ) | — | — | — | — |
172 | American Funds Insurance Series |
Managed | Managed | Managed | ||||||||||||||||||
Managed | Managed | Risk Blue | Risk | Risk | ||||||||||||||||
Risk | Risk | Chip Income | Growth- | Asset | ||||||||||||||||
Growth | International | and Growth | Income | Allocation | ||||||||||||||||
Fund | Fund | Fund | Fund | Fund | ||||||||||||||||
Undistributed ordinary income | $ | 2,543 | $ | 2,983 | $ | 5,577 | $ | 6,359 | $ | 62,616 | ||||||||||
Undistributed long-term capital gains | 26,579 | 4,809 | 17,833 | 16,511 | 115,113 | |||||||||||||||
Gross unrealized appreciation on investments | 10 | 297 | — | 884 | 49 | |||||||||||||||
Gross unrealized depreciation on investments | (12,447 | ) | (14,600 | ) | (26,939 | ) | (27,155 | ) | (61,453 | ) | ||||||||||
Net unrealized (depreciation) appreciation on investments | (12,437 | ) | (14,303 | ) | (26,939 | ) | (26,271 | ) | (61,404 | ) | ||||||||||
Cost of investments | 354,269 | 163,484 | 362,023 | 1,897,770 | 2,593,652 |
* | Capital loss carryforwards will be used to offset any capital gains realized by the fund in future years. The fund will not make distributions from capital gains while a capital loss carryforward remains. |
Distributions paid by each fund were characterized for tax purposes as follows (dollars in thousands):
Global Growth Fund
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 28,611 | $ | 134,884 | $ | 163,495 | $ | 16,830 | $ | 55,298 | $ | 72,128 | ||||||||||||
Class 1A* | 47 | 273 | 320 | 15 | 16 | 31 | ||||||||||||||||||
Class 2 | 41,238 | 251,323 | 292,561 | 24,835 | 114,893 | 139,728 | ||||||||||||||||||
Class 4 | 2,414 | 16,024 | 18,438 | 1,062 | 3,889 | 4,951 | ||||||||||||||||||
Total | $ | 72,310 | $ | 402,504 | $ | 474,814 | $ | 42,742 | $ | 174,096 | $ | 216,838 | ||||||||||||
Global Small Capitalization Fund | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 21,329 | $ | 55,968 | $ | 77,297 | $ | 10,151 | $ | — | $ | 10,151 | ||||||||||||
Class 1A* | 4 | 12 | 16 | 1 | — | 1 | ||||||||||||||||||
Class 2 | 26,294 | 86,037 | 112,331 | 10,597 | — | 10,597 | ||||||||||||||||||
Class 4 | 1,456 | 5,035 | 6,491 | 270 | — | 270 | ||||||||||||||||||
Total | $ | 49,083 | $ | 147,052 | $ | 196,135 | $ | 21,019 | $ | — | $ | 21,019 | ||||||||||||
Growth Fund | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 88,940 | $ | 792,865 | $ | 881,805 | $ | 75,247 | $ | 713,987 | $ | 789,234 | ||||||||||||
Class 1A* | 76 | 634 | 710 | 15 | 63 | 78 | ||||||||||||||||||
Class 2 | 117,331 | 1,515,757 | 1,633,088 | 110,909 | 1,409,266 | 1,520,175 | ||||||||||||||||||
Class 3 | 1,723 | 20,248 | 21,971 | 1,601 | 18,484 | 20,085 | ||||||||||||||||||
Class 4 | 6,414 | 104,527 | 110,941 | 4,893 | 53,128 | 58,021 | ||||||||||||||||||
Total | $ | 214,484 | $ | 2,434,031 | $ | 2,648,515 | $ | 192,665 | $ | 2,194,928 | $ | 2,387,593 |
See end of tables for footnotes.
American Funds Insurance Series | 173 |
International Fund
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 174,418 | $ | 165,915 | $ | 340,333 | $ | 70,384 | $ | 49,783 | $ | 120,167 | ||||||||||||
Class 1A* | 156 | 140 | 296 | 17 | 3 | 20 | ||||||||||||||||||
Class 2 | 136,977 | 146,986 | 283,963 | 53,513 | 46,642 | 100,155 | ||||||||||||||||||
Class 3 | 887 | 970 | 1,857 | 396 | 331 | 727 | ||||||||||||||||||
Class 4 | 9,465 | 10,556 | 20,021 | 3,025 | 1,066 | 4,091 | ||||||||||||||||||
Total | $ | 321,903 | $ | 324,567 | $ | 646,470 | $ | 127,335 | $ | 97,825 | $ | 225,160 | ||||||||||||
New World Fund | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 21,450 | $ | 54,023 | $ | 75,473 | $ | 21,960 | $ | — | $ | 21,960 | ||||||||||||
Class 1A* | 24 | 50 | 74 | 6 | — | 6 | ||||||||||||||||||
Class 2 | 8,194 | 26,593 | 34,787 | 9,149 | — | 9,149 | ||||||||||||||||||
Class 4 | 3,419 | 12,659 | 16,078 | 3,016 | — | 3,016 | ||||||||||||||||||
Total | $ | 33,087 | $ | 93,325 | $ | 126,412 | $ | 34,131 | $ | — | $ | 34,131 | ||||||||||||
Blue Chip Income and Growth Fund | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 232,769 | $ | 299,947 | $ | 532,716 | $ | 140,306 | $ | 170,748 | $ | 311,054 | ||||||||||||
Class 1A* | 120 | 135 | 255 | 12 | 5 | 17 | ||||||||||||||||||
Class 2 | 134,358 | 186,318 | 320,676 | 82,680 | 113,013 | 195,693 | ||||||||||||||||||
Class 4 | 13,348 | 16,620 | 29,968 | 4,917 | 5,605 | 10,522 | ||||||||||||||||||
Total | $ | 380,595 | $ | 503,020 | $ | 883,615 | $ | 227,915 | $ | 289,371 | $ | 517,286 | ||||||||||||
Global Growth and Income Fund | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 16,289 | $ | 31,541 | $ | 47,830 | $ | 10,516 | $ | 7,109 | $ | 17,625 | ||||||||||||
Class 1A* | 28 | 53 | 81 | 2 | — | 2 | ||||||||||||||||||
Class 2 | 40,436 | 90,173 | 130,609 | 30,799 | 26,178 | 56,977 | ||||||||||||||||||
Class 4 | 2,682 | 5,789 | 8,471 | 1,478 | 405 | 1,883 | ||||||||||||||||||
Total | $ | 59,435 | $ | 127,556 | $ | 186,991 | $ | 42,795 | $ | 33,692 | $ | 76,487 |
174 | American Funds Insurance Series |
Growth-Income Fund
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 341,172 | $ | 1,049,641 | $ | 1,390,813 | $ | 250,221 | $ | 884,958 | $ | 1,135,179 | ||||||||||||
Class 1A* | 124 | 344 | 468 | 24 | 16 | 40 | ||||||||||||||||||
Class 2 | 241,470 | 886,942 | 1,128,412 | 195,450 | 853,292 | 1,048,742 | ||||||||||||||||||
Class 3 | 2,907 | 10,337 | 13,244 | 2,421 | 10,140 | 12,561 | ||||||||||||||||||
Class 4 | 15,471 | 58,501 | 73,972 | 9,973 | 36,513 | 46,486 | ||||||||||||||||||
Total | $ | 601,144 | $ | 2,005,765 | $ | 2,606,909 | $ | 458,089 | $ | 1,784,919 | $ | 2,243,008 | ||||||||||||
International Growth and Income Fund | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 28,476 | $ | — | $ | 28,476 | $ | 25,860 | $ | — | $ | 25,860 | ||||||||||||
Class 1A* | 44 | — | 44 | 14 | — | 14 | ||||||||||||||||||
Class 2 | 5,865 | — | 5,865 | 5,714 | — | 5,714 | ||||||||||||||||||
Class 4 | 1,597 | — | 1,597 | 1,184 | — | 1,184 | ||||||||||||||||||
Total | $ | 35,982 | $ | — | $ | 35,982 | $ | 32,772 | $ | — | $ | 32,772 | ||||||||||||
Capital Income Builder | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 9,421 | $ | 617 | $ | 10,038 | $ | 6,303 | $ | — | $ | 6,303 | ||||||||||||
Class 1A* | 66 | 3 | 69 | 8 | — | 8 | ||||||||||||||||||
Class 2 | 90 | 6 | 96 | 23 | — | 23 | ||||||||||||||||||
Class 4 | 9,550 | 762 | 10,312 | 7,676 | — | 7,676 | ||||||||||||||||||
Total | $ | 19,127 | $ | 1,388 | $ | 20,515 | $ | 14,010 | $ | — | $ | 14,010 | ||||||||||||
Asset Allocation Fund | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 386,982 | $ | 666,856 | $ | 1,053,838 | $ | 287,347 | $ | 666,425 | $ | 953,772 | ||||||||||||
Class 1A* | 147 | 263 | 410 | 50 | 70 | 120 | ||||||||||||||||||
Class 2 | 103,332 | 210,133 | 313,465 | 84,847 | 241,077 | 325,924 | ||||||||||||||||||
Class 3 | 686 | 1,413 | 2,099 | 601 | 1,646 | 2,247 | ||||||||||||||||||
Class 4 | 69,096 | 148,867 | 217,963 | 47,458 | 145,207 | 192,665 | ||||||||||||||||||
Total | $ | 560,243 | $ | 1,027,532 | $ | 1,587,775 | $ | 420,303 | $ | 1,054,425 | $ | 1,474,728 |
See end of tables for footnotes.
American Funds Insurance Series | 175 |
Global Balanced Fund
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 1,808 | $ | 1,346 | $ | 3,154 | $ | 1,298 | $ | 2,309 | $ | 3,607 | ||||||||||||
Class 1A* | 30 | 25 | 55 | 3 | 5 | 8 | ||||||||||||||||||
Class 2 | 2,555 | 2,290 | 4,845 | 2,516 | 5,414 | 7,930 | ||||||||||||||||||
Class 4 | 804 | 842 | 1,646 | 582 | 1,195 | 1,777 | ||||||||||||||||||
Total | $ | 5,197 | $ | 4,503 | $ | 9,700 | $ | 4,399 | $ | 8,923 | $ | 13,322 | ||||||||||||
Bond Fund | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 156,337 | $ | 8,915 | $ | 165,252 | $ | 211,473 | $ | 25,594 | $ | 237,067 | ||||||||||||
Class 1A* | 76 | 4 | 80 | 19 | 1 | 20 | ||||||||||||||||||
Class 2 | 88,266 | 5,217 | 93,483 | 119,175 | 15,280 | 134,455 | ||||||||||||||||||
Class 4 | 8,153 | 453 | 8,606 | 5,958 | 441 | 6,399 | ||||||||||||||||||
Total | $ | 252,832 | $ | 14,589 | $ | 267,421 | $ | 336,625 | $ | 41,316 | $ | 377,941 | ||||||||||||
Global Bond Fund | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 25,210 | $ | 3,256 | $ | 28,466 | $ | 14,181 | $ | 103 | $ | 14,284 | ||||||||||||
Class 1A* | 9 | 1 | 10 | — | † | — | † | — | † | |||||||||||||||
Class 2 | 23,308 | 3,412 | 26,720 | 11,033 | 99 | 11,132 | ||||||||||||||||||
Class 4 | 816 | 118 | 934 | 196 | 1 | 197 | ||||||||||||||||||
Total | $ | 49,343 | $ | 6,787 | $ | 56,130 | $ | 25,410 | $ | 203 | $ | 25,613 | ||||||||||||
High-Income Bond Fund | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 34,114 | $ | — | $ | 34,114 | $ | 43,976 | $ | — | $ | 43,976 | ||||||||||||
Class 1A* | 40 | — | 40 | 12 | — | 12 | ||||||||||||||||||
Class 2 | 43,382 | — | 43,382 | 51,640 | — | 51,640 | ||||||||||||||||||
Class 3 | 664 | — | 664 | 805 | — | 805 | ||||||||||||||||||
Class 4 | 1,733 | — | 1,733 | 1,981 | — | 1,981 | ||||||||||||||||||
Total | $ | 79,933 | $ | — | $ | 79,933 | $ | 98,414 | $ | — | $ | 98,414 | ||||||||||||
Mortgage Fund | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 4,938 | $ | — | $ | 4,938 | $ | 5,106 | $ | 1,186 | $ | 6,292 | ||||||||||||
Class 1A* | 15 | — | 15 | 2 | — | † | 2 | |||||||||||||||||
Class 2 | 1,128 | — | 1,128 | 1,025 | 262 | 1,287 | ||||||||||||||||||
Class 4 | 424 | — | 424 | 165 | 39 | 204 | ||||||||||||||||||
Total | $ | 6,505 | $ | — | $ | 6,505 | $ | 6,298 | $ | 1,487 | $ | 7,785 |
176 | American Funds Insurance Series |
Ultra-Short Bond Fund
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 561 | $ | — | $ | 561 | $ | 184 | $ | — | $ | 184 | ||||||||||||
Class 1A* | — | — | — | — | — | — | ||||||||||||||||||
Class 2 | 2,762 | — | 2,762 | 697 | — | 697 | ||||||||||||||||||
Class 3 | 41 | — | 41 | 15 | — | 15 | ||||||||||||||||||
Class 4 | 153 | — | 153 | 10 | — | 10 | ||||||||||||||||||
Total | $ | 3,517 | $ | — | $ | 3,517 | $ | 906 | $ | — | $ | 906 | ||||||||||||
U.S. Government/AAA-Rated Securities Fund | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class 1 | $ | 29,881 | $ | — | $ | 29,881 | $ | 23,690 | $ | — | $ | 23,690 | ||||||||||||
Class 1A* | 29 | — | 29 | 1 | — | 1 | ||||||||||||||||||
Class 2 | 24,431 | — | 24,431 | 19,498 | — | 19,498 | ||||||||||||||||||
Class 3 | 165 | — | 165 | 141 | — | 141 | ||||||||||||||||||
Class 4 | 1,313 | — | 1,313 | 663 | — | 663 | ||||||||||||||||||
Total | $ | 55,819 | $ | — | $ | 55,819 | $ | 43,993 | $ | — | $ | 43,993 | ||||||||||||
Managed Risk Growth Fund | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class P1 | $ | 14 | $ | 135 | $ | 149 | $ | 7 | $ | 22 | $ | 29 | ||||||||||||
Class P2 | 1,397 | 20,395 | 21,792 | 727 | 4,120 | 4,847 | ||||||||||||||||||
Total | $ | 1,411 | $ | 20,530 | $ | 21,941 | $ | 734 | $ | 4,142 | $ | 4,876 | ||||||||||||
Managed Risk International Fund | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class P1 | $ | 8 | $ | 1 | $ | 9 | $ | 1 | $ | 1 | $ | 2 | ||||||||||||
Class P2 | 2,681 | 738 | 3,419 | 899 | 1,402 | 2,301 | ||||||||||||||||||
Total | $ | 2,689 | $ | 739 | $ | 3,428 | $ | 900 | $ | 1,403 | $ | 2,303 | ||||||||||||
Managed Risk Blue Chip Income and Growth Fund | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class P1 | $ | 15 | $ | 7 | $ | 22 | $ | 4 | $ | 3 | $ | 7 | ||||||||||||
Class P2 | 11,391 | 12,112 | 23,503 | 5,157 | 5,565 | 10,722 | ||||||||||||||||||
Total | $ | 11,406 | $ | 12,119 | $ | 23,525 | $ | 5,161 | $ | 5,568 | $ | 10,729 |
See end of tables for footnotes.
American Funds Insurance Series | 177 |
Managed Risk Growth-Income Fund
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class P1 | $ | 42 | $ | 122 | $ | 164 | $ | 19 | $ | 73 | $ | 92 | ||||||||||||
Class P2 | 2,374 | 9,814 | 12,188 | 1,848 | 7,653 | 9,501 | ||||||||||||||||||
Total | $ | 2,416 | $ | 9,936 | $ | 12,352 | $ | 1,867 | $ | 7,726 | $ | 9,593 | ||||||||||||
Managed Risk Asset Allocation Fund | ||||||||||||||||||||||||
Year ended December 31, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||||||||||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||||||||||||||
Class P1 | $ | 31,787 | $ | 66,960 | $ | 98,747 | $ | 11,453 | $ | 13,811 | $ | 25,264 | ||||||||||||
Class P2 | 36,816 | 107,405 | 144,221 | 20,269 | 24,931 | 45,200 | ||||||||||||||||||
Total | $ | 68,603 | $ | 174,365 | $ | 242,968 | $ | 31,722 | $ | 38,742 | $ | 70,464 |
* | Class 1A shares began investment operations on January 6, 2017. |
† | Amount less than one thousand. |
178 | American Funds Insurance Series |
7. Fees and transactions
CRMC, the series’ investment adviser, is the parent company of American Funds Distributors,® Inc. (“AFD”), the distributor of the series’ shares, and American Funds Service Company® (“AFS”), the series’ transfer agent. CRMC, AFD and AFS are considered related parties to the series.
Investment advisory services— The series has an investment advisory and service agreement with CRMC that provides for monthly fees accrued daily. These fees are based on annual rates that generally decrease as net asset levels increase. CRMC receives investment advisory fees from the underlying funds held by the managed risk funds. These fees are included in the net effective expense ratios that are provided as additional information in the financial highlights tables. Subadvisory fees for the managed risk funds are paid by CRMC to Milliman FRM. The managed risk funds are not responsible for paying any subadvisory fees.
Investment advisory services waivers— On December 4, 2017, the series board of trustees approved amended agreements effective February 1, 2018, decreasing the annual rate to 0.580% on daily net assets in excess of $4 billion for New World Fund, decreasing the annual rate to 0.350% on daily net assets in excess of $10.5 billion for Blue Chip Income and Growth Fund, and decreasing the annual rate to 0.320% on daily net assets in excess of $13 billion for Bond Fund. During the year ended December 31, 2018, CRMC voluntarily reduced the investment advisory services fees to a proposed rate of 0.500% on daily net assets in excess of $1.5 billion for International Growth and Income Fund and a proposed rate of 0.450% and 0.410% on daily net assets in excess of $600 million and $1 billion, respectively, for Capital Income Builder. CRMC is also waiving a portion of its investment advisory services fees for each of the managed risk funds. Investment advisory services fees are presented in each fund’s statement of operations gross of the waivers from CRMC. For the year ended December 31, 2018, total investment advisory services fees waived by CRMC were $2,789,000.
The range of rates, net asset levels and the current annualized rates of average daily net assets for each fund before and after any investment advisory services waivers (if applicable), are as follows:
For the | For the | |||||||||||||||||||||||
Net asset level | year ended | year ended | ||||||||||||||||||||||
Rates | (in billions) | December 31, | December 31, | |||||||||||||||||||||
Beginning | Ending | In excess | 2018, | 2018, | ||||||||||||||||||||
Fund | with | with | Up to | of | before waiver | after waiver | ||||||||||||||||||
Global Growth Fund | .690 | % | .460 | % | $ | .6 | $ | 5.0 | .516 | % | .516 | % | ||||||||||||
Global Small Capitalization Fund | .800 | .635 | .6 | 5.0 | .696 | .696 | ||||||||||||||||||
Growth Fund | .500 | .280 | .6 | 34.0 | .323 | .323 | ||||||||||||||||||
International Fund | .690 | .430 | .5 | 21.0 | .492 | .492 | ||||||||||||||||||
New World Fund | .850 | .580 | .5 | 4.0 | .701 | .701 | ||||||||||||||||||
Blue Chip Income and Growth Fund | .500 | .350 | .6 | 10.5 | .389 | .389 | ||||||||||||||||||
Global Growth and Income Fund | .690 | �� | .480 | .6 | 3.0 | .593 | .593 | |||||||||||||||||
Growth-Income Fund | .500 | .219 | .6 | 34.0 | .258 | .258 | ||||||||||||||||||
International Growth and Income Fund | .690 | .530 | .5 | 1.0 | .606 | .606 | ||||||||||||||||||
Capital Income Builder | .500 | all | .500 | .496 | ||||||||||||||||||||
Asset Allocation Fund | .500 | .240 | .6 | 21.0 | .266 | .266 | ||||||||||||||||||
Global Balanced Fund | .660 | .510 | .5 | 1.0 | .660 | .660 | ||||||||||||||||||
Bond Fund | .480 | .320 | .6 | 13.0 | .363 | .363 | ||||||||||||||||||
Global Bond Fund | .570 | .450 | 1.0 | 3.0 | .531 | .531 | ||||||||||||||||||
High-Income Bond Fund | .500 | .420 | .6 | 2.0 | .472 | .472 | ||||||||||||||||||
Mortgage Fund | .420 | .290 | .6 | 3.0 | .420 | .420 | ||||||||||||||||||
Ultra-Short Bond Fund | .320 | .270 | 1.0 | 2.0 | .320 | .320 | ||||||||||||||||||
U.S. Government/AAA-Rated Securities Fund | .420 | .290 | .6 | 3.0 | .339 | .339 | ||||||||||||||||||
Managed Risk Growth Fund | .150 | all | .150 | .100 | ||||||||||||||||||||
Managed Risk International Fund | .150 | all | .150 | .100 | ||||||||||||||||||||
Managed Risk Blue Chip Income and Growth Fund | .150 | all | .150 | .100 | ||||||||||||||||||||
Managed Risk Growth-Income Fund | .150 | all | .150 | .100 | ||||||||||||||||||||
Managed Risk Asset Allocation Fund | .150 | all | .150 | .100 |
American Funds Insurance Series | 179 |
Distribution services— The series has plans of distribution for all share classes except Class 1. Under the plans, the board of trustees approves certain categories of expenses that are used to finance activities primarily intended to sell fund shares. The plans provide for payments to pay service fees to firms that have entered into agreements with the series. These payments, based on an annualized percentage of average daily net assets, range from 0.18% to 0.50% as noted in the table below. In some cases, the board of trustees has limited the amounts that may be paid to less than the maximum allowed by the plans.
Share class | Currently approved limits | Plan limits | ||||||
Class 1A | 0.00 | % | 0.25 | % | ||||
Class 2 | 0.25 | 0.25 | ||||||
Class 3 | 0.18 | 0.18 | ||||||
Class 4 | 0.25 | 0.25 | ||||||
Class P1 | 0.00 | 0.25 | ||||||
Class P2 | 0.25 | 0.50 |
Insurance administrative services— The series has an insurance administrative services plan for Class 1A, 4, P1 and P2 shares. Under the plan, these share classes pay 0.25% of each insurance company’s respective average daily net assets in each share class to compensate the insurance companies for services provided to their separate accounts and contractholders for which the shares of the fund are beneficially owned as underlying investments of such contractholders’ annuities. These services include, but are not limited to, maintenance, shareholder communications and transactional services. The insurance companies are not related parties to the series.
Transfer agent services— The series has a shareholder services agreement with AFS under which the funds compensate AFS for providing transfer agent services to all of the funds’ share classes. These services include recordkeeping, shareholder communications and transaction processing. In addition, the managed risk funds reimburse AFS for amounts paid to third parties for performing transfer agent services on behalf of fund shareholders.
Administrative services— The series has an administrative services agreement with CRMC under which each fund compensates CRMC for providing administrative services to all of the funds’ share classes except Class P1 and P2 shares. Administrative services are provided by CRMC to help assist third parties providing non-distribution services to fund shareholders. These services include providing in depth information on each fund and market developments that impact fund investors. Administrative services also include, but are not limited to, coordinating, monitoring and overseeing third parties that provide services to fund shareholders. The agreement between the series and CRMC provides each fund, other than the managed risk funds, the ability to charge an administrative services fee of 0.05% of average daily net assets for all share classes. Currently all share classes pay an annual fee of 0.01% of average daily net assets (which could be increased as noted above). For the managed risk funds, CRMC receives administrative services fees of 0.01% of average daily net assets from Class 1 shares of the underlying funds for administrative services provided to the series.
Accounting and administrative services— The managed risk funds have a subadministration agreement with BNY Mellon under which the fund compensates BNY Mellon for providing accounting and administrative services to each of the managed risk funds’ share classes. These services include, but are not limited to, fund accounting (including calculation of net asset value), financial reporting and tax services. BNY Mellon is not a related party to the managed risk funds.
Class-specific expenses under the agreements described above were as follows (dollars in thousands):
Global Growth Fund
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 211 | ||||||||
Class 1A | $ | — | $ | 10 | — | * | ||||||
Class 2 | 9,707 | Not applicable | 388 | |||||||||
Class 4 | 623 | 623 | 25 | |||||||||
Total class-specific expenses | $ | 10,330 | $ | 633 | $ | 624 | ||||||
Global Small Capitalization Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 164 | ||||||||
Class 1A | $ | — | $ | 1 | — | * | ||||||
Class 2 | 6,093 | Not applicable | 244 | |||||||||
Class 4 | 366 | 366 | 15 | |||||||||
Total class-specific expenses | $ | 6,459 | $ | 367 | $ | 423 |
180 | American Funds Insurance Series |
Growth Fund
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 864 | ||||||||
Class 1A | $ | — | $ | 17 | 1 | |||||||
Class 2 | 39,441 | Not applicable | 1,578 | |||||||||
Class 3 | 386 | Not applicable | 21 | |||||||||
Class 4 | 2,733 | 2,733 | 109 | |||||||||
Total class-specific expenses | $ | 42,560 | $ | 2,750 | $ | 2,573 | ||||||
International Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 510 | ||||||||
Class 1A | $ | — | $ | 10 | �� | — | * | |||||
Class 2 | 10,932 | Not applicable | 437 | |||||||||
Class 3 | 52 | Not applicable | 3 | |||||||||
Class 4 | 780 | 780 | 31 | |||||||||
Total class-specific expenses | $ | 11,764 | $ | 790 | $ | 981 | ||||||
New World Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 196 | ||||||||
Class 1A | $ | — | $ | 4 | — | * | ||||||
Class 2 | 2,430 | Not applicable | 97 | |||||||||
Class 4 | 1,159 | 1,160 | 46 | |||||||||
Total class-specific expenses | $ | 3,589 | $ | 1,164 | $ | 339 | ||||||
Blue Chip Income and Growth Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 544 | ||||||||
Class 1A | $ | — | $ | 6 | — | * | ||||||
Class 2 | 8,330 | Not applicable | 333 | |||||||||
Class 4 | 788 | 788 | 32 | |||||||||
Total class-specific expenses | $ | 9,118 | $ | 794 | $ | 909 | ||||||
Global Growth and Income Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 51 | ||||||||
Class 1A | $ | — | $ | 2 | — | * | ||||||
Class 2 | 3,617 | Not applicable | 145 | |||||||||
Class 4 | 231 | 231 | 9 | |||||||||
Total class-specific expenses | $ | 3,848 | $ | 233 | $ | 205 | ||||||
Growth-Income Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 1,657 | ||||||||
Class 1A | $ | — | $ | 13 | 1 | |||||||
Class 2 | 34,335 | Not applicable | 1,373 | |||||||||
Class 3 | 292 | Not applicable | 16 | |||||||||
Class 4 | 2,287 | 2,287 | 92 | |||||||||
Total class-specific expenses | $ | 36,914 | $ | 2,300 | $ | 3,139 | ||||||
International Growth and Income Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 112 | ||||||||
Class 1A | $ | — | $ | 5 | — | * | ||||||
Class 2 | 662 | Not applicable | 27 | |||||||||
Class 4 | 178 | 178 | 7 | |||||||||
Total class-specific expenses | $ | 840 | $ | 183 | $ | 146 | ||||||
Capital Income Builder | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 29 | ||||||||
Class 1A | $ | — | $ | 6 | — | * | ||||||
Class 2 | 7 | Not applicable | 1 | |||||||||
Class 4 | 878 | 878 | 35 | |||||||||
Total class-specific expenses | $ | 885 | $ | 884 | $ | 65 |
See end of tables for footnotes.
American Funds Insurance Series | 181 |
Asset Allocation Fund
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 1,688 | ||||||||
Class 1A | $ | — | $ | 15 | 1 | |||||||
Class 2 | 13,103 | Not applicable | 524 | |||||||||
Class 3 | 63 | Not applicable | 3 | |||||||||
Class 4 | 9,339 | 9,339 | 374 | |||||||||
Total class-specific expenses | $ | 22,505 | $ | 9,354 | $ | 2,590 | ||||||
Global Balanced Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 11 | ||||||||
Class 1A | $ | — | $ | 3 | — | * | ||||||
Class 2 | 516 | Not applicable | 21 | |||||||||
Class 4 | 164 | 164 | 6 | |||||||||
Total class-specific expenses | $ | 680 | $ | 167 | $ | 38 | ||||||
Bond Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 628 | ||||||||
Class 1A | $ | — | $ | 6 | — | * | ||||||
Class 2 | 9,391 | Not applicable | 376 | |||||||||
Class 4 | 829 | 829 | 33 | |||||||||
Total class-specific expenses | $ | 10,220 | $ | 835 | $ | 1,037 | ||||||
Global Bond Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 112 | ||||||||
Class 1A | $ | — | $ | 1 | — | * | ||||||
Class 2 | 2,805 | Not applicable | 112 | |||||||||
Class 4 | 96 | 96 | 4 | |||||||||
Total class-specific expenses | $ | 2,901 | $ | 97 | $ | 228 | ||||||
High-Income Bond Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 59 | ||||||||
Class 1A | $ | — | $ | 1 | — | * | ||||||
Class 2 | 1,847 | Not applicable | 74 | |||||||||
Class 3 | 21 | Not applicable | 1 | |||||||||
Class 4 | 85 | 85 | 3 | |||||||||
Total class-specific expenses | $ | 1,953 | $ | 86 | $ | 137 | ||||||
Mortgage Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 25 | ||||||||
Class 1A | $ | — | $ | 1 | — | * | ||||||
Class 2 | 151 | Not applicable | 6 | |||||||||
Class 4 | 40 | 41 | 1 | |||||||||
Total class-specific expenses | $ | 191 | $ | 42 | $ | 32 | ||||||
Ultra-Short Bond Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 4 | ||||||||
Class 1A | $ | — | $ | — | — | * | ||||||
Class 2 | 599 | Not applicable | 24 | |||||||||
Class 3 | 7 | Not applicable | — | * | ||||||||
Class 4 | 37 | 37 | 2 | |||||||||
Total class-specific expenses | $ | 643 | $ | 37 | $ | 30 | ||||||
U.S. Government/AAA-Rated Securities Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | Administrative | ||||||||||
Share class | services | services | services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 151 | ||||||||
Class 1A | $ | — | $ | 2 | — | * | ||||||
Class 2 | 3,520 | Not applicable | 141 | |||||||||
Class 3 | 17 | Not applicable | 1 | |||||||||
Class 4 | 169 | 169 | 7 | |||||||||
Total class-specific expenses | $ | 3,706 | $ | 171 | $ | 300 |
182 | American Funds Insurance Series |
Managed Risk Growth Fund
Insurance | ||||||||||||
Distribution | administrative | |||||||||||
Share class | services | services | ||||||||||
Class P1 | Not applicable | $ | 6 | |||||||||
Class P2 | $ | 803 | 803 | |||||||||
Total class-specific expenses | $ | 803 | $ | 809 | ||||||||
Managed Risk International Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | |||||||||||
Share class | services | services | ||||||||||
Class P1 | Not applicable | $ | —* | |||||||||
Class P2 | $ | 389 | 389 | |||||||||
Total class-specific expenses | $ | 389 | $ | 389 | ||||||||
Managed Risk Blue Chip Income and Growth Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | |||||||||||
Share class | services | services | ||||||||||
Class P1 | Not applicable | $ | —* | |||||||||
Class P2 | $ | 883 | 883 | |||||||||
Total class-specific expenses | $ | 883 | $ | 883 | ||||||||
Managed Risk Growth-Income Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | |||||||||||
Share class | services | services | ||||||||||
Class P1 | Not applicable | $ | 167 | |||||||||
Class P2 | $ | 564 | 564 | |||||||||
Total class-specific expenses | $ | 564 | $ | 731 | ||||||||
Managed Risk Asset Allocation Fund | ||||||||||||
Insurance | ||||||||||||
Distribution | administrative | |||||||||||
Share class | services | services | ||||||||||
Class P1 | Not applicable | $ | 4,153 | |||||||||
Class P2 | $ | 6,862 | 6,862 | |||||||||
Total class-specific expenses | $ | 6,862 | $ | 11,015 |
* | Amount less than one thousand. |
American Funds Insurance Series | 183 |
Trustees’ deferred compensation— Trustees who are unaffiliated with CRMC may elect to defer the cash payment of part or all of their compensation. These deferred amounts, which remain as liabilities of the funds, are treated as if invested in one or more of the American Funds. These amounts represent general, unsecured liabilities of the funds and vary according to the total returns of the selected funds. Trustees’ compensation, shown on the accompanying financial statements, reflects current fees (either paid in cash or deferred) and a net increase in the value of the deferred amounts as follows (dollars in thousands):
Fund | Current fees | Increase in value of deferred amounts | Total trustees’ compensation | |||||||||
Global Growth Fund | $ | 36 | $ | 1 | $ | 37 | ||||||
Global Small Capitalization Fund | 24 | 1 | 25 | |||||||||
Growth Fund | 145 | 5 | 150 | |||||||||
International Fund | 56 | 2 | 58 | |||||||||
New World Fund | 19 | 1 | 20 | |||||||||
Blue Chip Income and Growth Fund | 51 | 2 | 53 | |||||||||
Global Growth and Income Fund | 12 | — | * | 12 | ||||||||
Growth-Income Fund | 176 | 6 | 182 | |||||||||
International Growth and Income Fund | 8 | — | * | 8 | ||||||||
Capital Income Builder | 3 | — | * | 3 | ||||||||
Asset Allocation Fund | 146 | 4 | 150 | |||||||||
Global Balanced Fund | 2 | — | * | 2 | ||||||||
Bond Fund | 59 | 2 | 61 | |||||||||
Global Bond Fund | 13 | — | * | 13 | ||||||||
High-Income Bond Fund | 8 | — | * | 8 | ||||||||
Mortgage Fund | 2 | — | * | 2 | ||||||||
Ultra-Short Bond Fund | 2 | — | * | 2 | ||||||||
U.S. Government/AAA-Rated Securities Fund | 17 | 1 | 18 | |||||||||
Managed Risk Growth Fund | 2 | — | * | 2 | ||||||||
Managed Risk International Fund | 1 | — | * | 1 | ||||||||
Managed Risk Blue Chip Income and Growth Fund | 2 | — | * | 2 | ||||||||
Managed Risk Growth-Income Fund | 1 | — | * | 1 | ||||||||
Managed Risk Asset Allocation Fund | 25 | 1 | 26 |
* | Amount less than one thousand. |
Affiliated officers and trustees— Officers and certain trustees of the series are or may be considered to be affiliated with CRMC, AFD and AFS. No affiliated officers or trustees received any compensation directly from any fund in the series.
Other expenses— The amounts of $(18,000), $(9,000) and $(1,637,000) for other expenses for Managed Risk International Fund, Managed Risk Growth-Income Fund and Managed Risk Asset Allocation Fund, respectively, are due to over accruals of prior year expenses.
Security transactions with related funds— The funds may purchase from, or sell securities to, other CRMC-managed funds (or funds managed by certain affiliates of CRMC) under procedures adopted by the fund’s board of trustees. The funds involved in such transactions are considered related by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers. When such transactions occur, each transaction is executed at the current market price of the security and no brokerage commissions or fees are paid in accordance with Rule 17a-7 of the 1940 Act.
184 | American Funds Insurance Series |
The following table presents purchase and sale transactions between each fund and related funds as of December 31, 2018 (dollars in thousands):
Fund | Purchases | Sales | ||||||
Global Growth Fund | $ 34,488 | $ 66,699 | ||||||
Global Small Capitalization Fund | 27,363 | 116,375 | ||||||
Growth Fund | 477,334 | 479,509 | ||||||
International Fund | 147,908 | 108,039 | ||||||
New World Fund | 33,742 | 113,253 | ||||||
Blue Chip Income and Growth Fund | 110,841 | 190,265 | ||||||
Global Growth and Income Fund | 19,946 | 54,312 | ||||||
Growth-Income Fund | 391,036 | 317,478 | ||||||
International Growth and Income Fund | 32,881 | 5,821 | ||||||
Capital Income Builder | 8,337 | 2,999 | ||||||
Asset Allocation Fund | 168,410 | 394,146 | ||||||
Global Balanced Fund | 3,988 | 1,162 | ||||||
Bond Fund | 45,398 | 583,734 | ||||||
Global Bond Fund | 4,043 | 9,876 | ||||||
High-Income Bond Fund | 22,019 | 22,312 | ||||||
Mortgage Fund | — | — | ||||||
Ultra-Short Bond Fund | — | — | ||||||
U.S. Government/AAA-Rated Securities Fund | — | — | ||||||
Managed Risk Growth Fund | — | — | ||||||
Managed Risk International Fund | — | — | ||||||
Managed Risk Blue Chip Income and Growth Fund | — | — | ||||||
Managed Risk Growth-Income Fund | — | — | ||||||
Managed Risk Asset Allocation Fund | — | — |
8. Committed line of credit
Global Small Capitalization Fund, New World Fund and High-Income Bond Fund participate with other funds managed by CRMC in a $1.5 billion credit facility (the “line of credit”) to be utilized for temporary purposes to fund shareholder redemptions. Each fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which are reflected in other expenses in each fund’s statement of operations. None of the funds borrowed on this line of credit at any time during the year ended December 31, 2018.
9. Capital share transactions
Capital share transactions in the funds were as follows (dollars and shares in thousands):
Global Growth Fund
Sales1 | Reinvestments of distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 318,393 | 10,738 | $ | 163,496 | 5,459 | $ | (199,573 | ) | (6,616 | ) | $ | 282,316 | 9,581 | ||||||||||||||||||
Class 1A | 4,760 | 162 | 320 | 11 | (1,942 | ) | (64 | ) | 3,138 | 109 | ||||||||||||||||||||||
Class 2 | 71,745 | 2,511 | 292,561 | 9,830 | (465,838 | ) | (15,407 | ) | (101,532 | ) | (3,066 | ) | ||||||||||||||||||||
Class 4 | 94,068 | 3,163 | 18,437 | 622 | (28,678 | ) | (983 | ) | 83,827 | 2,802 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 488,966 | 16,574 | $ | 474,814 | 15,922 | $ | (696,031 | ) | (23,070 | ) | $ | 267,749 | 9,426 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 202,598 | 7,210 | $ | 72,128 | 2,554 | $ | (331,323 | ) | (11,655 | ) | $ | (56,597 | ) | (1,891 | ) | ||||||||||||||||
Class 1A2 | 2,333 | 80 | 31 | 1 | (125 | ) | (4 | ) | 2,239 | 77 | ||||||||||||||||||||||
Class 2 | 55,435 | 2,042 | 139,728 | 5,015 | (563,057 | ) | (20,391 | ) | (367,894 | ) | (13,334 | ) | ||||||||||||||||||||
Class 4 | 92,931 | 3,271 | 4,951 | 178 | (11,055 | ) | (400 | ) | 86,827 | 3,049 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 353,297 | 12,603 | $ | 216,838 | 7,748 | $ | (905,560 | ) | (32,450 | ) | $ | (335,425 | ) | (12,099 | ) |
See end of tables for footnotes.
American Funds Insurance Series | 185 |
Global Small Capitalization Fund
Sales1 | Reinvestments of distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 138,128 | 5,551 | $ | 76,990 | 2,920 | $ | (160,148 | ) | (6,253 | ) | $ | 54,970 | 2,218 | ||||||||||||||||||
Class 1A | 318 | 12 | 16 | 1 | (110 | ) | (5 | ) | 224 | 8 | ||||||||||||||||||||||
Class 2 | 47,093 | 2,015 | 112,331 | 4,349 | (309,646 | ) | (12,397 | ) | (150,222 | ) | (6,033 | ) | ||||||||||||||||||||
Class 4 | 56,525 | 2,282 | 6,491 | 249 | (17,067 | ) | (693 | ) | 45,949 | 1,838 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 242,064 | 9,860 | $ | 195,828 | 7,519 | $ | (486,971 | ) | (19,348 | ) | $ | (49,079 | ) | (1,969 | ) | ||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 128,448 | 5,651 | $ | 10,108 | 429 | $ | (396,272 | ) | (17,174 | ) | $ | (257,716 | ) | (11,094 | ) | ||||||||||||||||
Class 1A2 | 169 | 8 | 1 | — | 3 | — | 3 | — | 3 | 170 | 8 | |||||||||||||||||||||
Class 2 | 27,876 | 1,267 | 10,597 | 472 | (343,593 | ) | (15,314 | ) | (305,120 | ) | (13,575 | ) | ||||||||||||||||||||
Class 4 | 73,197 | 3,126 | 270 | 12 | (5,899 | ) | (258 | ) | 67,568 | 2,880 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 229,690 | 10,052 | $ | 20,976 | 913 | $ | (745,764 | ) | (32,746 | ) | $ | (495,098 | ) | (21,781 | ) | ||||||||||||||||
Growth Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 1,574,676 | 19,928 | $ | 879,237 | 11,221 | $ | (1,126,624 | ) | (14,082 | ) | $ | 1,327,289 | 17,067 | ||||||||||||||||||
Class 1A | 8,204 | 103 | 710 | 9 | (563 | ) | (7 | ) | 8,351 | 105 | ||||||||||||||||||||||
Class 2 | 292,909 | 3,756 | 1,633,088 | 20,970 | (2,436,432 | ) | (30,703 | ) | (510,435 | ) | (5,977 | ) | ||||||||||||||||||||
Class 3 | 1,809 | 22 | 21,971 | 279 | (27,844 | ) | (348 | ) | (4,064 | ) | (47 | ) | ||||||||||||||||||||
Class 4 | 274,892 | 3,534 | 110,941 | 1,441 | (135,865 | ) | (1,758 | ) | 249,968 | 3,217 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 2,152,490 | 27,343 | $ | 2,645,947 | 33,920 | $ | (3,727,328 | ) | (46,898 | ) | $ | 1,071,109 | 14,365 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 505,734 | 6,906 | $ | 786,807 | 11,094 | $ | (1,258,545 | ) | (16,930 | ) | $ | 33,996 | 1,070 | ||||||||||||||||||
Class 1A2 | 2,708 | 36 | 78 | 1 | (94 | ) | (1 | ) | 2,692 | 36 | ||||||||||||||||||||||
Class 2 | 206,092 | 2,819 | 1,520,175 | 21,621 | (2,205,078 | ) | (30,135 | ) | (478,811 | ) | (5,695 | ) | ||||||||||||||||||||
Class 3 | 468 | 6 | 20,085 | 282 | (21,851 | ) | (295 | ) | (1,298 | ) | (7 | ) | ||||||||||||||||||||
Class 4 | 407,312 | 5,509 | 58,020 | 832 | (56,254 | ) | (776 | ) | 409,078 | 5,565 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 1,122,314 | 15,276 | $ | 2,385,165 | 33,830 | $ | (3,541,822 | ) | (48,137 | ) | $ | (34,343 | ) | 969 |
186 | American Funds Insurance Series |
International Fund
Sales1 | Reinvestments of distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 987,191 | 47,885 | $ | 339,738 | 16,682 | $ | (479,241 | ) | (23,102 | ) | $ | 847,688 | 41,465 | ||||||||||||||||||
Class 1A | 4,302 | 204 | 296 | 14 | (269 | ) | (14 | ) | 4,329 | 204 | ||||||||||||||||||||||
Class 2 | 481,518 | 22,952 | 283,963 | 13,909 | (441,465 | ) | (21,109 | ) | 324,016 | 15,752 | ||||||||||||||||||||||
Class 3 | 506 | 23 | 1,857 | 91 | (4,389 | ) | (209 | ) | (2,026 | ) | (95 | ) | ||||||||||||||||||||
Class 4 | 96,985 | 4,701 | 20,021 | 990 | (45,627 | ) | (2,234 | ) | 71,379 | 3,457 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 1,570,502 | 75,765 | $ | 645,875 | 31,686 | $ | (970,991 | ) | (46,668 | ) | $ | 1,245,386 | 60,783 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 760,186 | 38,348 | $ | 119,937 | 5,881 | $ | (613,463 | ) | (30,471 | ) | $ | 266,660 | 13,758 | ||||||||||||||||||
Class 1A2 | 1,638 | 80 | 20 | 1 | (119 | ) | (5 | ) | 1,539 | 76 | ||||||||||||||||||||||
Class 2 | 174,876 | 8,941 | 100,155 | 4,954 | (605,647 | ) | (30,845 | ) | (330,616 | ) | (16,950 | ) | ||||||||||||||||||||
Class 3 | 274 | 13 | 726 | 36 | (3,886 | ) | (197 | ) | (2,886 | ) | (148 | ) | ||||||||||||||||||||
Class 4 | 209,217 | 10,089 | 4,092 | 200 | (14,987 | ) | (752 | ) | 198,322 | 9,537 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 1,146,191 | 57,471 | $ | 224,930 | 11,072 | $ | (1,238,102 | ) | (62,270 | ) | $ | 133,019 | 6,273 | ||||||||||||||||||
New World Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 169,684 | 6,947 | $ | 75,282 | 3,139 | $ | (240,756 | ) | (10,008 | ) | $ | 4,210 | 78 | ||||||||||||||||||
Class 1A | 2,616 | 108 | 73 | 3 | (572 | ) | (24 | ) | 2,117 | 87 | ||||||||||||||||||||||
Class 2 | 70,536 | 2,954 | 34,787 | 1,456 | (144,167 | ) | (5,934 | ) | (38,844 | ) | (1,524 | ) | ||||||||||||||||||||
Class 4 | 140,212 | 5,922 | 16,079 | 674 | (31,201 | ) | (1,315 | ) | 125,090 | 5,281 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 383,048 | 15,931 | $ | 126,221 | 5,272 | $ | (416,696 | ) | (17,281 | ) | $ | 92,573 | 3,922 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 280,518 | 12,105 | $ | 21,909 | 893 | $ | (475,480 | ) | (20,394 | ) | $ | (173,053 | ) | (7,396 | ) | ||||||||||||||||
Class 1A2 | 629 | 27 | 6 | — | 3 | (13 | ) | (1 | ) | 622 | 26 | |||||||||||||||||||||
Class 2 | 143,361 | 6,559 | 9,149 | 376 | (254,737 | ) | (11,445 | ) | (102,227 | ) | (4,510 | ) | ||||||||||||||||||||
Class 4 | 127,556 | 5,560 | 3,016 | 124 | (20,431 | ) | (895 | ) | 110,141 | 4,789 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 552,064 | 24,251 | $ | 34,080 | 1,393 | $ | (750,661 | ) | (32,735 | ) | $ | (164,517 | ) | (7,091 | ) |
See end of tables for footnotes.
American Funds Insurance Series | 187 |
Blue Chip Income and Growth Fund
Sales1 | Reinvestments of distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 189,059 | 13,527 | $ | 528,528 | 38,135 | $ | (524,399 | ) | (36,270 | ) | $ | 193,188 | 15,392 | ||||||||||||||||||
Class 1A | 2,957 | 203 | 254 | 19 | (106 | ) | (8 | ) | 3,105 | 214 | ||||||||||||||||||||||
Class 2 | 34,615 | 2,528 | 320,676 | 23,381 | (472,476 | ) | (32,985 | ) | (117,185 | ) | (7,076 | ) | ||||||||||||||||||||
Class 4 | 190,787 | 13,641 | 29,968 | 2,200 | (33,879 | ) | (2,399 | ) | 186,876 | 13,442 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 417,418 | 29,899 | $ | 879,426 | 63,735 | $ | (1,030,860 | ) | (71,662 | ) | $ | 265,984 | 21,972 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 458,480 | 32,688 | $ | 309,238 | 21,989 | $ | (834,928 | ) | (58,499 | ) | $ | (67,210 | ) | (3,822 | ) | ||||||||||||||||
Class 1A2 | 593 | 42 | 17 | 1 | (15 | ) | (1 | ) | 595 | 42 | ||||||||||||||||||||||
Class 2 | 34,639 | 2,502 | 195,693 | 14,095 | (439,009 | ) | (31,376 | ) | (208,677 | ) | (14,779 | ) | ||||||||||||||||||||
Class 4 | 129,429 | 9,259 | 10,522 | 756 | (43,213 | ) | (3,132 | ) | 96,738 | 6,883 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 623,141 | 44,491 | $ | 515,470 | 36,841 | $ | (1,317,165 | ) | (93,008 | ) | $ | (178,554 | ) | (11,676 | ) | ||||||||||||||||
Global Growth and Income Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 105,981 | 7,092 | $ | 45,562 | 3,107 | $ | (46,619 | ) | (3,060 | ) | $ | 104,924 | 7,139 | ||||||||||||||||||
Class 1A | 951 | 60 | 81 | 6 | (40 | ) | (2 | ) | 992 | 64 | ||||||||||||||||||||||
Class 2 | 27,421 | 1,842 | 130,608 | 8,898 | (208,022 | ) | (13,672 | ) | (49,993 | ) | (2,932 | ) | ||||||||||||||||||||
Class 4 | 42,459 | 2,827 | 8,471 | 586 | (16,633 | ) | (1,102 | ) | 34,297 | 2,311 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 176,812 | 11,821 | $ | 184,722 | 12,597 | $ | (271,314 | ) | (17,836 | ) | $ | 90,220 | 6,582 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 133,943 | 8,899 | $ | 16,607 | 1,095 | $ | (345,498 | ) | (23,190 | ) | $ | (194,948 | ) | (13,196 | ) | ||||||||||||||||
Class 1A2 | 125 | 8 | 3 | — | 3 | (3 | ) | — | 3 | 125 | 8 | |||||||||||||||||||||
Class 2 | 25,134 | 1,709 | 56,976 | 3,780 | (236,596 | ) | (16,119 | ) | (154,486 | ) | (10,630 | ) | ||||||||||||||||||||
Class 4 | 63,660 | 4,175 | 1,883 | 123 | (6,203 | ) | (417 | ) | 59,340 | 3,881 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 222,862 | 14,791 | $ | 75,469 | 4,998 | $ | (588,300 | ) | (39,726 | ) | $ | (289,969 | ) | (19,937 | ) | ||||||||||||||||
Growth-Income Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 2,594,038 | 53,950 | $ | 1,388,000 | 27,742 | $ | (1,325,537 | ) | (25,872 | ) | $ | 2,656,501 | 55,820 | ||||||||||||||||||
Class 1A | 5,817 | 114 | 467 | 10 | (933 | ) | (18 | ) | 5,351 | 106 | ||||||||||||||||||||||
Class 2 | 128,833 | 2,587 | 1,128,412 | 22,770 | (1,901,203 | ) | (37,514 | ) | (643,958 | ) | (12,157 | ) | ||||||||||||||||||||
Class 3 | 1,014 | 20 | 13,244 | 264 | (26,871 | ) | (525 | ) | (12,613 | ) | (241 | ) | ||||||||||||||||||||
Class 4 | 193,427 | 3,881 | 73,971 | 1,507 | (97,541 | ) | (1,958 | ) | 169,857 | 3,430 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 2,923,129 | 60,552 | $ | 2,604,094 | 52,293 | $ | (3,352,085 | ) | (65,887 | ) | $ | 2,175,138 | 46,958 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 1,521,886 | 32,100 | $ | 1,132,034 | 24,392 | $ | (1,241,004 | ) | (26,012 | ) | $ | 1,412,916 | 30,480 | ||||||||||||||||||
Class 1A2 | 2,070 | 43 | 40 | 1 | (24 | ) | (1 | ) | 2,086 | 43 | ||||||||||||||||||||||
Class 2 | 120,223 | 2,558 | 1,048,742 | 22,899 | (1,761,342 | ) | (37,375 | ) | (592,377 | ) | (11,918 | ) | ||||||||||||||||||||
Class 3 | 473 | 10 | 12,561 | 271 | (21,746 | ) | (457 | ) | (8,712 | ) | (176 | ) | ||||||||||||||||||||
Class 4 | 267,835 | 5,641 | 46,486 | 1,020 | (56,983 | ) | (1,217 | ) | 257,338 | 5,444 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 1,912,487 | 40,352 | $ | 2,239,863 | 48,583 | $ | (3,081,099 | ) | (65,062 | ) | $ | 1,071,251 | 23,873 |
188 | American Funds Insurance Series |
International Growth and Income Fund
Sales1 | Reinvestments of distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 102,396 | 5,829 | $ | 28,476 | 1,796 | $ | (62,238 | ) | (3,472 | ) | $ | 68,634 | 4,153 | ||||||||||||||||||
Class 1A | 276 | 16 | 44 | 3 | (453 | ) | (27 | ) | (133 | ) | (8 | ) | ||||||||||||||||||||
Class 2 | 13,046 | 753 | 5,865 | 371 | (28,666 | ) | (1,702 | ) | (9,755 | ) | (578 | ) | ||||||||||||||||||||
Class 4 | 29,607 | 1,717 | 1,597 | 101 | (12,831 | ) | (752 | ) | 18,373 | 1,066 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 145,325 | 8,315 | $ | 35,982 | 2,271 | $ | (104,188 | ) | (5,953 | ) | $ | 77,119 | 4,633 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 186,307 | 11,140 | $ | 25,860 | 1,487 | $ | (101,536 | ) | (6,072 | ) | $ | 110,631 | 6,555 | ||||||||||||||||||
Class 1A2 | 2,100 | 121 | 14 | 1 | (1 | ) | — | 3 | 2,113 | 122 | ||||||||||||||||||||||
Class 2 | 8,391 | 510 | 5,714 | 329 | (34,542 | ) | (2,118 | ) | (20,437 | ) | (1,279 | ) | ||||||||||||||||||||
Class 4 | 19,465 | 1,164 | 1,184 | 69 | (3,332 | ) | (202 | ) | 17,317 | 1,031 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 216,263 | 12,935 | $ | 32,772 | 1,886 | $ | (139,411 | ) | (8,392 | ) | $ | 109,624 | 6,429 | ||||||||||||||||||
Capital Income Builder | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of distributions | Repurchases1 | Net increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 96,466 | 9,624 | $ | 10,037 | 1,010 | $ | (12,240 | ) | (1,241 | ) | $ | 94,263 | 9,393 | ||||||||||||||||||
Class 1A | 2,709 | 270 | 70 | 7 | (761 | ) | (77 | ) | 2,018 | 200 | ||||||||||||||||||||||
Class 2 | 2,658 | 264 | 96 | 10 | (180 | ) | (18 | ) | 2,574 | 256 | ||||||||||||||||||||||
Class 4 | 66,457 | 6,627 | 10,312 | 1,037 | (25,636 | ) | (2,556 | ) | 51,133 | 5,108 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 168,290 | 16,785 | $ | 20,515 | 2,064 | $ | (38,817 | ) | (3,892 | ) | $ | 149,988 | 14,957 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 84,130 | 8,355 | $ | 6,303 | 622 | $ | (9,923 | ) | (984 | ) | $ | 80,510 | 7,993 | ||||||||||||||||||
Class 1A2 | 1,245 | 122 | 8 | 1 | (365 | ) | (36 | ) | 888 | 87 | ||||||||||||||||||||||
Class 2 | 1,371 | 136 | 23 | 2 | (122 | ) | (12 | ) | 1,272 | 126 | ||||||||||||||||||||||
Class 4 | 66,028 | 6,590 | 7,676 | 760 | (19,222 | ) | (1,922 | ) | 54,482 | 5,428 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 152,774 | 15,203 | $ | 14,010 | 1,385 | $ | (29,632 | ) | (2,954 | ) | $ | 137,152 | 13,634 |
See end of tables for footnotes.
American Funds Insurance Series | 189 |
Asset Allocation Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of distributions | Repurchases1 | Net (decrease) increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 1,402,434 | 60,588 | $ | 1,053,838 | 46,034 | $ | (2,607,246 | ) | (117,896 | ) | $ | (150,974 | ) | (11,274 | ) | ||||||||||||||||
Class 1A | 3,797 | 162 | 411 | 18 | (678 | ) | (30 | ) | 3,530 | 150 | ||||||||||||||||||||||
Class 2 | 89,621 | 3,865 | 313,464 | 13,808 | (682,422 | ) | (29,567 | ) | (279,337 | ) | (11,894 | ) | ||||||||||||||||||||
Class 3 | 897 | 38 | 2,098 | 91 | (7,614 | ) | (325 | ) | (4,619 | ) | (196 | ) | ||||||||||||||||||||
Class 4 | 380,567 | 16,509 | 217,964 | 9,642 | (180,958 | ) | (7,998 | ) | 417,573 | 18,153 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 1,877,316 | 81,162 | $ | 1,587,775 | 69,593 | $ | (3,478,918 | ) | (155,816 | ) | $ | (13,827 | ) | (5,061 | ) | ||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 1,929,702 | 84,102 | $ | 953,771 | 41,982 | $ | (641,572 | ) | (27,828 | ) | $ | 2,241,901 | 98,256 | ||||||||||||||||||
Class 1A2 | 4,261 | 184 | 121 | 5 | (253 | ) | (11 | ) | 4,129 | 178 | ||||||||||||||||||||||
Class 2 | 109,962 | 4,876 | 325,924 | 14,513 | (579,020 | ) | (25,433 | ) | (143,134 | ) | (6,044 | ) | ||||||||||||||||||||
Class 3 | 1,400 | 61 | 2,246 | 99 | (4,469 | ) | (195 | ) | (823 | ) | (35 | ) | ||||||||||||||||||||
Class 4 | 408,549 | 18,017 | 192,666 | 8,617 | (159,354 | ) | (7,104 | ) | 441,861 | 19,530 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 2,453,874 | 107,240 | $ | 1,474,728 | 65,216 | $ | (1,384,668 | ) | (60,571 | ) | $ | 2,543,934 | 111,885 | ||||||||||||||||||
Global Balanced Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 24,581 | 1,901 | $ | 3,154 | 265 | $ | (847 | ) | (66 | ) | $ | 26,888 | 2,100 | ||||||||||||||||||
Class 1A | 2,209 | 171 | 56 | 5 | (292 | ) | (24 | ) | 1,973 | 152 | ||||||||||||||||||||||
Class 2 | 11,812 | 914 | 4,844 | 408 | (24,153 | ) | (1,905 | ) | (7,497 | ) | (583 | ) | ||||||||||||||||||||
Class 4 | 35,652 | 2,821 | 1,646 | 140 | (12,396 | ) | (987 | ) | 24,902 | 1,974 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 74,254 | 5,807 | $ | 9,700 | 818 | $ | (37,688 | ) | (2,982 | ) | $ | 46,266 | 3,643 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 22,241 | 1,783 | $ | 3,607 | 285 | $ | (6,039 | ) | (501 | ) | $ | 19,809 | 1,567 | ||||||||||||||||||
Class 1A2 | 244 | 19 | 9 | 1 | — | 3 | — | 3 | 253 | 20 | ||||||||||||||||||||||
Class 2 | 16,382 | 1,346 | 7,928 | 628 | (20,169 | ) | (1,671 | ) | 4,141 | 303 | ||||||||||||||||||||||
Class 4 | 39,763 | 3,218 | 1,778 | 142 | (2,261 | ) | (182 | ) | 39,280 | 3,178 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 78,630 | 6,366 | $ | 13,322 | 1,056 | $ | (28,469 | ) | (2,354 | ) | $ | 63,483 | 5,068 | ||||||||||||||||||
Bond Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of distributions | Repurchases1 | Net (decrease) increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 856,250 | 80,879 | $ | 164,110 | 15,776 | $ | (1,296,873 | ) | (122,086 | ) | $ | (276,513 | ) | (25,431 | ) | ||||||||||||||||
Class 1A | 2,864 | 271 | 80 | 8 | (674 | ) | (64 | ) | 2,270 | 215 | ||||||||||||||||||||||
Class 2 | 107,831 | 10,281 | 93,483 | 9,101 | (518,189 | ) | (49,721 | ) | (316,875 | ) | (30,339 | ) | ||||||||||||||||||||
Class 4 | 118,851 | 11,386 | 8,606 | 839 | (47,758 | ) | (4,587 | ) | 79,699 | 7,638 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 1,085,796 | 102,817 | $ | 266,279 | 25,724 | $ | (1,863,494 | ) | (176,458 | ) | $ | (511,419 | ) | (47,917 | ) | ||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 967,669 | 88,718 | $ | 235,240 | 21,678 | $ | (1,624,503 | ) | (147,887 | ) | $ | (421,594 | ) | (37,491 | ) | ||||||||||||||||
Class 1A2 | 1,338 | 122 | 21 | 2 | (272 | ) | (25 | ) | 1,087 | 99 | ||||||||||||||||||||||
Class 2 | 138,965 | 12,898 | 134,455 | 12,545 | (273,010 | ) | (25,301 | ) | 410 | 142 | ||||||||||||||||||||||
Class 4 | 212,848 | 19,725 | 6,398 | 597 | (22,490 | ) | (2,080 | ) | 196,756 | 18,242 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 1,320,820 | 121,463 | $ | 376,114 | 34,822 | $ | (1,920,275 | ) | (175,293 | ) | $ | (223,341 | ) | (19,008 | ) |
190 | American Funds Insurance Series |
Global Bond Fund
Sales1 | Reinvestments of distributions | Repurchases1 | Net (decrease) increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 126,990 | 10,666 | $ | 28,466 | 2,515 | $ | (375,280 | ) | (31,456 | ) | $ | (219,824 | ) | (18,275 | ) | ||||||||||||||||
Class 1A | 575 | 49 | 10 | 1 | (241 | ) | (21 | ) | 344 | 29 | ||||||||||||||||||||||
Class 2 | 41,190 | 3,507 | 26,720 | 2,377 | (156,625 | ) | (13,571 | ) | (88,715 | ) | (7,687 | ) | ||||||||||||||||||||
Class 4 | 28,055 | 2,394 | 934 | 84 | (17,922 | ) | (1,548 | ) | 11,067 | 930 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 196,810 | 16,616 | $ | 56,130 | 4,977 | $ | (550,068 | ) | (46,596 | ) | $ | (297,128 | ) | (25,003 | ) | ||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 177,200 | 15,155 | $ | 14,284 | 1,210 | $ | (100,697 | ) | (8,588 | ) | $ | 90,787 | 7,777 | ||||||||||||||||||
Class 1A2 | 74 | 6 | — | 3 | — | 3 | — | 3 | — | 3 | 74 | 6 | ||||||||||||||||||||
Class 2 | 45,841 | 3,978 | 11,132 | 952 | (79,734 | ) | (6,868 | ) | (22,761 | ) | (1,938 | ) | ||||||||||||||||||||
Class 4 | 20,651 | 1,777 | 197 | 17 | (2,949 | ) | (255 | ) | 17,899 | 1,539 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 243,766 | 20,916 | $ | 25,613 | 2,179 | $ | (183,380 | ) | (15,711 | ) | $ | 85,999 | 7,384 | ||||||||||||||||||
High-Income Bond Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of distributions | Repurchases1 | Net (decrease) increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 15,126 | 1,484 | $ | 34,114 | 3,526 | $ | (136,193 | ) | (13,306 | ) | $ | (86,953 | ) | (8,296 | ) | ||||||||||||||||
Class 1A | 621 | 61 | 40 | 5 | (365 | ) | (36 | ) | 296 | 30 | ||||||||||||||||||||||
Class 2 | 12,354 | 1,231 | 43,383 | 4,563 | (111,276 | ) | (11,157 | ) | (55,539 | ) | (5,363 | ) | ||||||||||||||||||||
Class 3 | 1,837 | 179 | 664 | 68 | (4,223 | ) | (418 | ) | (1,722 | ) | (171 | ) | ||||||||||||||||||||
Class 4 | 51,449 | 4,747 | 1,733 | 168 | (53,384 | ) | (4,942 | ) | (202 | ) | (27 | ) | ||||||||||||||||||||
Total net increase (decrease) | $ | 81,387 | 7,702 | $ | 79,934 | 8,330 | $ | (305,441 | ) | (29,859 | ) | $ | (144,120 | ) | (13,827 | ) | ||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 43,584 | 4,162 | $ | 43,816 | 4,273 | $ | (422,269 | ) | (39,685 | ) | $ | (334,869 | ) | (31,250 | ) | ||||||||||||||||
Class 1A2 | 400 | 39 | 12 | 1 | (7 | ) | (1 | ) | 405 | 39 | ||||||||||||||||||||||
Class 2 | 15,931 | 1,540 | 51,640 | 5,121 | (92,969 | ) | (8,946 | ) | (25,398 | ) | (2,285 | ) | ||||||||||||||||||||
Class 3 | 397 | 38 | 805 | 78 | (1,921 | ) | (181 | ) | (719 | ) | (65 | ) | ||||||||||||||||||||
Class 4 | 84,996 | 7,657 | 1,981 | 182 | (72,820 | ) | (6,577 | ) | 14,157 | 1,262 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 145,308 | 13,436 | $ | 98,254 | 9,655 | $ | (589,986 | ) | (55,390 | ) | $ | (346,424 | ) | (32,299 | ) |
See end of tables for footnotes.
American Funds Insurance Series | 191 |
Mortgage Fund
Sales1 | Reinvestments of distributions | Repurchases1 | Net (decrease) increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 17,819 | 1,730 | $ | 4,658 | 457 | $ | (74,088 | ) | (7,185 | ) | $ | (51,611 | ) | (4,998 | ) | ||||||||||||||||
Class 1A | 732 | 71 | 15 | 2 | (111 | ) | (11 | ) | 636 | 62 | ||||||||||||||||||||||
Class 2 | 4,682 | 456 | 1,128 | 111 | (10,509 | ) | (1,023 | ) | (4,699 | ) | (456 | ) | ||||||||||||||||||||
Class 4 | 14,315 | 1,403 | 424 | 41 | (2,626 | ) | (257 | ) | 12,113 | 1,187 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 37,548 | 3,660 | $ | 6,225 | 611 | $ | (87,334 | ) | (8,476 | ) | $ | (43,561 | ) | (4,205 | ) | ||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 52,151 | 4,904 | $ | 5,982 | 566 | $ | (59,926 | ) | (5,621 | ) | $ | (1,793 | ) | (151 | ) | ||||||||||||||||
Class 1A2 | 109 | 10 | 2 | — | 3 | (6 | ) | — | 3 | 105 | 10 | |||||||||||||||||||||
Class 2 | 7,132 | 672 | 1,287 | 122 | (8,011 | ) | (755 | ) | 408 | 39 | ||||||||||||||||||||||
Class 4 | 8,522 | 808 | 204 | 20 | (4,876 | ) | (462 | ) | 3,850 | 366 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 67,914 | 6,394 | $ | 7,475 | 708 | $ | (72,819 | ) | (6,838 | ) | $ | 2,570 | 264 | ||||||||||||||||||
Ultra-Short Bond Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of distributions | Repurchases1 | Net (decrease) increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 25,371 | 2,233 | $ | 561 | 50 | $ | (26,198 | ) | (2,310 | ) | $ | (266 | ) | (27 | ) | ||||||||||||||||
Class 1A | — | — | — | 3 | — | 3 | — | — | — | 3 | — | 3 | ||||||||||||||||||||
Class 2 | 103,165 | 9,332 | 2,762 | 250 | (107,692 | ) | (9,741 | ) | (1,765 | ) | (159 | ) | ||||||||||||||||||||
Class 3 | 4,222 | 378 | 42 | 4 | (3,944 | ) | (353 | ) | 320 | 29 | ||||||||||||||||||||||
Class 4 | 16,908 | 1,513 | 153 | 14 | (14,303 | ) | (1,281 | ) | 2,758 | 246 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 149,666 | 13,456 | $ | 3,518 | 318 | $ | (152,137 | ) | (13,685 | ) | $ | 1,047 | 89 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 14,832 | 1,312 | $ | 184 | 16 | $ | (15,478 | ) | (1,371 | ) | $ | (462 | ) | (43 | ) | ||||||||||||||||
Class 1A2 | 10 | 1 | — | 3 | — | 3 | — | — | 10 | 1 | ||||||||||||||||||||||
Class 2 | 62,145 | 5,646 | 697 | 63 | (111,628 | ) | (10,146 | ) | (48,786 | ) | (4,437 | ) | ||||||||||||||||||||
Class 3 | 1,448 | 130 | 15 | 2 | (1,233 | ) | (111 | ) | 230 | 21 | ||||||||||||||||||||||
Class 4 | 16,767 | 1,507 | 10 | 1 | (14,407 | ) | (1,294 | ) | 2,370 | 214 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 95,202 | 8,596 | $ | 906 | 82 | $ | (142,746 | ) | (12,922 | ) | $ | (46,638 | ) | (4,244 | ) |
192 | American Funds Insurance Series |
U.S. Government/AAA-Rated Securities Fund
Sales1 | Reinvestments of distributions | Repurchases1 | Net (decrease) increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 67,360 | 5,655 | $ | 29,446 | 2,499 | $ | (191,451 | ) | (16,111 | ) | $ | (94,645 | ) | (7,957 | ) | ||||||||||||||||
Class 1A | 1,389 | 118 | 28 | 2 | (214 | ) | (18 | ) | 1,203 | 102 | ||||||||||||||||||||||
Class 2 | 43,398 | 3,680 | 24,431 | 2,094 | (200,280 | ) | (17,045 | ) | (132,451 | ) | (11,271 | ) | ||||||||||||||||||||
Class 3 | 628 | 53 | 165 | 14 | (1,997 | ) | (168 | ) | (1,204 | ) | (101 | ) | ||||||||||||||||||||
Class 4 | 45,391 | 3,857 | 1,313 | 113 | (17,387 | ) | (1,474 | ) | 29,317 | 2,496 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 158,166 | 13,363 | $ | 55,383 | 4,722 | $ | (411,329 | ) | (34,816 | ) | $ | (197,780 | ) | (16,731 | ) | ||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 291,253 | 23,702 | $ | 23,401 | 1,927 | $ | (226,514 | ) | (18,425 | ) | $ | 88,140 | 7,204 | ||||||||||||||||||
Class 1A2 | 1,016 | 83 | 2 | — | 3 | (714 | ) | (58 | ) | 304 | 25 | |||||||||||||||||||||
Class 2 | 49,410 | 4,091 | 19,498 | 1,621 | (103,407 | ) | (8,550 | ) | (34,499 | ) | (2,838 | ) | ||||||||||||||||||||
Class 3 | 1,050 | 86 | 141 | 12 | (1,501 | ) | (123 | ) | (310 | ) | (25 | ) | ||||||||||||||||||||
Class 4 | 27,872 | 2,299 | 663 | 55 | (23,884 | ) | (1,976 | ) | 4,651 | 378 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 370,601 | 30,261 | $ | 43,705 | 3,615 | $ | (356,020 | ) | (29,132 | ) | $ | 58,286 | 4,744 | ||||||||||||||||||
Managed Risk Growth Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestment of distributions | Repurchases1 | Net increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 1,861 | 140 | $ | 150 | 11 | $ | (596 | ) | (45 | ) | $ | 1,415 | 106 | ||||||||||||||||||
Class P2 | 79,190 | 6,025 | 21,792 | 1,658 | (21,197 | ) | (1,594 | ) | 79,785 | 6,089 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 81,051 | 6,165 | $ | 21,942 | 1,669 | $ | (21,793 | ) | (1,639 | ) | $ | 81,200 | 6,195 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 836 | 70 | $ | 29 | 2 | $ | (230 | ) | (19 | ) | $ | 635 | 53 | ||||||||||||||||||
Class P2 | 46,748 | 3,893 | 4,847 | 408 | (16,010 | ) | (1,330 | ) | 35,585 | 2,971 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 47,584 | 3,963 | $ | 4,876 | 410 | $ | (16,240 | ) | (1,349 | ) | $ | 36,220 | 3,024 | ||||||||||||||||||
Managed Risk International Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 321 | 30 | $ | 9 | 1 | $ | (44 | ) | (4 | ) | $ | 286 | 27 | ||||||||||||||||||
Class P2 | 33,085 | 3,040 | 3,419 | 323 | (13,533 | ) | (1,240 | ) | 22,971 | 2,123 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 33,406 | 3,070 | $ | 3,428 | 324 | $ | (13,577 | ) | (1,244 | ) | $ | 23,257 | 2,150 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 130 | 14 | $ | 2 | — | 3 | $ | (166 | ) | (17 | ) | $ | (34 | ) | (3 | ) | |||||||||||||||
Class P2 | 30,462 | 3,002 | 2,301 | 230 | (9,880 | ) | (967 | ) | 22,883 | 2,265 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 30,592 | 3,016 | $ | 2,303 | 230 | $ | (10,046 | ) | (984 | ) | $ | 22,849 | 2,262 |
See end of tables for footnotes.
American Funds Insurance Series | 193 |
Managed Risk Blue Chip Income and Growth Fund
Sales1 | Reinvestments of distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 358 | 29 | $ | 22 | 2 | $ | (43 | ) | (4 | ) | $ | 337 | 27 | ||||||||||||||||||
Class P2 | 31,213 | 2,567 | 23,504 | 1,964 | (35,759 | ) | (2,843 | ) | 18,958 | 1,688 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 31,571 | 2,596 | $ | 23,526 | 1,966 | $ | (35,802 | ) | (2,847 | ) | $ | 19,295 | 1,715 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 59 | 5 | $ | 7 | 1 | $ | (136 | ) | (11 | ) | $ | (70 | ) | (5 | ) | ||||||||||||||||
Class P2 | 83,072 | 6,949 | 10,722 | 898 | (56,067 | ) | (4,624 | ) | 37,727 | 3,223 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 83,131 | 6,954 | $ | 10,729 | 899 | $ | (56,203 | ) | (4,635 | ) | $ | 37,657 | 3,218 | ||||||||||||||||||
Managed Risk Growth-Income Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of distributions | Repurchases1 | Net increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 1,696,532 | 144,131 | $ | 164 | 13 | $ | (30,979 | ) | (2,639 | ) | $ | 1,665,717 | 141,505 | ||||||||||||||||||
Class P2 | 45,914 | 3,658 | 12,188 | 977 | (16,805 | ) | (1,320 | ) | 41,297 | 3,315 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 1,742,446 | 147,789 | $ | 12,352 | 990 | $ | (47,784 | ) | (3,959 | ) | $ | 1,707,014 | 144,820 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 1,093 | 92 | $ | 92 | 8 | $ | (154 | ) | (13 | ) | $ | 1,031 | 87 | ||||||||||||||||||
Class P2 | 27,997 | 2,382 | 9,501 | 835 | (15,095 | ) | (1,278 | ) | 22,403 | 1,939 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 29,090 | 2,474 | $ | 9,593 | 843 | $ | (15,249 | ) | (1,291 | ) | $ | 23,434 | 2,026 | ||||||||||||||||||
Managed Risk Asset Allocation Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of distributions | Repurchases1 | Net (decrease) increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Year ended December 31, 2018 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 158,125 | 11,883 | $ | 98,747 | 7,599 | $ | (1,735,518 | ) | (141,232 | ) | $ | (1,478,646 | ) | (121,750 | ) | ||||||||||||||||
Class P2 | 122,897 | 9,265 | 144,221 | 11,089 | (250,843 | ) | (19,040 | ) | 16,275 | 1,314 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 281,022 | 21,148 | $ | 242,968 | 18,688 | $ | (1,986,361 | ) | (160,272 | ) | $ | (1,462,371 | ) | (120,436 | ) | ||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 264,545 | 20,631 | $ | 25,264 | 1,986 | $ | (25,397 | ) | (1,973 | ) | $ | 264,412 | 20,644 | ||||||||||||||||||
Class P2 | 253,137 | 19,936 | 45,200 | 3,559 | (153,999 | ) | (11,957 | ) | 144,338 | 11,538 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 517,682 | 40,567 | $ | 70,464 | 5,545 | $ | (179,396 | ) | (13,930 | ) | $ | 408,750 | 32,182 |
1 | Includes exchanges between share classes of the fund. |
2 | Class 1A shares began investment operations on January 6, 2017. |
3 | Amount less than one thousand. |
194 | American Funds Insurance Series |
10. Investment transactions and other disclosures
The following tables present additional information for each of the funds for the year ended December 31, 2018 (dollars in thousands):
Global Growth Fund | Global Small Capitalization Fund | Growth Fund | International Fund | New World Fund | Blue Chip Income and Growth Fund | |||||||||||||||||||
Purchases of investment securities* | $ | 1,467,874 | $ | 1,662,024 | $ | 8,417,701 | $ | 3,211,601 | $ | 1,739,953 | $ | 4,319,816 | ||||||||||||
Sales of investment securities* | 1,724,252 | 2,030,293 | 9,996,481 | 2,598,799 | 2,109,957 | 4,791,714 | ||||||||||||||||||
Non-U.S. taxes (refunded) paid on interest income | — | — | — | — | 43 | — | ||||||||||||||||||
Non-U.S. taxes (refunded) paid on realized gains | — | 12 | — | (45 | ) | 112 | — | |||||||||||||||||
Non-U.S. taxes provided on unrealized gains | 746 | 931 | — | 3,872 | 684 | — | ||||||||||||||||||
Dividend income from affiliated issuers | — | 437 | — | — | — | — | ||||||||||||||||||
Global Growth and Income Fund | Growth- Income Fund | International Growth and Income Fund | Capital Income Builder | Asset Allocation Fund | Global Balanced Fund | |||||||||||||||||||
Purchases of investment securities* | $ | 956,577 | $ | 11,487,304 | $ | 556,700 | $ | 605,766 | $ | 18,403,385 | $ | 204,201 | ||||||||||||
Sales of investment securities* | 1,040,568 | 12,435,378 | 512,739 | 476,357 | 19,811,470 | 172,949 | ||||||||||||||||||
Non-U.S. taxes (refunded) paid on interest income | — | — | (8 | ) | — | — | 17 | |||||||||||||||||
Non-U.S. taxes (refunded) paid on realized gains | 3 | — | 6 | — | — | 23 | ||||||||||||||||||
Non-U.S. taxes provided on unrealized gains | — | — | 271 | — | 126 | 27 | ||||||||||||||||||
Dividend income from affiliated issuers | — | 3,182 | — | — | 562 | — | ||||||||||||||||||
Interest income from affiliated issuers | — | — | — | — | 2,196 | — | ||||||||||||||||||
Bond Fund | Global Bond Fund | High- Income Bond Fund | Mortgage Fund | Ultra-Short Bond Fund | U.S. Government/ AAA-Rated Securities Fund | |||||||||||||||||||
Purchases of investment securities* | $ | 44,757,939 | $ | 2,355,671 | $ | 880,471 | $ | 2,407,428 | $ | — | $ | 11,220,878 | ||||||||||||
Sales of investment securities* | 45,098,034 | 2,481,042 | 976,663 | 2,426,692 | — | 11,103,888 | ||||||||||||||||||
Non-U.S. taxes (refunded) paid on interest income | 7 | 396 | (2 | ) | — | — | — | |||||||||||||||||
Non-U.S. taxes (refunded) paid on realized gains | (196 | ) | 578 | — | — | — | — | |||||||||||||||||
Non-U.S. taxes provided on unrealized gains | — | 368 | — | — | — | — | ||||||||||||||||||
Managed Risk Growth Fund | Managed Risk International Fund | Managed Risk Blue Chip Income and Growth Fund | Managed Risk Growth- Income Fund | Managed Risk Asset Allocation Fund | ||||||||||||||||||||
Purchases of investment securities* | $ | 109,572 | $ | 39,805 | $ | 64,381 | $ | 1,669,137 | $ | 504,021 | ||||||||||||||
Sales of investment securities* | 21,960 | 11,908 | 38,201 | 47,528 | 1,854,151 | |||||||||||||||||||
Dividend income from affiliated issuers | 3,340 | 3,202 | 7,264 | 4,163 | 80,687 |
* | Excludes short-term securities and U.S. government obligations, if any. |
11. Ownership concentration
At December 31, 2018, American Funds Insurance Series - Portfolio Series Managed Risk Growth and Income Portfolio held 36% and 11% of the outstanding shares of Capital Income Builder and Global Growth and Income Fund, respectively. In addition, American Funds Insurance Series - Portfolio Series Managed Risk Global Allocation Portfolio and Managed Risk Asset Allocation Fund held 22% and 11% of the outstanding shares of Global Balanced Fund and Asset Allocation Fund, respectively.
American Funds Insurance Series | 195 |
Financial highlights
(Loss) income from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net (losses) gains on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Global Growth Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 30.51 | $ | .29 | $ | (2.65 | ) | $ | (2.36 | ) | $ | (.28 | ) | $ | (2.13 | ) | $ | (2.41 | ) | $ | 25.74 | (8.81 | )% | $ | 1,942 | .55 | % | .98 | % | |||||||||||||||||||
12/31/2017 | 24.05 | .26 | 7.30 | 7.56 | (.26 | ) | (.84 | ) | (1.10 | ) | 30.51 | 31.80 | 2,010 | .55 | .94 | |||||||||||||||||||||||||||||||||
12/31/2016 | 26.39 | .25 | (.14 | ) | .11 | (.29 | ) | (2.16 | ) | (2.45 | ) | 24.05 | .87 | 1,630 | .56 | 1.00 | ||||||||||||||||||||||||||||||||
12/31/2015 | 27.48 | .25 | 1.80 | 2.05 | (.35 | ) | (2.79 | ) | (3.14 | ) | 26.39 | 7.24 | 1,626 | .55 | .90 | |||||||||||||||||||||||||||||||||
12/31/2014 | 30.11 | .31 | 2 | .40 | .71 | (.40 | ) | (2.94 | ) | (3.34 | ) | 27.48 | 2.52 | 1,558 | .55 | 1.08 | 2 | |||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 30.46 | .23 | (2.66 | ) | (2.43 | ) | (.21 | ) | (2.13 | ) | (2.34 | ) | 25.69 | (9.02 | ) | 5 | .80 | .77 | ||||||||||||||||||||||||||||||
12/31/20173,4 | 24.50 | .11 | 6.94 | 7.05 | (.25 | ) | (.84 | ) | (1.09 | ) | 30.46 | 29.13 | 5 | 2 | .80 | 6 | .39 | 6 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 30.24 | .22 | (2.63 | ) | (2.41 | ) | (.20 | ) | (2.13 | ) | (2.33 | ) | 25.50 | (9.04 | ) | 3,306 | .80 | .73 | ||||||||||||||||||||||||||||||
12/31/2017 | 23.85 | .19 | 7.23 | 7.42 | (.19 | ) | (.84 | ) | (1.03 | ) | 30.24 | 31.47 | 4,012 | .80 | .69 | |||||||||||||||||||||||||||||||||
12/31/2016 | 26.19 | .18 | (.14 | ) | .04 | (.22 | ) | (2.16 | ) | (2.38 | ) | 23.85 | .62 | 3,483 | .81 | .76 | ||||||||||||||||||||||||||||||||
12/31/2015 | 27.30 | .18 | 1.78 | 1.96 | (.28 | ) | (2.79 | ) | (3.07 | ) | 26.19 | 6.94 | 3,817 | .80 | .66 | |||||||||||||||||||||||||||||||||
12/31/2014 | 29.92 | .24 | 2 | .41 | .65 | (.33 | ) | (2.94 | ) | (3.27 | ) | 27.30 | 2.31 | 3,992 | .80 | .85 | 2 | |||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 30.13 | .14 | (2.60 | ) | (2.46 | ) | (.15 | ) | (2.13 | ) | (2.28 | ) | 25.39 | (9.24 | ) | 249 | 1.05 | .47 | ||||||||||||||||||||||||||||||
12/31/2017 | 23.81 | .10 | 7.22 | 7.32 | (.16 | ) | (.84 | ) | (1.00 | ) | 30.13 | 31.11 | 211 | 1.05 | .37 | |||||||||||||||||||||||||||||||||
12/31/2016 | 26.16 | .12 | (.14 | ) | (.02 | ) | (.17 | ) | (2.16 | ) | (2.33 | ) | 23.81 | .37 | 94 | 1.06 | .50 | |||||||||||||||||||||||||||||||
12/31/2015 | 27.34 | .09 | 1.81 | 1.90 | (.29 | ) | (2.79 | ) | (3.08 | ) | 26.16 | 6.69 | 91 | 1.05 | .34 | |||||||||||||||||||||||||||||||||
12/31/2014 | 30.07 | .07 | 2 | .50 | .57 | (.36 | ) | (2.94 | ) | (3.30 | ) | 27.34 | 2.01 | 19 | 1.05 | .26 | 2 | |||||||||||||||||||||||||||||||
Global Small Capitalization Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 25.38 | $ | .11 | $ | (2.51 | ) | $ | (2.40 | ) | $ | (.09 | ) | $ | (1.14 | ) | $ | (1.23 | ) | $ | 21.75 | (10.31 | )% | $ | 1,453 | .73 | % | .42 | % | |||||||||||||||||||
12/31/2017 | 20.24 | .12 | 5.17 | 5.29 | (.15 | ) | — | (.15 | ) | 25.38 | 26.22 | 1,639 | .73 | .54 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 24.41 | .12 | .17 | .29 | (.11 | ) | (4.35 | ) | (4.46 | ) | 20.24 | 2.35 | 1,532 | .74 | .57 | |||||||||||||||||||||||||||||||||
12/31/2015 | 26.09 | .04 | .36 | .40 | — | (2.08 | ) | (2.08 | ) | 24.41 | .50 | 1,706 | .73 | .15 | ||||||||||||||||||||||||||||||||||
12/31/2014 | 25.69 | .09 | .52 | .61 | (.09 | ) | (.12 | ) | (.21 | ) | 26.09 | 2.36 | 1,411 | .74 | .34 | |||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 25.36 | .05 | (2.52 | ) | (2.47 | ) | (.04 | ) | (1.14 | ) | (1.18 | ) | 21.71 | (10.56 | ) | — | 7 | .98 | .21 | |||||||||||||||||||||||||||||
12/31/20173,4 | 20.70 | .08 | 4.71 | 4.79 | (.13 | ) | — | (.13 | ) | 25.36 | 23.19 | 5 | — | 7 | .96 | 6 | .35 | 6 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 24.72 | .04 | (2.44 | ) | (2.40 | ) | (.02 | ) | (1.14 | ) | (1.16 | ) | 21.16 | (10.55 | ) | 2,056 | .98 | .17 | ||||||||||||||||||||||||||||||
12/31/2017 | 19.72 | .06 | 5.04 | 5.10 | (.10 | ) | — | (.10 | ) | 24.72 | 25.89 | 2,551 | .98 | .27 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 23.90 | .07 | .15 | .22 | (.05 | ) | (4.35 | ) | (4.40 | ) | 19.72 | 2.10 | 2,303 | .99 | .31 | |||||||||||||||||||||||||||||||||
12/31/2015 | 25.64 | (.03 | ) | .37 | .34 | — | (2.08 | ) | (2.08 | ) | 23.90 | .27 | 2,492 | .98 | (.10 | ) | ||||||||||||||||||||||||||||||||
12/31/2014 | 25.25 | .03 | .51 | .54 | (.03 | ) | (.12 | ) | (.15 | ) | 25.64 | 2.12 | 2,738 | .99 | .10 | |||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 24.91 | (.02 | ) | (2.46 | ) | (2.48 | ) | (.01 | ) | (1.14 | ) | (1.15 | ) | 21.28 | (10.80 | ) | 146 | 1.24 | (.08 | ) | ||||||||||||||||||||||||||||
12/31/2017 | 19.91 | — | 8 | 5.09 | 5.09 | (.09 | ) | — | (.09 | ) | 24.91 | 25.62 | 125 | 1.23 | — | 9 | ||||||||||||||||||||||||||||||||
12/31/2016 | 24.11 | .01 | .16 | .17 | (.02 | ) | (4.35 | ) | (4.37 | ) | 19.91 | 1.85 | 42 | 1.24 | .03 | |||||||||||||||||||||||||||||||||
12/31/2015 | 25.92 | (.10 | ) | .37 | .27 | — | (2.08 | ) | (2.08 | ) | 24.11 | (.02 | ) | 34 | 1.23 | (.37 | ) | |||||||||||||||||||||||||||||||
12/31/2014 | 25.57 | (.05 | ) | .54 | .49 | (.02 | ) | (.12 | ) | (.14 | ) | 25.92 | 1.88 | 12 | 1.24 | (.17 | ) |
196 | American Funds Insurance Series |
(Loss) income from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net (losses) gains on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Growth Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 77.85 | $ | .64 | $ | .25 | $ | .89 | $ | (.54 | ) | $ | (8.24 | ) | $ | (8.78 | ) | $ | 69.96 | (.01 | )% | $ | 8,474 | .34 | % | .81 | % | |||||||||||||||||||||
12/31/2017 | 67.29 | .55 | 17.89 | 18.44 | (.55 | ) | (7.33 | ) | (7.88 | ) | 77.85 | 28.62 | 8,100 | .35 | .75 | |||||||||||||||||||||||||||||||||
12/31/2016 | 68.02 | .67 | 5.40 | 6.07 | (.67 | ) | (6.13 | ) | (6.80 | ) | 67.29 | 9.77 | 6,931 | .35 | 1.03 | |||||||||||||||||||||||||||||||||
12/31/2015 | 80.15 | .64 | 5.08 | 5.72 | (.61 | ) | (17.24 | ) | (17.85 | ) | 68.02 | 7.12 | 6,796 | .35 | .87 | |||||||||||||||||||||||||||||||||
12/31/2014 | 78.54 | .88 | 2 | 5.79 | 6.67 | (1.16 | ) | (3.90 | ) | (5.06 | ) | 80.15 | 8.78 | 7,118 | .35 | 1.12 | 2 | |||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 77.74 | .47 | .24 | .71 | (.44 | ) | (8.24 | ) | (8.68 | ) | 69.77 | (.26 | ) | 10 | .59 | .60 | ||||||||||||||||||||||||||||||||
12/31/20173,4 | 68.84 | .35 | 16.38 | 16.73 | (.50 | ) | (7.33 | ) | (7.83 | ) | 77.74 | 25.47 | 5 | 3 | .59 | 6 | .47 | 6 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 77.35 | .44 | .27 | .71 | (.34 | ) | (8.24 | ) | (8.58 | ) | 69.48 | (.25 | ) | 13,701 | .59 | .55 | ||||||||||||||||||||||||||||||||
12/31/2017 | 66.92 | .37 | 17.76 | 18.13 | (.37 | ) | (7.33 | ) | (7.70 | ) | 77.35 | 28.28 | 15,716 | .60 | .50 | |||||||||||||||||||||||||||||||||
12/31/2016 | 67.69 | .51 | 5.36 | 5.87 | (.51 | ) | (6.13 | ) | (6.64 | ) | 66.92 | 9.49 | 13,978 | .60 | .78 | |||||||||||||||||||||||||||||||||
12/31/2015 | 79.84 | .46 | 5.06 | 5.52 | (.43 | ) | (17.24 | ) | (17.67 | ) | 67.69 | 6.86 | 14,414 | .60 | .62 | |||||||||||||||||||||||||||||||||
12/31/2014 | 77.94 | .68 | 2 | 5.75 | 6.43 | (.63 | ) | (3.90 | ) | (4.53 | ) | 79.84 | 8.51 | 15,413 | .60 | .87 | 2 | |||||||||||||||||||||||||||||||
Class 3: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 78.32 | .50 | .26 | .76 | (.40 | ) | (8.24 | ) | (8.64 | ) | 70.44 | (.18 | ) | 187 | .52 | .62 | ||||||||||||||||||||||||||||||||
12/31/2017 | 67.67 | .42 | 17.98 | 18.40 | (.42 | ) | (7.33 | ) | (7.75 | ) | 78.32 | 28.39 | 212 | .53 | .57 | |||||||||||||||||||||||||||||||||
12/31/2016 | 68.37 | .56 | 5.42 | 5.98 | (.55 | ) | (6.13 | ) | (6.68 | ) | 67.67 | 9.56 | 183 | .53 | .85 | |||||||||||||||||||||||||||||||||
12/31/2015 | 80.47 | .51 | 5.11 | 5.62 | (.48 | ) | (17.24 | ) | (17.72 | ) | 68.37 | 6.92 | 194 | .53 | .69 | |||||||||||||||||||||||||||||||||
12/31/2014 | 78.62 | .74 | 2 | 5.79 | 6.53 | (.78 | ) | (3.90 | ) | (4.68 | ) | 80.47 | 8.58 | 208 | .53 | .94 | 2 | |||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 76.56 | .24 | .28 | .52 | (.20 | ) | (8.24 | ) | (8.44 | ) | 68.64 | (.50 | ) | 1,076 | .84 | .31 | ||||||||||||||||||||||||||||||||
12/31/2017 | 66.41 | .18 | 17.61 | 17.79 | (.31 | ) | (7.33 | ) | (7.64 | ) | 76.56 | 27.99 | 954 | .85 | .25 | |||||||||||||||||||||||||||||||||
12/31/2016 | 67.26 | .34 | 5.32 | 5.66 | (.38 | ) | (6.13 | ) | (6.51 | ) | 66.41 | 9.22 | 458 | .85 | .53 | |||||||||||||||||||||||||||||||||
12/31/2015 | 79.74 | .29 | 5.02 | 5.31 | (.55 | ) | (17.24 | ) | (17.79 | ) | 67.26 | 6.59 | 394 | .85 | .42 | |||||||||||||||||||||||||||||||||
12/31/2014 | 78.32 | .37 | 2 | 5.87 | 6.24 | (.92 | ) | (3.90 | ) | (4.82 | ) | 79.74 | 8.25 | 24 | .85 | .47 | 2 |
See end of tables for footnotes.
American Funds Insurance Series | 197 |
Financial highlights(continued)
(Loss) income from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net (losses) gains on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
International Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 21.71 | $ | .34 | $ | (2.97 | ) | $ | (2.63 | ) | $ | (.40 | ) | $ | (1.02 | ) | $ | (1.42 | ) | $ | 17.66 | (12.94 | )% | $ | 4,811 | .53 | % | 1.62 | % | |||||||||||||||||||
12/31/2017 | 16.82 | .26 | 5.16 | 5.42 | (.30 | ) | (.23 | ) | (.53 | ) | 21.71 | 32.46 | 5,014 | .53 | 1.33 | |||||||||||||||||||||||||||||||||
12/31/2016 | 18.08 | .27 | .30 | .57 | (.28 | ) | (1.55 | ) | (1.83 | ) | 16.82 | 3.78 | 3,652 | .54 | 1.57 | |||||||||||||||||||||||||||||||||
12/31/2015 | 20.35 | .29 | (1.03 | ) | (.74 | ) | (.35 | ) | (1.18 | ) | (1.53 | ) | 18.08 | (4.25 | ) | 3,427 | .54 | 1.41 | ||||||||||||||||||||||||||||||
12/31/2014 | 21.22 | .30 | (.81 | ) | (.51 | ) | (.36 | ) | — | (.36 | ) | 20.35 | (2.41 | ) | 3,282 | .54 | 1.43 | |||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 21.67 | .27 | (2.93 | ) | (2.66 | ) | (.37 | ) | (1.02 | ) | (1.39 | ) | 17.62 | (13.11 | ) | 5 | .78 | 1.32 | ||||||||||||||||||||||||||||||
12/31/20173,4 | 17.17 | .09 | 4.93 | 5.02 | (.29 | ) | (.23 | ) | (.52 | ) | 21.67 | 29.46 | 5 | 2 | .77 | 6 | .43 | 6 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 21.63 | .29 | (2.95 | ) | (2.66 | ) | (.35 | ) | (1.02 | ) | (1.37 | ) | 17.60 | (13.13 | ) | 3,875 | .78 | 1.40 | ||||||||||||||||||||||||||||||
12/31/2017 | 16.76 | .22 | 5.13 | 5.35 | (.25 | ) | (.23 | ) | (.48 | ) | 21.63 | 32.14 | 4,422 | .78 | 1.10 | |||||||||||||||||||||||||||||||||
12/31/2016 | 18.02 | .23 | .30 | .53 | (.24 | ) | (1.55 | ) | (1.79 | ) | 16.76 | 3.53 | 3,710 | .79 | 1.35 | |||||||||||||||||||||||||||||||||
12/31/2015 | 20.29 | .24 | (1.03 | ) | (.79 | ) | (.30 | ) | (1.18 | ) | (1.48 | ) | 18.02 | (4.53 | ) | 3,978 | .79 | 1.17 | ||||||||||||||||||||||||||||||
12/31/2014 | 21.15 | .25 | (.81 | ) | (.56 | ) | (.30 | ) | — | (.30 | ) | 20.29 | (2.65 | ) | 4,374 | .79 | 1.19 | |||||||||||||||||||||||||||||||
Class 3: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 21.75 | .31 | (2.98 | ) | (2.67 | ) | (.36 | ) | (1.02 | ) | (1.38 | ) | 17.70 | (13.10 | ) | 24 | .71 | 1.48 | ||||||||||||||||||||||||||||||
12/31/2017 | 16.85 | .23 | 5.17 | 5.40 | (.27 | ) | (.23 | ) | (.50 | ) | 21.75 | 32.23 | 31 | .71 | 1.17 | |||||||||||||||||||||||||||||||||
12/31/2016 | 18.11 | .24 | .30 | .54 | (.25 | ) | (1.55 | ) | (1.80 | ) | 16.85 | 3.57 | 27 | .72 | 1.42 | |||||||||||||||||||||||||||||||||
12/31/2015 | 20.38 | .25 | (1.03 | ) | (.78 | ) | (.31 | ) | (1.18 | ) | (1.49 | ) | 18.11 | (4.44 | ) | 32 | .72 | 1.24 | ||||||||||||||||||||||||||||||
12/31/2014 | 21.24 | .27 | (.82 | ) | (.55 | ) | (.31 | ) | — | (.31 | ) | 20.38 | (2.56 | ) | 38 | .72 | 1.28 | |||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 21.42 | .23 | (2.93 | ) | (2.70 | ) | (.30 | ) | (1.02 | ) | (1.32 | ) | 17.40 | (13.41 | ) | 295 | 1.03 | 1.13 | ||||||||||||||||||||||||||||||
12/31/2017 | 16.64 | .11 | 5.16 | 5.27 | (.26 | ) | (.23 | ) | (.49 | ) | 21.42 | 31.89 | 289 | 1.03 | .55 | |||||||||||||||||||||||||||||||||
12/31/2016 | 17.93 | .18 | .29 | .47 | (.21 | ) | (1.55 | ) | (1.76 | ) | 16.64 | 3.21 | 66 | 1.04 | 1.03 | |||||||||||||||||||||||||||||||||
12/31/2015 | 20.23 | .17 | (1.00 | ) | (.83 | ) | (.29 | ) | (1.18 | ) | (1.47 | ) | 17.93 | (4.75 | ) | 46 | 1.04 | .88 | ||||||||||||||||||||||||||||||
12/31/2014 | 21.16 | .07 | (.68 | ) | (.61 | ) | (.32 | ) | — | (.32 | ) | 20.23 | (2.88 | ) | 18 | 1.04 | .31 | |||||||||||||||||||||||||||||||
New World Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 25.30 | $ | .27 | $ | (3.65 | ) | $ | (3.38 | ) | $ | (.27 | ) | $ | (.67 | ) | $ | (.94 | ) | $ | 20.98 | (13.83 | )% | $ | 1,702 | .77 | % | 1.11 | % | |||||||||||||||||||
12/31/2017 | 19.72 | .26 | 5.59 | 5.85 | (.27 | ) | — | (.27 | ) | 25.30 | 29.73 | 2,050 | .77 | 1.14 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 18.87 | .24 | .81 | 1.05 | (.20 | ) | — | (.20 | ) | 19.72 | 5.59 | 1,743 | .78 | 1.25 | ||||||||||||||||||||||||||||||||||
12/31/2015 | 20.72 | .19 | (.71 | ) | (.52 | ) | (.17 | ) | (1.16 | ) | (1.33 | ) | 18.87 | (2.96 | ) | 1,562 | .79 | .92 | ||||||||||||||||||||||||||||||
12/31/2014 | 25.08 | .29 | 2 | (1.92 | ) | (1.63 | ) | (.29 | ) | (2.44 | ) | (2.73 | ) | 20.72 | (7.63 | ) | 1,433 | .78 | 1.23 | 2 | ||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 25.25 | .21 | (3.64 | ) | (3.43 | ) | (.23 | ) | (.67 | ) | (.90 | ) | 20.92 | (14.02 | ) | 2 | 1.02 | .91 | ||||||||||||||||||||||||||||||
12/31/20173,4 | 20.14 | .13 | 5.24 | 5.37 | (.26 | ) | — | (.26 | ) | 25.25 | 26.72 | 5 | 1 | 1.00 | 6 | .53 | 6 | |||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 25.07 | .20 | (3.61 | ) | (3.41 | ) | (.20 | ) | (.67 | ) | (.87 | ) | 20.79 | (14.04 | ) | 843 | 1.02 | .85 | ||||||||||||||||||||||||||||||
12/31/2017 | 19.54 | .20 | 5.55 | 5.75 | (.22 | ) | — | (.22 | ) | 25.07 | 29.44 | 1,055 | 1.02 | .89 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 18.71 | .19 | .79 | .98 | (.15 | ) | — | (.15 | ) | 19.54 | 5.26 | 911 | 1.03 | 1.00 | ||||||||||||||||||||||||||||||||||
12/31/2015 | 20.54 | .14 | (.69 | ) | (.55 | ) | (.12 | ) | (1.16 | ) | (1.28 | ) | 18.71 | (3.14 | ) | 961 | 1.04 | .68 | ||||||||||||||||||||||||||||||
12/31/2014 | 24.88 | .24 | 2 | (1.91 | ) | (1.67 | ) | (.23 | ) | (2.44 | ) | (2.67 | ) | 20.54 | (7.87 | ) | 1,084 | 1.03 | 1.01 | 2 | ||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 24.99 | .14 | (3.59 | ) | (3.45 | ) | (.16 | ) | (.67 | ) | (.83 | ) | 20.71 | (14.25 | ) | 464 | 1.27 | .61 | ||||||||||||||||||||||||||||||
12/31/2017 | 19.51 | .14 | 5.52 | 5.66 | (.18 | ) | — | (.18 | ) | 24.99 | 29.06 | 427 | 1.27 | .61 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 18.69 | .14 | .80 | .94 | (.12 | ) | — | (.12 | ) | 19.51 | 5.04 | 240 | 1.28 | .75 | ||||||||||||||||||||||||||||||||||
12/31/2015 | 20.56 | .08 | (.68 | ) | (.60 | ) | (.11 | ) | (1.16 | ) | (1.27 | ) | 18.69 | (3.37 | ) | 171 | 1.29 | .39 | ||||||||||||||||||||||||||||||
12/31/2014 | 24.99 | .09 | 2 | (1.83 | ) | (1.74 | ) | (.25 | ) | (2.44 | ) | (2.69 | ) | 20.56 | (8.13 | ) | 64 | 1.28 | .40 | 2 |
198 | American Funds Insurance Series |
(Loss) income from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net (losses) gains on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Blue Chip Income and Growth Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 14.96 | $ | .31 | $ | (1.44 | ) | $ | (1.13 | ) | $ | (.31 | ) | $ | (1.14 | ) | $ | (1.45 | ) | $ | 12.38 | (8.45 | )% | $ | 4,810 | .41 | % | 2.13 | % | |||||||||||||||||||
12/31/2017 | 13.53 | .32 | 1.96 | 2.28 | (.32 | ) | (.53 | ) | (.85 | ) | 14.96 | 17.30 | 5,581 | .41 | 2.27 | |||||||||||||||||||||||||||||||||
12/31/2016 | 12.62 | .31 | 1.97 | 2.28 | (.29 | ) | (1.08 | ) | (1.37 | ) | 13.53 | 19.06 | 5,099 | .41 | 2.39 | |||||||||||||||||||||||||||||||||
12/31/2015 | 14.69 | .31 | (.64 | ) | (.33 | ) | (.29 | ) | (1.45 | ) | (1.74 | ) | 12.62 | (2.72 | ) | 3,638 | .41 | 2.23 | ||||||||||||||||||||||||||||||
12/31/2014 | 13.12 | .46 | 2 | 1.59 | 2.05 | (.48 | ) | — | (.48 | ) | 14.69 | 15.69 | 3,542 | .42 | 3.31 | 2 | ||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 14.94 | .26 | (1.42 | ) | (1.16 | ) | (.29 | ) | (1.14 | ) | (1.43 | ) | 12.35 | (8.67 | ) | 3 | .66 | 1.84 | ||||||||||||||||||||||||||||||
12/31/20173,4 | 13.75 | .28 | 1.75 | 2.03 | (.31 | ) | (.53 | ) | (.84 | ) | 14.94 | 15.21 | 5 | 1 | .65 | 6 | 2.01 | 6 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 14.80 | .27 | (1.42 | ) | (1.15 | ) | (.27 | ) | (1.14 | ) | (1.41 | ) | 12.24 | (8.66 | ) | 2,850 | .66 | 1.88 | ||||||||||||||||||||||||||||||
12/31/2017 | 13.39 | .28 | 1.94 | 2.22 | (.28 | ) | (.53 | ) | (.81 | ) | 14.80 | 17.04 | 3,551 | .66 | 2.02 | |||||||||||||||||||||||||||||||||
12/31/2016 | 12.51 | .28 | 1.94 | 2.22 | (.26 | ) | (1.08 | ) | (1.34 | ) | 13.39 | 18.70 | 3,412 | .66 | 2.16 | |||||||||||||||||||||||||||||||||
12/31/2015 | 14.57 | .27 | (.62 | ) | (.35 | ) | (.26 | ) | (1.45 | ) | (1.71 | ) | 12.51 | (2.93 | ) | 3,228 | .66 | 1.97 | ||||||||||||||||||||||||||||||
12/31/2014 | 13.02 | .44 | 2 | 1.55 | 1.99 | (.44 | ) | — | (.44 | ) | 14.57 | 15.36 | 3,722 | .67 | 3.14 | 2 | ||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 14.77 | .23 | (1.42 | ) | (1.19 | ) | (.25 | ) | (1.14 | ) | (1.39 | ) | 12.19 | (8.92 | ) | 368 | .91 | 1.62 | ||||||||||||||||||||||||||||||
12/31/2017 | 13.39 | .25 | 1.93 | 2.18 | (.27 | ) | (.53 | ) | (.80 | ) | 14.77 | 16.70 | 247 | .91 | 1.76 | |||||||||||||||||||||||||||||||||
12/31/2016 | 12.53 | .24 | 1.96 | 2.20 | (.26 | ) | (1.08 | ) | (1.34 | ) | 13.39 | 18.49 | 132 | .91 | 1.81 | |||||||||||||||||||||||||||||||||
12/31/2015 | 14.63 | .24 | (.63 | ) | (.39 | ) | (.26 | ) | (1.45 | ) | (1.71 | ) | 12.53 | (3.21 | ) | 32 | .91 | 1.75 | ||||||||||||||||||||||||||||||
12/31/2014 | 13.12 | .34 | 2 | 1.63 | 1.97 | (.46 | ) | — | (.46 | ) | 14.63 | 15.13 | 9 | .92 | 2.33 | 2 | ||||||||||||||||||||||||||||||||
Global Growth and Income Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 15.81 | $ | .29 | $ | (1.62 | ) | $ | (1.33 | ) | $ | (.28 | ) | $ | (1.18 | ) | $ | (1.46 | ) | $ | 13.02 | (9.36 | )% | $ | 492 | .63 | % | 1.94 | % | |||||||||||||||||||
12/31/2017 | 13.02 | .35 | 3.06 | 3.41 | (.36 | ) | (.26 | ) | (.62 | ) | 15.81 | 26.40 | 485 | .63 | 2.43 | |||||||||||||||||||||||||||||||||
12/31/2016 | 12.35 | .28 | .66 | .94 | (.27 | ) | — | (.27 | ) | 13.02 | 7.61 | 571 | .63 | 2.18 | ||||||||||||||||||||||||||||||||||
12/31/2015 | 12.78 | .36 | (.50 | ) | (.14 | ) | (.29 | ) | — | (.29 | ) | 12.35 | (1.14 | ) | 293 | .64 | 2.79 | |||||||||||||||||||||||||||||||
12/31/2014 | 12.53 | .43 | 2 | .31 | .74 | (.49 | ) | — | (.49 | ) | 12.78 | 6.00 | 200 | .63 | 3.34 | 2 | ||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 15.81 | .26 | (1.63 | ) | (1.37 | ) | (.26 | ) | (1.18 | ) | (1.44 | ) | 13.00 | (9.62 | ) | 1 | .88 | 1.74 | ||||||||||||||||||||||||||||||
12/31/20173,4 | 13.21 | .18 | 3.03 | 3.21 | (.35 | ) | (.26 | ) | (.61 | ) | 15.81 | 24.54 | 5 | — | 7 | .84 | 6 | 1.20 | 6 | |||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 15.78 | .26 | (1.63 | ) | (1.37 | ) | (.24 | ) | (1.18 | ) | (1.42 | ) | 12.99 | (9.63 | ) | 1,228 | .88 | 1.70 | ||||||||||||||||||||||||||||||
12/31/2017 | 13.00 | .31 | 3.05 | 3.36 | (.32 | ) | (.26 | ) | (.58 | ) | 15.78 | 26.06 | 1,538 | .88 | 2.11 | |||||||||||||||||||||||||||||||||
12/31/2016 | 12.33 | .25 | .65 | .90 | (.23 | ) | — | (.23 | ) | 13.00 | 7.34 | 1,405 | .88 | 1.98 | ||||||||||||||||||||||||||||||||||
12/31/2015 | 12.75 | .22 | (.39 | ) | (.17 | ) | (.25 | ) | — | (.25 | ) | 12.33 | (1.34 | ) | 1,479 | .89 | 1.73 | |||||||||||||||||||||||||||||||
12/31/2014 | 12.51 | .41 | 2 | .29 | .70 | (.46 | ) | — | (.46 | ) | 12.75 | 5.64 | 1,685 | .88 | 3.22 | 2 | ||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 15.60 | .21 | (1.60 | ) | (1.39 | ) | (.22 | ) | (1.18 | ) | (1.40 | ) | 12.81 | (9.89 | ) | 95 | 1.13 | 1.43 | ||||||||||||||||||||||||||||||
12/31/2017 | 12.89 | .22 | 3.08 | 3.30 | (.33 | ) | (.26 | ) | (.59 | ) | 15.60 | 25.83 | 79 | 1.14 | 1.49 | |||||||||||||||||||||||||||||||||
12/31/2016 | 12.26 | .21 | .65 | .86 | (.23 | ) | — | (.23 | ) | 12.89 | 7.04 | 16 | 1.13 | 1.63 | ||||||||||||||||||||||||||||||||||
12/31/2015 | 12.71 | .17 | (.37 | ) | (.20 | ) | (.25 | ) | — | (.25 | ) | 12.26 | (1.60 | ) | 5 | 1.14 | 1.32 | |||||||||||||||||||||||||||||||
12/31/2014 | 12.50 | .30 | 2 | .37 | .67 | (.46 | ) | — | (.46 | ) | 12.71 | 5.41 | 1 | 1.13 | 2.30 | 2 |
See end of tables for footnotes.
American Funds Insurance Series | 199 |
Financial highlights(continued)
(Loss) income from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net (losses) gains on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Growth-Income Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 50.22 | $ | .84 | $ | (1.25 | ) | $ | (.41 | ) | $ | (.84 | ) | $ | (3.58 | ) | $ | (4.42 | ) | $ | 45.39 | (1.55 | )% | $ | 16,783 | .28 | % | 1.65 | % | |||||||||||||||||||
12/31/2017 | 44.41 | .81 | 8.89 | 9.70 | (.78 | ) | (3.11 | ) | (3.89 | ) | 50.22 | 22.68 | 15,765 | .28 | 1.69 | |||||||||||||||||||||||||||||||||
12/31/2016 | 45.40 | .79 | 4.09 | 4.88 | (.75 | ) | (5.12 | ) | (5.87 | ) | 44.41 | 11.80 | 12,588 | .29 | 1.79 | |||||||||||||||||||||||||||||||||
12/31/2015 | 52.76 | .79 | .37 | 1.16 | (.75 | ) | (7.77 | ) | (8.52 | ) | 45.40 | 1.72 | 10,747 | .29 | 1.59 | |||||||||||||||||||||||||||||||||
12/31/2014 | 50.72 | .81 | 4.57 | 5.38 | (.80 | ) | (2.54 | ) | (3.34 | ) | 52.76 | 10.91 | 10,812 | .29 | 1.56 | |||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 50.15 | .72 | (1.25 | ) | (.53 | ) | (.76 | ) | (3.58 | ) | (4.34 | ) | 45.28 | (1.78 | ) | 7 | .53 | 1.43 | ||||||||||||||||||||||||||||||
12/31/20173,4 | 45.39 | .67 | 7.96 | 8.63 | (.76 | ) | (3.11 | ) | (3.87 | ) | 50.15 | 19.83 | 5 | 2 | .52 | 6 | 1.41 | 6 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 49.71 | .71 | (1.23 | ) | (.52 | ) | (.71 | ) | (3.58 | ) | (4.29 | ) | 44.90 | (1.79 | ) | 12,035 | .53 | 1.40 | ||||||||||||||||||||||||||||||
12/31/2017 | 44.00 | .68 | 8.80 | 9.48 | (.66 | ) | (3.11 | ) | (3.77 | ) | 49.71 | 22.38 | 13,930 | .53 | 1.45 | |||||||||||||||||||||||||||||||||
12/31/2016 | 45.04 | .67 | 4.05 | 4.72 | (.64 | ) | (5.12 | ) | (5.76 | ) | 44.00 | 11.51 | 12,854 | .54 | 1.54 | |||||||||||||||||||||||||||||||||
12/31/2015 | 52.41 | .66 | .37 | 1.03 | (.63 | ) | (7.77 | ) | (8.40 | ) | 45.04 | 1.45 | 12,895 | .54 | 1.34 | |||||||||||||||||||||||||||||||||
12/31/2014 | 50.40 | .67 | 4.55 | 5.22 | (.67 | ) | (2.54 | ) | (3.21 | ) | 52.41 | 10.63 | 14,337 | .54 | 1.31 | |||||||||||||||||||||||||||||||||
Class 3: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 50.29 | .75 | (1.25 | ) | (.50 | ) | (.74 | ) | (3.58 | ) | (4.32 | ) | 45.47 | (1.72 | ) | 140 | .46 | 1.47 | ||||||||||||||||||||||||||||||
12/31/2017 | 44.47 | .72 | 8.90 | 9.62 | (.69 | ) | (3.11 | ) | (3.80 | ) | 50.29 | 22.47 | 168 | .46 | 1.52 | |||||||||||||||||||||||||||||||||
12/31/2016 | 45.46 | .71 | 4.09 | 4.80 | (.67 | ) | (5.12 | ) | (5.79 | ) | 44.47 | 11.59 | 156 | .47 | 1.61 | |||||||||||||||||||||||||||||||||
12/31/2015 | 52.82 | .70 | .37 | 1.07 | (.66 | ) | (7.77 | ) | (8.43 | ) | 45.46 | 1.53 | 161 | .47 | 1.41 | |||||||||||||||||||||||||||||||||
12/31/2014 | 50.77 | .71 | 4.59 | 5.30 | (.71 | ) | (2.54 | ) | (3.25 | ) | 52.82 | 10.71 | 185 | .47 | 1.38 | |||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 49.31 | .58 | (1.23 | ) | (.65 | ) | (.61 | ) | (3.58 | ) | (4.19 | ) | 44.47 | (2.05 | ) | 899 | .78 | 1.15 | ||||||||||||||||||||||||||||||
12/31/2017 | 43.73 | .56 | 8.73 | 9.29 | (.60 | ) | (3.11 | ) | (3.71 | ) | 49.31 | 22.08 | 827 | .78 | 1.19 | |||||||||||||||||||||||||||||||||
12/31/2016 | 44.82 | .56 | 4.02 | 4.58 | (.55 | ) | (5.12 | ) | (5.67 | ) | 43.73 | 11.25 | 495 | .79 | 1.29 | |||||||||||||||||||||||||||||||||
12/31/2015 | 52.39 | .58 | .33 | .91 | (.71 | ) | (7.77 | ) | (8.48 | ) | 44.82 | 1.21 | 410 | .79 | 1.25 | |||||||||||||||||||||||||||||||||
12/31/2014 | 50.56 | .58 | 4.51 | 5.09 | (.72 | ) | (2.54 | ) | (3.26 | ) | 52.39 | 10.34 | 30 | .79 | 1.11 | |||||||||||||||||||||||||||||||||
International Growth and Income Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 17.72 | $ | .45 | $ | (2.39 | ) | $ | (1.94 | ) | $ | (.43 | ) | $ | — | $ | (.43 | ) | $ | 15.35 | (11.00) | % | $ | 1,034 | .65 | % | 2.62 | % | ||||||||||||||||||||
12/31/2017 | 14.48 | .46 | 3.20 | 3.66 | (.42 | ) | — | (.42 | ) | 17.72 | 25.31 | 1,121 | .66 | 2.75 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 14.72 | .43 | (.19 | ) | .24 | (.42 | ) | (.06 | ) | (.48 | ) | 14.48 | 1.71 | 820 | .68 | 2.93 | ||||||||||||||||||||||||||||||||
12/31/2015 | 16.27 | .42 | (1.25 | ) | (.83 | ) | (.38 | ) | (.34 | ) | (.72 | ) | 14.72 | (5.34 | ) | 707 | .68 | 2.60 | ||||||||||||||||||||||||||||||
12/31/2014 | 17.48 | .58 | 2 | (1.09 | ) | (.51 | ) | (.53 | ) | (.17 | ) | (.70 | ) | 16.27 | (2.93 | ) | 740 | .68 | 3.32 | 2 | ||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 17.70 | .41 | (2.39 | ) | (1.98 | ) | (.39 | ) | — | (.39 | ) | 15.33 | (11.24 | ) | 2 | .90 | 2.35 | |||||||||||||||||||||||||||||||
12/31/20173,4 | 14.69 | .34 | 3.08 | 3.42 | (.41 | ) | — | (.41 | ) | 17.70 | 23.36 | 5 | 2 | .91 | 6 | 1.99 | 6 | |||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 17.66 | .41 | (2.38 | ) | (1.97 | ) | (.39 | ) | — | (.39 | ) | 15.30 | (11.23 | ) | 230 | .90 | 2.38 | |||||||||||||||||||||||||||||||
12/31/2017 | 14.43 | .43 | 3.17 | 3.60 | (.37 | ) | — | (.37 | ) | 17.66 | 25.03 | 276 | .91 | 2.60 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 14.68 | .40 | (.21 | ) | .19 | (.38 | ) | (.06 | ) | (.44 | ) | 14.43 | 1.44 | 244 | .93 | 2.72 | ||||||||||||||||||||||||||||||||
12/31/2015 | 16.22 | .38 | (1.24 | ) | (.86 | ) | (.34 | ) | (.34 | ) | (.68 | ) | 14.68 | (5.60 | ) | 254 | .93 | 2.32 | ||||||||||||||||||||||||||||||
12/31/2014 | 17.43 | .56 | 2 | (1.10 | ) | (.54 | ) | (.50 | ) | (.17 | ) | (.67 | ) | 16.22 | (3.15 | ) | 248 | .93 | 3.21 | 2 | ||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 17.58 | .36 | (2.36 | ) | (2.00 | ) | (.36 | ) | — | (.36 | ) | 15.22 | (11.46 | ) | 71 | 1.15 | 2.10 | |||||||||||||||||||||||||||||||
12/31/2017 | 14.38 | .37 | 3.18 | 3.55 | (.35 | ) | — | (.35 | ) | 17.58 | 24.72 | 63 | 1.16 | 2.24 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 14.63 | .36 | (.19 | ) | .17 | (.36 | ) | (.06 | ) | (.42 | ) | 14.38 | 1.18 | 37 | 1.18 | 2.43 | ||||||||||||||||||||||||||||||||
12/31/2015 | 16.19 | .33 | (1.23 | ) | (.90 | ) | (.32 | ) | (.34 | ) | (.66 | ) | 14.63 | (5.82 | ) | 32 | 1.18 | 2.02 | ||||||||||||||||||||||||||||||
12/31/2014 | 17.45 | .26 | 2 | (.85 | ) | (.59 | ) | (.50 | ) | (.17 | ) | (.67 | ) | 16.19 | (3.39 | ) | 20 | 1.18 | 1.52 | 2 |
200 | American Funds Insurance Series |
(Loss) income from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net (losses) gains on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Capital Income Builder | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 10.40 | $ | .31 | $ | (1.00 | ) | $ | (.69 | ) | $ | (.32 | ) | $ | (.02 | ) | $ | (.34 | ) | $ | 9.37 | (6.77 | )% | $ | 317 | .54 | % | 3.08 | % | |||||||||||||||||||
12/31/2017 | 9.46 | .32 | .93 | 1.25 | (.31 | ) | — | (.31 | ) | 10.40 | 13.29 | 254 | .54 | 3.21 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 9.40 | .32 | .07 | .39 | (.33 | ) | — | (.33 | ) | 9.46 | 4.17 | 156 | .54 | 3.39 | ||||||||||||||||||||||||||||||||||
12/31/2015 | 9.81 | .28 | (.40 | ) | (.12 | ) | (.29 | ) | — | (.29 | ) | 9.40 | (1.23 | ) | 80 | .56 | 2.88 | |||||||||||||||||||||||||||||||
12/31/20143,10 | 10.00 | .19 | (.18 | ) | .01 | (.19 | ) | (.01 | ) | (.20 | ) | 9.81 | .12 | 5 | 20 | .56 | 6 | 2.87 | 6 | |||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 10.39 | .28 | (.99 | ) | (.71 | ) | (.30 | ) | (.02 | ) | (.32 | ) | 9.36 | (7.01 | ) | 2 | .79 | 2.82 | ||||||||||||||||||||||||||||||
12/31/20173,4 | 9.57 | .27 | .84 | 1.11 | (.29 | ) | — | (.29 | ) | 10.39 | 11.72 | 5 | 1 | .79 | 6 | 2.63 | 6 | |||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 10.40 | .28 | (1.00 | ) | (.72 | ) | (.30 | ) | (.02 | ) | (.32 | ) | 9.36 | (7.08 | ) | 4 | .79 | 2.83 | ||||||||||||||||||||||||||||||
12/31/2017 | 9.46 | .29 | .93 | 1.22 | (.28 | ) | — | (.28 | ) | 10.40 | 13.04 | 1 | .79 | 2.82 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 9.40 | .27 | .11 | .38 | (.32 | ) | — | (.32 | ) | 9.46 | 4.08 | — | 7 | .80 | 2.82 | |||||||||||||||||||||||||||||||||
12/31/2015 | 9.81 | .31 | (.43 | ) | (.12 | ) | (.29 | ) | — | (.29 | ) | 9.40 | (1.23 | )11 | — | 7 | .46 | 11 | 3.12 | 11 | ||||||||||||||||||||||||||||
12/31/20143,10 | 10.00 | .20 | (.19 | ) | .01 | (.19 | ) | (.01 | ) | (.20 | ) | 9.81 | .12 | 5,11 | — | 7 | .47 | 6,11 | 2.94 | 6,11 | ||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 10.38 | .26 | (1.00 | ) | (.74 | ) | (.27 | ) | (.02 | ) | (.29 | ) | 9.35 | (7.25 | ) | 352 | 1.04 | 2.58 | ||||||||||||||||||||||||||||||
12/31/2017 | 9.45 | .27 | .92 | 1.19 | (.26 | ) | — | (.26 | ) | 10.38 | 12.65 | 338 | 1.04 | 2.72 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 9.38 | .27 | .08 | .35 | (.28 | ) | — | (.28 | ) | 9.45 | 3.78 | 256 | 1.04 | 2.88 | ||||||||||||||||||||||||||||||||||
12/31/2015 | 9.80 | .25 | (.42 | ) | (.17 | ) | (.25 | ) | — | (.25 | ) | 9.38 | (1.79 | ) | 157 | 1.05 | 2.55 | |||||||||||||||||||||||||||||||
12/31/20143,10 | 10.00 | .14 | (.16 | ) | (.02 | ) | (.17 | ) | (.01 | ) | (.18 | ) | 9.80 | (.21 | )5 | 55 | 1.06 | 6 | 2.08 | 6 | ||||||||||||||||||||||||||||
Asset Allocation Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 23.71 | $ | .48 | $ | (1.43 | ) | $ | (.95 | ) | $ | (.44 | ) | $ | (1.03 | ) | $ | (1.47 | ) | $ | 21.29 | (4.35 | )% | $ | 14,627 | .28 | % | 2.04 | % | |||||||||||||||||||
12/31/2017 | 21.68 | .44 | 3.06 | 3.50 | (.41 | ) | (1.06 | ) | (1.47 | ) | 23.71 | 16.51 | 16,556 | .29 | 1.90 | |||||||||||||||||||||||||||||||||
12/31/2016 | 20.62 | .42 | 1.54 | 1.96 | (.39 | ) | (.51 | ) | (.90 | ) | 21.68 | 9.69 | 13,008 | .29 | 1.97 | |||||||||||||||||||||||||||||||||
12/31/2015 | 22.23 | .40 | (.02 | ) | .38 | (.40 | ) | (1.59 | ) | (1.99 | ) | 20.62 | 1.64 | 10,913 | .29 | 1.85 | ||||||||||||||||||||||||||||||||
12/31/2014 | 22.49 | .44 | .81 | 1.25 | (.39 | ) | (1.12 | ) | (1.51 | ) | 22.23 | 5.66 | 11,997 | .30 | 1.95 | |||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 23.69 | .42 | (1.42 | ) | (1.00 | ) | (.40 | ) | (1.03 | ) | (1.43 | ) | 21.26 | (4.58 | ) | 7 | .53 | 1.82 | ||||||||||||||||||||||||||||||
12/31/20173,4 | 21.97 | .39 | 2.78 | 3.17 | (.39 | ) | (1.06 | ) | (1.45 | ) | 23.69 | 14.78 | 5 | 4 | .53 | 6 | 1.69 | 6 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 23.49 | .41 | (1.41 | ) | (1.00 | ) | (.38 | ) | (1.03 | ) | (1.41 | ) | 21.08 | (4.60 | ) | 4,668 | .53 | 1.78 | ||||||||||||||||||||||||||||||
12/31/2017 | 21.49 | .37 | 3.04 | 3.41 | (.35 | ) | (1.06 | ) | (1.41 | ) | 23.49 | 16.23 | 5,480 | .54 | 1.64 | |||||||||||||||||||||||||||||||||
12/31/2016 | 20.45 | .36 | 1.53 | 1.89 | (.34 | ) | (.51 | ) | (.85 | ) | 21.49 | 9.41 | 5,144 | .54 | 1.72 | |||||||||||||||||||||||||||||||||
12/31/2015 | 22.06 | .34 | (.01 | ) | .33 | (.35 | ) | (1.59 | ) | (1.94 | ) | 20.45 | 1.40 | 5,008 | .54 | 1.60 | ||||||||||||||||||||||||||||||||
12/31/2014 | 22.33 | .37 | .81 | 1.18 | (.33 | ) | (1.12 | ) | (1.45 | ) | 22.06 | 5.40 | 5,494 | .55 | 1.69 | |||||||||||||||||||||||||||||||||
Class 3: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 23.73 | .43 | (1.41 | ) | (.98 | ) | (.40 | ) | (1.03 | ) | (1.43 | ) | 21.32 | (4.49 | ) | 29 | .46 | 1.85 | ||||||||||||||||||||||||||||||
12/31/2017 | 21.70 | .39 | 3.07 | 3.46 | (.37 | ) | (1.06 | ) | (1.43 | ) | 23.73 | 16.29 | 38 | .47 | 1.72 | |||||||||||||||||||||||||||||||||
12/31/2016 | 20.64 | .38 | 1.54 | 1.92 | (.35 | ) | (.51 | ) | (.86 | ) | 21.70 | 9.49 | 35 | .47 | 1.79 | |||||||||||||||||||||||||||||||||
12/31/2015 | 22.25 | .36 | (.02 | ) | .34 | (.36 | ) | (1.59 | ) | (1.95 | ) | 20.64 | 1.46 | 36 | .47 | 1.67 | ||||||||||||||||||||||||||||||||
12/31/2014 | 22.51 | .39 | .81 | 1.20 | (.34 | ) | (1.12 | ) | (1.46 | ) | 22.25 | 5.47 | 40 | .48 | 1.76 | |||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 23.40 | .35 | (1.40 | ) | (1.05 | ) | (.33 | ) | (1.03 | ) | (1.36 | ) | 20.99 | (4.83 | ) | 3,594 | .78 | 1.54 | ||||||||||||||||||||||||||||||
12/31/2017 | 21.43 | .32 | 3.02 | 3.34 | (.31 | ) | (1.06 | ) | (1.37 | ) | 23.40 | 15.91 | 3,582 | .79 | 1.40 | |||||||||||||||||||||||||||||||||
12/31/2016 | 20.40 | .31 | 1.53 | 1.84 | (.30 | ) | (.51 | ) | (.81 | ) | 21.43 | 9.16 | 2,861 | .79 | 1.47 | |||||||||||||||||||||||||||||||||
12/31/2015 | 22.11 | .30 | (.02 | ) | .28 | (.40 | ) | (1.59 | ) | (1.99 | ) | 20.40 | 1.14 | 2,414 | .79 | 1.45 | ||||||||||||||||||||||||||||||||
12/31/2014 | 22.46 | .34 | .79 | 1.13 | (.36 | ) | (1.12 | ) | (1.48 | ) | 22.11 | 5.16 | 32 | .80 | 1.55 |
See end of tables for footnotes.
American Funds Insurance Series | 201 |
Financial highlights(continued)
(Loss) income from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net (losses) gains on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Global Balanced Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 12.75 | $ | .23 | $ | (.96 | ) | $ | (.73 | ) | $ | (.20 | ) | $ | (.15 | ) | $ | (.35 | ) | $ | 11.67 | (5.81 | )% | $ | 110 | .72 | % | 1.82 | % | |||||||||||||||||||
12/31/2017 | 11.08 | .21 | 1.99 | 2.20 | (.15 | ) | (.38 | ) | (.53 | ) | 12.75 | 19.91 | 93 | .72 | 1.68 | |||||||||||||||||||||||||||||||||
12/31/2016 | 10.74 | .19 | .32 | .51 | (.17 | ) | — | (.17 | ) | 11.08 | 4.73 | 64 | .72 | 1.73 | ||||||||||||||||||||||||||||||||||
12/31/2015 | 11.11 | .20 | (.28 | ) | (.08 | ) | (.14 | ) | (.15 | ) | (.29 | ) | 10.74 | (.69 | ) | 47 | .72 | 1.80 | ||||||||||||||||||||||||||||||
12/31/2014 | 11.37 | .25 | 2 | (.03 | ) | .22 | (.18 | ) | (.30 | ) | (.48 | ) | 11.11 | 1.87 | 37 | .71 | 2.14 | 2 | ||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 12.74 | .18 | (.94 | ) | (.76 | ) | (.18 | ) | (.15 | ) | (.33 | ) | 11.65 | (6.03 | ) | 2 | .98 | 1.44 | ||||||||||||||||||||||||||||||
12/31/20173,4 | 11.18 | .16 | 1.92 | 2.08 | (.14 | ) | (.38 | ) | (.52 | ) | 12.74 | 18.71 | 5 | — | 7 | .94 | 6 | 1.27 | 6 | |||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 12.72 | .20 | (.96 | ) | (.76 | ) | (.16 | ) | (.15 | ) | (.31 | ) | 11.65 | (6.01 | ) | 185 | .97 | 1.57 | ||||||||||||||||||||||||||||||
12/31/2017 | 11.06 | .18 | 1.98 | 2.16 | (.12 | ) | (.38 | ) | (.50 | ) | 12.72 | 19.57 | 210 | .96 | 1.43 | |||||||||||||||||||||||||||||||||
12/31/2016 | 10.72 | .16 | .32 | .48 | (.14 | ) | — | (.14 | ) | 11.06 | 4.48 | 178 | .97 | 1.48 | ||||||||||||||||||||||||||||||||||
12/31/2015 | 11.09 | .18 | (.28 | ) | (.10 | ) | (.12 | ) | (.15 | ) | (.27 | ) | 10.72 | (.95 | ) | 171 | .97 | 1.60 | ||||||||||||||||||||||||||||||
12/31/2014 | 11.35 | .22 | 2 | (.03 | ) | .19 | (.15 | ) | (.30 | ) | (.45 | ) | 11.09 | 1.63 | 179 | .96 | 1.88 | 2 | ||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 12.63 | .17 | (.96 | ) | (.79 | ) | (.14 | ) | (.15 | ) | (.29 | ) | 11.55 | (6.31 | ) | 69 | 1.22 | 1.34 | ||||||||||||||||||||||||||||||
12/31/2017 | 11.00 | .13 | 1.99 | 2.12 | (.11 | ) | (.38 | ) | (.49 | ) | 12.63 | 19.38 | 51 | 1.22 | 1.07 | |||||||||||||||||||||||||||||||||
12/31/2016 | 10.69 | .12 | .33 | .45 | (.14 | ) | — | (.14 | ) | 11.00 | 4.21 | 10 | 1.24 | 1.12 | ||||||||||||||||||||||||||||||||||
12/31/2015 | 11.09 | .06 | (.17 | ) | (.11 | ) | (.14 | ) | (.15 | ) | (.29 | ) | 10.69 | (1.00 | ) | 1 | 1.34 | .58 | ||||||||||||||||||||||||||||||
12/31/2014 | 11.35 | .24 | 2 | (.02 | ) | .22 | (.18 | ) | (.30 | ) | (.48 | ) | 11.09 | 1.88 | 11 | — | 7 | .67 | 11 | 2.07 | 2,11 | |||||||||||||||||||||||||||
Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 10.82 | $ | .29 | $ | (.35 | ) | $ | (.06 | ) | $ | (.28 | ) | $ | (.01 | ) | $ | (.29 | ) | $ | 10.47 | (.45 | )% | $ | 5,962 | .38 | % | 2.70 | % | |||||||||||||||||||
12/31/2017 | 10.80 | .24 | .18 | .42 | (.24 | ) | (.16 | ) | (.40 | ) | 10.82 | 3.88 | 6,434 | .38 | 2.19 | |||||||||||||||||||||||||||||||||
12/31/2016 | 10.70 | .21 | .14 | .35 | (.21 | ) | (.04 | ) | (.25 | ) | 10.80 | 3.27 | 6,829 | .38 | 1.91 | |||||||||||||||||||||||||||||||||
12/31/2015 | 11.08 | .22 | (.17 | ) | .05 | (.21 | ) | (.22 | ) | (.43 | ) | 10.70 | .45 | 5,731 | .38 | 1.95 | ||||||||||||||||||||||||||||||||
12/31/2014 | 10.73 | .23 | .37 | .60 | (.25 | ) | — | 8 | (.25 | ) | 11.08 | 5.59 | 4,977 | .39 | 2.03 | |||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 10.80 | .26 | (.33 | ) | (.07 | ) | (.27 | ) | (.01 | ) | (.28 | ) | 10.45 | (.60 | ) | 3 | .63 | 2.50 | ||||||||||||||||||||||||||||||
12/31/20173,4 | 10.82 | .22 | .15 | .37 | (.23 | ) | (.16 | ) | (.39 | ) | 10.80 | 3.46 | 5 | 1 | .62 | 6 | 2.01 | 6 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 10.69 | .26 | (.34 | ) | (.08 | ) | (.26 | ) | (.01 | ) | (.27 | ) | 10.34 | (.71 | ) | 3,524 | .63 | 2.45 | ||||||||||||||||||||||||||||||
12/31/2017 | 10.67 | .21 | .18 | .39 | (.21 | ) | (.16 | ) | (.37 | ) | 10.69 | 3.67 | 3,966 | .63 | 1.94 | |||||||||||||||||||||||||||||||||
12/31/2016 | 10.58 | .18 | .13 | .31 | (.18 | ) | (.04 | ) | (.22 | ) | 10.67 | 2.95 | 3,959 | .63 | 1.65 | |||||||||||||||||||||||||||||||||
12/31/2015 | 10.95 | .18 | (.15 | ) | .03 | (.18 | ) | (.22 | ) | (.40 | ) | 10.58 | .28 | 4,135 | .63 | 1.69 | ||||||||||||||||||||||||||||||||
12/31/2014 | 10.61 | .20 | .36 | .56 | (.22 | ) | — | 8 | (.22 | ) | 10.95 | 5.28 | 4,565 | .64 | 1.79 | |||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 10.68 | .23 | (.33 | ) | (.10 | ) | (.24 | ) | (.01 | ) | (.25 | ) | 10.33 | (.89 | ) | 366 | .88 | 2.22 | ||||||||||||||||||||||||||||||
12/31/2017 | 10.70 | .19 | .16 | .35 | (.21 | ) | (.16 | ) | (.37 | ) | 10.68 | 3.29 | 297 | .88 | 1.72 | |||||||||||||||||||||||||||||||||
12/31/2016 | 10.61 | .15 | .15 | .30 | (.17 | ) | (.04 | ) | (.21 | ) | 10.70 | 2.80 | 102 | .88 | 1.41 | |||||||||||||||||||||||||||||||||
12/31/2015 | 11.01 | .16 | (.16 | ) | — | (.18 | ) | (.22 | ) | (.40 | ) | 10.61 | (.08 | ) | 59 | .88 | 1.47 | |||||||||||||||||||||||||||||||
12/31/2014 | 10.69 | .16 | .39 | .55 | (.23 | ) | — | 8 | (.23 | ) | 11.01 | 5.15 | 29 | .89 | 1.43 |
202 | American Funds Insurance Series |
(Loss) income from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net (losses) gains on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Global Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 11.88 | $ | .30 | $ | (.44 | ) | $ | (.14 | ) | $ | (.28 | ) | $ | (.04 | ) | $ | (.32 | ) | $ | 11.42 | (1.14 | )% | $ | 1,015 | .57 | % | 2.56 | % | |||||||||||||||||||
12/31/2017 | 11.22 | .28 | .52 | .80 | (.07 | ) | (.07 | ) | (.14 | ) | 11.88 | 7.11 | 1,273 | .56 | 2.37 | |||||||||||||||||||||||||||||||||
12/31/2016 | 11.01 | .26 | .06 | .32 | (.09 | ) | (.02 | ) | (.11 | ) | 11.22 | 2.92 | 1,115 | .57 | 2.26 | |||||||||||||||||||||||||||||||||
12/31/2015 | 11.77 | .27 | (.71 | ) | (.44 | ) | (.01 | ) | (.31 | ) | (.32 | ) | 11.01 | (3.75 | ) | 1,032 | .57 | 2.34 | ||||||||||||||||||||||||||||||
12/31/2014 | 11.88 | .29 | (.08 | ) | .21 | (.21 | ) | (.11 | ) | (.32 | ) | 11.77 | 1.71 | 1,194 | .57 | 2.35 | ||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 11.87 | .27 | (.43 | ) | (.16 | ) | (.26 | ) | (.04 | ) | (.30 | ) | 11.41 | (1.29 | ) | 1 | .82 | 2.36 | ||||||||||||||||||||||||||||||
12/31/20173,4 | 11.22 | .26 | .52 | .78 | (.06 | ) | (.07 | ) | (.13 | ) | 11.87 | 7.00 | 5 | — | 7 | .72 | 6 | 2.27 | 6 | |||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 11.79 | .27 | (.43 | ) | (.16 | ) | (.25 | ) | (.04 | ) | (.29 | ) | 11.34 | (1.33 | ) | 1,032 | .82 | 2.32 | ||||||||||||||||||||||||||||||
12/31/2017 | 11.14 | .25 | .51 | .76 | (.04 | ) | (.07 | ) | (.11 | ) | 11.79 | 6.86 | 1,164 | .81 | 2.12 | |||||||||||||||||||||||||||||||||
12/31/2016 | 10.93 | .23 | .07 | .30 | (.07 | ) | (.02 | ) | (.09 | ) | 11.14 | 2.71 | 1,121 | .82 | 2.01 | |||||||||||||||||||||||||||||||||
12/31/2015 | 11.72 | .24 | (.71 | ) | (.47 | ) | (.01 | ) | (.31 | ) | (.32 | ) | 10.93 | (4.07 | ) | 1,208 | .82 | 2.09 | ||||||||||||||||||||||||||||||
12/31/2014 | 11.81 | .26 | (.09 | ) | .17 | (.15 | ) | (.11 | ) | (.26 | ) | 11.72 | 1.39 | 1,386 | .82 | 2.11 | ||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 11.70 | .24 | (.43 | ) | (.19 | ) | (.23 | ) | (.04 | ) | (.27 | ) | 11.24 | (1.61 | ) | 40 | 1.07 | 2.09 | ||||||||||||||||||||||||||||||
12/31/2017 | 11.08 | .22 | .51 | .73 | (.04 | ) | (.07 | ) | (.11 | ) | 11.70 | 6.63 | 31 | 1.06 | 1.89 | |||||||||||||||||||||||||||||||||
12/31/2016 | 10.89 | .20 | .06 | .26 | (.05 | ) | (.02 | ) | (.07 | ) | 11.08 | 2.42 | 12 | 1.07 | 1.76 | |||||||||||||||||||||||||||||||||
12/31/2015 | 11.70 | .21 | (.71 | ) | (.50 | ) | — | 8 | (.31 | ) | (.31 | ) | 10.89 | (4.27 | ) | 6 | 1.07 | 1.86 | ||||||||||||||||||||||||||||||
12/31/2014 | 11.87 | .20 | (.05 | ) | .15 | (.21 | ) | (.11 | ) | (.32 | ) | 11.70 | 1.16 | 4 | 1.09 | 1.66 | ||||||||||||||||||||||||||||||||
High-Income Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 10.19 | $ | .64 | $ | (.84 | ) | $ | (.20 | ) | $ | (.65 | ) | $ | — | $ | (.65 | ) | $ | 9.34 | (2.15 | )% | $ | 501 | .50 | % | 6.32 | % | ||||||||||||||||||||
12/31/2017 | 10.18 | .63 | .10 | .73 | (.72 | ) | — | (.72 | ) | 10.19 | 7.25 | 632 | .49 | 5.98 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 9.19 | .61 | 1.02 | 1.63 | (.64 | ) | — | (.64 | ) | 10.18 | 17.83 | 949 | .49 | 6.18 | ||||||||||||||||||||||||||||||||||
12/31/2015 | 10.54 | .64 | (1.36 | ) | (.72 | ) | (.63 | ) | — | (.63 | ) | 9.19 | (6.94 | ) | 1,017 | .48 | 6.12 | |||||||||||||||||||||||||||||||
12/31/2014 | 11.13 | .67 | (.59 | ) | .08 | (.67 | ) | — | (.67 | ) | 10.54 | .80 | 1,017 | .48 | 5.90 | |||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 10.18 | .62 | (.84 | ) | (.22 | ) | (.63 | ) | — | (.63 | ) | 9.33 | (2.35 | ) | 1 | .75 | 6.11 | |||||||||||||||||||||||||||||||
12/31/20173,4 | 10.28 | .60 | .02 | .62 | (.72 | ) | — | (.72 | ) | 10.18 | 6.02 | 5 | — | 7 | .72 | 6 | 5.74 | 6 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 10.03 | .61 | (.83 | ) | (.22 | ) | (.62 | ) | — | (.62 | ) | 9.19 | (2.34 | ) | 661 | .75 | 6.07 | |||||||||||||||||||||||||||||||
12/31/2017 | 10.04 | .59 | .10 | .69 | (.70 | ) | — | (.70 | ) | 10.03 | 6.89 | 776 | .74 | 5.72 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 9.06 | .58 | 1.01 | 1.59 | (.61 | ) | — | (.61 | ) | 10.04 | 17.69 | 799 | .74 | 5.92 | ||||||||||||||||||||||||||||||||||
12/31/2015 | 10.41 | .60 | (1.35 | ) | (.75 | ) | (.60 | ) | — | (.60 | ) | 9.06 | (7.30 | ) | 765 | .73 | 5.85 | |||||||||||||||||||||||||||||||
12/31/2014 | 10.99 | .63 | (.57 | ) | .06 | (.64 | ) | — | (.64 | ) | 10.41 | .63 | 929 | .73 | 5.67 | |||||||||||||||||||||||||||||||||
Class 3: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 10.23 | .63 | (.85 | ) | (.22 | ) | (.63 | ) | — | (.63 | ) | 9.38 | (2.33 | ) | 10 | .68 | 6.14 | |||||||||||||||||||||||||||||||
12/31/2017 | 10.22 | .61 | .10 | .71 | (.70 | ) | — | (.70 | ) | 10.23 | 7.02 | 12 | .67 | 5.79 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 9.22 | .59 | 1.03 | 1.62 | (.62 | ) | — | (.62 | ) | 10.22 | 17.68 | 13 | .67 | 5.99 | ||||||||||||||||||||||||||||||||||
12/31/2015 | 10.57 | .62 | (1.37 | ) | (.75 | ) | (.60 | ) | — | (.60 | ) | 9.22 | (7.13 | ) | 12 | .66 | 5.91 | |||||||||||||||||||||||||||||||
12/31/2014 | 11.16 | .65 | (.59 | ) | .06 | (.65 | ) | — | (.65 | ) | 10.57 | .59 | 16 | .66 | 5.74 | |||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 10.82 | .63 | (.90 | ) | (.27 | ) | (.59 | ) | — | (.59 | ) | 9.96 | (2.64 | ) | 31 | 1.00 | 5.83 | |||||||||||||||||||||||||||||||
12/31/2017 | 10.79 | .61 | .10 | .71 | (.68 | ) | — | (.68 | ) | 10.82 | 6.63 | 34 | .99 | 5.46 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 9.73 | .60 | 1.07 | 1.67 | (.61 | ) | — | (.61 | ) | 10.79 | 17.29 | 21 | .99 | 5.55 | ||||||||||||||||||||||||||||||||||
12/31/2015 | 11.05 | .62 | (1.43 | ) | (.81 | ) | (.51 | ) | — | (.51 | ) | 9.73 | (7.42 | ) | 1 | .98 | 5.51 | |||||||||||||||||||||||||||||||
12/31/2014 | 11.12 | .63 | (.59 | ) | .04 | (.11 | ) | — | (.11 | ) | 11.05 | .35 | — | 7 | .98 | 5.49 |
See end of tables for footnotes.
American Funds Insurance Series | 203 |
Financial highlights(continued)
(Loss) income from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net (losses) gains on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Mortgage Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 10.47 | $ | .20 | $ | (.14 | ) | $ | .06 | $ | (.23 | ) | $ | — | $ | (.23 | ) | $ | 10.30 | .58 | % | $ | 209 | .48 | % | 1.97 | % | |||||||||||||||||||||
12/31/2017 | 10.56 | .16 | — | 8 | .16 | (.18 | ) | (.07 | ) | (.25 | ) | 10.47 | 1.47 | 265 | .47 | 1.52 | ||||||||||||||||||||||||||||||||
12/31/2016 | 10.61 | .15 | .11 | .26 | (.20 | ) | (.11 | ) | (.31 | ) | 10.56 | 2.50 | 269 | .46 | 1.39 | |||||||||||||||||||||||||||||||||
12/31/2015 | 10.70 | .10 | .13 | .23 | (.18 | ) | (.14 | ) | (.32 | ) | 10.61 | 2.09 | 272 | .45 | .89 | |||||||||||||||||||||||||||||||||
12/31/2014 | 10.23 | .12 | .45 | .57 | (.10 | ) | — | (.10 | ) | 10.70 | 5.54 | 292 | .45 | 1.12 | ||||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 10.46 | .18 | (.14 | ) | .04 | (.22 | ) | — | (.22 | ) | 10.28 | .36 | 1 | .73 | 1.77 | |||||||||||||||||||||||||||||||||
12/31/20173,4 | 10.55 | .14 | — | 8 | .14 | (.16 | ) | (.07 | ) | (.23 | ) | 10.46 | 1.31 | 5 | — | 7 | .70 | 6 | 1.38 | 6 | ||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 10.45 | .18 | (.15 | ) | .03 | (.20 | ) | — | (.20 | ) | 10.28 | .32 | 57 | .73 | 1.72 | |||||||||||||||||||||||||||||||||
12/31/2017 | 10.54 | .14 | (.01 | ) | .13 | (.15 | ) | (.07 | ) | (.22 | ) | 10.45 | 1.22 | 63 | .72 | 1.27 | ||||||||||||||||||||||||||||||||
12/31/2016 | 10.59 | .12 | .12 | .24 | (.18 | ) | (.11 | ) | (.29 | ) | 10.54 | 2.25 | 63 | .71 | 1.14 | |||||||||||||||||||||||||||||||||
12/31/2015 | 10.68 | .07 | .13 | .20 | (.15 | ) | (.14 | ) | (.29 | ) | 10.59 | 1.86 | 59 | .70 | .65 | |||||||||||||||||||||||||||||||||
12/31/2014 | 10.22 | .10 | .44 | .54 | (.08 | ) | — | (.08 | ) | 10.68 | 5.23 | 52 | .70 | .91 | ||||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 10.38 | .15 | (.15 | ) | — | 8 | (.19 | ) | — | (.19 | ) | 10.19 | .07 | 24 | .98 | 1.49 | ||||||||||||||||||||||||||||||||
12/31/2017 | 10.48 | .11 | — | 8 | .11 | (.14 | ) | (.07 | ) | (.21 | ) | 10.38 | .97 | 12 | .97 | 1.03 | ||||||||||||||||||||||||||||||||
12/31/2016 | 10.52 | .09 | .12 | .21 | (.14 | ) | (.11 | ) | (.25 | ) | 10.48 | 2.01 | 8 | .96 | .86 | |||||||||||||||||||||||||||||||||
12/31/2015 | 10.65 | .04 | .14 | .18 | (.17 | ) | (.14 | ) | (.31 | ) | 10.52 | 1.62 | 11 | .97 | .37 | |||||||||||||||||||||||||||||||||
12/31/2014 | 10.23 | .05 | .46 | .51 | (.09 | ) | — | (.09 | ) | 10.65 | 4.98 | 1 | .94 | .47 | ||||||||||||||||||||||||||||||||||
Ultra-Short Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 11.29 | $ | .18 | $ | — | 8 | $ | .18 | $ | (.16 | ) | $ | — | $ | (.16 | ) | $ | 11.31 | 1.58 | % | $ | 37 | .35 | % | 1.60 | % | |||||||||||||||||||||
12/31/2017 | 11.27 | .08 | (.01 | ) | .07 | (.05 | ) | — | (.05 | ) | 11.29 | .66 | 37 | .35 | .68 | |||||||||||||||||||||||||||||||||
12/31/201612 | 11.26 | .01 | — | 8 | .01 | — | — | — | 11.27 | .09 | 37 | .35 | .11 | |||||||||||||||||||||||||||||||||||
12/31/2015 | 11.28 | (.03 | ) | .01 | (.02 | ) | — | — | — | 11.26 | (.18 | ) | 39 | .34 | (.24 | ) | ||||||||||||||||||||||||||||||||
12/31/2014 | 11.31 | (.03 | ) | — | (.03 | ) | — | — | — | 11.28 | (.27 | ) | 49 | .34 | (.26 | ) | ||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 11.29 | .18 | — | 8 | .18 | (.16 | ) | — | (.16 | ) | 11.31 | 1.58 | 11 | — | 7 | .35 | 11 | 1.60 | 11 | |||||||||||||||||||||||||||||
12/31/20173,4 | 11.27 | .08 | — | 8 | .08 | (.06 | ) | — | (.06 | ) | 11.29 | .67 | 5,11 | — | 7 | .34 | 6,11 | .69 | 6,11 | |||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 11.01 | .15 | — | 8 | .15 | (.13 | ) | — | (.13 | ) | 11.03 | 1.36 | 247 | .60 | 1.34 | |||||||||||||||||||||||||||||||||
12/31/2017 | 10.99 | .05 | — | 8 | .05 | (.03 | ) | — | (.03 | ) | 11.01 | .46 | 249 | .60 | .42 | |||||||||||||||||||||||||||||||||
12/31/201612 | 11.01 | (.02 | ) | — | 8 | (.02 | ) | — | — | — | 10.99 | (.18 | ) | 297 | .60 | (.14 | ) | |||||||||||||||||||||||||||||||
12/31/2015 | 11.06 | (.05 | ) | — | 8 | (.05 | ) | — | — | — | 11.01 | (.45 | ) | 302 | .59 | (.49 | ) | |||||||||||||||||||||||||||||||
12/31/2014 | 11.12 | (.06 | ) | — | (.06 | ) | — | — | — | 11.06 | (.54 | ) | 331 | .59 | (.51 | ) | ||||||||||||||||||||||||||||||||
Class 3: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 11.12 | .16 | (.01 | ) | .15 | (.13 | ) | — | (.13 | ) | 11.14 | 1.38 | 4 | .53 | 1.42 | |||||||||||||||||||||||||||||||||
12/31/2017 | 11.10 | .06 | — | 8 | .06 | (.04 | ) | — | (.04 | ) | 11.12 | .54 | 4 | .53 | .50 | |||||||||||||||||||||||||||||||||
12/31/201612 | 11.11 | (.01 | ) | — | 8 | (.01 | ) | — | — | — | 11.10 | (.09 | ) | 4 | .53 | (.08 | ) | |||||||||||||||||||||||||||||||
12/31/2015 | 11.16 | (.05 | ) | — | 8 | (.05 | ) | — | — | — | 11.11 | (.45 | ) | 6 | .52 | (.42 | ) | |||||||||||||||||||||||||||||||
12/31/2014 | 11.21 | (.05 | ) | — | (.05 | ) | — | — | — | 11.16 | (.45 | ) | 8 | .52 | (.44 | ) | ||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 11.13 | .12 | .01 | .13 | (.11 | ) | — | (.11 | ) | 11.15 | 1.14 | 18 | .86 | 1.11 | ||||||||||||||||||||||||||||||||||
12/31/2017 | 11.12 | .02 | — | 8 | .02 | (.01 | ) | — | (.01 | ) | 11.13 | .16 | 15 | .85 | .19 | |||||||||||||||||||||||||||||||||
12/31/201612 | 11.17 | (.04 | ) | (.01 | ) | (.05 | ) | — | — | — | 11.12 | (.45 | ) | 13 | .85 | (.40 | ) | |||||||||||||||||||||||||||||||
12/31/2015 | 11.25 | (.08 | ) | — | 8 | (.08 | ) | — | — | — | 11.17 | (.71 | ) | 16 | .85 | (.74 | ) | |||||||||||||||||||||||||||||||
12/31/2014 | 11.30 | (.09 | ) | .04 | (.05 | ) | — | — | — | 11.25 | (.44 | ) | 7 | .84 | (.77 | ) | ||||||||||||||||||||||||||||||||
204 | American Funds Insurance Series |
(Loss) income from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net (losses) gains on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
U.S. Government/AAA-Rated Securities Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 12.08 | $ | .24 | $ | (.13 | ) | $ | .11 | $ | (.25 | ) | $ | — | $ | (.25 | ) | $ | 11.94 | .91 | % | $ | 1,445 | .36 | % | 2.02 | % | |||||||||||||||||||||
12/31/2017 | 12.05 | .21 | .01 | .22 | (.19 | ) | — | (.19 | ) | 12.08 | 1.83 | 1,558 | .36 | 1.68 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 12.31 | .16 | .03 | .19 | (.20 | ) | (.25 | ) | (.45 | ) | 12.05 | 1.44 | 1,467 | .36 | 1.31 | |||||||||||||||||||||||||||||||||
12/31/2015 | 12.40 | .13 | .09 | .22 | (.21 | ) | (.10 | ) | (.31 | ) | 12.31 | 1.93 | 1,426 | .35 | 1.02 | |||||||||||||||||||||||||||||||||
12/31/2014 | 11.94 | .15 | .48 | .63 | (.17 | ) | — | (.17 | ) | 12.40 | 5.24 | 1,723 | .35 | 1.24 | ||||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 12.08 | .22 | (.14 | ) | .08 | (.23 | ) | — | (.23 | ) | 11.93 | .70 | 1 | .61 | 1.82 | |||||||||||||||||||||||||||||||||
12/31/20173,4 | 12.05 | .18 | .03 | .21 | (.18 | ) | — | (.18 | ) | 12.08 | 1.73 | 5 | — | 7 | .58 | 6 | 1.53 | 6 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 11.96 | .21 | (.14 | ) | .07 | (.21 | ) | — | (.21 | ) | 11.82 | .73 | 1,323 | .61 | 1.77 | |||||||||||||||||||||||||||||||||
12/31/2017 | 11.93 | .17 | .02 | .19 | (.16 | ) | — | (.16 | ) | 11.96 | 1.59 | 1,473 | .61 | 1.43 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 12.20 | .13 | .02 | .15 | (.17 | ) | (.25 | ) | (.42 | ) | 11.93 | 1.19 | 1,503 | .61 | 1.05 | |||||||||||||||||||||||||||||||||
12/31/2015 | 12.29 | .10 | .09 | .19 | (.18 | ) | (.10 | ) | (.28 | ) | 12.20 | 1.59 | 1,579 | .60 | .79 | |||||||||||||||||||||||||||||||||
12/31/2014 | 11.83 | .12 | .47 | .59 | (.13 | ) | — | (.13 | ) | 12.29 | 5.01 | 1,717 | .60 | 1.00 | ||||||||||||||||||||||||||||||||||
Class 3: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 12.11 | .22 | (.14 | ) | .08 | (.22 | ) | — | (.22 | ) | 11.97 | .71 | 9 | .54 | 1.84 | |||||||||||||||||||||||||||||||||
12/31/2017 | 12.07 | .18 | .03 | .21 | (.17 | ) | — | (.17 | ) | 12.11 | 1.72 | 10 | .54 | 1.50 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 12.34 | .14 | .02 | .16 | (.18 | ) | (.25 | ) | (.43 | ) | 12.07 | 1.24 | 11 | .54 | 1.12 | |||||||||||||||||||||||||||||||||
12/31/2015 | 12.43 | .11 | .09 | .20 | (.19 | ) | (.10 | ) | (.29 | ) | 12.34 | 1.64 | 11 | .53 | .85 | |||||||||||||||||||||||||||||||||
12/31/2014 | 11.96 | .13 | .48 | .61 | (.14 | ) | — | (.14 | ) | 12.43 | 5.11 | 13 | .53 | 1.08 | ||||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 11.98 | .18 | (.12 | ) | .06 | (.20 | ) | — | (.20 | ) | 11.84 | .50 | 91 | .86 | 1.53 | |||||||||||||||||||||||||||||||||
12/31/2017 | 11.96 | .14 | .01 | .15 | (.13 | ) | — | (.13 | ) | 11.98 | 1.28 | 62 | .86 | 1.18 | ||||||||||||||||||||||||||||||||||
12/31/2016 | 12.22 | .10 | .03 | .13 | (.14 | ) | (.25 | ) | (.39 | ) | 11.96 | .99 | 57 | .86 | .82 | |||||||||||||||||||||||||||||||||
12/31/2015 | 12.34 | .07 | .08 | .15 | (.17 | ) | (.10 | ) | (.27 | ) | 12.22 | 1.29 | 46 | .85 | .56 | |||||||||||||||||||||||||||||||||
12/31/2014 | 11.93 | .06 | .51 | .57 | (.16 | ) | — | (.16 | ) | 12.34 | 4.76 | 21 | .85 | .50 |
See end of tables for footnotes.
American Funds Insurance Series | 205 |
Financial highlights(continued)
Income from investment operations1 | Dividends and distributions | Ratio of expenses | Ratio of expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distribu- tions (from capital gains) | Total dividends and distribu- tions | Net asset value, end of period | Total return13 | Net assets, end of period (in millions) | to average net assets before waivers/ reimburse- ments | to average net assets after waivers/ reimburse- ments13 | Net effective expense ratio13,14 | Ratio of net income to average net assets13 | |||||||||||||||||||||||||||||||||||||||||
Managed Risk Growth Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class P1: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 13.22 | $ | .11 | $ | (.04 | ) | $ | .07 | $ | (.10 | ) | $ | (.89 | ) | $ | (.99 | ) | $ | 12.30 | (.04 | )%11 | $ | 3 | .42 | %11 | .37 | %11 | .71 | %11 | .82 | %11 | |||||||||||||||||||||||
12/31/2017 | 10.71 | .08 | 2.70 | 2.78 | (.07 | ) | (.20 | ) | (.27 | ) | 13.22 | 26.23 | 11 | 2 | .42 | 11 | .36 | 11 | .70 | 11 | .69 | 11 | |||||||||||||||||||||||||||||||||
12/31/2016 | 11.49 | .08 | .20 | .28 | (.05 | ) | (1.01 | ) | (1.06 | ) | 10.71 | 2.89 | 11 | 1 | .50 | 11 | .34 | 11 | .68 | 11 | .79 | 11 | |||||||||||||||||||||||||||||||||
12/31/2015 | 11.37 | .09 | .03 | .12 | — | — | — | 11.49 | 1.06 | 11 | — | 7 | .53 | 11 | .29 | 11 | .63 | 11 | .80 | 11 | |||||||||||||||||||||||||||||||||||
12/31/2014 | 11.43 | .31 | (.06 | ) | .25 | (.12 | ) | (.19 | ) | (.31 | ) | 11.37 | 2.18 | 11 | — | 7 | .50 | 11 | .32 | 11 | .65 | 11 | 2.71 | 11 | |||||||||||||||||||||||||||||||
Class P2: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 13.14 | .06 | (.04 | ) | .02 | (.06 | ) | (.89 | ) | (.95 | ) | 12.21 | (.37 | ) | 340 | .68 | .63 | .97 | .46 | ||||||||||||||||||||||||||||||||||||
12/31/2017 | 10.64 | .04 | 2.70 | 2.74 | (.04 | ) | (.20 | ) | (.24 | ) | 13.14 | 25.99 | 286 | .69 | .63 | .97 | .34 | ||||||||||||||||||||||||||||||||||||||
12/31/2016 | 11.43 | .05 | .19 | .24 | (.02 | ) | (1.01 | ) | (1.03 | ) | 10.64 | 2.52 | 200 | .79 | .63 | .97 | .43 | ||||||||||||||||||||||||||||||||||||||
12/31/2015 | 11.35 | .04 | .04 | .08 | — | — | — | 11.43 | .71 | 146 | .89 | .66 | 1.00 | .31 | |||||||||||||||||||||||||||||||||||||||||
12/31/2014 | 11.43 | .12 | .08 | .20 | (.09 | ) | (.19 | ) | (.28 | ) | 11.35 | 1.77 | 79 | .87 | .69 | 1.02 | 1.01 | ||||||||||||||||||||||||||||||||||||||
Managed Risk International Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class P1: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 11.25 | $ | .32 | $ | (1.44 | ) | $ | (1.12 | ) | $ | (.26 | ) | $ | (.05 | ) | $ | (.31 | ) | $ | 9.82 | (10.11 | )%11 | $ | — | 7 | .33 | %11 | .28 | %11 | .77 | %11 | 3.02 | %11 | |||||||||||||||||||||
12/31/2017 | 8.89 | .11 | 2.47 | 2.58 | (.10 | ) | (.12 | ) | (.22 | ) | 11.25 | 29.28 | 11 | — | 7 | .28 | 11 | .20 | 11 | .69 | 11 | 1.13 | 11 | ||||||||||||||||||||||||||||||||
12/31/2016 | 9.48 | .10 | (.35 | ) | (.25 | ) | (.12 | ) | (.22 | ) | (.34 | ) | 8.89 | (2.59 | )11 | — | 7 | .39 | 11 | .23 | 11 | .74 | 11 | 1.15 | 11 | ||||||||||||||||||||||||||||||
12/31/2015 | 10.10 | .18 | (.80 | ) | (.62 | ) | — | 8 | — | — | 8 | 9.48 | (6.12 | )11 | — | 7 | .45 | 11 | .21 | 11 | .72 | 11 | 1.75 | 11 | |||||||||||||||||||||||||||||||
12/31/2014 | 10.82 | .14 | (.71 | ) | (.57 | ) | (.15 | ) | — | (.15 | ) | 10.10 | (5.31 | )11 | — | 7 | .50 | 11 | .25 | 11 | .76 | 11 | 1.33 | 11 | |||||||||||||||||||||||||||||||
Class P2: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 11.15 | .16 | (1.32 | ) | (1.16 | ) | (.18 | ) | (.05 | ) | (.23 | ) | 9.76 | (10.50 | ) | 151 | .69 | .64 | 1.13 | 1.49 | |||||||||||||||||||||||||||||||||||
12/31/2017 | 8.83 | .11 | 2.41 | 2.52 | (.08 | ) | (.12 | ) | (.20 | ) | 11.15 | 28.69 | 148 | .71 | .63 | 1.12 | 1.03 | ||||||||||||||||||||||||||||||||||||||
12/31/2016 | 9.43 | .09 | (.38 | ) | (.29 | ) | (.09 | ) | (.22 | ) | (.31 | ) | 8.83 | (3.05 | ) | 97 | .79 | .63 | 1.14 | .97 | |||||||||||||||||||||||||||||||||||
12/31/2015 | 10.09 | .13 | (.79 | ) | (.66 | ) | — | 8 | — | — | 8 | 9.43 | (6.52 | ) | 83 | .90 | .66 | 1.17 | 1.30 | ||||||||||||||||||||||||||||||||||||
12/31/2014 | 10.82 | .16 | (.77 | ) | (.61 | ) | (.12 | ) | — | (.12 | ) | 10.09 | (5.68 | ) | 46 | .91 | .67 | 1.18 | 1.51 | ||||||||||||||||||||||||||||||||||||
Managed Risk Blue Chip Income and Growth Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class P1: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 13.04 | $ | .40 | $ | (1.27 | ) | $ | (.87 | ) | $ | (.45 | ) | $ | (.44 | ) | $ | (.89 | ) | $ | 11.28 | (6.99 | )%11 | $ | — | 7 | .33 | %11 | .28 | %11 | .67 | %11 | 3.21 | %11 | |||||||||||||||||||||
12/31/2017 | 11.67 | .19 | 1.59 | 1.78 | (.22 | ) | (.19 | ) | (.41 | ) | 13.04 | 15.48 | 11 | — | 7 | .30 | 11 | .25 | 11 | .64 | 11 | 1.59 | 11 | ||||||||||||||||||||||||||||||||
12/31/2016 | 10.80 | .20 | 1.25 | 1.45 | (.21 | ) | (.37 | ) | (.58 | ) | 11.67 | 13.77 | 11 | — | 7 | .43 | 11 | .27 | 11 | .67 | 11 | 1.83 | 11 | ||||||||||||||||||||||||||||||||
12/31/2015 | 11.70 | .19 | (1.02 | ) | (.83 | ) | (.07 | ) | — | (.07 | ) | 10.80 | (7.07 | )11 | — | 7 | .50 | 11 | .27 | 11 | .66 | 11 | 1.64 | 11 | |||||||||||||||||||||||||||||||
12/31/2014 | 11.05 | .40 | .55 | .95 | (.30 | ) | — | (.30 | ) | 11.70 | 8.58 | 11 | — | 7 | .50 | 11 | .31 | 11 | .70 | 11 | 3.43 | 11 | |||||||||||||||||||||||||||||||||
Class P2: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 12.96 | .19 | (1.10 | ) | (.91 | ) | (.40 | ) | (.44 | ) | (.84 | ) | 11.21 | (7.38 | ) | 336 | .68 | .63 | 1.02 | 1.49 | |||||||||||||||||||||||||||||||||||
12/31/2017 | 11.61 | .17 | 1.55 | 1.72 | (.18 | ) | (.19 | ) | (.37 | ) | 12.96 | 15.03 | 367 | .68 | .63 | 1.02 | 1.43 | ||||||||||||||||||||||||||||||||||||||
12/31/2016 | 10.76 | .23 | 1.18 | 1.41 | (.19 | ) | (.37 | ) | (.56 | ) | 11.61 | 13.39 | 291 | .79 | .63 | 1.03 | 2.04 | ||||||||||||||||||||||||||||||||||||||
12/31/2015 | 11.67 | .18 | (1.05 | ) | (.87 | ) | (.04 | ) | — | (.04 | ) | 10.76 | (7.43 | ) | 137 | .89 | .66 | 1.05 | 1.57 | ||||||||||||||||||||||||||||||||||||
12/31/2014 | 11.05 | .50 | .40 | .90 | (.28 | ) | — | (.28 | ) | 11.67 | 8.10 | 98 | .88 | .69 | 1.08 | 4.27 | |||||||||||||||||||||||||||||||||||||||
Managed Risk Growth-Income Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class P1: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 12.66 | $ | (.02 | ) | $ | (.15 | ) | $ | (.17 | ) | $ | (.19 | ) | $ | (.57 | ) | $ | (.76 | ) | $ | 11.73 | (1.66) | %11 | $ | 1,662 | .40 | %11 | .35 | %11 | .64 | %11 | (.20) | %11 | |||||||||||||||||||||
12/31/2017 | 11.07 | .19 | 2.03 | 2.22 | (.13 | ) | (.50 | ) | (.63 | ) | 12.66 | 20.64 | 11 | 2 | .44 | 11 | .37 | 11 | .66 | 11 | 1.61 | 11 | |||||||||||||||||||||||||||||||||
12/31/2016 | 11.25 | .16 | .52 | .68 | (.16 | ) | (.70 | ) | (.86 | ) | 11.07 | 6.49 | 11 | 1 | .52 | 11 | .36 | 11 | .64 | 11 | 1.46 | 11 | |||||||||||||||||||||||||||||||||
12/31/2015 | 11.67 | .25 | (.63 | ) | (.38 | ) | (.04 | ) | — | (.04 | ) | 11.25 | (3.27 | )11 | 1 | .56 | 11 | .31 | 11 | .59 | 11 | 2.17 | 11 | ||||||||||||||||||||||||||||||||
12/31/2014 | 11.50 | .35 | .21 | .56 | (.14 | ) | (.25 | ) | (.39 | ) | 11.67 | 4.85 | 11 | — | 7 | .45 | 11 | .25 | 11 | .52 | 11 | 2.94 | 11 | ||||||||||||||||||||||||||||||||
Class P2: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 12.58 | .16 | (.36 | ) | (.20 | ) | (.14 | ) | (.57 | ) | (.71 | ) | 11.67 | (1.97 | ) | 230 | .69 | .64 | .93 | 1.25 | |||||||||||||||||||||||||||||||||||
12/31/2017 | 11.02 | .13 | 2.05 | 2.18 | (.12 | ) | (.50 | ) | (.62 | ) | 12.58 | 20.40 | 206 | .70 | .63 | .92 | 1.08 | ||||||||||||||||||||||||||||||||||||||
12/31/2016 | 11.22 | .12 | .52 | .64 | (.14 | ) | (.70 | ) | (.84 | ) | 11.02 | 6.08 | 160 | .79 | .63 | .91 | 1.13 | ||||||||||||||||||||||||||||||||||||||
12/31/2015 | 11.65 | .12 | (.54 | ) | (.42 | ) | (.01 | ) | — | (.01 | ) | 11.22 | (3.64 | ) | 122 | .89 | .66 | .94 | 1.04 | ||||||||||||||||||||||||||||||||||||
12/31/2014 | 11.50 | .16 | .35 | .51 | (.11 | ) | (.25 | ) | (.36 | ) | 11.65 | 4.42 | 76 | .87 | .69 | .96 | 1.38 | ||||||||||||||||||||||||||||||||||||||
206 | American Funds Insurance Series |
Income from investment operations1 | Dividends and distributions | Ratio of expenses | Ratio of expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distribu- tions (from capital gains) | Total dividends and distribu- tions | Net asset value, end of period | Total return13 | Net assets, end of period (in millions) | to average net assets before waivers/ reimburse- ments | to average net assets after waivers/ reimburse- ments13 | Net effective expense ratio13,14 | Ratio of net income to average net assets13 | |||||||||||||||||||||||||||||||||||||||||
Managed Risk Asset Allocation Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class P1: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | $ | 13.59 | $ | .22 | $ | (.80 | ) | $ | (.58 | ) | $ | (.25 | ) | $ | (.53 | ) | $ | (.78 | ) | $ | 12.23 | (4.63 | )% | $ | 2 | .37 | % | .32 | % | .59 | % | 1.67 | % | ||||||||||||||||||||||
12/31/2017 | 12.02 | .19 | 1.60 | 1.79 | (.10 | ) | (.12 | ) | (.22 | ) | 13.59 | 15.06 | 1,656 | .43 | .38 | .66 | 1.45 | ||||||||||||||||||||||||||||||||||||||
12/31/2016 | 11.72 | .19 | .67 | .86 | (.19 | ) | (.37 | ) | (.56 | ) | 12.02 | 7.57 | 1,217 | .43 | .38 | .66 | 1.65 | ||||||||||||||||||||||||||||||||||||||
12/31/2015 | 12.29 | .25 | (.34 | ) | (.09 | ) | (.22 | ) | (.26 | ) | (.48 | ) | 11.72 | (.83 | ) | 712 | .54 | .40 | .68 | 2.06 | |||||||||||||||||||||||||||||||||||
12/31/2014 | 11.93 | .13 | .26 | .39 | (.03 | ) | — | (.03 | ) | 12.29 | 3.24 | 277 | .53 | .48 | .76 | 1.04 | |||||||||||||||||||||||||||||||||||||||
Class P2: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/2018 | 13.55 | .17 | (.79 | ) | (.62 | ) | (.18 | ) | (.53 | ) | (.71 | ) | 12.22 | (4.89 | ) | 2,541 | .62 | .57 | .84 | 1.27 | |||||||||||||||||||||||||||||||||||
12/31/2017 | 12.01 | .15 | 1.61 | 1.76 | (.10 | ) | (.12 | ) | (.22 | ) | 13.55 | 14.80 | 2,798 | .68 | .63 | .91 | 1.13 | ||||||||||||||||||||||||||||||||||||||
12/31/2016 | 11.71 | .14 | .69 | .83 | (.16 | ) | (.37 | ) | (.53 | ) | 12.01 | 7.27 | 2,342 | .68 | .63 | .91 | 1.20 | ||||||||||||||||||||||||||||||||||||||
12/31/2015 | 12.27 | .14 | (.26 | ) | (.12 | ) | (.18 | ) | (.26 | ) | (.44 | ) | 11.71 | (1.07 | ) | 1,953 | .79 | .66 | .94 | 1.16 | |||||||||||||||||||||||||||||||||||
12/31/2014 | 11.93 | .16 | .19 | .35 | (.01 | ) | — | (.01 | ) | 12.27 | 2.91 | 1,780 | .79 | .73 | 1.01 | 1.33 |
See end of tables for footnotes.
American Funds Insurance Series | 207 |
Portfolio turnover rate for all share classes | Year ended December 31 | |||||||||||||||||||
excluding mortgage dollar roll transactions15 | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||
Capital Income Builder | 42 | % | 59 | % | 41 | % | 38 | % | 24 | % | ||||||||||
Asset Allocation Fund | 34 | 39 | 43 | 28 | 42 | |||||||||||||||
Global Balanced Fund | 30 | 28 | 43 | 36 | 40 | |||||||||||||||
Bond Fund | 98 | 153 | 108 | 141 | 121 | |||||||||||||||
Global Bond Fund | 78 | 74 | 70 | 88 | 134 | |||||||||||||||
Mortgage Fund | 60 | 98 | 113 | 138 | 108 | |||||||||||||||
U.S. Government/AAA-Rated Securities Fund | 76 | 120 | 273 | 352 | 88 | |||||||||||||||
Portfolio turnover rate for all share classes | Year ended December 31 | |||||||||||||||||||
including mortgage dollar roll transactions, if applicable15 | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||
Global Growth Fund | 25 | % | 31 | % | 27 | % | 29 | % | 22 | % | ||||||||||
Global Small Capitalization Fund | 43 | 33 | 40 | 36 | 28 | |||||||||||||||
Growth Fund | 35 | 24 | 26 | 20 | 29 | |||||||||||||||
International Fund | 29 | 29 | 31 | 37 | 18 | |||||||||||||||
New World Fund | 58 | 56 | 32 | 39 | 36 | |||||||||||||||
Blue Chip Income and Growth Fund | 49 | 34 | 30 | 26 | 37 | |||||||||||||||
Global Growth and Income Fund | 49 | 41 | 57 | 37 | 28 | |||||||||||||||
Growth-Income Fund | 39 | 27 | 27 | 25 | 25 | |||||||||||||||
International Growth and Income Fund | 38 | 51 | 32 | 35 | 34 | |||||||||||||||
Capital Income Builder Fund | 98 | 88 | 53 | 128 | 35 | 5,10 | ||||||||||||||
Asset Allocation Fund | 86 | 85 | 83 | 76 | 88 | |||||||||||||||
Global Balanced Fund | 51 | 41 | 65 | 76 | 73 | |||||||||||||||
Bond Fund | 514 | 502 | 375 | 434 | 365 | |||||||||||||||
Global Bond Fund | 125 | 105 | 154 | 159 | 200 | |||||||||||||||
High-Income Bond Fund | 67 | 78 | 89 | 66 | 54 | |||||||||||||||
Mortgage Fund | 811 | 680 | 713 | 1103 | 790 | |||||||||||||||
U.S. Government/AAA-Rated Securities Fund | 446 | 551 | 539 | 901 | 387 | |||||||||||||||
Ultra-Short Bond Fund | — | 16 | — | 16 | — | 12,16 | N/A | N/A | ||||||||||||
Managed Risk Growth Fund | 7 | 25 | 15 | 16 | 22 | |||||||||||||||
Managed Risk International Fund | 8 | 25 | 26 | 15 | 22 | |||||||||||||||
Managed Risk Blue Chip Income and Growth Fund | 11 | 32 | 9 | 20 | 22 | |||||||||||||||
Managed Risk Growth-Income Fund | 14 | 26 | 14 | 11 | 28 | |||||||||||||||
Managed Risk Asset Allocation Fund | 12 | 1 | 3 | 3 | 3 |
1 | Based on average shares outstanding. |
2 | For the year ended December 31, 2014, reflects the impact of a corporate action event that resulted in a one-time increase to net investment income. If the corporate action event had not occurred, the net investment income per share and ratio of net income to average net assets would have been lower for all share classes. |
3 | Based on operations for a period that is less than a full year. |
4 | Class 1A shares began investment operations on January 6, 2017. |
5 | Not annualized. |
6 | Annualized. |
7 | Amount less than $1 million. |
8 | Amount less than $.01. |
9 | Amount less than .01%. |
10 | For the period May 1, 2014, commencement of operations, through December 31, 2014. |
11 | All or a significant portion of assets in this class consisted of seed capital invested by CRMC and/or its affiliates. Certain fees (including, where applicable, fees for distribution services) are not charged or accrued on these seed capital assets. If such fees were paid by the fund on seed capital assets, fund expenses would have been higher and net income and total return would have been lower. |
12 | On May 1, 2016, the fund converted from a cash fund to an ultra-short-term bond fund and changed its name from Cash Management Fund to Ultra-Short Bond Fund. |
13 | This column reflects the impact of certain waivers/reimbursements by CRMC. CRMC waived a portion of investment advisory services and reimbursed a portion of miscellaneous fees and expenses for the managed risk funds. |
14 | This column reflects the net effective expense ratios for each fund and class, which are unaudited. These ratios include each class’s expense ratio combined with the weighted average net expense ratio of the underlying funds for the periods presented. See expense example for further information regarding fees and expenses. |
15 | Refer to Note 5 for further information on mortgage dollar rolls. |
16 | Amount is either less than 1% or there is no turnover. |
See notes to financial statements
208 | American Funds Insurance Series |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of American Funds Insurance Series and Shareholders of Global Growth Fund, Global Small Capitalization Fund, Growth Fund, International Fund, New World Fund®, Blue Chip Income and Growth Fund, Global Growth and Income Fund, Growth-Income Fund, International Growth and Income Fund, Capital Income Builder®, Asset Allocation Fund, Global Balanced Fund, Bond Fund, Global Bond Fund, High-Income Bond Fund, Mortgage Fund, Ultra-Short Bond Fund, U.S. Government/AAA-Rated Securities Fund, Managed Risk Growth Fund, Managed Risk International Fund, Managed Risk Blue Chip Income and Growth Fund, Managed Risk Growth-Income Fund and Managed Risk Asset Allocation Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including summary investment portfolios of Global Growth Fund, Global Small Capitalization Fund, Growth Fund, International Fund, New World Fund®, Blue Chip Income and Growth Fund, Global Growth and Income Fund, Growth-Income Fund, International Growth and Income Fund, Capital Income Builder®, Asset Allocation Fund, Global Balanced Fund, Bond Fund, Global Bond Fund, High-Income Bond Fund, Mortgage Fund and U.S. Government/AAA-Rated Securities Fund and investment portfolios of Ultra-Short Bond Fund, Managed Risk Growth Fund, Managed Risk International Fund, Managed Risk Blue Chip Income and Growth Fund, Managed Risk Growth-Income Fund and Managed Risk Asset Allocation Fund, (twenty-three of the funds constituting American Funds Insurance Series, hereafter collectively referred to as the “Funds”) as of December 31, 2018, the related statements of operations for the year ended December 31, 2018, the statements of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2018, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodians, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Los Angeles, California
February 12, 2019
We have served as the auditor of one or more investment companies in The Capital Group Companies Investment Company Complex since 1934.
American Funds Insurance Series | 209 |
Expense example | unaudited |
The funds in American Funds Insurance Series serve as the underlying investment vehicle for various insurance products. As an owner of an insurance contract that invests in one of the funds in the series, you incur two types of costs: (1) transaction costs, such as initial sales charges on purchase payments and contingent deferred sales charges on redemptions (loads), and (2) ongoing costs, including management fees, distribution and service (12b-1) fees, and other expenses. Additional fees are charged by the insurance companies related to the various benefits they provide. This example is intended to help you understand your ongoing costs (in dollars) of investing in the underlying funds so you can compare these costs with the ongoing costs of investing in other mutual funds that serve a similar function in other annuity products. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period (July 1, 2018, through December 31, 2018).
Actual expenses:
The first line of each share class in the table on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses paid during period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes:
The second line of each share class in the table on the following pages provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio for the share class and an assumed rate of return of 5.00% per year before expenses, which is not the actual return of the share class. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5.00% hypothetical example with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.
Notes:
Additional fees are charged by the insurance companies related to the various benefits they provide. You can estimate the impact of these fees by adding the amount of the fees to the total estimated expenses you paid on your account during the period as calculated above. In addition, your ending account value would be lower by the amount of these fees.
Note that the expenses shown in the table on the following pages are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of each share class in the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
210 | American Funds Insurance Series |
Beginning account value 7/1/2018 | Ending account value 12/31/2018 | Expenses paid during period1 | Annualized expense ratio | |||||||||||||
Global Growth Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 883.81 | $ | 2.66 | .56 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,022.38 | 2.85 | .56 | ||||||||||||
Class 1A – actual return | 1,000.00 | 882.71 | 3.84 | .81 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,021.12 | 4.13 | .81 | ||||||||||||
Class 2 – actual return | 1,000.00 | 882.86 | 3.84 | .81 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,021.12 | 4.13 | .81 | ||||||||||||
Class 4 – actual return | 1,000.00 | 881.92 | 5.03 | 1.06 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,019.86 | 5.40 | 1.06 | ||||||||||||
Global Small Capitalization Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 857.65 | $ | 3.46 | .74 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,021.48 | 3.77 | .74 | ||||||||||||
Class 1A – actual return | 1,000.00 | 856.00 | 4.58 | .98 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,020.27 | 4.99 | .98 | ||||||||||||
Class 2 – actual return | 1,000.00 | 856.32 | 4.63 | .99 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,020.21 | 5.04 | .99 | ||||||||||||
Class 4 – actual return | 1,000.00 | 854.97 | 5.80 | 1.24 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,018.95 | 6.31 | 1.24 | ||||||||||||
Growth Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 909.41 | $ | 1.64 | .34 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,023.49 | 1.73 | .34 | ||||||||||||
Class 1A – actual return | 1,000.00 | 908.27 | 2.84 | .59 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,022.23 | 3.01 | .59 | ||||||||||||
Class 2 – actual return | 1,000.00 | 908.31 | 2.84 | .59 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,022.23 | 3.01 | .59 | ||||||||||||
Class 3 – actual return | 1,000.00 | 908.54 | 2.50 | .52 | ||||||||||||
Class 3 – assumed 5% return | 1,000.00 | 1,022.58 | 2.65 | .52 | ||||||||||||
Class 4 – actual return | 1,000.00 | 907.21 | 4.04 | .84 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,020.97 | 4.28 | .84 | ||||||||||||
International Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 870.74 | $ | 2.50 | .53 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,022.53 | 2.70 | .53 | ||||||||||||
Class 1A – actual return | 1,000.00 | 870.06 | 3.68 | .78 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,021.27 | 3.97 | .78 | ||||||||||||
Class 2 – actual return | 1,000.00 | 870.02 | 3.68 | .78 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,021.27 | 3.97 | .78 | ||||||||||||
Class 3 – actual return | 1,000.00 | 869.83 | 3.35 | .71 | ||||||||||||
Class 3 – assumed 5% return | 1,000.00 | 1,021.63 | 3.62 | .71 | ||||||||||||
Class 4 – actual return | 1,000.00 | 868.31 | 4.85 | 1.03 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,020.01 | 5.24 | 1.03 | ||||||||||||
New World Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 896.60 | $ | 3.73 | .78 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,021.27 | 3.97 | .78 | ||||||||||||
Class 1A – actual return | 1,000.00 | 895.48 | 4.92 | 1.03 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,020.01 | 5.24 | 1.03 | ||||||||||||
Class 2 – actual return | 1,000.00 | 895.53 | 4.92 | 1.03 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,020.01 | 5.24 | 1.03 | ||||||||||||
Class 4 – actual return | 1,000.00 | 894.44 | 6.11 | 1.28 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,018.75 | 6.51 | 1.28 |
See end of tables for footnotes.
American Funds Insurance Series | 211 |
Beginning account value 7/1/2018 | Ending account value 12/31/2018 | Expenses paid during period1 | Annualized expense ratio | |||||||||||||
Blue Chip Income and Growth Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 911.16 | $ | 1.98 | .41 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,023.14 | 2.09 | .41 | ||||||||||||
Class 1A – actual return | 1,000.00 | 910.38 | 3.18 | .66 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,021.88 | 3.36 | .66 | ||||||||||||
Class 2 – actual return | 1,000.00 | 910.78 | 3.18 | .66 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,021.88 | 3.36 | .66 | ||||||||||||
Class 4 – actual return | 1,000.00 | 909.57 | 4.38 | .91 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,020.62 | 4.63 | .91 | ||||||||||||
Global Growth and Income Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 913.67 | $ | 3.09 | .64 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,021.98 | 3.26 | .64 | ||||||||||||
Class 1A – actual return | 1,000.00 | 912.85 | 4.29 | .89 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,020.72 | 4.53 | .89 | ||||||||||||
Class 2 – actual return | 1,000.00 | 911.89 | 4.29 | .89 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,020.72 | 4.53 | .89 | ||||||||||||
Class 4 – actual return | 1,000.00 | 911.37 | 5.49 | 1.14 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,019.46 | 5.80 | 1.14 | ||||||||||||
Growth-Income Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 923.69 | $ | 1.36 | .28 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,023.79 | 1.43 | .28 | ||||||||||||
Class 1A – actual return | 1,000.00 | 922.58 | 2.57 | .53 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,022.53 | 2.70 | .53 | ||||||||||||
Class 2 – actual return | 1,000.00 | 922.65 | 2.57 | .53 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,022.53 | 2.70 | .53 | ||||||||||||
Class 3 – actual return | 1,000.00 | 922.81 | 2.23 | .46 | ||||||||||||
Class 3 – assumed 5% return | 1,000.00 | 1,022.89 | 2.35 | .46 | ||||||||||||
Class 4 – actual return | 1,000.00 | 921.20 | 3.78 | .78 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,021.27 | 3.97 | .78 | ||||||||||||
International Growth and Income Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 906.95 | $ | 3.17 | .66 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,021.88 | 3.36 | .66 | ||||||||||||
Class 1A – actual return | 1,000.00 | 905.76 | 4.37 | .91 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,020.62 | 4.63 | .91 | ||||||||||||
Class 2 – actual return | 1,000.00 | 905.61 | 4.37 | .91 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,020.62 | 4.63 | .91 | ||||||||||||
Class 4 – actual return | 1,000.00 | 904.62 | 5.57 | 1.16 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,019.36 | 5.90 | 1.16 | ||||||||||||
Capital Income Builder | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 952.39 | $ | 2.71 | .55 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,022.43 | 2.80 | .55 | ||||||||||||
Class 1A – actual return | 1,000.00 | 951.11 | 3.89 | .79 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,021.22 | 4.02 | .79 | ||||||||||||
Class 2 – actual return | 1,000.00 | 951.20 | 3.93 | .80 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,021.17 | 4.08 | .80 | ||||||||||||
Class 4 – actual return | 1,000.00 | 949.90 | 5.11 | 1.04 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,019.96 | 5.30 | 1.04 |
212 | American Funds Insurance Series |
Beginning account value 7/1/2018 | Ending account value 12/31/2018 | Expenses paid during period1 | Annualized expense ratio | |||||||||||||
Asset Allocation Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 945.68 | $ | 1.37 | .28 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,023.79 | 1.43 | .28 | ||||||||||||
Class 1A – actual return | 1,000.00 | 944.75 | 2.60 | .53 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,022.53 | 2.70 | .53 | ||||||||||||
Class 2 – actual return | 1,000.00 | 944.68 | 2.60 | .53 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,022.53 | 2.70 | .53 | ||||||||||||
Class 3 – actual return | 1,000.00 | 944.92 | 2.26 | .46 | ||||||||||||
Class 3 – assumed 5% return | 1,000.00 | 1,022.89 | 2.35 | .46 | ||||||||||||
Class 4 – actual return | 1,000.00 | 943.52 | 3.82 | .78 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,021.27 | 3.97 | .78 | ||||||||||||
Global Balanced Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 946.36 | $ | 3.58 | .73 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,021.53 | 3.72 | .73 | ||||||||||||
Class 1A – actual return | 1,000.00 | 944.87 | 4.80 | .98 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,020.27 | 4.99 | .98 | ||||||||||||
Class 2 – actual return | 1,000.00 | 945.15 | 4.80 | .98 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,020.27 | 4.99 | .98 | ||||||||||||
Class 4 – actual return | 1,000.00 | 943.60 | 6.03 | 1.23 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,019.00 | 6.26 | 1.23 | ||||||||||||
Bond Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 1,013.36 | $ | 1.98 | .39 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,023.24 | 1.99 | .39 | ||||||||||||
Class 1A – actual return | 1,000.00 | 1,012.94 | 3.20 | .63 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,022.03 | 3.21 | .63 | ||||||||||||
Class 2 – actual return | 1,000.00 | 1,012.27 | 3.25 | .64 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,021.98 | 3.26 | .64 | ||||||||||||
Class 4 – actual return | 1,000.00 | 1,010.76 | 4.51 | .89 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,020.72 | 4.53 | .89 | ||||||||||||
Global Bond Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 1,004.05 | $ | 2.93 | .58 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,022.28 | 2.96 | .58 | ||||||||||||
Class 1A – actual return | 1,000.00 | 1,002.59 | 4.14 | .82 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,021.07 | 4.18 | .82 | ||||||||||||
Class 2 – actual return | 1,000.00 | 1,002.66 | 4.19 | .83 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,021.02 | 4.23 | .83 | ||||||||||||
Class 4 – actual return | 1,000.00 | 1,001.01 | 5.45 | 1.08 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,019.76 | 5.50 | 1.08 |
See end of tables for footnotes.
American Funds Insurance Series | 213 |
Beginning account value 7/1/2018 | Ending account value 12/31/2018 | Expenses paid during period1 | Annualized expense ratio | |||||||||||||
High-Income Bond Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 973.84 | $ | 2.54 | .51 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,022.63 | 2.60 | .51 | ||||||||||||
Class 1A – actual return | 1,000.00 | 972.85 | 3.73 | .75 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,021.42 | 3.82 | .75 | ||||||||||||
Class 2 – actual return | 1,000.00 | 973.23 | 3.78 | .76 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,021.37 | 3.87 | .76 | ||||||||||||
Class 3 – actual return | 1,000.00 | 973.26 | 3.43 | .69 | ||||||||||||
Class 3 – assumed 5% return | 1,000.00 | 1,021.73 | 3.52 | .69 | ||||||||||||
Class 4 – actual return | 1,000.00 | 970.96 | 5.02 | 1.01 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,020.11 | 5.14 | 1.01 | ||||||||||||
Mortgage Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 1,018.13 | $ | 2.54 | .50 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,022.68 | 2.55 | .50 | ||||||||||||
Class 1A – actual return | 1,000.00 | 1,016.98 | 3.81 | .75 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,021.42 | 3.82 | .75 | ||||||||||||
Class 2 – actual return | 1,000.00 | 1,015.95 | 3.81 | .75 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,021.42 | 3.82 | .75 | ||||||||||||
Class 4 – actual return | 1,000.00 | 1,014.64 | 5.13 | 1.01 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,020.11 | 5.14 | 1.01 | ||||||||||||
Ultra-Short Bond Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 1,009.21 | $ | 1.92 | .38 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,023.29 | 1.94 | .38 | ||||||||||||
Class 1A – actual return | 1,000.00 | 1,009.23 | 1.87 | .37 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,023.34 | 1.89 | .37 | ||||||||||||
Class 2 – actual return | 1,000.00 | 1,008.25 | 3.14 | .62 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,022.08 | 3.16 | .62 | ||||||||||||
Class 3 – actual return | 1,000.00 | 1,007.42 | 2.78 | .55 | ||||||||||||
Class 3 – assumed 5% return | 1,000.00 | 1,022.43 | 2.80 | .55 | ||||||||||||
Class 4 – actual return | 1,000.00 | 1,006.62 | 4.40 | .87 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,020.82 | 4.43 | .87 | ||||||||||||
U.S. Government/AAA-Rated Securities Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 1,020.09 | $ | 1.83 | .36 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,023.39 | 1.84 | .36 | ||||||||||||
Class 1A – actual return | 1,000.00 | 1,019.74 | 3.11 | .61 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,022.13 | 3.11 | .61 | ||||||||||||
Class 2 – actual return | 1,000.00 | 1,019.76 | 3.11 | .61 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,022.13 | 3.11 | .61 | ||||||||||||
Class 3 – actual return | 1,000.00 | 1,019.28 | 2.75 | .54 | ||||||||||||
Class 3 – assumed 5% return | 1,000.00 | 1,022.48 | 2.75 | .54 | ||||||||||||
Class 4 – actual return | 1,000.00 | 1,018.62 | 4.38 | .86 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,020.87 | 4.38 | .86 |
214 | American Funds Insurance Series |
Beginning account value 7/1/2018 | Ending account value 12/31/2018 | Expenses paid during period1,2 | Annualized expense ratio2 | Effective expenses paid during period3 | Effective annualized expense ratio4 | |||||||||||||||||||
Managed Risk Growth Fund | ||||||||||||||||||||||||
Class P1 – actual return | $ | 1,000.00 | $ | 948.34 | $ | 1.92 | .39 | % | $ | 3.49 | .71 | % | ||||||||||||
Class P1 – assumed 5% return | 1,000.00 | 1,023.24 | 1.99 | .39 | 3.62 | .71 | ||||||||||||||||||
Class P2 – actual return | 1,000.00 | 946.51 | 3.19 | .65 | 4.76 | .97 | ||||||||||||||||||
Class P2 – assumed 5% return | 1,000.00 | 1,021.93 | 3.31 | .65 | 4.94 | .97 | ||||||||||||||||||
Managed Risk International Fund | ||||||||||||||||||||||||
Class P1 – actual return | $ | 1,000.00 | $ | 903.38 | $ | 1.54 | .32 | % | $ | 3.69 | .77 | % | ||||||||||||
Class P1 – assumed 5% return | 1,000.00 | 1,023.59 | 1.63 | .32 | 3.92 | .77 | ||||||||||||||||||
Class P2 – actual return | 1,000.00 | 901.89 | 3.16 | .66 | 5.42 | 1.13 | ||||||||||||||||||
Class P2 – assumed 5% return | 1,000.00 | 1,021.88 | 3.36 | .66 | 5.75 | 1.13 | ||||||||||||||||||
Managed Risk Blue Chip Income and Growth Fund | ||||||||||||||||||||||||
Class P1 – actual return | $ | 1,000.00 | $ | 947.22 | $ | 1.52 | .31 | % | $ | 3.29 | .67 | % | ||||||||||||
Class P1 – assumed 5% return | 1,000.00 | 1,023.64 | 1.58 | .31 | 3.41 | .67 | ||||||||||||||||||
Class P2 – actual return | 1,000.00 | 945.53 | 3.14 | .64 | 5.00 | 1.02 | ||||||||||||||||||
Class P2 – assumed 5% return | 1,000.00 | 1,021.98 | 3.26 | .64 | 5.19 | 1.02 | ||||||||||||||||||
Managed Risk Growth-Income Fund | ||||||||||||||||||||||||
Class P1 – actual return | $ | 1,000.00 | $ | 950.38 | $ | 1.72 | .35 | % | $ | 3.15 | .64 | % | ||||||||||||
Class P1 – assumed 5% return | 1,000.00 | 1,023.44 | 1.79 | .35 | 3.26 | .64 | ||||||||||||||||||
Class P2 – actual return | 1,000.00 | 948.19 | 3.19 | .65 | 4.57 | .93 | ||||||||||||||||||
Class P2 – assumed 5% return | 1,000.00 | 1,021.93 | 3.31 | .65 | 4.74 | .93 | ||||||||||||||||||
Managed Risk Asset Allocation Fund | ||||||||||||||||||||||||
Class P1 – actual return | $ | 1,000.00 | $ | 955.05 | $ | 1.38 | .28 | % | $ | 2.91 | .59 | % | ||||||||||||
Class P1 – assumed 5% return | 1,000.00 | 1,023.79 | 1.43 | .28 | 3.01 | .59 | ||||||||||||||||||
Class P2 – actual return | 1,000.00 | 953.49 | 2.66 | .54 | 4.14 | .84 | ||||||||||||||||||
Class P2 – assumed 5% return | 1,000.00 | 1,022.48 | 2.75 | .54 | 4.28 | .84 |
1 | The “expenses paid during period” are equal to the “annualized expense ratio,” multiplied by the average account value over the period, multiplied by the number of days in the period, and divided by 365 (to reflect the one-half year period). |
2 | The “expenses paid during period” and “annualized expense ratio” do not include the expenses of the underlying funds in which each fund invests. |
3 | The “effective expenses paid during period” are equal to the “effective annualized expense ratio,” multiplied by the average account value over the period, multiplied by the number of days in the period, and divided by 365 (to reflect the period). |
4 | The “effective annualized expense ratio” reflects the net annualized expense ratio of the class plus the class’s pro-rata share of the weighted average expense ratio of the underlying funds in which it invests. |
American Funds Insurance Series | 215 |
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216 | American Funds Insurance Series |
Board of trustees and other officers
Independent trustees1
Name and year of birth | Year first elected a trustee of the series2 | Principal occupation(s) during past five years | Number of portfolios in fund complex overseen by trustee | Other directorships3 held by trustee | ||||
William H. Baribault,1945 | 2009 | CEO and President, Richard Nixon Foundation; Chairman of the Board and CEO, Oakwood Enterprises (private investment and consulting) | 81 | General Finance Corporation | ||||
James G. Ellis,1947 | 2010 | Dean and Professor of Marketing, Marshall School of Business, University of Southern California | 91 | Mercury General Corporation | ||||
Nariman Farvardin,1956 | 2018 | President, Stevens Institute of Technology | 78 | None | ||||
Mary Davis Holt,1950 | 2015–2016 2017 | Principal, Mary Davis Holt Enterprises, LLC (leadership development consulting); former Partner, Flynn Heath Holt Leadership, LLC (leadership consulting); former COO, Time Life Inc. (1993–2003) | 78 | None | ||||
R. Clark Hooper,1946 | 2010 | Private investor | 81 | None | ||||
Merit E. Janow,1958 | 2007 | Dean and Professor, Columbia University, School of International and Public Affairs | 80 | Mastercard Incorporated; Trimble Inc. | ||||
Laurel B. Mitchell, PhD,1955 | 2010 | Chair, California Jump$tart Coalition for Personal Financial Literacy; Part-time faculty, Pomona College; former Distinguished Professor of Accounting, University of Redlands; former Director, Accounting Program, University of Redlands | 78 | None | ||||
Margaret Spellings,1957 Chairman of the Board (Independent and Non-Executive) | 2010 | President, The University of North Carolina; former President, George W. Bush Foundation | 82 | None | ||||
Alexandra Trower,1964 | 2018 | Executive Vice President, Global Communications and Corporate Officer, The Estée Lauder Companies | 77 | None |
Leonard R. Fuller and Frank M. Sanchez retired from the board on December 31, 2018. The trustees thank Mr. Fuller and Mr. Sanchez for their dedication and service to the fund.
Interested trustee4,5
Name, year of birth and position with series | Year first elected a trustee or officer of the series2 | Principal occupation(s) during past five years and positions held with affiliated entities or the principal underwriter of the series | Number of portfolios in fund complex overseen by trustee | Other directorships3 held by trustee | ||||
Donald D. O’Neal,1960 Co-President | 1998 | Partner — Capital International Investors, Capital Research and Management Company; Director, Capital Research and Management Company | 31 | None | ||||
Michael C. Gitlin,1970 | 2019 | Partner — Capital Fixed Income Investors, Capital Research and Management Company; Director, The Capital Group Companies, Inc.;6served as Head of Fixed Income at a large investment management firm prior to joining Capital Research and Management Company in 2015 | 77 | None |
The series statement of additional information includes further details about the series trustees and is available without charge upon request by calling American Funds Service Company at (800) 421-4225 or by visiting the American Funds website at americanfunds.com. The address for all trustees and officers of the series is 333 South Hope Street, Los Angeles, CA 90071, Attention: Secretary.
American Funds Insurance Series | 217 |
Board of trustees and other officers(continued)
Other officers5
Name, year of birth and position with series | Year first elected an officer of the series2 | Principal occupation(s) during past five years and positions held with affiliated entities or the principal underwriter of the series | ||
Alan N. Berro,1960 Co-President | 1998 | Partner — Capital World Investors, Capital Research and Management Company; Director, Capital Research and Management Company | ||
Maria Manotok Pathria,1974 Executive Vice President | 2012 | Senior Vice President and Senior Counsel — Fund Business Management Group, Capital Research and Management Company; Director, Capital Guardian Trust Company6 | ||
John H. Smet,1956 Senior Vice President | 1994 | Partner — Capital Fixed Income Investors, Capital Research and Management Company; Director, Capital Research and Management Company | ||
Martin Jacobs,1962 Vice President | 2016 | Partner — Capital World Investors, Capital Research and Management Company | ||
Carl M. Kawaja,1964 Vice President | 2008 | Partner — Capital World Investors, Capital Research and Management Company; Director, The Capital Group Companies, Inc.6 | ||
Sung Lee,1966 Vice President | 2008 | Partner — Capital Research Global Investors, Capital International, Inc.6 | ||
S. Keiko McKibben,1969 Vice President | 2010 | Partner — Capital Research Global Investors, Capital Research and Management Company | ||
Renaud H. Samyn,1974 Vice President | 2010 | Partner — Capital Research Global Investors, Capital International, Inc.6 | ||
Dylan Yolles,1969 Vice President | 2012 | Partner — Capital International Investors, Capital Research and Management Company | ||
Steven I. Koszalka,1964 Secretary | 2003 | Vice President — Fund Business Management Group, Capital Research and Management Company | ||
Gregory F. Niland,1971 Treasurer | 2008 | Vice President — Investment Operations, Capital Research and Management Company | ||
Susan K. Countess,1966 Assistant Secretary | 2014 | Associate — Fund Business Management Group, Capital Research and Management Company | ||
Brian C. Janssen,1972 Assistant Treasurer | 2015 | Vice President — Investment Operations, Capital Research and Management Company | ||
Dori Laskin,1951 Assistant Treasurer | 2010 | Vice President — Investment Operations, Capital Research and Management Company |
1 | The term independent trustee refers to a trustee who is not an “interested person” of the series within the meaning of the Investment Company Act of 1940. |
2 | Trustees and officers of the series serve until their resignation, removal or retirement. |
3 | This includes all directorships/trusteeships (other than those in the American Funds or other funds managed by Capital Research and Management Company or its affiliates) that are held by each trustee as a trustee or director of a public company or a registered investment company. |
4 | The term interested trustee refers to a trustee who is an “interested person” within the meaning of the Investment Company Act of 1940, on the basis of their affiliation with the series’ investment adviser, Capital Research and Management Company, or affiliated entities (including the series’ principal underwriter). |
5 | All of the trustees and/or officers listed, with the exception of Martin Jacobs, S. Keiko McKibben and Renaud H. Samyn, are officers and/or directors/trustees of one or more of the other funds for which Capital Research and Management Company serves as investment adviser. |
6 | Company affiliated with Capital Research and Management Company. |
218 | American Funds Insurance Series |
Results of special meeting of shareholders
Held November 28, 2018
Shares outstanding (all classes) on August 31, 2018 (record date)
6,347,216,058
Total shares voting on November 28, 2018
4,343,768,464 (68.4% of shares outstanding)
The proposal: to elect board members:
Votes for | Percent of shares voting for | Votes withheld | Percent of shares withheld | |||||||||
William H. Baribault | 4,208,852,644 | 96.9 | % | 134,915,821 | 3.1 | % | ||||||
James G. Ellis | 4,216,149,993 | 97.1 | 127,618,471 | 2.9 | ||||||||
Nariman Farvardin | 4,218,959,298 | 97.1 | 124,809,166 | 2.9 | ||||||||
Michael C. Gitlin | 4,222,232,502 | 97.2 | 121,535,962 | 2.8 | ||||||||
Mary Davis Holt | 4,224,279,601 | 97.2 | 119,488,863 | 2.8 | ||||||||
R. Clark Hooper | 4,216,559,229 | 97.1 | 127,209,235 | 2.9 | ||||||||
Merit E. Janow | 4,220,194,031 | 97.2 | 123,574,433 | 2.8 | ||||||||
Laurel B. Mitchell | 4,224,436,631 | 97.3 | 119,331,833 | 2.7 | ||||||||
Donald D. O’Neal | 4,220,647,956 | 97.2 | 123,120,508 | 2.8 | ||||||||
Margaret Spellings | 4,219,675,934 | 97.1 | 124,092,530 | 2.9 | ||||||||
Alexandra Trower | 4,225,223,365 | 97.3 | 118,545,099 | 2.7 |
American Funds Insurance Series | 219 |
Offices of the series and of the investment adviser
Capital Research and Management Company
333 South Hope Street
Los Angeles, CA 90071-1406
6455 Irvine Center Drive
Irvine, CA 92618-4518
Investment subadviser
Milliman Financial Risk Management LLC
(Managed Risk Funds only)
71 South Wacker Drive, 31st Floor
Chicago, IL 60606
Custodians of assets
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Bank of New York Mellon
(Managed Risk Funds only)
One Wall Street
New York, NY 10286
Counsel
Morgan, Lewis & Bockius LLP
One Federal Street
Boston, MA 02110-1726
Independent registered public accounting firm
PricewaterhouseCoopers LLP
601 South Figueroa Street
Los Angeles, CA 90017-3874
220 | American Funds Insurance Series |
Investors should carefully consider investment objectives, risks, charges and expenses. This and other important information is contained in the series prospectuses and summary prospectuses, which can be obtained from your financial professional and should be read carefully before investing. You may also call American Funds Service Company (AFS) at (800) 421-4225 or visit the American Funds website at americanfunds.com. Fund shares offered through American Funds Distributors, Inc.
“American Funds Proxy Voting Procedures and Principles” — which describes how we vote proxies relating to portfolio securities — is available on the American Funds website or upon request by calling AFS. The series files its proxy voting record with the U.S. Securities and Exchange Commission (SEC) for the 12 months ended June 30 by August 31. The proxy voting record is available free of charge on the SEC website at sec.gov and on the American Funds website.
Complete December 31, 2018, portfolios of American Funds Insurance Series’ investments are available free of charge by calling AFS or visiting the SEC website (where they are part of Form N-CSR).
American Funds Insurance Series files a complete list of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. This filing is available free of charge on the SEC website. Additionally, the list of portfolio holdings is available by calling AFS.
This report is for the information of American Funds Insurance Series investors, but it also may be used as sales literature when preceded or accompanied by the current prospectuses or summary prospectuses for American Funds Insurance Series and the prospectus for the applicable insurance contract, which give details about charges, expenses, investment objectives and operating policies of the series. If used as sales material after March 31, 2019, this report must be accompanied by a statistical update for the most recently completed calendar quarter.
Fund attribution data was produced using FactSet, a third-party software system, based on daily portfolios. Securities in their initial period of acquisition may not be included in this analysis. The analysis includes equity investments only and excludes forward contracts and fixed income investments, if applicable. It does not account for buy-and-sell transactions that might have occurred intraday. As a result, average portfolio weight percentages are approximate, and the actual average portfolio weight percentages might be higher or lower. Data elements, such as pricing, income, market cap, etc., were provided by FactSet. The indexes provided for attribution are based on FactSet’s methodology. The indexes are broad-based market benchmarks and may not be used by Capital Group® as the sole comparative index for the funds. Capital Group believes the software and information from FactSet to be reliable. However, Capital Group cannot be responsible for inaccuracies, incomplete information or updating of information by FactSet.
Futures may not provide an effective hedge of the underlying securities because changes in the prices of futures may not track those of the securities they are intended to hedge. In addition, the managed risk strategy may not effectively protect the fund from market declines and will limit the fund’s participation in market gains. The use of the managed risk strategy could cause the fund’s return to lag that of the underlying fund in certain market conditions.
Bloomberg® is a trademark and service mark of Bloomberg Finance L.P. (collectively with its affiliates, “Bloomberg”). Barclays® is a trademark and service mark of Barclays Bank Plc (collectively with its affiliates, “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays, own all proprietary rights in the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays approve or endorse this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith. This report, and any product, index or fund referred to herein, is not sponsored, endorsed or promoted in any way by J.P. Morgan or any of its affiliates who provide no warranties whatsoever, express or implied, and shall have no liability to any prospective investor in connection with this report. J.P. Morgan disclaimer: http://www.jpmorgan.com/pages/jpmorgan/ib/girg. MSCI has not approved, reviewed or produced this report, makes no express or implied warranties or representations and is not liable whatsoever for any data in the report. You may not redistribute the MSCI data or use it as a basis for other indices or investment products. The S&P 500 is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by Capital Group. Copyright © 2019 S&P Dow Jones Indices LLC, a division of S&P Global, and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part is prohibited without written permission of S&P Dow Jones Indices LLC.
The Capital Advantage®
Since 1931, Capital Group, home of American Funds, has helped investors pursue long-term investment success. Our consistent approach — in combination with The Capital SystemSM— has resulted in a superior long-term track record for American Funds Insurance Series®.
Aligned with investor success | |
We base our decisions on a long-term perspective, which we believe aligns our goals with the interests of our clients. American Funds Insurance Series portfolio managers average 26 years of investment experience, including 21 years at our company, reflecting a career commitment to our long-term approach.1 | |
The Capital System | |
The Capital System combines individual accountability with teamwork. Funds using The Capital System are divided into portions that are managed independently by investment professionals with diverse backgrounds, ages and investment approaches. An extensive global research effort is the backbone of our system. | |
Superior long-term track record | |
American Funds Insurance Series equity funds have beaten their Lipper peer indexes in 91% of 10-year periods and 100% of 20-year periods. Fixed income funds have beaten their Lipper indexes in 65% of 10-year periods and 81% of 20-year periods.2Fund management fees have been among the lowest in the industry.3 |
1 | Portfolio manager experience as of the American Funds Insurance Series prospectus dated May 1, 2018, as supplemented January 1, 2019. | |
2 | Based on Class 1 share results for rolling periods through December 31, 2018. Periods covered are the shorter of the fund’s lifetime or since the comparable Lipper index inception date. The comparable Lipper indexes are: Global Funds Index (Global Growth Fund), Growth Funds Index (Growth Fund), International Funds Index (International Fund), Emerging Markets Funds Index (New World Fund), Growth & Income Funds Index (Blue Chip Income and Growth Fund, Growth-Income Fund), Balanced Portfolio Funds Index (Asset Allocation Fund), Core Bond Funds Index (Bond Fund), High Yield Funds Index (High-Income Bond Fund) and General U.S. Government Funds Index (U.S. Government/AAA-Rated Securities Fund). The Lipper Global Small-/Mid-Cap Funds Average was used for Global Small Capitalization Fund. | |
3 | Based on management fees for the 20-year period ended December 31, 2018, versus comparable Lipper categories, excluding funds of funds. | |
All Capital Group trademarks referenced are registered trademarks owned by The Capital Group Companies, Inc. or an affiliated company. All other company and product names mentioned are the trademarks or registered trademarks of their respective companies. |
Table of Contents
Item 2. Code of Ethics.
As of December 31, 2018, the Registrant adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002. For the year ended December 31, 2018, there were no reportable amendments to a provision of the Code of Ethics. A copy of its Code of Ethics is filed with this FormN-CSR under Item 13(a)(1).
Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Trustees has determined that Susan B. Sweeney and Nabil N. El-Hage, both members of the Audit Committee, are audit committee financial experts as defined by the Securities and Exchange Commission (the “SEC”). Ms. Sweeney and Mr. El-Hage are both “independent” as defined by the SEC for purposes of audit committee financial expert determinations.
Item 4. Principal Accountant Fees and Services.
References below to Deloitte & Touche LLP include its affiliates where applicable.
(a) | AUDIT FEES: The aggregate fees billed to the Registrant for professional services rendered by its independent auditors, Deloitte & Touche LLP, for the audit of the Registrant’s annual financial statements for the fiscal years ended 2018 and 2017 were $418,018 and $816,829, respectively. |
(b) | AUDIT RELATED FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2018 and 2017. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for the fiscal years ended 2018 and 2017. |
(c) | TAX FEES: The aggregate fees billed to the Registrant for professional services rendered by Deloitte & Touche LLP for the review of Form1120-RIC, Form 8613, excise distribution projections, distribution calculation and reasonable out of pocket expenses for the fiscal years ended 2018 and 2017 were $167,434 and $134,953, respectively. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for the fiscal years ended 2018 and 2017. |
(d) | ALL OTHER FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2018 and 2017. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for the fiscal years ended 2018 and 2017. |
(e) | (1) AUDIT COMMITTEEPRE-APPOVAL POLICY: All services to be performed for the Registrant by Deloitte & Touche LLP must bepre-approved by the audit committee. All services performed during the fiscal years ended 2018 and 2017 werepre-approved by the committee. |
(2) Not applicable.
(f) | Not applicable. |
(g) | The aggregatenon-audit fees billed by Deloitte & Touche LLP for services rendered to the Registrant, the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant, for the fiscal years ended 2018 and 2017 were $2,915,699 and $12,658,928, respectively. |
(h) | The audit committee considers whether the provision ofnon-audit services by Deloitte & Touche LLP to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant that were notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining Deloitte & Touche LLP’s independence. |
* | Refers to fees that were required to be approved by the audit committee for services that relate directly to the operations and financial reporting of the Registrant. |
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Item 5. Audit Committee of Listed Registrants.
Not applicable to this filing.
Item 6. Investments.
Please see portfolio of investments contained in the Reports to Stockholders included under Item 1 of this formN-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable to this filing.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable to this filing.
Item 9. Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers.
Not applicable to this filing.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable to this filing.
Item 11. Controls and Procedures.
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined inRule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-3(c))) are effective, as of a date within 90 days of the filing date of thisForm N-CSR, to provide reasonable assurance that the information required to be disclosed by the Registrant onForm N-CSR is recorded, processed, summarized, and reported within the time periods specified in the SEC’s rules and forms, based on their evaluation of these disclosure controls and procedures required byRule 30a-3(b) under the 1940 Act (17 CFR270.30a-3(b)) andRules 13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934 (17 CFR240.13a-15(b) or240.15d-15(b)).
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3(d))) that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities forClosed-End Management Investment Companies
Not applicable to this filing.
Item 13. Exhibits.
(a)(1) Code of Ethics (Item 2) is attached.
(a)(2) Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule30a-2(a) under the 1940 Act (17 CFR270.30a-2(a)) are attached hereto as Exhibit 99CERT.
(a)(3) Not applicable to this filing.
(a)(4) Not applicable to this filing.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule30a-2(b), under the 1940 Act (17 CFR270.30a-2(b)), Rule15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-
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14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) are attached hereto as Exhibit 99.906CERT.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | MML Series Investment Fund |
By (Signature and Title) | /s/ Tina Wilson | |
Tina Wilson, President and Principal Executive Officer |
Date | 2/22/2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Tina Wilson | |
Tina Wilson, President and Principal Executive Officer |
Date | 2/22/2019 |
By (Signature and Title) | /s/ Renee Hitchcock | |
Renee Hitchcock, Treasurer and Principal Financial Officer |
Date | 2/22/2019 |