Exhibit (17)(b)
5 | ||||
7 | ||||
9 | ||||
Portfolio of Investments | ||||
69 | ||||
77 | ||||
100 | ||||
105 | ||||
108 | ||||
111 | ||||
119 | ||||
120 | ||||
123 | ||||
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149 | ||||
172 | ||||
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222 | ||||
236 | ||||
276 | ||||
338 | ||||
339 | ||||
343 | ||||
344 | ||||
344 | ||||
344 | ||||
348 |
This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MassMutual Select Funds. 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.
[THIS PAGE INTENTIONALLY LEFT BLANK]
To Our Shareholders
Eric Wietsma
“MassMutual believes that the ongoing uncertainties in markets today highlight the importance of taking a long-term perspective and not reacting to current events or short-term market changes.”
September 30, 2016
Continued strength in U.S. markets in a challenging market environment
I am pleased to present you with the MassMutual Select Funds Annual Report, covering the period ended September 30, 2016 (the “fiscal year”). Domestic stocks outperformed most international equities during the fiscal year, as a generally strong market environment in the U.S. contrasted with weakness in many of the world’s other large economies, including Europe and Japan. The economic difficulties elsewhere – punctuated, for example, by a challenging interest rate environment in Japan and uncertainty in Europe following the surprising Brexit vote that ratified the United Kingdom’s eventual exit from the European Union – had virtually no impact on major U.S. stock indexes during the fiscal year. Nevertheless, during the reporting period, market volatility emerged from time to time, serving as a general reminder for investors that market conditions are cyclical and can change anytime.
In MassMutual’s view, the ongoing uncertainties in markets today highlight the importance of taking a long-term perspective and not reacting to current events or short-term market changes. We also believe retirement investors who follow certain investment guidelines, such as the ones below, may increase their chances of reaching their retirement income goals.
Suggestions for retirement investors under any market conditions
Contribute as much as you can
While it is impossible to control your investments’ performance, you can control how often and how much you save. Contributing to your retirement account on a regular basis and increasing your contribution level as often as you are able, may be one way to help you realize your long-term investment objectives.*
Continue to invest
Some of the most sophisticated investors believe that individuals who can withstand a market downturn have the potential to be rewarded by accumulating larger positions at more favorable prices (relative to those who do not continue investing during a down market). That’s why most financial professionals believe it’s important to stay in the market, regardless of short-term results.
Time may be your ally
For most people, investing for retirement occurs over many decades. While retirement investors often know that the financial markets will be volatile from time to time, seasoned investors tend to understand the wisdom of taking a long-term approach. They know that this can help them navigate the market’s downturns, leverage its upturns, and successfully grow their account balances.
Monitor your asset allocation and diversify
Stocks, bonds, and short-term/money market investments are investment types that typically behave differently depending upon the economic and market environment. Each of these categories contains an even greater array of sub-categories, such as small-cap stocks, international stocks, and high-yield
* | 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)
5
MassMutual Select Funds – President’s Letter to Shareholders (Unaudited) (Continued)
bonds. Many financial professionals believe that investors can take advantage of different opportunities in the market and reduce the risk of over-exposure to one or two poorly performing investment types by maintaining a portfolio that includes a mix of investment types and sub-categories.
Make informed choices and seek professional guidance
Many financial advisors will suggest that retirement investors select an appropriate combination of investments that aligns with their retirement income goals. Doing so can help you weather the inevitable ups and downs of the markets.
For retirement investors who work with a financial professional
If you work with a financial professional, this may be an excellent time to contact him or her for assistance in assessing whether or not you:
• | are saving enough for retirement based on your long-term needs; |
• | are invested properly, based on your goals and objectives and where you are in your retirement planning journey; and |
• | feel you are taking the right steps to help reduce your longevity risk, which is the risk you could “outlive” your retirement savings. |
Protect who matters most
MassMutual believes that nothing matters more than the safety and well-being of your loved ones. That’s why we have always been committed to helping our customers put themselves on the path to a more secure financial future. And it’s why we have always encouraged retirement investors to maintain perspective over the long term, and avoid reacting to short-term changes in the markets. In our view, challenging market conditions have the potential to reward patient investors. Thank you for your continued confidence in MassMutual.
Sincerely,
Eric Wietsma
President
The information provided is the opinion of MassMutual Funds Investment Management Group as of 10/1/16 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.
6
September 30, 2016
Economic and Market Commentary
February 2016 marked an inflection point in fiscal year 2016. From the start of the fiscal year until mid-February, markets showed a decidedly bearish tendency. Over the second half of the fiscal year, markets rebounded and even advanced.
Federal Reserve Board (Fed) chair Janet Yellen’s testimony before the U.S. Senate Committee on Banking, Housing, and Urban Affairs on February 11, 2016 marked the turning point, when she confirmed a “slower for longer” plan for rate hikes going forward. This marked a dramatic shift from the Fed’s December meeting, where they raised policy rates and signaled as many as four more hikes to come. Following Yellen’s remarks, markets responded as if a weight had been lifted. In addition, the sluggish domestic economy started to return more positive reports and modest gross domestic product (GDP) estimates were revised upward, although slightly. (GDP reflects the total value of goods and services produced in the United States.) Investors responded favorably and markets delivered broad positive returns for the fiscal year.
During the one-year period ended September 30, 2016, the technology-focused NASDAQ Composite® Index rose 14.97%, the S&P 500® Index (S&P 500) of large-capitalization U.S. stocks gained 15.43%, the Dow Jones Industrial AverageSM (Dow) grew 15.46%, and the Russell 2000® Index of small-capitalization stocks added 15.47%. In foreign markets, the MSCI EAFE® Index, a barometer for foreign stocks in developed markets, returned 6.52%, and the MSCI Emerging Markets Index, a measure of the performance of emerging stock markets throughout the world, rose 16.78%.*
Bonds also rewarded investors during the fiscal period, with the Bloomberg Barclays U.S. Aggregate Bond Index, a broad measure of the U.S. investment-grade bond markets, rising 5.19%. The performance of shorter-term debt investments continued to reflect the unrelenting low interest rate environment. Yields on the 2-year U.S. Treasury bond closed the period at 0.7%, while 10-year Treasury bonds yielded 1.6%. A “risk-on” environment developed as the fiscal year unfolded and high-yield bonds gained momentum, which helped the Bloomberg Barclays U.S. Corporate High-Yield Index, which measures the performance of fixed-rate, below-investment-grade debt securities from corporate sectors, deliver a return of 12.73%.*
These returns were not without market volatility and surprises, however. Before rebounding, major indexes lagged significantly in January and February. After climbing sharply in October 2015, major indexes plateaued and bounced through November and December. They fell sharply through January and into February – until the Fed announcement triggered a more sustained period of growth. Markets stuttered over concerns that Apple would not be able to sustain its growth in the smartphone market. Early concerns over China were replaced by negative interest rates in Japan and the surprising Brexit vote (in which voters approved the United Kingdom’s departure from the European Union) in June. It is worth noting that domestic market volatility and global economic turbulence proved unable to disrupt momentum in U.S. markets.
Q4 2015 – Markets recover to end 2015 flat
The fourth quarter of 2015 produced meaningful returns across most major indexes. The bulk of the quarter’s recovery occurred in October, as fears about China’s economy and plunging oil prices eased. However, the returns followed a poor third quarter 2015 and managed to bring calendar year-end 2015 results back up to where the year started. For example, the Dow returned 7.70% for the quarter and ended the year up 0.21%. The S&P 500 returned 7.04% for the quarter and ended the year up 1.38%.
November and December offered stiff headwinds to the October rally, as crude oil prices broke to new lows for the year – ending 2015 down 31%. At their mid-December meeting, the Fed finally acted to raise the target range for federal funds rate by 0.25%, in its first upward move since 2006. (The federal funds rate is the interest rate that banks and financial institutions charge each other for borrowing funds overnight.) These factors led to choppy market action over the last two months of 2015. U.S. GDP for the quarter increased at a tepid 1.4% annual rate, following rates of 3.9% and 2.0%, respectively, for the second and third quarters of 2015.
* | Indexes are unmanaged, do not incur fees or expenses and cannot be purchased directly for investment. |
7
MassMutual Select Funds – Economic and Market Overview (Unaudited) (Continued)
Q1 2016 – The inflection point
Headwinds continued into January and early February of 2016. China’s slowing economy and falling crude oil prices, along with a weak January employment report, stoked fears that a U.S. recession could be on the near-term horizon. By February 11, the S&P 500 had dropped to 1,810. At this point, Fed Chair Janet Yellen signaled that the central bank would be patient in beginning to normalize policy and that it was unlikely that economic conditions would warrant an increase in the target range for the federal funds rate for at least the next few Open Market Committee meetings.
Headwinds immediately shifted to tailwinds. The S&P 500 gained nearly 250 points by the end of the first quarter, initiating a rally that would more or less continue through the second and third quarters of 2016. The employment picture improved, as February’s non-farm payrolls came in stronger than the previous two months, and December 2015 and January 2016 payroll numbers were revised upward. Once again, the quarter recovered what it had lost and ended essentially where it started the year. Despite this, the climate had changed.
Q2 2016 – Upward domestic momentum rides over negative interest rates and Brexit
While Britain’s historic Brexit vote dominated news at the end of the second quarter, the unusual arrival of negative interest rates for Japan’s sovereign debt proved puzzling for many investors early in the quarter. Both seemed to feed a “flight to quality” reaction that resulted in a stronger U.S. dollar. Neither, however, served to derail the strengthening U.S. economy. By the end of the second quarter, concerns about China’s economy and falling oil prices moderated. U.S. GDP firmed up and the Fed softened its interest rate hike strategy, taking a more cautious approach. May’s disappointing jobs report created investor concerns that the Fed could seriously consider suspending any move to raise rates for at least a year. The quarter ended with broad-based gains across a variety of asset classes, improved consumer spending, low unemployment rates, and better-than-expected corporate earnings reports.
On June 23, global economic focus shifted to the United Kingdom. The Brexit vote pushed European stocks more deeply into negative territory on concerns that the immediate impact might slow growth in the U.K. and the larger European region. Investors also worried that the British vote might encourage other countries to follow suit. Interestingly, emerging market and Pacific country stocks delivered positive returns for the quarter and year-to-date.
Q3 2016 – Ending the fiscal year on the upswing
By the end of July, it seemed markets had shrugged off Brexit fears. The U.S. economy was gathering steam. The U.S. labor market continued to show strength as job openings rose in June and hiring increased. U.S. consumer confidence hit a 12-month high in August, according to the Conference Board’s consumer confidence index, which reflected improved consumer assessment of economic conditions and the six-month economic outlook. Corporate earnings came in better than expected for the second consecutive quarter, even though it was the fifth consecutive declining quarter. In mid-September, the U.S. Census Bureau announced that real median household income had jumped 5%, the biggest annual increase since they first started gathering this data in 1968. The two major candidates for president of the U.S. accepted their party’s nominations in July. As September came to a close, it became more evident that this year’s election will be hotly contested.
The fiscal year ended on an optimistic note, but investors endured a steady stream of uncertainty, surprises and volatility throughout. Long-term investors with a view to saving for retirement income pay attention to such things, but maintain a thoughtful and disciplined response, since they tend not to react to short-term turbulence. Many retirement investors wisely subscribe to the wisdom of a well-diversified portfolio using an appropriate mix of available strategies, whether active or passive. They know that markets go down and that markets go up, which requires retirement investors to be consistent and focused.
The information provided is the opinion of MassMutual Funds Investment Management Group as of 10/1/16 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.
8
What is the investment approach of MassMutual Select 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. The Fund’s subadviser is Metropolitan West Asset Management, LLC (MetWest).
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 5.01%, underperforming the 5.19% return of the Bloomberg Barclays U.S. Aggregate Bond Index (the “benchmark”), an unmanaged index of fixed-rate investment-grade securities with at least one year to maturity, combining the Bloomberg Barclays U.S. Treasury Bond Index, the Bloomberg Barclays U.S. Government-Related Bond Index, the Bloomberg Barclays U.S. Corporate Bond Index, and the Bloomberg Barclays U.S. Securitized Bond Index.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
As U.S. Treasury rates fell overall, the Fund’s defensive stance in interest rates was a drag on performance. On a sector basis, the Fund’s underweight stake, relative to the benchmark, in corporate and non-corporate bonds detracted from returns – particularly its underweight position in non-U.S. sovereigns, foreign agencies and industrial bonds, such as basic industry, energy, and communications – as these were some of the best performers in the benchmark during the period.
Outside of the credit space, the Fund’s allocation to non-agency mortgage-backed securities (MBS) added to performance, with pricing continuing to improve on better fundamentals, such as increased prepayment activity and reduced delinquencies of home loans. (Non-agency MBS are issued by private institutions that are not backed by government-sponsored entities. “Agency” refers to government-sponsored entities that issue bonds backed by mortgage loans, including Ginnie Mae, Fannie Mae, Freddie Mac, and the Federal Home Loan Banks.) Meanwhile, the Fund’s emphasis within asset-backed securities (ABS) on government-guaranteed student loans was a positive for the Fund, as uncertainty dissipated once rating actions by Moody’s and Fitch began to materialize and proved less negative than markets anticipated. (ABS are backed by loans, leases, or receivables against assets other than real estate and mortgage-backed securities.) Private label commercial mortgage-backed securities (CMBS) further contributed to returns, as that sector benefited from a favorable technical landscape characterized by a lack of issuance. Finally, the Fund used derivatives to manage duration and yield curve, which had no material impact on performance during the reporting period.
Subadviser outlook
With spreads tightening across bond markets and the most vulnerable sectors of the market defying fundamentals, our view is that investors may be overestimating the ability of strong technical factors, such as foreign demand and massive yield-seeking investor behavior, to continue supporting markets. We believe that mounting evidence that markets are late in the credit cycle warrants an elevated degree of caution and a strict focus on fundamentals. Consequently, the Fund remains defensively positioned and prepared for better risk-adjusted return opportunities as the credit cycle extends.
Interest rate exposure in the Fund remains less than that of the benchmark, while the allocation among non-government fixed-income sectors is conservative. As of September 30, 2016, corporate credit remained a relative underweight for the Fund, which at that time, favored financials over industrials, with a preference for higher-quality holdings that Fund management believes could have the credit resilience to withstand late cycle volatility. In our view, securitized products continue to offer opportunities for attractive risk-adjusted returns moving forward, and the Fund’s positioning at year end favored high-quality, more senior positions.
9
MassMutual Select Total Return Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Select Total Return Bond Fund Portfolio Characteristics (% of Net Assets) on 9/30/16 | ||||
U.S. Government Agency Obligations and Instrumentalities | 31.3 | % | ||
Corporate Debt | 28.3 | % | ||
U.S. Treasury Obligations | 17.4 | % | ||
Non-U.S. Government Agency Obligations | 16.2 | % | ||
Municipal Obligations | 1.5 | % | ||
|
| |||
Total Long-Term Investments | 94.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 5.3 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
10
MassMutual Select Total Return Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Select Total Return Bond Fund Class I, Class R5, Service Class, Administrative Class, Class R4, Class R3, and the Bloomberg Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Since Inception Average Annual 7/6/10 - 9/30/16 | |||||||||
Class I | 5.10% | 3.97% | 3.82% | |||||||||
Class R5 | 5.01% | 3.84% | 3.68% | |||||||||
Service Class | 4.94% | 3.73% | 3.57% | |||||||||
Administrative Class | 4.80% | 3.64% | 3.47% | |||||||||
Class R4 | 4.70% | 3.51% | 3.36% | |||||||||
Class R3 | 4.49% | 3.25% | 3.11% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 5.19% | 3.08% | 3.73% |
Hypothetical Investments in MassMutual Select Total Return Bond Fund Class A, Class A (sales load deducted), and the Bloomberg Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class A | 4.62% | 3.05% | ||||||
Class A (sales load deducted)* | -0.35% | 1.07% | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 5.19% | 4.14% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 4.75% maximum sales charge.
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 calling 1-888-309-3539.
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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
11
MassMutual Select Strategic Bond Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Select Strategic Bond Fund, and who are the Fund’s subadvisers?
The Fund seeks a superior total rate of return by investing in fixed income instruments. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in U.S. dollar-denominated fixed income securities and other debt instruments of domestic and foreign entities, including corporate bonds, securities issued or guaranteed as to principal or interest by the U.S. Government or its agencies or instrumentalities, mortgage-backed or asset-backed securities, and money market instruments. The Fund’s subadvisers are Western Asset Management Company (Western Asset) and its affiliate, Western Asset Management Company Limited (Western Asset Limited). Western Asset Limited manages the non-U.S. dollar denominated securities of the Fund.
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 7.51%, outperforming the 5.19% return of the Bloomberg Barclays U.S. Aggregate Bond Index (the “benchmark”), an unmanaged index of fixed-rate investment-grade securities with at least one year to maturity, combining the Bloomberg Barclays U.S. Treasury Bond Index, the Bloomberg Barclays U.S. Government-Related Bond Index, the Bloomberg Barclays U.S. Corporate Bond Index, and the Bloomberg Barclays U.S. Securitized Bond Index.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, 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 September 30, 2016, the largest contributors to performance were the Fund’s exposure to interest rate risk and yield curve positioning. (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 portfolio had more interest rate exposure (duration) than the benchmark, which contributed to the Fund’s performance, as most interest rates declined over the period. (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 had an overweight position, relative to the benchmark, to long-dated securities compared to the benchmark, which also contributed to performance, as long-term interest rates declined more than their short-term counterparts.
The Fund’s investment-grade and high-yield credit allocations were meaningful contributors to performance as investor sentiment improved. The portfolio’s non-agency mortgage-backed security (MBS) allocation also contributed to performance, as that sector benefited from continued improvement in home prices and default rates remained low. (Non-agency MBS are issued by private institutions that are not backed by government-sponsored entities. “Agency” refers to government-sponsored entities that issue bonds backed by mortgage loans, including Ginnie Mae, Fannie Mae, Freddie Mac, and the Federal Home Loan Banks.) The Fund’s emerging-market exposure was also a positive contributor for the Fund, as the outlook for growth in these markets improved.
The Fund had an underweight position to Agency MBS since Fund management believed that valuations were fairly rich and there was better relative value in other parts of the fixed-income market. This underweight position was a detractor from performance. Finally, the Fund’s non-U.S. dollar exposure was a slight detractor, specifically the short Japanese yen currency position, as the dollar (USD) weakened relative to the yen during this period.
The Fund used derivative instruments mainly for hedging purposes during the period, including adjusting duration and term structure exposures. 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. Most derivatives are used for hedging, speculation, or both. Additionally, the Fund used currency futures, forwards, and options to adjust exposure to various foreign currencies. Currency forwards and futures are derivatives that lock in the price at which an investor can buy or sell a currency on a future date. Interest rate swaps were also used during the period to help manage the overall interest rate sensitivity of the Fund, as well as managing against anticipated changes in interest rates. Overall, the Fund’s use of derivatives had a positive impact on performance during the period.
12
MassMutual Select Strategic Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
Subadviser outlook
With global growth and inflation risks skewed to the downside, we expect the Bank of England, European Central Bank, and Bank of Japan may provide further policy accommodation, and for the Federal Reserve to retain its “data-dependent” bias. Due to weak U.S. growth and declining future inflation expectations, we expect that the pace of interest rate normalization has the potential to be extremely gradual. While recognizing that downside risks persist, our view remains that the global recovery, though fragile, could be sustainable as policy accommodation from central banks around the world has the potential to ultimately succeed in underpinning growth. The Fund remains positioned with an overweight to spread sectors to take advantage of attractive valuations and solid fundamentals, while maintaining diversified strategies to manage volatility and to mitigate downside risks.
MassMutual Select Strategic Bond Fund Portfolio Characteristics (% of Net Assets) on 9/30/16 | ||||
U.S. Treasury Obligations | 28.1 | % | ||
Corporate Debt | 26.4 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 18.3 | % | ||
Non-U.S. Government Agency Obligations | 15.5 | % | ||
Sovereign Debt Obligations | 5.4 | % | ||
Bank Loans | 3.4 | % | ||
Municipal Obligations | 0.1 | % | ||
Preferred Stock | 0.0 | % | ||
Purchased Options | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 97.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.8 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
13
MassMutual Select Strategic Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Select Strategic Bond Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the Bloomberg Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Ten Year Average Annual 10/1/06 - 9/30/16 | |||||||||
Class R5 | 7.51% | 4.53% | 5.30% | |||||||||
Service Class | 7.42% | 4.46% | 5.24% | |||||||||
Administrative Class | 7.39% | 4.32% | 5.10% | |||||||||
Class A | 7.12% | 4.08% | 4.84% | |||||||||
Class A (sales load deducted)* | 2.03% | 3.08% | 4.34% | |||||||||
Class R3 | 6.95% | 3.82% | 4.56% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 5.19% | 3.08% | 4.79% |
Hypothetical Investments in MassMutual Select Strategic Bond Fund Class I, Class R4, and the Bloomberg Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class I | 7.62% | 5.03% | ||||||
Class R4 | 7.20% | 4.57% | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 5.19% | 4.14% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 4.75% maximum sales charge.
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 calling 1-888-309-3539.
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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
14
MassMutual Select Diversified Value Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Select Diversified Value Fund, and who are the Fund’s subadvisers?
The Fund seeks to achieve long-term growth of capital and income by investing primarily in a diversified portfolio of equity securities of larger, well-established companies. The Fund normally invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in stocks, securities convertible into stocks, and other securities, such as warrants and stock rights, whose value is based on stock prices. The Fund’s subadvisers are Loomis, Sayles & Company, L.P. (Loomis Sayles), which was responsible for approximately 40% of the Fund’s portfolio; and Brandywine Global Investment Management, LLC (Brandywine Global), which managed approximately 60% of the Fund’s portfolio, as of September 30, 2016.
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 10.78%, substantially underperforming the 16.20% return of the Russell 1000® Value Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies, based on market capitalization) with greater than average value orientation that tend to exhibit lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, 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 September 30, 2016, the Fund’s Brandywine Global component’s relative performance was hampered by its large underweight, relative to the benchmark, to the utilities and real estate sectors. Many of these companies had become too expensive from a valuation perspective. Transportation stocks within the industrials sector are an example of lower-valuation companies that the Fund component held that underperformed throughout this period. Airlines in particular were impacted at the beginning of the vacation travel season by a spate of missed flights and disgruntled passengers from excessive delays during the screening process. The market feared greater expenses and the impact they could have on potential earnings, despite very low valuations. Conversely, the Fund component holding’s focus during the year has been on areas of potential consolidation and on companies with earnings growth, regardless of how expensive they are from a valuation perspective. Two Fund component holdings, Yahoo and Symantec (both technology companies), are examples of our focus within the technology sector, which was one of the best-performing sectors for the year.
Within the Loomis Sayles component of the Fund, stock selection within the health care, financials, and energy sectors, in tandem with an overweight position in consumer discretionary, strained performance. On the other hand, stock selection within industrials contributed the most to Loomis Sayles’s overall performance. With respect to specific Fund component holdings, Marathon Oil, an exploration and production company, was a primary detractor due to falling oil prices in January. Fund management decided to exit this holding, and subsequently reallocated the proceeds into Hess, an American integrated oil company on the belief that Hess offered similar upside potential with less risk. Shares of Knowles, a manufacturer of cellular microphones, also declined as concerns about a potential slowdown in the global smartphone market grew. Loomis Sayles exited the stock in February. Pharmaceutical company Teva also weighed on Loomis Sayles’s performance, partly due to concerns about Teva’s acquisition of Allergan’s generic business. Fund component holdings that contributed to full-year performance included software manufacturers Microsoft and Symantec. Similarly, pharmaceutical company Merck & Co. was another Fund component holding that contributed to performance for the year, largely due to its launch of lung cancer immunotherapy drug Keytruda.
Subadviser outlook
Brandywine Global believes that low global growth and deflationary pressures remain as longer-term risks for the global economy and the current business cycle in the U.S. In the near term, we believe there could be a continuation of relatively slow economic growth and low inflation. With our bottom-up quantitative and fundamental hybrid process, the current portfolio has a balance between pro-cyclical and defensive characteristics. Our Fund component’s sector weights remain more pro-cyclical and positively exposed to higher interest rates, with overweights in the industrials, technology, and consumer discretionary sectors – as well as a large underweight in utilities and real estate. However, our Fund component is also balanced by higher exposure to
15
MassMutual Select Diversified Value Fund – Portfolio Manager Report (Unaudited) (Continued)
defensive factors, such as a higher allocation to stocks with positive earnings. Additionally, we believe that the elevated valuations of stocks with lower volatility and higher yields that have outperformed could be vulnerable to a reversion – particularly if interest rates rise.
In Loomis Sayles’s view, with respect to U.S. equities, bull markets do not die of old age; rather, they falter when intervening macroeconomic events, like rising inflation, cause central banks to tighten monetary policy for an extended period. Currently, we believe the Federal Reserve may raise interest rates by 0.25% by year end, although our belief is that all signs point to a slow, deliberate tightening cycle. If equity earnings move back to a growth mode later this year and into 2017, we expect equity returns could remain balanced across the market capitalization spectrum and between growth and value styles. We continue to take a security-specific approach to investing. As always, we view opportunities as defined by our reward to risk profiles, regardless of market direction.
MassMutual Select Diversified Value Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
Apple, Inc. | 3.8 | % | ||
JP Morgan Chase & Co. | 3.2 | % | ||
Exxon Mobil Corp. | 2.6 | % | ||
Johnson & Johnson | 2.4 | % | ||
Pfizer, Inc. | 2.4 | % | ||
Verizon Communications, Inc. | 2.1 | % | ||
Merck & Co., Inc. | 2.1 | % | ||
Chevron Corp. | 2.1 | % | ||
Bank of America Corp. | 2.0 | % | ||
Cisco Systems, Inc. | 1.9 | % | ||
|
| |||
24.6 | % | |||
|
|
MassMutual Select Diversified Value Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Financial | 24.5 | % | ||
Consumer, Non-cyclical | 17.7 | % | ||
Industrial | 11.6 | % | ||
Technology | 10.8 | % | ||
Communications | 9.8 | % | ||
Energy | 8.6 | % | ||
Consumer, Cyclical | 8.3 | % | ||
Utilities | 3.3 | % | ||
Basic Materials | 2.7 | % | ||
Mutual Funds | 0.9 | % | ||
|
| |||
Total Long-Term Investments | 98.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.8 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
16
MassMutual Select Diversified Value Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Select Diversified Value Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the Russell 1000 Value Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Ten Year Average Annual 10/1/06 - 9/30/16 | |||||||||
Class R5 | 10.78% | 15.31% | 4.45% | |||||||||
Service Class | 10.75% | 15.22% | 4.35% | |||||||||
Administrative Class | 10.57% | 15.10% | 4.24% | |||||||||
Class A | 10.33% | 14.78% | 3.94% | |||||||||
Class A (sales load deducted)* | 3.99% | 13.42% | 3.33% | |||||||||
Class R3 | 10.17% | 14.54% | 3.66% | |||||||||
Russell 1000 Value Index | 16.20% | 16.15% | 5.85% |
Hypothetical Investments in MassMutual Select Diversified Value Fund Class I, Class R4, and the Russell 1000 Value Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class I | 10.89% | 4.45% | ||||||
Class R4 | 10.38% | 4.00% | ||||||
Russell 1000 Value Index | 16.20% | 6.29% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
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 calling 1-888-309-3539.
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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
17
MassMutual Select Fundamental Value Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Select 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 September 30, 2016?
The Fund’s Class R5 shares returned 13.12%, trailing the 16.20% return of the Russell 1000® Value Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies, based on market capitalization) with greater than average value orientation that tend to exhibit lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, 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, health care, and information technology sectors detracted the most from the Fund’s performance, relative to the benchmark, for the year ended September 30, 2016. Weighing on relative results during the period was the Fund’s overweight allocation, relative to the benchmark, to the lagging consumer discretionary sector. This was partially offset by stronger stock selection within the energy and consumer staples sectors.
Top detractors from benchmark-relative returns included two Fund holdings in the consumer discretionary sector – Norwegian Cruise Line and Signet Jewelers. Despite reporting solid first quarter results and reiterating its full-year business guidance, Norwegian faced headwinds due to investor concerns over future demand in Europe and China. Signet was hit by investor fears related to the quality of their credit business and increased scrutiny around customer service-related issues. Fund management maintained its confidence in both of these issues and continued to hold them in the Fund’s portfolio.
Two Fund holdings that were top contributors to benchmark-relative results included ingredient provider Ingredion in the consumer staples sector, and Pioneer Natural Resources – a petroleum, natural gas, and natural gas liquids exploration and production company in the energy sector. Ingredion’s advance was spurred by its report of better-than-expected earnings (driven by margin growth). On the other hand, Pioneer Natural Resources outperformed after continuing to exceed production expectations due to an increase in well productivity and enhanced operational efficiencies. During the period, the Fund closed its position in Ingredion, but retained its stake in Pioneer Natural Resources.
Subadviser outlook
We continue to seek balance in the Fund in an effort to allow for upside potential. With uncertainties surrounding the U.S. election, the timing and actions of global monetary authorities, and future commodities pricing, we believe the best course of action is to be disciplined in our investment process. We also plan to continue to look for opportunities in high-quality companies that we believe have strong growth prospects and that are trading at discounted valuations.
Heading into October 2016, the Fund held the most overweight allocations to the consumer discretionary and industrials sectors – and its greatest underweights were in the real estate and utilities sectors.
18
MassMutual Select Fundamental Value Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Select Fundamental Value Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
JP Morgan Chase & Co. | 3.8 | % | ||
Wells Fargo & Co. | 3.2 | % | ||
Cisco Systems, Inc. | 3.1 | % | ||
Merck & Co., Inc. | 2.8 | % | ||
Chevron Corp. | 2.3 | % | ||
Intel Corp. | 2.3 | % | ||
Citigroup, Inc. | 2.1 | % | ||
The PNC Financial Services Group, Inc. | 2.1 | % | ||
Medtronic PLC | 1.8 | % | ||
General Electric Co. | 1.8 | % | ||
|
| |||
25.3 | % | |||
|
|
MassMutual Select Fundamental Value Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Financial | 24.0 | % | ||
Consumer, Non-cyclical | 18.0 | % | ||
Energy | 12.0 | % | ||
Industrial | 11.1 | % | ||
Communications | 10.8 | % | ||
Technology | 8.4 | % | ||
Consumer, Cyclical | 7.3 | % | ||
Utilities | 3.4 | % | ||
Basic Materials | 2.5 | % | ||
|
| |||
Total Long-Term Investments | 97.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.5 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
19
MassMutual Select Fundamental Value Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Select Fundamental Value Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the Russell 1000 Value Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Ten Year Average Annual 10/1/06 - 9/30/16 | |||||||||
Class R5 | 13.12% | 14.99% | 6.44% | |||||||||
Service Class | 13.06% | 14.92% | 6.40% | |||||||||
Administrative Class | 12.93% | 14.78% | 6.25% | |||||||||
Class A | 12.58% | 14.50% | 5.98% | |||||||||
Class A (sales load deducted)* | 6.11% | 13.15% | 5.35% | |||||||||
Class R3 | 12.41% | 14.24% | 5.70% | |||||||||
Russell 1000 Value Index | 16.20% | 16.15% | 5.85% |
Hypothetical Investments in MassMutual Select Fundamental Value Fund Class I and the Russell 1000 Value Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Since Inception Average Annual 11/15/10 - 9/30/16 | |||||||||
Class I | 13.21% | 15.18% | 11.20% | |||||||||
Russell 1000 Value Index | 16.20% | 16.15% | 12.37% |
Hypothetical Investments in MassMutual Select Fundamental Value Fund Class R4 and the Russell 1000 Value Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class R4 | 12.78% | 4.95% | ||||||
Russell 1000 Value Index | 16.20% | 6.29% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
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 calling 1-888-309-3539.
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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
20
MassMutual Select Large Cap Value Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Select Large Cap Value Fund, and who are the Fund’s subadvisers?
The Fund seeks both capital growth and income by investing primarily in large-capitalization companies that the Fund’s subadvisers believe 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 stocks of large-cap companies. The subadvisers currently define “large-cap” companies as those whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 1000® Index. The Fund’s subadvisers are Huber Capital Management, LLC (Huber Capital Management), which was responsible for approximately 46% of the Fund’s portfolio; and Barrow, Hanley, Mewhinney & Strauss, LLC (Barrow Hanley), which managed approximately 54% of the Fund’s portfolio, as of September 30, 2016.
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 10.91%, significantly underperforming the 16.20% return of the Russell 1000 Value Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies, based on market capitalization) with greater than average value orientation that tend to exhibit lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
In the Barrow Hanley Fund component, holdings within the consumer discretionary and energy sectors detracted the most from performance for the year ended September 30, 2016. Specifically, Gap, Inc., a large clothing retailer, reported soft same-store sales at its flagship Gap stores, as well as its Old Navy and Banana Republic outlets. Barrow Hanley’s underweight allocation, relative to the benchmark, to the strong-performing energy sector, also hampered full-year returns, as did its position in ConocoPhillips, a global energy company. Fund component holdings in the telecommunications, consumer staples, utilities, and health care sectors were all additive to full-year returns. Specifically, Fund component holding Medtronic, one of the largest medical device makers, merged with Covidien this year, which boosted the former’s share price. Additionally, Merck, a large pharmaceutical company, performed well, as its offerings of high-margin drugs, as well as a pipeline of promising new drugs, helped to boost the Fund component’s bottom line. Two other Fund component holdings that contributed to Barrow Hanley’s progress during the year included Verizon Communications, one of the largest telecommunications companies in the U.S., and Altria Group, a large tobacco company.
For the Huber Capital Management component of the Fund, within the energy sector, Fund component holdings Ensco (a provider of offshore drilling services) and Euronav (a transporter of crude oil) declined on a fall in commodity prices. In the producer durables sector, Fund component holding KBR, an engineering and construction company with exposure to the energy industry, also hampered performance. Within health care, shares of pharmaceutical manufacturer Eli Lilly declined, as this Fund component holding struggled due to the rhetoric on drug pricing that gained headlines during the U.S. presidential election season. Conversely, within consumer staples, Fund component holdings Tyson Foods (a producer of processed foods) and tobacco products manufacturer Philip Morris International benefited from solid operating performance.
Subadviser outlook
Barrow Hanley believes that investors have flocked to passive funds at the expense of active funds in an attempt to avoid risk. Our view is that the current cycle of passive outperformance began with the bull market that started about seven years ago – and that, since that time, lower interest rates and excess liquidity have propelled equity markets in a highly correlated manner, without much regard for fundamentals. After one of the longest and highest-returning bull markets in history, the overall market is no longer inexpensive, and many companies and sectors are richly valued. As such, we believe that the long run of outperformance of passive strategies has left many companies within the benchmark overvalued and susceptible to dividend cuts, price declines, or both.
21
MassMutual Select Large Cap Value Fund – Portfolio Manager Report (Unaudited) (Continued)
In Huber Capital Management’s view, despite the apparent improvement in the market’s tone in the third quarter of 2016, uncertainty with respect to the economy and equity markets remains, particularly with respect to the pending U.S. presidential election and the unwinding of fiscal and monetary stimulus across the globe. As an independent firm, we have remained disciplined with respect to our philosophy and process, attempting to take advantage of many market dislocations by adding to what we view as high-conviction names.
MassMutual Select Large Cap Value Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
KBR, Inc. | 3.8 | % | ||
Pfizer, Inc. | 3.8 | % | ||
Bank of America Corp. | 3.7 | % | ||
Merck & Co., Inc. | 3.6 | % | ||
Philip Morris International, Inc. | 3.4 | % | ||
JP Morgan Chase & Co. | 3.3 | % | ||
Wal-Mart Stores, Inc. | 2.5 | % | ||
BP PLC Sponsored ADR (United Kingdom) | �� | 2.4 | % | |
Citigroup, Inc. | 2.4 | % | ||
CNO Financial Group, Inc. | 2.3 | % | ||
|
| |||
31.2 | % | |||
|
|
MassMutual Select Large Cap Value Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Financial | 22.7 | % | ||
Consumer, Non-cyclical | 21.7 | % | ||
Industrial | 15.1 | % | ||
Technology | 10.2 | % | ||
Energy | 8.7 | % | ||
Consumer, Cyclical | 7.9 | % | ||
Communications | 5.4 | % | ||
Utilities | 3.9 | % | ||
Mutual Funds | 2.9 | % | ||
Basic Materials | 1.8 | % | ||
|
| |||
Total Long-Term Investments | 100.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | (0.3 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
22
MassMutual Select Large Cap Value Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Select Large Cap Value Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the Russell 1000 Value Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Ten Year Average Annual 10/1/06 - 9/30/16 | |||||||||
Class R5 | 10.91% | 11.73% | 4.21% | |||||||||
Service Class | 10.78% | 11.63% | 4.10% | |||||||||
Administrative Class | 10.61% | 11.47% | 3.96% | |||||||||
Class A | 10.45% | 11.21% | 3.71% | |||||||||
Class A (sales load deducted)* | 4.10% | 9.91% | 3.10% | |||||||||
Class R3 | 10.26% | 10.97% | 3.45% | |||||||||
Russell 1000 Value Index | 16.20% | 16.15% | 5.85% |
Hypothetical Investments in MassMutual Select Large Cap Value Fund Class I, Class R4, and the Russell 1000 Value Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class I | 10.94% | 2.07% | ||||||
Class R4 | 10.48% | 1.64% | ||||||
Russell 1000 Value Index | 16.20% | 6.29% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
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 calling 1-888-309-3539.
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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
23
MM S&P 500® Index Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MM S&P 500® Index Fund, and who is the Fund’s subadviser?
The Fund seeks to approximate as closely as practicable (before fees and expenses) the capitalization-weighted total rate of return of that portion of the U.S. market for publicly-traded common stocks composed of larger-capitalized companies. 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 S&P 500® Index* (the “Index”). The Fund’s subadviser is Northern Trust Investments, Inc. (NTI).
* 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.
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 15.20%, modestly trailing the 15.43% return of the Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, 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 does not reflect any deduction for fees or expenses and cannot be purchased directly by investors.
The top-performing sectors in the Index for the year ended September 30, 2016 were telecommunication services and information technology. Conversely, the worst-performing sectors were financials and consumer discretionary.
Oil prices have recovered modestly since energy markets bottomed out at the beginning of 2016. U.S. equities overcame periods of significant volatility, largely related to Brexit, the United Kingdom’s referendum on leaving the European Union, which occurred at the end of June.
Slow growth continued to be a concern for U.S. and international markets, and this helped to drive a continuation of accommodative monetary policy across global central banks and further drops in global bond yields. The Federal Reserve (the “Fed”) left interest rates unchanged, while investors remained skeptical that the Fed would get the economic data it needs to justify monetary policy tightening.
On the employment front, while jobless claims were near multi-year lows, inflation remained stubbornly low. Consumers have driven the slow economic growth this year, with retail sales showing recent signs of softness. Similarly, manufacturing and service industries have recently shown a notable downturn. Long-term interest rates remain low, with the 10-year U.S. Treasury yield, which began the year above 2%, ending the third quarter of 2016 at 1.6%. Investment-grade and high-yield bond spreads tightened as investors returned their focus to finding yield in a low-rate environment. (“Spreads” represent the differences in yields between comparable bonds, with widening spreads often indicating increasing yields and decreasing prices for bonds.)
Subadviser outlook
Although it is impossible to predict the direction that the equity markets will take as we move into 2017 – after its positive performance, overall, in the past year – numerous forces will influence the direction that the market takes moving forward. These include the outcome of the U.S. presidential election, Fed policy, unemployment, and developments on the world stage – such as the state of the economy in China and any fallout from the Brexit vote. We believe, however, that the Fund continues to be well positioned to pursue returns that are consistent with those of the S&P 500 Index.
24
MM S&P 500® Index Fund – Portfolio Manager Report (Unaudited) (Continued)
MM S&P 500 Index Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
Apple, Inc. | 3.2 | % | ||
Microsoft Corp. | 2.4 | % | ||
Exxon Mobil Corp. | 1.9 | % | ||
Amazon.com, Inc. | 1.7 | % | ||
Johnson & Johnson | 1.7 | % | ||
Facebook, Inc. Class A | 1.6 | % | ||
Berkshire Hathaway, Inc. Class B | 1.4 | % | ||
General Electric Co. | 1.4 | % | ||
AT&T, Inc. | 1.3 | % | ||
JP Morgan Chase & Co. | 1.3 | % | ||
|
| |||
17.9 | % | |||
|
|
MM S&P 500 Index Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Consumer, Non-cyclical | 24.0 | % | ||
Financial | 15.7 | % | ||
Communications | 13.9 | % | ||
Technology | 12.9 | % | ||
Industrial | 9.8 | % | ||
Consumer, Cyclical | 9.2 | % | ||
Energy | 7.2 | % | ||
Utilities | 3.2 | % | ||
Basic Materials | 2.6 | % | ||
Diversified | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 98.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.5 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
25
MM S&P 500® Index Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MM S&P 500 Index Fund Class R5, Service Class, Administrative Class, Class R4, Class R3, and the S&P 500 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Ten Year Average Annual 10/1/06 - 9/30/16 | |||||||||
Class R5 | 15.20% | 16.14% | 7.02% | |||||||||
Service Class | 15.03% | 15.91% | 6.80% | |||||||||
Administrative Class | 14.96% | 15.86% | 6.76% | |||||||||
Class R4 | 14.72% | 15.63% | 6.56% | |||||||||
Class R3 | 14.49% | 15.34% | 6.26% | |||||||||
S&P 500 Index | 15.43% | 16.37% | 7.24% |
Hypothetical Investments in MM S&P 500 Index Fund Class I and the S&P 500 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 12/7/11 - 9/30/16 | ||||||
Class I | 15.30% | 14.27% | ||||||
S&P 500 Index | 15.43% | 14.38% |
Hypothetical Investments in MM S&P 500 Index Fund Class A, Class A (sales load deducted), and the S&P 500 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class A | 14.63% | 7.54% | ||||||
Class A (sales load deducted)* | 8.04% | 5.02% | ||||||
S&P 500 Index | 15.43% | 8.30% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
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 calling 1-888-309-3539.
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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
26
MassMutual Select Focused Value Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Select Focused Value 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 undervalued. The Fund’s subadviser is Harris Associates L.P. (Harris).
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 13.44%, behind the 14.93% return of the Russell 1000® Index (the
“benchmark”), a widely recognized, unmanaged index representing the performance of common stocks of larger
capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016,
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 September 30, 2016, the energy sector supplied the largest negative absolute return for the Fund.
Although one of the sector’s two Fund holdings gained value (Halliburton, one of the world’s largest oil field
services companies), the double-digit decline of the Fund’s other energy holding – Anadarko, an American
petroleum and natural gas exploration and production company that came under pressure due to low oil prices –
hampered the Fund’s performance. The Fund sold both holdings during the reporting period. In the materials sector,
Fund holding Glencore, an Anglo-Swiss multinational commodity trading and mining company, suffered a double-digit
loss. The Fund consequently sold its stake in Glencore early in the second quarter of 2016. Wells Fargo (a
provider of banking, mortgage, investing, credit card, insurance, and consumer and commercial financial services)
and CBRE Group (an American commercial real estate company) were also significant detractors from the Fund’s
overall full-year return.
Turning to those factors that contributed to the Fund’s performance, five of the Fund’s eight invested sectors
delivered positive absolute returns for the period. The technology sector, which delivered the best results relative to
the benchmark for the period, gained the most value. The top Fund holdings within that sector included
semiconductor equipment manufacturer Applied Materials, software maker Microsoft, and Internet software and
services provider Alphabet, the parent company of Google. In the third calendar quarter of 2016, the Fund sold its
position in Applied Materials, whose share price had approached Fund management’s estimate of underlying value.
Also contributing to the Fund’s full-year results were Fund holdings in the industrials sector. There, Caterpillar (an
American corporation that designs, develops, manufactures, and sells machinery, engines, financial products and
insurance) and Cummins (a manufacturer and distributor of engines, filtration, and power generation products)
advanced strongly for the year.
Subadviser outlook
The equity markets have been unsteady over the course of the reporting period, as many macroeconomic issues have
concerned investors. We believe that market movements often provide us with valuable investment opportunities. In
our view, there are high concentrations of undervalued securities in certain sectors, including financials, consumer
discretionary, industrials, and technology.
While all potential purchases must meet our stringent investment criteria, we have been finding that many of the
companies within these sectors have been trading at prices that are significantly discounted compared with our
intrinsic value estimates. But our investment guidelines hold that it is not enough for a prospective investment to be
a good value. Rather, we require that all new candidates must, in our view, also be growing intrinsic value and all
management teams must allocate the excess free cash flows generated by their businesses wisely.
27
MassMutual Select Focused Value Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Select Focused Value Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
American International Group, Inc. | 7.5 | % | ||
General Motors Co. | 6.9 | % | ||
Cummins, Inc. | 6.8 | % | ||
Caterpillar, Inc. | 5.9 | % | ||
Wells Fargo & Co. | 5.8 | % | ||
JP Morgan Chase & Co. | 5.7 | % | ||
Charter Communications, Inc. Class A | 5.3 | % | ||
Alphabet, Inc. Class C | 5.0 | % | ||
BlackRock, Inc. | 4.9 | % | ||
The Goldman Sachs Group, Inc. | 4.7 | % | ||
|
| |||
58.5 | % | |||
|
|
MassMutual Select Focused Value Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Financial | 36.4 | % | ||
Communications | 20.1 | % | ||
Consumer, Cyclical | 14.3 | % | ||
Industrial | 12.7 | % | ||
Consumer, Non-cyclical | 11.2 | % | ||
|
| |||
Total Long-Term Investments | 94.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 5.3 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
28
MassMutual Select Focused Value Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Select Focused Value Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the Russell 1000 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Ten Year Average Annual 10/1/06 - 9/30/16 | |||||||||
Class R5 | 13.44% | 16.33% | 8.86% | |||||||||
Service Class | 13.37% | 16.22% | 8.75% | |||||||||
Administrative Class | 13.19% | 16.07% | 8.60% | |||||||||
Class A | 12.93% | 15.78% | 8.33% | |||||||||
Class A (sales load deducted)* | 6.43% | 14.41% | 7.69% | |||||||||
Class R3 | 12.76% | 15.52% | 8.05% | |||||||||
Russell 1000 Index | 14.93% | 16.41% | 7.40% |
Hypothetical Investments in MassMutual Select Focused Value Fund Class I and the Russell 1000 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Since Inception Average Annual 11/15/10 - 9/30/16 | |||||||||
Class I | 13.56% | 16.45% | 11.79% | |||||||||
Russell 1000 Index | 14.93% | 16.41% | 12.94% |
Hypothetical Investments in MassMutual Select Focused Value Fund Class R4 and the Russell 1000 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class R4 | 13.11% | 3.79% | ||||||
Russell 1000 Index | 14.93% | 7.86% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
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 calling 1-888-309-3539.
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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
29
MassMutual Select Fundamental Growth Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Select 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 September 30, 2016?
The Fund’s Class R5 shares returned 11.88%, lagging the 13.76% return of the Russell 1000® Growth Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies based on market capitalization) with greater than average growth orientation that tend to exhibit higher price-to-book ratios and higher forecasted growth rates than securities in the value universe.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, 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 September 30, 2016, stock selection within the financials and consumer staples sectors weighed on the Fund’s performance, relative to the benchmark. Conversely, stock selection within the industrials and consumer discretionary sectors proved stronger. An overweight allocation, relative to the benchmark, to the information technology sector also helped Fund results.
With respect to individual Fund holdings, top detractors from relative performance included consumer discretionary stocks Advance Auto Parts and Chipotle Mexican Grill. Despite an attractive industry structure with only three major players, Advance Auto Parts failed to deliver expected results, which prompted the Fund to exit the position during the period. Restaurant operator Chipotle experienced a 30% decline in sales in December 2015 alone, resulting from multiple E. coli, salmonella, and norovirus outbreaks across the U.S. Fund managers chose to exit the position during the period.
Top contributors to benchmark-relative returns during the year included Fund holdings Linear Technology Corporation – which designs, manufactures and markets a broad line of high-performance analog integrated circuits – and social network giant Facebook (both in the information technology sector). Linear Technology is a semiconductor company that could, in Fund management’s view, benefit from the evolution to the Internet of Things in multiple areas – including autonomous driving and the future of the automobile, remote access devices, and the performance of industrial appliances and motors. Linear’s share price rose when semiconductor company Analog Devices offered to acquire the company in a cash and stock deal at a 24% premium. During the third quarter of 2016, shares of Facebook advanced, following the release of stronger-than-expected earnings results, supported by higher advertising revenue growth and improved margins.
The Fund’s avoidance of two underperforming U.S.-based stocks in the consumer discretionary sector – Walt Disney, a mass media and entertainment conglomerate, and Nike, a designer and manufacturer of footwear, apparel, equipment, accessories and services – also benefited the Fund during the reporting period.
Subadviser outlook
There has been an explosion of new technologies due to machine learning and artificial intelligence, and our view is that the scale and scope required to take advantage of these technologies is limited to a handful of companies. These companies are central to productivity and have the potential, we believe, to be in high demand by large corporations. We have identified these firms as Alphabet, the parent company of Google; Alibaba, an online marketplace company; Baidu, a Chinese web services company; Facebook; software manufacturer Microsoft; Oracle, an American computer technology corporation; and cloud software firm Salesforce.com – all of which are Fund holdings. Through innovation such as sensors that will make autonomous driving cars possible (Alphabet, Baidu) or software that allows calendars to communicate with each other (Salesforce), the software-based productivity tools of the future should, in our view, require immense computing power, storage, and algorithms.
From a geographic perspective, we believe there is an inflection of improvement in emerging markets, particularly in China, India and ultimately, Latin America – which could be poised to experience continued solid growth trends.
30
MassMutual Select Fundamental Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Select Fundamental Growth Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
Alphabet, Inc. Class C | 4.9 | % | ||
Apple, Inc. | 4.3 | % | ||
Facebook, Inc. Class A | 3.5 | % | ||
Amazon.com, Inc. | 3.0 | % | ||
Microsoft Corp. | 2.8 | % | ||
PepsiCo, Inc. | 2.3 | % | ||
Oracle Corp. | 2.2 | % | ||
The Home Depot, Inc. | 2.2 | % | ||
Amgen, Inc. | 2.2 | % | ||
Visa, Inc. Class A | 2.2 | % | ||
|
| |||
29.6 | % | |||
|
|
MassMutual Select Fundamental Growth Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Consumer, Non-cyclical | 29.7 | % | ||
Communications | 24.7 | % | ||
Technology | 20.3 | % | ||
Consumer, Cyclical | 9.6 | % | ||
Industrial | 6.7 | % | ||
Financial | 4.3 | % | ||
Energy | 2.4 | % | ||
Mutual Funds | 2.3 | % | ||
Basic Materials | 1.5 | % | ||
Utilities | 0.4 | % | ||
|
| |||
Total Long-Term Investments | 101.9 | % | ||
Short-Term Investments and Other Assets and Liabilities | (1.9 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
31
MassMutual Select Fundamental Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Select Fundamental Growth Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the Russell 1000 Growth Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Ten Year Average Annual 10/1/06 - 9/30/16 | |||||||||
Class R5 | 11.88% | 14.37% | 9.82% | |||||||||
Service Class | 11.69% | 14.22% | 9.71% | |||||||||
Administrative Class | 11.54% | 14.08% | 9.56% | |||||||||
Class A | 11.30% | 13.83% | 9.29% | |||||||||
Class A (sales load deducted)* | 4.90% | 12.49% | 8.64% | |||||||||
Class R3 | 11.15% | 13.52% | 8.96% | |||||||||
Russell 1000 Growth Index | 13.76% | 16.60% | 8.85% |
Hypothetical Investments in MassMutual Select Fundamental Growth Fund Class I, Class R4, and the Russell 1000 Growth Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class I | 12.02% | 8.17% | ||||||
Class R4 | 11.33% | 7.65% | ||||||
Russell 1000 Growth Index | 13.76% | 9.41% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
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 calling 1-888-309-3539.
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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
32
MassMutual Select Blue Chip Growth Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Select Blue Chip Growth Fund, and who are the Fund’s subadvisers?
The Fund seeks growth of capital over the long term by investing, under normal circumstances, at least 80% of net assets (plus the amount of any borrowings for investment purposes) in the common stocks of large- and medium-sized blue chip growth companies. The Fund’s subadvisers currently define blue chip growth companies to mean firms that, in their view, are well-established in their industries and have the potential for above-average earnings growth. The Fund’s subadvisers are T. Rowe Price Associates, Inc. (T. Rowe Price), which was responsible for approximately 68% of the Fund’s portfolio; and Loomis, Sayles & Company, L.P. (Loomis Sayles), which managed approximately 32% of the Fund’s portfolio, as of September 30, 2016.
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 14.38%, outpacing the 13.76% return of the Russell 1000® Growth Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies based on market capitalization) with greater than average growth orientation that tend to exhibit higher price-to-book ratios and higher forecasted growth rates than securities in the value universe. Conversely, the Fund underperformed the 15.43% return of the S&P 500® Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the T. Rowe Price Fund component, stock selection in information technology and consumer discretionary were the biggest contributors to performance, relative to the benchmark. Limited exposure to consumer electronics giant Apple contributed to relative returns, as the share price of that Fund component holding declined in response to tempering investor expectations for future growth. In consumer discretionary, a strong position in standout performer Amazon, the U.S.-based global e-commerce retailer, was the biggest contributor to relative performance. Online travel provider Priceline was another Fund component holding that contributed to relative performance. Conversely, stock selection in health care was the biggest detractor from relative performance. During the period, T. Rowe Price reduced the Fund component’s exposure to Alexion Pharmaceuticals, which came under pressure due to weak volume growth in Latin America, foreign exchange headwinds in Europe, and softening drug pricing trends. Stock selection in the industrials and business services sector also detracted from relative performance, as Fund component holding American Airlines experienced significant headwinds due to a strong U.S. dollar, the removal of fuel surcharges on international flights, and soft demand in some emerging markets.
In the Loomis Sayles component, Amazon was one of the top two performing Fund component holdings, due to strong growth in revenue and gross merchandise volume (GMV). China-based e-commerce company Alibaba was Loomis Sayles’ second top performer, as this Fund component holding reported fundamentally strong results, with revenue growth consistently above expectations and GMV continuing to increase at a higher rate than the growth in China’s retail commerce. Fund component holding Novo Nordisk, a diabetes-focused pharmaceutical company, came under pressure due, in part, to lower-than-expected management guidance. Also detracting from performance was Fund component holding Novartis, a Swiss global health care company that experienced weakness due to lower demand for surgical equipment as well as increasing competition from cheaper generics on a number of allergy products with expiring patents in the U.S.
Subadviser outlook
Looking to the coming year, T. Rowe Price expects that finding high-quality growth stocks will remain challenging, based on the current economic environment. Consequently, we intend to maintain our focus on generating long-term outperformance. Within the U.S., industrials are experiencing a profits recession and commodity-related businesses continue to struggle, but the consumer-driven segments of the market appear, in our view, to be healthy. Against this backdrop, we favor companies that have more control of their destiny: “self-help” companies that are uniquely positioned to benefit from powerful secular trends and that are innovatively disrupting less-efficient business models and creating new ones.
33
MassMutual Select Blue Chip Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
The Loomis Sayles investment process is characterized by bottom-up, fundamental research and a long-term investment time horizon. The nature of our process leads to lower turnover, and sector positioning is the result of stock selection. We continue to take a security-specific approach to investing. As always, we view opportunities as defined by our reward-to-risk profiles, regardless of market direction. In the current market, the Loomis Sayles Fund component favors overweight positions in the information technology, consumer staples, and financials sectors, on the belief that stocks in those sectors may outperform in the coming fiscal year. In addition, as of September 30, 2016, the Fund had underweight stakes in the consumer discretionary, industrials, and health care sectors. Finally, the Fund component managers are avoiding holdings in the telecommunication services and utilities sectors.
MassMutual Select Blue Chip Growth Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
Amazon.com, Inc. | 8.6 | % | ||
Facebook, Inc. Class A | 5.5 | % | ||
Alphabet, Inc. Class C | 3.9 | % | ||
Visa, Inc. Class A | 3.6 | % | ||
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) | 3.2 | % | ||
The Priceline Group, Inc. | 2.8 | % | ||
Microsoft Corp. | 2.7 | % | ||
Alphabet, Inc. Class A | 2.7 | % | ||
MasterCard, Inc. Class A | 1.8 | % | ||
Danaher Corp. | 1.7 | % | ||
|
| |||
36.5 | % | |||
|
|
MassMutual Select Blue Chip Growth Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Communications | 31.7 | % | ||
Consumer, Non-cyclical | 27.3 | % | ||
Technology | 12.5 | % | ||
Consumer, Cyclical | 10.0 | % | ||
Financial | 8.4 | % | ||
Industrial | 8.1 | % | ||
Energy | 0.8 | % | ||
Basic Materials | 0.4 | % | ||
Utilities | 0.1 | % | ||
Mutual Funds | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 99.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.7 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
34
MassMutual Select Blue Chip Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Select Blue Chip Growth Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, the Russell 1000 Growth Index, and the S&P 500 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Ten Year Average Annual 10/1/06 - 9/30/16 | |||||||||
Class R5 | 14.38% | 18.35% | 9.42% | |||||||||
Service Class | 14.37% | 18.27% | 9.33% | |||||||||
Administrative Class | 14.23% | 18.09% | 9.17% | |||||||||
Class A | 13.93% | 17.83% | 8.93% | |||||||||
Class A (sales load deducted)* | 7.38% | 16.44% | 8.28% | |||||||||
Class R3 | 13.77% | 17.56% | 8.63% | |||||||||
Russell 1000 Growth Index# | 13.76% | 16.60% | 8.85% | |||||||||
S&P 500 Index | 15.43% | 16.37% | 7.24% |
Hypothetical Investments in MassMutual Select Blue Chip Growth Fund Class I, Class R4, the Russell 1000 Growth Index, and the S&P 500 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class I | 14.57% | 10.29% | ||||||
Class R4 | 14.08% | 9.81% | ||||||
Russell 1000 Growth Index# | 13.76% | 9.41% | ||||||
S&P 500 Index | 15.43% | 8.30% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
# 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 calling 1-888-309-3539.
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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
35
MassMutual Select Growth Opportunities Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Select Growth Opportunities Fund, and who are the Fund’s subadvisers?
The Fund seeks long-term capital appreciation by investing primarily in equity securities of U.S. companies that the Fund’s subadvisers believe offer the potential for long-term growth. Under normal market conditions, 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 subadvisers are Sands Capital Management, LLC (Sands Capital), which managed approximately 51% of the Fund’s portfolio; and Jackson Square Partners, LLC (Jackson Square), which was responsible for approximately 49% of the Fund’s portfolio, as of September 30, 2016.
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 9.47%, underperforming the 13.76% return of the Russell 1000® Growth Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies based on market capitalization) with greater than average growth orientation that tend to exhibit higher price-to-book ratios and higher forecasted growth rates than securities in the value universe.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the Jackson Square portion of the Fund, the Fund component holding that was the largest stock detractor from performance was Valeant Pharmaceuticals, whose primary weakness centered mainly on questions over its ability to file its 10K in a timely manner (to avoid a technical default on its debt obligations). While the company did avoid technical default, this Fund component eliminated the position, due to the negative change in the company’s long-term fundamentals. Conversely, the Fund component holding that was the top contributor to performance was Equinix, Inc., a provider of carrier-neutral data centers and Internet exchanges designed to enable interconnection. The company – which announced expansion plans that include additional data centers, the divestiture of certain data centers to Digital Realty, and a strategic partnership with Datang Telecom Group in China – benefited from increased globalization, combined with demands for a secure and accessible network to meet the needs of their clients’ geographically dispersed workforces.
In the Sands Capital component of the Fund, the Fund component holdings that were the greatest detractors from the Fund’s returns, relative to the benchmark, were Chipotle Mexican Grill, a leading fast-casual restaurant chain; Lending Club, the world’s largest online marketplace-lending platform; Alexion Pharmaceuticals, a leader in the development of biological treatments for rare diseases; Regeneron Pharmaceuticals, a biotechnology firm focused on the treatment of various debilitating medical conditions; and LinkedIn, a leading professional social network. Conversely, the Fund component holdings that contributed the most to the Fund’s relative returns included Alibaba, the world’s largest e-commerce company; Facebook, the leading social networking platform; Visa, operator of the world’s largest payment network; Baidu, the number-one Internet search engine in China; and Edwards Lifesciences, a medical device company.
Subadviser outlook
Jackson Square’s view is that, despite the fact that some fundamentals in various regions may be trending in a positive direction (from a very low base during the global financial crisis of 2008-2009), the lingering effects of the credit crisis could lead to moderate growth, at best, for the intermediate term. Consequently, our belief is that the quality of a company’s business model, competitive position, and management may prove to be extremely important in investment decisions moving forward.
Sands Capital believes that its Fund component holdings are positioned to potentially deliver strong business results and earnings growth over a five- to 10-year investment horizon. Our focus on the sustainability of a business’s future earnings growth typically leads to investment in companies we believe are benefiting from secular trends that could provide growth tailwinds throughout economic cycles. We have high conviction in the long-term growth estimates for our Fund component holdings and believe they have the potential to provide this Fund component with strong relative and absolute returns over the next several years.
36
MassMutual Select Growth Opportunities Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Select Growth Opportunities Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
Visa, Inc. Class A | 7.4 | % | ||
Facebook, Inc. Class A | 6.5 | % | ||
Alphabet, Inc. Class A | 4.3 | % | ||
Amazon.com, Inc. | 3.2 | % | ||
Biogen, Inc. | 3.2 | % | ||
Salesforce.com, Inc. | 3.2 | % | ||
The Priceline Group, Inc. | 3.0 | % | ||
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) | 2.7 | % | ||
PayPal Holdings, Inc. | 2.7 | % | ||
QUALCOMM, Inc. | 2.5 | % | ||
|
| |||
38.7 | % | |||
|
|
MassMutual Select Growth Opportunities Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Communications | 37.2 | % | ||
Consumer, Non-cyclical | 28.7 | % | ||
Technology | 16.6 | % | ||
Financial | 7.8 | % | ||
Consumer, Cyclical | 5.1 | % | ||
Mutual Funds | 3.1 | % | ||
Basic Materials | 1.2 | % | ||
Energy | 1.0 | % | ||
Industrial | 0.8 | % | ||
|
| |||
Total Long-Term Investments | 101.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | (1.5 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
37
MassMutual Select Growth Opportunities Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Select Growth Opportunities Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the Russell 1000 Growth Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Ten Year Average Annual 10/1/06 - 9/30/16 | |||||||||
Class R5 | 9.47% | 15.83% | 9.38% | |||||||||
Service Class | 9.26% | 15.70% | 9.24% | |||||||||
Administrative Class | 9.21% | 15.59% | 9.11% | |||||||||
Class A | 8.93% | 15.30% | 8.83% | |||||||||
Class A (sales load deducted)* | 2.66% | 13.94% | 8.19% | |||||||||
Class R3 | 8.77% | 15.02% | 8.54% | |||||||||
Russell 1000 Growth Index | 13.76% | 16.60% | 8.85% |
Hypothetical Investments in MassMutual Select Growth Opportunities Fund Class I and the Russell 1000 Growth Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 12/7/11 - 9/30/16 | ||||||
Class I | 9.61% | 14.20% | ||||||
Russell 1000 Growth Index | 13.76% | 14.61% |
Hypothetical Investments in MassMutual Select Growth Opportunities Fund Class R4 and the Russell 1000 Growth Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class R4 | 9.02% | 5.08% | ||||||
Russell 1000 Growth Index | 13.76% | 9.41% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
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 calling 1-888-309-3539.
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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
38
MassMutual Select Mid-Cap Value Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Select Mid-Cap Value Fund, and who are the Fund’s subadvisers?
The Fund seeks growth of capital over the long-term by investing primarily in equity securities of mid-capitalization companies that the subadvisers believe 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 stocks of mid-cap companies. The Fund’s subadvisers are Systematic Financial Management, L.P. (Systematic), which was responsible for approximately 48% of the Fund’s portfolio; and American Century Investment Management, Inc. (American Century), which managed approximately 52% of the Fund’s portfolio, as of September 30, 2016.
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 17.03%, modestly trailing the 17.26% return of Russell Midcap® Value Index (the “benchmark”), a widely recognized, unmanaged index that measures the performance of those Russell Midcap companies (representing mid-capitalization U.S. common stocks) with lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the American Century component of the Fund, an underweight allocation, relative to the benchmark, to the strong-performing real estate sector detracted from benchmark-relative returns for the year ended September 30, 2016. In addition, Fund component holding REIT Corrections Corp. of America, a provider of private prisons, faltered as the Department of Justice signaled its desire to end the use of private prisons. An underweight allocation to the materials sector, the second-best performing sector in the benchmark, also hampered this Fund component’s relative performance. Another detractor was Fund component holding LifePoint Health, a hospital company with facilities in rural and non-urban communities, which missed revenue expectations due to weak volumes and sizable one-time expenses reported during the period. Even so, stock selection in the health care sector was a top contributor to relative performance. Specifically, positioning in the health care equipment and supplies industry boosted relative returns, where Baxter International Inc., an American health care company that is not a benchmark constituent, was a leading Fund component holding from a performance perspective. Stock selection in, and an overweight to, the industrials sector also contributed to performance, as industrial manufacturer Johnson Controls was a standout Fund component holding. American Century buys foreign exchange forward hedge contracts to offset the inherent currency risks of holding foreign securities. These had no impact on the Fund component’s performance during the year.
Stock selection in the Systematic component of the Fund detracted from relative performance, while sector allocation added value to its full-year returns. Positive stock selection within the consumer discretionary and energy sectors was more than offset by less-than-favorable stock selection within the industrials and information technology sectors. Sector allocation benefited from Systematic’s overweight to the information technology and materials sectors, although this was partially offset by its overweight to the health care and consumer discretionary sectors, which detracted from performance.
Subadviser outlook
As of September 30, 2016, the American Century Fund component’s largest sector overweights were in the financials and energy sectors. The Fund component also held overweight stakes in banks and the capital markets industry. Our belief is that many of our financial Fund component holdings could benefit when the Federal Reserve resumes its gradual interest rate hikes. Our smaller overweight in the energy sector reflects our confidence in well-managed, higher-quality companies, including integrated oil companies with strong balance sheets, and leading companies in the oil service and oil drilling markets. Our Fund component is also overweight in consumer staples, industrials, and health care. Underweight stakes in the materials and utilities sectors, with the largest sector underweight being in real estate, reflect our belief that real estate investment trusts (REITs) and utilities are generally overvalued.
Systematic is optimistic that the improved sentiment on Wall Street has the potential to provide lasting benefit to its Fund component’s relative performance. We are upbeat on the economy, the prospects for corporate earnings growth, and the
normalization of investors’ risk aversion over time. The stocks of companies in the high yield/low volatility category remain extremely expensive – suggesting, in our view, that a long runway could exist for the robust recent effectiveness of our investment discipline.
39
MassMutual Select Mid-Cap Value Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Select (% of Net Assets) on 9/30/16 | ||||
PG&E Corp. | 1.6 | % | ||
Northern Trust Corp. | 1.6 | % | ||
Johnson Controls International PLC | 1.5 | % | ||
PVH Corp. | 1.4 | % | ||
Applied Materials, Inc. | 1.4 | % | ||
Invesco Ltd. | 1.3 | % | ||
iShares Russell Mid-Cap Value ETF | 1.3 | % | ||
E*TRADE Financial Corp. | 1.2 | % | ||
Pinnacle Foods, Inc. | 1.2 | % | ||
Exelon Corp. | 1.2 | % | ||
|
| |||
13.7 | % | |||
|
|
MassMutual Select Mid-Cap Value Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Financial | 27.3 | % | ||
Industrial | 15.8 | % | ||
Energy | 12.0 | % | ||
Consumer, Non-cyclical | 11.2 | % | ||
Consumer, Cyclical | 10.0 | % | ||
Utilities | 8.5 | % | ||
Technology | 6.6 | % | ||
Basic Materials | 3.0 | % | ||
Communications | 2.2 | % | ||
Mutual Funds | 1.3 | % | ||
|
| |||
Total Long-Term Investments | 97.9 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.1 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
40
MassMutual Select Mid-Cap Value Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Select Mid-Cap Value Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the Russell Midcap Value Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Ten Year Average Annual 10/1/06 - 9/30/16 | |||||||||
Class R5 | 17.03% | 14.77% | 6.32% | |||||||||
Service Class | 16.87% | 14.65% | 6.22% | |||||||||
Administrative Class | 16.74% | 14.52% | 6.05% | |||||||||
Class A | 16.46% | 14.24% | 5.81% | |||||||||
Class A (sales load deducted)* | 9.76% | 12.90% | 5.18% | |||||||||
Class R3 | 16.25% | 13.98% | 5.54% | |||||||||
Russell Midcap Value Index | 17.26% | 17.38% | 7.89% |
Hypothetical Investments in MassMutual Select Mid-Cap Value Fund Class I and the Russell Midcap Value Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 12/7/11 - 9/30/16 | ||||||
Class I | 17.08% | 12.44% | ||||||
Russell Midcap Value Index | 17.26% | 15.16% |
Hypothetical Investments in MassMutual Select Mid-Cap Value Fund Class R4 and the Russell Midcap Value Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class R4 | 16.62% | 3.80% | ||||||
Russell Midcap Value Index | 17.26% | 6.87% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
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 calling 1-888-309-3539.
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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
41
MassMutual Select Small Cap Value Equity Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Select Small Cap Value Equity Fund, and who are the Fund’s subadvisers?
The Fund seeks to maximize total return through investment primarily in small capitalization equity securities that the Fund’s subadvisers believe 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 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 subadvisers are Wellington Management Company LLP (Wellington Management), which managed approximately 56% of the Fund’s portfolio; and Barrow, Hanley, Mewhinney & Strauss, LLC (Barrow Hanley), which was responsible for approximately 44% of the Fund’s portfolio, as of September 30, 2016.
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 15.15%, trailing the 18.81% return of the Russell 2000 Value Index (the “benchmark”), a widely recognized, unmanaged index that measures the performance of those Russell 2000 Index Companies (representing small-capitalization U.S. common stocks) with lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, 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 September 30, 2016, the Wellington Management Fund component underperformed, primarily due to weak security selection in the industrials and consumer discretionary sectors. This was partially offset by strong security selection within the health care and financials sectors, and an overweight allocation, relative to the benchmark, to the strong-performing industrials sector. Top relative detractors from performance for the period included Ascena Retail Group, an American retailer of women’s clothing in the consumer discretionary sector, and Scorpio Tankers, which operates a fleet of tankers distributing petroleum products from refineries to end users, in the energy sector. Conversely, among the top relative contributors to full-year performance were RSP Permian, an oil and gas producer in the energy sector, and MedAssets, an American health care performance improvement company in the health care sector. During the period, MedAssets was acquired by a private equity firm at a significant premium to the company’s prior valuation and Fund management eliminated the Fund component’s position in MedAssets on strength, as the share price had exceeded its target.
In the Barrow Hanley Fund component, even though the greatest detractor from performance was the consumer discretionary sector, the Fund component increased its long-standing position in American Axle and Manufacturing Holdings, a large supplier to the global automobile industry. Likewise, the Fund component initiated a position in Restoration Hardware Holdings, one of the largest furniture retailers, which was in the process of instituting a controversial new business model. We recognize that, as we add to holdings in unpopular areas of the market, we temporarily penalize performance – a tradeoff that has served us well over many years. Turning to the positive, early in the year, Barrow Hanley made significant commitments to energy stocks at a time when they were desperately out of favor and deeply undervalued. Those commitments ultimately resulted in above-market returns, which benefited the Fund component’s performance.
Subadviser outlook
Wellington Management’s investment approach emphasizes individual stock selection; sector weights are a residual of the process. However, we do regularly consider diversification across economic sectors, and continually monitor portfolio risk. Based on our three- to five-year time horizon, we continue to find attractively valued investment opportunities created by the inefficiencies frequently found among small- and mid-cap companies. As of September 30, 2016, our Fund component held the greatest overweights to the industrials, health care, and consumer staples sectors – and the largest underweight stakes in the real estate, financials, and consumer discretionary sectors.
Barrow Hanley does not attempt to predict absolute returns. Instead, we attempt to provide for the highest level of relative returns possible, regardless of market conditions. Consistent with this objective, our belief is that the market’s extreme focus on current dividend yield and low volatility has created a kind of “value vacuum” among economically sensitive stocks, especially those of small, less-researched companies. Our view is that sooner or later, markets typically normalize and when this occurs, those with the discipline to remain apart from the crowd and, particularly, seek out unpopular opportunities have the potential to benefit disproportionately.
42
MassMutual Select Small Cap Value Equity Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Select Small Cap Value Equity Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
Vishay Intertechnology, Inc. | 1.7 | % | ||
Primoris Services Corp. | 1.7 | % | ||
II-VI, Inc. | 1.6 | % | ||
Simpson Manufacturing Co., Inc. | 1.6 | % | ||
Barnes Group, Inc. | 1.5 | % | ||
Texas Capital Bancshares, Inc. | 1.5 | % | ||
Trex Co., Inc. | 1.5 | % | ||
Plexus Corp. | 1.5 | % | ||
Belden, Inc. | 1.4 | % | ||
Terex Corp. | 1.4 | % | ||
|
| |||
15.4 | % | |||
|
|
MassMutual Select Small Cap Value Equity Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Industrial | 30.4 | % | ||
Financial | 17.1 | % | ||
Consumer, Cyclical | 12.6 | % | ||
Consumer, Non-cyclical | 12.4 | % | ||
Technology | 8.1 | % | ||
Basic Materials | 4.8 | % | ||
Energy | 4.7 | % | ||
Utilities | 2.9 | % | ||
Diversified | 1.7 | % | ||
|
| |||
Total Long-Term Investments | 94.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 5.3 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
43
MassMutual Select Small Cap Value Equity Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Select Small Cap Value Equity Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), and the Russell 2000 Value Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Ten Year Average Annual 10/1/06 - 9/30/16 | |||||||||
Class R5 | 15.15% | 18.03% | 6.40% | |||||||||
Service Class | 14.97% | 17.92% | 6.29% | |||||||||
Administrative Class | 14.89% | 17.75% | 6.13% | |||||||||
Class A | 14.59% | 17.48% | 5.89% | |||||||||
Class A (sales load deducted)* | 8.00% | 16.10% | 5.26% | |||||||||
Russell 2000 Value Index | 18.81% | 15.45% | 5.78% |
Hypothetical Investments in MassMutual Select Small Cap Value Equity Fund Class I, Class R4, Class R3, and the Russell 2000 Value Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class I | 15.20% | 4.79% | ||||||
Class R4 | 14.66% | 4.33% | ||||||
Class R3 | 14.37% | 4.06% | ||||||
Russell 2000 Value Index | 18.81% | 3.66% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
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 calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 2000 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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
44
MassMutual Select Small Company Value Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Select Small Company Value Fund, and who are the Fund’s subadvisers?
The Fund seeks to achieve long-term growth of capital by investing primarily in a diversified portfolio of equity securities of smaller companies that the Fund’s subadvisers consider 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 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 or the S&P SmallCap 600 Index. The Fund’s subadvisers are Federated Clover Investment Advisors (Federated Clover), which managed approximately 41% of the Fund’s portfolio; T. Rowe Price Associates, Inc. (T. Rowe Price), which was responsible for approximately 30% of the Fund’s portfolio; and Invesco Advisers, Inc. (Invesco), which oversaw approximately 29% of the Fund’s portfolio, as of September 30, 2016.
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 13.18%, substantially underperforming the 18.81% return of the Russell 2000 Value Index (the “benchmark”), a widely recognized, unmanaged index that measures the performance of those Russell 2000 Index companies (representing small-capitalization U.S. common stocks) with lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe. The Fund also underperformed the 15.47% return of the Russell 2000 Index, a widely recognized, unmanaged index representative of common stocks of smaller capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the Federated Clover component of the Fund, stock selection in the information technology sector detracted from performance, relative to the benchmark, for the year ended September 30, 2016. Within information technology, Fund component holding Cavium Inc., a semiconductor processor, hampered returns. In the materials sector, containerboard producer KapStone Paper and Packaging Corp. succumbed to price deflation in the paper and cardboard industry. Stock selection in the energy sector had the greatest positive impact on performance, where standout performers included WPX Energy, Inc., an independent oil and gas exploration and production company; and U.S. Silica Holdings, Inc., which produces silica for the oil and gas industries. Discerning stock selection in the telecommunications sector was another source of strength, as Federated Clover’s only holding there, commercial internet provider Cogent Communications Holdings Inc., outperformed.
For the T. Rowe Price component of the Fund, financial stocks were the biggest detractors. There, two U.S.-based Fund component holdings – SVB Financial Group (a financial services company offering banking and financial products and services) and East West Bancorp (a regional California bank that originated as a Chinese-American bank) – underperformed. Conversely, positive stock selection in, and judicious allocation to, the energy sector was the portfolio’s largest contributor, led by Fund component holding WPX Energy, which was a standout for the period. An underweight allocation, relative to the benchmark, to the energy sector added to relative performance for the year. Also contributing were stock selection in, and sector allocation to, the industrials and business services sector. Fund component holdings in health care also helped results, led by West Pharmaceutical Services.
Despite an underweight allocation to the underperforming materials sector, the Invesco component of the Fund found that stock selection there was not rewarded, and the overall impact detracted from relative returns. Stock selection in the technology and health care sectors was also weak – particularly within the internet software and services, semiconductors, biotechnology, and pharmaceutical industries market segments. Stock selection was highly rewarded in the real estate investment trusts (REITs) and utilities sectors. Invesco maintains a nominal position in e-mini Russell 2000® Index futures contracts, which are used to gain market exposure on its cash position. This enables Invesco to remain fully exposed to the market at all times. These liquid, exchange-traded futures contracts did not, however, have a material impact on this Fund component’s full-year performance.
45
MassMutual Select Small Company Value Fund – Portfolio Manager Report (Unaudited) (Continued)
Subadviser outlook
With several of the world’s largest economies decelerating, and central bankers seemingly exhausting their efforts to stimulate growth, Federated Clover’s view is that the financial markets are faced with significant headwinds. As we move toward 2017, we believe that market conditions will be affected by the confidence of businesses and consumers, and their willingness to take advantage of record low interest rates to borrow and spend. In this uncertain environment, we expect further volatility, and plan to take advantage of price fluctuations that could enable the Fund to purchase stocks that are both undervalued and underappreciated.
T. Rowe Price believes that, while the current regime of extremely low or even negative global interest rates has had major implications for the overall market, it has had a particular impact on the small-cap value universe. Utilities are a relatively large share of the small-cap value universe, and we believe that they have benefited from investors’ search for yield. Moving forward, we plan to generally moderate our Fund component’s exposures to interest rates. This is based on our belief that, while the current low-rate regime may persist or even intensify for some time, exposed sectors are likely to be volatile when rates eventually return to normal levels.
The Invesco team employs bottom-up stock selection in their investment process and does not rely on top-down macroeconomic analyses or forecasts. Our strategy, as always, will be to emphasize stocks we believe possess strong earnings growth, positive price trends, and reasonable valuations. We believe that the market could, in the long run, reward these companies for their consistency and quality. We plan to continue to avoid companies possessing weak fundamentals, as we believe the market will penalize these companies for their failure to meet expectations.
MassMutual Select Small Company Value Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
Radian Group, Inc. | 1.1 | % | ||
Popular, Inc. | 1.0 | % | ||
Portland General Electric Co. | 0.9 | % | ||
Synovus Financial Corp. | 0.9 | % | ||
Healthcare Realty Trust, Inc. | 0.8 | % | ||
WSFS Financial Corp. | 0.8 | % | ||
Wintrust Financial Corp. | 0.8 | % | ||
Chemical Financial Corp. | 0.7 | % | ||
PS Business Parks, Inc. | 0.7 | % | ||
Kite Realty Group Trust | 0.7 | % | ||
|
| |||
8.4 | % | |||
|
|
MassMutual Select Small Company Value Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Financial | 36.1 | % | ||
Industrial | 15.5 | % | ||
Consumer, Non-cyclical | 14.2 | % | ||
Consumer, Cyclical | 7.9 | % | ||
Communications | 5.9 | % | ||
Utilities | 4.9 | % | ||
Energy | 4.7 | % | ||
Basic Materials | 4.4 | % | ||
Mutual Funds | 4.1 | % | ||
Technology | 3.7 | % | ||
Diversified | 0.3 | % | ||
|
| |||
Total Long-Term Investments | 101.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | (1.7 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
46
MassMutual Select Small Company Value Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Select Small Company Value Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, the Russell 2000 Value Index, and the Russell 2000 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Ten Year Average Annual 10/1/06 - 9/30/16 | |||||||||
Class R5 | 13.18% | 13.84% | 6.76% | |||||||||
Service Class | 13.05% | 13.75% | 6.70% | |||||||||
Administrative Class | 12.95% | 13.61% | 6.56% | |||||||||
Class A | 12.59% | 13.31% | 6.28% | |||||||||
Class A (sales load deducted)* | 6.12% | 11.97% | 5.65% | |||||||||
Class R3 | 12.42% | 13.07% | 6.00% | |||||||||
Russell 2000 Value Index# | 18.81% | 15.45% | 5.78% | |||||||||
Russell 2000 Index | 15.47% | 15.82% | 7.07% |
Hypothetical Investments in MassMutual Select Small Company Value Fund Class I, the Russell 2000 Value Index, and the Russell 2000 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Since Inception Average Annual 11/15/10 - 9/30/16 | |||||||||
Class I | 13.23% | 13.98% | 10.02% | |||||||||
Russell 2000 Value Index# | 18.81% | 15.45% | 10.63% | |||||||||
Russell 2000 Index | 15.47% | 15.82% | 11.42% |
Hypothetical Investments in MassMutual Select Small Company Value Fund Class R4, the Russell 2000 Value Index, and the Russell 2000 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class R4 | 12.80% | 1.88% | ||||||
Russell 2000 Value Index# | 18.81% | 3.66% | ||||||
Russell 2000 Index | 15.47% | 4.08% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
# 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 calling 1-888-309-3539.
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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
47
MM S&P® Mid Cap Index Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MM S&P® Mid Cap Index Fund, and who is the Fund’s subadviser?
The Fund seeks to provide investment results approximating (before fees and expenses) the aggregate price and dividend performance of the securities included in the S&P MidCap 400® 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 in the Index, in weightings that approximate the relative composition of the securities contained in the Index, and in Index futures contracts. The Fund’s subadviser is Northern Trust Investments, Inc. (NTI).
* The S&P MidCap 400 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 MidCap 400® 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 MidCap 400 Index.
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 15.01%, underperforming the 15.33% return of the Index, a widely recognized, unmanaged index representative of common stocks of mid-capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, 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 does not reflect any deduction for fees or expenses and cannot be purchased directly by investors.
For the year ended September 30, 2016, the top-performing sectors in the Index were materials and utilities, whereas energy and consumer discretionary were the worst-performing sectors.
Oil prices have recovered modestly since energy markets bottomed out at the beginning of 2016. U.S. equities overcame periods of significant volatility, largely related to Brexit, the United Kingdom’s referendum on leaving the European Union, which occurred at the end of June.
Slow growth continued to be a concern for U.S. and international markets, and this helped to drive a continuation of accommodative monetary policy across global central banks and further drops in global bond yields. The Federal Reserve (the “Fed”) left interest rates unchanged, while investors remained skeptical that the Fed would get the economic data it needs to justify monetary policy tightening.
On the employment front, while jobless claims were near multi-year lows, inflation remained stubbornly low. Consumers have driven the slow economic growth this year, with retail sales showing recent signs of softness. Similarly, manufacturing and service industries have recently shown a notable downturn. Long-term interest rates remain low, with the 10-year U.S. Treasury yield, which began the year above 2%, ending the third quarter of 2016 at 1.6%. Investment-grade and high-yield bond spreads tightened as investors returned their focus to finding yield in a low-rate environment. (“Spreads” represent the differences in yields between comparable bonds, with widening spreads often indicating increasing yields and decreasing prices for bonds.)
Subadviser outlook
Although it is impossible to predict the direction that the equity markets will take as we move into 2017 – after its positive performance, overall, in the past year – numerous forces will influence the direction that the market takes moving forward. These include the outcome of the U.S. presidential election, Fed policy, unemployment, and developments on the world stage – such as the state of the economy in China and any fallout from the Brexit vote. We believe, however, that the Fund continues to be well positioned to pursue returns that are consistent with those of the S&P MidCap 400 Index.
48
MM S&P® Mid Cap Index Fund – Portfolio Manager Report (Unaudited) (Continued)
MM S&P Mid Cap Index Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
IDEXX Laboratories, Inc. | 0.6 | % | ||
The WhiteWave Foods Co. | 0.6 | % | ||
Ingredion, Inc. | 0.6 | % | ||
Duke Realty Corp. | 0.6 | % | ||
ResMed, Inc. | 0.6 | % | ||
Synopsys, Inc. | 0.6 | % | ||
CDK Global, Inc. | 0.5 | % | ||
Alexandria Real Estate Equities, Inc. | 0.5 | % | ||
Alleghany Corp. | 0.5 | % | ||
Regency Centers Corp. | 0.5 | % | ||
|
| |||
5.6 | % | |||
|
|
MM S&P Mid Cap Index Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Financial | 24.7 | % | ||
Industrial | 16.2 | % | ||
Consumer, Non-cyclical | 14.9 | % | ||
Technology | 12.0 | % | ||
Consumer, Cyclical | 11.9 | % | ||
Utilities | 5.4 | % | ||
Basic Materials | 4.7 | % | ||
Energy | 3.8 | % | ||
Communications | 3.1 | % | ||
|
| |||
Total Long-Term Investments | 96.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.3 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
49
MM S&P® Mid Cap Index Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MM S&P Mid Cap Index Fund Class I, Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), and the S&P MidCap 400 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 7/26/12 - 9/30/16 | ||||||
Class I | 15.15% | 14.98% | ||||||
Class R5 | 15.01% | 14.84% | ||||||
Service Class | 14.77% | 14.68% | ||||||
Administrative Class | 14.69% | 14.56% | ||||||
Class A | 14.49% | 14.28% | ||||||
Class A (sales load deducted)* | 7.90% | 12.67% | ||||||
S&P MidCap 400 Index | 15.33% | 15.21% |
Hypothetical Investments in MM S&P Mid Cap Index Fund Class R4, Class R3, and the S&P MidCap 400 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class R4 | 14.56% | 5.82% | ||||||
Class R3 | 14.25% | 5.59% | ||||||
S&P MidCap 400 Index | 15.33% | 6.53% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
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 calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the S&P MidCap 400 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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
50
MM Russell 2000® Small Cap Index Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MM Russell 2000® Small Cap Index Fund, and who is the Fund’s subadviser?
The Fund seeks to provide investment results approximating (before fees and expenses) the aggregate price and dividend performance of the securities included in the Russell 2000® 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 in the Index, in weightings that approximate the relative composition of the securities contained in the Index, and in Index futures contracts. The Fund’s subadviser is Northern Trust Investments, Inc. (NTI).
* The Fund is not promoted, sponsored, or endorsed by, nor in any way affiliated with Russell Investment Group (“Russell”). Russell is not responsible for and has not reviewed the Fund nor any associated literature or publications and Russell makes no representation or warranty, express or implied, as to their accuracy, or completeness, or otherwise. The Russell 2000® Index and Russell® are trademarks of the Frank Russell Company.
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 15.42%, modestly underperforming the 15.47% return of the Index, a widely recognized, unmanaged index representative of common stocks of smaller capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, 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 does not reflect any deduction for fees or expenses and cannot be purchased directly by investors.
For the year ended September 30, 2016, the top-performing sectors in the Index were materials and utilities, whereas the energy and consumer discretionary sectors were the worst performers.
Oil prices have recovered modestly since energy markets bottomed out at the beginning of 2016. U.S. equities overcame periods of significant volatility, largely related to Brexit, the United Kingdom’s referendum on leaving the European Union, which occurred at the end of June.
Slow growth continued to be a concern for U.S. and international markets, and this helped to drive a continuation of accommodative monetary policy across global central banks and further drops in global bond yields. The Federal Reserve (the “Fed”) left interest rates unchanged, while investors remained skeptical that the Fed would get the economic data it needs to justify monetary policy tightening.
On the employment front, while jobless claims were near multi-year lows, inflation remained stubbornly low. Consumers have driven the slow economic growth this year, with retail sales showing recent signs of softness. Similarly, manufacturing and service industries have recently shown a notable downturn. Long-term interest rates remain low, with the 10-year U.S. Treasury yield, which began the year above 2%, ending the third quarter of 2016 at 1.6%. Investment-grade and high-yield bond spreads tightened as investors returned their focus to finding yield in a low-rate environment. (“Spreads” represent the differences in yields between comparable bonds, with widening spreads often indicating increasing yields and decreasing prices for bonds.)
Subadviser outlook
Although it is impossible to predict the direction that the equity markets will take as we move into 2017 – after its positive performance, overall, in the past year – numerous forces will influence the direction that the market takes moving forward. These include the outcome of the U.S. presidential election, Fed policy, unemployment, and developments on the world stage – such as the state of the economy in China and any fallout from the Brexit vote. We believe, however, that the Fund continues to be well positioned to pursue returns that are consistent with those of the Russell 2000 Index.
51
MM Russell 2000® Small Cap Index Fund – Portfolio Manager Report (Unaudited) (Continued)
MM Russell 2000 Small Cap Index Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
Advanced Micro Devices, Inc. | 0.3 | % | ||
Microsemi Corp. | 0.3 | % | ||
Gramercy Property Trust | 0.2 | % | ||
Curtiss-Wright Corp. | 0.2 | % | ||
IDACORP, Inc. | 0.2 | % | ||
Healthcare Realty Trust, Inc. | 0.2 | % | ||
Aspen Technology, Inc. | 0.2 | % | ||
Fair Isaac Corp. | 0.2 | % | ||
Cepheid, Inc. | 0.2 | % | ||
Portland General Electric Co. | 0.2 | % | ||
|
| |||
2.2 | % | |||
|
|
MM Russell 2000 Small Cap Index Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Financial | 24.7 | % | ||
Consumer, Non-cyclical | 19.5 | % | ||
Industrial | 13.2 | % | ||
Consumer, Cyclical | 11.2 | % | ||
Technology | 10.5 | % | ||
Communications | 6.6 | % | ||
Basic Materials | 3.7 | % | ||
Utilities | 3.5 | % | ||
Energy | 3.0 | % | ||
Diversified | 0.5 | % | ||
Mutual Funds | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 96.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.6 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
52
MM Russell 2000® Small Cap Index Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MM Russell 2000 Small Cap Index Fund Class I, Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), and the Russell 2000 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 7/26/12 - 9/30/16 | ||||||
Class I | 15.62% | 13.89% | ||||||
Class R5 | 15.42% | 13.78% | ||||||
Service Class | 15.23% | 13.59% | ||||||
Administrative Class | 15.11% | 13.50% | ||||||
Class A | 14.91% | 13.17% | ||||||
Class A (sales load deducted)* | 8.30% | 11.58% | ||||||
Russell 2000 Index | 15.47% | 13.93% |
Hypothetical Investments in MM Russell 2000 Small Cap Index Fund Class R4, Class R3, and the Russell 2000 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class R4 | 14.93% | 3.60% | ||||||
Class R3 | 14.60% | 3.35% | ||||||
Russell 2000 Index | 15.47% | 4.08% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
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 calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 2000 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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
53
MassMutual Select Mid Cap Growth Equity II Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Select Mid Cap Growth Equity II Fund, and who are the Fund’s subadvisers?
The Fund seeks growth of capital over the long-term by investing primarily in equity securities of mid-capitalization companies that the Fund’s subadvisers believe 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 a broadly diversified portfolio of common stocks of mid-cap companies whose earnings the Fund’s subadvisers expect to grow at a faster rate than the average company. The Fund’s subadvisers are T. Rowe Price Associates, Inc. (T. Rowe Price), which oversaw approximately 80% of the Fund’s portfolio; and Frontier Capital Management Company, LLC (Frontier), which was responsible for approximately 20% of the Fund’s portfolio, as of September 30, 2016.
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 10.58%, underperforming the 11.24% return of the Russell Midcap® Growth Index (the “benchmark”), a widely recognized, unmanaged index that measures the performance of those Russell Midcap companies (representing mid-capitalization U.S. common stocks) with higher price-to-book ratios and higher forecasted growth rates than securities in the value universe.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the T. Rowe Price segment of the Fund, stock selection and the Fund component’s allocation to the financials sector detracted from performance, relative to the benchmark. A position in Fund component holding LPL Financial Holdings – the nation’s largest independent broker-dealer providing brokerage, custody, clearing, research, and trading services to financial advisors – was T. Rowe Price’s weakest holding in the financials sector. Consequently, T. Rowe Price eliminated LPL Financial Holdings from its portfolio during the period. Also detracting from relative performance was T. Rowe Price’s allocation to the consumer staples sector, despite strong stock selection there. Strong stock selection in the industrials and business services sector was the largest contributor to relative performance, led by Fund component holding Xylem Inc., a leading water technology company that manufactures equipment for the movement, treatment, and testing of water. Stock selection and the Fund component’s allocation to the materials sector also helped drive relative performance. Specifically, Fund component holding Franco-Nevada, the leading gold-focused royalty and investment company, led the sector. The health care sector also helped relative performance, led by Fund component holding Intuitive Surgical.
For the Frontier component of the Fund, performance was hindered primarily by negative stock selection and negative sector allocation. The majority of the weakness in stock selection came from the health care and consumer staples sectors. Within health care, Fund component holdings Alkermes – a biotechnology firm – and specialty pharmaceutical company Perrigo Co. both detracted from performance. Within consumer staples, increased competitive pressures in the health and nutritional industry hurt Fund component holdings in natural, organic food suppliers United Natural Foods and Hain Celestial Group. Frontier was also hindered by its overweight position, relative to the benchmark, in the poorly performing health care sector. Fund component holdings in the information technology and consumer discretionary sectors contributed the most to performance. Namely, software and video gaming firms Activision and Electronic Arts were two Fund component holdings that did well – the same can be said for two other holdings: financial data processing companies Global Payments and Vantiv. In consumer discretionary, Frontier’s focus on both improved fundamentals for lower-income consumers and market share gains for off-price retailers led to solid returns from dollar stores (including Fund component holdings Dollar Tree and Dollar General) and off-price retailers (specifically, Ross Stores).
Subadviser outlook
T. Rowe Price believes that economic indicators have been vacillating in a slow-growth mode for the past several quarters. Our view is that the global economy has the potential to shake off much adversity and begin to grow at a faster clip. Despite this, our overall outlook remains cautious. Valuations have drifted to somewhat above-average historical levels as investors chase yield
54
MassMutual Select Mid Cap Growth Equity II Fund – Portfolio Manager Report (Unaudited) (Continued)
and stability – making, in our view, the risks and rewards of stock investing more asymmetric. We believe that another bear market is possible, but so is a gentle deflation in valuations, while earnings gradually catch up with stock prices. In either case, our view is that a long-term and patient approach will best serve our investors.
Entering the fourth quarter of 2016, Frontier continues to find attractive investments in gaming software, transaction processing, information services, health care, infrastructure materials and wireless communications. Conversely, we have become more concerned about consumer fundamentals and valuations in safe-haven sectors such as real estate investment trusts (REITs), utilities and staples – and have positioned our portfolio accordingly.
MassMutual Select Mid Cap Growth Equity II Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
Willis Towers Watson PLC | 1.8 | % | ||
Equifax, Inc. | 1.7 | % | ||
Fiserv, Inc. | 1.7 | % | ||
The Cooper Cos., Inc. | 1.5 | % | ||
Teleflex, Inc. | 1.5 | % | ||
Global Payments, Inc. | 1.4 | % | ||
Textron, Inc. | 1.4 | % | ||
Roper Technologies, Inc. | 1.3 | % | ||
Microchip Technology, Inc. | 1.3 | % | ||
Hologic, Inc. | 1.3 | % | ||
|
| |||
14.9 | % | |||
|
|
MassMutual Select Mid Cap Growth Equity II Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Consumer, Non-cyclical | 28.9 | % | ||
Industrial | 19.1 | % | ||
Consumer, Cyclical | 15.6 | % | ||
Technology | 12.4 | % | ||
Financial | 9.4 | % | ||
Mutual Funds | 4.8 | % | ||
Communications | 4.1 | % | ||
Basic Materials | 3.0 | % | ||
Energy | 1.9 | % | ||
|
| |||
Total Long-Term Investments | 99.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.8 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
55
MassMutual Select Mid Cap Growth Equity II Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Select Mid Cap Growth Equity II Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the Russell Midcap Growth Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Ten Year Average Annual 10/1/06 - 9/30/16 | |||||||||
Class R5 | 10.58% | 16.79% | 10.08% | |||||||||
Service Class | 10.55% | 16.68% | 9.98% | |||||||||
Administrative Class | 10.38% | 16.53% | 9.83% | |||||||||
Class A | 10.12% | 16.25% | 9.56% | |||||||||
Class A (sales load deducted)* | 3.79% | 14.88% | 8.91% | |||||||||
Class R3 | 9.95% | 15.98% | 9.27% | |||||||||
Russell Midcap Growth Index | 11.24% | 15.85% | 8.51% |
Hypothetical Investments in MassMutual Select Mid Cap Growth Equity II Fund Class I and the Russell Midcap Growth Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Since Inception Average Annual 11/15/10 - 9/30/16 | |||||||||
Class I | 10.74% | 16.93% | 13.37% | |||||||||
Russell Midcap Growth Index | 11.24% | 15.85% | 12.36% |
Hypothetical Investments in MassMutual Select Mid Cap Growth Equity II Fund Class R4 and the Russell Midcap Growth Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class R4 | 10.22% | 8.02% | ||||||
Russell Midcap Growth Index | 11.24% | 6.45% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
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 calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell Midcap 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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
56
MassMutual Select Small Cap Growth Equity Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Select Small Cap Growth Equity Fund, and who are the Fund’s subadvisers?
The Fund seeks long-term capital appreciation by investing primarily in equity securities of smaller companies that the Fund’s subadvisers believe 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 subadvisers are Wellington Management Company LLP (Wellington Management), which managed approximately 64% of the Fund’s portfolio and OFI Global Institutional, Inc. (OFI Global), which oversaw approximately 36% of the Fund’s portfolio, as of September 30, 2016.
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 8.08%, underperforming the 12.12% return of the Russell 2000 Growth Index (the “benchmark”), a widely recognized, unmanaged index that measures the performance of those Russell 2000 Index companies (representing small-capitalization U.S. common stocks) with higher price-to-book ratios and higher forecasted growth rates than securities in the value universe. The Fund also trailed, by a wide margin, the 15.47% return of the Russell 2000 Index, a widely recognized, unmanaged index representative of common stocks of smaller capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, 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 September 30, 2016, in the Wellington component of the Fund, stocks that detracted most from relative returns were in the health care, materials, and information technology sectors. In health care and materials, Fund component holdings that were underperformers included Acadia Healthcare, which provides inpatient behavioral health services in the U.S. and the U.K.; and Platform Specialty, which serves an array of diverse end markets – including agriculture, semiconductors, and oil and gas. In information technology, Fund component holdings that were relative detractors included SunPower, a solar power designer and manufacturer; and VeriFone Systems, which provides technology for electronic payment transactions and value-added services at the point of sale. Contributors to performance included Fund component holdings in the consumer discretionary, information technology, and health care sectors. In consumer discretionary, the top performer from a relative perspective was DreamWorks Animation. In information technology, John Bean Technologies, an American food processing machinery and airport equipment company, was the standout. In health care, the Fund component holdings that were the top contributors to relative performance included Veeva Systems, a provider of customer relationship management software for the pharmaceutical and life sciences industries; and Tesaro, a biotechnology company focused on developing treatments for ovarian cancer.
Within the OFI Global component of the Fund, underperformance versus the benchmark stemmed largely from weaker relative stock selection in the consumer discretionary, industrials, materials, and real estate sectors. Fund holdings that were detractors from performance included consumer discretionary stocks G-III Apparel Group, Ltd. (an apparel manufacturer and retailer); Lithia Motors, Inc. (an operator of automotive franchises and a retailer of new and used vehicles and services); and footwear retailer Skechers U.S.A. The Fund component exited its position in all three stocks during the period. OFI Global outperformed the benchmark due to favorable stock selection in the financials, health care, and energy sectors. Fund component holdings that were top individual contributors included MarketAxess Holdings Inc. (an operator of an electronic trading platform for a variety of fixed-income investments in the financials sector); Monolithic Power Systems, Inc. (a supplier of high-performance analog semiconductors to high-growth end markets in information technology); and A.O. Smith Corporation, a manufacturer of both residential and commercial water heaters and boilers in the industrials sector.
Subadviser outlook
Wellington Management believes that the uncertainty created by extreme U.S. presidential campaign rhetoric and the unfolding realities of Brexit (the U.K.’s vote to leave the European Union) have the potential to continue to provide headwinds for global growth, while also increasing market volatility in the short to medium term. As of September 30, 2016, our Fund component was mostly overweight in the information technology, energy, and financials sectors – with the greatest underweights in the health care, real estate, and industrials sectors.
57
MassMutual Select Small Cap Growth Equity Fund – Portfolio Manager Report (Unaudited) (Continued)
OFI Global’s long-term investment process remains unchanged. We plan to continue seeking dynamic companies with above-average and sustainable revenue and earnings growth that we believe are positioned to potentially outperform. This includes leading firms in structurally attractive industries with committed management teams that have proven records of performance.
MassMutual Select Small Cap Growth Equity Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
HubSpot, Inc. | 1.6 | % | ||
Paylocity Holding Corp. | 1.2 | % | ||
MarketAxess Holdings, Inc. | 1.1 | % | ||
Insulet Corp. | 1.1 | % | ||
Masonite International Corp. | 1.1 | % | ||
CoStar Group, Inc. | 1.0 | % | ||
Proofpoint, Inc. | 1.0 | % | ||
Monolithic Power Systems, Inc. | 1.0 | % | ||
Tyler Technologies, Inc. | 1.0 | % | ||
The Ultimate Software Group, Inc. | 0.9 | % | ||
|
| |||
11.0 | % | |||
|
|
MassMutual Select Small Cap Growth Equity Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Consumer, Non-cyclical | 24.9 | % | ||
Technology | 19.2 | % | ||
Industrial | 15.2 | % | ||
Financial | 14.5 | % | ||
Consumer, Cyclical | 12.2 | % | ||
Mutual Funds | 11.6 | % | ||
Communications | 5.5 | % | ||
Energy | 4.1 | % | ||
Basic Materials | 2.1 | % | ||
Utilities | 0.6 | % | ||
Diversified | 0.4 | % | ||
|
| |||
Total Long-Term Investments | 110.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | (10.3 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
58
MassMutual Select Small Cap Growth Equity Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Select Small Cap Growth Equity Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, the Russell 2000 Growth Index, and the Russell 2000 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Ten Year Average Annual 10/1/06 - 9/30/16 | |||||||||
Class R5 | 8.08% | 15.21% | 7.65% | |||||||||
Service Class | 7.94% | 15.05% | 7.51% | |||||||||
Administrative Class | 7.83% | 14.92% | 7.37% | |||||||||
Class A | 7.51% | 14.64% | 7.09% | |||||||||
Class A (sales load deducted)* | 1.33% | 13.29% | 6.46% | |||||||||
Class R3 | 7.40% | 14.36% | 6.81% | |||||||||
Russell 2000 Growth Index# | 12.12% | 16.15% | 8.29% | |||||||||
Russell 2000 Index | 15.47% | 15.82% | 7.07% |
Hypothetical Investments in MassMutual Select Small Cap Growth Equity Fund Class I, the Russell 2000 Growth Index, and the Russell 2000 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Since Inception Average Annual 11/15/10 - 9/30/16 | |||||||||
Class I | 8.09% | 15.31% | 11.12% | |||||||||
Russell 2000 Growth Index# | 12.12% | 16.15% | 12.14% | |||||||||
Russell 2000 Index | 15.47% | 15.82% | 11.42% |
Hypothetical Investments in MassMutual Select Small Cap Growth Equity Fund Class R4, the Russell 2000 Growth Index, and the Russell 2000 Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class R4 | 7.67% | 2.23% | ||||||
Russell 2000 Growth Index# | 12.12% | 4.41% | ||||||
Russell 2000 Index | 15.47% | 4.08% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
# 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 calling 1-888-309-3539.
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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
59
MassMutual Select Diversified International Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Select Diversified International Fund, and who is the Fund’s subadviser?
The Fund seeks growth of capital over the long-term by investing primarily in equity securities from developed countries included in the MSCI EAFE Value Index, which is the Fund’s benchmark. The Fund may invest up to 15% of its total assets in equity securities of issuers in emerging markets countries and typically does not invest in U.S. companies. The Fund may invest a substantial part of its asset in just one region or country. The Fund’s subadviser is J.P. Morgan Investment Management Inc. (J.P. Morgan).
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class I shares* returned 1.07%, underperforming the 3.52% return of the MSCI EAFE Value Index (the “benchmark”), a subset of the widely recognized, unmanaged MSCI EAFE Index representative of equity securities in developed markets around the world, excluding the U.S. and Canada, and constituents of the Index include securities from Europe, Australasia, and the Far East. The Index generally represents approximately 50% of the free float-adjusted market capitalization of the MSCI EAFE Index and consists of those securities classified by MSCI as most representing the value style. Securities classified as value style generally tend to have higher book value to price ratios, higher forward earnings to price ratios, higher dividend yields, and lower forecasted earnings growth rates than securities representing the growth style.
* Due to a large redemption in mid-2016, the daily Net Asset Value (NAV) for the R5 share class does not give an accurate reflection of the Fund’s full-year performance. Consequently, we are reporting the performance of Class I shares – which provides investors with a more accurate reflection of the Fund’s overall performance over the entire fiscal year.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
During the year ended September 30, 2016, stock selection in health care and real estate detracted from the Fund’s performance. Regionally, an overweight, relative to the benchmark, to the Pacific ex-Japan and stock selection in the U.K. also hurt the Fund’s performance. The health care sector struggled, as investors rotated away from defensive sectors into more economically sensitive names and U.S. election-year rhetoric continued to raise concerns about future drug pricing. Against this backdrop, Israeli drug maker Teva Pharmaceutical Industries was one Fund holding that underperformed. The company was weighed down by concerns that generic drug deflation might be accelerating, questions about recent acquisitions, and the loss of patent protection on Copaxone, its multiple sclerosis treatment.
Contributing to Fund performance during the period was an overweight to technology and stock selection in retail. Regionally, Fund holdings in the emerging markets and North America also contributed to performance. Elsewhere, German sports apparel and equipment manufacturer Adidas was one Fund holding that contributed to the Fund’s performance. In addition to reporting strong second-quarter results, the company raised its full-year earnings forecast several times in 2016.
J.P. Morgan uses currency forwards to help manage the Fund. The purpose of this strategy is not to attempt to add value, but rather to help reduce portfolio volatility relative to the benchmark arising from currency movements. This is designed to help ensure that the Fund’s performance is driven by stock selection, and not unduly influenced by currency movements. (Currency forwards are used to reduce the deviations in currency exposure, resulting from bottom-up stock selection decisions, with the respective currency weights in the benchmark.) These currency forwards had a marginally positive impact on the Fund’s performance during the reporting period.
Subadviser outlook
Going into the final quarter of 2016, our view is that macroeconomic data points continue to support the recovery thesis for the majority of developed world economies. Combined with continued accommodative monetary policy and reasonable earnings growth expectations for 2016 and 2017, we believe that this represents a supportive environment for equities. Our view is that this positive backdrop is not without its risks, however. The path of monetary policy remains a key issue and we believe that investors could be looking for a sense of when the Federal Reserve is likely to next raise interest rates. In our opinion, the situation is less certain in Europe and even more so in Japan, where investors are growing increasingly concerned that monetary policy may have reached its
60
MassMutual Select Diversified International Fund – Portfolio Manager Report (Unaudited) (Continued)
limit. Our belief is that political risks also remain elevated and investors will be monitoring the U.S. election particularly closely, along with the continuing uncertainty around Brexit, the U.K.’s vote to exit the European Union. We believe that renewed fiscal stimulus could benefit equity markets globally, with a direct effect on some cyclical sectors, and a more general effect through potentially higher economic growth and improved business and consumer confidence.
MassMutual Select Diversified International Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
Total SA | 3.4 | % | ||
Royal Dutch Shell PLC Class A | 3.2 | % | ||
Australia & New Zealand Banking Group Ltd. | 2.8 | % | ||
GlaxoSmithKline PLC | 2.6 | % | ||
Siemens AG | 2.5 | % | ||
Mitsubishi UFJ Financial Group, Inc. | 2.5 | % | ||
Vodafone Group PLC | 2.3 | % | ||
BNP Paribas | 2.2 | % | ||
Nippon Telegraph & Telephone Corp. | 2.0 | % | ||
AXA SA | 1.9 | % | ||
|
| |||
25.4 | % | |||
|
|
MassMutual Select Diversified International Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Financial | 31.1 | % | ||
Consumer, Cyclical | 15.7 | % | ||
Industrial | 11.7 | % | ||
Consumer, Non-cyclical | 10.8 | % | ||
Energy | 9.5 | % | ||
Communications | 5.7 | % | ||
Basic Materials | 4.9 | % | ||
Utilities | 3.9 | % | ||
Technology | 3.2 | % | ||
|
| |||
Total Long-Term Investments | 96.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.5 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
61
MassMutual Select Diversified International Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Select Diversified International Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), and the MSCI EAFE Value Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Since Inception Average Annual 12/14/06 - 9/30/16 | |||||||||
Class R5 | -21.26% | 0.21% | -4.82% | |||||||||
Service Class | 0.77% | 5.18% | -2.51% | |||||||||
Administrative Class | 0.76% | 5.03% | -2.62% | |||||||||
Class A | 0.63% | 4.87% | -2.82% | |||||||||
Class A (sales load deducted)* | -5.15% | 3.64% | -3.41% | |||||||||
MSCI EAFE Value Index | 3.52% | 5.99% | -0.50% |
Hypothetical Investments in MassMutual Select Diversified International Fund Class I, Class R4, Class R3, and the MSCI EAFE Value Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class I | 1.07% | -4.80% | ||||||
Class R4 | 0.53% | -5.23% | ||||||
Class R3 | 0.32% | -5.45% | ||||||
MSCI EAFE Value Index | 3.52% | -4.61% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
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 calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI EAFE 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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
62
MM MSCI EAFE® International Index Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MM MSCI EAFE International Index Fund, and who is the Fund’s subadviser?
The Fund seeks to provide investment results approximating (before fees and expenses) the aggregate price and dividend performance of the securities included in the MSCI EAFE 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 in the Index, in weightings that approximate the relative composition of the securities contained in the Index, and in Index futures contracts. The Fund’s subadviser is Northern Trust Investments, Inc. (NTI).
* The Fund is not sponsored, endorsed, sold, or promoted by MSCI Inc. (“MSCI”), any of its affiliates, any of its information providers, or any other third party involved in, or related to, compiling, computing, or creating any MSCI index (collectively, the “MSCI Parties”). The MSCI indexes are the exclusive property of MSCI. MSCI and the MSCI index names are service mark(s) of MSCI or its affiliates and have been licensed for use for certain purposes by MML Advisers. None of the MSCI Parties makes any representation or warranty, express or implied, to the issuer or owners of the Fund or any other person or entity regarding the advisability of investing in funds generally or in the Fund particularly or the ability of any MSCI index to track corresponding stock market performance.
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 6.11%, underperforming the 6.52% return of the Index, a widely recognized, unmanaged index representative of equity securities in developed markets around the world, excluding the U.S. and Canada.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, 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 does not reflect any deduction for fees or expenses and cannot be purchased directly by investors.
For the year ended September 30, 2016, materials and information technology were the top-performing sectors in the Index. At the other end of the spectrum, financials and health care were the worst performers. From a geographical perspective, New Zealand and Australia were the top-performing countries in the Index. Conversely, Italy and Israel were the worst performers.
Slow growth continued to be a concern for U.S. and international markets during the year, and this helped to drive a continuation of accommodative monetary policy across global central banks and further drops in global bond yields.
With periods of significant volatility, developed ex-U.S. equities outpaced global markets, as Brexit fears were put on hold and Japan took a more market-friendly approach to monetary policy, with less focus on its negative interest rate environment. (“Brexit” is the popular name given to the June 2016 referendum which saw voters approve the United Kingdom’s departure from the European Union.)
In the wake of the Brexit vote, the U.K. appointed Theresa May as the Prime Minister, while the Bank of England cut rates by 0.25% and extended its quantitative easing program. The Bank of Japan increased monetary stimulus at the margin. The 10-year German bund shifted to a positive yield after European Central Bank President Draghi stated he didn’t see the need for more stimulus. Finally, an OPEC announcement hinted that an oil production cut agreement would be implemented in November, sending energy prices higher.
Subadviser outlook
Although it is impossible to predict the direction that the equity markets will take as we move into 2017 – after its positive performance, overall, in the past year – numerous forces will influence the direction that the market takes moving forward. These include the outcome of the U.S. presidential election, Federal Reserve policy, unemployment and developments on the world stage – such as the state of the economy in China and any fallout from the Brexit vote. We believe, however, that the Fund continues to be well positioned to pursue returns that are consistent with those of the Index.
63
MM MSCI EAFE® International Index Fund – Portfolio Manager Report (Unaudited) (Continued)
MM MSCI EAFE International Index Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
Nestle SA | 2.0 | % | ||
Novartis AG | 1.4 | % | ||
Roche Holding AG | 1.4 | % | ||
Toyota Motor Corp. | 1.2 | % | ||
HSBC Holdings PLC | 1.2 | % | ||
British American Tobacco PLC | 0.9 | % | ||
BP PLC | 0.9 | % | ||
Royal Dutch Shell PLC Class A | 0.8 | % | ||
Total SA | 0.8 | % | ||
Anheuser-Busch InBev SA/NV | 0.8 | % | ||
|
| |||
11.4 | % | |||
|
|
MM MSCI EAFE International Index Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Consumer, Non-cyclical | 24.7 | % | ||
Financial | 22.9 | % | ||
Industrial | 13.1 | % | ||
Consumer, Cyclical | 12.3 | % | ||
Communications | 7.3 | % | ||
Basic Materials | 5.8 | % | ||
Energy | 4.7 | % | ||
Utilities | 3.5 | % | ||
Technology | 3.0 | % | ||
Diversified | 1.0 | % | ||
|
| |||
Total Long-Term Investments | 98.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.7 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
64
MM MSCI EAFE® International Index Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MM MSCI EAFE International Index Fund Class I, Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), and the MSCI EAFE Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 7/25/12 - 9/30/16 | ||||||
Class I | 6.35% | 8.40% | ||||||
Class R5 | 6.11% | 8.27% | ||||||
Service Class | 5.94% | 8.11% | ||||||
Administrative Class | 5.87% | 8.01% | ||||||
Class A | 5.63% | 7.73% | ||||||
Class A (sales load deducted)* | -0.44% | 6.22% | ||||||
MSCI EAFE Index | 6.52% | 8.32% |
Hypothetical Investments in MM MSCI EAFE International Index Fund Class R4, Class R3, and the MSCI EAFE Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class R4 | 5.76% | -2.33% | ||||||
Class R3 | 5.44% | -2.55% | ||||||
MSCI EAFE Index | 6.52% | -1.90% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
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 calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI EAFE 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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
65
MassMutual Select Overseas Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Select Overseas Fund, and who are the Fund’s subadvisers?
The Fund seeks growth of capital over the long-term by investing in foreign equity securities. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in stocks of foreign companies, including companies located in Europe, Latin America, and Asia. The Fund may invest up to 25% of its total assets in equity securities of issuers in emerging markets. The Fund’s subadvisers are Massachusetts Financial Services Company (MFS), which was responsible for approximately 52% of the Fund’s portfolio; Harris Associates L.P. (Harris), which oversaw approximately 26% of the Fund’s portfolio; and J.P. Morgan Investment Management Inc. (J.P. Morgan), which managed approximately 22% of the Fund’s portfolio as of September 30, 2016.
How did the Fund perform during the 12 months ended September 30, 2016?
The Fund’s Class R5 shares returned 4.15%, trailing the 6.52% return of the MSCI EAFE Index (the “benchmark”), a widely recognized, unmanaged index representative of equity securities in developed markets around the world, excluding the U.S. and Canada.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2016, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
During the year ended September 30, 2016, the MFS Fund component’s less-than-favorable stock selection in the health care, basic materials, and retailing sectors detracted from benchmark-relative performance. Within the health care sector, Fund component holding Valeant Pharmaceuticals, a Canadian pharmaceutical company that is not a benchmark constituent, and an overweight position, relative to the benchmark, in pharmaceutical company Bayer hurt relative returns. Within the retail sector, overweight positions in Swedish retailer Hennes & Mauritz and global sourcing and supply chain management company Li & Fung (Hong Kong) further held back relative returns. Conversely, strong stock selection in the technology sector lifted relative performance. There, Fund component holdings in contract semiconductor manufacturer Taiwan Semiconductor and Chinese online and mobile commerce company Alibaba Group (both of which are not represented in the benchmark), as well as overweight positions in German enterprise applications company SAP and Japanese optical glasses and eyeglasses maker HOYA, aided relative returns.
In the Harris component of the Fund, from a geographic perspective, holdings in Japan and Australia detracted most from relative performance. Italy and Mexico generated the largest negative absolute returns. With respect to sectors, financials detracted the most from relative performance, as both stock selection and an overweight position in the sector pressured results. Fund component holdings in the consumer discretionary sector were the next largest relative detractors. Turning to the positive, Fund component holdings in France produced the best relative performance for Harris, as four of eight underlying holdings within that country produced positive double-digit returns. From a sector perspective, the best relative results came from the materials sector. Fund component holdings in the technology sector also helped to fuel performance. At the end of September 2016, the Harris component of the Fund held hedges on the Australian dollar and Swiss franc, on the belief that these currencies had appreciated above the range of their intrinsic values (as measured by purchasing power parity and other economic fundamentals). Currency hedges ultimately hampered Harris’s performance, however.
The J.P. Morgan Fund component’s stock selection in health care and real estate detracted from performance. Regionally, an overweight to the Pacific ex-Japan region as well as stock selection in the U.K. hurt this Fund component’s full-year returns. The health care sector struggled, too, as investors rotated away from defensive sectors into more economically sensitive names and U.S. election-year rhetoric continued to raise concerns about future drug pricing. Contributing to this Fund component’s performance was an overweight to technology and stock selection in retail. Regionally, Fund component holdings in the emerging markets and North America also contributed. J.P. Morgan uses currency forwards to help manage the Fund. The purpose of this strategy is not to attempt to add value, but rather to help reduce portfolio volatility relative to the benchmark arising from currency movements. This is designed to help ensure that performance is driven by stock selection, and not unduly influenced by currency movements. (Currency forwards are used to reduce the deviations in currency exposure, resulting from bottom-up stock selection decisions, with the respective currency weights in the benchmark.) These currency forwards had a marginally positive impact on this Fund component’s performance during the reporting period.
66
MassMutual Select Overseas Fund – Portfolio Manager Report (Unaudited) (Continued)
Subadviser outlook
Looking ahead to the U.S. presidential election, MFS believes that markets favor divided government – meaning times when the White House is occupied by one of the two major parties and at least one house of Congress is controlled by the other party. Many feel that this helps to keep checks and balances in place, assuring that policy doesn’t veer too far toward either political extreme. At present, our view is that markets appear to be priced for such a scenario this fall. At the moment, we believe that the odds of a clean sweep in either direction are probably about the same as those of divided government, so we have positioned the MFS Fund component to be prepared for a potential surge in volatility later this year.
Harris believes that overall, the reporting period was marked by speculation surrounding central banks’ measures of stability in their respective economies, which influenced investors’ behavior and moved markets. In the U.S., the possibility that the Federal Reserve would raise interest rates and the outcome of the upcoming presidential election provoked market worries. Both the Bank of England and the European Central Bank left interest rates unchanged at their respective meetings in September. That same month, the Bank of Japan decided against decreasing interest rates further. Instead, Governor Kuroda introduced a new monetary initiative designed to control the bond yield curve in an effort to raise inflation. While most central banks opted to stand pat on interest rates, we remain prepared for any investment opportunities that are unearthed as a result of the impulsive tendencies of investors. As always, we plan to maintain our investment thesis regardless of the operating environment.
Going into the final quarter of 2016, J.P. Morgan’s view is that macroeconomic data points continue to support the recovery thesis for the majority of developed world economies. Combined with continued accommodative monetary policy and reasonable earnings growth expectations for 2016 and 2017, we believe that this represents a supportive environment for equities.
MassMutual Select Overseas Fund Largest Holdings (% of Net Assets) on 9/30/16 | ||||
Nestle SA | 2.1 | % | ||
Bayer AG | 1.9 | % | ||
WPP PLC | 1.8 | % | ||
Roche Holding AG | 1.7 | % | ||
Compass Group PLC | 1.6 | % | ||
Danone SA | 1.5 | % | ||
Pernod-Ricard SA | 1.5 | % | ||
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (Taiwan) | 1.5 | % | ||
BNP Paribas | 1.5 | % | ||
Schneider Electric SE | 1.4 | % | ||
|
| |||
16.5 | % | |||
|
|
MassMutual Select Overseas Fund Sector Table (% of Net Assets) on 9/30/16 | ||||
Financial | 22.4 | % | ||
Consumer, Non-cyclical | 22.5 | % | ||
Industrial | 14.8 | % | ||
Consumer, Cyclical | 14.9 | % | ||
Technology | 6.3 | % | ||
Basic Materials | 6.3 | % | ||
Communications | 6.1 | % | ||
Mutual Funds | 4.4 | % | ||
Energy | 3.3 | % | ||
Diversified | 1.8 | % | ||
Utilities | 1.4 | % | ||
|
| |||
Total Long-Term Investments | 104.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | (4.2 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
67
MassMutual Select Overseas Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Select Overseas Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the MSCI EAFE Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Ten Year Average Annual 10/1/06 - 9/30/16 | |||||||||
Class R5 | 4.15% | 7.81% | 2.73% | |||||||||
Service Class | 4.07% | 7.74% | 2.67% | |||||||||
Administrative Class | 3.93% | 7.67% | 2.60% | |||||||||
Class A | 3.73% | 7.42% | 2.35% | |||||||||
Class A (sales load deducted)* | -2.23% | 6.15% | 1.75% | |||||||||
Class R3 | 3.63% | 7.17% | 2.07% | |||||||||
MSCI EAFE Index | 6.52% | 7.39% | 1.82% |
Hypothetical Investments in MassMutual Select Overseas Fund Class I and the MSCI EAFE Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Five Year Average Annual 10/1/11 - 9/30/16 | Since Inception Average Annual 11/15/10 - 9/30/16 | |||||||||
Class I | 4.28% | 8.02% | 3.96% | |||||||||
MSCI EAFE Index | 6.52% | 7.39% | 3.67% |
Hypothetical Investments in MassMutual Select Overseas Fund Class R4 and the MSCI EAFE Index.
TOTAL RETURN | One Year 10/1/15 - 9/30/16 | Since Inception Average Annual 4/1/14 - 9/30/16 | ||||||
Class R4 | 3.79% | -3.01% | ||||||
MSCI EAFE Index | 6.52% | -1.90% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
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 calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI EAFE 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. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
68
September 30, 2016
Principal Amount | Value | |||||||
BONDS & NOTES — 94.7% | ||||||||
CORPORATE DEBT — 28.3% | ||||||||
Airlines — 0.9% | ||||||||
America West Airlines, Inc. | $ | 704,039 | $ | 795,564 | ||||
Continental Airlines, Inc. | 3,668,719 | 4,136,480 | ||||||
Continental Airlines, Inc. | 648,860 | 688,181 | ||||||
Continental Airlines, Inc. | 1,984,096 | 2,217,227 | ||||||
US Airways, Inc. | 1,304,853 | 1,556,037 | ||||||
|
| |||||||
9,393,489 | ||||||||
|
| |||||||
Auto Manufacturers — 0.3% | ||||||||
Ford Motor Credit Co. LLC | 700,000 | 707,397 | ||||||
General Motors Co. | 1,110,000 | 1,144,245 | ||||||
General Motors Financial Co., Inc. | 200,000 | 202,456 | ||||||
General Motors Financial Co., Inc. | 1,400,000 | 1,420,030 | ||||||
|
| |||||||
3,474,128 | ||||||||
|
| |||||||
Banks — 7.0% | ||||||||
Bank of America Corp. | 8,100,000 | 8,137,292 | ||||||
Bank of America Corp. | 7,100,000 | 7,531,446 | ||||||
Capital One NA | 2,025,000 | 2,049,644 | ||||||
CIT Group, Inc. | 1,406,000 | 1,465,755 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + .550%, FRN | 2,000,000 | 1,463,756 | ||||||
Citigroup, Inc. | 2,000,000 | 2,005,042 | ||||||
Credit Suisse AG 3 mo. USD LIBOR + .490%, FRN | 2,115,000 | 2,115,541 | ||||||
Discover Bank | 1,565,000 | 1,570,042 | ||||||
Discover Bank | 2,120,000 | 2,281,572 | ||||||
The Goldman Sachs Group, Inc. | 1,150,000 | 1,221,002 | ||||||
The Goldman Sachs Group, Inc. | 2,000,000 | 2,244,506 | ||||||
JP Morgan Chase & Co. | 6,900,000 | 7,686,607 |
Principal Amount | Value | |||||||
JP Morgan Chase Bank NA | $ | 11,700,000 | $ | 12,202,152 | ||||
Morgan Stanley | 9,000,000 | 9,476,496 | ||||||
Royal Bank of Scotland Group PLC | 1,750,000 | 1,934,118 | ||||||
Santander UK Group Holdings PLC | 2,000,000 | 2,015,170 | ||||||
UBS AG | 2,000,000 | 2,000,578 | ||||||
Wells Fargo & Co. | 3,010,000 | 2,999,688 | ||||||
Wells Fargo & Co. | 145,000 | 147,114 | ||||||
Wells Fargo Bank NA | 2,500,000 | 2,511,248 | ||||||
|
| |||||||
73,058,769 | ||||||||
|
| |||||||
Beverages — 0.5% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 3,249,000 | 3,489,426 | ||||||
DS Services of America, Inc. (a) | 1,400,000 | 1,561,000 | ||||||
|
| |||||||
5,050,426 | ||||||||
|
| |||||||
Biotechnology — 0.5% | ||||||||
Amgen, Inc. (a) | 1,500,000 | 1,603,195 | ||||||
Celgene Corp. | 676,000 | 722,785 | ||||||
Celgene Corp. | 160,000 | 168,653 | ||||||
Celgene Corp. | 500,000 | 562,959 | ||||||
Gilead Sciences, Inc. | 2,095,000 | 2,141,279 | ||||||
|
| |||||||
5,198,871 | ||||||||
|
| |||||||
Commercial Services — 0.1% | ||||||||
IHS Markit Ltd. (a) | 500,000 | 529,050 | ||||||
|
| |||||||
Computers — 0.2% | ||||||||
Apple, Inc. | 1,685,000 | 1,944,365 | ||||||
|
| |||||||
Diversified Financial — 4.3% | ||||||||
American Express Co. | 2,500,000 | 2,696,655 | ||||||
Federal Home Loan Banks STEP | 6,970,000 | 6,981,699 | ||||||
Federal Home Loan Mortgage Corp. | 20,300,000 | 20,434,142 | ||||||
Ford Motor Credit Co. LLC | 1,500,000 | 1,565,442 |
The accompanying notes are an integral part of the financial statements.
69
MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
GE Capital International Funding Co. Unlimited Co. | $ | 2,548,000 | $ | 2,859,786 | ||||
General Electric Capital Corp. | 1,146,000 | 1,217,475 | ||||||
General Electric Co. | 716,000 | 958,929 | ||||||
International Lease Finance Corp. (a) | 3,911,000 | 4,267,879 | ||||||
Macquarie Bank Ltd. (a) | 2,100,000 | 2,418,301 | ||||||
Morgan Stanley | 1,350,000 | 1,512,855 | ||||||
|
| |||||||
44,913,163 | ||||||||
|
| |||||||
Diversified Financial Services — 0.3% | ||||||||
Protective Life Global Funding 3 mo. USD LIBOR + .550%, FRN (a) | 2,000,000 | 2,004,096 | ||||||
Protective Life Global Funding (a) | 1,495,000 | 1,537,461 | ||||||
|
| |||||||
3,541,557 | ||||||||
|
| |||||||
Electric — 2.4% | ||||||||
Aep Texas Central Co. (a) | 2,000,000 | 2,160,722 | ||||||
Entergy Corp. | 1,300,000 | 1,308,159 | ||||||
Entergy Louisiana LLC | 1,250,000 | 1,350,380 | ||||||
FirstEnergy Transmission LLC (a) | 2,000,000 | 2,237,238 | ||||||
Indianapolis Power & Light Co. (a) | 2,000,000 | 2,274,898 | ||||||
IPALCO Enterprises, Inc. | 4,588,000 | 4,782,990 | ||||||
MidAmerican Energy Co. | 1,905,000 | 2,220,024 | ||||||
NextEra Energy Capital Holdings, Inc. | 4,000,000 | 4,021,704 | ||||||
Oncor Electric Delivery Co. LLC | 2,000,000 | 2,211,096 | ||||||
Public Service Electric & Gas Co. | 2,000,000 | 2,275,634 | ||||||
|
| |||||||
24,842,845 | ||||||||
|
| |||||||
Engineering & Construction — 0.1% | ||||||||
SBA Communications Corp. (a) | 728,000 | 733,460 | ||||||
|
| |||||||
Foods — 0.3% | ||||||||
Kraft Heinz Foods Co. | 1,000,000 | 1,058,026 | ||||||
Kraft Heinz Foods Co. | 1,750,000 | 2,069,596 | ||||||
|
| |||||||
3,127,622 | ||||||||
|
|
Principal Amount | Value | |||||||
Gas — 0.4% | ||||||||
Florida Gas Transmission Co. LLC (a) | $ | 800,000 | $ | 907,469 | ||||
KeySpan Gas East Corp. (a) | 2,837,000 | 3,662,079 | ||||||
|
| |||||||
4,569,548 | ||||||||
|
| |||||||
Health Care – Products — 0.0% | ||||||||
Hill-Rom Holdings, Inc. (a) | 400,000 | 426,920 | ||||||
|
| |||||||
Health Care – Services — 0.7% | ||||||||
Aetna, Inc. | 2,600,000 | 2,608,284 | ||||||
DaVita, Inc. | 1,400,000 | 1,405,250 | ||||||
HCA, Inc. | 2,000,000 | 2,215,000 | ||||||
Tenet Healthcare Corp. 3 mo. USD LIBOR + 3.500%, FRN | 1,365,000 | 1,371,961 | ||||||
|
| |||||||
7,600,495 | ||||||||
|
| |||||||
Insurance — 1.6% | ||||||||
Berkshire Hathaway, Inc. | 3,900,000 | 4,099,134 | ||||||
Farmers Exchange Capital II 3 mo. USD LIBOR + 3.744%, VRN (a) | 1,750,000 | 1,876,875 | ||||||
Farmers Exchange Capital III 3 mo. USD LIBOR + 3.454%, VRN (a) | 3,290,000 | 3,322,900 | ||||||
The Guardian Life Insurance Co. of America (a) | 3,000,000 | 3,149,844 | ||||||
Teachers Insurance & Annuity Association of America 3 mo. USD LIBOR + 2.661%, VRN (a) | 4,000,000 | 4,050,000 | ||||||
|
| |||||||
16,498,753 | ||||||||
|
| |||||||
Manufacturing — 0.1% | ||||||||
Siemens Financieringsmaatschappij NV (a) | 1,575,000 | 1,551,758 | ||||||
|
| |||||||
Media — 0.6% | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. (a) | 10,000 | 10,600 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital (a) | 3,945,000 | 4,351,552 | ||||||
CSC Holdings LLC (a) | 244,000 | 249,490 |
The accompanying notes are an integral part of the financial statements.
70
MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
CSC Holdings LLC | $ | 233,000 | $ | 260,086 | ||||
DISH DBS Corp. | 200,000 | 205,546 | ||||||
DISH DBS Corp. | 260,000 | 280,800 | ||||||
Neptune Finco Corp. (a) | 500,000 | 542,500 | ||||||
Nexstar Broadcasting, Inc. (a) | 500,000 | 516,250 | ||||||
|
| |||||||
6,416,824 | ||||||||
|
| |||||||
Oil & Gas — 0.4% | ||||||||
Anadarko Petroleum Corp. | 1,000,000 | 917,498 | ||||||
Canadian Natural Resources Ltd. | 1,600,000 | 1,606,489 | ||||||
Noble Energy, Inc. | 1,100,000 | 1,121,899 | ||||||
|
| |||||||
3,645,886 | ||||||||
|
| |||||||
Packaging & Containers — 0.0% | ||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 3 mo. USD LIBOR + 3.000%, FRN (a) | 450,000 | 456,210 | ||||||
|
| |||||||
Pharmaceuticals — 1.1% | ||||||||
AbbVie, Inc. | 2,000,000 | 2,006,570 | ||||||
AbbVie, Inc. | 1,985,000 | 2,137,408 | ||||||
Actavis Funding SCS | 2,630,000 | 2,783,471 | ||||||
Actavis Funding SCS | 600,000 | 656,054 | ||||||
AstraZeneca PLC | 1,200,000 | 1,281,564 | ||||||
Grifols Worldwide Operations Ltd. | 300,000 | 310,500 | ||||||
Quintiles Transnational Corp. (a) | 500,000 | 513,750 | ||||||
Valeant Pharmaceuticals International (a) | 650,000 | 560,625 | ||||||
Valeant Pharmaceuticals International, Inc. (a) | 400,000 | 342,000 | ||||||
Valeant Pharmaceuticals International, Inc. (a) | 450,000 | 387,563 | ||||||
|
| |||||||
10,979,505 | ||||||||
|
|
Principal Amount | Value | |||||||
Pipelines — 1.5% | ||||||||
Boardwalk Pipelines LP | $ | 5,000,000 | $ | 4,744,205 | ||||
Energy Transfer Partners LP | 2,790,000 | 2,745,781 | ||||||
Energy Transfer Partners LP | 750,000 | 757,553 | ||||||
EnLink Midstream Partners LP | 600,000 | 531,133 | ||||||
Rockies Express Pipeline LLC (a) | 1,760,000 | 1,852,400 | ||||||
Spectra Energy Partners LP | 1,610,000 | 1,613,257 | ||||||
Williams Partners LP | 2,000,000 | 2,034,740 | ||||||
Williams Partners LP | 1,000,000 | 975,622 | ||||||
|
| |||||||
15,254,691 | ||||||||
|
| |||||||
Real Estate — 0.8% | ||||||||
American Campus Communities, Inc. | 3,000,000 | 3,123,177 | ||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC (a) | 4,845,000 | 4,853,774 | ||||||
|
| |||||||
7,976,951 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 2.0% | ||||||||
Alexandria Real Estate Equities, Inc. | 2,000,000 | 2,175,746 | ||||||
Boston Properties LP | 3,495,000 | 3,641,210 | ||||||
DDR Corp. | 1,130,000 | 1,163,134 | ||||||
HCP, Inc. | 3,500,000 | 3,698,726 | ||||||
HCP, Inc. | 1,500,000 | 1,535,211 | ||||||
Highwoods Realty LP | 1,476,000 | 1,595,900 | ||||||
National Retail Properties, Inc. | 2,725,000 | 2,868,534 | ||||||
Welltower, Inc. | 1,300,000 | 1,365,190 | ||||||
Welltower, Inc. | 2,825,000 | 2,909,270 | ||||||
|
| |||||||
20,952,921 | ||||||||
|
| |||||||
Retail — 0.3% | ||||||||
CVS Health Corp. | 1,595,000 | 1,618,633 | ||||||
Walgreens Boots Alliance, Inc. | 1,500,000 | 1,547,171 | ||||||
|
| |||||||
3,165,804 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
71
MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Semiconductors — 0.1% | ||||||||
NXP BV/NXP Funding LLC (a) | $ | 500,000 | $ | 535,625 | ||||
|
| |||||||
Software — 0.7% | ||||||||
First Data Corp. (a) | 1,012,000 | 1,027,180 | ||||||
Microsoft Corp. | 600,000 | 608,961 | ||||||
Microsoft Corp. | 2,000,000 | 2,273,810 | ||||||
MSCI, Inc. (a) | 525,000 | 531,562 | ||||||
Oracle Corp. | 2,140,000 | 2,157,163 | ||||||
SS&C Technologies Holdings, Inc. | 300,000 | 315,750 | ||||||
|
| |||||||
6,914,426 | ||||||||
|
| |||||||
Telecommunications — 1.1% | ||||||||
Altice US Finance I Corp. (a) | 1,000,000 | 1,033,750 | ||||||
AT&T, Inc. | 2,900,000 | 3,034,719 | ||||||
AT&T, Inc. | 1,500,000 | 1,574,582 | ||||||
Sprint Communications, Inc. (a) | 1,000,000 | 1,103,750 | ||||||
T-Mobile USA, Inc. | 1,500,000 | 1,575,000 | ||||||
Verizon Communications, Inc. | 2,665,000 | 2,984,968 | ||||||
|
| |||||||
11,306,769 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $286,303,640) | 294,060,831 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 1.5% | ||||||||
City of New York NY | 1,750,000 | 2,466,345 | ||||||
New York City Municipal Water Finance Authority BAB | 10,000,000 | 11,496,300 | ||||||
New York State Dormitory Authority | 600,000 | 732,102 | ||||||
State of California | 700,000 | 836,647 | ||||||
|
| |||||||
15,531,394 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $13,812,701) | 15,531,394 | |||||||
|
|
Principal Amount | Value | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 16.2% | ||||||||
Automobile ABS — 0.2% | ||||||||
Nissan Auto Receivables Owner Trust, Series 2015-C, Class A2A | $ | 2,624,005 | $ | 2,621,761 | ||||
|
| |||||||
Commercial MBS — 2.0% | ||||||||
Banc of America Large Loan, Inc., Series 2009-UB2, Class A4AA, VRN (a) | 4,427,646 | 4,459,033 | ||||||
CD Mortgage Trust, Series 2006-CD3, Class A5 | 33,990 | 33,963 | ||||||
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class A (a) | 1,310,000 | 1,385,519 | ||||||
COMM Mortgage Trust, Series 2016-787S, Class A (a) | 1,280,000 | 1,377,881 | ||||||
COMM Mortgage Trust, Series 2014-277P, Class A, VRN (a) | 1,340,000 | 1,453,200 | ||||||
COMM Mortgage Trust, Series 2013-300P, Class A1 (a) | 1,240,000 | 1,391,510 | ||||||
Fannie Mae-Aces, Series 2014-M6, Class FA, 1 mo. LIBOR + | 1,633,790 | 1,632,493 | ||||||
Liberty Street Trust, Series 2016-225L, Class A (a) | 1,280,000 | 1,382,285 | ||||||
RBS Commercial Funding, Inc. Trust, Series 2013-GSP, Class A, VRN (a) | 1,320,000 | 1,446,270 | ||||||
Trust Company of The West, Series TCW-1063 | 2,065,000 | 2,101,783 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3, VRN | 3,700,000 | 3,759,921 | ||||||
|
| |||||||
20,423,858 | ||||||||
|
| |||||||
Credit Card ABS — 0.5% | ||||||||
Chase Issuance Trust, Series 2012-A10, Class A10, 1 mo. LIBOR + .260%, FRN | 2,655,000 | 2,657,912 | ||||||
Citibank Credit Card Issuance Trust, Series 2008-A2, Class A2, 1 mo. LIBOR + 1.150%, FRN | 2,660,000 | 2,694,578 | ||||||
|
| |||||||
5,352,490 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
72
MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Home Equity ABS — 1.7% | ||||||||
Accredited Mortgage Loan Trust, Series 2006-1, Class A3, 1 mo. USD LIBOR + .180%, FRN | $ | 976,265 | $ | 972,350 | ||||
Bear Stearns Asset-Backed Securities Trust, Series 2007-HE4, Class 1A2, 1 mo. USD LIBOR + .190%, FRN | 1,412,013 | 1,375,006 | ||||||
Carrington Mortgage Loan Trust, Series 2006-RFC1, Class A3, 1 mo. USD LIBOR + .150%, FRN | 1,369,038 | 1,334,934 | ||||||
Countrywide Asset-Backed Certificates, Series 2006-22, Class 2A3, 1 mo. USD LIBOR + .160%, FRN | 484,567 | 463,638 | ||||||
Countrywide Asset-Backed Certificates, Series 2005-14, Class 3A3, 1 mo. USD LIBOR + .350%, FRN | 485,081 | 483,858 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class M1, 1 mo. USD LIBOR + .855%, FRN | 1,415,813 | 1,355,767 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF9, Class A4, 1 mo. USD LIBOR + .360%, FRN | 1,734,416 | 1,600,024 | ||||||
Home Equity Asset Trust, Series 2003-4, Class M1, 1 mo. USD LIBOR + 1.200%, FRN | 4,907,037 | 4,499,164 | ||||||
Lehman XS Trust, Series 2005-4, Class 1A3, 1 mo. USD LIBOR + .800%, FRN | 1,011,056 | 905,371 | ||||||
Residential Asset Securities Corp., Series 2005-KS11, Class M1, 1 mo. USD LIBOR + .400%, FRN | 4,600,000 | 4,521,172 | ||||||
|
| |||||||
17,511,284 | ||||||||
|
| |||||||
Other ABS — 2.0% | ||||||||
Dryden Senior Loan Fund, Series 2015-37A, Class A, 3 mo. USD LIBOR + 1.500%, FRN (a) | 3,650,000 | 3,656,888 | ||||||
Magnetite CLO Ltd., Series 2015-12A, Class A, 3 mo. USD LIBOR + 1.500%, FRN (a) | 3,630,000 | 3,630,610 |
Principal Amount | Value | |||||||
Morgan Stanley Capital I, Inc. Trust, Series 2006-NC2, Class A2D, 1 mo. USD LIBOR + ..290%, FRN | $ | 6,868,932 | $ | 6,063,395 | ||||
Structured Asset Investment Loan Trust, Series 2005-8, Class A4, 1 mo. USD LIBOR + .360%, FRN | 4,356,110 | 4,309,047 | ||||||
Wells Fargo Home Equity Trust, Series 2006-1, Class A4, 1 mo. USD LIBOR + .230%, FRN | 2,911,434 | 2,911,374 | ||||||
|
| |||||||
20,571,314 | ||||||||
|
| |||||||
Student Loans ABS — 6.3% | ||||||||
Access Group, Inc., Series 2015-1, Class A, 1 mo. USD LIBOR + .700%, FRN (a) | 4,400,938 | 4,303,958 | ||||||
Education Loan Asset-Backed Trust I, Series 2013-1, Class A2, 1 mo. USD LIBOR + .800%, FRN (a) | 4,100,000 | 3,917,093 | ||||||
Goal Capital Funding Trust, Series 2005-2, Class A3, 3 mo. USD LIBOR + .170%, FRN | 4,391,799 | 4,330,526 | ||||||
Navient Student Loan Trust, Series 2014-8, Class A3, 1 mo. USD LIBOR + .600%, FRN | 7,680,000 | 7,350,718 | ||||||
Nelnet Student Loan Trust, Series 2015-2A, Class A2, 1 mo. USD LIBOR + .600%, FRN (a) | 6,009,113 | 5,876,077 | ||||||
SLC Student Loan Trust, Series 2006-1, Class A6, 3 mo. USD LIBOR + .160%, FRN | 7,380,000 | 6,441,754 | ||||||
SLC Student Loan Trust, Series 2006-2, Class A6, 3 mo. USD LIBOR + .160%, FRN | 7,720,000 | 6,762,018 | ||||||
SLM Student Loan Trust, Series 2012-7, Class A2, 1 mo. USD LIBOR + .280%, FRN | 2,865,100 | 2,857,419 | ||||||
SLM Student Loan Trust, Series 2005-9, Class B, 3 mo. USD LIBOR + .300%, FRN | 3,340,847 | 2,843,051 |
The accompanying notes are an integral part of the financial statements.
73
MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SLM Student Loan Trust, Series 2012-2, Class A, 1 mo. USD LIBOR + .700%, FRN | $ | 4,287,724 | $ | 4,135,303 | ||||
SLM Student Loan Trust, Series 2008-9, Class A, 3 mo. USD LIBOR + 1.500%, FRN | 2,271,111 | 2,276,099 | ||||||
SLM Student Loan Trust, Series 2008-5, Class A4, 3 mo. USD LIBOR + 1.700%, FRN | 3,983,517 | 3,993,503 | ||||||
SLM Student Loan Trust, Series 2008-5, Class B, 3 mo. USD LIBOR + 1.850%, FRN | 3,735,000 | 3,466,680 | ||||||
SLM Student Loan Trust, Series 2008-9, Class B, 3 mo. USD LIBOR + 2.250%, FRN | 3,630,000 | 3,506,077 | ||||||
Wachovia Student Loan Trust, Series 2006-1, Class A6, 3 mo. USD LIBOR + .170%, FRN (a) | 3,300,000 | 2,892,244 | ||||||
|
| |||||||
64,952,520 | ||||||||
|
| |||||||
WL Collateral CMO — 3.5% | ||||||||
Bear Stearns ALT-A Trust, Series 2005-4, Class 25A1, VRN | 3,639,815 | 3,323,849 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR2, Class 1A2, VRN | 23,358 | 22,900 | ||||||
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1, FRN | 6,126,552 | 5,457,062 | ||||||
Indymac Index Mortgage Loan Trust, Series 2007-FLX1, Class A2, 1 mo. LIBOR + .180%, FRN | 3,700,217 | 3,645,436 | ||||||
JP Morgan Mortgage Trust, Series 2005-A5, Class 1A2, FRN | 1,856,905 | 1,822,650 | ||||||
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A1, VRN | 2,464,012 | 2,330,417 | ||||||
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 3A, 12 mo. MTA + .750%, FRN (a) | 5,569,373 | 5,351,110 |
Principal Amount | Value | |||||||
RALI Trust, Series 2006-QA7, Class 2A1, 1 mo. USD LIBOR + .185%, FRN | $ | 1,616,753 | $ | 1,376,310 | ||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A1A, 1 mo. USD LIBOR + .310%, FRN | 2,580,705 | 2,418,307 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-7, Class 4CB | 5,193,119 | 3,482,473 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class IIA1, VRN | 1,061,725 | 1,079,980 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-2, Class 1A1 | 1,818,919 | 1,814,055 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-AR3, Class A4, VRN | 4,453,980 | 4,093,199 | ||||||
|
| |||||||
36,217,748 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $168,213,929) | 167,650,975 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 31.3% | ||||||||
Collateralized Mortgage Obligations — 1.5% | ||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | 3,983,606 | 3,980,073 | ||||||
Series KJ05, Class A1 | 4,735,684 | 4,744,591 | ||||||
Series K040, Class A2 | 3,345,000 | 3,656,956 | ||||||
Series K151, Class A3 | 2,870,000 | 3,192,613 | ||||||
|
| |||||||
15,574,233 | ||||||||
|
| |||||||
Pass-Through Securities — 29.8% | ||||||||
Federal Home Loan Mortgage Corp. Pool #G18596 3.000% | 1,259,573 | 1,325,110 |
The accompanying notes are an integral part of the financial statements.
74
MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #G08715 3.000% | $ | 5,543,678 | $ | 5,764,992 | ||||
Pool #G08721 3.000% | 747,851 | 777,707 | ||||||
Pool #G08726 3.000% | 9,975,000 | 10,373,221 | ||||||
Pool #G07848 3.500% | 11,696,637 | 12,562,461 | ||||||
Pool #G07924 3.500% | 11,680,683 | 12,470,497 | ||||||
Pool #G60138 3.500% | 7,452,995 | 7,998,868 | ||||||
Pool #G60238 3.500% | 12,347,604 | 13,186,372 | ||||||
Pool #G08681 3.500% | 7,203,260 | 7,599,158 | ||||||
Pool #G08687 3.500% | 3,083,713 | 3,253,920 | ||||||
Pool #G08698 3.500% | 10,000,071 | 10,552,028 | ||||||
Pool #G08702 3.500% | 4,026,504 | 4,251,894 | ||||||
Pool #G08711 3.500% | 5,898,550 | 6,242,555 | ||||||
Pool #G08716 3.500% | 8,249,791 | 8,730,922 | ||||||
Pool #G08688 4.000% | 5,643,700 | 6,056,395 | ||||||
Federal Home Loan Mortgage Corp. TBA, Pool #3375 3.000% | 7,525,000 | 7,820,709 | ||||||
Federal National Mortgage Association | 2,200,000 | 2,268,081 | ||||||
Pool #AN2275 2.680% | 2,940,000 | 3,029,198 | ||||||
Pool #AN1609 2.950% | 2,303,584 | 2,413,609 | ||||||
Pool #MA1607 3.000% | 5,999,147 | 6,307,541 | ||||||
Pool #AN1282 3.010% | 820,000 | 869,317 | ||||||
Pool #AM9343 3.380% | 1,905,000 | 2,048,132 | ||||||
Pool #466386 3.430% | 2,941,742 | 3,132,990 | ||||||
Pool #AN0877 3.500% | 986,693 | 1,074,266 | ||||||
Pool #AB4262 3.500% | 5,204,647 | 5,556,978 | ||||||
Pool #MA1148 3.500% | 10,838,414 | 11,551,802 |
Principal Amount | Value | |||||||
Pool #466216 3.540% | $ | 2,500,000 | $ | 2,676,787 | ||||
Pool #AM4407 3.650% | 1,940,869 | 2,137,154 | ||||||
Pool #468518 3.930% | 1,765,982 | 1,928,509 | ||||||
Pool #FN0003 4.283% | 2,740,625 | 3,010,613 | ||||||
Pool #468066 4.295% | 4,168,770 | 4,609,001 | ||||||
Pool #AL9109 4.500% | 440,000 | 485,684 | ||||||
Pool #AL9108 4.500% | 410,000 | 452,441 | ||||||
Pool #AL9106 4.500% | 1,580,000 | 1,732,692 | ||||||
Pool #AL9107 4.500% | 2,350,000 | 2,580,043 | ||||||
Pool #AL9110 4.500% | 2,910,000 | 3,191,224 | ||||||
Pool #AL9111 4.500% | 4,825,000 | 5,295,814 | ||||||
Pool #AL9105 4.500% | 3,100,000 | 3,402,734 | ||||||
Pool #467731 4.620% | 2,074,970 | 2,314,834 | ||||||
Federal National Mortgage Association TBA | 21,720,000 | 22,495,471 | ||||||
Pool #7180 3.000% | 6,645,000 | 6,976,212 | ||||||
Pool #9768 3.000% | 32,865,000 | 34,164,193 | ||||||
Pool #18388 4.000% | 11,480,000 | 12,328,443 | ||||||
Pool #21133 4.500% | 605,000 | 662,570 | ||||||
Government National Mortgage Association II | 7,062,678 | 7,403,121 | ||||||
Pool #MA3936 3.000% | 7,905,000 | 8,286,046 | ||||||
Pool #MA3521 3.500% | 5,287,929 | 5,619,458 | ||||||
Pool #MA3597 3.500% | 5,380,998 | 5,720,463 | ||||||
Pool #MA3663 3.500% | 3,730,265 | 3,967,050 |
The accompanying notes are an integral part of the financial statements.
75
MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Government National Mortgage Association II TBA, Pool #548 3.000% | $ | 9,685,000 | $ | 10,147,308 | ||||
|
| |||||||
308,806,588 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $321,309,149) | 324,380,821 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 17.4% | ||||||||
U.S. Treasury Bonds & Notes — 17.4% | ||||||||
U.S. Treasury Bond | 33,215,000 | 32,712,623 | ||||||
U.S. Treasury Inflation Index | 14,045,247 | 14,505,089 | ||||||
U.S. Treasury Inflation Index | 11,318,539 | 11,666,437 | ||||||
U.S. Treasury Inflation Index | 4,052,994 | 4,807,674 | ||||||
U.S. Treasury Note | 13,580,000 | 13,588,646 | ||||||
U.S. Treasury Note | 12,890,000 | 12,876,003 | ||||||
U.S. Treasury Note | 29,450,000 | 29,409,966 | ||||||
U.S. Treasury Note | 38,185,000 | 38,150,397 | ||||||
U.S. Treasury Note | 23,030,000 | 22,828,487 | ||||||
|
| |||||||
180,545,322 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $178,614,519) | 180,545,322 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $968,253,938) | 982,169,343 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $968,253,938) | 982,169,343 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 13.5% | ||||||||
Repurchase Agreement — 0.3% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (c) | 3,203,635 | 3,203,635 | ||||||
|
| |||||||
Sovereign Debt Obligations — 3.0% | ||||||||
Japan Treasury Discount Bill JPY (d) | 890,000,000 | 8,780,804 |
Principal Amount | Value | |||||||
Japan Treasury Discount Bill JPY (d) | 2,300,000,000 | $ | 22,671,347 | |||||
|
| |||||||
31,452,151 | ||||||||
|
| |||||||
Time Deposit — 0.1% | ||||||||
Euro Time Deposit | $ | 533,087 | 533,087 | |||||
|
| |||||||
U.S. Treasury Bill — 10.1% | ||||||||
U.S. Treasury Bill | 14,715,000 | 14,711,777 | ||||||
U.S. Treasury Bill | 590,000 | 589,803 | ||||||
U.S. Treasury Bill | 8,330,000 | 8,324,069 | ||||||
U.S. Treasury Bill | 43,100,000 | 43,068,451 | ||||||
U.S. Treasury Bill | 37,970,000 | 37,917,032 | ||||||
|
| |||||||
104,611,132 | ||||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $139,788,110) | 139,800,005 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 108.2% (Cost $1,108,042,048) (f) | 1,121,969,348 | |||||||
Other Assets/(Liabilities) — (8.2)% | (84,582,926 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,037,386,422 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ABS | Asset-Backed Security |
BAB | Build America Bonds |
CLO | Collateralized Loan Obligation |
WL | Whole Loan |
CMO | Collateralized Mortgage Obligation |
FRN | Floating Rate Note |
JPY | Japanese Yen |
MBS | Mortgage-Backed Security |
MTA | Monthly Treasury Average Index |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
(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 September 30, 2016, these securities amounted to a value of $101,667,404 or 9.80% of net assets. |
(b) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(c) | Maturity value of $3,203,638. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $3,271,872. |
(d) | The principal amount of the security is in foreign currency. The market value is in U.S. dollars. |
(e) | A portion of this security is 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.
76
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 0.0% | ||||||||
PREFERRED STOCK — 0.0% | ||||||||
Financial — 0.0% | ||||||||
Diversified Financial — 0.0% | ||||||||
Citigroup Capital XIII, 3 mo. USD LIBOR + 6.370%, VRN 7.122% | 6,050 | $ | 159,357 | |||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $162,660) | 159,357 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $162,660) | 159,357 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 97.2% | ||||||||
BANK LOANS — 3.4% | ||||||||
Airlines — 0.1% | ||||||||
American Airlines, Inc., New Term Loan | $ | 485,109 | 485,658 | |||||
|
| |||||||
Beverages — 0.1% | ||||||||
Keurig Green Mountain, Inc., USD Term Loan B | 198,303 | 200,576 | ||||||
|
| |||||||
Building Materials — 0.1% | ||||||||
ABC Supply Co., Inc., Term Loan | 327,475 | 328,172 | ||||||
|
| |||||||
Coal — 0.1% | ||||||||
Murray Energy Corp., Term Loan B2 | 205,775 | 174,330 | ||||||
|
| |||||||
Commercial Services — 0.1% | ||||||||
Brickman Group Ltd. LLC, 1st Lien Term Loan | 128,030 | 127,710 | ||||||
Jaguar Holding Co. II, 2015 Term Loan B | 89,773 | 90,045 | ||||||
ServiceMaster Co., 2014 Term Loan B | 19,949 | 20,124 | ||||||
|
| |||||||
237,879 | ||||||||
|
| |||||||
Diversified Financial Services — 0.1% | ||||||||
Ziggo Financing Partnership, USD Term Loan B1 | 107,238 | 107,123 | ||||||
Ziggo Financing Partnership, USD Term Loan B2A | 63,553 | 63,485 | ||||||
Ziggo Financing Partnership, USD Term Loan B3 | 19,748 | 19,727 | ||||||
|
| |||||||
190,335 | ||||||||
|
|
Principal Amount | Value | |||||||
Electric — 0.3% | ||||||||
Energy Future Intermediate Holding Co. LLC, DIP Term Loan | $ | 1,060,000 | $ | 1,067,420 | ||||
|
| |||||||
Health Care – Services — 0.2% | ||||||||
MPH Acquisition Holdings LLC, 2016 | 306,167 | 309,851 | ||||||
Select Medical Corp., Series F | 278,600 | 280,341 | ||||||
|
| |||||||
590,192 | ||||||||
|
| |||||||
Investment Companies — 0.0% | ||||||||
RPI Finance Trust, Term Loan B4 | 99,746 | 100,066 | ||||||
|
| |||||||
Leisure Time — 0.0% | ||||||||
Aristocrat Technologies, Inc., 2016 | 37,383 | 37,490 | ||||||
|
| |||||||
Lodging — 0.1% | ||||||||
Boyd Gaming Corp., Term Loan B2 | 160,000 | 161,120 | ||||||
Hilton Worldwide Finance LLC, | 179,550 | 180,532 | ||||||
|
| |||||||
341,652 | ||||||||
|
| |||||||
Machinery – Diversified — 0.0% | ||||||||
Gardner Denver, Inc., USD Term Loan | 135,800 | 131,387 | ||||||
|
| |||||||
Media — 0.4% | ||||||||
Charter Communications Operating LLC, 2016 Term Loan I | 319,198 | 321,104 | ||||||
CSC Holdings LLC, 2015 Term Loan B | 100,000 | 100,104 | ||||||
Univision Communications, Inc., | 344,441 | 344,944 | ||||||
Univision Communications, Inc., | 423,222 | 423,950 | ||||||
|
| |||||||
1,190,102 | ||||||||
|
| |||||||
Packaging & Containers — 0.1% | ||||||||
Berry Plastics Holding Corp., | 300,244 | 301,079 | ||||||
Reynolds Group Holdings, Inc., 2016 USD Term Loan | 20,000 | 20,056 | ||||||
|
| |||||||
321,135 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
77
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pharmaceuticals — 0.2% | ||||||||
DPx Holdings B.V., 2014 USD Incremental Term Loan | $ | 354,559 | $ | 353,967 | ||||
Valeant Pharmaceuticals International, Inc., Term Loan B F1 | 255,955 | 256,621 | ||||||
|
| |||||||
610,588 | ||||||||
|
| |||||||
Retail — 0.7% | ||||||||
1011778 B.C. Unlimited Liability Co., | 380,937 | 383,436 | ||||||
Academy, Ltd., 2015 Term Loan B | 307,793 | 300,406 | ||||||
Albertsons LLC, 2016 Term Loan B4 | 239,400 | 241,140 | ||||||
Albertsons LLC, 2016 Term Loan B6 | 80,000 | 80,764 | ||||||
Dollar Tree, Inc., Term Loan B3 | 105,867 | 106,529 | ||||||
Michaels Stores, Inc., Term Loan B | 325,775 | 326,537 | ||||||
The Neiman Marcus Group, Inc., 2020 | 325,823 | 299,350 | ||||||
Petco Animal Supplies, Inc., 2016 | 320,000 | 323,155 | ||||||
PetSmart, Inc., Term Loan B1 | 385,125 | 385,568 | ||||||
|
| |||||||
2,446,885 | ||||||||
|
| |||||||
Software — 0.2% | ||||||||
First Data Corp., Extended 2021 Term Loan | 92,581 | 93,224 | ||||||
Kronos, Inc., Initial Incremental Term Loan | 479,631 | 480,657 | ||||||
|
| |||||||
573,881 | ||||||||
|
| |||||||
Specialty Stores — 0.1% | ||||||||
Party City Holdings, Inc., 2015 | 388,078 | 389,188 | ||||||
|
| |||||||
Telecommunications — 0.4% | ||||||||
T-Mobile USA, Inc., Term Loan B | 99,250 | 100,008 | ||||||
Telesat Canada, USD Term Loan B2 | 725,564 | 725,492 |
Principal Amount | Value | |||||||
Virgin Media Investment Holdings Ltd., USD Term Loan F | $ | 389,328 | $ | 390,878 | ||||
|
| |||||||
1,216,378 | ||||||||
|
| |||||||
Transportation — 0.1% | ||||||||
Air Medical Group Holdings, Inc., | 158,000 | 156,371 | ||||||
XPO Logistics, Inc., Term Loan B2 | 319,200 | 320,863 | ||||||
|
| |||||||
477,234 | ||||||||
|
| |||||||
TOTAL BANK LOANS (Cost $11,141,764) | 11,110,548 | |||||||
|
| |||||||
CORPORATE DEBT — 26.4% | ||||||||
Advertising — 0.0% | ||||||||
WPP Finance 2010 | 60,000 | 66,928 | ||||||
|
| |||||||
Aerospace & Defense — 0.3% | ||||||||
The Boeing Co. | 10,000 | 11,206 | ||||||
The Boeing Co. | 130,000 | 144,639 | ||||||
Harris Corp. | 80,000 | 91,621 | ||||||
Lockheed Martin Corp. | 350,000 | 378,206 | ||||||
Lockheed Martin Corp. | 60,000 | 68,277 | ||||||
Raytheon Co. | 120,000 | 127,290 | ||||||
United Technologies Corp. | 100,000 | 115,822 | ||||||
|
| |||||||
937,061 | ||||||||
|
| |||||||
Agriculture — 0.7% | ||||||||
Altria Group, Inc. | 210,000 | 219,270 | ||||||
Altria Group, Inc. | 290,000 | 327,804 | ||||||
Altria Group, Inc. | 110,000 | 138,493 | ||||||
Altria Group, Inc. | 180,000 | 218,668 | ||||||
Philip Morris International, Inc. | 80,000 | 82,169 | ||||||
Philip Morris International, Inc. | 240,000 | 251,885 | ||||||
Philip Morris International, Inc. | 80,000 | 90,273 | ||||||
Reynolds American, Inc. | 65,000 | 68,384 |
The accompanying notes are an integral part of the financial statements.
78
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Reynolds American, Inc. | $ | 620,000 | $ | 806,067 | ||||
Reynolds American, Inc. | 10,000 | 11,713 | ||||||
|
| |||||||
2,214,726 | ||||||||
|
| |||||||
Airlines — 0.1% | ||||||||
Delta Air Lines, Inc., Series 2007-1 Class A | 184,591 | 218,278 | ||||||
United Air Lines, Inc. | 49,110 | 50,249 | ||||||
|
| |||||||
268,527 | ||||||||
|
| |||||||
Auto Manufacturers — 0.5% | ||||||||
Fiat Chrysler Automobiles NV | 200,000 | 205,500 | ||||||
Ford Motor Co. | 180,000 | 186,480 | ||||||
Ford Motor Credit Co. LLC | 360,000 | 369,584 | ||||||
Ford Motor Credit Co. LLC | 420,000 | 496,020 | ||||||
General Motors Co. | 300,000 | 354,072 | ||||||
General Motors Financial Co., Inc. | 20,000 | 20,354 | ||||||
General Motors Financial Co., Inc. | 30,000 | 30,429 | ||||||
General Motors Financial Co., Inc. | 10,000 | 10,386 | ||||||
General Motors Financial Co., Inc. | 80,000 | 85,444 | ||||||
|
| |||||||
1,758,269 | ||||||||
|
| |||||||
Automotive & Parts — 0.1% | ||||||||
American Axle & Manufacturing Inc, Series A | 210,000 | 222,075 | ||||||
The Goodyear Tire & Rubber Co. | 110,000 | 113,162 | ||||||
The Goodyear Tire & Rubber Co. | 100,000 | 104,250 | ||||||
|
| |||||||
439,487 | ||||||||
|
| |||||||
Banks — 6.2% | ||||||||
Bank of America Corp. | 90,000 | 93,165 | ||||||
Bank of America Corp. | 290,000 | 301,371 | ||||||
Bank of America Corp. | 250,000 | 267,079 | ||||||
Bank of America Corp. | 270,000 | 290,955 |
Principal Amount | Value | |||||||
Bank of America Corp. | $ | 270,000 | $ | 279,824 | ||||
Bank of America Corp. | 290,000 | 314,504 | ||||||
Bank of America Corp. | 380,000 | 402,399 | ||||||
Bank of America Corp. | 220,000 | 254,964 | ||||||
Bank of America Corp. | 220,000 | 245,936 | ||||||
Bank of America Corp. | 420,000 | 494,442 | ||||||
Bank of America Corp. | 210,000 | 235,737 | ||||||
Bank of America Corp. | 90,000 | 95,469 | ||||||
Bank of America Corp. | 30,000 | 31,432 | ||||||
Bank of America Corp. 3 mo. USD LIBOR + 3.705%, VRN | 200,000 | 208,270 | ||||||
Bank of America Corp. | 40,000 | 45,904 | ||||||
Barclays Bank PLC (a) | 130,000 | 135,936 | ||||||
BNP Paribas SA | 130,000 | 131,006 | ||||||
BNP Paribas SA (a) | 200,000 | 204,808 | ||||||
CIT Group Inc | 180,000 | 191,250 | ||||||
CIT Group, Inc. | 130,000 | 137,638 | ||||||
Citigroup, Inc. | 1,070,000 | 1,122,204 | ||||||
Citigroup, Inc. | 340,000 | 359,989 | ||||||
Citigroup, Inc. | 540,000 | 565,095 | ||||||
Citigroup, Inc. | 630,000 | 711,044 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + 3.905%, VRN | 500,000 | 510,050 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + 3.423%, VRN | 150,000 | 154,125 | ||||||
Citigroup, Inc. | 20,000 | 24,750 | ||||||
Commonwealth Bank of Australia (a) | 70,000 | 76,667 | ||||||
Cooperatieve Rabobank UA | 280,000 | 295,477 |
The accompanying notes are an integral part of the financial statements.
79
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Cooperatieve Rabobank UA | $ | 250,000 | $ | 269,976 | ||||
Cooperatieve Rabobank UA | 295,000 | 336,583 | ||||||
Cooperatieve Rabobank UA 3 mo. USD LIBOR + 10.868%, VRN (a) | 210,000 | 254,362 | ||||||
Credit Agricole SA 3 mo. USD LIBOR + 6.982%, VRN (a) | 480,000 | 541,594 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | 260,000 | 274,628 | ||||||
The Goldman Sachs Group, Inc. | 70,000 | 70,774 | ||||||
The Goldman Sachs Group, Inc. | 90,000 | 95,557 | ||||||
The Goldman Sachs Group, Inc. | 190,000 | 199,955 | ||||||
The Goldman Sachs Group, Inc. | 180,000 | 202,006 | ||||||
The Goldman Sachs Group, Inc. | 430,000 | 468,921 | ||||||
HSBC Holdings PLC | 490,000 | 506,788 | ||||||
HSBC Holdings PLC | 370,000 | 383,329 | ||||||
HSBC Holdings PLC | 330,000 | 338,785 | ||||||
HSBC Holdings PLC | 300,000 | 384,276 | ||||||
ING Bank NV (a) | 210,000 | 234,735 | ||||||
Intesa Sanpaolo SpA (a) | 450,000 | 410,655 | ||||||
JP Morgan Chase & Co. | 80,000 | 85,080 | ||||||
JP Morgan Chase & Co. | 300,000 | 315,832 | ||||||
JP Morgan Chase & Co. | 290,000 | 324,840 | ||||||
M&T Bank Corp. | 440,000 | 442,420 | ||||||
Nordea Bank AB (a) | 390,000 | 434,353 | ||||||
Royal Bank of Scotland Group PLC | 240,000 | 250,132 | ||||||
Royal Bank of Scotland Group PLC | 210,000 | 220,106 | ||||||
Royal Bank of Scotland Group PLC | 110,000 | 116,558 | ||||||
Royal Bank of Scotland NV | 70,000 | 71,893 |
Principal Amount | Value | |||||||
Standard Chartered PLC (a) | $ | 470,000 | $ | 500,169 | ||||
State Street Corp. STEP | 280,000 | 292,314 | ||||||
UBS Group Funding Jersey Ltd. (a) | 530,000 | 555,434 | ||||||
Wachovia Capital Trust III 3 mo. USD LIBOR + .930%, VRN | 630,000 | 628,362 | ||||||
Wells Fargo & Co. | 120,000 | 123,743 | ||||||
Wells Fargo & Co. | 610,000 | 657,420 | ||||||
Wells Fargo & Co. | 130,000 | 132,346 | ||||||
Wells Fargo & Co. | 991,000 | 1,084,309 | ||||||
Wells Fargo & Co. | 40,000 | 44,162 | ||||||
Wells Fargo & Co. | 60,000 | 63,118 | ||||||
Wells Fargo & Co. | 290,000 | 319,293 | ||||||
Wells Fargo & Co. | 110,000 | 127,705 | ||||||
Wells Fargo & Co. 3 mo. USD LIBOR + 3.990%, VRN | 70,000 | 75,950 | ||||||
Wells Fargo Bank NA | 250,000 | 262,798 | ||||||
|
| |||||||
20,282,751 | ||||||||
|
| |||||||
Beverages — 1.2% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 190,000 | 196,060 | ||||||
Anheuser-Busch InBev Finance, Inc. | 260,000 | 274,432 | ||||||
Anheuser-Busch InBev Finance, Inc. | 770,000 | 826,980 | ||||||
Anheuser-Busch InBev Finance, Inc. | 1,030,000 | 1,225,474 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 240,000 | 244,740 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 100,000 | 111,125 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 260,000 | 290,443 | ||||||
Diageo Capital PLC | 200,000 | 223,506 | ||||||
Diageo Investment Corp. | 150,000 | 157,399 |
The accompanying notes are an integral part of the financial statements.
80
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Molson Coors Brewing Co. | $ | 30,000 | $ | 32,126 | ||||
PepsiCo, Inc. | 50,000 | 54,346 | ||||||
Pernod Ricard SA (a) | 180,000 | 180,750 | ||||||
Pernod Ricard SA (a) | 250,000 | 275,749 | ||||||
|
| |||||||
4,093,130 | ||||||||
|
| |||||||
Biotechnology — 0.4% | ||||||||
Amgen, Inc. | 30,000 | 32,146 | ||||||
Amgen, Inc. (a) | 34,000 | 36,339 | ||||||
Celgene Corp. | 40,000 | 42,499 | ||||||
Celgene Corp. | 40,000 | 42,101 | ||||||
Celgene Corp. | 140,000 | 149,689 | ||||||
Celgene Corp. | 210,000 | 236,443 | ||||||
Celgene Corp. | 70,000 | 79,155 | ||||||
Gilead Sciences, Inc. | 210,000 | 226,070 | ||||||
Gilead Sciences, Inc. | 120,000 | 128,143 | ||||||
Gilead Sciences, Inc. | 330,000 | 368,792 | ||||||
|
| |||||||
1,341,377 | ||||||||
|
| |||||||
Chemicals — 0.2% | ||||||||
Ecolab, Inc. | 50,000 | 56,135 | ||||||
OCP SA (a) | 330,000 | 334,429 | ||||||
Potash Corp. of Saskatchewan, Inc. | 50,000 | 54,788 | ||||||
Westlake Chemical Corp. (a) | 190,000 | 198,550 | ||||||
Westlake Chemical Corp. (a) | 90,000 | 94,050 | ||||||
|
| |||||||
737,952 | ||||||||
|
| |||||||
Commercial Services — 0.1% | ||||||||
Catholic Health Initiatives | 20,000 | 19,830 | ||||||
United Business Media Ltd. (a) | 110,000 | 119,207 | ||||||
United Rentals North America, Inc. | 140,000 | 142,800 |
Principal Amount | Value | |||||||
United Rentals North America, Inc. | $ | 90,000 | $ | 92,700 | ||||
|
| |||||||
374,537 | ||||||||
|
| |||||||
Computers — 0.4% | ||||||||
Apple, Inc. | 370,000 | 370,362 | ||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (a) | 470,000 | 483,381 | ||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (a) | 380,000 | 397,145 | ||||||
|
| |||||||
1,250,888 | ||||||||
|
| |||||||
Diversified Financial — 2.4% | ||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust | 150,000 | 153,187 | ||||||
Ally Financial, Inc. | 80,000 | 80,700 | ||||||
Ally Financial, Inc. | 296,000 | 336,700 | ||||||
Boeing Capital Corp. | 150,000 | 165,174 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + 3.466%, VRN | 100,000 | 98,825 | ||||||
Citigroup, Inc. | 170,000 | 193,874 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + 4.230%, VRN | 40,000 | 41,400 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + 4.068%, VRN | 100,000 | 103,593 | ||||||
Citigroup, Inc. | 10,000 | 15,721 | ||||||
Federal National Mortgage Association | 1,460,000 | 1,401,743 | ||||||
GE Capital International Funding Co. Unlimited Co. | 215,000 | 220,824 | ||||||
GE Capital International Funding Co. Unlimited Co. | 380,000 | 426,499 | ||||||
General Electric Co. | 10,000 | 11,080 | ||||||
General Electric Co. | 170,000 | 193,684 | ||||||
General Electric Co. | 75,000 | 85,936 | ||||||
General Electric Co. | 86,000 | 115,179 |
The accompanying notes are an integral part of the financial statements.
81
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
General Electric Co. | $ | 116,000 | $ | 174,728 | ||||
The Goldman Sachs Group, Inc. | 100,000 | 107,379 | ||||||
The Goldman Sachs Group, Inc. | 100,000 | 112,896 | ||||||
The Goldman Sachs Group, Inc. | 290,000 | 329,836 | ||||||
The Goldman Sachs Group, Inc. | 770,000 | 1,006,832 | ||||||
The Goldman Sachs Group, Inc. | 60,000 | 76,399 | ||||||
HSBC Finance Corp. | 460,000 | 529,119 | ||||||
Hyundai Capital America (a) | 70,000 | 70,346 | ||||||
John Deere Capital Corp. | 40,000 | 40,110 | ||||||
John Deere Capital Corp. | 100,000 | 102,304 | ||||||
JP Morgan Chase & Co. | 40,000 | 43,922 | ||||||
KKR Group Finance Co. II LLC (a) | 20,000 | 21,094 | ||||||
Merrill Lynch & Co., Inc. | 110,000 | 118,674 | ||||||
Morgan Stanley | 40,000 | 40,659 | ||||||
Morgan Stanley | 200,000 | 224,126 | ||||||
Quicken Loans, Inc. (a) | 90,000 | 89,325 | ||||||
Synchrony Financial | 200,000 | 202,506 | ||||||
Toyota Motor Credit Corp. | 290,000 | 290,258 | ||||||
Visa, Inc. | 490,000 | 517,602 | ||||||
Visa, Inc. | 260,000 | 300,475 | ||||||
|
| |||||||
8,042,709 | ||||||||
|
| |||||||
Electric — 1.0% | ||||||||
AES Corp. | 230,000 | 233,450 | ||||||
AES Corp. | 10,000 | 10,406 | ||||||
AES Corp. | 90,000 | 92,700 | ||||||
Duke Energy Corp. | 100,000 | 107,988 | ||||||
Exelon Corp. | 290,000 | 346,515 |
Principal Amount | Value | |||||||
FirstEnergy Corp. | $ | 70,000 | $ | 70,814 | ||||
FirstEnergy Corp. | 310,000 | 328,731 | ||||||
FirstEnergy Corp. Series C | 630,000 | 818,502 | ||||||
Majapahit Holding BV (b) | 370,000 | 425,500 | ||||||
Midamerican Energy Holdings Co., Series A | 40,000 | 55,006 | ||||||
Pacific Gas & Electric Co. | 110,000 | 144,694 | ||||||
Pacific Gas & Electric Co. | 520,000 | 693,425 | ||||||
Pacific Gas & Electric Co. | 50,000 | 56,699 | ||||||
|
| |||||||
3,384,430 | ||||||||
|
| |||||||
Electronics — 0.0% | ||||||||
Thermo Fisher Scientific, Inc. | 90,000 | 95,722 | ||||||
|
| |||||||
Engineering & Construction — 0.0% | ||||||||
ABB Finance USA, Inc. | 20,000 | 22,852 | ||||||
|
| |||||||
Entertainment — 0.0% | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 40,000 | 43,000 | ||||||
|
| |||||||
Environmental Controls — 0.1% | ||||||||
Waste Management, Inc. | 90,000 | 97,033 | ||||||
Waste Management, Inc. | 30,000 | 33,323 | ||||||
Waste Management, Inc. | 50,000 | 70,628 | ||||||
|
| |||||||
200,984 | ||||||||
|
| |||||||
Foods — 0.4% | ||||||||
Kraft Heinz Foods Co. | 170,000 | 180,626 | ||||||
Kraft Heinz Foods Co. | 136,000 | 151,835 | ||||||
Kraft Heinz Foods Co. | 100,000 | 108,194 | ||||||
Kraft Heinz Foods Co. (a) | 122,000 | 134,540 | ||||||
Kraft Heinz Foods Co. | 120,000 | 138,579 | ||||||
Kraft Heinz Foods Co. | 70,000 | 82,784 | ||||||
The Kroger Co. | 30,000 | 31,366 |
The accompanying notes are an integral part of the financial statements.
82
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Mondelez International, Inc. | $ | 260,000 | $ | 285,170 | ||||
Tyson Foods, Inc. | 40,000 | 47,112 | ||||||
WM Wrigley Jr. Co. (a) | 40,000 | 40,649 | ||||||
WM Wrigley Jr. Co. (a) | 130,000 | 134,502 | ||||||
WM Wrigley Jr. Co. (a) | 10,000 | 10,585 | ||||||
|
| |||||||
1,345,942 | ||||||||
|
| |||||||
Forest Products & Paper — 0.0% | ||||||||
Celulosa Arauco y Constitucion SA | 130,000 | 138,988 | ||||||
|
| |||||||
Health Care – Products — 0.3% | ||||||||
Becton Dickinson & Co. | 140,000 | 151,832 | ||||||
Becton Dickinson & Co. | 50,000 | 57,024 | ||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (a) | 10,000 | 9,500 | ||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (a) | 40,000 | 38,300 | ||||||
Medtronic, Inc. | 180,000 | 190,647 | ||||||
Medtronic, Inc. | 260,000 | 279,985 | ||||||
Medtronic, Inc. | 190,000 | 223,248 | ||||||
|
| |||||||
950,536 | ||||||||
|
| |||||||
Health Care – Services — 0.6% | ||||||||
Aetna, Inc. | 190,000 | 192,200 | ||||||
Aetna, Inc. | 40,000 | 40,846 | ||||||
Aetna, Inc. | 290,000 | 294,850 | ||||||
Anthem, Inc. | 20,000 | 20,627 | ||||||
Anthem, Inc. | 50,000 | 56,145 | ||||||
Centene Corp. | 20,000 | 20,650 | ||||||
Centene Corp. | 90,000 | 95,400 | ||||||
Centene Corp. | 50,000 | 54,250 | ||||||
DaVita, Inc. | 20,000 | 20,075 |
Principal Amount | Value | |||||||
Fresenius Medical Care US Finance II, Inc. (a) | $ | 50,000 | $ | 52,635 | ||||
Fresenius Medical Care US Finance II, Inc. (a) | 70,000 | 73,500 | ||||||
Fresenius Medical Care US Finance II, Inc. (a) | 50,000 | 56,625 | ||||||
HCA, Inc. | 70,000 | 74,375 | ||||||
HCA, Inc. | 190,000 | 209,475 | ||||||
HCA, Inc. | 80,000 | 85,200 | ||||||
HCA, Inc. | 60,000 | 66,450 | ||||||
HCA, Inc. | 40,000 | 45,900 | ||||||
Humana, Inc. | 40,000 | 41,490 | ||||||
Humana, Inc. | 70,000 | 73,683 | ||||||
Tenet Healthcare Corp. | 10,000 | 9,300 | ||||||
Tenet Healthcare Corp. | 140,000 | 140,000 | ||||||
UnitedHealth Group, Inc. | 50,000 | 54,908 | ||||||
UnitedHealth Group, Inc. | 70,000 | 91,896 | ||||||
WellPoint, Inc. | 50,000 | 52,045 | ||||||
WellPoint, Inc. | 70,000 | 74,995 | ||||||
|
| |||||||
1,997,520 | ||||||||
|
| |||||||
Home Builders — 0.1% | ||||||||
NVR, Inc. | 100,000 | 106,486 | ||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. (a) | 120,000 | 123,900 | ||||||
|
| |||||||
230,386 | ||||||||
|
| |||||||
Household Products — 0.1% | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC | 10,000 | 10,313 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC STEP | 150,000 | 155,625 |
The accompanying notes are an integral part of the financial statements.
83
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu (a) | $ | 60,000 | $ | 61,950 | ||||
Spectrum Brands, Inc. | 60,000 | 64,800 | ||||||
|
| |||||||
292,688 | ||||||||
|
| |||||||
Housewares — 0.1% | ||||||||
Newell Brands, Inc. | 80,000 | 83,349 | ||||||
Newell Brands, Inc. | 170,000 | 180,959 | ||||||
Newell Brands, Inc. | 140,000 | 152,475 | ||||||
|
| |||||||
416,783 | ||||||||
|
| |||||||
Insurance — 0.7% | ||||||||
American International Group, Inc. | 210,000 | 220,258 | ||||||
American International Group, Inc. 3 mo. USD LIBOR + 2.056%, VRN | 234,000 | 246,870 | ||||||
Chubb INA Holdings, Inc. | 70,000 | 71,820 | ||||||
Chubb INA Holdings, Inc. | 90,000 | 96,368 | ||||||
Chubb INA Holdings, Inc. | 230,000 | 265,851 | ||||||
MetLife Capital Trust IV (a) | 200,000 | 250,920 | ||||||
MetLife, Inc. | 190,000 | 210,306 | ||||||
Teachers Insurance & Annuity Association of America (a) | 200,000 | 224,943 | ||||||
Teachers Insurance & Annuity Association of America (a) | 260,000 | 353,473 | ||||||
Voya Financial, Inc. STEP | 31,000 | 31,582 | ||||||
Voya Financial, Inc. | 200,000 | 223,955 | ||||||
|
| |||||||
2,196,346 | ||||||||
|
| |||||||
Internet — 0.1% | ||||||||
Amazon.com, Inc. | 180,000 | 219,349 | ||||||
Netflix, Inc. | 50,000 | 54,000 | ||||||
|
| |||||||
273,349 | ||||||||
|
| |||||||
Iron & Steel — 0.3% | ||||||||
ArcelorMittal STEP | 50,000 | 56,750 |
Principal Amount | Value | |||||||
ArcelorMittal STEP | $ | 60,000 | $ | 64,800 | ||||
Glencore Funding LLC (a) | 540,000 | 535,680 | ||||||
Steel Dynamics, Inc. | 60,000 | 63,150 | ||||||
Vale Overseas Ltd. | 361,000 | 350,892 | ||||||
|
| |||||||
1,071,272 | ||||||||
|
| |||||||
Leisure Time — 0.1% | ||||||||
NCL Corp. Ltd. (a) | 140,000 | 140,000 | ||||||
|
| |||||||
Manufacturing — 0.2% | ||||||||
Eaton Corp. | 70,000 | 70,174 | ||||||
Eaton Corp. | 570,000 | 589,231 | ||||||
General Electric Co. | 60,000 | 69,074 | ||||||
|
| |||||||
728,479 | ||||||||
|
| |||||||
Media — 1.2% | ||||||||
21st Century Fox America, Inc. | 20,000 | 25,296 | ||||||
21st Century Fox America, Inc. | 30,000 | 39,553 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital (a) | 30,000 | 32,372 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital (a) | 130,000 | 143,397 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital (a) | 10,000 | 12,093 | ||||||
Comcast Corp. | 140,000 | 149,844 | ||||||
Comcast Corp. | 190,000 | 204,181 | ||||||
Comcast Corp. | 160,000 | 176,914 | ||||||
Comcast Corp. | 20,000 | 22,213 | ||||||
Comcast Corp. | 80,000 | 112,162 | ||||||
Comcast Corp. | 160,000 | 233,265 | ||||||
DISH DBS Corp. | 80,000 | 82,218 |
The accompanying notes are an integral part of the financial statements.
84
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
DISH DBS Corp. | $ | 420,000 | $ | 414,750 | ||||
NBCUniversal Media LLC | 170,000 | 189,158 | ||||||
SFR Group SA (a) | 320,000 | 327,101 | ||||||
Time Warner Cable, Inc. | 140,000 | 148,603 | ||||||
Time Warner Cable, Inc. | 20,000 | 21,348 | ||||||
Time Warner Cable, Inc. | 260,000 | 288,727 | ||||||
Time Warner Cable, Inc. | 70,000 | 82,994 | ||||||
Time Warner Cable, Inc. | 120,000 | 145,986 | ||||||
Time Warner Cable, Inc. | 80,000 | 102,368 | ||||||
Time Warner Cable, Inc. | 230,000 | 264,837 | ||||||
Time Warner Entertainment Co. LP | 20,000 | 27,235 | ||||||
Time Warner, Inc. | 200,000 | 223,975 | ||||||
Time Warner, Inc. | 20,000 | 25,764 | ||||||
Time Warner, Inc. | 300,000 | 426,565 | ||||||
Viacom, Inc. | 30,000 | 30,920 | ||||||
Viacom, Inc. | 50,000 | 53,132 | ||||||
|
| |||||||
4,006,971 | ||||||||
|
| |||||||
Mining — 0.8% | ||||||||
Barrick Gold Corp. | 54,000 | 58,235 | ||||||
Barrick Gold Corp. | 61,000 | 68,104 | ||||||
Barrick NA Finance LLC | 180,000 | 197,173 | ||||||
Barrick NA Finance LLC | 90,000 | 102,415 | ||||||
BHP Billiton Finance USA Ltd. | 40,000 | 41,995 | ||||||
BHP Billiton Finance USA Ltd. | 130,000 | 153,649 | ||||||
BHP Billiton Finance USA Ltd. | 410,000 | 459,247 | ||||||
BHP Billiton Finance USA Ltd. USD 5 year swap rate + 5.093%, VRN (a) | 500,000 | 566,250 | ||||||
FMG Resources August 2006 Pty Ltd. (a) | 30,000 | 34,800 |
Principal Amount | Value | |||||||
Freeport-McMoRan, Inc. | $ | 170,000 | $ | 160,862 | ||||
Freeport-McMoRan, Inc. | 80,000 | 64,200 | ||||||
Glencore Finance Canada (a) | 320,000 | 320,480 | ||||||
Glencore Finance Canada (a) | 60,000 | 60,210 | ||||||
Rio Tinto Finance USA Ltd. | 20,000 | 21,628 | ||||||
Southern Copper Corp. | 400,000 | 378,108 | ||||||
|
| |||||||
2,687,356 | ||||||||
|
| |||||||
Oil & Gas — 3.0% | ||||||||
Anadarko Petroleum Corp. | 390,000 | 418,672 | ||||||
Anadarko Petroleum Corp. | 20,000 | 22,601 | ||||||
Anadarko Petroleum Corp. | 60,000 | 70,098 | ||||||
Antero Resources Corp. | 10,000 | 10,113 | ||||||
Apache Corp. | 330,000 | 342,273 | ||||||
Apache Corp. | 30,000 | 34,227 | ||||||
BP Capital Markets PLC | 290,000 | 296,352 | ||||||
BP Capital Markets PLC | 80,000 | 84,798 | ||||||
BP Capital Markets PLC | 20,000 | 21,472 | ||||||
Chesapeake Energy Corp. | 20,000 | 17,000 | ||||||
Chevron Corp. | 380,000 | 392,653 | ||||||
CNOOC Finance 2015 USA LLC | 550,000 | 565,963 | ||||||
Concho Resources, Inc. | 20,000 | 20,625 | ||||||
Concho Resources, Inc. | 98,000 | 101,675 | ||||||
Conoco, Inc. | 125,000 | 158,956 | ||||||
Continental Resources, Inc. | 10,000 | 9,600 | ||||||
Devon Energy Corp. | 100,000 | 99,285 | ||||||
Devon Energy Corp. | 330,000 | 321,036 | ||||||
Devon Energy Corp. | 170,000 | 171,528 |
The accompanying notes are an integral part of the financial statements.
85
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Devon Energy Corp. | $ | 170,000 | $ | 191,314 | ||||
Devon Financing Corp. LLC | 60,000 | 74,327 | ||||||
Ecopetrol SA | 530,000 | 486,169 | ||||||
Ensco PLC | 80,000 | 71,760 | ||||||
EOG Resources, Inc. | 120,000 | 131,065 | ||||||
Exxon Mobil Corp. | 240,000 | 251,587 | ||||||
Exxon Mobil Corp. | 70,000 | 78,246 | ||||||
Kerr-McGee Corp. | 230,000 | 276,491 | ||||||
Kerr-McGee Corp. | 130,000 | 161,260 | ||||||
Noble Energy, Inc. | 30,000 | 30,537 | ||||||
Noble Energy, Inc. | 300,000 | 343,213 | ||||||
Oasis Petroleum, Inc. | 30,000 | 28,650 | ||||||
Oasis Petroleum, Inc. | 10,000 | 9,575 | ||||||
Occidental Petroleum Corp. | 120,000 | 125,947 | ||||||
Occidental Petroleum Corp. | 170,000 | 179,351 | ||||||
Occidental Petroleum Corp. | 80,000 | 90,425 | ||||||
Petrobras Global Finance BV | 660,000 | 652,740 | ||||||
Petrobras Global Finance BV | 240,000 | 233,400 | ||||||
Petrobras International Finance Co. | 142,000 | 146,331 | ||||||
Petroleos Mexicanos | 220,000 | 210,100 | ||||||
Petroleos Mexicanos | 623,000 | 634,121 | ||||||
Petroleos Mexicanos (a) | 160,000 | 180,400 | ||||||
Pride International, Inc. | 40,000 | 39,500 | ||||||
Pride International, Inc. | 100,000 | 108,750 | ||||||
QEP Resources, Inc. | 170,000 | 177,225 | ||||||
Range Resources Corp. | 40,000 | 38,400 |
Principal Amount | Value | |||||||
Range Resources Corp. (a) | $ | 240,000 | $ | 234,600 | ||||
Shell International Finance BV | 380,000 | 385,680 | ||||||
Shell International Finance BV | 60,000 | 61,380 | ||||||
Shell International Finance BV | 100,000 | 107,260 | ||||||
Shell International Finance BV | 210,000 | 229,207 | ||||||
Shell International Finance BV | 190,000 | 205,085 | ||||||
Sinopec Group Overseas Development 2014 Ltd. (a) | 330,000 | 365,115 | ||||||
SM Energy Co. | 30,000 | 28,200 | ||||||
Transocean, Inc. STEP | 70,000 | 70,328 | ||||||
Whiting Petroleum Corp. | 10,000 | 9,350 | ||||||
Whiting Petroleum Corp. | 200,000 | 182,500 | ||||||
WPX Energy, Inc. | 30,000 | 29,944 | ||||||
|
| |||||||
10,018,460 | ||||||||
|
| |||||||
Oil & Gas Services — 0.3% | ||||||||
Baker Hughes, Inc. | 55,000 | 57,356 | ||||||
Halliburton Co. | 240,000 | 248,127 | ||||||
Halliburton Co. | 30,000 | 32,155 | ||||||
Halliburton Co. | 70,000 | 76,405 | ||||||
Plains Exploration & Production Co. | 26,000 | 26,683 | ||||||
Plains Exploration & Production Co. | 36,000 | 37,305 | ||||||
Schlumberger Holdings Corp. (a) | 190,000 | 198,119 | ||||||
Schlumberger Holdings Corp. (a) | 150,000 | 163,196 | ||||||
Schlumberger Norge AS (a) | 10,000 | 10,910 | ||||||
SESI LLC | 20,000 | 19,550 | ||||||
|
| |||||||
869,806 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
86
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Packaging & Containers — 0.1% | ||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 3 mo. USD LIBOR + 3.000%, FRN (a) | $ | 200,000 | $ | 202,760 | ||||
Rock Tenn Co. | 80,000 | 83,537 | ||||||
Rock Tenn Co. | 30,000 | 31,681 | ||||||
|
| |||||||
317,978 | ||||||||
|
| |||||||
Pharmaceuticals — 0.5% | ||||||||
AbbVie, Inc. | 80,000 | 80,263 | ||||||
AbbVie, Inc. | 80,000 | 82,031 | ||||||
AbbVie, Inc. | 130,000 | 135,884 | ||||||
Actavis Funding SCS | 30,000 | 31,495 | ||||||
Actavis Funding SCS | 180,000 | 190,504 | ||||||
Actavis Funding SCS | 30,000 | 31,866 | ||||||
Actavis Funding SCS | 210,000 | 229,619 | ||||||
GlaxoSmithKline Capital PLC | 180,000 | 189,415 | ||||||
Merck & Co., Inc. | 150,000 | 155,439 | ||||||
Pfizer, Inc. | 240,000 | 267,285 | ||||||
Valeant Pharmaceuticals Co. (a) | 300,000 | 277,500 | ||||||
Valeant Pharmaceuticals Co. (a) | 10,000 | 9,681 | ||||||
|
| |||||||
1,680,982 | ||||||||
|
| |||||||
Pipelines — 0.7% | ||||||||
Access Midstream Partners LP/ACMP Finance Corp. | 70,000 | 70,750 | ||||||
El Paso Natural Gas Co. | 289,000 | 360,108 | ||||||
Enterprise Products Operating LLC | 40,000 | 45,337 | ||||||
Kinder Morgan Energy Partners LP | 120,000 | 120,187 | ||||||
Kinder Morgan, Inc. | 90,000 | 89,728 | ||||||
MPLX LP | 150,000 | 155,149 | ||||||
MPLX LP | 140,000 | 144,659 |
Principal Amount | Value | |||||||
MPLX LP | $ | 80,000 | $ | 82,648 | ||||
Regency Energy Partners LP/Regency Energy Finance Corp. | 30,000 | 30,202 | ||||||
Regency Energy Partners LP/Regency Energy Finance Corp. | 100,000 | 110,268 | ||||||
Regency Energy Partners LP/Regency Energy Finance Corp. | 28,000 | 28,976 | ||||||
Southern Natural Gas Co. LLC | 5,000 | 6,423 | ||||||
Transcontinental Gas Pipe Line Co. LLC (a) | 280,000 | 362,499 | ||||||
The Williams Cos., Inc. | 60,000 | 61,800 | ||||||
The Williams Cos., Inc. | 78,000 | 89,115 | ||||||
The Williams Cos., Inc. | 10,000 | 11,575 | ||||||
The Williams Cos., Inc. Series A | 240,000 | 273,600 | ||||||
Williams Partners LP/ACMP Finance Corp. | 140,000 | 141,644 | ||||||
|
| |||||||
2,184,668 | ||||||||
|
| |||||||
Real Estate — 0.2% | ||||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC (a) | 220,000 | 231,247 | ||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC (a) | 250,000 | 270,219 | ||||||
|
| |||||||
501,466 | ||||||||
|
| |||||||
Retail — 0.6% | ||||||||
1011778 B.C. Unlimited Liability Co./New Red Finance, Inc. (a) | 110,000 | 115,225 | ||||||
CVS Health Corp. | 120,000 | 123,553 | ||||||
CVS Health Corp. | 124,000 | 134,988 | ||||||
CVS Health Corp. | 400,000 | 489,458 | ||||||
CVS Pass-Through Trust (a) | 9,902 | 11,000 | ||||||
CVS Pass-Through Trust | 107,257 | 122,739 | ||||||
CVS Pass-Through Trust | 92,058 | 106,792 |
The accompanying notes are an integral part of the financial statements.
87
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
CVS Pass-Through Trust | $ | 77,085 | $ | 93,953 | ||||
Dollar Tree, Inc. | 130,000 | 139,912 | ||||||
McDonald’s Corp. | 200,000 | 215,169 | ||||||
QVC, Inc. | 10,000 | 9,474 | ||||||
Wal-Mart Stores, Inc. | 50,000 | 71,796 | ||||||
Walgreens Boots Alliance, Inc. | 260,000 | 269,911 | ||||||
|
| |||||||
1,903,970 | ||||||||
|
| |||||||
Savings & Loans — 0.0% | ||||||||
The Goldman Sachs Capital II 3 mo. USD LIBOR + .768%, VRN | 18,000 | 14,670 | ||||||
ILFC E-Capital Trust II VRN (a) | 10,000 | 7,975 | ||||||
|
| |||||||
22,645 | ||||||||
|
| |||||||
Semiconductors — 0.1% | ||||||||
Intel Corp. | 70,000 | 77,659 | ||||||
Intel Corp. | 50,000 | 59,640 | ||||||
Micron Technology, Inc. (a) | 20,000 | 19,150 | ||||||
National Semiconductor Corp. | 30,000 | 31,200 | ||||||
|
| |||||||
187,649 | ||||||||
|
| |||||||
Software — 0.5% | ||||||||
Activision Blizzard, Inc. (a) | 80,000 | 83,472 | ||||||
Activision Blizzard, Inc. (a) | 40,000 | 43,950 | ||||||
First Data Corp. (a) | 140,000 | 142,100 | ||||||
First Data Corp. (a) | 420,000 | 444,150 | ||||||
Microsoft Corp. | 620,000 | 620,525 | ||||||
Oracle Corp. | 260,000 | 260,010 | ||||||
|
| |||||||
1,594,207 | ||||||||
|
| |||||||
Telecommunications — 1.7% | ||||||||
Altice Financing SA (a) | 200,000 | 205,250 | ||||||
America Movil SAB de CV | 100,000 | 109,895 | ||||||
America Movil SAB de CV | 160,000 | 167,688 |
Principal Amount | Value | |||||||
AT&T, Inc. | $ | 60,000 | $ | 61,952 | ||||
AT&T, Inc. | 770,000 | 791,104 | ||||||
AT&T, Inc. | 110,000 | 108,356 | ||||||
AT&T, Inc. (a) | 166,000 | 166,869 | ||||||
AT&T, Inc. | 30,000 | 31,608 | ||||||
AT&T, Inc. | 200,000 | 219,376 | ||||||
Bharti Airtel Ltd. (a) | 440,000 | 455,673 | ||||||
CenturyLink, Inc. | 60,000 | 57,450 | ||||||
CenturyLink, Inc. | 60,000 | 61,500 | ||||||
Qwest Corp. | 85,000 | 84,736 | ||||||
Rogers Communications, Inc. | 120,000 | 131,517 | ||||||
Sprint Capital Corp. | 190,000 | 193,800 | ||||||
Sprint Corp. | 110,000 | 110,413 | ||||||
Sprint Corp. | 400,000 | 396,000 | ||||||
Sprint Corp. | 30,000 | 30,188 | ||||||
Telefonica Emisiones SAU | 80,000 | 88,843 | ||||||
Telefonica Emisiones SAU | 60,000 | 62,104 | ||||||
Verizon Communications, Inc. | 20,000 | 21,947 | ||||||
Verizon Communications, Inc. | 90,000 | 100,806 | ||||||
Verizon Communications, Inc. | 240,000 | 279,583 | ||||||
Verizon Communications, Inc. | 130,000 | 163,764 | ||||||
Verizon Communications, Inc. | 311,000 | 402,946 | ||||||
Verizon Communications, Inc. | 562,000 | 759,872 | ||||||
West Corp. (a) | 60,000 | 61,800 | ||||||
West Corp. (a) | 130,000 | 127,400 | ||||||
|
| |||||||
5,452,440 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
88
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Transportation — 0.0% | ||||||||
Florida East Coast Holdings Corp. (a) | $ | 130,000 | $ | 133,250 | ||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $81,258,072) | 86,899,467 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.1% | ||||||||
Northeast Ohio Regional Sewer District | 50,000 | 59,007 | ||||||
State of California | 70,000 | 83,025 | ||||||
State of California | 50,000 | 60,469 | ||||||
Tennessee Valley Authority | 130,000 | 180,078 | ||||||
|
| |||||||
382,579 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $301,802) | 382,579 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 15.5% | ||||||||
Automobile ABS — 0.4% | ||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2013-2A, Class A (a) | 150,000 | 153,048 | ||||||
Hertz 2015 (a) | 500,000 | 506,310 | ||||||
Hertz 2015 (a) | 250,000 | 249,504 | ||||||
Hertz Vehicle Financing LLC, Series 2013-1A, Class A2 (a) | 120,000 | 119,676 | ||||||
Hertz Vehicle Financing LLC (a) | 250,000 | 253,373 | ||||||
|
| |||||||
1,281,911 | ||||||||
|
| |||||||
Commercial MBS — 5.8% | ||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class AJ, VRN | 150,000 | 140,131 | ||||||
Banc of America Merrill Lynch Trust, Series 2016-GG10, Class AJA, VRN (a) | 790,404 | 539,087 | ||||||
BBCCRE Trust, Series 2015-GTP, Class E, VRN (a) | 1,020,000 | 918,757 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW14, Class AJ | 250,000 | 246,496 |
Principal Amount | Value | |||||||
CD Mortgage Trust, Series 2007-CD4, Class AJ, VRN | $ | 9,230 | $ | 7,417 | ||||
CD Mortgage Trust, Series 2006-CD2, Class AJ, VRN | 234,148 | 161,946 | ||||||
CGBAM Commercial Mortgage Trust, Series 2014-HD, Class E, 1 mo. LIBOR + 3.000%, FRN (a) | 250,000 | 237,263 | ||||||
Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class D (a) | 400,000 | 280,188 | ||||||
Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class AS | 390,000 | 411,904 | ||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class E, VRN (a) | 270,000 | 190,397 | ||||||
COMM 2006-C8 Mortgage Trust, Series 2006-C8, Class AJ | 230,000 | 224,793 | ||||||
COMM 2012-CR1 Mortgage Trust, Series 2012-CR1, Class XA, VRN | 2,160,728 | 167,299 | ||||||
COMM 2013-CR9 Mortgage Trust, Series 2013-CR9, Class E, VRN (a) | 280,000 | 203,229 | ||||||
COMM 2013-LC13 Mortgage Trust, Series 2013-LC13, Class E, VRN (a) | 440,000 | 304,170 | ||||||
COMM 2014-SAVA Mortgage Trust, Series 2014-SAVA, Class D, 1 mo. LIBOR + 3.100%, FRN (a) | 250,000 | 248,172 | ||||||
COMM 2015-LC19 Mortgage Trust, Series 2015-LC19, Class C, VRN | 120,000 | 124,822 | ||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class AJ | 250,000 | 231,303 | ||||||
Credit Suisse Commercial Mortgage Trust, Series 2007-C5, Class AM, VRN | 80,000 | 71,506 | ||||||
Credit Suisse Mortgage Trust, Series 2015-GLPA, Class A (a) | 140,000 | 155,035 | ||||||
Credit Suisse Mortgage Trust, Series 2014-USA, Class A2 (a) | 190,000 | 205,014 | ||||||
Credit Suisse Mortgage Trust, Series 2014-TIKI, Class F, 1 mo. LIBOR + 3.823%, FRN (a) | 500,000 | 484,490 |
The accompanying notes are an integral part of the financial statements.
89
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Credit Suisse Mortgage Trust, Series 2014-USA, Class E (a) | $ | 240,000 | $ | 207,700 | ||||
Credit Suisse Mortgage Trust, Series 2014-USA, Class F (a) | 230,000 | 189,490 | ||||||
Credit Suisse Mortgage Trust, Series 2015, Class TF, 1 mo. LIBOR + 4.143%, FRN (a) | 270,000 | 257,850 | ||||||
Credit Suisse Mortgage Trust, Series 2015, Class F, 1 mo. LIBOR + 4.500%, FRN (a) | 260,000 | 246,457 | ||||||
Credit Suisse Mortgage Trust, Series 2015-SAMZ, Class MZ, 1 mo. LIBOR + 5.736%, FRN (a) | 1,000,000 | 955,060 | ||||||
EQTY Mortgage Trust, Series 2014-INNS, Class D, 1 mo. LIBOR + 2.350%, FRN (a) | 190,000 | 185,825 | ||||||
FREMF Mortgage Trust, Series 2012-K20, Class X2A (a) | 3,456,004 | 31,355 | ||||||
FREMF Mortgage Trust, Series 2015-K48, Class C, VRN (a) | 315,000 | 267,434 | ||||||
GE Business Loan Trust, Series 2005-2A, Class B, 1 mo. LIBOR + .500%, FRN (a) | 108,264 | 100,142 | ||||||
GE Business Loan Trust, Series 2006-2A, Class D, 1 mo. LIBOR + .750%, FRN (a) | 220,073 | 181,061 | ||||||
GE Commercial Mortgage Corp., Series 2007-C1, Class AJ, VRN | 60,000 | 38,188 | ||||||
GS Mortgage Securities Corp II, Series 2011-GC5, Class XA, VRN (a) | 508,282 | 26,831 | ||||||
GS Mortgage Securities Corp. II, Series 2015-GC30, Class D | 310,000 | 214,174 | ||||||
GS Mortgage Securities Trust, Series 2016-GS3, Class A4 | 320,000 | 329,616 | ||||||
GS Mortgage Securities Trust, Series 2015-GC30, Class AS | 280,000 | 300,360 | ||||||
GS Mortgage Securities Trust, Series 2006-GG8, Class AJ | 200,000 | 167,454 |
Principal Amount | Value | |||||||
GS Mortgage Securities Trust, Series 2016-ICE2, Class E, 1 mo. LIBOR + 8.500%, FRN (a) | $ | 310,000 | $ | 310,774 | ||||
Hudson Yards Mortgage Trust, Series 2016-10HY, Class A (a) | 320,000 | 325,315 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class AJ, VRN | 370,000 | 300,519 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB16, Class AM | 32,999 | 33,109 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class A5 | 460,000 | 472,465 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class AM | 380,000 | 380,028 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class AJ | 540,000 | 382,570 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AJFX (a) | 600,000 | 243,772 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AJ, VRN | 520,000 | 212,122 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class XA, VRN | 2,546,686 | 100,212 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class A3 | 170,000 | 186,580 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class AS | 250,000 | 272,210 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class B, VRN | 260,000 | 268,179 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class B, VRN | 30,000 | 34,094 | ||||||
LSTAR Commercial Mortgage Trust, Series 2015-3, Class A2, VRN (a) | 699,563 | 692,354 |
The accompanying notes are an integral part of the financial statements.
90
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
LSTAR Commercial Mortgage Trust, Series 2015-3, Class A3, VRN (a) | $ | 707,000 | $ | 680,473 | ||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AJ, VRN | 260,000 | 213,942 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21, Class E (a) | 390,000 | 241,346 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class E, VRN (a) | 150,000 | 148,534 | ||||||
Morgan Stanley Capital I, Series 2006-IQ12, Class AJ | 190,000 | 147,250 | ||||||
Morgan Stanley Capital I, Series 2007-IQ13, Class AJ | 670,000 | 603,338 | ||||||
Morgan Stanley Capital I, Series 2007-IQ15, Class AJ, VRN | 340,000 | 316,393 | ||||||
Motel 6 Trust, Series 2015-MTL6, Class F (a) | 630,000 | 606,863 | ||||||
Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A, VRN (Acquired 9/08/15, | 926,962 | 926,025 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-LC20, Class A5 | 430,000 | 450,929 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXSI, Class AS | 330,000 | 346,037 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class B, VRN | 290,000 | 306,918 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, VRN | 140,000 | 153,250 | ||||||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class AS | 190,000 | 206,528 | ||||||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, VRN | 190,000 | 203,059 | ||||||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class C | 190,000 | 183,988 | ||||||
|
| |||||||
19,201,592 | ||||||||
|
|
Principal Amount | Value | |||||||
Home Equity ABS — 0.8% | ||||||||
Ace Securities Corp., Series 2005-HE3, Class M4, 1 mo. USD LIBOR + .945%, FRN | $ | 1,020,000 | $ | 659,830 | ||||
Bear Stearns Asset Backed Securities I Trust, Series 2006-HE7, Class 2A3, 1 mo. USD LIBOR + ..250%, FRN | 1,782,009 | 928,199 | ||||||
GSAA Home Equity Trust, Series 2006-19, Class A3A, 1 mo. USD LIBOR + .240%, FRN | 956,851 | 540,048 | ||||||
GSAA Trust, Series 2006-5, Class 2A3, 1 mo. USD LIBOR + .270%, FRN | 705,356 | 450,724 | ||||||
|
| |||||||
2,578,801 | ||||||||
|
| |||||||
Manufactured Housing ABS — 0.2% | ||||||||
Greenpoint Manufactured Housing, Series 1999-2, Class A2, FRN | 200,000 | 176,100 | ||||||
Greenpoint Manufactured Housing, Series 1999-3, Class 2A2, FRN | 75,000 | 67,184 | ||||||
Greenpoint Manufactured Housing, Series 2001-2, Class IA2, FRN | 150,000 | 130,986 | ||||||
Greenpoint Manufactured Housing, Series 1999-4, Class A2, FRN | 75,000 | 65,824 | ||||||
Greenpoint Manufactured Housing, Series 2001-2, Class IIA2, FRN | 200,000 | 173,743 | ||||||
|
| |||||||
613,837 | ||||||||
|
| |||||||
Other ABS — 1.6% | ||||||||
Ameriquest Mortgage Securities, Inc., Series 2004-R7, Class M3, 1 mo. USD LIBOR + 1.020%, FRN | 645,369 | 551,115 | ||||||
Community Funding CLO Ltd., Series 2015-1A, Class A, STEP (Acquired 10/01/15, $690,000) (a) (e) | 690,000 | 687,861 | ||||||
Consumer Credit Origination Loan Trust, Series 2015-1, Class A (a) | 40,825 | 41,077 | ||||||
HSI Asset Securitization Corp., Series 2005-II, Class 2A4, 1 mo. USD LIBOR + .390%, FRN | 2,400,000 | 1,864,414 |
The accompanying notes are an integral part of the financial statements.
91
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Park Place Securities, Inc., Series 2005-WHQ1, Class M6, 1 mo. USD LIBOR + 1.170%, FRN | $ | 1,020,000 | $ | 789,991 | ||||
SBA Small Business Investment Cos., Series 2016-10B, Class 1 | 130,000 | 130,884 | ||||||
Sofi Consumer Loan Program (Acquired 8/19/15, Cost $107,942) (a) (e) | 819,944 | 809,031 | ||||||
United States Small Business Administration, Series 2015-20D, Class 1 | 143,091 | 147,037 | ||||||
United States Small Business Administration | 171,761 | 178,067 | ||||||
|
| |||||||
5,199,477 | ||||||||
|
| |||||||
Other Mortgage Securities — 0.6% | ||||||||
Credit Suisse Mortgage Capital Certificates, Series 2015-4R, Class 3A3, 1 mo. LIBOR + .310%, FRN (a) | 880,000 | 357,931 | ||||||
Morgan Stanley Resecuritization Trust, Series 2015-R6, Class 1B, 1 mo. USD LIBOR + .260%, FRN (a) | 1,453,683 | 564,767 | ||||||
Nomura Resecuritization Trust, Series 2015-6R, Class 3A2, 1 mo. USD LIBOR + .190%, FRN (a) | 1,090,000 | 959,694 | ||||||
|
| |||||||
1,882,392 | ||||||||
|
| |||||||
Student Loans ABS — 1.8% | ||||||||
Education Funding Capital Trust I, Series 2004-1, Class B1, 28 day ARS, FRN | 400,000 | 370,006 | ||||||
National Collegiate Student Loan, Series 2006-3, Class A4, 1 mo. USD LIBOR + .270%, FRN | 550,000 | 521,641 | ||||||
National Collegiate Student Loan, Series 2007-4, Class A3L, 1 mo. USD LIBOR + .850%, FRN | 1,912,181 | 976,298 | ||||||
National Collegiate Student Loan Trust, Series 2006-1, Class A5, 1 mo. USD LIBOR + .350%, FRN | 1,580,000 | 1,188,187 | ||||||
SLM Private Education Loan Trust, Series 2011-A, Class A3, 1 mo. USD LIBOR + 2.500%, FRN (a) 3.024% 1/15/43 | 235,000 | 241,768 |
Principal Amount | Value | |||||||
SLM Student Loan EDC Repackaging Trust, Series 2013-M1, Class M1 (a) | $ | 121,955 | $ | 119,771 | ||||
SLM Student Loan Trust, Series 2007-2, Class A3, 3 mo. USD LIBOR + | 627,761 | 623,196 | ||||||
SLM Student Loan Trust, Series 2006-1, Class A5, 3 mo. USD LIBOR + | 820,000 | 782,003 | ||||||
SLM Student Loan Trust, Series 2005-4, Class A3, 3 mo. USD LIBOR + | 639,014 | 612,003 | ||||||
SLM Student Loan Trust, Series 2008-5, Class A4, 3 mo. USD LIBOR + | 621,996 | 623,555 | ||||||
|
| |||||||
6,058,428 | ||||||||
|
| |||||||
WL Collateral CMO — 4.3% | ||||||||
Alternative Loan Trust, Series 2005-36, Class 3A1, VRN | 592,940 | 477,275 | ||||||
Alternative Loan Trust, | 283,571 | 288,463 | ||||||
BCAP LLC Trust, Series 2010-RR6, Class 1212 (a) | 106,400 | 105,339 | ||||||
Bear Stearns ALT-A Trust, Series 2004-7, Class 2A1, VRN | 185,065 | 186,822 | ||||||
Bear Stearns Asset -Backed Securities I Trust, Series 2005-AC8, Class A3, 1 mo. USD LIBOR + 7.650%, FRN | 1,359,517 | 452,067 | ||||||
Citigroup Mortgage Loan Trust, Series 2007-6, Class 2A4, 1 mo. USD LIBOR + .350%, FRN | 2,819,963 | 1,292,462 | ||||||
Connecticut Avenue Securities, Series 2014-C03, Class 1M2, 1 mo. USD LIBOR + 3.000%, FRN | 1,350,000 | 1,351,305 | ||||||
Credit Suisse Mortgage Trust, Series 2015-3R, Class 4A2, 1 mo. USD LIBOR + .250%, FRN (a) | 766,000 | 528,238 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities, Series 2016-C05, Class 2M1, 1 mo. USD LIBOR + 1.350%, FRN | 801,110 | 804,268 |
The accompanying notes are an integral part of the financial statements.
92
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
GSMSC Resecuritization Trust, Series 2014-2R, Class 3B, 1 mo. USD LIBOR + .610%, FRN (a) | $ | 1,220,000 | $ | 796,994 | ||||
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, VRN | 170,335 | 148,017 | ||||||
Harborview Mortgage Loan Trust, Series 2006-2, Class 1A, VRN | 107,386 | 87,702 | ||||||
Lehman Mortgage Trust, Series 2007-4, Class 2A2, 1 mo. USD LIBOR + | 1,697,055 | 505,147 | ||||||
Lehman Mortgage Trust, Series 2007-2, Class 2A12, 1 mo. USD LIBOR + | 600,835 | 183,987 | ||||||
Lehman Mortgage Trust, Series 2006-8, Class 4A2, 1 mo. USD LIBOR + | 392,307 | 124,590 | ||||||
MASTR Adjustable Rate Mortgages Trust, Series 2003-3, Class 3A4, VRN | 494,596 | 492,086 | ||||||
Morgan Stanley Resecuritization Trust, Series 2015-R6, Class 2B, 1 mo. USD LIBOR + .260%, FRN (a) | 3,000,000 | 1,315,894 | ||||||
Morgan Stanley Resecuritization Trust, Series 2015-R3, Class 7A2, 12 mo. MTA + .770%, FRN (a) | 300,000 | 258,940 | ||||||
Prime Mortgage Trust, Series 2006-DR1, Class 1A1 (a) | 112,736 | 114,474 | ||||||
Prime Mortgage Trust, Series 2006-DR1, Class 1A2 (a) | 34,336 | 34,857 | ||||||
Prime Mortgage Trust, Series 2006-DR1, Class 2A2 (a) | 995,174 | 970,268 | ||||||
RALI Series Trust, Series 2006-QS7, Class A5, 1 mo. USD LIBOR + | 795,093 | 153,892 | ||||||
RBSSP Resecuritization Trust, Series 2013-4, Class 1A2, 1 mo. USD LIBOR + 1.500%, FRN (a) | 1,900,811 | 1,198,083 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 1A1, VRN | 505,550 | 408,769 |
Principal Amount | Value | |||||||
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 4A1, 12 mo. MTA + 2.150%, FRN | $ | 506,586 | $ | 436,200 | ||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A1, 1 mo. USD LIBOR + ..260%, FRN | 173,247 | 164,207 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 12 mo. MTA + .960%, FRN | 509,138 | 363,860 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2006-AR14, Class 2A3, FRN | 873,381 | 781,458 | ||||||
|
| |||||||
14,025,664 | ||||||||
|
| |||||||
WL Collateral PAC — 0.0% | ||||||||
Countrywide Alternative Loan Trust, Series 2006-18CB, Class A6, 1 mo. USD LIBOR + 28.600%, FRN | 102,658 | 162,073 | ||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $51,387,119) | 51,004,175 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 5.4% | ||||||||
Argentine Republic Government International Bond (a) | 220,000 | 239,470 | ||||||
Argentine Republic Government International Bond (a) | 170,000 | 191,760 | ||||||
Brazil Government International Bond | 200,000 | 181,500 | ||||||
Brazil Government International Bond | 550,000 | 547,250 | ||||||
Brazil Notas do Tesouro Nacional Serie F BRL (c) | 3,222,000 | 982,298 | ||||||
Brazil Notas do Tesouro Nacional Serie F BRL (c) | 6,000,000 | 1,759,650 | ||||||
Brazil Notas do Tesouro Nacional Serie F BRL (c) | 1,692,000 | 486,820 | ||||||
Colombia Government International Bond | 300,000 | 347,250 |
The accompanying notes are an integral part of the financial statements.
93
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Indonesia Government International Bond (a) | $ | 430,000 | $ | 453,151 | ||||
Indonesia Government International Bond (b) | 310,000 | 353,500 | ||||||
Mexican Bonos MXN (c) | 33,508,000 | 1,784,752 | ||||||
Mexican Bonos MXN (c) | 26,885,600 | 1,601,106 | ||||||
Mexico Government International Bond | 650,000 | 753,187 | ||||||
Peruvian Government International Bond | 250,000 | 330,625 | ||||||
Peruvian Government International Bond | 50,000 | 70,625 | ||||||
Poland Government Bond PLN (c) | 460,000 | 119,135 | ||||||
Poland Government Bond PLN (c) | 9,520,000 | 2,401,221 | ||||||
Poland Government Bond PLN (c) | 6,410,000 | 1,729,101 | ||||||
Poland Government Bond | 490,000 | 541,450 | ||||||
Portugal Government International Bond (a) | 330,000 | 328,704 | ||||||
Russian Federal Bond — OFZ RUB (c) | 27,320,000 | 409,398 | ||||||
Russian Federal Bond — OFZ RUB (c) | 89,460,000 | 1,322,793 | ||||||
Russian Federal Bond — OFZ RUB (c) | 8,260,000 | 128,777 | ||||||
Russian Federal Bond — OFZ RUB (c) | 36,350,000 | 584,662 | ||||||
|
| |||||||
17,648,185 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $18,969,590) | 17,648,185 | |||||||
|
|
Principal Amount | Value | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 18.3% | ||||||||
Collateralized Mortgage Obligations — 2.5% | ||||||||
Fannie Mae-Aces | $ | 5,818,882 | $ | 104,191 | ||||
Series 2016-M7, Class A1 | 248,392 | 250,304 | ||||||
Series 2015-M4, Class ABV2 | 131,733 | 133,836 | ||||||
Series 2015-M13, Class A2 | 90,000 | 94,535 | ||||||
Federal Home Loan Mortgage Corp. | 1,096,865 | 93,877 | ||||||
Series 334, Class S7 5.576% 8/15/44 1 mo. LIBOR + 6.100%, FRN | 335,125 | 78,577 | ||||||
Series 3621, Class SB 5.706% 1/15/40 1 mo. LIBOR + 6.230%, FRN | 78,117 | 14,857 | ||||||
Series 4203, Class PS | 383,898 | 71,597 | ||||||
Series R007, Class ZA | 224,136 | 250,861 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | 395,605 | 11,189 | ||||||
Series K712, Class X1 | 950,169 | 31,362 | ||||||
Series K015, Class X1 | 374,116 | 24,420 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | 40,467 | 386 | ||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 1,450,000 | 1,523,275 | ||||||
Series 2016-DNA1, Class M3 | 880,000 | 963,610 | ||||||
Federal National Mortgage Association Series 2005-88, Class IP | 100,413 | 6,625 | ||||||
Series 2006-88, Class IP | 72,461 | 4,520 | ||||||
Series 2006-118, Class IP2 | 186,120 | 11,371 |
The accompanying notes are an integral part of the financial statements.
94
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Series 2006-118, Class IP1 | $ | 273,123 | $ | 21,676 | ||||
Series 2006-59, Class IP | 224,744 | 18,562 | ||||||
Series 409, Class C2 | 263,872 | 22,678 | ||||||
Series 2013-1, Class YI | 2,176,597 | 286,661 | ||||||
Series 409, Class C13 | 254,279 | 36,225 | ||||||
Series 409, Class C18 | 279,175 | 43,610 | ||||||
Series 409, Class C22 | 175,544 | 25,673 | ||||||
Series 2011-59, Class NZ | 666,939 | 765,766 | ||||||
Series 2013-9, Class CB | 831,368 | 926,534 | ||||||
Series 2016-61, Class BS | 293,583 | 57,418 | ||||||
Series 2012-124, Class SE | 488,305 | 94,367 | ||||||
Series 2012-128, Class SQ | 69,419 | 13,938 | ||||||
Series 2012-133, Class CS | 128,661 | 26,040 | ||||||
Series 2012-134, Class SK | 329,346 | 66,553 | ||||||
Series 2012-46, Class BA | 229,320 | 265,369 | ||||||
Series 2011-87, Class SG | 460,094 | 74,919 | ||||||
Series 2011-96, Class SA | 483,284 | 100,162 | ||||||
Series 2012-74, Class SA | 132,290 | 26,160 | ||||||
Series 2012-28, Class B | 81,874 | 89,522 | ||||||
Series 2013-9, Class BC | 254,620 | 296,809 | ||||||
Series 2012-51, Class B | 201,884 | 234,972 | ||||||
Government National Mortgage Association | 6,285,129 | 280,838 |
Principal Amount | Value | |||||||
Series 2013-178, Class IO | $ | 448,764 | $ | 20,701 | ||||
Series 2014-186, Class IO | 3,120,605 | 191,749 | ||||||
Series 2010-H28, Class FE 0.893% 12/20/60 1 mo. LIBOR + .400%, FRN | 241,995 | 240,612 | ||||||
Series 2011-H08, Class FG 0.973% 3/20/61 1 mo. LIBOR + .480%, FRN | 210,578 | 209,949 | ||||||
Series 2011-H09, Class AF 0.993% 3/20/61 1 mo. LIBOR + .500%, FRN | 143,786 | 143,453 | ||||||
Series 2014-22, Class IA | 82,450 | 3,272 | ||||||
Series 2012-66, Class CI | 266,863 | 20,668 | ||||||
Series 2014-176, Class IA | 203,196 | 25,103 | ||||||
Series 2015-167, Class OI | 179,970 | 35,260 | ||||||
Series 2014-117, Class SJ 5.068% 8/20/44 1 mo. LIBOR + 5.600%, FRN | 142,036 | 21,706 | ||||||
Series 2016-21, Class ST 5.618% 2/20/46 1 mo. LIBOR + 6.150%, FRN | 186,741 | 42,856 | ||||||
Series 2010-31, Class GS 5.968% 3/20/39 1 mo. LIBOR + 6.500%, FRN | 35,054 | 2,698 | ||||||
Series 2010-85, Class HS 6.118% 1/20/40 1 mo. LIBOR + 6.650%, FRN | 104,160 | 12,712 | ||||||
|
| |||||||
8,414,584 | ||||||||
|
| |||||||
Pass-Through Securities — 15.8% | ||||||||
Federal Home Loan Mortgage Corp. Pool #1N1640 2.539% 1/01/37 6 mo. LIBOR + 1.461%, FRN | 97,929 | 101,350 | ||||||
Pool #1N1637 2.935% 1/01/37 6 mo. USD LIBOR + 1.956%, FRN | 139,539 | 146,484 | ||||||
Pool #1J1368 2.969% | 110,672 | 117,679 | ||||||
Pool #U90245 3.500% | 156,566 | 166,884 | ||||||
Pool #U99045 3.500% | 707,040 | 753,633 | ||||||
Pool #U99114 3.500% | 85,493 | 91,153 | ||||||
Pool #U99124 3.500% | 764,869 | 815,512 | ||||||
Pool #G14492 4.000% | 540,888 | 573,848 |
The accompanying notes are an integral part of the financial statements.
95
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #U90316 4.000% | $ | 73,579 | $ | 80,040 | ||||
Pool #U91254 4.000% | 164,240 | 178,867 | ||||||
Pool #U99054 4.000% | 1,835,266 | 1,998,719 | ||||||
Pool #Q19135 4.000% | 78,223 | 85,801 | ||||||
Pool #Q19236 4.000% | 74,359 | 81,260 | ||||||
Pool #Q19615 4.000% | 74,751 | 81,993 | ||||||
Pool #Q19985 4.000% | 2,327,054 | 2,552,487 | ||||||
Pool #U95137 4.000% | 86,182 | 93,965 | ||||||
Pool #U99076 4.500% | 599,549 | 670,370 | ||||||
Pool #U92272 4.500% | 84,225 | 94,227 | ||||||
Pool #U99084 4.500% | 506,819 | 567,004 | ||||||
Pool #U99091 4.500% | 177,634 | 198,728 | ||||||
Pool #G06496 5.000% | 141,176 | 157,417 | ||||||
Pool #G06875 5.500% | 18,574 | 21,127 | ||||||
Pool #G06669 6.500% | 36,701 | 42,708 | ||||||
Pool #G07509 6.500% | 36,645 | 42,795 | ||||||
Pool #G07335 7.000% | 86,135 | 99,015 | ||||||
Federal Home Loan Mortgage Corp. TBA | 4,500,000 | 4,666,465 | ||||||
Pool #3375 3.000% | 3,200,000 | 3,325,750 | ||||||
Pool #13621 3.500% | 1,700,000 | 1,791,441 | ||||||
Federal National Mortgage Association Pool #950385 1.876% | 26,798 | 27,143 | ||||||
Pool #AP9633 2.500% | 146,812 | 148,418 | ||||||
Pool #AM8674 2.810% | 50,000 | 52,695 | ||||||
Pool #AQ7306 3.000% | 76,443 | 79,608 | ||||||
Pool #AR1202 3.000% | 79,414 | 82,703 |
Principal Amount | Value | |||||||
Pool #MA1177 3.500% | $ | 74,967 | $ | 79,902 | ||||
Pool #MA1213 3.500% | 452,603 | 482,393 | ||||||
Pool #AS6328 3.500% | 1,999,957 | 2,110,345 | ||||||
Pool #AS6340 3.500% | 288,652 | 307,335 | ||||||
Pool #AS6541 3.500% | 289,226 | 308,805 | ||||||
Pool #AS6562 3.500% | 287,701 | 306,413 | ||||||
Pool #AK8441 4.000% | 69,226 | 74,678 | ||||||
Pool #AO2711 4.000% | 62,327 | 67,294 | ||||||
Pool #AO6086 4.000% | 76,458 | 82,718 | ||||||
Pool #AP0692 4.000% | 67,052 | 72,416 | ||||||
Pool #AP5333 4.000% | 321,712 | 347,449 | ||||||
Pool #AP2530 4.000% | 55,379 | 59,688 | ||||||
Pool #AP2958 4.000% | 51,917 | 55,957 | ||||||
Pool #AP4903 4.000% | 73,124 | 78,814 | ||||||
Pool #AP7399 4.000% | 134,615 | 145,089 | ||||||
Pool #MA1217 4.000% | 366,282 | 398,446 | ||||||
Pool #AP9229 4.000% | 62,182 | 67,157 | ||||||
Pool #AP9766 4.000% | 295,931 | 321,918 | ||||||
Pool #AQ3599 4.000% | 52,035 | 56,198 | ||||||
Pool #MA1253 4.000% | 224,851 | 244,596 | ||||||
Pool #AQ7003 4.000% | 123,416 | 132,981 | ||||||
Pool #AQ4555 4.000% | 129,821 | 140,368 | ||||||
Pool #AQ7082 4.000% | 149,472 | 161,407 | ||||||
Pool #AL3508 4.000% | 70,932 | 77,837 | ||||||
Pool #AQ4078 4.000% | 74,945 | 82,253 | ||||||
Pool #AQ4080 4.000% | 72,889 | 79,518 |
The accompanying notes are an integral part of the financial statements.
96
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #AT8394 4.000% | $ | 74,859 | $ | 82,157 | ||||
Pool #AB9683 4.000% | 133,750 | 144,993 | ||||||
Pool #AT9637 4.000% | 228,726 | 249,526 | ||||||
Pool #AT9653 4.000% | 154,695 | 169,778 | ||||||
Pool #AT9657 4.000% | 134,345 | 145,638 | ||||||
Pool #AS0070 4.000% | 83,427 | 90,962 | ||||||
Pool #MA1547 4.000% | 83,108 | 90,614 | ||||||
Pool #AS4347 4.000% | 166,651 | 181,962 | ||||||
Pool #MA0706 4.500% | 54,165 | 59,485 | ||||||
Pool #MA0734 4.500% | 171,774 | 188,643 | ||||||
Pool #MA0776 4.500% | 57,328 | 62,958 | ||||||
Pool #MA0913 4.500% | 40,816 | 44,824 | ||||||
Pool #MA0939 4.500% | 48,545 | 53,312 | ||||||
Pool #993117 4.500% | 11,336 | 12,481 | ||||||
Pool #AA0856 4.500% | 20,637 | 22,721 | ||||||
Pool #AA2450 4.500% | 5,288 | 5,822 | ||||||
Pool #AA3495 4.500% | 28,517 | 31,398 | ||||||
Pool #935520 4.500% | 63,358 | 69,758 | ||||||
Pool #AD5481 4.500% | 992,839 | 1,093,131 | ||||||
Pool #AD6914 4.500% | 113,343 | 124,792 | ||||||
Pool #AD8685 4.500% | 274,962 | 302,651 | ||||||
Pool #MA1591 4.500% | 159,147 | 177,859 | ||||||
Pool #MA1629 4.500% | 166,322 | 185,878 | ||||||
Pool #AL4341 4.500% | 17,387 | 19,089 | ||||||
Pool #AU6423 4.500% | 487,097 | 534,627 | ||||||
Pool #MA1664 4.500% | 83,403 | 93,262 |
Principal Amount | Value | |||||||
Pool #MA1711 4.500% | $ | 164,464 | $ | 183,905 | ||||
Pool #AL4741 4.500% | 79,678 | 89,046 | ||||||
Pool #AW0318 4.500% | 331,730 | 364,100 | ||||||
Pool #AL5562 4.500% | 53,256 | 58,453 | ||||||
Pool #AL5540 4.500% | 156,091 | 174,029 | ||||||
Pool #890604 4.500% | 833,771 | 926,724 | ||||||
Pool #AS4271 4.500% | 83,783 | 94,433 | ||||||
Pool #915154 5.000% | 102,572 | 114,969 | ||||||
Pool #974965 5.000% | 339,359 | 379,950 | ||||||
Pool #983077 5.000% | 93,603 | 104,798 | ||||||
Pool #310088 5.000% | 88,675 | 99,281 | ||||||
Pool #AE2266 5.000% | 147,472 | 164,857 | ||||||
Pool #937948 5.500% | 9,290 | 10,613 | ||||||
Pool #995072 5.500% | 47,343 | 54,319 | ||||||
Pool #481473 6.000% | 92 | 104 | ||||||
Pool #867557 6.000% | 2,714 | 3,079 | ||||||
Pool #AE0469 6.000% | 333,791 | 382,321 | ||||||
Pool #AL4324 6.500% | 228,561 | 266,714 | ||||||
Pool #AE0758 7.000% | 131,990 | 156,543 | ||||||
Federal National Mortgage Association TBA | 700,000 | 723,707 | ||||||
Pool #7180 3.000% | 500,000 | 524,199 | ||||||
Pool #1358 3.500% | 1,500,000 | 1,581,152 | ||||||
Pool #18388 4.000% | 4,900,000 | 5,255,824 | ||||||
Pool #29322 5.000% | 2,300,000 | 2,552,820 | ||||||
Government National Mortgage Association | 3,528 | 4,042 |
The accompanying notes are an integral part of the financial statements.
97
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #595077 6.000% | $ | 612 | $ | 709 | ||||
Pool #596620 6.000% | 440 | 494 | ||||||
Pool #604706 6.000% | 78,869 | 91,247 | ||||||
Pool #636251 6.000% | 8,042 | 9,358 | ||||||
Pool #782034 6.000% | 91,564 | 107,789 | ||||||
Pool #658029 6.000% | 39,911 | 45,840 | ||||||
Government National Mortgage Association I TBA | 900,000 | 956,812 | ||||||
Government National Mortgage Association II | 2,214,745 | 2,421,513 | ||||||
Pool #783298 4.500% | 422,202 | 460,546 | ||||||
Pool #783368 4.500% | 56,382 | 61,503 | ||||||
Pool #4747 5.000% | 251,249 | 281,183 | ||||||
Government National Mortgage Association II TBA | 2,600,000 | 2,758,844 | ||||||
|
| |||||||
52,033,405 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $60,007,245) | 60,447,989 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 28.1% | ||||||||
U.S. Treasury Bonds & Notes — 28.1% | ||||||||
U.S. Treasury Bond | 140,000 | 137,882 | ||||||
U.S. Treasury Bond | 1,520,000 | 1,576,137 | ||||||
U.S. Treasury Bond | 4,100,000 | 4,256,612 | ||||||
U.S. Treasury Bond | 2,980,000 | 3,326,476 | ||||||
U.S. Treasury Bond | 5,980,000 | 6,838,262 | ||||||
U.S. Treasury Bond | 1,320,000 | 1,510,578 | ||||||
U.S. Treasury Bond | 4,100,000 | 5,018,175 |
Principal Amount | Value | |||||||
U.S. Treasury Inflation Index | $ | 2,971,840 | $ | 3,004,325 | ||||
U.S. Treasury Inflation Index | 475,700 | 492,969 | ||||||
U.S. Treasury Inflation Index | 1,725,211 | 1,781,694 | ||||||
U.S. Treasury Inflation Index | 371,308 | 389,545 | ||||||
U.S. Treasury Inflation Index | 739,366 | 777,599 | ||||||
U.S. Treasury Inflation Index | 1,277,035 | 1,280,433 | ||||||
U.S. Treasury Inflation Index | 106,505 | 109,735 | ||||||
U.S. Treasury Inflation Index | 746,053 | 768,984 | ||||||
U.S. Treasury Inflation Index | 3,148,608 | 3,480,569 | ||||||
U.S. Treasury Inflation Index | 1,177,175 | 1,396,369 | ||||||
U.S. Treasury Inflation Index | 378,573 | 503,650 | ||||||
U.S. Treasury Note | 210,000 | 209,815 | ||||||
U.S. Treasury Note | 4,540,000 | 4,541,885 | ||||||
U.S. Treasury Note | 15,000,000 | 15,031,641 | ||||||
U.S. Treasury Note | 3,000,000 | 3,010,337 | ||||||
U.S. Treasury Note | 70,000 | 69,924 | ||||||
U.S. Treasury Note | 5,360,000 | 5,304,265 | ||||||
U.S. Treasury Note | 270,000 | 273,544 | ||||||
U.S. Treasury Note | 30,000 | 30,359 | ||||||
U.S. Treasury Note | 20,000 | 20,235 | ||||||
U.S. Treasury Note | 12,910,000 | 13,052,111 | ||||||
U.S. Treasury Note | 190,000 | 192,016 | ||||||
U.S. Treasury Note | 7,340,000 | 7,327,843 | ||||||
U.S. Treasury Note | 590,000 | 588,221 | ||||||
U.S. Treasury Note | 250,000 | 253,744 | ||||||
U.S. Treasury Note | 1,000,000 | 991,250 |
The accompanying notes are an integral part of the financial statements.
98
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
U.S. Treasury Note | $ | 270,000 | $ | 275,634 | ||||
U.S. Treasury Note | 1,390,000 | 1,420,428 | ||||||
U.S. Treasury Note | 1,510,000 | 1,532,166 | ||||||
U.S. Treasury Note | 200,000 | 200,459 | ||||||
U.S. Treasury Note | 1,710,000 | 1,776,703 | ||||||
U.S. Treasury Note | 10,000 | 10,616 | ||||||
|
| |||||||
92,763,190 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $90,037,131) | 92,763,190 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $313,102,723) | 320,256,133 | |||||||
|
| |||||||
Units | ||||||||
PURCHASED OPTIONS — 0.0% | ||||||||
Financial — 0.0% | ||||||||
Diversified Financial — 0.0% | ||||||||
Eurodollar Future Put, Expires 6/19/17, Strike 98.50 | 400 | 10,000 | ||||||
U.S. Treasury Note 10 Year Future Call, Expires 10/21/16, Strike 133.50 | 172 | 10,750 | ||||||
U.S. Treasury Note 10 Year Future Call, Expires 10/7/16, Strike 132.00 | 23 | 2,156 | ||||||
U.S. Treasury Note 5 Year Future Put, Expires 10/21/16, Strike 120.50 | 197 | 7,696 | ||||||
|
| |||||||
30,602 | ||||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (Cost $61,512) | 30,602 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $313,326,895) | 320,446,092 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 8.8% | ||||||||
Repurchase Agreement — 7.9% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated | $ | 25,978,667 | 25,978,667 | |||||
|
|
Principal Amount | Value | |||||||
U.S. Treasury Bill — 0.9% | ||||||||
U.S. Treasury Bill | $ | 3,000,000 | $ | 2,999,859 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $28,978,330) | 28,978,526 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 106.0% (Cost $342,305,225) (g) | 349,424,618 | |||||||
Other Assets/(Liabilities) — (6.0)% | (19,848,966 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 329,575,652 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
BRL | Brazilian Real |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
DIP | Debtor In Possession |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
MTA | Monthly Treasury Average Index |
MXN | Mexican Peso |
PAC | Planned Amortization Class |
PLN | Polish Zloty |
RUB | Russian Ruble |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
WL | Whole Loan |
(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 September 30, 2016, these securities amounted to a value of $36,101,439 or 10.95% of net assets. |
(b) | 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 September 30, 2016, these securities amounted to a value of $779,000 or 0.24% of net assets. |
(c) | The principal amount of the security is in foreign currency. The market value is in U.S. dollars. |
(d) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(e) | Restricted security. Certain securities are restricted as to resale. At September 30, 2016, these securities amounted to a value of $2,422,917 or 0.74% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(f) | Maturity value of $25,978,688. Collateralized by U.S. Government Agency obligations with rates ranging from 2.125% – 3.125%, maturity dates ranging from 5/15/21 – 9/30/21, and an aggregate market value, including accrued interest, of $26,502,291. |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
99
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 97.3% | ||||||||
COMMON STOCK — 97.3% | ||||||||
Basic Materials — 2.7% | ||||||||
Chemicals — 1.8% | ||||||||
Ashland Global Holdings, Inc. | 1,600 | $ | 185,520 | |||||
Celanese Corp. Series A | 3,600 | 239,616 | ||||||
The Dow Chemical Co. | 28,100 | 1,456,423 | ||||||
E.I. du Pont de Nemours & Co. | 28,045 | 1,878,173 | ||||||
Eastman Chemical Co. | 3,700 | 250,416 | ||||||
LyondellBasell Industries NV Class A | 13,800 | 1,113,108 | ||||||
The Mosaic Co. | 4,500 | 110,070 | ||||||
PPG Industries, Inc. | 6,600 | 682,176 | ||||||
RPM International, Inc. | 3,200 | 171,904 | ||||||
|
| |||||||
6,087,406 | ||||||||
|
| |||||||
Forest Products & Paper — 0.1% | ||||||||
International Paper Co. | 10,200 | 489,396 | ||||||
|
| |||||||
Iron & Steel — 0.2% | ||||||||
Nucor Corp. | 7,800 | 385,710 | ||||||
Reliance Steel & Aluminum Co. | 1,800 | 129,654 | ||||||
|
| |||||||
515,364 | ||||||||
|
| |||||||
Mining — 0.6% | ||||||||
Vulcan Materials Co. | 17,301 | 1,967,643 | ||||||
|
| |||||||
9,059,809 | ||||||||
|
| |||||||
Communications — 9.8% | ||||||||
Advertising — 0.2% | ||||||||
The Interpublic Group of Companies, Inc. | 9,900 | 221,265 | ||||||
Omnicom Group, Inc. | 5,900 | 501,500 | ||||||
|
| |||||||
722,765 | ||||||||
|
| |||||||
Internet — 1.0% | ||||||||
CDW Corp. | 4,100 | 187,493 | ||||||
Liberty Interactive Corp. QVC Group Class A (a) | 69,972 | 1,400,140 | ||||||
Symantec Corp. | 67,284 | 1,688,828 | ||||||
|
| |||||||
3,276,461 | ||||||||
|
| |||||||
Media — 3.8% | ||||||||
CBS Corp. Class B | 10,500 | 574,770 | ||||||
Comcast Corp. Class A | 68,222 | 4,525,847 | ||||||
Discovery Communications, Inc. Series A (a) | 3,800 | 102,296 | ||||||
Liberty Global PLC Series A (a) | 32,425 | 1,108,287 | ||||||
News Corp. Class A | 9,400 | 131,412 | ||||||
Scripps Networks Interactive Class A | 2,300 | 146,027 | ||||||
Time Warner, Inc. | 35,600 | 2,834,116 | ||||||
Twenty-First Century Fox, Inc. Class A | 28,400 | 687,848 | ||||||
Viacom, Inc. Class B | 8,500 | 323,850 |
Number of Shares | Value | |||||||
The Walt Disney Co. | 24,400 | $ | 2,265,784 | |||||
|
| |||||||
12,700,237 | ||||||||
|
| |||||||
Telecommunications — 4.8% | ||||||||
CenturyLink, Inc. | 13,500 | 370,305 | ||||||
Cisco Systems, Inc. | 200,926 | 6,373,373 | ||||||
Corning, Inc. | 35,600 | 841,940 | ||||||
Verizon Communications, Inc. | 138,868 | 7,218,359 | ||||||
Vodafone Group PLC Sponsored ADR (United Kingdom) | 46,140 | 1,344,981 | ||||||
|
| |||||||
16,148,958 | ||||||||
|
| |||||||
32,848,421 | ||||||||
|
| |||||||
Consumer, Cyclical — 8.3% | ||||||||
Airlines — 0.2% | ||||||||
Southwest Airlines Co. | 15,900 | 618,351 | ||||||
|
| |||||||
Apparel — 0.6% | ||||||||
Hanesbrands, Inc. | 5,900 | 148,975 | ||||||
Michael Kors Holdings Ltd. (a) | 4,400 | 205,876 | ||||||
Ralph Lauren Corp. | 17,006 | 1,719,987 | ||||||
|
| |||||||
2,074,838 | ||||||||
|
| |||||||
Auto Manufacturers — 0.7% | ||||||||
Ford Motor Co. | 58,700 | 708,509 | ||||||
General Motors Co. | 38,700 | 1,229,499 | ||||||
Paccar, Inc. | 8,700 | 511,386 | ||||||
|
| |||||||
2,449,394 | ||||||||
|
| |||||||
Automotive & Parts — 0.3% | ||||||||
Delphi Automotive PLC | 6,800 | 484,976 | ||||||
The Goodyear Tire & Rubber Co. | 6,500 | 209,950 | ||||||
Lear Corp. | 2,000 | 242,440 | ||||||
|
| |||||||
937,366 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.1% | ||||||||
W.W. Grainger, Inc. | 1,500 | 337,260 | ||||||
|
| |||||||
Entertainment — 0.0% | ||||||||
Cinemark Holdings, Inc. | 3,000 | 114,840 | ||||||
|
| |||||||
Home Builders — 0.1% | ||||||||
NVR, Inc. (a) | 90 | 147,588 | ||||||
PulteGroup, Inc. | 8,800 | 176,352 | ||||||
|
| |||||||
323,940 | ||||||||
|
| |||||||
Home Furnishing — 0.1% | ||||||||
Whirlpool Corp. | 1,900 | 308,104 | ||||||
|
| |||||||
Housewares — 0.5% | ||||||||
Newell Brands, Inc. | 32,552 | 1,714,188 | ||||||
|
| |||||||
Leisure Time — 0.7% | ||||||||
Brunswick Corp. | 2,300 | 112,194 | ||||||
Carnival Corp. | 14,500 | 707,890 | ||||||
Harley-Davidson, Inc. | 28,906 | 1,520,167 | ||||||
|
| |||||||
2,340,251 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
100
MassMutual Select Diversified Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Lodging — 0.1% | ||||||||
Hyatt Hotels Corp. Class A (a) | 1,000 | $ | 49,220 | |||||
Wyndham Worldwide Corp. | 2,900 | 195,257 | ||||||
|
| |||||||
244,477 | ||||||||
|
| |||||||
Retail — 4.8% | ||||||||
Advance Auto Parts, Inc. | 8,032 | 1,197,732 | ||||||
Best Buy Co., Inc. | 8,000 | 305,440 | ||||||
CarMax, Inc. (a) | 4,700 | 250,745 | ||||||
CVS Health Corp. | 51,124 | 4,549,525 | ||||||
Darden Restaurants, Inc. | 3,100 | 190,092 | ||||||
Dick’s Sporting Goods, Inc. | 2,300 | 130,456 | ||||||
Dollar General Corp. | 22,116 | 1,547,899 | ||||||
Foot Locker, Inc. | 3,300 | 223,476 | ||||||
The Gap, Inc. | 9,700 | 215,728 | ||||||
Kohl’s Corp. | 4,600 | 201,250 | ||||||
Macy’s, Inc. | 7,600 | 281,580 | ||||||
The Michaels Cos., Inc. (a) | 5,300 | 128,101 | ||||||
PVH Corp. | 2,000 | 221,000 | ||||||
Target Corp. | 15,100 | 1,037,068 | ||||||
Wal-Mart Stores, Inc. | 76,800 | 5,538,816 | ||||||
|
| |||||||
16,018,908 | ||||||||
|
| |||||||
Textiles — 0.1% | ||||||||
Mohawk Industries, Inc. (a) | 1,800 | 360,612 | ||||||
|
| |||||||
27,842,529 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 17.7% | ||||||||
Agriculture — 0.8% | ||||||||
Archer-Daniels-Midland Co. | 16,500 | 695,805 | ||||||
Bunge Ltd. | 1,800 | 106,614 | ||||||
Philip Morris International, Inc. | 20,192 | 1,963,066 | ||||||
|
| |||||||
2,765,485 | ||||||||
|
| |||||||
Beverages — 0.6% | ||||||||
PepsiCo, Inc. | 18,639 | 2,027,364 | ||||||
|
| |||||||
Biotechnology — 1.4% | ||||||||
Amgen, Inc. | 18,500 | 3,085,985 | ||||||
Biogen, Inc. (a) | 5,400 | 1,690,362 | ||||||
|
| |||||||
4,776,347 | ||||||||
|
| |||||||
Commercial Services — 0.4% | ||||||||
McKesson Corp. | 5,600 | 933,800 | ||||||
United Rentals, Inc. (a) | 2,200 | 172,678 | ||||||
The Western Union Co. | 12,800 | 266,496 | ||||||
|
| |||||||
1,372,974 | ||||||||
|
| |||||||
Foods — 0.7% | ||||||||
Ingredion, Inc. | 1,700 | 226,202 | ||||||
Mondelez International, Inc. Class A | 46,427 | 2,038,145 | ||||||
Pilgrim’s Pride Corp. | 6,500 | 137,280 | ||||||
|
| |||||||
2,401,627 | ||||||||
|
| |||||||
Health Care – Products — 3.2% | ||||||||
Johnson & Johnson | 67,700 | 7,997,401 | ||||||
Medtronic PLC | 30,766 | 2,658,183 | ||||||
|
| |||||||
10,655,584 | ||||||||
|
|
Number of Shares | Value | |||||||
Health Care – Services — 2.7% | ||||||||
Aetna, Inc. | 14,488 | $ | 1,672,640 | |||||
Anthem, Inc. | 7,300 | 914,763 | ||||||
Cigna Corp. | 6,300 | 821,016 | ||||||
DaVita, Inc. (a) | 5,100 | 336,957 | ||||||
HCA Holdings, Inc. (a) | 9,900 | 748,737 | ||||||
Humana, Inc. | 5,442 | 962,635 | ||||||
MEDNAX, Inc. (a) | 2,400 | 159,000 | ||||||
Quest Diagnostics, Inc. | 3,600 | 304,668 | ||||||
UnitedHealth Group, Inc. | 19,386 | 2,714,040 | ||||||
Universal Health Services, Inc. Class B | 2,200 | 271,084 | ||||||
|
| |||||||
8,905,540 | ||||||||
|
| |||||||
Household Products — 0.0% | ||||||||
The Scotts Miracle-Gro Co. Class A | 1,500 | 124,905 | ||||||
|
| |||||||
Pharmaceuticals — 7.9% | ||||||||
AbbVie, Inc. | 61,683 | 3,890,347 | ||||||
Allergan PLC (a) | 8,682 | 1,999,551 | ||||||
Cardinal Health, Inc. | 8,000 | 621,600 | ||||||
Eli Lilly & Co. | 20,694 | 1,660,900 | ||||||
Express Scripts Holding Co. (a) | 15,500 | 1,093,215 | ||||||
Herbalife Ltd. (a) | 1,900 | 117,781 | ||||||
Mallinckrodt PLC (a) | 2,800 | 195,384 | ||||||
Merck & Co., Inc. | 114,016 | 7,115,739 | ||||||
Pfizer, Inc. | 235,683 | 7,982,583 | ||||||
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel) | 40,068 | 1,843,529 | ||||||
|
| |||||||
26,520,629 | ||||||||
|
| |||||||
59,550,455 | ||||||||
|
| |||||||
Energy — 8.6% | ||||||||
Oil & Gas — 7.2% | ||||||||
Chevron Corp. | 67,493 | 6,946,380 | ||||||
Exxon Mobil Corp. | 102,000 | 8,902,560 | ||||||
Helmerich & Payne, Inc. | 2,700 | 181,710 | ||||||
Hess Corp. | 45,160 | 2,421,479 | ||||||
Murphy Oil Corp. | 4,300 | 130,720 | ||||||
Occidental Petroleum Corp. | 18,700 | 1,363,604 | ||||||
Phillips 66 | 15,000 | 1,208,250 | ||||||
Royal Dutch Shell PLC A Shares Sponsored ADR (United Kingdom) | 33,939 | 1,699,326 | ||||||
Valero Energy Corp. | 22,567 | 1,196,051 | ||||||
|
| |||||||
24,050,080 | ||||||||
|
| |||||||
Oil & Gas Services — 1.4% | ||||||||
Baker Hughes, Inc. | 10,600 | 534,982 | ||||||
Halliburton Co. | 55,527 | 2,492,052 | ||||||
National Oilwell Varco, Inc. | 48,486 | 1,781,375 | ||||||
|
| |||||||
4,808,409 | ||||||||
|
| |||||||
28,858,489 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
101
MassMutual Select Diversified Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Financial — 24.5% | ||||||||
Banks — 7.0% | ||||||||
Bank of America Corp. | 436,361 | $ | 6,829,050 | |||||
The Bank of New York Mellon Corp. | 28,200 | 1,124,616 | ||||||
BOK Financial Corp. | 1,700 | 117,249 | ||||||
Capital One Financial Corp. | 13,100 | 940,973 | ||||||
Citizens Financial Group, Inc. | 13,100 | 323,701 | ||||||
Comerica, Inc. | 4,400 | 208,208 | ||||||
Commerce Bancshares, Inc. | 2,672 | 131,623 | ||||||
Cullen/Frost Bankers, Inc. | 1,600 | 115,104 | ||||||
East West Bancorp, Inc. | 3,600 | 132,156 | ||||||
Fifth Third Bancorp | 87,453 | 1,789,288 | ||||||
Northern Trust Corp. | 5,600 | 380,744 | ||||||
The PNC Financial Services Group, Inc. | 38,911 | 3,505,492 | ||||||
Regions Financial Corp. | 34,000 | 335,580 | ||||||
State Street Corp. | 28,321 | 1,971,991 | ||||||
SunTrust Banks, Inc. | 12,900 | 565,020 | ||||||
Synovus Financial Corp. | 3,300 | 107,349 | ||||||
U.S. Bancorp | 42,700 | 1,831,403 | ||||||
Wells Fargo & Co. | 72,180 | 3,196,130 | ||||||
|
| |||||||
23,605,677 | ||||||||
|
| |||||||
Diversified Financial — 10.2% | ||||||||
Ally Financial, Inc. | 11,700 | 227,799 | ||||||
American Express Co. | 45,613 | 2,921,057 | ||||||
Ameriprise Financial, Inc. | 21,295 | 2,124,602 | ||||||
BlackRock, Inc. | 4,000 | 1,449,840 | ||||||
Citigroup, Inc. | 117,478 | 5,548,486 | ||||||
Credit Acceptance Corp. (a) | 200 | 40,214 | ||||||
Discover Financial Services | 52,458 | 2,966,500 | ||||||
E*TRADE Financial Corp. (a) | 6,900 | 200,928 | ||||||
Eaton Vance Corp. | 2,900 | 113,245 | ||||||
FNF Group | 62,010 | 2,288,789 | ||||||
Franklin Resources, Inc. | 14,300 | 508,651 | ||||||
The Goldman Sachs Group, Inc. | 11,000 | 1,773,970 | ||||||
Invesco Ltd. | 10,700 | 334,589 | ||||||
JP Morgan Chase & Co. | 159,253 | 10,604,657 | ||||||
Morgan Stanley | 47,300 | 1,516,438 | ||||||
Nasdaq, Inc. | 4,100 | 276,914 | ||||||
Navient Corp. | 8,100 | 117,207 | ||||||
Raymond James Financial, Inc. | 3,500 | 203,735 | ||||||
Synchrony Financial | 20,625 | 577,500 | ||||||
T. Rowe Price Group, Inc. | 6,100 | 405,650 | ||||||
|
| |||||||
34,200,771 | ||||||||
|
| |||||||
Insurance — 6.2% | ||||||||
Aflac, Inc. | 10,400 | 747,448 | ||||||
Alleghany Corp. (a) | 500 | 262,510 | ||||||
The Allstate Corp. | 11,400 | 788,652 | ||||||
American Financial Group, Inc. | 5,000 | 375,000 | ||||||
American International Group, Inc. | 74,236 | 4,405,164 | ||||||
Arch Capital Group Ltd. (a) | 3,000 | 237,780 | ||||||
Assurant, Inc. | 1,900 | 175,275 |
Number of Shares | Value | |||||||
Axis Capital Holdings Ltd. | 2,400 | $ | 130,392 | |||||
Cincinnati Financial Corp. | 4,100 | 309,222 | ||||||
Everest Re Group Ltd. | 1,300 | 246,961 | ||||||
The Hartford Financial Services Group, Inc. | 10,000 | 428,200 | ||||||
Lincoln National Corp. | 5,800 | 272,484 | ||||||
Loews Corp. | 8,600 | 353,890 | ||||||
Markel Corp. (a) | 400 | 371,508 | ||||||
MetLife, Inc. | 67,720 | 3,008,800 | ||||||
Old Republic International Corp. | 3,000 | 52,860 | ||||||
Principal Financial Group, Inc. | 7,200 | 370,872 | ||||||
The Progressive Corp. | 14,400 | 453,600 | ||||||
Prudential Financial, Inc. | 11,400 | 930,810 | ||||||
Reinsurance Group of America, Inc. | 2,000 | 215,880 | ||||||
RenaissanceRe Holdings Ltd. | 1,000 | 120,160 | ||||||
Torchmark Corp. | 8,600 | 549,454 | ||||||
The Travelers Cos., Inc. | 35,805 | 4,101,463 | ||||||
Unum Group | 51,479 | 1,817,723 | ||||||
Validus Holdings Ltd. | 800 | 39,856 | ||||||
W.R. Berkley Corp. | 3,000 | 173,280 | ||||||
|
| |||||||
20,939,244 | ||||||||
|
| |||||||
Real Estate — 0.3% | ||||||||
CBRE Group, Inc. Class A (a) | 37,060 | 1,036,939 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.7% | ||||||||
Outfront Media, Inc. | 28,592 | 676,201 | ||||||
Weyerhaeuser Co. | 58,377 | 1,864,561 | ||||||
|
| |||||||
2,540,762 | ||||||||
|
| |||||||
Savings & Loans — 0.1% | ||||||||
Investors Bancorp, Inc. | 8,600 | 103,286 | ||||||
People’s United Financial, Inc. | 6,700 | 105,994 | ||||||
|
| |||||||
209,280 | ||||||||
|
| |||||||
82,532,673 | ||||||||
|
| |||||||
Industrial — 11.6% | ||||||||
Aerospace & Defense — 3.9% | ||||||||
BE Aerospace, Inc. | 2,600 | 134,316 | ||||||
The Boeing Co. | 16,400 | 2,160,536 | ||||||
General Dynamics Corp. | 9,300 | 1,442,988 | ||||||
Harris Corp. | 17,286 | 1,583,571 | ||||||
L-3 Communications Holdings, Inc. | 2,200 | 331,606 | ||||||
Northrop Grumman Corp. | 10,454 | 2,236,633 | ||||||
Orbital ATK, Inc. | 1,500 | 114,345 | ||||||
Rockwell Collins, Inc. | 3,200 | 269,888 | ||||||
Spirit AeroSystems Holdings, Inc. Class A (a) | 3,500 | 155,890 | ||||||
United Technologies Corp. | 47,745 | 4,850,892 | ||||||
|
| |||||||
13,280,665 | ||||||||
|
| |||||||
Building Materials — 0.0% | ||||||||
Owens Corning, Inc. | 2,800 | 149,492 | ||||||
|
| |||||||
Electrical Components & Equipment — 0.3% | ||||||||
Emerson Electric Co. | 16,000 | 872,160 |
The accompanying notes are an integral part of the financial statements.
102
MassMutual Select Diversified Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Hubbell, Inc. | 1,300 | $ | 140,062 | |||||
|
| |||||||
1,012,222 | ||||||||
|
| |||||||
Electronics — 0.2% | ||||||||
Arrow Electronics, Inc. (a) | 2,500 | 159,925 | ||||||
Avnet, Inc. | 5,100 | 209,406 | ||||||
Garmin Ltd. | 2,900 | 139,519 | ||||||
Gentex Corp. | 7,400 | 129,944 | ||||||
Jabil Circuit, Inc. | 4,700 | 102,554 | ||||||
|
| |||||||
741,348 | ||||||||
|
| |||||||
Engineering & Construction — 0.1% | ||||||||
Fluor Corp. | 3,600 | 184,752 | ||||||
Jacobs Engineering Group, Inc. (a) | 3,100 | 160,332 | ||||||
|
| |||||||
345,084 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.2% | ||||||||
Lincoln Electric Holdings, Inc. | 1,700 | 106,454 | ||||||
Snap-on, Inc. | 1,400 | 212,744 | ||||||
Stanley Black & Decker, Inc. | 3,700 | 455,026 | ||||||
|
| |||||||
774,224 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.6% | ||||||||
Ingersoll-Rand PLC | 29,155 | 1,980,790 | ||||||
|
| |||||||
Machinery – Diversified — 0.6% | ||||||||
AGCO Corp. | 2,100 | 103,572 | ||||||
Cummins, Inc. | 4,200 | 538,230 | ||||||
Deere & Co. | 7,900 | 674,265 | ||||||
Flowserve Corp. | 3,200 | 154,368 | ||||||
Rockwell Automation, Inc. | 3,200 | 391,488 | ||||||
|
| |||||||
1,861,923 | ||||||||
|
| |||||||
Manufacturing — 2.8% | ||||||||
Carlisle Cos., Inc. | 1,600 | 164,112 | ||||||
Eaton Corp. PLC | 39,478 | 2,594,099 | ||||||
Honeywell International, Inc. | 34,521 | 4,024,804 | ||||||
Parker Hannifin Corp. | 3,400 | 426,802 | ||||||
Pentair PLC | 30,855 | 1,982,125 | ||||||
Textron, Inc. | 6,900 | 274,275 | ||||||
|
| |||||||
9,466,217 | ||||||||
|
| |||||||
Packaging & Containers — 0.8% | ||||||||
Bemis Co., Inc. | 2,500 | 127,525 | ||||||
Crown Holdings, Inc. (a) | 3,500 | 199,815 | ||||||
Graphic Packaging Holding Co. | 8,300 | 116,117 | ||||||
Packaging Corporation of America | 2,400 | 195,024 | ||||||
Sealed Air Corp. | 41,116 | 1,883,935 | ||||||
Sonoco Products Co. | 2,500 | 132,075 | ||||||
|
| |||||||
2,654,491 | ||||||||
|
| |||||||
Shipbuilding — 0.1% | ||||||||
Huntington Ingalls Industries, Inc. | 1,200 | 184,104 | ||||||
|
| |||||||
Transportation — 2.0% | ||||||||
CSX Corp. | 25,100 | 765,550 | ||||||
Norfolk Southern Corp. | 28,597 | 2,775,625 | ||||||
Old Dominion Freight Line, Inc. (a) | 1,300 | 89,193 |
Number of Shares | Value | |||||||
Union Pacific Corp. | 20,500 | $ | 1,999,365 | |||||
United Parcel Service, Inc. Class B | 8,900 | 973,304 | ||||||
|
| |||||||
6,603,037 | ||||||||
|
| |||||||
Trucking & Leasing — 0.0% | ||||||||
AMERCO | 500 | 162,115 | ||||||
|
| |||||||
39,215,712 | ||||||||
|
| |||||||
Technology — 10.8% | ||||||||
Computers — 5.0% | ||||||||
Apple, Inc. | 111,844 | 12,643,964 | ||||||
Computer Sciences Corp. | 3,500 | 182,735 | ||||||
DST Systems, Inc. | 300 | 35,376 | ||||||
International Business Machines Corp. | 23,800 | 3,780,630 | ||||||
Syntel, Inc. (a) | 2,000 | 83,820 | ||||||
Teradata Corp. (a) | 1,700 | 52,700 | ||||||
|
| |||||||
16,779,225 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.1% | ||||||||
Pitney Bowes, Inc. | 4,700 | 85,352 | ||||||
Xerox Corp. | 24,800 | 251,224 | ||||||
|
| |||||||
336,576 | ||||||||
|
| |||||||
Semiconductors — 2.8% | ||||||||
Intel Corp. | 117,000 | 4,416,750 | ||||||
Lam Research Corp. | 3,200 | 303,072 | ||||||
Micron Technology, Inc. (a) | 25,700 | 456,946 | ||||||
Qorvo, Inc. (a) | 3,200 | 178,368 | ||||||
QUALCOMM, Inc. | 53,549 | 3,668,107 | ||||||
Skyworks Solutions, Inc. | 4,600 | 350,244 | ||||||
|
| |||||||
9,373,487 | ||||||||
|
| |||||||
Software — 2.9% | ||||||||
CA, Inc. | 10,800 | 357,264 | ||||||
The Dun & Bradstreet Corp. | 1,100 | 150,282 | ||||||
Microsoft Corp. | 61,212 | 3,525,811 | ||||||
Oracle Corp. | 151,815 | 5,963,293 | ||||||
|
| |||||||
9,996,650 | ||||||||
|
| |||||||
36,485,938 | ||||||||
|
| |||||||
Utilities — 3.3% | ||||||||
Electric — 3.3% | ||||||||
The AES Corp. | 18,300 | 235,155 | ||||||
Ameren Corp. | 6,000 | 295,080 | ||||||
American Electric Power Co., Inc. | 12,200 | 783,362 | ||||||
Calpine Corp. (a) | 84,909 | 1,073,250 | ||||||
DTE Energy Co. | 4,400 | 412,148 | ||||||
Duke Energy Corp. | 16,900 | 1,352,676 | ||||||
Edison International | 7,900 | 570,775 | ||||||
Entergy Corp. | 4,500 | 345,285 | ||||||
Eversource Energy | 7,800 | 422,604 | ||||||
Great Plains Energy, Inc. | 3,900 | 106,431 | ||||||
NextEra Energy, Inc. | 17,117 | 2,093,751 | ||||||
OGE Energy Corp. | 5,100 | 161,262 |
The accompanying notes are an integral part of the financial statements.
103
MassMutual Select Diversified Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
PG&E Corp. | 28,971 | $ | 1,772,156 | |||||
Pinnacle West Capital Corp. | 2,800 | 212,772 | ||||||
Public Service Enterprise Group, Inc. | 12,500 | 523,375 | ||||||
SCANA Corp. | 3,500 | 253,295 | ||||||
Xcel Energy, Inc. | 12,400 | 510,136 | ||||||
|
| |||||||
11,123,513 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $285,719,052) | 327,517,539 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $285,719,052) | 327,517,539 | |||||||
|
| |||||||
MUTUAL FUNDS — 0.9% | ||||||||
Diversified Financial — 0.9% | ||||||||
iShares Russell 1000 Value Index Fund | 28,700 | 3,031,294 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $3,046,251) | 3,031,294 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $288,765,303) | 330,548,833 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.8% | ||||||||
Repurchase Agreement — 1.8% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (b) | $ | 5,980,555 | 5,980,555 | |||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 537 | 537 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,981,092) | 5,981,092 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% (Cost $294,746,395) (c) | 336,529,925 | |||||||
Other Assets/(Liabilities) — (0.0)% | (144,257 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 336,385,668 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
(a) | Non-income producing security. |
(b) | Maturity value of $5,980,560. Collateralized by U.S. Government Agency obligations with rates ranging from 1.000% – 3.125%, maturity dates ranging from 5/15/18 – 5/15/21, and an aggregate market value, including accrued interest, of $6,108,081. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
104
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 97.5% | ||||||||
COMMON STOCK — 97.5% | ||||||||
Basic Materials — 2.5% | ||||||||
Chemicals — 1.9% | ||||||||
Agrium, Inc. | 87,560 | $ | 7,940,816 | |||||
The Dow Chemical Co. | 301,700 | 15,637,111 | ||||||
|
| |||||||
23,577,927 | ||||||||
|
| |||||||
Forest Products & Paper — 0.6% | ||||||||
International Paper Co. | 166,870 | 8,006,423 | ||||||
|
| |||||||
31,584,350 | ||||||||
|
| |||||||
Communications — 10.8% | ||||||||
Advertising — 1.1% | ||||||||
Nielsen Holdings PLC | 255,860 | 13,706,420 | ||||||
|
| |||||||
Internet — 0.8% | ||||||||
Liberty Interactive Corp. QVC Group Class A (a) | 489,050 | 9,785,891 | ||||||
|
| |||||||
Media — 3.3% | ||||||||
CBS Corp. Class B | 278,100 | 15,223,194 | ||||||
Comcast Corp. Class A | 219,520 | 14,562,957 | ||||||
Thomson Reuters Corp. | 288,760 | 11,948,889 | ||||||
|
| |||||||
41,735,040 | ||||||||
|
| |||||||
Telecommunications — 5.6% | ||||||||
Cisco Systems, Inc. | 1,235,730 | 39,197,355 | ||||||
Nokia OYJ Sponsored ADR (Finland) | 1,985,100 | 11,493,729 | ||||||
Verizon Communications, Inc. | 393,270 | 20,442,175 | ||||||
|
| |||||||
71,133,259 | ||||||||
|
| |||||||
136,360,610 | ||||||||
|
| |||||||
Consumer, Cyclical — 7.3% | ||||||||
Home Builders — 1.1% | ||||||||
PulteGroup, Inc. | 695,750 | 13,942,830 | ||||||
|
| |||||||
Leisure Time — 0.8% | ||||||||
Norwegian Cruise Line Holdings Ltd. (a) | 276,950 | 10,441,015 | ||||||
|
| |||||||
Lodging — 1.0% | ||||||||
Hilton Worldwide Holdings, Inc. | 546,560 | 12,532,621 | ||||||
|
| |||||||
Retail — 4.4% | ||||||||
CVS Health Corp. | 149,560 | 13,309,345 | ||||||
The Home Depot, Inc. | 85,430 | 10,993,132 | ||||||
Lowe’s Cos., Inc. | 160,230 | 11,570,208 | ||||||
PVH Corp. | 110,690 | 12,231,245 | ||||||
Signet Jewelers Ltd. | 96,620 | 7,201,089 | ||||||
|
| |||||||
55,305,019 | ||||||||
|
| |||||||
92,221,485 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 18.0% | ||||||||
Agriculture — 2.8% | ||||||||
British American Tobacco PLC | 223,941 | 14,321,558 |
Number of Shares | Value | |||||||
Philip Morris International, Inc. | 211,630 | $ | 20,574,669 | |||||
|
| |||||||
34,896,227 | ||||||||
|
| |||||||
Biotechnology — 1.0% | ||||||||
Amgen, Inc. | 79,370 | 13,239,710 | ||||||
|
| |||||||
Foods — 2.0% | ||||||||
The Kraft Heinz Co. | 127,756 | 11,435,439 | ||||||
Mondelez International, Inc. Class A | 317,850 | 13,953,615 | ||||||
|
| |||||||
25,389,054 | ||||||||
|
| |||||||
Health Care – Products — 2.4% | ||||||||
Baxter International, Inc. | 154,960 | 7,376,096 | ||||||
Medtronic PLC | 261,527 | 22,595,933 | ||||||
|
| |||||||
29,972,029 | ||||||||
|
| |||||||
Health Care – Services — 1.6% | ||||||||
UnitedHealth Group, Inc. | 141,160 | 19,762,400 | ||||||
|
| |||||||
Pharmaceuticals — 8.2% | ||||||||
Allergan PLC (a) | 69,760 | 16,066,425 | ||||||
AstraZeneca PLC Sponsored ADR (United Kingdom) | 449,230 | 14,761,698 | ||||||
Bristol-Myers Squibb Co. | 275,680 | 14,864,666 | ||||||
Merck & Co., Inc. | 569,890 | 35,566,835 | ||||||
Pfizer, Inc. | 197,675 | 6,695,252 | ||||||
Roche Holding AG | 62,867 | 15,574,425 | ||||||
|
| |||||||
103,529,301 | ||||||||
|
| |||||||
226,788,721 | ||||||||
|
| |||||||
Energy — 12.0% | ||||||||
Oil & Gas — 10.7% | ||||||||
Anadarko Petroleum Corp. | 124,540 | 7,890,854 | ||||||
Canadian Natural Resources Ltd. | 309,030 | 9,901,321 | ||||||
Chevron Corp. | 286,500 | 29,486,580 | ||||||
EOG Resources, Inc. | 207,670 | 20,083,766 | ||||||
Exxon Mobil Corp. | 225,400 | 19,672,912 | ||||||
Marathon Oil Corp. | 980,181 | 15,496,662 | ||||||
Occidental Petroleum Corp. | 124,140 | 9,052,289 | ||||||
Pioneer Natural Resources Co. | 81,140 | 15,063,641 | ||||||
Southwestern Energy Co. (a) | 570,650 | 7,897,796 | ||||||
|
| |||||||
134,545,821 | ||||||||
|
| |||||||
Oil & Gas Services — 1.3% | ||||||||
Halliburton Co. | 384,470 | 17,255,013 | ||||||
|
| |||||||
151,800,834 | ||||||||
|
| |||||||
Financial — 24.0% | ||||||||
Banks — 6.4% | ||||||||
M&T Bank Corp. | 119,470 | 13,870,467 | ||||||
The PNC Financial Services Group, Inc. | 290,960 | 26,212,586 | ||||||
Wells Fargo & Co. | 912,230 | 40,393,545 | ||||||
|
| |||||||
80,476,598 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
105
MassMutual Select Fundamental Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Diversified Financial — 11.2% | ||||||||
Ameriprise Financial, Inc. | 87,300 | $ | 8,709,921 | |||||
BlackRock, Inc. | 48,100 | 17,434,326 | ||||||
Citigroup, Inc. | 560,000 | 26,448,800 | ||||||
The Goldman Sachs Group, Inc. | 74,400 | 11,998,488 | ||||||
Intercontinental Exchange, Inc. | 45,850 | 12,350,156 | ||||||
Invesco Ltd. | 516,840 | 16,161,587 | ||||||
JP Morgan Chase & Co. | 717,966 | 47,809,356 | ||||||
|
| |||||||
140,912,634 | ||||||||
|
| |||||||
Insurance — 6.4% | ||||||||
American International Group, Inc. | 221,120 | 13,121,261 | ||||||
Chubb Ltd. | 171,270 | 21,520,075 | ||||||
Marsh & McLennan Cos., Inc. | 235,810 | 15,858,222 | ||||||
MetLife, Inc. | 315,000 | 13,995,450 | ||||||
Principal Financial Group, Inc. | 190,758 | 9,825,945 | ||||||
Unum Group | 200,830 | 7,091,307 | ||||||
|
| |||||||
81,412,260 | ||||||||
|
| |||||||
302,801,492 | ||||||||
|
| |||||||
Industrial — 11.1% | ||||||||
Aerospace & Defense — 2.0% | ||||||||
Triumph Group, Inc. | 248,310 | 6,922,883 | ||||||
United Technologies Corp. | 177,250 | 18,008,600 | ||||||
|
| |||||||
24,931,483 | ||||||||
|
| |||||||
Building Materials — 1.1% | ||||||||
Fortune Brands Home & Security, Inc. | 236,180 | 13,722,058 | ||||||
|
| |||||||
Machinery – Construction & Mining — 2.2% | ||||||||
Caterpillar, Inc. | 123,800 | 10,989,726 | ||||||
Ingersoll-Rand PLC | 246,660 | 16,758,080 | ||||||
|
| |||||||
27,747,806 | ||||||||
|
| |||||||
Manufacturing — 4.5% | ||||||||
3M Co. | 85,550 | 15,076,476 | ||||||
Eaton Corp. PLC | 302,770 | 19,895,017 | ||||||
General Electric Co. | 751,160 | 22,249,359 | ||||||
|
| |||||||
57,220,852 | ||||||||
|
| |||||||
Transportation — 1.3% | ||||||||
Union Pacific Corp. | 162,360 | 15,834,971 | ||||||
|
| |||||||
139,457,170 | ||||||||
|
| |||||||
Technology — 8.4% | ||||||||
Computers — 1.5% | ||||||||
Apple, Inc. | 57,070 | 6,451,763 | ||||||
Cognizant Technology Solutions Corp. Class A (a) | 265,260 | 12,655,555 | ||||||
|
| |||||||
19,107,318 | ||||||||
|
| |||||||
Semiconductors — 5.8% | ||||||||
Analog Devices, Inc. | 109,720 | 7,071,454 | ||||||
Intel Corp. | 774,700 | 29,244,925 | ||||||
Maxim Integrated Products, Inc. | 429,570 | 17,152,730 |
Number of Shares | Value | |||||||
QUALCOMM, Inc. | 291,070 | $ | 19,938,295 | |||||
|
| |||||||
73,407,404 | ||||||||
|
| |||||||
Software — 1.1% | ||||||||
Microsoft Corp. | 232,030 | 13,364,928 | ||||||
|
| |||||||
105,879,650 | ||||||||
|
| |||||||
Utilities — 3.4% | ||||||||
Electric — 3.4% | ||||||||
Dominion Resources, Inc. | 92,750 | 6,888,543 | ||||||
Edison International | 172,180 | 12,440,005 | ||||||
Eversource Energy | 287,740 | 15,589,753 | ||||||
NextEra Energy, Inc. | 67,660 | 8,276,171 | ||||||
|
| |||||||
43,194,472 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $970,589,150) | 1,230,088,784 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $970,589,150) | 1,230,088,784 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $970,589,150) | 1,230,088,784 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 2.4% | ||||||||
Repurchase Agreement — 2.4% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (b) | $ | 30,113,981 | 30,113,981 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $30,113,981) | 30,113,981 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% (Cost $1,000,703,131) (c) | 1,260,202,765 | |||||||
Other Assets/(Liabilities) — 0.1% | 779,547 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,260,982,312 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
(a) | Non-income producing security. |
(b) | Maturity value of $30,114,006. Collateralized by U.S. Government Agency obligations with a rate of 3.125%, maturity date of 5/15/21, and an aggregate market value, including accrued interest, of $30,717,980. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
106
MassMutual Select Fundamental Value Fund – Portfolio of Investments (Continued)
Country weightings, as a percentage of net assets, is as follows:
United States | 79.2 | % | ||
Ireland | 6.0 | % | ||
United Kingdom | 3.4 | % | ||
Switzerland | 2.9 | % | ||
Bermuda | 2.7 | % | ||
Canada | 2.4 | % | ||
Finland | 0.9 | % | ||
|
| |||
Total Long-Term Investments | 97.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.5 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
107
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 97.4% | ||||||||
COMMON STOCK — 97.4% | ||||||||
Basic Materials — 1.8% | ||||||||
Chemicals — 0.4% | ||||||||
BASF SE Sponsored ADR (Germany) | 8,981 | $ | 768,325 | |||||
|
| |||||||
Iron & Steel — 0.4% | ||||||||
Carpenter Technology Corp. | 18,209 | 751,303 | ||||||
|
| |||||||
Mining — 1.0% | ||||||||
Alcoa, Inc. | 83,800 | 849,732 | ||||||
Rio Tinto PLC Sponsored ADR (United Kingdom) (a) | 24,898 | 831,593 | ||||||
|
| |||||||
1,681,325 | ||||||||
|
| |||||||
3,200,953 | ||||||||
|
| |||||||
Communications — 5.4% | ||||||||
Advertising — 0.7% | ||||||||
Aimia, Inc. | 209,300 | 1,306,032 | ||||||
|
| |||||||
Telecommunications — 4.7% | ||||||||
ARRIS International PLC (b) | 28,500 | 807,405 | ||||||
AT&T, Inc. | 67,108 | 2,725,256 | ||||||
Cisco Systems, Inc. | 47,798 | 1,516,152 | ||||||
Verizon Communications, Inc. | 57,469 | 2,987,239 | ||||||
Vodafone Group PLC Sponsored ADR (United Kingdom) (a) | 13,672 | 398,539 | ||||||
|
| |||||||
8,434,591 | ||||||||
|
| |||||||
9,740,623 | ||||||||
|
| |||||||
Consumer, Cyclical — 7.9% | ||||||||
Airlines — 0.9% | ||||||||
Southwest Airlines Co. | 44,349 | 1,724,733 | ||||||
|
| |||||||
Home Builders — 1.2% | ||||||||
Lennar Corp. | 29,960 | 1,005,757 | ||||||
Lennar Corp. Class A | 27,100 | 1,147,414 | ||||||
|
| |||||||
2,153,171 | ||||||||
|
| |||||||
Home Furnishing — 0.7% | ||||||||
Whirlpool Corp. | 8,000 | 1,297,280 | ||||||
|
| |||||||
Household Products — 0.7% | ||||||||
Tupperware Brands Corp. | 18,771 | 1,227,060 | ||||||
|
| |||||||
Retail — 4.4% | ||||||||
The Gap, Inc. (a) | 49,647 | 1,104,150 | ||||||
The Home Depot, Inc. | 7,900 | 1,016,572 | ||||||
Target Corp. | 19,159 | 1,315,840 | ||||||
Wal-Mart Stores, Inc. | 61,360 | 4,425,283 | ||||||
|
| |||||||
7,861,845 | ||||||||
|
| |||||||
14,264,089 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 21.7% | ||||||||
Agriculture — 4.9% | ||||||||
Altria Group, Inc. | 40,259 | 2,545,577 |
Number of Shares | Value | |||||||
Philip Morris International, Inc. | 63,360 | $ | 6,159,859 | |||||
|
| |||||||
8,705,436 | ||||||||
|
| |||||||
Foods — 1.5% | ||||||||
ConAgra Foods, Inc. | 32,600 | 1,535,786 | ||||||
Tyson Foods, Inc. Class A | 16,100 | 1,202,187 | ||||||
|
| |||||||
2,737,973 | ||||||||
|
| |||||||
Health Care – Products — 3.8% | ||||||||
Johnson & Johnson | 32,574 | 3,847,967 | ||||||
Medtronic PLC | 34,416 | 2,973,542 | ||||||
|
| |||||||
6,821,509 | ||||||||
|
| |||||||
Pharmaceuticals — 11.5% | ||||||||
Allergan PLC (b) | 3,300 | 760,023 | ||||||
Eli Lilly & Co. | 43,264 | 3,472,369 | ||||||
Herbalife Ltd. (a) (b) | 51,103 | 3,167,875 | ||||||
Merck & Co., Inc. | 105,300 | 6,571,773 | ||||||
Pfizer, Inc. | 200,766 | 6,799,944 | ||||||
|
| |||||||
20,771,984 | ||||||||
|
| |||||||
39,036,902 | ||||||||
|
| |||||||
Energy — 8.7% | ||||||||
Oil & Gas — 8.7% | ||||||||
BP PLC Sponsored ADR (United Kingdom) | 123,222 | 4,332,486 | ||||||
Chesapeake Energy Corp. (a) (b) | 33,300 | 208,791 | ||||||
ConocoPhillips | 57,618 | 2,504,654 | ||||||
Ensco PLC Class A | 167,500 | 1,423,750 | ||||||
Occidental Petroleum Corp. | 34,823 | 2,539,293 | ||||||
Phillips 66 | 37,079 | 2,986,713 | ||||||
Royal Dutch Shell PLC A Shares Sponsored ADR (United Kingdom) | 34,400 | 1,722,408 | ||||||
|
| |||||||
15,718,095 | ||||||||
|
| |||||||
Financial — 22.7% | ||||||||
Banks — 7.8% | ||||||||
Bank of America Corp. | 429,396 | 6,720,047 | ||||||
Comerica, Inc. | 18,600 | 880,152 | ||||||
The PNC Financial Services Group, Inc. | 6,799 | 612,522 | ||||||
State Street Corp. | 19,093 | 1,329,446 | ||||||
SunTrust Banks, Inc. | 32,972 | 1,444,174 | ||||||
Wells Fargo & Co. | 71,840 | 3,181,075 | ||||||
|
| |||||||
14,167,416 | ||||||||
|
| |||||||
Diversified Financial — 8.7% | ||||||||
Ally Financial, Inc. | 63,706 | 1,240,356 | ||||||
American Express Co. | 33,499 | 2,145,276 | ||||||
Ameriprise Financial, Inc. | 14,300 | 1,426,711 | ||||||
Citigroup, Inc. | 89,726 | 4,237,759 | ||||||
JP Morgan Chase & Co. | 90,658 | 6,036,916 | ||||||
MasterCard, Inc. | 5,800 | 590,266 | ||||||
|
| |||||||
15,677,284 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
108
MassMutual Select Large Cap Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Diversified Financial Services — 0.6% | ||||||||
Voya Financial, Inc. | 35,647 | $ | 1,027,347 | |||||
|
| |||||||
Insurance — 5.6% | ||||||||
American International Group, Inc. | 17,100 | 1,014,714 | ||||||
CNO Financial Group, Inc. | 265,777 | 4,058,415 | ||||||
Loews Corp. | 82,718 | 3,403,845 | ||||||
XL Group Ltd. | 48,800 | 1,641,144 | ||||||
|
| |||||||
10,118,118 | ||||||||
|
| |||||||
40,990,165 | ||||||||
|
| |||||||
Industrial — 15.1% | ||||||||
Aerospace & Defense — 2.7% | ||||||||
Northrop Grumman Corp. | 12,800 | 2,738,560 | ||||||
Raytheon Co. | 6,881 | 936,711 | ||||||
United Technologies Corp. | 12,400 | 1,259,840 | ||||||
|
| |||||||
4,935,111 | ||||||||
|
| |||||||
Building Materials — 1.9% | ||||||||
CRH PLC Sponsored ADR (Ireland) | 102,833 | 3,421,254 | ||||||
|
| |||||||
Electronics — 0.9% | ||||||||
Johnson Controls International PLC | 17,585 | 818,230 | ||||||
TE Connectivity Ltd. | 12,400 | 798,312 | ||||||
|
| |||||||
1,616,542 | ||||||||
|
| |||||||
Engineering & Construction — 4.1% | ||||||||
Fluor Corp. | 7,800 | 400,296 | ||||||
KBR, Inc. | 458,100 | 6,931,053 | ||||||
|
| |||||||
7,331,349 | ||||||||
|
| |||||||
Hand & Machine Tools — 1.2% | ||||||||
Stanley Black & Decker, Inc. | 18,099 | 2,225,815 | ||||||
|
| |||||||
Machinery – Diversified — 0.2% | ||||||||
Flowserve Corp. | 8,800 | 424,512 | ||||||
|
| |||||||
Manufacturing — 0.7% | ||||||||
Honeywell International, Inc. | 10,475 | 1,221,280 | ||||||
|
| |||||||
Transportation — 3.4% | ||||||||
Euronav NA (b) | 181,415 | 1,384,196 | ||||||
FedEx Corp. | 8,100 | 1,414,908 | ||||||
Golar LNG Partners LP | 79,641 | 1,563,353 | ||||||
Norfolk Southern Corp. | 17,285 | 1,677,682 | ||||||
|
| |||||||
6,040,139 | ||||||||
|
| |||||||
27,216,002 | ||||||||
|
| |||||||
Technology — 10.2% | ||||||||
Computers — 2.0% | ||||||||
Hewlett Packard Enterprise Co. | 35,400 | 805,350 | ||||||
HP, Inc. | 24,900 | 386,697 | ||||||
International Business Machines Corp. | 15,500 | 2,462,175 | ||||||
|
| |||||||
3,654,222 | ||||||||
|
| |||||||
Semiconductors — 2.8% | ||||||||
Intel Corp. | 53,897 | 2,034,612 | ||||||
QUALCOMM, Inc. | 43,500 | 2,979,750 | ||||||
|
| |||||||
5,014,362 | ||||||||
|
|
Number of Shares | Value | |||||||
Software — 5.4% | ||||||||
CA, Inc. | 118,300 | $ | 3,913,364 | |||||
First Data Corp. Class A (b) | 31,300 | 411,908 | ||||||
Microsoft Corp. | 52,300 | 3,012,480 | ||||||
Oracle Corp. | 59,600 | 2,341,088 | ||||||
|
| |||||||
9,678,840 | ||||||||
|
| |||||||
18,347,424 | ||||||||
|
| |||||||
Utilities — 3.9% | ||||||||
Electric — 3.9% | ||||||||
American Electric Power Co., Inc. | 9,200 | 590,732 | ||||||
Entergy Corp. | 50,973 | 3,911,158 | ||||||
Exelon Corp. | 64,600 | 2,150,534 | ||||||
NextEra Energy, Inc. | 3,000 | 366,960 | ||||||
|
| |||||||
7,019,384 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $167,559,305) | 175,533,637 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $167,559,305) | 175,533,637 | |||||||
|
| |||||||
MUTUAL FUNDS — 2.9% | ||||||||
Diversified Financial — 2.9% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 5,245,158 | 5,245,158 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $5,245,158) | 5,245,158 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $172,804,463) | 180,778,795 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 2.7% | ||||||||
Repurchase Agreement — 2.6% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated | $ | 4,709,011 | 4,709,011 | |||||
|
| |||||||
Time Deposit — 0.1% | ||||||||
Euro Time Deposit | 126,950 | 126,950 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,835,961) | 4,835,961 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 103.0% (Cost $177,640,424) (e) | 185,614,756 | |||||||
Other Assets/(Liabilities) — (3.0)% | (5,321,902 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 180,292,854 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
109
MassMutual Select Large Cap Value Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
(a) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2016, was $5,131,730 or 2.85% 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 $4,709,015. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $4,804,459. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States | 84.7 | % | ||
United Kingdom | 5.3 | % | ||
Ireland | 4.4 | % | ||
Cayman Islands | 1.8 | % | ||
Bermuda | 0.9 | % | ||
Marshall Islands | 0.9 | % | ||
Belgium | 0.8 | % | ||
Canada | 0.7 | % | ||
Switzerland | 0.4 | % | ||
Germany | 0.4 | % | ||
|
| |||
Total Long-Term Investments | 100.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | (0.3 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
110
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 98.5% | ||||||||
COMMON STOCK — 98.5% | ||||||||
Basic Materials — 2.6% | ||||||||
Chemicals — 2.1% | ||||||||
Air Products & Chemicals, Inc. | 41,719 | $ | 6,272,035 | |||||
Albemarle Corp. | 21,492 | 1,837,351 | ||||||
CF Industries Holdings, Inc. | 44,612 | 1,086,302 | ||||||
The Dow Chemical Co. | 216,912 | 11,242,549 | ||||||
E.I. du Pont de Nemours & Co. | 168,293 | 11,270,582 | ||||||
Eastman Chemical Co. | 28,440 | 1,924,819 | ||||||
Ecolab, Inc. | 50,519 | 6,149,173 | ||||||
FMC Corp. | 25,593 | 1,237,166 | ||||||
International Flavors & Fragrances, Inc. | 15,257 | 2,181,293 | ||||||
LyondellBasell Industries NV Class A | 65,338 | 5,270,163 | ||||||
Monsanto Co. | 84,314 | 8,616,891 | ||||||
The Mosaic Co. | 66,960 | 1,637,842 | ||||||
PPG Industries, Inc. | 51,617 | 5,335,133 | ||||||
Praxair, Inc. | 55,199 | 6,669,695 | ||||||
The Sherwin-Williams Co. | 15,449 | 4,274,120 | ||||||
|
| |||||||
75,005,114 | ||||||||
|
| |||||||
Forest Products & Paper — 0.1% | ||||||||
International Paper Co. | 78,723 | 3,777,129 | ||||||
|
| |||||||
Iron & Steel — 0.1% | ||||||||
Nucor Corp. | 60,868 | 3,009,923 | ||||||
|
| |||||||
Mining — 0.3% | ||||||||
Alcoa, Inc. | 251,759 | 2,552,836 | ||||||
Freeport-McMoRan, Inc. | 236,298 | 2,566,196 | ||||||
Newmont Mining Corp. | 101,553 | 3,990,018 | ||||||
Vulcan Materials Co. | 25,495 | 2,899,546 | ||||||
|
| |||||||
12,008,596 | ||||||||
|
| |||||||
93,800,762 | ||||||||
|
| |||||||
Communications — 13.9% | ||||||||
Advertising — 0.3% | ||||||||
The Interpublic Group of Companies, Inc. | 76,980 | 1,720,503 | ||||||
Nielsen Holdings PLC | 64,646 | 3,463,086 | ||||||
Omnicom Group, Inc. | 45,500 | 3,867,500 | ||||||
|
| |||||||
9,051,089 | ||||||||
|
| |||||||
Internet — 7.2% | ||||||||
Akamai Technologies, Inc. (a) | 33,613 | 1,781,153 | ||||||
Alphabet, Inc. Class A (a) | 56,713 | 45,600,655 | ||||||
Alphabet, Inc. Class C (a) | 56,835 | 44,177,277 | ||||||
Amazon.com, Inc. (a) | 75,756 | 63,431,256 | ||||||
eBay, Inc. (a) | 202,337 | 6,656,887 | ||||||
Equinix, Inc. | 13,687 | 4,930,742 | ||||||
Expedia, Inc. | 23,138 | 2,700,667 | ||||||
F5 Networks, Inc. (a) | 12,820 | 1,597,885 |
Number of Shares | Value | |||||||
Facebook, Inc. Class A (a) | 447,016 | $ | 57,338,742 | |||||
Netflix, Inc. (a) | 82,681 | 8,148,213 | ||||||
The Priceline Group, Inc. (a) | 9,501 | 13,980,627 | ||||||
Symantec Corp. | 117,200 | 2,941,720 | ||||||
TripAdvisor, Inc. (a) | 21,878 | 1,382,252 | ||||||
VeriSign, Inc. (a) | 18,264 | 1,428,975 | ||||||
Yahoo!, Inc. (a) | 168,875 | 7,278,513 | ||||||
|
| |||||||
263,375,564 | ||||||||
|
| |||||||
Media — 2.7% | ||||||||
CBS Corp. Class B | 78,090 | 4,274,647 | ||||||
Charter Communications, Inc. Class A (a) | 41,728 | 11,265,308 | ||||||
Comcast Corp. Class A | 462,790 | 30,701,489 | ||||||
Discovery Communications, Inc. Class C (a) | 42,672 | 1,122,700 | ||||||
Discovery Communications, Inc. Series A (a) | 28,776 | 774,650 | ||||||
News Corp. Class A | 72,813 | 1,017,926 | ||||||
News Corp. Class B | 21,500 | 305,730 | ||||||
Scripps Networks Interactive | 18,186 | 1,154,629 | ||||||
TEGNA, Inc. | 41,396 | 904,917 | ||||||
Time Warner, Inc. | 149,627 | 11,911,805 | ||||||
Twenty-First Century Fox, Inc. Class A | 204,883 | 4,962,266 | ||||||
Twenty-First Century Fox, Inc. Class B | 93,886 | 2,322,740 | ||||||
Viacom, Inc. Class B | 66,342 | 2,527,630 | ||||||
The Walt Disney Co. | 284,508 | 26,419,413 | ||||||
|
| |||||||
99,665,850 | ||||||||
|
| |||||||
Telecommunications — 3.7% | ||||||||
AT&T, Inc. | 1,184,310 | 48,094,829 | ||||||
CenturyLink, Inc. | 104,519 | 2,866,956 | ||||||
Cisco Systems, Inc. | 967,642 | 30,693,604 | ||||||
Corning, Inc. | 199,827 | 4,725,909 | ||||||
Frontier Communications Corp. | 224,441 | 933,675 | ||||||
Juniper Networks, Inc. | 73,901 | 1,778,058 | ||||||
Level 3 Communications, Inc. (a) | 55,488 | 2,573,533 | ||||||
Motorola Solutions, Inc. | 32,107 | 2,449,122 | ||||||
Verizon Communications, Inc. | 784,642 | 40,785,691 | ||||||
|
| |||||||
134,901,377 | ||||||||
|
| |||||||
506,993,880 | ||||||||
|
| |||||||
Consumer, Cyclical — 9.2% | ||||||||
Airlines — 0.4% | ||||||||
Alaska Air Group, Inc. | 23,594 | 1,553,901 | ||||||
American Airlines Group, Inc. | 101,426 | 3,713,206 | ||||||
Delta Air Lines, Inc. | 144,287 | 5,679,136 | ||||||
Southwest Airlines Co. | 119,549 | 4,649,261 | ||||||
|
| |||||||
15,595,504 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
111
MM S&P 500 Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Apparel — 0.7% | ||||||||
Hanesbrands, Inc. | 72,239 | $ | 1,824,035 | |||||
Michael Kors Holdings Ltd. (a) | 32,274 | 1,510,100 | ||||||
Nike, Inc. Class B | 259,640 | 13,670,046 | ||||||
Ralph Lauren Corp. | 11,064 | 1,119,013 | ||||||
Under Armour, Inc. Class A (a) | 35,053 | 1,355,850 | ||||||
Under Armour, Inc. Class C (a) | 35,231 | 1,192,922 | ||||||
VF Corp. | 63,812 | 3,576,662 | ||||||
|
| |||||||
24,248,628 | ||||||||
|
| |||||||
Auto Manufacturers — 0.6% | ||||||||
Ford Motor Co. | 752,646 | 9,084,438 | ||||||
General Motors Co. | 273,008 | 8,673,464 | ||||||
Paccar, Inc. | 67,072 | 3,942,492 | ||||||
|
| |||||||
21,700,394 | ||||||||
|
| |||||||
Automotive & Parts — 0.2% | ||||||||
BorgWarner, Inc. | 38,933 | 1,369,663 | ||||||
Delphi Automotive PLC | 52,240 | 3,725,757 | ||||||
The Goodyear Tire & Rubber Co. | 50,877 | 1,643,327 | ||||||
|
| |||||||
6,738,747 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.3% | ||||||||
Fastenal Co. | 55,276 | 2,309,431 | ||||||
Genuine Parts Co. | 28,638 | 2,876,687 | ||||||
LKQ Corp. (a) | 58,680 | 2,080,793 | ||||||
W.W. Grainger, Inc. | 10,797 | 2,427,598 | ||||||
|
| |||||||
9,694,509 | ||||||||
|
| |||||||
Home Builders — 0.1% | ||||||||
D.R. Horton, Inc. | 65,542 | 1,979,368 | ||||||
Lennar Corp. Class A | 36,744 | 1,555,741 | ||||||
PulteGroup, Inc. | 60,329 | 1,208,993 | ||||||
|
| |||||||
4,744,102 | ||||||||
|
| |||||||
Home Furnishing — 0.1% | ||||||||
Harman International Industries, Inc. | 13,508 | 1,140,751 | ||||||
Whirlpool Corp. | 14,541 | 2,357,968 | ||||||
|
| |||||||
3,498,719 | ||||||||
|
| |||||||
Housewares — 0.1% | ||||||||
Newell Brands, Inc. | 92,300 | 4,860,518 | ||||||
|
| |||||||
Leisure Time — 0.2% | ||||||||
Carnival Corp. | 83,912 | 4,096,584 | ||||||
Harley-Davidson, Inc. | 34,657 | 1,822,612 | ||||||
Royal Caribbean Cruises Ltd. | 32,131 | 2,408,218 | ||||||
|
| |||||||
8,327,414 | ||||||||
|
| |||||||
Lodging — 0.2% | ||||||||
Marriott International, Inc. Class A | 61,307 | 4,127,801 | ||||||
Wyndham Worldwide Corp. | 21,434 | 1,443,151 | ||||||
Wynn Resorts Ltd. | 15,584 | 1,518,193 | ||||||
|
| |||||||
7,089,145 | ||||||||
|
| |||||||
Retail — 6.1% | ||||||||
Advance Auto Parts, Inc. | 14,080 | 2,099,610 |
Number of Shares | Value | |||||||
AutoNation, Inc. (a) | 12,118 | $ | 590,268 | |||||
AutoZone, Inc. (a) | 5,615 | 4,314,229 | ||||||
Bed Bath & Beyond, Inc. | 29,553 | 1,274,030 | ||||||
Best Buy Co., Inc. | 53,964 | 2,060,345 | ||||||
CarMax, Inc. (a) | 37,106 | 1,979,605 | ||||||
Chipotle Mexican Grill, Inc. (a) | 5,590 | 2,367,365 | ||||||
Coach, Inc. | 53,195 | 1,944,809 | ||||||
Costco Wholesale Corp. | 84,354 | 12,864,829 | ||||||
CVS Health Corp. | 204,785 | 18,223,817 | ||||||
Darden Restaurants, Inc. | 24,321 | 1,491,364 | ||||||
Dollar General Corp. | 49,913 | 3,493,411 | ||||||
Dollar Tree, Inc. (a) | 45,087 | 3,558,717 | ||||||
Foot Locker, Inc. | 26,052 | 1,764,241 | ||||||
The Gap, Inc. | 43,308 | 963,170 | ||||||
The Home Depot, Inc. | 237,515 | 30,563,430 | ||||||
Kohl’s Corp. | 35,165 | 1,538,469 | ||||||
L Brands, Inc. | 46,225 | 3,271,343 | ||||||
Lowe’s Cos., Inc. | 168,305 | 12,153,304 | ||||||
Macy’s, Inc. | 59,031 | 2,187,099 | ||||||
McDonald’s Corp. | 164,127 | 18,933,691 | ||||||
Nordstrom, Inc. | 22,369 | 1,160,504 | ||||||
O’Reilly Automotive, Inc. (a) | 18,162 | 5,087,358 | ||||||
PVH Corp. | 15,503 | 1,713,081 | ||||||
Ross Stores, Inc. | 76,912 | 4,945,442 | ||||||
Signet Jewelers Ltd. | 14,932 | 1,112,882 | ||||||
Staples, Inc. | 123,696 | 1,057,601 | ||||||
Starbucks Corp. | 282,101 | 15,272,948 | ||||||
Target Corp. | 110,696 | 7,602,601 | ||||||
Tiffany & Co. | 20,980 | 1,523,777 | ||||||
The TJX Cos., Inc. | 126,527 | 9,461,689 | ||||||
Tractor Supply Co. | 25,535 | 1,719,782 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 11,254 | 2,678,227 | ||||||
Urban Outfitters, Inc. (a) | 16,626 | 573,929 | ||||||
Wal-Mart Stores, Inc. | 291,321 | 21,010,070 | ||||||
Walgreens Boots Alliance, Inc. | 164,517 | 13,263,361 | ||||||
Yum! Brands, Inc. | 71,189 | 6,464,673 | ||||||
|
| |||||||
222,285,071 | ||||||||
|
| |||||||
Textiles — 0.1% | ||||||||
Cintas Corp. | 16,598 | 1,868,935 | ||||||
Mohawk Industries, Inc. (a) | 12,200 | 2,444,148 | ||||||
|
| |||||||
4,313,083 | ||||||||
|
| |||||||
Toys, Games & Hobbies — 0.1% | ||||||||
Hasbro, Inc. | 21,474 | 1,703,532 | ||||||
Mattel, Inc. | 65,156 | 1,972,924 | ||||||
|
| |||||||
3,676,456 | ||||||||
|
| |||||||
336,772,290 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 24.0% | ||||||||
Agriculture — 1.8% | ||||||||
Altria Group, Inc. | 375,718 | 23,756,649 | ||||||
Archer-Daniels-Midland Co. | 112,462 | 4,742,523 |
The accompanying notes are an integral part of the financial statements.
112
MM S&P 500 Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Philip Morris International, Inc. | 298,533 | $ | 29,023,378 | |||||
Reynolds American, Inc. | 159,962 | 7,542,208 | ||||||
|
| |||||||
65,064,758 | ||||||||
|
| |||||||
Beverages — 2.2% | ||||||||
Brown-Forman Corp. Class B | 35,266 | 1,673,019 | ||||||
The Coca-Cola Co. | 747,359 | 31,628,233 | ||||||
Constellation Brands, Inc. Class A | 34,166 | 5,688,297 | ||||||
Dr. Pepper Snapple Group, Inc. | 35,573 | 3,248,171 | ||||||
Molson Coors Brewing Co. Class B | 35,232 | 3,868,473 | ||||||
Monster Beverage Corp. (a) | 26,047 | 3,823,960 | ||||||
PepsiCo, Inc. | 276,492 | 30,074,035 | ||||||
|
| |||||||
80,004,188 | ||||||||
|
| |||||||
Biotechnology — 2.6% | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 43,379 | 5,315,663 | ||||||
Amgen, Inc. | 143,791 | 23,985,777 | ||||||
Biogen, Inc. (a) | 42,129 | 13,187,641 | ||||||
Celgene Corp. (a) | 149,169 | 15,592,635 | ||||||
Gilead Sciences, Inc. | 253,927 | 20,090,704 | ||||||
Illumina, Inc. (a) | 28,177 | 5,118,634 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 14,530 | 5,841,351 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 47,344 | 4,128,870 | ||||||
|
| |||||||
93,261,275 | ||||||||
|
| |||||||
Commercial Services — 2.3% | ||||||||
Alliance Data Systems Corp. (a) | 11,282 | 2,420,328 | ||||||
Automatic Data Processing, Inc. | 88,014 | 7,762,835 | ||||||
Equifax, Inc. | 22,781 | 3,065,867 | ||||||
Global Payments, Inc. | 29,474 | 2,262,424 | ||||||
H&R Block, Inc. | 42,583 | 985,796 | ||||||
McKesson Corp. | 43,475 | 7,249,456 | ||||||
Moody’s Corp. | 32,342 | 3,501,992 | ||||||
Paychex, Inc. | 61,372 | 3,551,598 | ||||||
PayPal Holdings, Inc. (a) | 216,020 | 8,850,339 | ||||||
Quanta Services, Inc. (a) | 29,249 | 818,680 | ||||||
Robert Half International, Inc. | 25,135 | 951,611 | ||||||
S&P Global, Inc. | 50,638 | 6,408,745 | ||||||
Total System Services, Inc. | 32,334 | 1,524,548 | ||||||
United Rentals, Inc. (a) | 16,939 | 1,329,542 | ||||||
Verisk Analytics, Inc. (a) | 30,522 | 2,480,828 | ||||||
Visa, Inc. Class A | 362,898 | 30,011,665 | ||||||
The Western Union Co. | 94,037 | 1,957,850 | ||||||
|
| |||||||
85,134,104 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 1.7% | ||||||||
Colgate-Palmolive Co. | 171,947 | 12,748,151 | ||||||
The Estee Lauder Cos., Inc. Class A | 42,597 | 3,772,390 | ||||||
The Procter & Gamble Co. | 513,416 | 46,079,086 | ||||||
|
| |||||||
62,599,627 | ||||||||
|
| |||||||
Foods — 1.8% | ||||||||
Campbell Soup Co. | 37,521 | 2,052,399 | ||||||
ConAgra Foods, Inc. | 80,418 | 3,788,492 | ||||||
General Mills, Inc. | 114,891 | 7,339,237 |
Number of Shares | Value | |||||||
The Hershey Co. | 26,903 | $ | 2,571,927 | |||||
Hormel Foods Corp. | 51,723 | 1,961,853 | ||||||
The J.M. Smucker Co. | 22,406 | 3,036,909 | ||||||
Kellogg Co. | 48,248 | 3,737,773 | ||||||
The Kraft Heinz Co. | 114,843 | 10,279,597 | ||||||
The Kroger Co. | 182,579 | 5,418,945 | ||||||
McCormick & Co., Inc. | 22,060 | 2,204,235 | ||||||
Mondelez International, Inc. Class A | 299,272 | 13,138,041 | ||||||
Sysco Corp. | 98,513 | 4,828,122 | ||||||
Tyson Foods, Inc. Class A | 57,531 | 4,295,840 | ||||||
Whole Foods Market, Inc. | 61,464 | 1,742,504 | ||||||
|
| |||||||
66,395,874 | ||||||||
|
| |||||||
Health Care – Products — 3.9% | ||||||||
Baxter International, Inc. | 94,197 | 4,483,777 | ||||||
Becton, Dickinson & Co. | 41,013 | 7,371,267 | ||||||
Boston Scientific Corp. (a) | 262,804 | 6,254,735 | ||||||
C.R. Bard, Inc. | 14,029 | 3,146,424 | ||||||
The Cooper Cos., Inc. | 9,380 | 1,681,459 | ||||||
Edwards Lifesciences Corp. (a) | 41,133 | 4,958,994 | ||||||
Henry Schein, Inc. (a) | 15,705 | 2,559,601 | ||||||
Hologic, Inc. (a) | 53,435 | 2,074,881 | ||||||
Intuitive Surgical, Inc. (a) | 7,384 | 5,352,145 | ||||||
Johnson & Johnson | 526,503 | 62,195,799 | ||||||
Medtronic PLC | 265,848 | 22,969,267 | ||||||
St. Jude Medical, Inc. | 54,414 | 4,340,061 | ||||||
Stryker Corp. | 59,529 | 6,929,771 | ||||||
Varian Medical Systems, Inc. (a) | 18,223 | 1,813,735 | ||||||
Zimmer Biomet Holdings, Inc. | 38,735 | 5,036,325 | ||||||
|
| |||||||
141,168,241 | ||||||||
|
| |||||||
Health Care – Services — 2.2% | ||||||||
Aetna, Inc. | 67,704 | 7,816,427 | ||||||
Anthem, Inc. | 50,931 | 6,382,164 | ||||||
Centene Corp. (a) | 32,631 | 2,184,972 | ||||||
Cigna Corp. | 49,699 | 6,476,774 | ||||||
DaVita, Inc. (a) | 32,319 | 2,135,316 | ||||||
DENTSPLY SIRONA, Inc. | 44,817 | 2,663,474 | ||||||
HCA Holdings, Inc. (a) | 56,735 | 4,290,868 | ||||||
Humana, Inc. | 28,525 | 5,045,787 | ||||||
Laboratory Corporation of America Holdings (a) | 19,602 | 2,694,883 | ||||||
Quest Diagnostics, Inc. | 27,083 | 2,292,034 | ||||||
Thermo Fisher Scientific, Inc. | 75,820 | 12,059,929 | ||||||
UnitedHealth Group, Inc. | 183,091 | 25,632,740 | ||||||
Universal Health Services, Inc. Class B | 17,179 | 2,116,797 | ||||||
|
| |||||||
81,792,165 | ||||||||
|
| |||||||
Household Products — 0.4% | ||||||||
Avery Dennison Corp. | 17,060 | 1,327,097 | ||||||
Church & Dwight Co., Inc. | 49,120 | 2,353,830 | ||||||
The Clorox Co. | 24,761 | 3,099,582 | ||||||
Kimberly-Clark Corp. | 69,532 | 8,770,767 | ||||||
|
| |||||||
15,551,276 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
113
MM S&P 500 Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Pharmaceuticals — 5.1% | ||||||||
Abbott Laboratories | 282,926 | $ | 11,964,941 | |||||
AbbVie, Inc. | 313,381 | 19,764,940 | ||||||
Allergan PLC (a) | 76,214 | 17,552,846 | ||||||
AmerisourceBergen Corp. | 35,129 | 2,837,721 | ||||||
Bristol-Myers Squibb Co. | 321,526 | 17,336,682 | ||||||
Cardinal Health, Inc. | 61,171 | 4,752,987 | ||||||
Eli Lilly & Co. | 186,842 | 14,995,939 | ||||||
Endo International PLC (a) | 39,212 | 790,122 | ||||||
Express Scripts Holding Co. (a) | 121,133 | 8,543,510 | ||||||
Mallinckrodt PLC (a) | 20,927 | 1,460,286 | ||||||
Mead Johnson Nutrition Co. | 35,731 | 2,823,106 | ||||||
Merck & Co., Inc. | 532,028 | 33,203,867 | ||||||
Mylan NV (a) | 88,574 | 3,376,441 | ||||||
Patterson Cos., Inc. | 15,928 | 731,732 | ||||||
Perrigo Co. PLC | 27,413 | 2,531,042 | ||||||
Pfizer, Inc. | 1,166,986 | 39,525,816 | ||||||
Zoetis, Inc. | 95,281 | 4,955,565 | ||||||
|
| |||||||
187,147,543 | ||||||||
|
| |||||||
878,119,051 | ||||||||
|
| |||||||
Diversified — 0.0% | ||||||||
Holding Company – Diversified — 0.0% | ||||||||
Leucadia National Corp. | 63,755 | 1,213,895 | ||||||
|
| |||||||
Energy — 7.2% | ||||||||
Energy – Alternate Sources — 0.0% | ||||||||
First Solar, Inc. (a) | 14,674 | 579,476 | ||||||
|
| |||||||
Oil & Gas — 5.6% | ||||||||
Anadarko Petroleum Corp. | 105,007 | 6,653,244 | ||||||
Apache Corp. | 72,454 | 4,627,637 | ||||||
Cabot Oil & Gas Corp. | 89,008 | 2,296,406 | ||||||
Chesapeake Energy Corp. (a) | 125,845 | 789,048 | ||||||
Chevron Corp. | 363,352 | 37,396,188 | ||||||
Cimarex Energy Co. | 18,148 | 2,438,547 | ||||||
Concho Resources, Inc. (a) | 27,573 | 3,787,152 | ||||||
ConocoPhillips | 238,832 | 10,382,027 | ||||||
Devon Energy Corp. | 100,301 | 4,424,277 | ||||||
EOG Resources, Inc. | 106,128 | 10,263,639 | ||||||
EQT Corp. | 33,063 | 2,401,035 | ||||||
Exxon Mobil Corp. | 798,107 | 69,658,779 | ||||||
Helmerich & Payne, Inc. | 20,659 | 1,390,351 | ||||||
Hess Corp. | 52,051 | 2,790,975 | ||||||
Marathon Oil Corp. | 162,257 | 2,565,283 | ||||||
Marathon Petroleum Corp. | 101,419 | 4,116,597 | ||||||
Murphy Oil Corp. | 31,186 | 948,054 | ||||||
Newfield Exploration Co. (a) | 37,655 | 1,636,486 | ||||||
Noble Energy, Inc. | 82,024 | 2,931,538 | ||||||
Occidental Petroleum Corp. | 147,384 | 10,747,241 | ||||||
Phillips 66 | 85,728 | 6,905,390 | ||||||
Pioneer Natural Resources Co. | 32,704 | 6,071,498 | ||||||
Range Resources Corp. | 36,290 | 1,406,238 | ||||||
Southwestern Energy Co. (a) | 95,310 | 1,319,090 | ||||||
Tesoro Corp. | 22,966 | 1,827,175 |
Number of Shares | Value | |||||||
Valero Energy Corp. | 88,622 | $ | 4,696,966 | |||||
|
| |||||||
204,470,861 | ||||||||
|
| |||||||
Oil & Gas Services — 1.0% | ||||||||
Baker Hughes, Inc. | 82,309 | 4,154,135 | ||||||
FMC Technologies, Inc. (a) | 43,300 | 1,284,711 | ||||||
Halliburton Co. | 166,245 | 7,461,076 | ||||||
National Oilwell Varco, Inc. | 72,159 | 2,651,122 | ||||||
Schlumberger Ltd. | 267,854 | 21,064,038 | ||||||
Transocean Ltd. | 65,698 | 700,341 | ||||||
|
| |||||||
37,315,423 | ||||||||
|
| |||||||
Pipelines — 0.6% | ||||||||
Kinder Morgan, Inc. | 369,772 | 8,552,826 | ||||||
ONEOK, Inc. | 40,216 | 2,066,700 | ||||||
Spectra Energy Corp. | 135,069 | 5,774,200 | ||||||
The Williams Cos., Inc. | 130,739 | 4,017,610 | ||||||
|
| |||||||
20,411,336 | ||||||||
|
| |||||||
262,777,096 | ||||||||
|
| |||||||
Financial — 15.7% | ||||||||
Banks — 3.9% | ||||||||
Bank of America Corp. | 1,961,550 | 30,698,258 | ||||||
The Bank of New York Mellon Corp. | 205,864 | 8,209,856 | ||||||
BB&T Corp. | 157,058 | 5,924,228 | ||||||
Capital One Financial Corp. | 97,009 | 6,968,156 | ||||||
Citizens Financial Group, Inc. | 101,194 | 2,500,504 | ||||||
Comerica, Inc. | 33,502 | 1,585,315 | ||||||
Fifth Third Bancorp | 146,879 | 3,005,144 | ||||||
Huntington Bancshares, Inc. | 207,729 | 2,048,208 | ||||||
KeyCorp | 207,277 | 2,522,561 | ||||||
M&T Bank Corp. | 30,421 | 3,531,878 | ||||||
Northern Trust Corp. | 43,468 | 2,955,389 | ||||||
The PNC Financial Services Group, Inc. | 94,720 | 8,533,325 | ||||||
Regions Financial Corp. | 242,286 | 2,391,363 | ||||||
State Street Corp. | 70,489 | 4,908,149 | ||||||
SunTrust Banks, Inc. | 95,903 | 4,200,551 | ||||||
U.S. Bancorp | 308,995 | 13,252,796 | ||||||
Wells Fargo & Co. | 873,729 | 38,688,720 | ||||||
Zions Bancorp | 39,096 | 1,212,758 | ||||||
|
| |||||||
143,137,159 | ||||||||
|
| |||||||
Diversified Financial — 4.8% | ||||||||
Affiliated Managers Group, Inc. (a) | 10,250 | 1,483,175 | ||||||
American Express Co. | 149,027 | 9,543,689 | ||||||
Ameriprise Financial, Inc. | 30,945 | 3,087,383 | ||||||
BlackRock, Inc. | 23,442 | 8,496,787 | ||||||
The Charles Schwab Corp. | 232,345 | 7,335,132 | ||||||
Citigroup, Inc. | 558,948 | 26,399,114 | ||||||
CME Group, Inc. | 64,811 | 6,774,046 | ||||||
Discover Financial Services | 77,604 | 4,388,506 | ||||||
E*TRADE Financial Corp. (a) | 53,123 | 1,546,942 | ||||||
Franklin Resources, Inc. | 67,410 | 2,397,774 |
The accompanying notes are an integral part of the financial statements.
114
MM S&P 500 Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
The Goldman Sachs Group, Inc. | 72,397 | $ | 11,675,464 | |||||
Intercontinental Exchange, Inc. | 23,082 | 6,217,367 | ||||||
Invesco Ltd. | 79,694 | 2,492,031 | ||||||
JP Morgan Chase & Co. | 694,803 | 46,266,932 | ||||||
Legg Mason, Inc. | 17,652 | 590,989 | ||||||
MasterCard, Inc. | 184,519 | 18,778,499 | ||||||
Morgan Stanley | 282,687 | 9,062,945 | ||||||
Nasdaq, Inc. | 22,008 | 1,486,420 | ||||||
Navient Corp. | 63,255 | 915,300 | ||||||
Synchrony Financial | 152,417 | 4,267,676 | ||||||
T. Rowe Price Group, Inc. | 47,333 | 3,147,644 | ||||||
|
| |||||||
176,353,815 | ||||||||
|
| |||||||
Insurance — 4.1% | ||||||||
Aflac, Inc. | 78,233 | 5,622,606 | ||||||
The Allstate Corp. | 71,652 | 4,956,885 | ||||||
American International Group, Inc. | 195,662 | 11,610,583 | ||||||
Aon PLC | 51,303 | 5,771,074 | ||||||
Arthur J. Gallagher & Co. | 33,889 | 1,723,933 | ||||||
Assurant, Inc. | 11,204 | 1,033,569 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 365,247 | 52,767,234 | ||||||
Chubb Ltd. | 89,495 | 11,245,047 | ||||||
Cincinnati Financial Corp. | 29,211 | 2,203,094 | ||||||
The Hartford Financial Services Group, Inc. | 73,548 | 3,149,325 | ||||||
Lincoln National Corp. | 44,235 | 2,078,160 | ||||||
Loews Corp. | 53,497 | 2,201,402 | ||||||
Marsh & McLennan Cos., Inc. | 99,740 | 6,707,515 | ||||||
MetLife, Inc. | 211,874 | 9,413,562 | ||||||
Principal Financial Group, Inc. | 51,586 | 2,657,195 | ||||||
The Progressive Corp. | 111,574 | 3,514,581 | ||||||
Prudential Financial, Inc. | 84,588 | 6,906,610 | ||||||
Torchmark Corp. | 21,459 | 1,371,016 | ||||||
The Travelers Cos., Inc. | 55,362 | 6,341,717 | ||||||
Unum Group | 45,468 | 1,605,475 | ||||||
Willis Towers Watson PLC | 24,989 | 3,317,790 | ||||||
XL Group Ltd. | 52,368 | 1,761,136 | ||||||
|
| |||||||
147,959,509 | ||||||||
|
| |||||||
Real Estate — 0.1% | ||||||||
CBRE Group, Inc. Class A (a) | 58,417 | 1,634,508 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 2.8% | ||||||||
American Tower Corp. | 81,970 | 9,289,660 | ||||||
Apartment Investment & Management Co. Class A | 29,984 | 1,376,565 | ||||||
AvalonBay Communities, Inc. | 26,656 | 4,740,503 | ||||||
Boston Properties, Inc. | 29,406 | 4,007,744 | ||||||
Crown Castle International Corp. | 65,287 | 6,150,688 | ||||||
Digital Realty Trust, Inc. | 28,099 | 2,728,975 | ||||||
Equity Residential | 69,964 | 4,500,784 | ||||||
Essex Property Trust, Inc. | 12,524 | 2,789,095 | ||||||
Extra Space Storage, Inc. | 23,966 | 1,903,140 | ||||||
Federal Realty Investment Trust | 13,570 | 2,088,830 |
Number of Shares | Value | |||||||
General Growth Properties, Inc. | 111,589 | $ | 3,079,856 | |||||
HCP, Inc. | 89,407 | 3,392,996 | ||||||
Host Hotels & Resorts, Inc. | 143,045 | 2,227,211 | ||||||
Iron Mountain, Inc. | 47,739 | 1,791,645 | ||||||
Kimco Realty Corp. | 80,322 | 2,325,322 | ||||||
The Macerich Co. | 23,269 | 1,881,764 | ||||||
Prologis, Inc. | 101,938 | 5,457,760 | ||||||
Public Storage | 28,709 | 6,406,126 | ||||||
Realty Income Corp. | 49,315 | 3,300,653 | ||||||
Simon Property Group, Inc. | 60,528 | 12,529,901 | ||||||
SL Green Realty Corp. | 19,188 | 2,074,223 | ||||||
UDR, Inc. | 51,133 | 1,840,277 | ||||||
Ventas, Inc. | 67,819 | 4,790,056 | ||||||
Vornado Realty Trust | 33,259 | 3,366,143 | ||||||
Welltower, Inc. | 69,332 | 5,183,954 | ||||||
Weyerhaeuser Co. | 143,000 | 4,567,420 | ||||||
|
| |||||||
103,791,291 | ||||||||
|
| |||||||
Savings & Loans — 0.0% | ||||||||
People’s United Financial, Inc. | 60,090 | 950,624 | ||||||
|
| |||||||
573,826,906 | ||||||||
|
| |||||||
Industrial — 9.8% | ||||||||
Aerospace & Defense — 2.0% | ||||||||
The Boeing Co. | 111,616 | 14,704,292 | ||||||
General Dynamics Corp. | 55,496 | 8,610,759 | ||||||
Harris Corp. | 23,872 | 2,186,914 | ||||||
L-3 Communications Holdings, Inc. | 14,729 | 2,220,102 | ||||||
Lockheed Martin Corp. | 48,525 | 11,632,413 | ||||||
Northrop Grumman Corp. | 34,540 | 7,389,833 | ||||||
Raytheon Co. | 56,844 | 7,738,174 | ||||||
Rockwell Collins, Inc. | 24,916 | 2,101,416 | ||||||
TransDigm Group, Inc. (a) | 9,641 | 2,787,406 | ||||||
United Technologies Corp. | 149,677 | 15,207,183 | ||||||
|
| |||||||
74,578,492 | ||||||||
|
| |||||||
Airlines — 0.1% | ||||||||
United Continental Holdings, Inc. (a) | 56,561 | 2,967,756 | ||||||
|
| |||||||
Building Materials — 0.2% | ||||||||
Fortune Brands Home & Security, Inc. | 29,351 | 1,705,293 | ||||||
Martin Marietta Materials, Inc. | 12,160 | 2,177,977 | ||||||
Masco Corp. | 63,683 | 2,184,964 | ||||||
|
| |||||||
6,068,234 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.3% | ||||||||
Acuity Brands, Inc. | 8,389 | 2,219,729 | ||||||
AMETEK, Inc. | 44,668 | 2,134,237 | ||||||
Emerson Electric Co. | 124,547 | 6,789,057 | ||||||
|
| |||||||
11,143,023 | ||||||||
|
| |||||||
Electronics — 0.8% | ||||||||
Agilent Technologies, Inc. | 62,714 | 2,953,202 | ||||||
Allegion PLC | 18,315 | 1,262,087 |
The accompanying notes are an integral part of the financial statements.
115
MM S&P 500 Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Amphenol Corp. Class A | 58,926 | $ | 3,825,476 | |||||
FLIR Systems, Inc. | 26,336 | 827,477 | ||||||
Fortive Corp. | 57,345 | 2,918,860 | ||||||
Garmin Ltd. | 22,269 | 1,071,362 | ||||||
Johnson Controls International PLC | 181,487 | 8,444,590 | ||||||
Mettler-Toledo International, Inc. (a) | 5,123 | 2,150,789 | ||||||
PerkinElmer, Inc. | 20,862 | 1,170,567 | ||||||
TE Connectivity Ltd. | 68,436 | 4,405,910 | ||||||
Waters Corp. (a) | 15,499 | 2,456,436 | ||||||
|
| |||||||
31,486,756 | ||||||||
|
| |||||||
Engineering & Construction — 0.1% | ||||||||
Fluor Corp. | 26,596 | 1,364,906 | ||||||
Jacobs Engineering Group, Inc. (a) | 23,283 | 1,204,197 | ||||||
|
| |||||||
2,569,103 | ||||||||
|
| |||||||
Environmental Controls — 0.2% | ||||||||
Republic Services, Inc. | 45,446 | 2,292,751 | ||||||
Stericycle, Inc. (a) | 16,254 | 1,302,596 | ||||||
Waste Management, Inc. | 78,006 | 4,973,662 | ||||||
|
| |||||||
8,569,009 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.1% | ||||||||
Snap-on, Inc. | 11,132 | 1,691,619 | ||||||
Stanley Black & Decker, Inc. | 28,734 | 3,533,707 | ||||||
|
| |||||||
5,225,326 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.4% | ||||||||
Caterpillar, Inc. | 112,663 | 10,001,095 | ||||||
Ingersoll-Rand PLC | 49,282 | 3,348,219 | ||||||
|
| |||||||
13,349,314 | ||||||||
|
| |||||||
Machinery – Diversified — 0.5% | ||||||||
Cummins, Inc. | 29,727 | 3,809,515 | ||||||
Deere & Co. | 55,743 | 4,757,665 | ||||||
Flowserve Corp. | 24,940 | 1,203,105 | ||||||
Rockwell Automation, Inc. | 24,927 | 3,049,569 | ||||||
Roper Technologies, Inc. | 19,370 | 3,534,444 | ||||||
Xylem, Inc. | 34,226 | 1,795,154 | ||||||
|
| |||||||
18,149,452 | ||||||||
|
| |||||||
Manufacturing — 3.3% | ||||||||
3M Co. | 116,500 | 20,530,795 | ||||||
Danaher Corp. | 116,886 | 9,162,694 | ||||||
Dover Corp. | 29,694 | 2,186,666 | ||||||
Eaton Corp. PLC | 87,661 | 5,760,204 | ||||||
General Electric Co. | 1,724,659 | 51,084,400 | ||||||
Honeywell International, Inc. | 146,576 | 17,089,296 | ||||||
Illinois Tool Works, Inc. | 61,311 | 7,347,510 | ||||||
Leggett & Platt, Inc. | 25,745 | 1,173,457 | ||||||
Parker Hannifin Corp. | 25,774 | 3,235,410 | ||||||
Pentair PLC | 32,391 | 2,080,798 | ||||||
Textron, Inc. | 51,454 | 2,045,296 | ||||||
|
| |||||||
121,696,526 | ||||||||
|
|
Number of Shares | Value | |||||||
Packaging & Containers — 0.2% | ||||||||
Ball Corp. | 33,291 | $ | 2,728,198 | |||||
Owens-Illinois, Inc. (a) | 30,980 | 569,722 | ||||||
Sealed Air Corp. | 37,742 | 1,729,339 | ||||||
WestRock Co. | 48,355 | 2,344,250 | ||||||
|
| |||||||
7,371,509 | ||||||||
|
| |||||||
Transportation — 1.6% | ||||||||
C.H. Robinson Worldwide, Inc. | 27,324 | 1,925,249 | ||||||
CSX Corp. | 182,980 | 5,580,890 | ||||||
Expeditors International of Washington, Inc. | 34,843 | 1,795,111 | ||||||
FedEx Corp. | 47,079 | 8,223,760 | ||||||
J.B. Hunt Transport Services, Inc. | 17,040 | 1,382,626 | ||||||
Kansas City Southern | 20,673 | 1,929,204 | ||||||
Norfolk Southern Corp. | 56,610 | 5,494,567 | ||||||
Ryder System, Inc. | 10,256 | 676,383 | ||||||
Union Pacific Corp. | 160,189 | 15,623,233 | ||||||
United Parcel Service, Inc. Class B | 132,977 | 14,542,365 | ||||||
|
| |||||||
57,173,388 | ||||||||
|
| |||||||
360,347,888 | ||||||||
|
| |||||||
Technology — 12.9% | ||||||||
Computers — 5.0% | ||||||||
Accenture PLC Class A | 119,993 | 14,659,545 | ||||||
Apple, Inc. | 1,036,843 | 117,215,101 | ||||||
Cognizant Technology Solutions Corp. Class A (a) | 117,263 | 5,594,618 | ||||||
CSRA, Inc. | 28,962 | 779,078 | ||||||
Hewlett Packard Enterprise Co. | 321,368 | 7,311,122 | ||||||
HP, Inc. | 327,445 | 5,085,221 | ||||||
International Business Machines Corp. | 167,351 | 26,583,706 | ||||||
NetApp, Inc. | 53,341 | 1,910,674 | ||||||
Seagate Technology PLC | 57,134 | 2,202,516 | ||||||
Teradata Corp. (a) | 24,881 | 771,311 | ||||||
Western Digital Corp. | 55,274 | 3,231,871 | ||||||
|
| |||||||
185,344,763 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.1% | ||||||||
Pitney Bowes, Inc. | 35,562 | 645,806 | ||||||
Xerox Corp. | 163,839 | 1,659,689 | ||||||
|
| |||||||
2,305,495 | ||||||||
|
| |||||||
Semiconductors — 3.2% | ||||||||
Analog Devices, Inc. | 58,833 | 3,791,787 | ||||||
Applied Materials, Inc. | 208,478 | 6,285,612 | ||||||
Broadcom Ltd. | 76,196 | 13,145,334 | ||||||
Intel Corp. | 910,877 | 34,385,607 | ||||||
KLA-Tencor Corp. | 29,799 | 2,077,288 | ||||||
Lam Research Corp. | 30,550 | 2,893,390 | ||||||
Linear Technology Corp. | 45,761 | 2,713,170 | ||||||
Microchip Technology, Inc. | 41,109 | 2,554,513 | ||||||
Micron Technology, Inc. (a) | 198,507 | 3,529,454 | ||||||
NVIDIA Corp. | 103,000 | 7,057,560 |
The accompanying notes are an integral part of the financial statements.
116
MM S&P 500 Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Qorvo, Inc. (a) | 24,413 | $ | 1,360,781 | |||||
QUALCOMM, Inc. | 283,667 | 19,431,189 | ||||||
Skyworks Solutions, Inc. | 36,414 | 2,772,562 | ||||||
Texas Instruments, Inc. | 193,317 | 13,566,987 | ||||||
Xilinx, Inc. | 48,562 | 2,638,859 | ||||||
|
| |||||||
118,204,093 | ||||||||
|
| |||||||
Software — 4.6% | ||||||||
Activision Blizzard, Inc. | 131,397 | 5,820,887 | ||||||
Adobe Systems, Inc. (a) | 95,735 | 10,391,077 | ||||||
Autodesk, Inc. (a) | 37,678 | 2,725,250 | ||||||
CA, Inc. | 60,824 | 2,012,058 | ||||||
Cerner Corp. (a) | 57,612 | 3,557,541 | ||||||
Citrix Systems, Inc. (a) | 29,675 | 2,528,903 | ||||||
The Dun & Bradstreet Corp. | 6,937 | 947,733 | ||||||
Electronic Arts, Inc. (a) | 57,732 | 4,930,313 | ||||||
Fidelity National Information Services, Inc. | 63,112 | 4,861,517 | ||||||
Fiserv, Inc. (a) | 42,558 | 4,233,244 | ||||||
Intuit, Inc. | 47,278 | 5,201,053 | ||||||
Microsoft Corp. | 1,499,480 | 86,370,048 | ||||||
Oracle Corp. | 579,154 | 22,749,169 | ||||||
Red Hat, Inc. (a) | 34,713 | 2,805,852 | ||||||
Salesforce.com, Inc. (a) | 123,993 | 8,844,421 | ||||||
|
| |||||||
167,979,066 | ||||||||
|
| |||||||
473,833,417 | ||||||||
|
| |||||||
Utilities — 3.2% | ||||||||
Electric — 3.0% | ||||||||
The AES Corp. | 126,185 | 1,621,477 | ||||||
Alliant Energy Corp. | 43,480 | 1,665,719 | ||||||
Ameren Corp. | 46,427 | 2,283,280 | ||||||
American Electric Power Co., Inc. | 95,271 | 6,117,351 | ||||||
CenterPoint Energy, Inc. | 82,417 | 1,914,547 | ||||||
CMS Energy Corp. | 53,422 | 2,244,258 | ||||||
Consolidated Edison, Inc. | 58,216 | 4,383,665 | ||||||
Dominion Resources, Inc. | 120,569 | 8,954,660 | ||||||
DTE Energy Co. | 34,353 | 3,217,845 | ||||||
Duke Energy Corp. | 132,877 | 10,635,475 | ||||||
Edison International | 62,375 | 4,506,594 | ||||||
Entergy Corp. | 34,209 | 2,624,857 | ||||||
Eversource Energy | 60,720 | 3,289,810 | ||||||
Exelon Corp. | 178,557 | 5,944,162 | ||||||
FirstEnergy Corp. | 81,304 | 2,689,536 | ||||||
NextEra Energy, Inc. | 90,136 | 11,025,435 | ||||||
NRG Energy, Inc. | 60,283 | 675,772 | ||||||
PG&E Corp. | 96,257 | 5,888,041 | ||||||
Pinnacle West Capital Corp. | 21,269 | 1,616,231 | ||||||
PPL Corp. | 131,640 | 4,550,795 | ||||||
Public Service Enterprise Group, Inc. | 98,541 | 4,125,912 | ||||||
SCANA Corp. | 27,332 | 1,978,017 | ||||||
The Southern Co. | 188,679 | 9,679,233 |
Number of Shares | Value | |||||||
WEC Energy Group, Inc. | 60,393 | $ | 3,616,333 | |||||
Xcel Energy, Inc. | 97,228 | 3,999,960 | ||||||
|
| |||||||
109,248,965 | ||||||||
|
| |||||||
Gas — 0.1% | ||||||||
NiSource, Inc. | 61,503 | 1,482,837 | ||||||
Sempra Energy | 48,174 | 5,163,771 | ||||||
|
| |||||||
6,646,608 | ||||||||
|
| |||||||
Water — 0.1% | ||||||||
American Water Works Co., Inc. | 34,016 | 2,545,757 | ||||||
|
| |||||||
118,441,330 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $2,213,113,340) | 3,606,126,515 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $2,213,113,340) | 3,606,126,515 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $2,213,113,340) | 3,606,126,515 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.4% | ||||||||
Repurchase Agreement — 1.3% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (b) | $ | 47,866,083 | 47,866,083 | |||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 25,247 | 25,247 | ||||||
|
| |||||||
U.S. Treasury Bill — 0.1% | ||||||||
U.S. Treasury Bill (c) 0.000% 3/02/17 | 15,000 | 14,978 | ||||||
U.S. Treasury Bill (c) 0.000% 3/02/17 | 3,400,000 | 3,394,832 | ||||||
U.S. Treasury Bill (c) 0.000% 3/02/17 | 50,000 | 49,924 | ||||||
|
| |||||||
3,459,734 | ||||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $51,349,742) | 51,351,064 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% (Cost $2,264,463,082) (d) | 3,657,477,579 | |||||||
Other Assets/(Liabilities) — 0.1% | 5,081,684 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,662,559,263 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
117
MM S&P 500 Index Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Maturity value of $47,866,123. Collateralized by U.S. Government Agency obligations with a rate of 3.125%, maturity date of 5/15/21, and an aggregate market value, including accrued interest, of $48,826,928. |
(c) | A portion of this security is held as collateral for open futures contracts. (Note 2). |
(d) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
118
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 94.7% | ||||||||
COMMON STOCK — 94.7% | ||||||||
Communications — 20.1% | ||||||||
Internet — 7.7% | ||||||||
Alphabet, Inc. Class C (a) | 47,100 | $ | 36,610,359 | |||||
CDW Corp. | 441,000 | 20,166,930 | ||||||
|
| |||||||
56,777,289 | ||||||||
|
| |||||||
Media — 9.7% | ||||||||
Charter Communications, Inc. Class A (a) | 144,500 | 39,010,665 | ||||||
Tribune Media Co. Class A | 878,500 | 32,082,820 | ||||||
|
| |||||||
71,093,485 | ||||||||
|
| |||||||
Telecommunications — 2.7% | ||||||||
CommScope Holding Co., Inc. (a) | 648,000 | 19,511,280 | ||||||
|
| |||||||
147,382,054 | ||||||||
|
| |||||||
Consumer, Cyclical — 14.3% | ||||||||
Auto Manufacturers — 6.9% | ||||||||
General Motors Co. | 1,585,000 | 50,355,450 | ||||||
|
| |||||||
Retail — 7.4% | ||||||||
CarMax, Inc. (a) | 481,500 | 25,688,025 | ||||||
Tiffany & Co. | 395,500 | 28,725,165 | ||||||
|
| |||||||
54,413,190 | ||||||||
|
| |||||||
104,768,640 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 11.2% | ||||||||
Health Care – Products — 3.5% | ||||||||
Baxter International, Inc. | 534,000 | 25,418,400 | ||||||
|
| |||||||
Health Care – Services — 3.5% | ||||||||
HCA Holdings, Inc. (a) | 342,000 | 25,865,460 | ||||||
|
| |||||||
Pharmaceuticals — 4.2% | ||||||||
Quintiles Transnational Holdings, Inc. (a) | 376,500 | 30,519,090 | ||||||
|
| |||||||
81,802,950 | ||||||||
|
| |||||||
Financial — 36.4% | ||||||||
Banks — 5.8% | ||||||||
Wells Fargo & Co. | 965,500 | 42,752,340 | ||||||
|
| |||||||
Diversified Financial — 15.4% | ||||||||
BlackRock, Inc. | 100,000 | 36,246,000 | ||||||
The Goldman Sachs Group, Inc. | 212,000 | 34,189,240 | ||||||
JP Morgan Chase & Co. | 630,000 | 41,951,700 | ||||||
|
| |||||||
112,386,940 | ||||||||
|
| |||||||
Insurance — 12.1% | ||||||||
American International Group, Inc. | 932,000 | 55,304,880 | ||||||
Aon PLC | 298,500 | 33,578,265 | ||||||
|
| |||||||
88,883,145 | ||||||||
|
|
Number of Shares | Value | |||||||
Real Estate — 3.1% | ||||||||
CBRE Group, Inc. Class A (a) | 813,000 | $ | 22,747,740 | |||||
|
| |||||||
266,770,165 | ||||||||
|
| |||||||
Industrial — 12.7% | ||||||||
Machinery – Construction & Mining — 5.9% | ||||||||
Caterpillar, Inc. | 487,500 | 43,275,375 | ||||||
|
| |||||||
Machinery – Diversified — 6.8% | ||||||||
Cummins, Inc. | 386,500 | 49,529,975 | ||||||
|
| |||||||
92,805,350 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $596,912,714) | 693,529,159 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $596,912,714) | 693,529,159 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $596,912,714) | 693,529,159 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 6.3% | ||||||||
Repurchase Agreement — 6.3% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (b) | $ | 46,522,907 | 46,522,907 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $46,522,907) | 46,522,907 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.0% (Cost $643,435,621) (c) | 740,052,066 | |||||||
Other Assets/(Liabilities) — (1.0)% | (7,466,805 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 732,585,261 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Maturity value of $46,522,946. Collateralized by U.S. Government Agency obligations with rates ranging from 1.625% – 3.125%, maturity dates ranging from 12/31/19 – 5/15/21, and an aggregate market value, including accrued interest, of $47,455,174. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
119
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 99.6% | ||||||||
COMMON STOCK — 99.6% | ||||||||
Basic Materials — 1.5% | ||||||||
Chemicals — 0.5% | ||||||||
The Sherwin-Williams Co. | 2,105 | $ | 582,369 | |||||
|
| |||||||
Iron & Steel — 0.4% | ||||||||
Nucor Corp. | 8,234 | 407,171 | ||||||
|
| |||||||
Mining — 0.6% | ||||||||
Rio Tinto PLC Sponsored ADR (United Kingdom) (a) | 22,036 | 736,003 | ||||||
|
| |||||||
1,725,543 | ||||||||
|
| |||||||
Communications — 24.7% | ||||||||
Advertising — 1.6% | ||||||||
Nielsen Holdings PLC | 15,651 | 838,424 | ||||||
Omnicom Group, Inc. | 11,566 | 983,110 | ||||||
|
| |||||||
1,821,534 | ||||||||
|
| |||||||
Internet — 16.5% | ||||||||
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) (b) | 6,689 | 707,629 | ||||||
Alphabet, Inc. Class C (b) | 7,200 | 5,596,488 | ||||||
Amazon.com, Inc. (b) | 4,130 | 3,458,090 | ||||||
Baidu, Inc. Sponsored ADR (Cayman Islands) (b) | 3,538 | 644,164 | ||||||
eBay, Inc. (b) | 34,490 | 1,134,721 | ||||||
F5 Networks, Inc. (b) | 6,828 | 851,042 | ||||||
Facebook, Inc. Class A (b) | 31,496 | 4,039,992 | ||||||
GoDaddy, Inc. Class A (a) (b) | 3,516 | 121,407 | ||||||
Netflix, Inc. (b) | 1,054 | 103,872 | ||||||
The Priceline Group, Inc. (b) | 1,070 | 1,574,494 | ||||||
Yandex NV Class A (b) | 35,978 | 757,337 | ||||||
|
| |||||||
18,989,236 | ||||||||
|
| |||||||
Media — 4.3% | ||||||||
Comcast Corp. Class A | 36,035 | 2,390,562 | ||||||
Discovery Communications, Inc. Series A (a) (b) | 20,258 | 545,345 | ||||||
FactSet Research Systems, Inc. | 3,356 | 544,008 | ||||||
Scripps Networks Interactive Class A | 16,875 | 1,071,394 | ||||||
Viacom, Inc. Class B | 11,242 | 428,320 | ||||||
|
| |||||||
4,979,629 | ||||||||
|
| |||||||
Telecommunications — 2.3% | ||||||||
Cisco Systems, Inc. | 28,549 | 905,574 | ||||||
Verizon Communications, Inc. | 33,784 | 1,756,093 | ||||||
|
| |||||||
2,661,667 | ||||||||
|
| |||||||
28,452,066 | ||||||||
|
| |||||||
Consumer, Cyclical — 9.6% | ||||||||
Apparel — 0.6% | ||||||||
Michael Kors Holdings Ltd. (b) | 14,516 | 679,204 | ||||||
|
|
Number of Shares | Value | |||||||
Lodging — 1.0% | ||||||||
Las Vegas Sands Corp. | 11,900 | $ | 684,726 | |||||
Wyndham Worldwide Corp. | 6,800 | 457,844 | ||||||
|
| |||||||
1,142,570 | ||||||||
|
| |||||||
Retail — 8.0% | ||||||||
CVS Health Corp. | 13,146 | 1,169,862 | ||||||
Dollar General Corp. | 6,168 | 431,698 | ||||||
Domino’s Pizza, Inc. | 580 | 88,073 | ||||||
Dunkin’ Brands Group, Inc. (a) | 8,808 | 458,721 | ||||||
The Home Depot, Inc. | 19,892 | 2,559,703 | ||||||
Lowe’s Cos., Inc. | 18,948 | 1,368,235 | ||||||
O’Reilly Automotive, Inc. (b) | 3,090 | 865,540 | ||||||
Ross Stores, Inc. | 10,799 | 694,376 | ||||||
The TJX Cos., Inc. | 13,466 | 1,006,987 | ||||||
Wal-Mart Stores, Inc. | 8,547 | 616,410 | ||||||
|
| |||||||
9,259,605 | ||||||||
|
| |||||||
11,081,379 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 29.7% | ||||||||
Agriculture — 0.6% | ||||||||
Altria Group, Inc. | 11,558 | 730,812 | ||||||
|
| |||||||
Beverages — 2.5% | ||||||||
Monster Beverage Corp. (b) | 1,526 | 224,032 | ||||||
PepsiCo, Inc. | 24,635 | 2,679,549 | ||||||
|
| |||||||
2,903,581 | ||||||||
|
| |||||||
Biotechnology — 3.8% | ||||||||
Amgen, Inc. | 15,169 | 2,530,341 | ||||||
Celgene Corp. (b) | 2,174 | 227,248 | ||||||
Gilead Sciences, Inc. | 20,197 | 1,597,987 | ||||||
Regeneron Pharmaceuticals, Inc. (b) | 187 | 75,178 | ||||||
|
| |||||||
4,430,754 | ||||||||
|
| |||||||
Commercial Services — 8.9% | ||||||||
Alliance Data Systems Corp. (b) | 3,393 | 727,900 | ||||||
Experian PLC | 28,060 | 562,205 | ||||||
Gartner, Inc. (b) | 6,435 | 569,176 | ||||||
Global Payments, Inc. | 8,338 | 640,025 | ||||||
IHS Markit Ltd. (b) | 31,782 | 1,193,414 | ||||||
Paychex, Inc. | 20,676 | 1,196,520 | ||||||
PayPal Holdings, Inc. (b) | 30,161 | 1,235,696 | ||||||
Vantiv, Inc. Class A (b) | 17,860 | 1,004,982 | ||||||
Verisk Analytics, Inc. (b) | 8,731 | 709,656 | ||||||
Visa, Inc. Class A | 29,980 | 2,479,346 | ||||||
|
| |||||||
10,318,920 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 1.4% | ||||||||
Colgate-Palmolive Co. | 12,406 | 919,781 | ||||||
The Estee Lauder Cos., Inc. Class A | 7,856 | 695,727 | ||||||
|
| |||||||
1,615,508 | ||||||||
|
| |||||||
Foods — 1.3% | ||||||||
BRF SA Sponsored ADR (Brazil) (a) | 14,483 | 247,080 |
The accompanying notes are an integral part of the financial statements.
120
MassMutual Select Fundamental Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
The Hershey Co. | 7,517 | $ | 718,625 | |||||
Mondelez International, Inc. Class A | 10,924 | 479,564 | ||||||
|
| |||||||
1,445,269 | ||||||||
|
| |||||||
Health Care – Products — 4.5% | ||||||||
Becton, Dickinson & Co. | 6,459 | 1,160,876 | ||||||
C.R. Bard, Inc. | 3,934 | 882,317 | ||||||
Johnson & Johnson | 10,460 | 1,235,640 | ||||||
Medtronic PLC | 9,469 | 818,122 | ||||||
Varian Medical Systems, Inc. (b) | 6,238 | 620,868 | ||||||
Zimmer Biomet Holdings, Inc. | 3,407 | 442,978 | ||||||
|
| |||||||
5,160,801 | ||||||||
|
| |||||||
Health Care – Services — 2.4% | ||||||||
Aetna, Inc. | 10,585 | 1,222,038 | ||||||
Anthem, Inc. | 3,156 | 395,479 | ||||||
HCA Holdings, Inc. (b) | 7,964 | 602,317 | ||||||
ICON PLC (b) | 6,673 | 516,290 | ||||||
|
| |||||||
2,736,124 | ||||||||
|
| |||||||
Pharmaceuticals — 4.3% | ||||||||
Allergan PLC (b) | 4,158 | 957,629 | ||||||
AstraZeneca PLC Sponsored ADR (United Kingdom) (a) | 11,520 | 378,547 | ||||||
Bristol-Myers Squibb Co. | 31,694 | 1,708,940 | ||||||
Cardinal Health, Inc. | 11,598 | 901,165 | ||||||
Merck & Co., Inc. | 15,676 | 978,339 | ||||||
|
| |||||||
4,924,620 | ||||||||
|
| |||||||
34,266,389 | ||||||||
|
| |||||||
Energy — 2.4% | ||||||||
Energy – Alternate Sources — 0.3% | ||||||||
First Solar, Inc. (a) (b) | 7,847 | 309,878 | ||||||
|
| |||||||
Oil & Gas — 1.4% | ||||||||
BP PLC Sponsored ADR (United Kingdom) | 25,660 | 902,206 | ||||||
Chevron Corp. | 6,762 | 695,945 | ||||||
|
| |||||||
1,598,151 | ||||||||
|
| |||||||
Oil & Gas Services — 0.7% | ||||||||
Baker Hughes, Inc. | 17,235 | 869,850 | ||||||
|
| |||||||
2,777,879 | ||||||||
|
| |||||||
Financial — 4.3% | ||||||||
Banks — 0.3% | ||||||||
Bank of America Corp. | 18,777 | 293,860 | ||||||
|
| |||||||
Diversified Financial — 2.9% | ||||||||
Intercontinental Exchange, Inc. | 4,407 | 1,187,070 | ||||||
JP Morgan Chase & Co. | 4,771 | 317,701 | ||||||
MasterCard, Inc. | 18,217 | 1,853,944 | ||||||
|
| |||||||
3,358,715 | ||||||||
|
| |||||||
Insurance — 0.3% | ||||||||
American International Group, Inc. | 6,460 | 383,336 | ||||||
|
|
Number of Shares | Value | |||||||
Real Estate Investment Trusts (REITS) — 0.8% | ||||||||
Public Storage | 4,051 | $ | 903,940 | |||||
|
| |||||||
4,939,851 | ||||||||
|
| |||||||
Industrial — 6.7% | ||||||||
Aerospace & Defense — 0.5% | ||||||||
The Boeing Co. | 4,267 | 562,135 | ||||||
|
| |||||||
Electrical Components & Equipment — 0.7% | ||||||||
Emerson Electric Co. | 15,064 | 821,139 | ||||||
|
| |||||||
Electronics — 0.4% | ||||||||
Fortive Corp. | 9,498 | 483,448 | ||||||
|
| |||||||
Machinery – Diversified — 1.7% | ||||||||
Cummins, Inc. | 6,562 | 840,920 | ||||||
Rockwell Automation, Inc. | 8,691 | 1,063,257 | ||||||
|
| |||||||
1,904,177 | ||||||||
|
| |||||||
Manufacturing — 2.8% | ||||||||
Danaher Corp. | 12,111 | 949,381 | ||||||
Honeywell International, Inc. | 14,076 | 1,641,121 | ||||||
Parker Hannifin Corp. | 5,214 | 654,513 | ||||||
|
| |||||||
3,245,015 | ||||||||
|
| |||||||
Transportation — 0.6% | ||||||||
C.H. Robinson Worldwide, Inc. | 10,356 | 729,684 | ||||||
|
| |||||||
7,745,598 | ||||||||
|
| |||||||
Technology — 20.3% | ||||||||
Computers — 5.7% | ||||||||
Amdocs Ltd. | 12,092 | 699,522 | ||||||
Apple, Inc. | 43,422 | 4,908,857 | ||||||
Jack Henry & Associates, Inc. | 11,402 | 975,441 | ||||||
|
| |||||||
6,583,820 | ||||||||
|
| |||||||
Internet — 1.2% | ||||||||
Check Point Software Technologies Ltd. (b) | 18,231 | 1,414,908 | ||||||
|
| |||||||
Semiconductors — 5.9% | ||||||||
Cirrus Logic, Inc. (b) | 10,982 | 583,693 | ||||||
Linear Technology Corp. | 25,950 | 1,538,576 | ||||||
Maxim Integrated Products, Inc. | 30,367 | 1,212,554 | ||||||
QUALCOMM, Inc. | 20,884 | 1,430,554 | ||||||
Texas Instruments, Inc. | 23,638 | 1,658,915 | ||||||
Xilinx, Inc. | 6,646 | 361,144 | ||||||
|
| |||||||
6,785,436 | ||||||||
|
| |||||||
Software — 7.5% | ||||||||
Electronic Arts, Inc. (b) | 8,302 | 708,991 | ||||||
Fiserv, Inc. (b) | 8,234 | 819,036 | ||||||
Intuit, Inc. | 4,403 | 484,374 | ||||||
Microsoft Corp. | 56,934 | 3,279,398 | ||||||
Oracle Corp. | 65,377 | 2,568,009 | ||||||
Salesforce.com, Inc. (b) | 9,957 | 710,233 | ||||||
|
| |||||||
8,570,041 | ||||||||
|
| |||||||
23,354,205 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
121
MassMutual Select Fundamental Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Utilities — 0.4% | ||||||||
Electric — 0.4% | ||||||||
NextEra Energy, Inc. | 3,907 | $ | 477,904 | |||||
|
| |||||||
TOTAL COMMON STOCK (Cost $101,530,369) | 114,820,814 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $101,530,369) | 114,820,814 | |||||||
|
| |||||||
MUTUAL FUNDS — 2.3% | ||||||||
Diversified Financial — 2.3% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 2,648,709 | 2,648,709 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $2,648,709) | 2,648,709 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $104,179,078) | 117,469,523 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.4% | ||||||||
Repurchase Agreement — 0.4% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (d) | $ | 486,718 | 486,718 | |||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 16 | 16 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $486,734) | 486,734 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 102.3% (Cost $104,665,812) (e) | 117,956,257 | |||||||
Other Assets/(Liabilities) — (2.3)% | (2,699,424 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 115,256,833 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
(a) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2016, was $2,585,839 or 2.24% 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 $486,718. Collateralized by U.S. Government Agency obligations with a rate of 3.125%, maturity date of 5/15/21, and an aggregate market value, including accrued interest, of $501,496. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
122
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 99.3% | ||||||||
COMMON STOCK — 99.3% | ||||||||
Basic Materials — 0.4% | ||||||||
Chemicals — 0.4% | ||||||||
Ashland Global Holdings, Inc. | 9,200 | $ | 1,066,739 | |||||
E.I. du Pont de Nemours & Co. | 9,300 | 622,821 | ||||||
Ecolab, Inc. | 9,800 | 1,192,856 | ||||||
PPG Industries, Inc. | 800 | 82,688 | ||||||
The Sherwin-Williams Co. | 8,700 | 2,406,942 | ||||||
|
| |||||||
5,372,046 | ||||||||
|
| |||||||
Communications — 31.7% | ||||||||
Internet — 29.0% | ||||||||
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) (a) | 467,277 | 49,433,234 | ||||||
Alphabet, Inc. Class A (a) | 51,275 | 41,228,177 | ||||||
Alphabet, Inc. Class C (a) | 77,108 | 59,935,277 | ||||||
Amazon.com, Inc. (a) | 159,113 | 133,226,906 | ||||||
Baidu, Inc. Sponsored ADR (Cayman Islands) (a) | 17,600 | 3,204,432 | ||||||
Ctrip.com International Ltd. ADR (Cayman Islands) (a) | 106,320 | 4,951,322 | ||||||
Equinix, Inc. | 3,400 | 1,224,850 | ||||||
Facebook, Inc. Class A (a) | 661,894 | 84,901,143 | ||||||
Netflix, Inc. (a) | 110,800 | 10,919,340 | ||||||
The Priceline Group, Inc. (a) | 29,200 | 42,967,508 | ||||||
Tencent Holdings Ltd. | 670,700 | 18,583,876 | ||||||
|
| |||||||
450,576,065 | ||||||||
|
| |||||||
Media — 1.1% | ||||||||
Charter Communications, Inc. | 20,037 | 5,409,389 | ||||||
Comcast Corp. Class A | 26,400 | 1,751,376 | ||||||
FactSet Research Systems, Inc. | 50,158 | 8,130,612 | ||||||
Time Warner, Inc. | 19,800 | 1,576,278 | ||||||
The Walt Disney Co. | 9,000 | 835,740 | ||||||
|
| |||||||
17,703,395 | ||||||||
|
| |||||||
Telecommunications — 1.6% | ||||||||
Cisco Systems, Inc. | 767,099 | 24,332,380 | ||||||
|
| |||||||
492,611,840 | ||||||||
|
| |||||||
Consumer, Cyclical — 10.0% | ||||||||
Airlines — 1.4% | ||||||||
Alaska Air Group, Inc. | 81,400 | 5,361,004 | ||||||
American Airlines Group, Inc. | 404,800 | 14,819,728 | ||||||
Delta Air Lines, Inc. | 52,300 | 2,058,528 | ||||||
|
| |||||||
22,239,260 | ||||||||
|
| |||||||
Apparel — 0.2% | ||||||||
Hanesbrands, Inc. | 114,600 | 2,893,650 | ||||||
Nike, Inc. Class B | 6,300 | 331,695 | ||||||
|
| |||||||
3,225,345 | ||||||||
|
|
Number of Shares | Value | |||||||
Auto Manufacturers — 0.5% | ||||||||
Ferrari NV | 27,700 | $ | 1,436,799 | |||||
Tesla Motors, Inc. (a) | 28,316 | 5,777,314 | ||||||
|
| |||||||
7,214,113 | ||||||||
|
| |||||||
Automotive & Parts — 0.3% | ||||||||
Delphi Automotive PLC | 69,300 | 4,942,476 | ||||||
|
| |||||||
Leisure Time — 0.4% | ||||||||
Carnival Corp. | 1,300 | 63,466 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) | 46,500 | 1,753,050 | ||||||
Royal Caribbean Cruises Ltd. | 47,100 | 3,530,145 | ||||||
|
| |||||||
5,346,661 | ||||||||
|
| |||||||
Lodging — 1.3% | ||||||||
Hilton Worldwide Holdings, Inc. | 272,955 | 6,258,858 | ||||||
Las Vegas Sands Corp. | 71,500 | 4,114,110 | ||||||
Marriott International, Inc. Class A | 69,390 | 4,672,029 | ||||||
MGM Resorts International (a) | 214,000 | 5,570,420 | ||||||
|
| |||||||
20,615,417 | ||||||||
|
| |||||||
Retail — 5.9% | ||||||||
AutoZone, Inc. (a) | 6,600 | 5,071,044 | ||||||
Coach, Inc. | 35,900 | 1,312,504 | ||||||
Costco Wholesale Corp. | 13,200 | 2,013,132 | ||||||
CVS Health Corp. | 57,500 | 5,116,925 | ||||||
Dollar General Corp. | 35,400 | 2,477,646 | ||||||
The Home Depot, Inc. | 85,100 | 10,950,668 | ||||||
L Brands, Inc. | 1,200 | 84,924 | ||||||
Lowe’s Cos., Inc. | 188,500 | 13,611,585 | ||||||
O’Reilly Automotive, Inc. (a) | 41,300 | 11,568,543 | ||||||
Ross Stores, Inc. | 99,800 | 6,417,140 | ||||||
Starbucks Corp. | 68,100 | 3,686,934 | ||||||
Tractor Supply Co. | 44,511 | 2,997,816 | ||||||
Walgreens Boots Alliance, Inc. | 155,200 | 12,512,224 | ||||||
Yum! Brands, Inc. | 153,798 | 13,966,396 | ||||||
|
| |||||||
91,787,481 | ||||||||
|
| |||||||
155,370,753 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 27.3% | ||||||||
Agriculture — 0.2% | ||||||||
Philip Morris International, Inc. | 30,800 | 2,994,376 | ||||||
|
| |||||||
Beverages — 3.0% | ||||||||
The Coca-Cola Co. | 377,798 | 15,988,411 | ||||||
Constellation Brands, Inc. Class A | 20,100 | 3,346,449 | ||||||
Molson Coors Brewing Co. Class B | 21,200 | 2,327,760 | ||||||
Monster Beverage Corp. (a) | 144,212 | 21,171,764 | ||||||
SABMiller PLC Sponsored ADR (United Kingdom) | 51,701 | 3,003,311 | ||||||
|
| |||||||
45,837,695 | ||||||||
|
| |||||||
Biotechnology — 4.3% | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 98,600 | 12,082,444 | ||||||
Amgen, Inc. | 61,284 | 10,222,784 |
The accompanying notes are an integral part of the financial statements.
123
MassMutual Select Blue Chip Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Biogen, Inc. (a) | 34,300 | $ | 10,736,929 | |||||
Celgene Corp. (a) | 136,000 | 14,216,080 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 26,114 | 10,498,350 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 98,500 | 8,590,185 | ||||||
|
| |||||||
66,346,772 | ||||||||
|
| |||||||
Commercial Services — 5.8% | ||||||||
Automatic Data Processing, Inc. | 46,585 | 4,108,797 | ||||||
FleetCor Technologies, Inc. (a) | 12,200 | 2,119,506 | ||||||
IHS Markit Ltd. (a) | 43,365 | 1,628,356 | ||||||
McKesson Corp. | 30,000 | 5,002,500 | ||||||
PayPal Holdings, Inc. (a) | 165,500 | 6,780,535 | ||||||
S&P Global, Inc. | 17,500 | 2,214,800 | ||||||
SEI Investments Co. | 277,938 | 12,676,752 | ||||||
Visa, Inc. Class A | 676,802 | 55,971,525 | ||||||
|
| |||||||
90,502,771 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 1.1% | ||||||||
The Estee Lauder Cos., Inc. Class A | 8,600 | 761,616 | ||||||
The Procter & Gamble Co. | 189,586 | 17,015,344 | ||||||
|
| |||||||
17,776,960 | ||||||||
|
| |||||||
Foods — 1.5% | ||||||||
Danone SA Sponsored ADR (France) | 1,215,884 | 18,055,878 | ||||||
The Kraft Heinz Co. | 11,100 | 993,561 | ||||||
Mondelez International, Inc. Class A | 82,300 | 3,612,970 | ||||||
|
| |||||||
22,662,409 | ||||||||
|
| |||||||
Health Care – Products — 2.9% | ||||||||
Becton, Dickinson & Co. | 53,100 | 9,543,663 | ||||||
C.R. Bard, Inc. | 500 | 112,140 | ||||||
Henry Schein, Inc. (a) | 6,700 | 1,091,966 | ||||||
Intuitive Surgical, Inc. (a) | 15,300 | 11,089,899 | ||||||
Medtronic PLC | 11,607 | 1,002,845 | ||||||
Stryker Corp. | 85,300 | 9,929,773 | ||||||
Varian Medical Systems, Inc. (a) | 130,870 | 13,025,491 | ||||||
|
| |||||||
45,795,777 | ||||||||
|
| |||||||
Health Care – Services — 3.7% | ||||||||
Aetna, Inc. | 100,072 | 11,553,313 | ||||||
Anthem, Inc. | 9,900 | 1,240,569 | ||||||
Centene Corp. (a) | 16,500 | 1,104,840 | ||||||
Cigna Corp. | 24,200 | 3,153,744 | ||||||
DENTSPLY SIRONA, Inc. | 8,000 | 475,440 | ||||||
Humana, Inc. | 30,400 | 5,377,456 | ||||||
Thermo Fisher Scientific, Inc. | 99,800 | 15,874,188 | ||||||
UnitedHealth Group, Inc. | 137,600 | 19,264,000 | ||||||
|
| |||||||
58,043,550 | ||||||||
|
| |||||||
Pharmaceuticals — 4.8% | ||||||||
Allergan PLC (a) | 72,093 | 16,603,739 | ||||||
Bristol-Myers Squibb Co. | 89,000 | 4,798,880 | ||||||
Cardinal Health, Inc. | 10,000 | 777,000 | ||||||
Eli Lilly & Co. | 68,800 | 5,521,888 | ||||||
Merck & Co., Inc. | 134,124 | 8,370,679 | ||||||
Novartis AG ADR (Switzerland) | 134,602 | 10,628,174 |
Number of Shares | Value | |||||||
Novo Nordisk A/S Sponsored ADR (Denmark) | 347,600 | $ | 14,456,684 | |||||
Pfizer, Inc. | 29,900 | 1,012,713 | ||||||
Shire PLC Sponsored ADR (Ireland) | 42,609 | 8,260,180 | ||||||
Zoetis, Inc. | 78,800 | 4,098,388 | ||||||
|
| |||||||
74,528,325 | ||||||||
|
| |||||||
424,488,635 | ||||||||
|
| |||||||
Energy — 0.8% | ||||||||
Oil & Gas Services — 0.8% | ||||||||
Schlumberger Ltd. | 152,813 | 12,017,214 | ||||||
|
| |||||||
Financial — 8.4% | ||||||||
Banks — 0.8% | ||||||||
The Bank of New York Mellon Corp. | 80,400 | 3,206,352 | ||||||
Northern Trust Corp. | 11,800 | 802,282 | ||||||
State Street Corp. | 116,600 | 8,118,858 | ||||||
|
| |||||||
12,127,492 | ||||||||
|
| |||||||
Diversified Financial — 5.8% | ||||||||
American Express Co. | 92,473 | 5,921,971 | ||||||
Ameriprise Financial, Inc. | 29,500 | 2,943,215 | ||||||
BlackRock, Inc. | 6,200 | 2,247,252 | ||||||
The Charles Schwab Corp. | 59,300 | 1,872,101 | ||||||
Citigroup, Inc. | 35,500 | 1,676,665 | ||||||
CME Group, Inc. | 16,200 | 1,693,224 | ||||||
Greenhill & Co., Inc. | 44,211 | 1,042,053 | ||||||
Intercontinental Exchange, Inc. | 48,880 | 13,166,317 | ||||||
JP Morgan Chase & Co. | 49,500 | 3,296,205 | ||||||
MasterCard, Inc. | 273,400 | 27,823,918 | ||||||
Morgan Stanley | 526,200 | 16,869,972 | ||||||
TD Ameritrade Holding Corp. | 334,700 | 11,794,828 | ||||||
|
| |||||||
90,347,721 | ||||||||
|
| |||||||
Insurance — 0.5% | ||||||||
Aon PLC | 3,800 | 427,462 | ||||||
Chubb Ltd. | 9,800 | 1,231,370 | ||||||
Marsh & McLennan Cos., Inc. | 60,300 | 4,055,175 | ||||||
Willis Towers Watson PLC | 16,700 | 2,217,259 | ||||||
|
| |||||||
7,931,266 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.3% | ||||||||
American Tower Corp. | 174,300 | 19,753,419 | ||||||
|
| |||||||
130,159,898 | ||||||||
|
| |||||||
Industrial — 8.1% | ||||||||
Aerospace & Defense — 1.0% | ||||||||
The Boeing Co. | 81,700 | 10,763,158 | ||||||
Northrop Grumman Corp. | 13,500 | 2,888,325 | ||||||
Raytheon Co. | 13,500 | 1,837,755 | ||||||
Rockwell Collins, Inc. | 6,000 | 506,040 | ||||||
|
| |||||||
15,995,278 | ||||||||
|
| |||||||
Airlines — 0.2% | ||||||||
United Continental Holdings, Inc. (a) | 75,800 | 3,977,226 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
124
MassMutual Select Blue Chip Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Electronics — 0.8% | ||||||||
Agilent Technologies, Inc. | 22,300 | $ | 1,050,107 | |||||
Fortive Corp. | 165,450 | 8,421,405 | ||||||
Johnson Controls International PLC | 51,755 | 2,408,160 | ||||||
|
| |||||||
11,879,672 | ||||||||
|
| |||||||
Machinery – Diversified — 0.9% | ||||||||
Deere & Co. | 104,612 | 8,928,634 | ||||||
Roper Technologies, Inc. | 19,100 | 3,485,177 | ||||||
Wabtec Corp. | 18,100 | 1,477,865 | ||||||
|
| |||||||
13,891,676 | ||||||||
|
| |||||||
Manufacturing — 1.9% | ||||||||
Danaher Corp. | 327,800 | 25,696,242 | ||||||
Pentair PLC | 28,700 | 1,843,688 | ||||||
Textron, Inc. | 41,400 | 1,645,650 | ||||||
|
| |||||||
29,185,580 | ||||||||
|
| |||||||
Packaging & Containers — 0.2% | ||||||||
Ball Corp. | 33,700 | 2,761,715 | ||||||
|
| |||||||
Transportation — 3.1% | ||||||||
Canadian Pacific Railway Ltd. | 50,200 | 7,665,540 | ||||||
Expeditors International of Washington, Inc. | 286,054 | 14,737,502 | ||||||
FedEx Corp. | 38,300 | 6,690,244 | ||||||
J.B. Hunt Transport Services, Inc. | 26,500 | 2,150,210 | ||||||
Kansas City Southern | 32,900 | 3,070,228 | ||||||
Norfolk Southern Corp. | 4,500 | 436,770 | ||||||
Union Pacific Corp. | 8,200 | 799,746 | ||||||
United Parcel Service, Inc. Class B | 119,510 | 13,069,614 | ||||||
|
| |||||||
48,619,854 | ||||||||
|
| |||||||
126,311,001 | ||||||||
|
| |||||||
Technology — 12.5% | ||||||||
Computers — 0.6% | ||||||||
Apple, Inc. | 77,800 | 8,795,290 | ||||||
Cognizant Technology Solutions Corp. Class A (a) | 2,400 | 114,504 | ||||||
|
| |||||||
8,909,794 | ||||||||
|
| |||||||
Semiconductors — 2.7% | ||||||||
Analog Devices, Inc. | 31,901 | 2,056,020 | ||||||
Broadcom Ltd. | 33,400 | 5,762,168 | ||||||
NXP Semiconductor NV (a) | 120,721 | 12,314,749 | ||||||
QUALCOMM, Inc. | 327,260 | 22,417,310 | ||||||
|
| |||||||
42,550,247 | ||||||||
|
| |||||||
Software — 9.2% | ||||||||
Activision Blizzard, Inc. | 9,000 | 398,700 | ||||||
Autodesk, Inc. (a) | 195,571 | 14,145,650 | ||||||
Cerner Corp. (a) | 205,302 | 12,677,398 | ||||||
Electronic Arts, Inc. (a) | 62,200 | 5,311,880 | ||||||
Fidelity National Information Services, Inc. | 34,800 | 2,680,644 | ||||||
Fiserv, Inc. (a) | 98,600 | 9,807,742 |
Number of Shares | Value | |||||||
Intuit, Inc. | 6,500 | $ | 715,065 | |||||
Microsoft Corp. | 734,338 | 42,297,869 | ||||||
Oracle Corp. | 519,217 | 20,394,844 | ||||||
Red Hat, Inc. (a) | 66,390 | 5,366,304 | ||||||
Salesforce.com, Inc. (a) | 223,300 | 15,927,989 | ||||||
Servicenow, Inc. (a) | 117,300 | 9,284,295 | ||||||
Workday, Inc. Class A (a) | 32,100 | 2,943,249 | ||||||
|
| |||||||
141,951,629 | ||||||||
|
| |||||||
193,411,670 | ||||||||
|
| |||||||
Utilities — 0.1% | ||||||||
Electric — 0.1% | ||||||||
NextEra Energy, Inc. | 9,600 | 1,174,272 | ||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $1,202,361,657) | 1,540,917,329 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $1,202,361,657) | 1,540,917,329 | |||||||
|
| |||||||
MUTUAL FUNDS — 0.0% | ||||||||
Diversified Financial — 0.0% | ||||||||
T. Rowe Price Reserve Investment Fund | 1,014 | 1,014 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,014) | 1,014 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,202,362,671) | 1,540,918,343 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.3% | ||||||||
Repurchase Agreement — 0.5% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (b) | $ | 8,091,912 | 8,091,912 | |||||
|
| |||||||
Time Deposit — 0.8% |
| |||||||
Euro Time Deposit | 12,888,385 | 12,888,385 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $20,980,297) | 20,980,297 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.6% | ||||||||
(Cost $1,223,342,968) (c) | 1,561,898,640 | |||||||
Other Assets/(Liabilities) — (0.6)% | (9,345,000 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,552,553,640 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
125
MassMutual Select Blue Chip Growth Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
(a) | Non-income producing security. |
(b) | Maturity value of $8,091,919. Collateralized by U.S. Government Agency obligations with a rate of 3.125%, maturity date of 5/15/21, and an aggregate market value, including accrued interest, of $8,255,388. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
126
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 98.4% | ||||||||
COMMON STOCK — 98.4% | ||||||||
Basic Materials — 1.2% | ||||||||
Chemicals — 1.2% | ||||||||
Monsanto Co. | 104,500 | $ | 10,679,900 | |||||
|
| |||||||
Communications — 37.2% | ||||||||
Advertising — 1.2% | ||||||||
Nielsen Holdings PLC | 204,197 | 10,938,833 | ||||||
|
| |||||||
Internet — 33.4% | ||||||||
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) (a) | 227,500 | 24,067,225 | ||||||
Alphabet, Inc. Class A (a) | 47,538 | 38,223,404 | ||||||
Alphabet, Inc. Class C (a) | 28,725 | 22,327,655 | ||||||
Amazon.com, Inc. (a) | 34,800 | 29,138,388 | ||||||
Baidu, Inc. Sponsored ADR | 87,000 | 15,840,090 | ||||||
eBay, Inc. (a) | 560,414 | 18,437,621 | ||||||
Equinix, Inc. | 27,805 | 10,016,751 | ||||||
Facebook, Inc. Class A (a) | 451,421 | 57,903,772 | ||||||
Liberty Interactive Corp. QVC | 887,450 | 17,757,875 | ||||||
Netflix, Inc. (a) | 139,000 | 13,698,450 | ||||||
The Priceline Group, Inc. (a) | 18,200 | 26,781,118 | ||||||
Symantec Corp. | 482,441 | 12,109,269 | ||||||
TripAdvisor, Inc. (a) | 205,998 | 13,014,954 | ||||||
|
| |||||||
299,316,572 | ||||||||
|
| |||||||
Media — 1.2% | ||||||||
Liberty Global PLC Series A (a) | 65,505 | 2,238,961 | ||||||
Liberty Global PLC Series C (a) | 251,923 | 8,323,536 | ||||||
|
| |||||||
10,562,497 | ||||||||
|
| |||||||
Telecommunications — 1.4% | ||||||||
Palo Alto Networks, Inc. (a) | 81,500 | 12,985,395 | ||||||
|
| |||||||
333,803,297 | ||||||||
|
| |||||||
Consumer, Cyclical — 5.1% | ||||||||
Apparel — 0.9% | ||||||||
Under Armour, Inc. Class A (a) (b) | 114,500 | 4,428,860 | ||||||
Under Armour, Inc. Class C (a) | 115,369 | 3,906,394 | ||||||
|
| |||||||
8,335,254 | ||||||||
|
| |||||||
Retail — 4.2% | ||||||||
Chipotle Mexican Grill, Inc. (a) (b) | 25,700 | 10,883,950 | ||||||
Dollar General Corp. | 91,189 | 6,382,318 | ||||||
L Brands, Inc. | 179,028 | 12,669,812 | ||||||
Walgreens Boots Alliance, Inc. | 92,521 | 7,459,043 | ||||||
|
| |||||||
37,395,123 | ||||||||
|
| |||||||
45,730,377 | ||||||||
|
|
Number of Shares | Value | |||||||
Consumer, Non-cyclical — 28.7% | ||||||||
Biotechnology — 10.7% | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 101,500 | $ | 12,437,810 | |||||
Biogen, Inc. (a) | 90,848 | 28,438,150 | ||||||
Celgene Corp. (a) | 207,861 | 21,727,710 | ||||||
Illumina, Inc. (a) | 79,000 | 14,351,140 | ||||||
Incyte Corp. (a) | 79,000 | 7,448,910 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 29,800 | 11,980,196 | ||||||
|
| |||||||
96,383,916 | ||||||||
|
| |||||||
Commercial Services — 10.1% | ||||||||
PayPal Holdings, Inc. (a) | 582,259 | 23,855,151 | ||||||
Visa, Inc. Class A | 805,919 | 66,649,502 | ||||||
|
| |||||||
90,504,653 | ||||||||
|
| |||||||
Health Care – Products — 1.4% | ||||||||
Edwards Lifesciences Corp. (a) | 105,500 | 12,719,080 | ||||||
|
| |||||||
Health Care – Services — 1.1% | ||||||||
DENTSPLY SIRONA, Inc. | 160,847 | 9,559,137 | ||||||
|
| |||||||
Pharmaceuticals — 5.4% | ||||||||
Allergan PLC (a) | 83,500 | 19,230,885 | ||||||
BioMarin Pharmaceutical, Inc. (a) | 131,500 | 12,166,380 | ||||||
Novo Nordisk A/S Sponsored ADR (Denmark) | 190,098 | 7,906,176 | ||||||
Quintiles Transnational Holdings, Inc. (a) | 111,645 | 9,049,943 | ||||||
|
| |||||||
48,353,384 | ||||||||
|
| |||||||
257,520,170 | ||||||||
|
| |||||||
Energy — 1.0% | ||||||||
Oil & Gas Services — 1.0% | ||||||||
Schlumberger Ltd. | 113,500 | 8,925,640 | ||||||
|
| |||||||
Financial — 7.8% | ||||||||
Diversified Financial — 5.5% | ||||||||
The Charles Schwab Corp. | 358,500 | 11,317,845 | ||||||
Intercontinental Exchange, Inc. | 56,422 | 15,197,830 | ||||||
LendingClub Corp. (a) (b) | 621,000 | 3,837,780 | ||||||
MasterCard, Inc. | 190,082 | 19,344,645 | ||||||
|
| |||||||
49,698,100 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 2.3% | ||||||||
Crown Castle International Corp. | 218,490 | 20,583,943 | ||||||
|
| |||||||
70,282,043 | ||||||||
|
| |||||||
Industrial — 0.8% | ||||||||
Electrical Components & Equipment — 0.8% | ||||||||
Mobileye NV (a) (b) | 176,000 | 7,492,320 | ||||||
|
| |||||||
Technology — 16.6% | ||||||||
Semiconductors — 2.5% | ||||||||
QUALCOMM, Inc. | 332,137 | 22,751,384 | ||||||
|
| |||||||
Software — 14.1% | ||||||||
Adobe Systems, Inc. (a) | 181,500 | 19,700,010 | ||||||
Athenahealth, Inc. (a) (b) | 58,000 | 7,314,960 |
The accompanying notes are an integral part of the financial statements.
127
MassMutual Select Growth Opportunities Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Cerner Corp. (a) | 144,500 | $ | 8,922,875 | |||||
Electronic Arts, Inc. (a) | 206,934 | 17,672,164 | ||||||
IMS Health Holdings, Inc. (a) | 145,070 | 4,546,494 | ||||||
Intuit, Inc. | 76,466 | 8,412,025 | ||||||
Microsoft Corp. | 362,246 | 20,865,369 | ||||||
Salesforce.com, Inc. (a) | 398,500 | 28,425,005 | ||||||
Splunk, Inc. (a) | 177,000 | 10,386,360 | ||||||
|
| |||||||
126,245,262 | ||||||||
|
| |||||||
148,996,646 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $694,939,984) | 883,430,393 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $694,939,984) | 883,430,393 | |||||||
|
| |||||||
MUTUAL FUNDS — 3.1% | ||||||||
Diversified Financial — 3.1% | ||||||||
State Street Naviagtor Securities Lending Prime Portfolio (c) | 27,586,676 | 27,586,676 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $27,586,676) | 27,586,676 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $722,526,660) | 911,017,069 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 2.1% | ||||||||
Repurchase Agreement — 2.1% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (d) | $ | 18,825,113 | 18,825,113 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $18,825,113) | 18,825,113 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 103.6% (Cost $741,351,773) (e) | 929,842,182 | |||||||
Other Assets/(Liabilities) — (3.6)% | (32,511,817 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 897,330,365 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2016, was $26,904,458 or 3.00% 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 $18,825,129. Collateralized by U.S. Government Agency obligations with rates ranging from 1.500% – 3.125%, maturity dates ranging from 11/30/19 – 5/15/21, and an aggregate market value, including accrued interest, of $19,205,923. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
128
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 96.6% | ||||||||
COMMON STOCK — 96.6% | ||||||||
Basic Materials — 3.0% | ||||||||
Chemicals — 0.6% | ||||||||
The Chemours Co. | 42,070 | $ | 673,120 | |||||
|
| |||||||
Forest Products & Paper — 0.9% | ||||||||
International Paper Co. | 21,065 | 1,010,699 | ||||||
|
| |||||||
Iron & Steel — 0.6% | ||||||||
ArcelorMittal (a) | 105,615 | 637,914 | ||||||
Nucor Corp. | 2,364 | 116,900 | ||||||
|
| |||||||
754,814 | ||||||||
|
| |||||||
Mining — 0.9% | ||||||||
Alcoa, Inc. | 83,085 | 842,482 | ||||||
Freeport-McMoRan, Inc. | 25,755 | 279,699 | ||||||
|
| |||||||
1,122,181 | ||||||||
|
| |||||||
3,560,814 | ||||||||
|
| |||||||
Communications — 2.2% | ||||||||
Media — 0.9% | ||||||||
CBS Corp. Class B | 7,730 | 423,140 | ||||||
TEGNA, Inc. | 30,575 | 668,370 | ||||||
|
| |||||||
1,091,510 | ||||||||
|
| |||||||
Telecommunications — 1.3% | ||||||||
CenturyLink, Inc. | 9,898 | 271,502 | ||||||
Level 3 Communications, Inc. (a) | 16,035 | 743,703 | ||||||
Zayo Group Holdings, Inc. (a) | 16,945 | 503,436 | ||||||
|
| |||||||
1,518,641 | ||||||||
|
| |||||||
2,610,151 | ||||||||
|
| |||||||
Consumer, Cyclical — 10.0% | ||||||||
Airlines — 0.9% | ||||||||
Alaska Air Group, Inc. | 16,065 | 1,058,041 | ||||||
|
| |||||||
Apparel — 0.3% | ||||||||
Ralph Lauren Corp. | 3,319 | 335,684 | ||||||
|
| |||||||
Auto Manufacturers — 0.5% | ||||||||
Honda Motor Co. Ltd. Sponsored ADR (Japan) | 15,191 | 439,324 | ||||||
Oshkosh Corp. | 2,465 | 138,040 | ||||||
|
| |||||||
577,364 | ||||||||
|
| |||||||
Automotive & Parts — 1.0% | ||||||||
Delphi Automotive PLC | 5,145 | 366,941 | ||||||
The Goodyear Tire & Rubber Co. | 24,785 | 800,556 | ||||||
|
| |||||||
1,167,497 | ||||||||
|
| |||||||
Home Builders — 1.1% | ||||||||
KB Home | 38,585 | 621,990 | ||||||
PulteGroup, Inc. | 22,892 | 458,756 | ||||||
Thor Industries, Inc. | 2,626 | 222,422 | ||||||
|
| |||||||
1,303,168 | ||||||||
|
|
Number of Shares | Value | |||||||
Home Furnishing — 0.3% | ||||||||
Whirlpool Corp. | 2,075 | $ | 336,482 | |||||
|
| |||||||
Housewares — 0.8% | ||||||||
Newell Brands, Inc. | 19,225 | 1,012,388 | ||||||
|
| |||||||
Leisure Time — 0.7% | ||||||||
Carnival Corp. | 9,575 | 467,451 | ||||||
Polaris Industries, Inc. | 4,604 | 356,534 | ||||||
|
| |||||||
823,985 | ||||||||
|
| |||||||
Lodging — 0.9% | ||||||||
MGM Resorts International (a) | 42,340 | 1,102,110 | ||||||
|
| |||||||
Retail — 3.4% | ||||||||
Advance Auto Parts, Inc. | 3,961 | 590,664 | ||||||
CST Brands, Inc. | 13,815 | 664,364 | ||||||
JC Penney Co., Inc. (a) | 62,465 | 575,927 | ||||||
PVH Corp. | 14,990 | 1,656,395 | ||||||
Target Corp. | 7,329 | 503,356 | ||||||
|
| |||||||
3,990,706 | ||||||||
|
| |||||||
Toys, Games & Hobbies — 0.1% | ||||||||
Mattel, Inc. | 3,833 | 116,063 | ||||||
|
| |||||||
11,823,488 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 11.2% | ||||||||
Commercial Services — 0.6% | ||||||||
IHS Markit Ltd. (a) | 5,672 | 212,983 | ||||||
Manpower, Inc. | 6,730 | 486,310 | ||||||
|
| |||||||
699,293 | ||||||||
|
| |||||||
Foods — 4.2% | ||||||||
ConAgra Foods, Inc. | 22,176 | 1,044,711 | ||||||
General Mills, Inc. | 7,300 | 466,324 | ||||||
The J.M. Smucker Co. | 3,351 | 454,195 | ||||||
Kellogg Co. | 4,779 | 370,229 | ||||||
Mondelez International, Inc. Class A | 15,025 | 659,597 | ||||||
Pinnacle Foods, Inc. | 29,375 | 1,473,744 | ||||||
Sysco Corp. | 11,316 | 554,597 | ||||||
|
| |||||||
5,023,397 | ||||||||
|
| |||||||
Health Care – Products — 2.5% | ||||||||
Baxter International, Inc. | 10,628 | 505,893 | ||||||
Becton, Dickinson & Co. | 859 | 154,388 | ||||||
Boston Scientific Corp. (a) | 35,217 | 838,165 | ||||||
STERIS PLC | 5,509 | 402,708 | ||||||
Zimmer Biomet Holdings, Inc. | 8,159 | 1,060,833 | ||||||
|
| |||||||
2,961,987 | ||||||||
|
| |||||||
Health Care – Services — 3.1% | ||||||||
Amsurg Corp. (a) | 17,820 | 1,194,831 | ||||||
Centene Corp. (a) | 6,680 | 447,293 | ||||||
HealthSouth Corp. | 9,170 | 372,027 | ||||||
LifePoint Health, Inc. (a) | 17,630 | 1,044,225 | ||||||
Quest Diagnostics, Inc. | 6,973 | 590,125 | ||||||
|
| |||||||
3,648,501 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
129
MassMutual Select Mid-Cap Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Pharmaceuticals — 0.8% | ||||||||
Abbott Laboratories | 10,750 | $ | 454,618 | |||||
Cardinal Health, Inc. | 3,782 | 293,861 | ||||||
Mead Johnson Nutrition Co. | 2,776 | 219,332 | ||||||
|
| |||||||
967,811 | ||||||||
|
| |||||||
13,300,989 | ||||||||
|
| |||||||
Energy — 12.0% | ||||||||
Oil & Gas — 8.6% | ||||||||
Anadarko Petroleum Corp. | 12,765 | 808,790 | ||||||
Cimarex Energy Co. | 2,189 | 294,136 | ||||||
Devon Energy Corp. | 30,920 | 1,363,881 | ||||||
EQT Corp. | 14,890 | 1,081,312 | ||||||
Hess Corp. | 17,095 | 916,634 | ||||||
Imperial Oil Ltd. | 45,821 | 1,433,358 | ||||||
Newfield Exploration Co. (a) | 5,210 | 226,427 | ||||||
Noble Energy, Inc. | 23,429 | 837,352 | ||||||
Oasis Petroleum, Inc. (a) | 18,220 | 208,983 | ||||||
Occidental Petroleum Corp. | 10,448 | 761,868 | ||||||
PDC Energy, Inc. (a) | 6,435 | 431,531 | ||||||
Precision Drilling Corp. | 151,715 | 634,169 | ||||||
Tesoro Corp. | 10,500 | 835,380 | ||||||
Western Refining, Inc. | 13,515 | 357,607 | ||||||
|
| |||||||
10,191,428 | ||||||||
|
| |||||||
Oil & Gas Services — 3.3% | ||||||||
Baker Hughes, Inc. | 12,282 | 619,873 | ||||||
FMC Technologies, Inc. (a) | 4,419 | 131,112 | ||||||
Frank’s International NV | 25,558 | 332,254 | ||||||
Halliburton Co. | 14,149 | 635,007 | ||||||
National Oilwell Varco, Inc. | 11,451 | 420,710 | ||||||
Superior Energy Services, Inc. | 59,395 | 1,063,170 | ||||||
Targa Resources Corp. | 14,280 | 701,291 | ||||||
|
| |||||||
3,903,417 | ||||||||
|
| |||||||
Pipelines — 0.1% | ||||||||
Spectra Energy Partners LP | 3,593 | 156,978 | ||||||
|
| |||||||
14,251,823 | ||||||||
|
| |||||||
Financial — 27.3% | ||||||||
Banks — 7.9% | ||||||||
Bank of Hawaii Corp. | 6,078 | 441,384 | ||||||
BB&T Corp. | 18,711 | 705,779 | ||||||
Comerica, Inc. | 8,018 | 379,412 | ||||||
Commerce Bancshares, Inc. | 12,644 | 622,844 | ||||||
KeyCorp | 37,770 | 459,661 | ||||||
M&T Bank Corp. | 4,970 | 577,017 | ||||||
Northern Trust Corp. | 27,474 | 1,867,957 | ||||||
The PNC Financial Services Group, Inc. | 8,132 | 732,612 | ||||||
Regions Financial Corp. | 47,245 | 466,308 | ||||||
State Street Corp. | 8,559 | 595,963 | ||||||
SunTrust Banks, Inc. | 8,118 | 355,568 | ||||||
UMB Financial Corp. | 7,242 | 430,537 |
Number of Shares | Value | |||||||
Westamerica Bancorp. | 11,317 | $ | 575,809 | |||||
Zions Bancorp | 37,680 | 1,168,834 | ||||||
|
| |||||||
9,379,685 | ||||||||
|
| |||||||
Commercial Services — 0.2% | ||||||||
CoreLogic, Inc. (a) | 6,520 | 255,714 | ||||||
|
| |||||||
Diversified Financial — 4.1% | ||||||||
Ameriprise Financial, Inc. | 4,695 | 468,420 | ||||||
E*TRADE Financial Corp. (a) | 50,785 | 1,478,859 | ||||||
Franklin Resources, Inc. | 862 | 30,661 | ||||||
Invesco Ltd. | 49,044 | 1,533,606 | ||||||
Lazard Ltd. Class A | 25,160 | 914,818 | ||||||
T. Rowe Price Group, Inc. | 6,123 | 407,180 | ||||||
|
| |||||||
4,833,544 | ||||||||
|
| |||||||
Diversified Financial Services — 1.0% | ||||||||
Voya Financial, Inc. | 41,820 | 1,205,253 | ||||||
|
| |||||||
Insurance — 5.3% | ||||||||
Aflac, Inc. | 4,178 | 300,273 | ||||||
The Allstate Corp. | 7,237 | 500,656 | ||||||
Brown & Brown, Inc. | 12,575 | 474,203 | ||||||
Chubb Ltd. | 6,617 | 831,426 | ||||||
Endurance Specialty Holdings Ltd. | 11,965 | 783,109 | ||||||
MetLife, Inc. | 9,594 | 426,261 | ||||||
ProAssurance Corp. | 6,626 | 347,732 | ||||||
Reinsurance Group of America, Inc. | 7,008 | 756,444 | ||||||
Torchmark Corp. | 3,466 | 221,443 | ||||||
Unum Group | 16,273 | 574,600 | ||||||
XL Group Ltd. | 31,695 | 1,065,903 | ||||||
|
| |||||||
6,282,050 | ||||||||
|
| |||||||
Real Estate — 1.1% | ||||||||
CBRE Group, Inc. Class A (a) | 46,435 | 1,299,251 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 6.8% | ||||||||
Alexandria Real Estate Equities, Inc. | 5,020 | 546,025 | ||||||
Boston Properties, Inc. | 2,184 | 297,657 | ||||||
CBL & Associates Properties, Inc. | 37,490 | 455,129 | ||||||
Cousins Properties, Inc. | 118,775 | 1,240,011 | ||||||
DuPont Fabros Technology, Inc. | 5,395 | 222,544 | ||||||
Empire State Realty Trust, Inc. | 15,935 | 333,838 | ||||||
Host Hotels & Resorts, Inc. | 18,382 | 286,208 | ||||||
MGM Growth Properties LLC | 15,020 | 391,571 | ||||||
Piedmont Office Realty Trust, Inc. | 28,383 | 617,898 | ||||||
Ryman Hospitality Properties, Inc. | 9,105 | 438,497 | ||||||
SL Green Realty Corp. | 11,615 | 1,255,581 | ||||||
Sunstone Hotel Investors, Inc. | 36,280 | 464,021 | ||||||
Welltower, Inc. | 6,427 | 480,547 | ||||||
Weyerhaeuser Co. | 32,658 | 1,043,097 | ||||||
|
| |||||||
8,072,624 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
130
MassMutual Select Mid-Cap Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Savings & Loans — 0.9% | ||||||||
Capitol Federal Financial, Inc. | 42,994 | $ | 604,926 | |||||
Sterling Bancorp | 27,925 | 488,687 | ||||||
|
| |||||||
1,093,613 | ||||||||
|
| |||||||
32,421,734 | ||||||||
|
| |||||||
Industrial — 15.8% | ||||||||
Building Materials — 0.1% | ||||||||
Owens Corning, Inc. | 2,505 | 133,742 | ||||||
|
| |||||||
Electrical Components & Equipment — 1.2% | ||||||||
Belden, Inc. | 5,035 | 347,365 | ||||||
Emerson Electric Co. | 6,847 | 373,230 | ||||||
Hubbell, Inc. | 6,056 | 652,473 | ||||||
|
| |||||||
1,373,068 | ||||||||
|
| |||||||
Electronics — 4.6% | ||||||||
Amphenol Corp. Class A | 3,420 | 222,026 | ||||||
Coherent, Inc. (a) | 1,880 | 207,815 | ||||||
Fitbit, Inc. Class A (a) | 37,055 | 549,896 | ||||||
Johnson Controls International PLC | 37,083 | 1,725,472 | ||||||
Keysight Technologies, Inc. (a) | 21,826 | 691,666 | ||||||
Koninklijke Philips Electronics NV | 28,533 | 844,759 | ||||||
Orbotech Ltd. (a) | 11,355 | 336,222 | ||||||
PerkinElmer, Inc. | 4,195 | 235,382 | ||||||
TE Connectivity Ltd. | 9,592 | 617,533 | ||||||
|
| |||||||
5,430,771 | ||||||||
|
| |||||||
Engineering & Construction — 1.2% | ||||||||
AECOM (a) | 9,575 | 284,665 | ||||||
KBR, Inc. | 76,130 | 1,151,847 | ||||||
|
| |||||||
1,436,512 | ||||||||
|
| |||||||
Environmental Controls — 0.9% | ||||||||
Clean Harbors, Inc. (a) | 6,942 | 333,077 | ||||||
Republic Services, Inc. | 15,463 | 780,109 | ||||||
|
| |||||||
1,113,186 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.2% | ||||||||
Stanley Black & Decker, Inc. | 1,995 | 245,345 | ||||||
|
| |||||||
Machinery – Construction & Mining — 1.2% | ||||||||
Ingersoll-Rand PLC | 20,178 | 1,370,893 | ||||||
|
| |||||||
Machinery – Diversified — 0.6% | ||||||||
Cummins, Inc. | 3,387 | 434,044 | ||||||
Rockwell Automation, Inc. | 2,571 | 314,536 | ||||||
|
| |||||||
748,580 | ||||||||
|
| |||||||
Manufacturing — 2.8% | ||||||||
Crane Co. | 4,235 | 266,847 | ||||||
Eaton Corp. PLC | 7,297 | 479,486 | ||||||
ITT, Inc. | 33,396 | 1,196,913 | ||||||
Parker Hannifin Corp. | 3,132 | 393,160 | ||||||
Textron, Inc. | 13,760 | 546,960 | ||||||
Trinseo SA | 7,695 | 435,229 | ||||||
|
| |||||||
3,318,595 | ||||||||
|
|
Number of Shares | Value | |||||||
Packaging & Containers — 1.7% | ||||||||
Bemis Co., Inc. | 3,255 | $ | 166,038 | |||||
Berry Plastics Group, Inc. (a) | 12,850 | 563,473 | ||||||
Sonoco Products Co. | 8,433 | 445,515 | ||||||
WestRock Co. | 17,732 | 859,647 | ||||||
|
| |||||||
2,034,673 | ||||||||
|
| |||||||
Transportation — 1.3% | ||||||||
CSX Corp. | 27,146 | 827,953 | ||||||
Heartland Express, Inc. | 35,489 | 670,032 | ||||||
|
| |||||||
1,497,985 | ||||||||
|
| |||||||
18,703,350 | ||||||||
|
| |||||||
Technology — 6.6% | ||||||||
Computers — 0.7% | ||||||||
NetApp, Inc. | 8,875 | 317,903 | ||||||
Western Digital Corp. | 8,200 | 479,454 | ||||||
|
| |||||||
797,357 | ||||||||
|
| |||||||
Semiconductors — 5.2% | ||||||||
Analog Devices, Inc. | 13,980 | 901,011 | ||||||
Applied Materials, Inc. | 54,664 | 1,648,119 | ||||||
Lam Research Corp. | 10,491 | 993,603 | ||||||
Maxim Integrated Products, Inc. | 19,079 | 761,824 | ||||||
Microsemi Corp. (a) | 21,350 | 896,273 | ||||||
Teradyne, Inc. | 31,870 | 687,755 | ||||||
Xilinx, Inc. | 6,550 | 355,927 | ||||||
|
| |||||||
6,244,512 | ||||||||
|
| |||||||
Software — 0.7% | ||||||||
Activision Blizzard, Inc. | 2,990 | 132,457 | ||||||
Leidos Holdings, Inc. | 15,830 | 685,122 | ||||||
|
| |||||||
817,579 | ||||||||
|
| |||||||
7,859,448 | ||||||||
|
| |||||||
Utilities — 8.5% | ||||||||
Electric — 7.0% | ||||||||
Ameren Corp. | 9,164 | 450,685 | ||||||
Black Hills Corp. | 2,760 | 168,967 | ||||||
Consolidated Edison, Inc. | 5,733 | 431,695 | ||||||
DTE Energy Co. | 2,970 | 278,200 | ||||||
Edison International | 13,977 | 1,009,838 | ||||||
Eversource Energy | 5,114 | 277,076 | ||||||
Exelon Corp. | 43,945 | 1,462,929 | ||||||
NorthWestern Corp. | 7,200 | 414,216 | ||||||
PG&E Corp. | 31,099 | 1,902,326 | ||||||
Public Service Enterprise Group, Inc. | 25,410 | 1,063,917 | ||||||
Xcel Energy, Inc. | 21,433 | 881,754 | ||||||
|
| |||||||
8,341,603 | ||||||||
|
| |||||||
Gas — 1.5% | ||||||||
Atmos Energy Corp. | 5,590 | 416,287 | ||||||
Energen Corp. | 13,475 | 777,777 |
The accompanying notes are an integral part of the financial statements.
131
MassMutual Select Mid-Cap Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Spire, Inc. | 7,918 | $ | 504,694 | |||||
|
| |||||||
1,698,758 | ||||||||
|
| |||||||
10,040,361 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $107,860,915) | 114,572,158 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $107,860,915) | 114,572,158 | |||||||
|
| |||||||
MUTUAL FUNDS — 1.3% | ||||||||
Diversified Financial — 1.3% | ||||||||
iShares Russell Mid-Cap Value ETF | 19,424 | 1,491,180 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,438,513) | 1,491,180 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $109,299,428) | 116,063,338 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 2.5% | ||||||||
Repurchase Agreement — 2.5% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (b) | $ | 3,008,434 | 3,008,434 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,008,434) | 3,008,434 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.4% (Cost $112,307,862) (c) | 119,071,772 | |||||||
Other Assets/(Liabilities) — (0.4)% | (448,572 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 118,623,200 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
ETF | Exchange-Traded Fund |
(a) | Non-income producing security. |
(b) | Maturity value of $3,008,437. Collateralized by U.S. Government Agency obligations with rates ranging from 1.000% – 1.500%, maturity dates ranging from 5/15/18 – 11/30/19, and an aggregate market value, including accrued interest, of $3,074,196. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
132
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 94.7% | ||||||||
COMMON STOCK — 94.7% | ||||||||
Basic Materials — 4.8% | ||||||||
Chemicals — 2.2% | ||||||||
PolyOne Corp. | 77,919 | $ | 2,634,441 | |||||
Sensient Technologies Corp. | 21,780 | 1,650,924 | ||||||
|
| |||||||
4,285,365 | ||||||||
|
| |||||||
Forest Products & Paper — 0.7% |
| |||||||
Deltic Timber Corp. | 19,520 | 1,322,090 | ||||||
|
| |||||||
Iron & Steel — 0.4% |
| |||||||
Allegheny Technologies, Inc. | 45,700 | 825,799 | ||||||
|
| |||||||
Mining — 1.5% |
| |||||||
Ferroglobe PLC | 234,800 | 2,120,244 | ||||||
Luxfer Holdings PLC ADR (United Kingdom) | 76,392 | 885,383 | ||||||
|
| |||||||
3,005,627 | ||||||||
|
| |||||||
9,438,881 | ||||||||
|
| |||||||
Consumer, Cyclical — 12.6% | ||||||||
Apparel — 0.3% | ||||||||
Ascena Retail Group, Inc. (a) | 92,260 | 515,733 | ||||||
|
| |||||||
Auto Manufacturers — 1.2% |
| |||||||
Oshkosh Corp. | 43,553 | 2,438,968 | ||||||
|
| |||||||
Automotive & Parts — 1.3% |
| |||||||
American Axle & Manufacturing Holdings, Inc. (a) | 148,979 | 2,565,418 | ||||||
|
| |||||||
Distribution & Wholesale — 1.5% |
| |||||||
Essendant, Inc. | 76,700 | 1,573,884 | ||||||
ScanSource, Inc. (a) | 39,840 | 1,454,160 | ||||||
|
| |||||||
3,028,044 | ||||||||
|
| |||||||
Home Furnishing — 1.0% |
| |||||||
Whirlpool Corp. | 12,153 | 1,970,731 | ||||||
|
| |||||||
Office Furnishings — 0.5% |
| |||||||
Steelcase, Inc. Class A | 64,660 | 898,127 | ||||||
|
| |||||||
Retail — 4.6% |
| |||||||
The Cato Corp. Class A | 34,540 | 1,136,021 | ||||||
CST Brands, Inc. | 36,450 | 1,752,880 | ||||||
DSW, Inc. Class A | 36,410 | 745,677 | ||||||
Fred’s, Inc. Class A | 80,370 | 728,152 | ||||||
Restoration Hardware Holdings, Inc. (a) | 60,900 | 2,105,922 | ||||||
Stage Stores, Inc. | 81,630 | 457,944 | ||||||
Tailored Brands, Inc. | 29,125 | 457,263 | ||||||
Vitamin Shoppe, Inc. (a) | 60,402 | 1,621,794 | ||||||
|
| |||||||
9,005,653 | ||||||||
|
| |||||||
Storage & Warehousing — 0.9% |
| |||||||
Mobile Mini, Inc. | 61,371 | 1,853,404 | ||||||
|
|
Number of Shares | Value | |||||||
Textiles — 1.3% |
| |||||||
G&K Services, Inc. Class A | 25,930 | $ | 2,476,056 | |||||
|
| |||||||
24,752,134 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 12.4% | ||||||||
Beverages — 0.6% | ||||||||
C&C Group PLC | 283,881 | 1,175,546 | ||||||
|
| |||||||
Biotechnology — 0.8% |
| |||||||
Charles River Laboratories International, Inc. (a) | 17,570 | 1,464,284 | ||||||
|
| |||||||
Commercial Services — 2.5% |
| |||||||
Forrester Research, Inc. | 32,060 | 1,247,134 | ||||||
FTI Consulting, Inc. (a) | 50,050 | 2,230,228 | ||||||
Huron Consulting Group, Inc. (a) | 17,360 | 1,037,434 | ||||||
WNS Holdings Ltd. Sponsored ADR (India) (a) | 12,500 | 374,375 | ||||||
|
| |||||||
4,889,171 | ||||||||
|
| |||||||
Foods — 2.0% |
| |||||||
Cranswick PLC | 44,796 | 1,357,611 | ||||||
Post Holdings, Inc. (a) | 18,440 | 1,423,015 | ||||||
Smart & Final Stores, Inc. (a) | 87,760 | 1,120,695 | ||||||
|
| |||||||
3,901,321 | ||||||||
|
| |||||||
Health Care – Products — 2.2% |
| |||||||
Haemonetics Corp. (a) | 52,700 | 1,908,267 | ||||||
ICU Medical, Inc. (a) | 6,880 | 869,494 | ||||||
STERIS PLC | 21,210 | 1,550,451 | ||||||
|
| |||||||
4,328,212 | ||||||||
|
| |||||||
Health Care – Services — 1.7% |
| |||||||
Amsurg Corp. (a) | 17,340 | 1,162,647 | ||||||
HealthSouth Corp. | 55,588 | 2,255,205 | ||||||
|
| |||||||
3,417,852 | ||||||||
|
| |||||||
Household Products — 2.2% |
| |||||||
Acco Brands Corp. (a) | 136,400 | 1,314,896 | ||||||
Helen of Troy Ltd. (a) | 8,270 | 712,626 | ||||||
The Scotts Miracle-Gro Co. Class A | 26,617 | 2,216,397 | ||||||
|
| |||||||
4,243,919 | ||||||||
|
| |||||||
Pharmaceuticals — 0.4% |
| |||||||
Phibro Animal Health Corp. Class A | 28,940 | 786,589 | ||||||
|
| |||||||
24,206,894 | ||||||||
|
| |||||||
Diversified — 1.7% | ||||||||
Holding Company – Diversified — 1.7% | ||||||||
Primoris Services Corp. | 158,150 | 3,257,890 | ||||||
|
| |||||||
Energy — 4.7% | ||||||||
Oil & Gas — 2.7% | ||||||||
Diamondback Energy, Inc. (a) | 16,530 | 1,595,806 | ||||||
Range Resources Corp. | 56,737 | 2,198,559 | ||||||
RSP Permian, Inc. (a) | 36,168 | 1,402,595 | ||||||
|
| |||||||
5,196,960 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
133
MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Oil & Gas Services — 2.0% |
| |||||||
Flotek Industries, Inc. (a) | 81,100 | $ | 1,179,194 | |||||
SEACOR Holdings, Inc. (a) | 22,130 | 1,316,514 | ||||||
Thermon Group Holdings, Inc. (a) | 72,810 | 1,437,997 | ||||||
|
| |||||||
3,933,705 | ||||||||
|
| |||||||
9,130,665 | ||||||||
|
| |||||||
Financial — 17.1% | ||||||||
Banks — 9.9% | ||||||||
First Midwest Bancorp, Inc. | 73,170 | 1,416,571 | ||||||
Great Western Bancorp, Inc. | 46,700 | 1,556,044 | ||||||
Hancock Holding Co. | 55,870 | 1,811,864 | ||||||
International Bancshares Corp. | 52,510 | 1,563,748 | ||||||
KeyCorp | 1 | 12 | ||||||
MB Financial, Inc. | 47,670 | 1,813,367 | ||||||
Northwest Bancshares, Inc. | 105,320 | 1,654,577 | ||||||
Prosperity Bancshares, Inc. | 45,058 | 2,473,234 | ||||||
Texas Capital Bancshares, Inc. (a) | 53,436 | 2,934,705 | ||||||
UMB Financial Corp. | 43,000 | 2,556,350 | ||||||
Webster Financial Corp. | 43,700 | 1,661,037 | ||||||
|
| |||||||
19,441,509 | ||||||||
|
| |||||||
Insurance — 4.1% |
| |||||||
Alleghany Corp. (a) | 3,588 | 1,883,772 | ||||||
Assured Guaranty Ltd. | 30,680 | 851,370 | ||||||
Kemper Corp. | 28,390 | 1,116,295 | ||||||
Primerica, Inc. | 9,470 | 502,194 | ||||||
Reinsurance Group of America, Inc. | 18,360 | 1,981,778 | ||||||
White Mountains Insurance Group Ltd. | 1,970 | 1,635,100 | ||||||
|
| |||||||
7,970,509 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 3.1% |
| |||||||
Corporate Office Properties Trust | 40,050 | 1,135,418 | ||||||
DiamondRock Hospitality Co. | 90,094 | 819,855 | ||||||
Education Realty Trust, Inc. | 24,353 | 1,050,589 | ||||||
Kite Realty Group Trust | 30,145 | 835,619 | ||||||
Mid-America Apartment Communities, Inc. | 12,870 | 1,209,651 | ||||||
Summit Hotel Properties, Inc. | 79,950 | 1,052,142 | ||||||
|
| |||||||
6,103,274 | ||||||||
|
| |||||||
33,515,292 | ||||||||
|
| |||||||
Industrial — 30.4% | ||||||||
Aerospace & Defense — 0.9% | ||||||||
Cubic Corp. | 36,080 | 1,688,905 | ||||||
|
| |||||||
Building Materials — 6.0% |
| |||||||
Comfort Systems USA, Inc. | 74,513 | 2,183,976 | ||||||
Gibraltar Industries, Inc. (a) | 63,128 | 2,345,205 | ||||||
Simpson Manufacturing Co., Inc. | 70,509 | 3,098,871 | ||||||
Trex Co., Inc. (a) | 49,221 | 2,890,257 | ||||||
Tyman PLC | 365,558 | 1,325,447 | ||||||
|
| |||||||
11,843,756 | ||||||||
|
|
Number of Shares | Value | |||||||
Electrical Components & Equipment — 2.2% |
| |||||||
Belden, Inc. | 38,930 | $ | 2,685,781 | |||||
Encore Wire Corp. | 43,100 | 1,584,787 | ||||||
|
| |||||||
4,270,568 | ||||||||
|
| |||||||
Electronics — 7.7% |
| |||||||
Coherent, Inc. (a) | 6,810 | 752,778 | ||||||
CTS Corp. | 47,680 | 886,848 | ||||||
Faro Technologies, Inc. (a) | 51,193 | 1,840,388 | ||||||
II-VI, Inc. (a) | 130,328 | 3,170,880 | ||||||
Keysight Technologies, Inc. (a) | 47,900 | 1,517,951 | ||||||
Park Electrochemical Corp. | 41,870 | 727,282 | ||||||
Plexus Corp. (a) | 60,782 | 2,843,382 | ||||||
Vishay Intertechnology, Inc. | 237,697 | 3,349,151 | ||||||
|
| |||||||
15,088,660 | ||||||||
|
| |||||||
Engineering & Construction — 1.2% |
| |||||||
Mistras Group, Inc. (a) | 56,710 | 1,330,984 | ||||||
Tutor Perini Corp. (a) | 50,400 | 1,082,088 | ||||||
|
| |||||||
2,413,072 | ||||||||
|
| |||||||
Environmental Controls — 0.5% |
| |||||||
Clean Harbors, Inc. (a) | 20,010 | 960,080 | ||||||
|
| |||||||
Machinery – Construction & Mining — 1.8% |
| |||||||
Babcock & Wilcox Enterprises, Inc. (a) | 54,360 | 896,940 | ||||||
Terex Corp. | 104,622 | 2,658,445 | ||||||
|
| |||||||
3,555,385 | ||||||||
|
| |||||||
Machinery – Diversified — 0.9% |
| |||||||
Albany International Corp. Class A | 41,400 | 1,754,532 | ||||||
|
| |||||||
Manufacturing — 4.4% |
| |||||||
AptarGroup, Inc. | 4,020 | 311,188 | ||||||
Barnes Group, Inc. | 72,590 | 2,943,525 | ||||||
Carlisle Cos., Inc. | 5,200 | 533,364 | ||||||
ESCO Technologies, Inc. | 26,410 | 1,225,952 | ||||||
Matthews International Corp. Class A | 27,160 | 1,650,242 | ||||||
Trimas Corp. (a) | 102,940 | 1,915,713 | ||||||
|
| |||||||
8,579,984 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 1.7% |
| |||||||
Circor International, Inc. | 21,780 | 1,297,217 | ||||||
Mueller Industries, Inc. | 60,720 | 1,968,542 | ||||||
|
| |||||||
3,265,759 | ||||||||
|
| |||||||
Packaging & Containers — 1.1% |
| |||||||
Greif, Inc. Class A | 38,480 | 1,908,223 | ||||||
Multi Packaging Solutions International Ltd. (a) | 17,600 | 253,616 | ||||||
|
| |||||||
2,161,839 | ||||||||
|
| |||||||
Transportation — 1.4% |
| |||||||
Dorian LPG Ltd. (a) | 63,050 | 378,300 | ||||||
Era Group, Inc. (a) | 38,470 | 309,683 | ||||||
Forward Air Corp. | 21,280 | 920,573 |
The accompanying notes are an integral part of the financial statements.
134
MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Scorpio Tankers, Inc. | 234,360 | $ | 1,085,087 | |||||
|
| |||||||
2,693,643 | ||||||||
|
| |||||||
Trucking & Leasing — 0.6% |
| |||||||
GATX Corp. | 27,200 | 1,211,760 | ||||||
|
| |||||||
59,487,943 | ||||||||
|
| |||||||
Technology — 8.1% | ||||||||
Computers — 3.4% | ||||||||
Diebold, Inc. | 42,870 | 1,062,747 | ||||||
Mentor Graphics Corp. | 67,280 | 1,778,883 | ||||||
Mercury Computer Systems, Inc. (a) | 76,487 | 1,879,286 | ||||||
MTS Systems Corp. | 42,900 | 1,974,687 | ||||||
|
| |||||||
6,695,603 | ||||||||
|
| |||||||
Semiconductors — 3.9% |
| |||||||
Brooks Automation, Inc. | 187,061 | 2,545,900 | ||||||
Diodes, Inc. (a) | 110,208 | 2,351,839 | ||||||
Photronics, Inc. (a) | 185,228 | 1,909,700 | ||||||
Xcerra Corp. (a) | 129,230 | 783,134 | ||||||
|
| |||||||
7,590,573 | ||||||||
|
| |||||||
Software — 0.8% |
| |||||||
Allscripts Healthcare Solutions, Inc. (a) | 126,980 | 1,672,327 | ||||||
|
| |||||||
15,958,503 | ||||||||
|
| |||||||
Utilities — 2.9% | ||||||||
Electric — 0.4% | ||||||||
Westar Energy, Inc. | 13,590 | 771,233 | ||||||
|
| |||||||
Gas — 2.5% |
| |||||||
Atmos Energy Corp. | 6,550 | 487,779 | ||||||
New Jersey Resources Corp. | 16,540 | 543,504 | ||||||
Spire, Inc. | 16,600 | 1,058,084 | ||||||
UGI Corp. | 40,435 | 1,829,279 | ||||||
WGL Holdings, Inc. | 16,790 | 1,052,733 | ||||||
|
| |||||||
4,971,379 | ||||||||
|
| |||||||
5,742,612 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $152,847,604) | 185,490,814 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $152,847,604) | 185,490,814 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $152,847,604) | 185,490,814 | |||||||
|
|
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 5.8% | ||||||||
Repurchase Agreement — 5.8% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (b) | $ | 11,243,346 | $ | 11,243,346 | ||||
|
| |||||||
Time Deposit — 0.0% |
| |||||||
Euro Time Deposit | 1,134 | 1,134 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $11,244,480) | 11,244,480 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.5% (Cost $164,092,084) (c) | 196,735,294 | |||||||
Other Assets/(Liabilities) — (0.5)% | (944,804 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 195,790,490 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
(a) | Non-income producing security. |
(b) | Maturity value of $11,243,355. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $11,474,238. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
135
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 97.6% | ||||||||
COMMON STOCK — 97.6% | ||||||||
Basic Materials — 4.4% | ||||||||
Chemicals — 2.3% | ||||||||
American Vanguard Corp. | 23,100 | $ | 370,986 | |||||
The Chemours Co. | 55,400 | 886,400 | ||||||
Huntsman Corp. | 74,315 | 1,209,105 | ||||||
Innospec, Inc. | 7,222 | 439,170 | ||||||
KMG Chemicals, Inc. | 16,300 | 461,779 | ||||||
Minerals Technologies, Inc. | 13,000 | 918,970 | ||||||
Olin Corp. | 70,285 | 1,442,248 | ||||||
OMNOVA Solutions, Inc. (a) | 12,800 | 108,032 | ||||||
Rayonier Advanced Materials, Inc. (b) | 61,600 | 823,592 | ||||||
|
| |||||||
6,660,282 | ||||||||
|
| |||||||
Forest Products & Paper — 0.4% | ||||||||
Clearwater Paper Corp. (a) | 13,100 | 847,177 | ||||||
Mercer International, Inc. | 41,700 | 353,199 | ||||||
|
| |||||||
1,200,376 | ||||||||
|
| |||||||
Iron & Steel — 1.2% | ||||||||
Carpenter Technology Corp. | 16,400 | 676,664 | ||||||
Cliffs Natural Resources, Inc. (a) (b) | 226,000 | 1,322,100 | ||||||
Olympic Steel, Inc. | 15,400 | 340,340 | ||||||
Reliance Steel & Aluminum Co. | 5,400 | 388,962 | ||||||
Ryerson Holding Corp. (a) | 51,100 | 576,919 | ||||||
Schnitzer Steel Industries, Inc. Class A | 10,600 | 221,540 | ||||||
|
| |||||||
3,526,525 | ||||||||
|
| |||||||
Mining — 0.5% | ||||||||
Stillwater Mining Co. (a) | 33,300 | 444,888 | ||||||
US Silica Holdings, Inc. | 23,270 | 1,083,451 | ||||||
|
| |||||||
1,528,339 | ||||||||
|
| |||||||
12,915,522 | ||||||||
|
| |||||||
Communications — 5.9% | ||||||||
Internet — 1.5% | ||||||||
DHI Group, Inc. (a) | 67,700 | 534,153 | ||||||
ePlus, Inc. (a) | 13,920 | 1,314,187 | ||||||
New Media Investment Group, Inc. | 34,900 | 540,950 | ||||||
PC-Tel, Inc. | 8,200 | 43,378 | ||||||
Q2 Holdings, Inc. (a) | 25,215 | 722,662 | ||||||
Rightside Group Ltd. (a) | 9,363 | 85,203 | ||||||
The Rubicon Project, Inc. (a) | 37,960 | 314,309 | ||||||
Safeguard Scientifics, Inc. (a) | 19,900 | 257,904 | ||||||
Sohu.com, Inc. (a) | 11,300 | 500,025 | ||||||
TechTarget, Inc. (a) | 5,400 | 43,524 | ||||||
US Auto Parts Network, Inc. (a) | 9,300 | 30,597 | ||||||
|
| |||||||
4,386,892 | ||||||||
|
|
Number of Shares | Value | |||||||
Media — 2.0% | ||||||||
Cable One, Inc. | 840 | $ | 490,560 | |||||
Demand Media, Inc. (a) | 13,800 | 78,522 | ||||||
Houghton Mifflin Harcourt Co. (a) | 66,105 | 886,468 | ||||||
The McClatchy Co. Class A (a) | 10,700 | 172,591 | ||||||
Nexstar Broadcasting Group, Inc. Class A (b) | 25,830 | 1,490,649 | ||||||
Scholastic Corp. | 7,500 | 295,200 | ||||||
Sinclair Broadcast Group, Inc. Class A | 37,815 | 1,092,097 | ||||||
Tribune Media Co. Class A | 34,020 | 1,242,411 | ||||||
|
| |||||||
5,748,498 | ||||||||
|
| |||||||
Telecommunications — 2.4% | ||||||||
ARRIS International PLC (a) | 33,865 | 959,396 | ||||||
Black Box Corp. | 21,800 | 303,020 | ||||||
Ciena Corp. (a) | 57,035 | 1,243,363 | ||||||
EarthLink Holdings Corp. | 143,800 | 891,560 | ||||||
Extreme Networks, Inc. (a) | 140,800 | 632,192 | ||||||
Harmonic, Inc. (a) | 78,600 | 466,098 | ||||||
Ixia (a) | 46,400 | 580,000 | ||||||
NETGEAR, Inc. (a) | 23,400 | 1,415,466 | ||||||
Sonus Networks, Inc. (a) | 70,600 | 549,268 | ||||||
Spok Holdings, Inc. | 2,800 | 49,896 | ||||||
|
| |||||||
7,090,259 | ||||||||
|
| |||||||
17,225,649 | ||||||||
|
| |||||||
Consumer, Cyclical — 7.9% | ||||||||
Airlines — 0.1% | ||||||||
Hawaiian Holdings, Inc. (a) | 4,400 | 213,840 | ||||||
|
| |||||||
Apparel — 0.4% | ||||||||
Crocs, Inc. (a) | 15,300 | 126,990 | ||||||
Delta Apparel, Inc. (a) | 3,200 | 52,672 | ||||||
Perry Ellis International, Inc. (a) | 8,900 | 171,592 | ||||||
Skechers U.S.A., Inc. Class A (a) | 20,040 | 458,916 | ||||||
Steven Madden Ltd. (a) | 15,500 | 535,680 | ||||||
|
| |||||||
1,345,850 | ||||||||
|
| |||||||
Auto Manufacturers — 0.2% | ||||||||
Wabash National Corp. (a) | 39,800 | 566,752 | ||||||
|
| |||||||
Automotive & Parts — 1.8% | ||||||||
American Axle & Manufacturing Holdings, Inc. (a) | 35,000 | 602,700 | ||||||
Commercial Vehicle Group, Inc. (a) | 41,800 | 241,604 | ||||||
Cooper Tire & Rubber Co. | 13,000 | 494,260 | ||||||
Cooper-Standard Holding, Inc. (a) | 2,600 | 256,880 | ||||||
Dorman Products, Inc. (a) | 11,400 | 728,460 | ||||||
Meritor, Inc. (a) | 42,800 | 476,364 | ||||||
Spartan Motors, Inc. | 50,000 | 479,000 | ||||||
Supreme Industries, Inc. Class A | 12,400 | 239,320 | ||||||
Tenneco, Inc. (a) | 20,750 | 1,209,102 | ||||||
Tower International, Inc. | 21,000 | 506,100 | ||||||
|
| |||||||
5,233,790 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
136
MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Distribution & Wholesale — 2.1% | ||||||||
Beacon Roofing Supply, Inc. (a) | 15,900 | $ | 668,913 | |||||
MRC Global, Inc. (a) | 106,350 | 1,747,330 | ||||||
Owens & Minor, Inc. | 30,605 | 1,062,912 | ||||||
Pool Corp. | 9,900 | 935,748 | ||||||
WESCO International, Inc. (a) | 28,480 | 1,751,235 | ||||||
|
| |||||||
6,166,138 | ||||||||
|
| |||||||
Entertainment — 0.2% | ||||||||
Isle of Capri Casinos, Inc. (a) | 27,100 | 603,788 | ||||||
|
| |||||||
Home Builders — 0.5% | ||||||||
Cavco Industries, Inc. (a) | 6,100 | 604,205 | ||||||
WCI Communities, Inc. (a) | 32,705 | 775,763 | ||||||
|
| |||||||
1,379,968 | ||||||||
|
| |||||||
Home Furnishing — 0.2% | ||||||||
Ethan Allen Interiors, Inc. | 16,200 | 506,574 | ||||||
|
| |||||||
Leisure Time — 0.1% | ||||||||
Interval Leisure Group, Inc. | 22,000 | 377,740 | ||||||
|
| |||||||
Retail — 1.6% | ||||||||
Asbury Automotive Group, Inc. (a) | 20,350 | 1,132,885 | ||||||
Big 5 Sporting Goods Corp. | 15,800 | 215,196 | ||||||
Big Lots, Inc. (b) | 6,400 | 305,600 | ||||||
The Children’s Place, Inc. (b) | 7,500 | 599,025 | ||||||
Fred’s, Inc. Class A | 22,800 | 206,568 | ||||||
Genesco, Inc. (a) | 5,000 | 272,300 | ||||||
Party City Holdco, Inc. (a) (b) | 14,300 | 244,816 | ||||||
Pier 1 Imports, Inc. (b) | 20,392 | 86,462 | ||||||
PriceSmart, Inc. | 7,200 | 603,072 | ||||||
Red Robin Gourmet Burgers, Inc. (a) | 6,600 | 296,604 | ||||||
Sportsman’s Warehouse Holdings, Inc. (a) | 32,500 | 341,900 | ||||||
Tilly’s, Inc. Class A (a) | 5,200 | 48,828 | ||||||
Titan Machinery, Inc. (a) (b) | 32,100 | 333,840 | ||||||
|
| |||||||
4,687,096 | ||||||||
|
| |||||||
Textiles — 0.7% | ||||||||
Culp, Inc. | 15,400 | 458,458 | ||||||
UniFirst Corp. | 12,240 | 1,613,966 | ||||||
|
| |||||||
2,072,424 | ||||||||
|
| |||||||
23,153,960 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 14.2% | ||||||||
Agriculture — 0.7% | ||||||||
Alliance One International, Inc. (a) | 12,900 | 246,648 | ||||||
Universal Corp. | 9,800 | 570,556 | ||||||
Vector Group Ltd. (b) | 54,811 | 1,180,082 | ||||||
|
| |||||||
1,997,286 | ||||||||
|
| |||||||
Beverages — 0.2% | ||||||||
Farmer Bros Co. (a) | 16,400 | 583,020 | ||||||
|
| |||||||
Biotechnology — 1.3% | ||||||||
Applied Genetic Technologies Corp. (a) | 24,800 | 242,544 | ||||||
Cambrex Corp. (a) | 2,100 | 93,366 |
Number of Shares | Value | |||||||
Five Prime Therapeutics, Inc. (a) | 15,500 | $ | 813,595 | |||||
GlycoMimetics, Inc. (a) (b) | 27,400 | 195,910 | ||||||
Integra LifeSciences Holdings Corp. (a) | 11,530 | 951,802 | ||||||
PDL BioPharma, Inc. | 138,200 | 462,970 | ||||||
Repligen Corp. (a) | 25,700 | 775,883 | ||||||
Spectrum Pharmaceuticals, Inc. (a) | 58,100 | 271,327 | ||||||
|
| |||||||
3,807,397 | ||||||||
|
| |||||||
Commercial Services — 4.3% | ||||||||
Aaron’s, Inc. | 26,600 | 676,172 | ||||||
American Public Education, Inc. (a) | 17,600 | 348,656 | ||||||
Cambium Learning Group, Inc. (a) | 51,300 | 278,559 | ||||||
Capella Education Co. | 10,000 | 580,400 | ||||||
Care.com, Inc. (a) | 3,500 | 34,860 | ||||||
Career Education Corp. (a) | 6,500 | 44,135 | ||||||
Convergys Corp. | 7,000 | 212,940 | ||||||
DeVry Education Group, Inc. (b) | 5,900 | 136,054 | ||||||
EVERTEC, Inc. | 68,305 | 1,146,158 | ||||||
FTI Consulting, Inc. (a) | 10,200 | 454,512 | ||||||
Green Dot Corp. Class A (a) | 23,900 | 551,134 | ||||||
H&E Equipment Services, Inc. | 10,900 | 182,684 | ||||||
The Hackett Group, Inc. | 38,200 | 631,064 | ||||||
Hillenbrand, Inc. | 9,050 | 286,342 | ||||||
HMS Holdings Corp. (a) | 15,100 | 334,767 | ||||||
INC Research Holdings, Inc. | 9,200 | 410,136 | ||||||
Information Services Group, Inc. (a) | 50,100 | 199,899 | ||||||
Insperity, Inc. | 8,800 | 639,232 | ||||||
K12, Inc. (a) | 52,900 | 759,115 | ||||||
McGrath RentCorp | 19,276 | 611,242 | ||||||
Navigant Consulting, Inc. (a) | 33,900 | 685,458 | ||||||
Neff Corp. Class A (a) | 13,400 | 127,300 | ||||||
Quad/Graphics, Inc. | 44,600 | 1,191,712 | ||||||
Rent-A-Center, Inc. | 17,400 | 219,936 | ||||||
RPX Corp. (a) | 36,900 | 394,461 | ||||||
RR Donnelley & Sons Co. | 95,945 | 1,508,255 | ||||||
|
| |||||||
12,645,183 | ||||||||
|
| |||||||
Foods — 1.2% | ||||||||
John B Sanfilippo & Son, Inc. | 2,700 | 138,591 | ||||||
Pinnacle Foods, Inc. | 9,700 | 486,649 | ||||||
Post Holdings, Inc. (a) | 6,300 | 486,171 | ||||||
Snyders-Lance, Inc. | 42,965 | 1,442,765 | ||||||
SpartanNash Co. | 18,700 | 540,804 | ||||||
TreeHouse Foods, Inc. (a) | 5,570 | 485,648 | ||||||
|
| |||||||
3,580,628 | ||||||||
|
| |||||||
Health Care – Products — 1.9% | ||||||||
Atrion Corp. | 2,200 | 938,520 | ||||||
Haemonetics Corp. (a) | 18,600 | 673,506 | ||||||
Halyard Health, Inc. (a) | 19,900 | 689,734 | ||||||
Lantheus Holdings, Inc. (a) | 27,900 | 231,012 | ||||||
LeMaitre Vascular, Inc. | 4,200 | 83,328 |
The accompanying notes are an integral part of the financial statements.
137
MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Quidel Corp. (a) | 26,700 | $ | 589,803 | |||||
West Pharmaceutical Services, Inc. | 15,200 | 1,132,400 | ||||||
Wright Medical Group NV (a) | 53,043 | 1,301,145 | ||||||
|
| |||||||
5,639,448 | ||||||||
|
| |||||||
Health Care – Services — 1.8% | ||||||||
Amsurg Corp. (a) | 8,890 | 596,074 | ||||||
Capital Senior Living Corp. (a) | 39,540 | 664,272 | ||||||
The Ensign Group, Inc. | 8,600 | 173,118 | ||||||
Molina Healthcare, Inc. (a) | 14,700 | 857,304 | ||||||
National Healthcare Corp. | 6,145 | 405,509 | ||||||
RadNet, Inc. (a) | 5,900 | 43,660 | ||||||
Select Medical Holdings Corp. (a) | 27,900 | 376,650 | ||||||
Triple-S Management Corp. | 29,539 | 647,790 | ||||||
WellCare Health Plans, Inc. (a) | 11,495 | 1,345,950 | ||||||
|
| |||||||
5,110,327 | ||||||||
|
| |||||||
Household Products — 1.2% | ||||||||
Acco Brands Corp. (a) | 143,400 | 1,382,376 | ||||||
Central Garden & Pet Co. Class A (a) | 15,500 | 384,400 | ||||||
CSS Industries, Inc. | 16,500 | 422,070 | ||||||
Ennis, Inc. | 35,700 | 601,545 | ||||||
Prestige Brands Holdings, Inc. (a) | 800 | 38,616 | ||||||
The Scotts Miracle-Gro Co. Class A | 8,085 | 673,238 | ||||||
|
| |||||||
3,502,245 | ||||||||
|
| |||||||
Pharmaceuticals — 1.6% | ||||||||
Biospecifics Technologies Corp. (a) | 8,800 | 401,896 | ||||||
Cumberland Pharmaceuticals, Inc. (a) | 25,300 | 126,753 | ||||||
Emergent BioSolutions, Inc. (a) | 25,965 | 818,676 | ||||||
FibroGen, Inc. (a) | 9,900 | 204,930 | ||||||
Lifevantage Corp. (a) | 13,400 | 126,764 | ||||||
The Medicines Co. (a) | 22,435 | 846,697 | ||||||
Omega Protein Corp. (a) | 31,000 | 724,470 | ||||||
SciClone Pharmaceuticals, Inc. (a) | 46,800 | 479,700 | ||||||
Supernus Pharmaceuticals, Inc. (a) | 19,100 | 472,343 | ||||||
Xencor, Inc. (a) | 19,700 | 482,453 | ||||||
|
| |||||||
4,684,682 | ||||||||
|
| |||||||
41,550,216 | ||||||||
|
| |||||||
Diversified — 0.3% | ||||||||
Holding Company – Diversified — 0.3% | ||||||||
Conyers Park Acquisition Corp. (a) | 14,900 | 160,175 | ||||||
National Bank Holdings Corp. Class A | 27,700 | 647,349 | ||||||
|
| |||||||
807,524 | ||||||||
|
| |||||||
Energy — 4.7% | ||||||||
Coal — 0.3% | ||||||||
Cloud Peak Energy, Inc. (a) (b) | 89,900 | 489,056 | ||||||
Westmoreland Coal Co. (a) | 27,200 | 240,992 | ||||||
|
| |||||||
730,048 | ||||||||
|
|
Number of Shares | Value | |||||||
Energy – Alternate Sources — 0.2% | ||||||||
REX American Resources Corp. (a) | 6,100 | $ | 517,036 | |||||
TerraForm Power, Inc. Class A (b) | 7,900 | 109,889 | ||||||
|
| |||||||
626,925 | ||||||||
|
| |||||||
Oil & Gas — 3.4% | ||||||||
Adams Resources & Energy, Inc. | 2,100 | 82,572 | ||||||
Contango Oil & Gas Co. (a) | 22,600 | 230,972 | ||||||
Denbury Resources, Inc. (b) | 98,900 | 319,447 | ||||||
Evolution Petroleum Corp. | 15,100 | 94,828 | ||||||
Jones Energy, Inc. Class A (a) (b) | 31,800 | 113,208 | ||||||
Matador Resources Co. (a) (b) | 31,900 | 776,446 | ||||||
Noble Corp. PLC (b) | 58,800 | 372,792 | ||||||
Oasis Petroleum, Inc. (a) | 133,200 | 1,527,804 | ||||||
Panhandle Oil and Gas, Inc. Class A | 4,300 | 75,379 | ||||||
Parsley Energy, Inc. Class A (a) | 17,000 | 569,670 | ||||||
PBF Energy, Inc. Class A (b) | 44,825 | 1,014,838 | ||||||
QEP Resources, Inc. | 33,500 | 654,255 | ||||||
Rice Energy, Inc. (a) | 18,200 | 475,202 | ||||||
Rowan Cos. PLC Class A | 8,000 | 121,280 | ||||||
Seadrill Ltd. (a) (b) | 33,700 | 79,869 | ||||||
SemGroup Corp. Class A | 35,000 | 1,237,600 | ||||||
Western Refining, Inc. | 16,000 | 423,360 | ||||||
WPX Energy, Inc. (a) | 131,415 | 1,733,364 | ||||||
|
| |||||||
9,902,886 | ||||||||
|
| |||||||
Oil & Gas Services — 0.8% | ||||||||
Archrock, Inc. | 6,800 | 88,944 | ||||||
Gulf Island Fabrication, Inc. | 13,000 | 119,600 | ||||||
NOW, Inc. (a) | 45,080 | 966,064 | ||||||
Oceaneering International, Inc. | 14,500 | 398,895 | ||||||
Pioneer Energy Services Corp. (a) | 32,200 | 130,088 | ||||||
Tesco Corp. | 47,500 | 387,600 | ||||||
TETRA Technologies, Inc. (a) | 53,300 | 325,663 | ||||||
|
| |||||||
2,416,854 | ||||||||
|
| |||||||
13,676,713 | ||||||||
|
| |||||||
Financial — 36.1% | ||||||||
Banks — 13.7% | ||||||||
1st Source Corp. | 3,400 | 121,363 | ||||||
Access National Corp. | 13,900 | 332,210 | ||||||
BancFirst Corp. | 400 | 29,004 | ||||||
Banco Latinoamericano de Comercio Exterior SA | 28,700 | 808,766 | ||||||
Bank of Hawaii Corp. | 8,100 | 588,222 | ||||||
Bank of Marin Bancorp | 2,200 | 109,406 | ||||||
C&F Financial Corp. | 3,700 | 159,396 | ||||||
Central Pacific Financial Corp. | 19,600 | 493,724 | ||||||
Central Valley Community Bancorp | 12,500 | 198,250 | ||||||
Century Bancorp, Inc. Class A | 3,400 | 154,088 | ||||||
Chemical Financial Corp. | 47,331 | 2,088,717 | ||||||
Citizens & Northern Corp. | 5,000 | 109,850 | ||||||
CoBiz Financial, Inc. | 34,100 | 453,871 | ||||||
Columbia Banking System, Inc. | 27,000 | 883,440 |
The accompanying notes are an integral part of the financial statements.
138
MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
CVB Financial Corp. | 9,500 | $ | 167,295 | |||||
East West Bancorp, Inc. | 32,210 | 1,182,429 | ||||||
F.N.B. Corp. | 159,600 | 1,963,080 | ||||||
Financial Institutions, Inc. | 2,500 | 67,775 | ||||||
First BanCorp (a) | 9,900 | 51,480 | ||||||
First Busey Corp. | 13,400 | 302,840 | ||||||
First Business Financial Services, Inc. | 1,500 | 35,250 | ||||||
First Hawaiian, Inc. (a) (b) | 11,472 | 308,138 | ||||||
First Interstate BancSystem, Inc. | 26,900 | 847,619 | ||||||
First Merchants Corp. | 17,500 | 468,125 | ||||||
The First of Long Island Corp. | 7,600 | 251,940 | ||||||
Franklin Financial Network, Inc. (a) | 15,100 | 564,740 | ||||||
Glacier Bancorp, Inc. | 25,800 | 735,816 | ||||||
Great Western Bancorp, Inc. | 38,585 | 1,285,652 | ||||||
Home Bancshares, Inc. | 83,100 | 1,729,311 | ||||||
Hope Bancorp, Inc. | 34,200 | 594,054 | ||||||
Horizon Bancorp | 6,000 | 176,280 | ||||||
IBERIABANK Corp. | 16,500 | 1,107,480 | ||||||
Lakeland Financial Corp. | 23,900 | 846,538 | ||||||
MainSource Financial Group, Inc. | 8,900 | 222,055 | ||||||
MB Financial, Inc. | 43,785 | 1,665,581 | ||||||
Merchants Bancshares, Inc. | 1,300 | 42,107 | ||||||
Northrim BanCorp, Inc. | 6,200 | 159,650 | ||||||
OFG Bancorp | 5,300 | 53,583 | ||||||
Pinnacle Financial Partners, Inc. | 6,400 | 346,112 | ||||||
Popular, Inc. | 79,030 | 3,020,527 | ||||||
Preferred Bank | 2,000 | 71,500 | ||||||
Prosperity Bancshares, Inc. | 20,700 | 1,136,223 | ||||||
Republic Bancorp, Inc. Class A | 4,300 | 133,644 | ||||||
S&T Bancorp, Inc. | 2,600 | 75,374 | ||||||
Sandy Spring Bancorp, Inc. | 18,200 | 556,556 | ||||||
Southwest Bancorp, Inc. | 17,800 | 338,022 | ||||||
Stock Yards Bancorp, Inc. | 3,100 | 102,176 | ||||||
SVB Financial Group (a) | 7,950 | 878,793 | ||||||
Synovus Financial Corp. | 77,395 | 2,517,659 | ||||||
Texas Capital Bancshares, Inc. (a) | 7,300 | 400,916 | ||||||
Towne Bank | 34,600 | 831,438 | ||||||
UMB Financial Corp. | 4,600 | 273,470 | ||||||
Umpqua Holdings Corp. | 5,600 | 84,280 | ||||||
United Community Banks, Inc. | 16,600 | 348,932 | ||||||
Valley National Bancorp | 6,200 | 60,326 | ||||||
Veritex Holdings, Inc. (a) | 5,900 | 102,601 | ||||||
Walker & Dunlop, Inc. (a) | 40,400 | 1,020,504 | ||||||
Washington Trust Bancorp, Inc. | 4,900 | 197,078 | ||||||
Webster Financial Corp. | 49,525 | 1,882,445 | ||||||
West Bancorporation, Inc. | 20,200 | 395,920 | ||||||
Western Alliance Bancorp (a) | 45,875 | 1,722,148 | ||||||
Wintrust Financial Corp. | 40,215 | 2,234,748 | ||||||
|
| |||||||
40,090,517 | ||||||||
|
| |||||||
Diversified Financial — 1.4% | ||||||||
Altisource Portfolio Solutions SA (a) (b) | 14,600 | 473,040 | ||||||
Bats Global Markets, Inc. (b) | 11,663 | 351,406 |
Number of Shares | Value | |||||||
BGC Partners, Inc. Class A | 123,830 | $ | 1,083,513 | |||||
Houlihan Lokey, Inc. | 9,424 | 236,071 | ||||||
INTL. FCStone, Inc. (a) | 10,600 | 411,810 | ||||||
Janus Capital Group, Inc. | 25,700 | 360,057 | ||||||
LendingClub Corp. (a) (b) | 17,500 | 108,150 | ||||||
Navient Corp. | 19,300 | 279,271 | ||||||
Nelnet, Inc. Class A | 2,700 | 108,999 | ||||||
PennyMac Financial Services, Inc. | 19,800 | 336,798 | ||||||
Regional Management Corp. (a) | 11,100 | 240,315 | ||||||
|
| |||||||
3,989,430 | ||||||||
|
| |||||||
Insurance — 6.2% | ||||||||
Ambac Financial Group, Inc. (a) | 64,700 | 1,189,833 | ||||||
Argo Group International Holdings Ltd. | 33,802 | 1,907,109 | ||||||
Assured Guaranty Ltd. | 41,300 | 1,146,075 | ||||||
CNO Financial Group, Inc. | 101,095 | 1,543,721 | ||||||
Employers Holdings, Inc. | 14,830 | 442,379 | ||||||
First American Financial Corp. | 28,620 | 1,124,193 | ||||||
Genworth Financial, Inc. Class A (a) | 300,900 | 1,492,464 | ||||||
Heritage Insurance Holdings, Inc. | 4,500 | 64,845 | ||||||
Kinsale Capital Group, Inc. (b) | 7,572 | 166,584 | ||||||
Maiden Holdings Ltd. | 114,325 | 1,450,784 | ||||||
MGIC Investment Corp. (a) | 68,000 | 544,000 | ||||||
National Interstate Corp. | 16,500 | 536,745 | ||||||
ProAssurance Corp. | 22,100 | 1,159,808 | ||||||
Radian Group, Inc. | 231,760 | 3,140,348 | ||||||
RenaissanceRe Holdings Ltd. | 2,200 | 264,352 | ||||||
Safety Insurance Group, Inc. | 5,800 | 389,876 | ||||||
State Auto Financial Corp. Class A | 17,500 | 416,675 | ||||||
Validus Holdings Ltd. | 21,845 | 1,088,318 | ||||||
|
| |||||||
18,068,109 | ||||||||
|
| |||||||
Real Estate — 0.6% | ||||||||
Hilltop Holdings, Inc. (a) | 81,745 | 1,835,993 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 11.1% | ||||||||
Acadia Realty Trust | 23,600 | 855,264 | ||||||
American Assets Trust, Inc. | 17,400 | 754,812 | ||||||
American Campus Communities, Inc. | 9,700 | 493,439 | ||||||
Anworth Mortgage Asset Corp. | 156,000 | 767,520 | ||||||
Arbor Realty Trust, Inc. | 16,300 | 120,946 | ||||||
ARMOUR Residential REIT, Inc. (b) | 51,400 | 1,158,556 | ||||||
Catchmark Timber Trust, Inc. | 12,233 | 143,004 | ||||||
Cedar Realty Trust, Inc. | 145,100 | 1,044,720 | ||||||
Colony Capital, Inc. Class A | 78,100 | 1,423,763 | ||||||
Colony Starwood Homes (b) | 30,952 | 888,322 | ||||||
Coresite Realty Corp. | 15,100 | 1,118,004 | ||||||
CYS Investments, Inc. | 21,100 | 183,992 | ||||||
Douglas Emmett, Inc. | 14,300 | 523,809 | ||||||
DuPont Fabros Technology, Inc. | 11,800 | 486,750 | ||||||
EastGroup Properties, Inc. | 9,900 | 728,244 | ||||||
Equity Lifestyle Properties, Inc. | 12,600 | 972,468 |
The accompanying notes are an integral part of the financial statements.
139
MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
First Potomac Realty Trust | 47,800 | $ | 437,370 | |||||
Getty Realty Corp. | 12,100 | 289,553 | ||||||
Healthcare Realty Trust, Inc. | 68,675 | 2,339,071 | ||||||
Highwoods Properties, Inc. | 32,610 | 1,699,633 | ||||||
Invesco Mortgage Capital, Inc. | 92,510 | 1,408,927 | ||||||
Kilroy Realty Corp. | 9,200 | 638,020 | ||||||
Kite Realty Group Trust | 74,540 | 2,066,249 | ||||||
LaSalle Hotel Properties | 30,360 | 724,693 | ||||||
Lexington Realty Trust | 90,730 | 934,519 | ||||||
LTC Properties, Inc. | 1,500 | 77,985 | ||||||
Mack-Cali Realty Corp. | 40,700 | 1,107,854 | ||||||
National Health Investors, Inc. | 7,100 | 557,208 | ||||||
New Residential Investment Corp. | 123,485 | 1,705,328 | ||||||
Piedmont Office Realty Trust, Inc. Class A | 2,100 | 45,717 | ||||||
Potlatch Corp. | 14,300 | 556,127 | ||||||
PS Business Parks, Inc. | 18,200 | 2,066,974 | ||||||
Retail Opportunity Investments Corp. | 11,400 | 250,344 | ||||||
RLJ Lodging Trust | 20,600 | 433,218 | ||||||
Saul Centers, Inc. | 11,600 | 772,560 | ||||||
Silver Bay Realty Trust Corp. | 19,300 | 338,329 | ||||||
Summit Hotel Properties, Inc. | 75,800 | 997,528 | ||||||
Washington Real Estate Investment Trust | 18,300 | 569,496 | ||||||
Weingarten Realty Investors | 14,500 | 565,210 | ||||||
|
| |||||||
32,245,526 | ||||||||
|
| |||||||
Savings & Loans — 3.1% | ||||||||
BankUnited, Inc. | 27,200 | 821,440 | ||||||
Beneficial Bancorp, Inc. | 40,572 | 596,814 | ||||||
Charter Financial Corp. | 28,100 | 361,928 | ||||||
Dime Community Bancshares, Inc. | 39,700 | 665,372 | ||||||
First Defiance Financial Corp. | 8,800 | 392,832 | ||||||
Flagstar Bancorp, Inc. (a) | 61,430 | 1,704,682 | ||||||
Flushing Financial Corp. | 34,940 | 828,777 | ||||||
Hingham Institution for Savings | 1,600 | 221,600 | ||||||
Meridian Bancorp, Inc. | 17,500 | 272,475 | ||||||
Meta Financial Group, Inc. | 1,800 | 109,098 | ||||||
Oritani Financial Corp. | 3,300 | 51,876 | ||||||
United Financial Bancorp, Inc. | 44,100 | 610,344 | ||||||
Washington Federal, Inc. | 5,800 | 154,744 | ||||||
WSFS Financial Corp. | 63,020 | 2,299,600 | ||||||
|
| |||||||
9,091,582 | ||||||||
|
| |||||||
105,321,157 | ||||||||
|
| |||||||
Industrial — 15.5% | ||||||||
Aerospace & Defense — 0.8% | ||||||||
Cubic Corp. | 3,500 | 163,835 | ||||||
Curtiss-Wright Corp. | 13,245 | 1,206,752 | ||||||
Ducommun, Inc. (a) | 15,300 | 349,452 | ||||||
Kaman Corp. | 8,100 | 355,752 | ||||||
Triumph Group, Inc. | 12,900 | 359,652 | ||||||
|
| |||||||
2,435,443 | ||||||||
|
|
Number of Shares | Value | |||||||
Building Materials — 1.0% | ||||||||
Drew Industries, Inc. | 11,100 | $ | 1,088,022 | |||||
Gibraltar Industries, Inc. (a) | 6,000 | 222,900 | ||||||
Summit Materials, Inc. Class A (a) | 45,314 | 840,575 | ||||||
Universal Forest Products, Inc. | 8,600 | 847,014 | ||||||
|
| |||||||
2,998,511 | ||||||||
|
| |||||||
Electrical Components & Equipment — 2.4% | ||||||||
Advanced Energy Industries, Inc. (a) | 14,100 | 667,212 | ||||||
Belden, Inc. | 19,100 | 1,317,709 | ||||||
Energizer Holdings, Inc. | 31,205 | 1,559,002 | ||||||
General Cable Corp. | 64,300 | 963,214 | ||||||
Insteel Industries, Inc. | 6,300 | 228,312 | ||||||
Littelfuse, Inc. | 9,050 | 1,165,730 | ||||||
SPX Corp. (a) | 57,700 | 1,162,078 | ||||||
|
| |||||||
7,063,257 | ||||||||
|
| |||||||
Electronics — 3.1% | ||||||||
Analogic Corp. | 5,400 | 478,440 | ||||||
Badger Meter, Inc. | 13,200 | 442,332 | ||||||
Bel Fuse, Inc. Class B | 2,700 | 65,178 | ||||||
Benchmark Electronics, Inc. (a) | 77,145 | 1,924,768 | ||||||
Brady Corp. Class A | 13,900 | 481,079 | ||||||
Coherent, Inc. (a) | 800 | 88,432 | ||||||
II-VI, Inc. (a) | 60,955 | 1,483,035 | ||||||
Knowles Corp. (a) (b) | 43,300 | 608,365 | ||||||
Methode Electronics, Inc. | 12,600 | 440,622 | ||||||
Sanmina Corp. (a) | 10,500 | 298,935 | ||||||
Stoneridge, Inc. (a) | 35,000 | 644,000 | ||||||
TTM Technologies, Inc. (a) | 98,400 | 1,126,680 | ||||||
Woodward, Inc. | 14,755 | 921,892 | ||||||
|
| |||||||
9,003,758 | ||||||||
|
| |||||||
Engineering & Construction — 0.6% | ||||||||
Aegion Corp. (a) | 32,100 | 612,147 | ||||||
McDermott International, Inc. (a) | 216,000 | 1,082,160 | ||||||
Sterling Construction Co., Inc. (a) | 6,200 | 47,988 | ||||||
|
| |||||||
1,742,295 | ||||||||
|
| |||||||
Environmental Controls — 0.1% | ||||||||
MSA Safety, Inc. | 5,800 | 336,632 | ||||||
|
| |||||||
Hand & Machine Tools — 0.4% | ||||||||
Hardinge, Inc. | 3,100 | 34,503 | ||||||
Kennametal, Inc. | 33,940 | 984,939 | ||||||
|
| |||||||
1,019,442 | ||||||||
|
| |||||||
Machinery – Diversified — 0.9% | ||||||||
Applied Industrial Technologies, Inc. | 10,100 | 472,074 | ||||||
BWX Technologies, Inc. | 1,300 | 49,881 | ||||||
Kadant, Inc. | 6,100 | 317,871 | ||||||
Manitowoc Foodservice, Inc. (a) | 61,695 | 1,000,693 | ||||||
SPX FLOW, Inc. (a) | 24,875 | 769,135 | ||||||
|
| |||||||
2,609,654 | ||||||||
|
| |||||||
Manufacturing — 2.3% | ||||||||
Actuant Corp. Class A | 38,250 | 888,930 | ||||||
Barnes Group, Inc. | 40,865 | 1,657,076 | ||||||
Colfax Corp. (a) | 56,125 | 1,764,009 |
The accompanying notes are an integral part of the financial statements.
140
MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
ESCO Technologies, Inc. | 17,600 | $ | 816,992 | |||||
Matthews International Corp. Class A | 5,900 | 358,484 | ||||||
Myers Industries, Inc. | 41,300 | 536,487 | ||||||
Smith & Wesson Holding Corp. (a) (b) | 1,500 | 39,885 | ||||||
Trinseo SA | 11,700 | 661,752 | ||||||
|
| |||||||
6,723,615 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 1.5% | ||||||||
Circor International, Inc. | 9,400 | 559,864 | ||||||
Commercial Metals Co. | 71,035 | 1,150,057 | ||||||
Global Brass & Copper Holdings, Inc. | 26,300 | 759,807 | ||||||
Mueller Water Products, Inc. Class A | 77,010 | 966,475 | ||||||
RBC Bearings, Inc. (a) | 5,700 | 435,936 | ||||||
Sun Hydraulics Corp. | 15,800 | 509,866 | ||||||
|
| |||||||
4,382,005 | ||||||||
|
| |||||||
Packaging & Containers — 0.3% | ||||||||
Owens-Illinois, Inc. (a) | 51,090 | 939,545 | ||||||
|
| |||||||
Transportation — 2.0% | ||||||||
Genesee & Wyoming, Inc. | 9,800 | 675,710 | ||||||
Golar LNG Ltd. (b) | 49,220 | 1,043,464 | ||||||
Kirby Corp. (a) | 6,200 | 385,392 | ||||||
Landstar System, Inc. | 19,300 | 1,313,944 | ||||||
Navios Maritime Acquisition Corp. (b) | 153,700 | 207,495 | ||||||
Universal Logistics Holdings, Inc. | 19,000 | 254,980 | ||||||
Werner Enterprises, Inc. | 55,675 | 1,295,557 | ||||||
XPO Logistics, Inc. (a) (b) | 13,755 | 504,396 | ||||||
|
| |||||||
5,680,938 | ||||||||
|
| |||||||
Trucking & Leasing — 0.1% | ||||||||
Willis Lease Finance Corp. (a) | 5,800 | 137,866 | ||||||
|
| |||||||
45,072,961 | ||||||||
|
| |||||||
Technology — 3.7% | ||||||||
Computers — 0.2% | ||||||||
CSRA, Inc. | 16,000 | 430,400 | ||||||
NCI, Inc. Class A | 5,500 | 63,635 | ||||||
|
| |||||||
494,035 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.1% | ||||||||
ARC Document Solutions, Inc. (a) | 65,800 | 246,092 | ||||||
|
| |||||||
Semiconductors — 2.0% | ||||||||
Alpha & Omega Semiconductor Ltd. (a) | 19,300 | 419,196 | ||||||
Brooks Automation, Inc. | 33,800 | 460,018 | ||||||
Cabot Microelectronics Corp. | 10,100 | 534,391 | ||||||
Cypress Semiconductor Corp. | 77,525 | 942,704 | ||||||
Intersil Corp. Class A | 25,700 | 563,601 | ||||||
MaxLinear, Inc. Class A (a) | 47,350 | 959,785 | ||||||
MKS Instruments, Inc. | 33,495 | 1,665,706 | ||||||
Rudolph Technologies, Inc. (a) | 25,900 | 459,466 | ||||||
|
| |||||||
6,004,867 | ||||||||
|
|
Number of Shares | Value | |||||||
Software — 1.4% | ||||||||
Callidus Software, Inc. (a) | 23,800 | $ | 436,730 | |||||
CSG Systems International, Inc. | 4,600 | 190,118 | ||||||
Digi International, Inc. (a) | 13,000 | 148,200 | ||||||
The Dun & Bradstreet Corp. | 6,930 | 946,776 | ||||||
Progress Software Corp. (a) | 19,150 | 520,880 | ||||||
SYNNEX Corp. | 15,225 | 1,737,325 | ||||||
|
| |||||||
3,980,029 | ||||||||
|
| |||||||
10,725,023 | ||||||||
|
| |||||||
Utilities — 4.9% | ||||||||
Electric — 2.4% | ||||||||
Atlantica Yield PLC | 2,700 | 51,327 | ||||||
Black Hills Corp. (b) | 1,200 | 73,464 | ||||||
Dynegy, Inc. (a) (b) | 59,775 | 740,612 | ||||||
El Paso Electric Co. | 18,200 | 851,214 | ||||||
NorthWestern Corp. | 14,700 | 845,691 | ||||||
NRG Energy, Inc. | 31,200 | 349,752 | ||||||
Ormat Technologies, Inc. | 29,600 | 1,432,936 | ||||||
Portland General Electric Co. | 62,650 | 2,668,264 | ||||||
|
| |||||||
7,013,260 | ||||||||
|
| |||||||
Gas — 1.8% | ||||||||
Atmos Energy Corp. | 7,200 | 536,184 | ||||||
ONE Gas, Inc. | 17,200 | 1,063,648 | ||||||
PNM Resources, Inc. | 31,700 | 1,037,224 | ||||||
Southwest Gas Corp. | 13,100 | 915,166 | ||||||
Spire, Inc. | 27,520 | 1,754,125 | ||||||
|
| |||||||
5,306,347 | ||||||||
|
| |||||||
Water — 0.7% | ||||||||
Aqua America, Inc. | 43,740 | 1,333,195 | ||||||
SJW Corp. | 13,900 | 607,152 | ||||||
|
| |||||||
1,940,347 | ||||||||
|
| |||||||
14,259,954 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $248,993,954) | 284,708,679 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $248,993,954) | 284,708,679 | |||||||
|
| |||||||
MUTUAL FUNDS — 4.1% | ||||||||
Diversified Financial — 4.1% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 11,978,773 | 11,978,773 | ||||||
T. Rowe Price Reserve Investment Fund | 1,006 | 1,006 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $11,979,779) | 11,979,779 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $260,973,733) | 296,688,458 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
141
MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 1.7% | ||||||||
Repurchase Agreement — 1.6% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (d) | $ | 4,759,562 | $ | 4,759,562 | ||||
|
| |||||||
U.S. Treasury Bill — 0.1% | ||||||||
U.S. Treasury Bill (e) | 200,000 | 199,625 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,959,094) | 4,959,187 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 103.4% (Cost $265,932,827) (f) | 301,647,645 | |||||||
Other Assets/(Liabilities) — (3.4)% | (9,883,937 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 291,763,708 | ||||||
|
|
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 September 30, 2016, was $11,641,079 or 3.99% 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 $4,759,566. Collateralized by U.S. Government Agency obligations with rates ranging from 1.500% – 2.125%, maturity dates ranging from 11/30/19 – 9/30/21, and an aggregate market value, including accrued interest, of $4,859,063. |
(e) | A portion of this security is 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.
142
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 96.7% | ||||||||
COMMON STOCK — 96.7% | ||||||||
Basic Materials — 4.7% | ||||||||
Chemicals — 2.6% | ||||||||
Ashland Global Holdings, Inc. | 11,663 | $ | 1,352,325 | |||||
Cabot Corp. | 11,715 | 613,983 | ||||||
Minerals Technologies, Inc. | 6,542 | 462,454 | ||||||
NewMarket Corp. | 1,736 | 745,300 | ||||||
Olin Corp. | 31,018 | 636,489 | ||||||
PolyOne Corp. | 15,788 | 533,792 | ||||||
RPM International, Inc. | 25,003 | 1,343,161 | ||||||
Sensient Technologies Corp. | 8,410 | 637,478 | ||||||
The Valspar Corp. | 13,696 | 1,452,735 | ||||||
|
| |||||||
7,777,717 | ||||||||
|
| |||||||
Forest Products & Paper — 0.4% | ||||||||
Domtar Corp. | 11,754 | 436,426 | ||||||
Rayonier, Inc. | 23,075 | 612,411 | ||||||
|
| |||||||
1,048,837 | ||||||||
|
| |||||||
Iron & Steel — 1.2% | ||||||||
Allegheny Technologies, Inc. | 20,469 | 369,875 | ||||||
Carpenter Technology Corp. | 8,754 | 361,190 | ||||||
Reliance Steel & Aluminum Co. | 13,621 | 981,120 | ||||||
Steel Dynamics, Inc. | 45,779 | 1,144,017 | ||||||
United States Steel Corp. | 31,638 | 596,693 | ||||||
|
| |||||||
3,452,895 | ||||||||
|
| |||||||
Mining — 0.5% | ||||||||
Compass Minerals International, Inc. | 6,346 | 467,700 | ||||||
Royal Gold, Inc. | 12,258 | 949,137 | ||||||
|
| |||||||
1,416,837 | ||||||||
|
| |||||||
13,696,286 | ||||||||
|
| |||||||
Communications — 3.1% | ||||||||
Internet — 0.4% | ||||||||
Comscore, Inc. (a) | 8,408 | 257,789 | ||||||
Rackspace Hosting, Inc. (a) | 20,082 | 636,399 | ||||||
WebMD Health Corp. (a) | 7,322 | 363,903 | ||||||
|
| |||||||
1,258,091 | ||||||||
|
| |||||||
Media — 1.4% | ||||||||
AMC Networks, Inc. Class A (a) | 11,252 | 583,529 | ||||||
Cable One, Inc. | 881 | 514,504 | ||||||
FactSet Research Systems, Inc. | 7,635 | 1,237,633 | ||||||
Graham Holdings Co. Class B | 874 | 420,717 | ||||||
John Wiley & Sons, Inc. Class A | 8,402 | 433,627 | ||||||
Meredith Corp. | 6,862 | 356,755 | ||||||
The New York Times Co. Class A | 22,866 | 273,249 | ||||||
Time, Inc. | 18,799 | 272,210 | ||||||
|
| |||||||
4,092,224 | ||||||||
|
| |||||||
Telecommunications — 1.3% | ||||||||
ARRIS International PLC (a) | 35,809 | 1,014,469 | ||||||
Ciena Corp. (a) | 25,938 | 565,448 |
Number of Shares | Value | |||||||
InterDigital, Inc. | 6,433 | $ | 509,494 | |||||
NeuStar, Inc. Class A (a) | 10,237 | 272,202 | ||||||
Plantronics, Inc. | 6,232 | 323,815 | ||||||
Telephone & Data Systems, Inc. | 17,471 | 474,862 | ||||||
ViaSat, Inc. (a) | 8,516 | 635,719 | ||||||
|
| |||||||
3,796,009 | ||||||||
|
| |||||||
9,146,324 | ||||||||
|
| |||||||
Consumer, Cyclical — 11.9% | ||||||||
Airlines — 0.4% | ||||||||
JetBlue Airways Corp. (a) | 60,779 | 1,047,830 | ||||||
|
| |||||||
Apparel — 0.7% | ||||||||
Ascena Retail Group, Inc. (a) | 31,329 | 175,129 | ||||||
Carter’s, Inc. | 9,401 | 815,161 | ||||||
Deckers Outdoor Corp. (a) | 6,017 | 358,312 | ||||||
Skechers U.S.A., Inc. Class A (a) | 25,038 | 573,370 | ||||||
|
| |||||||
1,921,972 | ||||||||
|
| |||||||
Auto Manufacturers — 0.3% | ||||||||
Oshkosh Corp. | 13,801 | 772,856 | ||||||
|
| |||||||
Automotive & Parts — 0.1% | ||||||||
Dana, Inc. | 26,937 | 419,948 | ||||||
|
| |||||||
Distribution & Wholesale — 1.2% | ||||||||
Fossil Group, Inc. (a) | 7,864 | 218,383 | ||||||
Ingram Micro, Inc. Class A | 28,106 | 1,002,260 | ||||||
Owens & Minor, Inc. | 11,720 | 407,036 | ||||||
Pool Corp. | 7,896 | 746,330 | ||||||
Tech Data Corp. (a) | 6,613 | 560,187 | ||||||
Watsco, Inc. | 4,844 | 682,520 | ||||||
|
| |||||||
3,616,716 | ||||||||
|
| |||||||
Entertainment — 0.4% | ||||||||
Churchill Downs, Inc. | 2,337 | 342,020 | ||||||
Cinemark Holdings, Inc. | 19,862 | 760,317 | ||||||
International Speedway Corp. Class A | 4,889 | 163,391 | ||||||
|
| |||||||
1,265,728 | ||||||||
|
| |||||||
Home Builders — 1.3% | ||||||||
CalAtlantic Group, Inc. | 14,008 | 468,427 | ||||||
KB Home | 15,536 | 250,440 | ||||||
NVR, Inc. (a) | 680 | 1,115,112 | ||||||
Thor Industries, Inc. | 8,969 | 759,674 | ||||||
Toll Brothers, Inc. (a) | 28,342 | 846,292 | ||||||
TRI Pointe Group, Inc. (a) | 27,454 | 361,844 | ||||||
|
| |||||||
3,801,789 | ||||||||
|
| |||||||
Home Furnishing — 0.2% | ||||||||
Tempur Sealy International, Inc. (a) | 9,544 | 541,526 | ||||||
|
| |||||||
Household Products — 0.2% | ||||||||
Tupperware Brands Corp. | 9,491 | 620,427 | ||||||
|
| |||||||
Housewares — 0.3% | ||||||||
The Toro Co. | 20,529 | 961,578 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
143
MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Leisure Time — 0.6% | ||||||||
Brunswick Corp. | 16,943 | $ | 826,480 | |||||
Polaris Industries, Inc. | 11,194 | 866,863 | ||||||
|
| |||||||
1,693,343 | ||||||||
|
| |||||||
Office Furnishings — 0.2% | ||||||||
Herman Miller, Inc. | 11,239 | 321,436 | ||||||
HNI Corp. | 8,349 | 332,290 | ||||||
|
| |||||||
653,726 | ||||||||
|
| |||||||
Retail — 6.0% | ||||||||
Abercrombie & Fitch Co. Class A | 12,707 | 201,914 | ||||||
American Eagle Outfitters, Inc. | 32,087 | 573,074 | ||||||
Big Lots, Inc. | 8,333 | 397,901 | ||||||
Brinker International, Inc. | 10,315 | 520,185 | ||||||
Buffalo Wild Wings, Inc. (a) | 3,436 | 483,583 | ||||||
Cabela’s, Inc. (a) | 9,643 | 529,690 | ||||||
Casey’s General Stores, Inc. | 7,358 | 884,064 | ||||||
The Cheesecake Factory, Inc. | 8,397 | 420,354 | ||||||
Chico’s FAS, Inc. | 24,796 | 295,072 | ||||||
Copart, Inc. (a) | 18,282 | 979,184 | ||||||
Cracker Barrel Old Country Store, Inc. | 4,496 | 594,461 | ||||||
CST Brands, Inc. | 14,214 | 683,551 | ||||||
Dick’s Sporting Goods, Inc. | 16,529 | 937,525 | ||||||
Domino’s Pizza, Inc. | 9,063 | 1,376,217 | ||||||
Dunkin’ Brands Group, Inc. | 17,230 | 897,338 | ||||||
GameStop Corp. Class A | 19,522 | 538,612 | ||||||
Guess?, Inc. | 11,568 | 169,008 | ||||||
HSN, Inc. | 5,987 | 238,283 | ||||||
Jack in the Box, Inc. | 6,137 | 588,784 | ||||||
JC Penney Co., Inc. (a) | 57,792 | 532,842 | ||||||
Kate Spade & Co. (a) | 24,044 | 411,874 | ||||||
MSC Industrial Direct Co., Inc. | 8,352 | 613,120 | ||||||
Office Depot, Inc. | 102,151 | 364,679 | ||||||
Panera Bread Co. Class A (a) | 4,181 | 814,124 | ||||||
Restoration Hardware Holdings, Inc. (a) | 7,168 | 247,869 | ||||||
Sally Beauty Holdings, Inc. (a) | 27,564 | 707,844 | ||||||
Texas Roadhouse, Inc. | 12,038 | 469,843 | ||||||
Vista Outdoor, Inc. (a) | 11,331 | 451,654 | ||||||
The Wendy’s Co. | 38,270 | 413,316 | ||||||
Williams-Sonoma, Inc. | 15,404 | 786,836 | ||||||
World Fuel Services Corp. | 13,230 | 612,020 | ||||||
|
| |||||||
17,734,821 | ||||||||
|
| |||||||
35,052,260 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 14.9% | ||||||||
Beverages — 0.1% | ||||||||
The Boston Beer Co., Inc. Class A (a) | 1,701 | 264,097 | ||||||
|
| |||||||
Biotechnology — 0.5% | ||||||||
Bio-Rad Laboratories, Inc. | 3,879 | 635,419 |
Number of Shares | Value | |||||||
Charles River Laboratories International, Inc. (a) | 8,882 | $ | 740,226 | |||||
|
| |||||||
1,375,645 | ||||||||
|
| |||||||
Commercial Services — 3.5% | ||||||||
Aaron’s, Inc. | 12,164 | 309,209 | ||||||
Avis Budget Group, Inc. (a) | 17,763 | 607,672 | ||||||
CEB, Inc. | 6,048 | 329,435 | ||||||
Convergys Corp. | 18,012 | 547,925 | ||||||
Deluxe Corp. | 9,159 | 612,004 | ||||||
DeVry Education Group, Inc. | 10,656 | 245,727 | ||||||
FTI Consulting, Inc. (a) | 7,921 | 352,960 | ||||||
Gartner, Inc. (a) | 15,517 | 1,372,479 | ||||||
Live Nation Entertainment, Inc. (a) | 24,791 | 681,257 | ||||||
Manpower, Inc. | 12,870 | 929,986 | ||||||
PAREXEL International Corp. (a) | 9,932 | 689,777 | ||||||
Rollins, Inc. | 18,039 | 528,182 | ||||||
SEI Investments Co. | 25,450 | 1,160,774 | ||||||
Service Corp. International | 36,364 | 965,101 | ||||||
Sotheby’s | 9,008 | 342,484 | ||||||
WEX, Inc. (a) | 7,221 | 780,518 | ||||||
|
| |||||||
10,455,490 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.5% | ||||||||
Avon Products, Inc. | 82,073 | 464,533 | ||||||
Edgewell Personal Care Co. (a) | 11,071 | 880,366 | ||||||
|
| |||||||
1,344,899 | ||||||||
|
| |||||||
Foods — 3.1% | ||||||||
Dean Foods Co. | 16,982 | 278,505 | ||||||
Flowers Foods, Inc. | 34,188 | 516,923 | ||||||
The Hain Celestial Group, Inc. (a) | 19,428 | 691,248 | ||||||
Ingredion, Inc. | 13,556 | 1,803,761 | ||||||
Lancaster Colony Corp. | 3,657 | 483,053 | ||||||
Post Holdings, Inc. (a) | 12,141 | 936,921 | ||||||
Snyders-Lance, Inc. | 16,058 | 539,228 | ||||||
Sprouts Farmers Market, Inc. (a) | 26,202 | 541,071 | ||||||
Tootsie Roll Industries, Inc. | 3,303 | 121,649 | ||||||
TreeHouse Foods, Inc. (a) | 10,652 | 928,748 | ||||||
United Natural Foods, Inc. (a) | 9,462 | 378,858 | ||||||
The WhiteWave Foods Co. (a) | 33,278 | 1,811,322 | ||||||
|
| |||||||
9,031,287 | ||||||||
|
| |||||||
Health Care – Products — 4.2% | ||||||||
ABIOMED, Inc. (a) | 7,516 | 966,407 | ||||||
Align Technology, Inc. (a) | 14,131 | 1,324,781 | ||||||
Bio-Techne Corp. | 7,004 | 766,938 | ||||||
Halyard Health, Inc. (a) | 8,765 | 303,795 | ||||||
Hill-Rom Holdings, Inc. | 11,188 | 693,432 | ||||||
IDEXX Laboratories, Inc. (a) | 16,816 | 1,895,668 | ||||||
LivaNova PLC (a) | 8,295 | 498,612 | ||||||
NuVasive, Inc. (a) | 9,412 | 627,404 | ||||||
ResMed, Inc. | 26,424 | 1,712,011 | ||||||
STERIS PLC | 16,179 | 1,182,685 | ||||||
Teleflex, Inc. | 8,270 | 1,389,774 |
The accompanying notes are an integral part of the financial statements.
144
MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
West Pharmaceutical Services, Inc. | 13,750 | $ | 1,024,375 | |||||
|
| |||||||
12,385,882 | ||||||||
|
| |||||||
Health Care – Services — 1.7% | ||||||||
Amsurg Corp. (a) | 10,293 | 690,146 | ||||||
Catalent, Inc. (a) | 23,418 | 605,121 | ||||||
Community Health Systems, Inc. (a) | 21,341 | 246,275 | ||||||
LifePoint Health, Inc. (a) | 8,014 | 474,669 | ||||||
MEDNAX, Inc. (a) | 17,281 | 1,144,866 | ||||||
Molina Healthcare, Inc. (a) | 8,000 | 466,560 | ||||||
Tenet Healthcare Corp. (a) | 14,952 | 338,813 | ||||||
WellCare Health Plans, Inc. (a) | 8,314 | 973,486 | ||||||
|
| |||||||
4,939,936 | ||||||||
|
| |||||||
Household Products — 0.5% | ||||||||
Helen of Troy Ltd. (a) | 5,228 | 450,497 | ||||||
Prestige Brands Holdings, Inc. (a) | 9,938 | 479,707 | ||||||
The Scotts Miracle-Gro Co. Class A | 8,509 | 708,545 | ||||||
|
| |||||||
1,638,749 | ||||||||
|
| |||||||
Pharmaceuticals — 0.8% | ||||||||
Akorn, Inc. (a) | 16,568 | 451,644 | ||||||
United Therapeutics Corp. (a) | 8,163 | 963,887 | ||||||
VCA, Inc. (a) | 15,187 | 1,062,786 | ||||||
|
| |||||||
2,478,317 | ||||||||
|
| |||||||
43,914,302 | ||||||||
|
| |||||||
Energy — 3.8% | ||||||||
Coal — 0.2% | ||||||||
CONSOL Energy, Inc. | 33,178 | 637,018 | ||||||
|
| |||||||
Oil & Gas — 2.3% | ||||||||
Denbury Resources, Inc. | 74,806 | 241,623 | ||||||
Diamond Offshore Drilling, Inc. | 12,107 | 213,204 | ||||||
Ensco PLC Class A | 56,603 | 481,126 | ||||||
Gulfport Energy Corp. (a) | 23,544 | 665,118 | ||||||
Murphy USA, Inc. (a) | 6,914 | 493,383 | ||||||
Nabors Industries Ltd. | 53,219 | 647,143 | ||||||
Noble Corp. PLC | 45,677 | 289,592 | ||||||
Patterson-UTI Energy, Inc. | 27,744 | 620,633 | ||||||
QEP Resources, Inc. | 44,999 | 878,831 | ||||||
Rowan Cos. PLC Class A | 23,554 | 357,079 | ||||||
SM Energy Co. | 16,314 | 629,394 | ||||||
Western Refining, Inc. | 14,865 | 393,328 | ||||||
WPX Energy, Inc. (a) | 64,667 | 852,958 | ||||||
|
| |||||||
6,763,412 | ||||||||
|
| |||||||
Oil & Gas Services — 1.0% | ||||||||
Dril-Quip, Inc. (a) | 7,056 | 393,301 | ||||||
HollyFrontier Corp. | 33,151 | 812,200 | ||||||
NOW, Inc. (a) | 20,184 | 432,543 | ||||||
Oceaneering International, Inc. | 18,416 | 506,624 | ||||||
Oil States International, Inc. (a) | 9,642 | 304,398 | ||||||
Superior Energy Services, Inc. | 28,489 | 509,953 | ||||||
|
| |||||||
2,959,019 | ||||||||
|
|
Number of Shares | Value | |||||||
Pipelines — 0.3% | ||||||||
National Fuel Gas Co. | 15,961 | $ | 863,011 | |||||
|
| |||||||
11,222,460 | ||||||||
|
| |||||||
Financial — 24.7% | ||||||||
Banks — 5.6% | ||||||||
Associated Banc-Corp. | 27,904 | 546,639 | ||||||
BancorpSouth, Inc. | 16,161 | 374,935 | ||||||
Bank of Hawaii Corp. | 8,050 | 584,591 | ||||||
Bank of the Ozarks, Inc. | 17,058 | 655,027 | ||||||
Cathay General Bancorp | 13,922 | 428,519 | ||||||
Chemical Financial Corp. | 13,140 | 579,868 | ||||||
Commerce Bancshares, Inc. | 15,596 | 768,259 | ||||||
Cullen/Frost Bankers, Inc. | 10,381 | 746,809 | ||||||
East West Bancorp, Inc. | 27,063 | 993,483 | ||||||
F.N.B. Corp. | 39,461 | 485,370 | ||||||
First Horizon National Corp. | 43,573 | 663,617 | ||||||
Fulton Financial Corp. | 32,501 | 471,915 | ||||||
Hancock Holding Co. | 14,563 | 472,278 | ||||||
International Bancshares Corp. | 10,899 | 324,572 | ||||||
MB Financial, Inc. | 13,403 | 509,850 | ||||||
PacWest Bancorp | 22,614 | 970,367 | ||||||
PrivateBancorp, Inc. | 14,929 | 685,540 | ||||||
Prosperity Bancshares, Inc. | 13,048 | 716,205 | ||||||
Signature Bank (a) | 10,082 | 1,194,213 | ||||||
SVB Financial Group (a) | 9,773 | 1,080,307 | ||||||
Synovus Financial Corp. | 23,087 | 751,020 | ||||||
TCF Financial Corp. | 32,122 | 466,090 | ||||||
Trustmark Corp. | 12,700 | 350,012 | ||||||
Umpqua Holdings Corp. | 41,353 | 622,363 | ||||||
Valley National Bancorp | 47,791 | 465,007 | ||||||
Webster Financial Corp. | 17,217 | 654,418 | ||||||
|
| |||||||
16,561,274 | ||||||||
|
| |||||||
Commercial Services — 0.2% | ||||||||
CoreLogic, Inc. (a) | 16,582 | 650,346 | ||||||
|
| |||||||
Diversified Financial — 2.3% | ||||||||
CBOE Holdings, Inc. | 15,265 | 989,935 | ||||||
Eaton Vance Corp. | 21,301 | 831,804 | ||||||
Federated Investors, Inc. Class B | 17,622 | 522,140 | ||||||
Janus Capital Group, Inc. | 26,887 | 376,687 | ||||||
MarketAxess Holdings, Inc. | 7,066 | 1,170,059 | ||||||
Raymond James Financial, Inc. | 23,682 | 1,378,529 | ||||||
SLM Corp. (a) | 80,366 | 600,334 | ||||||
Stifel Financial Corp. (a) | 12,434 | 478,087 | ||||||
Waddell & Reed Financial, Inc. Class A | 15,558 | 282,533 | ||||||
WisdomTree Investments, Inc. | 21,546 | 221,709 | ||||||
|
| |||||||
6,851,817 | ||||||||
|
| |||||||
Insurance — 4.7% | ||||||||
Alleghany Corp. (a) | 2,899 | 1,522,033 | ||||||
American Financial Group, Inc. | 13,708 | 1,028,100 | ||||||
Aspen Insurance Holdings Ltd. | 11,307 | 526,793 |
The accompanying notes are an integral part of the financial statements.
145
MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Brown & Brown, Inc. | 21,530 | $ | 811,896 | |||||
CNO Financial Group, Inc. | 32,891 | 502,246 | ||||||
Endurance Specialty Holdings Ltd. | 12,057 | 789,131 | ||||||
Everest Re Group Ltd. | 7,867 | 1,494,494 | ||||||
First American Financial Corp. | 20,605 | 809,364 | ||||||
Genworth Financial, Inc. Class A (a) | 93,588 | 464,196 | ||||||
The Hanover Insurance Group, Inc. | 8,027 | 605,396 | ||||||
Kemper Corp. | 9,123 | 358,716 | ||||||
Mercury General Corp. | 6,849 | 375,668 | ||||||
Old Republic International Corp. | 45,838 | 807,666 | ||||||
Primerica, Inc. | 8,728 | 462,846 | ||||||
Reinsurance Group of America, Inc. | 12,032 | 1,298,734 | ||||||
RenaissanceRe Holdings Ltd. | 7,739 | 929,918 | ||||||
W.R. Berkley Corp. | 18,443 | 1,065,268 | ||||||
|
| |||||||
13,852,465 | ||||||||
|
| |||||||
Real Estate — 0.5% | ||||||||
Alexander & Baldwin, Inc. | 8,650 | 332,333 | ||||||
Jones Lang LaSalle, Inc. | 8,485 | 965,508 | ||||||
|
| |||||||
1,297,841 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 10.8% | ||||||||
Alexandria Real Estate Equities, Inc. | 14,644 | 1,592,828 | ||||||
American Campus Communities, Inc. | 24,502 | 1,246,417 | ||||||
Camden Property Trust | 16,416 | 1,374,676 | ||||||
Care Capital Properties, Inc. | 15,765 | 449,303 | ||||||
Communications Sales & Leasing, Inc. (a) | 25,529 | 801,866 | ||||||
Corporate Office Properties Trust | 17,796 | 504,517 | ||||||
Corrections Corporation of America | 22,071 | 306,125 | ||||||
DCT Industrial Trust, Inc. | 16,930 | 821,952 | ||||||
Douglas Emmett, Inc. | 26,946 | 987,032 | ||||||
Duke Realty Corp. | 65,873 | 1,800,309 | ||||||
Education Realty Trust, Inc. | 13,719 | 591,838 | ||||||
EPR Properties | 11,949 | 940,864 | ||||||
Equity One, Inc. | 17,280 | 528,941 | ||||||
First Industrial Realty Trust, Inc. | 21,947 | 619,344 | ||||||
Healthcare Realty Trust, Inc. | 21,759 | 741,112 | ||||||
Highwoods Properties, Inc. | 18,519 | 965,210 | ||||||
Hospitality Properties Trust | 30,839 | 916,535 | ||||||
Kilroy Realty Corp. | 17,311 | 1,200,518 | ||||||
Lamar Advertising Co.Class A | 15,559 | 1,016,158 | ||||||
LaSalle Hotel Properties | 21,234 | 506,856 | ||||||
Liberty Property Trust | 27,558 | 1,111,965 | ||||||
Life Storage, Inc. | 8,713 | 774,934 | ||||||
Mack-Cali Realty Corp. | 16,837 | 458,303 | ||||||
Medical Properties Trust, Inc. | 55,051 | 813,103 | ||||||
Mid-America Apartment Communities, Inc. | 14,185 | 1,333,248 | ||||||
National Retail Properties, Inc. | 27,607 | 1,403,816 | ||||||
Omega Healthcare Investors, Inc. | 36,329 | 1,287,863 | ||||||
Post Properties, Inc. | 10,047 | 664,408 | ||||||
Potlatch Corp. | 7,610 | 295,953 | ||||||
Regency Centers Corp. | 19,623 | 1,520,586 |
Number of Shares | Value | |||||||
Senior Housing Properties Trust | 44,600 | $ | 1,012,866 | |||||
Tanger Factory Outlet Centers, Inc. | 18,039 | 702,799 | ||||||
Taubman Centers, Inc. | 11,342 | 843,958 | ||||||
Urban Edge Properties | 17,179 | 483,417 | ||||||
Washington Prime Group, Inc. | 34,808 | 430,923 | ||||||
Weingarten Realty Investors | 22,086 | 860,912 | ||||||
|
| |||||||
31,911,455 | ||||||||
|
| |||||||
Savings & Loans — 0.6% | ||||||||
New York Community Bancorp, Inc. | 91,472 | 1,301,647 | ||||||
Washington Federal, Inc. | 16,994 | 453,400 | ||||||
|
| |||||||
1,755,047 | ||||||||
|
| |||||||
72,880,245 | ||||||||
|
| |||||||
Industrial — 16.2% | ||||||||
Aerospace & Defense — 1.5% | ||||||||
BE Aerospace, Inc. | 19,085 | 985,931 | ||||||
Curtiss-Wright Corp. | 8,343 | 760,131 | ||||||
Esterline Technologies Corp. (a) | 5,521 | 419,817 | ||||||
KLX, Inc. (a) | 9,898 | 348,410 | ||||||
Orbital ATK, Inc. | 10,997 | 838,301 | ||||||
Teledyne Technologies, Inc. (a) | 6,509 | 702,516 | ||||||
Triumph Group, Inc. | 9,302 | 259,340 | ||||||
|
| |||||||
4,314,446 | ||||||||
|
| |||||||
Building Materials — 0.8% | ||||||||
Eagle Materials, Inc. | 9,060 | 700,338 | ||||||
Lennox International, Inc. | 7,348 | 1,153,856 | ||||||
Louisiana-Pacific Corp. (a) | 26,697 | 502,705 | ||||||
|
| |||||||
2,356,899 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.9% | ||||||||
Belden, Inc. | 7,910 | 545,711 | ||||||
Energizer Holdings, Inc. | 11,626 | 580,835 | ||||||
EnerSys | 8,156 | 564,314 | ||||||
Hubbell, Inc. | 9,664 | 1,041,199 | ||||||
|
| |||||||
2,732,059 | ||||||||
|
| |||||||
Electronics — 2.7% | ||||||||
Arrow Electronics, Inc. (a) | 17,140 | 1,096,446 | ||||||
Avnet, Inc. | 23,920 | 982,155 | ||||||
Gentex Corp. | 53,860 | 945,782 | ||||||
Jabil Circuit, Inc. | 35,886 | 783,032 | ||||||
Keysight Technologies, Inc. (a) | 31,914 | 1,011,355 | ||||||
Knowles Corp. (a) | 16,656 | 234,017 | ||||||
National Instruments Corp. | 19,805 | 562,462 | ||||||
Trimble Navigation Ltd. (a) | 46,795 | 1,336,465 | ||||||
Vishay Intertechnology, Inc. | 25,311 | 356,632 | ||||||
Woodward, Inc. | 10,392 | 649,292 | ||||||
|
| |||||||
7,957,638 | ||||||||
|
| |||||||
Engineering & Construction — 0.9% | ||||||||
AECOM (a) | 28,864 | 858,127 | ||||||
Dycom Industries, Inc. (a) | 5,902 | 482,666 | ||||||
EMCOR Group, Inc. | 11,418 | 680,741 | ||||||
Granite Construction, Inc. | 7,437 | 369,916 |
The accompanying notes are an integral part of the financial statements.
146
MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
KBR, Inc. | 26,757 | $ | 404,833 | |||||
|
| |||||||
2,796,283 | ||||||||
|
| |||||||
Environmental Controls — 0.3% | ||||||||
Clean Harbors, Inc. (a) | 9,826 | 471,452 | ||||||
MSA Safety, Inc. | 5,849 | 339,476 | ||||||
|
| |||||||
810,928 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.6% | ||||||||
Kennametal, Inc. | 14,968 | 434,371 | ||||||
Lincoln Electric Holdings, Inc. | 11,875 | 743,613 | ||||||
Regal Beloit Corp. | 8,405 | 500,013 | ||||||
|
| |||||||
1,677,997 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.3% | ||||||||
Joy Global, Inc. | 18,435 | 511,387 | ||||||
Terex Corp. | 20,395 | 518,237 | ||||||
|
| |||||||
1,029,624 | ||||||||
|
| |||||||
Machinery – Diversified — 2.3% | ||||||||
AGCO Corp. | 12,796 | 631,099 | ||||||
Cognex Corp. | 15,984 | 844,914 | ||||||
Graco, Inc. | 10,457 | 773,818 | ||||||
IDEX Corp. | 14,298 | 1,337,864 | ||||||
Nordson Corp. | 9,989 | 995,204 | ||||||
Wabtec Corp. | 16,925 | 1,381,926 | ||||||
Zebra Technologies Corp. Class A (a) | 9,910 | 689,835 | ||||||
|
| |||||||
6,654,660 | ||||||||
|
| |||||||
Manufacturing — 1.9% | ||||||||
AptarGroup, Inc. | 11,819 | 914,909 | ||||||
Carlisle Cos., Inc. | 12,136 | 1,244,790 | ||||||
CLARCOR, Inc. | 9,157 | 595,205 | ||||||
Crane Co. | 9,322 | 587,379 | ||||||
Donaldson Co., Inc. | 25,001 | 933,287 | ||||||
ITT, Inc. | 16,827 | 603,080 | ||||||
Trinity Industries, Inc. | 28,619 | 692,007 | ||||||
|
| |||||||
5,570,657 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 0.6% | ||||||||
Commercial Metals Co. | 21,527 | 348,522 | ||||||
The Timken Co. | 13,232 | 464,973 | ||||||
Valmont Industries, Inc. | 4,251 | 572,057 | ||||||
Worthington Industries, Inc. | 8,278 | 397,592 | ||||||
|
| |||||||
1,783,144 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.5% | ||||||||
A.O. Smith Corp. | 13,922 | 1,375,354 | ||||||
|
| |||||||
Packaging & Containers — 1.3% | ||||||||
Bemis Co., Inc. | 17,787 | 907,315 | ||||||
Greif, Inc. Class A | 4,842 | 240,115 | ||||||
Packaging Corporation of America | 17,697 | 1,438,058 | ||||||
Silgan Holdings, Inc. | 7,723 | 390,706 | ||||||
Sonoco Products Co. | 18,825 | 994,525 | ||||||
|
| |||||||
3,970,719 | ||||||||
|
|
Number of Shares | Value | |||||||
Shipbuilding — 0.5% | ||||||||
Huntington Ingalls Industries, Inc. | 8,787 | $ | 1,348,102 | |||||
|
| |||||||
Transportation — 1.0% | ||||||||
Genesee & Wyoming, Inc. | 10,751 | 741,281 | ||||||
Kirby Corp. (a) | 10,114 | 628,686 | ||||||
Landstar System, Inc. | 7,908 | 538,377 | ||||||
Old Dominion Freight Line, Inc. (a) | 13,070 | 896,733 | ||||||
Werner Enterprises, Inc. | 8,390 | 195,235 | ||||||
|
| |||||||
3,000,312 | ||||||||
|
| |||||||
Trucking & Leasing — 0.1% | ||||||||
GATX Corp. | 7,587 | 338,001 | ||||||
|
| |||||||
47,716,823 | ||||||||
|
| |||||||
Technology — 12.0% | ||||||||
Computers — 4.9% | ||||||||
3D Systems Corp. (a) | 20,019 | 359,341 | ||||||
Brocade Communications Systems, Inc. | 75,284 | 694,871 | ||||||
Cadence Design Systems, Inc. (a) | 54,902 | 1,401,648 | ||||||
Computer Sciences Corp. | 26,372 | 1,376,882 | ||||||
Diebold, Inc. | 14,107 | 349,713 | ||||||
DST Systems, Inc. | 6,126 | 722,378 | ||||||
Fortinet, Inc. (a) | 27,566 | 1,018,012 | ||||||
j2 Global, Inc. | 9,017 | 600,622 | ||||||
Jack Henry & Associates, Inc. | 14,749 | 1,261,777 | ||||||
Lexmark International, Inc. Class A | 11,764 | 470,089 | ||||||
Manhattan Associates, Inc. (a) | 13,448 | 774,874 | ||||||
MAXIMUS, Inc. | 12,187 | 689,297 | ||||||
Mentor Graphics Corp. | 20,312 | 537,049 | ||||||
NCR Corp. (a) | 23,250 | 748,418 | ||||||
NetScout Systems, Inc. (a) | 17,276 | 505,323 | ||||||
Science Applications International Corp. | 8,418 | 583,957 | ||||||
Synaptics, Inc. (a) | 6,538 | 382,996 | ||||||
Synopsys, Inc. (a) | 28,422 | 1,686,846 | ||||||
VeriFone Systems, Inc. (a) | 20,841 | 328,037 | ||||||
|
| |||||||
14,492,130 | ||||||||
|
| |||||||
Semiconductors — 2.5% | ||||||||
Advanced Micro Devices, Inc. (a) | 137,870 | 952,682 | ||||||
Cirrus Logic, Inc. (a) | 11,744 | 624,193 | ||||||
Cree, Inc. (a) | 18,940 | 487,137 | ||||||
Cypress Semiconductor Corp. | 60,318 | 733,467 | ||||||
Integrated Device Technology, Inc. (a) | 25,226 | 582,720 | ||||||
Intersil Corp. Class A | 25,447 | 558,053 | ||||||
IPG Photonics Corp. (a) | 6,988 | 575,462 | ||||||
Microsemi Corp. (a) | 21,257 | 892,369 | ||||||
Monolithic Power Systems, Inc. | 6,996 | 563,178 | ||||||
Silicon Laboratories, Inc. (a) | 7,812 | 459,346 | ||||||
Teradyne, Inc. | 37,998 | 819,997 | ||||||
|
| |||||||
7,248,604 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
147
MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Software — 4.6% | ||||||||
ACI Worldwide, Inc. (a) | 22,005 | $ | 426,457 | |||||
Acxiom Corp. (a) | 14,538 | 387,438 | ||||||
Allscripts Healthcare Solutions, Inc. (a) | 35,036 | 461,424 | ||||||
ANSYS, Inc. (a) | 16,380 | 1,516,952 | ||||||
Broadridge Financial Solutions, Inc. | 22,213 | 1,505,819 | ||||||
CDK Global, Inc. | 28,197 | 1,617,380 | ||||||
CommVault Systems, Inc. (a) | 7,759 | 412,236 | ||||||
Fair Isaac Corp. | 5,795 | 721,999 | ||||||
Leidos Holdings, Inc. | 26,696 | 1,155,403 | ||||||
MSCI, Inc. | 17,771 | 1,491,698 | ||||||
PTC, Inc. (a) | 21,589 | 956,608 | ||||||
SYNNEX Corp. | 5,451 | 622,013 | ||||||
Tyler Technologies, Inc. (a) | 6,210 | 1,063,338 | ||||||
The Ultimate Software Group, Inc. (a) | 5,435 | 1,110,860 | ||||||
|
| |||||||
13,449,625 | ||||||||
|
| |||||||
35,190,359 | ||||||||
|
| |||||||
Utilities — 5.4% | ||||||||
Electric — 2.5% | ||||||||
Black Hills Corp. | 9,827 | 601,609 | ||||||
Great Plains Energy, Inc. | 38,942 | 1,062,727 | ||||||
Hawaiian Electric Industries, Inc. | 20,319 | 606,522 | ||||||
IDACORP, Inc. | 9,466 | 740,998 | ||||||
MDU Resources Group, Inc. | 36,678 | 933,088 | ||||||
NorthWestern Corp. | 9,052 | 520,762 | ||||||
OGE Energy Corp. | 37,504 | 1,185,877 | ||||||
Talen Energy Corp. (a) | 16,172 | 223,982 | ||||||
Westar Energy, Inc. | 26,618 | 1,510,572 | ||||||
|
| |||||||
7,386,137 | ||||||||
|
| |||||||
Gas — 2.6% | ||||||||
Atmos Energy Corp. | 19,503 | 1,452,388 | ||||||
Energen Corp. | 18,230 | 1,052,236 | ||||||
New Jersey Resources Corp. | 16,179 | 531,642 | ||||||
ONE Gas, Inc. | 9,811 | 606,712 | ||||||
PNM Resources, Inc. | 14,959 | 489,459 | ||||||
Southwest Gas Corp. | 8,917 | 622,942 | ||||||
UGI Corp. | 32,536 | 1,471,929 | ||||||
Vectren Corp. | 15,557 | 780,961 | ||||||
WGL Holdings, Inc. | 9,589 | 601,230 | ||||||
|
| |||||||
7,609,499 | ||||||||
|
|
Number of Shares | Value | |||||||
Water — 0.3% | ||||||||
Aqua America, Inc. | 33,303 | $ | 1,015,075 | |||||
|
| |||||||
16,010,711 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $270,758,723) | 284,829,770 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $270,758,723) | 284,829,770 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $270,758,723) | 284,829,770 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 3.3% | ||||||||
Repurchase Agreement — 3.1% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (b) | $ | 9,235,740 | 9,235,740 | |||||
|
| |||||||
U.S. Treasury Bill — 0.2% | ||||||||
U.S. Treasury Bill (c) | 685,000 | 683,959 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $9,919,438) | 9,919,699 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% (Cost $280,678,161) (d) | 294,749,469 | |||||||
Other Assets/(Liabilities) — (0.0)% | (27,104 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 294,722,365 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Maturity value of $9,235,748. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $9,422,386. |
(c) | A portion of this security is held as collateral for open futures contracts. (Note 2). |
(d) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
148
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 96.4% | ||||||||
COMMON STOCK — 96.4% | ||||||||
Basic Materials — 3.7% | ||||||||
Chemicals — 2.2% | ||||||||
A. Schulman, Inc. | 4,291 | $ | 124,954 | |||||
Aceto Corp. | 4,357 | 82,739 | ||||||
AgroFresh Solutions, Inc. (a) | 3,300 | 17,457 | ||||||
American Vanguard Corp. | 4,169 | 66,954 | ||||||
Balchem Corp. | 4,715 | 365,554 | ||||||
The Chemours Co. | 27,475 | 439,600 | ||||||
Chemtura Corp. (a) | 9,551 | 313,368 | ||||||
Codexis, Inc. (a) | 5,030 | 22,333 | ||||||
CSW Industrials, Inc. (a) | 2,160 | 69,962 | ||||||
Ferro Corp. (a) | 12,474 | 172,266 | ||||||
GCP Applied Technologies, Inc. (a) | 10,631 | 301,070 | ||||||
H.B. Fuller Co. | 7,501 | 348,571 | ||||||
Hawkins, Inc. | 1,440 | 62,395 | ||||||
Ingevity Corp. (a) | 6,386 | 294,395 | ||||||
Innophos Holdings, Inc. | 2,878 | 112,328 | ||||||
Innospec, Inc. | 3,554 | 216,119 | ||||||
KMG Chemicals, Inc. | 1,353 | 38,330 | ||||||
Kraton Corp. (a) | 4,438 | 155,508 | ||||||
Kronos Worldwide, Inc. | 3,359 | 27,846 | ||||||
Landec Corp. (a) | 4,069 | 54,565 | ||||||
Minerals Technologies, Inc. | 5,195 | 367,235 | ||||||
Oil-Dri Corp. of America | 753 | 28,343 | ||||||
Olin Corp. | 24,833 | 509,573 | ||||||
OMNOVA Solutions, Inc. (a) | 6,354 | 53,628 | ||||||
PolyOne Corp. | 12,580 | 425,330 | ||||||
Quaker Chemical Corp. | 1,933 | 204,763 | ||||||
Rayonier Advanced Materials, Inc. | 6,455 | 86,303 | ||||||
Sensient Technologies Corp. | 6,667 | 505,359 | ||||||
Stepan Co. | 2,939 | 213,548 | ||||||
Tronox Ltd. Class A | 9,671 | 90,617 | ||||||
Univar, Inc. (a) | 6,448 | 140,889 | ||||||
Valhi, Inc. | 4,752 | 10,930 | ||||||
|
| |||||||
5,922,832 | ||||||||
|
| |||||||
Forest Products & Paper — 0.4% | ||||||||
Clearwater Paper Corp. (a) | 2,542 | 164,391 | ||||||
Deltic Timber Corp. | 1,585 | 107,352 | ||||||
KapStone Paper and Packaging Corp. | 12,946 | 244,938 | ||||||
Neenah Paper, Inc. | 2,482 | 196,103 | ||||||
Orchids Paper Products Co. | 1,380 | 37,577 | ||||||
P.H. Glatfelter Co. | 6,517 | 141,289 | ||||||
Schweitzer-Mauduit International, Inc. | 4,539 | 175,024 | ||||||
Veritiv Corp. (a) | 1,212 | 60,806 | ||||||
|
| |||||||
1,127,480 | ||||||||
|
| |||||||
Iron & Steel — 0.4% | ||||||||
AK Steel Holding Corp. (a) | 35,571 | 171,808 | ||||||
ALJ Regional Holdings, Inc. (a) | 2,469 | 11,604 |
Number of Shares | Value | |||||||
Allegheny Technologies, Inc. | 16,273 | $ | 294,053 | |||||
Carpenter Technology Corp. | 6,927 | 285,808 | ||||||
Cliffs Natural Resources, Inc. (a) | 33,052 | 193,354 | ||||||
Olympic Steel, Inc. | 1,355 | 29,946 | ||||||
Ryerson Holding Corp. (a) | 1,614 | 18,222 | ||||||
Schnitzer Steel Industries, Inc. Class A | 3,897 | 81,448 | ||||||
|
| |||||||
1,086,243 | ||||||||
|
| |||||||
Mining — 0.7% | ||||||||
Century Aluminum Co. (a) | 7,489 | 52,049 | ||||||
Coeur d’Alene Mines Corp. (a) | 24,278 | 287,209 | ||||||
Ferroglobe PLC | 9,806 | 88,548 | ||||||
Gold Resource Corp. | 7,507 | 55,702 | ||||||
Hecla Mining Co. | 57,230 | 326,211 | ||||||
Kaiser Aluminum Corp. | 2,652 | 229,371 | ||||||
Materion Corp. | 2,950 | 90,594 | ||||||
Ring Energy, Inc. (a) | 5,360 | 58,692 | ||||||
Stillwater Mining Co. (a) | 18,330 | 244,889 | ||||||
United States Lime & Minerals, Inc. | 306 | 20,196 | ||||||
US Silica Holdings, Inc. | 9,595 | 446,743 | ||||||
|
| |||||||
1,900,204 | ||||||||
|
| |||||||
10,036,759 | ||||||||
|
| |||||||
Communications — 6.6% | ||||||||
Advertising — 0.0% | ||||||||
Marchex, Inc. Class B (a) | 4,800 | 13,296 | ||||||
MDC Partners, Inc. Class A | 7,684 | 82,372 | ||||||
|
| |||||||
95,668 | ||||||||
|
| |||||||
Internet — 2.3% | ||||||||
1-800-Flowers.com, Inc. Class A (a) | 3,951 | 36,231 | ||||||
Angie’s List, Inc. (a) | 5,969 | 59,153 | ||||||
Autobytel, Inc. (a) | 1,313 | 23,371 | ||||||
Bankrate, Inc. (a) | 7,127 | 60,437 | ||||||
Barracuda Networks, Inc. (a) | 3,299 | 84,059 | ||||||
Bazaarvoice, Inc. (a) | 12,311 | 72,758 | ||||||
Blucora, Inc. (a) | 5,797 | 64,926 | ||||||
Blue Nile, Inc. | 1,627 | 56,001 | ||||||
Boingo Wireless, Inc. (a) | 5,451 | 56,036 | ||||||
Box, Inc. Class A (a) | 7,318 | 115,332 | ||||||
Brightcove, Inc. (a) | 4,495 | 58,660 | ||||||
ChannelAdvisor Corp. (a) | 3,487 | 45,087 | ||||||
Chegg, Inc. (a) | 12,078 | 85,633 | ||||||
Cogent Communications Holdings, Inc. | 6,229 | 229,289 | ||||||
Comscore, Inc. (a) | 7,188 | 220,384 | ||||||
Corindus Vascular Robotics, Inc. (a) | 6,205 | 6,888 | ||||||
DHI Group, Inc. (a) | 7,533 | 59,435 | ||||||
Endurance International Group Holdings, Inc. (a) | 8,913 | 77,989 | ||||||
ePlus, Inc. (a) | 949 | 89,595 | ||||||
Etsy, Inc. (a) | 15,739 | 224,753 |
The accompanying notes are an integral part of the financial statements.
149
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
FTD Cos., Inc. (a) | 2,617 | $ | 53,832 | |||||
Global Eagle Entertainment, Inc. (a) | 6,898 | 57,322 | ||||||
Global Sources Ltd. (a) | 951 | 8,064 | ||||||
GrubHub, Inc. (a) | 12,110 | 520,609 | ||||||
HealthStream, Inc. (a) | 3,860 | 106,536 | ||||||
IntraLinks Holdings, Inc. (a) | 6,276 | 63,137 | ||||||
Limelight Networks, Inc. (a) | 10,297 | 19,255 | ||||||
Lionbridge Technologies, Inc. (a) | 8,558 | 42,790 | ||||||
Liquidity Services, Inc. (a) | 3,750 | 42,150 | ||||||
MeetMe, Inc. (a) | 6,205 | 38,471 | ||||||
ModusLink Global Solutions, Inc. (a) | 573 | 940 | ||||||
New Media Investment Group, Inc. | 5,832 | 90,396 | ||||||
NIC, Inc. | 9,497 | 223,179 | ||||||
Nutrisystem, Inc. | 4,367 | 129,656 | ||||||
Overstock.com, Inc. (a) | 1,978 | 30,303 | ||||||
Perficient, Inc. (a) | 5,290 | 106,593 | ||||||
Q2 Holdings, Inc. (a) | 3,834 | 109,882 | ||||||
QuinStreet, Inc. (a) | 5,492 | 16,586 | ||||||
Quotient Technology, Inc. (a) | 9,615 | 127,976 | ||||||
Rapid7, Inc. (a) | 2,987 | 52,721 | ||||||
RealNetworks, Inc. (a) | 3,406 | 15,191 | ||||||
Reis, Inc. | 1,273 | 26,046 | ||||||
RetailMeNot, Inc. (a) | 5,784 | 57,204 | ||||||
Rightside Group Ltd. (a) | 1,591 | 14,478 | ||||||
RingCentral, Inc. Class A (a) | 8,787 | 207,900 | ||||||
The Rubicon Project, Inc. (a) | 5,586 | 46,252 | ||||||
Safeguard Scientifics, Inc. (a) | 2,994 | 38,802 | ||||||
Shutterfly, Inc. (a) | 5,154 | 230,075 | ||||||
Shutterstock, Inc. (a) | 2,835 | 180,589 | ||||||
SPS Commerce, Inc. (a) | 2,486 | 182,497 | ||||||
Stamps.com, Inc. (a) | 2,426 | 229,281 | ||||||
TechTarget, Inc. (a) | 3,022 | 24,357 | ||||||
TrueCar, Inc. (a) | 8,153 | 76,964 | ||||||
TubeMogul, Inc. (a) | 3,307 | 30,987 | ||||||
VASCO Data Security International, Inc. (a) | 4,524 | 79,668 | ||||||
VirnetX Holding Corp. (a) | 7,479 | 22,886 | ||||||
Wayfair, Inc. Class A (a) | 4,728 | 186,141 | ||||||
Web.com Group, Inc. (a) | 6,415 | 110,787 | ||||||
WebMD Health Corp. (a) | 5,601 | 278,370 | ||||||
XO Group, Inc. (a) | 3,799 | 73,435 | ||||||
Zendesk, Inc. (a) | 12,170 | 373,741 | ||||||
Zix Corp. (a) | 8,027 | 32,911 | ||||||
|
| |||||||
6,084,977 | ||||||||
|
| |||||||
Media — 1.4% | ||||||||
Acacia Research | 7,281 | 47,472 | ||||||
Central European Media Enterprises Ltd. Class A (a) | 11,481 | 26,521 | ||||||
Daily Journal Corp. (a) | 166 | 36,354 | ||||||
The E.W. Scripps Co. Class A (a) | 8,934 | 142,051 | ||||||
Entercom Communications Corp. Class A | 3,916 | 50,673 |
Number of Shares | Value | |||||||
Entravision Communications Corp. Class A | 9,771 | $ | 74,553 | |||||
Gannett Co., Inc. | 17,637 | 205,295 | ||||||
Gray Television, Inc. (a) | 9,622 | 99,684 | ||||||
Hemisphere Media Group, Inc. (a) | 1,236 | 15,759 | ||||||
Houghton Mifflin Harcourt Co. (a) | 18,604 | 249,480 | ||||||
Liberty Braves Group Class C (a) | 4,719 | 82,016 | ||||||
Liberty Braves Group Class A (a) | 1,376 | 24,011 | ||||||
Liberty Media Group Class C (a) | 6,921 | 194,757 | ||||||
Liberty Media Group Class A (a) | 3,432 | 98,327 | ||||||
Media General, Inc. (a) | 16,349 | 301,312 | ||||||
Meredith Corp. | 5,627 | 292,548 | ||||||
MSG Networks, Inc. Class A (a) | 8,930 | 166,187 | ||||||
The New York Times Co. Class A | 18,659 | 222,975 | ||||||
Nexstar Broadcasting Group, Inc. Class A | 4,477 | 258,368 | ||||||
Radio One, Inc. Class D (a) | 3,098 | 9,387 | ||||||
Saga Communications, Inc. Class A | 564 | 25,572 | ||||||
Salem Media Group, Inc. | 1,263 | 7,426 | ||||||
Scholastic Corp. | 4,054 | 159,565 | ||||||
Sinclair Broadcast Group, Inc. Class A | 9,920 | 286,489 | ||||||
Time, Inc. | 15,410 | 223,137 | ||||||
TiVo Corp. (a) | 17,523 | 341,348 | ||||||
Townsquare Media, Inc. Class A (a) | 1,098 | 10,255 | ||||||
tronc, Inc. | 3,998 | 67,486 | ||||||
Value Line, Inc. | 220 | 3,573 | ||||||
World Wrestling Entertainment, Inc. Class A | 5,426 | 115,574 | ||||||
|
| |||||||
3,838,155 | ||||||||
|
| |||||||
Telecommunications — 2.9% | ||||||||
8x8, Inc. (a) | 13,227 | 204,093 | ||||||
Acacia Communications, Inc. (a) | 786 | 81,178 | ||||||
ADTRAN, Inc. | 7,419 | 142,000 | ||||||
Aerohive Networks, Inc. (a) | 3,760 | 22,898 | ||||||
Anixter International, Inc. (a) | 4,349 | 280,510 | ||||||
ATN International, Inc. | 1,581 | 102,828 | ||||||
Black Box Corp. | 2,183 | 30,344 | ||||||
CalAmp Corp. (a) | 5,309 | 74,061 | ||||||
Calix, Inc. (a) | 6,342 | 46,614 | ||||||
Ciena Corp. (a) | 20,590 | 448,862 | ||||||
Cincinnati Bell, Inc. (a) | 31,545 | 128,704 | ||||||
Clearfield, Inc. (a) | 1,728 | 32,486 | ||||||
Comtech Telecommunications Corp. | 3,384 | 43,349 | ||||||
Consolidated Communications Holdings, Inc. | 7,466 | 188,442 | ||||||
Contra Leap Wireless (b) | 3,887 | - | ||||||
DigitalGlobe, Inc. (a) | 9,427 | 259,242 | ||||||
EarthLink Holdings Corp. | 15,779 | 97,830 | ||||||
Extreme Networks, Inc. (a) | 15,491 | 69,555 | ||||||
Fairpoint Communications, Inc. (a) | 3,135 | 47,119 | ||||||
Finisar Corp. (a) | 16,121 | 480,406 | ||||||
General Communication, Inc. Class A (a) | 4,350 | 59,813 |
The accompanying notes are an integral part of the financial statements.
150
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Gigamon, Inc. (a) | 4,873 | $ | 267,040 | |||||
Globalstar, Inc. (a) | 55,944 | 67,692 | ||||||
Gogo, Inc. (a) | 8,451 | 93,299 | ||||||
GTT Communications, Inc. (a) | 3,959 | 93,155 | ||||||
Harmonic, Inc. (a) | 11,471 | 68,023 | ||||||
Hawaiian Telcom Holdco, Inc. (a) | 903 | 20,218 | ||||||
HC2 Holdings, Inc. (a) | 5,027 | 27,397 | ||||||
IDT Corp. Class B | 2,609 | 44,979 | ||||||
Infinera Corp. (a) | 21,072 | 190,280 | ||||||
Inteliquent, Inc. | 4,925 | 79,490 | ||||||
Intelsat SA (a) | 3,551 | 9,623 | ||||||
InterDigital, Inc. | 5,192 | 411,206 | ||||||
Iridium Communications, Inc. (a) | 12,376 | 100,369 | ||||||
Ixia (a) | 9,620 | 120,250 | ||||||
KVH Industries, Inc. (a) | 2,268 | 19,981 | ||||||
Loral Space & Communications, Inc. (a) | 1,919 | 75,052 | ||||||
Lumos Networks Corp. (a) | 2,830 | 39,620 | ||||||
Mastec, Inc. (a) | 9,929 | 295,288 | ||||||
NeoPhotonics Corp. (a) | 4,627 | 75,605 | ||||||
NETGEAR, Inc. (a) | 4,855 | 293,679 | ||||||
NeuStar, Inc. Class A (a) | 8,113 | 215,725 | ||||||
NII Holdings, Inc. (a) | 8,021 | 26,710 | ||||||
Numerex Corp. Class A (a) | 1,963 | 15,272 | ||||||
Oclaro, Inc. (a) | 16,763 | 143,324 | ||||||
ORBCOMM, Inc. (a) | 9,695 | 99,374 | ||||||
Plantronics, Inc. | 4,974 | 258,449 | ||||||
Preformed Line Products Co. | 344 | 14,506 | ||||||
RigNet, Inc. (a) | 1,907 | 28,834 | ||||||
Shenandoah Telecommunications Co. | 6,933 | 188,647 | ||||||
ShoreTel, Inc. (a) | 10,096 | 80,768 | ||||||
Silicom Ltd. | 842 | 34,859 | ||||||
Sonus Networks, Inc. (a) | 7,095 | 55,199 | ||||||
Spok Holdings, Inc. | 3,103 | 55,295 | ||||||
Straight Path Communications, Inc. Class B (a) | 1,447 | 37,058 | ||||||
TeleNav, Inc. (a) | 4,900 | 28,077 | ||||||
Ubiquiti Networks, Inc. (a) | 3,891 | 208,169 | ||||||
ViaSat, Inc. (a) | 6,664 | 497,468 | ||||||
Viavi Solutions, Inc. (a) | 35,166 | 259,877 | ||||||
Vonage Holdings Corp. (a) | 28,648 | 189,363 | ||||||
West Corp. | 6,477 | 143,012 | ||||||
Windstream Holdings, Inc. | 14,394 | 144,660 | ||||||
|
| |||||||
7,957,226 | ||||||||
|
| |||||||
17,976,026 | ||||||||
|
| |||||||
Consumer, Cyclical — 11.2% | ||||||||
Airlines — 0.4% | ||||||||
Allegiant Travel Co. | 1,982 | 261,763 | ||||||
Hawaiian Holdings, Inc. (a) | 7,909 | 384,377 | ||||||
SkyWest, Inc. | 7,504 | 198,181 | ||||||
Virgin America, Inc. (a) | 2,899 | 155,125 | ||||||
|
| |||||||
999,446 | ||||||||
|
|
Number of Shares | Value | |||||||
Apparel — 0.7% | ||||||||
Ascena Retail Group, Inc. (a) | 25,946 | $ | 145,038 | |||||
Crocs, Inc. (a) | 11,051 | 91,723 | ||||||
Deckers Outdoor Corp. (a) | 4,865 | 289,711 | ||||||
Delta Apparel, Inc. (a) | 1,041 | 17,135 | ||||||
G-III Apparel Group Ltd. (a) | 6,448 | 187,959 | ||||||
Iconix Brand Group, Inc. (a) | 6,430 | 52,212 | ||||||
Oxford Industries, Inc. | 2,278 | 154,220 | ||||||
Perry Ellis International, Inc. (a) | 1,882 | 36,285 | ||||||
Sequential Brands Group, Inc. (a) | 5,884 | 47,072 | ||||||
Steven Madden Ltd. (a) | 9,232 | 319,058 | ||||||
Superior Uniform Group, Inc. | 1,201 | 23,768 | ||||||
Unifi, Inc. (a) | 2,346 | 69,043 | ||||||
Vince Holding Corp. (a) | 3,238 | 18,262 | ||||||
Weyco Group, Inc. | 982 | 26,386 | ||||||
Wolverine World Wide, Inc. | 14,529 | 334,603 | ||||||
|
| |||||||
1,812,475 | ||||||||
|
| |||||||
Auto Manufacturers — 0.1% | ||||||||
Blue Bird Corp. (a) | 648 | 9,467 | ||||||
Navistar International Corp. (a) | 7,506 | 171,812 | ||||||
Wabash National Corp. (a) | 9,692 | 138,014 | ||||||
Workhorse Group, Inc. (a) | 1,635 | 11,838 | ||||||
|
| |||||||
331,131 | ||||||||
|
| |||||||
Automotive & Parts — 1.1% | ||||||||
American Axle & Manufacturing Holdings, Inc. (a) | 11,515 | 198,288 | ||||||
Cooper Tire & Rubber Co. | 8,310 | 315,946 | ||||||
Cooper-Standard Holding, Inc. (a) | 2,225 | 219,830 | ||||||
Dana, Inc. | 22,277 | 347,298 | ||||||
Dorman Products, Inc. (a) | 3,977 | 254,130 | ||||||
Douglas Dynamics, Inc. | 3,274 | 104,572 | ||||||
Federal-Mogul Corp. (a) | 4,609 | 44,293 | ||||||
Gentherm, Inc. (a) | 5,470 | 171,867 | ||||||
Horizon Global Corp. (a) | 2,741 | 54,628 | ||||||
Meritor, Inc. (a) | 12,330 | 137,233 | ||||||
Metaldyne Performance Group, Inc. | 2,264 | 35,884 | ||||||
Miller Industries, Inc. | 1,607 | 36,624 | ||||||
Modine Manufacturing Co. (a) | 7,044 | 83,542 | ||||||
Motorcar Parts of America, Inc. (a) | 2,748 | 79,087 | ||||||
Spartan Motors, Inc. | 4,997 | 47,871 | ||||||
Standard Motor Products, Inc. | 3,220 | 153,787 | ||||||
Strattec Security Corp. | 518 | 18,285 | ||||||
Superior Industries International, Inc. | 3,773 | 110,021 | ||||||
Supreme Industries, Inc. Class A | 1,949 | 37,616 | ||||||
Tenneco, Inc. (a) | 8,438 | 491,682 | ||||||
Titan International, Inc. | 6,639 | 67,187 | ||||||
Tower International, Inc. | 3,126 | 75,337 | ||||||
Unique Fabricating, Inc. | 857 | 10,490 | ||||||
|
| |||||||
3,095,498 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.8% | ||||||||
Beacon Roofing Supply, Inc. (a) | 8,972 | 377,452 |
The accompanying notes are an integral part of the financial statements.
151
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Core-Mark Holding Co., Inc. | 6,851 | $ | 245,266 | |||||
Essendant, Inc. | 5,565 | 114,194 | ||||||
Fossil Group, Inc. (a) | 6,290 | 174,673 | ||||||
MRC Global, Inc. (a) | 14,064 | 231,072 | ||||||
Owens & Minor, Inc. | 9,354 | 324,864 | ||||||
ScanSource, Inc. (a) | 3,768 | 137,532 | ||||||
SiteOne Landscape Supply, Inc. (a) | 1,747 | 62,770 | ||||||
Tech Data Corp. (a) | 5,248 | 444,558 | ||||||
Triton International Ltd. | 6,017 | 79,364 | ||||||
|
| |||||||
2,191,745 | ||||||||
|
| |||||||
Entertainment — 0.7% | ||||||||
AMC Entertainment Holdings, Inc. Class A | 3,243 | 100,825 | ||||||
Ascent Capital Group, Inc. Class A (a) | 1,536 | 35,589 | ||||||
Carmike Cinemas, Inc. (a) | 3,578 | 116,965 | ||||||
Churchill Downs, Inc. | 2,023 | 296,066 | ||||||
Eldorado Resorts, Inc. (a) | 4,300 | 60,458 | ||||||
Empire Resorts, Inc. (a) | 665 | 13,460 | ||||||
Eros International PLC (a) | 4,440 | 68,021 | ||||||
Golden Entertainment, Inc. | 1,547 | 19,291 | ||||||
International Speedway Corp. Class A | 3,941 | 131,708 | ||||||
Isle of Capri Casinos, Inc. (a) | 3,750 | 83,550 | ||||||
Marriott Vacations Worldwide Corp. | 3,358 | 246,209 | ||||||
National CineMedia, Inc. | 9,229 | 135,851 | ||||||
Penn National Gaming, Inc. (a) | 11,178 | 151,685 | ||||||
Pinnacle Entertainment, Inc. (a) | 8,152 | 100,596 | ||||||
Reading International, Inc. Series A (a) | 2,524 | 33,695 | ||||||
Scientific Games Corp. Class A (a) | 7,785 | 87,737 | ||||||
SeaWorld Entertainment, Inc. | 10,015 | 135,002 | ||||||
Speedway Motorsports, Inc. | 1,755 | 31,344 | ||||||
|
| |||||||
1,848,052 | ||||||||
|
| |||||||
Food Services — 0.0% | ||||||||
AdvancePierre Foods Holdings, Inc. | 3,243 | 89,377 | ||||||
|
| |||||||
Home Builders — 0.7% | ||||||||
Beazer Homes USA, Inc. (a) | 4,708 | 54,895 | ||||||
Cavco Industries, Inc. (a) | 1,271 | 125,893 | ||||||
Century Communities, Inc. (a) | 2,308 | 49,645 | ||||||
Green Brick Partners, Inc. (a) | 3,473 | 28,687 | ||||||
Hovnanian Enterprises, Inc. | 18,294 | 30,917 | ||||||
Installed Building Products, Inc. (a) | 3,015 | 108,148 | ||||||
KB Home | 12,509 | 201,645 | ||||||
LGI Homes, Inc. (a) | 2,319 | 85,432 | ||||||
M.D.C. Holdings, Inc. | 5,934 | 153,097 | ||||||
M/I Homes, Inc. (a) | 3,490 | 82,259 | ||||||
Meritage Home Corp. (a) | 5,734 | 198,970 | ||||||
The New Home Co., Inc. (a) | 1,899 | 20,262 | ||||||
Taylor Morrison Home Corp. Class A (a) | 4,558 | 80,221 | ||||||
TRI Pointe Group, Inc. (a) | 22,323 | 294,217 | ||||||
UCP, Inc. Class A (a) | 952 | 8,387 | ||||||
WCI Communities, Inc. (a) | 3,243 | 76,924 |
Number of Shares | Value | |||||||
William Lyon Homes Class A (a) | 3,587 | $ | 66,539 | |||||
Winnebago Industries, Inc. | 4,031 | 95,011 | ||||||
|
| |||||||
1,761,149 | ||||||||
|
| |||||||
Home Furnishing — 0.3% | ||||||||
American Woodmark Corp. (a) | 2,074 | 167,102 | ||||||
Bassett Furniture Industries, Inc. | 1,545 | 35,921 | ||||||
DTS, Inc. | 2,598 | 110,519 | ||||||
Ethan Allen Interiors, Inc. | 3,727 | 116,543 | ||||||
Flexsteel Industries, Inc. | 972 | 50,272 | ||||||
Hooker Furniture Corp. | 1,703 | 41,707 | ||||||
Kimball International, Inc. Class B | 5,532 | 71,584 | ||||||
La-Z-Boy, Inc. | 7,357 | 180,688 | ||||||
Universal Electronics, Inc. (a) | 2,123 | 158,079 | ||||||
|
| |||||||
932,415 | ||||||||
|
| |||||||
Housewares — 0.1% | ||||||||
Libbey, Inc. | 3,351 | 59,815 | ||||||
Lifetime Brands, Inc. | 1,662 | 22,371 | ||||||
National Presto Industries, Inc. | 738 | 64,789 | ||||||
|
| |||||||
146,975 | ||||||||
|
| |||||||
Leisure Time — 0.5% | ||||||||
Arctic Cat, Inc. | 1,972 | 30,546 | ||||||
Callaway Golf Co. | 14,163 | 164,432 | ||||||
ClubCorp Holdings, Inc. | 9,646 | 139,578 | ||||||
Escalade, Inc. | 1,586 | 20,237 | ||||||
Fox Factory Holding Corp. (a) | 3,356 | 77,087 | ||||||
Interval Leisure Group, Inc. | 16,966 | 291,306 | ||||||
Johnson Outdoors, Inc. Class A | 721 | 26,223 | ||||||
Lindblad Expeditions Holdings, Inc. (a) | 2,207 | 19,863 | ||||||
Malibu Boats, Inc. Class A (a) | 2,714 | 40,439 | ||||||
Marine Products Corp. | 1,376 | 12,343 | ||||||
MCBC Holdings, Inc. | 1,037 | 11,822 | ||||||
Nautilus, Inc. (a) | 4,599 | 104,489 | ||||||
Performance Sports Group Ltd. (a) | 5,744 | 23,321 | ||||||
Planet Fitness, Inc. Class A (a) | 2,861 | 57,420 | ||||||
Travelport Worldwide Ltd. | 17,319 | 260,305 | ||||||
|
| |||||||
1,279,411 | ||||||||
|
| |||||||
Lodging — 0.3% | ||||||||
Belmond Ltd. Class A (a) | 12,531 | 159,269 | ||||||
Boyd Gaming Corp. (a) | 12,368 | 244,639 | ||||||
Caesars Entertainment Corp. (a) | 8,456 | 62,997 | ||||||
Century Casinos, Inc. (a) | 3,206 | 22,154 | ||||||
Intrawest Resorts Holdings, Inc. (a) | 2,483 | 40,274 | ||||||
La Quinta Holdings, Inc. (a) | 12,716 | 142,165 | ||||||
The Marcus Corp. | 2,795 | 69,987 | ||||||
Monarch Casino & Resort, Inc. (a) | 1,594 | 40,121 | ||||||
Red Lion Hotels Corp. (a) | 2,045 | 17,055 | ||||||
Red Rock Resorts, Inc. Class A | 4,508 | 106,344 | ||||||
|
| |||||||
905,005 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
152
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Office Equipment/Supplies — 0.0% | ||||||||
Compx International, Inc. | 299 | $ | 3,462 | |||||
|
| |||||||
Office Furnishings — 0.4% | ||||||||
Herman Miller, Inc. | 8,969 | 256,513 | ||||||
HNI Corp. | 6,795 | 270,441 | ||||||
Interface, Inc. | 9,688 | 161,693 | ||||||
Knoll, Inc. | 7,228 | 165,160 | ||||||
Steelcase, Inc. Class A | 12,909 | 179,306 | ||||||
|
| |||||||
1,033,113 | ||||||||
|
| |||||||
Retail — 4.8% | ||||||||
Abercrombie & Fitch Co. Class A | 10,182 | 161,792 | ||||||
America’s Car-Mart, Inc. (a) | 1,159 | 42,176 | ||||||
American Eagle Outfitters, Inc. | 24,980 | 446,143 | ||||||
Asbury Automotive Group, Inc. (a) | 2,996 | 166,787 | ||||||
At Home Group, Inc. (a) | 1,248 | 18,907 | ||||||
Barnes & Noble Education, Inc. (a) | 6,008 | 57,497 | ||||||
Barnes & Noble, Inc. | 9,478 | 107,101 | ||||||
Big 5 Sporting Goods Corp. | 2,636 | 35,902 | ||||||
Big Lots, Inc. | 6,677 | 318,827 | ||||||
Biglari Holdings, Inc. (a) | 155 | 67,583 | ||||||
BJ’s Restaurants, Inc. (a) | 3,501 | 124,461 | ||||||
Bloomin’ Brands, Inc. | 17,007 | 293,201 | ||||||
BMC Stock Holdings, Inc. (a) | 8,267 | 146,574 | ||||||
Bob Evans Farms, Inc. | 2,977 | 114,019 | ||||||
Bojangles’, Inc. (a) | 1,469 | 23,445 | ||||||
Boot Barn Holdings, Inc. (a) | 2,002 | 22,783 | ||||||
The Buckle, Inc. | 4,296 | 103,233 | ||||||
Buffalo Wild Wings, Inc. (a) | 2,838 | 399,420 | ||||||
Build-A-Bear Workshop, Inc. (a) | 2,040 | 21,134 | ||||||
Caleres, Inc. | 6,412 | 162,159 | ||||||
Carrols Restaurant Group, Inc. (a) | 5,076 | 67,054 | ||||||
The Cato Corp. Class A | 3,855 | 126,791 | ||||||
The Cheesecake Factory, Inc. | 6,812 | 341,009 | ||||||
Chico’s FAS, Inc. | 19,592 | 233,145 | ||||||
The Children’s Place, Inc. | 2,813 | 224,674 | ||||||
Chuy’s Holdings, Inc. (a) | 2,458 | 68,676 | ||||||
Citi Trends, Inc. | 2,101 | 41,873 | ||||||
Columbia Sportswear Co. | 4,037 | 229,059 | ||||||
Conn’s, Inc. (a) | 3,044 | 31,414 | ||||||
The Container Store Group, Inc. (a) | 2,116 | 10,622 | ||||||
Cracker Barrel Old Country Store, Inc. | 2,879 | 380,661 | ||||||
Dave & Buster’s Entertainment, Inc. (a) | 5,683 | 222,660 | ||||||
Del Frisco’s Restaurant Group, Inc. (a) | 3,483 | 46,916 | ||||||
Del Taco Restaurants, Inc. (a) | 3,473 | 41,398 | ||||||
Denny’s Corp. (a) | 11,376 | 121,609 | ||||||
Destination XL Group, Inc. (a) | 5,610 | 24,291 | ||||||
DineEquity, Inc. | 2,622 | 207,636 | ||||||
DSW, Inc. Class A | 10,096 | 206,766 | ||||||
Duluth Holdings, Inc. Class B (a) | 1,440 | 38,174 | ||||||
El Pollo Loco Holdings, Inc. (a) | 3,037 | 38,236 | ||||||
Express, Inc. (a) | 11,159 | 131,565 |
Number of Shares | Value | |||||||
EZCORP, Inc. Class A (a) | 7,583 | $ | 83,868 | |||||
Fiesta Restaurant Group, Inc. (a) | 4,006 | 96,144 | ||||||
The Finish Line, Inc. Class A | 6,282 | 144,989 | ||||||
FirstCash, Inc. | 7,145 | 336,387 | ||||||
Five Below, Inc. (a) | 8,035 | 323,730 | ||||||
Flex Pharma, Inc. (a) | 1,570 | 18,495 | ||||||
Fogo De Chao, Inc. (a) | 943 | 9,967 | ||||||
Francesca’s Holdings Corp. (a) | 5,972 | 92,148 | ||||||
Fred’s, Inc. Class A | 5,301 | 48,027 | ||||||
Freshpet, Inc. (a) | 3,358 | 29,047 | ||||||
Gaia, Inc. (a) | 1,026 | 7,387 | ||||||
Genesco, Inc. (a) | 3,086 | 168,064 | ||||||
GMS, Inc. (a) | 1,073 | 23,853 | ||||||
GNC Holdings, Inc. Class A | 10,289 | 210,101 | ||||||
Group 1 Automotive, Inc. | 3,117 | 199,114 | ||||||
Guess?, Inc. | 9,179 | 134,105 | ||||||
The Habit Restaurants, Inc. Class A (a) | 2,026 | 28,364 | ||||||
Haverty Furniture Cos., Inc. | 2,946 | 59,038 | ||||||
Hibbett Sports, Inc. (a) | 3,426 | 136,697 | ||||||
HSN, Inc. | 4,691 | 186,702 | ||||||
Insight Enterprises, Inc. (a) | 5,498 | 178,960 | ||||||
J Alexander’s Holdings, Inc. (a) | 1,935 | 19,602 | ||||||
Jack in the Box, Inc. | 4,894 | 469,530 | ||||||
Jamba, Inc. (a) | 1,804 | 19,700 | ||||||
Kirkland’s, Inc. (a) | 2,215 | 26,979 | ||||||
Kona Grill, Inc. (a) | 1,210 | 15,210 | ||||||
Lands’ End, Inc. (a) | 2,241 | 32,494 | ||||||
Lithia Motors, Inc. Class A | 3,560 | 340,051 | ||||||
Luby’s, Inc. (a) | 2,463 | 10,566 | ||||||
Lumber Liquidators Holdings, Inc. (a) | 3,912 | 76,949 | ||||||
MarineMax, Inc. (a) | 3,651 | 76,488 | ||||||
Movado Group, Inc. | 2,316 | 49,748 | ||||||
Nathan’s Famous, Inc. (a) | 456 | 23,960 | ||||||
Noodles & Co. (a) | 2,103 | 10,010 | ||||||
Office Depot, Inc. | 82,966 | 296,189 | ||||||
Ollie’s Bargain Outlet Holdings, Inc. (a) | 3,032 | 79,469 | ||||||
Papa John’s International, Inc. | 4,074 | 321,235 | ||||||
Party City Holdco, Inc. (a) | 4,038 | 69,131 | ||||||
PC Connection, Inc. | 1,702 | 44,967 | ||||||
Pier 1 Imports, Inc. | 12,153 | 51,529 | ||||||
Popeyes Louisiana Kitchen, Inc. (a) | 3,249 | 172,652 | ||||||
Potbelly Corp. (a) | 3,570 | 44,375 | ||||||
PriceSmart, Inc. | 3,004 | 251,615 | ||||||
Red Robin Gourmet Burgers, Inc. (a) | 2,036 | 91,498 | ||||||
Regis Corp. (a) | 5,580 | 70,029 | ||||||
Restoration Hardware Holdings, Inc. (a) | 5,803 | 200,668 | ||||||
Ruby Tuesday, Inc. (a) | 8,932 | 22,330 | ||||||
Rush Enterprises, Inc. Class A (a) | 4,426 | 108,348 | ||||||
Rush Enterprises, Inc. Class B (a) | 996 | 24,213 | ||||||
Ruth’s Hospitality Group, Inc. | 4,777 | 67,451 | ||||||
Sears Holdings Corp. (a) | 1,691 | 19,379 | ||||||
Sears Hometown and Outlet Stores, Inc. (a) | 2,124 | 10,471 |
The accompanying notes are an integral part of the financial statements.
153
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Select Comfort Corp. (a) | 6,943 | $ | 149,969 | |||||
Shake Shack, Inc. Class A (a) | 2,356 | 81,682 | ||||||
Shoe Carnival, Inc. | 2,142 | 57,106 | ||||||
Sonic Automotive, Inc. Class A | 4,195 | 78,866 | ||||||
Sonic Corp. | 7,059 | 184,805 | ||||||
Sportsman’s Warehouse Holdings, Inc. (a) | 3,878 | 40,797 | ||||||
Stage Stores, Inc. | 3,864 | 21,677 | ||||||
Stein Mart, Inc. | 4,679 | 29,712 | ||||||
Systemax, Inc. | 1,528 | 12,102 | ||||||
Tailored Brands, Inc. | 7,329 | 115,065 | ||||||
Texas Roadhouse, Inc. | 9,934 | 387,724 | ||||||
Tile Shop Holdings, Inc. (a) | 4,887 | 80,880 | ||||||
Tilly’s, Inc. Class A (a) | 1,879 | 17,644 | ||||||
Titan Machinery, Inc. (a) | 2,675 | 27,820 | ||||||
Tuesday Morning Corp. (a) | 6,895 | 41,232 | ||||||
Vera Bradley, Inc. (a) | 3,001 | 45,465 | ||||||
Vitamin Shoppe, Inc. (a) | 3,623 | 97,278 | ||||||
West Marine, Inc. (a) | 2,838 | 23,470 | ||||||
Wingstop, Inc. | 2,361 | 69,177 | ||||||
Winmark Corp. | 336 | 35,455 | ||||||
Zoe’s Kitchen, Inc. (a) | 2,878 | 63,863 | ||||||
Zumiez, Inc. (a) | 2,711 | 48,798 | ||||||
|
| |||||||
13,009,983 | ||||||||
|
| |||||||
Storage & Warehousing — 0.1% | ||||||||
Mobile Mini, Inc. | 6,640 | 200,528 | ||||||
Wesco Aircraft Holdings, Inc. (a) | 8,353 | 112,181 | ||||||
|
| |||||||
312,709 | ||||||||
|
| |||||||
Textiles — 0.2% | ||||||||
Culp, Inc. | 1,613 | 48,019 | ||||||
G&K Services, Inc. Class A | 2,922 | 279,022 | ||||||
UniFirst Corp. | 2,264 | 298,531 | ||||||
|
| |||||||
625,572 | ||||||||
|
| |||||||
Toys, Games & Hobbies — 0.0% | ||||||||
JAKKS Pacific, Inc. (a) | 2,314 | 19,993 | ||||||
|
| |||||||
30,397,511 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 19.5% | ||||||||
Agriculture — 0.3% | ||||||||
Alico, Inc. | 416 | 11,174 | ||||||
Alliance One International, Inc. (a) | 1,254 | 23,976 | ||||||
The Andersons, Inc. | 4,030 | 145,805 | ||||||
Griffin Land & Nurseries, Inc. | 133 | 4,215 | ||||||
Limoneira Co. | 1,752 | 33,113 | ||||||
MGP Ingredients, Inc. | 1,882 | 76,259 | ||||||
Tejon Ranch Co. (a) | 2,130 | 51,802 | ||||||
Turning Point Brands, Inc. (a) | 747 | 8,979 | ||||||
Universal Corp. | 3,310 | 192,708 | ||||||
Vector Group Ltd. | 13,901 | 299,296 | ||||||
|
| |||||||
847,327 | ||||||||
|
|
Number of Shares | Value | |||||||
Beverages — 0.2% | ||||||||
The Boston Beer Co., Inc. Class A (a) | 1,323 | $ | 205,409 | |||||
Coca-Cola Bottling Co. Consolidated | 708 | 104,897 | ||||||
Craft Brew Alliance, Inc. (a) | 1,894 | 35,664 | ||||||
Farmer Bros Co. (a) | 1,217 | 43,264 | ||||||
National Beverage Corp. (a) | 1,758 | 77,440 | ||||||
Primo Water Corp. (a) | 3,180 | 38,574 | ||||||
|
| |||||||
505,248 | ||||||||
|
| |||||||
Biotechnology — 3.7% | ||||||||
Acceleron Pharma, Inc. (a) | 4,110 | 148,741 | ||||||
Acorda Therapeutics, Inc. (a) | 6,456 | 134,801 | ||||||
Aduro Biotech, Inc. (a) | 5,325 | 66,190 | ||||||
Advaxis, Inc. (a) | 4,914 | 52,531 | ||||||
Adverum Biotechnologies, Inc. (a) | 3,035 | 12,474 | ||||||
Agenus, Inc. (a) | 10,960 | 78,693 | ||||||
Alder Biopharmaceuticals, Inc. (a) | 7,025 | 230,209 | ||||||
AMAG Pharmaceuticals, Inc. (a) | 5,230 | 128,187 | ||||||
Anavex Life Sciences Corp. (a) | 4,264 | 15,478 | ||||||
ANI Pharmaceuticals, Inc. (a) | 1,176 | 78,028 | ||||||
Applied Genetic Technologies Corp. (a) | 1,821 | 17,809 | ||||||
Aptevo Therapeutics, Inc. (a) | 3,077 | 7,877 | ||||||
Ardelyx, Inc. (a) | 4,689 | 60,676 | ||||||
Arena Pharmaceuticals, Inc. (a) | 36,820 | 64,435 | ||||||
Argos Therapeutics, Inc. (a) | 973 | 4,836 | ||||||
ARIAD Pharmaceuticals, Inc. (a) | 26,524 | 363,114 | ||||||
Arrowhead Pharmaceuticals, Inc. (a) | 9,072 | 66,679 | ||||||
Asterias Biotherapeutics, Inc. (a) | 3,158 | 13,390 | ||||||
Asterias Biotherapeutics, Inc. (a) | 352 | 179 | ||||||
Atara Biotherapeutics, Inc. (a) | 3,486 | 74,566 | ||||||
Athersys, Inc. (a) | 11,468 | 24,427 | ||||||
Audentes Therapeutics, Inc. (a) | 860 | 15,317 | ||||||
Bellicum Pharmaceuticals, Inc. (a) | 3,144 | 62,566 | ||||||
BioCryst Pharmaceuticals, Inc. (a) | 11,019 | 48,594 | ||||||
Biotime, Inc. (a) | 9,350 | 36,465 | ||||||
Bluebird Bio, Inc. (a) | 5,553 | 376,382 | ||||||
Blueprint Medicines Corp. (a) | 3,002 | 89,159 | ||||||
Cambrex Corp. (a) | 4,779 | 212,474 | ||||||
Celldex Therapeutics, Inc. (a) | 14,189 | 57,324 | ||||||
Cellular Biomedicine Group, Inc. (a) | 1,827 | 26,491 | ||||||
ChromaDex Corp. (a) | 3,878 | 11,556 | ||||||
Clearside Biomedical, Inc. (a) | 1,235 | 21,427 | ||||||
Coherus Biosciences, Inc. (a) | 4,422 | 118,421 | ||||||
Corvus Pharmaceuticals, Inc. (a) | 628 | 10,331 | ||||||
CryoLife, Inc. | 4,709 | 82,737 | ||||||
Curis, Inc. (a) | 17,258 | 45,043 | ||||||
Cytokinetics, Inc. (a) | 5,146 | 47,240 | ||||||
CytomX Therapeutics, Inc. (a) | 3,063 | 48,028 | ||||||
CytRx Corp. (a) | 12,657 | 7,446 | ||||||
Dermira, Inc. (a) | 3,686 | 124,660 | ||||||
Dimension Therapeutics, Inc. (a) | 1,791 | 14,310 | ||||||
Dynavax Technologies Corp. (a) | 5,832 | 61,178 | ||||||
Edge Therapeutics, Inc. (a) | 2,438 | 25,380 |
The accompanying notes are an integral part of the financial statements.
154
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Editas Medicine, Inc. (a) | 964 | $ | 12,995 | |||||
Eiger BioPharmaceuticals, Inc. (a) | 654 | 8,757 | ||||||
Enzo Biochem, Inc. (a) | 5,989 | 30,484 | ||||||
Epizyme, Inc. (a) | 6,086 | 59,886 | ||||||
Exact Sciences Corp. (a) | 15,842 | 294,186 | ||||||
Exelixis, Inc. (a) | 34,083 | 435,922 | ||||||
Five Prime Therapeutics, Inc. (a) | 4,046 | 212,375 | ||||||
Fortress Biotech, Inc. (a) | 4,540 | 13,484 | ||||||
Foundation Medicine, Inc. (a) | 2,021 | 47,190 | ||||||
Galena Biopharma, Inc. (a) | 19,455 | 6,815 | ||||||
Geron Corp. (a) | 22,656 | 51,203 | ||||||
GlycoMimetics, Inc. (a) | 1,248 | 8,923 | ||||||
Halozyme Therapeutics, Inc. (a) | 16,349 | 197,496 | ||||||
Idera Pharmaceuticals, Inc. (a) | 13,346 | 34,166 | ||||||
Immunogen, Inc. (a) | 12,412 | 33,264 | ||||||
Immunomedics, Inc. (a) | 13,100 | 42,575 | ||||||
Innoviva, Inc. | 12,117 | 133,166 | ||||||
Inovio Pharmaceuticals, Inc. (a) | 9,955 | 92,781 | ||||||
Insmed, Inc. (a) | 9,288 | 134,862 | ||||||
Integra LifeSciences Holdings Corp. (a) | 4,529 | 373,869 | ||||||
Intellia Therapeutics, Inc. (a) | 1,050 | 17,871 | ||||||
Ironwood Pharmaceuticals, Inc. (a) | 19,396 | 308,008 | ||||||
Karyopharm Therapeutics, Inc. (a) | 3,542 | 34,464 | ||||||
Lexicon Pharmaceuticals, Inc. (a) | 6,335 | 114,473 | ||||||
Ligand Pharmaceuticals, Inc. (a) | 2,857 | 291,585 | ||||||
Lion Biotechnologies, Inc. (a) | 7,992 | 65,774 | ||||||
Loxo Oncology, Inc. (a) | 2,001 | 52,386 | ||||||
MacroGenics, Inc. (a) | 4,781 | 143,000 | ||||||
Merrimack Pharmaceuticals, Inc. (a) | 18,335 | 116,427 | ||||||
Momenta Pharmaceuticals, Inc. (a) | 9,752 | 114,001 | ||||||
Myriad Genetics, Inc. (a) | 10,124 | 208,352 | ||||||
NeoGenomics, Inc. (a) | 7,883 | 64,798 | ||||||
NewLink Genetics Corp. (a) | 3,254 | 48,875 | ||||||
Novavax, Inc. (a) | 40,507 | 84,255 | ||||||
Omeros Corp. (a) | 5,454 | 60,867 | ||||||
OncoMed Pharmaceuticals, Inc. (a) | 3,179 | 36,336 | ||||||
Organovo Holdings, Inc. (a) | 13,208 | 50,058 | ||||||
OvaScience, Inc. (a) | 4,713 | 33,745 | ||||||
Pacific Biosciences of California, Inc. (a) | 11,268 | 100,961 | ||||||
Paratek Pharmaceuticals, Inc. (a) | 2,746 | 35,725 | ||||||
PDL BioPharma, Inc. | 24,782 | 83,020 | ||||||
Pfenex, Inc. (a) | 2,735 | 24,478 | ||||||
PharmAthene, Inc. (a) | 9,366 | 27,161 | ||||||
Prothena Corp. PLC (a) | 5,208 | 312,324 | ||||||
PTC Therapeutics, Inc. (a) | 4,883 | 68,411 | ||||||
Puma Biotechnology, Inc. (a) | 3,700 | 248,085 | ||||||
REGENXBIO, Inc. (a) | 3,038 | 42,562 | ||||||
Repligen Corp. (a) | 5,064 | 152,882 | ||||||
Retrophin, Inc. (a) | 5,432 | 121,568 | ||||||
RTI Surgical, Inc. (a) | 8,861 | 27,735 | ||||||
Sage Therapeutics, Inc. (a) | 4,515 | 207,916 | ||||||
Sangamo Biosciences, Inc. (a) | 10,285 | 47,620 |
Number of Shares | Value | |||||||
Second Sight Medical Products, Inc. (a) | 2,964 | $ | 10,433 | |||||
Selecta Biosciences, Inc. (a) | 764 | 10,887 | ||||||
Senseonics Holdings, Inc. (a) | 4,008 | 15,631 | ||||||
Spark Therapeutics, Inc. (a) | 2,865 | 172,072 | ||||||
Spectrum Pharmaceuticals, Inc. (a) | 11,646 | 54,387 | ||||||
Stemline Therapeutics, Inc. (a) | 2,651 | 28,710 | ||||||
Syndax Pharmaceuticals, Inc. (a) | 531 | 8,050 | ||||||
Synthetic Biologics, Inc. (a) | 11,406 | 19,618 | ||||||
Theravance Biopharma, Inc. (a) | 5,436 | 197,001 | ||||||
Tobira Therapeutics, Inc. (a) | 1,327 | 52,735 | ||||||
Trovagene, Inc. (a) | 4,212 | 18,912 | ||||||
Ultragenyx Pharmaceutical, Inc. (a) | 5,401 | 383,147 | ||||||
Veracyte, Inc. (a) | 2,049 | 15,593 | ||||||
Versartis, Inc. (a) | 4,100 | 50,225 | ||||||
WaVe Life Sciences Ltd. (a) | 1,109 | 36,009 | ||||||
XBiotech, Inc. (a) | 2,623 | 35,306 | ||||||
ZIOPHARM Oncology, Inc. (a) | 18,233 | 102,652 | ||||||
|
| |||||||
9,967,339 | ||||||||
|
| |||||||
Commercial Services — 4.9% | ||||||||
Aaron’s, Inc. | 9,855 | 250,514 | ||||||
ABM Industries, Inc. | 8,356 | 331,733 | ||||||
The Advisory Board Co. (a) | 6,140 | 274,704 | ||||||
Alarm.com Holdings, Inc. (a) | 1,549 | 44,704 | ||||||
Albany Molecular Research, Inc. (a) | 3,905 | 64,472 | ||||||
American Public Education, Inc. (a) | 2,328 | 46,118 | ||||||
AMN Healthcare Services, Inc. (a) | 7,095 | 226,118 | ||||||
Apollo Education Group, Inc. (a) | 12,815 | 101,879 | ||||||
B. Riley Financial, Inc. | 1,357 | 18,130 | ||||||
Barrett Business Services, Inc. | 1,083 | 53,728 | ||||||
Bridgepoint Education, Inc. (a) | 2,672 | 18,357 | ||||||
Bright Horizons Family Solutions, Inc. (a) | 6,587 | 440,604 | ||||||
Cambium Learning Group, Inc. (a) | 1,547 | 8,400 | ||||||
Capella Education Co. | 1,701 | 98,726 | ||||||
Cardtronics PLC Class A (a) | 6,759 | 301,451 | ||||||
Care.com, Inc. (a) | 2,479 | 24,691 | ||||||
Career Education Corp. (a) | 9,952 | 67,574 | ||||||
Carriage Services, Inc. | 2,206 | 52,172 | ||||||
CBIZ, Inc. (a) | 7,418 | 83,007 | ||||||
CEB, Inc. | 4,821 | 262,600 | ||||||
Chemed Corp. | 2,420 | 341,389 | ||||||
Cimpress NV (a) | 3,762 | 380,639 | ||||||
Collectors Universe, Inc. | 1,156 | 21,421 | ||||||
Convergys Corp. | 13,335 | 405,651 | ||||||
Corvel Corp. (a) | 1,484 | 56,986 | ||||||
Cotiviti Holdings, Inc. (a) | 1,901 | 63,741 | ||||||
CPI Card Group, Inc. | 3,146 | 19,002 | ||||||
CRA International, Inc. (a) | 1,331 | 35,391 | ||||||
Cross Country Healthcare, Inc. (a) | 4,874 | 57,416 | ||||||
Deluxe Corp. | 7,339 | 490,392 | ||||||
DeVry Education Group, Inc. | 9,332 | 215,196 |
The accompanying notes are an integral part of the financial statements.
155
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
EVERTEC, Inc. | 9,527 | $ | 159,863 | |||||
Exlservice Holdings, Inc. (a) | 4,871 | 242,771 | ||||||
Exponent, Inc. | 3,834 | 195,764 | ||||||
Forrester Research, Inc. | 1,489 | 57,922 | ||||||
Franklin Covey Co. (a) | 1,537 | 27,374 | ||||||
FTI Consulting, Inc. (a) | 6,222 | 277,252 | ||||||
Grand Canyon Education, Inc. (a) | 6,748 | 272,552 | ||||||
Great Lakes Dredge & Dock Co. (a) | 8,768 | 30,688 | ||||||
Green Dot Corp. Class A (a) | 6,400 | 147,584 | ||||||
H&E Equipment Services, Inc. | 4,744 | 79,509 | ||||||
The Hackett Group, Inc. | 3,372 | 55,705 | ||||||
Healthcare Services Group, Inc. | 10,551 | 417,609 | ||||||
HealthEquity, Inc. (a) | 6,464 | 244,662 | ||||||
Heidrick & Struggles International, Inc. | 2,730 | 50,641 | ||||||
Hill International, Inc. (a) | 4,850 | 22,358 | ||||||
Hillenbrand, Inc. | 8,852 | 280,077 | ||||||
HMS Holdings Corp. (a) | 12,636 | 280,140 | ||||||
Huron Consulting Group, Inc. (a) | 3,244 | 193,861 | ||||||
ICF International, Inc. (a) | 2,706 | 119,930 | ||||||
INC Research Holdings, Inc. Class A (a) | 6,213 | 276,976 | ||||||
Information Services Group, Inc. (a) | 4,666 | 18,617 | ||||||
Insperity, Inc. | 2,340 | 169,978 | ||||||
James River Group Holdings Ltd. | 2,140 | 77,468 | ||||||
K12, Inc. (a) | 5,152 | 73,931 | ||||||
Kelly Services, Inc. Class A | 4,436 | 85,260 | ||||||
Kforce, Inc. | 3,681 | 75,424 | ||||||
Korn/Ferry International | 8,594 | 180,474 | ||||||
Landauer, Inc. | 1,423 | 63,295 | ||||||
LendingTree, Inc. (a) | 954 | 92,452 | ||||||
Liberty Tax, Inc. | 899 | 11,489 | ||||||
LifeLock, Inc. (a) | 12,678 | 214,512 | ||||||
McGrath RentCorp | 3,496 | 110,858 | ||||||
Medifast, Inc. | 1,570 | 59,330 | ||||||
MoneyGram International, Inc. (a) | 4,481 | 31,815 | ||||||
Monro Muffler Brake, Inc. | 4,709 | 288,050 | ||||||
Monster Worldwide, Inc. (a) | 12,919 | 46,638 | ||||||
Multi-Color Corp. | 2,039 | 134,574 | ||||||
National Research Corp. Class A | 1,248 | 20,330 | ||||||
Navigant Consulting, Inc. (a) | 7,154 | 144,654 | ||||||
Neff Corp. Class A (a) | 1,367 | 12,986 | ||||||
NV5 Global, Inc. (a) | 1,104 | 35,670 | ||||||
On Assignment, Inc. (a) | 7,629 | 276,856 | ||||||
PAREXEL International Corp. (a) | 7,877 | 547,058 | ||||||
Patriot National, Inc. (a) | 1,518 | 13,677 | ||||||
Paylocity Holding Corp. (a) | 3,231 | 143,650 | ||||||
PFSweb, Inc. (a) | 2,213 | 19,762 | ||||||
PHH Corp. (a) | 7,944 | 114,791 | ||||||
The Providence Service Corp. (a) | 1,939 | 94,294 | ||||||
Quad/Graphics, Inc. | 4,346 | 116,125 | ||||||
Rent-A-Center, Inc. | 7,771 | 98,225 | ||||||
Resources Connection, Inc. | 5,350 | 79,929 | ||||||
RPX Corp. (a) | 7,455 | 79,694 | ||||||
ServiceSource International, Inc. (a) | 9,168 | 44,740 |
Number of Shares | Value | |||||||
Sotheby’s | 7,383 | $ | 280,702 | |||||
SP Plus Corp. (a) | 2,594 | 66,329 | ||||||
Strayer Education, Inc. (a) | 1,576 | 73,568 | ||||||
Team Health Holdings, Inc. (a) | 10,172 | 331,200 | ||||||
Team, Inc. (a) | 4,334 | 141,765 | ||||||
TeleTech Holdings, Inc. | 2,458 | 71,257 | ||||||
TriNet Group, Inc. (a) | 6,314 | 136,572 | ||||||
TrueBlue, Inc. (a) | 6,315 | 143,098 | ||||||
Vectrus, Inc. (a) | 1,581 | 24,079 | ||||||
Viad Corp. | 3,012 | 111,052 | ||||||
Weight Watchers International, Inc. (a) | 4,091 | 42,219 | ||||||
|
| |||||||
13,288,591 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.2% | ||||||||
Avon Products, Inc. | 66,028 | 373,718 | ||||||
Inter Parfums, Inc. | 2,613 | 84,322 | ||||||
Revlon, Inc. Class A (a) | 1,764 | 64,880 | ||||||
|
| |||||||
522,920 | ||||||||
|
| |||||||
Foods — 1.5% | ||||||||
Amplify Snack Brands, Inc. (a) | 4,387 | 71,069 | ||||||
B&G Foods, Inc. | 9,853 | 484,571 | ||||||
Cal-Maine Foods, Inc. | 4,642 | 178,903 | ||||||
Calavo Growers, Inc. | 2,320 | 151,798 | ||||||
The Chefs’ Warehouse, Inc. (a) | 2,957 | 32,941 | ||||||
Dean Foods Co. | 13,748 | 225,467 | ||||||
Fresh Del Monte Produce, Inc. | 4,848 | 290,395 | ||||||
Ingles Markets, Inc. Class A | 2,099 | 82,995 | ||||||
Inventure Foods, Inc. (a) | 2,796 | 26,282 | ||||||
J&J Snack Foods Corp. | 2,251 | 268,139 | ||||||
John B Sanfilippo & Son, Inc. | 1,280 | 65,702 | ||||||
Lancaster Colony Corp. | 2,817 | 372,098 | ||||||
Lifeway Foods, Inc. (a) | 468 | 7,928 | ||||||
Performance Food Group Co. (a) | 5,620 | 139,376 | ||||||
Sanderson Farms, Inc. | 3,002 | 289,183 | ||||||
Seaboard Corp. (a) | 40 | 137,600 | ||||||
Seneca Foods Corp. Class A (a) | 989 | 27,929 | ||||||
Smart & Final Stores, Inc. (a) | 3,473 | 44,350 | ||||||
Snyders-Lance, Inc. | 12,076 | 405,512 | ||||||
SpartanNash Co. | 5,508 | 159,291 | ||||||
SUPERVALU, Inc. (a) | 39,873 | 198,966 | ||||||
TerraVia Holdings, Inc. (a) | 11,432 | 31,438 | ||||||
Tootsie Roll Industries, Inc. | 2,583 | 95,132 | ||||||
United Natural Foods, Inc. (a) | 7,439 | 297,858 | ||||||
Village Super Market Class A | 1,087 | 34,795 | ||||||
Weis Markets, Inc. | 1,436 | 76,108 | ||||||
|
| |||||||
4,195,826 | ||||||||
|
| |||||||
Health Care – Products — 3.1% | ||||||||
Abaxis, Inc. | 3,269 | 168,746 | ||||||
Accelerate Diagnostics, Inc. (a) | 3,422 | 93,284 | ||||||
Accuray, Inc. (a) | 12,037 | 76,676 | ||||||
AngioDynamics, Inc. (a) | 4,041 | 70,879 |
The accompanying notes are an integral part of the financial statements.
156
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
AtriCure, Inc. (a) | 4,712 | $ | 74,544 | |||||
Atrion Corp. | 204 | 87,026 | ||||||
Avinger, Inc. (a) | 2,760 | 13,165 | ||||||
AxoGen, Inc. (a) | 3,621 | 32,698 | ||||||
BioTelemetry, Inc. (a) | 4,105 | 76,230 | ||||||
Cantel Medical Corp. | 5,370 | 418,753 | ||||||
Cardiovascular Systems, Inc. (a) | 4,806 | 114,094 | ||||||
Cepheid (a) | 10,897 | 574,163 | ||||||
Cerus Corp. (a) | 15,214 | 94,479 | ||||||
ConforMIS, Inc. (a) | 5,361 | 53,181 | ||||||
CONMED Corp. | 4,133 | 165,568 | ||||||
Cutera, Inc. (a) | 1,843 | 21,969 | ||||||
Cynosure Inc. Class A (a) | 3,556 | 181,143 | ||||||
Endologix, Inc. (a) | 12,154 | 155,571 | ||||||
Entellus Medical, Inc. (a) | 1,124 | 24,930 | ||||||
Exactech, Inc. (a) | 1,567 | 42,356 | ||||||
GenMark Diagnostics, Inc. (a) | 6,019 | 71,024 | ||||||
Genomic Health, Inc. (a) | 2,803 | 81,063 | ||||||
Glaukos Corp. (a) | 2,505 | 94,539 | ||||||
Globus Medical, Inc. Class A (a) | 10,499 | 236,962 | ||||||
Haemonetics Corp. (a) | 7,668 | 277,658 | ||||||
Halyard Health, Inc. (a) | 7,016 | 243,175 | ||||||
ICU Medical, Inc. (a) | 2,203 | 278,415 | ||||||
Inogen, Inc. (a) | 2,446 | 146,515 | ||||||
Insulet Corp. (a) | 8,645 | 353,926 | ||||||
Integer Holdings Corp. (a) | 4,587 | 99,492 | ||||||
Intersect ENT, Inc. (a) | 3,823 | 60,556 | ||||||
Invacare Corp. | 4,823 | 53,873 | ||||||
InVivo Therapeutics Holdings Corp. (a) | 5,007 | 34,048 | ||||||
iRadimed Corp. (a) | 474 | 8,053 | ||||||
IRIDEX Corp. (a) | 1,109 | 16,069 | ||||||
K2M Group Holdings, Inc. (a) | 3,859 | 68,613 | ||||||
LeMaitre Vascular, Inc. | 2,024 | 40,156 | ||||||
Luminex Corp. (a) | 5,968 | 135,593 | ||||||
Masimo Corp. (a) | 6,124 | 364,317 | ||||||
Medgenics, Inc. (a) | 3,563 | 19,846 | ||||||
Meridian Bioscience, Inc. | 6,249 | 120,543 | ||||||
Merit Medical Systems, Inc. (a) | 6,471 | 157,181 | ||||||
MiMedx Group, Inc. (a) | 15,334 | 131,566 | ||||||
NanoString Technologies, Inc. (a) | 2,222 | 44,396 | ||||||
Natus Medical, Inc. (a) | 4,883 | 191,853 | ||||||
Novocure Ltd. (a) | 7,595 | 64,861 | ||||||
NuVasive, Inc. (a) | 7,428 | 495,150 | ||||||
NxStage Medical, Inc. (a) | 9,546 | 238,554 | ||||||
Ocular Therapeutix, Inc. (a) | 2,645 | 18,171 | ||||||
OraSure Technologies, Inc. (a) | 8,104 | 64,589 | ||||||
Orthofix International NV (a) | 2,622 | 112,143 | ||||||
Oxford Immunotec Global PLC (a) | 3,326 | 41,775 | ||||||
Penumbra, Inc. (a) | 3,816 | 289,978 | ||||||
Quidel Corp. (a) | 3,974 | 87,786 | ||||||
Rockwell Medical, Inc. (a) | 7,188 | 48,160 | ||||||
The Spectranetics Corp. (a) | 6,408 | 160,777 | ||||||
Staar Surgical Co. (a) | 6,001 | 56,409 |
Number of Shares | Value | |||||||
SurModics, Inc. (a) | 1,946 | $ | 58,555 | |||||
Tactile Systems Technology, Inc. (a) | 625 | 11,687 | ||||||
Tandem Diabetes Care, Inc. (a) | 2,789 | 21,364 | ||||||
TransEnterix, Inc. (a) | 9,791 | 16,547 | ||||||
Utah Medical Products, Inc. | 517 | 30,917 | ||||||
Vascular Solutions, Inc. (a) | 2,536 | 122,311 | ||||||
ViewRay, Inc. (a) | 1,246 | 5,632 | ||||||
Wright Medical Group NV (a) | 15,465 | 379,356 | ||||||
Zeltiq Aesthetics, Inc. (a) | 5,316 | 208,493 | ||||||
|
| |||||||
8,402,102 | ||||||||
|
| |||||||
Health Care – Services — 1.5% | ||||||||
AAC Holdings, Inc. (a) | 1,487 | 25,859 | ||||||
Addus HomeCare Corp. (a) | 1,106 | 28,933 | ||||||
Adeptus Health, Inc. Class A (a) | 2,072 | 89,200 | ||||||
Air Methods Corp. (a) | 5,332 | 167,905 | ||||||
Almost Family, Inc. (a) | 1,218 | 44,786 | ||||||
Amedisys, Inc. (a) | 4,190 | 198,774 | ||||||
American Renal Associates Holdings, Inc. (a) | 1,308 | 23,897 | ||||||
Capital Senior Living Corp. (a) | 4,207 | 70,678 | ||||||
Catalent, Inc. (a) | 14,933 | 385,869 | ||||||
Civitas Solutions, Inc. (a) | 2,262 | 41,304 | ||||||
Community Health Systems, Inc. (a) | 16,549 | 190,975 | ||||||
The Ensign Group, Inc. | 7,148 | 143,889 | ||||||
Genesis Healthcare, Inc. (a) | 5,750 | 15,352 | ||||||
HealthSouth Corp. | 13,293 | 539,297 | ||||||
Healthways, Inc. (a) | 4,773 | 126,294 | ||||||
Invitae Corp. (a) | 3,419 | 29,950 | ||||||
Kindred Healthcare, Inc. | 12,640 | 129,181 | ||||||
LHC Group, Inc. (a) | 2,245 | 82,796 | ||||||
Magellan Health, Inc. (a) | 3,722 | 199,983 | ||||||
Medpace Holdings, Inc. (a) | 1,220 | 36,429 | ||||||
Molina Healthcare, Inc. (a) | 6,485 | 378,205 | ||||||
Natera, Inc. (a) | 3,912 | 43,462 | ||||||
National Healthcare Corp. | 1,667 | 110,005 | ||||||
Nobilis Health Corp. (a) | 8,316 | 27,859 | ||||||
Quorum Health Corp. (a) | 4,448 | 27,889 | ||||||
RadNet, Inc. (a) | 5,568 | 41,203 | ||||||
Select Medical Holdings Corp. (a) | 15,988 | 215,838 | ||||||
Surgery Partners, Inc. (a) | 2,792 | 56,510 | ||||||
Surgical Care Affiliates, Inc. (a) | 4,022 | 196,113 | ||||||
T2 Biosystems, Inc. (a) | 1,993 | 14,429 | ||||||
Teladoc, Inc. (a) | 3,110 | 56,944 | ||||||
Triple-S Management Corp. Class B (a) | 3,494 | 76,623 | ||||||
U.S. Physical Therapy, Inc. | 1,817 | 113,926 | ||||||
Universal American Corp. | 6,882 | 52,647 | ||||||
USMD Holdings, Inc. (a) | 445 | 10,075 | ||||||
Vocera Communications, Inc. (a) | 3,702 | 62,564 | ||||||
|
| |||||||
4,055,643 | ||||||||
|
| |||||||
Household Products — 0.5% | ||||||||
Acco Brands Corp. (a) | 15,941 | 153,671 |
The accompanying notes are an integral part of the financial statements.
157
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Central Garden & Pet Co. Class A (a) | 5,014 | $ | 124,347 | |||||
Central Garden and Pet Co. (a) | 1,519 | 39,494 | ||||||
CSS Industries, Inc. | 1,281 | 32,768 | ||||||
Ennis, Inc. | 3,883 | 65,429 | ||||||
Helen of Troy Ltd. (a) | 4,200 | 361,914 | ||||||
Prestige Brands Holdings, Inc. (a) | 7,975 | 384,953 | ||||||
WD-40 Co. | 2,111 | 237,340 | ||||||
|
| |||||||
1,399,916 | ||||||||
|
| |||||||
Pharmaceuticals — 3.6% | ||||||||
AcelRx Pharmaceuticals, Inc. (a) | 5,247 | 20,411 | ||||||
Achillion Pharmaceuticals, Inc. (a) | 17,581 | 142,406 | ||||||
Aclaris Therapeutics, Inc. (a) | 1,334 | 34,164 | ||||||
Adamas Pharmaceuticals, Inc. (a) | 2,507 | 41,140 | ||||||
Aerie Pharmaceuticals, Inc. (a) | 3,611 | 136,279 | ||||||
Agile Therapeutics, Inc. (a) | 1,728 | 12,061 | ||||||
Aimmune Therapeutics, Inc. (a) | 3,945 | 59,175 | ||||||
Akebia Therapeutics, Inc. (a) | 5,394 | 48,816 | ||||||
Amicus Therapeutics, Inc. (a) | 21,358 | 158,049 | ||||||
Amphastar Pharmaceuticals, Inc. (a) | 5,336 | 101,224 | ||||||
Ampio Pharmaceuticals, Inc. (a) | 8,314 | 6,154 | ||||||
Anika Therapeutics, Inc. (a) | 2,114 | 101,155 | ||||||
Anthera Pharmaceuticals, Inc. (a) | 5,567 | 17,536 | ||||||
Aratana Therapeutics, Inc. (a) | 5,002 | 46,819 | ||||||
Array Biopharma, Inc. (a) | 21,665 | 146,239 | ||||||
Avexis, Inc. (a) | 725 | 29,877 | ||||||
Axovant Sciences Ltd. (a) | 3,665 | 51,310 | ||||||
Axsome Therapeutics, Inc. (a) | 1,438 | 11,331 | ||||||
Bio-Path Holdings, Inc. (a) | 12,190 | 17,066 | ||||||
BioScrip, Inc. (a) | 16,855 | 48,711 | ||||||
Biospecifics Technologies Corp. (a) | 814 | 37,175 | ||||||
Cara Therapeutics, Inc. (a) | 3,161 | 26,394 | ||||||
Cempra, Inc. (a) | 6,689 | 161,874 | ||||||
ChemoCentryx, Inc. (a) | 2,964 | 17,903 | ||||||
Chimerix, Inc. (a) | 6,421 | 35,572 | ||||||
Cidara Therapeutics, Inc. (a) | 1,616 | 18,503 | ||||||
Clovis Oncology, Inc. (a) | 4,766 | 171,814 | ||||||
Collegium Pharmaceutical, Inc. (a) | 2,034 | 39,175 | ||||||
Concert Pharmaceuticals, Inc. (a) | 2,483 | 25,103 | ||||||
Corcept Therapeutics, Inc. (a) | 11,202 | 72,813 | ||||||
DepoMed, Inc. (a) | 9,151 | 228,684 | ||||||
Diplomat Pharmacy, Inc. (a) | 6,855 | 192,009 | ||||||
Durect Corp. (a) | 19,100 | 26,549 | ||||||
Eagle Pharmaceuticals, Inc. (a) | 1,328 | 92,960 | ||||||
Egalet Corp. (a) | �� | 3,321 | 25,273 | |||||
Emergent BioSolutions, Inc. (a) | 4,875 | 153,709 | ||||||
Enanta Pharmaceuticals, Inc. (a) | 2,389 | 63,571 | ||||||
Endocyte, Inc. (a) | 5,722 | 17,681 | ||||||
Esperion Therapeutics, Inc. (a) | 2,156 | 29,861 | ||||||
FibroGen, Inc. (a) | 7,853 | 162,557 | ||||||
Flexion Therapeutics, Inc. (a) | 3,486 | 68,116 | ||||||
Global Blood Therapeutics, Inc. (a) | 2,480 | 57,164 | ||||||
Heron Therapeutics, Inc. (a) | 4,767 | 82,135 | ||||||
Heska Corp. (a) | 915 | 49,803 |
Number of Shares | Value | |||||||
Ignyta, Inc. (a) | 4,435 | $ | 27,896 | |||||
Immune Design Corp. (a) | 1,287 | 9,755 | ||||||
Impax Laboratories, Inc. (a) | 10,975 | 260,108 | ||||||
Infinity Pharmaceuticals, Inc. (a) | 5,448 | 8,499 | ||||||
Inotek Pharmaceuticals Corp. (a) | 2,622 | 24,857 | ||||||
Insys Therapeutics, Inc. (a) | 3,524 | 41,548 | ||||||
Intra-Cellular Therapies, Inc. (a) | 5,143 | 78,379 | ||||||
Kadmon Holdings, Inc. (a) | 1,216 | 8,925 | ||||||
Keryx Biopharmaceuticals, Inc. (a) | 11,842 | 62,881 | ||||||
Kite Pharma, Inc. (a) | 5,875 | 328,178 | ||||||
La Jolla Pharmaceutical Co. (a) | 2,087 | 49,650 | ||||||
Lannett Co., Inc. (a) | 4,155 | 110,398 | ||||||
Lifevantage Corp. (a) | 2,068 | 19,563 | ||||||
Lipocine, Inc. (a) | 3,137 | 13,991 | ||||||
MannKind Corp. (a) | 48,689 | 30,187 | ||||||
The Medicines Co. (a) | 10,093 | 380,910 | ||||||
MediciNova, Inc. (a) | 4,460 | 33,405 | ||||||
Minerva Neurosciences, Inc. (a) | 2,847 | 40,185 | ||||||
Mirati Therapeutics, Inc. (a) | 2,422 | 16,009 | ||||||
MyoKardia, Inc. (a) | 1,687 | 27,566 | ||||||
NantKwest, Inc. (a) | 2,503 | 19,473 | ||||||
Natural Grocers by Vitamin Cottage, Inc. (a) | 1,286 | 14,352 | ||||||
Natural Health Trends Corp. | 1,145 | 32,358 | ||||||
Nature’s Sunshine Products, Inc. | 1,249 | 19,984 | ||||||
Nektar Therapeutics (a) | 19,405 | 333,378 | ||||||
Neogen Corp. (a) | 5,465 | 305,712 | ||||||
Neos Therapeutics, Inc. (a) | 1,941 | 12,772 | ||||||
Nevro Corp. (a) | 3,600 | 375,804 | ||||||
Nutraceutical International Corp. (a) | 1,275 | 39,831 | ||||||
Omega Protein Corp. (a) | 3,298 | 77,074 | ||||||
Omthera Pharmaceuticals, Inc. (b) | 428 | - | ||||||
Ophthotech Corp. (a) | 4,573 | 210,953 | ||||||
Osiris Therapeutics, Inc. | 2,769 | 13,734 | ||||||
Otonomy, Inc. (a) | 3,606 | 65,593 | ||||||
Pacira Pharmaceuticals, Inc. (a) | 5,463 | 186,944 | ||||||
PetMed Express, Inc. | 2,986 | 60,556 | ||||||
PharMerica Corp. (a) | 4,463 | 125,276 | ||||||
Phibro Animal Health Corp. Class A | 2,811 | 76,403 | ||||||
Portola Pharmaceuticals, Inc. (a) | 7,398 | 168,009 | ||||||
PRA Health Sciences, Inc. (a) | 3,630 | 205,131 | ||||||
Progenics Pharmaceuticals, Inc. (a) | 10,482 | 66,351 | ||||||
Protagonist Therapeutics, Inc. (a) | 1,137 | 24,025 | ||||||
Proteostasis Therapeutics, Inc. (a) | 816 | 12,721 | ||||||
Radius Health, Inc. (a) | 4,732 | 255,954 | ||||||
Raptor Pharmaceutical Corp. (a) | 12,823 | 115,022 | ||||||
Reata Pharmaceuticals, Inc. Class A (a) | 853 | 22,485 | ||||||
Regulus Therapeutics, Inc. (a) | 5,827 | 19,229 | ||||||
Revance Therapeutics, Inc. (a) | 3,067 | 49,716 | ||||||
Rigel Pharmaceuticals, Inc. (a) | 13,997 | 51,369 | ||||||
Sarepta Therapeutics, Inc. (a) | 6,406 | 393,393 | ||||||
SciClone Pharmaceuticals, Inc. (a) | 7,515 | 77,029 | ||||||
Seres Therapeutics, Inc. (a) | 2,676 | 32,888 |
The accompanying notes are an integral part of the financial statements.
158
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Sorrento Therapeutics, Inc. (a) | 4,521 | $ | 34,993 | |||||
Sucampo Pharmaceuticals, Inc. Class A (a) | 3,519 | 43,319 | ||||||
Supernus Pharmaceuticals, Inc. (a) | 7,034 | 173,951 | ||||||
Synergy Pharmaceuticals, Inc. (a) | 27,209 | 149,922 | ||||||
Synutra International, Inc. (a) | 2,911 | 12,401 | ||||||
Syros Pharmaceuticals, Inc. (a) | 697 | 9,667 | ||||||
Teligent, Inc. (a) | 6,352 | 48,275 | ||||||
TESARO, Inc. (a) | 4,017 | 402,664 | ||||||
Tetraphase Pharmaceuticals, Inc. (a) | 5,514 | 21,119 | ||||||
TG Therapeutics, Inc. (a) | 5,594 | 43,298 | ||||||
TherapeuticsMD, Inc. (a) | 22,499 | 153,218 | ||||||
Titan Pharmaceuticals, Inc. (a) | 2,756 | 16,205 | ||||||
Tokai Pharmaceuticals, Inc. (a) | 2,001 | 3,062 | ||||||
Trevena, Inc. (a) | 6,719 | 45,353 | ||||||
USANA Health Sciences, Inc. (a) | 775 | 107,221 | ||||||
Vanda Pharmaceuticals, Inc. (a) | 5,499 | 91,503 | ||||||
Vitae Pharmaceuticals, Inc. (a) | 3,941 | 82,446 | ||||||
Vital Therapies, Inc. (a) | 3,564 | 21,812 | ||||||
Voyager Therapeutics, Inc. (a) | 1,763 | 21,174 | ||||||
vTv Therapeutics, Inc. Class A (a) | 1,443 | 10,375 | ||||||
Xencor, Inc. (a) | 4,820 | 118,042 | ||||||
Zafgen, Inc. (a) | 2,739 | 9,066 | ||||||
Zogenix, Inc. (a) | 3,790 | 43,320 | ||||||
|
| |||||||
9,785,136 | ||||||||
|
| |||||||
52,970,048 | ||||||||
|
| |||||||
Diversified — 0.5% | ||||||||
Holding Company – Diversified — 0.5% | ||||||||
FCB Financial Holdings, Inc. Class A (a) | 4,490 | 172,551 | ||||||
Horizon Pharma PLC (a) | 24,183 | 438,438 | ||||||
HRG Group, Inc. (a) | 17,780 | 279,146 | ||||||
Liberty TripAdvisor Holdings, Inc. Class A (a) | 10,882 | 237,772 | ||||||
National Bank Holdings Corp. Class A | 3,592 | 83,945 | ||||||
Primoris Services Corp. | 6,042 | 124,465 | ||||||
Tiptree Financial, Inc. Class A | 4,259 | 25,298 | ||||||
Wins Finance Holdings, Inc. (a) | 257 | 7,599 | ||||||
|
| |||||||
1,369,214 | ||||||||
|
| |||||||
Energy — 3.0% | ||||||||
Coal — 0.0% | ||||||||
SunCoke Energy, Inc. | 9,702 | 77,810 | ||||||
Westmoreland Coal Co. (a) | 2,831 | 25,083 | ||||||
|
| |||||||
102,893 | ||||||||
|
| |||||||
Energy – Alternate Sources — 0.5% | ||||||||
Clean Energy Fuels Corp. (a) | 13,130 | 58,691 | ||||||
FuelCell Energy, Inc. (a) | 3,577 | 19,388 | ||||||
FutureFuel Corp. | 3,743 | 42,221 | ||||||
Green Plains, Inc. | 5,423 | 142,083 | ||||||
Headwaters, Inc. (a) | 10,912 | 184,631 |
Number of Shares | Value | |||||||
Pacific Ethanol, Inc. (a) | 4,297 | $ | 29,692 | |||||
Pattern Energy Group, Inc. | 9,949 | 223,753 | ||||||
Plug Power, Inc. (a) | 27,120 | 46,375 | ||||||
Renewable Energy Group, Inc. (a) | 5,739 | 48,610 | ||||||
REX American Resources Corp. (a) | 832 | 70,520 | ||||||
Sunrun, Inc. (a) | 9,491 | 59,793 | ||||||
TerraForm Global, Inc. Class A | 13,711 | 56,352 | ||||||
TerraForm Power, Inc. Class A | 13,114 | 182,416 | ||||||
TPI Composites, Inc. (a) | 900 | 19,134 | ||||||
Vivint Solar, Inc. (a) | 2,639 | 8,339 | ||||||
|
| |||||||
1,191,998 | ||||||||
|
| |||||||
Oil & Gas — 1.7% | ||||||||
Abraxas Petroleum Corp. (a) | 18,559 | 31,365 | ||||||
Adams Resources & Energy, Inc. | 247 | 9,712 | ||||||
Alon USA Energy, Inc. | 4,734 | 38,156 | ||||||
Atwood Oceanics, Inc. | 9,144 | 79,461 | ||||||
Bill Barrett Corp. (a) | 7,441 | 41,372 | ||||||
California Resources Corp. | 4,753 | 59,413 | ||||||
Callon Petroleum Co. (a) | 21,776 | 341,883 | ||||||
Carrizo Oil & Gas, Inc. (a) | 8,364 | 339,746 | ||||||
Clayton Williams Energy, Inc. (a) | 906 | 77,409 | ||||||
Cobalt International Energy, Inc. (a) | 61,182 | 75,866 | ||||||
Contango Oil & Gas Co. (a) | 3,353 | 34,268 | ||||||
CVR Energy, Inc. | 2,370 | 32,635 | ||||||
Delek US Holdings, Inc. | 9,239 | 159,742 | ||||||
Denbury Resources, Inc. | 52,726 | 170,305 | ||||||
Earthstone Energy, Inc. (a) | 258 | 2,219 | ||||||
Eclipse Resources Corp. (a) | 7,149 | 23,520 | ||||||
EP Energy Corp. Class A (a) | 5,806 | 25,430 | ||||||
Erin Energy Corp. (a) | 3,030 | 7,121 | ||||||
Evolution Petroleum Corp. | 3,557 | 22,338 | ||||||
EXCO Resources, Inc. (a) | 21,007 | 22,478 | ||||||
Fairmount Santrol Holdings, Inc. (a) | 11,696 | 99,182 | ||||||
Isramco, Inc. (a) | 138 | 11,509 | ||||||
Jones Energy, Inc. Class A (a) | 8,537 | 30,392 | ||||||
Matador Resources Co. (a) | 12,441 | 302,814 | ||||||
Northern Oil and Gas, Inc. (a) | 7,012 | 18,792 | ||||||
Oasis Petroleum, Inc. (a) | 26,685 | 306,077 | ||||||
Panhandle Oil and Gas, Inc. Class A | 2,291 | 40,161 | ||||||
Par Pacific Holdings, Inc. (a) | 4,583 | 59,946 | ||||||
Parker Drilling Co. (a) | 18,396 | 39,919 | ||||||
PDC Energy, Inc. (a) | 8,390 | 562,633 | ||||||
RSP Permian, Inc. (a) | 11,786 | 457,061 | ||||||
Sanchez Energy Corp. (a) | 8,396 | 74,221 | ||||||
Seadrill Ltd. (a) | 56,706 | 134,393 | ||||||
SemGroup Corp. Class A | 7,937 | 280,652 | ||||||
Synergy Resources Corp. (a) | 27,866 | 193,111 | ||||||
Trecora Resources (a) | 3,081 | 35,185 | ||||||
Unit Corp. (a) | 7,589 | 141,155 | ||||||
W&T Offshore, Inc. (a) | 6,879 | 12,107 | ||||||
Western Refining, Inc. | 12,088 | 319,848 | ||||||
|
| |||||||
4,713,597 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
159
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Oil & Gas Services — 0.8% | ||||||||
Archrock, Inc. | 10,430 | $ | 136,424 | |||||
CARBO Ceramics, Inc. | 2,992 | 32,732 | ||||||
Dawson Geophysical Co. (a) | 3,027 | 23,096 | ||||||
Exterran Corp. (a) | 4,747 | 74,433 | ||||||
Flotek Industries, Inc. (a) | 7,747 | 112,641 | ||||||
Forum Energy Technologies, Inc. (a) | 8,999 | 178,720 | ||||||
Geospace Technologies Corp. (a) | 1,930 | 37,596 | ||||||
Helix Energy Solutions Group, Inc. (a) | 15,098 | 122,747 | ||||||
Hornbeck Offshore Services, Inc. (a) | 4,799 | 26,395 | ||||||
Independence Contract Drilling, Inc. (a) | 4,502 | 23,636 | ||||||
Matrix Service Co. (a) | 4,050 | 75,978 | ||||||
Natural Gas Services Group, Inc. (a) | 1,839 | 45,221 | ||||||
Newpark Resources, Inc. (a) | 12,348 | 90,881 | ||||||
NOW, Inc. (a) | 16,051 | 343,973 | ||||||
Oil States International, Inc. (a) | 7,674 | 242,268 | ||||||
Pioneer Energy Services Corp. (a) | 9,741 | 39,354 | ||||||
SEACOR Holdings, Inc. (a) | 2,384 | 141,824 | ||||||
Tesco Corp. | 6,927 | 56,524 | ||||||
TETRA Technologies, Inc. (a) | 13,542 | 82,742 | ||||||
Thermon Group Holdings, Inc. (a) | 4,803 | 94,859 | ||||||
Tidewater, Inc. | 7,113 | 20,059 | ||||||
Willbros Group, Inc. (a) | 5,412 | 10,175 | ||||||
|
| |||||||
2,012,278 | ||||||||
|
| |||||||
8,020,766 | ||||||||
|
| |||||||
Financial — 24.7% | ||||||||
Banks — 9.0% | ||||||||
1st Source Corp. | 2,339 | 83,491 | ||||||
Access National Corp. | 1,218 | 29,110 | ||||||
ACNB Corp. | 898 | 23,869 | ||||||
Allegiance Bancshares, Inc. (a) | 1,648 | 44,496 | ||||||
American National Bankshares, Inc. | 1,196 | 33,428 | ||||||
Ameris Bancorp | 5,103 | 178,350 | ||||||
Ames National Corp. | 1,399 | 38,696 | ||||||
Arrow Financial Corp. | 1,702 | 55,867 | ||||||
Atlantic Capital Bancshares, Inc. (a) | 2,596 | 38,888 | ||||||
BancFirst Corp. | 1,174 | 85,127 | ||||||
Banco Latinoamericano de Comercio Exterior SA | 4,535 | 127,796 | ||||||
The Bancorp, Inc. (a) | 5,257 | 33,750 | ||||||
BancorpSouth, Inc. | 12,993 | 301,438 | ||||||
Bank Mutual Corp. | 6,095 | 46,810 | ||||||
Bank of Marin Bancorp | 902 | 44,856 | ||||||
Bank of the Ozarks, Inc. | 13,299 | 510,682 | ||||||
Bankwell Financial Group, Inc. | 853 | 20,208 | ||||||
Banner Corp. | 4,504 | 197,005 | ||||||
Bar Harbor Bankshares | 904 | 33,195 | ||||||
Blue Hills Bancorp, Inc. | 3,691 | 55,439 | ||||||
BNC Bancorp | 6,077 | 147,793 | ||||||
Boston Private Financial Holdings, Inc. | 12,321 | 158,078 |
Number of Shares | Value | |||||||
Bridge Bancorp, Inc. | 2,504 | $ | 71,589 | |||||
Bryn Mawr Bank Corp. | 2,527 | 80,839 | ||||||
C&F Financial Corp. | 485 | 20,894 | ||||||
Camden National Corp. | 1,520 | 72,565 | ||||||
Capital Bank Financial Corp. Class A | 2,966 | 95,238 | ||||||
Capital City Bank Group, Inc. | 1,700 | 25,109 | ||||||
Cardinal Financial Corp. | 4,717 | 123,067 | ||||||
Carolina Financial Corp. | 1,537 | 34,337 | ||||||
Cascade Bancorp (a) | 4,804 | 29,112 | ||||||
Cass Information Systems, Inc. | 1,647 | 93,303 | ||||||
Cathay General Bancorp | 11,142 | 342,951 | ||||||
Centerstate Banks, Inc. | 6,954 | 123,294 | ||||||
Central Pacific Financial Corp. | 4,537 | 114,287 | ||||||
Central Valley Community Bancorp | 1,318 | 20,903 | ||||||
Century Bancorp, Inc. Class A | 440 | 19,941 | ||||||
Chemical Financial Corp. | 9,671 | 426,781 | ||||||
Chemung Financial Corp. | 421 | 12,205 | ||||||
Citizens & Northern Corp. | 1,724 | 37,876 | ||||||
City Holding Co. | 2,184 | 109,833 | ||||||
CNB Financial Corp. | 2,074 | 43,886 | ||||||
CoBiz Financial, Inc. | 5,570 | 74,137 | ||||||
Codorus Valley Bancorp, Inc. | 1,159 | 25,359 | ||||||
Columbia Banking System, Inc. | 8,706 | 284,860 | ||||||
Community Bank System, Inc. | 6,437 | 309,684 | ||||||
Community Trust Bancorp, Inc. | 2,294 | 85,130 | ||||||
CommunityOne Bancorp (a) | 2,046 | 28,317 | ||||||
ConnectOne Bancorp, Inc. | 4,256 | 76,863 | ||||||
County Bancorp, Inc. | 672 | 13,447 | ||||||
CU Bancorp (a) | 2,409 | 54,949 | ||||||
Customers Bancorp, Inc. (a) | 3,657 | 92,010 | ||||||
CVB Financial Corp. | 15,152 | 266,827 | ||||||
Eagle Bancorp, Inc. (a) | 4,587 | 226,277 | ||||||
Enterprise Bancorp, Inc. | 1,228 | 34,384 | ||||||
Enterprise Financial Services Corp. | 2,851 | 89,094 | ||||||
Equity Bancshares, Inc. Class A (a) | 748 | 19,403 | ||||||
F.N.B. Corp. | 31,549 | 388,053 | ||||||
Farmers Capital Bank Corp. | 1,066 | 31,596 | ||||||
Farmers National Banc Corp. | 3,720 | 40,102 | ||||||
Fidelity Southern Corp. | 3,112 | 57,230 | ||||||
Financial Institutions, Inc. | 2,099 | 56,904 | ||||||
First BanCorp (a) | 17,839 | 92,763 | ||||||
First Bancorp | 2,902 | 57,431 | ||||||
First Bancorp, Inc. | 1,519 | 36,410 | ||||||
First Busey Corp. | 4,637 | 104,796 | ||||||
First Business Financial Services, Inc. | 1,207 | 28,365 | ||||||
First Citizens BancShares, Inc. Class A | 1,136 | 333,859 | ||||||
First Commonwealth Financial Corp. | 13,254 | 133,733 | ||||||
First Community Bancshares, Inc. | 2,378 | 58,974 | ||||||
First Community Financial Partners, Inc. (a) | 2,033 | 19,354 | ||||||
First Connecticut Bancorp, Inc. | 2,098 | 37,323 | ||||||
First Financial Bancorp | 9,187 | 200,644 | ||||||
First Financial Bankshares, Inc. | 9,562 | 348,439 |
The accompanying notes are an integral part of the financial statements.
160
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
First Financial Corp. | 1,495 | $ | 60,817 | |||||
First Foundation, Inc. (a) | 1,980 | 48,847 | ||||||
First Internet Bancorp | 773 | 17,849 | ||||||
First Interstate BancSystem, Inc. Class A | 2,954 | 93,081 | ||||||
First Merchants Corp. | 6,099 | 163,148 | ||||||
First Mid-Illinois Bancshares, Inc. | 1,185 | 32,303 | ||||||
First Midwest Bancorp, Inc. | 12,059 | 233,462 | ||||||
First NBC Bank Holding Co. (a) | 2,353 | 22,212 | ||||||
First Northwest Bancorp (a) | 1,662 | 22,420 | ||||||
The First of Long Island Corp. | 2,136 | 70,808 | ||||||
Franklin Financial Network, Inc. (a) | 1,406 | 52,584 | ||||||
Fulton Financial Corp. | 25,698 | 373,135 | ||||||
German American Bancorp Inc. | 2,123 | 82,648 | ||||||
Glacier Bancorp, Inc. | 11,424 | 325,812 | ||||||
Great Southern Bancorp, Inc. | 1,607 | 65,405 | ||||||
Great Western Bancorp, Inc. | 8,857 | 295,115 | ||||||
Green Bancorp, Inc. (a) | 3,103 | 33,916 | ||||||
Guaranty Bancorp | 2,249 | 40,145 | ||||||
Hancock Holding Co. | 11,610 | 376,512 | ||||||
Hanmi Financial Corp. | 4,675 | 123,139 | ||||||
HarborOne Bancorp, Inc. (a) | 2,191 | 34,530 | ||||||
Heartland Financial USA, Inc. | 3,293 | 118,779 | ||||||
Heritage Commerce Corp. | 3,914 | 42,819 | ||||||
Heritage Financial Corp. | 4,439 | 79,680 | ||||||
Heritage Oaks Bancorp | 3,599 | 29,512 | ||||||
Home Bancshares, Inc. | 18,140 | 377,493 | ||||||
Hope Bancorp, Inc. | 19,239 | 334,181 | ||||||
Horizon Bancorp | 2,147 | 63,079 | ||||||
IBERIABANK Corp. | 6,140 | 412,117 | ||||||
Independent Bank Corp. | 3,031 | 51,012 | ||||||
Independent Bank Corp. | 3,881 | 209,923 | ||||||
Independent Bank Group, Inc. | 1,666 | 73,587 | ||||||
International Bancshares Corp. | 8,196 | 244,077 | ||||||
Kearny Financial Corp. | 13,808 | 187,927 | ||||||
Lakeland Bancorp, Inc. | 5,875 | 82,485 | ||||||
Lakeland Financial Corp. | 3,576 | 126,662 | ||||||
LCNB Corp. | 1,314 | 23,941 | ||||||
LegacyTexas Financial Group, Inc. | 6,650 | 210,339 | ||||||
Live Oak Bancshares, Inc. | 2,936 | 42,337 | ||||||
Macatawa Bank Corp. | 3,966 | 31,688 | ||||||
MainSource Financial Group, Inc. | 3,442 | 85,878 | ||||||
MB Financial, Inc. | 11,359 | 432,096 | ||||||
MBT Financial Corp. | 2,678 | 24,236 | ||||||
Mercantile Bank Corp. | 2,382 | 63,957 | ||||||
Merchants Bancshares, Inc. | 860 | 27,855 | ||||||
Middleburg Financial Corp. | 704 | 19,909 | ||||||
Midland States Bancorp, Inc. | 498 | 12,619 | ||||||
MidWestOne Financial Group, Inc. | 1,235 | 37,507 | ||||||
National Bankshares, Inc. | 1,074 | 39,502 | ||||||
National Commerce Corp. (a) | 1,269 | 34,339 | ||||||
NBT Bancorp, Inc. | 6,324 | 207,870 | ||||||
Nicolet Bankshares, Inc. (a) | 1,141 | 43,757 | ||||||
Northrim BanCorp, Inc. | 1,011 | 26,033 |
Number of Shares | Value | |||||||
Northwest Bancshares, Inc. | 14,352 | $ | 225,470 | |||||
OFG Bancorp | 6,416 | 64,866 | ||||||
Old Line Bancshares, Inc. | 1,253 | 24,722 | ||||||
Old National Bancorp | 19,902 | 279,822 | ||||||
Old Second Bancorp, Inc. | 4,187 | 34,794 | ||||||
Opus Bank | 2,574 | 91,042 | ||||||
Orrstown Financial Services, Inc. | 1,113 | 21,982 | ||||||
Pacific Continental Corp. | 2,808 | 47,231 | ||||||
Pacific Mercantile Bancorp (a) | 2,220 | 16,361 | ||||||
Park National Corp. | 1,995 | 191,520 | ||||||
Park Sterling Corp. | 7,724 | 62,719 | ||||||
Peapack Gladstone Financial Corp. | 2,408 | 53,963 | ||||||
Penns Woods Bancorp, Inc. | 684 | 30,411 | ||||||
People’s Utah Bancorp | 1,943 | 39,540 | ||||||
Peoples Bancorp, Inc. | 2,404 | 59,114 | ||||||
Peoples Financial Services Corp. | 1,084 | 44,184 | ||||||
Pinnacle Financial Partners, Inc. | 6,458 | 349,249 | ||||||
Preferred Bank | 1,821 | 65,101 | ||||||
Premier Financial Bancorp, Inc. | 1,279 | 21,922 | ||||||
PrivateBancorp, Inc. | 11,781 | 540,984 | ||||||
Prosperity Bancshares, Inc. | 10,033 | 550,711 | ||||||
Provident Bancorp, Inc. (a) | 826 | 12,886 | ||||||
QCR Holdings, Inc. | 1,779 | 56,465 | ||||||
Renasant Corp. | 6,122 | 205,883 | ||||||
Republic Bancorp, Inc. Class A | 1,438 | 44,693 | ||||||
Republic First Bancorp, Inc. (a) | 5,059 | 20,792 | ||||||
S&T Bancorp, Inc. | 5,097 | 147,762 | ||||||
Sandy Spring Bancorp, Inc. | 3,520 | 107,642 | ||||||
Seacoast Banking Corp. of Florida (a) | 4,440 | 71,440 | ||||||
ServisFirst Bancshares, Inc. | 3,453 | 179,245 | ||||||
Shore Bancshares, Inc. | 1,880 | 22,146 | ||||||
Sierra Bancorp | 1,710 | 32,080 | ||||||
Simmons First National Corp. Class A | 4,404 | 219,760 | ||||||
South State Corp. | 3,544 | 265,942 | ||||||
Southern First Bancshares, Inc. (a) | 865 | 23,857 | ||||||
Southern National Bancorp of Virginia, Inc. | 1,691 | 22,068 | ||||||
Southside Bancshares, Inc. | 3,675 | 118,262 | ||||||
Southwest Bancorp, Inc. | 2,706 | 51,387 | ||||||
State Bank Financial Corp. | 5,244 | 119,668 | ||||||
Stock Yards Bancorp, Inc. | 3,183 | 104,912 | ||||||
Stonegate Bank | 1,712 | 57,780 | ||||||
Suffolk Bancorp | 1,692 | 58,831 | ||||||
Summit Financial Group, Inc. | 1,254 | 24,027 | ||||||
Sun Bancorp, Inc. | 1,602 | 36,942 | ||||||
Texas Capital Bancshares, Inc. (a) | 6,925 | 380,321 | ||||||
Tompkins Financial Corp. | 2,163 | 165,275 | ||||||
Towne Bank | 8,365 | 201,011 | ||||||
Trico Bancshares | 3,033 | 81,193 | ||||||
Tristate Capital Holdings, Inc. (a) | 3,282 | 53,004 | ||||||
Triumph Bancorp, Inc. (a) | 2,317 | 45,969 | ||||||
TrustCo Bank Corp NY | 13,639 | 96,701 | ||||||
Trustmark Corp. | 10,107 | 278,549 |
The accompanying notes are an integral part of the financial statements.
161
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
UMB Financial Corp. | 6,725 | $ | 399,801 | |||||
Umpqua Holdings Corp. | 33,145 | 498,832 | ||||||
Union Bankshares Corp. | 6,499 | 173,978 | ||||||
Union Bankshares, Inc. | 590 | 20,095 | ||||||
United Bankshares, Inc. | 9,848 | 370,974 | ||||||
United Community Banks, Inc. | 10,520 | 221,130 | ||||||
Univest Corp. of Pennsylvania | 3,515 | 82,110 | ||||||
Valley National Bancorp | 37,143 | 361,401 | ||||||
Veritex Holdings, Inc. (a) | 1,239 | 21,546 | ||||||
Walker & Dunlop, Inc. (a) | 4,127 | 104,248 | ||||||
Washington Trust Bancorp, Inc. | 2,229 | 89,650 | ||||||
WashingtonFirst Bankshares, Inc. | 1,216 | 29,926 | ||||||
Webster Financial Corp. | 13,765 | 523,208 | ||||||
WesBanco, Inc. | 6,010 | 197,609 | ||||||
West Bancorporation, Inc. | 2,419 | 47,412 | ||||||
Westamerica Bancorp. | 3,703 | 188,409 | ||||||
Wintrust Financial Corp. | 7,708 | 428,334 | ||||||
Xenith Bankshares, Inc. (a) | 11,216 | 25,909 | ||||||
Yadkin Financial Corp. | 7,475 | 196,518 | ||||||
|
| |||||||
24,361,474 | ||||||||
|
| |||||||
Diversified Financial — 2.2% | ||||||||
Altisource Portfolio Solutions SA (a) | 1,732 | 56,117 | ||||||
Altisource Residential Corp. | 7,845 | 85,511 | ||||||
Associated Capital Group, Inc. Class A | 672 | 23,829 | ||||||
BGC Partners, Inc. Class A | 32,612 | 285,355 | ||||||
Calamos Asset Management, Inc. Class A | 2,405 | 16,402 | ||||||
California First National Bancorp | 439 | 6,129 | ||||||
Cohen & Steers, Inc. | 3,128 | 133,722 | ||||||
Cowen Group, Inc. Class A (a) | 15,295 | 55,521 | ||||||
Diamond Hill Investment Group, Inc. | 455 | 84,080 | ||||||
Ellie Mae, Inc. (a) | 4,911 | 517,128 | ||||||
Encore Capital Group, Inc. (a) | 3,573 | 80,321 | ||||||
Enova International, Inc. (a) | 4,065 | 39,349 | ||||||
Evercore Partners, Inc. Class A | 5,853 | 301,488 | ||||||
FBR & Co. | 818 | 10,830 | ||||||
Federal Agricultural Mortgage Corp. Class C | 1,288 | 50,876 | ||||||
Fifth Street Asset Management, Inc. | 890 | 4,904 | ||||||
Financial Engines, Inc. | 8,020 | 238,274 | ||||||
FNFV Group (a) | 9,847 | 122,891 | ||||||
Gain Capital Holdings, Inc. | 5,607 | 34,651 | ||||||
GAMCO Investors, Inc. Class A | 658 | 18,733 | ||||||
Greenhill & Co., Inc. | 4,166 | 98,193 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 6,094 | 142,417 | ||||||
Hennessy Advisors, Inc. | 407 | 14,436 | ||||||
Houlihan Lokey, Inc. | 1,836 | 45,992 | ||||||
Impac Mortgage Holdings, Inc. (a) | 1,076 | 14,193 | ||||||
INTL. FCStone, Inc. (a) | 2,296 | 89,200 | ||||||
Investment Technology Group, Inc. | 4,916 | 84,260 | ||||||
Janus Capital Group, Inc. | 21,643 | 303,218 |
Number of Shares | Value | |||||||
KCG Holdings, Inc. Class A (a) | 7,869 | $ | 122,206 | |||||
Ladder Capital Corp. | 5,738 | 75,971 | ||||||
Ladenburg Thalmann Financial Services, Inc. (a) | 15,275 | 35,285 | ||||||
LendingClub Corp. (a) | 49,312 | 304,748 | ||||||
Manning & Napier, Inc. | 2,134 | 15,130 | ||||||
Marlin Business Services Corp. | 1,276 | 24,729 | ||||||
Medley Management, Inc. Class A | 1,104 | 9,285 | ||||||
Moelis & Co.Class A | 2,785 | 74,889 | ||||||
Nationstar Mortgage Holdings, Inc. (a) | 5,194 | 76,923 | ||||||
Nelnet, Inc. Class A | 3,030 | 122,321 | ||||||
NewStar Financial, Inc. (a) | 3,676 | 35,694 | ||||||
Ocwen Financial Corp. (a) | 15,315 | 56,206 | ||||||
OM Asset Management Plc | 6,010 | 83,599 | ||||||
On Deck Capital, Inc. (a) | 7,196 | 41,017 | ||||||
Oppenheimer Holdings, Inc. Class A | 1,445 | 20,649 | ||||||
PennyMac Financial Services, Inc. Class A (a) | 2,039 | 34,683 | ||||||
Piper Jaffray Cos., Inc. (a) | 2,171 | 104,859 | ||||||
PJT Partners, Inc. Class A | 2,658 | 72,484 | ||||||
PRA Group, Inc. (a) | 6,911 | 238,706 | ||||||
Pzena Investment Management, Inc. Class A | 2,140 | 16,478 | ||||||
Regional Management Corp. (a) | 1,564 | 33,861 | ||||||
Silvercrest Asset Management Group, Inc. Class A | 913 | 10,837 | ||||||
Stifel Financial Corp. (a) | 9,620 | 369,889 | ||||||
Virtu Financial, Inc. Class A | 3,778 | 56,557 | ||||||
Virtus Investment Partners, Inc. | 876 | 85,725 | ||||||
Waddell & Reed Financial, Inc. Class A | 11,908 | 216,249 | ||||||
WageWorks, Inc. (a) | 5,473 | 333,360 | ||||||
Westwood Holdings Group, Inc. | 1,194 | 63,413 | ||||||
WisdomTree Investments, Inc. | 17,235 | 177,348 | ||||||
World Acceptance Corp. (a) | 909 | 44,577 | ||||||
|
| |||||||
5,915,698 | ||||||||
|
| |||||||
Diversified Financial Services — 0.1% | ||||||||
Blackhawk Network Holdings, Inc. (a) | 8,240 | 248,601 | ||||||
|
| |||||||
Insurance — 2.7% | ||||||||
Ambac Financial Group, Inc. (a) | 6,760 | 124,316 | ||||||
American Equity Investment Life Holding Co. | 12,843 | 227,706 | ||||||
AMERISAFE, Inc. | 2,842 | 167,053 | ||||||
Argo Group International Holdings Ltd. | 4,319 | 243,678 | ||||||
Atlas Financial Holdings, Inc. (a) | 1,590 | 25,074 | ||||||
Baldwin & Lyons, Inc. Class B | 1,350 | 34,601 | ||||||
Blue Capital Reinsurance Holdings Ltd. | 824 | 15,096 | ||||||
Citizens, Inc. (a) | 6,969 | 65,230 | ||||||
CNO Financial Group, Inc. | 26,866 | 410,244 | ||||||
Crawford & Co. Class B | 1,798 | 20,407 |
The accompanying notes are an integral part of the financial statements.
162
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Donegal Group, Inc. Class A | 1,262 | $ | 20,331 | |||||
eHealth, Inc. (a) | 2,709 | 30,368 | ||||||
EMC Insurance Group, Inc. | 1,253 | 33,743 | ||||||
Employers Holdings, Inc. | 4,811 | 143,512 | ||||||
Enstar Group Ltd. (a) | 1,704 | 280,257 | ||||||
Essent Group Ltd. (a) | 11,198 | 297,979 | ||||||
FBL Financial Group, Inc. Class A | 1,469 | 93,972 | ||||||
Federated National Holding Co. | 1,889 | 35,305 | ||||||
Fidelity & Guaranty Life | 1,793 | 41,580 | ||||||
Genworth Financial, Inc. Class A (a) | 75,452 | 374,242 | ||||||
Global Indemnity PLC (a) | 1,249 | 37,095 | ||||||
Greenlight Capital Re Ltd. Class A (a) | 4,404 | 90,018 | ||||||
Hallmark Financial Services, Inc. (a) | 2,080 | 21,403 | ||||||
HCI Group, Inc. | 1,306 | 39,650 | ||||||
Heritage Insurance Holdings, Inc. | 3,992 | 57,525 | ||||||
Horace Mann Educators Corp. | 6,075 | 222,649 | ||||||
Independence Holding Co. | 1,063 | 18,262 | ||||||
Infinity Property & Casualty Corp. | 1,616 | 133,530 | ||||||
Investors Title Co. | 216 | 21,492 | ||||||
Kemper Corp. | 5,946 | 233,797 | ||||||
Kinsale Capital Group, Inc. | 1,001 | 22,022 | ||||||
Maiden Holdings Ltd. | 8,864 | 112,484 | ||||||
MBIA, Inc. (a) | 19,745 | 153,814 | ||||||
MGIC Investment Corp. (a) | 51,183 | 409,464 | ||||||
National General Holdings Corp. | 7,259 | 161,440 | ||||||
National Interstate Corp. | 1,125 | 36,596 | ||||||
National Western Life Group, Inc. Class A | 338 | 69,415 | ||||||
The Navigators Group, Inc. | 1,682 | 163,019 | ||||||
NMI Holdings, Inc. Class A (a) | 7,459 | 56,838 | ||||||
OneBeacon Insurance Group Ltd. Class A | 2,998 | 42,811 | ||||||
Primerica, Inc. | 7,049 | 373,809 | ||||||
Radian Group, Inc. | 32,294 | 437,584 | ||||||
RLI Corp. | 5,696 | 389,379 | ||||||
Safety Insurance Group, Inc. | 2,154 | 144,792 | ||||||
Selective Insurance Group, Inc. | 8,519 | 339,567 | ||||||
State Auto Financial Corp. Class A | 2,319 | 55,215 | ||||||
State National Cos., Inc. | 4,489 | 49,918 | ||||||
Stewart Information Services Corp. | 3,427 | 152,330 | ||||||
Third Point Reinsurance Ltd. (a) | 9,888 | 118,656 | ||||||
Trupanion, Inc. (a) | 2,161 | 36,521 | ||||||
United Fire Group, Inc. | 3,238 | 137,032 | ||||||
United Insurance Holdings Corp. | 2,578 | 43,774 | ||||||
Universal Insurance Holdings, Inc. | 4,906 | 123,631 | ||||||
WMIH Corp. (a) | 30,455 | 71,265 | ||||||
|
| |||||||
7,261,491 | ||||||||
|
| |||||||
Investment Companies — 0.1% | ||||||||
Arlington Asset Investment Corp. | 3,445 | 50,951 | ||||||
Caesars Acquisition Co. Class A (a) | 7,142 | 88,704 | ||||||
Real Industry, Inc. (a) | 3,933 | 24,070 | ||||||
|
| |||||||
163,725 | ||||||||
|
|
Number of Shares | Value | |||||||
Real Estate — 0.9% | ||||||||
Alexander & Baldwin, Inc. | 6,984 | $ | 268,325 | |||||
AV Homes, Inc. (a) | 1,901 | 31,633 | ||||||
Community Healthcare Trust, Inc. | 1,890 | 41,429 | ||||||
Consolidated-Tomoka Land Co. | 588 | 30,100 | ||||||
Farmland Partners, Inc. | 1,733 | 19,410 | ||||||
Forestar Group, Inc. (a) | 5,116 | 59,908 | ||||||
Four Corners Property Trust, Inc. | 9,054 | 193,122 | ||||||
FRP Holdings, Inc. (a) | 942 | 29,268 | ||||||
The Geo Group, Inc. | 11,128 | 264,624 | ||||||
HFF, Inc. Class A | 5,377 | 148,889 | ||||||
Hilltop Holdings, Inc. (a) | 11,236 | 252,360 | ||||||
Kennedy-Wilson Holdings, Inc. | 12,343 | 278,335 | ||||||
Marcus & Millichap, Inc. (a) | 2,177 | 56,928 | ||||||
RE/MAX Holdings, Inc. Class A | 2,652 | 116,105 | ||||||
The RMR Group, Inc. Class A | 1,055 | 40,027 | ||||||
St. Joe Co. (a) | 7,560 | 138,953 | ||||||
Stratus Properties, Inc. (a) | 932 | 22,741 | ||||||
Terreno Realty Corp. | 6,767 | 186,160 | ||||||
Trinity Place Holdings, Inc. (a) | 2,894 | 28,303 | ||||||
Xenia Hotels & Resorts, Inc. | 15,497 | 235,244 | ||||||
|
| |||||||
2,441,864 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 8.0% | ||||||||
Acadia Realty Trust | 11,962 | 433,503 | ||||||
AG Mortgage Investment Trust, Inc. | 4,193 | 66,040 | ||||||
Agree Realty Corp. | 3,410 | 168,590 | ||||||
Alexander’s, Inc. | 318 | 133,433 | ||||||
American Assets Trust, Inc. | 5,843 | 253,469 | ||||||
Anworth Mortgage Asset Corp. | 14,371 | 70,705 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 10,746 | 175,912 | ||||||
Ares Commercial Real Estate Corp. | 4,050 | 51,030 | ||||||
Armada Hoffler Properties, Inc. | 4,528 | 60,675 | ||||||
ARMOUR Residential REIT, Inc. | 5,495 | 123,857 | ||||||
Ashford Hospitality Prime, Inc. | 3,955 | 55,766 | ||||||
Ashford Hospitality Trust | 11,721 | 69,037 | ||||||
Bluerock Residential Growth REIT, Inc. | 2,890 | 37,570 | ||||||
Capstead Mortgage Corp. | 14,299 | 134,840 | ||||||
CareTrust REIT, Inc. | 8,698 | 128,556 | ||||||
Catchmark Timber Trust, Inc. Class A | 5,809 | 67,907 | ||||||
CBL & Associates Properties, Inc. | 25,308 | 307,239 | ||||||
Cedar Realty Trust, Inc. | 12,229 | 88,049 | ||||||
Chatham Lodging Trust | 5,630 | 108,378 | ||||||
Chesapeake Lodging Trust | 8,911 | 204,062 | ||||||
City Office REIT, Inc. | 2,700 | 34,371 | ||||||
Colony Capital, Inc. Class A | 16,870 | 307,540 | ||||||
Colony Starwood Homes | 9,741 | 279,567 | ||||||
CorEnergy Infrastructure Trust, Inc. | 1,795 | 52,647 | ||||||
Coresite Realty Corp. | 5,027 | 372,199 | ||||||
Cousins Properties, Inc. | 31,124 | 324,935 | ||||||
CYS Investments, Inc. | 22,693 | 197,883 | ||||||
DiamondRock Hospitality Co. | 30,106 | 273,965 |
The accompanying notes are an integral part of the financial statements.
163
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
DuPont Fabros Technology, Inc. | 11,185 | $ | 461,381 | |||||
Dynex Capital, Inc. | 6,666 | 49,462 | ||||||
Easterly Government Properties, Inc. | 4,881 | 93,129 | ||||||
EastGroup Properties, Inc. | 4,727 | 347,718 | ||||||
Education Realty Trust, Inc. | 11,012 | 475,058 | ||||||
FelCor Lodging Trust, Inc. | 20,434 | 131,391 | ||||||
First Industrial Realty Trust, Inc. | 17,400 | 491,028 | ||||||
First Potomac Realty Trust | 8,625 | 78,919 | ||||||
Franklin Street Properties Corp. | 15,656 | 197,266 | ||||||
Getty Realty Corp. | 3,900 | 93,327 | ||||||
Gladstone Commercial Corp. | 3,375 | 62,876 | ||||||
Global Medical REIT, Inc. | 2,274 | 22,194 | ||||||
Global Net Lease, Inc. | 25,569 | 208,643 | ||||||
Government Properties Income Trust | 10,502 | 237,555 | ||||||
Gramercy Property Trust | 63,299 | 610,202 | ||||||
Great Ajax Corp. | 1,865 | 25,457 | ||||||
Healthcare Realty Trust, Inc. | 17,108 | 582,699 | ||||||
Hersha Hospitality Trust | 6,207 | 111,850 | ||||||
Hudson Pacific Properties, Inc. | 14,016 | 460,706 | ||||||
Independence Realty Trust, Inc. | 6,037 | 54,333 | ||||||
InfraREIT, Inc. (a) | 5,969 | 108,278 | ||||||
Invesco Mortgage Capital, Inc. | 16,858 | 256,747 | ||||||
Investors Real Estate Trust | 18,280 | 108,766 | ||||||
iStar, Inc. (a) | 10,276 | 110,261 | ||||||
Kite Realty Group Trust | 12,394 | 343,562 | ||||||
LaSalle Hotel Properties | 15,999 | 381,896 | ||||||
Lexington Realty Trust | 34,418 | 354,505 | ||||||
LTC Properties, Inc. | 5,643 | 293,380 | ||||||
Mack-Cali Realty Corp. | 13,378 | 364,149 | ||||||
Medical Properties Trust, Inc. | 35,549 | 525,059 | ||||||
Monmouth Real Estate Investment Corp. Class A | 9,433 | 134,609 | ||||||
Monogram Residential Trust, Inc. | 25,224 | 268,383 | ||||||
MTGE Investment Corp. | 6,863 | 117,975 | ||||||
National Health Investors, Inc. | 5,580 | 437,918 | ||||||
National Storage Affiliates Trust | 5,267 | 110,291 | ||||||
New Residential Investment Corp. | 36,424 | 503,015 | ||||||
New Senior Investment Group, Inc. | 11,442 | 132,041 | ||||||
New York Mortgage Trust, Inc. | 16,488 | 99,258 | ||||||
New York REIT, Inc. | 24,769 | 226,636 | ||||||
NexPoint Residential Trust, Inc. | 2,638 | 51,863 | ||||||
NorthStar Realty Europe Corp. | 8,926 | 97,740 | ||||||
One Liberty Properties, Inc. | 1,960 | 47,354 | ||||||
Orchid Island Capital, Inc. | 3,141 | 32,729 | ||||||
Owens Realty Mortgage, Inc. | 1,495 | 25,893 | ||||||
Parkway Properties, Inc. | 12,010 | 204,290 | ||||||
Pebblebrook Hotel Trust | 10,721 | 285,179 | ||||||
Pennsylvania Real Estate Investment Trust | 10,233 | 235,666 | ||||||
PennyMac Mortgage Investment Trust | 10,267 | 159,960 | ||||||
Physicians Realty Trust | 20,264 | 436,487 | ||||||
Potlatch Corp. | 6,087 | 236,723 | ||||||
Preferred Apartment Communities, Inc. Class A | 3,477 | 46,974 |
Number of Shares | Value | |||||||
PS Business Parks, Inc. | 2,949 | $ | 334,918 | |||||
QTS Realty Trust, Inc. Class A | 7,016 | 370,796 | ||||||
RAIT Financial Trust | 13,717 | 46,363 | ||||||
Ramco-Gershenson Properties Trust | 11,766 | 220,495 | ||||||
Redwood Trust, Inc. | 11,460 | 162,274 | ||||||
Resource Capital Corp. | 4,536 | 58,106 | ||||||
Retail Opportunity Investments Corp. | 16,098 | 353,512 | ||||||
Rexford Industrial Realty, Inc. | 9,814 | 224,642 | ||||||
RLJ Lodging Trust | 18,279 | 384,407 | ||||||
Ryman Hospitality Properties, Inc. | 6,509 | 313,473 | ||||||
Sabra Health Care REIT, Inc. | 9,686 | 243,894 | ||||||
Saul Centers, Inc. | 1,432 | 95,371 | ||||||
Select Income REIT | 9,485 | 255,147 | ||||||
Seritage Growth Properties Class A | 3,742 | 189,645 | ||||||
Silver Bay Realty Trust Corp. | 4,974 | 87,194 | ||||||
STAG Industrial, Inc. | 10,292 | 252,257 | ||||||
Summit Hotel Properties, Inc. | 12,968 | 170,659 | ||||||
Sunstone Hotel Investors, Inc. | 32,590 | 416,826 | ||||||
Tier REIT, Inc. | 7,154 | 110,458 | ||||||
UMH Properties, Inc. | 3,642 | 43,413 | ||||||
United Development | 5,040 | 16,128 | ||||||
Universal Health Realty Income Trust | 1,869 | 117,784 | ||||||
Urban Edge Properties | 13,443 | 378,286 | ||||||
Urstadt Biddle Properties, Inc. Class A | 4,389 | 97,524 | ||||||
Walter Investment Management Corp. (a) | 3,539 | 14,368 | ||||||
Washington Prime Group, Inc. | 27,858 | 344,882 | ||||||
Washington Real Estate Investment Trust | 10,990 | 342,009 | ||||||
Western Asset Mortgage Capital Corp. | 6,222 | 64,833 | ||||||
Whitestone REIT | 3,871 | 53,729 | ||||||
|
| |||||||
21,877,899 | ||||||||
|
| |||||||
Savings & Loans — 1.7% | ||||||||
Astoria Financial Corp. | 13,799 | 201,465 | ||||||
Banc of California, Inc. | 7,325 | 127,895 | ||||||
BankFinancial Corp. | 2,258 | 28,677 | ||||||
BBX Capital Corp. Class A (a) | 609 | 12,564 | ||||||
Bear State Financial, Inc. | 2,691 | 24,730 | ||||||
Beneficial Bancorp, Inc. | 10,505 | 154,529 | ||||||
Berkshire Hills Bancorp, Inc. | 4,603 | 127,549 | ||||||
BofI Holding, Inc. (a) | 9,004 | 201,690 | ||||||
Brookline Bancorp, Inc. | 10,396 | 126,727 | ||||||
BSB Bancorp, Inc. (a) | 1,232 | 28,866 | ||||||
Capitol Federal Financial, Inc. | 19,014 | 267,527 | ||||||
Charter Financial Corp. | 2,038 | 26,249 | ||||||
Clifton Bancorp, Inc. | 3,246 | 49,631 | ||||||
Dime Community Bancshares, Inc. | 4,692 | 78,638 | ||||||
ESSA Bancorp, Inc. | 1,143 | 15,808 | ||||||
EverBank Financial Corp. | 15,432 | 298,764 |
The accompanying notes are an integral part of the financial statements.
164
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
First Defiance Financial Corp. | 1,318 | $ | 58,836 | |||||
First Financial Northwest, Inc. | 1,353 | 19,172 | ||||||
Flagstar Bancorp, Inc. (a) | 3,131 | 86,885 | ||||||
Flushing Financial Corp. | 4,160 | 98,675 | ||||||
Greene County Bancorp, Inc. | 571 | 9,519 | ||||||
Hingham Institution for Savings | 204 | 28,254 | ||||||
Home Bancorp Inc. | 859 | 24,052 | ||||||
HomeStreet, Inc. (a) | 3,514 | 88,061 | ||||||
HomeTrust Bancshares, Inc. (a) | 2,476 | 45,806 | ||||||
Investors Bancorp, Inc. | 44,605 | 535,706 | ||||||
Lake Sunapee Bank Group | 1,177 | 21,268 | ||||||
Meridian Bancorp, Inc. | 7,189 | 111,933 | ||||||
Meta Financial Group, Inc. | 1,233 | 74,732 | ||||||
MutualFirst Financial, Inc. | 819 | 22,711 | ||||||
Northfield Bancorp, Inc. | 6,256 | 100,722 | ||||||
OceanFirst Financial Corp. | 3,051 | 58,762 | ||||||
Oritani Financial Corp. | 5,752 | 90,421 | ||||||
Pacific Premier Bancorp, Inc. (a) | 4,081 | 107,983 | ||||||
Provident Financial Holdings, Inc. | 983 | 19,227 | ||||||
Provident Financial Services, Inc. | 9,088 | 192,938 | ||||||
SI Financial Group, Inc. | 1,653 | 21,820 | ||||||
Southern Missouri Bancorp, Inc. | 876 | 21,812 | ||||||
Sterling Bancorp | 18,983 | 332,202 | ||||||
Territorial Bancorp, Inc. | 1,112 | 31,870 | ||||||
United Community Financial Corp. | 7,076 | 50,310 | ||||||
United Financial Bancorp, Inc. | 7,502 | 103,828 | ||||||
Washington Federal, Inc. | 13,611 | 363,141 | ||||||
Waterstone Financial, Inc. | 3,782 | 64,256 | ||||||
Westfield Financial, Inc. | 2,323 | 17,771 | ||||||
WSFS Financial Corp. | 4,298 | 156,834 | ||||||
|
| |||||||
4,730,816 | ||||||||
|
| |||||||
67,001,568 | ||||||||
|
| |||||||
Industrial — 13.2% | ||||||||
Aerospace & Defense — 1.3% | ||||||||
AAR Corp. | 4,950 | 155,034 | ||||||
Aerojet Rocketdyne Holdings, Inc. (a) | 8,928 | 156,954 | ||||||
Aerovironment, Inc. (a) | 3,071 | 74,963 | ||||||
Astronics Corp. (a) | 2,895 | 130,420 | ||||||
Cubic Corp. | 3,775 | 176,708 | ||||||
Curtiss-Wright Corp. | 6,635 | 604,515 | ||||||
Ducommun, Inc. (a) | 1,606 | 36,681 | ||||||
Esterline Technologies Corp. (a) | 4,432 | 337,009 | ||||||
Kaman Corp. | 4,031 | 177,041 | ||||||
KLX, Inc. (a) | 7,919 | 278,749 | ||||||
Kratos Defense & Security Solutions, Inc. (a) | 6,938 | 47,803 | ||||||
MACOM Technology Solutions Holdings, Inc. (a) | 3,495 | 147,978 | ||||||
Moog, Inc. Class A (a) | 4,794 | 285,435 | ||||||
Teledyne Technologies, Inc. (a) | 5,124 | 553,033 |
Number of Shares | Value | |||||||
Triumph Group, Inc. | 7,394 | $ | 206,145 | |||||
|
| |||||||
3,368,468 | ||||||||
|
| |||||||
Building Materials — 1.5% | ||||||||
AAON, Inc. | 6,062 | 174,707 | ||||||
Apogee Enterprises, Inc. | 4,242 | 189,575 | ||||||
Armstrong Flooring, Inc. (a) | 3,508 | 66,231 | ||||||
Boise Cascade Co. (a) | 5,881 | 149,377 | ||||||
Builders FirstSource, Inc. (a) | 12,574 | 144,727 | ||||||
Caesarstone Ltd. (a) | 3,574 | 134,776 | ||||||
Comfort Systems USA, Inc. | 5,566 | 163,139 | ||||||
Continental Building Products, Inc. (a) | 5,286 | 110,953 | ||||||
Drew Industries, Inc. | 3,561 | 349,049 | ||||||
Gibraltar Industries, Inc. (a) | 4,729 | 175,682 | ||||||
Louisiana-Pacific Corp. (a) | 21,615 | 407,010 | ||||||
LSI Industries, Inc. | 3,576 | 40,159 | ||||||
Masonite International Corp. (a) | 4,552 | 282,998 | ||||||
NCI Building Systems, Inc. (a) | 4,105 | 59,892 | ||||||
Patrick Industries, Inc. (a) | 2,178 | 134,862 | ||||||
PGT, Inc. (a) | 7,181 | 76,621 | ||||||
Ply Gem Holdings, Inc. (a) | 3,295 | 44,021 | ||||||
Quanex Building Products Corp. | 5,138 | 88,682 | ||||||
Simpson Manufacturing Co., Inc. | 6,207 | 272,798 | ||||||
Summit Materials, Inc. Class A (a) | 11,417 | 211,785 | ||||||
Trex Co., Inc. (a) | 4,421 | 259,601 | ||||||
Universal Forest Products, Inc. | 2,973 | 292,811 | ||||||
US Concrete, Inc. (a) | 2,137 | 98,441 | ||||||
|
| |||||||
3,927,897 | ||||||||
|
| |||||||
Electrical Components & Equipment — 1.1% | ||||||||
Advanced Energy Industries, Inc. (a) | 5,926 | 280,418 | ||||||
American Superconductor Corp. (a) | 1,483 | 10,396 | ||||||
Belden, Inc. | 6,288 | 433,809 | ||||||
Encore Wire Corp. | 3,058 | 112,443 | ||||||
Energous Corp. (a) | 2,223 | 43,593 | ||||||
EnerSys | 6,515 | 450,773 | ||||||
Generac Holdings, Inc. (a) | 9,800 | 355,740 | ||||||
General Cable Corp. | 7,301 | 109,369 | ||||||
Graham Corp. | 1,442 | 27,542 | ||||||
Insteel Industries, Inc. | 2,627 | 95,203 | ||||||
Littelfuse, Inc. | 3,324 | 428,164 | ||||||
Novanta, Inc. (a) | 4,747 | 82,360 | ||||||
Powell Industries, Inc. | 1,307 | 52,345 | ||||||
SPX Corp. (a) | 6,232 | 125,513 | ||||||
Universal Display Corp. (a) | 6,219 | 345,217 | ||||||
Vicor Corp. (a) | 2,376 | 27,562 | ||||||
|
| |||||||
2,980,447 | ||||||||
|
| |||||||
Electronics — 2.3% | ||||||||
Allied Motion Technologies, Inc. | 910 | 17,208 | ||||||
Analogic Corp. | 1,865 | 165,239 | ||||||
Applied Optoelectronics, Inc. (a) | 2,398 | 53,260 | ||||||
AVX Corp. | 6,956 | 95,923 | ||||||
Badger Meter, Inc. | 4,197 | 140,641 |
The accompanying notes are an integral part of the financial statements.
165
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Bel Fuse, Inc. Class B | 1,376 | $ | 33,217 | |||||
Benchmark Electronics, Inc. (a) | 7,421 | 185,154 | ||||||
Brady Corp. Class A | 6,856 | 237,286 | ||||||
Coherent, Inc. (a) | 3,629 | 401,150 | ||||||
Control4 Corp. (a) | 2,900 | 35,612 | ||||||
CTS Corp. | 4,700 | 87,420 | ||||||
Daktronics, Inc. | 5,452 | 52,012 | ||||||
Electro Scientific Industries, Inc. (a) | 4,144 | 23,372 | ||||||
Fabrinet (a) | 5,238 | 233,562 | ||||||
Faro Technologies, Inc. (a) | 2,486 | 89,372 | ||||||
Fluidigm Corp. (a) | 4,261 | 34,131 | ||||||
GoPro, Inc. Class A (a) | 15,148 | 252,669 | ||||||
II-VI, Inc. (a) | 8,926 | 217,170 | ||||||
IMAX Corp. (a) | 8,861 | 256,703 | ||||||
InvenSense, Inc. (a) | 12,268 | 91,029 | ||||||
Itron, Inc. (a) | 5,013 | 279,525 | ||||||
Kimball Electronics, Inc. (a) | 4,214 | 58,406 | ||||||
Knowles Corp. (a) | 13,240 | 186,022 | ||||||
Mesa Laboratories, Inc. | 450 | 51,462 | ||||||
Methode Electronics, Inc. | 5,474 | 191,426 | ||||||
NVE Corp. | 698 | 41,140 | ||||||
OSI Systems, Inc. (a) | 2,626 | 171,688 | ||||||
Park Electrochemical Corp. | 2,904 | 50,442 | ||||||
Plexus Corp. (a) | 5,000 | 233,900 | ||||||
Rofin-Sinar Technologies, Inc. (a) | 4,040 | 130,007 | ||||||
Rogers Corp. (a) | 2,703 | 165,099 | ||||||
Sanmina Corp. (a) | 11,017 | 313,654 | ||||||
Sparton Corp. (a) | 1,447 | 37,998 | ||||||
Stoneridge, Inc. (a) | 4,021 | 73,986 | ||||||
Taser International, Inc. (a) | 7,841 | 224,331 | ||||||
TTM Technologies, Inc. (a) | 10,865 | 124,404 | ||||||
Vishay Intertechnology, Inc. | 20,463 | 288,324 | ||||||
Vishay Precision Group, Inc. (a) | 1,797 | 28,806 | ||||||
Watts Water Technologies, Inc. Class A | 4,171 | 270,448 | ||||||
Woodward, Inc. | 7,937 | 495,904 | ||||||
Zagg, Inc. (a) | 4,314 | 34,943 | ||||||
|
| |||||||
6,154,045 | ||||||||
|
| |||||||
Engineering & Construction — 0.8% | ||||||||
Aegion Corp. (a) | 5,251 | 100,137 | ||||||
Argan, Inc. | 2,005 | 118,676 | ||||||
Dycom Industries, Inc. (a) | 4,574 | 374,062 | ||||||
EMCOR Group, Inc. | 9,082 | 541,469 | ||||||
Granite Construction, Inc. | 5,930 | 294,958 | ||||||
IES Holdings, Inc. (a) | 1,178 | 20,957 | ||||||
Layne Christensen Co. (a) | 2,727 | 23,207 | ||||||
McDermott International, Inc. (a) | 36,217 | 181,447 | ||||||
Mistras Group, Inc. (a) | 2,575 | 60,435 | ||||||
MYR Group, Inc. (a) | 2,247 | 67,635 | ||||||
Orion Marine Group, Inc. (a) | 4,017 | 27,516 | ||||||
TopBuild Corp. (a) | 5,776 | 191,763 | ||||||
Tutor Perini Corp. (a) | 5,666 | 121,649 |
Number of Shares | Value | |||||||
VSE Corp. | 1,300 | $ | 44,187 | |||||
|
| |||||||
2,168,098 | ||||||||
|
| |||||||
Environmental Controls — 0.5% | ||||||||
Aqua Metals, Inc. (a) | 1,481 | 13,122 | ||||||
Calgon Carbon Corp. | 7,553 | 114,579 | ||||||
Casella Waste Systems, Inc. Class A (a) | 5,718 | 58,895 | ||||||
Ceco Environmental Corp. | 4,388 | 49,497 | ||||||
Darling Ingredients, Inc. (a) | 24,638 | 332,859 | ||||||
Energy Recovery, Inc. (a) | 5,165 | 82,537 | ||||||
Heritage-Crystal Clean, Inc. (a) | 1,996 | 26,507 | ||||||
MSA Safety, Inc. | 4,657 | 270,292 | ||||||
Tetra Technologies, Inc. | 8,661 | 307,206 | ||||||
TRC Cos., Inc. (a) | 2,780 | 24,102 | ||||||
US Ecology, Inc. | 3,275 | 146,851 | ||||||
|
| |||||||
1,426,447 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.3% | ||||||||
Franklin Electric Co., Inc. | 6,911 | 281,347 | ||||||
Hardinge, Inc. | 1,705 | 18,976 | ||||||
Kennametal, Inc. | 11,850 | 343,887 | ||||||
Milacron Holdings Corp. (a) | 2,129 | 33,979 | ||||||
|
| |||||||
678,189 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.3% | ||||||||
Astec Industries, Inc. | 2,904 | 173,862 | ||||||
Babcock & Wilcox Enterprises, Inc. (a) | 6,861 | 113,207 | ||||||
Hyster-Yale Materials Handling, Inc. | 1,421 | 85,445 | ||||||
Joy Global, Inc. | 14,780 | 409,997 | ||||||
|
| |||||||
782,511 | ||||||||
|
| |||||||
Machinery – Diversified — 0.8% | ||||||||
Alamo Group, Inc. | 1,419 | 93,498 | ||||||
Albany International Corp. Class A | 4,297 | 182,107 | ||||||
Altra Industrial Motion Corp. | 3,795 | 109,941 | ||||||
Applied Industrial Technologies, Inc. | 5,451 | 254,780 | ||||||
Briggs & Stratton Corp. | 6,373 | 118,857 | ||||||
Chart Industries, Inc. (a) | 4,586 | 150,558 | ||||||
Columbus McKinnon Corp. | 2,917 | 52,039 | ||||||
DXP Enterprises, Inc. (a) | 1,945 | 54,830 | ||||||
The ExOne Co. (a) | 1,642 | 24,991 | ||||||
Gencor Industries, Inc. (a) | 1,016 | 12,172 | ||||||
The Gorman-Rupp Co. | 2,646 | 67,764 | ||||||
Hurco Cos., Inc. | 959 | 26,919 | ||||||
iRobot Corp. (a) | 4,019 | 176,756 | ||||||
Kadant, Inc. | 1,611 | 83,949 | ||||||
Lindsay Corp. | 1,593 | 117,850 | ||||||
The Manitowoc Co., Inc. | 19,090 | 91,441 | ||||||
NACCO Industries, Inc. Class A | 566 | 38,465 | ||||||
Power Solutions International, Inc. (a) | 908 | 9,307 | ||||||
Proto Labs, Inc. (a) | 3,699 | 221,607 | ||||||
SPX FLOW, Inc. (a) | 5,295 | 163,721 |
The accompanying notes are an integral part of the financial statements.
166
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Tennant Co. | 2,626 | $ | 170,165 | |||||
|
| |||||||
2,221,717 | ||||||||
|
| |||||||
Manufacturing — 1.6% | ||||||||
Actuant Corp. Class A | 8,820 | 204,977 | ||||||
American Railcar Industries, Inc. | 1,166 | 48,354 | ||||||
AZZ, Inc. | 3,886 | 253,639 | ||||||
Barnes Group, Inc. | 7,537 | 305,625 | ||||||
The Brink’s Co. | 6,754 | 250,438 | ||||||
Chase Corp. | 1,057 | 73,060 | ||||||
CLARCOR, Inc. | 7,138 | 463,970 | ||||||
EnPro Industries, Inc. | 3,236 | 183,869 | ||||||
ESCO Technologies, Inc. | 3,770 | 175,003 | ||||||
Federal Signal Corp. | 8,998 | 119,313 | ||||||
FreightCar America, Inc. | 1,765 | 25,381 | ||||||
GP Strategies Corp. (a) | 1,877 | 46,212 | ||||||
Griffon Corp. | 4,543 | 77,276 | ||||||
Handy & Harman Ltd. (a) | 563 | 11,846 | ||||||
Harsco Corp. | 12,092 | 120,074 | ||||||
John Bean Technologies Corp. | 4,369 | 308,233 | ||||||
Koppers Holdings, Inc. (a) | 3,077 | 99,018 | ||||||
LSB Industries, Inc. (a) | 3,124 | 26,804 | ||||||
Lydall, Inc. (a) | 2,497 | 127,672 | ||||||
Matthews International Corp. Class A | 4,789 | 290,980 | ||||||
Myers Industries, Inc. | 3,254 | 42,269 | ||||||
NL Industries, Inc. (a) | 1,398 | 5,494 | ||||||
Park-Ohio Holdings Corp. | 1,275 | 46,474 | ||||||
Raven Industries, Inc. | 5,440 | 125,283 | ||||||
Smith & Wesson Holding Corp. (a) | 8,222 | 218,623 | ||||||
Standex International Corp. | 1,905 | 176,917 | ||||||
Sturm, Ruger & Co., Inc. | 2,786 | 160,919 | ||||||
Tredegar Corp. | 3,808 | 70,791 | ||||||
Trimas Corp. (a) | 6,767 | 125,934 | ||||||
Trinseo SA | 4,310 | 243,774 | ||||||
|
| |||||||
4,428,222 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 0.9% | ||||||||
Advanced Drainage Systems, Inc. | 5,209 | 125,328 | ||||||
Ampco-Pittsburgh Corp. | 1,101 | 12,210 | ||||||
Atkore International Group, Inc. (a) | 1,819 | 34,088 | ||||||
Circor International, Inc. | 2,473 | 147,292 | ||||||
Commercial Metals Co. | 17,222 | 278,824 | ||||||
Dynamic Materials Corp. | 2,110 | 22,493 | ||||||
Global Brass & Copper Holdings, Inc. | 3,142 | 90,772 | ||||||
Haynes International, Inc. | 1,843 | 68,394 | ||||||
Lawson Products, Inc. (a) | 900 | 15,957 | ||||||
Mueller Industries, Inc. | 8,502 | 275,635 | ||||||
Mueller Water Products, Inc. Class A | 23,390 | 293,544 | ||||||
NN, Inc. | 3,956 | 72,197 | ||||||
Omega Flex, Inc. | 421 | 16,234 | ||||||
RBC Bearings, Inc. (a) | 3,404 | 260,338 | ||||||
Rexnord Corp. (a) | 12,443 | 266,405 | ||||||
Sun Hydraulics Corp. | 3,489 | 112,590 | ||||||
TimkenSteel Corp. | 5,926 | 61,927 |
Number of Shares | Value | |||||||
Worthington Industries, Inc. | 6,747 | $ | 324,058 | |||||
|
| |||||||
2,478,286 | ||||||||
|
| |||||||
Packaging & Containers — 0.1% | ||||||||
AEP Industries, Inc. | 606 | 66,278 | ||||||
Greif, Inc. | 858 | 51,986 | ||||||
Greif, Inc. Class A | 3,837 | 190,277 | ||||||
Multi Packaging Solutions International Ltd. (a) | 3,185 | 45,896 | ||||||
UFP Technologies, Inc. (a) | 962 | 25,493 | ||||||
|
| |||||||
379,930 | ||||||||
|
| |||||||
Transportation — 1.5% | ||||||||
Air Transport Services Group, Inc. (a) | 7,272 | 104,353 | ||||||
ArcBest Corp. | 3,693 | 70,241 | ||||||
Ardmore Shipping Corp. | 4,225 | 29,744 | ||||||
Atlas Air Worldwide Holdings, Inc. (a) | 3,664 | 156,892 | ||||||
Bristow Group, Inc. | 4,984 | 69,876 | ||||||
CAI International, Inc. (a) | 2,252 | 18,624 | ||||||
Celadon Group, Inc. | 4,134 | 36,131 | ||||||
Costamare, Inc. | 3,967 | 36,258 | ||||||
Covenant Transportation Group, Inc. Class A (a) | 1,782 | 34,446 | ||||||
DHT Holdings, Inc. | 13,602 | 56,992 | ||||||
Dorian LPG Ltd. (a) | 3,581 | 21,486 | ||||||
Echo Global Logistics, Inc. (a) | 4,271 | 98,489 | ||||||
Era Group, Inc. (a) | 2,980 | 23,989 | ||||||
Forward Air Corp. | 4,468 | 193,286 | ||||||
Frontline Ltd. | 9,736 | 69,807 | ||||||
GasLog Ltd. | 6,092 | 88,639 | ||||||
Gener8 Maritime, Inc. (a) | 5,888 | 30,147 | ||||||
Golar LNG Ltd. | 13,330 | 282,596 | ||||||
Heartland Express, Inc. | 6,907 | 130,404 | ||||||
Hub Group, Inc. Class A (a) | 5,019 | 204,574 | ||||||
Knight Transportation, Inc. | 10,043 | 288,134 | ||||||
Marten Transport Ltd. | 3,423 | 71,883 | ||||||
Matson, Inc. | 6,487 | 258,702 | ||||||
Navios Maritime Acquisition Corp. | 11,360 | 15,336 | ||||||
Nordic American Tankers Ltd. | 13,080 | 132,239 | ||||||
Overseas Shipholding Group, Inc. Class A | 5,319 | 56,222 | ||||||
PAM Transportation Services, Inc. (a) | 400 | 8,008 | ||||||
PHI, Inc. (a) | 1,723 | 31,307 | ||||||
Radiant Logistics, Inc. (a) | 5,214 | 14,808 | ||||||
Roadrunner Transportation Systems, Inc. (a) | 4,593 | 36,652 | ||||||
Saia, Inc. (a) | 3,782 | 113,309 | ||||||
Scorpio Bulkers, Inc. (a) | 8,375 | 28,978 | ||||||
Scorpio Tankers, Inc. | 24,505 | 113,458 | ||||||
Ship Finance International Ltd. | 8,962 | 132,010 | ||||||
Swift Transportation Co. (a) | 11,205 | 240,571 | ||||||
Teekay Corp. | 6,590 | 50,809 | ||||||
Teekay Tankers Ltd. Class A | 17,480 | 44,224 | ||||||
Universal Logistics Holdings, Inc. | 1,202 | 16,131 |
The accompanying notes are an integral part of the financial statements.
167
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
USA Truck, Inc. (a) | 1,273 | $ | 13,036 | |||||
Werner Enterprises, Inc. | 6,708 | 156,095 | ||||||
XPO Logistics, Inc. (a) | 14,685 | 538,499 | ||||||
YRC Worldwide, Inc. (a) | 4,884 | 60,171 | ||||||
|
| |||||||
4,177,556 | ||||||||
|
| |||||||
Trucking & Leasing — 0.2% | ||||||||
Aircastle Ltd. | 7,168 | 142,357 | ||||||
GATX Corp. | 6,140 | 273,537 | ||||||
The Greenbrier Cos., Inc. | 4,071 | 143,706 | ||||||
Textainer Group Holdings Ltd. | 3,365 | 25,204 | ||||||
Willis Lease Finance Corp. (a) | 585 | 13,905 | ||||||
|
| |||||||
598,709 | ||||||||
|
| |||||||
35,770,522 | ||||||||
|
| |||||||
Technology — 10.5% | ||||||||
Computers — 2.6% | ||||||||
3D Systems Corp. (a) | 16,084 | 288,708 | ||||||
A10 Networks, Inc. (a) | 6,604 | 70,597 | ||||||
Agilysys, Inc. (a) | 2,242 | 24,931 | ||||||
CACI International, Inc. Class A (a) | 3,648 | 368,083 | ||||||
Carbonite, Inc. (a) | 2,759 | 42,378 | ||||||
Cogint, Inc. (a) | 1,930 | 9,824 | ||||||
Cray, Inc. (a) | 6,042 | 142,229 | ||||||
Datalink Corp. (a) | 2,958 | 31,384 | ||||||
Diebold, Inc. | 10,259 | 254,321 | ||||||
Digimarc Corp. (a) | 1,449 | 55,569 | ||||||
Electronics for Imaging, Inc. (a) | 7,047 | 344,739 | ||||||
Engility Holdings, Inc. (a) | 2,731 | 86,027 | ||||||
FleetMatics Group PLC (a) | 5,877 | 352,502 | ||||||
Immersion Corp. (a) | 4,340 | 35,414 | ||||||
j2 Global, Inc. | 7,065 | 470,600 | ||||||
The KEYW Holding Corp. (a) | 5,382 | 59,417 | ||||||
LivePerson, Inc. (a) | 7,993 | 67,221 | ||||||
LogMeIn, Inc. | 3,776 | 341,313 | ||||||
Lumentum Holdings, Inc. (a) | 7,576 | 316,450 | ||||||
MAXIMUS, Inc. | 9,625 | 544,390 | ||||||
Maxwell Technologies, Inc. (a) | 4,743 | 24,474 | ||||||
Mentor Graphics Corp. | 16,069 | 424,864 | ||||||
Mercury Computer Systems, Inc. (a) | 5,866 | 144,128 | ||||||
Mitek Systems, Inc. (a) | 4,424 | 36,675 | ||||||
MTS Systems Corp. | 2,510 | 115,535 | ||||||
NCI, Inc. Class A | 700 | 8,099 | ||||||
NetScout Systems, Inc. (a) | 13,428 | 392,769 | ||||||
Nimble Storage, Inc. (a) | 9,442 | 83,373 | ||||||
Pure Storage, Inc. Class A (a) | 10,211 | 138,359 | ||||||
RadiSys Corp. (a) | 5,351 | 28,601 | ||||||
Science Applications International Corp. | 6,343 | 440,014 | ||||||
SecureWorks Corp. Class A (a) | 739 | 9,245 | ||||||
Silicon Graphics International Corp. (a) | 5,428 | 41,796 | ||||||
Silver Spring Networks, Inc. (a) | 5,683 | 80,585 | ||||||
Stratasys Ltd. (a) | 7,355 | 177,182 |
Number of Shares | Value | |||||||
Super Micro Computer, Inc. (a) | 5,795 | $ | 135,429 | |||||
Sykes Enterprises, Inc. (a) | 5,807 | 163,351 | ||||||
Synaptics, Inc. (a) | 5,256 | 307,896 | ||||||
Syntel, Inc. (a) | 4,842 | 202,928 | ||||||
Unisys Corp. (a) | 7,636 | 74,375 | ||||||
USA Technologies, Inc. (a) | 5,382 | 30,166 | ||||||
Varonis Systems, Inc. (a) | 1,602 | 48,220 | ||||||
Virtusa Corp. (a) | 4,146 | 102,323 | ||||||
|
| |||||||
7,116,484 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.0% | ||||||||
ARC Document Solutions, Inc. (a) | 6,379 | 23,857 | ||||||
Eastman Kodak Co. (a) | 2,520 | 37,800 | ||||||
|
| |||||||
61,657 | ||||||||
|
| |||||||
Semiconductors — 3.3% | ||||||||
Advanced Micro Devices, Inc. (a) | 112,728 | 778,950 | ||||||
Alpha & Omega Semiconductor Ltd. (a) | 2,783 | 60,447 | ||||||
Ambarella, Inc. (a) | 4,800 | 353,328 | ||||||
Amkor Technology, Inc. (a) | 15,012 | 145,917 | ||||||
Applied Micro Circuits Corp. (a) | 11,398 | 79,216 | ||||||
Axcelis Technologies, Inc. (a) | 4,408 | 58,538 | ||||||
Brooks Automation, Inc. | 10,189 | 138,672 | ||||||
Cabot Microelectronics Corp. | 3,535 | 187,037 | ||||||
Cavium, Inc. (a) | 9,671 | 562,852 | ||||||
Ceva, Inc. (a) | 2,955 | 103,632 | ||||||
Cirrus Logic, Inc. (a) | 9,396 | 499,397 | ||||||
Cohu, Inc. | 4,040 | 47,430 | ||||||
Diodes, Inc. (a) | 5,712 | 121,894 | ||||||
DSP Group, Inc. (a) | 3,185 | 38,252 | ||||||
EMCORE Corp. | 3,930 | 22,401 | ||||||
Entegris, Inc. (a) | 21,209 | 369,461 | ||||||
Exar Corp. (a) | 6,127 | 57,042 | ||||||
Formfactor, Inc. (a) | 10,314 | 111,907 | ||||||
GigPeak, Inc. (a) | 6,525 | 15,334 | ||||||
Impinj, Inc. (a) | 837 | 31,321 | ||||||
Inphi Corp. (a) | 6,024 | 262,104 | ||||||
Integrated Device Technology, Inc. (a) | 20,211 | 466,874 | ||||||
Intersil Corp. Class A | 20,142 | 441,714 | ||||||
IXYS Corp. | 3,724 | 44,874 | ||||||
Kopin Corp. (a) | 9,568 | 20,858 | ||||||
Lattice Semiconductor Corp. (a) | 17,984 | 116,716 | ||||||
MaxLinear, Inc. Class A (a) | 8,377 | 169,802 | ||||||
Microsemi Corp. (a) | 17,075 | 716,808 | ||||||
MKS Instruments, Inc. | 7,986 | 397,144 | ||||||
Monolithic Power Systems, Inc. | 5,838 | 469,959 | ||||||
Nanometrics, Inc. (a) | 3,528 | 78,815 | ||||||
Photronics, Inc. (a) | 9,725 | 100,265 | ||||||
Power Integrations, Inc. | 4,112 | 259,179 | ||||||
Rambus, Inc. (a) | 16,325 | 204,062 | ||||||
Rudolph Technologies, Inc. (a) | 4,497 | 79,777 | ||||||
Semtech Corp. (a) | 9,653 | 267,678 | ||||||
Sigma Designs, Inc. (a) | 5,388 | 41,973 |
The accompanying notes are an integral part of the financial statements.
168
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Silicon Laboratories, Inc. (a) | 6,190 | $ | 363,972 | |||||
Tessera Technologies, Inc. | 7,390 | 284,072 | ||||||
Ultra Clean Holdings, Inc. (a) | 4,826 | 35,761 | ||||||
Ultratech, Inc. (a) | 3,247 | 74,941 | ||||||
Veeco Instruments, Inc. (a) | 5,924 | 116,288 | ||||||
Xcerra Corp. (a) | 7,841 | 47,516 | ||||||
|
| |||||||
8,844,180 | ||||||||
|
| |||||||
Software — 4.6% | ||||||||
2U, Inc. (a) | 5,498 | 210,518 | ||||||
ACI Worldwide, Inc. (a) | 17,290 | 335,080 | ||||||
Actua Corp. (a) | 5,398 | 69,904 | ||||||
Acxiom Corp. (a) | 11,624 | 309,780 | ||||||
Amber Road, Inc. (a) | 2,725 | 26,296 | ||||||
American Software, Inc. Class A | 3,859 | 42,835 | ||||||
Apigee Corp. (a) | 2,312 | 40,229 | ||||||
Appfolio, Inc. Class A (a) | 1,142 | 22,200 | ||||||
Aspen Technology, Inc. (a) | 12,399 | 580,149 | ||||||
AVG Technologies NV (a) | 6,303 | 157,638 | ||||||
Avid Technology, Inc. (a) | 4,945 | 39,263 | ||||||
Benefitfocus, Inc. (a) | 1,933 | 77,165 | ||||||
Blackbaud, Inc. | 7,074 | 469,289 | ||||||
Bottomline Technologies, Inc. (a) | 5,989 | 139,604 | ||||||
BroadSoft, Inc. (a) | 4,409 | 205,239 | ||||||
Callidus Software, Inc. (a) | 9,133 | 167,591 | ||||||
Castlight Health, Inc. Class B (a) | 6,059 | 25,205 | ||||||
CommVault Systems, Inc. (a) | 5,800 | 308,154 | ||||||
Computer Programs & Systems, Inc. | 1,664 | 43,364 | ||||||
Cornerstone OnDemand, Inc. (a) | 7,550 | 346,922 | ||||||
CSG Systems International, Inc. | 4,794 | 198,136 | ||||||
Cvent, Inc. (a) | 4,521 | 143,361 | ||||||
Digi International, Inc. (a) | 3,892 | 44,369 | ||||||
Ebix, Inc. | 3,779 | 214,836 | ||||||
Envestnet, Inc. (a) | 6,213 | 226,464 | ||||||
EPAM Systems, Inc. (a) | 7,228 | 500,973 | ||||||
EPIQ Systems, Inc. | 3,496 | 57,649 | ||||||
Everyday Health, Inc. (a) | 4,251 | 32,690 | ||||||
Evolent Health, Inc. Class A (a) | 2,285 | 56,257 | ||||||
Exa Corp. (a) | 2,084 | 33,448 | ||||||
Fair Isaac Corp. | 4,644 | 578,596 | ||||||
Five9, Inc. (a) | 4,955 | 77,694 | ||||||
Globant SA (a) | 3,855 | 162,373 | ||||||
Glu Mobile, Inc. (a) | 15,464 | 34,639 | ||||||
Guidance Software, Inc. (a) | 3,397 | 20,246 | ||||||
Hortonworks, Inc. (a) | 6,053 | 50,543 | ||||||
HubSpot, Inc. (a) | 4,326 | 249,264 | ||||||
Imperva, Inc. (a) | 4,299 | 230,899 | ||||||
inContact, Inc. (a) | 8,804 | 123,080 | ||||||
Infoblox, Inc. (a) | 8,447 | 222,747 | ||||||
InnerWorkings, Inc. (a) | 5,765 | 54,306 | ||||||
Instructure, Inc. (a) | 1,578 | 40,034 | ||||||
Interactive Intelligence Group, Inc. (a) | 2,694 | 162,017 | ||||||
Jive Software, Inc. (a) | 8,643 | 36,819 |
Number of Shares | Value | |||||||
Majesco (a) | 1,107 | $ | 5,635 | |||||
ManTech International Corp. Class A | 3,708 | 139,755 | ||||||
Medidata Solutions, Inc. (a) | 8,245 | 459,741 | ||||||
MicroStrategy, Inc. Class A (a) | 1,424 | 238,435 | ||||||
MINDBODY, Inc. Class A (a) | 2,164 | 42,544 | ||||||
MobileIron, Inc. (a) | 6,906 | 18,992 | ||||||
Model N, Inc. (a) | 3,325 | 36,941 | ||||||
Monotype Imaging Holdings, Inc. | 6,082 | 134,473 | ||||||
NantHealth, Inc. (a) | 992 | 13,045 | ||||||
New Relic, Inc. (a) | 3,294 | 126,226 | ||||||
Omnicell, Inc. (a) | 5,309 | 203,335 | ||||||
Park City Group, Inc. (a) | 1,936 | 22,845 | ||||||
Paycom Software, Inc. (a) | 6,599 | 330,808 | ||||||
PDF Solutions, Inc. (a) | 3,983 | 72,371 | ||||||
pdvWireless, Inc. (a) | 1,467 | 33,594 | ||||||
Pegasystems, Inc. | 5,401 | 159,275 | ||||||
Planet Payment, Inc. (a) | 6,373 | 23,644 | ||||||
Press Ganey Holdings, Inc. (a) | 3,319 | 134,088 | ||||||
Progress Software Corp. (a) | 7,510 | 204,272 | ||||||
Proofpoint, Inc. (a) | 6,120 | 458,082 | ||||||
PROS Holdings, Inc. (a) | 3,776 | 85,375 | ||||||
QAD, Inc. Class A | 1,404 | 31,422 | ||||||
Quality Systems, Inc. | 7,674 | 86,870 | ||||||
Qualys, Inc. (a) | 4,078 | 155,739 | ||||||
RealPage, Inc. (a) | 8,105 | 208,299 | ||||||
Rosetta Stone, Inc. (a) | 2,902 | 24,609 | ||||||
Sapiens International Corp. NV | 3,639 | 46,470 | ||||||
Synchronoss Technologies, Inc. (a) | 6,190 | 254,904 | ||||||
SYNNEX Corp. | 4,384 | 500,258 | ||||||
Take-Two Interactive Software, Inc. (a) | 12,479 | 562,553 | ||||||
Tangoe, Inc./CT (a) | 4,151 | 34,246 | ||||||
Verint Systems, Inc. (a) | �� | 9,312 | 350,411 | |||||
Workiva, Inc. (a) | 3,288 | 59,611 | ||||||
Xactly Corp. (a) | 3,429 | 50,475 | ||||||
|
| |||||||
12,477,208 | ||||||||
|
| |||||||
28,499,529 | ||||||||
|
| |||||||
Utilities — 3.5% | ||||||||
Electric — 1.9% | ||||||||
Allete, Inc. | 7,448 | 444,050 | ||||||
Ameresco, Inc. Class A (a) | 3,036 | 15,969 | ||||||
Atlantic Power Corp. | 18,344 | 45,310 | ||||||
Atlantica Yield PLC | 8,828 | 167,820 | ||||||
Avista Corp. | 9,485 | 396,378 | ||||||
Black Hills Corp. | 7,740 | 473,843 | ||||||
Dynegy, Inc. (a) | 17,532 | 217,221 | ||||||
El Paso Electric Co. | 6,062 | 283,520 | ||||||
The Empire District Electric Co. | 6,607 | 225,563 | ||||||
EnerNOC, Inc. (a) | 4,172 | 22,570 | ||||||
Genie Energy Ltd. Class B | 1,542 | 9,098 | ||||||
IDACORP, Inc. | 7,577 | 593,128 | ||||||
MGE Energy, Inc. | 5,249 | 296,621 |
The accompanying notes are an integral part of the financial statements.
169
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
NorthWestern Corp. | 7,296 | $ | 419,739 | |||||
NRG Yield, Inc. Class A | 5,251 | 85,696 | ||||||
NRG Yield, Inc. Class C | 9,525 | 161,544 | ||||||
Ormat Technologies, Inc. | 5,832 | 282,327 | ||||||
Otter Tail Corp. | 5,691 | 196,852 | ||||||
Portland General Electric Co. | 13,433 | 572,111 | ||||||
Spark Energy, Inc. Class A | 735 | 21,411 | ||||||
Talen Energy Corp. (a) | 12,642 | 175,092 | ||||||
Unitil Corp. | 2,101 | 82,065 | ||||||
|
| |||||||
5,187,928 | ||||||||
|
| |||||||
Gas — 1.3% | ||||||||
Chesapeake Utilities Corp. | 2,202 | 134,454 | ||||||
Delta Natural Gas Co., Inc. | 1,028 | 24,518 | ||||||
New Jersey Resources Corp. | 12,872 | 422,974 | ||||||
Northwest Natural Gas Co. | 4,076 | 245,008 | ||||||
ONE Gas, Inc. | 7,809 | 482,909 | ||||||
PNM Resources, Inc. | 12,022 | 393,360 | ||||||
South Jersey Industries, Inc. | 11,976 | 353,891 | ||||||
Southwest Gas Corp. | 7,099 | 495,936 | ||||||
Spire, Inc. | 6,682 | 425,911 | ||||||
WGL Holdings, Inc. | 7,569 | 474,576 | ||||||
|
| |||||||
3,453,537 | ||||||||
|
| |||||||
Water — 0.3% | ||||||||
American States Water Co. | 5,482 | 219,554 | ||||||
Artesian Resources Corp. Class A | 1,186 | 33,848 | ||||||
California Water Service Group | 7,210 | 231,369 | ||||||
Connecticut Water Service, Inc. | 1,644 | 81,756 | ||||||
Consolidated Water Co., Inc. | 2,235 | 25,971 | ||||||
Global Water Resources, Inc. | 932 | 7,465 | ||||||
Middlesex Water Co. | 2,372 | 83,589 | ||||||
Pico Holdings, Inc. (a) | 3,274 | 38,601 | ||||||
SJW Corp. | 2,448 | 106,929 | ||||||
The York Water Co. | 1,964 | 58,252 | ||||||
|
| |||||||
887,334 | ||||||||
|
| |||||||
9,528,799 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $251,331,445) | 261,570,742 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $251,331,445) | 261,570,742 | |||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
Consumer, Non-cyclical — 0.0% | ||||||||
Pharmaceuticals — 0.0% | ||||||||
Dyax Corp. (a) (b) | 23,469 | - | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $26,051) | - | |||||||
|
|
Number of Shares | Value | |||||||
MUTUAL FUNDS — 0.0% | ||||||||
Diversified Financial — 0.0% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 10,490 | $ | 10,490 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $10,490) | 10,490 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $251,367,986) | 261,581,232 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 3.7% | ||||||||
Repurchase Agreement — 3.4% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (e) | $ | 9,120,942 | 9,120,942 | |||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 249 | 249 | ||||||
|
| |||||||
U.S. Treasury Bill — 0.3% | ||||||||
U.S. Treasury Bill (f) | 835,000 | 833,730 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $9,954,604) | 9,954,921 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.1% (Cost $261,322,590) (g) | 271,536,153 | |||||||
Other Assets/(Liabilities) — (0.1)% | (165,227 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 271,370,926 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2016, these securities amounted to a value of $16,128 or 0.01% of net assets. |
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2016, was $9,590 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). |
(d) | Represents investment of security lending collateral. (Note 2). |
The accompanying notes are an integral part of the financial statements.
170
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
(e) | Maturity value of $9,120,950. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $9,306,434. |
(f) | A portion of this security is held as collateral for open futures contracts. (Note 2). |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
171
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 94.4% | ||||||||
COMMON STOCK — 94.2% | ||||||||
Basic Materials — 3.0% | ||||||||
Chemicals — 2.5% | ||||||||
Air Products & Chemicals, Inc. | 193,000 | $ | 29,015,620 | |||||
Ashland Global Holdings, Inc. | 149,000 | 17,276,550 | ||||||
RPM International, Inc. | 437,000 | 23,475,640 | ||||||
The Sherwin-Williams Co. | 40,640 | 11,243,463 | ||||||
Valvoline, Inc. (a) (b) | 246,000 | 5,778,540 | ||||||
|
| |||||||
86,789,813 | ||||||||
|
| |||||||
Mining — 0.5% | ||||||||
Franco-Nevada Corp. (b) | 248,000 | 17,327,760 | ||||||
|
| |||||||
104,117,573 | ||||||||
|
| |||||||
Communications — 4.0% | ||||||||
Internet — 2.0% | ||||||||
Cogent Communications Holdings, Inc. | 158,106 | 5,819,882 | ||||||
Dropbox, Inc. (c) | 32,717 | 367,412 | ||||||
Expedia, Inc. | 32,059 | 3,741,926 | ||||||
Match Group, Inc. (a) (b) | 305,000 | 5,425,950 | ||||||
TripAdvisor, Inc. (a) | 167,000 | 10,551,060 | ||||||
VeriSign, Inc. (a) (b) | 410,087 | 32,085,207 | ||||||
Zillow Group, Inc. Class A (a) (b) | 108,000 | 3,720,600 | ||||||
Zillow Group, Inc. Class C (a) (b) | 164,000 | 5,682,600 | ||||||
|
| |||||||
67,394,637 | ||||||||
|
| |||||||
Media — 0.3% | ||||||||
FactSet Research Systems, Inc. | 65,000 | 10,536,500 | ||||||
|
| |||||||
Telecommunications — 1.7% | ||||||||
DigitalGlobe, Inc. (a) | 535,700 | 14,731,750 | ||||||
Palo Alto Networks, Inc. (a) | 33,000 | 5,257,890 | ||||||
SBA Communications Corp. Class A (a) | 60,412 | 6,775,810 | ||||||
T-Mobile US, Inc. (a) | 660,000 | 30,835,200 | ||||||
|
| |||||||
57,600,650 | ||||||||
|
| |||||||
135,531,787 | ||||||||
|
| |||||||
Consumer, Cyclical — 15.6% | ||||||||
Apparel — 1.0% | ||||||||
Carter’s, Inc. | 131,000 | 11,359,010 | ||||||
Hanesbrands, Inc. | 874,000 | 22,068,500 | ||||||
|
| |||||||
33,427,510 | ||||||||
|
| |||||||
Auto Manufacturers — 0.5% | ||||||||
Ferrari NV (b) | 171,000 | 8,869,770 | ||||||
Tesla Motors, Inc. (a) (b) | 36,000 | 7,345,080 | ||||||
|
| |||||||
16,214,850 | ||||||||
|
| |||||||
Automotive & Parts — 0.5% | ||||||||
BorgWarner, Inc. | 190,000 | 6,684,200 | ||||||
WABCO Holdings, Inc. (a) | 82,000 | 9,309,460 | ||||||
|
| |||||||
15,993,660 | ||||||||
|
|
Number of Shares | Value | |||||||
Distribution & Wholesale — 0.7% | ||||||||
Beacon Roofing Supply, Inc. (a) | 170,546 | $ | 7,174,870 | |||||
HD Supply Holdings, Inc. (a) | 231,203 | 7,393,872 | ||||||
LKQ Corp. (a) | 280,569 | 9,948,977 | ||||||
|
| |||||||
24,517,719 | ||||||||
|
| |||||||
Home Furnishing — 0.9% | ||||||||
Harman International Industries, Inc. | 364,634 | 30,793,341 | ||||||
|
| |||||||
Leisure Time — 1.9% | ||||||||
Brunswick Corp. | 192,356 | 9,383,126 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) | 988,000 | 37,247,600 | ||||||
Royal Caribbean Cruises Ltd. | 275,821 | 20,672,784 | ||||||
|
| |||||||
67,303,510 | ||||||||
|
| |||||||
Lodging — 1.8% | ||||||||
Choice Hotels International, Inc. | 215,565 | 9,717,670 | ||||||
Marriott International, Inc. Class A | 494,000 | 33,261,020 | ||||||
MGM Resorts International (a) | 684,004 | 17,804,624 | ||||||
|
| |||||||
60,783,314 | ||||||||
|
| |||||||
Retail — 7.9% | ||||||||
Advance Auto Parts, Inc. | 22,648 | 3,377,270 | ||||||
AutoZone, Inc. (a) | 55,000 | 42,258,700 | ||||||
Burlington Stores, Inc. (a) | 103,000 | 8,345,060 | ||||||
CarMax, Inc. (a) (b) | 573,000 | 30,569,550 | ||||||
Coach, Inc. | 602,000 | 22,009,120 | ||||||
Dick’s Sporting Goods, Inc. | 192,000 | 10,890,240 | ||||||
Dollar General Corp. | 608,714 | 42,603,893 | ||||||
Dollar Tree, Inc. (a) | 86,154 | 6,800,135 | ||||||
L Brands, Inc. | 249,000 | 17,621,730 | ||||||
Lululemon Athletica, Inc. (a) | 42,350 | 2,582,503 | ||||||
The Michaels Cos., Inc. (a) | 825,000 | 19,940,250 | ||||||
O’Reilly Automotive, Inc. (a) | 131,210 | 36,753,233 | ||||||
PVH Corp. | 99,000 | 10,939,500 | ||||||
Ross Stores, Inc. | 264,653 | 17,017,188 | ||||||
|
| |||||||
271,708,372 | ||||||||
|
| |||||||
Textiles — 0.4% | ||||||||
Cintas Corp. | 127,864 | 14,397,486 | ||||||
|
| |||||||
535,139,762 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 28.8% | ||||||||
Beverages — 0.3% | ||||||||
Brown-Forman Corp. Class B | 82,041 | 3,892,025 | ||||||
Monster Beverage Corp. (a) | 44,907 | 6,592,797 | ||||||
|
| |||||||
10,484,822 | ||||||||
|
| |||||||
Biotechnology — 2.6% | ||||||||
Alkermes PLC (a) | 681,477 | 32,049,863 | ||||||
Illumina, Inc. (a) | 98,665 | 17,923,484 | ||||||
Incyte Corp. (a) | 264,109 | 24,902,838 | ||||||
Seattle Genetics, Inc. (a) (b) | 27,000 | 1,458,270 |
The accompanying notes are an integral part of the financial statements.
172
MassMutual Select Mid Cap Growth Equity II Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Vertex Pharmaceuticals, Inc. (a) | 139,000 | $ | 12,122,190 | |||||
|
| |||||||
88,456,645 | ||||||||
|
| |||||||
Commercial Services — 10.4% | ||||||||
Alliance Data Systems Corp. (a) | 28,081 | 6,024,217 | ||||||
Aramark | 889,079 | 33,811,674 | ||||||
Bright Horizons Family Solutions, Inc. (a) | 63,488 | 4,246,712 | ||||||
Equifax, Inc. | 431,775 | 58,108,280 | ||||||
Euronet Worldwide, Inc. (a) | 175,540 | 14,364,438 | ||||||
Gartner, Inc. (a) | 205,743 | 18,197,968 | ||||||
Genpact Ltd. (a) | 192,083 | 4,600,388 | ||||||
Global Payments, Inc. | 631,729 | 48,491,518 | ||||||
IHS Markit Ltd. (a) | 962,000 | 36,123,100 | ||||||
KAR Auction Services, Inc. | 591,576 | 25,532,420 | ||||||
Manpower, Inc. | 162,000 | 11,706,120 | ||||||
Moody’s Corp. | 53,450 | 5,787,566 | ||||||
PAREXEL International Corp. (a) | 115,090 | 7,993,001 | ||||||
Sabre Corp. | 186,942 | 5,268,026 | ||||||
TransUnion (a) | 171,000 | 5,899,500 | ||||||
Vantiv, Inc. Class A (a) | 680,855 | 38,311,711 | ||||||
Verisk Analytics, Inc. (a) | 387,000 | 31,455,360 | ||||||
Wework Cos., Inc. Class A (c) | 47,262 | 1,779,140 | ||||||
|
| |||||||
357,701,139 | ||||||||
|
| |||||||
Foods — 2.0% | ||||||||
Blue Buffalo Pet Products, Inc. (a) | 493,960 | 11,736,490 | ||||||
Sprouts Farmers Market, Inc. (a) (b) | 628,000 | 12,968,200 | ||||||
TreeHouse Foods, Inc. (a) (b) | 221,000 | 19,268,990 | ||||||
The WhiteWave Foods Co. (a) | 437,185 | 23,795,979 | ||||||
Whole Foods Market, Inc. (b) | 64,000 | 1,814,400 | ||||||
|
| |||||||
69,584,059 | ||||||||
|
| |||||||
Health Care – Products — 8.9% | ||||||||
Align Technology, Inc. (a) | 66,939 | 6,275,531 | ||||||
Bruker Corp. | 1,037,000 | 23,488,050 | ||||||
C.R. Bard, Inc. | 56,654 | 12,706,359 | ||||||
The Cooper Cos., Inc. | 293,053 | 52,532,681 | ||||||
Dexcom, Inc. (a) | 38,469 | 3,372,193 | ||||||
Edwards Lifesciences Corp. (a) | 64,929 | 7,827,840 | ||||||
Henry Schein, Inc. (a) | 209,000 | 34,062,820 | ||||||
Hologic, Inc. (a) | 1,133,000 | 43,994,390 | ||||||
IDEXX Laboratories, Inc. (a) | 138,000 | 15,556,740 | ||||||
Intuitive Surgical, Inc. (a) | 44,000 | 31,892,520 | ||||||
STERIS PLC | 134,409 | 9,825,298 | ||||||
Teleflex, Inc. | 305,281 | 51,302,472 | ||||||
West Pharmaceutical Services, Inc. | 176,000 | 13,112,000 | ||||||
|
| |||||||
305,948,894 | ||||||||
|
| |||||||
Health Care – Services — 3.5% | ||||||||
Acadia Healthcare Co., Inc. (a) (b) | 278,000 | 13,774,900 | ||||||
Catalent, Inc. (a) | 715,000 | 18,475,600 | ||||||
DENTSPLY SIRONA, Inc. | 548,000 | 32,567,640 | ||||||
Envision Healthcare Holdings, Inc. (a) | 613,000 | 13,651,510 |
Number of Shares | Value | |||||||
MEDNAX, Inc. (a) | 467,000 | $ | 30,938,750 | |||||
Universal Health Services, Inc. Class B | 83,697 | 10,313,144 | ||||||
|
| |||||||
119,721,544 | ||||||||
|
| |||||||
Pharmaceuticals — 1.1% | ||||||||
Alnylam Pharmaceuticals, Inc. (a) (b) | 137,000 | 9,285,860 | ||||||
BioMarin Pharmaceutical, Inc. (a) | 82,777 | 7,658,528 | ||||||
Mead Johnson Nutrition Co. | 41,286 | 3,262,007 | ||||||
Neurocrine Biosciences, Inc. (a) | 96,000 | 4,861,440 | ||||||
Patheon NV (a) | 30,256 | 896,485 | ||||||
Zoetis, Inc. | 196,537 | 10,221,889 | ||||||
|
| |||||||
36,186,209 | ||||||||
|
| |||||||
988,083,312 | ||||||||
|
| |||||||
Energy — 1.9% | ||||||||
Oil & Gas — 1.9% | ||||||||
ARC Resources Ltd. (b) | 337,000 | 6,095,515 | ||||||
Carrizo Oil & Gas, Inc. (a) | 173,705 | 7,055,897 | ||||||
Cimarex Energy Co. | 46,000 | 6,181,020 | ||||||
Concho Resources, Inc. (a) | 91,449 | 12,560,520 | ||||||
EQT Corp. | 467,000 | 33,913,540 | ||||||
|
| |||||||
65,806,492 | ||||||||
|
| |||||||
Financial — 9.4% | ||||||||
Banks — 0.2% | ||||||||
Signature Bank (a) | 47,510 | 5,627,559 | ||||||
|
| |||||||
Commercial Services — 0.6% | ||||||||
CoreLogic, Inc. (a) | 553,000 | 21,688,660 | ||||||
|
| |||||||
Diversified Financial — 5.1% | ||||||||
CBOE Holdings, Inc. | 450,000 | 29,182,500 | ||||||
E*TRADE Financial Corp. (a) | 636,347 | 18,530,425 | ||||||
FNF Group | 1,158,000 | 42,741,780 | ||||||
Intercontinental Exchange, Inc. | 123,000 | 33,131,280 | ||||||
Nasdaq, Inc. | 150,816 | 10,186,113 | ||||||
Raymond James Financial, Inc. | 162,217 | 9,442,651 | ||||||
TD Ameritrade Holding Corp. | 866,000 | 30,517,840 | ||||||
WisdomTree Investments, Inc. (b) | 254,427 | 2,618,054 | ||||||
|
| |||||||
176,350,643 | ||||||||
|
| |||||||
Insurance — 3.0% | ||||||||
Aon PLC | 126,965 | 14,282,293 | ||||||
The Progressive Corp. | 855,000 | 26,932,500 | ||||||
Willis Towers Watson PLC | 473,864 | 62,914,923 | ||||||
|
| |||||||
104,129,716 | ||||||||
|
| |||||||
Real Estate — 0.5% | ||||||||
Jones Lang LaSalle, Inc. | 145,000 | 16,499,550 | ||||||
|
| |||||||
324,296,128 | ||||||||
|
| |||||||
Industrial — 19.1% | ||||||||
Aerospace & Defense — 1.4% | ||||||||
Harris Corp. | 329,000 | 30,139,690 |
The accompanying notes are an integral part of the financial statements.
173
MassMutual Select Mid Cap Growth Equity II Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Rockwell Collins, Inc. | 225,000 | $ | 18,976,500 | |||||
|
| |||||||
49,116,190 | ||||||||
|
| |||||||
Airlines — 0.1% | ||||||||
United Continental Holdings, Inc. (a) | 76,981 | 4,039,193 | ||||||
|
| |||||||
Building Materials — 1.0% | ||||||||
Eagle Materials, Inc. | 117,192 | 9,058,942 | ||||||
Martin Marietta Materials, Inc. | 144,982 | 25,967,726 | ||||||
|
| |||||||
35,026,668 | ||||||||
|
| |||||||
Electrical Components & Equipment — 1.6% | ||||||||
Acuity Brands, Inc. | 93,000 | 24,607,800 | ||||||
AMETEK, Inc. | 328,000 | 15,671,840 | ||||||
Mobileye NV (a) (b) | 179,008 | 7,620,371 | ||||||
Universal Display Corp. (a) (b) | 101,983 | 5,661,076 | ||||||
|
| |||||||
53,561,087 | ||||||||
|
| |||||||
Electronics — 4.5% | ||||||||
Agilent Technologies, Inc. | 769,000 | 36,212,210 | ||||||
Allegion PLC | 419,000 | 28,873,290 | ||||||
Amphenol Corp. Class A | 93,196 | 6,050,284 | ||||||
Fortive Corp. | 146,000 | 7,431,400 | ||||||
IMAX Corp. (a) | 141,114 | 4,088,073 | ||||||
Keysight Technologies, Inc. (a) | 853,000 | 27,031,570 | ||||||
Mettler-Toledo International, Inc. (a) | 25,000 | 10,495,750 | ||||||
Sensata Technologies Holding NV (a) | 771,000 | 29,899,380 | ||||||
Woodward, Inc. | 82,176 | 5,134,356 | ||||||
|
| |||||||
155,216,313 | ||||||||
|
| |||||||
Environmental Controls — 1.4% | ||||||||
Stericycle, Inc. (a) | 112,000 | 8,975,680 | ||||||
Waste Connections, Inc. | 530,903 | 39,658,454 | ||||||
|
| |||||||
48,634,134 | ||||||||
|
| |||||||
Machinery – Diversified — 4.1% | ||||||||
Cognex Corp. | 170,000 | 8,986,200 | ||||||
IDEX Corp. | 461,000 | 43,135,770 | ||||||
The Middleby Corp. (a) | 98,000 | 12,114,760 | ||||||
Roper Technologies, Inc. | 253,723 | 46,296,836 | ||||||
Wabtec Corp. (b) | 98,400 | 8,034,360 | ||||||
Xylem, Inc. | 409,000 | 21,452,050 | ||||||
|
| |||||||
140,019,976 | ||||||||
|
| |||||||
Manufacturing — 1.7% | ||||||||
Colfax Corp. (a) | 283,000 | 8,894,690 | ||||||
Textron, Inc. | 1,216,000 | 48,336,000 | ||||||
|
| |||||||
57,230,690 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.2% | ||||||||
A.O. Smith Corp. | 72,661 | 7,178,180 | ||||||
|
|
Number of Shares | Value | |||||||
Packaging & Containers — 1.1% | ||||||||
Ball Corp. | 384,000 | $ | 31,468,800 | |||||
Berry Plastics Group, Inc. (a) | 157,494 | 6,906,112 | ||||||
|
| |||||||
38,374,912 | ||||||||
|
| |||||||
Transportation — 2.0% | ||||||||
J.B. Hunt Transport Services, Inc. | 329,417 | 26,728,895 | ||||||
Kansas City Southern | 275,000 | 25,663,000 | ||||||
Old Dominion Freight Line, Inc. (a) | 220,000 | 15,094,200 | ||||||
|
| |||||||
67,486,095 | ||||||||
|
| |||||||
655,883,438 | ||||||||
|
| |||||||
Technology — 12.4% | ||||||||
Computers — 0.8% | ||||||||
Cadence Design Systems, Inc. (a) | 495,008 | 12,637,554 | ||||||
Fortinet, Inc. (a) | 275,806 | 10,185,516 | ||||||
Jack Henry & Associates, Inc. | 67,039 | 5,735,186 | ||||||
|
| |||||||
28,558,256 | ||||||||
|
| |||||||
Semiconductors — 3.1% | ||||||||
Lam Research Corp. (b) | 98,715 | 9,349,297 | ||||||
Microchip Technology, Inc. (b) | 713,000 | 44,305,820 | ||||||
NXP Semiconductor NV (a) | 320,880 | 32,732,969 | ||||||
Qorvo, Inc. (a) | 166,082 | 9,257,411 | ||||||
Xilinx, Inc. | 217,000 | 11,791,780 | ||||||
|
| |||||||
107,437,277 | ||||||||
|
| |||||||
Software — 8.5% | ||||||||
Activision Blizzard, Inc. | 335,330 | 14,855,119 | ||||||
Atlassian Corp. PLC Class A (a) | 442,000 | 13,246,740 | ||||||
CDK Global, Inc. | 248,906 | 14,277,248 | ||||||
Cerner Corp. (a) | 73,521 | 4,539,922 | ||||||
Electronic Arts, Inc. (a) | 237,054 | 20,244,412 | ||||||
Fair Isaac Corp. | 26,363 | 3,284,566 | ||||||
Fidelity National Information Services, Inc. | 192,000 | 14,789,760 | ||||||
Fiserv, Inc. (a) | 575,000 | 57,195,250 | ||||||
Guidewire Software, Inc. (a) | 44,514 | 2,669,950 | ||||||
IMS Health Holdings, Inc. (a) | 524,000 | 16,422,160 | ||||||
MSCI, Inc. | 301,000 | 25,265,940 | ||||||
NetSuite, Inc. (a) | 118,000 | 13,061,420 | ||||||
Red Hat, Inc. (a) | 512,815 | 41,450,836 | ||||||
Servicenow, Inc. (a) | 122,000 | 9,656,300 | ||||||
SS&C Technologies Holdings, Inc | 442,000 | 14,210,300 | ||||||
Tableau Software, Inc. Class A (a) | 203,000 | 11,219,810 | ||||||
Veeva Systems, Inc. Class A (a) | 330,000 | 13,622,400 | ||||||
|
| |||||||
290,012,133 | ||||||||
|
| |||||||
426,007,666 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $2,632,734,714) | 3,234,866,158 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
174
MassMutual Select Mid Cap Growth Equity II Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
PREFERRED STOCK — 0.2% | ||||||||
Communications — 0.1% | ||||||||
Internet — 0.1% | ||||||||
Dropbox, Inc. Series A (a) (c) | 40,629 | $ | 456,264 | |||||
Dropbox, Inc. Series A 1 (a) (c) | 199,577 | 2,241,250 | ||||||
Living Social (a) (c) | 586,650 | - | ||||||
|
| |||||||
2,697,514 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 0.1% | ||||||||
Commercial Services — 0.1% | ||||||||
Wework, Inc. Series D 1 (a) (c) | 83,736 | 3,152,175 | ||||||
Wework, Inc. Series D 2 (a) (c) | 65,792 | 2,476,687 | ||||||
|
| |||||||
5,628,862 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $7,978,622) | 8,326,376 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $2,640,713,336) | 3,243,192,534 | |||||||
|
| |||||||
MUTUAL FUNDS — 4.8% | ||||||||
Diversified Financial — 4.8% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 138,347,173 | 138,347,173 | ||||||
T. Rowe Price Government Reserve Investment Fund | 25,002,829 | 25,002,829 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $163,350,002) | 163,350,002 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $2,804,063,338) | 3,406,542,536 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 4.8% | ||||||||
Repurchase Agreement — 4.8% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (e) | $ | 165,987,400 | 165,987,400 | |||||
|
| |||||||
Time Deposit — 0.0% |
| |||||||
Euro Time Deposit | 95,463 | 95,463 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $166,082,863) | 166,082,863 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 104.0% (Cost $2,970,146,201) (f) | 3,572,625,399 | |||||||
Other Assets/(Liabilities) — (4.0)% | (137,054,898 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,435,570,501 | ||||||
|
|
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 September 30, 2016, was $135,154,373 or 3.93% 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 September 30, 2016, these securities amounted to a value of $10,472,928 or 0.30% of net assets. |
(d) | Represents investment of security lending collateral. (Note 2). |
(e) | Maturity value of $165,987,539. Collateralized by U.S. Government Agency obligations with rates ranging from 1.500% – 1.625%, maturity dates ranging from 11/30/19 – 12/31/19, and an aggregate market value, including accrued interest, of $169,313,909. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
175
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 98.7% | ||||||||
COMMON STOCK — 97.5% | ||||||||
Basic Materials — 2.1% | ||||||||
Chemicals — 1.6% | ||||||||
Ingevity Corp. (a) | 3,190 | $ | 147,059 | |||||
Methanex Corp. | 49,040 | 1,749,747 | ||||||
Minerals Technologies, Inc. | 38,688 | 2,734,855 | ||||||
Platform Specialty Products Corp. (a) (b) | 220,986 | 1,792,196 | ||||||
PolyOne Corp. | 44,670 | 1,510,293 | ||||||
|
| |||||||
7,934,150 | ||||||||
|
| |||||||
Mining — 0.5% | ||||||||
Tahoe Resources, Inc. | 89,430 | 1,147,387 | ||||||
US Silica Holdings, Inc. | 34,204 | 1,592,538 | ||||||
|
| |||||||
2,739,925 | ||||||||
|
| |||||||
10,674,075 | ||||||||
|
| |||||||
Communications — 4.9% | ||||||||
Internet — 2.8% | ||||||||
Dropbox, Inc. (a) (c) | 28,181 | 316,473 | ||||||
GoDaddy, Inc. Class A (a) (b) | 58,374 | 2,015,654 | ||||||
GrubHub, Inc. (a) | 26,850 | 1,154,282 | ||||||
Just Eat PLC (a) | 152,962 | 1,062,682 | ||||||
Mimecast Ltd. (a) | 16,300 | 311,819 | ||||||
Shopify, Inc. Class A (a) | 57,670 | 2,475,196 | ||||||
Stamps.com, Inc. (a) | 11,854 | 1,120,322 | ||||||
WebMD Health Corp. (a) | 27,850 | 1,384,145 | ||||||
Wix.com Ltd. (a) | 39,970 | 1,735,897 | ||||||
Zendesk, Inc. (a) | 46,747 | 1,435,600 | ||||||
Zillow Group, Inc. Class C (a) (b) | 41,497 | 1,437,871 | ||||||
|
| |||||||
14,449,941 | ||||||||
|
| |||||||
Media — 0.3% | ||||||||
The New York Times Co. Class A | 128,050 | 1,530,198 | ||||||
|
| |||||||
Telecommunications — 1.8% | ||||||||
Arista Networks, Inc. (a) | 11,214 | 954,087 | ||||||
Ciena Corp. (a) | 79,595 | 1,735,171 | ||||||
Gigamon, Inc. (a) | 33,327 | 1,826,319 | ||||||
Oclaro, Inc. (a) | 155,280 | 1,327,644 | ||||||
ORBCOMM, Inc. (a) | 117,035 | 1,199,609 | ||||||
Vonage Holdings Corp. (a) | 288,765 | 1,908,737 | ||||||
|
| |||||||
8,951,567 | ||||||||
|
| |||||||
24,931,706 | ||||||||
|
| |||||||
Consumer, Cyclical — 12.2% | ||||||||
Apparel — 0.6% | ||||||||
G-III Apparel Group Ltd. (a) | 22,816 | 665,086 | ||||||
Steven Madden Ltd. (a) | 65,807 | 2,274,290 | ||||||
|
| |||||||
2,939,376 | ||||||||
|
| |||||||
Automotive & Parts — 0.4% | ||||||||
Tenneco, Inc. (a) | 35,920 | 2,093,059 | ||||||
|
|
Number of Shares | Value | |||||||
Distribution & Wholesale — 1.9% | ||||||||
Beacon Roofing Supply, Inc. (a) | 58,550 | $ | 2,463,198 | |||||
Pool Corp. | 30,630 | 2,895,148 | ||||||
SiteOne Landscape Supply, Inc. (a) | 24,830 | 892,142 | ||||||
Watsco, Inc. | 14,850 | 2,092,365 | ||||||
WESCO International, Inc. (a) | 19,755 | 1,214,735 | ||||||
|
| |||||||
9,557,588 | ||||||||
|
| |||||||
Entertainment — 1.1% | ||||||||
Cinemark Holdings, Inc. | 49,170 | 1,882,228 | ||||||
National CineMedia, Inc. | 115,690 | 1,702,957 | ||||||
Vail Resorts, Inc. | 14,530 | 2,279,466 | ||||||
|
| |||||||
5,864,651 | ||||||||
|
| |||||||
Home Furnishing — 0.3% | ||||||||
La-Z-Boy, Inc. | 59,580 | 1,463,285 | ||||||
|
| |||||||
Leisure Time — 1.3% | ||||||||
ClubCorp Holdings, Inc. | 163,489 | 2,365,686 | ||||||
Fox Factory Holding Corp. (a) | 51,587 | 1,184,953 | ||||||
Lindblad Expeditions Holdings, Inc. (a) | 137,310 | 1,235,790 | ||||||
Planet Fitness, Inc. Class A (a) | 87,287 | 1,751,850 | ||||||
|
| |||||||
6,538,279 | ||||||||
|
| |||||||
Retail — 6.6% | ||||||||
Bloomin’ Brands, Inc. | 101,500 | 1,749,860 | ||||||
Burlington Stores, Inc. (a) | 41,870 | 3,392,307 | ||||||
The Cheesecake Factory, Inc. | 37,340 | 1,869,240 | ||||||
Chico’s FAS, Inc. | 149,640 | 1,780,716 | ||||||
Columbia Sportswear Co. | 17,750 | 1,007,135 | ||||||
Dave & Buster’s Entertainment, Inc. (a) | 24,530 | 961,085 | ||||||
Dick’s Sporting Goods, Inc. | 20,208 | 1,146,198 | ||||||
DSW, Inc. Class A | 129,146 | 2,644,910 | ||||||
Five Below, Inc. (a) (b) | 44,874 | 1,807,974 | ||||||
HSN, Inc. | 14,820 | 589,836 | ||||||
Jack in the Box, Inc. | 14,998 | 1,438,908 | ||||||
Kate Spade & Co. (a) | 154,081 | 2,639,408 | ||||||
Nu Skin Enterprises, Inc. Class A | 35,130 | 2,275,721 | ||||||
Ollie’s Bargain Outlet Holdings, Inc. (a) | 74,490 | 1,952,383 | ||||||
Panera Bread Co. Class A (a) (b) | 15,742 | 3,065,282 | ||||||
Papa John’s International, Inc. | 39,740 | 3,133,499 | ||||||
Texas Roadhouse, Inc. | 22,830 | 891,055 | ||||||
Wingstop, Inc. | 30,382 | 890,193 | ||||||
|
| |||||||
33,235,710 | ||||||||
|
| |||||||
61,691,948 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 24.9% | ||||||||
Agriculture — 0.0% | ||||||||
MGP Ingredients, Inc. (b) | 4,387 | 177,761 | ||||||
|
| |||||||
Biotechnology — 3.6% | ||||||||
Aduro Biotech, Inc. (a) (b) | 56,800 | 706,024 |
The accompanying notes are an integral part of the financial statements.
176
MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Alder Biopharmaceuticals, Inc. (a) | 30,757 | $ | 1,007,907 | |||||
ARIAD Pharmaceuticals, Inc. (a) | 84,052 | 1,150,672 | ||||||
Bluebird Bio, Inc. (a) (b) | 17,679 | 1,198,283 | ||||||
Cambrex Corp. (a) | 21,810 | 969,673 | ||||||
Charles River Laboratories International, Inc. (a) | 16,350 | 1,362,609 | ||||||
Coherus Biosciences, Inc. (a) | 21,190 | 567,468 | ||||||
Five Prime Therapeutics, Inc. (a) (b) | 25,546 | 1,340,909 | ||||||
Integra LifeSciences Holdings Corp. (a) | 30,910 | 2,551,620 | ||||||
Ironwood Pharmaceuticals, Inc. (a) (b) | 46,169 | 733,164 | ||||||
Ligand Pharmaceuticals, Inc. (a) (b) | 13,240 | 1,351,274 | ||||||
Novavax, Inc. (a) (b) | 144,021 | 299,564 | ||||||
PTC Therapeutics, Inc. (a) (b) | 53,294 | 746,649 | ||||||
Repligen Corp. (a) | 43,170 | 1,303,302 | ||||||
Ultragenyx Pharmaceutical, Inc. (a) (b) | 39,081 | 2,772,406 | ||||||
|
| |||||||
18,061,524 | ||||||||
|
| |||||||
Commercial Services — 6.3% | ||||||||
Alarm.com Holdings, Inc. (a) (b) | 34,340 | 991,052 | ||||||
Bright Horizons Family Solutions, Inc. (a) | 47,860 | 3,201,356 | ||||||
Cardtronics PLC Class A (a) | 58,929 | 2,628,233 | ||||||
Convergys Corp. | 46,395 | 1,411,336 | ||||||
CoStar Group, Inc. (a) | 24,304 | 5,262,545 | ||||||
Healthcare Services Group, Inc. | 37,260 | 1,474,751 | ||||||
HealthEquity, Inc. (a) | 58,880 | 2,228,608 | ||||||
Monro Muffler Brake, Inc. | 18,824 | 1,151,464 | ||||||
Paylocity Holding Corp. (a) (b) | 132,253 | 5,879,968 | ||||||
TransUnion (a) | 56,360 | 1,944,420 | ||||||
WEX, Inc. (a) | 29,302 | 3,167,253 | ||||||
WNS Holdings Ltd. Sponsored ADR (India) (a) | 80,609 | 2,414,240 | ||||||
|
| |||||||
31,755,226 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.1% | ||||||||
elf Beauty, Inc. (a) | 21,750 | 611,610 | ||||||
|
| |||||||
Foods — 1.3% | ||||||||
Amplify Snack Brands, Inc. (a) (b) | 28,570 | 462,834 | ||||||
Greencore Group PLC | 631,464 | 2,745,972 | ||||||
Performance Food Group Co. (a) | 38,720 | 960,256 | ||||||
Post Holdings, Inc. (a) | 10,510 | 811,057 | ||||||
Sanderson Farms, Inc. (b) | 16,090 | 1,549,950 | ||||||
|
| |||||||
6,530,069 | ||||||||
|
| |||||||
Health Care – Products — 7.2% | ||||||||
ABIOMED, Inc. (a) | 15,730 | 2,022,563 | ||||||
Align Technology, Inc. (a) | 24,948 | 2,338,875 | ||||||
Bio-Techne Corp. | 12,920 | 1,414,740 | ||||||
Cantel Medical Corp. | 38,810 | 3,026,404 | ||||||
Cepheid (a) | 44,320 | 2,335,221 | ||||||
Cynosure Inc. Class A (a) | 29,660 | 1,510,880 |
Number of Shares | Value | |||||||
Dexcom, Inc. (a) | 19,581 | $ | 1,716,471 | |||||
Globus Medical, Inc. Class A (a) | 125,448 | 2,831,361 | ||||||
Haemonetics Corp. (a) | 25,100 | 908,871 | ||||||
Inogen, Inc. (a) | 52,607 | 3,151,159 | ||||||
Insulet Corp. (a) | 134,685 | 5,514,004 | ||||||
Intersect ENT, Inc. (a) | 39,764 | 629,862 | ||||||
Masimo Corp. (a) | 11,120 | 661,529 | ||||||
MiMedx Group, Inc. (a) (b) | 114,700 | 984,126 | ||||||
NuVasive, Inc. (a) | 35,310 | 2,353,765 | ||||||
Penumbra, Inc. (a) | 13,190 | 1,002,308 | ||||||
West Pharmaceutical Services, Inc. | 36,530 | 2,721,485 | ||||||
Wright Medical Group NV (a) | 19,140 | 469,504 | ||||||
Zeltiq Aesthetics, Inc. (a) | 23,890 | 936,966 | ||||||
|
| |||||||
36,530,094 | ||||||||
|
| |||||||
Health Care – Services — 2.4% | ||||||||
Acadia Healthcare Co., Inc. (a) | 57,748 | 2,861,414 | ||||||
Community Health Systems, Inc. (a) (b) | 143,760 | 1,658,990 | ||||||
Kindred Healthcare, Inc. | 166,545 | 1,702,090 | ||||||
LifePoint Health, Inc. (a) | 36,215 | 2,145,015 | ||||||
Surgical Care Affiliates, Inc. (a) | 33,340 | 1,625,658 | ||||||
WellCare Health Plans, Inc. (a) | 15,635 | 1,830,702 | ||||||
|
| |||||||
11,823,869 | ||||||||
|
| |||||||
Pharmaceuticals — 4.0% | ||||||||
Acadia Pharmaceuticals, Inc. (a) (b) | 33,770 | 1,074,224 | ||||||
Aerie Pharmaceuticals, Inc. (a) | 41,530 | 1,567,342 | ||||||
Galapagos NV (a) (b) | 13,195 | 853,189 | ||||||
Global Blood Therapeutics, Inc. (a) (b) | 27,676 | 637,932 | ||||||
Kite Pharma, Inc. (a) | 7,820 | 436,825 | ||||||
MyoKardia, Inc. (a) | 17,300 | 282,682 | ||||||
Neurocrine Biosciences, Inc. (a) | 33,430 | 1,692,895 | ||||||
Nevro Corp. (a) (b) | 30,096 | 3,141,721 | ||||||
Ophthotech Corp. (a) (b) | 8,010 | 369,501 | ||||||
Otonomy, Inc. (a) (b) | 37,858 | 688,637 | ||||||
Patheon NV (a) | 19,728 | 584,541 | ||||||
Portola Pharmaceuticals, Inc. (a) | 22,765 | 516,993 | ||||||
PRA Health Sciences, Inc. (a) | 13,390 | 756,669 | ||||||
Sarepta Therapeutics, Inc. (a) (b) | 7,540 | 463,031 | ||||||
TESARO, Inc. (a) | 32,586 | 3,266,421 | ||||||
VCA, Inc. (a) | 55,700 | 3,897,886 | ||||||
|
| |||||||
20,230,489 | ||||||||
|
| |||||||
125,720,642 | ||||||||
|
| |||||||
Diversified — 0.4% | ||||||||
Holding Company – Diversified — 0.4% | ||||||||
FCB Financial Holdings, Inc. Class A (a) | 46,210 | 1,775,850 | ||||||
|
| |||||||
Energy — 4.1% | ||||||||
Energy – Alternate Sources — 1.2% | ||||||||
First Solar, Inc. (a) (b) | 38,445 | 1,518,193 | ||||||
Headwaters, Inc. (a) | 155,578 | 2,632,380 |
The accompanying notes are an integral part of the financial statements.
177
MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Pattern Energy Group, Inc. (b) | 77,870 | $ | 1,751,296 | |||||
|
| |||||||
5,901,869 | ||||||||
|
| |||||||
Oil & Gas — 2.4% | ||||||||
Callon Petroleum Co. (a) | 175,961 | 2,762,588 | ||||||
Parsley Energy, Inc. Class A (a) | 66,091 | 2,214,709 | ||||||
Patterson-UTI Energy, Inc. | 83,620 | 1,870,579 | ||||||
QEP Resources, Inc. | 67,961 | 1,327,278 | ||||||
Rice Energy, Inc. (a) | 24,340 | 635,517 | ||||||
Western Refining, Inc. | 74,110 | 1,960,951 | ||||||
WPX Energy, Inc. (a) | 122,487 | 1,615,604 | ||||||
|
| |||||||
12,387,226 | ||||||||
|
| |||||||
Oil & Gas Services — 0.5% | ||||||||
Forum Energy Technologies, Inc. (a) | 131,730 | 2,616,158 | ||||||
|
| |||||||
20,905,253 | ||||||||
|
| |||||||
Financial — 14.5% | ||||||||
Banks — 3.3% | ||||||||
Ameris Bancorp | 52,260 | 1,826,487 | ||||||
ConnectOne Bancorp, Inc. | 71,668 | 1,294,324 | ||||||
Great Western Bancorp, Inc. | 61,290 | 2,042,183 | ||||||
Pinnacle Financial Partners, Inc. | 34,810 | 1,882,525 | ||||||
South State Corp. | 25,010 | 1,876,750 | ||||||
Texas Capital Bancshares, Inc. (a) | 33,050 | 1,815,106 | ||||||
United Community Banks, Inc. | 75,431 | 1,585,560 | ||||||
Western Alliance Bancorp (a) | 119,778 | 4,496,466 | ||||||
|
| |||||||
16,819,401 | ||||||||
|
| |||||||
Commercial Services — 0.2% | ||||||||
CoreLogic, Inc. (a) | 24,070 | 944,025 | ||||||
|
| |||||||
Diversified Financial — 3.6% | ||||||||
Air Lease Corp. | 26,100 | 745,938 | ||||||
Cohen & Steers, Inc. | 30,620 | 1,309,005 | ||||||
Ellie Mae, Inc. (a) | 29,501 | 3,106,455 | ||||||
Financial Engines, Inc. (b) | 16,460 | 489,027 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 170,781 | 3,991,152 | ||||||
MarketAxess Holdings, Inc. | 33,623 | 5,567,632 | ||||||
WageWorks, Inc. (a) | 17,114 | 1,042,414 | ||||||
WisdomTree Investments, Inc. (b) | 173,028 | 1,780,458 | ||||||
|
| |||||||
18,032,081 | ||||||||
|
| |||||||
Insurance — 2.3% | ||||||||
Argo Group International Holdings Ltd. | 31,121 | 1,755,847 | ||||||
Assurant, Inc. | 12,973 | 1,196,759 | ||||||
Assured Guaranty Ltd. | 74,420 | 2,065,155 | ||||||
eHealth, Inc. (a) | 46,492 | 521,175 | ||||||
First American Financial Corp. | 25,033 | 983,296 | ||||||
Horace Mann Educators Corp. | 50,487 | 1,850,349 | ||||||
Kemper Corp. | 3,300 | 129,756 | ||||||
MGIC Investment Corp. (a) | 247,897 | 1,983,176 | ||||||
Stewart Information Services Corp. | 23,630 | 1,050,354 | ||||||
|
| |||||||
11,535,867 | ||||||||
|
|
Number of Shares | Value | |||||||
Real Estate — 1.3% | ||||||||
FirstService Corp. | 21,530 | $ | 1,005,020 | |||||
Hilltop Holdings, Inc. (a) | 63,990 | 1,437,216 | ||||||
Kennedy-Wilson Holdings, Inc. | 184,722 | 4,165,481 | ||||||
|
| |||||||
6,607,717 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 2.7% | ||||||||
Coresite Realty Corp. | 19,990 | 1,480,060 | ||||||
LaSalle Hotel Properties | 50,700 | 1,210,209 | ||||||
Life Storage, Inc. | 19,110 | 1,699,643 | ||||||
MFA Financial, Inc. | 236,040 | 1,765,579 | ||||||
Outfront Media, Inc. | 79,100 | 1,870,715 | ||||||
PS Business Parks, Inc. | 18,360 | 2,085,145 | ||||||
Redwood Trust, Inc. | 121,910 | 1,726,246 | ||||||
Rexford Industrial Realty, Inc. | 81,840 | 1,873,318 | ||||||
|
| |||||||
13,710,915 | ||||||||
|
| |||||||
REITS — 0.4% | ||||||||
CyrusOne, Inc. | 39,860 | 1,896,140 | ||||||
|
| |||||||
Savings & Loans — 0.7% | ||||||||
Sterling Bancorp | 194,442 | 3,402,735 | ||||||
|
| |||||||
72,948,881 | ||||||||
|
| |||||||
Industrial — 15.2% | ||||||||
Aerospace & Defense — 2.2% | ||||||||
Astronics Corp. (a) | 27,102 | 1,220,945 | ||||||
Curtiss-Wright Corp. | 31,710 | 2,889,098 | ||||||
HEICO Corp. | 20,470 | 1,416,524 | ||||||
HEICO Corp. Class A | 12,819 | 775,678 | ||||||
MACOM Technology Solutions Holdings, Inc. (a) (b) | 65,684 | 2,781,060 | ||||||
Teledyne Technologies, Inc. (a) | 20,830 | 2,248,182 | ||||||
|
| |||||||
11,331,487 | ||||||||
|
| |||||||
Building Materials — 2.6% | ||||||||
Armstrong Flooring, Inc. (a) | 55,730 | 1,052,182 | ||||||
Armstrong World Industries, Inc. (a) | 38,410 | 1,587,101 | ||||||
Lennox International, Inc. | 25,890 | 4,065,507 | ||||||
Louisiana-Pacific Corp. (a) | 72,220 | 1,359,903 | ||||||
Masonite International Corp. (a) | 85,349 | 5,306,147 | ||||||
|
| |||||||
13,370,840 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.3% | ||||||||
Generac Holdings, Inc. (a) (b) | 14,140 | 513,282 | ||||||
SunPower Corp. (a) (b) | 94,717 | 844,876 | ||||||
|
| |||||||
1,358,158 | ||||||||
|
| |||||||
Electronics — 0.7% | ||||||||
Coherent, Inc. (a) | 14,750 | 1,630,465 | ||||||
Watts Water Technologies, Inc. Class A | 29,030 | 1,882,305 | ||||||
|
| |||||||
3,512,770 | ||||||||
|
| |||||||
Engineering & Construction — 0.5% | ||||||||
Dycom Industries, Inc. (a) (b) | 28,640 | 2,342,179 | ||||||
|
| |||||||
Environmental Controls — 0.4% | ||||||||
Clean Harbors, Inc. (a) | 47,640 | 2,285,767 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
178
MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Machinery – Construction & Mining — 0.4% | ||||||||
Astec Industries, Inc. | 33,200 | $ | 1,987,684 | |||||
|
| |||||||
Machinery – Diversified — 1.6% | ||||||||
Altra Industrial Motion Corp. | 59,872 | 1,734,492 | ||||||
Applied Industrial Technologies, Inc. | 31,976 | 1,494,558 | ||||||
BWX Technologies, Inc. | 12,280 | 471,184 | ||||||
The Middleby Corp. (a) | 33,592 | 4,152,643 | ||||||
|
| |||||||
7,852,877 | ||||||||
|
| |||||||
Manufacturing — 1.1% | ||||||||
John Bean Technologies Corp. | 56,235 | 3,967,379 | ||||||
Trinseo SA | 26,180 | 1,480,741 | ||||||
|
| |||||||
5,448,120 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 1.1% | ||||||||
Advanced Drainage Systems, Inc. | 143,909 | 3,462,451 | ||||||
Mueller Water Products, Inc. Class A | 165,470 | 2,076,648 | ||||||
|
| |||||||
5,539,099 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.5% | ||||||||
A.O. Smith Corp. | 28,170 | 2,782,914 | ||||||
|
| |||||||
Packaging & Containers — 0.9% | ||||||||
Berry Plastics Group, Inc. (a) | 65,730 | 2,882,261 | ||||||
Graphic Packaging Holding Co. | 118,595 | 1,659,144 | ||||||
|
| |||||||
4,541,405 | ||||||||
|
| |||||||
Transportation — 2.4% | ||||||||
Genesee & Wyoming, Inc. Class A (a) | 25,660 | 1,769,257 | ||||||
Kirby Corp. (a) | 54,688 | 3,399,406 | ||||||
Knight Transportation, Inc. | 95,963 | 2,753,178 | ||||||
Swift Transportation Co. (a) (b) | 188,697 | 4,051,325 | ||||||
|
| |||||||
11,973,166 | ||||||||
|
| |||||||
Trucking & Leasing — 0.5% | ||||||||
Aircastle Ltd. | 40,130 | 796,982 | ||||||
GATX Corp. (b) | 37,980 | 1,692,009 | ||||||
|
| |||||||
2,488,991 | ||||||||
|
| |||||||
76,815,457 | ||||||||
|
| |||||||
Technology — 18.6% | ||||||||
Computers — 1.1% | ||||||||
Cadence Design Systems, Inc. (a) | 71,600 | 1,827,948 | ||||||
LogMeIn, Inc. | 12,950 | 1,170,551 | ||||||
MAXIMUS, Inc. | 19,959 | 1,128,881 | ||||||
VeriFone Systems, Inc. (a) | 69,130 | 1,088,106 | ||||||
Virtusa Corp. (a) | 19,202 | 473,905 | ||||||
|
| |||||||
5,689,391 | ||||||||
|
| |||||||
Semiconductors — 4.4% | ||||||||
Cavium, Inc. (a) (b) | 32,130 | 1,869,966 | ||||||
Entegris, Inc. (a) | 235,406 | 4,100,773 | ||||||
Inphi Corp. (a) | 33,580 | 1,461,066 | ||||||
Integrated Device Technology, Inc. (a) | 26,800 | 619,080 |
Number of Shares | Value | |||||||
Intersil Corp. Class A | 88,500 | $ | 1,940,805 | |||||
Mellanox Technologies Ltd. (a) | 6,681 | 288,953 | ||||||
Microsemi Corp. (a) | 50,660 | 2,126,707 | ||||||
MKS Instruments, Inc. | 59,640 | 2,965,897 | ||||||
Monolithic Power Systems, Inc. | 63,320 | 5,097,260 | ||||||
Semtech Corp. (a) | 53,660 | 1,487,992 | ||||||
|
| |||||||
21,958,499 | ||||||||
|
| |||||||
Software — 13.1% | ||||||||
2U, Inc. (a) | 20,643 | 790,421 | ||||||
Allscripts Healthcare Solutions, Inc. (a) | 163,480 | 2,153,032 | ||||||
Aspen Technology, Inc. (a) | 38,370 | 1,795,332 | ||||||
Atlassian Corp. PLC Class A (a) | 38,259 | 1,146,622 | ||||||
Benefitfocus, Inc. (a) (b) | 43,150 | 1,722,548 | ||||||
BroadSoft, Inc. (a) | 64,614 | 3,007,782 | ||||||
Callidus Software, Inc. (a) | 78,563 | 1,441,631 | ||||||
CommVault Systems, Inc. (a) | 17,663 | 938,435 | ||||||
Envestnet, Inc. (a) | 36,561 | 1,332,648 | ||||||
EPAM Systems, Inc. (a) | 16,517 | 1,144,793 | ||||||
Everbridge, Inc. (a) | 11,016 | 185,730 | ||||||
Evolent Health, Inc. Class A (a) (b) | 44,810 | 1,103,222 | ||||||
Fair Isaac Corp. | 20,458 | 2,548,862 | ||||||
Five9, Inc. (a) | 52,738 | 826,932 | ||||||
Globant SA (a) (b) | 45,890 | 1,932,887 | ||||||
Guidewire Software, Inc. (a) | 76,394 | 4,582,112 | ||||||
HubSpot, Inc. (a) | 137,094 | 7,899,356 | ||||||
InterXion Holding NV (a) | 38,378 | 1,390,051 | ||||||
Nutanix, Inc. (a) | 14,520 | 537,240 | ||||||
Nutanix, Inc. Class B (a) (c) | 40,062 | 1,482,294 | ||||||
Omnicell, Inc. (a) | 32,440 | 1,242,452 | ||||||
Paycom Software, Inc. (a) (b) | 65,250 | 3,270,983 | ||||||
Proofpoint, Inc. (a) (b) | 70,164 | 5,251,775 | ||||||
PTC, Inc. (a) | 46,680 | 2,068,391 | ||||||
SS&C Technologies Holdings, Inc | 61,164 | 1,966,423 | ||||||
Talend SA ADR (France) (a) | 8,910 | 233,086 | ||||||
Telogis (a) (c) | 251,002 | 722,886 | ||||||
Tyler Technologies, Inc. (a) | 28,267 | 4,840,158 | ||||||
The Ultimate Software Group, Inc. (a) | 22,960 | 4,692,794 | ||||||
Veeva Systems, Inc. Class A (a) | 96,165 | 3,969,691 | ||||||
|
| |||||||
66,220,569 | ||||||||
|
| |||||||
93,868,459 | ||||||||
|
| |||||||
Utilities — 0.6% | ||||||||
Electric — 0.3% | ||||||||
8Point3 Energy Partners LP | 87,635 | 1,261,944 | ||||||
|
| |||||||
Gas — 0.3% | ||||||||
South Jersey Industries, Inc. | 56,790 | 1,678,145 | ||||||
|
| |||||||
2,940,089 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $444,217,462) | 492,272,360 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
179
MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
PREFERRED STOCK — 1.2% | ||||||||
Communications — 0.6% | ||||||||
Internet — 0.6% | ||||||||
Draftkings Series D (a) (c) | 53,080 | $ | 210,728 | |||||
Draftkings, Inc. Series D 1 (a) (c) | 102,640 | 535,781 | ||||||
The Honest Co. (a) (c) | 14,220 | 531,970 | ||||||
Veracode, Inc. (a) (c) | 30,294 | 804,306 | ||||||
Zuora, Inc. Series F (a) (c) | 194,983 | 855,975 | ||||||
|
| |||||||
2,938,760 | ||||||||
|
| |||||||
Technology — 0.6% | ||||||||
Software — 0.6% | ||||||||
Cloudera, Inc. Series F (a) (c) | 38,099 | 683,496 | ||||||
Docusign, Inc. Series B (a) (c) | 1,417 | 27,504 | ||||||
Docusign, Inc. Series B 1 (a) (c) | 424 | 8,230 | ||||||
Docusign, Inc. Series D (a) (c) | 1,018 | 19,759 | ||||||
Docusign, Inc. Series E (a) (c) | 22,047 | 427,932 | ||||||
Marklogic Corp. Series F (a) (c) | 77,018 | 810,229 | ||||||
Telogis (a) (c) | 341,823 | 1,353,619 | ||||||
|
| |||||||
3,330,769 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $5,552,222) | 6,269,529 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $449,769,684) | 498,541,889 | |||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
Consumer, Non-cyclical — 0.0% | ||||||||
Pharmaceuticals — 0.0% | ||||||||
Dyax Corp. (a) (c) | 20,230 | - | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $22,455) | - | |||||||
|
| |||||||
MUTUAL FUNDS — 11.6% | ||||||||
Diversified Financial — 11.6% | ||||||||
iShares Russell 2000 Index Fund (b) | 17,722 | 2,201,250 | ||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 56,217,207 | 56,217,207 | ||||||
|
| |||||||
58,418,457 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $58,393,158) | 58,418,457 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $508,185,297) | 556,960,346 | |||||||
|
|
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 0.6% | ||||||||
Repurchase Agreement — 0.6% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (e) | $ | 2,973,145 | $ | 2,973,145 | ||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 13,694 | 13,694 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,986,839) | 2,986,839 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 110.9% (Cost $511,172,136) (f) | 559,947,185 | |||||||
Other Assets/(Liabilities) — (10.9)% | (54,970,601 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 504,976,584 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2016, was $54,830,272 or 10.86% 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 September 30, 2016, these securities amounted to a value of $8,791,182 or 1.74% of net assets. |
(d) | Represents investment of security lending collateral. (Note 2). |
(e) | Maturity value of $2,973,148. Collateralized by U.S. Government Agency obligations with rates ranging from 1.000% – 1.500%, maturity dates ranging from 5/15/18 – 11/30/19, and an aggregate market value, including accrued interest, of $3,035,278. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
180
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 96.5% | ||||||||
COMMON STOCK — 96.5% | ||||||||
Australia — 3.9% | ||||||||
Australia & New Zealand Banking Group Ltd. | 54,303 | $ | 1,153,046 | |||||
Goodman Group | 81,825 | 457,069 | ||||||
|
| |||||||
1,610,115 | ||||||||
|
| |||||||
Belgium — 2.1% | ||||||||
Anheuser-Busch InBev SA/NV | 3,503 | 459,852 | ||||||
KBC Group NV (a) | 6,615 | 385,072 | ||||||
|
| |||||||
844,924 | ||||||||
|
| |||||||
Canada — 1.1% | ||||||||
TransCanada Corp. | 9,763 | 463,686 | ||||||
|
| |||||||
Cayman Islands — 1.5% | ||||||||
CK Hutchison Holdings Ltd. | 48,696 | 621,303 | ||||||
|
| |||||||
Chile — 0.5% | ||||||||
Banco Santander Chile Sponsored ADR (Chile) | 9,550 | 197,590 | ||||||
|
| |||||||
Denmark — 0.5% | ||||||||
Pandora A/S | 1,652 | 200,313 | ||||||
|
| |||||||
Finland — 2.0% | ||||||||
Outokumpu OYJ (a) | 51,008 | 350,352 | ||||||
UPM-Kymmene OYJ | 22,858 | 482,700 | ||||||
|
| |||||||
833,052 | ||||||||
|
| |||||||
France — 13.9% | ||||||||
Air Liquide | 4,335 | 464,502 | ||||||
AXA SA | 37,214 | 791,774 | ||||||
BNP Paribas | 17,577 | 903,734 | ||||||
Cap Gemini SA | 4,278 | 418,960 | ||||||
Natixis SA | 73,353 | 341,882 | ||||||
Renault SA | 6,689 | 549,580 | ||||||
Schneider Electric SE | 6,928 | 483,075 | ||||||
Technip SA | 6,078 | 373,271 | ||||||
Total SA | 28,958 | 1,372,526 | ||||||
|
| |||||||
5,699,304 | ||||||||
|
| |||||||
Germany — 7.6% | ||||||||
Bayer AG | 3,929 | 394,644 | ||||||
Brenntag AG | 6,522 | 355,900 | ||||||
Daimler AG | 10,764 | 758,261 | ||||||
HeidelbergCement AG | 2,340 | 221,031 | ||||||
Infineon Technologies AG | 18,637 | 332,544 | ||||||
Siemens AG | 8,773 | 1,026,993 | ||||||
|
| |||||||
3,089,373 | ||||||||
|
| |||||||
Hong Kong — 1.5% | ||||||||
China Overseas Land & Investment Ltd. | 70,000 | 239,813 | ||||||
CNOOC Ltd. | 303,000 | 381,780 | ||||||
|
| |||||||
621,593 | ||||||||
|
|
Number of Shares | Value | |||||||
Ireland — 0.5% | ||||||||
Ryanair Holdings PLC Sponsored ADR (Ireland) | 2,428 | $ | 182,173 | |||||
|
| |||||||
Israel — 1.3% | ||||||||
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel) | 11,299 | 519,867 | ||||||
|
| |||||||
Italy — 3.5% | ||||||||
Enel SpA | 175,778 | 783,971 | ||||||
Intesa Sanpaolo SpA | 173,693 | 385,602 | ||||||
Telecom Italia SpA (a) | 328,817 | 272,081 | ||||||
|
| |||||||
1,441,654 | ||||||||
|
| |||||||
Japan — 22.5% | ||||||||
Bridgestone Corp. | 6,400 | 236,048 | ||||||
Daikin Industries Ltd. | 7,000 | 652,164 | ||||||
Daiwa House Industry Co. Ltd. | 23,400 | 640,905 | ||||||
Dentsu, Inc. | 6,500 | 328,975 | ||||||
DMG Mori Co. Ltd. | 16,600 | 173,064 | ||||||
Honda Motor Co. Ltd. | 23,700 | 682,324 | ||||||
Japan Airlines Co. Ltd. | 11,200 | 329,717 | ||||||
Mitsubishi Corp. | 13,600 | 309,141 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 200,900 | 1,013,064 | ||||||
Mitsui Fudosan Co. Ltd. | 24,000 | 511,025 | ||||||
NGK Spark Plug Co., Ltd. | 12,700 | 223,748 | ||||||
NH Foods Ltd. | 12,000 | 289,478 | ||||||
Nippon Telegraph & Telephone Corp. | 17,500 | 799,232 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 14,600 | 432,013 | ||||||
Sony Corp. | 8,700 | 284,267 | ||||||
Sumitomo Electric Industries Ltd. | 32,300 | 456,805 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 9,200 | 310,067 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 12,200 | 395,927 | ||||||
Suzuken Co. Ltd. | 5,700 | 188,128 | ||||||
Suzuki Motor Corp. | 17,400 | 582,496 | ||||||
Yamato Holdings Co. Ltd. | 16,100 | 374,726 | ||||||
|
| |||||||
9,213,314 | ||||||||
|
| |||||||
Luxembourg — 0.9% | ||||||||
ArcelorMittal (a) | 61,307 | 374,387 | ||||||
|
| |||||||
Netherlands — 4.3% | ||||||||
Airbus Group SE | 6,570 | 397,411 | ||||||
ASR Nederland NV (a) | 12,761 | 259,357 | ||||||
ING Groep NV | 60,505 | 745,849 | ||||||
NN Group NV | 10,915 | 335,010 | ||||||
|
| |||||||
1,737,627 | ||||||||
|
| |||||||
Norway — 1.2% | ||||||||
Norsk Hydro ASA | 108,140 | 466,533 | ||||||
|
| |||||||
Republic of Korea — 1.4% | ||||||||
Samsung Electronics Co., Ltd. | 400 | 582,979 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
181
MassMutual Select Diversified International Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Spain — 1.0% | ||||||||
Bankia SA | 517,073 | $ | 424,023 | |||||
|
| |||||||
Sweden — 1.7% | ||||||||
Nordea Bank AB | 68,934 | 683,740 | ||||||
|
| |||||||
Switzerland — 3.6% | ||||||||
LafargeHolcim Ltd. | 5,310 | 286,631 | ||||||
Roche Holding AG | 1,558 | 385,973 | ||||||
Zurich Insurance Group AG | 3,059 | 787,185 | ||||||
|
| |||||||
1,459,789 | ||||||||
|
| |||||||
United Kingdom — 20.0% | ||||||||
Barratt Developments PLC | 36,941 | 237,195 | ||||||
British American Tobacco PLC | 8,266 | 528,630 | ||||||
Centrica PLC | 140,201 | 414,688 | ||||||
GlaxoSmithKline PLC | 50,399 | 1,074,024 | ||||||
InterContinental Hotels Group PLC | 4,792 | 197,644 | ||||||
Lloyds Banking Group PLC | 284,163 | 201,247 | ||||||
National Grid PLC | 29,158 | 412,094 | ||||||
Prudential PLC | 40,422 | 717,429 | ||||||
Rio Tinto PLC | 20,841 | 693,484 | ||||||
Royal Dutch Shell PLC Class A | 53,396 | 1,325,182 | ||||||
Shire PLC | 8,374 | 541,252 | ||||||
Standard Chartered PLC (a) | 52,469 | 427,292 | ||||||
Vodafone Group PLC | 328,695 | 942,492 | ||||||
Wolseley PLC | 8,360 | 471,231 | ||||||
|
| |||||||
8,183,884 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $38,899,939) | 39,451,223 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $38,899,939) | 39,451,223 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $38,899,939) | 39,451,223 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 4.5% | ||||||||
Repurchase Agreement — 4.5% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (b) | 1,840,418 | 1,840,418 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,840,418) | 1,840,418 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.0% (Cost $40,740,357) (c) | 41,291,641 | |||||||
Other Assets/(Liabilities) — (1.0)% | (391,675 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 40,899,966 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
(a) | Non-income producing security. |
(b) | Maturity value of $1,840,420. Collateralized by U.S. Government Agency obligations with a rate of 1.500%, maturity date of 11/30/19, and an aggregate market value, including accrued interest, of $1,878,581. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
182
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 98.3% | ||||||||
COMMON STOCK — 97.8% | ||||||||
Australia — 7.1% | ||||||||
The AGL Energy Ltd. | 12,913 | $ | 188,619 | |||||
Alumina Ltd. | 46,923 | 52,557 | ||||||
Amcor Ltd. | 22,105 | 257,033 | ||||||
AMP Ltd. | 59,944 | 243,180 | ||||||
APA Group | 21,238 | 138,833 | ||||||
Aristocrat Leisure Ltd. | 10,381 | 125,931 | ||||||
ASX Ltd. | 3,623 | 133,915 | ||||||
Aurizon Holdings Ltd. | 39,115 | 140,882 | ||||||
AusNet Services | 34,713 | 43,671 | ||||||
Australia & New Zealand Banking Group Ltd. | 57,384 | 1,218,466 | ||||||
Bank of Queensland Ltd. | 7,299 | 63,613 | ||||||
Bendigo and Adelaide Bank Ltd. | 8,738 | 72,177 | ||||||
BHP Billiton Ltd. | 63,213 | 1,093,588 | ||||||
Boral Ltd. | 14,147 | 73,329 | ||||||
Brambles Ltd. | 31,822 | 292,609 | ||||||
Caltex Australia Ltd. | 4,986 | 131,618 | ||||||
Challenger Ltd. | 10,976 | 85,655 | ||||||
CIMIC Group Ltd. | 1,870 | 41,349 | ||||||
Coca-Cola Amatil Ltd. | 11,152 | 87,645 | ||||||
Cochlear Ltd. | 1,094 | 118,594 | ||||||
Commonwealth Bank of Australia | 33,685 | 1,873,412 | ||||||
Computershare Ltd. | 8,934 | 70,723 | ||||||
Crown Resorts Ltd. | 7,032 | 70,747 | ||||||
CSL Ltd. | 9,017 | 740,523 | ||||||
Dexus Property Group | 18,545 | 130,404 | ||||||
Domino’s Pizza Enterprises Ltd. | 1,179 | 63,658 | ||||||
DUET Group | 47,031 | 90,552 | ||||||
Flight Centre Travel Group Ltd. | 1,073 | 30,053 | ||||||
Fortescue Metals Group Ltd. | 29,777 | 113,449 | ||||||
Goodman Group | 33,836 | 189,006 | ||||||
The GPT Group | 34,135 | 132,475 | ||||||
Harvey Norman Holdings Ltd. | 10,871 | 43,389 | ||||||
Healthscope Ltd. | 33,633 | 79,682 | ||||||
Incitec Pivot Ltd. | 32,048 | 69,501 | ||||||
Insurance Australia Group Ltd. | 49,579 | 208,169 | ||||||
LendLease Group | 10,490 | 113,118 | ||||||
Macquarie Group Ltd. | 6,072 | 382,497 | ||||||
Medibank Pvt. Ltd. | 51,860 | 98,650 | ||||||
Mirvac Group | 71,111 | 122,172 | ||||||
National Australia Bank Ltd. | 52,046 | 1,114,817 | ||||||
Newcrest Mining Ltd. | 15,511 | 257,684 | ||||||
Orica Ltd. | 7,112 | 82,972 | ||||||
Origin Energy Ltd. | 33,410 | 139,378 | ||||||
Platinum Asset Management Ltd. | 3,880 | 15,004 | ||||||
Qantas Airways Ltd. | 10,777 | 25,852 | ||||||
QBE Insurance Group Ltd. | 28,214 | 201,290 | ||||||
Ramsay Health Care Ltd. | 2,724 | 165,469 | ||||||
REA Group Ltd. | 1,007 | 43,659 | ||||||
Rio Tinto Ltd. | 8,528 | 338,260 |
Number of Shares | Value | |||||||
Santos Ltd. | 30,206 | $ | 84,945 | |||||
Scentre Group | 105,812 | 381,491 | ||||||
Seek Ltd. | 6,268 | 74,868 | ||||||
Sonic Healthcare Ltd. | 7,526 | 127,126 | ||||||
South32 Ltd. | 52,452 | 99,200 | ||||||
South32 Ltd. | 49,373 | 91,483 | ||||||
Stockland | 45,500 | 166,073 | ||||||
Suncorp Group Ltd. | 26,071 | 242,338 | ||||||
Sydney Airport | 20,590 | 110,635 | ||||||
Tabcorp Holdings Ltd. | 16,118 | 61,687 | ||||||
Tatts Group Ltd. | 28,344 | 79,325 | ||||||
Telstra Corp. Ltd. | 85,584 | 339,910 | ||||||
TPG Telecom Ltd. | 6,332 | 42,018 | ||||||
Transurban Group | 40,533 | 353,465 | ||||||
Treasury Wine Estates Ltd. | 14,141 | 119,658 | ||||||
Vicinity Centres | 64,148 | 156,059 | ||||||
Vocus Communications Ltd. | 9,335 | 44,835 | ||||||
Wesfarmers Ltd. | 22,195 | 750,899 | ||||||
Westfield Corp. | 39,671 | 295,805 | ||||||
Westpac Banking Corp. | 65,556 | 1,490,319 | ||||||
Woodside Petroleum Ltd. | 15,232 | 334,876 | ||||||
Woolworths Ltd. | 25,315 | 452,241 | ||||||
|
| |||||||
17,509,085 | ||||||||
|
| |||||||
Austria — 0.2% | ||||||||
Andritz AG | 1,352 | 73,592 | ||||||
Erste Group Bank AG | 5,702 | 168,877 | ||||||
OMV AG | 2,802 | 80,649 | ||||||
Raiffeisen Bank International AG (a) | 2,218 | 33,774 | ||||||
Voestalpine AG | 2,167 | 74,919 | ||||||
|
| |||||||
431,811 | ||||||||
|
| |||||||
Belgium — 1.3% | ||||||||
Ageas | 3,668 | 133,770 | ||||||
Anheuser-Busch InBev SA/NV | 15,789 | 2,072,681 | ||||||
Colruyt SA | 1,275 | 70,697 | ||||||
Groupe Bruxelles Lambert SA | 1,510 | 133,869 | ||||||
KBC Group NV (a) | 5,029 | 292,748 | ||||||
Proximus SADP | 2,820 | 84,134 | ||||||
Solvay SA | 1,403 | 162,143 | ||||||
Telenet Group Holding NV (a) | 1,050 | 54,765 | ||||||
UCB SA | 2,407 | 186,110 | ||||||
Umicore SA | 1,795 | 112,576 | ||||||
|
| |||||||
3,303,493 | ||||||||
|
| |||||||
Bermuda — 0.4% | ||||||||
Cheung Kong Infrastructure Holdings Ltd. | 13,000 | 112,609 | ||||||
First Pacific Co. Ltd. | 39,750 | 28,458 | ||||||
Hongkong Land Holdings Ltd. | 22,400 | 159,725 | ||||||
Jardine Matheson Holdings Ltd. | 5,000 | 303,731 | ||||||
Kerry Properties Ltd. | 13,000 | 42,823 | ||||||
Li & Fung Ltd. | 114,000 | 58,746 | ||||||
Noble Group Ltd. (a) | 128,700 | 14,560 | ||||||
NWS Holdings Ltd. | 29,612 | 49,604 |
The accompanying notes are an integral part of the financial statements.
183
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Shangri-La Asia Ltd. | 32,000 | $ | 35,209 | |||||
Yue Yuen Industrial Holdings Ltd. | 14,500 | 60,121 | ||||||
|
| |||||||
865,586 | ||||||||
�� |
|
| ||||||
Cayman Islands — 0.6% | ||||||||
ASM Pacific Technology Ltd. | 4,700 | 38,837 | ||||||
Cheung Kong Property Holdings Ltd. | 53,245 | 392,689 | ||||||
CK Hutchison Holdings Ltd. | 53,245 | 679,342 | ||||||
Melco Crown Entertainment Ltd. ADR (Cayman Islands) | 3,700 | 59,607 | ||||||
MGM China Holdings Ltd. | 15,200 | 26,669 | ||||||
Sands China Ltd. | 46,400 | 203,252 | ||||||
WH Group Ltd. (b) | 111,000 | 89,790 | ||||||
Wynn Macau Ltd. | 30,400 | 50,794 | ||||||
|
| |||||||
1,540,980 | ||||||||
|
| |||||||
Denmark — 1.7% | ||||||||
AP Moeller - Maersk A/S Class A | 73 | 102,878 | ||||||
AP Moeller - Maersk A/S Class B | 122 | 179,450 | ||||||
Carlsberg A/S Class B | 2,040 | 194,897 | ||||||
Chr Hansen Holding A/S | 1,872 | 111,278 | ||||||
Coloplast A/S Class B | 2,244 | 174,015 | ||||||
Danske Bank A/S | 13,660 | 400,030 | ||||||
DSV A/S | 3,931 | 196,303 | ||||||
Genmab A/S (a) | 1,079 | 184,904 | ||||||
ISS A/S | 3,223 | 134,091 | ||||||
Novo Nordisk A/S Class B | 37,566 | 1,565,205 | ||||||
Novozymes A/S | 4,387 | 192,934 | ||||||
Pandora A/S | 2,244 | 272,095 | ||||||
TDC A/S | 15,586 | 91,897 | ||||||
Tryg A/S | 2,126 | 42,784 | ||||||
Vestas Wind Systems A/S | 4,410 | 364,351 | ||||||
William Demant Holding A/S (a) | 2,346 | 47,889 | ||||||
|
| |||||||
4,255,001 | ||||||||
|
| |||||||
Finland — 1.0% | ||||||||
Elisa OYJ | 2,709 | 99,902 | ||||||
Fortum OYJ | 8,417 | 135,959 | ||||||
Kone OYJ | 6,700 | 339,952 | ||||||
Metso OYJ | 2,127 | 62,047 | ||||||
Neste OYJ | 2,438 | 103,902 | ||||||
Nokia OYJ | 104,665 | 606,649 | ||||||
Nokia OYJ | 10,433 | 60,346 | ||||||
Nokian Renkaat OYJ | 2,170 | 79,098 | ||||||
Orion OYJ Class B | 1,961 | 77,297 | ||||||
Sampo OYJ | 8,850 | 393,664 | ||||||
Stora Enso OYJ Class R | 10,461 | 92,887 | ||||||
UPM-Kymmene OYJ | 10,134 | 214,003 | ||||||
Wartsila OYJ Abp | 2,770 | 124,677 | ||||||
|
| |||||||
2,390,383 | ||||||||
|
| |||||||
France — 9.1% | ||||||||
Accor SA | 3,243 | 128,635 | ||||||
Aeroports de Paris | 555 | 55,039 | ||||||
Air Liquide | 7,634 | 817,981 |
Number of Shares | Value | |||||||
Alstom SA (a) | 2,928 | $ | 77,443 | |||||
Arkema | 1,300 | 120,250 | ||||||
Atos SE | 1,673 | 180,269 | ||||||
AXA SA | 38,120 | 811,050 | ||||||
BNP Paribas | 20,848 | 1,071,915 | ||||||
Bollore SA | 16,027 | 55,722 | ||||||
Bouygues SA | 3,953 | 130,975 | ||||||
Bureau Veritas SA | 4,982 | 106,866 | ||||||
Cap Gemini SA | 3,265 | 319,753 | ||||||
Carrefour SA | 11,160 | 288,965 | ||||||
Casino Guichard-Perrachon SA | 1,070 | 51,970 | ||||||
Christian Dior SE | 1,034 | 185,279 | ||||||
Cie Generale d’Optique Essilor International SA | 4,063 | 523,980 | ||||||
Cie Generale des Etablissements Michelin Class B | 3,614 | 399,635 | ||||||
CNP Assurances | 3,234 | 54,330 | ||||||
Compagnie de Saint-Gobain | 9,799 | 423,055 | ||||||
Credit Agricole SA | 21,788 | 214,973 | ||||||
Danone SA | 11,627 | 862,402 | ||||||
Dassault Systemes SA | 2,437 | 211,425 | ||||||
Edenred | 3,962 | 92,642 | ||||||
Eiffage SA | 1,118 | 86,858 | ||||||
Electricite de France SA | 4,705 | 57,240 | ||||||
Engie SA | 28,944 | 448,371 | ||||||
Eurazeo SA | 733 | 42,521 | ||||||
Eutelsat Communications SA | 3,335 | 69,046 | ||||||
Fonciere Des Regions | 642 | 59,830 | ||||||
Gecina SA | 785 | 123,430 | ||||||
Groupe Eurotunnel SE | 8,829 | 95,449 | ||||||
Hermes International | 536 | 218,075 | ||||||
ICADE | 718 | 56,000 | ||||||
Iliad SA | 506 | 106,180 | ||||||
Imerys SA | 649 | 46,871 | ||||||
Ingenico Group | 1,041 | 90,945 | ||||||
JCDecaux SA | 1,402 | 45,261 | ||||||
Kering | 1,524 | 307,101 | ||||||
Klepierre | 4,489 | 205,743 | ||||||
L’Oreal SA | 4,956 | 935,668 | ||||||
Lagardere S.C.A | 2,265 | 57,669 | ||||||
Legrand SA | 5,321 | 313,729 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 5,492 | 936,264 | ||||||
Natixis SA | 17,966 | 83,735 | ||||||
Orange SA | 39,203 | 613,459 | ||||||
Pernod-Ricard SA | 4,197 | 496,576 | ||||||
Peugeot SA (a) | 9,193 | 140,339 | ||||||
Publicis Groupe SA | 3,816 | 288,581 | ||||||
Remy Cointreau SA | 385 | 32,856 | ||||||
Renault SA | 3,849 | 316,241 | ||||||
Rexel SA | 5,751 | 88,023 | ||||||
Safran SA | 6,190 | 445,081 | ||||||
Sanofi | 22,752 | 1,733,526 | ||||||
Schneider Electric SE | 10,769 | 750,900 |
The accompanying notes are an integral part of the financial statements.
184
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Schneider Electric SE | 253 | $ | 17,649 | |||||
SCOR SE | 3,110 | 96,668 | ||||||
SFR Group SA | 2,098 | 61,645 | ||||||
Societe BIC SA | 538 | 79,564 | ||||||
Societe Generale SA | 15,159 | 523,146 | ||||||
Sodexo SA | 1,789 | 212,929 | ||||||
Suez | 6,346 | 104,662 | ||||||
Technip SA | 2,100 | 128,968 | ||||||
Thales SA | 2,155 | 198,498 | ||||||
Total SA | 43,809 | 2,076,421 | ||||||
Unibail-Rodamco SE | 1,744 | 470,189 | ||||||
Unibail-Rodamco SE | 213 | 57,426 | ||||||
Valeo SA | 4,553 | 265,512 | ||||||
Veolia Environnement SA | 8,680 | 199,656 | ||||||
Vinci SA | 9,955 | 761,215 | ||||||
Vivendi SA | 23,015 | 463,774 | ||||||
Wendel SA | 536 | 62,590 | ||||||
Zodiac Aerospace | 3,884 | 94,570 | ||||||
|
| |||||||
22,351,204 | ||||||||
|
| |||||||
Germany — 8.4% | ||||||||
Adidas AG | 3,685 | 639,559 | ||||||
Allianz SE | 8,938 | 1,326,692 | ||||||
Axel Springer SE | 777 | 39,788 | ||||||
BASF SE | 17,970 | 1,536,752 | ||||||
Bayer AG | 16,195 | 1,626,688 | ||||||
Bayerische Motoren Werke AG | 6,479 | 544,483 | ||||||
Beiersdorf AG | 1,895 | 178,739 | ||||||
Brenntag AG | 2,898 | 158,141 | ||||||
Commerzbank AG | 19,941 | 128,562 | ||||||
Continental AG | 2,156 | 453,289 | ||||||
Covestro AG (b) | 1,304 | 77,105 | ||||||
Daimler AG | 18,830 | 1,326,464 | ||||||
Deutsche Bank AG (a) | 27,339 | 355,689 | ||||||
Deutsche Boerse AG (a) | 7,120 | 576,520 | ||||||
Deutsche Lufthansa AG | 4,597 | 51,153 | ||||||
Deutsche Post AG | 18,902 | 590,721 | ||||||
Deutsche Telekom AG | 63,006 | 1,056,192 | ||||||
Deutsche Wohnen AG | 6,790 | 246,822 | ||||||
E.ON SE | 40,065 | 283,651 | ||||||
Evonik Industries AG | 3,035 | 102,579 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 750 | 40,980 | ||||||
Fresenius Medical Care AG & Co. KGaA | 4,343 | 379,094 | ||||||
Fresenius SE & Co. KGaA | 8,077 | 644,264 | ||||||
GEA Group AG | 3,710 | 205,788 | ||||||
Hannover Rueck SE | 1,126 | 120,617 | ||||||
HeidelbergCement AG | 2,827 | 267,032 | ||||||
Henkel AG & Co. KGaA | 2,088 | 243,008 | ||||||
Hochtief AG | 379 | 53,439 | ||||||
Hugo Boss AG | 1,233 | 68,187 | ||||||
Infineon Technologies AG | 22,429 | 400,205 | ||||||
K+S AG | 3,542 | 67,297 |
Number of Shares | Value | |||||||
Lanxess AG | 1,698 | $ | 105,453 | |||||
Linde AG | 3,655 | 621,149 | ||||||
MAN SE | 649 | 68,413 | ||||||
Merck KGaA | 2,578 | 277,812 | ||||||
Metro AG | 3,315 | 98,640 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG Registered | 3,137 | 585,050 | ||||||
OSRAM Licht AG | 1,652 | 96,981 | ||||||
ProSiebenSat.1 Media SE | 4,469 | 191,389 | ||||||
RWE AG (a) | 9,185 | 158,259 | ||||||
SAP SE | 19,239 | 1,750,518 | ||||||
Siemens AG | 14,975 | 1,753,018 | ||||||
Symrise AG | 2,520 | 184,700 | ||||||
Telefonica Deutschland Holding AG | 13,570 | 54,549 | ||||||
ThyssenKrupp AG | 6,904 | 164,612 | ||||||
TUI AG | 4,751 | 67,553 | ||||||
TUI AG | 4,761 | 67,854 | ||||||
United Internet AG | 2,290 | 101,317 | ||||||
Volkswagen AG | 602 | 87,341 | ||||||
Vonovia SE | 9,254 | 350,411 | ||||||
Zalando SE (a) (b) | 1,598 | 66,675 | ||||||
|
| |||||||
20,641,194 | ||||||||
|
| |||||||
Hong Kong — 2.5% | ||||||||
AIA Group Ltd. | 236,780 | 1,586,452 | ||||||
The Bank of East Asia Ltd. | 22,883 | 93,400 | ||||||
BOC Hong Kong Holdings Ltd. | 75,000 | 254,674 | ||||||
Cathay Pacific Airways Ltd. | 24,000 | 33,524 | ||||||
CLP Holdings Ltd. | 32,499 | 337,409 | ||||||
Galaxy Entertainment Group Ltd. | 45,000 | 171,228 | ||||||
Hang Lung Properties Ltd. | 43,000 | 97,607 | ||||||
Hang Seng Bank Ltd. | 15,300 | 274,772 | ||||||
Henderson Land Development Co. Ltd. | 20,442 | 122,181 | ||||||
HK Electric Investments & HK Electric Investments Ltd. (b) | 50,706 | 49,984 | ||||||
HKT Trust & HKT Ltd. | 49,840 | 70,462 | ||||||
Hong Kong & China Gas Co. Ltd. | 152,751 | 289,093 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 22,839 | 602,480 | ||||||
Hysan Development Co. Ltd. | 12,035 | 56,535 | ||||||
The Link REIT | 44,723 | 329,990 | ||||||
MTR Corp. | 29,956 | 165,810 | ||||||
New World Development Ltd. | 109,111 | 142,876 | ||||||
PCCW Ltd. | 80,136 | 49,257 | ||||||
Power Assets Holdings Ltd. | 26,500 | 259,566 | ||||||
Sino Land Co. Ltd. | 58,044 | 103,546 | ||||||
SJM Holdings Ltd. | 33,000 | 24,408 | ||||||
Sun Hung Kai Properties Ltd. | 28,258 | 430,662 | ||||||
Swire Pacific Ltd. Class A | 10,500 | 113,647 | ||||||
Swire Properties Ltd. | 22,396 | 65,905 | ||||||
Techtronic Industries Co. | 25,903 | 101,583 | ||||||
The Wharf Holdings Ltd. | 26,000 | 190,508 | ||||||
Wheelock & Co. Ltd. | 16,000 | 95,046 | ||||||
|
| |||||||
6,112,605 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
185
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Ireland — 0.7% | ||||||||
Bank of Ireland (a) | 531,212 | $ | 110,674 | |||||
CRH PLC | 14,912 | 498,605 | ||||||
CRH PLC | 1,480 | 49,076 | ||||||
DCC PLC | 1,687 | 153,802 | ||||||
Experian PLC | 19,152 | 383,726 | ||||||
James Hardie Industries NV | 8,484 | 133,077 | ||||||
Kerry Group PLC Class A | 3,044 | 253,618 | ||||||
Paddy Power Betfair PLC | 1,535 | 173,641 | ||||||
|
| |||||||
1,756,219 | ||||||||
|
| |||||||
Israel — 0.6% | ||||||||
Azrieli Group Ltd. | 811 | 35,591 | ||||||
Bank Hapoalim B.M. | 20,244 | 114,784 | ||||||
Bank Leumi Le-Israel BM (a) | 27,328 | 103,855 | ||||||
Bezeq Israeli Telecommunication Corp. Ltd. | 40,044 | 75,480 | ||||||
Check Point Software Technologies Ltd. (a) | 2,500 | 194,025 | ||||||
Israel Chemicals Ltd. | 9,724 | 37,840 | ||||||
Mizrahi Tefahot Bank Ltd. | 2,615 | 33,246 | ||||||
Nice Ltd. | 1,151 | 76,968 | ||||||
Taro Pharmaceutical Industries Ltd. (a) | 300 | 33,153 | ||||||
Teva Pharmaceutical Industries Ltd. | 17,393 | 807,798 | ||||||
|
| |||||||
1,512,740 | ||||||||
|
| |||||||
Italy — 1.7% | ||||||||
Assicurazioni Generali SpA | 23,434 | 285,976 | ||||||
Atlantia SpA | 8,400 | 213,277 | ||||||
Enel SpA | 150,383 | 670,710 | ||||||
Eni SpA | 50,161 | 722,856 | ||||||
Exor SpA | 2,086 | 84,545 | ||||||
Intesa Sanpaolo SpA | 250,593 | 556,321 | ||||||
Intesa Sanpaolo SpA | 17,866 | 37,424 | ||||||
Leonardo-Finmeccanica SpA (a) | 7,691 | 87,243 | ||||||
Luxottica Group SpA | 3,227 | 154,189 | ||||||
Mediobanca SpA | 10,746 | 69,982 | ||||||
Poste Italiane SpA (b) | 9,794 | 67,186 | ||||||
Prysmian SpA | 3,694 | 96,796 | ||||||
Saipem SpA (a) | 115,786 | 49,012 | ||||||
Snam SpA | 49,441 | 273,915 | ||||||
Telecom Italia SpA (a) | 209,879 | 173,665 | ||||||
Telecom Italia SpA — RSP | 113,863 | 77,281 | ||||||
Terna Rete Elettrica Nazionale SpA | 28,674 | 147,847 | ||||||
UniCredit SpA | 100,115 | 233,334 | ||||||
Unione di Banche Italiane SpA | 17,275 | 39,828 | ||||||
UnipolSai SpA | 21,208 | 34,508 | ||||||
|
| |||||||
4,075,895 | ||||||||
|
| |||||||
Japan — 23.5% | ||||||||
ABC-Mart, Inc. | 600 | 40,778 | ||||||
Acom Co. Ltd. (a) | 7,500 | 35,328 | ||||||
Aeon Co. Ltd. | 13,500 | 199,171 | ||||||
AEON Financial Service Co, Ltd. | 2,100 | 36,589 | ||||||
Aeon Mall Co. Ltd. | 2,200 | 34,739 |
Number of Shares | Value | |||||||
Air Water, Inc. | 3,000 | $ | 56,614 | |||||
Aisin Seiki Co. | 3,600 | 164,846 | ||||||
Ajinomoto Co., Inc. | 11,200 | 249,486 | ||||||
Alfresa Holdings Corp. | 3,600 | 76,150 | ||||||
All Nippon Airways Co. Ltd. | 23,000 | 62,520 | ||||||
Alps Electric Co. Ltd. | 3,600 | 86,561 | ||||||
Amada Holdings Co. Ltd. | 6,500 | 67,519 | ||||||
Aozora Bank Ltd. | 22,000 | 75,780 | ||||||
Asahi Glass Co. Ltd. | 19,000 | 123,016 | ||||||
Asahi Group Holdings Ltd. | 7,400 | 269,329 | ||||||
Asahi Kasei Corp. | 24,000 | 191,233 | ||||||
Ashikaga Holdings Co. Ltd. | 5,500 | 19,711 | ||||||
Asics Corp. | 3,000 | 60,319 | ||||||
Astellas Pharma, Inc. | 41,600 | 649,664 | ||||||
Bandai Namco Holdings, Inc. | 3,800 | 116,216 | ||||||
The Bank of Kyoto Ltd. | 6,000 | 43,995 | ||||||
Benesse Holdings, Inc. | 1,300 | 33,181 | ||||||
Bridgestone Corp. | 12,900 | 475,784 | ||||||
Brother Industries Ltd. | 4,500 | 79,262 | ||||||
Calbee, Inc. | 1,500 | 56,724 | ||||||
Canon, Inc. | 21,100 | 611,559 | ||||||
Casio Computer Co. Ltd. | 4,400 | 61,715 | ||||||
Central Japan Railway Co. | 2,800 | 479,042 | ||||||
The Chiba Bank Ltd. | 13,000 | 73,877 | ||||||
Chubu Electric Power Co., Inc. | 12,400 | 180,540 | ||||||
Chugai Pharmaceutical Co. Ltd. | 4,300 | 155,267 | ||||||
The Chugoku Bank Ltd. | 3,200 | 39,050 | ||||||
The Chugoku Electric Power Co., Inc. | 5,400 | 67,873 | ||||||
Concordia Financial Group Ltd. | 22,100 | 96,605 | ||||||
Credit Saison Co. Ltd. | 2,800 | 46,443 | ||||||
CYBERDYNE, Inc. (a) | 2,000 | 31,323 | ||||||
Dai Nippon Printing Co. Ltd. | 10,000 | 97,997 | ||||||
The Dai-ichi Life Insurance Co. Ltd. | 21,700 | 297,839 | ||||||
Daicel Corp. | 5,300 | 67,190 | ||||||
Daiichi Sankyo Co. Ltd. | 12,100 | 289,874 | ||||||
Daikin Industries Ltd. | 4,700 | 437,881 | ||||||
Daito Trust Construction Co. Ltd. | 1,400 | 223,739 | ||||||
Daiwa House Industry Co. Ltd. | 11,400 | 312,236 | ||||||
Daiwa House REIT Investment Co. | 26 | 76,394 | ||||||
Daiwa Securities Group, Inc. | 34,000 | 191,464 | ||||||
Denso Corp. | 9,600 | 383,252 | ||||||
Dentsu, Inc. | 4,100 | 207,508 | ||||||
Don Quijote Holdings Co. Ltd. | 2,200 | 80,632 | ||||||
East Japan Railway | 6,600 | 595,040 | ||||||
Eisai Co. Ltd. | 5,000 | 312,504 | ||||||
Electric Power Development Co. Ltd. | 2,800 | 67,253 | ||||||
FamilyMart Co. Ltd. | 1,600 | 106,145 | ||||||
Fanuc Corp. | 3,900 | 660,063 | ||||||
Fast Retailing Co. Ltd. | 1,000 | 322,001 | ||||||
Fuji Electric Co. Ltd. | 11,000 | 50,398 | ||||||
Fuji Heavy Industries Ltd. | 12,200 | 458,163 | ||||||
FUJIFILM Holdings Corp. | 8,400 | 310,880 | ||||||
Fujitsu LTD | 38,000 | 205,142 | ||||||
Fukuoka Financial Group, Inc. | 15,000 | 62,306 |
The accompanying notes are an integral part of the financial statements.
186
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
GungHo Online Entertainment, Inc. | 7,900 | $ | 19,361 | |||||
The Hachijuni Bank Ltd. | 7,700 | 40,153 | ||||||
Hakuhodo DY Holdings, Inc. | 4,100 | 47,876 | ||||||
Hamamatsu Photonics KK | 2,700 | 82,950 | ||||||
Hankyu Hanshin Holdings, Inc. | 4,600 | 158,155 | ||||||
Hikari Tsushin, Inc. | 400 | 37,080 | ||||||
Hino Motors Ltd. | 4,900 | 52,459 | ||||||
Hirose Electric Co. Ltd. | 600 | 78,863 | ||||||
The Hiroshima Bank Ltd. | 9,000 | 37,347 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 1,200 | 64,770 | ||||||
Hitachi Chemical Co. Ltd. | 2,000 | 45,840 | ||||||
Hitachi Construction Machinery Co. Ltd. | 2,100 | 41,853 | ||||||
Hitachi High-Technologies Corp. | 1,300 | 51,818 | ||||||
Hitachi Ltd. | 96,000 | 449,004 | ||||||
Hitachi Metals Ltd. | 4,100 | 50,108 | ||||||
Hokuriku Electric Power Co. | 3,300 | 40,218 | ||||||
Honda Motor Co. Ltd. | 32,100 | 924,161 | ||||||
Hoshizaki Corp. | 1,000 | 91,338 | ||||||
Hoya Corp. | 8,100 | 325,289 | ||||||
Hulic Co. Ltd. | 5,600 | 57,153 | ||||||
Idemitsu Kosan Co. Ltd. | 1,700 | 35,025 | ||||||
IHI Corp. | 28,000 | 81,318 | ||||||
Iida Group Holdings Co. Ltd. | 2,900 | 58,295 | ||||||
Inpex Corp. | 18,000 | 163,194 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 6,400 | 62,989 | ||||||
Isuzu Motors Ltd. | 11,300 | 132,885 | ||||||
ITOCHU Corp. | 29,900 | 374,556 | ||||||
The Iyo Bank Ltd. | 4,600 | 27,833 | ||||||
J Front Retailing Co. Ltd. | 4,600 | 60,273 | ||||||
Japan Airlines Co. Ltd. | 2,400 | 70,654 | ||||||
Japan Airport Terminal Co. Ltd. | 900 | 34,215 | ||||||
Japan Exchange Group, Inc. | 9,800 | 153,347 | ||||||
Japan Post Bank Co. Ltd. | 8,800 | 104,516 | ||||||
Japan Post Holdings Co. Ltd. | 9,600 | 120,626 | ||||||
Japan Prime Realty Investment Corp. | 16 | 72,213 | ||||||
Japan Real Estate Investment Corp. | 25 | 149,359 | ||||||
Japan Retail Fund Investment Corp. | 49 | 121,038 | ||||||
Japan Tobacco, Inc. | 21,700 | 886,555 | ||||||
JFE Holdings, Inc. | 10,000 | 145,806 | ||||||
JGC Corp. | 4,000 | 69,516 | ||||||
The Joyo Bank Ltd. (c) | 12,000 | 51,477 | ||||||
JSR Corp. | 3,700 | 58,147 | ||||||
JTEKT Corp. | 4,200 | 63,128 | ||||||
JX Holdings, Inc. | 40,700 | 164,296 | ||||||
Kajima Corp. | 17,000 | 118,822 | ||||||
Kakaku.com, Inc. | 2,700 | 48,752 | ||||||
Kamigumi Co. Ltd. | 4,000 | 34,853 | ||||||
Kaneka Corp. | 5,000 | 39,600 | ||||||
The Kansai Electric Power Co., Inc. (a) | 13,500 | 122,626 | ||||||
Kansai Paint Co. Ltd. | 4,100 | 89,812 | ||||||
Kao Corp. | 9,900 | 557,627 | ||||||
Kawasaki Heavy Industries Ltd. | 27,000 | 83,626 |
Number of Shares | Value | |||||||
KDDI Corp. | 36,100 | $ | 1,110,890 | |||||
Keihan Holdings Co, Ltd. | 10,000 | 69,901 | ||||||
Keikyu Corp. | 9,000 | 93,816 | ||||||
Keio Corp. | 11,000 | 96,065 | ||||||
Keisei Electric Railway Co. Ltd. | 2,500 | 62,391 | ||||||
Keyence Corp. | 900 | 655,035 | ||||||
Kikkoman Corp. | 3,000 | 95,809 | ||||||
Kintetsu Group Holdings Co. Ltd. | 35,000 | 146,715 | ||||||
Kirin Holdings Co. Ltd. | 15,700 | 259,933 | ||||||
Kobe Steel Ltd. (a) | 6,000 | 54,306 | ||||||
Koito Manufacturing Co. Ltd. | 2,100 | 102,236 | ||||||
Komatsu Ltd. | 18,300 | 419,327 | ||||||
Konami Holdings Corp. | 1,800 | 69,699 | ||||||
Konica Minolta Holding, Inc. | 8,600 | 72,957 | ||||||
Kose Corp. | 600 | 61,492 | ||||||
Kubota Corp. | 21,200 | 320,469 | ||||||
Kuraray Co. Ltd. | 6,700 | 99,448 | ||||||
Kurita Water Industries Ltd. | 1,900 | 45,178 | ||||||
Kyocera Corp. | 6,400 | 307,038 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 4,900 | 77,156 | ||||||
Kyushu Electric Power Co, Inc. | 8,200 | 76,270 | ||||||
Kyushu Financial Group, Inc. | 6,700 | 45,726 | ||||||
Lawson, Inc. | 1,200 | 94,553 | ||||||
Lixil Group Corp. | 5,100 | 109,401 | ||||||
M3, Inc. | 3,700 | 126,007 | ||||||
Mabuchi Motor Co. Ltd. | 900 | 49,864 | ||||||
Makita Corp. | 2,300 | 163,567 | ||||||
Marubeni Corp. | 31,700 | 162,513 | ||||||
Marui Group Co. Ltd. | 4,000 | 52,820 | ||||||
Maruichi Steel Tube Ltd. | 1,100 | 37,999 | ||||||
Mazda Motor Corp. | 10,900 | 167,470 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 1,300 | 38,309 | ||||||
Medipal Holdings Corp. | 3,300 | 57,082 | ||||||
MEIJI Holdings Co. Ltd. | 2,200 | 217,641 | ||||||
Minebea Co. Ltd. | 6,500 | 61,551 | ||||||
Miraca Holdings, Inc. | 1,100 | 54,848 | ||||||
Mitsubishi Chemical Holding Corp. | 25,800 | 162,201 | ||||||
Mitsubishi Corp. | 29,800 | 677,382 | ||||||
Mitsubishi Electric Corp. | 38,000 | 486,495 | ||||||
Mitsubishi Estate Co. Ltd. | 25,000 | 468,682 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 3,500 | 50,050 | ||||||
Mitsubishi Heavy Industries Ltd. | 65,000 | 271,774 | ||||||
Mitsubishi Logistics Corp. | 2,000 | 28,840 | ||||||
Mitsubishi Materials Corp. | 2,100 | 57,395 | ||||||
Mitsubishi Motors Corp. | 13,100 | 61,036 | ||||||
Mitsubishi Tanabe Pharma Corp. | 4,300 | 91,908 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 250,800 | 1,264,691 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 8,500 | 39,001 | ||||||
Mitsui & Co. Ltd. | 33,800 | 467,521 | ||||||
Mitsui Chemicals, Inc. | 18,000 | 85,787 | ||||||
Mitsui Fudosan Co. Ltd. | 18,000 | 383,269 | ||||||
Mitsui OSK Lines Ltd. | 22,000 | 51,197 |
The accompanying notes are an integral part of the financial statements.
187
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Mitsui Sumitomo Insurance Group Holdings, Inc. | 10,200 | $ | 284,546 | |||||
Mixi, Inc. | 900 | 32,444 | ||||||
Mizuho Financial Group, Inc. | 468,600 | 782,934 | ||||||
Murata Manufacturing Co. Ltd. | 3,800 | 495,649 | ||||||
Nabtesco Corp. | 2,100 | 59,451 | ||||||
Nagoya Railroad Co. Ltd. | 18,000 | 97,818 | ||||||
NEC Corp. | 50,000 | 129,175 | ||||||
Nexon Co. Ltd. | 3,300 | 51,564 | ||||||
NGK Insulators Ltd. | 5,000 | 103,534 | ||||||
NGK Spark Plug Co., Ltd. | 3,400 | 59,901 | ||||||
NH Foods Ltd. | 4,000 | 96,493 | ||||||
NHK Spring Co. Ltd. | 4,000 | 38,736 | ||||||
Nidec Corp. | 4,700 | 432,405 | ||||||
Nikon Corp. | 6,500 | 97,073 | ||||||
Nintendo Co. Ltd. | 2,200 | 582,134 | ||||||
Nippon Building Fund, Inc. | 27 | 170,870 | ||||||
Nippon Electric Glass Co. Ltd. | 8,000 | 41,422 | ||||||
Nippon Express Co. Ltd. | 16,000 | 74,765 | ||||||
Nippon Paint Holdings Co. Ltd. | 3,100 | 104,004 | ||||||
Nippon Prologis REIT, Inc. | 30 | 75,885 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 16,200 | 332,650 | ||||||
Nippon Telegraph & Telephone Corp. | 13,600 | 621,117 | ||||||
Nippon Yusen KK | 31,000 | 58,045 | ||||||
Nissan Motor Co. Ltd. | 48,900 | 478,858 | ||||||
Nisshin Seifun Group, Inc. | 3,700 | 56,299 | ||||||
Nissin Foods Holdings Co. Ltd. | 1,100 | 66,713 | ||||||
Nitori Holdings Co. Ltd. | 1,600 | 191,434 | ||||||
Nitto Denko Corp. | 3,300 | 214,177 | ||||||
NOK Corp. | 1,800 | 39,433 | ||||||
Nomura Holdings, Inc. | 72,400 | 324,011 | ||||||
Nomura Real Estate Holdings, Inc. | 2,400 | 40,495 | ||||||
Nomura Real Estate Master Fund, Inc. | 76 | 126,974 | ||||||
Nomura Research Institute Ltd. | 2,300 | 79,367 | ||||||
NSK Ltd. | 8,400 | 86,201 | ||||||
NTT Data Corp. | 2,400 | 119,953 | ||||||
NTT DOCOMO, Inc. | 27,300 | 692,173 | ||||||
NTT Urban Development Corp. | 2,200 | 21,238 | ||||||
Obayashi Corp. | 12,400 | 122,912 | ||||||
Obic Co. Ltd. | 1,200 | 63,842 | ||||||
Odakyu Electric Railway Co. Ltd. | 6,200 | 137,937 | ||||||
Oji Holdings Corp. | 15,000 | 59,354 | ||||||
Olympus Corp. | 5,600 | 195,361 | ||||||
Omron Corp. | 3,700 | 132,950 | ||||||
Ono Pharmaceutical Co. Ltd. | 8,400 | 233,223 | ||||||
Oracle Corp. | 700 | 39,515 | ||||||
Oriental Land Co. Ltd. | 4,200 | 255,519 | ||||||
ORIX Corp. | 26,300 | 388,068 | ||||||
Osaka Gas Co. Ltd. | 36,000 | 150,991 | ||||||
Otsuka Corp. | 1,000 | 47,465 | ||||||
Otsuka Holdings Co. Ltd. | 7,800 | 355,784 | ||||||
Panasonic Corp. | 43,700 | 437,251 | ||||||
Park24 Co. Ltd. | 1,900 | 61,737 | ||||||
Pola Orbis Holdings, Inc. | 400 | 35,834 |
Number of Shares | Value | |||||||
Rakuten, Inc. | 17,700 | $ | 230,244 | |||||
Recruit Holdings Co. Ltd. | 7,300 | 296,970 | ||||||
Resona Holdings, Inc. | 41,800 | 175,791 | ||||||
Ricoh Co. Ltd. | 12,800 | 115,675 | ||||||
Rinnai Corp. | 800 | 74,300 | ||||||
Rohm Co. Ltd. | 1,700 | 89,611 | ||||||
Ryohin Keikaku Co. Ltd. | 500 | 100,722 | ||||||
Sankyo Co. Ltd. | 900 | 30,729 | ||||||
Santen Pharmaceutical Co. Ltd. | 7,100 | 104,705 | ||||||
SBI Holdings, Inc. | 3,842 | 45,825 | ||||||
Secom Co. Ltd. | 4,200 | 313,433 | ||||||
Sega Sammy Holdings, Inc. | 3,600 | 51,268 | ||||||
Seibu Holdings, Inc. | 3,300 | 54,445 | ||||||
Seiko Epson Corp. | 5,400 | 104,082 | ||||||
Sekisui Chemical Co. Ltd. | 7,900 | 113,544 | ||||||
Sekisui House Ltd. | 11,600 | 197,466 | ||||||
Seven & I Holdings Co. Ltd. | 14,900 | 704,171 | ||||||
Seven Bank Ltd. | 10,800 | 34,571 | ||||||
Sharp Corp. (a) | 28,000 | 37,577 | ||||||
Shikoku Electric Power Co., Inc. (a) | 3,300 | 32,598 | ||||||
Shimadzu Corp. | 5,000 | 76,072 | ||||||
Shimamura Co. Ltd. | 400 | 48,502 | ||||||
Shimano, Inc. | 1,500 | 222,359 | ||||||
Shimizu Corp. | 12,000 | 107,070 | ||||||
Shin-Etsu Chemical Co. Ltd. | 7,700 | 537,587 | ||||||
Shinsei Bank Ltd. | 34,000 | 51,403 | ||||||
Shionogi & Co. Ltd. | 6,000 | 306,685 | ||||||
Shiseido Co. Ltd. | 7,800 | 206,269 | ||||||
The Shizuoka Bank Ltd. | 10,000 | 80,072 | ||||||
Showa Shell Sekiyu KK | 3,500 | 32,477 | ||||||
SMC Corp. | 1,200 | 346,164 | ||||||
SoftBank Group Corp. | 18,900 | 1,224,377 | ||||||
Sohgo Security Services Co. Ltd. | 1,300 | 69,819 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 6,700 | 198,253 | ||||||
Sony Corp. | 24,900 | 813,591 | ||||||
Sony Financial Holdings, Inc. | 3,300 | 45,436 | ||||||
Stanley Electric Co. Ltd. | 2,900 | 78,004 | ||||||
Start Today Co. Ltd. | 3,300 | 56,519 | ||||||
Sumitomo Chemical Co. Ltd. | 30,000 | 133,397 | ||||||
Sumitomo Corp. | 22,800 | 254,593 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 3,000 | 57,998 | ||||||
Sumitomo Electric Industries Ltd. | 14,400 | 203,653 | ||||||
Sumitomo Heavy Industries Ltd. | 10,000 | 49,274 | ||||||
Sumitomo Metal Mining Co. Ltd. | 10,000 | 138,249 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 26,500 | 893,128 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 6,800 | 220,681 | ||||||
Sumitomo Realty & Development Co. Ltd. | 7,000 | 181,354 | ||||||
Sumitomo Rubber Industries Ltd. | 3,300 | 49,906 | ||||||
Sundrug Co. Ltd. | 700 | 58,527 | ||||||
Suntory Beverage & Food Ltd. | 2,600 | 112,806 | ||||||
Suruga Bank Ltd. | 3,300 | 79,134 |
The accompanying notes are an integral part of the financial statements.
188
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Suzuken Co. Ltd. | 1,500 | $ | 49,507 | |||||
Suzuki Motor Corp. | 7,000 | 234,338 | ||||||
Sysmex Corp. | 3,000 | 222,259 | ||||||
T&D Holdings, Inc. | 11,000 | 124,020 | ||||||
Taiheiyo Cement Corp. | 23,000 | 66,320 | ||||||
Taisei Corp. | 20,000 | 149,730 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. | 700 | 71,711 | ||||||
Taiyo Nippon Sanso Corp. | 2,500 | 26,065 | ||||||
Takashimaya Co. Ltd. | 6,000 | 49,233 | ||||||
Takeda Pharmaceutical Co. Ltd. | 14,000 | 670,121 | ||||||
TDK Corp. | 2,400 | 160,538 | ||||||
Teijin Ltd. | 3,600 | 69,826 | ||||||
Terumo Corp. | 6,900 | 264,504 | ||||||
THK Co. Ltd. | 2,300 | 45,307 | ||||||
Tobu Railway Co. Ltd. | 19,000 | 96,693 | ||||||
Toho Co. Ltd. | 2,200 | 73,016 | ||||||
Toho Gas Co. Ltd. | 7,000 | 65,525 | ||||||
Tohoku Electric Power Co., Inc. | 8,800 | 114,767 | ||||||
Tokio Marine Holdings, Inc. | 13,500 | 517,338 | ||||||
The Tokyo Electric Power Co Holdings, Inc. (a) | 27,900 | 120,664 | ||||||
Tokyo Electron Ltd. | 3,000 | 264,738 | ||||||
Tokyo Gas Co. Ltd. | 39,000 | 173,524 | ||||||
Tokyo Tatemono Co. Ltd. | 4,000 | 48,047 | ||||||
Tokyu Corp. | 22,000 | 167,712 | ||||||
Tokyu Fudosan Holdings Corp. | 9,700 | 52,711 | ||||||
TonenGeneral Sekiyu KK | 6,000 | 60,766 | ||||||
Toppan Printing Co. Ltd. | 10,000 | 90,228 | ||||||
Toray Industries, Inc. | 30,000 | 291,881 | ||||||
Toshiba Corp. (a) | 82,000 | 273,978 | ||||||
TOTO Ltd. | 2,700 | 101,753 | ||||||
Toyo Seikan Group Holdings Ltd. | 3,100 | 54,618 | ||||||
Toyo Suisan Kaisha Ltd. | 1,700 | 72,029 | ||||||
Toyoda Gosei Co. Ltd. | 1,300 | 30,255 | ||||||
Toyota Industries Corp. | 3,100 | 143,840 | ||||||
Toyota Motor Corp. | 52,400 | 3,038,872 | ||||||
Toyota Tsusho Corp. | 4,100 | 95,100 | ||||||
Trend Micro, Inc. | 2,100 | 73,157 | ||||||
Tsuruha Holdings, Inc. | 700 | 81,003 | ||||||
Unicharm Corp. | 8,300 | 215,000 | ||||||
United Urban Investment Corp. | 56 | 101,983 | ||||||
USS Co. Ltd. | 4,200 | 70,997 | ||||||
West Japan Railway Co. | 3,300 | 204,285 | ||||||
Yahoo! Japan Corp. | 26,800 | 106,706 | ||||||
Yakult Honsha Co. Ltd. | 1,700 | 76,569 | ||||||
Yamada Denki Co. Ltd. | 12,000 | 59,518 | ||||||
Yamaguchi Financial Group, Inc. | 4,000 | 42,624 | ||||||
Yamaha Corp. | 3,200 | 103,223 | ||||||
Yamaha Motor Co. Ltd. | 5,300 | 107,284 | ||||||
Yamato Holdings Co. Ltd. | 7,300 | 169,907 | ||||||
Yamazaki Baking Co. Ltd. | 2,500 | 61,202 |
Number of Shares | Value | |||||||
Yaskawa Electric Corp. | 4,900 | $ | 73,223 | |||||
Yokogawa Electric Corp. | 4,400 | 58,549 | ||||||
The Yokohama Rubber Co. Ltd. | 2,100 | 33,570 | ||||||
|
| |||||||
58,108,300 | ||||||||
|
| |||||||
Luxembourg — 0.3% | ||||||||
ArcelorMittal (a) | 37,535 | 229,217 | ||||||
Millicom International Cellular SA | 1,252 | 64,904 | ||||||
RTL Group | 709 | 58,838 | ||||||
SES SA | 6,967 | 170,889 | ||||||
Tenaris SA | 8,997 | 127,830 | ||||||
|
| |||||||
651,678 | ||||||||
|
| |||||||
Mauritius — 0.0% | ||||||||
Golden Agri-Resources Ltd. | 136,900 | 35,862 | ||||||
|
| |||||||
Netherlands — 3.8% | ||||||||
ABN AMRO Group NV (b) | 4,523 | 93,590 | ||||||
Aegon NV | 34,594 | 132,555 | ||||||
AerCap Holdings NV (a) | 3,200 | 123,168 | ||||||
Airbus Group SE | 11,530 | 697,435 | ||||||
Akzo Nobel NV | 4,926 | 333,350 | ||||||
Altice NV Class A (a) | 7,066 | 126,763 | ||||||
Altice NV Class B (a) | 2,109 | 37,977 | ||||||
ASML Holding NV | 7,258 | 795,906 | ||||||
Boskalis Westminster | 1,660 | 59,076 | ||||||
CNH Industrial NV | 19,385 | 138,756 | ||||||
Ferrari NV | 783 | 40,673 | ||||||
Ferrari NV | 1,554 | 80,606 | ||||||
Fiat Chrysler Automobiles NV | 1,663 | 10,558 | ||||||
Fiat Chrysler Automobiles NV | 15,554 | 99,546 | ||||||
Gemalto NV | 216 | 13,850 | ||||||
Gemalto NV | 1,327 | 85,088 | ||||||
Heineken Holding NV | 1,892 | 151,681 | ||||||
Heineken NV | 4,566 | 401,594 | ||||||
ING Groep NV | 76,343 | 941,085 | ||||||
Koninklijke Ahold Delhaize NV | 25,292 | 576,133 | ||||||
Koninklijke DSM NV | 3,664 | 247,463 | ||||||
Koninklijke KPN NV | 69,245 | 229,859 | ||||||
Koninklijke Philips Electronics NV | 18,389 | 544,432 | ||||||
Koninklijke Vopak NV | 1,359 | 71,331 | ||||||
Mobileye NV (a) | 3,700 | 157,509 | ||||||
NN Group NV | 6,528 | 200,362 | ||||||
NXP Semiconductor NV (a) | 5,845 | 596,249 | ||||||
OCI NV (a) | 1,777 | 26,199 | ||||||
QIAGEN NV (a) | 4,128 | 113,651 | ||||||
Randstad Holding NV | 2,244 | 102,218 | ||||||
RELX NV | 19,843 | 356,323 | ||||||
STMicroelectronics NV | 12,182 | 99,433 | ||||||
Unilever NV | 32,017 | 1,476,956 | ||||||
Wolters Kluwer NV | 5,752 | 246,151 | ||||||
|
| |||||||
9,407,526 | ||||||||
|
| |||||||
New Zealand — 0.2% | ||||||||
Auckland International Airport Ltd. | 18,039 | 96,572 |
The accompanying notes are an integral part of the financial statements.
189
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Contact Energy Ltd. | 13,826 | $ | 50,829 | |||||
Fletcher Building Ltd. | 13,332 | 104,328 | ||||||
Mercury NZ Ltd. | 13,427 | 29,731 | ||||||
Meridian Energy Ltd. | 24,301 | 45,970 | ||||||
Ryman Healthcare Ltd. | 7,231 | 50,733 | ||||||
Spark New Zealand Ltd. | 34,701 | 91,250 | ||||||
|
| |||||||
469,413 | ||||||||
|
| |||||||
Norway — 0.6% | ||||||||
DNB ASA | 18,642 | 244,915 | ||||||
Gjensidige Forsikring ASA | 3,683 | 68,828 | ||||||
Marine Harvest ASA | 7,323 | 131,074 | ||||||
Norsk Hydro ASA | 25,397 | 109,567 | ||||||
Orkla ASA | 15,522 | 160,366 | ||||||
Schibsted ASA Class A | 1,414 | 41,607 | ||||||
Schibsted ASA Class B | 1,666 | 44,706 | ||||||
StatoilHydro ASA | 21,644 | 363,108 | ||||||
Telenor ASA | 15,136 | 260,266 | ||||||
Yara International ASA | 3,366 | 112,075 | ||||||
|
| |||||||
1,536,512 | ||||||||
|
| |||||||
Papua New Guinea — 0.1% | ||||||||
Oil Search Ltd. | 26,017 | 142,361 | ||||||
|
| |||||||
Portugal — 0.1% | ||||||||
Banco Espirito Santo SA (a) (c) | 39,664 | 446 | ||||||
EDP - Energias de Portugal SA | 43,853 | 147,244 | ||||||
Galp Energia SGPS SA | 9,883 | 135,114 | ||||||
Jeronimo Martins SGPS SA | 4,679 | 81,129 | ||||||
|
| |||||||
363,933 | ||||||||
|
| |||||||
Singapore — 1.2% | ||||||||
Ascendas Real Estate Investment Trust | 43,400 | 80,513 | ||||||
CapitaLand Commercial Trust | 47,300 | 75,537 | ||||||
CapitaLand Commercial Trust | 39,900 | 46,726 | ||||||
Capitaland Ltd. | 49,100 | 115,978 | ||||||
City Developments Ltd. | 7,800 | 52,210 | ||||||
ComfortDelGro Corp. Ltd. | 40,500 | 83,890 | ||||||
DBS Group Holdings, Ltd. | 34,851 | 395,632 | ||||||
Genting Singapore PLC | 115,000 | 63,829 | ||||||
Global Logistic Properties Ltd. | 51,000 | 70,292 | ||||||
Hutchison Port Holdings Trust | 100,300 | 44,992 | ||||||
Jardine Cycle & Carriage Ltd. | 1,877 | 59,355 | ||||||
Keppel Corp. Ltd. | 27,800 | 111,230 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 61,283 | 391,243 | ||||||
SembCorp Industries Ltd. | 18,800 | 36,006 | ||||||
SembCorp Marine Ltd. | 25,000 | 24,172 | ||||||
Singapore Airlines Ltd. | 10,600 | 81,988 | ||||||
Singapore Exchange Ltd. | 14,900 | 81,324 | ||||||
Singapore Press Holdings Ltd. | 30,800 | 86,485 | ||||||
Singapore Technologies Engineering Ltd. | 29,500 | 70,263 | ||||||
Singapore Telecommunications Ltd. | 157,600 | 462,121 | ||||||
StarHub Ltd. | 11,100 | 28,074 | ||||||
Suntec Real Estate Investment Trust | 45,800 | 57,911 |
Number of Shares | Value | |||||||
United Overseas Bank Ltd. | 25,873 | $ | 359,382 | |||||
UOL Group Ltd. | 8,976 | 37,098 | ||||||
Wilmar International Ltd. | 37,100 | 87,857 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 48,800 | 27,014 | ||||||
|
| |||||||
3,031,122 | ||||||||
|
| |||||||
Spain — 3.0% | ||||||||
Abertis Infraestructuras SA | 12,286 | 191,288 | ||||||
ACS Actividades de Construccion y Servicios SA | 3,697 | 111,733 | ||||||
Aena SA (b) | 1,394 | 205,609 | ||||||
Amadeus IT Group SA | 8,694 | 434,352 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 127,711 | 772,124 | ||||||
Banco de Sabadell SA | 100,376 | 128,543 | ||||||
Banco Popular Espanol SA | 63,894 | 78,897 | ||||||
Banco Santander SA | 283,896 | 1,255,384 | ||||||
Bankia SA | 87,584 | 71,823 | ||||||
Bankinter SA | 12,867 | 91,524 | ||||||
CaixaBank SA | 61,904 | 156,395 | ||||||
Distribuidora Internacional de Alimentacion SA | 11,871 | 73,491 | ||||||
Enagas SA | 4,367 | 131,234 | ||||||
Endesa SA | 6,038 | 129,415 | ||||||
Ferrovial SA | 9,249 | 196,760 | ||||||
Gas Natural SDG SA | 6,670 | 137,080 | ||||||
Grifols SA | 5,672 | 122,208 | ||||||
Iberdrola SA | 106,885 | 726,109 | ||||||
Industria de Diseno Textil SA | 21,493 | 796,757 | ||||||
International Consolidated Airlines Group SA | 15,847 | 82,193 | ||||||
Mapfre SA | 20,426 | 57,134 | ||||||
Red Electrica Corp. SA | 8,275 | 178,374 | ||||||
Repsol YPF SA | 21,288 | 288,910 | ||||||
Telefonica SA | 88,169 | 892,205 | ||||||
Zardoya Otis SA | 3,434 | 33,021 | ||||||
|
| |||||||
7,342,563 | ||||||||
|
| |||||||
Sweden — 2.7% | ||||||||
Alfa Laval AB | 5,573 | 87,302 | ||||||
Assa Abloy AB Class B | 19,814 | 402,318 | ||||||
Atlas Copco AB | 13,298 | 400,101 | ||||||
Atlas Copco AB Class B | 7,992 | 218,210 | ||||||
Boliden AB | 5,206 | 122,248 | ||||||
Electrolux AB Series B | 4,557 | 114,195 | ||||||
Getinge AB Class B | 3,801 | 73,646 | ||||||
Hennes & Mauritz AB Class B | 18,751 | 528,621 | ||||||
Hexagon AB Class B | 4,977 | 217,178 | ||||||
Husqvarna AB Class B | 8,031 | 70,025 | ||||||
ICA Gruppen AB | 1,498 | 49,445 | ||||||
Industrivarden AB Class C | 3,062 | 56,609 | ||||||
Investor AB Class B | 9,025 | 329,791 | ||||||
Kinnevik AB Class B | 4,386 | 111,788 |
The accompanying notes are an integral part of the financial statements.
190
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Lundin Petroleum AB (a) | 3,588 | $ | 65,579 | |||||
Nordea Bank AB | 59,547 | 590,633 | ||||||
Sandvik AB | 21,681 | 238,273 | ||||||
Securitas AB Class B | 5,959 | 99,827 | ||||||
Skandinaviska Enskilda Banken AB Class A | 30,505 | 306,297 | ||||||
Skanska AB | 6,502 | 151,709 | ||||||
SKF AB Class B | 7,552 | 130,280 | ||||||
Svenska Cellulosa AB Class B | 12,112 | 359,555 | ||||||
Svenska Handelsbanken AB | 30,088 | 413,194 | ||||||
Swedbank AB Class A | 17,886 | 420,024 | ||||||
Swedish Match AB | 3,649 | 133,840 | ||||||
Tele2 AB | 6,038 | 52,081 | ||||||
Telefonaktiebolaget LM Ericsson Class B | 60,891 | 439,451 | ||||||
TeliaSonera AB | 52,724 | 236,003 | ||||||
Volvo AB Class B | 30,953 | 353,008 | ||||||
|
| |||||||
6,771,231 | ||||||||
|
| |||||||
Switzerland — 8.8% | ||||||||
ABB Ltd. | 38,752 | 870,118 | ||||||
Actelion Ltd. | 2,043 | 353,699 | ||||||
Adecco Group AG | 3,143 | 176,994 | ||||||
Aryzta AG | 1,673 | 74,239 | ||||||
Baloise Holding AG | 945 | 114,295 | ||||||
Barry Callebaut AG | 42 | 55,806 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 19 | 109,815 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 2 | 136,500 | ||||||
Cie Financiere Richemont SA | 10,299 | 627,082 | ||||||
Coca-Cola HBC AG | 3,461 | 80,320 | ||||||
Credit Suisse Group | 36,779 | 481,175 | ||||||
Dufry AG (a) | 877 | 109,694 | ||||||
EMS-Chemie Holding AG Registered | 152 | 81,563 | ||||||
Galenica AG Registered | 74 | 78,464 | ||||||
Geberit AG Registered | 755 | 330,426 | ||||||
Givaudan SA Registered | 184 | 374,213 | ||||||
Julius Baer Group Ltd. | 4,571 | 185,523 | ||||||
Kuehne & Nagel International AG | 1,034 | 149,914 | ||||||
LafargeHolcim Ltd. | 4,496 | 242,692 | ||||||
LafargeHolcim Ltd. | 4,505 | 242,957 | ||||||
Lonza Group AG Registered | 1,089 | 207,804 | ||||||
Nestle SA | 62,570 | 4,930,117 | ||||||
Novartis AG | 43,860 | 3,449,206 | ||||||
Pargesa Holding SA | 628 | 42,985 | ||||||
Partners Group Holding AG | 326 | 164,222 | ||||||
Roche Holding AG | 13,799 | 3,418,510 | ||||||
Schindler Holding AG | 833 | 156,058 | ||||||
Schindler Holding AG | 380 | 71,922 | ||||||
SGS SA | 111 | 248,499 | ||||||
Sika AG | 44 | 213,849 | ||||||
Sonova Holding AG | 1,122 | 158,801 | ||||||
The Swatch Group AG | 588 | 166,152 |
Number of Shares | Value | |||||||
The Swatch Group AG Registered | 947 | $ | 52,596 | |||||
Swiss Life Holding AG | 612 | 158,160 | ||||||
Swiss Prime Site AG | 1,338 | 117,342 | ||||||
Swiss Re AG | 6,585 | 594,107 | ||||||
Swisscom AG | 494 | 234,520 | ||||||
Syngenta AG | 1,831 | 800,641 | ||||||
UBS Group AG | 72,009 | 977,786 | ||||||
Zurich Insurance Group AG | 2,963 | 762,481 | ||||||
|
| |||||||
21,801,247 | ||||||||
|
| |||||||
United Kingdom — 18.2% | ||||||||
3i Group PLC | 20,047 | 168,742 | ||||||
Aberdeen Asset Management PLC | 17,060 | 72,010 | ||||||
Admiral Group PLC | 3,960 | 105,170 | ||||||
Aggreko PLC | 4,869 | 60,182 | ||||||
Anglo American PLC (a) | 28,042 | 352,001 | ||||||
Antofagasta PLC | 7,432 | 50,357 | ||||||
Ashtead Group PLC | 9,633 | 158,695 | ||||||
Associated British Foods PLC | 7,207 | 242,875 | ||||||
AstraZeneca PLC | 24,846 | 1,609,527 | ||||||
Auto Trader Group PLC (b) | 19,219 | 101,013 | ||||||
Aviva PLC | 80,028 | 457,935 | ||||||
Babcock International Group PLC | 4,926 | 66,089 | ||||||
BAE Systems PLC | 62,910 | 426,820 | ||||||
Barclays PLC | 333,325 | 726,778 | ||||||
Barratt Developments PLC | 19,075 | 122,479 | ||||||
Berkeley Group Holdings PLC | 2,500 | 83,733 | ||||||
BHP Billiton PLC | 41,687 | 626,550 | ||||||
BP PLC | 366,156 | 2,132,546 | ||||||
British American Tobacco PLC | 36,600 | 2,340,657 | ||||||
The British Land Co. PLC | 18,593 | 152,753 | ||||||
BT Group PLC | 166,218 | 838,084 | ||||||
Bunzl PLC | 6,405 | 189,516 | ||||||
Burberry Group PLC | 8,499 | 152,101 | ||||||
Capita PLC | 13,901 | 120,742 | ||||||
Carnival PLC | 3,652 | 178,260 | ||||||
Centrica PLC | 109,003 | 322,410 | ||||||
Cobham PLC | 32,726 | 71,208 | ||||||
Coca-Cola European Partners PLC | 4,177 | 166,132 | ||||||
Compass Group PLC | 32,415 | 628,607 | ||||||
Croda International PLC | 2,514 | 113,639 | ||||||
Diageo PLC | 49,480 | 1,418,744 | ||||||
Direct Line Insurance Group PLC | 26,039 | 123,122 | ||||||
Dixons Carphone PLC | 18,544 | 88,697 | ||||||
easyJet PLC | 3,153 | 41,215 | ||||||
Fresnillo PLC | 4,207 | 98,987 | ||||||
G4S PLC | 29,638 | 87,510 | ||||||
GKN PLC | 32,756 | 136,143 | ||||||
GlaxoSmithKline PLC | 95,660 | 2,038,555 | ||||||
Glencore PLC (a) | 241,337 | 661,623 | ||||||
Hammerson PLC | 15,194 | 115,832 | ||||||
Hargreaves Lansdown PLC | 4,830 | 79,695 | ||||||
Hikma Pharmaceuticals PLC | 2,727 | 71,372 | ||||||
HSBC Holdings PLC | 388,559 | 2,917,319 |
The accompanying notes are an integral part of the financial statements.
191
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
ICAP PLC | 10,180 | $ | 61,501 | |||||
IMI PLC | 5,179 | 72,002 | ||||||
Imperial Brands PLC | 18,875 | 972,923 | ||||||
Inmarsat PLC | 8,541 | 78,155 | ||||||
InterContinental Hotels Group PLC | 3,626 | 149,553 | ||||||
Intertek Group PLC | 3,091 | 139,945 | ||||||
Intu Properties PLC | 17,856 | 68,599 | ||||||
Investec PLC | 11,375 | 69,556 | ||||||
ITV PLC | 68,967 | 167,611 | ||||||
J Sainsbury PLC | 31,234 | 99,448 | ||||||
Johnson Matthey PLC | 4,051 | 173,156 | ||||||
Kingfisher PLC | 46,513 | 227,087 | ||||||
Land Securities Group PLC | 15,023 | 206,460 | ||||||
Legal & General Group PLC | 118,135 | 335,545 | ||||||
Lloyds Banking Group PLC | 1,263,149 | 894,574 | ||||||
London Stock Exchange Group PLC | 6,321 | 229,403 | ||||||
Marks & Spencer Group PLC | 30,836 | 132,614 | ||||||
Mediclinic International PLC | 6,987 | 84,005 | ||||||
Meggitt PLC | 14,823 | 86,661 | ||||||
Merlin Entertainments PLC (b) | 13,835 | 78,930 | ||||||
Mondi PLC | 7,720 | 162,297 | ||||||
National Grid PLC | 73,741 | 1,042,190 | ||||||
Next PLC | 2,687 | 166,607 | ||||||
Old Mutual PLC | 99,032 | 260,266 | ||||||
Pearson PLC | 15,640 | 152,776 | ||||||
Persimmon PLC | 5,848 | 137,836 | ||||||
Petrofac Ltd. | 4,977 | 57,510 | ||||||
Provident Financial PLC | 2,805 | 110,005 | ||||||
Prudential PLC | 50,488 | 896,085 | ||||||
Randgold Resources Ltd. | 1,785 | 179,476 | ||||||
Reckitt Benckiser Group PLC | 12,486 | 1,176,651 | ||||||
RELX PLC | 21,740 | 412,551 | ||||||
Rio Tinto PLC | 24,374 | 811,045 | ||||||
Rolls-Royce Holdings PLC | 36,684 | 342,388 | ||||||
Royal Bank of Scotland Group PLC (a) | 66,857 | 155,255 | ||||||
Royal Dutch Shell PLC Class A | 83,961 | 2,083,744 | ||||||
Royal Dutch Shell PLC Class B | 73,570 | 1,908,854 | ||||||
Royal Mail PLC | 17,047 | 107,989 | ||||||
RSA Insurance Group PLC | 19,380 | 137,152 | ||||||
SABMiller PLC | 19,145 | 1,115,633 | ||||||
The Sage Group PLC | 20,650 | 197,783 | ||||||
Schroders PLC | 2,517 | 87,954 | ||||||
Segro PLC | 15,906 | 93,707 | ||||||
Severn Trent PLC | 4,543 | 147,505 | ||||||
Shire PLC | 17,676 | 1,142,485 | ||||||
Sky PLC | 19,691 | 228,171 | ||||||
Smith & Nephew PLC | 18,028 | 290,826 | ||||||
Smiths Group PLC | 7,601 | 144,234 | ||||||
SSE PLC | 20,003 | 406,049 | ||||||
St James’s Place PLC | 9,874 | 121,576 | ||||||
Standard Chartered PLC (a) | 64,846 | 528,087 | ||||||
Standard Life PLC | 40,629 | 181,102 | ||||||
Tate & Lyle PLC | 9,009 | 87,537 | ||||||
Taylor Wimpey PLC | 61,985 | 124,079 | ||||||
Tesco PLC (a) | 162,715 | 385,587 | ||||||
Travis Perkins PLC | 4,748 | 94,885 |
Number of Shares | Value | |||||||
Unilever PLC | 25,247 | $ | 1,196,884 | |||||
United Utilities Group PLC | 13,096 | 170,417 | ||||||
Vodafone Group PLC | 521,985 | 1,496,727 | ||||||
The Weir Group PLC | 4,077 | 89,632 | ||||||
Whitbread PLC | 3,478 | 176,488 | ||||||
William Hill PLC | 16,555 | 65,274 | ||||||
WM Morrison Supermarkets PLC | 42,753 | 120,678 | ||||||
Wolseley PLC | 4,823 | 271,860 | ||||||
Worldpay Group PLC (b) | 34,227 | 131,404 | ||||||
WPP PLC | 25,483 | 599,786 | ||||||
|
| |||||||
45,041,180 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $251,344,035) | 241,449,124 | |||||||
|
| |||||||
PREFERRED STOCK — 0.5% | ||||||||
Germany — 0.5% | ||||||||
Bayerische Motoren Werke AG 4.940% | 1,006 | 74,158 | ||||||
Fuchs Petrolub AG 2.040% | 1,272 | 58,067 | ||||||
Henkel AG & Co. KGaA 1.240% | 3,486 | 473,836 | ||||||
Porsche Automobil Holdings SE 2.200% | 2,870 | 146,516 | ||||||
Schaeffler AG 3.670% | 3,033 | 47,981 | ||||||
Volkswagen AG 0.140% | 3,646 | 478,985 | ||||||
|
| |||||||
1,279,543 | ||||||||
|
| |||||||
United Kingdom — 0.0% | ||||||||
Rolls-Royce Holdings PLC Class C (a) (c) | 4,702,898 | 6,096 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $1,392,360) | 1,285,639 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $252,736,395) | 242,734,763 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $252,736,395) | 242,734,763 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.7% | ||||||||
Repurchase Agreement — 0.7% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (d) | 1,586,049 | 1,586,049 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,586,049) | 1,586,049 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.0% (Cost $254,322,444) (e) | 244,320,812 | |||||||
Other Assets/(Liabilities) — 1.0% | 2,555,347 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 246,876,159 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
192
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
(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 September 30, 2016, these securities amounted to a value of $961,286 or 0.39% of net assets. |
(c) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2016, these securities amounted to a value of $58,019 or 0.02% of net assets. |
(d) | Maturity value of $1,586,050. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $1,618,291. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
193
September 30, 2016
Number of Shares | Value | |||||||
EQUITIES — 99.8% | ||||||||
COMMON STOCK — 99.8% | ||||||||
Australia — 1.9% | ||||||||
AMP Ltd. | 556,857 | $ | 2,259,048 | |||||
Australia & New Zealand Banking Group Ltd. | 195,071 | 4,142,050 | ||||||
Goodman Group | 316,283 | 1,766,737 | ||||||
Orica Ltd. | 354,360 | 4,134,111 | ||||||
|
| |||||||
12,301,946 | ||||||||
|
| |||||||
Belgium — 0.9% | ||||||||
Anheuser-Busch InBev SA/NV | 9,653 | 1,267,185 | ||||||
KBC Group NV (a) | 77,776 | 4,527,494 | ||||||
|
| |||||||
5,794,679 | ||||||||
|
| |||||||
Bermuda — 0.4% | ||||||||
Global Brands Group Holding Ltd. (a) | 11,001,600 | 1,127,848 | ||||||
Li & Fung Ltd. | 3,009,600 | 1,550,895 | ||||||
|
| |||||||
2,678,743 | ||||||||
|
| |||||||
Brazil — 0.4% | ||||||||
Ambev SA ADR (Brazil) | 408,433 | 2,487,357 | ||||||
|
| |||||||
Canada — 2.4% | ||||||||
Canadian National Railway Co. | 82,474 | 5,393,800 | ||||||
Element Financial Corp. (b) | 191,516 | 2,396,961 | ||||||
Loblaw Cos. Ltd. | 35,270 | 1,814,646 | ||||||
Suncor Energy, Inc. | 142,096 | 3,944,614 | ||||||
TransCanada Corp. (b) | 34,908 | 1,657,927 | ||||||
|
| |||||||
15,207,948 | ||||||||
|
| |||||||
Cayman Islands — 1.7% | ||||||||
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) (a) | 30,701 | 3,247,859 | ||||||
Baidu, Inc. Sponsored ADR (Cayman Islands) (a) | 15,965 | 2,906,748 | ||||||
CK Hutchison Holdings Ltd. | 170,600 | 2,176,651 | ||||||
Melco Crown Entertainment Ltd. ADR (Cayman Islands) | 174,400 | 2,809,584 | ||||||
|
| |||||||
11,140,842 | ||||||||
|
| |||||||
Chile — 0.1% | ||||||||
Banco Santander Chile Sponsored ADR (Chile) (b) | 33,304 | 689,060 | ||||||
|
| |||||||
Denmark — 0.5% | ||||||||
Carlsberg A/S Class B | 24,844 | 2,373,535 | ||||||
Pandora A/S | 5,909 | 716,494 | ||||||
|
| |||||||
3,090,029 | ||||||||
|
| |||||||
Finland — 0.5% | ||||||||
Outokumpu OYJ (a) | 185,329 | 1,272,946 | ||||||
UPM-Kymmene OYJ | 83,994 | 1,773,730 | ||||||
|
| |||||||
3,046,676 | ||||||||
|
|
Number of Shares | Value | |||||||
France — 14.9% | ||||||||
Air Liquide (b) | 86,203 | $ | 9,236,770 | |||||
AXA SA | 129,770 | 2,761,017 | ||||||
BNP Paribas | 181,719 | 9,343,210 | ||||||
Bureau Veritas SA | 205,302 | 4,403,801 | ||||||
Cap Gemini SA | 16,310 | 1,597,297 | ||||||
Danone SA | 131,123 | 9,725,704 | ||||||
Dassault Systemes SA | 30,817 | 2,673,568 | ||||||
Engie SA | 263,838 | 4,087,111 | ||||||
Hermes International | 1,561 | 635,102 | ||||||
Kering | 14,370 | 2,895,696 | ||||||
L’Oreal SA | 18,402 | 3,474,206 | ||||||
Legrand SA | 48,642 | 2,867,963 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 50,833 | 8,665,893 | ||||||
Natixis SA | 261,537 | 1,218,966 | ||||||
Pernod-Ricard SA | 80,803 | 9,560,353 | ||||||
Renault SA | 24,041 | 1,975,251 | ||||||
Safran SA | 26,860 | 1,931,320 | ||||||
Schneider Electric SE | 132,777 | 9,258,269 | ||||||
Technip SA | 22,618 | 1,389,051 | ||||||
Total SA | 105,067 | 4,979,874 | ||||||
Valeo SA | 46,750 | 2,726,264 | ||||||
|
| |||||||
95,406,686 | ||||||||
|
| |||||||
Germany — 9.6% | ||||||||
Allianz SE | 38,200 | 5,670,130 | ||||||
Bayer AG | 118,297 | 11,882,207 | ||||||
Beiersdorf AG | 71,433 | 6,737,674 | ||||||
Brenntag AG | 24,454 | 1,334,432 | ||||||
Continental AG | 9,695 | 2,038,329 | ||||||
Daimler AG | 119,954 | 8,450,061 | ||||||
HeidelbergCement AG | 8,203 | 774,837 | ||||||
Infineon Technologies AG | 66,449 | 1,185,664 | ||||||
Linde AG | 21,103 | 3,586,351 | ||||||
Merck KGaA | 37,172 | 4,005,753 | ||||||
MTU Aero Engines AG | 16,295 | 1,648,484 | ||||||
ProSiebenSat.1 Media SE | 58,222 | 2,493,404 | ||||||
SAP SE | 90,975 | 8,277,630 | ||||||
Siemens AG | 31,394 | 3,675,074 | ||||||
|
| |||||||
61,760,030 | ||||||||
|
| |||||||
Hong Kong — 1.7% | ||||||||
AIA Group Ltd. | 1,339,000 | 8,971,448 | ||||||
China Overseas Land & Investment Ltd. | 234,000 | 801,661 | ||||||
CNOOC Ltd. | 1,125,000 | 1,417,501 | ||||||
|
| |||||||
11,190,610 | ||||||||
|
| |||||||
India — 1.3% | ||||||||
Housing Development Finance Corp. | 197,286 | 4,146,923 | ||||||
Tata Consultancy Services Ltd. | 113,888 | 4,172,079 | ||||||
|
| |||||||
8,319,002 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
194
MassMutual Select Overseas Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Indonesia — 0.5% | ||||||||
Bank Mandari Tbk PT | 3,405,800 | $ | 2,935,516 | |||||
|
| |||||||
Ireland — 1.0% | ||||||||
Experian PLC | 127,368 | 2,551,920 | ||||||
Ryanair Holdings PLC Sponsored ADR (Ireland) | 8,529 | 639,931 | ||||||
Willis Towers Watson PLC | 24,257 | 3,220,602 | ||||||
|
| |||||||
6,412,453 | ||||||||
|
| |||||||
Israel — 0.8% | ||||||||
Check Point Software Technologies Ltd. (a) | 43,011 | 3,338,084 | ||||||
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel) | 40,589 | 1,867,500 | ||||||
|
| |||||||
5,205,584 | ||||||||
|
| |||||||
Italy — 3.1% | ||||||||
Enel SpA | 620,344 | 2,766,739 | ||||||
Eni SpA | 144,126 | 2,076,959 | ||||||
Exor SpA | 70,500 | 2,857,336 | ||||||
Intesa Sanpaolo SpA | 3,029,095 | 6,724,649 | ||||||
Luxottica Group SpA | 38,082 | 1,819,596 | ||||||
Prada SpA | 855,200 | 2,748,023 | ||||||
Telecom Italia SpA (a) | 1,177,276 | 974,143 | ||||||
|
| |||||||
19,967,445 | ||||||||
|
| |||||||
Japan — 15.4% | ||||||||
Bridgestone Corp. | 23,400 | 863,050 | ||||||
Daikin Industries Ltd. (b) | 58,600 | 5,459,541 | ||||||
Daiwa House Industry Co. Ltd. | 78,500 | 2,150,045 | ||||||
Daiwa Securities Group, Inc. (b) | 685,000 | 3,857,432 | ||||||
Denso Corp. | 138,000 | 5,509,254 | ||||||
Dentsu, Inc. (b) | 23,000 | 1,164,067 | ||||||
DMG Mori Co. Ltd. (b) | 57,700 | 601,555 | ||||||
Fanuc Corp. | 21,700 | 3,672,657 | ||||||
Honda Motor Co. Ltd. | 276,500 | 7,960,451 | ||||||
Hoya Corp. | 227,600 | 9,140,233 | ||||||
Inpex Corp. | 144,900 | 1,313,714 | ||||||
Japan Airlines Co. Ltd. | 42,500 | 1,251,157 | ||||||
Japan Tobacco, Inc. | 131,700 | 5,380,610 | ||||||
Komatsu Ltd. (b) | 66,000 | 1,512,328 | ||||||
Kubota Corp. | 194,200 | 2,935,617 | ||||||
Kyocera Corp. | 80,800 | 3,876,359 | ||||||
Mitsubishi Corp. | 50,000 | 1,136,548 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 714,700 | 3,603,965 | ||||||
Mitsui Fudosan Co. Ltd. | 82,000 | 1,746,002 | ||||||
NGK Spark Plug Co., Ltd. (b) | 44,300 | 780,474 | ||||||
NH Foods Ltd. | 40,000 | 964,926 | ||||||
Nippon Telegraph & Telephone Corp. | 62,200 | 2,840,698 | ||||||
Nomura Holdings, Inc. | 1,001,500 | 4,482,006 | ||||||
Olympus Corp. | 13,000 | 453,517 | ||||||
Omron Corp. | 67,000 | 2,407,473 | ||||||
Shin-Etsu Chemical Co. Ltd. | 31,000 | 2,164,312 |
Number of Shares | Value | |||||||
Sompo Japan Nipponkoa Holdings, Inc. | 51,800 | $ | 1,532,760 | |||||
Sony Corp. | 30,600 | 999,835 | ||||||
Sumitomo Electric Industries Ltd. | 115,600 | 1,634,883 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 33,200 | 1,118,938 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 45,300 | 1,470,122 | ||||||
Suzuken Co. Ltd. | 20,600 | 679,900 | ||||||
Suzuki Motor Corp. (b) | 62,200 | 2,082,257 | ||||||
Terumo Corp. (b) | 174,500 | 6,689,275 | ||||||
Toyota Motor Corp. | 71,200 | 4,129,154 | ||||||
Yamato Holdings Co. Ltd. (b) | 57,400 | 1,335,981 | ||||||
|
| |||||||
98,901,096 | ||||||||
|
| |||||||
Luxembourg — 0.2% | ||||||||
ArcelorMittal (a) | 228,929 | 1,398,012 | ||||||
|
| |||||||
Mexico — 0.5% | ||||||||
Grupo Televisa SAB Sponsored ADR (Mexico) | 130,100 | 3,342,269 | ||||||
|
| |||||||
Netherlands — 5.0% | ||||||||
Airbus Group SE | 23,430 | 1,417,252 | ||||||
Akzo Nobel NV | 100,446 | 6,797,328 | ||||||
ASML Holding NV | 10,860 | 1,190,898 | ||||||
ASR Nederland NV (a) | 44,570 | 905,849 | ||||||
CNH Industrial NV | 671,300 | 4,805,105 | ||||||
Heineken NV | 8,149 | 716,729 | ||||||
ING Groep NV | 617,531 | 7,612,346 | ||||||
Koninklijke Philips Electronics NV | 82,135 | 2,431,721 | ||||||
NN Group NV | 37,129 | 1,139,587 | ||||||
Randstad Holding NV | 109,803 | 5,001,726 | ||||||
|
| |||||||
32,018,541 | ||||||||
|
| |||||||
Norway — 0.3% | ||||||||
Norsk Hydro ASA | 367,657 | 1,586,132 | ||||||
|
| |||||||
Republic of Korea — 0.7% | ||||||||
Samsung Electronics Co., Ltd. | 2,897 | 4,222,223 | ||||||
|
| |||||||
Singapore — 1.1% | ||||||||
DBS Group Holdings, Ltd. | 457,300 | 5,191,316 | ||||||
Singapore Telecommunications Ltd. | 368,700 | 1,081,118 | ||||||
Singapore Telecommunications Ltd. | 218,600 | 639,855 | ||||||
|
| |||||||
6,912,289 | ||||||||
|
| |||||||
Spain — 0.8% | ||||||||
Amadeus IT Group SA | 73,457 | 3,669,908 | ||||||
Bankia SA | 1,844,100 | 1,512,245 | ||||||
|
| |||||||
5,182,153 | ||||||||
|
| |||||||
Sweden — 2.1% | ||||||||
Atlas Copco AB Class B | 35,700 | 974,735 | ||||||
Hennes & Mauritz AB Class B | 256,528 | 7,231,945 | ||||||
Nordea Bank AB | 246,503 | 2,445,004 | ||||||
SKF AB Class B | 163,100 | 2,813,656 | ||||||
|
| |||||||
13,465,340 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
195
MassMutual Select Overseas Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Switzerland — 11.3% | ||||||||
Cie Financiere Richemont SA | 62,850 | $ | 3,826,792 | |||||
Credit Suisse Group | 667,444 | 8,732,077 | ||||||
Julius Baer Group Ltd. | 56,377 | 2,288,175 | ||||||
Kuehne & Nagel International AG | 23,694 | 3,435,258 | ||||||
LafargeHolcim Ltd. | 97,736 | 5,275,742 | ||||||
Nestle SA | 172,310 | 13,576,930 | ||||||
Novartis AG | 84,866 | 6,673,971 | ||||||
Roche Holding AG | 44,077 | 10,919,464 | ||||||
Sonova Holding AG | 11,242 | 1,591,122 | ||||||
The Swatch Group AG (b) | 12,775 | 3,609,846 | ||||||
UBS Group AG | 478,121 | 6,492,244 | ||||||
Zurich Insurance Group AG | 22,752 | 5,854,864 | ||||||
|
| |||||||
72,276,485 | ||||||||
|
| |||||||
Taiwan — 1.7% | ||||||||
Hon Hai Precision Industry Co. Ltd. | 367,850 | 931,317 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (Taiwan) | 311,183 | 9,519,088 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 108,000 | 633,394 | ||||||
|
| |||||||
11,083,799 | ||||||||
|
| |||||||
United Kingdom — 17.8% | ||||||||
Ashtead Group PLC | 231,600 | 3,815,392 | ||||||
Barclays PLC | 1,065,595 | 2,323,412 | ||||||
Barratt Developments PLC | 131,748 | 845,941 | ||||||
British American Tobacco PLC | 24,333 | 1,556,153 | ||||||
Centrica PLC | 533,084 | 1,576,763 | ||||||
Compass Group PLC | 525,910 | 10,198,694 | ||||||
Delphi Automotive PLC | 24,905 | 1,776,225 | ||||||
Diageo PLC | 261,205 | 7,489,549 | ||||||
G4S PLC | 648,100 | 1,913,598 | ||||||
GlaxoSmithKline PLC | 155,311 | 3,309,744 | ||||||
Glencore PLC (a) | 3,135,300 | 8,595,400 | ||||||
InterContinental Hotels Group PLC | 17,052 | 703,303 | ||||||
Lloyds Banking Group PLC | 8,816,374 | 6,243,840 | ||||||
Meggitt PLC | 262,649 | 1,535,552 | ||||||
National Grid PLC | 104,509 | 1,477,038 | ||||||
Prudential PLC | 261,309 | 4,637,836 | ||||||
Reckitt Benckiser Group PLC | 85,128 | 8,022,264 | ||||||
Rio Tinto PLC | 164,990 | 5,490,042 | ||||||
Rolls-Royce Holdings PLC | 292,983 | 2,734,543 | ||||||
Royal Bank of Scotland Group PLC (a) | 1,004,800 | 2,333,336 | ||||||
Royal Dutch Shell PLC Class A | 190,011 | 4,715,693 | ||||||
Schroders PLC | 300 | 7,870 | ||||||
Schroders PLC | 82,700 | 2,889,884 | ||||||
Shire PLC | 29,946 | 1,935,554 | ||||||
Sky PLC | 428,743 | 4,968,092 | ||||||
Smiths Group PLC | 225,856 | 4,285,759 | ||||||
Standard Chartered PLC (a) | 187,696 | 1,528,541 | ||||||
Vodafone Group PLC | 1,172,263 | 3,361,318 | ||||||
Wolseley PLC | 44,865 | 2,528,922 | ||||||
WPP PLC | 494,427 | 11,637,190 | ||||||
|
| |||||||
114,437,448 | ||||||||
|
|
Number of Shares | Value | |||||||
United States — 1.2% | ||||||||
Yum! Brands, Inc. | 87,935 | $ | 7,985,377 | |||||
|
| |||||||
TOTAL COMMON STOCK (Cost $630,119,226) | 640,445,770 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $630,119,226) | 640,445,770 | |||||||
|
| |||||||
MUTUAL FUNDS — 4.4% | ||||||||
United States — 4.4% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 28,019,972 | 28,019,972 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $28,019,972) | 28,019,972 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $658,139,198) | 668,465,742 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.4% | ||||||||
Repurchase Agreement — 0.4% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (d) | 2,553,904 | 2,553,904 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,553,904) | 2,553,904 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 104.6% (Cost $660,693,102) (e) | 671,019,646 | |||||||
Other Assets/(Liabilities) — (4.6)% | (29,378,681 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 641,640,965 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2016, was $26,674,507 or 4.16% 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 $2,553,907. Collateralized by U.S. Government Agency obligations with a rate of 3.125%, maturity date of 5/15/21, and an aggregate market value, including accrued interest, of $2,606,675. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
196
THIS PAGE INTENTIONALLY LEFT BLANK
197
Statements of Assets and Liabilities
September 30, 2016
MassMutual Select Total Return Bond Fund | MassMutual Select Strategic Bond Fund | |||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) | $ | 982,169,343 | $ | 320,446,092 | ||||
Repurchase agreements, at value (Note 2) (b) | 3,203,635 | 25,978,667 | ||||||
Other short-term investments, at value (Note 2) (c) | 136,596,370 | 2,999,859 | ||||||
|
|
|
| |||||
Total investments (d) | 1,121,969,348 | 349,424,618 | ||||||
|
|
|
| |||||
Cash | - | - | ||||||
Foreign currency, at value (e) | - | 1,188,383 | ||||||
Receivables from: | ||||||||
Investments sold | 50,313,825 | 2,253,955 | ||||||
Closed swap agreements, at value | - | 6,512 | ||||||
Collateral pledged for open derivative instruments (Note 2) | - | 880,006 | ||||||
Investments sold on a when-issued basis (Note 2) | 11,738,068 | 25,410,887 | ||||||
Open forward foreign currency contracts (Note 2) | 35,011 | 281,809 | ||||||
Investment adviser (Note 3) | - | 12,715 | ||||||
Fund shares sold | 386,208 | 156,614 | ||||||
Variation margin on open derivative instruments (Note 2) | - | 320,355 | ||||||
Interest and dividends | 4,996,798 | 1,908,500 | ||||||
Interest tax reclaim receivable | 3,591 | 148 | ||||||
Foreign taxes withheld | - | - | ||||||
Prepaid expenses | 37,237 | 27,865 | ||||||
|
|
|
| |||||
Total assets | 1,189,480,086 | 381,872,367 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | 43,366,093 | 1,859,049 | ||||||
Written options outstanding, at value (Note 2) (f) | - | 51,234 | ||||||
Open forward foreign currency contracts (Note 2) | 103,377 | 253,586 | ||||||
Investments purchased on a when-issued basis (Note 2) | 105,969,698 | 49,465,473 | ||||||
Fund shares repurchased | 1,583,912 | 345,781 | ||||||
Securities on loan (Note 2) | - | - | ||||||
Trustees’ fees and expenses (Note 3) | 220,004 | 47,392 | ||||||
Variation margin on open derivative instruments (Note 2) | 138,160 | - | ||||||
Affiliates (Note 3): | ||||||||
Investment advisory fees | 256,921 | 109,389 | ||||||
Administration fees | 114,733 | 34,614 | ||||||
Service fees | 217,919 | 47,234 | ||||||
Shareholder service fees | 18,954 | 12,683 | ||||||
Distribution fees | 29,125 | 4,254 | ||||||
Due to custodian | - | 10,886 | ||||||
Accrued expense and other liabilities | 74,768 | 55,140 | ||||||
|
|
|
| |||||
Total liabilities | 152,093,664 | 52,296,715 | ||||||
|
|
|
| |||||
Net assets | $ | 1,037,386,422 | $ | 329,575,652 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 989,699,611 | $ | 319,266,551 | ||||
Undistributed (accumulated) net investment income (loss) | 16,570,101 | 5,683,130 | ||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 17,250,062 | (1,411,188 | ) | |||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 13,866,648 | 6,037,159 | ||||||
|
|
|
| |||||
Net assets | $ | 1,037,386,422 | $ | 329,575,652 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | 968,253,938 | $ | 313,326,895 | ||||
(b) Cost of repurchase agreements: | $ | 3,203,635 | $ | 25,978,667 | ||||
(c) Cost of other short-term investments: | $ | 136,584,475 | $ | 2,999,663 | ||||
(d) Securities on loan with market value of: | $ | - | $ | - | ||||
(e) Cost of foreign currency: | $ | - | $ | 1,202,805 | ||||
(f) Premiums on written options: | $ | - | $ | 63,944 |
The accompanying notes are an integral part of the financial statements.
198
MassMutual Select Diversified Value Fund | MassMutual Select Fundamental Value Fund | MassMutual Select Large Cap Value Fund | MM S&P 500 Index Fund | MassMutual Select Focused Value Fund | ||||||||||||||
$ | 330,548,833 | $ | 1,230,088,784 | $ | 180,778,795 | $ | 3,606,126,515 | $ | 693,529,159 | |||||||||
5,980,555 | 30,113,981 | 4,709,011 | 47,866,083 | 46,522,907 | ||||||||||||||
537 | - | 126,950 | 3,484,981 | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
336,529,925 | 1,260,202,765 | 185,614,756 | 3,657,477,579 | 740,052,066 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
- | - | - | - | 306 | ||||||||||||||
- | 151,546 | 199,108 | - | - | ||||||||||||||
7,512,277 | - | 266,327 | 223,484 | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | 83,614 | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | 8,368 | - | - | ||||||||||||||
169,286 | 669,488 | 141,098 | 4,108,268 | 308,793 | ||||||||||||||
- | - | - | 370,331 | - | ||||||||||||||
260,213 | 1,609,780 | 300,427 | 4,060,243 | 254,983 | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | 328,218 | 21,124 | - | - | ||||||||||||||
41,460 | 36,609 | 30,787 | 34,409 | 32,833 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
344,513,161 | 1,262,998,406 | 186,581,995 | 3,666,357,928 | 740,648,981 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
7,630,215 | 174 | 352,086 | - | 6,520,157 | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
202,880 | 830,396 | 271,544 | 1,803,205 | 700,720 | ||||||||||||||
- | - | 5,245,158 | - | - | ||||||||||||||
78,879 | 265,201 | 150,930 | 555,005 | 164,207 | ||||||||||||||
- | - | - | - | - | ||||||||||||||
145,114 | 621,819 | 100,846 | 281,061 | 428,387 | ||||||||||||||
16,585 | 93,709 | 20,181 | 418,465 | 67,315 | ||||||||||||||
14,017 | 108,766 | 17,610 | 462,116 | 102,148 | ||||||||||||||
3,652 | 36,657 | 4,867 | 85,032 | 31,938 | ||||||||||||||
971 | 947 | 35 | 56,093 | 2,156 | ||||||||||||||
- | - | 93,239 | 1,299 | - | ||||||||||||||
35,180 | 58,425 | 32,645 | 136,389 | 46,692 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
8,127,493 | 2,016,094 | 6,289,141 | 3,798,665 | 8,063,720 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 336,385,668 | $ | 1,260,982,312 | $ | 180,292,854 | $ | 3,662,559,263 | $ | 732,585,261 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 275,875,314 | $ | 895,724,980 | $ | 166,924,177 | $ | 2,106,868,440 | $ | 621,875,877 | |||||||||
6,040,107 | 17,548,859 | 3,214,441 | 54,894,926 | 7,130,828 | ||||||||||||||
12,686,717 | 88,218,715 | 2,185,409 | 107,412,181 | 6,962,111 | ||||||||||||||
41,783,530 | 259,489,758 | 7,968,827 | 1,393,383,716 | 96,616,445 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 336,385,668 | $ | 1,260,982,312 | $ | 180,292,854 | $ | 3,662,559,263 | $ | 732,585,261 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 288,765,303 | $ | 970,589,150 | $ | 172,804,463 | $ | 2,213,113,340 | $ | 596,912,714 | |||||||||
$ | 5,980,555 | $ | 30,113,981 | $ | 4,709,011 | $ | 47,866,083 | $ | 46,522,907 | |||||||||
$ | 537 | $ | - | $ | 126,950 | $ | 3,483,659 | $ | - | |||||||||
$ | - | $ | - | $ | 5,131,730 | $ | - | $ | - | |||||||||
$ | - | $ | 152,166 | $ | 204,343 | $ | - | $ | - | |||||||||
$ | - | $ | - | $ | - | $ | - | $ | - |
199
MassMutual Select Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2016
MassMutual Select Total Return Bond Fund | MassMutual Select Strategic Bond Fund | |||||||
Class I shares: | ||||||||
Net assets | $ | 303,782,902 | $ | 99,498,139 | ||||
|
|
|
| |||||
Shares outstanding (a) | 29,117,028 | 9,323,706 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 10.43 | $ | 10.67 | ||||
|
|
|
| |||||
Class R5 shares: | ||||||||
Net assets | $ | 115,427,563 | $ | 61,789,353 | ||||
|
|
|
| |||||
Shares outstanding (a) | 11,087,851 | 5,789,375 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 10.41 | $ | 10.67 | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | 193,886,596 | $ | 47,296,485 | ||||
|
|
|
| |||||
Shares outstanding (a) | 18,562,421 | 4,434,396 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 10.45 | $ | 10.67 | ||||
|
|
|
| |||||
Administrative Class shares: | ||||||||
Net assets | $ | 80,444,286 | $ | 42,980,090 | ||||
|
|
|
| |||||
Shares outstanding (a) | 7,755,507 | 4,039,461 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 10.37 | $ | 10.64 | ||||
|
|
|
| |||||
Class A shares: | ||||||||
Net assets | $ | 1,942,913 | $ | 45,782,221 | ||||
|
|
|
| |||||
Shares outstanding (a) | 187,137 | 4,320,636 | ||||||
|
|
|
| |||||
Net asset value, and redemption price per share | $ | 10.38 | $ | 10.60 | ||||
|
|
|
| |||||
Offering price per share | ||||||||
(100/[100-maximum sales charge] of net asset value) | $ | 10.90 | $ | 11.13 | ||||
|
|
|
| |||||
Class R4 shares: | ||||||||
Net assets | $ | 295,695,989 | $ | 26,419,319 | ||||
|
|
|
| |||||
Shares outstanding (a) | 28,350,238 | 2,497,769 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 10.43 | $ | 10.58 | ||||
|
|
|
| |||||
Class R3 shares: | ||||||||
Net assets | $ | 46,206,173 | $ | 5,810,045 | ||||
|
|
|
| |||||
Shares outstanding (a) | 4,465,314 | 553,452 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 10.35 | $ | 10.50 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
200
MassMutual Select Diversified Value Fund | MassMutual Select Fundamental Value Fund | MassMutual Select Large Cap Value Fund | MM S&P 500 Index Fund | MassMutual Select Focused Value Fund | ||||||||||||||
$ | 251,684,400 | $ | 500,269,679 | $ | 48,767,887 | $ | 1,078,531,499 | $ | 213,647,736 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
16,891,901 | 40,369,374 | 6,758,883 | 55,595,517 | 11,611,489 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 14.90 | $ | 12.39 | $ | 7.22 | $ | 19.40 | $ | 18.40 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 46,829,674 | $ | 372,531,072 | $ | 89,201,737 | $ | 828,915,379 | $ | 203,817,033 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
3,142,732 | 29,966,933 | 12,343,003 | 42,669,557 | 11,053,397 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 14.90 | $ | 12.43 | $ | 7.23 | $ | 19.43 | $ | 18.44 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 8,655,586 | $ | 124,125,917 | $ | 4,158,599 | $ | 499,672,649 | $ | 69,632,049 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
581,056 | 10,028,433 | 574,199 | 25,715,791 | 3,830,119 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 14.90 | $ | 12.38 | $ | 7.24 | $ | 19.43 | $ | 18.18 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 6,902,623 | $ | 94,315,816 | $ | 11,292,093 | $ | 506,084,755 | $ | 89,645,868 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
461,396 | 7,581,577 | 1,567,691 | 26,378,802 | 4,982,324 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 14.96 | $ | 12.44 | $ | 7.20 | $ | 19.19 | $ | 17.99 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 19,967,754 | $ | 161,322,177 | $ | 26,732,406 | $ | 21,320,437 | $ | 146,238,810 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,344,473 | 13,137,938 | 3,723,093 | 1,126,708 | 8,419,535 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 14.85 | $ | 12.28 | $ | 7.18 | $ | 18.92 | $ | 17.37 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 15.76 | $ | 13.03 | $ | 7.62 | $ | 20.07 | $ | 18.43 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 710,534 | $ | 6,905,406 | $ | 89,066 | $ | 632,837,639 | $ | 6,064,616 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
47,965 | 565,660 | 12,465 | 33,293,192 | 351,062 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 14.81 | $ | 12.21 | $ | 7.15 | $ | 19.01 | $ | 17.28 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 1,635,097 | $ | 1,512,245 | $ | 51,066 | $ | 95,196,905 | $ | 3,539,149 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
110,272 | 124,534 | 7,272 | 5,092,036 | 213,821 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 14.83 | $ | 12.14 | $ | 7.02 | $ | 18.70 | $ | 16.55 | |||||||||
|
|
|
|
|
|
|
|
|
|
201
MassMutual Select Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2016
MassMutual Select Fundamental Growth Fund | MassMutual Select Blue Chip Growth Fund | |||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) | $ | 117,469,523 | $ | 1,540,918,343 | ||||
Repurchase agreements, at value (Note 2) (b) | 486,718 | 8,091,912 | ||||||
Other short-term investments, at value (Note 2) (c) | 16 | 12,888,385 | ||||||
|
|
|
| |||||
Total investments (d) | 117,956,257 | 1,561,898,640 | ||||||
|
|
|
| |||||
Foreign currency, at value (e) | - | 1 | ||||||
Receivables from: | ||||||||
Investments sold | 1,434,956 | 1,738,928 | ||||||
Open forward foreign currency contracts (Note 2) | - | - | ||||||
Investment adviser (Note 3) | 9,250 | - | ||||||
Fund shares sold | 156,788 | 1,057,466 | ||||||
Variation margin on open derivative instruments (Note 2) | - | - | ||||||
Interest and dividends | 51,244 | 754,849 | ||||||
Foreign taxes withheld | 274 | 126,937 | ||||||
Prepaid expenses | 30,492 | 33,781 | ||||||
|
|
|
| |||||
Total assets | 119,639,261 | 1,565,610,602 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | 1,468,382 | 10,020,479 | ||||||
Open forward foreign currency contracts (Note 2) | - | - | ||||||
Fund shares repurchased | 113,809 | 1,610,088 | ||||||
Securities on loan (Note 2) | 2,648,709 | - | ||||||
Trustees’ fees and expenses (Note 3) | 19,558 | 220,606 | ||||||
Affiliates (Note 3): | ||||||||
Investment advisory fees | 70,720 | 795,933 | ||||||
Administration fees | 13,689 | 131,047 | ||||||
Service fees | 11,854 | 137,385 | ||||||
Shareholder service fees | 3,537 | 56,938 | ||||||
Distribution fees | 836 | 12,592 | ||||||
Due to custodian | 16 | - | ||||||
Accrued expense and other liabilities | 31,318 | 71,894 | ||||||
|
|
|
| |||||
Total liabilities | 4,382,428 | 13,056,962 | ||||||
|
|
|
| |||||
Net assets | $ | 115,256,833 | $ | 1,552,553,640 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 89,129,696 | $ | 1,157,840,345 | ||||
Undistributed (accumulated) net investment income (loss) | 578,510 | - | ||||||
Distributions in excess of net investment income | - | (211,953 | ) | |||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 12,258,182 | 56,369,422 | ||||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 13,290,445 | 338,555,826 | ||||||
|
|
|
| |||||
Net assets | $ | 115,256,833 | $ | 1,552,553,640 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | 104,179,078 | $ | 1,202,362,671 | ||||
(b) Cost of repurchase agreements: | $ | 486,718 | $ | 8,091,912 | ||||
(c) Cost of other short-term investments: | $ | 16 | $ | 12,888,385 | ||||
(d) Securities on loan with market value of: | $ | 2,585,839 | $ | - | ||||
(e) Cost of foreign currency: | $ | - | $ | 1 |
The accompanying notes are an integral part of the financial statements.
202
MassMutual Select Growth Opportunities Fund | MassMutual Select Mid-Cap Value Fund | MassMutual Select Small Cap Value Equity Fund | MassMutual Select Small Company Value Fund | MM S&P Mid Cap Index Fund | ||||||||||||||
$ | 911,017,069 | $ | 116,063,338 | $ | 185,490,814 | $ | 296,688,458 | $ | 284,829,770 | |||||||||
18,825,113 | 3,008,434 | 11,243,346 | 4,759,562 | 9,235,740 | ||||||||||||||
- | - | 1,134 | 199,625 | 683,959 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
929,842,182 | 119,071,772 | 196,735,294 | 301,647,645 | 294,749,469 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
- | 21 | 12 | - | - | ||||||||||||||
- | 1,358,096 | 390,563 | 4,503,419 | 13,100 | ||||||||||||||
- | 2,789 | - | - | - | ||||||||||||||
- | 11,930 | 6,371 | - | - | ||||||||||||||
318,773 | 196,499 | 218,764 | 87,981 | 616,034 | ||||||||||||||
- | - | - | 18,496 | 82,239 | ||||||||||||||
78,925 | 173,416 | 191,828 | 384,893 | 328,691 | ||||||||||||||
60,025 | 281 | - | - | - | ||||||||||||||
36,471 | 40,285 | 34,074 | 34,496 | 35,886 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
930,336,376 | 120,855,089 | 197,576,906 | 306,676,930 | 295,825,419 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
3,462,390 | 1,978,469 | 1,489,322 | 2,016,820 | 488,153 | ||||||||||||||
- | 14,204 | - | - | - | ||||||||||||||
1,076,305 | 97,510 | 97,672 | 220,105 | 358,038 | ||||||||||||||
27,586,676 | - | - | 11,978,773 | - | ||||||||||||||
133,468 | 28,819 | 27,185 | 105,353 | 22,293 | ||||||||||||||
515,780 | 66,888 | 118,289 | 207,632 | 28,885 | ||||||||||||||
71,156 | 8,934 | 13,733 | 23,542 | 44,779 | ||||||||||||||
75,454 | 1,250 | 6,218 | 17,419 | 67,148 | ||||||||||||||
30,239 | 380 | 1,934 | 5,932 | 13,775 | ||||||||||||||
514 | 62 | 277 | 51 | 19,432 | ||||||||||||||
- | - | - | 304,988 | 13,100 | ||||||||||||||
54,029 | 35,373 | 31,786 | 32,607 | 47,451 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
33,006,011 | 2,231,889 | 1,786,416 | 14,913,222 | 1,103,054 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 897,330,365 | $ | 118,623,200 | $ | 195,790,490 | $ | 291,763,708 | $ | 294,722,365 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 658,074,978 | $ | 111,538,090 | $ | 152,231,178 | $ | 256,329,513 | $ | 251,886,959 | |||||||||
(2,120,926 | ) | 1,084,869 | 573,691 | 2,179,161 | 3,002,483 | |||||||||||||
- | - | - | - | - | ||||||||||||||
52,885,904 | (752,332 | ) | 10,342,424 | (2,481,751 | ) | 25,761,329 | ||||||||||||
188,490,409 | 6,752,573 | 32,643,197 | 35,736,785 | 14,071,594 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 897,330,365 | $ | 118,623,200 | $ | 195,790,490 | $ | 291,763,708 | $ | 294,722,365 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 722,526,660 | $ | 109,299,428 | $ | 152,847,604 | $ | 260,973,733 | $ | 270,758,723 | |||||||||
$ | 18,825,113 | $ | 3,008,434 | $ | 11,243,346 | $ | 4,759,562 | $ | 9,235,740 | |||||||||
$ | - | $ | - | $ | 1,134 | $ | 199,532 | $ | 683,698 | |||||||||
$ | 26,904,458 | $ | - | $ | - | $ | 11,641,079 | $ | - | |||||||||
$ | - | $ | 21 | $ | 12 | $ | - | $ | - |
203
MassMutual Select Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2016
MassMutual Select Fundamental Growth Fund | MassMutual Select Blue Chip Growth Fund | |||||||
Class I shares: | ||||||||
Net assets | $ | 56,680,349 | $ | 511,543,401 | ||||
|
|
|
| |||||
Shares outstanding (a) | 7,079,582 | 30,698,973 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 8.01 | $ | 16.66 | ||||
|
|
|
| |||||
Class R5 shares: | ||||||||
Net assets | $ | 23,153,538 | $ | 367,546,512 | ||||
|
|
|
| |||||
Shares outstanding (a) | 2,887,637 | 22,095,163 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 8.02 | $ | 16.63 | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | 6,561,113 | $ | 212,993,168 | ||||
|
|
|
| |||||
Shares outstanding (a) | 832,781 | 12,919,480 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 7.88 | $ | 16.49 | ||||
|
|
|
| |||||
Administrative Class shares: | ||||||||
Net assets | $ | 10,205,362 | $ | 232,088,087 | ||||
|
|
|
| |||||
Shares outstanding (a) | 1,322,428 | 14,254,357 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 7.72 | $ | 16.28 | ||||
|
|
|
| |||||
Class A shares: | ||||||||
Net assets | $ | 16,593,543 | $ | 161,078,973 | ||||
|
|
|
| |||||
Shares outstanding (a) | 2,234,642 | 10,293,250 | ||||||
|
|
|
| |||||
Net asset value, and redemption price per share | $ | 7.43 | $ | 15.65 | ||||
|
|
|
| |||||
Offering price per share | ||||||||
(100/[100-maximum sales charge] of net asset value) | $ | 7.88 | $ | 16.60 | ||||
|
|
|
| |||||
Class R4 shares: | ||||||||
Net assets | $ | 720,126 | $ | 44,450,738 | ||||
|
|
|
| |||||
Shares outstanding (a) | 97,408 | 2,838,785 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 7.39 | $ | 15.66 | ||||
|
|
|
| |||||
Class R3 shares: | ||||||||
Net assets | $ | 1,342,802 | $ | 22,852,761 | ||||
|
|
|
| |||||
Shares outstanding (a) | 190,617 | 1,545,809 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 7.04 | $ | 14.78 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
204
MassMutual Select Growth Opportunities Fund | MassMutual Select Mid-Cap Value Fund | MassMutual Select Small Cap Value Equity Fund | MassMutual Select Small Company Value Fund | MM S&P Mid Cap Index Fund | ||||||||||||||
$ | 352,915,368 | $ | 106,786,263 | $ | 122,745,074 | $ | 125,482,146 | $ | 73,807,142 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
32,631,472 | 7,858,436 | 7,581,664 | 11,101,419 | 5,443,593 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10.82 | $ | 13.59 | $ | 16.19 | $ | 11.30 | $ | 13.56 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 192,509,310 | $ | 7,072,306 | $ | 49,774,178 | $ | 106,993,481 | $ | 21,498,694 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
17,930,612 | 517,422 | 3,073,085 | 9,426,805 | 1,590,364 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10.74 | $ | 13.67 | $ | 16.20 | $ | 11.35 | $ | 13.52 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 149,667,263 | $ | 2,157,955 | $ | 7,325,648 | $ | 15,782,713 | $ | 23,328,095 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
14,247,641 | 158,452 | 451,602 | 1,397,680 | 1,732,746 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10.50 | $ | 13.62 | $ | 16.22 | $ | 11.29 | $ | 13.46 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 90,616,083 | $ | 655,562 | $ | 4,907,526 | $ | 16,447,400 | $ | 62,950,515 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
8,878,446 | 47,460 | 303,933 | 1,479,130 | 4,678,865 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10.21 | $ | 13.81 | $ | 16.15 | $ | 11.12 | $ | 13.45 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 103,902,251 | $ | 1,754,858 | $ | 8,850,139 | $ | 26,790,431 | $ | 42,315,674 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
10,765,851 | 128,971 | 550,414 | 2,479,643 | 3,153,903 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 9.65 | $ | 13.61 | $ | 16.08 | $ | 10.80 | $ | 13.42 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10.24 | $ | 14.44 | $ | 17.06 | $ | 11.46 | $ | 14.24 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 6,860,731 | $ | 93,811 | $ | 1,747,621 | $ | 183,682 | $ | 36,917,228 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
708,577 | 6,931 | 109,149 | 17,107 | 2,757,050 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 9.68 | $ | 13.54 | $ | 16.01 | $ | 10.74 | $ | 13.39 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 859,359 | $ | 102,445 | $ | 440,304 | $ | 83,855 | $ | 33,905,017 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
94,690 | 7,598 | 27,511 | 8,228 | 2,540,490 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 9.08 | $ | 13.48 | $ | 16.00 | $ | 10.19 | $ | 13.35 | |||||||||
|
|
|
|
|
|
|
|
|
|
205
MassMutual Select Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2016
MM Russell 2000 Small Cap Index Fund | MassMutual Select Mid Cap Growth Equity II Fund | |||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) | $ | 261,581,232 | $ | 3,406,542,536 | ||||
Repurchase agreements, at value (Note 2) (b) | 9,120,942 | 165,987,400 | ||||||
Other short-term investments, at value (Note 2) (c) | 833,979 | 95,463 | ||||||
|
|
|
| |||||
Total investments (d) | 271,536,153 | 3,572,625,399 | ||||||
|
|
|
| |||||
Foreign currency, at value (e) | 14 | 10,421 | ||||||
Receivables from: | ||||||||
Investments sold | 94,793 | 14,836,184 | ||||||
Open forward foreign currency contracts (Note 2) | - | - | ||||||
Investment adviser (Note 3) | - | - | ||||||
Fund shares sold | 486,731 | 1,753,478 | ||||||
Collateral pledged for open futures contracts (Note 2) | - | - | ||||||
Variation margin on open derivative instruments (Note 2) | 96,696 | - | ||||||
Interest and dividends | 339,242 | 1,222,583 | ||||||
Foreign taxes withheld | - | - | ||||||
Prepaid expenses | 35,928 | 44,062 | ||||||
|
|
|
| |||||
Total assets | 272,589,557 | 3,590,492,127 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | 877,830 | 9,343,425 | ||||||
Open forward foreign currency contracts (Note 2) | - | - | ||||||
Fund shares repurchased | 126,560 | 4,269,946 | ||||||
Securities on loan (Note 2) | 10,490 | 138,347,173 | ||||||
Investment advisory fees | 2,227 | - | ||||||
Trustees’ fees and expenses (Note 3) | 18,054 | 372,908 | ||||||
Affiliates (Note 3): | ||||||||
Investment advisory fees | 25,779 | 1,945,879 | ||||||
Administration fees | 31,706 | 216,473 | ||||||
Service fees | 40,923 | 229,132 | ||||||
Shareholder service fees | 8,320 | 88,124 | ||||||
Distribution fees | 12,340 | 8,725 | ||||||
Due to custodian | - | - | ||||||
Accrued expense and other liabilities | 64,402 | 99,841 | ||||||
|
|
|
| |||||
Total liabilities | 1,218,631 | 154,921,626 | ||||||
|
|
|
| |||||
Net assets | $ | 271,370,926 | $ | 3,435,570,501 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 245,858,066 | $ | 2,707,730,909 | ||||
Undistributed (accumulated) net investment income (loss) | 2,564,363 | (2,548,908 | ) | |||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 12,614,772 | 127,909,141 | ||||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 10,333,725 | 602,479,359 | ||||||
|
|
|
| |||||
Net assets | $ | 271,370,926 | $ | 3,435,570,501 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | 251,367,986 | $ | 2,804,063,338 | ||||
(b) Cost of repurchase agreements: | $ | 9,120,942 | $ | 165,987,400 | ||||
(c) Cost of other short-term investments: | $ | 833,662 | $ | 95,463 | ||||
(d) Securities on loan with market value of: | $ | 9,590 | $ | 135,154,373 | ||||
(e) Cost of foreign currency: | $ | 13 | $ | 10,360 |
The accompanying notes are an integral part of the financial statements.
206
MassMutual Select Small Cap Growth Equity Fund | MassMutual Select Diversified International Fund | MM MSCI EAFE International Index Fund | MassMutual Select Overseas Fund | |||||||||||
$ | 556,960,346 | $ | 39,451,223 | $ | 242,734,763 | $ | 668,465,742 | |||||||
2,973,145 | 1,840,418 | 1,586,049 | 2,553,904 | |||||||||||
13,694 | - | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
559,947,185 | 41,291,641 | 244,320,812 | 671,019,646 | |||||||||||
|
|
|
|
|
|
|
| |||||||
10 | 3 | 7,273,126 | 230,531 | |||||||||||
4,705,738 | 191,818 | - | 7,806,495 | |||||||||||
- | 210,473 | 32,034 | 282,900 | |||||||||||
- | 13,275 | - | - | |||||||||||
294,272 | 113,084 | 419,006 | 689,093 | |||||||||||
- | - | 381,734 | - | |||||||||||
- | - | 1,002,083 | - | |||||||||||
327,431 | 141,683 | 797,668 | 1,318,174 | |||||||||||
- | 100,582 | 612,534 | 2,017,979 | |||||||||||
36,557 | 26,844 | 36,680 | 35,899 | |||||||||||
|
|
|
|
|
|
|
| |||||||
565,311,193 | 42,089,403 | 254,875,677 | 683,400,717 | |||||||||||
|
|
|
|
|
|
|
| |||||||
3,337,590 | 614,534 | 7,038,071 | 3,540,787 | |||||||||||
- | 315,497 | 6,206 | 290,628 | |||||||||||
173,201 | 137,651 | 736,538 | 399,558 | |||||||||||
56,217,207 | - | - | 28,019,972 | |||||||||||
- | - | - | - | |||||||||||
155,081 | 28,923 | 28,997 | 146,380 | |||||||||||
335,505 | 46,232 | 32,524 | 440,542 | |||||||||||
32,451 | 9,977 | 34,740 | 47,911 | |||||||||||
27,086 | 997 | 37,711 | 41,751 | |||||||||||
10,026 | 61 | 7,378 | 14,719 | |||||||||||
674 | 125 | 14,451 | 1,156 | |||||||||||
577 | - | - | 8,736,691 | |||||||||||
45,211 | 35,440 | 62,902 | 79,657 | |||||||||||
|
|
|
|
|
|
|
| |||||||
60,334,609 | 1,189,437 | 7,999,518 | 41,759,752 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 504,976,584 | $ | 40,899,966 | $ | 246,876,159 | $ | 641,640,965 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 492,825,765 | $ | 112,871,134 | $ | 242,755,259 | $ | 685,238,735 | |||||||
(801,335 | ) | 2,291,414 | 11,095,650 | 11,620,236 | ||||||||||
(35,820,278 | ) | (74,704,591 | ) | 2,944,852 | (65,640,045 | ) | ||||||||
48,772,432 | 442,009 | (9,919,602 | ) | 10,422,039 | ||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 504,976,584 | $ | 40,899,966 | $ | 246,876,159 | $ | 641,640,965 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 508,185,297 | $ | 38,899,939 | $ | 252,736,395 | $ | 658,139,198 | |||||||
$ | 2,973,145 | $ | 1,840,418 | $ | 1,586,049 | $ | 2,553,904 | |||||||
$ | 13,694 | $ | - | $ | - | $ | - | |||||||
$ | 54,830,272 | $ | - | $ | - | $ | 26,674,507 | |||||||
$ | 10 | $ | 3 | $ | 7,200,509 | $ | 230,886 |
207
MassMutual Select Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2016
MM Russell 2000 Small Cap Index Fund | MassMutual Select Mid Cap Growth Equity II Fund | |||||||
Class I shares: | ||||||||
Net assets | $ | 127,659,677 | $ | 1,668,898,756 | ||||
|
|
|
| |||||
Shares outstanding (a) | 10,155,471 | 87,119,196 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.57 | $ | 19.16 | ||||
|
|
|
| |||||
Class R5 shares: | ||||||||
Net assets | $ | 15,286,652 | $ | 826,288,746 | ||||
|
|
|
| |||||
Shares outstanding (a) | 1,216,767 | 43,457,593 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.56 | $ | 19.01 | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | 13,347,470 | $ | 234,464,690 | ||||
|
|
|
| |||||
Shares outstanding (a) | 1,069,546 | 12,579,554 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.48 | $ | 18.64 | ||||
|
|
|
| |||||
Administrative Class shares: | ||||||||
Net assets | $ | 44,061,275 | $ | 340,186,919 | ||||
|
|
|
| |||||
Shares outstanding (a) | 3,525,227 | 18,941,315 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.50 | $ | 17.96 | ||||
|
|
|
| |||||
Class A shares: | ||||||||
Net assets | $ | 19,805,851 | $ | 297,498,114 | ||||
|
|
|
| |||||
Shares outstanding (a) | 1,593,420 | 17,645,449 | ||||||
|
|
|
| |||||
Net asset value, and redemption price per share | $ | 12.43 | $ | 16.86 | ||||
|
|
|
| |||||
Offering price per share | ||||||||
(100/[100-maximum sales charge] of net asset value) | $ | 13.19 | $ | 17.89 | ||||
|
|
|
| |||||
Class R4 shares: | ||||||||
Net assets | $ | 29,129,078 | $ | 54,177,416 | ||||
|
|
|
| |||||
Shares outstanding (a) | 2,348,192 | 3,202,492 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.40 | $ | 16.92 | ||||
|
|
|
| |||||
Class R3 shares: | ||||||||
Net assets | $ | 22,080,923 | $ | 14,055,860 | ||||
|
|
|
| |||||
Shares outstanding (a) | 1,785,898 | 889,641 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.36 | $ | 15.80 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
(b) | Amount is less than $0.05. |
(c) | Amount is less than 0.005. |
(d) | Net asset value calculations reflect fractional share and dollar amount. |
The accompanying notes are an integral part of the financial statements.
208
MassMutual Select Small Cap Growth Equity Fund | MassMutual Select Diversified International Fund | MM MSCI EAFE International Index Fund | MassMutual Select Overseas Fund | |||||||||||
$ | 276,267,115 | $ | 39,037,737 | $ | 93,913,052 | $ | 328,518,137 | |||||||
|
|
|
|
|
|
|
| |||||||
21,169,967 | 6,090,207 | 7,758,266 | 41,679,899 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 13.05 | $ | 6.41 | $ | 12.10 | $ | 7.88 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 119,576,956 | $ | 0 | (b) | $ | 32,194,715 | $ | 138,667,571 | ||||||
|
|
|
|
|
|
|
| |||||||
9,249,329 | 0 | (c) | 2,662,077 | 17,542,873 | ||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 12.93 | $ | 5.00 | (d) | $ | 12.09 | $ | 7.90 | ||||||
|
|
|
|
|
|
|
| |||||||
$ | 36,717,856 | $ | 159,872 | $ | 16,897,020 | $ | 69,873,029 | |||||||
|
|
|
|
|
|
|
| |||||||
2,977,665 | 24,354 | 1,402,613 | 8,889,729 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 12.33 | $ | 6.56 | $ | 12.05 | $ | 7.86 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 29,334,698 | $ | 138,040 | $ | 39,645,712 | $ | 37,188,515 | |||||||
|
|
|
|
|
|
|
| |||||||
2,510,131 | 20,783 | 3,296,157 | 4,697,413 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 11.69 | $ | 6.64 | $ | 12.03 | $ | 7.92 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 40,044,919 | $ | 256,051 | $ | 13,494,538 | $ | 58,815,510 | |||||||
|
|
|
|
|
|
|
| |||||||
3,774,867 | 40,230 | 1,124,891 | 7,592,595 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.61 | $ | 6.36 | $ | 12.00 | $ | 7.75 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 11.26 | $ | 6.75 | $ | 12.73 | $ | 8.22 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 1,780,712 | $ | 1,112,458 | $ | 25,932,709 | $ | 6,660,479 | |||||||
|
|
|
|
|
|
|
| |||||||
167,272 | 175,071 | 2,168,577 | 872,271 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.65 | $ | 6.35 | $ | 11.96 | $ | 7.64 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 1,254,328 | $ | 195,808 | $ | 24,798,413 | $ | 1,917,724 | |||||||
|
|
|
|
|
|
|
| |||||||
131,028 | 30,925 | 2,079,208 | 249,148 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 9.57 | $ | 6.33 | $ | 11.93 | $ | 7.70 | |||||||
|
|
|
|
|
|
|
|
209
MassMutual Select Funds – Financial Statements (Continued)
For the Year Ended September 30, 2016
MassMutual Select Total Return Bond Fund | MassMutual Select Strategic Bond Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends (a) | $ | - | $ | 10,887 | ||||
Interest | 28,441,098 | 9,776,243 | ||||||
Securities lending net income | - | - | ||||||
|
|
|
| |||||
Total investment income | 28,441,098 | 9,787,130 | ||||||
|
|
|
| |||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 4,035,427 | 1,237,121 | ||||||
Custody fees | 75,388 | 142,773 | ||||||
Audit fees | 52,658 | 48,847 | ||||||
Legal fees | 14,288 | 3,261 | ||||||
Accounting & Administration fees | 88,324 | 47,423 | ||||||
Proxy fees | 985 | 985 | ||||||
Shareholder reporting fees | 44,769 | 21,162 | ||||||
Trustees’ fees | 70,292 | 16,637 | ||||||
Registration and filing fees | 93,207 | 90,289 | ||||||
Transfer agent fees | 3,005 | 3,005 | ||||||
|
|
|
| |||||
4,478,343 | 1,611,503 | |||||||
Administration fees: | ||||||||
Class R5 | 132,850 | 56,051 | ||||||
Service Class | 308,796 | 79,877 | ||||||
Administrative Class | 130,627 | 57,394 | ||||||
Class A | 3,421 | 64,257 | ||||||
Class R4 | 630,480 | 41,716 | ||||||
Class R3 | 93,339 | 10,203 | ||||||
Distribution fees: | ||||||||
Class R3 | 116,674 | 12,754 | ||||||
Service fees: | ||||||||
Class A | 5,701 | 107,094 | ||||||
Class R4 | 788,101 | 52,145 | ||||||
Class R3 | 116,674 | 12,754 | ||||||
Shareholder service fees: | ||||||||
Service Class | 102,932 | 26,625 | ||||||
Administrative Class | 130,627 | 57,394 | ||||||
Class A | 3,421 | 64,257 | ||||||
|
|
|
| |||||
Total expenses | 7,041,986 | 2,254,024 | ||||||
Expenses waived: | ||||||||
Class I fees reimbursed by adviser | - | (50,915 | ) | |||||
Class R5 fees reimbursed by adviser | - | (35,693 | ) | |||||
Service Class fees reimbursed by adviser | - | (34,110 | ) | |||||
Administrative Class fees reimbursed by adviser | - | (24,411 | ) | |||||
Class A fees reimbursed by adviser | - | (27,559 | ) | |||||
Class R4 fees reimbursed by adviser | - | (13,272 | ) | |||||
Class R3 fees reimbursed by adviser | - | (3,204 | ) | |||||
Class I advisory fees waived | (146,640 | ) | - | |||||
Class R5 advisory fees waived | (47,099 | ) | - | |||||
Service Class advisory fees waived | (72,908 | ) | - | |||||
Administrative Class advisory fees waived | (30,849 | ) | - | |||||
Class A advisory fees waived | (809 | ) | - | |||||
Class R4 advisory fees waived | (111,678 | ) | - | |||||
Class R3 advisory fees waived | (16,524 | ) | - | |||||
|
|
|
| |||||
Net expenses | 6,615,479 | 2,064,860 | ||||||
|
|
|
| |||||
Net investment income (loss) | 21,825,619 | 7,722,270 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
210
MassMutual Select Diversified Value Fund | MassMutual Select Fundamental Value Fund | MassMutual Select Large Cap Value Fund | MM S&P 500 Index Fund | MassMutual Select Focused Value Fund | ||||||||||||||
$ | 8,806,153 | $ | 34,456,460 | $ | 6,297,183 | $ | 78,396,574 | $ | 17,252,362 | |||||||||
9,770 | 23,520 | 8,431 | 55,549 | 20,794 | ||||||||||||||
- | - | 90,930 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
8,815,923 | 34,479,980 | 6,396,544 | 78,452,123 | 17,273,156 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,723,434 | 7,700,729 | 1,312,013 | 3,387,567 | 5,533,920 | ||||||||||||||
32,633 | 106,473 | 22,518 | 274,669 | 58,080 | ||||||||||||||
34,878 | 35,283 | 35,222 | 38,295 | 35,591 | ||||||||||||||
3,934 | 14,823 | 2,931 | 40,786 | 9,459 | ||||||||||||||
47,550 | 90,397 | 41,559 | 199,980 | 68,457 | ||||||||||||||
985 | 985 | 985 | 985 | 985 | ||||||||||||||
14,847 | 43,298 | 13,200 | 144,144 | 30,974 | ||||||||||||||
19,251 | 71,585 | 11,999 | 202,097 | 44,821 | ||||||||||||||
87,659 | 92,597 | 89,940 | 100,908 | 90,758 | ||||||||||||||
3,005 | 3,005 | 3,005 | 3,005 | 3,005 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,968,176 | 8,159,175 | 1,533,372 | 4,392,436 | 5,876,050 | ||||||||||||||
137,973 | 396,648 | 101,371 | 843,654 | 221,747 | ||||||||||||||
18,771 | 220,854 | 10,994 | 1,253,383 | 110,975 | ||||||||||||||
9,144 | 148,624 | 20,125 | 975,771 | 142,519 | ||||||||||||||
29,751 | 254,762 | 44,941 | 38,806 | 256,457 | ||||||||||||||
872 | 5,366 | 175 | 1,478,764 | 7,850 | ||||||||||||||
2,231 | 2,565 | 138 | 153,929 | 6,334 | ||||||||||||||
2,789 | 3,206 | 173 | 153,929 | 7,918 | ||||||||||||||
49,585 | 424,603 | 74,901 | 48,508 | 427,429 | ||||||||||||||
1,090 | 6,708 | 219 | 1,478,764 | 9,812 | ||||||||||||||
2,789 | 3,206 | 173 | 153,929 | 7,918 | ||||||||||||||
6,257 | 73,618 | 3,665 | 313,346 | 36,992 | ||||||||||||||
9,144 | 148,624 | 20,125 | 731,828 | 142,518 | ||||||||||||||
29,751 | 254,762 | 44,941 | 29,104 | 256,457 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,268,323 | 10,102,721 | 1,855,313 | 12,046,151 | 7,510,976 | ||||||||||||||
- | - | (46,638 | ) | - | - | |||||||||||||
- | - | (72,365 | ) | - | - | |||||||||||||
- | - | (5,447 | ) | - | - | |||||||||||||
- | - | (9,648 | ) | - | - | |||||||||||||
- | - | (21,550 | ) | - | - | |||||||||||||
- | - | (62 | ) | - | - | |||||||||||||
- | - | (50 | ) | - | - | |||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,268,323 | 10,102,721 | 1,699,553 | 12,046,151 | 7,510,976 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
6,547,600 | 24,377,259 | 4,696,991 | 66,405,972 | 9,762,180 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
211
MassMutual Select Funds – Financial Statements (Continued)
Statements of Operations (Continued)
For the Year Ended September 30, 2016
MassMutual Select Total Return Bond Fund | MassMutual Select Strategic Bond Fund | |||||||
Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | 24,189,364 | $ | 111,024 | ||||
Futures contracts | 1,972,121 | 4,700,425 | ||||||
Written options | - | 736,826 | ||||||
Swap agreements | - | (768,933 | ) | |||||
Foreign currency transactions | (1,799,659 | ) | (600,537 | ) | ||||
|
|
|
| |||||
Net realized gain (loss) | 24,361,826 | 4,178,805 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | 8,964,398 | 10,004,059 | ||||||
Futures contracts | (257,840 | ) | 301,401 | |||||
Written options | - | (1,591 | ) | |||||
Swap agreements | - | (808,314 | ) | |||||
Translation of assets and liabilities in foreign currencies | 6,719 | 259,630 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | 8,713,277 | 9,755,185 | ||||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 33,075,103 | 13,933,990 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | 54,900,722 | $ | 21,656,260 | ||||
|
|
|
| |||||
(a) Net of foreign withholding tax of: | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
212
MassMutual Select Diversified Value Fund | MassMutual Select Fundamental Value Fund | MassMutual Select Large Cap Value Fund | MM S&P 500 Index Fund | MassMutual Select Focused Value Fund | ||||||||||||||
$ | 18,374,032 | $ | 91,087,108 | $ | 3,818,560 | $ | 152,458,740 | $ | 21,331,073 | |||||||||
- | - | - | 8,720,807 | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | (4,797 | ) | 1,264 | - | - | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
18,374,032 | 91,082,311 | 3,819,824 | 161,179,547 | 21,331,073 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
10,747,274 | 40,926,603 | 14,367,936 | 279,037,212 | 68,738,687 | ||||||||||||||
- | - | - | 2,307,168 | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | 6,824 | 655 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
10,747,274 | 40,933,427 | 14,368,591 | 281,344,380 | 68,738,687 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
29,121,306 | 132,015,738 | 18,188,415 | 442,523,927 | 90,069,760 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 35,668,906 | $ | 156,392,997 | $ | 22,885,406 | $ | 508,929,899 | $ | 99,831,940 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 28,097 | $ | 200,720 | $ | 98,362 | $ | - | $ | - |
213
MassMutual Select Funds – Financial Statements (Continued)
Statements of Operations
For the Year Ended September 30, 2016
MassMutual Select Fundamental Growth Fund | MassMutual Select Blue Chip Growth Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends (a) | $ | 2,097,948 | $ | 14,946,158 | ||||
Interest | 6,794 | 22,049 | ||||||
Securities lending net income | 6,028 | - | ||||||
|
|
|
| |||||
Total investment income | 2,110,770 | 14,968,207 | ||||||
|
|
|
| |||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 878,126 | 9,410,741 | ||||||
Custody fees | 38,127 | 139,668 | ||||||
Audit fees | 36,106 | 36,035 | ||||||
Legal fees | 1,553 | 16,907 | ||||||
Accounting & Administration fees | 44,713 | 100,655 | ||||||
Proxy fees | 985 | 985 | ||||||
Shareholder reporting fees | 8,726 | 47,052 | ||||||
Trustees’ fees | 7,554 | 84,027 | ||||||
Registration and filing fees | 89,376 | 94,306 | ||||||
Transfer agent fees | 3,005 | 3,005 | ||||||
|
|
|
| |||||
1,108,271 | 9,933,381 | |||||||
Administration fees: | ||||||||
Class R5 | 21,581 | 422,657 | ||||||
Service Class | 9,392 | 339,460 | ||||||
Administrative Class | 15,869 | 354,983 | ||||||
Class A | 26,189 | 237,035 | ||||||
Class R4 | 900 | 59,307 | ||||||
Class R3 | 1,638 | 24,878 | ||||||
Distribution fees: | ||||||||
Class R3 | 2,047 | 31,099 | ||||||
Distribution and Service fees: | ||||||||
Class A | 43,649 | 395,057 | ||||||
Class R4 | 1,125 | 74,134 | ||||||
Class R3 | 2,047 | 31,099 | ||||||
Shareholder service fees: | ||||||||
Service Class | 3,131 | 113,153 | ||||||
Administrative Class | 15,869 | 354,983 | ||||||
Class A | 26,189 | 237,035 | ||||||
|
|
|
| |||||
Total expenses | 1,277,897 | 12,608,261 | ||||||
Expenses waived: | ||||||||
Class I fees reimbursed by adviser | (93,374 | ) | - | |||||
Class R5 fees reimbursed by adviser | (26,067 | ) | - | |||||
Service Class fees reimbursed by adviser | (7,589 | ) | - | |||||
Administrative Class fees reimbursed by adviser | (12,852 | ) | - | |||||
Class A fees reimbursed by adviser | (21,225 | ) | - | |||||
Class R4 fees reimbursed by adviser | (532 | ) | - | |||||
Class R3 fees reimbursed by adviser | (957 | ) | - | |||||
Class I advisory fees waived | - | - | ||||||
Class R5 advisory fees waived | - | - | ||||||
Service Class advisory fees waived | - | - | ||||||
Administrative Class advisory fees waived | - | - | ||||||
Class A advisory fees waived | - | - | ||||||
Class R4 advisory fees waived | - | - | ||||||
Class R3 advisory fees waived | - | - | ||||||
|
|
|
| |||||
Net expenses | 1,115,301 | 12,608,261 | ||||||
|
|
|
| |||||
Net investment income (loss) | 995,469 | 2,359,946 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
214
MassMutual Select Growth Opportunities Fund | MassMutual Select Mid-Cap Value Fund | MassMutual Select Small Cap Value Equity Fund | MassMutual Select Small Company Value Fund | MM S&P Mid Cap Index Fund | ||||||||||||||
$ | 5,879,058 | $ | 2,170,682 | $ | 2,438,501 | $ | 5,331,052 | $ | 5,363,203 | |||||||||
18,122 | 6,638 | 7,518 | 11,319 | 9,697 | ||||||||||||||
150,404 | - | - | 185,160 | 112,958 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
6,047,584 | 2,177,320 | 2,446,019 | 5,527,531 | 5,485,858 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
6,604,638 | 767,178 | 1,366,730 | 2,507,068 | 321,185 | ||||||||||||||
91,280 | 61,971 | 24,116 | 52,715 | 67,962 | ||||||||||||||
35,678 | 35,178 | 35,190 | 34,643 | 30,881 | ||||||||||||||
11,099 | 1,998 | 2,059 | 3,515 | 3,471 | ||||||||||||||
74,938 | 48,085 | 41,485 | 46,681 | 48,042 | ||||||||||||||
985 | 985 | 985 | 985 | 985 | ||||||||||||||
39,520 | 14,480 | 10,541 | 18,363 | 48,575 | ||||||||||||||
52,734 | 6,074 | 10,163 | 16,151 | 18,022 | ||||||||||||||
92,601 | 87,763 | 86,543 | 88,702 | 88,757 | ||||||||||||||
3,005 | 3,005 | 3,005 | 3,005 | 3,005 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
7,006,478 | 1,026,717 | 1,580,817 | 2,771,828 | 630,885 | ||||||||||||||
205,146 | 6,474 | 69,082 | 107,992 | 15,914 | ||||||||||||||
234,491 | 4,146 | 9,677 | 24,155 | 39,031 | ||||||||||||||
149,668 | 443 | 6,965 | 24,777 | 110,961 | ||||||||||||||
190,192 | 3,090 | 10,678 | 43,427 | 79,359 | ||||||||||||||
12,591 | 178 | 2,230 | 242 | 62,474 | ||||||||||||||
1,618 | 188 | 541 | 141 | 51,359 | ||||||||||||||
2,023 | 235 | 677 | 176 | 51,359 | ||||||||||||||
316,987 | 5,149 | 17,796 | 72,379 | 99,199 | ||||||||||||||
15,739 | 222 | 2,787 | 302 | 62,474 | ||||||||||||||
2,023 | 235 | 677 | 176 | 51,359 | ||||||||||||||
78,164 | 1,382 | 3,226 | 8,052 | 9,758 | ||||||||||||||
149,668 | 443 | 6,965 | 24,777 | 83,221 | ||||||||||||||
190,192 | 3,090 | 10,678 | 43,427 | 59,519 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
8,554,980 | 1,051,992 | 1,722,796 | 3,121,851 | 1,406,872 | ||||||||||||||
- | (133,782 | ) | (62,240 | ) | - | - | ||||||||||||
- | (8,882 | ) | (47,506 | ) | - | - | ||||||||||||
- | (3,797 | ) | (4,335 | ) | - | - | ||||||||||||
- | (413 | ) | (3,137 | ) | - | - | ||||||||||||
- | (2,813 | ) | (4,822 | ) | - | - | ||||||||||||
- | (124 | ) | (754 | ) | - | - | ||||||||||||
- | (131 | ) | (180 | ) | - | - | ||||||||||||
- | - | - | (25,046 | ) | - | |||||||||||||
- | - | - | (21,593 | ) | - | |||||||||||||
- | - | - | (3,221 | ) | - | |||||||||||||
- | - | - | (3,303 | ) | - | |||||||||||||
- | - | - | (5,789 | ) | - | |||||||||||||
- | - | - | (24 | ) | - | |||||||||||||
- | - | - | (14 | ) | - | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
8,554,980 | 902,050 | 1,599,822 | 3,062,861 | 1,406,872 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(2,507,396 | ) | 1,275,270 | 846,197 | 2,464,670 | 4,078,986 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
215
MassMutual Select Funds – Financial Statements (Continued)
Statements of Operations (Continued)
For the Year Ended September 30, 2016
MassMutual Select Fundamental Growth Fund | MassMutual Select Blue Chip Growth Fund | |||||||
Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | 13,633,624 | $ | 67,495,254 | ||||
Futures contracts | - | - | ||||||
Foreign currency transactions | 122 | (286 | ) | |||||
|
|
|
| |||||
Net realized gain (loss) | 13,633,746 | 67,494,968 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | 266,727 | 130,055,654 | ||||||
Futures contracts | - | - | ||||||
Translation of assets and liabilities in foreign currencies | - | 400 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | 266,727 | 130,056,054 | ||||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 13,900,473 | 197,551,022 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | 14,895,942 | $ | 199,910,968 | ||||
|
|
|
| |||||
(a) Net of foreign withholding tax of: | $ | 1,474 | $ | 198,057 |
The accompanying notes are an integral part of the financial statements.
216
MassMutual Select Growth Opportunities Fund | MassMutual Select Mid-Cap Value Fund | MassMutual Select Small Cap Value Equity Fund | MassMutual Select Small Company Value Fund | MM S&P Mid Cap Index Fund | ||||||||||||||
$ | 67,533,040 | $ | 1,506,803 | $ | 11,666,347 | $ | 1,010,468 | $ | 26,340,662 | |||||||||
- | - | - | 117,348 | 921,027 | ||||||||||||||
- | (11,135 | ) | 31 | - | - | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
67,533,040 | 1,495,668 | 11,666,378 | 1,127,816 | 27,261,689 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
18,055,615 | 16,784,712 | 12,556,681 | 31,213,029 | 11,357,078 | ||||||||||||||
- | - | - | 111,847 | 288,458 | ||||||||||||||
- | (12,144 | ) | 9 | - | - | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
18,055,615 | 16,772,568 | 12,556,690 | 31,324,876 | 11,645,536 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
85,588,655 | 18,268,236 | 24,223,068 | 32,452,692 | 38,907,225 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 83,081,259 | $ | 19,543,506 | $ | 25,069,265 | $ | 34,917,362 | $ | 42,986,211 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 55,584 | $ | 5,125 | $ | - | $ | 6,066 | $ | - |
217
MassMutual Select Funds – Financial Statements (Continued)
Statements of Operations
For the Year Ended September 30, 2016
MM Russell 2000 Small Cap Index Fund | MassMutual Select Mid Cap Growth Equity II Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends (a) | $ | 4,113,675 | $ | 21,740,801 | ||||
Interest | 8,880 | 119,694 | ||||||
Securities lending net income | 746,410 | 1,730,852 | ||||||
|
|
|
| |||||
Total investment income | 4,868,965 | 23,591,347 | ||||||
|
|
|
| |||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 289,365 | 20,646,508 | ||||||
Custody fees | 82,751 | 257,749 | ||||||
Audit fees | 30,863 | 36,883 | ||||||
Legal fees | 3,049 | 31,018 | ||||||
Accounting & Administration fees | 46,887 | 166,178 | ||||||
Proxy fees | 985 | 985 | ||||||
Shareholder reporting fees | 40,421 | 105,378 | ||||||
Trustees’ fees | 16,356 | 164,241 | ||||||
Registration and filing fees | 90,039 | 103,998 | ||||||
Transfer agent fees | 3,005 | 3,005 | ||||||
|
|
|
| |||||
603,721 | 21,515,943 | |||||||
Administration fees: | ||||||||
Class R5 | 10,983 | 743,955 | ||||||
Service Class | 21,270 | 363,540 | ||||||
Administrative Class | 74,411 | 529,127 | ||||||
Class A | 33,017 | 452,923 | ||||||
Class R4 | 48,740 | 62,591 | ||||||
Class R3 | 33,964 | 20,276 | ||||||
Distribution fees: | ||||||||
Class R3 | 33,964 | 25,344 | ||||||
Distribution and Service fees: | ||||||||
Class A | 41,271 | 754,872 | ||||||
Class R4 | 48,740 | 78,239 | ||||||
Class R3 | 33,964 | 25,344 | ||||||
Shareholder service fees: | ||||||||
Service Class | 5,317 | 121,180 | ||||||
Administrative Class | 55,808 | 529,127 | ||||||
Class A | 24,763 | 452,923 | ||||||
|
|
|
| |||||
Total expenses | 1,069,933 | 25,675,384 | ||||||
Expenses waived: | ||||||||
Class I fees reimbursed by adviser | (16,435 | ) | - | |||||
Class R5 fees reimbursed by adviser | (858 | ) | - | |||||
Service Class fees reimbursed by adviser | (783 | ) | - | |||||
Administrative Class fees reimbursed by adviser | (3,186 | ) | - | |||||
Class A fees reimbursed by adviser | (1,420 | ) | - | |||||
Class R4 fees reimbursed by adviser | (1,393 | ) | - | |||||
Class R3 fees reimbursed by adviser | (916 | ) | - | |||||
|
|
|
| |||||
Net expenses | 1,044,942 | 25,675,384 | ||||||
|
|
|
| |||||
Net investment income (loss) | 3,824,023 | (2,084,037 | ) | |||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
218
MassMutual Select Small Cap Growth Equity Fund | MassMutual Select Diversified International Fund | MM MSCI EAFE International Index Fund | MassMutual Select Overseas Fund | |||||||||||
$ | 3,737,091 | $ | 2,339,017 | $ | 13,477,148 | $ | 17,846,155 | |||||||
16,005 | 6,578 | 9,100 | 13,741 | |||||||||||
412,089 | 46,015 | 167,212 | 251,336 | |||||||||||
|
|
|
|
|
|
|
| |||||||
4,165,185 | 2,391,610 | 13,653,460 | 18,111,232 | |||||||||||
|
|
|
|
|
|
|
| |||||||
4,020,836 | 583,272 | 427,608 | 5,223,224 | |||||||||||
88,875 | 86,194 | 310,536 | 490,445 | |||||||||||
37,257 | 40,941 | 32,295 | 46,944 | |||||||||||
6,946 | 878 | 4,680 | 7,505 | |||||||||||
54,711 | 59,272 | 62,236 | 89,305 | |||||||||||
985 | 986 | 985 | 985 | |||||||||||
27,877 | 7,262 | 70,681 | 24,405 | |||||||||||
27,883 | 3,945 | 24,355 | 36,333 | |||||||||||
90,673 | 87,055 | 91,015 | 90,921 | |||||||||||
3,005 | 3,005 | 3,005 | 3,005 | |||||||||||
|
|
|
|
|
|
|
| |||||||
4,359,048 | 872,810 | 1,027,396 | 6,013,072 | |||||||||||
139,133 | 8 | 29,404 | 151,824 | |||||||||||
57,254 | 246 | 32,237 | 109,590 | |||||||||||
45,355 | 151 | 80,348 | 54,803 | |||||||||||
63,133 | 612 | 26,155 | 88,467 | |||||||||||
2,213 | 1,491 | 42,938 | 9,842 | |||||||||||
1,157 | 349 | 38,439 | 3,213 | |||||||||||
1,446 | 437 | 38,439 | 4,016 | |||||||||||
105,222 | 1,021 | 32,694 | 147,446 | |||||||||||
2,766 | 1,863 | 42,938 | 12,303 | |||||||||||
1,446 | 437 | 38,439 | 4,016 | |||||||||||
19,085 | 82 | 8,059 | 36,530 | |||||||||||
45,355 | 152 | 60,261 | 54,803 | |||||||||||
63,133 | 612 | 19,616 | 88,467 | |||||||||||
|
|
|
|
|
|
|
| |||||||
4,905,746 | 880,271 | 1,517,363 | 6,778,392 | |||||||||||
- | (211,839 | ) | - | - | ||||||||||
- | (24 | ) | - | - | ||||||||||
- | (493 | ) | - | - | ||||||||||
- | (300 | ) | - | - | ||||||||||
- | (1,230 | ) | - | - | ||||||||||
- | (2,217 | ) | - | - | ||||||||||
- | (525 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
4,905,746 | 663,643 | 1,517,363 | 6,778,392 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(740,561 | ) | 1,727,967 | 12,136,097 | 11,332,840 | ||||||||||
|
|
|
|
|
|
|
|
219
MassMutual Select Funds – Financial Statements (Continued)
Statements of Operations (Continued)
For the Year Ended September 30, 2016
MM Russell 2000 Small Cap Index Fund | MassMutual Select Mid Cap Growth Equity II Fund | |||||||
Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | 13,605,830 | $ | 147,021,630 | ||||
Futures contracts | 813,970 | - | ||||||
Foreign currency transactions | (76 | ) | 2,053 | |||||
|
|
|
| |||||
Net realized gain (loss) | 14,419,724 | 147,023,683 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | 23,803,127 | 148,866,679 | ||||||
Futures contracts | 374,864 | - | ||||||
Translation of assets and liabilities in foreign currencies | (13 | ) | 158 | |||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | 24,177,978 | 148,866,837 | ||||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 38,597,702 | 295,890,520 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | 42,421,725 | $ | 293,806,483 | ||||
|
|
|
| |||||
(a) Net of foreign withholding tax of: | $ | 1,473 | $ | 62,724 |
The accompanying notes are an integral part of the financial statements.
220
MassMutual Select Small Cap Growth Equity Fund | MassMutual Select Diversified International Fund | MM MSCI EAFE International Index Fund | MassMutual Select Overseas Fund | |||||||||||
$ | (27,625,033 | ) | $ | (8,013,842 | ) | $ | 4,917,018 | $ | (21,478,734 | ) | ||||
- | 388,322 | (81,784 | ) | (134,659 | ) | |||||||||
(1,319 | ) | 526,605 | 4,965 | 894,326 | ||||||||||
|
|
|
|
|
|
|
| |||||||
(27,626,352 | ) | (7,098,915 | ) | 4,840,199 | (20,719,067 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
67,901,692 | 6,270,942 | 4,135,529 | 35,650,954 | |||||||||||
- | - | 286,011 | - | |||||||||||
(2,432 | ) | 23,366 | 188,952 | 200,090 | ||||||||||
|
|
|
|
|
|
|
| |||||||
67,899,260 | 6,294,308 | 4,610,492 | 35,851,044 | |||||||||||
|
|
|
|
|
|
|
| |||||||
40,272,908 | (804,607 | ) | 9,450,691 | 15,131,977 | ||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 39,532,347 | $ | 923,360 | $ | 21,586,788 | $ | 26,464,817 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 9,703 | $ | 225,642 | $ | 1,100,147 | $ | 1,740,693 |
221
MassMutual Select Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Select Total Return Bond Fund | ||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | ||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||
Operations: | ||||||||||||
Net investment income (loss) | $ | 21,825,619 | $ | 16,745,002 | $ | 29,451,577 | ||||||
Net realized gain (loss) on investment transactions | 24,361,826 | 9,337,132 | 35,121,197 | |||||||||
Net change in unrealized appreciation (depreciation) on investments | 8,713,277 | (16,544,728 | ) | 659,114 | ||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | 54,900,722 | 9,537,406 | 65,231,888 | |||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders (Note 2): | ||||||||||||
From net investment income: | ||||||||||||
Class I | (11,646,083 | ) | (48,548 | ) | (13,382,287 | ) | ||||||
Class R5 | (3,418,949 | ) | (13,818 | ) | (4,398,789 | ) | ||||||
Service Class | (3,911,860 | ) | (21,103 | ) | (8,661,723 | ) | ||||||
Administrative Class | (1,554,924 | ) | (8,146 | ) | (2,368,352 | ) | ||||||
Class A | (38,056 | ) | (179 | ) | (2,614 | )* | ||||||
Class R4 | (5,515,962 | ) | (31,202 | ) | (9,892,502 | ) | ||||||
Class R3 | (706,660 | ) | (4,601 | ) | (1,112,529 | ) | ||||||
|
|
|
|
|
| |||||||
Total distributions from net investment income | (26,792,494 | ) | (127,597 | ) | (39,818,796 | ) | ||||||
|
|
|
|
|
| |||||||
From net realized gains: | ||||||||||||
Class I | (1,469,754 | ) | (453,196 | ) | (6,689,862 | ) | ||||||
Class R5 | (450,926 | ) | (128,993 | ) | (2,296,718 | ) | ||||||
Service Class | (556,725 | ) | (196,996 | ) | (4,711,597 | ) | ||||||
Administrative Class | (228,916 | ) | (76,046 | ) | (1,338,990 | ) | ||||||
Class A | (5,815 | ) | (1,671 | ) | (1,516 | )* | ||||||
Class R4 | (894,237 | ) | (291,268 | ) | (5,907,774 | ) | ||||||
Class R3 | (132,231 | ) | (42,946 | ) | (735,530 | ) | ||||||
|
|
|
|
|
| |||||||
Total distributions from net realized gains | (3,738,604 | ) | (1,191,116 | ) | (21,681,987 | ) | ||||||
|
|
|
|
|
| |||||||
Net fund share transactions (Note 5): | ||||||||||||
Class I | (235,816,450 | ) | 71,641,923 | 39,852,516 | ||||||||
Class R5 | (52,955,915 | ) | 16,770,713 | (27,442,936 | ) | |||||||
Service Class | (21,335,015 | ) | (109,792,554 | ) | (40,649,539 | ) | ||||||
Administrative Class | (11,055,342 | ) | 2,444,145 | (21,753,313 | ) | |||||||
Class A | (114,239 | ) | 1,892,811 | 120,161 | * | |||||||
Class R4 | (49,120,848 | ) | (50,532,817 | ) | (78,419,220 | ) | ||||||
Class R3 | (3,958,860 | ) | (575,117 | ) | 538,732 | |||||||
|
|
|
|
|
| |||||||
Increase (decrease) in net assets from fund share transactions | (374,356,669 | ) | (68,150,896 | ) | (127,753,599 | ) | ||||||
|
|
|
|
|
| |||||||
Total increase (decrease) in net assets | (349,987,045 | ) | (59,932,203 | ) | (124,022,494 | ) | ||||||
Net assets | ||||||||||||
Beginning of year | 1,387,373,467 | 1,447,305,670 | 1,571,328,164 | |||||||||
|
|
|
|
|
| |||||||
End of year | $ | 1,037,386,422 | $ | 1,387,373,467 | $ | 1,447,305,670 | ||||||
|
|
|
|
|
| |||||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 16,570,101 | $ | 18,983,566 | $ | - | ||||||
|
|
|
|
|
| |||||||
Distributions in excess of net investment income included in net assets at end of year | $ | - | $ | - | $ | (148,643 | ) | |||||
|
|
|
|
|
|
* | Class commenced operations on April 1, 2014. |
** | For the period January 1, 2015 through September 30, 2015. |
The accompanying notes are an integral part of the financial statements.
222
MassMutual Select Strategic Bond Fund | MassMutual Select Diversified Value Fund | |||||||||||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | |||||||||||||||||
$ | 7,722,270 | $ | 4,588,760 | $ | 5,437,050 | $ | 6,547,600 | $ | 4,394,161 | $ | 7,147,225 | |||||||||||
4,178,805 | 3,802,966 | 3,055,632 | 18,374,032 | 22,907,830 | 55,149,017 | |||||||||||||||||
| 9,755,185 | (7,528,786 | ) | 3,485,758 | 10,747,274 | (55,051,123 | ) | (21,289,894 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| 21,656,260 | 862,940 | 11,978,440 | 35,668,906 | (27,749,132 | ) | 41,006,348 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(2,104,352 | ) | (17,943 | ) | (1,908,342 | )* | (1,221,667 | ) | (253,157 | ) | (1,894,736 | )* | |||||||||||
(1,461,955 | ) | (13,473 | ) | (1,402,720 | ) | (3,009,308 | ) | (685,168 | ) | (4,403,852 | ) | |||||||||||
(1,803,081 | ) | (15,779 | ) | (1,675,049 | ) | (202,722 | ) | (49,357 | ) | (284,578 | ) | |||||||||||
(885,218 | ) | (9,938 | ) | (827,689 | ) | (66,927 | ) | (20,511 | ) | (158,192 | ) | |||||||||||
(1,037,539 | ) | (10,094 | ) | (969,209 | ) | (182,440 | ) | (69,975 | ) | (328,416 | ) | |||||||||||
(431,509 | ) | (4,282 | ) | (3,382 | )* | (3,318 | ) | (922 | ) | (1,789 | )* | |||||||||||
(79,005 | ) | (1,085 | ) | (61,516 | ) | (6,062 | ) | (792 | ) | (2,482 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(7,802,659 | ) | (72,594 | ) | (6,847,907 | ) | (4,692,444 | ) | (1,079,882 | ) | (7,074,045 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
- | - | - | - | - | - | |||||||||||||||||
- | - | - | - | - | - | |||||||||||||||||
- | - | - | - | - | - | |||||||||||||||||
- | - | - | - | - | - | |||||||||||||||||
- | - | - | - | - | - | |||||||||||||||||
- | - | - | - | - | - | |||||||||||||||||
- | - | - | - | - | - | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
- | - | - | - | - | - | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
26,883,805 | 13,544,214 | 54,597,161 | * | 156,999,625 | (15,503,785 | ) | 92,402,964 | * | ||||||||||||||
8,225,778 | 3,626,722 | (37,640,784 | ) | (169,039,194 | ) | (10,284,465 | ) | (118,451,252 | ) | |||||||||||||
(14,119,240 | ) | 7,901,077 | 12,398,421 | (7,265,323 | ) | 179,614 | (6,683,158 | ) | ||||||||||||||
4,259,419 | 8,711,237 | 13,146,455 | 141,729 | (2,897,190 | ) | 1,016,135 | ||||||||||||||||
3,359,709 | 7,995,446 | 4,032,261 | (2,749,576 | ) | (1,094,480 | ) | (2,968,200 | ) | ||||||||||||||
10,536,190 | 14,560,279 | 103,483 | * | 386,731 | 196,043 | 101,890 | * | |||||||||||||||
2,584,298 | 936,260 | 997,809 | 1,281,814 | 76,613 | 10,930 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| 41,729,959 | 57,275,235 | 47,634,806 | (20,244,194 | ) | (29,327,650 | ) | (34,570,691 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
55,583,560 | 58,065,581 | 52,765,339 | 10,732,268 | (58,156,664 | ) | (638,388 | ) | |||||||||||||||
273,992,092 | 215,926,511 | 163,161,172 | 325,653,400 | 383,810,064 | 384,448,452 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 329,575,652 | $ | 273,992,092 | $ | 215,926,511 | $ | 336,385,668 | $ | 325,653,400 | $ | 383,810,064 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 5,683,130 | $ | 5,861,158 | $ | - | $ | 6,040,107 | $ | 4,245,850 | $ | 1,062,458 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | - | $ | - | $ | (101,301 | ) | $ | - | $ | - | $ | - | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
223
MassMutual Select Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Select Fundamental Value Fund | ||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | ||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||
Operations: | ||||||||||||
Net investment income (loss) | $ | 24,377,259 | $ | 15,776,239 | $ | 21,841,906 | ||||||
Net realized gain (loss) on investment transactions | 91,082,311 | 138,291,806 | 108,071,195 | |||||||||
Net change in unrealized appreciation (depreciation) on investments | 40,933,427 | (268,185,868 | ) | 31,941,811 | ||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | 156,392,997 | (114,117,823 | ) | 161,854,912 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders (Note 2): | ||||||||||||
From net investment income: | ||||||||||||
Class I | (7,875,862 | ) | - | (6,681,231 | ) | |||||||
Class R5 | (7,188,189 | ) | - | (8,457,640 | ) | |||||||
Service Class | (2,845,064 | ) | - | (3,051,112 | ) | |||||||
Administrative Class | (1,461,869 | ) | - | (1,619,714 | ) | |||||||
Class A | (2,038,495 | ) | - | (2,225,304 | ) | |||||||
Class R4 | (31,688 | ) | - | (1,450 | )* | |||||||
Class R3 | (15,751 | ) | - | (11,199 | ) | |||||||
|
|
|
|
|
| |||||||
Total distributions from net investment income | (21,456,918 | ) | - | (22,047,650 | ) | |||||||
|
|
|
|
|
| |||||||
From net realized gains: | ||||||||||||
Class I | (46,281,071 | ) | (12,594,012 | ) | (24,814,091 | ) | ||||||
Class R5 | (45,087,536 | ) | (13,854,744 | ) | (35,024,820 | ) | ||||||
Service Class | (18,900,526 | ) | (4,989,545 | ) | (12,982,133 | ) | ||||||
Administrative Class | (10,620,613 | ) | (3,231,319 | ) | (8,238,366 | ) | ||||||
Class A | (18,164,880 | ) | (5,399,955 | ) | (14,142,870 | ) | ||||||
Class R4 | (207,995 | ) | (38,900 | ) | (6,673 | )* | ||||||
Class R3 | (134,185 | ) | (28,952 | ) | (78,344 | ) | ||||||
|
|
|
|
|
| |||||||
Total distributions from net realized gains | (139,396,806 | ) | (40,137,427 | ) | (95,287,297 | ) | ||||||
|
|
|
|
|
| |||||||
Net fund share transactions (Note 5): | ||||||||||||
Class I | 73,865,163 | 61,072,490 | 131,476,061 | |||||||||
Class R5 | (45,890,943 | ) | (86,847,082 | ) | 6,273,005 | |||||||
Service Class | (30,347,984 | ) | (31,338,108 | ) | (3,904,274 | ) | ||||||
Administrative Class | (8,822,833 | ) | (8,528,898 | ) | (22,419,507 | ) | ||||||
Class L | - | - | - | |||||||||
Class A | (9,067,584 | ) | (24,170,270 | ) | (64,836,520 | ) | ||||||
Class R4 | 5,055,023 | 1,896,405 | 108,224 | * | ||||||||
Class R3 | 633,158 | 34,362 | (312,248 | ) | ||||||||
|
|
|
|
|
| |||||||
Increase (decrease) in net assets from fund share transactions | (14,576,000 | ) | (87,881,101 | ) | 46,384,741 | |||||||
|
|
|
|
|
| |||||||
Total increase (decrease) in net assets | (19,036,727 | ) | (242,136,351 | ) | 90,904,706 | |||||||
Net assets | ||||||||||||
Beginning of year | 1,280,019,039 | 1,522,155,390 | 1,431,250,684 | |||||||||
|
|
|
|
|
| |||||||
End of year | $ | 1,260,982,312 | $ | 1,280,019,039 | $ | 1,522,155,390 | ||||||
|
|
|
|
|
| |||||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 17,548,859 | $ | 16,509,611 | $ | 200,236 | ||||||
|
|
|
|
|
| |||||||
Distributions in excess of net investment income included in net assets at end of year | $ | - | $ | - | $ | - | ||||||
|
|
|
|
|
|
* | Class commenced operations on April 1, 2014. |
** | For the period January 1, 2015 through September 30, 2015. |
*** | Class L shares merged into Administrative Class shares on March 14, 2014. |
The accompanying notes are an integral part of the financial statements.
224
MassMutual Select Large Cap Value Fund | MM S&P 500 Index Fund | |||||||||||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | |||||||||||||||||
$ | 4,696,991 | $ | 5,095,460 | $ | 11,768,121 | $ | 66,405,972 | $ | 45,150,505 | $ | 54,314,545 | |||||||||||
3,819,824 | 25,165,624 | 49,660,275 | 161,179,547 | 65,248,859 | 85,814,847 | |||||||||||||||||
| 14,368,591 | (52,190,871 | ) | (40,150,477 | ) | 281,344,380 | (313,694,124 | ) | 273,954,472 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| 22,885,406 | (21,929,787 | ) | 21,277,919 | 508,929,899 | (203,294,760 | ) | 414,083,864 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(1,880,949 | ) | - | (4,489,571 | )* | (18,438,367 | ) | - | (10,234,711 | ) | |||||||||||||
(3,041,190 | ) | - | (4,939,584 | ) | (15,778,015 | ) | - | (17,006,805 | ) | |||||||||||||
(252,981 | ) | - | (358,183 | ) | (11,265,838 | ) | - | (11,487,958 | ) | |||||||||||||
(351,071 | ) | - | (677,337 | ) | (7,628,821 | ) | - | (8,322,530 | ) | |||||||||||||
(696,660 | ) | - | (1,311,094 | ) | (258,430 | ) | - | (1,525 | )* | |||||||||||||
(2,353 | ) | - | (2,777 | )* | (8,581,094 | ) | - | (7,315,121 | ) | |||||||||||||
(1,566 | ) | - | (2,216 | ) | (699,099 | ) | - | (73,638 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(6,226,770 | ) | - | (11,780,762 | ) | (62,649,664 | ) | - | (54,442,288 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(7,537,007 | ) | (507,956 | ) | (19,592,080 | )* | (18,281,037 | ) | (2,314,697 | ) | (11,638,397 | ) | |||||||||||
(12,769,934 | ) | (1,173,602 | ) | (22,914,966 | ) | (16,602,756 | ) | (2,625,457 | ) | (20,528,688 | ) | |||||||||||
(1,097,808 | ) | (80,714 | ) | (1,853,578 | ) | (12,897,031 | ) | (1,860,292 | ) | (15,144,142 | ) | |||||||||||
(1,644,212 | ) | (135,466 | ) | (3,374,830 | ) | (9,439,887 | ) | (1,465,816 | ) | (11,398,056 | ) | |||||||||||
(3,694,184 | ) | (298,026 | ) | (7,334,754 | ) | (311,663 | ) | (26,239 | ) | (2,272 | )* | |||||||||||
(11,207 | ) | (806 | ) | (13,691 | )* | (11,345,262 | ) | (1,562,511 | ) | (11,548,744 | ) | |||||||||||
(8,711 | ) | (685 | ) | (13,249 | ) | (838,040 | ) | (69,412 | ) | (131,901 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(26,763,063 | ) | (2,197,255 | ) | (55,097,148 | ) | (69,715,676 | ) | (9,924,424 | ) | (70,392,200 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(8,414,998 | ) | (84,309,867 | ) | 170,067,352 | * | 116,191,743 | 292,425,238 | 139,547,950 | ||||||||||||||
(29,386,141 | ) | (35,941,381 | ) | (150,815,262 | ) | (129,531,451 | ) | (76,466,737 | ) | (90,175,017 | ) | |||||||||||
(4,694,547 | ) | (2,920,656 | ) | (20,442,176 | ) | (203,718,872 | ) | (59,896,700 | ) | 67,002,590 | ||||||||||||
(3,819,323 | ) | (8,037,926 | ) | (1,032,585 | ) | (40,134,859 | ) | (34,611,042 | ) | 177,575,145 | ||||||||||||
- | - | - | - | - | (173,007,232 | )*** | ||||||||||||||||
(5,649,322 | ) | (12,991,766 | ) | (9,199,883 | ) | 7,402,371 | 9,165,848 | 3,342,456 | * | |||||||||||||
(86 | ) | 1 | 116,568 | * | 37,518,315 | 21,506,453 | (36,450,676 | ) | ||||||||||||||
(25,147 | ) | (7,954 | ) | (9,159 | ) | 64,356,578 | 22,810,218 | (1,666,043 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| (51,989,564 | ) | (144,209,549 | ) | (11,315,145 | ) | (147,916,175 | ) | 174,933,278 | 86,169,173 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(62,093,991 | ) | (168,336,591 | ) | (56,915,136 | ) | 228,648,384 | (38,285,906 | ) | 375,418,549 | |||||||||||||
242,386,845 | 410,723,436 | 467,638,572 | 3,433,910,879 | 3,472,196,785 | 3,096,778,236 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 180,292,854 | $ | 242,386,845 | $ | 410,723,436 | $ | 3,662,559,263 | $ | 3,433,910,879 | $ | 3,472,196,785 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 3,214,441 | $ | 4,873,376 | $ | - | $ | 54,894,926 | $ | 46,140,668 | $ | 464,093 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | - | $ | - | $ | (209,610 | ) | $ | - | $ | - | $ | - | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
225
MassMutual Select Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Select Focused Value Fund | ||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | ||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||
Operations: | ||||||||||||
Net investment income (loss) | $ | 9,762,180 | $ | 10,723,783 | $ | 16,074,697 | ||||||
Net realized gain (loss) on investment transactions | 21,331,073 | 108,571,256 | 109,677,975 | |||||||||
Net change in unrealized appreciation (depreciation) on investments | 68,738,687 | (252,932,632 | ) | (18,940,090 | ) | |||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | 99,831,940 | (133,637,593 | ) | 106,812,582 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders (Note 2): | ||||||||||||
From net investment income: | ||||||||||||
Class I | (4,096,929 | ) | - | (4,029,046 | ) | |||||||
Class R5 | (3,911,958 | ) | - | (5,694,010 | ) | |||||||
Service Class | (1,222,029 | ) | - | (1,655,429 | ) | |||||||
Administrative Class | (1,453,204 | ) | - | (1,779,528 | ) | |||||||
Class A | (2,357,730 | ) | - | (3,012,736 | ) | |||||||
Class R4* | (64,180 | ) | - | (1,790 | ) | |||||||
Class R3 | (47,379 | ) | - | (8,824 | ) | |||||||
|
|
|
|
|
| |||||||
Total distributions from net investment income | (13,153,409 | ) | - | (16,181,363 | ) | |||||||
|
|
|
|
|
| |||||||
From net realized gains: | ||||||||||||
Class I | (33,305,260 | ) | (2,785,570 | ) | (25,254,020 | ) | ||||||
Class R5 | (34,110,272 | ) | (3,102,930 | ) | (38,770,908 | ) | ||||||
Service Class | (11,384,357 | ) | (980,581 | ) | (11,721,881 | ) | ||||||
Administrative Class | (14,481,287 | ) | (1,274,361 | ) | (13,773,257 | ) | ||||||
Class A | (28,593,552 | ) | (2,486,643 | ) | (27,010,334 | ) | ||||||
Class R4* | (583,244 | ) | (22,248 | ) | (13,639 | ) | ||||||
Class R3 | (482,246 | ) | (27,322 | ) | (87,735 | ) | ||||||
|
|
|
|
|
| |||||||
Total distributions from net realized gains | (122,940,218 | ) | (10,679,655 | ) | (116,631,774 | ) | ||||||
|
|
|
|
|
| |||||||
Net fund share transactions (Note 5): | ||||||||||||
Class I | 4,192,341 | 31,777,325 | 61,463,960 | |||||||||
Class R5 | (26,306,262 | ) | (54,130,123 | ) | 29,033,786 | |||||||
Service Class | (3,009,686 | ) | (8,761,110 | ) | 2,667,182 | |||||||
Administrative Class | (3,973,770 | ) | 3,041,047 | 9,013,321 | ||||||||
Class A | (24,741,038 | ) | (12,561,749 | ) | 14,739,075 | |||||||
Class R4* | 4,526,558 | 1,836,831 | 115,530 | |||||||||
Class R3 | 1,373,007 | 1,928,306 | 6,487 | |||||||||
|
|
|
|
|
| |||||||
Increase (decrease) in net assets from fund share transactions | (47,938,850 | ) | (36,869,473 | ) | 117,039,341 | |||||||
|
|
|
|
|
| |||||||
Total increase (decrease) in net assets | (84,200,537 | ) | (181,186,721 | ) | 91,038,786 | |||||||
Net assets | ||||||||||||
Beginning of year | 816,785,798 | 997,972,519 | 906,933,733 | |||||||||
|
|
|
|
|
| |||||||
End of year | $ | 732,585,261 | $ | 816,785,798 | $ | 997,972,519 | ||||||
|
|
|
|
|
| |||||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 7,130,828 | $ | 10,522,101 | $ | - | ||||||
|
|
|
|
|
| |||||||
Distributions in excess of net investment income included in net assets at end of year | $ | - | $ | - | $ | (200,849 | ) | |||||
|
|
|
|
|
|
* | Class commenced operations on April 1, 2014. |
** | For the period January 1, 2015 through September 30, 2015. |
The accompanying notes are an integral part of the financial statements.
226
MassMutual Select Fundamental Growth Fund | MassMutual Select Blue Chip Growth Fund | |||||||||||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | |||||||||||||||||
$ | 995,469 | $ | 761,654 | $ | 1,108,798 | $ | 2,359,946 | $ | 713,119 | $ | (1,962,422 | ) | ||||||||||
13,633,746 | 13,042,351 | 15,847,968 | 67,494,968 | 230,699,044 | 110,970,108 | |||||||||||||||||
| 266,727 | (14,834,008 | ) | (1,707,384 | ) | 130,056,054 | (219,440,606 | ) | 9,393,468 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| 14,895,942 | (1,030,003 | ) | 15,249,382 | 199,910,968 | 11,971,557 | 118,401,154 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(751,915 | ) | - | (852,887 | )* | (1,935,400 | ) | - | - | ||||||||||||||
(179,581 | ) | - | (171,725 | ) | (2,166,584 | ) | - | - | ||||||||||||||
(47,013 | ) | - | (56,048 | ) | (905,314 | ) | - | - | ||||||||||||||
(74,962 | ) | - | (84,253 | ) | (585,084 | ) | - | - | ||||||||||||||
(67,082 | ) | - | (115,430 | ) | (47,459 | ) | - | - | ||||||||||||||
(2,144 | ) | - | (805 | ) | (66,043 | ) | - | - | ||||||||||||||
(3,962 | ) | - | (1,223 | ) | (21,466 | ) | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(1,126,659 | ) | - | (1,282,371 | ) | (5,727,350 | ) | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(8,068,438 | ) | (286,058 | ) | (9,328,674 | )* | (54,421,472 | ) | (2,722,994 | ) | (18,256,444 | )* | |||||||||||
(2,154,268 | ) | (75,368 | ) | (2,288,463 | ) | (76,223,871 | ) | (4,445,803 | ) | (37,728,727 | ) | |||||||||||
(639,638 | ) | (21,733 | ) | (755,128 | ) | (36,595,844 | ) | (1,772,363 | ) | (10,930,968 | ) | |||||||||||
(1,150,105 | ) | (39,495 | ) | (1,320,766 | ) | (38,222,083 | ) | (2,123,862 | ) | (18,266,974 | ) | |||||||||||
(1,953,737 | ) | (72,193 | ) | (2,763,788 | ) | (26,595,883 | ) | (1,435,893 | ) | (11,392,210 | ) | |||||||||||
(30,274 | ) | (438 | ) | (12,676 | ) | (3,897,139 | ) | (182,961 | ) | (54,367 | ) | |||||||||||
(52,494 | ) | (344 | ) | (31,591 | ) | (1,142,260 | ) | (30,819 | ) | (76,884 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(14,048,954 | ) | (495,629 | ) | (16,501,086 | ) | (237,098,552 | ) | (12,714,695 | ) | (96,706,574 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(18,509,803 | ) | (10,449,526 | ) | 89,438,109 | * | 190,504,053 | 49,117,040 | 273,513,443 | * | |||||||||||||
3,018,021 | (670,141 | ) | (66,419,603 | ) | (99,893,271 | ) | (72,162,449 | ) | 17,976,514 | |||||||||||||
949,076 | (1,116,014 | ) | 923,632 | 24,094,939 | 42,980,300 | (35,451,138 | ) | |||||||||||||||
228,682 | 642,163 | (1,046,755 | ) | 13,689,494 | (38,082,425 | ) | 15,849,435 | |||||||||||||||
(1,046,308 | ) | (6,204,240 | ) | 728,685 | 16,657,548 | (6,013,494 | ) | (27,092,276 | ) | |||||||||||||
513,190 | 85,052 | 113,582 | 24,392,703 | 20,387,382 | 827,274 | |||||||||||||||||
1,214,767 | 96,419 | (155,402 | ) | 18,511,152 | 3,234,438 | (103,980 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| (13,632,375 | ) | (17,616,287 | ) | 23,582,248 | 187,956,618 | (539,208 | ) | 245,519,272 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(13,912,046 | ) | (19,141,919 | ) | 21,048,173 | 145,041,684 | (1,282,346 | ) | 267,213,852 | ||||||||||||||
129,168,879 | 148,310,798 | 127,262,625 | 1,407,511,956 | 1,408,794,302 | 1,141,580,450 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 115,256,833 | $ | 129,168,879 | $ | 148,310,798 | $ | 1,552,553,640 | $ | 1,407,511,956 | $ | 1,408,794,302 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 578,510 | $ | 740,798 | $ | - | $ | - | $ | 465,878 | $ | (246,347 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | - | $ | - | $ | (21,255 | ) | $ | (211,953 | ) | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
227
MassMutual Select Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Select Growth Opportunities Fund | ||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | ||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||
Operations: | ||||||||||||
Net investment income (loss) | $ | (2,507,396 | ) | $ | (995,820 | ) | $ | (757,697 | ) | |||
Net realized gain (loss) on investment transactions | 67,533,040 | 99,925,006 | 79,669,554 | |||||||||
Net change in unrealized appreciation (depreciation) on investments | 18,055,615 | (155,251,510 | ) | 22,553,376 | ||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | 83,081,259 | (56,322,324 | ) | 101,465,233 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders (Note 2): | ||||||||||||
From net investment income: | ||||||||||||
Class I | - | - | - | |||||||||
Class R5 | - | - | - | |||||||||
Service Class | - | - | - | |||||||||
Administrative Class | - | - | - | |||||||||
Class A | - | - | - | |||||||||
Class R4* | - | - | - | |||||||||
Class R3 | - | - | - | |||||||||
|
|
|
|
|
| |||||||
Total distributions from net investment income | - | - | - | |||||||||
|
|
|
|
|
| |||||||
From net realized gains: | ||||||||||||
Class I | (38,981,121 | ) | (8,835,876 | ) | (18,343,315 | ) | ||||||
Class R5 | (23,803,912 | ) | (5,771,522 | ) | (16,052,750 | ) | ||||||
Service Class | (17,831,054 | ) | (3,960,722 | ) | (9,465,425 | ) | ||||||
Administrative Class | (12,455,719 | ) | (2,773,139 | ) | (8,996,527 | ) | ||||||
Class A | (16,598,049 | ) | (4,147,006 | ) | (11,605,691 | ) | ||||||
Class R4* | (652,252 | ) | (62,717 | ) | (7,042 | ) | ||||||
Class R3 | (102,779 | ) | (21,705 | ) | (8,848 | ) | ||||||
|
|
|
|
|
| |||||||
Total distributions from net realized gains | (110,424,886 | ) | (25,572,687 | ) | (64,479,598 | ) | ||||||
|
|
|
|
|
| |||||||
Net fund share transactions (Note 5): | ||||||||||||
Class I | 6,394,311 | 66,173,196 | 161,165,512 | |||||||||
Class R5 | (22,570,065 | ) | (33,075,843 | ) | (79,939,058 | ) | ||||||
Service Class | 5,172,386 | 3,841,396 | 67,386,951 | |||||||||
Administrative Class | (12,272,827 | ) | (29,877,131 | ) | 32,700,419 | |||||||
Class A | (30,532,043 | ) | (25,509,971 | ) | 4,944,279 | |||||||
Class R4* | 4,494,851 | 2,988,471 | 107,143 | |||||||||
Class R3 | 148,347 | 713,395 | 94,955 | |||||||||
|
|
|
|
|
| |||||||
Increase (decrease) in net assets from fund share transactions | (49,165,040 | ) | (14,746,487 | ) | 186,460,201 | |||||||
|
|
|
|
|
| |||||||
Total increase (decrease) in net assets | (76,508,667 | ) | (96,641,498 | ) | 223,445,836 | |||||||
Net assets | ||||||||||||
Beginning of year | 973,839,032 | 1,070,480,530 | 847,034,694 | |||||||||
|
|
|
|
|
| |||||||
End of year | $ | 897,330,365 | $ | 973,839,032 | $ | 1,070,480,530 | ||||||
|
|
|
|
|
| |||||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | (2,120,926 | ) | $ | (164,144 | ) | $ | (142,472 | ) | |||
|
|
|
|
|
| |||||||
Distributions in excess of net investment income included in net assets at end of year | $ | - | $ | - | $ | - | ||||||
|
|
|
|
|
|
* | Class commenced operations on April 1, 2014. |
** | For the period January 1, 2015 through September 30, 2015. |
The accompanying notes are an integral part of the financial statements.
228
MassMutual Select Mid-Cap Value Fund | MassMutual Select Small Cap Value Equity Fund | |||||||||||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | |||||||||||||||||
$ | 1,275,270 | $ | 1,221,877 | $ | 1,715,893 | $ | 846,197 | $ | 725,223 | $ | 1,116,378 | |||||||||||
1,495,668 | 12,583,392 | 16,998,635 | 11,666,378 | 11,362,721 | 11,251,441 | |||||||||||||||||
| 16,772,568 | (28,455,147 | ) | (8,523,492 | ) | 12,556,690 | (25,623,975 | ) | (2,210,643 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| 19,543,506 | (14,649,878 | ) | 10,191,036 | 25,069,265 | (13,536,031 | ) | 10,157,176 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(1,281,970 | ) | - | (1,493,902 | ) | (408,152 | ) | (5,250 | ) | (410,790 | )* | ||||||||||||
(72,905 | ) | - | (179,936 | ) | (449,400 | ) | (7,433 | ) | (561,623 | ) | ||||||||||||
(30,765 | ) | - | (46,532 | ) | (32,438 | ) | (257 | ) | (3,287 | ) | ||||||||||||
(1,206 | ) | - | (8,484 | ) | (9,022 | ) | (482 | ) | (14,370 | ) | ||||||||||||
(11,553 | ) | - | (32,911 | ) | (2,458 | ) | (541 | ) | (10,138 | ) | ||||||||||||
(886 | ) | - | (845 | ) | (5,128 | ) | (27 | ) | (374 | ) | ||||||||||||
(609 | ) | - | (468 | ) | (88 | ) | (9 | ) | (187 | )* | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(1,399,894 | ) | - | (1,763,078 | ) | (906,686 | ) | (13,999 | ) | (1,000,769 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(12,944,843 | ) | (1,376,932 | ) | (1,915,445 | ) | (2,321,956 | ) | - | - | |||||||||||||
(891,064 | ) | (169,477 | ) | (287,705 | ) | (3,117,262 | ) | - | - | |||||||||||||
(388,558 | ) | (31,478 | ) | (71,920 | ) | (226,348 | ) | - | - | |||||||||||||
(35,387 | ) | (5,322 | ) | (16,307 | ) | (141,014 | ) | - | - | |||||||||||||
(324,216 | ) | (30,700 | ) | (84,048 | ) | (227,926 | ) | - | - | |||||||||||||
(13,658 | ) | (1,061 | ) | (1,506 | ) | (38,293 | ) | - | - | |||||||||||||
(13,243 | ) | (993 | ) | (1,549 | ) | (5,311 | ) | - | - | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(14,610,969 | ) | (1,615,963 | ) | (2,378,480 | ) | (6,078,110 | ) | - | - | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(25,212,907 | ) | 10,130,151 | 62,882,264 | 45,464,579 | 10,523,975 | 58,735,097 | * | |||||||||||||||
(1,404,204 | ) | (8,278,904 | ) | (66,725,319 | ) | (48,503,305 | ) | 2,459,687 | (46,957,438 | ) | ||||||||||||
(574,857 | ) | (2,049,541 | ) | 2,201,998 | 3,657,179 | 2,071,604 | (3,929,863 | ) | ||||||||||||||
381,890 | (813,751 | ) | (3,128,161 | ) | (1,758,964 | ) | 2,691,442 | (775,270 | ) | |||||||||||||
(527,870 | ) | (3,137,073 | ) | (592,184 | ) | 1,704,295 | 579,131 | (396,402 | ) | |||||||||||||
1,237 | 102 | 102,453 | 1,027,529 | 579,271 | 100,475 | |||||||||||||||||
12,789 | (7,325 | ) | 6,810 | 277,968 | 27,211 | 100,187 | * | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| (27,323,922 | ) | (4,156,341 | ) | (5,252,139 | ) | 1,869,281 | 18,932,321 | 6,876,786 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(23,791,279 | ) | (20,422,182 | ) | 797,339 | 19,953,750 | 5,382,291 | 16,033,193 | |||||||||||||||
142,414,479 | 162,836,661 | 162,039,322 | 175,836,740 | 170,454,449 | 154,421,256 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 118,623,200 | $ | 142,414,479 | $ | 162,836,661 | $ | 195,790,490 | $ | 175,836,740 | $ | 170,454,449 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 1,084,869 | $ | 1,272,470 | $ | - | $ | 573,691 | $ | 696,399 | $ | 100,859 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | - | $ | - | $ | (36,508 | ) | $ | - | $ | - | $ | - | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
229
MassMutual Select Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Select Small Company Value Fund | ||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | ||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||
Operations: | ||||||||||||
Net investment income (loss) | $ | 2,464,670 | $ | 746,838 | $ | 1,602,676 | ||||||
Net realized gain (loss) on investment transactions | 1,127,816 | 70,385,133 | 67,673,203 | |||||||||
Net change in unrealized appreciation (depreciation) on investments | 31,324,876 | (101,733,258 | ) | (50,476,747 | ) | |||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | 34,917,362 | (30,601,287 | ) | 18,799,132 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders (Note 2): | ||||||||||||
From net investment income: | ||||||||||||
Class I | (850,085 | ) | - | (1,165,020 | ) | |||||||
Class R5 | (636,073 | ) | - | (1,530,838 | ) | |||||||
Service Class | (67,956 | ) | - | (247,535 | ) | |||||||
Administrative Class | (57,520 | ) | - | (132,029 | ) | |||||||
Class L | - | - | - | |||||||||
Class A | (9,255 | ) | - | (112,084 | ) | |||||||
Class R4* | (297 | ) | - | (600 | ) | |||||||
Class R3 | - | - | (184 | ) | ||||||||
|
|
|
|
|
| |||||||
Total distributions from net investment income | (1,621,186 | ) | - | (3,188,290 | ) | |||||||
|
|
|
|
|
| |||||||
From net realized gains: | ||||||||||||
Class I | (28,358,964 | ) | (1,951,998 | ) | (18,745,607 | ) | ||||||
Class R5 | (26,816,038 | ) | (2,313,519 | ) | (29,624,104 | ) | ||||||
Service Class | (3,864,438 | ) | (262,066 | ) | (5,460,834 | ) | ||||||
Administrative Class | (4,094,745 | ) | (292,735 | ) | (3,681,960 | ) | ||||||
Class L | - | - | - | |||||||||
Class A | (7,146,651 | ) | (523,550 | ) | (6,805,755 | ) | ||||||
Class R4* | (25,297 | ) | (1,509 | ) | (14,863 | ) | ||||||
Class R3 | (15,919 | ) | (952 | ) | (26,419 | ) | ||||||
|
|
|
|
|
| |||||||
Total distributions from net realized gains | (70,322,052 | ) | (5,346,329 | ) | (64,359,542 | ) | ||||||
|
|
|
|
|
| |||||||
Net fund share transactions (Note 5): | ||||||||||||
Class I | 13,522,455 | 6,020,263 | 21,107,004 | |||||||||
Class R5 | (5,581,055 | ) | (63,597,584 | ) | (23,523,516 | ) | ||||||
Service Class | 1,102,624 | (19,078,847 | ) | (2,745,889 | ) | |||||||
Administrative Class | 512,933 | (4,609,003 | ) | (8,517,606 | ) | |||||||
Class L | - | - | - | |||||||||
Class A | (252,521 | ) | (9,061,658 | ) | (10,349,879 | ) | ||||||
Class R4* | 100,718 | 103 | 115,563 | |||||||||
Class R3 | 33,959 | (17,538 | ) | (94,214 | ) | |||||||
|
|
|
|
|
| |||||||
Increase (decrease) in net assets from fund share transactions | 9,439,113 | (90,344,264 | ) | (24,008,537 | ) | |||||||
|
|
|
|
|
| |||||||
Total increase (decrease) in net assets | (27,586,763 | ) | (126,291,880 | ) | (72,757,237 | ) | ||||||
Net assets | ||||||||||||
Beginning of year | 319,350,471 | 445,642,351 | 518,399,588 | |||||||||
|
|
|
|
|
| |||||||
End of year | $ | 291,763,708 | $ | 319,350,471 | $ | 445,642,351 | ||||||
|
|
|
|
|
| |||||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 2,179,161 | $ | 1,474,140 | $ | - | ||||||
|
|
|
|
|
| |||||||
Distributions in excess of net investment income included in net assets at end of year | $ | - | $ | - | $ | (140,060 | ) | |||||
|
|
|
|
|
|
* | Class commenced operations on April 1, 2014. |
** | For the period January 1, 2015 through September 30, 2015. |
*** | Class L shares merged into Administrative Class shares on March 14, 2014. |
The accompanying notes are an integral part of the financial statements.
230
MM S&P Mid Cap Index Fund | MM Russell 2000 Small Cap Index Fund | |||||||||||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | |||||||||||||||||
$ | 4,078,986 | $ | 2,232,860 | $ | 2,247,307 | $ | 3,824,023 | $ | 1,743,565 | $ | 1,563,630 | |||||||||||
27,261,689 | 11,043,306 | 6,707,678 | 14,419,724 | 5,989,709 | 11,633,560 | |||||||||||||||||
| 11,645,536 | (28,426,744 | ) | 7,814,057 | 24,177,978 | (32,639,548 | ) | (6,157,085 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| 42,986,211 | (15,150,578 | ) | 16,769,042 | 42,421,725 | (24,906,274 | ) | 7,040,105 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(1,884,209 | ) | - | (1,540,869 | ) | (2,171,643 | ) | - | (1,146,533 | ) | |||||||||||||
(144,757 | ) | - | (55,208 | ) | (95,684 | ) | - | (43,187 | ) | |||||||||||||
(161,524 | ) | - | (123,337 | ) | (73,428 | ) | - | (68,716 | ) | |||||||||||||
(500,702 | ) | - | (351,175 | ) | (290,228 | ) | - | (235,643 | ) | |||||||||||||
- | - | - | *** | - | - | - | *** | |||||||||||||||
(290,077 | ) | - | (177,234 | ) | (93,134 | ) | - | (110,446 | ) | |||||||||||||
(195,232 | ) | - | (887 | ) | (136,086 | ) | - | (1,117 | ) | |||||||||||||
(137,526 | ) | - | (577 | )* | (88,306 | ) | - | (676 | )* | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| (3,314,027 | ) | - | (2,249,287 | ) | (2,948,509 | ) | - | (1,606,318 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(5,940,987 | ) | (504,686 | ) | (4,060,735 | ) | (4,491,792 | ) | (97,899 | ) | (9,717,239 | ) | |||||||||||
(486,746 | ) | (40,508 | ) | (147,273 | ) | (212,931 | ) | (4,253 | ) | (440,894 | ) | |||||||||||
(638,431 | ) | (61,578 | ) | (332,713 | ) | (193,449 | ) | (4,433 | ) | (617,170 | ) | |||||||||||
(2,141,360 | ) | (178,890 | ) | (1,178,726 | ) | (834,189 | ) | (16,884 | ) | (2,566,301 | ) | |||||||||||
- | - | - | *** | - | - | - | *** | |||||||||||||||
(1,565,793 | ) | (118,641 | ) | (796,854 | ) | (378,901 | ) | (7,896 | ) | (1,485,834 | ) | |||||||||||
(775,045 | ) | (49,479 | ) | (3,452 | ) | (353,998 | ) | (4,748 | ) | (13,140 | ) | |||||||||||
(577,513 | ) | (26,544 | ) | (3,017 | )* | (244,700 | ) | (2,611 | ) | (10,530 | )* | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(12,125,875 | ) | (980,326 | ) | (6,522,770 | ) | (6,709,960 | ) | (138,724 | ) | (14,851,108 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(74,001,329 | ) | 444,250 | 44,886,831 | (76,193,569 | ) | 105,394,573 | 12,560,246 | |||||||||||||||
8,233,835 | 6,672,292 | (477,832 | ) | 5,768,863 | 4,385,439 | (8,545,691 | ) | |||||||||||||||
4,752,029 | 5,179,084 | 9,123,436 | 3,686,370 | 2,387,328 | 5,746,597 | |||||||||||||||||
7,809,259 | 10,422,669 | 29,696,062 | 8,508,048 | 8,036,015 | 20,094,668 | |||||||||||||||||
- | - | (10,041,602 | )*** | - | - | (5,978,385 | )*** | |||||||||||||||
6,324,124 | 5,608,194 | 18,939,357 | 3,328,695 | 517,093 | 10,738,266 | |||||||||||||||||
20,280,246 | 15,304,725 | 128,726 | 16,962,829 | 10,349,917 | 160,077 | |||||||||||||||||
22,951,665 | 9,365,527 | 138,158 | * | 14,260,660 | 6,350,620 | 146,572 | * | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| (3,650,171 | ) | 52,996,741 | 92,393,136 | (23,678,104 | ) | 137,420,985 | 34,922,350 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
23,896,138 | 36,865,837 | 100,390,121 | 9,085,152 | 112,375,987 | 25,505,029 | |||||||||||||||||
270,826,227 | 233,960,390 | 133,570,269 | 262,285,774 | 149,909,787 | 124,404,758 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 294,722,365 | $ | 270,826,227 | $ | 233,960,390 | $ | 271,370,926 | $ | 262,285,774 | $ | 149,909,787 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 3,002,483 | $ | 2,260,618 | $ | - | $ | 2,564,363 | $ | 1,710,590 | $ | - | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | - | $ | - | $ | (11,732 | ) | $ | - | $ | - | $ | (13,852 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
231
MassMutual Select Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Select Mid Cap Growth Equity II Fund | ||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | ||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||
Operations: | ||||||||||||
Net investment income (loss) | $ | (2,084,037 | ) | $ | (4,505,988 | ) | $ | (6,360,438 | ) | |||
Net realized gain (loss) on investment transactions | 147,023,683 | 210,508,284 | 208,811,792 | |||||||||
Net change in unrealized appreciation (depreciation) on investments | 148,866,837 | (202,803,057 | ) | 30,663,325 | ||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | 293,806,483 | 3,199,239 | 233,114,679 | |||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders (Note 2): | ||||||||||||
From net investment income: | ||||||||||||
Class I | - | - | - | |||||||||
Class R5 | - | - | - | |||||||||
Service Class | - | - | - | |||||||||
Administrative Class | - | - | - | |||||||||
Class A | - | - | - | |||||||||
Class R4* | - | - | - | |||||||||
Class R3 | - | - | - | |||||||||
|
|
|
|
|
| |||||||
Total distributions from net investment income | - | - | - | |||||||||
|
|
|
|
|
| |||||||
From net realized gains: | ||||||||||||
Class I | (81,785,351 | ) | (5,244,538 | ) | (43,786,734 | ) | ||||||
Class R5 | (55,211,743 | ) | (5,040,837 | ) | (67,957,371 | ) | ||||||
Service Class | (20,768,068 | ) | (1,870,084 | ) | (25,305,083 | ) | ||||||
Administrative Class | (30,187,112 | ) | (2,940,916 | ) | (40,024,588 | ) | ||||||
Class A | (27,155,559 | ) | (2,612,545 | ) | (36,490,484 | ) | ||||||
Class R4* | (1,661,395 | ) | (69,064 | ) | (278,894 | ) | ||||||
Class R3 | (625,778 | ) | (35,278 | ) | (317,456 | ) | ||||||
|
|
|
|
|
| |||||||
Total distributions from net realized gains | (217,395,006 | ) | (17,813,262 | ) | (214,160,610 | ) | ||||||
|
|
|
|
|
| |||||||
Tax return of capital: | ||||||||||||
Class I | - | - | - | |||||||||
Class R5 | - | - | - | |||||||||
Service Class | - | - | - | |||||||||
Administrative Class | - | - | - | |||||||||
Class A | - | - | - | |||||||||
Class R4 | - | - | - | |||||||||
Class R3 | - | - | - | |||||||||
|
|
|
|
|
| |||||||
- | - | - | ||||||||||
|
|
|
|
|
| |||||||
Net fund share transactions (Note 5): | ||||||||||||
Class I | 803,773,454 | 391,247,796 | 139,870,415 | |||||||||
Class R5 | 168,193,351 | (26,139,304 | ) | 92,634,428 | ||||||||
Service Class | (6,304,691 | ) | (6,100,747 | ) | (29,173,542 | ) | ||||||
Administrative Class | (29,690,315 | ) | 170,867 | (22,864,708 | ) | |||||||
Class A | (10,220,087 | ) | (16,681,040 | ) | (12,619,900 | ) | ||||||
Class R4* | 40,927,154 | 9,061,597 | 3,097,836 | |||||||||
Class R3 | 8,881,610 | 2,480,516 | 423,941 | |||||||||
|
|
|
|
|
| |||||||
Increase (decrease) in net assets from fund share transactions | 975,560,476 | 354,039,685 | 171,368,470 | |||||||||
|
|
|
|
|
| |||||||
Total increase (decrease) in net assets | 1,051,971,953 | 339,425,662 | 190,322,539 | |||||||||
Net assets | ||||||||||||
Beginning of year | 2,383,598,548 | 2,044,172,886 | 1,853,850,347 | |||||||||
|
|
|
|
|
| |||||||
End of year | $ | 3,435,570,501 | $ | 2,383,598,548 | $ | 2,044,172,886 | ||||||
|
|
|
|
|
| |||||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | (2,548,908 | ) | $ | (3,155,003 | ) | $ | (4,078,935 | ) | |||
|
|
|
|
|
| |||||||
Distributions in excess of net investment income included in net assets at end of year | $ | - | $ | - | $ | - | ||||||
|
|
|
|
|
|
* | Class commenced operations on April 1, 2014. |
** | For the period January 1, 2015 through September 30, 2015. |
The accompanying notes are an integral part of the financial statements.
232
MassMutual Select Small Cap Growth Equity Fund | MassMutual Select Diversified International Fund | |||||||||||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | |||||||||||||||||
$ | (740,561 | ) | $ | (1,060,350 | ) | $ | (2,717,675 | ) | $ | 1,727,967 | $ | 1,116,229 | $ | 6,062,520 | ||||||||
(27,626,352 | ) | 105,401,769 | 157,927,957 | (7,098,915 | ) | (1,321,872 | ) | 8,211,548 | ||||||||||||||
| 67,899,260 | (157,537,280 | ) | (104,883,649 | ) | 6,294,308 | (1,983,744 | ) | (33,120,412 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| 39,532,347 | (53,195,861 | ) | 50,326,633 | 923,360 | (2,189,387 | ) | (18,846,344 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
- | - | - | (92,480 | ) | - | (2,280,133 | )* | |||||||||||||||
- | - | - | - | - | (4,012,527 | ) | ||||||||||||||||
- | - | - | - | - | (5,112 | ) | ||||||||||||||||
- | - | - | - | - | (3,140 | ) | ||||||||||||||||
- | - | - | - | - | (12,303 | ) | ||||||||||||||||
- | - | - | (326 | ) | - | (3,132 | ) | |||||||||||||||
- | - | - | - | - | (2,942 | )* | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
- | - | - | (92,806 | ) | - | (6,319,289 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(49,177,897 | ) | (7,939,063 | ) | (97,729,693 | ) | - | - | - | ||||||||||||||
(32,616,960 | ) | (2,835,799 | ) | (40,227,761 | ) | - | - | - | ||||||||||||||
(8,890,222 | ) | (584,319 | ) | (7,757,014 | ) | - | - | - | ||||||||||||||
(7,088,429 | ) | (533,026 | ) | (6,266,247 | ) | - | - | - | ||||||||||||||
(10,904,104 | ) | (836,481 | ) | (12,281,361 | ) | - | - | - | ||||||||||||||
(180,373 | ) | (6,252 | ) | (21,949 | ) | - | - | - | ||||||||||||||
(119,351 | ) | (5,562 | ) | (44,504 | ) | - | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(108,977,336 | ) | (12,740,502 | ) | (164,328,529 | ) | - | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(69,823 | ) | - | - | - | - | - | ||||||||||||||||
(46,310 | ) | - | - | - | - | - | ||||||||||||||||
(12,622 | ) | - | - | - | - | - | ||||||||||||||||
(10,064 | ) | - | - | - | - | - | ||||||||||||||||
(15,482 | ) | - | - | - | - | - | ||||||||||||||||
(256 | ) | - | - | - | - | - | ||||||||||||||||
(170 | ) | - | - | - | - | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(154,727 | ) | - | - | - | - | - | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
65,409,071 | (244,208,832 | ) | 363,136,313 | (26,988,814 | ) | 7,837,708 | 68,798,134 | * | ||||||||||||||
(25,489,734 | ) | (29,558,647 | ) | (342,599,143 | ) | (11,654 | ) | (111,811,878 | ) | (35,192,508 | ) | |||||||||||
6,878,171 | (728,915 | ) | (32,748,065 | ) | 17,266 | 3,324 | 71,618 | |||||||||||||||
818,188 | 6,109,386 | (8,168,464 | ) | 50,487 | 680 | 91,570 | ||||||||||||||||
2,056,514 | (6,514,678 | ) | (6,232,685 | ) | (301,841 | ) | 198,996 | (296,775 | ) | |||||||||||||
1,395,690 | 381,965 | 122,049 | 1,017,929 | 100 | 103,232 | |||||||||||||||||
994,687 | 244,684 | (420,017 | ) | 99,644 | 14,956 | 102,942 | * | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| 52,062,587 | (274,275,037 | ) | (26,910,012 | ) | (26,116,983 | ) | (103,756,114 | ) | 33,678,213 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(17,537,129 | ) | (340,211,400 | ) | (140,911,908 | ) | (25,286,429 | ) | (105,945,501 | ) | 8,512,580 | ||||||||||||
522,513,713 | 862,725,113 | 1,003,637,021 | 66,186,395 | 172,131,896 | 163,619,316 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 504,976,584 | $ | 522,513,713 | $ | 862,725,113 | $ | 40,899,966 | $ | 66,186,395 | $ | 172,131,896 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | (801,335 | ) | $ | (214,454 | ) | $ | (201,359 | ) | $ | 2,291,414 | $ | 70,705 | $ | - | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | - | $ | - | $ | - | $ | - | $ | - | $ | (435,466 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
233
MassMutual Select Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MM MSCI EAFE International Index Fund | ||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | ||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||
Operations: | ||||||||||||
Net investment income (loss) | $ | 12,136,097 | $ | 7,792,382 | $ | 7,668,688 | ||||||
Net realized gain (loss) on investment transactions | 4,840,199 | 710,223 | 2,550,122 | |||||||||
Net change in unrealized appreciation (depreciation) on investments | 4,610,492 | (31,830,591 | ) | (25,161,015 | ) | |||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | 21,586,788 | (23,327,986 | ) | (14,942,205 | ) | |||||||
|
|
|
|
|
| |||||||
Distributions to shareholders (Note 2): | ||||||||||||
From net investment income: | ||||||||||||
Class I | (6,785,859 | ) | - | (6,608,248 | ) | |||||||
Class R5 | (607,053 | ) | - | (106,877 | ) | |||||||
Service Class | (309,406 | ) | - | (189,461 | ) | |||||||
Administrative Class | (736,427 | ) | - | (643,276 | ) | |||||||
Class A | (237,035 | ) | - | (181,481 | ) | |||||||
Class R4* | (244,763 | ) | - | (3,413 | ) | |||||||
Class R3 | (231,410 | ) | - | (2,363 | )* | |||||||
|
|
|
|
|
| |||||||
Total distributions from net investment income | (9,151,953 | ) | - | (7,735,119 | ) | |||||||
|
|
|
|
|
| |||||||
From net realized gains: | ||||||||||||
Class I | (713,404 | ) | - | (2,340,437 | ) | |||||||
Class R5 | (65,592 | ) | - | (40,283 | ) | |||||||
Service Class | (36,223 | ) | - | (69,385 | ) | |||||||
Administrative Class | (89,660 | ) | - | (235,842 | ) | |||||||
Class A | (32,786 | ) | - | (75,857 | ) | |||||||
Class R4* | (28,097 | ) | - | (1,361 | ) | |||||||
Class R3 | (27,157 | ) | - | (1,043 | )* | |||||||
|
|
|
|
|
| |||||||
Total distributions from net realized gains | (992,919 | ) | - | (2,764,208 | ) | |||||||
|
|
|
|
|
| |||||||
Net fund share transactions (Note 5): | ||||||||||||
Class I | (190,445,217 | ) | 81,211,538 | 51,183,193 | ||||||||
Class R5 | 15,464,582 | 13,564,713 | (6,190,056 | ) | ||||||||
Service Class | 1,319,875 | 9,800,403 | 6,224,252 | |||||||||
Administrative Class | 4,903,152 | 12,798,475 | 20,288,031 | |||||||||
Class L | - | - | (1,935,692 | )*** | ||||||||
Class A | 399,928 | 6,211,301 | 4,691,754 | |||||||||
Class R4* | 18,287,049 | 7,265,408 | 154,558 | |||||||||
Class R3 | 19,010,376 | 5,420,469 | 107,091 | * | ||||||||
|
|
|
|
|
| |||||||
Increase (decrease) in net assets from fund share transactions | (131,060,255 | ) | 136,272,307 | 74,523,131 | ||||||||
|
|
|
|
|
| |||||||
Total increase (decrease) in net assets | (119,618,339 | ) | 112,944,321 | 49,081,599 | ||||||||
Net assets | ||||||||||||
Beginning of year | 366,494,498 | 253,550,177 | 204,468,578 | |||||||||
|
|
|
|
|
| |||||||
End of year | $ | 246,876,159 | $ | 366,494,498 | $ | 253,550,177 | ||||||
|
|
|
|
|
| |||||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 11,095,650 | $ | 7,106,791 | $ | 0 | ||||||
|
|
|
|
|
| |||||||
Distributions in excess of net investment income included in net assets at end of year | $ | - | $ | - | $ | (765,559 | ) | |||||
|
|
|
|
|
|
* | Class commenced operations on April 1, 2014. |
** | For the period January 1, 2015 through September 30, 2015. |
*** | Class L shares merged into Administrative Class shares on March 14, 2014. |
The accompanying notes are an integral part of the financial statements.
234
MassMutual Select Overseas Fund | ||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015** | Year Ended December 31, 2014 | ||||||||
$ | 11,332,840 | $ | 9,865,235 | $ | 13,504,218 | |||||
(20,719,067 | ) | 23,581,386 | 41,158,440 | |||||||
| 35,851,044 | (68,260,206 | ) | (97,744,957 | ) | |||||
|
|
|
|
|
| |||||
| 26,464,817 | (34,813,585 | ) | (43,082,299 | ) | |||||
|
|
|
|
|
| |||||
(5,063,565 | ) | (7,349,048 | ) | (6,888,163 | ) | |||||
(2,456,793 | ) | (4,104,090 | ) | (3,471,069 | ) | |||||
(1,082,851 | ) | (1,829,317 | ) | (1,475,642 | ) | |||||
(473,888 | ) | (852,982 | ) | (624,275 | ) | |||||
(620,779 | ) | (1,213,872 | ) | (1,104,817 | ) | |||||
(52,843 | ) | (48,123 | ) | (2,404 | ) | |||||
(16,976 | ) | (27,413 | ) | - | ||||||
|
|
|
|
|
| |||||
(9,767,695 | ) | (15,424,845 | ) | (13,566,370 | ) | |||||
|
|
|
|
|
| |||||
- | - | - | ||||||||
- | - | - | ||||||||
- | - | - | ||||||||
- | - | - | ||||||||
- | - | - | ||||||||
- | - | - | ||||||||
- | - | - | ||||||||
|
|
|
|
|
| |||||
- | - | - | ||||||||
|
|
|
|
|
| |||||
28,654,909 | 7,655,833 | 60,884,251 | ||||||||
(25,640,587 | ) | 10,924,592 | (12,283,523 | ) | ||||||
(8,986,925 | ) | 7,342,707 | (249,343 | ) | ||||||
458,898 | 9,287,564 | 5,981,599 | ||||||||
- | - | - | ||||||||
(1,318,821 | ) | 2,243,386 | 5,949,470 | |||||||
2,959,175 | 3,651,362 | 102,505 | ||||||||
602,560 | 1,236,256 | (537,008 | ) | |||||||
|
|
|
|
|
| |||||
| (3,270,791 | ) | 42,341,700 | 59,847,951 | ||||||
|
|
|
|
|
| |||||
13,426,331 | (7,896,730 | ) | 3,199,282 | |||||||
628,214,634 | 636,111,364 | 632,912,082 | ||||||||
|
|
|
|
|
| |||||
$ | 641,640,965 | $ | 628,214,634 | $ | 636,111,364 | |||||
|
|
|
|
|
| |||||
$ | 11,620,236 | $ | 8,703,006 | $ | 11,891,648 | |||||
|
|
|
|
|
| |||||
$ | - | $ | - | $ | - | |||||
|
|
|
|
|
|
235
MassMutual Select Total Return Bond Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
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 returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waiversn | Interest expense to average daily net assetsp | Ratio of expenses to average daily net assets after expense waiversj,n | Net investment income (loss) to average daily net assetsn | |||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.17 | $ | 0.21 | $ | 0.30 | $ | 0.51 | $ | (0.22 | ) | $ | (0.03 | ) | $ | (0.25 | ) | $ | 10.43 | 5.10% | $ | 303,783 | 0.37% | N/A | 0.34% | 2.02% | ||||||||||||||||||||||||||||||
9/30/15i | 10.10 | 0.14 | (0.06 | ) | 0.08 | (0.00 | )d | (0.01 | ) | (0.01 | ) | 10.17 | 0.79% | b | 534,131 | 0.39% | a | N/A | 0.34% | a | 1.81% | a | ||||||||||||||||||||||||||||||||||
12/31/14 | 10.12 | 0.21 | 0.23 | 0.44 | (0.31 | ) | (0.15 | ) | (0.46 | ) | 10.10 | 4.39% | 459,950 | 0.41% | 0.00% | e | 0.40% | 2.07% | ||||||||||||||||||||||||||||||||||||||
12/31/13 | 10.55 | 0.20 | (0.35 | ) | (0.15 | ) | (0.26 | ) | (0.02 | ) | (0.28 | ) | 10.12 | (1.43% | ) | 420,872 | 0.40% | 0.00% | e | N/A | 1.87% | |||||||||||||||||||||||||||||||||||
12/31/12 | 9.98 | 0.26 | 0.71 | 0.97 | (0.38 | ) | (0.02 | ) | (0.40 | ) | 10.55 | 9.74% | 440,229 | 0.41% | 0.00% | e | N/A | 2.43% | ||||||||||||||||||||||||||||||||||||||
12/31/11 | 10.09 | 0.33 | (0.09 | ) | 0.24 | (0.35 | ) | - | (0.35 | ) | 9.98 | 2.41% | 402,361 | 0.40% | N/A | N/A | 3.26% | |||||||||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.15 | $ | 0.20 | $ | 0.30 | $ | 0.50 | $ | (0.21 | ) | $ | (0.03 | ) | $ | (0.24 | ) | $ | 10.41 | 5.01% | $ | 115,428 | 0.47% | N/A | 0.44% | 1.94% | ||||||||||||||||||||||||||||||
9/30/15i | 10.08 | 0.13 | (0.05 | ) | 0.08 | (0.00 | )d | (0.01 | ) | (0.01 | ) | 10.15 | 0.79% | b | 166,482 | 0.49% | a | N/A | 0.44% | a | 1.70% | a | ||||||||||||||||||||||||||||||||||
12/31/14 | 10.10 | 0.21 | 0.22 | 0.43 | (0.30 | ) | (0.15 | ) | (0.45 | ) | 10.08 | 4.26% | 148,821 | 0.52% | 0.00% | e | 0.51% | 1.98% | ||||||||||||||||||||||||||||||||||||||
12/31/13 | 10.54 | 0.18 | (0.35 | ) | (0.17 | ) | (0.25 | ) | (0.02 | ) | (0.27 | ) | 10.10 | (1.68% | ) | 175,117 | 0.55% | 0.00% | e | N/A | 1.72% | |||||||||||||||||||||||||||||||||||
12/31/12 | 9.97 | 0.24 | 0.72 | 0.96 | (0.37 | ) | (0.02 | ) | (0.39 | ) | 10.54 | 9.62% | 169,086 | 0.56% | 0.00% | e | N/A | 2.26% | ||||||||||||||||||||||||||||||||||||||
12/31/11 | 10.07 | 0.31 | (0.07 | ) | 0.24 | (0.34 | ) | - | (0.34 | ) | 9.97 | 2.37% | 79,275 | 0.55% | N/A | N/A | 3.02% | |||||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.17 | $ | 0.19 | $ | 0.31 | $ | 0.50 | $ | (0.19 | ) | $ | (0.03 | ) | $ | (0.22 | ) | $ | 10.45 | 5.04% | * | $ | 193,887 | 0.57% | N/A | 0.54% | 1.83% | |||||||||||||||||||||||||||||
9/30/15i | 10.12 | 0.12 | (0.06 | ) | 0.06 | (0.00 | )d | (0.01 | ) | (0.01 | ) | 10.17 | 0.59% | b | 209,728 | 0.59% | a | N/A | 0.54% | a | 1.54% | a | ||||||||||||||||||||||||||||||||||
12/31/14 | 10.13 | 0.19 | 0.23 | 0.42 | (0.28 | ) | (0.15 | ) | (0.43 | ) | 10.12 | 4.23% | 316,778 | 0.62% | 0.00% | e | 0.62% | k | 1.86% | |||||||||||||||||||||||||||||||||||||
12/31/13 | 10.56 | 0.17 | (0.35 | ) | (0.18 | ) | (0.23 | ) | (0.02 | ) | (0.25 | ) | 10.13 | (1.78% | ) | 355,678 | 0.67% | 0.00% | e | N/A | 1.60% | |||||||||||||||||||||||||||||||||||
12/31/12 | 9.99 | 0.23 | 0.71 | 0.94 | (0.35 | ) | (0.02 | ) | (0.37 | ) | 10.56 | 9.43% | 481,613 | 0.68% | 0.00% | e | N/A | 2.15% | ||||||||||||||||||||||||||||||||||||||
12/31/11 | 10.09 | 0.30 | (0.08 | ) | 0.22 | (0.32 | ) | - | (0.32 | ) | 9.99 | 2.21% | 454,979 | 0.67% | N/A | N/A | 2.89% |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate | 264 | % | 264 | % | 453 | %u | 460 | %u | 501 | %u | 442 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
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%. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
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. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
n | Includes interest expense. |
p | Interest expense incurred as a result of entering into reverse repurchase agreements and Treasury roll transactions is included in the Fund’s net expenses in the Statements of Operations. Income earned on investing proceeds from reverse repurchase agreements and Treasury roll transactions is included in interest income in the Statements of Operations. |
u | Excludes dollar roll transactions. Including these transactions, the portfolio turnover would have been 456%, 479% and 509% as of December 31, 2014, December 31, 2013 and December 31, 2012, respectively. |
* | Generally accepted accounting principles may require adjustment to be made to the net assets of the Fund at period end for financial reporting purposes, and as such, the net asset values for shareholder transactions and the returns based on those net asset values may differ from the returns reported in the portfolio manager commentary section of this report. |
The accompanying notes are an integral part of the financial statements.
236
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 returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waiversn | Interest expense to average daily net assetsp | Ratio of expenses to average daily net assets after expense waiversj,n | Net investment income (loss) to average daily net assetsn | |||||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.11 | $ | 0.17 | $ | 0.31 | $ | 0.48 | $ | (0.19 | ) | $ | (0.03 | ) | $ | (0.22 | ) | $ | 10.37 | 4.80% | $ | 80,444 | 0.67% | N/A | 0.64% | 1.73% | ||||||||||||||||||||||||||||||
9/30/15i | 10.06 | 0.11 | (0.05 | ) | 0.06 | (0.00 | )d | (0.01 | ) | (0.01 | ) | 10.11 | 0.59% | b | 89,080 | 0.69% | a | N/A | 0.64% | a | 1.49% | a | ||||||||||||||||||||||||||||||||||
12/31/14 | 10.07 | 0.18 | 0.23 | 0.41 | (0.27 | ) | (0.15 | ) | (0.42 | ) | 10.06 | 4.14% | 86,220 | 0.72% | 0.00% | e | 0.71% | 1.74% | ||||||||||||||||||||||||||||||||||||||
12/31/13 | 10.51 | 0.16 | (0.35 | ) | (0.19 | ) | (0.23 | ) | (0.02 | ) | (0.25 | ) | 10.07 | (1.86% | ) | 107,501 | 0.75% | 0.00% | e | N/A | 1.52% | |||||||||||||||||||||||||||||||||||
12/31/12 | 9.95 | 0.22 | 0.71 | 0.93 | (0.35 | ) | (0.02 | ) | (0.37 | ) | 10.51 | 9.35% | 99,987 | 0.76% | 0.00% | e | N/A | 2.06% | ||||||||||||||||||||||||||||||||||||||
12/31/11 | 10.07 | 0.29 | (0.08 | ) | 0.21 | (0.33 | ) | - | (0.33 | ) | 9.95 | 2.13% | 66,880 | 0.75% | N/A | N/A | 2.87% | |||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.13 | $ | 0.15 | $ | 0.31 | $ | 0.46 | $ | (0.18 | ) | $ | (0.03 | ) | $ | (0.21 | ) | $ | 10.38 | 4.62% | $ | 1,943 | 0.92% | N/A | 0.89% | 1.47% | ||||||||||||||||||||||||||||||
9/30/15i | 10.10 | 0.11 | (0.07 | ) | 0.04 | (0.00 | )d | (0.01 | ) | (0.01 | ) | 10.13 | 0.39% | b | 1,998 | 0.94% | a | N/A | 0.89% | a | 1.45% | a | ||||||||||||||||||||||||||||||||||
12/31/14h | 10.25 | 0.11 | 0.16 | 0.27 | (0.27 | ) | (0.15 | ) | (0.42 | ) | 10.10 | 2.65% | b | 119 | 0.96% | a | 0.00% | e | 0.95% | a | 1.36% | a | ||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.16 | $ | 0.16 | $ | 0.31 | $ | 0.47 | $ | (0.17 | ) | $ | (0.03 | ) | $ | (0.20 | ) | $ | 10.43 | 4.70% | $ | 295,696 | 0.82% | N/A | 0.79% | 1.58% | ||||||||||||||||||||||||||||||
9/30/15i | 10.12 | 0.10 | (0.05 | ) | 0.05 | (0.00 | )d | (0.01 | ) | (0.01 | ) | 10.16 | 0.49% | b | 336,956 | 0.84% | a | N/A | 0.79% | a | 1.33% | a | ||||||||||||||||||||||||||||||||||
12/31/14 | 10.14 | 0.17 | 0.22 | 0.39 | (0.26 | ) | (0.15 | ) | (0.41 | ) | 10.12 | 3.88% | 385,955 | 0.86% | 0.00% | e | 0.85% | 1.62% | ||||||||||||||||||||||||||||||||||||||
12/31/13 | 10.56 | 0.15 | (0.35 | ) | (0.20 | ) | (0.20 | ) | (0.02 | ) | (0.22 | ) | 10.14 | (1.94% | ) | 463,236 | 0.85% | 0.00% | e | N/A | 1.41% | |||||||||||||||||||||||||||||||||||
12/31/12 | 9.99 | 0.21 | 0.71 | 0.92 | (0.33 | ) | (0.02 | ) | (0.35 | ) | 10.56 | 9.25% | 766,346 | 0.86% | 0.00% | e | N/A | 1.98% | ||||||||||||||||||||||||||||||||||||||
12/31/11 | 10.09 | 0.28 | (0.08 | ) | 0.20 | (0.30 | ) | - | (0.30 | ) | 9.99 | 2.03% | 703,315 | 0.85% | N/A | N/A | 2.71% | |||||||||||||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.08 | $ | 0.13 | $ | 0.32 | $ | 0.45 | $ | (0.15 | ) | $ | (0.03 | ) | $ | (0.18 | ) | $ | 10.35 | 4.49% | $ | 46,206 | 1.07% | N/A | 1.04% | 1.33% | ||||||||||||||||||||||||||||||
9/30/15i | 10.06 | 0.08 | (0.05 | ) | 0.03 | (0.00 | )d | (0.01 | ) | (0.01 | ) | 10.08 | 0.29% | b | 48,998 | 1.09% | a | N/A | 1.04% | a | 1.09% | a | ||||||||||||||||||||||||||||||||||
12/31/14 | 10.08 | 0.14 | 0.22 | 0.36 | (0.23 | ) | (0.15 | ) | (0.38 | ) | 10.06 | 3.66% | 49,462 | 1.11% | 0.00% | e | 1.10% | 1.37% | ||||||||||||||||||||||||||||||||||||||
12/31/13 | 10.52 | 0.12 | (0.35 | ) | (0.23 | ) | (0.19 | ) | (0.02 | ) | (0.21 | ) | 10.08 | (2.21% | ) | 48,925 | 1.10% | 0.00% | e | N/A | 1.17% | |||||||||||||||||||||||||||||||||||
12/31/12 | 9.97 | 0.18 | 0.71 | 0.89 | (0.32 | ) | (0.02 | ) | (0.34 | ) | 10.52 | 9.02% | 44,647 | 1.11% | 0.00% | e | N/A | 1.71% | ||||||||||||||||||||||||||||||||||||||
12/31/11 | 10.08 | 0.26 | (0.07 | ) | 0.19 | (0.30 | ) | - | (0.30 | ) | 9.97 | 1.77% | 24,105 | 1.10% | N/A | N/A | 2.50% |
237
Financial Highlights (For a share outstanding throughout each period)
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 returnl,m | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.22 | $ | 0.29 | $ | 0.46 | $ | 0.75 | $ | (0.30 | ) | $ | (0.30 | ) | $ | 10.67 | 7.62% | $ | 99,498 | 0.54% | 0.48% | 2.80% | ||||||||||||||||||||||||||
9/30/15i | 10.15 | 0.20 | (0.13 | ) | 0.07 | (0.00 | )d | (0.00 | )d | 10.22 | 0.72% | b | 68,561 | 0.59% | a | 0.48% | a | 2.61% | a | |||||||||||||||||||||||||||||
12/31/14h | 10.09 | 0.25 | 0.18 | 0.43 | (0.37 | ) | (0.37 | ) | 10.15 | 4.32% | b | 54,827 | 0.60% | a | 0.48% | a | 3.20% | a | ||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.22 | $ | 0.28 | $ | 0.46 | $ | 0.74 | $ | (0.29 | ) | $ | (0.29 | ) | $ | 10.67 | 7.51% | $ | 61,789 | 0.64% | 0.58% | 2.70% | ||||||||||||||||||||||||||
9/30/15i | 10.16 | 0.19 | (0.13 | ) | 0.06 | (0.00 | )d | (0.00 | )d | 10.22 | 0.62% | b | 50,846 | 0.69% | a | 0.58% | a | 2.51% | a | |||||||||||||||||||||||||||||
12/31/14 | 9.82 | 0.32 | 0.38 | 0.70 | (0.36 | ) | (0.36 | ) | 10.16 | 7.13% | 46,966 | 0.70% | 0.63% | 3.11% | ||||||||||||||||||||||||||||||||||
12/31/13 | 10.34 | 0.29 | (0.45 | ) | (0.16 | ) | (0.36 | ) | (0.36 | ) | 9.82 | (1.51% | ) | 82,091 | 0.69% | N/A | 2.87% | |||||||||||||||||||||||||||||||
12/31/12 | 9.91 | 0.31 | 0.47 | 0.78 | (0.35 | ) | (0.35 | ) | 10.34 | 7.86% | 82,408 | 0.68% | N/A | 3.02% | ||||||||||||||||||||||||||||||||||
12/31/11 | 9.60 | 0.31 | 0.33 | 0.64 | (0.33 | ) | (0.33 | ) | 9.91 | 6.61% | 75,607 | 0.66% | N/A | 3.14% | ||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.22 | $ | 0.27 | $ | 0.47 | $ | 0.74 | $ | (0.29 | ) | $ | (0.29 | ) | $ | 10.67 | 7.42% | $ | 47,296 | 0.74% | 0.68% | 2.61% | ||||||||||||||||||||||||||
9/30/15i | 10.17 | 0.19 | (0.14 | ) | 0.05 | (0.00 | )d | (0.00 | )d | 10.22 | 0.52% | b | 59,568 | 0.79% | a | 0.68% | a | 2.41% | a | |||||||||||||||||||||||||||||
12/31/14 | 9.83 | 0.31 | 0.38 | 0.69 | (0.35 | ) | (0.35 | ) | 10.17 | 7.08% | 51,447 | 0.79% | 0.70% | 3.02% | ||||||||||||||||||||||||||||||||||
12/31/13 | 10.35 | 0.29 | (0.45 | ) | (0.16 | ) | (0.36 | ) | (0.36 | ) | 9.83 | (1.55% | ) | 37,806 | 0.74% | N/A | 2.85% | |||||||||||||||||||||||||||||||
12/31/12 | 9.92 | 0.31 | 0.46 | 0.77 | (0.34 | ) | (0.34 | ) | 10.35 | 7.79% | 25,412 | 0.73% | N/A | 2.96% | ||||||||||||||||||||||||||||||||||
12/31/11 | 9.61 | 0.31 | 0.33 | 0.64 | (0.33 | ) | (0.33 | ) | 9.92 | 6.54% | 27,303 | 0.71% | N/A | 3.08% |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate | 207 | % | 191 | % | 308 | % | 352 | % | 417 | % | 669 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
The accompanying notes are an integral part of the financial statements.
238
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 returnl,m | 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 | |||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.18 | $ | 0.26 | $ | 0.47 | $ | 0.73 | $ | (0.27 | ) | $ | (0.27 | ) | $ | 10.64 | 7.39% | $ | 42,980 | 0.84% | 0.78% | 2.50% | ||||||||||||||||||||||||||
9/30/15i | 10.14 | 0.18 | (0.14 | ) | 0.04 | (0.00 | )d | (0.00 | )d | 10.18 | 0.42% | b | 36,812 | 0.89% | a | 0.78% | a | 2.31% | a | |||||||||||||||||||||||||||||
12/31/14 | 9.81 | 0.30 | 0.38 | 0.68 | (0.35 | ) | (0.35 | ) | 10.14 | 6.94% | 28,065 | 0.90% | 0.80% | 2.91% | ||||||||||||||||||||||||||||||||||
12/31/13 | 10.32 | 0.27 | (0.45 | ) | (0.18 | ) | (0.33 | ) | (0.33 | ) | 9.81 | (1.73% | ) | 14,613 | 0.89% | N/A | 2.59% | |||||||||||||||||||||||||||||||
12/31/12 | 9.90 | 0.29 | 0.46 | 0.75 | (0.33 | ) | (0.33 | ) | 10.32 | 7.57% | 31,753 | 0.88% | N/A | 2.81% | ||||||||||||||||||||||||||||||||||
12/31/11 | 9.58 | 0.29 | 0.33 | 0.62 | (0.30 | ) | (0.30 | ) | 9.90 | 6.43% | 26,987 | 0.86% | N/A | 2.90% | ||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.15 | $ | 0.23 | $ | 0.47 | $ | 0.70 | $ | (0.25 | ) | $ | (0.25 | ) | $ | 10.60 | 7.12% | $ | 45,782 | 1.09% | 1.03% | 2.25% | ||||||||||||||||||||||||||
9/30/15i | 10.13 | 0.16 | (0.14 | ) | 0.02 | (0.00 | )d | (0.00 | )d | 10.15 | 0.22% | b | 40,577 | 1.14% | a | 1.03% | a | 2.07% | a | |||||||||||||||||||||||||||||
12/31/14 | 9.80 | 0.27 | 0.38 | 0.65 | (0.32 | ) | (0.32 | ) | 10.13 | 6.66% | 32,540 | 1.15% | 1.06% | 2.65% | ||||||||||||||||||||||||||||||||||
12/31/13 | 10.31 | 0.24 | (0.43 | ) | (0.19 | ) | (0.32 | ) | (0.32 | ) | 9.80 | (1.89% | ) | 27,677 | 1.14% | N/A | 2.40% | |||||||||||||||||||||||||||||||
12/31/12 | 9.89 | 0.26 | 0.46 | 0.72 | (0.30 | ) | (0.30 | ) | 10.31 | 7.27% | 37,774 | 1.13% | N/A | 2.57% | ||||||||||||||||||||||||||||||||||
12/31/11 | 9.56 | 0.26 | 0.34 | 0.60 | (0.27 | ) | (0.27 | ) | 9.89 | 6.23% | 40,971 | 1.11% | N/A | 2.68% | ||||||||||||||||||||||||||||||||||
Class R4 |
| |||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.15 | $ | 0.24 | $ | 0.47 | $ | 0.71 | $ | (0.28 | ) | $ | (0.28 | ) | $ | 10.58 | 7.20% | $ | 26,419 | 0.99% | 0.93% | 2.36% | ||||||||||||||||||||||||||
9/30/15i | 10.12 | 0.18 | (0.15 | ) | 0.03 | (0.00 | )d | (0.00 | )d | 10.15 | 0.32% | b | 14,724 | 1.04% | a | 0.93% | a | 2.36% | a | |||||||||||||||||||||||||||||
12/31/14h | 10.06 | 0.21 | 0.19 | 0.40 | (0.34 | ) | (0.34 | ) | 10.12 | 3.99% | b | 104 | 1.05% | a | 0.93% | a | 2.75% | a | ||||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.06 | $ | 0.22 | $ | 0.46 | $ | 0.68 | $ | (0.24 | ) | $ | (0.24 | ) | $ | 10.50 | 6.95% | $ | 5,810 | 1.24% | 1.18% | 2.12% | ||||||||||||||||||||||||||
9/30/15i | 10.05 | 0.15 | (0.14 | ) | 0.01 | (0.00 | )d | (0.00 | )d | 10.06 | 0.13% | b | 2,904 | 1.29% | a | 1.18% | a | 1.94% | a | |||||||||||||||||||||||||||||
12/31/14 | 9.75 | 0.25 | 0.38 | 0.63 | (0.33 | ) | (0.33 | ) | 10.05 | 6.44% | 1,978 | 1.33% | 1.24% | 2.49% | ||||||||||||||||||||||||||||||||||
12/31/13 | 10.26 | 0.21 | (0.44 | ) | (0.23 | ) | (0.28 | ) | (0.28 | ) | 9.75 | (2.22% | ) | 974 | 1.44% | N/A | 2.11% | |||||||||||||||||||||||||||||||
12/31/12 | 9.85 | 0.23 | 0.46 | 0.69 | (0.28 | ) | (0.28 | ) | 10.26 | 7.00% | 1,130 | 1.43% | N/A | 2.26% | ||||||||||||||||||||||||||||||||||
12/31/11 | 9.55 | 0.23 | 0.33 | 0.56 | (0.26 | ) | (0.26 | ) | 9.85 | 5.80% | 988 | 1.41% | N/A | 2.37% |
239
MassMutual Select Diversified Value Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.64 | $ | 0.27 | $ | 1.20 | $ | 1.47 | $ | (0.21 | ) | $ | (0.21 | ) | $ | 14.90 | 10.89% | $ | 251,684 | 0.57% | 1.90% | |||||||||||||||||||||||
9/30/15i | 14.86 | 0.18 | (1.35 | ) | (1.17 | ) | (0.05 | ) | (0.05 | ) | 13.64 | (7.91% | )b | 75,827 | 0.58% | a | 1.66% | a | ||||||||||||||||||||||||||
12/31/14h | 13.89 | 0.17 | 1.10 | 1.27 | (0.30 | ) | (0.30 | ) | 14.86 | 9.20% | b | 97,877 | 0.55% | a | 1.56% | a | ||||||||||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.64 | $ | 0.28 | $ | 1.18 | $ | 1.46 | $ | (0.20 | ) | $ | (0.20 | ) | $ | 14.90 | 10.78% | $ | 46,830 | 0.67% | 2.00% | |||||||||||||||||||||||
9/30/15i | 14.87 | 0.17 | (1.35 | ) | (1.18 | ) | (0.05 | ) | (0.05 | ) | 13.64 | (7.98% | )b | 207,187 | 0.68% | a | 1.58% | a | ||||||||||||||||||||||||||
12/31/14 | 13.56 | 0.29 | 1.30 | 1.59 | (0.28 | ) | (0.28 | ) | 14.87 | 11.82% | 235,941 | 0.63% | 2.07% | |||||||||||||||||||||||||||||||
12/31/13 | 10.21 | 0.19 | 3.32 | 3.51 | (0.16 | ) | (0.16 | ) | 13.56 | 34.40% | 329,972 | 0.59% | 1.55% | |||||||||||||||||||||||||||||||
12/31/12 | 8.87 | 0.19 | 1.39 | 1.58 | (0.24 | ) | (0.24 | ) | 10.21 | 17.79% | 245,589 | 0.59% | 1.98% | |||||||||||||||||||||||||||||||
12/31/11 | 8.92 | 0.16 | (0.05 | ) | 0.11 | (0.16 | ) | (0.16 | ) | 8.87 | 1.37% | 212,076 | 0.59% | 1.79% | ||||||||||||||||||||||||||||||
Service Class | ||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.63 | $ | 0.25 | $ | 1.21 | $ | 1.46 | $ | (0.19 | ) | $ | (0.19 | ) | $ | 14.90 | 10.75% | $ | 8,656 | 0.77% | 1.78% | |||||||||||||||||||||||
9/30/15i | 14.88 | 0.16 | (1.36 | ) | (1.20 | ) | (0.05 | ) | (0.05 | ) | 13.63 | (8.11% | )b | 14,983 | 0.78% | a | 1.49% | a | ||||||||||||||||||||||||||
12/31/14 | 13.57 | 0.25 | 1.33 | 1.58 | (0.27 | ) | (0.27 | ) | 14.88 | 11.72% | 16,147 | 0.73% | 1.76% | |||||||||||||||||||||||||||||||
12/31/13 | 10.22 | 0.17 | 3.32 | 3.49 | (0.14 | ) | (0.14 | ) | 13.57 | 34.24% | 21,780 | 0.69% | 1.44% | |||||||||||||||||||||||||||||||
12/31/12 | 8.87 | 0.18 | 1.39 | 1.57 | (0.22 | ) | (0.22 | ) | 10.22 | 17.74% | 18,431 | 0.69% | 1.84% | |||||||||||||||||||||||||||||||
12/31/11 | 8.92 | 0.15 | (0.05 | ) | 0.10 | (0.15 | ) | (0.15 | ) | 8.87 | 1.25% | 23,925 | 0.69% | 1.69% |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate | 39 | % | 29 | % | 49 | % | 44 | % | 38 | % | 36 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
The accompanying notes are an integral part of the financial statements.
240
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||
Administrative Class | ||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.68 | $ | 0.24 | $ | 1.20 | $ | 1.44 | $ | (0.16 | ) | $ | (0.16 | ) | $ | 14.96 | 10.57% | $ | 6,903 | 0.87% | 1.66% | |||||||||||||||||||||||
9/30/15i | 14.93 | 0.15 | (1.35 | ) | (1.20 | ) | (0.05 | ) | (0.05 | ) | 13.68 | (8.08% | )b | 6,206 | 0.88% | a | 1.38% | a | ||||||||||||||||||||||||||
12/31/14 | 13.63 | 0.24 | 1.32 | 1.56 | (0.26 | ) | (0.26 | ) | 14.93 | 11.52% | 9,579 | 0.84% | 1.69% | |||||||||||||||||||||||||||||||
12/31/13 | 10.25 | 0.16 | 3.33 | 3.49 | (0.11 | ) | (0.11 | ) | 13.63 | 34.13% | 7,905 | 0.80% | 1.33% | |||||||||||||||||||||||||||||||
12/31/12 | 8.90 | 0.17 | 1.39 | 1.56 | (0.21 | ) | (0.21 | ) | 10.25 | 17.53% | 7,642 | 0.80% | 1.74% | |||||||||||||||||||||||||||||||
12/31/11 | 8.92 | 0.14 | (0.04 | ) | 0.10 | (0.12 | ) | (0.12 | ) | 8.90 | 1.17% | 9,809 | 0.80% | 1.52% | ||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.58 | $ | 0.20 | $ | 1.20 | $ | 1.40 | $ | (0.13 | ) | $ | (0.13 | ) | $ | 14.85 | 10.33% | $ | 19,968 | 1.12% | 1.43% | |||||||||||||||||||||||
9/30/15i | 14.86 | 0.13 | (1.36 | ) | (1.23 | ) | (0.05 | ) | (0.05 | ) | 13.58 | (8.32% | )b | 20,926 | 1.13% | a | 1.14% | a | ||||||||||||||||||||||||||
12/31/14 | 13.55 | 0.21 | 1.31 | 1.52 | (0.21 | ) | (0.21 | ) | 14.86 | 11.27% | 23,963 | 1.10% | 1.47% | |||||||||||||||||||||||||||||||
12/31/13 | 10.20 | 0.13 | 3.31 | 3.44 | (0.09 | ) | (0.09 | ) | 13.55 | 33.78% | 24,625 | 1.09% | 1.05% | |||||||||||||||||||||||||||||||
12/31/12 | 8.86 | 0.14 | 1.39 | 1.53 | (0.19 | ) | (0.19 | ) | 10.20 | 17.23% | 24,405 | 1.09% | 1.48% | |||||||||||||||||||||||||||||||
12/31/11 | 8.90 | 0.11 | (0.04 | ) | 0.07 | (0.11 | ) | (0.11 | ) | 8.86 | 0.83% | 24,863 | 1.09% | 1.26% | ||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.57 | $ | 0.22 | $ | 1.18 | $ | 1.40 | $ | (0.16 | ) | $ | (0.16 | ) | $ | 14.81 | 10.38% | $ | 711 | 1.02% | 1.57% | |||||||||||||||||||||||
9/30/15i | 14.83 | 0.14 | (1.35 | ) | (1.21 | ) | (0.05 | ) | (0.05 | ) | 13.57 | (8.20% | )b | 279 | 1.03% | a | 1.26% | a | ||||||||||||||||||||||||||
12/31/14h | 13.86 | 0.12 | 1.10 | 1.22 | (0.25 | ) | (0.25 | ) | 14.83 | 8.85% | b | 109 | 1.00% | a | 1.13% | a | ||||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.62 | $ | 0.19 | $ | 1.19 | $ | 1.38 | $ | (0.17 | ) | $ | (0.17 | ) | $ | 14.83 | 10.17% | $ | 1,635 | 1.27% | 1.36% | |||||||||||||||||||||||
9/30/15i | 14.91 | 0.12 | (1.36 | ) | (1.24 | ) | (0.05 | ) | (0.05 | ) | 13.62 | (8.36% | )b | 247 | 1.28% | a | 1.06% | a | ||||||||||||||||||||||||||
12/31/14 | 13.61 | 0.18 | 1.31 | 1.49 | (0.19 | ) | (0.19 | ) | 14.91 | 11.02% | 194 | 1.28% | 1.26% | |||||||||||||||||||||||||||||||
12/31/13 | 10.25 | 0.09 | 3.33 | 3.42 | (0.06 | ) | (0.06 | ) | 13.61 | 33.35% | 166 | 1.40% | 0.73% | |||||||||||||||||||||||||||||||
12/31/12 | 8.90 | 0.11 | 1.39 | 1.50 | (0.15 | ) | (0.15 | ) | 10.25 | 16.88% | 131 | 1.40% | 1.12% | |||||||||||||||||||||||||||||||
12/31/11 | 8.94 | 0.09 | (0.04 | ) | 0.05 | (0.09 | ) | (0.09 | ) | 8.90 | 0.63% | 259 | 1.40% | 0.98% |
241
MassMutual Select Fundamental Value Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
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 returnl,m | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.46 | $ | 0.25 | $ | 1.27 | $ | 1.52 | $ | (0.23 | ) | $ | (1.36 | ) | $ | (1.59 | ) | $ | 12.39 | 13.21% | $ | 500,270 | 0.63% | N/A | 2.04% | |||||||||||||||||||||||||||
9/30/15i | 13.97 | 0.17 | (1.28 | ) | (1.11 | ) | - | (0.40 | ) | (0.40 | ) | 12.46 | (8.06% | )b | 422,026 | 0.63% | a | N/A | 1.65% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 13.60 | 0.23 | 1.28 | 1.51 | (0.24 | ) | (0.90 | ) | (1.14 | ) | 13.97 | 11.45% | 408,068 | 0.65% | 0.62% | 1.65% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 11.36 | 0.24 | 3.32 | 3.56 | (0.26 | ) | (1.06 | ) | (1.32 | ) | 13.60 | 31.85% | 267,342 | 0.74% | 0.59% | 1.82% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 10.04 | 0.24 | 1.44 | 1.68 | (0.36 | ) | - | (0.36 | ) | 11.36 | 16.75% | 204,268 | 0.74% | 0.59% | 2.21% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 10.48 | 0.20 | (0.43 | ) | (0.23 | ) | (0.21 | ) | - | (0.21 | ) | 10.04 | (2.06% | ) | 184,034 | 0.75% | 0.60% | 2.00% | ||||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.49 | $ | 0.23 | $ | 1.29 | $ | 1.52 | $ | (0.22 | ) | $ | (1.36 | ) | $ | (1.58 | ) | $ | 12.43 | 13.12% | $ | 372,531 | 0.73% | N/A | 1.95% | |||||||||||||||||||||||||||
9/30/15i | 14.01 | 0.16 | (1.28 | ) | (1.12 | ) | - | (0.40 | ) | (0.40 | ) | 12.49 | (8.10% | )b | 423,631 | 0.73% | a | N/A | 1.53% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 13.64 | 0.22 | 1.27 | 1.49 | (0.22 | ) | (0.90 | ) | (1.12 | ) | 14.01 | 11.27% | 564,826 | 0.78% | 0.74% | 1.53% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 11.39 | 0.22 | 3.32 | 3.54 | (0.23 | ) | (1.06 | ) | (1.29 | ) | 13.64 | 31.57% | 541,839 | 0.94% | 0.79% | 1.63% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 10.07 | 0.22 | 1.44 | 1.66 | (0.34 | ) | - | (0.34 | ) | 11.39 | 16.49% | 486,471 | 0.94% | 0.79% | 2.00% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 10.49 | 0.17 | (0.42 | ) | (0.25 | ) | (0.17 | ) | - | (0.17 | ) | 10.07 | (2.29% | ) | 407,353 | 0.94% | 0.80% | 1.62% | ||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.44 | $ | 0.22 | $ | 1.29 | $ | 1.51 | $ | (0.21 | ) | $ | (1.36 | ) | $ | (1.57 | ) | $ | 12.38 | 13.06% | $ | 124,126 | 0.83% | N/A | 1.86% | |||||||||||||||||||||||||||
9/30/15i | 13.97 | 0.15 | (1.28 | ) | (1.13 | ) | - | (0.40 | ) | (0.40 | ) | 12.44 | (8.20% | )b | 158,634 | 0.83% | a | N/A | 1.44% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 13.60 | 0.20 | 1.28 | 1.48 | (0.21 | ) | (0.90 | ) | (1.11 | ) | 13.97 | 11.22% | 208,770 | 0.86% | 0.83% | 1.44% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 11.36 | 0.21 | 3.32 | 3.53 | (0.23 | ) | (1.06 | ) | (1.29 | ) | 13.60 | 31.52% | 207,094 | 0.98% | 0.83% | 1.58% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 10.05 | 0.22 | 1.42 | 1.64 | (0.33 | ) | - | (0.33 | ) | 11.36 | 16.35% | 158,864 | 0.98% | 0.83% | 1.96% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 10.46 | 0.17 | (0.41 | ) | (0.24 | ) | (0.17 | ) | - | (0.17 | ) | 10.05 | (2.20% | ) | 154,312 | 0.98% | 0.84% | 1.60% |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate | 16 | % | 15 | % | 19 | % | 18 | % | 22 | % | 14 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
The accompanying notes are an integral part of the financial statements.
242
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.49 | $ | 0.21 | $ | 1.29 | $ | 1.50 | $ | (0.19 | ) | $ | (1.36 | ) | $ | (1.55 | ) | $ | 12.44 | 12.93% | $ | 94,316 | 0.93% | N/A | 1.75% | |||||||||||||||||||||||||||
9/30/15i | 14.04 | 0.14 | (1.29 | ) | (1.15 | ) | - | (0.40 | ) | (0.40 | ) | 12.49 | (8.30% | )b | 102,932 | 0.93% | a | N/A | 1.34% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 13.65 | 0.19 | 1.29 | 1.48 | (0.19 | ) | (0.90 | ) | (1.09 | ) | 14.04 | 11.14% | 123,885 | 0.97% | 0.94% | 1.33% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 11.40 | 0.19 | 3.33 | 3.52 | (0.21 | ) | (1.06 | ) | (1.27 | ) | 13.65 | 31.35% | 141,207 | 1.13% | 0.98% | 1.42% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 10.09 | 0.20 | 1.43 | 1.63 | (0.32 | ) | - | (0.32 | ) | 11.40 | 16.16% | 115,576 | 1.13% | 0.98% | 1.81% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 10.45 | 0.15 | (0.41 | ) | (0.26 | ) | (0.10 | ) | - | (0.10 | ) | 10.09 | (2.39% | ) | 100,173 | 1.13% | 0.98% | 1.41% | ||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.35 | $ | 0.18 | $ | 1.26 | $ | 1.44 | $ | (0.15 | ) | $ | (1.36 | ) | $ | (1.51 | ) | $ | 12.28 | 12.58% | $ | 161,322 | 1.18% | N/A | 1.50% | |||||||||||||||||||||||||||
9/30/15i | 13.90 | 0.11 | (1.26 | ) | (1.15 | ) | - | (0.40 | ) | (0.40 | ) | 12.35 | (8.39% | )b | 170,054 | 1.18% | a | N/A | 1.08% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 13.53 | 0.15 | 1.27 | 1.42 | (0.15 | ) | (0.90 | ) | (1.05 | ) | 13.90 | 10.78% | 215,519 | 1.23% | 1.19% | 1.08% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 11.28 | 0.15 | 3.31 | 3.46 | (0.15 | ) | (1.06 | ) | (1.21 | ) | 13.53 | 31.10% | 272,524 | 1.38% | 1.23% | 1.18% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 9.99 | 0.17 | 1.41 | 1.58 | (0.29 | ) | - | (0.29 | ) | 11.28 | 15.85% | 332,630 | 1.38% | 1.23% | 1.56% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 10.36 | 0.12 | (0.40 | ) | (0.28 | ) | (0.09 | ) | - | (0.09 | ) | 9.99 | (2.65% | ) | 284,989 | 1.38% | 1.24% | 1.19% | ||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.32 | $ | 0.20 | $ | 1.26 | $ | 1.46 | $ | (0.21 | ) | $ | (1.36 | ) | $ | (1.57 | ) | $ | 12.21 | 12.78% | $ | 6,905 | 1.08% | N/A | 1.66% | |||||||||||||||||||||||||||
9/30/15i | 13.86 | 0.12 | (1.26 | ) | (1.14 | ) | - | (0.40 | ) | (0.40 | ) | 12.32 | (8.34% | )b | 1,846 | 1.08% | a | N/A | 1.25% | a | ||||||||||||||||||||||||||||||||
12/31/14h | 13.74 | 0.12 | 1.10 | 1.22 | (0.20 | ) | (0.90 | ) | (1.10 | ) | 13.86 | 9.16% | b | 109 | 1.07% | a | N/A | 1.11% | a | |||||||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.25 | $ | 0.16 | $ | 1.25 | $ | 1.41 | $ | (0.16 | ) | $ | (1.36 | ) | $ | (1.52 | ) | $ | 12.14 | 12.41% | $ | 1,512 | 1.33% | N/A | 1.34% | |||||||||||||||||||||||||||
9/30/15i | 13.81 | 0.10 | (1.26 | ) | (1.16 | ) | - | (0.40 | ) | (0.40 | ) | 12.25 | (8.51% | )b | 896 | 1.33% | a | N/A | 0.95% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 13.45 | 0.12 | 1.27 | 1.39 | (0.13 | ) | (0.90 | ) | (1.03 | ) | 13.81 | 10.63% | 977 | 1.41% | 1.37% | 0.88% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 11.25 | 0.11 | 3.29 | 3.40 | (0.14 | ) | (1.06 | ) | (1.20 | ) | 13.45 | 30.66% | 1,245 | 1.68% | 1.53% | 0.88% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 9.90 | 0.14 | 1.40 | 1.54 | (0.19 | ) | - | (0.19 | ) | 11.25 | 15.55% | 878 | 1.68% | 1.53% | 1.29% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 10.25 | 0.09 | (0.40 | ) | (0.31 | ) | (0.04 | ) | - | (0.04 | ) | 9.90 | (2.95% | ) | 1,951 | 1.68% | 1.54% | 0.89% |
243
MassMutual Select Large Cap Value Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
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 returnl,m | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/3016 | $ | 7.57 | $ | 0.16 | $ | 0.61 | $ | 0.77 | $ | (0.22 | ) | $ | (0.90 | ) | $ | (1.12 | ) | $ | 7.22 | 11.10% | * | $ | 48,768 | 0.70% | 0.63% | 2.31% | ||||||||||||||||||||||||||
9/30/15i | 8.29 | 0.12 | (0.78 | ) | (0.66 | ) | - | (0.06 | ) | (0.06 | ) | 7.57 | (7.94% | )b | 59,771 | 0.67% | a | 0.63% | a | 1.96% | a | |||||||||||||||||||||||||||||||
12/31/14h | 9.64 | 0.15 | 0.08 | 0.23 | (0.29 | ) | (1.29 | ) | (1.58 | ) | 8.29 | 3.05% | b | 148,996 | 0.64% | a | 0.63% | a | 2.09% | a | ||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/3016 | $ | 7.58 | $ | 0.16 | $ | 0.60 | $ | 0.76 | $ | (0.21 | ) | $ | (0.90 | ) | $ | (1.11 | ) | $ | 7.23 | 10.91% | $ | 89,202 | 0.80% | 0.73% | 2.19% | |||||||||||||||||||||||||||
9/30/15i | 8.30 | 0.12 | (0.78 | ) | (0.66 | ) | - | (0.06 | ) | (0.06 | ) | 7.58 | (7.92% | )b | 123,464 | 0.77% | a | 0.73% | a | 1.91% | a | |||||||||||||||||||||||||||||||
12/31/14 | 9.48 | 0.28 | 0.11 | 0.39 | (0.28 | ) | (1.29 | ) | (1.57 | ) | 8.30 | 4.73% | 172,533 | 0.75% | 0.74% | 2.92% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 7.82 | 0.21 | 2.21 | 2.42 | (0.25 | ) | (0.51 | ) | (0.76 | ) | 9.48 | 31.24% | 337,852 | 0.77% | 0.75% | 2.33% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 10.08 | 0.18 | 0.96 | 1.14 | (0.17 | ) | (3.23 | ) | (3.40 | ) | 7.82 | 11.22% | 336,198 | 0.77% | 0.77% | k | 1.67% | |||||||||||||||||||||||||||||||||||
12/31/11 | 10.60 | 0.10 | (0.54 | ) | (0.44 | ) | (0.08 | ) | - | (0.08 | ) | 10.08 | (4.15% | ) | 309,422 | 0.77% | N/A | 1.00% | ||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/3016 | $ | 7.59 | $ | 0.15 | $ | 0.61 | $ | 0.76 | $ | (0.21 | ) | $ | (0.90 | ) | $ | (1.11 | ) | $ | 7.24 | 10.78% | $ | 4,159 | 0.90% | 0.83% | 2.11% | |||||||||||||||||||||||||||
9/30/15i | 8.32 | 0.11 | (0.78 | ) | (0.67 | ) | - | (0.06 | ) | (0.06 | ) | 7.59 | (8.03% | )b | 9,543 | 0.87% | a | 0.83% | a | 1.76% | a | |||||||||||||||||||||||||||||||
12/31/14 | 9.49 | 0.27 | 0.11 | 0.38 | (0.26 | ) | (1.29 | ) | (1.55 | ) | 8.32 | 4.59% | 13,470 | 0.85% | 0.83% | 2.81% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 7.83 | 0.20 | 2.21 | 2.41 | (0.24 | ) | (0.51 | ) | (0.75 | ) | 9.49 | 31.11% | 34,719 | 0.86% | 0.84% | 2.23% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 10.07 | 0.15 | 0.99 | 1.14 | (0.15 | ) | (3.23 | ) | (3.38 | ) | 7.83 | 11.22% | 26,190 | 0.86% | 0.86% | k | 1.38% | |||||||||||||||||||||||||||||||||||
12/31/11 | 10.60 | 0.10 | (0.56 | ) | (0.46 | ) | (0.07 | ) | - | (0.07 | ) | 10.07 | (4.34% | ) | 65,751 | 0.86% | N/A | 0.91% |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate | 8 | % | 6 | % | 50 | % | 34 | % | 107 | % | 10 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
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. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
* | Generally accepted accounting principles may require adjustment to be made to the net assets of the Fund at period end for financial reporting purposes, and as such, the net asset values for shareholder transactions and the returns based on those net asset values may differ from the returns reported in the portfolio manager commentary section of this report. |
The accompanying notes are an integral part of the financial statements.
244
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/3016 | $ | 7.55 | $ | 0.14 | $ | 0.60 | $ | 0.74 | $ | (0.19 | ) | $ | (0.90 | ) | $ | (1.09 | ) | $ | 7.20 | 10.61% | $ | 11,292 | 1.00% | 0.93% | 1.99% | |||||||||||||||||||||||||||
9/30/15i | 8.27 | 0.10 | (0.76 | ) | (0.66 | ) | - | (0.06 | ) | (0.06 | ) | 7.55 | (7.95% | )b | 15,634 | 0.97% | a | 0.93% | a | 1.70% | a | |||||||||||||||||||||||||||||||
12/31/14 | 9.46 | 0.24 | 0.12 | 0.36 | (0.26 | ) | (1.29 | ) | (1.55 | ) | 8.27 | 4.42% | 25,165 | 0.96% | 0.94% | 2.48% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 7.80 | 0.19 | 2.20 | 2.39 | (0.22 | ) | (0.51 | ) | (0.73 | ) | 9.46 | 30.99% | 29,046 | 1.01% | 0.99% | 2.08% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 10.06 | 0.14 | 0.97 | 1.11 | (0.14 | ) | (3.23 | ) | (3.37 | ) | 7.80 | 10.93% | 41,924 | 1.01% | 1.01% | k | 1.34% | |||||||||||||||||||||||||||||||||||
12/31/11 | 10.57 | 0.08 | (0.54 | ) | (0.46 | ) | (0.05 | ) | - | (0.05 | ) | 10.06 | (4.37% | ) | 48,977 | 1.01% | N/A | 0.77% | ||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/3016 | $ | 7.52 | $ | 0.12 | $ | 0.61 | $ | 0.73 | $ | (0.17 | ) | $ | (0.90 | ) | $ | (1.07 | ) | $ | 7.18 | 10.45% | $ | 26,732 | 1.25% | 1.18% | 1.74% | |||||||||||||||||||||||||||
9/30/15i | 8.26 | 0.09 | (0.77 | ) | (0.68 | ) | - | (0.06 | ) | (0.06 | ) | 7.52 | (8.21% | )b | 33,802 | 1.22% | a | 1.18% | a | 1.44% | a | |||||||||||||||||||||||||||||||
12/31/14 | 9.44 | 0.21 | 0.13 | 0.34 | (0.23 | ) | (1.29 | ) | (1.52 | ) | 8.26 | 4.22% | 50,363 | 1.21% | 1.19% | 2.24% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 7.79 | 0.17 | 2.18 | 2.35 | (0.19 | ) | (0.51 | ) | (0.70 | ) | 9.44 | 30.53% | 65,907 | 1.26% | 1.24% | 1.84% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 10.03 | 0.11 | 0.98 | 1.09 | (0.10 | ) | (3.23 | ) | (3.33 | ) | 7.79 | 10.77% | 69,701 | 1.26% | 1.26% | k | 1.05% | |||||||||||||||||||||||||||||||||||
12/31/11 | 10.54 | 0.05 | (0.55 | ) | (0.50 | ) | (0.01 | ) | - | (0.01 | ) | 10.03 | (4.70% | ) | 104,872 | 1.26% | N/A | 0.51% | ||||||||||||||||||||||||||||||||||
Class R4 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/3016 | $ | 7.50 | $ | 0.13 | $ | 0.61 | $ | 0.74 | $ | (0.19 | ) | $ | (0.90 | ) | $ | (1.09 | ) | $ | 7.15 | 10.64% | * | $ | 89 | 1.15% | 1.08% | 1.85% | ||||||||||||||||||||||||||
9/30/15i | 8.24 | 0.10 | (0.78 | ) | (0.68 | ) | - | (0.06 | ) | (0.06 | ) | 7.50 | (8.23% | )b | 94 | 1.12% | a | 1.08% | a | 1.57% | a | |||||||||||||||||||||||||||||||
12/31/14h | 9.59 | 0.12 | 0.08 | 0.20 | (0.26 | ) | (1.29 | ) | (1.55 | ) | 8.24 | 2.71% | b | 103 | 1.09% | a | 1.08% | a | 1.68% | a | ||||||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/3016 | $ | 7.38 | $ | 0.11 | $ | 0.59 | $ | 0.70 | $ | (0.16 | ) | $ | (0.90 | ) | $ | (1.06 | ) | $ | 7.02 | 10.26% | $ | 51 | 1.40% | 1.33% | 1.56% | |||||||||||||||||||||||||||
9/30/15i | 8.12 | 0.08 | (0.76 | ) | (0.68 | ) | - | (0.06 | ) | (0.06 | ) | 7.38 | (8.35% | )b | 79 | 1.37% | a | 1.33% | a | 1.31% | a | |||||||||||||||||||||||||||||||
12/31/14 | 9.30 | 0.19 | 0.14 | 0.33 | (0.22 | ) | (1.29 | ) | (1.51 | ) | 8.12 | 4.10% | 94 | 1.40% | 1.38% | 2.06% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 7.68 | 0.14 | 2.16 | 2.30 | (0.17 | ) | (0.51 | ) | (0.68 | ) | 9.30 | 30.27% | 114 | 1.56% | 1.54% | 1.54% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 9.93 | 0.07 | 0.97 | 1.04 | (0.06 | ) | (3.23 | ) | (3.29 | ) | 7.68 | 10.32% | 117 | 1.56% | 1.56% | k | 0.70% | |||||||||||||||||||||||||||||||||||
12/31/11 | 10.44 | 0.02 | (0.53 | ) | (0.51 | ) | - | - | - | 9.93 | (4.89% | ) | 434 | 1.55% | N/A | 0.22% |
245
MM S&P 500 Index Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
| 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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 17.50 | $ | 0.38 | $ | 2.24 | $ | 2.62 | $ | (0.36 | ) | $ | (0.36 | ) | $ | (0.72 | ) | $ | 19.40 | 15.30% | $ | 1,078,531 | 0.12% | N/A | 2.05% | |||||||||||||||||||||||||||
9/30/15i | 18.54 | 0.27 | (1.26 | ) | (0.99 | ) | - | (0.05 | ) | (0.05 | ) | 17.50 | (5.35% | )b | 860,720 | 0.12% | a | N/A | 1.93% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 16.99 | 0.34 | 1.94 | 2.28 | (0.34 | ) | (0.39 | ) | (0.73 | ) | 18.54 | 13.55% | 619,847 | 0.13% | 0.11% | 1.90% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 13.20 | 0.32 | 3.93 | 4.25 | (0.35 | ) | (0.11 | ) | (0.46 | ) | 16.99 | 32.34% | 436,004 | 0.18% | 0.08% | 2.01% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 11.66 | 0.29 | 1.57 | 1.86 | (0.32 | ) | - | (0.32 | ) | 13.20 | 15.96% | 103,732 | 0.18% | 0.08% | 2.23% | |||||||||||||||||||||||||||||||||||||
12/31/11g | 11.85 | 0.01 | (0.02 | ) | (0.01 | ) | (0.18 | ) | - | (0.18 | ) | 11.66 | 0.00% | b,e | 57,185 | 0.17% | a | 0.06% | a | 1.80% | a | |||||||||||||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 17.52 | $ | 0.37 | $ | 2.24 | $ | 2.61 | $ | (0.34 | ) | $ | (0.36 | ) | $ | (0.70 | ) | $ | 19.43 | 15.20% | $ | 828,915 | 0.22% | N/A | 1.95% | |||||||||||||||||||||||||||
9/30/15i | 18.58 | 0.25 | (1.26 | ) | (1.01 | ) | - | (0.05 | ) | (0.05 | ) | 17.52 | (5.44% | )b | 872,011 | 0.22% | a | N/A | 1.82% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 17.02 | 0.32 | 1.95 | 2.27 | (0.32 | ) | (0.39 | ) | (0.71 | ) | 18.58 | 13.46% | 1,003,654 | 0.23% | 0.22% | 1.79% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 13.23 | 0.29 | 3.94 | 4.23 | (0.33 | ) | (0.11 | ) | (0.44 | ) | 17.02 | 32.11% | 1,003,965 | 0.25% | 0.20% | 1.88% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 11.69 | 0.27 | 1.57 | 1.84 | (0.30 | ) | - | (0.30 | ) | 13.23 | 15.77% | 833,287 | 0.26% | 0.21% | 2.07% | |||||||||||||||||||||||||||||||||||||
12/31/11p | 11.70 | 0.22 | (0.01 | ) | 0.21 | (0.22 | ) | - | (0.22 | ) | 11.69 | 1.84% | 737,960 | 0.21% | 0.21% | k | 1.85% | |||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 17.52 | $ | 0.34 | $ | 2.24 | $ | 2.58 | $ | (0.31 | ) | $ | (0.36 | ) | $ | (0.67 | ) | $ | 19.43 | 15.03% | $ | 499,673 | 0.37% | N/A | 1.80% | |||||||||||||||||||||||||||
9/30/15i | 18.60 | 0.23 | (1.26 | ) | (1.03 | ) | - | (0.05 | ) | (0.05 | ) | 17.52 | (5.54% | )b | 636,417 | 0.37% | a | N/A | 1.66% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 17.05 | 0.29 | 1.94 | 2.23 | (0.29 | ) | (0.39 | ) | (0.68 | ) | 18.60 | 13.21% | 736,040 | 0.39% | 0.38% | 1.63% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 13.25 | 0.25 | 3.95 | 4.20 | (0.29 | ) | (0.11 | ) | (0.40 | ) | 17.05 | 31.86% | 609,354 | 0.47% | 0.42% | 1.66% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 11.71 | 0.24 | 1.58 | 1.82 | (0.28 | ) | - | (0.28 | ) | 13.25 | 15.51% | 516,727 | 0.47% | 0.42% | 1.86% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 11.71 | 0.19 | (0.00 | )d | 0.19 | (0.19 | ) | - | (0.19 | ) | 11.71 | 1.69% | 437,378 | 0.42% | 0.42% | k | 1.62% |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate | 4 | % | 2 | % | 5 | % | 10 | % | 3 | % | 2 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
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%. |
g | For the period December 7, 2011 (commencement of operations) through December 31, 2011. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
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. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
p | Class Z shares were renamed Class I shares on September 30, 2011. Class I shares were renamed Class R5 shares on April 1, 2014. |
The accompanying notes are an integral part of the financial statements.
246
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 17.30 | $ | 0.32 | $ | 2.22 | $ | 2.54 | $ | (0.29 | ) | $ | (0.36 | ) | $ | (0.65 | ) | $ | 19.19 | 14.96% | $ | 506,085 | 0.47% | N/A | 1.70% | |||||||||||||||||||||||||||
9/30/15i | 18.39 | 0.22 | (1.26 | ) | (1.04 | ) | - | (0.05 | ) | (0.05 | ) | 17.30 | (5.66% | )b | 493,479 | 0.47% | a | N/A | 1.57% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 16.86 | 0.27 | 1.93 | 2.20 | (0.28 | ) | (0.39 | ) | (0.67 | ) | 18.39 | 13.18% | 557,940 | 0.48% | 0.47% | 1.54% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 13.11 | 0.25 | 3.90 | 4.15 | (0.29 | ) | (0.11 | ) | (0.40 | ) | 16.86 | 31.81% | 335,898 | 0.50% | 0.45% | 1.63% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 11.58 | 0.23 | 1.57 | 1.80 | (0.27 | ) | - | (0.27 | ) | 13.11 | 15.56% | 269,106 | 0.50% | 0.45% | 1.82% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 11.59 | 0.19 | (0.02 | ) | 0.17 | (0.18 | ) | - | (0.18 | ) | 11.58 | 1.55% | 251,190 | 0.45% | 0.45% | k | 1.58% | |||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 17.12 | $ | 0.27 | $ | 2.19 | $ | 2.46 | $ | (0.30 | ) | $ | (0.36 | ) | $ | (0.66 | ) | $ | 18.92 | 14.63% | $ | 21,320 | 0.72% | N/A | 1.46% | |||||||||||||||||||||||||||
9/30/15i | 18.23 | 0.18 | (1.24 | ) | (1.06 | ) | - | (0.05 | ) | (0.05 | ) | 17.12 | (5.82% | )b | 11,784 | 0.72% | a | N/A | 1.33% | a | ||||||||||||||||||||||||||||||||
12/31/14h | 17.01 | 0.19 | 1.68 | 1.87 | (0.26 | ) | (0.39 | ) | (0.65 | ) | 18.23 | 11.10% | b | 3,314 | 0.72% | a | N/A | 1.43% | a | |||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 17.16 | $ | 0.29 | $ | 2.19 | $ | 2.48 | $ | (0.27 | ) | $ | (0.36 | ) | $ | (0.63 | ) | $ | 19.01 | $ | 14.72% | $ | 632,838 | 0.62% | N/A | 1.55% | ||||||||||||||||||||||||||
9/30/15i | 18.25 | 0.19 | (1.23 | ) | (1.04 | ) | - | (0.05 | ) | (0.05 | ) | 17.16 | (5.70% | )b | 534,856 | 0.62% | a | N/A | 1.41% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 16.74 | 0.24 | 1.90 | 2.14 | (0.24 | ) | (0.39 | ) | (0.63 | ) | 18.25 | 12.92% | 547,665 | 0.66% | 0.63% | 1.37% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 13.02 | 0.22 | 3.87 | 4.09 | (0.26 | ) | (0.11 | ) | (0.37 | ) | 16.74 | 31.57% | 535,280 | 0.84% | 0.65% | 1.43% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 11.51 | 0.21 | 1.55 | 1.76 | (0.25 | ) | - | (0.25 | ) | 13.02 | 15.28% | 388,374 | 0.90% | 0.65% | 1.63% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 11.52 | 0.16 | (0.00 | )d | 0.16 | (0.17 | ) | - | (0.17 | ) | 11.51 | 1.42% | 336,032 | 0.85% | 0.65% | 1.40% | ||||||||||||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 16.95 | $ | 0.24 | $ | 2.17 | $ | 2.41 | $ | (0.30 | ) | $ | (0.36 | ) | $ | (0.66 | ) | $ | 18.70 | 14.49% | $ | 95,197 | 0.87% | N/A | 1.29% | |||||||||||||||||||||||||||
9/30/15i | 18.06 | 0.16 | (1.22 | ) | (1.06 | ) | - | (0.05 | ) | (0.05 | ) | 16.95 | (5.88% | )b | 24,643 | 0.87% | a | N/A | 1.21% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 16.58 | 0.19 | 1.90 | 2.09 | (0.22 | ) | (0.39 | ) | (0.61 | ) | 18.06 | 12.68% | 3,736 | 0.92% | 0.89% | 1.12% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 12.90 | 0.17 | 3.83 | 4.00 | (0.21 | ) | (0.11 | ) | (0.32 | ) | 16.58 | 31.14% | 4,940 | 1.14% | 0.95% | 1.13% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 11.41 | 0.17 | 1.53 | 1.70 | (0.21 | ) | - | (0.21 | ) | 12.90 | 14.91% | 3,869 | 1.20% | 0.95% | 1.33% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 11.42 | 0.13 | (0.01 | ) | 0.12 | (0.13 | ) | - | (0.13 | ) | 11.41 | 1.13% | 3,385 | 1.15% | 0.95% | 1.10% |
247
MassMutual Select Focused Value Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
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 returnl,m | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 19.31 | $ | 0.25 | $ | 2.13 | $ | 2.38 | $ | (0.36 | ) | $ | (2.93 | ) | $ | (3.29 | ) | $ | 18.40 | 13.56% | $ | 213,648 | 0.73% | N/A | 1.43% | |||||||||||||||||||||||||||
9/30/15i | 22.69 | 0.28 | (3.41 | ) | (3.13 | ) | - | (0.25 | ) | (0.25 | ) | 19.31 | (13.85% | )b | 216,254 | 0.73% | a | N/A | 1.70% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 23.34 | 0.46 | 2.34 | 2.80 | (0.47 | ) | (2.98 | ) | (3.45 | ) | 22.69 | 12.54% | 222,925 | 0.74% | 0.71% | 1.94% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 18.86 | 0.14 | 6.99 | 7.13 | (0.14 | ) | (2.51 | ) | (2.65 | ) | 23.34 | 38.45% | 167,586 | 0.78% | 0.68% | 0.63% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 16.98 | 0.20 | 3.38 | 3.58 | (0.19 | ) | (1.51 | ) | (1.70 | ) | 18.86 | 21.28% | 121,833 | 0.78% | 0.68% | 1.04% | ||||||||||||||||||||||||||||||||||||
12/31/11 | 17.64 | 0.17 | (0.22 | ) | (0.05 | ) | (0.29 | ) | (0.32 | ) | (0.61 | ) | 16.98 | (0.12% | ) | 86,517 | 0.79% | 0.69% | 1.01% | |||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 19.34 | $ | 0.23 | $ | 2.14 | $ | 2.37 | $ | (0.34 | ) | $ | (2.93 | ) | $ | (3.27 | ) | $ | 18.44 | 13.44% | $ | 203,817 | 0.83% | N/A | 1.32% | |||||||||||||||||||||||||||
9/30/15i | 22.74 | 0.27 | (3.42 | ) | (3.15 | ) | - | (0.25 | ) | (0.25 | ) | 19.34 | (13.91% | )b | 240,748 | 0.83% | a | N/A | 1.62% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 23.38 | 0.45 | 2.33 | 2.78 | (0.44 | ) | (2.98 | ) | (3.42 | ) | 22.74 | 12.44% | 336,501 | 0.84% | 0.82% | 1.89% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 18.89 | 0.11 | 7.00 | 7.11 | (0.11 | ) | (2.51 | ) | (2.62 | ) | 23.38 | 38.28% | 316,010 | 0.90% | 0.80% | 0.51% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 17.00 | 0.17 | 3.39 | 3.56 | (0.16 | ) | (1.51 | ) | (1.67 | ) | 18.89 | 21.17% | 266,390 | 0.90% | 0.80% | 0.88% | ||||||||||||||||||||||||||||||||||||
12/31/11 | 17.63 | 0.13 | (0.20 | ) | (0.07 | ) | (0.24 | ) | (0.32 | ) | (0.56 | ) | 17.00 | (0.23% | ) | 233,071 | 0.90% | 0.80% | 0.73% | |||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 19.11 | $ | 0.21 | $ | 2.10 | $ | 2.31 | $ | (0.31 | ) | $ | (2.93 | ) | $ | (3.24 | ) | $ | 18.18 | 13.31% | * | $ | 69,632 | 0.93% | N/A | 1.22% | ||||||||||||||||||||||||||
9/30/15i | 22.49 | 0.25 | (3.38 | ) | (3.13 | ) | - | (0.25 | ) | (0.25 | ) | 19.11 | (14.02% | )b | 76,245 | 0.93% | a | N/A | 1.50% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 23.16 | 0.44 | 2.29 | 2.73 | (0.42 | ) | (2.98 | ) | (3.40 | ) | 22.49 | 12.33% | 98,642 | 0.94% | 0.92% | 1.87% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 18.74 | 0.09 | 6.94 | 7.03 | (0.10 | ) | (2.51 | ) | (2.61 | ) | 23.16 | 38.13% | 98,784 | 1.00% | 0.90% | 0.42% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 16.88 | 0.14 | 3.38 | 3.52 | (0.15 | ) | (1.51 | ) | (1.66 | ) | 18.74 | 21.03% | 59,000 | 1.00% | 0.90% | 0.77% | ||||||||||||||||||||||||||||||||||||
12/31/11 | 17.49 | 0.11 | (0.20 | ) | (0.09 | ) | (0.20 | ) | (0.32 | ) | (0.52 | ) | 16.88 | (0.35% | ) | 60,921 | 1.00% | 0.90% | 0.63% |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate | 36 | % | 39 | % | 35 | % | 27 | % | 30 | % | 32 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
* | Generally accepted accounting principles may require adjustment to be made to the net assets of the Fund at period end for financial reporting purposes, and as such, the net asset values for shareholder transactions and the returns based on those net asset values may differ from the returns reported in the portfolio manager commentary section of this report. |
The accompanying notes are an integral part of the financial statements.
248
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 18.94 | $ | 0.20 | $ | 2.07 | $ | 2.27 | $ | (0.29 | ) | $ | (2.93 | ) | $ | (3.22 | ) | $ | 17.99 | 13.19% | $ | 89,646 | 1.03% | N/A | 1.12% | |||||||||||||||||||||||||||
9/30/15i | 22.31 | 0.23 | (3.35 | ) | (3.12 | ) | - | (0.25 | ) | (0.25 | ) | 18.94 | (14.04% | )b | 97,736 | 1.03% | a | N/A | 1.42% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 23.00 | 0.38 | 2.30 | 2.68 | (0.39 | ) | (2.98 | ) | (3.37 | ) | 22.31 | 12.20% | 111,776 | 1.05% | 1.03% | 1.63% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 18.62 | 0.06 | 6.90 | 6.96 | (0.07 | ) | (2.51 | ) | (2.58 | ) | 23.00 | 37.97% | 105,331 | 1.15% | 1.05% | 0.26% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 16.79 | 0.12 | 3.34 | 3.46 | (0.12 | ) | (1.51 | ) | (1.63 | ) | 18.62 | 20.82% | 73,933 | 1.15% | 1.05% | 0.64% | ||||||||||||||||||||||||||||||||||||
12/31/11 | 17.32 | 0.08 | (0.18 | ) | (0.10 | ) | (0.11 | ) | (0.32 | ) | (0.43 | ) | 16.79 | (0.48% | ) | 60,937 | 1.15% | 1.05% | 0.46% | |||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 18.38 | $ | 0.15 | $ | 2.01 | $ | 2.16 | $ | (0.24 | ) | $ | (2.93 | ) | $ | (3.17 | ) | $ | 17.37 | 12.93% | $ | 146,239 | 1.28% | N/A | 0.87% | |||||||||||||||||||||||||||
9/30/15i | 21.69 | 0.18 | (3.24 | ) | (3.06 | ) | - | (0.25 | ) | (0.25 | ) | 18.38 | (14.16% | )b | 181,803 | 1.28% | a | N/A | 1.16% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 22.46 | 0.33 | 2.21 | 2.54 | (0.33 | ) | (2.98 | ) | (3.31 | ) | 21.69 | 11.86% | 227,294 | 1.30% | 1.28% | 1.45% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 18.23 | 0.00 | d | 6.75 | 6.75 | (0.01 | ) | (2.51 | ) | (2.52 | ) | 22.46 | 37.66% | 218,492 | 1.40% | 1.30% | 0.01% | |||||||||||||||||||||||||||||||||||
12/31/12 | 16.46 | 0.07 | 3.28 | 3.35 | (0.07 | ) | (1.51 | ) | (1.58 | ) | 18.23 | 20.55% | 160,758 | 1.40% | 1.30% | 0.37% | ||||||||||||||||||||||||||||||||||||
12/31/11 | 16.99 | 0.04 | (0.19 | ) | (0.15 | ) | (0.06 | ) | (0.32 | ) | (0.38 | ) | 16.46 | (0.79% | ) | 142,551 | 1.40% | 1.30% | 0.23% | |||||||||||||||||||||||||||||||||
Class R4 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 18.35 | $ | 0.16 | $ | 2.02 | $ | 2.18 | $ | (0.32 | ) | $ | (2.93 | ) | $ | (3.25 | ) | $ | 17.28 | 13.11% | $ | 6,065 | 1.18% | N/A | 0.98% | |||||||||||||||||||||||||||
9/30/15i | 21.65 | 0.24 | (3.29 | ) | (3.05 | ) | - | (0.25 | ) | (0.25 | ) | 18.35 | (14.14% | )b | 1,683 | 1.18% | a | N/A | 1.52% | a | ||||||||||||||||||||||||||||||||
12/31/14h | 22.25 | 0.10 | 2.67 | 2.77 | (0.39 | ) | (2.98 | ) | (3.37 | ) | 21.65 | 13.01% | b | 113 | 1.17% | a | N/A | 0.55% | a | |||||||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 17.72 | $ | 0.12 | $ | 1.93 | $ | 2.05 | $ | (0.29 | ) | $ | (2.93 | ) | $ | (3.22 | ) | $ | 16.55 | 12.76% | $ | 3,539 | 1.43% | N/A | 0.74% | |||||||||||||||||||||||||||
9/30/15i | 20.95 | 0.14 | (3.12 | ) | (2.98 | ) | - | (0.25 | ) | (0.25 | ) | 17.72 | (14.28% | )b | 2,317 | 1.44% | a | N/A | 0.94% | a | ||||||||||||||||||||||||||||||||
12/31/14 | 21.80 | 0.29 | 2.13 | 2.42 | (0.29 | ) | (2.98 | ) | (3.27 | ) | 20.95 | 11.67% | 721 | 1.49% | 1.47% | 1.31% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 17.80 | (0.06 | ) | 6.57 | 6.51 | - | (2.51 | ) | (2.51 | ) | 21.80 | 37.19% | 731 | 1.70% | 1.60% | (0.28% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 16.10 | (0.01 | ) | 3.22 | 3.21 | - | (1.51 | ) | (1.51 | ) | 17.80 | 20.13% | 477 | 1.70% | 1.60% | (0.06% | ) | |||||||||||||||||||||||||||||||||||
12/31/11 | 16.60 | (0.02 | ) | (0.16 | ) | (0.18 | ) | - | (0.32 | ) | (0.32 | ) | 16.10 | (1.02% | ) | 1,425 | 1.70% | 1.60% | (0.09% | ) |
249
MassMutual Select Fundamental Growth Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Net asset value, beginning of the period | Income (loss) from investment operations | Less distributions to shareholders | Net asset value, end of the period | Total returnl,m | Ratios / Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||||
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 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 8.02 | $ | 0.07 | $ | 0.86 | $ | 0.93 | $ | (0.08 | ) | $ | (0.86 | ) | $ | (0.94 | ) | $ | 8.01 | 12.02% | $ | 56,680 | 0.82% | 0.70% | 0.86% | |||||||||||||||||||||||||||
9/30/15i | 8.18 | 0.05 | (0.18 | ) | (0.13 | ) | - | (0.03 | ) | (0.03 | ) | 8.02 | (1.60% | )b | 75,265 | 0.81% | a | 0.70% | a | 0.80% | a | |||||||||||||||||||||||||||||||
12/31/14h | 8.42 | 0.07 | 0.78 | 0.85 | (0.09 | ) | (1.00 | ) | (1.09 | ) | 8.18 | 10.42% | b | 86,370 | 0.75% | a | 0.70% | a | 1.03% | a | ||||||||||||||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 8.03 | $ | 0.06 | $ | 0.86 | $ | 0.92 | $ | (0.07 | ) | $ | (0.86 | ) | $ | (0.93 | ) | $ | 8.02 | 11.88% | $ | 23,154 | 0.92% | 0.80% | 0.76% | |||||||||||||||||||||||||||
9/30/15i | 8.20 | 0.04 | (0.18 | ) | (0.14 | ) | - | (0.03 | ) | (0.03 | ) | 8.03 | (1.71% | )b | 20,054 | 0.91% | a | 0.80% | a | 0.71% | a | |||||||||||||||||||||||||||||||
12/31/14 | 8.35 | 0.06 | 0.86 | 0.92 | (0.07 | ) | (1.00 | ) | (1.07 | ) | 8.20 | 11.38% | 21,110 | 0.87% | 0.80% | 0.75% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 6.62 | 0.06 | 2.05 | 2.11 | (0.07 | ) | (0.31 | ) | (0.38 | ) | 8.35 | 32.24% | 86,288 | 0.90% | 0.81% | 0.79% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 5.89 | 0.07 | 0.71 | 0.78 | (0.05 | ) | (0.00 | )d | (0.05 | ) | 6.62 | 13.26% | 73,897 | 0.91% | 0.83% | 1.02% | ||||||||||||||||||||||||||||||||||||
12/31/11 | 5.72 | 0.02 | 0.16 | 0.18 | (0.01 | ) | - | (0.01 | ) | 5.89 | 3.13% | 20,468 | 0.64% | N/A | 0.31% | |||||||||||||||||||||||||||||||||||||
Service Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 7.91 | $ | 0.05 | $ | 0.84 | $ | 0.89 | $ | (0.06 | ) | $ | (0.86 | ) | $ | (0.92 | ) | $ | 7.88 | 11.69% | $ | 6,561 | 1.02% | 0.90% | 0.67% | |||||||||||||||||||||||||||
9/30/15i | 8.07 | 0.04 | (0.17 | ) | (0.13 | ) | - | (0.03 | ) | (0.03 | ) | 7.91 | (1.62% | )b | 5,627 | 1.01% | a | 0.90% | a | 0.62% | a | |||||||||||||||||||||||||||||||
12/31/14 | 8.25 | 0.06 | 0.83 | 0.89 | (0.07 | ) | (1.00 | ) | (1.07 | ) | 8.07 | 11.13% | 6,829 | 0.94% | 0.90% | 0.76% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 6.54 | 0.05 | 2.04 | 2.09 | (0.07 | ) | (0.31 | ) | (0.38 | ) | 8.25 | 32.23% | 6,015 | 0.94% | 0.91% | 0.68% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 5.82 | 0.05 | 0.71 | 0.76 | (0.04 | ) | (0.00 | )d | (0.04 | ) | 6.54 | 13.09% | 3,948 | 0.97% | 0.94% | 0.73% | ||||||||||||||||||||||||||||||||||||
12/31/11 | 5.66 | 0.01 | 0.15 | 0.16 | (0.00 | )d | - | (0.00 | )d | 5.82 | 2.89% | 1,859 | 0.74% | N/A | 0.21% |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate | 49 | % | 37 | % | 59 | % | 62 | % | 109 | % | 49 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
The accompanying notes are an integral part of the financial statements.
250
Net asset value, beginning of the period | Income (loss) from investment operations | Less distributions to shareholders | Net asset value, end of the period | Total returnl,m | Ratios / Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||||
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 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 | |||||||||||||||||||||||||||||||||||||||||||
Administrative Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 7.77 | $ | 0.04 | $ | 0.83 | $ | 0.87 | $ | (0.06 | ) | $ | (0.86 | ) | $ | (0.92 | ) | $ | 7.72 | 11.54% | $ | 10,205 | 1.12% | 1.00% | 0.56% | |||||||||||||||||||||||||||
9/30/15i | 7.93 | 0.03 | (0.16 | ) | (0.13 | ) | - | (0.03 | ) | (0.03 | ) | 7.77 | (1.65% | )b | 10,157 | 1.11% | a | 1.00% | a | 0.50% | a | |||||||||||||||||||||||||||||||
12/31/14 | 8.13 | 0.05 | 0.81 | 0.86 | (0.06 | ) | (1.00 | ) | (1.06 | ) | 7.93 | 10.93% | 9,696 | 1.06% | 1.01% | 0.64% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 6.45 | 0.04 | 2.00 | 2.04 | (0.05 | ) | (0.31 | ) | (0.36 | ) | 8.13 | 32.00% | 10,925 | 1.09% | 1.06% | 0.55% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 5.74 | 0.04 | 0.70 | 0.74 | (0.03 | ) | (0.00 | )d | (0.03 | ) | 6.45 | 12.97% | 10,370 | 1.12% | 1.09% | 0.61% | ||||||||||||||||||||||||||||||||||||
12/31/11 | 5.58 | 0.00 | d | 0.16 | 0.16 | - | - | - | 5.74 | 2.87% | 6,929 | 0.89% | N/A | 0.06% | ||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 7.50 | $ | 0.02 | $ | 0.80 | $ | 0.82 | $ | (0.03 | ) | $ | (0.86 | ) | $ | (0.89 | ) | $ | 7.43 | 11.30% | $ | 16,594 | 1.37% | 1.25% | 0.31% | |||||||||||||||||||||||||||
9/30/15i | 7.68 | 0.02 | (0.17 | ) | (0.15 | ) | - | (0.03 | ) | (0.03 | ) | 7.50 | (1.96% | )b | 17,774 | 1.36% | a | 1.25% | a | 0.26% | a | |||||||||||||||||||||||||||||||
12/31/14 | 7.89 | 0.03 | 0.80 | 0.83 | (0.04 | ) | (1.00 | ) | (1.04 | ) | 7.68 | 10.86% | 24,193 | 1.31% | 1.26% | 0.38% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 6.28 | 0.02 | 1.94 | 1.96 | (0.04 | ) | (0.31 | ) | (0.35 | ) | 7.89 | 31.53% | 23,867 | 1.34% | 1.31% | 0.29% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 5.58 | 0.02 | 0.69 | 0.71 | (0.01 | ) | (0.00 | )d | (0.01 | ) | 6.28 | 12.79% | 16,843 | 1.37% | 1.35% | 0.29% | ||||||||||||||||||||||||||||||||||||
12/31/11 | 5.44 | (0.01 | ) | 0.15 | 0.14 | - | - | - | 5.58 | 2.57% | 15,768 | 1.14% | N/A | (0.19% | ) | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 7.49 | $ | 0.03 | $ | 0.79 | $ | 0.82 | $ | (0.06 | ) | $ | (0.86 | ) | $ | (0.92 | ) | $ | 7.39 | 11.33% | $ | 720 | 1.27% | 1.15% | 0.42% | |||||||||||||||||||||||||||
9/30/15i | 7.66 | 0.02 | (0.16 | ) | (0.14 | ) | - | (0.03 | ) | (0.03 | ) | 7.49 | (1.84% | )b | 193 | 1.26% | a | 1.15% | a | 0.32% | a | |||||||||||||||||||||||||||||||
12/31/14h | 7.95 | 0.04 | 0.73 | 0.77 | (0.06 | ) | (1.00 | ) | (1.06 | ) | 7.66 | 10.03% | b | 110 | 1.20% | a | 1.15% | a | 0.59% | a | ||||||||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 7.19 | $ | 0.01 | $ | 0.76 | $ | 0.77 | $ | (0.06 | ) | $ | (0.86 | ) | $ | (0.92 | ) | $ | 7.04 | 11.15% | $ | 1,343 | 1.52% | 1.40% | 0.20% | |||||||||||||||||||||||||||
9/30/15i | 7.38 | (0.00 | )d | (0.16 | ) | (0.16 | ) | - | (0.03 | ) | (0.03 | ) | 7.19 | (2.18% | )b | 100 | 1.51% | a | 1.40% | a | (0.06% | )a | ||||||||||||||||||||||||||||||
12/31/14 | 7.64 | 0.02 | 0.76 | 0.78 | (0.04 | ) | (1.00 | ) | (1.04 | ) | 7.38 | 10.51% | 3 | 1.49% | 1.44% | 0.24% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 6.07 | 0.00 | d | 1.88 | 1.88 | (0.00 | )d | (0.31 | ) | (0.31 | ) | 7.64 | 31.26% | 168 | 1.64% | 1.61% | 0.02% | |||||||||||||||||||||||||||||||||||
12/31/12 | 5.41 | (0.00 | )d | 0.66 | 0.66 | - | (0.00 | )d | (0.00 | )d | 6.07 | 12.27% | 248 | 1.68% | 1.66% | (0.02% | ) | |||||||||||||||||||||||||||||||||||
12/31/11 | 5.28 | (0.03 | ) | 0.16 | 0.13 | - | - | - | 5.41 | 2.46% | 337 | 1.44% | N/A | (0.50% | ) |
251
MassMutual Select Blue Chip Growth Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
| 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 returnl,m | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 17.24 | $ | 0.05 | $ | 2.33 | $ | 2.38 | $ | (0.10 | ) | $ | (2.86 | ) | $ | (2.96 | ) | $ | 16.66 | 14.57% | $ | 511,543 | 0.66% | N/A | 0.34% | |||||||||||||||||||||||||||
9/30/15i | 17.24 | 0.03 | 0.13 | 0.16 | - | (0.16 | ) | (0.16 | ) | 17.24 | 0.87% | b | 317,029 | 0.67% | a | N/A | 0.24% | a | ||||||||||||||||||||||||||||||||||
12/31/14h | 16.75 | 0.01 | 1.73 | 1.74 | - | (1.25 | ) | (1.25 | ) | 17.24 | 10.55% | b | 268,755 | 0.66% | a | N/A | 0.05% | a | ||||||||||||||||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 17.22 | $ | 0.04 | $ | 2.31 | $ | 2.35 | $ | (0.08 | ) | $ | (2.86 | ) | $ | (2.94 | ) | $ | 16.63 | 14.38% | $ | 367,547 | 0.76% | N/A | 0.23% | |||||||||||||||||||||||||||
9/30/15i | 17.23 | 0.02 | 0.13 | 0.15 | - | (0.16 | ) | (0.16 | ) | 17.22 | 0.81% | b | 491,897 | 0.77% | a | N/A | 0.14% | a | ||||||||||||||||||||||||||||||||||
12/31/14 | 16.94 | (0.01 | ) | 1.55 | 1.54 | - | (1.25 | ) | (1.25 | ) | 17.23 | 9.25% | 560,395 | 0.76% | 0.76% | n | (0.05% | ) | ||||||||||||||||||||||||||||||||||
12/31/13 | 12.77 | 0.00 | d | 5.24 | 5.24 | (0.00 | )d | (1.07 | ) | (1.07 | ) | 16.94 | 41.38% | 526,553 | 0.78% | 0.76% | 0.02% | |||||||||||||||||||||||||||||||||||
12/31/12 | 10.81 | 0.04 | 1.95 | 1.99 | (0.03 | ) | - | (0.03 | ) | 12.77 | 18.43% | 406,245 | 0.82% | 0.76% | 0.34% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 10.65 | 0.02 | 0.14 | 0.16 | (0.00 | )d | - | (0.00 | )d | 10.81 | 1.50% | 270,651 | 0.84% | 0.76% | 0.17% | |||||||||||||||||||||||||||||||||||||
Service Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 17.09 | $ | 0.02 | $ | 2.31 | $ | 2.33 | $ | (0.07 | ) | $ | (2.86 | ) | $ | (2.93 | ) | $ | 16.49 | 14.37% | $ | 212,993 | 0.86% | N/A | 0.14% | |||||||||||||||||||||||||||
9/30/15i | 17.12 | 0.01 | 0.12 | 0.13 | - | (0.16 | ) | (0.16 | ) | 17.09 | 0.70% | b | 197,891 | 0.87% | a | N/A | 0.04% | a | ||||||||||||||||||||||||||||||||||
12/31/14 | 16.85 | (0.02 | ) | 1.54 | 1.52 | - | (1.25 | ) | (1.25 | ) | 17.12 | 9.18% | 158,076 | 0.85% | 0.85% | n | (0.14% | ) | ||||||||||||||||||||||||||||||||||
12/31/13 | 12.71 | (0.01 | ) | 5.22 | 5.21 | (0.00 | )d | (1.07 | ) | (1.07 | ) | 16.85 | 41.34% | 188,792 | 0.87% | 0.82% | (0.04% | ) | ||||||||||||||||||||||||||||||||||
12/31/12 | 10.77 | 0.03 | 1.93 | 1.96 | (0.02 | ) | - | (0.02 | ) | 12.71 | 18.23% | 128,562 | 0.95% | 0.82% | 0.26% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 10.61 | 0.01 | 0.15 | 0.16 | - | - | - | 10.77 | 1.51% | 87,359 | 0.97% | 0.82% | 0.13% |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate | 30 | % | 48 | % | 34 | % | 33 | % | 20 | % | 38 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
n | Expenses incurred during the period fell under the expense cap. |
The accompanying notes are an integral part of the financial statements.
252
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||
Administrative Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 16.90 | $ | 0.01 | $ | 2.27 | $ | 2.28 | $ | (0.04 | ) | $ | (2.86 | ) | $ | (2.90 | ) | $ | 16.28 | 14.23% | $ | 232,088 | 0.96% | N/A | 0.04% | |||||||||||||||||||||||||||
9/30/15i | 16.94 | (0.01 | ) | 0.13 | 0.12 | - | (0.16 | ) | (0.16 | ) | 16.90 | 0.64% | b | 226,193 | 0.97% | a | N/A | (0.05% | )a | |||||||||||||||||||||||||||||||||
12/31/14 | 16.71 | (0.04 | ) | 1.52 | 1.48 | - | (1.25 | ) | (1.25 | ) | 16.94 | 9.01% | 262,694 | 0.96% | 0.96% | n | (0.26% | ) | ||||||||||||||||||||||||||||||||||
12/31/13 | 12.64 | (0.03 | ) | 5.17 | 5.14 | (0.00 | )d | (1.07 | ) | (1.07 | ) | 16.71 | 41.01% | 242,816 | 1.02% | 0.98% | (0.22% | ) | ||||||||||||||||||||||||||||||||||
12/31/12 | 10.71 | 0.01 | 1.93 | 1.94 | (0.01 | ) | - | (0.01 | ) | 12.64 | 18.07% | 319,306 | 1.07% | 0.98% | 0.10% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 10.57 | (0.01 | ) | 0.15 | 0.14 | - | - | - | 10.71 | 1.42% | 243,741 | 1.09% | 0.98% | (0.09% | ) | |||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 16.35 | $ | (0.03 | ) | $ | 2.20 | $ | 2.17 | $ | (0.01 | ) | $ | (2.86 | ) | $ | (2.87 | ) | $ | 15.65 | 13.93% | $ | 161,079 | 1.21% | N/A | (0.22% | ) | |||||||||||||||||||||||||
9/30/15i | 16.42 | (0.04 | ) | 0.13 | 0.09 | - | (0.16 | ) | (0.16 | ) | 16.35 | 0.48% | b | 150,749 | 1.22% | a | N/A | (0.30% | )a | |||||||||||||||||||||||||||||||||
12/31/14 | 16.27 | (0.08 | ) | 1.48 | 1.40 | - | (1.25 | ) | (1.25 | ) | 16.42 | 8.77% | 157,200 | 1.21% | 1.20% | (0.50% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 12.35 | (0.06 | ) | 5.05 | 4.99 | (0.00 | )d | (1.07 | ) | (1.07 | ) | 16.27 | 40.76% | 182,452 | 1.26% | 1.19% | (0.41% | ) | ||||||||||||||||||||||||||||||||||
12/31/12 | 10.48 | (0.01 | ) | 1.88 | 1.87 | - | - | - | 12.35 | 17.84% | 140,294 | 1.32% | 1.19% | (0.08% | ) | |||||||||||||||||||||||||||||||||||||
12/31/11 | 10.36 | (0.03 | ) | 0.15 | 0.12 | - | - | - | 10.48 | 1.16% | 75,919 | 1.34% | 1.19% | (0.29% | ) | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 16.38 | $ | (0.02 | ) | $ | 2.21 | $ | 2.19 | $ | (0.05 | ) | $ | (2.86 | ) | $ | (2.91 | ) | $ | 15.66 | 14.08% | $ | 44,451 | 1.11% | N/A | (0.11% | ) | |||||||||||||||||||||||||
9/30/15i | 16.44 | (0.03 | ) | 0.13 | 0.10 | - | (0.16 | ) | (0.16 | ) | 16.38 | 0.54% | b | 19,816 | 1.12% | a | N/A | (0.23% | )a | |||||||||||||||||||||||||||||||||
12/31/14h | 16.08 | (0.06 | ) | 1.67 | 1.61 | - | (1.25 | ) | (1.25 | ) | 16.44 | 10.18% | b | 776 | 1.11% | a | N/A | (0.44% | )a | |||||||||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 15.65 | $ | (0.05 | ) | $ | 2.09 | $ | 2.04 | $ | (0.05 | ) | $ | (2.86 | ) | $ | (2.91 | ) | $ | 14.78 | 13.77% | $ | 22,853 | 1.36% | N/A | (0.36% | ) | |||||||||||||||||||||||||
9/30/15i | 15.75 | (0.06 | ) | 0.12 | 0.06 | - | (0.16 | ) | (0.16 | ) | 15.65 | 0.38% | b | 3,937 | 1.37% | a | N/A | (0.47% | )a | |||||||||||||||||||||||||||||||||
12/31/14 | 15.68 | (0.11 | ) | 1.43 | 1.32 | - | (1.25 | ) | (1.25 | ) | 15.75 | 8.52% | 900 | 1.39% | 1.39% | n | (0.70% | ) | ||||||||||||||||||||||||||||||||||
12/31/13 | 11.97 | (0.10 | ) | 4.88 | 4.78 | (0.00 | )d | (1.07 | ) | (1.07 | ) | 15.68 | 40.30% | 967 | 1.55% | 1.51% | (0.73% | ) | ||||||||||||||||||||||||||||||||||
12/31/12 | 10.18 | (0.04 | ) | 1.83 | 1.79 | - | - | - | 11.97 | 17.58% | 727 | 1.62% | 1.51% | (0.35% | ) | |||||||||||||||||||||||||||||||||||||
12/31/11 | 10.11 | (0.08 | ) | 0.15 | 0.07 | - | - | - | 10.18 | 0.69% | 78 | 1.64% | 1.51% | (0.72% | ) |
253
MassMutual Select Growth Opportunities Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
| 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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.98 | $ | (0.01 | ) | $ | 1.07 | $ | 1.06 | $ | - | $ | (1.22 | ) | $ | (1.22 | ) | $ | 10.82 | 9.61% | $ | 352,915 | 0.74% | N/A | (0.10% | ) | ||||||||||||||||||||||||||
9/30/15i | 11.90 | 0.00 | d | (0.64 | ) | (0.64 | ) | - | (0.28 | ) | (0.28 | ) | 10.98 | (5.48% | )b | 352,117 | 0.74% | a | N/A | 0.05% | a | |||||||||||||||||||||||||||||||
12/31/14 | 11.43 | 0.01 | 1.20 | 1.21 | - | (0.74 | ) | (0.74 | ) | 11.90 | 10.75% | 312,757 | 0.75% | 0.72% | 0.10% | |||||||||||||||||||||||||||||||||||||
12/31/13 | 8.89 | 0.00 | d | 3.38 | 3.38 | (0.01 | ) | (0.83 | ) | (0.84 | ) | 11.43 | 38.50% | 141,922 | 0.84% | 0.69% | 0.02% | |||||||||||||||||||||||||||||||||||
12/31/12 | 7.40 | 0.07 | 1.42 | 1.49 | - | - | - | 8.89 | 20.14% | 76,857 | 0.85% | 0.70% | 0.86% | |||||||||||||||||||||||||||||||||||||||
12/31/11g | 7.45 | (0.00 | )d | (0.05 | ) | (0.05 | ) | - | - | - | 7.40 | (0.67% | )b | 99 | 0.79% | a | 0.64% | a | (0.33% | )a | ||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.92 | $ | (0.01 | ) | $ | 1.05 | $ | 1.04 | $ | - | $ | (1.22 | ) | $ | (1.22 | ) | $ | 10.74 | 9.47% | $ | 192,509 | 0.84% | N/A | (0.14% | ) | ||||||||||||||||||||||||||
9/30/15i | 11.85 | (0.00 | )d | (0.65 | ) | (0.65 | ) | - | (0.28 | ) | (0.28 | ) | 10.92 | (5.58% | )b | 220,721 | 0.84% | a | N/A | (0.03% | )a | |||||||||||||||||||||||||||||||
12/31/14 | 11.39 | 0.00 | d | 1.20 | 1.20 | - | (0.74 | ) | (0.74 | ) | 11.85 | 10.70% | 272,981 | 0.87% | 0.83% | 0.04% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 8.87 | (0.01 | ) | 3.36 | 3.35 | - | (0.83 | ) | (0.83 | ) | 11.39 | 38.28% | 340,443 | 0.99% | 0.84% | (0.13% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 7.40 | 0.01 | 1.46 | 1.47 | - | - | - | 8.87 | 19.86% | 268,035 | 1.00% | 0.85% | 0.06% | |||||||||||||||||||||||||||||||||||||||
12/31/11 | 7.06 | (0.01 | ) | 0.35 | 0.34 | - | - | - | 7.40 | 4.82% | 233,080 | 0.87% | 0.86% | (0.18% | ) | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.72 | $ | (0.03 | ) | $ | 1.03 | $ | 1.00 | $ | - | $ | (1.22 | ) | $ | (1.22 | ) | $ | 10.50 | 9.26% | $ | 149,667 | 0.94% | N/A | (0.31% | ) | ||||||||||||||||||||||||||
9/30/15i | 11.64 | (0.01 | ) | (0.63 | ) | (0.64 | ) | - | (0.28 | ) | (0.28 | ) | 10.72 | (5.60% | )b | 149,543 | 0.94% | a | N/A | (0.15% | )a | |||||||||||||||||||||||||||||||
12/31/14 | 11.22 | (0.01 | ) | 1.17 | 1.16 | - | (0.74 | ) | (0.74 | ) | 11.64 | 10.51% | 158,891 | 0.96% | 0.93% | (0.08% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 8.76 | (0.02 | ) | 3.31 | 3.29 | - | (0.83 | ) | (0.83 | ) | 11.22 | 38.07% | 85,741 | 1.09% | 0.94% | (0.23% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 7.31 | 0.00 | d | 1.45 | 1.45 | - | - | - | 8.76 | 19.84% | 45,380 | 1.10% | 0.95% | 0.03% | ||||||||||||||||||||||||||||||||||||||
12/31/11 | 6.98 | (0.02 | ) | 0.35 | 0.33 | - | - | - | 7.31 | 4.73% | 29,740 | 0.97% | 0.96% | (0.29% | ) |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate | 22 | % | 28 | % | 25 | % | 29 | % | 19 | % | 21 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
g | For the period December 7, 2011 (commencement of operations) through December 31, 2011. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
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. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
The accompanying notes are an integral part of the financial statements.
254
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 10.46 | $ | (0.04 | ) | $ | 1.01 | $ | 0.97 | $ | - | $ | (1.22 | ) | $ | (1.22 | ) | $ | 10.21 | 9.21% | $ | 90,616 | 1.04% | N/A | (0.43% | ) | ||||||||||||||||||||||||||
9/30/15i | 11.37 | (0.02 | ) | (0.61 | ) | (0.63 | ) | - | (0.28 | ) | (0.28 | ) | 10.46 | (5.64% | )b | 107,017 | 1.04% | a | N/A | (0.26% | )a | |||||||||||||||||||||||||||||||
12/31/14 | 10.98 | (0.02 | ) | 1.15 | 1.13 | - | (0.74 | ) | (0.74 | ) | 11.37 | 10.46% | 146,975 | 1.07% | 1.04% | (0.19% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 8.60 | (0.04 | ) | 3.25 | 3.21 | - | (0.83 | ) | (0.83 | ) | 10.98 | 37.85% | 110,471 | 1.24% | 1.09% | (0.39% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 7.19 | (0.01 | ) | 1.42 | 1.41 | - | - | - | 8.60 | 19.61% | 85,363 | 1.25% | 1.10% | (0.10% | ) | |||||||||||||||||||||||||||||||||||||
12/31/11 | 6.87 | (0.03 | ) | 0.35 | 0.32 | - | - | - | 7.19 | 4.66% | 27,467 | 1.11% | 1.11% | k | (0.36% | ) | ||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 9.97 | $ | (0.07 | ) | $ | 0.97 | $ | 0.90 | $ | - | $ | (1.22 | ) | $ | (1.22 | ) | $ | 9.65 | 8.93% | $ | 103,902 | 1.29% | N/A | (0.72% | ) | ||||||||||||||||||||||||||
9/30/15i | 10.88 | (0.04 | ) | (0.59 | ) | (0.63 | ) | - | (0.28 | ) | (0.28 | ) | 9.97 | (5.90% | )b | 140,896 | 1.29% | a | N/A | (0.49% | )a | |||||||||||||||||||||||||||||||
12/31/14 | 10.56 | (0.05 | ) | 1.11 | 1.06 | - | (0.74 | ) | (0.74 | ) | 10.88 | 10.21% | 178,641 | 1.33% | 1.29% | (0.44% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 8.32 | (0.06 | ) | 3.13 | 3.07 | - | (0.83 | ) | (0.83 | ) | 10.56 | 37.43% | 168,430 | 1.49% | 1.34% | (0.63% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 6.97 | (0.03 | ) | 1.38 | 1.35 | - | - | - | 8.32 | 19.37% | 102,385 | 1.50% | 1.35% | (0.35% | ) | |||||||||||||||||||||||||||||||||||||
12/31/11 | 6.68 | (0.05 | ) | 0.34 | 0.29 | - | - | - | 6.97 | 4.34% | 51,191 | 1.37% | 1.36% | (0.68% | ) | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 9.99 | $ | (0.05 | ) | $ | 0.96 | $ | 0.91 | $ | - | $ | (1.22 | ) | $ | (1.22 | ) | $ | 9.68 | 9.02% | $ | 6,861 | 1.19% | N/A | (0.58% | ) | ||||||||||||||||||||||||||
9/30/15i | 10.88 | (0.04 | ) | (0.57 | ) | (0.61 | ) | - | (0.28 | ) | (0.28 | ) | 9.99 | (5.71% | )b | 2,794 | 1.19% | a | N/A | (0.46% | )a | |||||||||||||||||||||||||||||||
12/31/14h | 10.57 | (0.03 | ) | 1.08 | 1.05 | - | (0.74 | ) | (0.74 | ) | 10.88 | 10.11% | b | 110 | 1.18% | a | N/A | (0.40% | )a | |||||||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 9.46 | $ | (0.07 | ) | $ | 0.91 | $ | 0.84 | $ | - | $ | (1.22 | ) | $ | (1.22 | ) | $ | 9.08 | 8.77% | $ | 859 | 1.44% | N/A | (0.81% | ) | ||||||||||||||||||||||||||
9/30/15i | 10.34 | (0.05 | ) | (0.55 | ) | (0.60 | ) | - | (0.28 | ) | (0.28 | ) | 9.46 | (5.92% | )b | 751 | 1.44% | a | N/A | (0.70% | )a | |||||||||||||||||||||||||||||||
12/31/14 | 10.09 | (0.07 | ) | 1.06 | 0.99 | - | (0.74 | ) | (0.74 | ) | 10.34 | 9.99% | 127 | 1.45% | 1.44% | (0.65% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 8.00 | (0.09 | ) | 3.01 | 2.92 | - | (0.83 | ) | (0.83 | ) | 10.09 | 37.05% | 29 | 1.79% | 1.64% | (0.93% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 6.73 | (0.05 | ) | 1.32 | 1.27 | - | - | - | 8.00 | 18.87% | 24 | 1.80% | 1.65% | (0.69% | ) | |||||||||||||||||||||||||||||||||||||
12/31/11 | 6.47 | (0.07 | ) | 0.33 | 0.26 | - | - | - | 6.73 | 4.02% | 21 | 1.67% | 1.66% | (0.99% | ) |
255
MassMutual Select Mid-Cap Value Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.71 | $ | 0.15 | $ | 1.93 | $ | 2.08 | $ | (0.20 | ) | $ | (2.00 | ) | $ | (2.20 | ) | $ | 13.59 | 17.08% | $ | 106,786 | 0.94% | 0.80% | 1.19% | |||||||||||||||||||||||||||
9/30/15i | 15.25 | 0.11 | (1.49 | ) | (1.38 | ) | - | (0.16 | ) | (0.16 | ) | 13.71 | (9.12% | )b | 128,581 | 0.84% | a | 0.80% | a | 1.00% | a | |||||||||||||||||||||||||||||||
12/31/14 | 14.68 | 0.21 | 0.77 | 0.98 | (0.18 | ) | (0.23 | ) | (0.41 | ) | 15.25 | 6.75% | 132,365 | 0.80% | 0.79% | 1.37% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 11.09 | 0.18 | 3.59 | 3.77 | (0.18 | ) | - | (0.18 | ) | 14.68 | 34.02% | 67,095 | 0.84% | 0.74% | 1.36% | |||||||||||||||||||||||||||||||||||||
12/31/12 | 9.68 | 0.24 | 1.36 | 1.60 | (0.19 | ) | - | (0.19 | ) | 11.09 | 16.54% | 75,912 | 0.83% | 0.73% | 2.18% | |||||||||||||||||||||||||||||||||||||
12/31/11g | 9.88 | 0.02 | (0.11 | ) | (0.09 | ) | (0.11 | ) | - | (0.11 | ) | 9.68 | (0.84% | )b | 129 | 0.77% | a | 0.67% | a | 3.28% | a | |||||||||||||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.75 | $ | 0.15 | $ | 1.93 | $ | 2.08 | $ | (0.16 | ) | $ | (2.00 | ) | $ | (2.16 | ) | $ | 13.67 | 17.03% | $ | 7,072 | 1.04% | 0.90% | 1.12% | |||||||||||||||||||||||||||
9/30/15i | 15.32 | 0.09 | (1.50 | ) | (1.41 | ) | - | (0.16 | ) | (0.16 | ) | 13.75 | (9.22% | )b | 8,406 | 0.94% | a | 0.90% | a | 0.83% | a | |||||||||||||||||||||||||||||||
12/31/14 | 14.71 | 0.12 | 0.85 | 0.97 | (0.13 | ) | (0.23 | ) | (0.36 | ) | 15.32 | 6.59% | 18,333 | 0.88% | 0.88% | k | 0.79% | |||||||||||||||||||||||||||||||||||
12/31/13 | 11.12 | 0.16 | 3.60 | 3.76 | (0.17 | ) | - | (0.17 | ) | 14.71 | 33.85% | 81,923 | 0.88% | 0.83% | 1.24% | |||||||||||||||||||||||||||||||||||||
12/31/12 | 9.69 | 0.14 | 1.44 | 1.58 | (0.15 | ) | - | (0.15 | ) | 11.12 | 16.35% | 56,001 | 0.90% | 0.80% | 1.32% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 10.09 | 0.12 | (0.41 | ) | (0.29 | ) | (0.11 | ) | - | (0.11 | ) | 9.69 | (2.84% | ) | 130,318 | 0.80% | 0.80% | k | 1.22% | |||||||||||||||||||||||||||||||||
Service Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.72 | $ | 0.12 | $ | 1.94 | $ | 2.06 | $ | (0.16 | ) | $ | (2.00 | ) | $ | (2.16 | ) | $ | 13.62 | 16.87% | $ | 2,158 | 1.14% | 1.00% | 0.95% | |||||||||||||||||||||||||||
9/30/15i | 15.29 | 0.08 | (1.49 | ) | (1.41 | ) | - | (0.16 | ) | (0.16 | ) | 13.72 | (9.30% | )b | 2,689 | 1.04% | a | 1.00% | a | 0.72% | a | |||||||||||||||||||||||||||||||
12/31/14 | 14.71 | 0.15 | 0.81 | 0.96 | (0.15 | ) | (0.23 | ) | (0.38 | ) | 15.29 | 6.57% | 5,022 | 0.99% | 0.99% | k | 0.96% | |||||||||||||||||||||||||||||||||||
12/31/13 | 11.12 | 0.15 | 3.60 | 3.75 | (0.16 | ) | - | (0.16 | ) | 14.71 | 33.73% | 2,574 | 0.98% | 0.93% | 1.14% | |||||||||||||||||||||||||||||||||||||
12/31/12 | 9.71 | 0.14 | 1.43 | 1.57 | (0.16 | ) | - | (0.16 | ) | 11.12 | 16.21% | 1,688 | 1.00% | 0.90% | 1.30% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 10.12 | 0.12 | (0.43 | ) | (0.31 | ) | (0.10 | ) | - | (0.10 | ) | 9.71 | (3.02% | ) | 1,545 | 0.90% | 0.90% | k | 1.14% |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate | 96 | % | 105 | % | 112 | % | 109 | % | 85 | % | 82 | % |
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 December 7, 2011 (commencement of operations) through December 31, 2011. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
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. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
n | Expenses incurred during the period fell under the expense cap. |
The accompanying notes are an integral part of the financial statements.
256
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||
Administrative Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.81 | $ | 0.13 | $ | 1.94 | $ | 2.07 | $ | (0.07 | ) | $ | (2.00 | ) | $ | (2.07 | ) | $ | 13.81 | 16.74% | $ | 656 | 1.24% | 1.10% | 0.97% | |||||||||||||||||||||||||||
9/30/15i | 15.40 | 0.06 | (1.49 | ) | (1.43 | ) | - | (0.16 | ) | (0.16 | ) | 13.81 | (9.36% | )b | 270 | 1.14% | a | 1.10% | a | 0.56% | a | |||||||||||||||||||||||||||||||
12/31/14 | 14.81 | 0.10 | 0.84 | 0.94 | (0.12 | ) | (0.23 | ) | (0.35 | ) | 15.40 | 6.39% | 1,147 | 1.10% | 1.10% | k | 0.69% | |||||||||||||||||||||||||||||||||||
12/31/13 | 11.19 | 0.13 | 3.62 | 3.75 | (0.13 | ) | - | (0.13 | ) | 14.81 | 33.57% | 4,260 | 1.13% | 1.08% | 1.01% | |||||||||||||||||||||||||||||||||||||
12/31/12 | 9.76 | 0.12 | 1.45 | 1.57 | (0.14 | ) | - | (0.14 | ) | 11.19 | 16.12% | 3,552 | 1.15% | 1.05% | 1.12% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 10.10 | 0.07 | (0.41 | ) | (0.34 | ) | - | - | - | 9.76 | (3.37% | ) | 4,305 | 1.05% | 1.05% | k | 0.71% | |||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.67 | $ | 0.08 | $ | 1.93 | $ | 2.01 | $ | (0.07 | ) | $ | (2.00 | ) | $ | (2.07 | ) | $ | 13.61 | 16.46% | $ | 1,755 | 1.49% | 1.35% | 0.62% | |||||||||||||||||||||||||||
9/30/15i | 15.27 | 0.04 | (1.48 | ) | (1.44 | ) | - | (0.16 | ) | (0.16 | ) | 13.67 | (9.51% | )b | 2,287 | 1.39% | a | 1.35% | a | 0.36% | a | |||||||||||||||||||||||||||||||
12/31/14 | 14.69 | 0.09 | 0.81 | 0.90 | (0.09 | ) | (0.23 | ) | (0.32 | ) | 15.27 | 6.18% | 5,759 | 1.35% | 1.35% | k | 0.58% | |||||||||||||||||||||||||||||||||||
12/31/13 | 11.11 | 0.10 | 3.58 | 3.68 | (0.10 | ) | - | (0.10 | ) | 14.69 | 33.18% | 6,092 | 1.38% | 1.33% | 0.73% | |||||||||||||||||||||||||||||||||||||
12/31/12 | 9.69 | 0.10 | 1.43 | 1.53 | (0.11 | ) | - | (0.11 | ) | 11.11 | 15.84% | 4,385 | 1.40% | 1.30% | 0.89% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 10.08 | 0.06 | (0.40 | ) | (0.34 | ) | (0.05 | ) | - | (0.05 | ) | 9.69 | (3.39% | ) | 4,423 | 1.30% | 1.30% | k | 0.64% | |||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.65 | $ | 0.10 | $ | 1.92 | $ | 2.02 | $ | (0.13 | ) | $ | (2.00 | ) | $ | (2.13 | ) | $ | 13.54 | 16.62% | $ | 94 | 1.39% | 1.25% | 0.75% | |||||||||||||||||||||||||||
9/30/15i | 15.24 | 0.06 | (1.49 | ) | (1.43 | ) | - | (0.16 | ) | (0.16 | ) | 13.65 | (9.46% | )b | 93 | 1.29% | a | 1.25% | a | 0.54% | a | |||||||||||||||||||||||||||||||
12/31/14h | 15.01 | 0.09 | 0.50 | 0.59 | (0.13 | ) | (0.23 | ) | (0.36 | ) | 15.24 | 3.98% | b | 104 | 1.25% | a | 1.25% | a,n | 0.79% | a | ||||||||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.60 | $ | 0.07 | $ | 1.90 | $ | 1.97 | $ | (0.09 | ) | $ | (2.00 | ) | $ | (2.09 | ) | $ | 13.48 | 16.25% | $ | 102 | 1.64% | 1.50% | 0.52% | |||||||||||||||||||||||||||
9/30/15i | 15.21 | 0.03 | (1.48 | ) | (1.45 | ) | - | (0.16 | ) | (0.16 | ) | 13.60 | (9.61% | )b | 89 | 1.54% | a | 1.50% | a | 0.28% | a | |||||||||||||||||||||||||||||||
12/31/14 | 14.64 | 0.06 | 0.81 | 0.87 | (0.07 | ) | (0.23 | ) | (0.30 | ) | 15.21 | 5.99% | 106 | 1.53% | 1.53% | k | 0.42% | |||||||||||||||||||||||||||||||||||
12/31/13 | 11.07 | 0.06 | 3.57 | 3.63 | (0.06 | ) | - | (0.06 | ) | 14.64 | 32.77% | 95 | 1.68% | 1.63% | 0.43% | |||||||||||||||||||||||||||||||||||||
12/31/12 | 9.67 | 0.06 | 1.43 | 1.49 | (0.09 | ) | - | (0.09 | ) | 11.07 | 15.46% | 76 | 1.70% | 1.60% | 0.60% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 10.07 | 0.04 | (0.41 | ) | (0.37 | ) | (0.03 | ) | - | (0.03 | ) | 9.67 | (3.67% | ) | 64 | 1.60% | 1.60% | k | 0.37% |
257
MassMutual Select Small Cap Value Equity Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
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 returnl,m | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 14.62 | $ | 0.08 | $ | 2.08 | $ | 2.16 | $ | (0.09 | ) | $ | (0.50 | ) | $ | (0.59 | ) | $ | 16.19 | 15.20% | $ | 122,745 | 0.87% | 0.80% | 0.55% | |||||||||||||||||||||||||||
9/30/15i | 15.76 | 0.07 | (1.21 | ) | (1.14 | ) | (0.00 | )d | - | (0.00 | )d | 14.62 | (7.23% | )b | 65,868 | 0.87% | a | 0.80% | a | 0.62% | a | |||||||||||||||||||||||||||||||
12/31/14h | 15.09 | 0.09 | 0.69 | 0.78 | (0.11 | ) | - | (0.11 | ) | 15.76 | 5.19% | b | 60,528 | 0.83% | a | 0.80% | a | 0.80% | a | |||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 14.62 | $ | 0.06 | $ | 2.09 | $ | 2.15 | $ | (0.07 | ) | $ | (0.50 | ) | $ | (0.57 | ) | $ | 16.20 | 15.15% | $ | 49,774 | 0.97% | 0.90% | 0.43% | |||||||||||||||||||||||||||
9/30/15i | 15.77 | 0.06 | (1.21 | ) | (1.15 | ) | (0.00 | )d | - | (0.00 | )d | 14.62 | (7.29% | )b | 93,458 | 0.97% | a | 0.90% | a | 0.52% | a | |||||||||||||||||||||||||||||||
12/31/14 | 14.93 | 0.11 | 0.82 | 0.93 | (0.09 | ) | - | (0.09 | ) | 15.77 | 6.27% | 97,987 | 0.90% | 0.88% | 0.73% | |||||||||||||||||||||||||||||||||||||
12/31/13 | 10.71 | 0.06 | 4.23 | 4.29 | (0.07 | ) | - | (0.07 | ) | 14.93 | 40.05% | 138,272 | 0.85% | N/A | 0.50% | |||||||||||||||||||||||||||||||||||||
12/31/12 | 9.05 | 0.09 | 1.66 | 1.75 | (0.09 | ) | - | (0.09 | ) | 10.71 | 19.40% | 115,775 | 0.85% | N/A | 0.95% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 9.45 | 0.03 | (0.40 | ) | (0.37 | ) | (0.03 | ) | - | (0.03 | ) | 9.05 | (3.91% | ) | 92,162 | 0.86% | N/A | 0.36% | ||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 14.66 | $ | 0.06 | $ | 2.07 | $ | 2.13 | $ | (0.07 | ) | $ | (0.50 | ) | $ | (0.57 | ) | $ | 16.22 | 14.97% | $ | 7,326 | 1.07% | 1.00% | 0.37% | |||||||||||||||||||||||||||
9/30/15i | 15.82 | 0.05 | (1.21 | ) | (1.16 | ) | (0.00 | )d | - | (0.00 | )d | 14.66 | (7.33% | )b | 3,272 | 1.07% | a | 1.00% | a | 0.46% | a | |||||||||||||||||||||||||||||||
12/31/14 | 14.93 | 0.10 | 0.83 | 0.93 | (0.04 | ) | - | (0.04 | ) | 15.82 | 6.21% | 1,472 | 1.00% | 0.98% | 0.66% | |||||||||||||||||||||||||||||||||||||
12/31/13 | 10.71 | 0.05 | 4.22 | 4.27 | (0.05 | ) | - | (0.05 | ) | 14.93 | 39.91% | 5,264 | 0.95% | N/A | 0.41% | |||||||||||||||||||||||||||||||||||||
12/31/12 | 9.06 | 0.08 | 1.65 | 1.73 | (0.08 | ) | - | (0.08 | ) | 10.71 | 19.15% | 3,186 | 0.95% | N/A | 0.83% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 9.45 | 0.02 | (0.39 | ) | (0.37 | ) | (0.02 | ) | - | (0.02 | ) | 9.06 | (3.93% | ) | 3,055 | 0.96% | N/A | 0.22% |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate | 26 | % | 18 | % | 22 | % | 28 | % | 32 | % | 25 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
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%. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
The accompanying notes are an integral part of the financial statements.
258
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 14.57 | $ | 0.03 | $ | 2.08 | $ | 2.11 | $ | (0.03 | ) | $ | (0.50 | ) | $ | (0.53 | ) | $ | 16.15 | 14.89% | $ | 4,908 | 1.17% | 1.10% | 0.22% | |||||||||||||||||||||||||||
9/30/15i | 15.74 | 0.04 | (1.21 | ) | (1.17 | ) | (0.00 | )d | - | (0.00 | )d | 14.57 | (7.43% | )b | 6,020 | 1.17% | a | 1.10% | a | 0.34% | a | |||||||||||||||||||||||||||||||
12/31/14 | 14.90 | 0.08 | 0.82 | 0.90 | (0.06 | ) | - | (0.06 | ) | 15.74 | 6.05% | 3,790 | 1.12% | 1.10% | 0.52% | |||||||||||||||||||||||||||||||||||||
12/31/13 | 10.69 | 0.03 | 4.22 | 4.25 | (0.04 | ) | - | (0.04 | ) | 14.90 | 39.73% | 4,359 | 1.10% | N/A | 0.27% | |||||||||||||||||||||||||||||||||||||
12/31/12 | 9.04 | 0.07 | 1.65 | 1.72 | (0.07 | ) | - | (0.07 | ) | 10.69 | 19.03% | 2,551 | 1.10% | N/A | 0.69% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 9.45 | 0.00 | d | (0.41 | ) | (0.41 | ) | - | - | - | 9.04 | (4.34% | ) | 2,152 | 1.11% | N/A | 0.04% | |||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 14.52 | $ | 0.00 | d | $ | 2.07 | $ | 2.07 | $ | (0.01 | ) | $ | (0.50 | ) | $ | (0.51 | ) | $ | 16.08 | 14.59% | $ | 8,850 | 1.42% | 1.35% | 0.00% | e | |||||||||||||||||||||||||
9/30/15i | 15.71 | 0.01 | (1.20 | ) | (1.19 | ) | (0.00 | )d | - | (0.00 | )d | 14.52 | (7.57% | )b | 6,458 | 1.42% | a | 1.35% | a | 0.07% | a | |||||||||||||||||||||||||||||||
12/31/14 | 14.87 | 0.04 | 0.82 | 0.86 | (0.02 | ) | - | (0.02 | ) | 15.71 | 5.82% | 6,467 | 1.37% | 1.35% | 0.26% | |||||||||||||||||||||||||||||||||||||
12/31/13 | 10.68 | (0.00 | )d | 4.19 | 4.19 | (0.00 | )d | - | (0.00 | ) | 14.87 | 39.28% | 6,526 | 1.35% | N/A | (0.01% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 9.03 | 0.04 | 1.65 | 1.69 | (0.04 | ) | - | (0.04 | ) | 10.68 | 18.75% | 5,179 | 1.35% | N/A | 0.43% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 9.44 | (0.02 | ) | (0.39 | ) | (0.41 | ) | - | - | - | 9.03 | (4.34% | ) | 4,694 | 1.36% | N/A | (0.18% | ) | ||||||||||||||||||||||||||||||||||
Class R4 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 14.51 | $ | 0.02 | $ | 2.05 | $ | 2.07 | $ | (0.07 | ) | $ | (0.50 | ) | $ | (0.57 | ) | $ | 16.01 | 14.66% | $ | 1,748 | 1.32% | 1.25% | 0.12% | |||||||||||||||||||||||||||
9/30/15i | 15.69 | 0.02 | (1.20 | ) | (1.18 | ) | (0.00 | )d | - | (0.00 | )d | 14.51 | (7.51% | )b | 639 | 1.32% | a | 1.25% | a | 0.19% | a | |||||||||||||||||||||||||||||||
12/31/14h | 15.02 | 0.04 | 0.69 | 0.73 | (0.06 | ) | - | (0.06 | ) | 15.69 | 4.85% | b | 105 | 1.28% | a | 1.25% | a | 0.35% | a | |||||||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 14.48 | $ | (0.02 | ) | $ | 2.05 | $ | 2.03 | $ | (0.01 | ) | $ | (0.50 | ) | $ | (0.51 | ) | $ | 16.00 | 14.37% | $ | 440 | 1.57% | 1.50% | (0.12% | ) | |||||||||||||||||||||||||
9/30/15i | 15.69 | (0.01 | ) | (1.20 | ) | (1.21 | ) | (0.00 | )d | - | (0.00 | )d | 14.48 | (7.70% | )b | 123 | 1.57% | a | 1.50% | a | (0.07% | )a | ||||||||||||||||||||||||||||||
12/31/14h | 15.02 | 0.01 | 0.69 | 0.70 | (0.03 | ) | - | (0.03 | ) | 15.69 | 4.66% | b | 105 | 1.53% | a | 1.50% | a | 0.10% | a |
259
MassMutual Select Small Company Value Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
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 returnl,m | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.03 | $ | 0.10 | $ | 1.26 | $ | 1.36 | $ | (0.09 | ) | $ | (3.00 | ) | $ | (3.09 | ) | $ | 11.30 | 13.23% | $ | 125,482 | 0.94% | 0.92% | 0.96% | |||||||||||||||||||||||||||
9/30/15i | 14.38 | 0.04 | (1.18 | ) | (1.14 | ) | - | (0.21 | ) | (0.21 | ) | 13.03 | (7.99% | )b | 125,447 | 0.94% | a | 0.92% | a | 0.39% | a | |||||||||||||||||||||||||||||||
12/31/14 | 16.37 | 0.08 | 0.47 | 0.55 | (0.15 | ) | (2.39 | ) | (2.54 | ) | 14.38 | 4.10% | 132,465 | 0.91% | 0.89% | 0.50% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 14.03 | 0.16 | 4.29 | 4.45 | (0.14 | ) | (1.97 | ) | (2.11 | ) | 16.37 | 32.46% | 126,064 | 0.94% | 0.86% | 0.97% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 12.78 | 0.16 | 1.75 | 1.91 | (0.20 | ) | (0.46 | ) | (0.66 | ) | 14.03 | 15.04% | 74,820 | 0.94% | 0.86% | 1.17% | ||||||||||||||||||||||||||||||||||||
12/31/11 | 13.72 | 0.09 | (0.43 | ) | (0.34 | ) | (0.07 | ) | (0.53 | ) | (0.60 | ) | 12.78 | (2.34% | ) | 45,116 | 0.94% | 0.86% | 0.68% | |||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.06 | $ | 0.09 | $ | 1.27 | $ | 1.36 | $ | (0.07 | ) | $ | (3.00 | ) | $ | (3.07 | ) | $ | 11.35 | 13.18% | $ | 106,993 | 1.04% | 1.02% | 0.85% | |||||||||||||||||||||||||||
9/30/15i | 14.43 | 0.03 | (1.19 | ) | (1.16 | ) | - | (0.21 | ) | (0.21 | ) | 13.06 | (8.11% | )b | 128,043 | 1.04% | a | 1.02% | a | 0.27% | a | |||||||||||||||||||||||||||||||
12/31/14 | �� | 16.41 | 0.06 | 0.47 | 0.53 | (0.12 | ) | (2.39 | ) | (2.51 | ) | 14.43 | 4.01% | 207,540 | 1.03% | 1.01% | 0.38% | |||||||||||||||||||||||||||||||||||
12/31/13 | 14.06 | 0.12 | 4.31 | 4.43 | (0.11 | ) | (1.97 | ) | (2.08 | ) | 16.41 | 32.19% | 252,704 | 1.13% | 1.05% | 0.77% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 12.81 | 0.13 | 1.75 | 1.88 | (0.17 | ) | (0.46 | ) | (0.63 | ) | 14.06 | 14.77% | 231,211 | 1.13% | 1.05% | 0.96% | ||||||||||||||||||||||||||||||||||||
12/31/11 | 13.74 | 0.03 | (0.40 | ) | (0.37 | ) | (0.03 | ) | (0.53 | ) | (0.56 | ) | 12.81 | (2.51% | ) | 229,298 | 1.13% | 1.05% | 0.22% | |||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.00 | $ | 0.08 | $ | 1.26 | $ | 1.34 | $ | (0.05 | ) | $ | (3.00 | ) | $ | (3.05 | ) | $ | 11.29 | 13.05% | $ | 15,783 | 1.14% | 1.12% | 0.77% | |||||||||||||||||||||||||||
9/30/15i | 14.38 | 0.02 | (1.19 | ) | (1.17 | ) | - | (0.21 | ) | (0.21 | ) | 13.00 | (8.20% | )b | 16,672 | 1.14% | a | 1.12% | a | 0.17% | a | |||||||||||||||||||||||||||||||
12/31/14 | 16.36 | 0.05 | 0.47 | 0.52 | (0.11 | ) | (2.39 | ) | (2.50 | ) | 14.38 | 3.92% | 37,270 | 1.12% | 1.09% | 0.30% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 14.02 | 0.12 | 4.29 | 4.41 | (0.10 | ) | (1.97 | ) | (2.07 | ) | 16.36 | 32.18% | 44,234 | 1.17% | 1.09% | 0.73% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 12.76 | 0.12 | 1.75 | 1.87 | (0.15 | ) | (0.46 | ) | (0.61 | ) | 14.02 | 14.76% | 33,617 | 1.17% | 1.09% | 0.85% | ||||||||||||||||||||||||||||||||||||
12/31/11 | 13.70 | 0.02 | (0.40 | ) | (0.38 | ) | (0.03 | ) | (0.53 | ) | (0.56 | ) | 12.76 | (2.65% | ) | 52,720 | 1.17% | 1.09% | 0.18% |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate | 60 | % | 86 | % | 38 | % | 44 | % | 34 | % | 32 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
The accompanying notes are an integral part of the financial statements.
260
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.85 | $ | 0.07 | $ | 1.24 | $ | 1.31 | $ | (0.04 | ) | $ | (3.00 | ) | $ | (3.04 | ) | $ | 11.12 | 12.95% | $ | 16,447 | 1.24% | 1.22% | 0.66% | |||||||||||||||||||||||||||
9/30/15i | 14.22 | 0.01 | (1.17 | ) | (1.16 | ) | - | (0.21 | ) | (0.21 | ) | 12.85 | (8.23% | )b | 18,220 | 1.24% | a | 1.22% | a | 0.08% | a | |||||||||||||||||||||||||||||||
12/31/14 | 16.21 | 0.03 | 0.46 | 0.49 | (0.09 | ) | (2.39 | ) | (2.48 | ) | 14.22 | 3.74% | 24,796 | 1.23% | 1.21% | 0.16% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 13.90 | 0.09 | 4.26 | 4.35 | (0.07 | ) | (1.97 | ) | (2.04 | ) | 16.21 | 32.03% | 36,198 | 1.32% | 1.24% | 0.59% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 12.67 | 0.10 | 1.74 | 1.84 | (0.15 | ) | (0.46 | ) | (0.61 | ) | 13.90 | 14.57% | 36,619 | 1.32% | 1.24% | 0.77% | ||||||||||||||||||||||||||||||||||||
12/31/11 | 13.60 | 0.00 | d | (0.40 | ) | (0.40 | ) | (0.00 | )d | (0.53 | ) | (0.53 | ) | 12.67 | (2.79% | ) | 35,901 | 1.32% | 1.24% | 0.02% | ||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.56 | $ | 0.04 | $ | 1.20 | $ | 1.24 | $ | (0.00 | )d | $ | (3.00 | ) | $ | (3.00 | ) | $ | 10.80 | 12.59% | $ | 26,790 | 1.49% | 1.47% | 0.40% | |||||||||||||||||||||||||||
9/30/15i | 13.93 | (0.02 | ) | (1.14 | ) | (1.16 | ) | - | (0.21 | ) | (0.21 | ) | 12.56 | (8.40% | )b | 30,820 | 1.49% | a | 1.47% | a | (0.17% | )a | ||||||||||||||||||||||||||||||
12/31/14 | 15.92 | (0.01 | ) | 0.45 | 0.44 | (0.04 | ) | (2.39 | ) | (2.43 | ) | 13.93 | 3.51% | 43,390 | 1.48% | 1.46% | (0.08% | ) | ||||||||||||||||||||||||||||||||||
12/31/13 | 13.66 | 0.06 | 4.17 | 4.23 | (0.00 | )d | (1.97 | ) | (1.97 | ) | 15.92 | 31.69% | 59,004 | 1.57% | 1.49% | 0.37% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 12.46 | 0.07 | 1.70 | 1.77 | (0.11 | ) | (0.46 | ) | (0.57 | ) | 13.66 | 14.28% | 100,321 | 1.57% | 1.49% | 0.51% | ||||||||||||||||||||||||||||||||||||
12/31/11 | 13.41 | (0.03 | ) | (0.39 | ) | (0.42 | ) | - | (0.53 | ) | (0.53 | ) | 12.46 | (2.99% | ) | 100,184 | 1.57% | 1.49% | (0.21% | ) | ||||||||||||||||||||||||||||||||
Class R4 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.52 | $ | 0.05 | $ | 1.21 | $ | 1.26 | $ | (0.04 | ) | $ | (3.00 | ) | $ | (3.04 | ) | $ | 10.74 | 12.80% | $ | 184 | 1.39% | 1.37% | 0.51% | |||||||||||||||||||||||||||
9/30/15i | 13.88 | (0.01 | ) | (1.14 | ) | (1.15 | ) | - | (0.21 | ) | (0.21 | ) | 12.52 | (8.36% | )b | 92 | 1.39% | a | 1.37% | a | (0.06% | )a | ||||||||||||||||||||||||||||||
12/31/14h | 16.27 | (0.01 | ) | 0.11 | 0.10 | (0.10 | ) | (2.39 | ) | (2.49 | ) | 13.88 | 1.34% | b | 101 | 1.35% | a | N/A | (0.05% | )a | ||||||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.03 | $ | 0.03 | $ | 1.13 | $ | 1.16 | $ | - | $ | (3.00 | ) | $ | (3.00 | ) | $ | 10.19 | 12.42% | $ | 84 | 1.64% | 1.62% | 0.28% | ||||||||||||||||||||||||||||
09/30/15i | 13.36 | (0.03 | ) | (1.09 | ) | (1.12 | ) | - | (0.21 | ) | (0.21 | ) | 12.03 | (8.46% | )b | 57 | 1.64% | a | 1.62% | a | (0.33% | )a | ||||||||||||||||||||||||||||||
12/31/14 | 15.37 | (0.04 | ) | 0.44 | 0.40 | (0.02 | ) | (2.39 | ) | (2.41 | ) | 13.36 | 3.34% | 80 | 1.67% | 1.65% | (0.27% | ) | ||||||||||||||||||||||||||||||||||
12/31/13 | 13.28 | 0.01 | 4.05 | 4.06 | (0.00 | )d | (1.97 | ) | (1.97 | ) | 15.37 | 31.30% | 194 | 1.87% | 1.79% | 0.03% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 12.07 | 0.00 | d | 1.67 | 1.67 | - | (0.46 | ) | (0.46 | ) | 13.28 | 13.90% | 145 | 1.87% | 1.79% | 0.03% | ||||||||||||||||||||||||||||||||||||
12/31/11 | 13.05 | (0.07 | ) | (0.38 | ) | (0.45 | ) | - | (0.53 | ) | (0.53 | ) | 12.07 | (3.30% | ) | 675 | 1.87% | 1.79% | (0.51% | ) |
261
MM S&P Mid Cap Index Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.44 | $ | 0.19 | $ | 1.61 | $ | 1.80 | $ | (0.16 | ) | $ | (0.52 | ) | $ | (0.68 | ) | $ | 13.56 | 15.15% | $ | 73,807 | 0.20% | 0.20% | n | 1.49% | ||||||||||||||||||||||||||
09/30/15i | 13.11 | 0.13 | (0.75 | ) | (0.62 | ) | - | (0.05 | ) | (0.05 | ) | 12.44 | (4.77% | )b | 137,654 | 0.22% | a | 0.20% | a | 1.26% | a | |||||||||||||||||||||||||||||||
12/31/14 | 12.47 | 0.17 | 1.00 | 1.17 | (0.15 | ) | (0.38 | ) | (0.53 | ) | 13.11 | 9.55% | 144,235 | 0.20% | 0.19% | 1.35% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 11.04 | 0.16 | 3.44 | 3.60 | (0.18 | ) | (1.99 | ) | (2.17 | ) | 12.47 | 33.20% | 93,319 | 0.23% | 0.19% | 1.25% | ||||||||||||||||||||||||||||||||||||
12/31/12g | 10.00 | 0.09 | 1.11 | 1.20 | (0.08 | ) | (0.08 | ) | (0.16 | ) | 11.04 | 12.06% | b | 87,245 | 0.29% | a | 0.19% | a | 1.85% | a | ||||||||||||||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.41 | $ | 0.18 | $ | 1.60 | $ | 1.78 | $ | (0.15 | ) | $ | (0.52 | ) | $ | (0.67 | ) | $ | 13.52 | 15.01% | $ | 21,499 | 0.30% | 0.30% | n | 1.44% | ||||||||||||||||||||||||||
9/30/15i | 13.09 | 0.12 | (0.75 | ) | (0.63 | ) | - | (0.05 | ) | (0.05 | ) | 12.41 | (4.86% | )b | 11,433 | 0.32% | a | 0.30% | a | 1.18% | a | |||||||||||||||||||||||||||||||
12/31/14 | 12.46 | 0.15 | 0.99 | 1.14 | (0.13 | ) | (0.38 | ) | (0.51 | ) | 13.09 | 9.38% | 5,628 | 0.30% | 0.29% | 1.20% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 11.04 | 0.16 | 3.42 | 3.58 | (0.17 | ) | (1.99 | ) | (2.16 | ) | 12.46 | 33.08% | 5,893 | 0.33% | 0.29% | 1.22% | ||||||||||||||||||||||||||||||||||||
12/31/12g | 10.00 | 0.08 | 1.12 | 1.20 | (0.08 | ) | (0.08 | ) | (0.16 | ) | 11.04 | 12.02% | b | 112 | 0.39% | a | 0.29% | a | 1.74% | a | ||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.36 | $ | 0.16 | $ | 1.59 | $ | 1.75 | $ | (0.13 | ) | $ | (0.52 | ) | $ | (0.65 | ) | $ | 13.46 | 14.77% | $ | 23,328 | 0.45% | 0.45% | n | 1.26% | ||||||||||||||||||||||||||
09/30/15i | 13.05 | 0.10 | (0.74 | ) | (0.64 | ) | - | (0.05 | ) | (0.05 | ) | 12.36 | (4.95% | )b | 16,533 | 0.47% | a | 0.45% | a | 1.02% | a | |||||||||||||||||||||||||||||||
12/31/14 | 12.43 | 0.15 | 0.98 | 1.13 | (0.13 | ) | (0.38 | ) | (0.51 | ) | 13.05 | 9.31% | 12,480 | 0.45% | 0.44% | 1.16% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 11.04 | 0.14 | 3.41 | 3.55 | (0.17 | ) | (1.99 | ) | (2.16 | ) | 12.43 | 32.81% | 3,206 | 0.48% | 0.44% | 1.07% | ||||||||||||||||||||||||||||||||||||
12/31/12g | 10.00 | 0.08 | 1.12 | 1.20 | (0.08 | ) | (0.08 | ) | (0.16 | ) | 11.04 | 12.01% | b | 225 | 0.54% | a | 0.44% | a | 1.79% | a |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||
2014 | 2013 | 2012 | ||||||||||||||||||
Portfolio turnover rate | 48 | % | 18 | % | 12 | % | 54 | % | 11 | %b |
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 July 26, 2012 (commencement of operations) through December 31, 2012. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
n | Expenses incurred during the period fell under the expense cap. |
The accompanying notes are an integral part of the financial statements.
262
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.35 | $ | 0.15 | $ | 1.59 | $ | 1.74 | $ | (0.12 | ) | $ | (0.52 | ) | $ | (0.64 | ) | $ | 13.45 | 14.69% | $ | 62,951 | 0.55% | 0.55% | n | 1.17% | ||||||||||||||||||||||||||
9/30/15i | 13.05 | 0.09 | (0.74 | ) | (0.65 | ) | - | (0.05 | ) | (0.05 | ) | 12.35 | (5.03% | )b | 50,069 | 0.57% | a | 0.55% | a | 0.92% | a | |||||||||||||||||||||||||||||||
12/31/14 | 12.43 | 0.13 | 0.98 | 1.11 | (0.11 | ) | (0.38 | ) | (0.49 | ) | 13.05 | 9.15% | 42,628 | 0.55% | 0.54% | 1.02% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 11.03 | 0.13 | 3.41 | 3.54 | (0.15 | ) | (1.99 | ) | (2.14 | ) | 12.43 | 32.72% | 12,453 | 0.58% | 0.54% | 0.96% | ||||||||||||||||||||||||||||||||||||
12/31/12g | 10.00 | 0.09 | 1.10 | 1.19 | (0.08 | ) | (0.08 | ) | (0.16 | ) | 11.03 | 11.92% | b | 836 | 0.64% | a | 0.54% | a | 2.01% | a | ||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.32 | $ | 0.11 | $ | 1.61 | $ | 1.72 | $ | (0.10 | ) | $ | (0.52 | ) | $ | (0.62 | ) | $ | 13.42 | 14.49% | $ | 42,316 | 0.80% | 0.80% | n | 0.91% | ||||||||||||||||||||||||||
9/30/15i | 13.04 | 0.07 | (0.74 | ) | (0.67 | ) | - | (0.05 | ) | (0.05 | ) | 12.32 | (5.18% | )b | 32,378 | 0.82% | a | 0.80% | a | 0.67% | a | |||||||||||||||||||||||||||||||
12/31/14 | 12.43 | 0.10 | 0.97 | 1.07 | (0.08 | ) | (0.38 | ) | (0.46 | ) | 13.04 | 8.83% | 28,715 | 0.81% | 0.80% | 0.76% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 11.04 | 0.09 | 3.42 | 3.51 | (0.13 | ) | (1.99 | ) | (2.12 | ) | 12.43 | 32.40% | 8,961 | 0.88% | 0.84% | 0.68% | ||||||||||||||||||||||||||||||||||||
12/31/12g | 10.00 | 0.06 | 1.11 | 1.17 | (0.05 | ) | (0.08 | ) | (0.13 | ) | 11.04 | 11.76% | b | 112 | 0.94% | a | 0.84% | a | 1.19% | a | ||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.32 | $ | 0.13 | $ | 1.59 | $ | 1.72 | $ | (0.13 | ) | $ | (0.52 | ) | $ | (0.65 | ) | $ | 13.39 | 14.56% | $ | 36,917 | 0.70% | 0.70% | n | 1.04% | ||||||||||||||||||||||||||
9/30/15i | 13.04 | 0.09 | (0.76 | ) | (0.67 | ) | - | (0.05 | ) | (0.05 | ) | 12.32 | (5.18% | )b | 14,014 | 0.72% | a | 0.70% | a | 0.86% | a | |||||||||||||||||||||||||||||||
12/31/14h | 12.77 | 0.09 | 0.66 | 0.75 | (0.10 | ) | (0.38 | ) | (0.48 | ) | 13.04 | 6.04% | b | 132 | 0.69% | a | 0.69% | a,n | 0.89% | a | ||||||||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.31 | $ | 0.10 | $ | 1.58 | $ | 1.68 | $ | (0.12 | ) | $ | (0.52 | ) | $ | (0.64 | ) | $ | 13.35 | 14.25% | $ | 33,905 | 0.95% | 0.95% | n | 0.81% | ||||||||||||||||||||||||||
9/30/15i | 13.04 | 0.06 | (0.74 | ) | (0.68 | ) | - | (0.05 | ) | (0.05 | ) | 12.31 | (5.26% | )b | 8,746 | 0.97% | a | 0.95% | a | 0.61% | a | |||||||||||||||||||||||||||||||
12/31/14h | 12.77 | 0.06 | 0.66 | 0.72 | (0.07 | ) | (0.38 | ) | (0.45 | ) | 13.04 | 5.84% | b | 142 | 0.95% | a | 0.95% | a,n | 0.60% | a |
263
MM Russell 2000 Small Cap Index Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 11.28 | $ | 0.17 | $ | 1.54 | $ | 1.71 | $ | (0.14 | ) | $ | (0.28 | ) | $ | (0.42 | ) | $ | 12.57 | 15.62% | $ | 127,660 | 0.21% | 0.20% | 1.48% | |||||||||||||||||||||||||||
9/30/15i | 12.24 | 0.13 | (1.08 | ) | (0.95 | ) | - | (0.01 | ) | (0.01 | ) | 11.28 | (7.79% | )b | 185,516 | 0.29% | a | 0.20% | a | 1.40% | a | |||||||||||||||||||||||||||||||
12/31/14 | 13.20 | 0.17 | 0.40 | 0.57 | (0.16 | ) | (1.37 | ) | (1.53 | ) | 12.24 | 4.94% | 97,737 | 0.27% | 0.20% | 1.33% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 10.95 | 0.18 | 3.95 | 4.13 | (0.19 | ) | (1.69 | ) | (1.88 | ) | 13.20 | 38.47% | 91,466 | 0.29% | 0.19% | 1.40% | ||||||||||||||||||||||||||||||||||||
12/31/12g | 10.00 | 0.13 | 0.99 | 1.12 | (0.12 | ) | (0.05 | ) | (0.17 | ) | 10.95 | 11.24% | b | 86,679 | 0.30% | a | 0.19% | a | 2.88% | a | ||||||||||||||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 11.28 | $ | 0.16 | $ | 1.53 | $ | 1.69 | $ | (0.13 | ) | $ | (0.28 | ) | $ | (0.41 | ) | $ | 12.56 | 15.42% | $ | 15,287 | 0.31% | 0.30% | 1.40% | |||||||||||||||||||||||||||
9/30/15i | 12.24 | 0.12 | (1.07 | ) | (0.95 | ) | - | (0.01 | ) | (0.01 | ) | 11.28 | (7.79% | )b | 7,948 | 0.39% | a | 0.30% | a | 1.27% | a | |||||||||||||||||||||||||||||||
12/31/14 | 13.19 | 0.15 | 0.40 | 0.55 | (0.13 | ) | (1.37 | ) | (1.50 | ) | 12.24 | 4.80% | 4,343 | 0.38% | 0.30% | 1.16% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 10.95 | 0.19 | 3.93 | 4.12 | (0.19 | ) | (1.69 | ) | (1.88 | ) | 13.19 | 38.38% | 13,078 | 0.39% | 0.29% | 1.41% | ||||||||||||||||||||||||||||||||||||
12/31/12g | 10.00 | 0.13 | 0.98 | 1.11 | (0.11 | ) | (0.05 | ) | (0.16 | ) | 10.95 | 11.19% | b | 111 | 0.40% | a | 0.29% | a | 2.76% | a | ||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 11.21 | $ | 0.14 | $ | 1.52 | $ | 1.66 | $ | (0.11 | ) | $ | (0.28 | ) | $ | (0.39 | ) | $ | 12.48 | 15.23% | $ | 13,347 | 0.46% | 0.45% | 1.22% | |||||||||||||||||||||||||||
9/30/15i | 12.17 | 0.10 | (1.05 | ) | (0.95 | ) | - | (0.01 | ) | (0.01 | ) | 11.21 | (7.84% | )b | 8,110 | 0.54% | a | 0.45% | a | 1.09% | a | |||||||||||||||||||||||||||||||
12/31/14 | 13.16 | 0.15 | 0.37 | 0.52 | (0.14 | ) | (1.37 | ) | (1.51 | ) | 12.17 | 4.55% | 6,499 | 0.52% | 0.45% | 1.14% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 10.94 | 0.18 | 3.92 | 4.10 | (0.19 | ) | (1.69 | ) | (1.88 | ) | 13.16 | 38.24% | 997 | 0.54% | 0.44% | 1.31% | ||||||||||||||||||||||||||||||||||||
12/31/12g | 10.00 | 0.13 | 0.97 | 1.10 | (0.11 | ) | (0.05 | ) | (0.16 | ) | 10.94 | 11.03% | b | 129 | 0.55% | a | 0.44% | a | 2.73% | a |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||
2014 | 2013 | 2012 | ||||||||||||||||||
Portfolio turnover rate | 37 | % | 13 | % | 33 | % | 59 | % | 10 | %b |
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 July 26, 2012 (commencement of operations) through December 31, 2012. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
The accompanying notes are an integral part of the financial statements.
264
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 11.23 | $ | 0.13 | $ | 1.52 | $ | 1.65 | $ | (0.10 | ) | $ | (0.28 | ) | $ | (0.38 | ) | $ | 12.50 | 15.11% | $ | 44,061 | 0.56% | 0.55% | 1.14% | |||||||||||||||||||||||||||
9/30/15i | 12.20 | 0.09 | (1.05 | ) | (0.96 | ) | - | (0.01 | ) | (0.01 | ) | 11.23 | (7.90% | )b | 30,993 | 0.64% | a | 0.55% | a | 1.00% | a | |||||||||||||||||||||||||||||||
12/31/14 | 13.18 | 0.13 | 0.39 | 0.52 | (0.13 | ) | (1.37 | ) | (1.50 | ) | 12.20 | 4.52% | 25,705 | 0.62% | 0.55% | 1.02% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 10.94 | 0.15 | 3.94 | 4.09 | (0.16 | ) | (1.69 | ) | (1.85 | ) | 13.18 | 38.13% | 7,562 | 0.64% | 0.54% | 1.14% | ||||||||||||||||||||||||||||||||||||
12/31/12g | 10.00 | 0.12 | 0.97 | 1.09 | (0.10 | ) | (0.05 | ) | (0.15 | ) | 10.94 | 10.99% | b | 127 | 0.65% | a | 0.54% | a | 2.60% | a | ||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 11.16 | $ | 0.10 | $ | 1.52 | $ | 1.62 | $ | (0.07 | ) | $ | (0.28 | ) | $ | (0.35 | ) | $ | 12.43 | 14.91% | $ | 19,806 | 0.81% | 0.80% | 0.89% | |||||||||||||||||||||||||||
9/30/15i | 12.16 | 0.07 | (1.06 | ) | (0.99 | ) | - | (0.01 | ) | (0.01 | ) | 11.16 | (8.18% | )b | 14,478 | 0.89% | a | 0.80% | a | 0.73% | a | |||||||||||||||||||||||||||||||
12/31/14 | 13.15 | 0.10 | 0.38 | 0.48 | (0.10 | ) | (1.37 | ) | (1.47 | ) | 12.16 | 4.24% | 15,338 | 0.88% | 0.81% | 0.76% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 10.95 | 0.11 | 3.92 | 4.03 | (0.14 | ) | (1.69 | ) | (1.83 | ) | 13.15 | 37.66% | 5,547 | 0.94% | 0.84% | 0.82% | ||||||||||||||||||||||||||||||||||||
12/31/12g | 10.00 | 0.10 | 0.99 | 1.09 | (0.09 | ) | (0.05 | ) | (0.14 | ) | 10.95 | 10.83% | b | 111 | 0.95% | a | 0.84% | a | 2.21% | a | ||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 11.17 | $ | 0.11 | $ | 1.51 | $ | 1.62 | $ | (0.11 | ) | $ | (0.28 | ) | $ | (0.39 | ) | $ | 12.40 | 14.93% | $ | 29,129 | 0.71% | 0.70% | 1.00% | |||||||||||||||||||||||||||
9/30/15i | 12.16 | 0.09 | (1.07 | ) | (0.98 | ) | - | (0.01 | ) | (0.01 | ) | 11.17 | (8.09% | )b | 9,367 | 0.79% | a | 0.70% | a | 0.96% | a | |||||||||||||||||||||||||||||||
12/31/14h | 13.27 | 0.08 | 0.30 | 0.38 | (0.12 | ) | (1.37 | ) | (1.49 | ) | 12.16 | 3.42% | b | 151 | 0.76% | a | 0.70% | a | 0.88% | a | ||||||||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 11.16 | $ | 0.09 | $ | 1.49 | $ | 1.58 | $ | (0.10 | ) | $ | (0.28 | ) | $ | (0.38 | ) | $ | 12.36 | 14.60% | $ | 22,081 | 0.96% | 0.95% | 0.75% | |||||||||||||||||||||||||||
9/30/15i | 12.16 | 0.07 | (1.06 | ) | (0.99 | ) | - | (0.01 | ) | (0.01 | ) | 11.16 | (8.18% | )b | 5,873 | 1.04% | a | 0.95% | a | 0.71% | a | |||||||||||||||||||||||||||||||
12/31/14h | 13.27 | 0.06 | 0.29 | 0.35 | (0.09 | ) | (1.37 | ) | (1.46 | ) | 12.16 | 3.20% | b | 138 | 1.01% | a | 0.95% | a | 0.61% | a |
265
MassMutual Select Mid Cap Growth Equity II Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
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 returnl,m | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 18.74 | $ | 0.01 | $ | 1.91 | $ | 1.92 | $ | - | $ | (1.50 | ) | $ | (1.50 | ) | $ | 19.16 | 10.74% | $ | 1,668,899 | 0.73% | N/A | 0.07% | ||||||||||||||||||||||||||||
9/30/15i | 18.65 | (0.01 | ) | 0.24 | 0.23 | - | (0.14 | ) | (0.14 | ) | 18.74 | 1.22% | b | 816,703 | 0.75% | a | N/A | (0.08% | )a | |||||||||||||||||||||||||||||||||
12/31/14 | 18.42 | (0.02 | ) | 2.33 | 2.31 | - | (2.08 | ) | (2.08 | ) | 18.65 | 13.00% | 441,065 | 0.77% | 0.74% | (0.11% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 15.03 | (0.02 | ) | 5.40 | 5.38 | - | (1.99 | ) | (1.99 | ) | 18.42 | 36.31% | 298,869 | 0.83% | 0.73% | (0.10% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 14.27 | 0.02 | 2.07 | 2.09 | (0.03 | ) | (1.30 | ) | (1.33 | ) | 15.03 | 14.71% | 185,584 | 0.83% | 0.73% | 0.12% | ||||||||||||||||||||||||||||||||||||
12/31/11 | 15.76 | (0.03 | ) | (0.29 | ) | (0.32 | ) | - | (1.17 | ) | (1.17 | ) | 14.27 | (1.74% | ) | 150,571 | 0.84% | 0.74% | (0.20% | ) | ||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 18.63 | $ | (0.00 | )d | $ | 1.88 | $ | 1.88 | $ | - | $ | (1.50 | ) | $ | (1.50 | ) | $ | 19.01 | 10.58% | $ | 826,289 | 0.83% | N/A | (0.03% | ) | ||||||||||||||||||||||||||
9/30/15i | 18.56 | (0.03 | ) | 0.24 | 0.21 | - | (0.14 | ) | (0.14 | ) | 18.63 | 1.12% | b | 641,170 | 0.85% | a | N/A | (0.18% | )a | |||||||||||||||||||||||||||||||||
12/31/14 | 18.36 | (0.04 | ) | 2.32 | 2.28 | - | (2.08 | ) | (2.08 | ) | 18.56 | 12.88% | 668,005 | 0.87% | 0.85% | (0.22% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 15.00 | (0.04 | ) | 5.39 | 5.35 | - | (1.99 | ) | (1.99 | ) | 18.36 | 36.19% | 569,238 | 0.96% | 0.86% | (0.22% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 14.25 | (0.01 | ) | 2.07 | 2.06 | (0.01 | ) | (1.30 | ) | (1.31 | ) | 15.00 | 14.51% | 456,600 | 0.96% | 0.86% | (0.04% | ) | ||||||||||||||||||||||||||||||||||
12/31/11 | 15.76 | (0.06 | ) | (0.28 | ) | (0.34 | ) | - | (1.17 | ) | (1.17 | ) | 14.25 | (1.86% | ) | 442,760 | 0.96% | 0.86% | (0.38% | ) | ||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 18.30 | $ | (0.02 | ) | $ | 1.86 | $ | 1.84 | $ | - | $ | (1.50 | ) | $ | (1.50 | ) | $ | 18.64 | 10.55% | $ | 234,465 | 0.93% | N/A | (0.13% | ) | ||||||||||||||||||||||||||
9/30/15i | 18.25 | (0.04 | ) | 0.23 | 0.19 | - | (0.14 | ) | (0.14 | ) | 18.30 | 1.03% | b | 238,436 | 0.95% | a | N/A | (0.28% | )a | |||||||||||||||||||||||||||||||||
12/31/14 | 18.10 | (0.06 | ) | 2.29 | 2.23 | - | (2.08 | ) | (2.08 | ) | 18.25 | 12.79% | 243,292 | 0.97% | 0.95% | (0.31% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 14.83 | (0.06 | ) | 5.32 | 5.26 | - | (1.99 | ) | (1.99 | ) | 18.10 | 35.99% | 267,615 | 1.05% | 0.95% | (0.32% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 14.10 | (0.02 | ) | 2.05 | 2.03 | - | (1.30 | ) | (1.30 | ) | 14.83 | 14.47% | 207,290 | 1.05% | 0.95% | (0.11% | ) | |||||||||||||||||||||||||||||||||||
12/31/11 | 15.63 | (0.07 | ) | (0.29 | ) | (0.36 | ) | - | (1.17 | ) | (1.17 | ) | 14.10 | (2.01% | ) | 182,810 | 1.05% | 0.95% | (0.47% | ) |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate | 36 | % | 31 | % | 33 | % | 32 | % | 36 | % | 38 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $.0005 per share. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
The accompanying notes are an integral part of the financial statements.
266
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 17.71 | $ | (0.04 | ) | $ | 1.79 | $ | 1.75 | $ | - | $ | (1.50 | ) | $ | (1.50 | ) | $ | 17.96 | 10.38% | $ | 340,187 | 1.03% | N/A | (0.23% | ) | ||||||||||||||||||||||||||
9/30/15i | 17.68 | (0.05 | ) | 0.22 | 0.17 | - | (0.14 | ) | (0.14 | ) | 17.71 | 0.95% | b | 364,801 | 1.05% | a | N/A | (0.38% | )a | |||||||||||||||||||||||||||||||||
12/31/14 | 17.61 | (0.08 | ) | 2.23 | 2.15 | - | (2.08 | ) | (2.08 | ) | 17.68 | 12.70% | 364,385 | 1.09% | 1.06% | (0.43% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 14.49 | (0.08 | ) | 5.19 | 5.11 | - | (1.99 | ) | (1.99 | ) | 17.61 | 35.80% | 382,576 | 1.20% | 1.10% | (0.47% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 13.82 | (0.04 | ) | 2.01 | 1.97 | - | (1.30 | ) | (1.30 | ) | 14.49 | 14.33% | 320,612 | 1.20% | 1.10% | (0.28% | ) | |||||||||||||||||||||||||||||||||||
12/31/11 | 15.37 | (0.10 | ) | (0.28 | ) | (0.38 | ) | - | (1.17 | ) | (1.17 | ) | 13.82 | (2.18% | ) | 328,331 | 1.20% | 1.10% | (0.63% | ) | ||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 16.75 | $ | (0.08 | ) | $ | 1.69 | $ | 1.61 | $ | - | $ | (1.50 | ) | $ | (1.50 | ) | $ | 16.86 | 10.12% | $ | 297,498 | 1.28% | N/A | (0.48% | ) | ||||||||||||||||||||||||||
9/30/15i | 16.76 | (0.08 | ) | 0.21 | 0.13 | - | (0.14 | ) | (0.14 | ) | 16.75 | 0.76% | b | 306,259 | 1.30% | a | N/A | (0.63% | )a | |||||||||||||||||||||||||||||||||
12/31/14 | 16.84 | (0.12 | ) | 2.12 | 2.00 | - | (2.08 | ) | (2.08 | ) | 16.76 | 12.38% | 322,121 | 1.34% | 1.31% | (0.68% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 13.96 | (0.12 | ) | 4.99 | 4.87 | - | (1.99 | ) | (1.99 | ) | 16.84 | 35.44% | 333,489 | 1.44% | 1.34% | (0.72% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 13.39 | (0.08 | ) | 1.95 | 1.87 | - | (1.30 | ) | (1.30 | ) | 13.96 | 14.05% | 347,186 | 1.45% | 1.35% | (0.52% | ) | |||||||||||||||||||||||||||||||||||
12/31/11 | 14.96 | (0.13 | ) | (0.27 | ) | (0.40 | ) | - | (1.17 | ) | (1.17 | ) | 13.39 | (2.37% | ) | 329,974 | 1.45% | 1.35% | (0.87% | ) | ||||||||||||||||||||||||||||||||
Class R4 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 16.79 | $ | (0.06 | ) | $ | 1.69 | $ | 1.63 | $ | - | $ | (1.50 | ) | $ | (1.50 | ) | $ | 16.92 | 10.22% | $ | 54,177 | 1.18% | N/A | (0.39% | ) | ||||||||||||||||||||||||||
9/30/15i | 16.78 | (0.07 | ) | 0.22 | 0.15 | - | (0.14 | ) | (0.14 | ) | 16.79 | 0.88% | b | 11,441 | 1.20% | a | N/A | (0.53% | )a | |||||||||||||||||||||||||||||||||
12/31/14h | 17.37 | (0.07 | ) | 1.56 | 1.49 | - | (2.08 | ) | (2.08 | ) | 16.78 | 9.07% | b | 2,860 | 1.20% | a | N/A | (0.50% | )a | |||||||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 15.81 | $ | (0.10 | ) | $ | 1.59 | $ | 1.49 | $ | - | $ | (1.50 | ) | $ | (1.50 | ) | $ | 15.80 | 9.95% | $ | 14,056 | 1.43% | N/A | (0.63% | ) | ||||||||||||||||||||||||||
9/30/15i | 15.84 | (0.10 | ) | 0.21 | 0.11 | - | (0.14 | ) | (0.14 | ) | 15.81 | 0.68% | b | 4,788 | 1.45% | a | N/A | (0.78% | )a | |||||||||||||||||||||||||||||||||
12/31/14 | 16.05 | (0.14 | ) | 2.01 | 1.87 | - | (2.08 | ) | (2.08 | ) | 15.84 | 12.18% | 2,445 | 1.51% | 1.49% | (0.86% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 13.42 | (0.16 | ) | 4.78 | 4.62 | - | (1.99 | ) | (1.99 | ) | 16.05 | 35.00% | 2,062 | 1.75% | 1.65% | (1.02% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 12.95 | (0.12 | ) | 1.89 | 1.77 | - | (1.30 | ) | (1.30 | ) | 13.42 | 13.75% | 1,969 | 1.75% | 1.65% | (0.84% | ) | |||||||||||||||||||||||||||||||||||
12/31/11 | 14.56 | (0.17 | ) | (0.27 | ) | (0.44 | ) | - | (1.17 | ) | (1.17 | ) | 12.95 | (2.71% | ) | 2,052 | 1.75% | 1.65% | (1.18% | ) |
267
MassMutual Select Small Cap Growth Equity Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
| 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 | Tax return of capital | Total distributions | Net asset value, end of the period | Total returnl,m | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 15.17 | $ | (0.00 | )d | $ | 1.05 | $ | 1.05 | $ | (3.17 | ) | $ | (0.00 | )d | $ | (3.17 | ) | $ | 13.05 | 8.25% | * | $ | 276,267 | 0.87% | N/A | (0.03% | ) | ||||||||||||||||||||||||
9/30/15i | 16.37 | (0.01 | ) | (0.95 | ) | (0.96 | ) | (0.24 | ) | - | (0.24 | ) | 15.17 | (5.92% | )b | 237,215 | 0.85% | a | N/A | (0.08% | )a | |||||||||||||||||||||||||||||||
12/31/14 | 19.02 | (0.03 | ) | 1.03 | 1.00 | (3.65 | ) | - | (3.65 | ) | 16.37 | 6.16% | 523,725 | 0.85% | 0.84% | (0.19% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 15.16 | (0.04 | ) | 7.14 | 7.10 | (3.24 | ) | - | (3.24 | ) | 19.02 | 47.86% | 237,249 | 0.92% | 0.85% | (0.23% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 14.16 | (0.02 | ) | 1.92 | 1.90 | (0.90 | ) | - | (0.90 | ) | 15.16 | 13.53% | 136,266 | 0.92% | 0.86% | (0.12% | ) | |||||||||||||||||||||||||||||||||||
12/31/11 | 17.26 | (0.06 | ) | (0.96 | ) | (1.02 | ) | (2.08 | ) | - | (2.08 | ) | 14.16 | (5.41% | ) | 119,706 | 0.92% | 0.87% | (0.36% | ) | ||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 15.07 | $ | (0.02 | ) | $ | 1.05 | $ | 1.03 | $ | (3.17 | ) | $ | (0.00 | )d | $ | (3.17 | ) | $ | 12.93 | 8.16% | * | $ | 119,577 | 0.97% | N/A | (0.15% | ) | ||||||||||||||||||||||||
9/30/15i | 16.28 | (0.02 | ) | (0.95 | ) | (0.97 | ) | (0.24 | ) | - | (0.24 | ) | 15.07 | (6.07% | )b | 168,987 | 0.95% | a | N/A | (0.18% | )a | |||||||||||||||||||||||||||||||
12/31/14 | 18.94 | (0.06 | ) | 1.05 | 0.99 | (3.65 | ) | - | (3.65 | ) | 16.28 | 6.14% | 212,669 | 0.97% | 0.94% | (0.30% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 15.12 | (0.06 | ) | 7.12 | 7.06 | (3.24 | ) | - | (3.24 | ) | 18.94 | 47.71% | 574,359 | 1.02% | 0.95% | (0.31% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 14.14 | (0.03 | ) | 1.91 | 1.88 | (0.90 | ) | - | (0.90 | ) | 15.12 | 13.41% | 455,747 | 1.02% | 0.96% | (0.22% | ) | |||||||||||||||||||||||||||||||||||
12/31/11 | 17.25 | (0.09 | ) | (0.94 | ) | (1.03 | ) | (2.08 | ) | - | (2.08 | ) | 14.14 | (5.47% | ) | 429,979 | 1.02% | 0.97% | (0.53% | ) | ||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 14.53 | $ | (0.03 | ) | $ | 1.00 | $ | 0.97 | $ | (3.17 | ) | $ | (0.00 | )d | $ | (3.17 | ) | $ | 12.33 | 8.02% | * | $ | 36,718 | 1.07% | N/A | (0.23% | ) | ||||||||||||||||||||||||
9/30/15i | 15.71 | (0.03 | ) | (0.91 | ) | (0.94 | ) | (0.24 | ) | - | (0.24 | ) | 14.53 | (6.10% | )b | 36,194 | 1.05% | a | N/A | (0.28% | )a | |||||||||||||||||||||||||||||||
12/31/14 | 18.43 | (0.07 | ) | 1.00 | 0.93 | (3.65 | ) | - | (3.65 | ) | 15.71 | 5.98% | 39,757 | 1.08% | 1.05% | (0.41% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 14.80 | (0.08 | ) | 6.95 | 6.87 | (3.24 | ) | - | (3.24 | ) | 18.43 | 47.46% | 77,163 | 1.16% | 1.09% | (0.46% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 13.87 | (0.06 | ) | 1.89 | 1.83 | (0.90 | ) | - | (0.90 | ) | 14.80 | 13.31% | 58,290 | 1.16% | 1.10% | (0.39% | ) | |||||||||||||||||||||||||||||||||||
12/31/11 | 17.00 | (0.12 | ) | (0.93 | ) | (1.05 | ) | (2.08 | ) | - | (2.08 | ) | 13.87 | (5.68% | ) | 64,304 | 1.16% | 1.11% | (0.68% | ) |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate | 85 | % | 82 | % | 76 | % | 97 | % | 104 | % | 88 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
* | Generally accepted accounting principles may require adjustment to be made to the net assets of the Fund at period end for financial reporting purposes, and as such, the net asset values for shareholder transactions and the returns based on those net asset values may differ from the returns reported in the portfolio manager commentary section of this report. |
The accompanying notes are an integral part of the financial statements.
268
| 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 | Tax return of capital | Total distributions | Net asset value, end of the period | Total returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.95 | $ | (0.04 | ) | $ | 0.95 | $ | 0.91 | $ | (3.17 | ) | $ | (0.00 | )d | $ | (3.17 | ) | $ | 11.69 | 7.92% | * | $ | 29,335 | 1.17% | N/A | (0.34% | ) | ||||||||||||||||||||||||
9/30/15i | 15.10 | (0.04 | ) | (0.87 | ) | (0.91 | ) | (0.24 | ) | - | (0.24 | ) | 13.95 | (6.15% | )b | 33,350 | 1.15% | a | N/A | (0.38% | )a | |||||||||||||||||||||||||||||||
12/31/14 | 17.87 | (0.09 | ) | 0.97 | 0.88 | (3.65 | ) | - | (3.65 | ) | 15.10 | 5.88% | 30,069 | 1.18% | 1.16% | (0.52% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 14.44 | (0.10 | ) | 6.77 | 6.67 | (3.24 | ) | - | (3.24 | ) | 17.87 | 47.25% | 42,628 | 1.31% | 1.24% | (0.60% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 13.58 | (0.08 | ) | 1.84 | 1.76 | (0.90 | ) | - | (0.90 | ) | 14.44 | 13.08% | 50,085 | 1.31% | 1.25% | (0.53% | ) | |||||||||||||||||||||||||||||||||||
12/31/11 | 16.71 | (0.14 | ) | (0.91 | ) | (1.05 | ) | (2.08 | ) | - | (2.08 | ) | 13.58 | (5.77% | ) | 50,193 | 1.31% | 1.26% | (0.83% | ) | ||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.97 | $ | (0.06 | ) | $ | 0.87 | $ | 0.81 | $ | (3.17 | ) | $ | (0.00 | )d | $ | (3.17 | ) | $ | 10.61 | 7.70% | * | $ | 40,045 | 1.42% | N/A | (0.59% | ) | ||||||||||||||||||||||||
9/30/15i | 14.09 | (0.07 | ) | (0.81 | ) | (0.88 | ) | (0.24 | ) | - | (0.24 | ) | 12.97 | (6.31% | )b | 46,014 | 1.40% | a | N/A | (0.63% | )a | |||||||||||||||||||||||||||||||
12/31/14 | 16.96 | (0.13 | ) | 0.91 | 0.78 | (3.65 | ) | - | (3.65 | ) | 14.09 | 5.60% | 56,296 | 1.43% | 1.41% | (0.77% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 13.85 | (0.14 | ) | 6.49 | 6.35 | (3.24 | ) | - | (3.24 | ) | 16.96 | 46.94% | 71,667 | 1.56% | 1.49% | (0.86% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 13.09 | (0.13 | ) | 1.79 | 1.66 | (0.90 | ) | - | (0.90 | ) | 13.85 | 12.80% | 60,764 | 1.56% | 1.50% | (0.89% | ) | |||||||||||||||||||||||||||||||||||
12/31/11 | 16.23 | (0.18 | ) | (0.88 | ) | (1.06 | ) | (2.08 | ) | - | (2.08 | ) | 13.09 | (6.01% | ) | 70,773 | 1.56% | 1.51% | (1.12% | ) | ||||||||||||||||||||||||||||||||
Class R4 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 13.00 | $ | (0.05 | ) | $ | 0.87 | $ | 0.82 | $ | (3.17 | ) | $ | (0.00 | )d | $ | (3.17 | ) | $ | 10.65 | 7.78% | * | $ | 1,781 | 1.32% | N/A | (0.45% | ) | ||||||||||||||||||||||||
9/30/15i | 14.10 | (0.06 | ) | (0.80 | ) | (0.86 | ) | (0.24 | ) | - | (0.24 | ) | 13.00 | (6.23% | )b | 438 | 1.30% | a | N/A | (0.54% | )a | |||||||||||||||||||||||||||||||
12/31/14h | 17.12 | (0.08 | ) | 0.71 | 0.63 | (3.65 | ) | - | (3.65 | ) | 14.10 | 4.67% | b | 105 | 1.29% | a | N/A | (0.62% | )a | |||||||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 12.02 | $ | (0.06 | ) | $ | 0.78 | $ | 0.72 | $ | (3.17 | ) | $ | (0.00 | )d | $ | (3.17 | ) | $ | 9.57 | 7.52% | * | $ | 1,254 | 1.57% | N/A | (0.69% | ) | ||||||||||||||||||||||||
9/30/15i | 13.09 | (0.08 | ) | (0.75 | ) | (0.83 | ) | (0.24 | ) | - | (0.24 | ) | 12.02 | (6.41% | )b | 315 | 1.55% | a | N/A | (0.80% | )a | |||||||||||||||||||||||||||||||
12/31/14 | 16.04 | (0.16 | ) | 0.86 | 0.70 | (3.65 | ) | - | (3.65 | ) | 13.09 | 5.35% | 104 | 1.66% | 1.63% | (1.02% | ) | |||||||||||||||||||||||||||||||||||
12/31/13 | 13.27 | (0.19 | ) | 6.20 | 6.01 | (3.24 | ) | - | (3.24 | ) | 16.04 | 46.43% | 571 | 1.86% | 1.79% | (1.16% | ) | |||||||||||||||||||||||||||||||||||
12/31/12 | 12.61 | (0.14 | ) | 1.70 | 1.56 | (0.90 | ) | - | (0.90 | ) | 13.27 | 12.49% | 479 | 1.86% | 1.80% | (1.04% | ) | |||||||||||||||||||||||||||||||||||
12/31/11 | 15.77 | (0.21 | ) | (0.87 | ) | (1.08 | ) | (2.08 | ) | - | (2.08 | ) | 12.61 | (6.32% | ) | 426 | 1.86% | 1.81% | (1.37% | ) |
269
MassMutual Select Diversified International Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
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 | Tax return of capital | Total distributions | Net asset value, end of the period | Total returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 6.35 | $ | 0.15 | $ | (0.08 | ) | $ | 0.07 | $ | (0.01 | ) | $ | - | $ | (0.01 | ) | $ | 6.41 | 1.07% | $ | 39,038 | 1.20% | 0.90% | 2.38% | |||||||||||||||||||||||||||
9/30/15i | 6.67 | 0.11 | (0.43 | ) | (0.32 | ) | - | - | - | 6.35 | (4.80% | )b | 65,202 | 1.19% | a | 0.90% | a | 2.14% | a | |||||||||||||||||||||||||||||||||
12/31/14h | 7.55 | 0.12 | (0.74 | ) | (0.62 | ) | (0.26 | ) | - | (0.26 | ) | 6.67 | (8.12% | )b | 60,663 | 0.96% | a | 0.90% | a | 2.14% | a | |||||||||||||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 6.34 | $ | 0.17 | $ | (1.51 | ) | $ | (1.34 | ) | $ | - | $ | - | $ | - | $ | 5.00 | (21.14% | )* | $ | 0 | f | 1.31% | 1.00% | 2.63% | ||||||||||||||||||||||||||
9/30/15i | 6.68 | 0.00 | d | (0.34 | ) | (0.34 | ) | - | - | - | 6.34 | (4.94% | )b | 12 | 1.29% | a | 1.00% | a | (0.09% | )a | ||||||||||||||||||||||||||||||||
12/31/14 | 7.72 | 0.30 | (1.09 | ) | (0.79 | ) | (0.25 | ) | - | (0.25 | ) | 6.68 | (10.10% | ) | 110,644 | 1.06% | 1.00% | 4.06% | ||||||||||||||||||||||||||||||||||
12/31/13 | 6.49 | 0.15 | 1.26 | 1.41 | (0.18 | ) | (0.00 | )d | (0.18 | ) | 7.72 | 21.84% | 162,746 | 1.06% | 0.99% | 2.14% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 5.70 | 0.17 | 0.81 | 0.98 | (0.19 | ) | - | (0.19 | ) | 6.49 | 17.29% | 151,060 | 1.07% | 0.99% | 2.86% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 7.08 | 0.15 | (1.35 | ) | (1.20 | ) | (0.18 | ) | - | (0.18 | ) | 5.70 | (16.84% | ) | 121,002 | 1.09% | 0.99% | 2.24% | ||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 6.51 | $ | 0.15 | $ | (0.10 | ) | $ | 0.05 | $ | - | $ | - | $ | - | $ | 6.56 | 0.77% | $ | 160 | 1.40% | 1.10% | 2.27% | |||||||||||||||||||||||||||||
9/30/15i | 6.84 | 0.10 | (0.43 | ) | (0.33 | ) | - | - | - | 6.51 | (4.82% | )b | 142 | 1.39% | a | 1.10% | a | 1.92% | a | |||||||||||||||||||||||||||||||||
12/31/14 | 7.91 | 0.22 | (1.04 | ) | (0.82 | ) | (0.25 | ) | - | (0.25 | ) | 6.84 | (10.30% | ) | 146 | 1.16% | 1.10% | 2.89% | ||||||||||||||||||||||||||||||||||
12/31/13 | 6.65 | 0.14 | 1.29 | 1.43 | (0.17 | ) | (0.00 | )d | (0.17 | ) | 7.91 | 21.66% | 97 | 1.16% | 1.09% | 1.92% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 5.84 | 0.17 | 0.83 | 1.00 | (0.19 | ) | - | (0.19 | ) | 6.65 | 17.12% | 74 | 1.17% | 1.09% | 2.75% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 7.06 | 0.19 | (1.40 | ) | (1.21 | ) | (0.01 | ) | - | (0.01 | ) | 5.84 | (17.11% | ) | 55 | 1.19% | 1.09% | 2.69% |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended September 30 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate for all share classes | 84 | % | 64 | % | 68 | % | 56 | % | 58 | % | 140 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
f | Amount is less than $500. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
* | Generally accepted accounting principles may require adjustment to be made to the net assets of the Fund at period end for financial reporting purposes, and as such, the net asset values for shareholder transactions and the returns based on those net asset values may differ from the returns reported in the portfolio manager commentary section of this report. |
The accompanying notes are an integral part of the financial statements.
270
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 | Tax return of capital | Total distributions | Net asset value, end of the period | Total returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 6.59 | $ | 0.14 | $ | (0.09 | ) | $ | 0.05 | $ | - | $ | - | $ | - | $ | 6.64 | 0.76% | $ | 138 | 1.50% | 1.20% | 2.11% | |||||||||||||||||||||||||||||
9/30/15i | 6.93 | 0.10 | (0.44 | ) | (0.34 | ) | - | - | - | 6.59 | (4.91% | )b | 85 | 1.49% | a | 1.20% | a | 1.82% | a | |||||||||||||||||||||||||||||||||
12/31/14 | 8.02 | 0.10 | (0.94 | ) | (0.84 | ) | (0.25 | ) | - | (0.25 | ) | 6.93 | (10.43% | ) | 89 | 1.26% | 1.20% | 1.29% | ||||||||||||||||||||||||||||||||||
12/31/13 | 6.74 | 0.13 | 1.31 | 1.44 | (0.16 | ) | (0.00 | )d | (0.16 | ) | 8.02 | 21.50% | 12 | 1.31% | 1.17% | 1.82% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 5.79 | 0.20 | 0.75 | 0.95 | - | - | - | 6.74 | 16.61% | 18 | 1.32% | 1.17% | 3.36% | |||||||||||||||||||||||||||||||||||||||
12/31/11 | 7.06 | 0.21 | (1.41 | ) | (1.20 | ) | (0.07 | ) | - | (0.07 | ) | 5.79 | (17.06% | ) | 2,113 | 1.34% | 1.17% | 2.91% | ||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 6.33 | $ | 0.10 | $ | (0.07 | ) | $ | 0.03 | $ | - | $ | - | $ | - | $ | 6.36 | 0.47% | * | $ | 256 | 1.75% | 1.45% | 1.54% | ||||||||||||||||||||||||||||
9/30/15i | 6.68 | 0.08 | (0.43 | ) | (0.35 | ) | - | - | - | 6.33 | (5.24% | )b | 560 | 1.74% | a | 1.45% | a | 1.53% | a | |||||||||||||||||||||||||||||||||
12/31/14 | 7.71 | 0.28 | (1.10 | ) | (0.82 | ) | (0.21 | ) | - | (0.21 | ) | 6.68 | (10.60% | ) | 406 | 1.51% | 1.44% | 3.78% | ||||||||||||||||||||||||||||||||||
12/31/13 | 6.48 | 0.12 | 1.25 | 1.37 | (0.14 | ) | (0.00 | )d | (0.14 | ) | 7.71 | 21.28% | 764 | 1.56% | 1.42% | 1.64% | ||||||||||||||||||||||||||||||||||||
12/31/12 | 5.69 | 0.15 | 0.80 | 0.95 | (0.16 | ) | - | (0.16 | ) | 6.48 | 16.80% | 700 | 1.57% | 1.42% | 2.53% | |||||||||||||||||||||||||||||||||||||
12/31/11 | 7.05 | 0.13 | (1.34 | ) | (1.21 | ) | (0.15 | ) | - | (0.15 | ) | 5.69 | (17.13% | ) | 873 | 1.59% | 1.42% | 1.99% | ||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 6.32 | $ | 0.15 | $ | (0.12 | ) | $ | 0.03 | $ | (0.00 | )d | $ | - | $ | (0.00 | )d | $ | 6.35 | 0.53% | $ | 1,112 | 1.65% | 1.35% | 2.39% | |||||||||||||||||||||||||||
9/30/15i | 6.66 | 0.09 | (0.43 | ) | (0.34 | ) | - | - | - | 6.32 | (5.11% | )b | 87 | 1.64% | a | 1.35% | a | 1.67% | a | |||||||||||||||||||||||||||||||||
12/31/14h | 7.53 | 0.10 | (0.73 | ) | (0.63 | ) | (0.24 | ) | - | (0.24 | ) | 6.66 | (8.35% | )b | 92 | 1.41% | a | 1.35% | a | 1.76% | a | |||||||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 6.31 | $ | 0.11 | $ | (0.09 | ) | $ | 0.02 | $ | - | $ | - | $ | - | $ | 6.33 | 0.32% | $ | 196 | 1.90% | 1.60% | 1.79% | |||||||||||||||||||||||||||||
9/30/15i | 6.66 | 0.07 | (0.42 | ) | (0.35 | ) | - | - | - | 6.31 | (5.26% | )b | 100 | 1.89% | a | 1.60% | a | 1.39% | a | |||||||||||||||||||||||||||||||||
12/31/14h | 7.53 | 0.08 | (0.73 | ) | (0.65 | ) | (0.22 | ) | - | (0.22 | ) | 6.66 | (8.54% | )b | 91 | 1.66% | a | 1.60% | a | 1.51% | a |
271
MM MSCI EAFE International Index Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 11.68 | $ | 0.34 | $ | 0.38 | $ | 0.72 | $ | (0.27 | ) | $ | (0.03 | ) | $ | (0.30 | ) | $ | 12.10 | 6.26% | * | $ | 93,913 | 0.24% | 0.24% | n | 2.89% | |||||||||||||||||||||||||
9/30/15i | 12.20 | 0.31 | (0.83 | ) | (0.52 | ) | - | - | - | 11.68 | (4.26% | )b | 278,051 | 0.29% | a | 0.25% | a | 3.22% | a | |||||||||||||||||||||||||||||||||
12/31/14 | 13.51 | 0.46 | (1.23 | ) | (0.77 | ) | (0.40 | ) | (0.14 | ) | (0.54 | ) | 12.20 | (5.64% | ) | 213,384 | 0.26% | 0.25% | 3.38% | |||||||||||||||||||||||||||||||||
12/31/13 | 11.80 | 0.37 | 2.19 | 2.56 | (0.40 | ) | (0.45 | ) | (0.85 | ) | 13.51 | 22.08% | 183,956 | 0.32% | 0.23% | 2.87% | ||||||||||||||||||||||||||||||||||||
12/31/12g | 10.00 | 0.11 | 1.84 | 1.95 | (0.14 | ) | (0.01 | ) | (0.15 | ) | 11.80 | 19.53% | b | 127,538 | 0.35% | a | 0.23% | a | 2.23% | a | ||||||||||||||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 11.68 | $ | 0.34 | $ | 0.36 | $ | 0.70 | $ | (0.26 | ) | $ | (0.03 | ) | $ | (0.29 | ) | $ | 12.09 | 6.11% | $ | 32,195 | 0.34% | 0.34% | n | 2.96% | ||||||||||||||||||||||||||
9/30/15i | 12.21 | 0.32 | (0.85 | ) | (0.53 | ) | - | - | - | 11.68 | (4.34% | )b | 16,010 | 0.39% | a | 0.35% | a | 3.36% | a | |||||||||||||||||||||||||||||||||
12/31/14 | 13.50 | 0.59 | (1.37 | ) | (0.78 | ) | (0.37 | ) | (0.14 | ) | (0.51 | ) | 12.21 | (5.68% | ) | 4,052 | 0.36% | 0.34% | 4.35% | |||||||||||||||||||||||||||||||||
12/31/13 | 11.80 | 0.34 | 2.20 | 2.54 | (0.39 | ) | (0.45 | ) | (0.84 | ) | 13.50 | 21.95% | 10,414 | 0.42% | 0.33% | 2.54% | ||||||||||||||||||||||||||||||||||||
12/31/12g | 10.00 | 0.11 | 1.83 | 1.94 | (0.13 | ) | (0.01 | ) | (0.14 | ) | 11.80 | 19.48% | b | 120 | 0.45% | a | 0.33% | a | 2.15% | a | ||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 11.64 | $ | 0.32 | $ | 0.36 | $ | 0.68 | $ | (0.24 | ) | $ | (0.03 | ) | $ | (0.27 | ) | $ | 12.05 | 5.94% | $ | 16,897 | 0.49% | 0.49% | n | 2.79% | ||||||||||||||||||||||||||
9/30/15i | 12.17 | 0.29 | (0.82 | ) | (0.53 | ) | - | - | - | 11.64 | (4.35% | )b | 14,896 | 0.54% | a | 0.50% | a | 3.00% | a | |||||||||||||||||||||||||||||||||
12/31/14 | 13.49 | 0.35 | (1.15 | ) | (0.80 | ) | (0.38 | ) | (0.14 | ) | (0.52 | ) | 12.17 | (5.88% | ) | 5,988 | 0.50% | 0.50% | k | 2.61% | ||||||||||||||||||||||||||||||||
12/31/13 | 11.80 | 0.33 | 2.19 | 2.52 | (0.38 | ) | (0.45 | ) | (0.83 | ) | 13.49 | 21.71% | 387 | 0.57% | 0.48% | 2.55% | ||||||||||||||||||||||||||||||||||||
12/31/12g | 10.00 | 0.10 | 1.84 | 1.94 | (0.13 | ) | (0.01 | ) | (0.14 | ) | 11.80 | 19.42% | b | 137 | 0.60% | a | 0.48% | a | 1.95% | a |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended September 30 | ||||||||||||||||||
2014 | 2013 | 2012 | ||||||||||||||||||
Portfolio turnover rate for all share classes | 26 | % | 6 | % | 28 | % | 42 | % | 6 | %b |
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 July 25, 2012 (commencement of operations) through December 31, 2012. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
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. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
n | Expenses incurred during the period fell under the expense cap. |
* | Generally accepted accounting principles may require adjustment to be made to the net assets of the Fund at period end for financial reporting purposes, and as such, the net asset values for shareholder transactions and the returns based on those net asset values may differ from the returns reported in the portfolio manager commentary section of this report. |
The accompanying notes are an integral part of the financial statements.
272
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 11.62 | $ | 0.32 | $ | 0.35 | $ | 0.67 | $ | (0.23 | ) | $ | (0.03 | ) | $ | (0.26 | ) | $ | 12.03 | 5.87% | $ | 39,646 | 0.59% | 0.59% | n | 2.72% | ||||||||||||||||||||||||||
9/30/15i | 12.17 | 0.28 | (0.83 | ) | (0.55 | ) | - | - | - | 11.62 | (4.52% | )b | 33,128 | 0.64% | a | 0.60% | a | 2.93% | a | |||||||||||||||||||||||||||||||||
12/31/14 | 13.49 | 0.32 | (1.13 | ) | (0.81 | ) | (0.37 | ) | (0.14 | ) | (0.51 | ) | 12.17 | (5.90% | ) | 22,634 | 0.60% | 0.60% | k | 2.43% | ||||||||||||||||||||||||||||||||
12/31/13 | 11.80 | 0.35 | 2.16 | 2.51 | (0.37 | ) | (0.45 | ) | (0.82 | ) | 13.49 | 21.60% | 4,450 | 0.67% | 0.58% | 2.67% | ||||||||||||||||||||||||||||||||||||
12/31/12g | 10.00 | 0.09 | 1.84 | 1.93 | (0.12 | ) | (0.01 | ) | (0.13 | ) | 11.80 | 19.35% | b | 120 | 0.70% | a | 0.58% | a | 1.88% | a | ||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 11.59 | $ | 0.27 | $ | 0.38 | $ | 0.65 | $ | (0.21 | ) | $ | (0.03 | ) | $ | (0.24 | ) | $ | 12.00 | 5.63% | $ | 13,495 | 0.84% | 0.84% | n | 2.35% | ||||||||||||||||||||||||||
9/30/15i | 12.16 | 0.25 | (0.82 | ) | (0.57 | ) | - | - | - | 11.59 | (4.69% | )b | 12,681 | 0.89% | a | 0.85% | a | 2.65% | a | |||||||||||||||||||||||||||||||||
12/31/14 | 13.47 | 0.34 | (1.18 | ) | (0.84 | ) | (0.33 | ) | (0.14 | ) | (0.47 | ) | 12.16 | (6.20% | ) | 7,253 | 0.86% | 0.86% | k | 2.56% | ||||||||||||||||||||||||||||||||
12/31/13 | 11.80 | 0.30 | 2.16 | 2.46 | (0.34 | ) | (0.45 | ) | (0.79 | ) | 13.47 | 21.32% | 3,271 | 0.97% | 0.88% | 2.32% | ||||||||||||||||||||||||||||||||||||
12/31/12g | 10.00 | 0.08 | 1.84 | 1.92 | (0.11 | ) | (0.01 | ) | (0.12 | ) | 11.80 | 19.20% | b | 119 | 1.00% | a | 0.88% | a | 1.59% | a | ||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 11.59 | $ | 0.32 | $ | 0.33 | $ | 0.65 | $ | (0.25 | ) | $ | (0.03 | ) | $ | (0.28 | ) | $ | 11.96 | 5.66% | * | $ | 25,933 | 0.74% | 0.74% | n | 2.74% | |||||||||||||||||||||||||
9/30/15i | 12.15 | 0.19 | (0.75 | ) | (0.56 | ) | - | - | - | 11.59 | (4.69% | )b | 6,697 | 0.79% | a | 0.75% | a | 2.03% | a | |||||||||||||||||||||||||||||||||
12/31/14h | 13.53 | 0.22 | (1.11 | ) | (0.89 | ) | (0.35 | ) | (0.14 | ) | (0.49 | ) | 12.15 | (6.48% | )b | 141 | 0.75% | a | 0.75% | a,k | 2.22% | a | ||||||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 11.58 | $ | 0.28 | $ | 0.34 | $ | 0.62 | $ | (0.24 | ) | $ | (0.03 | ) | $ | (0.27 | ) | $ | 11.93 | 5.44% | $ | 24,798 | 0.99% | 0.99% | n | 2.46% | ||||||||||||||||||||||||||
9/30/15i | 12.16 | 0.22 | (0.80 | ) | (0.58 | ) | - | - | - | 11.58 | (4.69% | )b | 5,031 | 1.04% | a | 1.00% | a | 2.32% | a | |||||||||||||||||||||||||||||||||
12/31/14h | 13.53 | 0.21 | (1.12 | ) | (0.91 | ) | (0.32 | ) | (0.14 | ) | (0.46 | ) | 12.16 | (6.73% | )b | 97 | 1.00% | a | 1.00% | a,k | 2.09% | a |
273
MassMutual Select Overseas Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
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 returnl,m | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 7.68 | $ | 0.14 | $ | 0.19 | $ | 0.33 | $ | (0.13 | ) | $ | (0.13 | ) | $ | 7.88 | 4.28% | $ | 328,518 | 0.92% | N/A | 1.88% | ||||||||||||||||||||||||||
9/30/15i | 8.29 | 0.13 | (0.53 | ) | (0.40 | ) | (0.21 | ) | (0.21 | ) | 7.68 | (5.00% | )b | 290,692 | 0.93% | a | N/A | 1.95% | a | |||||||||||||||||||||||||||||
12/31/14 | 9.05 | 0.20 | (0.75 | ) | (0.55 | ) | (0.21 | ) | (0.21 | ) | 8.29 | (6.25% | ) | 305,063 | 0.97% | 0.90% | 2.22% | |||||||||||||||||||||||||||||||
12/31/13 | 7.57 | 0.15 | 1.54 | 1.69 | (0.21 | ) | (0.21 | ) | 9.05 | 22.65% | 270,927 | 1.16% | 0.85% | 1.76% | ||||||||||||||||||||||||||||||||||
12/31/12 | 6.26 | 0.15 | 1.28 | 1.43 | (0.12 | ) | (0.12 | ) | 7.57 | 23.14% | 255,215 | 1.16% | 0.85% | 2.19% | ||||||||||||||||||||||||||||||||||
12/31/11 | 7.34 | 0.07 | (1.02 | ) | (0.95 | ) | (0.13 | ) | (0.13 | ) | 6.26 | (12.97% | ) | 242,149 | 1.18% | 0.86% | 1.03% | |||||||||||||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 7.70 | $ | 0.13 | $ | 0.19 | $ | 0.32 | $ | (0.12 | ) | $ | (0.12 | ) | $ | 7.90 | 4.15% | $ | 138,668 | 1.02% | N/A | 1.71% | ||||||||||||||||||||||||||
9/30/15i | 8.31 | 0.12 | (0.54 | ) | (0.42 | ) | (0.19 | ) | (0.19 | ) | 7.70 | (5.13% | )b | 161,529 | 1.03% | a | N/A | 1.85% | a | |||||||||||||||||||||||||||||
12/31/14 | 9.06 | 0.19 | (0.76 | ) | (0.57 | ) | (0.18 | ) | (0.18 | ) | 8.31 | (6.40% | ) | 164,096 | 1.13% | 1.05% | 2.18% | |||||||||||||||||||||||||||||||
12/31/13 | 7.58 | 0.12 | 1.55 | 1.67 | (0.19 | ) | (0.19 | ) | 9.06 | 22.39% | 191,060 | 1.44% | 1.13% | 1.41% | ||||||||||||||||||||||||||||||||||
12/31/12 | 6.26 | 0.12 | 1.29 | 1.41 | (0.09 | ) | (0.09 | ) | 7.58 | 22.70% | 155,925 | 1.45% | 1.14% | 1.78% | ||||||||||||||||||||||||||||||||||
12/31/11 | 7.34 | 0.14 | (1.10 | ) | (0.96 | ) | (0.12 | ) | (0.12 | ) | 6.26 | (13.09% | ) | 99,517 | 1.43% | 1.14% | 1.90% | |||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 7.66 | $ | 0.12 | $ | 0.19 | $ | 0.31 | $ | (0.11 | ) | $ | (0.11 | ) | $ | 7.86 | 4.07% | $ | 69,873 | 1.12% | N/A | 1.63% | ||||||||||||||||||||||||||
9/30/15i | 8.26 | 0.11 | (0.52 | ) | (0.41 | ) | (0.19 | ) | (0.19 | ) | 7.66 | (5.10% | )b | 77,184 | 1.13% | a | N/A | 1.74% | a | |||||||||||||||||||||||||||||
12/31/14 | 9.01 | 0.17 | (0.75 | ) | (0.58 | ) | (0.17 | ) | (0.17 | ) | 8.26 | (6.52% | ) | 76,131 | 1.21% | 1.13% | 1.95% | |||||||||||||||||||||||||||||||
12/31/13 | 7.54 | 0.12 | 1.54 | 1.66 | (0.19 | ) | (0.19 | ) | 9.01 | 22.27% | 83,580 | 1.49% | 1.18% | 1.41% | ||||||||||||||||||||||||||||||||||
12/31/12 | 6.23 | 0.13 | 1.27 | 1.40 | (0.09 | ) | (0.09 | ) | 7.54 | 22.64% | 66,317 | 1.50% | 1.19% | 1.97% | ||||||||||||||||||||||||||||||||||
12/31/11 | 7.31 | 0.11 | (1.07 | ) | (0.96 | ) | (0.12 | ) | (0.12 | ) | 6.23 | (13.16% | ) | 75,356 | 1.49% | 1.19% | 1.60% |
Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended September 30 | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||
Portfolio turnover rate | 38 | % | 39 | % | 42 | % | 35 | % | 39 | % | 55 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
h | For the period April 1, 2014 (commencement of operations) through December 31, 2014. |
i | For the period January 1, 2015 through September 30, 2015. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
The accompanying notes are an integral part of the financial statements.
274
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 returnl,m | 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 | |||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 7.72 | $ | 0.12 | $ | 0.18 | $ | 0.30 | $ | (0.10 | ) | $ | (0.10 | ) | $ | 7.92 | 3.93% | $ | 37,189 | 1.22% | N/A | 1.54% | ||||||||||||||||||||||||||
9/30/15i | 8.32 | 0.11 | (0.52 | ) | (0.41 | ) | (0.19 | ) | (0.19 | ) | 7.72 | (5.08% | )b | 35,607 | 1.23% | a | N/A | 1.70% | a | |||||||||||||||||||||||||||||
12/31/14 | 9.09 | 0.17 | (0.76 | ) | (0.59 | ) | (0.18 | ) | (0.18 | ) | 8.32 | (6.59% | ) | 29,655 | 1.29% | 1.22% | 1.90% | |||||||||||||||||||||||||||||||
12/31/13 | 7.60 | 0.11 | 1.54 | 1.65 | (0.16 | ) | (0.16 | ) | 9.09 | 22.02% | 26,362 | 1.54% | 1.23% | 1.35% | ||||||||||||||||||||||||||||||||||
12/31/12 | 6.22 | 0.12 | 1.29 | 1.41 | (0.03 | ) | (0.03 | ) | 7.60 | 22.67% | 27,315 | 1.55% | 1.24% | 1.76% | ||||||||||||||||||||||||||||||||||
12/31/11 | 7.28 | 0.14 | (1.10 | ) | (0.96 | ) | (0.10 | ) | (0.10 | ) | 6.22 | (13.21% | ) | 26,070 | 1.53% | 1.23% | 1.97% | |||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 7.55 | $ | 0.10 | $ | 0.18 | $ | 0.28 | $ | (0.08 | ) | $ | (0.08 | ) | $ | 7.75 | 3.73% | $ | 58,816 | 1.47% | N/A | 1.31% | ||||||||||||||||||||||||||
9/30/15i | 8.14 | 0.09 | (0.52 | ) | (0.43 | ) | (0.16 | ) | (0.16 | ) | 7.55 | (5.39% | )b | 58,523 | 1.48% | a | N/A | 1.40% | a | |||||||||||||||||||||||||||||
12/31/14 | 8.89 | 0.15 | (0.75 | ) | (0.60 | ) | (0.15 | ) | (0.15 | ) | 8.14 | (6.80% | ) | 60,890 | 1.55% | 1.47% | 1.72% | |||||||||||||||||||||||||||||||
12/31/13 | 7.45 | 0.09 | 1.52 | 1.61 | (0.17 | ) | (0.17 | ) | 8.89 | 21.86% | 60,251 | 1.79% | 1.48% | 1.08% | ||||||||||||||||||||||||||||||||||
12/31/12 | 6.16 | 0.10 | 1.26 | 1.36 | (0.07 | ) | (0.07 | ) | 7.45 | 22.47% | 54,429 | 1.80% | 1.49% | 1.48% | ||||||||||||||||||||||||||||||||||
12/31/11 | 7.23 | 0.09 | (1.06 | ) | (0.97 | ) | (0.10 | ) | (0.10 | ) | 6.16 | (13.60% | ) | 42,720 | 1.79% | 1.49% | 1.33% | |||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 7.47 | $ | 0.12 | $ | 0.16 | $ | 0.28 | $ | (0.11 | ) | $ | (0.11 | ) | $ | 7.64 | 3.79% | $ | 6,660 | 1.37% | N/A | 1.57% | ||||||||||||||||||||||||||
9/30/15i | 8.09 | 0.08 | (0.49 | ) | (0.41 | ) | (0.21 | ) | (0.21 | ) | 7.47 | (5.24% | )b | 3,422 | 1.38% | a | N/A | 1.28% | a | |||||||||||||||||||||||||||||
12/31/14h | 8.80 | 0.11 | (0.61 | ) | (0.50 | ) | (0.21 | ) | (0.21 | ) | 8.09 | (5.81% | )b | 94 | 1.37% | a | N/A | 1.63% | a | |||||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||
9/30/16 | $ | 7.52 | $ | 0.09 | $ | 0.18 | $ | 0.27 | $ | (0.09 | ) | $ | (0.09 | ) | $ | 7.70 | $ | 3.63% | $ | 1,918 | 1.62% | N/A | 1.25% | |||||||||||||||||||||||||
9/30/15i | 8.15 | 0.10 | (0.55 | ) | (0.45 | ) | (0.18 | ) | (0.18 | ) | 7.52 | (5.60% | )b | 1,257 | 1.63% | a | N/A | 1.51% | a | |||||||||||||||||||||||||||||
12/31/14 | 8.76 | 0.17 | (0.78 | ) | (0.61 | ) | - | - | 8.15 | (6.96% | ) | 182 | 1.82% | 1.69% | 2.02% | |||||||||||||||||||||||||||||||||
12/31/13 | 7.37 | 0.06 | 1.51 | 1.57 | (0.18 | ) | (0.18 | ) | 8.76 | 21.53% | 732 | 2.09% | 1.78% | 0.79% | ||||||||||||||||||||||||||||||||||
12/31/12 | 6.11 | 0.07 | 1.26 | 1.33 | (0.07 | ) | (0.07 | ) | 7.37 | 21.96% | 549 | 2.10% | 1.79% | 1.12% | ||||||||||||||||||||||||||||||||||
12/31/11 | 7.15 | 0.07 | (1.05 | ) | (0.98 | ) | (0.06 | ) | (0.06 | ) | 6.11 | (13.78% | ) | 238 | 2.09% | 1.79% | 0.98% |
275
1. | The Funds |
MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an 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 May 28, 1993, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The following are 20 series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):
MassMutual Select Total Return Bond Fund (“Total Return Bond Fund”)
MassMutual Select Strategic Bond Fund (“Strategic Bond Fund”)
MassMutual Select Diversified Value Fund (“Diversified Value Fund”)
MassMutual Select Fundamental Value Fund (“Fundamental Value Fund”)
MassMutual Select Large Cap Value Fund (“Large Cap Value Fund”)
MM S&P 500® Index Fund (“S&P 500 Index Fund”)
MassMutual Select Focused Value Fund (“Focused Value Fund”)
MassMutual Select Fundamental Growth Fund (“Fundamental Growth Fund”)
MassMutual Select Blue Chip Growth Fund (“Blue Chip Growth Fund”)
MassMutual Select Growth Opportunities Fund (“Growth Opportunities Fund”)
MassMutual Select Mid-Cap Value Fund (“Mid-Cap Value Fund”)
MassMutual Select Small Cap Value Equity Fund (“Small Cap Value Equity Fund”)
MassMutual Select Small Company Value Fund (“Small Company Value Fund”)
MM S&P® Mid Cap Index Fund (“S&P Mid Cap Index Fund”)
MM Russell 2000® Small Cap Index Fund (“Russell 2000 Small Cap Index Fund”)
MassMutual Select Mid Cap Growth Equity II Fund (“Mid Cap Growth Equity II Fund”)
MassMutual Select Small Cap Growth Equity Fund (“Small Cap Growth Equity Fund”)
MassMutual Select Diversified International Fund (“Diversified International Fund”)
MM MSCI EAFE® International Index Fund (“MSCI EAFE International Index Fund”)
MassMutual Select Overseas Fund (“Overseas Fund”)
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.
On May 13, 2015, the Board of Trustees (“Trustees”) approved a change in the fiscal year end of the Funds from December 31 to September 30. Accordingly, the Funds’ financial statements and related notes include information as of the nine month period ended September 30, 2015, and the year ended December 31, 2014.
Effective March 21, 2014, Class L shares of the S&P 500 Index Fund, S&P Mid Cap Index Fund, Russell 2000 Small Cap Index Fund, and MSCI EAFE International Index Fund merged into Class Y shares (now known as Administrative Class shares). Effective April 1, 2014, Class Z shares were renamed Class I shares, Class S shares were renamed Class R5 shares, Class Y shares were renamed Service Class shares, Class L shares were renamed Administrative Class shares, and Class N shares were renamed Class R3 shares, for each Fund, other than the Total Return Bond Fund, S&P 500 Index Fund, S&P Mid Cap Index Fund, Russell 2000 Small Cap Index Fund, and MSCI EAFE International Index Fund. Effective April 1, 2014, Class Z shares were renamed Class I shares, Class S shares were renamed Class R5 shares, Class Y shares were renamed Service Class shares, Class L shares were renamed Administrative Class shares, Class A shares were renamed Class R4 shares, and Class N shares were renamed Class R3 shares for the Total Return Bond Fund. Effective April 1, 2014, Class Z shares were renamed Class I shares, Class I shares were renamed Class R5 shares, Class S shares were renamed Service Class shares, Class Y shares were renamed Administrative Class shares, Class A shares were renamed Class R4 shares, and Class N shares were renamed Class R3 shares for the S&P 500 Index Fund. Effective April 1, 2014, Class Z shares were renamed Class I shares, Class I shares were renamed Class R5 shares, Class S shares were renamed Service Class shares, and Class Y shares were renamed Administrative Class shares for the S&P Mid Cap Index Fund, Russell 2000 Small Cap Index Fund, and MSCI EAFE International Index Fund.
276
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.
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.
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 of over-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 as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of other open-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 their 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.
1 | The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Assistant Vice Presidents, 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. |
277
Notes to Financial Statements (Continued)
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 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.
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 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 of open-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; and non-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 been de-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 by non-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.
278
Notes to Financial Statements (Continued)
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 Diversified Value Fund, Focused Value Fund, and Growth Opportunities Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of September 30, 2016. For each Fund noted in the preceding sentences, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
The following is the aggregate value by input level, as of September 30, 2016, for the remaining Funds’ investments:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Total Return Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt | $ | - | $ | 294,060,831 | $ | - | $ | 294,060,831 | ||||||||
Municipal Obligations | - | 15,531,394 | - | 15,531,394 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 167,650,975 | - | 167,650,975 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 324,380,821 | - | 324,380,821 | ||||||||||||
U.S. Treasury Obligations | - | 180,545,322 | - | 180,545,322 | ||||||||||||
Short-Term Investments | - | 139,800,005 | - | 139,800,005 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | - | $ | 1,121,969,348 | $ | - | $ | 1,121,969,348 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forwards Contracts | $ | - | $ | 35,011 | $ | - | $ | 35,011 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forwards Contracts | $ | - | $ | (103,377 | ) | $ | - | $ | (103,377 | ) | ||||||
Futures Contracts | (67,284 | ) | - | - | (67,284 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (67,284 | ) | $ | (103,377 | ) | $ | - | $ | (170,661 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Strategic Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Preferred Stock | $ | 159,357 | $ | - | $ | - | $ | 159,357 | ||||||||
Bank Loans | - | 11,110,548 | - | 11,110,548 | ||||||||||||
Corporate Debt | - | 86,899,467 | - | 86,899,467 | ||||||||||||
Municipal Obligations | - | 382,579 | - | 382,579 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 48,581,258 | 2,422,917 | 51,004,175 | ||||||||||||
Sovereign Debt Obligations | - | 17,648,185 | - | 17,648,185 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 60,447,989 | - | 60,447,989 | ||||||||||||
U.S. Treasury Obligations | - | 92,763,190 | - | 92,763,190 | ||||||||||||
Purchased Options | 30,602 | - | - | 30,602 | ||||||||||||
Short-Term Investments | - | 28,978,526 | - | 28,978,526 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 189,959 | $ | 346,811,742 | $ | 2,422,917 | $ | 349,424,618 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | 281,809 | $ | - | $ | 281,809 | ||||||||
Futures Contracts | 212,447 | - | - | 212,447 | ||||||||||||
Swap Agreements | - | 62,796 | - | 62,796 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 212,447 | $ | 344,605 | $ | - | $ | 557,052 | ||||||||
|
|
|
|
|
|
|
|
279
Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Strategic Bond Fund (Continued) | ||||||||||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | (253,586 | ) | $ | - | $ | (253,586 | ) | ||||||
Futures Contracts | (294,275 | ) | - | - | (294,275 | ) | ||||||||||
Swap Agreements | - | (1,047,104 | ) | - | (1,047,104 | ) | ||||||||||
Written Options | (51,234 | ) | - | - | (51,234 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (345,509 | ) | $ | (1,300,690 | ) | $ | - | $ | (1,646,199 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Value Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 1,200,192,801 | $ | 29,895,983 | * | $ | - | $ | 1,230,088,784 | |||||||
Short-Term Investments | - | 30,113,981 | - | 30,113,981 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,200,192,801 | $ | 60,009,964 | $ | - | $ | 1,260,202,765 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Large Cap Value Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 173,459,280 | $ | 2,074,357 | $ | - | $ | 175,533,637 | ||||||||
Mutual Funds | 5,245,158 | - | - | 5,245,158 | ||||||||||||
Short-Term Investments | - | 4,835,961 | - | 4,835,961 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 178,704,438 | $ | 6,910,318 | $ | - | $ | 185,614,756 | ||||||||
|
|
|
|
|
|
|
| |||||||||
S&P 500 Index Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 3,606,126,515 | $ | - | $ | - | $ | 3,606,126,515 | ||||||||
Short-Term Investments | - | 51,351,064 | - | 51,351,064 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,606,126,515 | $ | 51,351,064 | $ | - | $ | 3,657,477,579 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 369,219 | $ | - | $ | - | $ | 369,219 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Growth Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 114,258,609 | $ | 562,205 | * | $ | - | $ | 114,820,814 | |||||||
Mutual Funds | 2,648,709 | - | - | 2,648,709 | ||||||||||||
Short-Term Investments | - | 486,734 | - | 486,734 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 116,907,318 | $ | 1,048,939 | $ | - | $ | 117,956,257 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Blue Chip Growth Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 1,501,274,264 | $ | 39,643,065 | * | $ | - | $ | 1,540,917,329 | |||||||
Mutual Funds | 1,014 | - | - | 1,014 | ||||||||||||
Short-Term Investments | - | 20,980,297 | - | 20,980,297 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,501,275,278 | $ | 60,623,362 | $ | - | $ | 1,561,898,640 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Mid-Cap Value Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 113,727,399 | $ | 844,759 | * | $ | - | $ | 114,572,158 | |||||||
Mutual Funds | 1,491,180 | - | - | 1,491,180 | ||||||||||||
Short-Term Investments | - | 3,008,434 | - | 3,008,434 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 115,218,579 | $ | 3,853,193 | $ | - | $ | 119,071,772 | ||||||||
|
|
|
|
|
|
|
|
280
Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Mid-Cap Value Fund (Continued) | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | 2,789 | $ | - | $ | 2,789 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | (14,204 | ) | $ | - | $ | (14,204 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Value Equity Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 181,632,210 | $ | 3,858,604 | * | $ | - | $ | 185,490,814 | |||||||
Short-Term Investments | - | 11,244,481 | - | 11,244,480 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 181,632,210 | $ | 15,103,085 | $ | - | $ | 196,735,294 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Company Value Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 284,708,679 | $ | - | $ | - | $ | 284,708,679 | ||||||||
Mutual Funds | 11,979,779 | - | - | 11,979,779 | ||||||||||||
Short-Term Investments | - | 4,959,187 | - | 4,959,187 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 296,688,458 | $ | 4,959,187 | $ | - | $ | 301,647,645 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 21,967 | $ | - | $ | - | $ | 21,967 | ||||||||
|
|
|
|
|
|
|
| |||||||||
S&P Mid Cap Index Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 284,829,770 | $ | - | $ | - | $ | 284,829,770 | ||||||||
Short-Term Investments | - | 9,919,699 | - | 9,919,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 284,829,770 | $ | 9,919,699 | $ | - | $ | 294,749,469 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 286 | $ | - | $ | - | $ | 286 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Russell 2000 Small Cap Index Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 261,554,614 | $ | - | $ | 16,128 | $ | 261,570,742 | ||||||||
Rights | - | - | - | † | - | |||||||||||
Mutual Funds | 10,490 | - | - | 10,490 | ||||||||||||
Short-Term Investments | - | 9,954,921 | - | 9,954,921 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 261,565,104 | $ | 9,954,921 | $ | 16,128 | $ | 271,536,153 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 120,175 | $ | - | $ | - | $ | 120,175 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Growth Equity II Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 3,232,719,606 | $ | - | $ | 2,146,552 | $ | 3,234,866,158 | ||||||||
Preferred Stock | - | - | 8,326,376 | 8,326,376 | ||||||||||||
Mutual Funds | 163,350,002 | - | - | 163,350,002 | ||||||||||||
Short-Term Investments | - | 166,082,863 | - | 166,082,863 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,396,069,608 | $ | 166,082,863 | $ | 10,472,928 | $ | 3,572,625,399 | ||||||||
|
|
|
|
|
|
|
|
281
Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Small Cap Growth Equity Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 485,942,053 | $ | 5,290,948 | $ | 1,039,359 | $ | 492,272,360 | ||||||||
Preferred Stock | - | - | 6,269,529 | 6,269,529 | ||||||||||||
Rights | - | - | - | † | - | |||||||||||
Mutual Funds | 58,418,457 | - | - | 58,418,457 | ||||||||||||
Short-Term Investments | - | 2,986,839 | - | 2,986,839 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 544,360,510 | $ | 8,277,787 | $ | 7,308,888 | $ | 559,947,185 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified International Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Australia | $ | - | $ | 1,610,115 | $ | - | $ | 1,610,115 | ||||||||
Belgium | - | 844,924 | - | 844,924 | ||||||||||||
Canada | 463,686 | - | - | 463,686 | ||||||||||||
Cayman Islands | - | 621,303 | - | 621,303 | ||||||||||||
Chile | 197,590 | - | - | 197,590 | ||||||||||||
Denmark | - | 200,313 | - | 200,313 | ||||||||||||
Finland | - | 833,052 | - | 833,052 | ||||||||||||
France | - | 5,699,304 | - | 5,699,304 | ||||||||||||
Germany | - | 3,089,373 | - | 3,089,373 | ||||||||||||
Hong Kong | - | 621,593 | - | 621,593 | ||||||||||||
Ireland | 182,173 | - | - | 182,173 | ||||||||||||
Israel | 519,867 | - | - | 519,867 | ||||||||||||
Italy | - | 1,441,654 | - | 1,441,654 | ||||||||||||
Japan | - | 9,213,314 | - | 9,213,314 | ||||||||||||
Luxembourg | - | 374,387 | - | 374,387 | ||||||||||||
Netherlands | - | 1,737,627 | - | 1,737,627 | ||||||||||||
Norway | - | 466,533 | - | 466,533 | ||||||||||||
Republic of Korea | - | 582,979 | - | 582,979 | ||||||||||||
Spain | - | 424,023 | - | 424,023 | ||||||||||||
Sweden | - | 683,740 | - | 683,740 | ||||||||||||
Switzerland | - | 1,459,789 | - | 1,459,789 | ||||||||||||
United Kingdom | - | 8,183,884 | - | 8,183,884 | ||||||||||||
Short-Term Investments | - | 1,840,418 | - | 1,840,418 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,363,316 | $ | 39,928,325 | $ | - | $ | 41,291,641 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | 210,473 | $ | - | $ | 210,473 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | (315,497 | ) | $ | - | $ | (315,497 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
MSCI EAFE International Index Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Australia | $ | - | $ | 17,509,085 | $ | - | $ | 17,509,085 | ||||||||
Austria | - | 431,811 | - | 431,811 | ||||||||||||
Belgium | - | 3,303,493 | - | 3,303,493 | ||||||||||||
Bermuda | - | 865,586 | - | 865,586 | ||||||||||||
Cayman Islands | 59,607 | 1,481,373 | - | 1,540,980 | ||||||||||||
Denmark | - | 4,255,001 | - | 4,255,001 |
282
Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
MSCI EAFE International Index Fund (Continued) | ||||||||||||||||
Asset Investments (Continued) | ||||||||||||||||
Finland | $ | - | $ | 2,390,383 | $ | - | $ | 2,390,383 | ||||||||
France | - | 22,351,204 | - | 22,351,204 | ||||||||||||
Germany | - | 20,641,194 | - | 20,641,194 | ||||||||||||
Hong Kong | - | 6,112,605 | - | 6,112,605 | ||||||||||||
Ireland | - | 1,756,219 | - | 1,756,219 | ||||||||||||
Israel | 227,178 | 1,285,562 | - | 1,512,740 | ||||||||||||
Italy | - | 4,075,895 | - | 4,075,895 | ||||||||||||
Japan | - | 58,108,300 | - | 58,108,300 | ||||||||||||
Luxembourg | - | 651,678 | - | 651,678 | ||||||||||||
Mauritius | - | 35,862 | - | 35,862 | ||||||||||||
Netherlands | 1,057,078 | 8,350,448 | - | 9,407,526 | ||||||||||||
New Zealand | - | 469,413 | - | 469,413 | ||||||||||||
Norway | - | 1,536,512 | - | 1,536,512 | ||||||||||||
Papua New Guinea | - | 142,361 | - | 142,361 | ||||||||||||
Portugal | - | 363,487 | 446 | 363,933 | ||||||||||||
Singapore | - | 3,031,122 | - | 3,031,122 | ||||||||||||
Spain | - | 7,342,563 | - | 7,342,563 | ||||||||||||
Sweden | - | 6,771,231 | - | 6,771,231 | ||||||||||||
Switzerland | - | 21,801,247 | - | 21,801,247 | ||||||||||||
United Kingdom | - | 45,041,180 | - | 45,041,180 | ||||||||||||
Preferred Stock | ||||||||||||||||
Germany | - | 1,279,543 | - | 1,279,543 | ||||||||||||
United Kingdom | - | - | 6,096 | 6,096 | ||||||||||||
Short-Term Investments | - | 1,586,049 | - | 1,586,049 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,343,863 | $ | 242,970,407 | $ | 6,542 | $ | 244,320,812 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forwards Contracts | $ | - | $ | 32,034 | $ | - | $ | 32,034 | ||||||||
Futures Contracts | 52,367 | - | - | 52,367 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 52,367 | $ | 32,034 | $ | - | $ | 84,401 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forwards Contracts | $ | - | $ | (6,206 | ) | $ | - | $ | (6,206 | ) | ||||||
Futures Contracts | (1,480 | ) | - | - | (1,480 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,480 | ) | $ | (6,206 | ) | $ | - | $ | (7,686 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Overseas Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Australia | $ | - | $ | 12,301,946 | $ | - | $ | 12,301,946 | ||||||||
Belgium | - | 5,794,679 | - | 5,794,679 | ||||||||||||
Bermuda | - | 2,678,743 | - | 2,678,743 | ||||||||||||
Brazil | 2,487,357 | - | - | 2,487,357 | ||||||||||||
Canada | 15,207,948 | - | - | 15,207,948 | ||||||||||||
Cayman Islands | 8,964,191 | 2,176,651 | - | 11,140,842 | ||||||||||||
Chile | 689,060 | - | - | 689,060 | ||||||||||||
Denmark | - | 3,090,029 | - | 3,090,029 | ||||||||||||
Finland | - | 3,046,676 | - | 3,046,676 | ||||||||||||
France | - | 95,406,686 | - | 95,406,686 | ||||||||||||
Germany | - | 61,760,030 | - | 61,760,030 | ||||||||||||
Hong Kong | - | 11,190,610 | - | 11,190,610 |
283
Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Overseas Fund (Continued) | ||||||||||||||||
Asset Investments (Continued) | ||||||||||||||||
India | $ | - | $ | 8,319,002 | $ | - | $ | 8,319,002 | ||||||||
Indonesia | - | 2,935,516 | - | 2,935,516 | ||||||||||||
Ireland | 3,860,533 | 2,551,920 | - | 6,412,453 | ||||||||||||
Israel | 5,205,584 | - | - | 5,205,584 | ||||||||||||
Italy | - | 19,967,445 | - | 19,967,445 | ||||||||||||
Japan | - | 98,901,096 | - | 98,901,096 | ||||||||||||
Luxembourg | - | 1,398,012 | - | 1,398,012 | ||||||||||||
Mexico | 3,342,269 | - | - | 3,342,269 | ||||||||||||
Netherlands | - | 32,018,541 | - | 32,018,541 | ||||||||||||
Norway | - | 1,586,132 | - | 1,586,132 | ||||||||||||
Republic of Korea | - | 4,222,223 | - | 4,222,223 | ||||||||||||
Singapore | - | 6,912,289 | - | 6,912,289 | ||||||||||||
Spain | - | 5,182,153 | - | 5,182,153 | ||||||||||||
Sweden | - | 13,465,340 | - | 13,465,340 | ||||||||||||
Switzerland | - | 72,276,485 | - | 72,276,485 | ||||||||||||
Taiwan | 9,519,088 | 1,564,711 | - | 11,083,799 | ||||||||||||
United Kingdom | 1,776,225 | 112,661,223 | - | 114,437,448 | ||||||||||||
United States | 7,985,377 | - | - | 7,985,377 | ||||||||||||
Mutual Funds | 28,019,972 | - | - | 28,019,972 | ||||||||||||
Short-Term Investments | - | 2,553,904 | - | 2,553,904 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 87,057,604 | $ | 583,962,042 | $ | - | $ | 671,019,646 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | 282,900 | $ | - | $ | 282,900 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | (290,628 | ) | $ | - | $ | (290,628 | ) | ||||||
|
|
|
|
|
|
|
|
* | 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. |
† | Represents a security at $0 value as of September 30, 2016. |
The following tables show Funds with certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of September 30, 2016.
| Total Return | Strategic Bond | S&P 500 | MSCI EAFE | ||||
Statements of Assets and Liabilities location: | ||||||||
Receivables from: | ||||||||
Investments sold on a when-issued basis | X | X | ||||||
Collateral pledged for open derivative instruments | X | X | X | |||||
Payables for: | ||||||||
Investments purchased on a when-issued basis | X | X | ||||||
Due to custodian | X |
284
Notes to Financial Statements (Continued)
| Large Cap Value | S&P 500 | Fundamental Growth | Growth Opportunities Fund | Small Company Value Fund | S&P Mid Cap Index | ||||||
Statements of Assets and Liabilities location: | ||||||||||||
Payables for: | ||||||||||||
Securities on loan | X | X | X | X | ||||||||
Due to custodian | X | X | X | X | X |
| Russell 2000 Small Cap Index Fund | Mid Cap Growth | Small Cap Growth Equity | Diversified International Fund | MSCI EAFE International Index Fund | Overseas | ||||||
Statements of Assets and Liabilities location: | ||||||||||||
Payables for: | ||||||||||||
Securities on loan | X | X | X | X | ||||||||
Due to custodian | X | X |
The Funds had no transfers between Level 1 and Level 2 of the fair value hierarchy during the year ended September 30, 2016. The Funds recognize transfers between the Levels as of the beginning of the year.
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 9/30/15 | 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 9/30/16 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still held as of 9/30/16 | |||||||||||||||||||||||||||||||
Strategic Bond Fund | ||||||||||||||||||||||||||||||||||||||||
Non-U.S. Government Agency Obligations† | $ | - | $ | - | $ | 13 | $ | (14,854 | ) | $ | - | $ | (713,094 | ) | $ | 3,150,852 | ** | $ | - | $ | 2,422,917 | $ | (14,854 | ) | ||||||||||||||||
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|
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|
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|
|
|
|
| |||||||||||||||||||||
Russell 2000 Small Cap Index Fund |
| |||||||||||||||||||||||||||||||||||||||
Common Stock | $ | - | *** | $ | - | $ | 3,041 | $ | (69,166 | ) | $ | 7,346 | $ | (8,623 | ) | $ | 83,530 | ** | $ | - | $ | 16,128 | $ | (69,166 | ) | |||||||||||||||
Rights | - | - | - | (26,051 | ) | 26,051 | - | - | - | - | ††† | (26,051 | ) | |||||||||||||||||||||||||||
Warrants | - | *** | - | - | - | - | - | †† | - | - | - | - | ||||||||||||||||||||||||||||
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|
|
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|
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|
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|
|
|
|
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|
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|
| |||||||||||||||||||||
$ | - | $ | - | $ | 3,041 | $ | (95,217 | ) | $ | 33,397 | $ | (8,623 | ) | $ | 83,530 | $ | - | $ | 16,128 | $ | (95,217 | ) | ||||||||||||||||||
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Mid Cap Growth Equity II Fund |
| |||||||||||||||||||||||||||||||||||||||
Common Stock | $ | 5,569,404 | $ | - | $ | - | $ | (409,076 | ) | $ | - | $ | (3,013,776 | ) | $ | - | $ | - | $ | 2,146,552 | $ | 156,008 | ||||||||||||||||||
Preferred Stock | 8,166,673 | - | - | 159,703 | - | - | - | - | 8,326,376 | 159,703 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 13,736,077 | $ | - | $ | - | $ | (249,373 | ) | $ | - | $ | (3,013,776 | ) | $ | - | $ | - | $ | 10,472,928 | $ | 315,711 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Small Cap Growth Equity Fund |
| |||||||||||||||||||||||||||||||||||||||
Common Stock | $ | 860,087 | $ | - | $ | - | $ | 179,272 | $ | - | $ | - | $ | - | $ | - | $ | 1,039,359 | $ | 179,272 | ||||||||||||||||||||
Preferred Stock | 8,330,213 | - | (8,896 | ) | (1,124,323 | ) | - | (126,225 | ) | - | (801,240 | )**** | 6,269,529 | (1,126,524 | ) | |||||||||||||||||||||||||
Rights | - | - | - | (22,455 | ) | 22,455 | - | - | - | - | ††† | (22,455 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 9,190,300 | $ | - | $ | (8,896 | ) | $ | (967,506 | ) | $ | 22,455 | $ | (126,225 | ) | $ | - | $ | (801,240 | ) | $ | 7,308,888 | $ | (969,707 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
285
Notes to Financial Statements (Continued)
Investments in Securities | ||||||||||||||||||||||||||||||||||||||||
Balance as of 9/30/15 | 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 9/30/16 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still held as of 9/30/16 | |||||||||||||||||||||||||||||||
MSCI EAFE International Index Fund |
| |||||||||||||||||||||||||||||||||||||||
Common Stock | $ | 443 | $ | - | $ | - | $ | 3 | $ | - | $ | - | $ | - | $ | - | $ | 446 | $ | 3 | ||||||||||||||||||||
Preferred Stock | - | - | - | (739 | ) | 6,835 | - | - | - | 6,096 | (739 | ) | ||||||||||||||||||||||||||||
Rights | 1,017 | - | - | 134 | - | (1,151 | ) | - | - | - | - | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 1,460 | $ | - | $ | - | $ | (602 | ) | $ | 6,835 | $ | (1,151 | ) | $ | - | $ | - | $ | 6,542 | $ | (736 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | The Fund(s) recognize transfers between the Levels as of the beginning of the year. |
** | Transfers occurred as inputs were less observable. |
*** | Represents a security at $0 value as of September 30, 2015. |
**** | Transfers occurred as inputs were more observable. |
† | Represents (i) an illiquid 144A security valued by a broker quote or vendor price or (ii) a restricted security issued by a non-public entity valued by a broker quote or vendor price. |
†† | Represents a security at $0 value at the time of sale. |
††† | Represents a security at $0 value as of September 30, 2016. |
None of the unobservable inputs, individually or collectively, had a material impact on the Fund(s), other than those disclosed below.
The Small Cap Growth Equity 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 for such investments, 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 by members of the Valuation Committee utilizing available market information to determine if the carrying value of these investments 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 Small Cap Growth Equity Fund. All market variables are assessed on a regular frequency and calibrated as necessary.
Small Cap Growth Equity Fund | Fair Value Amount | Valuation | Unobservable Input Description | Value/ Weighted Average Range | ||||||||
Common stock — $ 1,039,359 | ||||||||||||
Dropbox Inc. | $316,473 | Market Approach | EV/Multiple | 6.50x | ||||||||
Discount for Lack of Marketability | 10% | |||||||||||
Telogis | 722,886 | Market Approach | Discount for Lack of Marketability | 10% | ||||||||
Market Observed Transaction | $ 3.20 | |||||||||||
Preferred stock — $6,269,529 | ||||||||||||
Cloudera, Inc. Series F | $683,496 | Market Approach | EV/Multiple | 6.4x | ||||||||
Discount for Lack of Marketability | 10% | |||||||||||
Docusign Series E | 427,932 | Market Approach | EV/Multiple | 8.7x | ||||||||
Docusign Series D | 19,759 | Discount for Lack of Marketability | 10% | |||||||||
Docusign Series B | 27,504 |
286
Notes to Financial Statements (Continued)
Small Cap Growth Equity Fund (Continued) | ||||||||||||
Fair Value Amount | Valuation | Unobservable Input Description | Value/ Weighted Average Range | |||||||||
Docusign Series B1 | 8,230 | |||||||||||
Draftkings Series D | 210,728 | Market Approach | Probability Expected Weighted Return Model - EV/Mulitiple | 3.83x | ||||||||
Draftkings, Inc. Series D1 | 535,781 | Market Approach | IPO 2018 Probability | 40% | ||||||||
Bankruptcy Probability | 10% | |||||||||||
Merger & Acquisition Probablility | 50% | |||||||||||
MarkLogic Corp. Series F | 810,229 | Market Approach | EV/Multiple | 3.3x | ||||||||
Discount for Lack of Marketability | 10% | |||||||||||
Telogis | 1,353,619 | Market Approach | Discount for Lack of Marketability | 10% | ||||||||
Market Observed Transaction | $ | 4.40 | ||||||||||
The Honest Co. | 531,970 | Market Approach | EV/Multiple | 4.0x | ||||||||
Discount for Lack of Marketability | 10% | |||||||||||
Veracode, Inc | 804,306 | Market Approach | EV/Multiple | 6.7x | ||||||||
Discount for Lack of Marketability | 10% | |||||||||||
Zuora Inc. Series F | 855,975 | Market Approach | EV/Multiple | 8.0x | ||||||||
Discount for Lack of Marketability | 10% | |||||||||||
Rights — | ||||||||||||
Dyax Corporation CVR | 0 | Asset Valuation | Worthless | $ | 0.00 | |||||||
|
| |||||||||||
Total | $ | 7,308,888 | ||||||||||
|
|
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. Gains or losses from 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 September 30, 2016, the following tables show 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 | Total Return Bond Fund | Strategic Fund | S&P 500 | |||
Foreign Currency Exchange Transactions* | ||||||
Hedging/Risk Management | A | A | ||||
Directional Exposures to Currencies | A | |||||
Futures Contracts** | ||||||
Hedging/Risk Management | A | A | ||||
Duration/Credit Quality Management | A | A | ||||
Substitution for Direct Investment | M | A | A | |||
Interest Rate Swaps*** | ||||||
Hedging/Risk Management | A | |||||
Duration Management | A | |||||
Credit Default Swaps (Protection Seller) | ||||||
Hedging/Risk Management | A | |||||
Duration/Credit Quality Management | A |
287
Notes to Financial Statements (Continued)
Type of Derivative and Objective for Use | Total Return Bond Fund | Strategic Fund | S&P 500 | |||
Options (Purchased) | ||||||
Hedging/Risk Management | A | |||||
Duration/Credit Quality Management | A | |||||
Substitution for Direct Investment | M | |||||
Options (Written) | ||||||
Hedging/Risk Management | A | |||||
Duration/Credit Quality Management | A | |||||
Income | A | |||||
Substitution for Direct Investment | M | |||||
Directional Investment | A |
Type of Derivative and Objective for Use | Mid-Cap | Small | S&P Mid Cap | Russell | Diversified | MSCI EAFE | Overseas | |||||||
Foreign Currency Exchange Transactions* | ||||||||||||||
Hedging/Risk Management | A | A | A | |||||||||||
Directional Exposures to Currencies | A | |||||||||||||
Futures Contracts** | ||||||||||||||
Hedging/Risk Management | A | A | A | |||||||||||
Substitution for Direct Investment | A | A | A | M | A | M |
* | 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. |
288
Notes to Financial Statements (Continued)
At September 30, 2016, and during the year then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Total Return Bond Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Forward Contracts* | $ | - | $ | - | $ | 35,011 | $ | - | $ | 35,011 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Forward Contracts^ | $ | - | $ | - | $ | (103,377 | ) | $ | - | $ | (103,377 | ) | ||||||||
Futures Contracts^^ | - | - | - | (67,284 | ) | (67,284 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | (103,377 | ) | $ | (67,284 | ) | $ | (170,661 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | (1,543,782 | ) | $ | - | $ | (1,543,782 | ) | ||||||||
Futures Contracts | - | - | - | 1,972,121 | 1,972,121 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | - | $ | - | $ | (1,543,782 | ) | $ | 1,972,121 | $ | 428,339 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | (68,366 | ) | $ | - | $ | (68,366 | ) | ||||||||
Futures Contracts | - | - | - | (257,840 | ) | (257,840 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | - | $ | - | $ | (68,366 | ) | $ | (257,840 | ) | $ | (326,206 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Strategic Bond Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | - | $ | 30,602 | $ | 30,602 | ||||||||||
Forward Contracts* | - | - | 281,809 | - | 281,809 | |||||||||||||||
Futures Contracts^^ | - | - | 402 | 212,045 | 212,447 | |||||||||||||||
Swap Agreements^^,^^^ | 37,595 | - | - | 25,201 | 62,796 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | 37,595 | $ | - | $ | 282,211 | $ | 267,848 | $ | 587,654 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Forward Contracts^ | $ | - | $ | - | $ | (253,586 | ) | $ | - | $ | (253,586 | ) | ||||||||
Futures Contracts^^ | - | - | - | (294,275 | ) | (294,275 | ) | |||||||||||||
Swap Agreements^^,^^^ | - | - | - | (1,047,104 | ) | (1,047,104 | ) | |||||||||||||
Written Options^,^^^ | - | - | - | (51,234 | ) | (51,234 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | (253,586 | ) | $ | (1,392,613 | ) | $ | (1,646,199 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | (291,159 | ) | $ | (979,125 | ) | $ | (1,270,284 | ) | |||||||
Forward Contracts | - | - | (565,185 | ) | - | (565,185 | ) | |||||||||||||
Futures Contracts | - | - | 3,270 | 4,697,155 | 4,700,425 | |||||||||||||||
Swap Agreements | 272,864 | - | - | (1,041,797 | ) | (768,933 | ) | |||||||||||||
Written Options | - | - | 99,816 | 637,010 | 736,826 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | 272,864 | $ | - | $ | (753,258 | ) | $ | 3,313,243 | $ | 2,832,849 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (23,025 | ) | $ | (23,025 | ) | ||||||||
Forward Contracts | - | - | 250,477 | - | 250,477 | |||||||||||||||
Futures Contracts | - | - | (1,081 | ) | 302,482 | 301,401 | ||||||||||||||
Swap Agreements | - | - | - | (808,314 | ) | (808,314 | ) | |||||||||||||
Written Options | - | - | (14,300 | ) | 12,709 | (1,591 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | - | $ | - | $ | 235,096 | $ | (516,148 | ) | $ | (281,052 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
289
Notes to Financial Statements (Continued)
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
S&P 500 Index Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | 369,219 | $ | - | $ | - | $ | 369,219 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Futures Contracts | $ | - | $ | 8,720,807 | $ | - | $ | - | $ | 8,720,807 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Futures Contracts | $ | - | $ | 2,307,168 | $ | - | $ | - | $ | 2,307,168 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Mid-Cap Value Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Forward Contracts* | $ | - | $ | - | $ | 2,789 | $ | - | $ | 2,789 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Forward Contracts^ | $ | - | $ | - | $ | (14,204 | ) | $ | - | $ | (14,204 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | (9,773 | ) | $ | - | $ | (9,773 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | (12,230 | ) | $ | - | $ | (12,230 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Small Company Value Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | 21,967 | $ | - | $ | - | $ | 21,967 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Futures Contracts | $ | - | $ | 117,348 | $ | - | $ | - | $ | 117,348 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Futures Contracts | $ | - | $ | 111,847 | $ | - | $ | - | $ | 111,847 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
S&P Mid Cap Index Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | 286 | $ | - | $ | - | $ | 286 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Futures Contracts | $ | - | $ | 921,027 | $ | - | $ | - | $ | 921,027 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Futures Contracts | $ | - | $ | 288,458 | $ | - | $ | - | $ | 288,458 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Russell 2000 Small Cap Index Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | 120,175 | $ | - | $ | - | $ | 120,175 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Futures Contracts | $ | - | $ | 813,970 | $ | - | $ | - | $ | 813,970 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Futures Contracts | $ | - | $ | 374,864 | $ | - | $ | - | $ | 374,864 | ||||||||||
|
|
|
|
|
|
|
|
|
|
290
Notes to Financial Statements (Continued)
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Diversified International Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Forward Contracts*,^^^ | $ | - | $ | - | $ | 210,473 | $ | - | $ | 210,473 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Forward Contracts^,^^^ | $ | - | $ | - | $ | (315,497 | ) | $ | - | $ | (315,497 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | 472,990 | $ | - | $ | 472,990 | ||||||||||
Futures Contracts | - | 388,322 | - | - | 388,322 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | - | $ | 388,322 | $ | 472,990 | $ | - | $ | 861,312 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | 19,129 | $ | - | $ | 19,129 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
MSCI EAFE International Index Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Forward Contracts* | $ | - | $ | - | $ | 32,034 | $ | - | $ | 32,034 | ||||||||||
Futures Contracts^^ | - | 52,367 | - | - | 52,367 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | 52,367 | $ | 32,034 | $ | - | $ | 84,401 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Forward Contracts^ | $ | - | $ | - | $ | (6,206 | ) | $ | - | $ | (6,206 | ) | ||||||||
Futures Contracts^^ | - | (1,480 | ) | - | - | (1,480 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | (1,480 | ) | $ | (6,206 | ) | $ | - | $ | (7,686 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | 125,475 | $ | - | $ | 125,475 | ||||||||||
Futures Contracts | - | (81,784 | ) | - | - | (81,784 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | - | $ | (81,784 | ) | $ | 125,475 | $ | - | $ | 43,691 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | 118,221 | $ | - | $ | 118,221 | ||||||||||
Futures Contracts | - | 286,011 | - | - | 286,011 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | - | $ | 286,011 | $ | 118,221 | $ | - | $ | 404,232 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Overseas Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Forward Contracts*,^^^ | $ | - | $ | - | $ | 282,900 | $ | - | $ | 282,900 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Forward Contracts^,^^^ | $ | - | $ | - | $ | (259,762 | ) | $ | - | $ | (259,762 | ) | ||||||||
Forward Contracts^ | - | - | (30,866 | ) | - | (30,866 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | (290,628 | ) | $ | - | $ | (290,628 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | 1,067,858 | $ | - | $ | 1,067,858 | ||||||||||
Futures Contracts | - | (134,659 | ) | - | - | (134,659 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | - | $ | (134,659 | ) | $ | 1,067,858 | $ | - | $ | 933,199 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | 190,693 | $ | - | $ | 190,693 | ||||||||||
|
|
|
|
|
|
|
|
|
|
291
Notes to Financial Statements (Continued)
* | Statements of Assets and Liabilities location: Investments, at value, Receivables from: open forward foreign currency contracts. |
^ | Statements of Assets and Liabilities location: Payables for: written options outstanding or open forward foreign currency contracts, at value, as applicable. |
^^ | Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” below. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities. |
^^^ | Represents centrally cleared swaps, exchange-traded written options, or forward contracts which are not subject to a master netting agreement. |
# | Statements of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, futures contracts, written options, swap agreements, or foreign currency transactions, as applicable. |
## | Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, futures contracts, written options, swap agreements, or translation of assets and liabilities in foreign currencies, as applicable. |
For the year ended September 30, 2016, 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 | |||||||||||||||
Total Return Bond Fund | 574 | $ | 30,530,120 | $ | - | - | - | |||||||||||||
Strategic Bond Fund | 1,587 | 36,347,507 | 179,588,333 | 4,877,384 | 785,973 | |||||||||||||||
S&P 500 Index Fund | 599 | - | - | - | - | |||||||||||||||
Mid-Cap Value Fund | - | 1,873,067 | - | - | - | |||||||||||||||
Small Company Value Fund | 18 | - | - | - | - | |||||||||||||||
S&P Mid Cap Index Fund | 64 | - | - | - | - | |||||||||||||||
Russell 2000 Small Cap Index Fund | 77 | - | - | - | - | |||||||||||||||
Diversified International Fund | 19 | 32,368,726 | - | - | - | |||||||||||||||
MSCI EAFE International Index Fund | 224 | 25,806,750 | - | - | - | |||||||||||||||
Overseas Fund | 35 | 54,103,837 | - | - | - |
† | 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 which is indicative of volume of this derivative type for the months that the fund held such derivatives during the year ended September 30, 2016. |
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 September 30, 2016.
Counterparty |
Derivative Assets MNA by | Financial Instruments Available for Offset | Collateral Received*** | Net Amount* | ||||||||||||
Total Return Bond Fund | ||||||||||||||||
Citibank N.A. | $ | 35,011 | $ | (35,011 | ) | $ | - | $ | - | |||||||
|
|
|
|
|
|
|
| |||||||||
MSCI EAFE International Index Fund | ||||||||||||||||
Bank of Montreal | $ | 7,775 | $ | - | $ | - | $ | 7,775 | ||||||||
Bank of New York Mellon | 16,584 | - | - | 16,584 | ||||||||||||
JP Morgan Chase Bank N.A. | 5,646 | (56 | ) | - | 5,590 | |||||||||||
Morgan Stanley & Co. LLC | 491 | (491 | ) | - | - | |||||||||||
Societe Generale | 1,538 | - | - | 1,538 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 32,034 | $ | (547 | ) | $ | - | $ | 31,487 | ||||||||
|
|
|
|
|
|
|
|
292
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 September 30, 2016.
Counterparty |
Derivative Liabilities MNA by | Financial Instruments Available for Offset | Collateral Pledged*** | Net Amount** | ||||||||||||
Total Return Bond Fund | ||||||||||||||||
Citibank N.A. | $ | (103,377 | ) | $ | 35,011 | $ | - | $ | (68,366 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
MSCI EAFE International Index Fund | ||||||||||||||||
Citibank N.A. | $ | (5,032 | ) | $ | - | $ | - | $ | (5,032 | ) | ||||||
JP Morgan Chase Bank N.A. | (56 | ) | 56 | - | - | |||||||||||
Morgan Stanley & Co. LLC | (1,118 | ) | 491 | - | (627 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (6,206 | ) | $ | 547 | $ | - | $ | (5,659 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Overseas Fund | ||||||||||||||||
State Street Bank and Trust Co. | $ | (30,866 | ) | $ | - | $ | - | $ | (30,866 | ) | ||||||
|
|
|
|
|
|
|
|
* | 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 September 30, 2016, 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 futures contracts and 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. Futures contracts are exchange-traded and typically have minimal exposure to counterparty risk. 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 also buy and sell options on currencies or currency futures contracts. When the Fund buys an option, its loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a currency or currency futures contract, it is subject generally to the same risks as if it had entered into a futures contract or forward contract with respect to that currency. For example, futures contracts are exchange-traded and typically have minimal exposure to counterparty risk and 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. 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
293
Notes to Financial Statements (Continued)
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 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. For information regarding the accounting treatment of futures contracts and options, respectively, see “Futures Contracts” and “Options, Rights, and Warrants” below.
The Fund(s) listed in the following table had open forward foreign currency contracts at September 30, 2016. A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.
Counterparty | Settlement | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Total Return Bond Fund | ||||||||||||||||||||
Contract to Buy | ||||||||||||||||||||
JPY | 2,300,000,000 | Citibank N.A.* | 10/26/16 | $ | 22,666,798 | $ | 35,011 | |||||||||||||
|
|
|
| |||||||||||||||||
Contracts to Deliver | ||||||||||||||||||||
JPY | 890,000,000 | Citibank N.A.* | 10/12/16 | $ | 8,760,791 | $ | (18,691 | ) | ||||||||||||
JPY | 2,300,000,000 | Citibank N.A.* | 10/26/16 | 22,653,113 | (48,696 | ) | ||||||||||||||
JPY | 2,300,000,000 | Citibank N.A.* | 11/09/16 | 22,678,755 | (35,990 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 54,092,659 | $ | (103,377 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Strategic Bond Fund | ||||||||||||||||||||
Contracts to Buy | ||||||||||||||||||||
IDR | 10,533,510,000 | Bank of America N.A. | 10/14/16 | $ | 799,507 | $ | 6,354 | |||||||||||||
|
|
|
| |||||||||||||||||
CNY | 40,663,913 | Barclays Bank PLC | 10/14/16 | 6,094,711 | 429 | |||||||||||||||
EUR | 1,796,625 | Barclays Bank PLC | 10/14/16 | 1,991,415 | 27,752 | |||||||||||||||
MXN | 37,312,000 | Barclays Bank PLC | 10/14/16 | 1,961,544 | (39,460 | ) | ||||||||||||||
SGD | 2,720,000 | Barclays Bank PLC | 10/14/16 | 2,003,643 | (8,899 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
12,051,313 | (20,178 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
BRL | 416,000 | Citibank N.A. | 10/14/16 | 122,371 | 5,167 | |||||||||||||||
CAD | 3,820 | Citibank N.A. | 10/14/16 | 2,948 | (36 | ) | ||||||||||||||
EUR | 2,582,000 | Citibank N.A. | 10/14/16 | 2,925,893 | (24,069 | ) | ||||||||||||||
GBP | 417,000 | Citibank N.A. | 10/14/16 | 540,872 | (255 | ) | ||||||||||||||
IDR | 21,142,870,000 | Citibank N.A. | 10/14/16 | 1,616,545 | 980 | |||||||||||||||
INR | 218,990,000 | Citibank N.A. | 10/14/16 | 3,204,200 | 77,948 | |||||||||||||||
SGD | 1,160,000 | Citibank N.A. | 10/14/16 | 853,896 | (3,197 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
9,266,725 | 56,538 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
$ | 22,117,545 | $ | 42,714 | |||||||||||||||||
|
|
|
|
294
Notes to Financial Statements (Continued)
Counterparty | Settlement | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Strategic Bond Fund (Continued) | ||||||||||||||||||||
Contracts to Deliver | ||||||||||||||||||||
EUR | 770,000 | Bank of America N.A. | 10/14/16 | $ | 852,702 | $ | (12,675 | ) | ||||||||||||
EUR | 1,185,385 | Bank of America N.A. | 11/10/16 | 1,331,637 | (2,223 | ) | ||||||||||||||
JPY | 162,470,000 | Bank of America N.A. | 10/14/16 | 1,621,910 | 19,077 | |||||||||||||||
|
|
|
| |||||||||||||||||
3,806,249 | 4,179 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
CNY | 40,663,913 | Barclays Bank PLC | 10/14/16 | 6,050,822 | (44,318 | ) | ||||||||||||||
CNY | 40,663,913 | Barclays Bank PLC | 01/20/17 | 6,036,356 | (37,576 | ) | ||||||||||||||
MXN | 27,442,800 | Barclays Bank PLC | 10/14/16 | 1,493,933 | 80,249 | |||||||||||||||
PLN | 5,540,000 | Barclays Bank PLC | 10/14/16 | 1,383,720 | (64,701 | ) | ||||||||||||||
SGD | 3,880,000 | Barclays Bank PLC | 10/14/16 | 2,876,098 | 30,655 | |||||||||||||||
|
|
|
| |||||||||||||||||
17,840,929 | (35,691 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 458,785 | Citibank N.A. | 10/14/16 | 508,310 | (7,303 | ) | ||||||||||||||
EUR | 4,073,922 | Citibank N.A. | 11/10/16 | 4,578,581 | (5,622 | ) | ||||||||||||||
INR | 53,630,000 | Citibank N.A. | 10/14/16 | 804,494 | 706 | |||||||||||||||
JPY | 345,033,637 | Citibank N.A. | 10/14/16 | 3,436,390 | 32,492 | |||||||||||||||
|
|
|
| |||||||||||||||||
9,327,775 | 20,273 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 836,893 | UBS AG | 11/10/16 | 938,467 | (3,252 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 31,913,420 | $ | (14,491 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Mid-Cap Value Fund | ||||||||||||||||||||
Contracts to Deliver | ||||||||||||||||||||
JPY | 26,529,802 | Credit Suisse International | 12/30/16 | $ | 265,461 | $ | 2,789 | |||||||||||||
|
|
|
| |||||||||||||||||
CAD | 1,603,511 | Morgan Stanley & Co. | 12/30/16 | 1,211,175 | (11,843 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 636,521 | UBS AG | 12/30/16 | 715,603 | (2,361 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 2,192,239 | $ | (11,415 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Diversified International Fund | ||||||||||||||||||||
Contracts to Buy | ||||||||||||||||||||
CAD | 512,259 | Australia & New Zealand Banking Group | 10/18/16 | $ | 393,122 | $ | (2,619 | ) | ||||||||||||
EUR | 1,484,555 | Australia & New Zealand Banking Group | 10/18/16 | 1,667,005 | 1,749 | |||||||||||||||
GBP | 439,320 | Australia & New Zealand Banking Group | 10/18/16 | 569,181 | 417 | |||||||||||||||
HKD | 9,503,063 | Australia & New Zealand Banking Group | 10/18/16 | 1,225,840 | (479 | ) | ||||||||||||||
JPY | 144,087,692 | Australia & New Zealand Banking Group | 10/18/16 | 1,416,451 | 5,271 | |||||||||||||||
|
|
|
| |||||||||||||||||
5,271,599 | 4,339 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
JPY | 39,217,260 | Barclays Bank PLC | 10/18/16 | 391,600 | (4,641 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
CHF | 1,109,479 | Citibank N.A. | 10/18/16 | 1,145,965 | (3,011 | ) | ||||||||||||||
GBP | 137,757 | Citibank N.A. | 10/18/16 | 183,158 | (4,550 | ) | ||||||||||||||
JPY | 733,860,266 | Citibank N.A. | 10/18/16 | 7,301,021 | (59,980 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
8,630,144 | (67,541 | ) | ||||||||||||||||||
|
|
|
|
295
Notes to Financial Statements (Continued)
Counterparty | Settlement | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Diversified International Fund (Continued) | ||||||||||||||||||||
Contracts to Buy (Continued) | ||||||||||||||||||||
EUR | 10,231,913 | Credit Suisse International | 10/18/16 | $ | 11,507,516 | $ | (6,062 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
GBP | 206,584 | Deutsche Bank AG | 10/18/16 | 273,377 | (5,532 | ) | ||||||||||||||
SEK | 3,956,098 | Deutsche Bank AG | 10/18/16 | 463,097 | (1,617 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
736,474 | (7,149 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 404,110 | Goldman Sachs & Co. | 10/18/16 | 447,585 | 6,666 | |||||||||||||||
SEK | 2,885,249 | Goldman Sachs & Co. | 10/18/16 | 340,433 | (3,867 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
788,018 | 2,799 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 655,302 | HSBC Bank PLC | 10/18/16 | 863,672 | (14,044 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
AUD | 3,536,320 | Merrill Lynch International | 10/18/16 | 2,679,049 | 26,725 | |||||||||||||||
DKK | 1,223,868 | Merrill Lynch International | 10/18/16 | 184,637 | 143 | |||||||||||||||
EUR | 215,924 | Merrill Lynch International | 10/18/16 | 243,122 | (407 | ) | ||||||||||||||
NOK | 3,304,131 | Merrill Lynch International | 10/18/16 | 406,577 | 6,739 | |||||||||||||||
|
|
|
| |||||||||||||||||
3,513,385 | 33,200 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
CHF | 1,195,817 | Morgan Stanley & Co. | 10/18/16 | 1,221,699 | 10,198 | |||||||||||||||
GBP | 206,153 | Morgan Stanley & Co. | 10/18/16 | 271,244 | (3,957 | ) | ||||||||||||||
JPY | 21,574,252 | Morgan Stanley & Co. | 10/18/16 | 214,093 | (1,219 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
1,707,036 | 5,022 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 5,444,933 | Royal Bank of Canada | 10/18/16 | 7,121,960 | (62,364 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
SGD | 1,097,401 | Societe Generale | 10/18/16 | 813,899 | (9,086 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 295,630 | Standard Chartered Bank | 10/18/16 | 334,187 | (1,877 | ) | ||||||||||||||
GBP | 454,625 | Standard Chartered Bank | 10/18/16 | 604,121 | (14,680 | ) | ||||||||||||||
JPY | 47,787,737 | Standard Chartered Bank | 10/18/16 | 460,360 | 11,164 | |||||||||||||||
SEK | �� | 5,015,140 | Standard Chartered Bank | 10/18/16 | 589,057 | (4,039 | ) | |||||||||||||
|
|
|
| |||||||||||||||||
1,987,725 | (9,432 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 146,091 | State Street Bank and Trust Co. | 10/18/16 | 191,859 | (2,446 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
AUD | 1,740,050 | Toronto Dominion Bank | 10/18/16 | 1,321,204 | 10,175 | |||||||||||||||
EUR | 537,218 | Toronto Dominion Bank | 10/18/16 | 608,082 | (4,208 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
1,929,286 | 5,967 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 180,716 | UBS AG | 10/18/16 | 202,904 | 234 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 45,657,077 | $ | (131,204 | ) | ||||||||||||||||
|
|
|
|
296
Notes to Financial Statements (Continued)
Counterparty | Settlement | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Diversified International Fund (Continued) | ||||||||||||||||||||
Contracts to Deliver | ||||||||||||||||||||
AUD | 3,324,295 | Australia & New Zealand Banking Group | 10/18/16 | $ | 2,533,475 | $ | (10,070 | ) | ||||||||||||
CAD | 971,098 | Australia & New Zealand Banking Group | 10/18/16 | 750,812 | 10,529 | |||||||||||||||
EUR | 375,941 | Australia & New Zealand Banking Group | 10/18/16 | 420,547 | (2,039 | ) | ||||||||||||||
HKD | 7,958,564 | Australia & New Zealand Banking Group | 10/18/16 | 1,026,378 | 171 | |||||||||||||||
JPY | 906,280,216 | Australia & New Zealand Banking Group | 10/18/16 | 8,984,024 | 41,707 | |||||||||||||||
SGD | 403,349 | Australia & New Zealand Banking Group | 10/18/16 | 296,759 | 951 | |||||||||||||||
|
|
|
| |||||||||||||||||
14,011,995 | 41,249 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 219,683 | Barclays Bank PLC | 10/18/16 | 248,681 | 1,741 | |||||||||||||||
|
|
|
| |||||||||||||||||
DKK | 1,070,388 | Citibank N.A. | 10/18/16 | 159,762 | (1,846 | ) | ||||||||||||||
EUR | 375,042 | Citibank N.A. | 10/18/16 | 418,278 | (3,298 | ) | ||||||||||||||
GBP | 1,847,992 | Citibank N.A. | 10/18/16 | 2,449,820 | 53,816 | |||||||||||||||
JPY | 18,690,000 | Citibank N.A. | 10/18/16 | 184,041 | (374 | ) | ||||||||||||||
NOK | 3,910,556 | Citibank N.A. | 10/18/16 | 482,585 | (6,589 | ) | ||||||||||||||
SEK | 5,460,904 | Citibank N.A. | 10/18/16 | 639,933 | 2,917 | |||||||||||||||
|
|
|
| |||||||||||||||||
4,334,419 | 44,626 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 1,720,974 | Credit Suisse International | 10/18/16 | 1,909,263 | (25,244 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 496,849 | Goldman Sachs & Co. | 10/18/16 | 552,122 | (6,375 | ) | ||||||||||||||
JPY | 40,609,065 | Goldman Sachs & Co. | 10/18/16 | 385,923 | (14,769 | ) | ||||||||||||||
SEK | 2,204,025 | Goldman Sachs & Co. | 10/18/16 | 258,677 | 1,577 | |||||||||||||||
|
|
|
| |||||||||||||||||
1,196,722 | (19,567 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 10,039,318 | HSBC Bank PLC | 10/18/16 | 11,279,533 | (5,429 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
CHF | 1,776,308 | Merrill Lynch International | 10/18/16 | 1,833,222 | 3,319 | |||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 6,063,090 | Morgan Stanley & Co. | 10/18/16 | 7,862,281 | 1,216 | |||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 422,724 | Royal Bank of Canada | 10/18/16 | 479,862 | 4,688 | |||||||||||||||
GBP | 217,985 | Royal Bank of Canada | 10/18/16 | 290,873 | 8,246 | |||||||||||||||
|
|
|
| |||||||||||||||||
770,735 | 12,934 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
CHF | 114,267 | Standard Chartered Bank | 10/18/16 | 117,828 | 114 | |||||||||||||||
EUR | 216,409 | Standard Chartered Bank | 10/18/16 | 240,615 | (2,644 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
358,443 | (2,530 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 497,387 | Toronto Dominion Bank | 10/18/16 | 555,827 | (3,274 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 44,361,121 | $ | 49,041 | |||||||||||||||||
|
|
|
|
297
Notes to Financial Statements (Continued)
Counterparty | Settlement | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Diversified International Fund (Continued) | ||||||||||||||||||||
Cross Currency Forwards | ||||||||||||||||||||
GBP | 288,165 | Goldman Sachs & Co. | 10/18/16 | EUR | $ | 340,441 | $ | (9,064 | ) | |||||||||||
|
|
|
| |||||||||||||||||
GBP | 457,891 | Royal Bank of Canada | 10/18/16 | EUR | 540,419 | (13,797 | ) | |||||||||||||
|
|
|
| |||||||||||||||||
$ | (22,861 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
MSCI EAFE International Index Fund | ||||||||||||||||||||
Contracts to Buy | ||||||||||||||||||||
EUR | 1,622,000 | Bank of Montreal* | 12/21/16 | $ | 1,820,882 | $ | 7,775 | |||||||||||||
|
|
|
| |||||||||||||||||
HKD | 67,742 | Bank of New York Mellon* | 12/21/16 | 8,738 | 3 | |||||||||||||||
JPY | 130,717,315 | Bank of New York Mellon* | 12/21/16 | 1,278,034 | 15,493 | |||||||||||||||
|
|
|
| |||||||||||||||||
1,286,772 | 15,496 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 591,710 | Citibank N.A.* | 12/21/16 | 770,000 | (1,816 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
SEK | 405,012 | JP Morgan Chase Bank N.A.* | 12/21/16 | 47,454 | (56 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
CHF | 27,776 | Morgan Stanley & Co. LLC* | 12/21/16 | 28,501 | 226 | |||||||||||||||
SGD | 260,021 | Morgan Stanley & Co. LLC* | 12/21/16 | 190,469 | 265 | |||||||||||||||
|
|
|
| |||||||||||||||||
218,970 | 491 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
DKK | 1,181,683 | Societe Generale* | 12/21/16 | 177,837 | 1,122 | |||||||||||||||
ILS | 195,433 | Societe Generale* | 12/21/16 | 51,839 | 416 | |||||||||||||||
|
|
|
| |||||||||||||||||
229,676 | 1,538 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
$ | 4,373,754 | $ | 23,428 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Contracts to Deliver | ||||||||||||||||||||
EUR | 974,724 | Bank of New York Mellon* | 12/21/16 | $ | 1,100,000 | $ | 1,088 | |||||||||||||
|
|
|
| |||||||||||||||||
AUD | 330,364 | Citibank N.A.* | 12/21/16 | 249,187 | (3,216 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 468,030 | JP Morgan Chase Bank N.A.* | 12/21/16 | 613,263 | 5,646 | |||||||||||||||
|
|
|
| |||||||||||||||||
JPY | 111,273,404 | Morgan Stanley & Co. LLC* | 12/21/16 | 1,100,000 | (1,118 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 3,062,450 | $ | 2,400 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Overseas Fund | ||||||||||||||||||||
Contracts to Buy | ||||||||||||||||||||
EUR | 2,924,005 | Australia & New Zealand Banking Group | 10/18/16 | $ | 3,274,042 | $ | 12,763 | |||||||||||||
GBP | 977,113 | Australia & New Zealand Banking Group | 10/18/16 | 1,269,642 | (2,772 | ) | ||||||||||||||
HKD | 1,682,684 | Australia & New Zealand Banking Group | 10/18/16 | 217,192 | (220 | ) | ||||||||||||||
JPY | 123,708,274 | Australia & New Zealand Banking Group | 10/18/16 | 1,184,561 | 36,075 | |||||||||||||||
|
|
|
| |||||||||||||||||
5,945,437 | 45,846 | |||||||||||||||||||
|
|
|
|
298
Notes to Financial Statements (Continued)
Counterparty | Settlement | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Overseas Fund (Continued) | ||||||||||||||||||||
Contracts to Buy (Continued) | ||||||||||||||||||||
EUR | 522,937 | Citibank N.A. | 10/18/16 | $ | 578,112 | $ | 9,709 | |||||||||||||
GBP | 259,089 | Citibank N.A. | 10/18/16 | 344,250 | (8,329 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
922,362 | 1,380 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 389,354 | Deutsche Bank AG | 10/18/16 | 515,240 | (10,426 | ) | ||||||||||||||
SEK | 7,576,841 | Deutsche Bank AG | 10/18/16 | 886,937 | (3,096 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
1,402,177 | (13,522 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 763,558 | Goldman Sachs & Co. | 10/18/16 | 845,701 | 12,596 | |||||||||||||||
SEK | 5,622,010 | Goldman Sachs & Co. | 10/18/16 | 663,371 | (7,561 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
1,509,072 | 5,035 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
AUD | 6,378,027 | Merrill Lynch International | 10/18/16 | 4,831,872 | 48,200 | |||||||||||||||
|
|
|
| |||||||||||||||||
CHF | 2,512,969 | Morgan Stanley & Co. LLC | 10/18/16 | 2,567,361 | 21,429 | |||||||||||||||
GBP | 1,045,538 | Morgan Stanley & Co. LLC | 10/18/16 | 1,382,841 | (27,255 | ) | ||||||||||||||
JPY | 92,380,486 | Morgan Stanley & Co. LLC | 10/18/16 | 890,177 | 21,347 | |||||||||||||||
|
|
|
| |||||||||||||||||
4,840,379 | 15,521 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 841,820 | Royal Bank of Canada | 10/18/16 | 1,092,308 | (851 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
SGD | 2,581,312 | Societe Generale | 10/18/16 | 1,914,457 | (21,374 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 761,187 | Standard Chartered Bank | 10/18/16 | 859,463 | (3,830 | ) | ||||||||||||||
GBP | 1,192,309 | Standard Chartered Bank | 10/18/16 | 1,578,704 | (32,823 | ) | ||||||||||||||
JPY | 104,767,950 | Standard Chartered Bank | 10/18/16 | 1,032,421 | 1,331 | |||||||||||||||
|
|
|
| |||||||||||||||||
3,470,588 | (35,322 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
$ | 25,928,652 | $ | 44,913 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Contracts to Deliver | ||||||||||||||||||||
CAD | 1,839,819 | Australia & New Zealand Banking Group | 10/18/16 | $ | 1,422,471 | $ | 19,949 | |||||||||||||
EUR | 1,982,825 | Australia & New Zealand Banking Group | 10/18/16 | 2,224,681 | (4,166 | ) | ||||||||||||||
GBP | 288,263 | Australia & New Zealand Banking Group | 10/18/16 | 381,164 | 7,418 | |||||||||||||||
JPY | 230,495,381 | Australia & New Zealand Banking Group | 10/18/16 | 2,278,423 | 4,112 | |||||||||||||||
|
|
|
| |||||||||||||||||
6,306,739 | 27,313 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 343,671 | Barclays Bank PLC | 10/18/16 | 389,036 | 2,723 | |||||||||||||||
NOK | 2,462,228 | Barclays Bank PLC | 10/18/16 | 291,696 | (16,306 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
680,732 | (13,583 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 458,252 | BNP Paribas SA | 10/18/16 | 515,008 | (102 | ) | ||||||||||||||
|
|
|
|
299
Notes to Financial Statements (Continued)
Counterparty | Settlement | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Overseas Fund (Continued) | ||||||||||||||||||||
Contracts to Deliver (Continued) | ||||||||||||||||||||
EUR | 419,637 | Citibank N.A. | 10/18/16 | $ | 469,177 | $ | (2,527 | ) | ||||||||||||
GBP | 2,969,841 | Citibank N.A. | 10/18/16 | 3,920,022 | 69,492 | |||||||||||||||
|
|
|
| |||||||||||||||||
4,389,199 | 66,965 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 2,828,753 | Credit Suisse International | 10/18/16 | 3,138,241 | (41,494 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 555,519 | Deutsche Bank AG | 10/18/16 | 614,968 | (9,478 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 374,019 | Goldman Sachs & Co. | 10/18/16 | 415,627 | (4,799 | ) | ||||||||||||||
JPY | 79,033,015 | Goldman Sachs & Co. | 10/18/16 | 751,079 | (28,744 | ) | ||||||||||||||
SEK | 3,339,221 | Goldman Sachs & Co. | 10/18/16 | 391,910 | 2,389 | |||||||||||||||
|
|
|
| |||||||||||||||||
1,558,616 | (31,154 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 652,982 | Royal Bank of Canada | 10/18/16 | 741,244 | 7,242 | |||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 1,286,503 | Societe Generale | 10/18/16 | 1,444,433 | (1,695 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
CHF | 885,042 | Standard Chartered Bank | 10/18/16 | 913,227 | 1,481 | |||||||||||||||
EUR | 2,130,997 | Standard Chartered Bank | 10/18/16 | 2,389,865 | (5,540 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
3,303,092 | (4,059 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
AUD | 650,000 | State Street Bank and Trust Co.* | 12/21/16 | 478,244 | (18,367 | ) | ||||||||||||||
CHF | 5,546,000 | State Street Bank and Trust Co.* | 03/15/17 | 5,754,366 | (12,499 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
6,232,610 | (30,866 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 961,422 | Toronto Dominion Bank | 10/18/16 | 1,074,383 | (6,328 | ) | ||||||||||||||
GBP | 1,083,229 | Toronto Dominion Bank | 10/18/16 | 1,408,057 | 3,604 | |||||||||||||||
JPY | 142,381,297 | Toronto Dominion Bank | 10/18/16 | 1,405,924 | 1,040 | |||||||||||||||
|
|
|
| |||||||||||||||||
3,888,364 | (1,684 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
$ | 32,813,246 | $ | (32,595 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Cross Currency Forwards | ||||||||||||||||||||
GBP | 665,293 | Royal Bank of Canada | 10/18/16 | EUR | 785,203 | $ | (20,046 | ) | ||||||||||||
|
|
* | Contracts are subject to an MNA. |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CNY | Chinese Yuan Renminbi |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
MXN | Mexican Peso |
NOK | Norwegian Krone |
PLN | Polish Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
300
Notes to Financial Statements (Continued)
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 and related options (see “Foreign Currency Exchange Transactions,” above, for a discussion of the use of futures contracts in connection with currency risk).
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 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. 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 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.
Options on Futures Contracts. If a Fund buys an option on a futures contract, it will have the right to assume a futures contract at a particular price during the course of the option. Its potential loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a futures contract, it is subject generally to the same risks as if it had entered into a futures contract underlying the option itself.
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. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.
The Fund(s) listed in the following table had open futures contracts at September 30, 2016:
Expiration Date | Number of Contracts | Notional Amount | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Total Return Bond Fund |
| |||||||||||||||
Futures Contracts — Long |
| |||||||||||||||
U.S. Treasury Note 2 Year | 12/30/16 | 162 | $ | 35,391,938 | $ | (2,638 | ) | |||||||||
U.S. Treasury Note 5 Year | 12/30/16 | 583 | 70,843,609 | (64,646 | ) | |||||||||||
|
| |||||||||||||||
$ | (67,284 | ) | ||||||||||||||
|
| |||||||||||||||
Strategic Bond Fund |
| |||||||||||||||
Futures Contracts — Long |
| |||||||||||||||
Euro Bobl | 12/08/16 | 30 | $ | 4,451,497 | $ | 1,708 | ||||||||||
U.S. Treasury Ultra Long Bond | 12/20/16 | 66 | 12,135,750 | (151,564 | ) | |||||||||||
U.S. Treasury Note 5 Year | 12/30/16 | 1,085 | 131,844,453 | 79,460 | ||||||||||||
90 Day Eurodollar | 12/18/17 | 198 | 48,972,825 | 9,256 | ||||||||||||
|
| |||||||||||||||
$ | (61,140 | ) | ||||||||||||||
|
|
301
Notes to Financial Statements (Continued)
Expiration Date | Number of Contracts | Notional Amount | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Strategic Bond Fund (Continued) |
| |||||||||||||||
Futures Contracts — Short | ||||||||||||||||
Euro Bund | 12/08/16 | 72 | $ | (13,402,007 | ) | $ | (84,598 | ) | ||||||||
Euro Buxl Bond 30 Year | 12/08/16 | 4 | (863,541 | ) | 712 | |||||||||||
Japanese Government Bond 10 Year | 12/13/16 | 6 | (9,013,757 | ) | (41,761 | ) | ||||||||||
Euro FX | 12/19/16 | 5 | (704,812 | ) | 402 | |||||||||||
U.S. Treasury Long Bond | 12/20/16 | 46 | (7,735,188 | ) | 46,595 | |||||||||||
U.S. Treasury Note 10 Year | 12/20/16 | 359 | (47,073,875 | ) | 29,568 | |||||||||||
U.S. Treasury Ultra 10 Year | 12/20/16 | 21 | (3,027,281 | ) | 2,597 | |||||||||||
U.S. Treasury Note 2 Year | 12/30/16 | 19 | (4,150,906 | ) | (7,046 | ) | ||||||||||
90 Day Eurodollar | 03/13/17 | 131 | (32,440,513 | ) | 42,149 | |||||||||||
90 Day Eurodollar | 12/16/19 | 198 | (48,841,650 | ) | (9,306 | ) | ||||||||||
|
| |||||||||||||||
$ | (20,688 | ) | ||||||||||||||
|
| |||||||||||||||
S&P 500 Index Fund | ||||||||||||||||
Future Contract — Long |
| |||||||||||||||
S&P 500 E Mini Index | 12/16/16 | 517 | $ | 55,846,340 | $ | 369,219 | ||||||||||
|
| |||||||||||||||
Small Company Value Fund | ||||||||||||||||
Futures Contracts — Long |
| |||||||||||||||
Russell 2000 Mini Index | 12/16/16 | 18 | $ | 2,246,940 | $ | 21,967 | ||||||||||
|
| |||||||||||||||
S&P Mid Cap Index Fund | ||||||||||||||||
Future Contract — Long |
| |||||||||||||||
S&P Midcap 400 E Mini Index | 12/16/16 | 63 | $ | 9,762,480 | $ | 286 | ||||||||||
|
| |||||||||||||||
Russell 2000 Small Cap Index Fund | ||||||||||||||||
Future Contract — Long |
| |||||||||||||||
Russell 2000 Mini Index | 12/16/16 | 78 | $ | 9,736,740 | $ | 120,175 | ||||||||||
|
| |||||||||||||||
MSCI EAFE International Index Fund | ||||||||||||||||
Futures Contracts — Long |
| |||||||||||||||
Hang Seng Index | 10/28/16 | 1 | $ | 150,282 | $ | (1,480 | ) | |||||||||
Topix Index | 12/08/16 | 8 | 1,043,736 | 271 | ||||||||||||
SPI 200 Index | 12/15/16 | 4 | 414,513 | 13,265 | ||||||||||||
Euro Stoxx 50 Index | 12/16/16 | 57 | 1,917,086 | 15,099 | ||||||||||||
FTSE 100 Index | 12/16/16 | 10 | 888,834 | 23,732 | ||||||||||||
|
| |||||||||||||||
$ | 50,887 | |||||||||||||||
|
|
Swap Agreements
Swap agreements are typically two-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, 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).
302
Notes to Financial Statements (Continued)
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 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.
Credit Default Swaps. A Fund may also enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create a “synthetic” long position.
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. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. 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 be non-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.
Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.
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
303
Notes to Financial Statements (Continued)
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 are marked-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.
The Fund(s) listed in the following table had open swap transactions at September 30, 2016. A Fund’s current exposure to a counterparty is the fair value of the transaction.
Counterparty | Currency | Notional Amount | Expiration Date | Receive (Pay) | Deliverable on Default | Unrealized Appreciation (Depreciation) | Premium (Received) Paid | Value | ||||||||||||||||||
Strategic Bond Fund | ||||||||||||||||||||||||||
Credit Default Swaps — Sell Protection†† | ||||||||||||||||||||||||||
Centrally Cleared Swaps | ||||||||||||||||||||||||||
USD | 880,000 | 12/20/21 | 5.000% | CDX.NA.HY.27† (Rating:AAA+)* | $ | - | $ | 37,595 | $ | 37,595 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
Counterparty | Currency | Notional Amount | Expiration Date | Payments Made by | Payments Received by Fund | Unrealized Appreciation (Depreciation) | Premium Received (Paid) | Value | ||||||||||||||||||
Interest Rate Swaps |
| |||||||||||||||||||||||||
Centrally Cleared Swaps |
| |||||||||||||||||||||||||
USD | 5,030,000 | 6/13/21 | Fixed 1.185% | 3-Month USD-LIBOR | $ | 1,790 | $ | - | $ | 1,790 | ||||||||||||||||
USD | 10,400,000 | 8/31/22 | Fixed 1.897% | 3-Month USD-LIBOR | (386,675 | ) | - | (386,675 | ) | |||||||||||||||||
USD | 16,244,000 | 11/30/22 | Fixed 1.900% | 3-Month USD-LIBOR | (612,612 | ) | - | (612,612 | ) | |||||||||||||||||
USD | 12,160,000 | 5/15/23 | Fixed 1.266% | 3-Month USD-LIBOR | 18,681 | 4,730 | 23,411 | |||||||||||||||||||
USD | 5,020,000 | 6/13/26 | Fixed 1.580% | 3-Month USD-LIBOR | (48,526 | ) | 709 | (47,817 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
(1,027,342 | ) | 5,439 | (1,021,903 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
USD | U.S. Dollar |
* | Rating is determined by Western Asset Management Company and represents a weighted average of the ratings of all securities included in the underlying index for the credit default swap. Ratings used in the weighted average are from Moody’s Investors Service, Inc., Standard & Poor’s Ratings Group, or Fitch Ratings, whichever is the highest for each constituent. All ratings are as of the report date and do not reflect subsequent changes. |
† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
†† | For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent Standard & Poor’s Ratings Group or Western Asset Management Company’s rating category, as applicable. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection. |
304
Notes to Financial Statements (Continued)
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 put and call 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 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 put and call 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.
305
Notes to Financial Statements (Continued)
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.
OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.
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 a so-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 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 be non-transferable, others may be traded over-the-counter or on an exchange.
The Fund(s) listed in the following table had the following open written option contracts at September 30, 2016. A Fund’s current exposure to a counterparty is the fair value of the contract.
Units | Expiration Date | Description | Premiums Received | Value | ||||||||||||||
Strategic Bond Fund | ||||||||||||||||||
52 | 10/21/16 | 10 Year U.S. Treasury Note Future Call, Strike 132.50 | $ | 22,581 | $ | 6,500 | ||||||||||||
197 | 10/21/16 | 5 Year U.S. Treasury Note Future Call, Strike 122.00 | 17,829 | 21,546 | ||||||||||||||
28 | 10/21/16 | U.S. Treasury Bond Call, Strike 170.00 | 23,534 | 23,188 | ||||||||||||||
|
|
|
| |||||||||||||||
$ | 63,944 | $ | 51,234 | |||||||||||||||
|
|
|
|
306
Notes to Financial Statements (Continued)
Transactions in written option contracts during the year ended September 30, 2016, were as follows:
Number of Contracts | Premiums Received | |||||||
Strategic Bond Fund | ||||||||
Options outstanding at September 30, 2015 | 3,780,000 | $ | 50,604 | |||||
Options written | 5,864,170 | 1,272,654 | ||||||
Options terminated in closing purchase transactions | (2,782,866 | ) | (1,019,752 | ) | ||||
Options expired | (6,860,951 | ) | (205,590 | ) | ||||
Options exercised | (76 | ) | (33,972 | ) | ||||
|
|
|
| |||||
Options outstanding at September 30, 2016 | 277 | $ | 63,944 | |||||
|
|
|
|
Inflation-Indexed Bonds
The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation, as measured by the Consumer Price Index for All Urban Consumers (“CPI-U”) (for U.S. Treasury inflation-indexed bonds) or, generally, by a comparable inflation index calculated by the foreign government issuing the inflation-indexed bonds.
If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal. Any adjustments to the principal amount of an inflation-indexed bond due to inflation will be reflected as increases or decreases to interest income. Such adjustments may have a significant impact on the Fund’s distributions.
The value of inflation-indexed bonds is generally based on changes in real interest rates, which in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. While the values of these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in value. There can be no assurance that the CPI-U or any foreign inflation index will accurately measure the real rate of inflation, or that the rate of inflation in a foreign country will correlate to the rate of inflation in the United States. Additionally, if interest rates rise due to reasons other than inflation, investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.
Bank Loans
Certain of the Funds 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
307
Notes to Financial Statements (Continued)
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 September 30, 2016, the Funds had no unfunded loan commitments.
Short Sales
A short sale is a transaction in which a Fund sells a security it does not own in anticipation that the market price of that security will decline. When a Fund makes a short sale on a security, it must borrow the security sold short and deliver it to a brokerdealer through which it made the short sale as collateral for its obligation to deliver the security upon the conclusion of the sale.
A Fund may have to pay a fee to borrow particular securities and is often obligated to pay over any accrued interest and dividends on such borrowed securities. If the price of the security sold short increases between the time of the short sale and the time a Fund replaces the borrowed security, a Fund will incur a loss, which could be unlimited, in cases where a Fund is unable for whatever reason to close out its short position; conversely, if the price declines, a Fund will realize a capital gain. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely impacted by imperfect correlation between movements in the price of the security sold short and the securities being hedged.
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, and To-Be-Announced Transactions
A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-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 as institutional-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.
308
Notes to Financial Statements (Continued)
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 Fund and the lending agent (“agent”). The Lending Agreement authorizes the agent to lend qualifying U.S. and foreign 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 or securities adjusted daily to have market 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. As with other extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral should the Borrower of the securities fail financially. 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 September 30, 2016, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan.
Security loans can be terminated at the discretion of either the lending agent or the Fund and the related securities must be returned within the earlier of the standard trade settlement period for such securities or within three business days. For all Funds, all securities on loan are classified as common stock in the Fund’s Portfolio of Investments at September 30, 2016.
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 securities lending agent or Borrower, respectively. For the year ended September 30, 2016, the Fund(s) earned securities lending net income as follows:
Securities Lending Gross Income | Securities Lending Fees and Expenses | Securities Lending Net Income | ||||||||||
Large Cap Value Fund | $ | 113,674 | $ | 22,744 | $ | 90,930 | ||||||
Fundamental Growth Fund | 7,536 | 1,508 | 6,028 | |||||||||
Growth Opportunities Fund | 188,073 | 37,669 | 150,404 | |||||||||
Small Company Value Fund | 231,473 | 46,313 | 185,160 | |||||||||
S&P Mid Cap Index Fund | 141,209 | 28,251 | 112,958 | |||||||||
Russell 2000 Small Cap Index Fund | 933,034 | 186,624 | 746,410 | |||||||||
Mid Cap Growth Equity II Fund | 2,163,668 | 432,816 | 1,730,852 | |||||||||
Small Cap Growth Equity Fund | 515,190 | 103,101 | 412,089 | |||||||||
Diversified International Fund | 57,522 | 11,507 | 46,015 | |||||||||
MSCI EAFE International Index Fund | 209,096 | 41,884 | 167,212 | |||||||||
Overseas Fund | 314,203 | 62,867 | 251,336 |
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 dividend expense are recorded on the ex-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 the ex-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.
309
Notes to Financial Statements (Continued)
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
Each of the Diversified International Fund, MSCI EAFE International Index Fund, and Overseas 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 (the “Code”), 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 the ex-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 and Investment Subadvisers
MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company (“MassMutual”), serves as investment adviser to each Fund. Under the investment advisory agreements between MML
310
Notes to Financial Statements (Continued)
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, 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 all other Funds or accounts of MML Advisers or its affiliates for which the subadviser provides subadvisory services and which have substantially the same investment objective, policies, and investment strategies.
The Funds’ subadvisory fees are paid by MML Advisers out of the advisory fees.
Fund | Investment Advisory Fee | Investment Subadviser(s) | ||
Total Return Bond Fund*,** | 0.30% on the first $2 billion; and | Metropolitan West Asset Management, LLC | ||
0.27% on any excess over $2 billion | ||||
Strategic Bond Fund | 0.45% on the first $200 million; and | Western Asset Management Company; and | ||
0.35% on any excess over $200 million | Western Asset Management Company Limited | |||
Diversified Value Fund | 0.50% on the first $400 million; and | Brandywine Global Investment Management, | ||
0.475% on any excess over $400 million | LLC; and Loomis, Sayles & Company, L.P. | |||
Fundamental Value Fund | 0.60% on the first $1.25 billion; | Wellington Management Company LLP | ||
0.575% on the next $250 million; and | ||||
0.55% on any excess over $1.5 billion | ||||
Large Cap Value Fund | 0.60% on the first $750 million; and | Barrow, Hanley, Mewhinney & Strauss LLC; | ||
0.55% on any excess over $750 million | and Huber Capital Management, LLC | |||
S&P 500 Index Fund | 0.10% on the first $2.5 billion; | Northern Trust Investments, Inc. | ||
0.08% on the next $2.5 billion; and | ||||
0.05% on any excess over $5 billion | ||||
Focused Value Fund | 0.69% on the first $1 billion; and | Harris Associates L.P. | ||
0.64% on any excess over $1 billion | ||||
Fundamental Growth Fund | 0.65% on the first $300 million; and | Wellington Management Company LLP | ||
0.60% on any excess over $300 million | ||||
Blue Chip Growth Fund | 0.65% on the first $750 million; and | T. Rowe Price Associates, Inc.; and | ||
0.60% on any excess over $750 million | Loomis, Sayles & Company, L.P. | |||
Growth Opportunities Fund | 0.71% on the first $500 million; and | Jackson Square Partners LLC; and | ||
0.68% on any excess over $500 million | Sands Capital Management, LLC | |||
Mid-Cap Value Fund** | 0.70% on the first $300 million; and | American Century Investment Management, | ||
0.65% on any excess over $300 million | Inc.; and Systematic Financial | |||
Management, L.P. | ||||
Small Cap Value Equity Fund** | 0.75% on the first $300 million; and | Barrow, Hanley, Mewhinney & Strauss, LLC; | ||
0.70% on any excess over $300 million | and Wellington Management Company LLP | |||
Small Company Value Fund | 0.85% on the first $750 million; and | Invesco Advisers, Inc.; | ||
0.80% on any excess over $750 million | Federated Clover Investment Advisors; and | |||
T. Rowe Price Associates, Inc. | ||||
S&P Mid Cap Index Fund | 0.10% on the first $500 million; and | Northern Trust Investments, Inc. | ||
0.08% on any excess over $500 million | ||||
Russell 2000 Small Cap Index Fund | 0.10% on the first $500 million; and | Northern Trust Investments, Inc. | ||
0.08% on any excess over $500 million | ||||
Mid Cap Growth Equity II Fund | 0.72% on the first $2 billion; and | Frontier Capital Management Company LLC; | ||
0.67% on any excess over $2 billion | and T. Rowe Price Associates, Inc. |
311
Notes to Financial Statements (Continued)
Fund | Investment Advisory Fee | Investment Subadviser(s) | ||
Small Cap Growth Equity Fund | 0.80% on the first $1 billion; and | Wellington Management Company LLP | ||
0.78% on any excess over $1 billion | ||||
Diversified International Fund | 0.80% on the first $250 million; and | J.P. Morgan Investment Management Inc. | ||
0.78% on any excess over $250 million | ||||
MSCI EAFE International Index Fund | 0.10% on the first $1 billion; and | Northern Trust Investments, Inc. | ||
0.09% on any excess over $1 billion | ||||
Overseas Fund | 0.80% on the first $750 million; | Harris Associates L.P.; | ||
0.775% on the next $500 million; and | J.P. Morgan Investment Management Inc.; and | |||
0.75% on any excess over $1.25 billion | Massachusetts Financial Services Company |
* | Prior to June 1, 2016, the investment advisory fees were as follows: |
Fund | Investment Advisory Fee | |
Total Return Bond Fund | 0.35% on the first $2 billion; and | |
0.32% on any excess over $2 billion |
** | Prior to January 1, 2016, the investment advisory fees were as follows: |
Fund | Investment Advisory Fee | |
Total Return Bond Fund | 0.35% on the first $3 billion; and | |
0.32% on any excess over $3 billion | ||
Mid-Cap Value Fund | 0.70% on the first $350 million; and | |
0.65% on any excess over $350 million | ||
Small Cap Value Equity Fund | 0.75% on the first $350 million; and | |
0.70% on any excess over $350 million |
MML Advisers has entered into an investment subadvisory agreement with OFI Global Institutional, Inc. (“OFI Global Institutional”), a wholly-owned subsidiary of OppenheimerFunds, Inc., a wholly-owned subsidiary of Oppenheimer Acquisition Corp., itself an indirect majority-owned subsidiary of MassMutual Holding LLC, on behalf of the Small Cap Growth Equity Fund. This agreement provides that OFI Global Institutional manage the investment and reinvestment of the assets of the Small Cap Growth Equity Fund. OFI Global Institutional receives a subadvisory fee from MML Advisers, based upon the Small Cap Growth Equity Fund’s average daily net assets, at the following annual rate:
Small Cap Growth Equity Fund | 0.55% of the first $50 million; | |
0.45% of the next $50 million; and | ||
0.40% of any excess over $100 million |
Administration Fees
Under an Administrative and Shareholder Services Agreement between the Trust and MML Advisers, on behalf of each Fund, MML Advisers is obligated to provide certain administrative and shareholder services. 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 R5 | Service Class | Administrative Class | Class A | Class R4 | Class R3 | ||||||||||||||||||||||
Total Return Bond Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||||
Strategic Bond Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||||
Diversified Value Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||||
Fundamental Value Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% |
312
Notes to Financial Statements (Continued)
Class I | Class R5 | Service Class | Administrative Class | Class A | Class R4 | Class R3 | ||||||||||||||||||||||
Large Cap Value Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||||
S&P 500 Index Fund | None | 0.10% | 0.20% | 0.20% | 0.20% | 0.25% | 0.25% | |||||||||||||||||||||
Focused Value Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||||
Fundamental Growth Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||||
Blue Chip Growth Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||||
Growth Opportunities Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||||
Mid-Cap Value Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||||
Small Cap Value Equity Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||||
Small Company Value Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||||
S&P Mid Cap Index Fund | None | 0.10% | 0.20% | 0.20% | 0.20% | 0.25% | 0.25% | |||||||||||||||||||||
Russell 2000 Small Cap Index Fund | None | 0.10% | 0.20% | 0.20% | 0.20% | 0.25% | 0.25% | |||||||||||||||||||||
Mid Cap Growth Equity II Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||||
Small Cap Growth Equity Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||||
Diversified International Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||||
MSCI EAFE International Index Fund | None | 0.10% | 0.20% | 0.20% | 0.20% | 0.25% | 0.25% | |||||||||||||||||||||
Overseas Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% |
Distribution and Service Fees
MML Distributors, LLC (the “Distributor”) acts as distributor to each Fund. Pursuant to a 12b-1 Plan adopted by the Trust, Class A shares and Class R4 shares of each Fund pay an annual fee of 0.25% of the average daily net assets of the class; and Class R3 shares of each Fund pay an annual fee of 0.50% of the average daily net assets of the class, to the Distributor. Such payments compensate the Distributor for services provided and expenses incurred by it for purposes of promoting the sale of the relevant class of shares, reducing redemptions of shares, or maintaining or improving services provided to each Fund’s shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.
The Trust has entered into a separate Supplemental Shareholder Services Agreement with MassMutual, on behalf of Service Class shares, Administrative Class shares, and Class A shares of each Fund. Fees payable under the Supplemental Shareholder Services Agreement are intended to compensate MassMutual for its provision of shareholder services to the Funds’ investors and are calculated and paid based on the average daily net assets attributable to the relevant share classes of the Funds separately, at the following annual rates: 0.05% for Service Class shares, and 0.15% for Administrative Class shares and Class A shares. MassMutual may pay these fees to other intermediaries for providing shareholder services to the Funds’ investors.
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) based upon the average daily net assets of the applicable class of shares of the Funds, as follows:
Class I | Class R5 | Service Class | Administrative Class | Class A | Class R4 | Class R3 | ||||||||||||||||||||||
Strategic Bond Fund* | 0.48% | 0.58% | 0.68% | 0.78% | 1.03% | 0.93% | 1.18% | |||||||||||||||||||||
Large Cap Value Fund* | 0.63% | 0.73% | 0.83% | 0.93% | 1.18% | 1.08% | 1.33% | |||||||||||||||||||||
Fundamental Growth Fund* | 0.70% | 0.80% | 0.90% | 1.00% | 1.25% | 1.15% | 1.40% | |||||||||||||||||||||
Mid-Cap Value Fund* | 0.80% | 0.90% | 1.00% | 1.10% | 1.35% | 1.25% | 1.50% | |||||||||||||||||||||
Small Cap Value Equity Fund* | 0.80% | 0.90% | 1.00% | 1.10% | 1.35% | 1.25% | 1.50% | |||||||||||||||||||||
S&P Mid Cap Index Fund* | 0.20% | 0.30% | 0.45% | 0.55% | 0.80% | 0.70% | 0.95% | |||||||||||||||||||||
Russell 2000 Small Cap Index Fund* | 0.20% | 0.30% | 0.45% | 0.55% | 0.80% | 0.70% | 0.95% |
313
Notes to Financial Statements (Continued)
Class I | Class R5 | Service Class | Administrative Class | Class A | Class R4 | Class R3 | ||||||||||||||||||||||
Diversified International Fund* | 0.90% | 1.00% | 1.10% | 1.20% | 1.45% | 1.35% | 1.60% | |||||||||||||||||||||
MSCI EAFE International Index Fund* | 0.25% | 0.35% | 0.50% | 0.60% | 0.85% | 0.75% | 1.00% |
# | Acquired Fund Fees and Expenses are borne indirectly by a Fund through investments in other pooled investment vehicles. |
* | Expense caps in effect through January 31, 2017. |
MML Advisers had contractually agreed to waive 0.05% of the advisory fee for each class of the Total Return Bond Fund through May 31, 2016.
MML Advisers has agreed to voluntarily waive 0.02% of the advisory fee for each class of the Small Company Value Fund. MML Advisers may amend or discontinue this waiver at any time without advance notice.
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 September 30, 2016, brokerage commissions rebated under these agreements were as follows:
Rebated Commissions | ||||
Diversified Value Fund | $ | 10,202 | ||
Fundamental Value Fund | 6,096 | |||
Large Cap Value Fund | 2,841 | |||
Fundamental Growth Fund | 28 | |||
Blue Chip Growth Fund | 20,352 | |||
Growth Opportunities Fund | 28,159 | |||
Mid-Cap Value Fund | 12,358 | |||
Small Cap Value Equity Fund | 6,170 | |||
Small Company Value Fund | 54,545 | |||
Mid Cap Growth Equity II Fund | 79,068 | |||
Small Cap Growth Equity Fund | 15,328 | |||
Diversified International Fund | 312 |
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 a Non-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 are also employees of MassMutual. The compensation of each trustee who is not an employee of MassMutual is borne by the Funds.
314
Notes to Financial Statements (Continued)
The following table shows beneficial ownership of Funds’ shares by affiliated parties at September 30, 2016:
Total % of Ownership by Related Party | ||||
Total Return Bond Fund | 74.6% | |||
Strategic Bond Fund | 75.9% | |||
Diversified Value Fund | 39.1% | |||
Fundamental Value Fund | 83.5% | |||
Large Cap Value Fund | 95.3% | |||
S&P 500 Index Fund | 65.2% | |||
Focused Value Fund | 76.2% | |||
Fundamental Growth Fund | 91.9% | |||
Blue Chip Growth Fund | 75.8% | |||
Growth Opportunities Fund | 53.4% | |||
Mid-Cap Value Fund | 89.6% | |||
Small Cap Value Equity Fund | 65.9% | |||
Small Company Value Fund | 72.3% | |||
S&P Mid Cap Index Fund | 61.0% | |||
Russell 2000 Small Cap Index Fund | 70.1% | |||
Mid Cap Growth Equity II Fund | 41.7% | |||
Small Cap Growth Equity Fund | 89.3% | |||
Diversified International Fund | 99.3% | |||
MSCI EAFE International Index Fund | 70.9% | |||
Overseas Fund | 83.0% |
4. | Purchases and Sales of Investments |
Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the year ended September 30, 2016, 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 | |||||||||||||
Total Return Bond Fund | $ | 2,804,737,039 | $ | 202,743,994 | $ | 3,031,320,477 | $ | 434,225,649 | ||||||||
Strategic Bond Fund | 565,751,117 | 62,051,448 | 510,959,511 | 64,231,005 | ||||||||||||
Diversified Value Fund | - | 133,315,097 | - | 152,007,310 | ||||||||||||
Fundamental Value Fund | - | 198,362,174 | - | 367,725,823 | ||||||||||||
Large Cap Value Fund | - | 17,826,859 | - | 102,597,468 | ||||||||||||
S&P 500 Index Fund | - | 150,269,168 | - | 309,360,202 | ||||||||||||
Focused Value Fund | - | 273,237,697 | - | 436,284,403 | ||||||||||||
Fundamental Growth Fund | - | 65,148,092 | - | 90,593,921 | ||||||||||||
Blue Chip Growth Fund | - | 442,553,264 | - | 499,450,768 | ||||||||||||
Growth Opportunities Fund | - | 202,755,592 | - | 362,875,817 | ||||||||||||
Mid-Cap Value Fund | - | 104,808,965 | - | 146,693,698 | ||||||||||||
Small Cap Value Equity Fund | - | 45,652,002 | - | 47,692,395 | ||||||||||||
Small Company Value Fund | - | 174,425,127 | - | 231,642,070 | ||||||||||||
S&P Mid Cap Index Fund | - | 142,117,106 | - | 154,141,849 | ||||||||||||
Russell 2000 Small Cap Index Fund | - | 99,751,420 | - | 129,033,500 | ||||||||||||
Mid Cap Growth Equity II Fund | - | 1,727,854,051 | - | 1,027,639,615 | ||||||||||||
Small Cap Growth Equity Fund | - | 420,624,618 | - | 474,763,967 | ||||||||||||
Diversified International Fund | - | 58,388,359 | - | 81,583,055 | ||||||||||||
MSCI EAFE International Index Fund | - | 104,176,135 | - | 226,224,135 | ||||||||||||
Overseas Fund | - | 259,344,640 | - | 245,176,678 |
315
Notes to Financial Statements (Continued)
5. | Capital Share Transactions |
Changes in shares outstanding for each Fund were as follows:
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Total Return Bond Fund Class I | ||||||||||||||||||||||||
Sold | 12,503,110 | $ | 127,254,863 | 18,240,893 | $ | 186,336,338 | 12,374,866 | $ | 128,094,390 | |||||||||||||||
Issued as reinvestment of dividends | 1,328,859 | 13,115,837 | 49,531 | 501,744 | 1,985,967 | 20,072,149 | ||||||||||||||||||
Redeemed | (37,248,837 | ) | (376,187,150 | ) | (11,316,431 | ) | (115,196,159 | ) | (10,405,206 | ) | (108,314,023 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (23,416,868 | ) | $ | (235,816,450 | ) | 6,973,993 | $ | 71,641,923 | 3,955,627 | $ | 39,852,516 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return Bond Fund Class R5 | ||||||||||||||||||||||||
Sold | 1,347,670 | $ | 13,691,530 | 3,359,795 | $ | 34,119,912 | 4,657,972 | $ | 47,831,843 | |||||||||||||||
Issued as reinvestment of dividends | 392,482 | 3,869,875 | 14,126 | 142,811 | 663,071 | 6,695,507 | ||||||||||||||||||
Redeemed | (7,059,727 | ) | (70,517,320 | ) | (1,726,724 | ) | (17,492,010 | ) | (7,894,508 | ) | (81,970,286 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (5,319,575 | ) | $ | (52,955,915 | ) | 1,647,197 | $ | 16,770,713 | (2,573,465 | ) | $ | (27,442,936 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return Bond Fund | ||||||||||||||||||||||||
Sold | 4,921,762 | $ | 49,850,896 | 3,477,005 | $ | 35,457,322 | 7,562,325 | $ | 77,582,745 | |||||||||||||||
Issued as reinvestment of dividends | 451,372 | 4,468,584 | 21,509 | 218,099 | 1,320,399 | 13,373,320 | ||||||||||||||||||
Redeemed | (7,428,099 | ) | (75,654,495 | ) | (14,194,969 | ) | (145,467,975 | ) | (12,670,588 | ) | (131,605,604 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (2,054,965 | ) | $ | (21,335,015 | ) | (10,696,455 | ) | $ | (109,792,554 | ) | (3,787,864 | ) | $ | (40,649,539 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return Bond Fund Administrative Class | ||||||||||||||||||||||||
Sold | 1,831,713 | $ | 18,398,997 | 1,643,329 | $ | 16,634,358 | 2,556,239 | $ | 26,330,652 | |||||||||||||||
Issued as reinvestment of dividends | 181,285 | 1,783,840 | 8,352 | 84,192 | 368,207 | 3,707,342 | ||||||||||||||||||
Redeemed | (3,071,788 | ) | (31,238,179 | ) | (1,410,528 | ) | (14,274,405 | ) | (5,021,600 | ) | (51,791,307 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (1,058,790 | ) | $ | (11,055,342 | ) | 241,153 | $ | 2,444,145 | (2,097,154 | ) | $ | (21,753,313 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return Bond Fund Class A* | ||||||||||||||||||||||||
Sold | 161,694 | $ | 1,635,538 | 185,423 | $ | 1,892,536 | 11,343 | $ | 116,031 | |||||||||||||||
Issued as reinvestment of dividends | 4,231 | 41,765 | 173 | 1,752 | 408 | 4,130 | ||||||||||||||||||
Redeemed | (175,989 | ) | (1,791,542 | ) | (146 | ) | (1,477 | ) | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (10,064 | ) | $ | (114,239 | ) | 185,450 | $ | 1,892,811 | 11,751 | $ | 120,161 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return Bond Fund Class R4 | ||||||||||||||||||||||||
Sold | 3,239,131 | $ | 32,940,557 | 3,368,318 | $ | 34,374,865 | 3,733,242 | $ | 38,656,555 | |||||||||||||||
Issued as reinvestment of dividends | 647,495 | 6,410,199 | 31,833 | 322,470 | 1,558,586 | 15,800,276 | ||||||||||||||||||
Redeemed | (8,702,146 | ) | (88,471,604 | ) | (8,366,538 | ) | (85,230,152 | ) | (12,855,734 | ) | (132,876,051 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (4,815,520 | ) | $ | (49,120,848 | ) | (4,966,387 | ) | $ | (50,532,817 | ) | (7,563,906 | ) | $ | (78,419,220 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return Bond Fund Class R3 | ||||||||||||||||||||||||
Sold | 1,270,449 | $ | 12,823,620 | 946,344 | $ | 9,556,029 | 1,181,182 | $ | 12,129,982 | |||||||||||||||
Issued as reinvestment of dividends | 85,167 | 838,891 | 4,726 | 47,546 | 183,386 | 1,848,059 | ||||||||||||||||||
Redeemed | (1,749,838 | ) | (17,621,371 | ) | (1,006,269 | ) | (10,178,692 | ) | (1,301,597 | ) | (13,439,309 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (394,222 | ) | $ | (3,958,860 | ) | (55,199 | ) | $ | (575,117 | ) | 62,971 | $ | 538,732 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Strategic Bond Fund Class I* | ||||||||||||||||||||||||
Sold | 4,806,483 | $ | 49,509,908 | 3,025,648 | $ | 31,176,659 | 6,168,645 | $ | 62,639,031 | |||||||||||||||
Issued as reinvestment of dividends | 212,776 | 2,104,352 | 1,754 | 17,943 | 188,600 | 1,908,342 | ||||||||||||||||||
Redeemed | (2,405,958 | ) | (24,730,455 | ) | (1,717,030 | ) | (17,650,388 | ) | (957,212 | ) | (9,950,212 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 2,613,301 | $ | 26,883,805 | 1,310,372 | $ | 13,544,214 | 5,400,033 | $ | 54,597,161 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
316
Notes to Financial Statements (Continued)
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Strategic Bond Fund Class R5 | ||||||||||||||||||||||||
Sold | 1,501,420 | $ | 15,309,827 | 951,311 | $ | 9,779,066 | 1,561,380 | $ | 15,913,455 | |||||||||||||||
Issued as reinvestment of dividends | 147,672 | 1,461,955 | 1,316 | 13,473 | 138,486 | 1,402,720 | ||||||||||||||||||
Redeemed | (835,570 | ) | (8,546,004 | ) | (598,462 | ) | (6,165,817 | ) | (5,437,813 | ) | (54,956,959 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 813,522 | $ | 8,225,778 | 354,165 | $ | 3,626,722 | (3,737,947 | ) | $ | (37,640,784 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Strategic Bond Fund Service Class | ||||||||||||||||||||||||
Sold | 2,003,903 | $ | 20,616,652 | 1,652,021 | $ | 16,950,578 | 1,394,835 | $ | 14,309,448 | |||||||||||||||
Issued as reinvestment of dividends | 182,130 | 1,803,081 | 1,542 | 15,779 | 165,370 | 1,675,049 | ||||||||||||||||||
Redeemed | (3,582,759 | ) | (36,538,973 | ) | (882,568 | ) | (9,065,280 | ) | (346,261 | ) | (3,586,076 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (1,396,726 | ) | $ | (14,119,240 | ) | 770,995 | $ | 7,901,077 | 1,213,944 | $ | 12,398,421 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Strategic Bond Fund Administrative Class | ||||||||||||||||||||||||
Sold | 1,422,662 | $ | 14,550,319 | 1,589,064 | $ | 16,242,243 | 1,468,557 | $ | 15,123,074 | |||||||||||||||
Issued as reinvestment of dividends | 89,506 | 885,218 | 974 | 9,938 | 81,888 | 827,689 | ||||||||||||||||||
Redeemed | (1,087,275 | ) | (11,176,118 | ) | (741,869 | ) | (7,540,944 | ) | (273,046 | ) | (2,804,308 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 424,893 | $ | 4,259,419 | 848,169 | $ | 8,711,237 | 1,277,399 | $ | 13,146,455 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Strategic Bond Fund Class A | ||||||||||||||||||||||||
Sold | 1,541,955 | $ | 15,823,216 | 1,417,193 | $ | 14,443,323 | 926,824 | $ | 9,547,387 | |||||||||||||||
Issued as reinvestment of dividends | 105,121 | 1,037,539 | 992 | 10,094 | 95,974 | 969,209 | ||||||||||||||||||
Redeemed | (1,323,777 | ) | (13,501,046 | ) | (633,228 | ) | (6,457,971 | ) | (635,092 | ) | (6,484,335 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 323,299 | $ | 3,359,709 | 784,957 | $ | 7,995,446 | 387,706 | $ | 4,032,261 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Strategic Bond Fund Class R4* | ||||||||||||||||||||||||
Sold | 1,444,373 | $ | 14,619,963 | 1,802,854 | $ | 18,235,647 | 9,950 | $ | 100,105 | |||||||||||||||
Issued as reinvestment of dividends | 43,560 | 428,631 | 418 | 4,254 | 335 | 3,382 | ||||||||||||||||||
Redeemed | (440,927 | ) | (4,512,404 | ) | (362,794 | ) | (3,679,622 | ) | - | ++ | (4 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 1,047,006 | $ | 10,536,190 | 1,440,478 | $ | 14,560,279 | 10,285 | $ | 103,483 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Strategic Bond Fund Class R3 | ||||||||||||||||||||||||
Sold | 575,781 | $ | 5,808,886 | 244,824 | $ | 2,480,756 | 103,970 | $ | 1,071,210 | |||||||||||||||
Issued as reinvestment of dividends | 8,070 | 79,005 | 108 | 1,085 | 6,142 | 61,516 | ||||||||||||||||||
Redeemed | (318,996 | ) | (3,303,593 | ) | (153,082 | ) | (1,545,581 | ) | (13,225 | ) | (134,917 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 264,855 | $ | 2,584,298 | 91,850 | $ | 936,260 | 96,887 | $ | 997,809 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Diversified Value Fund Class I* | ||||||||||||||||||||||||
Sold | 14,613,260 | $ | 204,745,870 | 1,436,181 | $ | 21,221,657 | 7,567,056 | $ | 106,623,048 | |||||||||||||||
Issued as reinvestment of dividends | 86,337 | 1,221,667 | 17,891 | 253,157 | 132,204 | 1,894,736 | ||||||||||||||||||
Redeemed | (3,366,763 | ) | (48,967,912 | ) | (2,481,481 | ) | (36,978,599 | ) | (1,112,784 | ) | (16,114,820 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 11,332,834 | $ | 156,999,625 | (1,027,409 | ) | $ | (15,503,785 | ) | 6,586,476 | $ | 92,402,964 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Diversified Value Fund Class R5 | ||||||||||||||||||||||||
Sold | 1,203,968 | $ | 16,755,365 | 1,125,254 | $ | 16,583,302 | 2,601,260 | $ | 36,426,859 | |||||||||||||||
Issued as reinvestment of dividends | 212,522 | 3,009,308 | 48,422 | 685,168 | 306,886 | 4,403,852 | ||||||||||||||||||
Redeemed | (13,465,671 | ) | (188,803,867 | ) | (1,850,492 | ) | (27,552,935 | ) | (11,371,523 | ) | (159,281,963 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (12,049,181 | ) | $ | (169,039,194 | ) | (676,816 | ) | $ | (10,284,465 | ) | (8,463,377 | ) | $ | (118,451,252 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Diversified Value Fund Service Class | ||||||||||||||||||||||||
Sold | 115,827 | $ | 1,614,208 | 205,495 | $ | 3,028,198 | 177,927 | $ | 2,534,210 | |||||||||||||||
Issued as reinvestment of dividends | 14,306 | 202,722 | 3,490 | 49,357 | 19,836 | 284,578 | ||||||||||||||||||
Redeemed | (648,016 | ) | (9,082,253 | ) | (195,566 | ) | (2,897,941 | ) | (717,568 | ) | (9,501,946 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (517,883 | ) | $ | (7,265,323 | ) | 13,419 | $ | 179,614 | (519,805 | ) | $ | (6,683,158 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
317
Notes to Financial Statements (Continued)
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Diversified Value Fund | ||||||||||||||||||||||||
Sold | 125,275 | $ | 1,789,278 | 70,463 | $ | 1,052,336 | 222,790 | $ | 3,252,863 | |||||||||||||||
Issued as reinvestment of dividends | 4,700 | 66,927 | 1,445 | 20,511 | 10,984 | 158,192 | ||||||||||||||||||
Redeemed | (122,266 | ) | (1,714,476 | ) | (259,643 | ) | (3,970,037 | ) | (172,479 | ) | (2,394,920 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 7,709 | $ | 141,729 | (187,735 | ) | $ | (2,897,190 | ) | 61,295 | $ | 1,016,135 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Diversified Value Fund Class A | ||||||||||||||||||||||||
Sold | 218,152 | $ | 3,041,006 | 222,090 | $ | 3,251,370 | 270,051 | $ | 3,840,176 | |||||||||||||||
Issued as reinvestment of dividends | 12,875 | 182,440 | 4,963 | 69,975 | 22,872 | 328,416 | ||||||||||||||||||
Redeemed | (426,946 | ) | (5,973,022 | ) | (299,257 | ) | (4,415,825 | ) | (498,077 | ) | (7,136,792 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (195,919 | ) | $ | (2,749,576 | ) | (72,204 | ) | $ | (1,094,480 | ) | (205,154 | ) | $ | (2,968,200 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Diversified Value Fund Class R4* | ||||||||||||||||||||||||
Sold | 27,718 | $ | 390,798 | 13,207 | $ | 196,312 | 7,222 | $ | 100,105 | |||||||||||||||
Issued as reinvestment of dividends | 151 | 2,136 | 42 | 588 | 125 | 1,789 | ||||||||||||||||||
Redeemed | (442 | ) | (6,203 | ) | (58 | ) | (857 | ) | - | ++ | (4 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 27,427 | $ | 386,731 | 13,191 | $ | 196,043 | 7,347 | $ | 101,890 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Diversified Value Fund Class R3 | ||||||||||||||||||||||||
Sold | 98,639 | $ | 1,371,981 | 11,417 | $ | 171,743 | 1,265 | $ | 17,826 | |||||||||||||||
Issued as reinvestment of dividends | 428 | 6,062 | 56 | 792 | 172 | 2,482 | ||||||||||||||||||
Redeemed | (6,902 | ) | (96,229 | ) | (6,360 | ) | (95,922 | ) | (647 | ) | (9,378 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 92,165 | $ | 1,281,814 | 5,113 | $ | 76,613 | 790 | $ | 10,930 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Fundamental Value Fund Class I | ||||||||||||||||||||||||
Sold | 8,701,389 | $ | 103,028,581 | 7,068,781 | $ | 95,557,820 | 11,726,504 | $ | 163,135,040 | |||||||||||||||
Issued as reinvestment of dividends | 4,701,123 | 54,156,933 | 971,011 | 12,594,012 | 2,303,702 | 31,495,322 | ||||||||||||||||||
Redeemed | (6,906,229 | ) | (83,320,351 | ) | (3,380,438 | ) | (47,079,342 | ) | (4,479,246 | ) | (63,154,301 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 6,496,283 | $ | 73,865,163 | 4,659,354 | $ | 61,072,490 | 9,550,960 | $ | 131,476,061 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Fundamental Value Fund Class R5 | ||||||||||||||||||||||||
Sold | 3,807,265 | $ | 46,306,885 | 1,843,418 | $ | 25,855,879 | 5,401,394 | $ | 76,019,451 | |||||||||||||||
Issued as reinvestment of dividends | 4,518,213 | 52,275,725 | 1,065,750 | 13,854,744 | 3,167,073 | 43,482,460 | ||||||||||||||||||
Redeemed | (12,273,847 | ) | (144,473,553 | ) | (9,298,273 | ) | (126,557,705 | ) | (7,996,876 | ) | (113,228,906 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (3,948,369 | ) | $ | (45,890,943 | ) | (6,389,105 | ) | $ | (86,847,082 | ) | 571,591 | $ | 6,273,005 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Fundamental Value Fund Service Class | ||||||||||||||||||||||||
Sold | 2,245,416 | $ | 28,540,020 | 636,291 | $ | 8,843,016 | 2,001,363 | $ | 28,233,572 | |||||||||||||||
Issued as reinvestment of dividends | 1,886,001 | 21,745,590 | 385,293 | 4,989,545 | 1,172,410 | 16,033,245 | ||||||||||||||||||
Redeemed | (6,851,737 | ) | (80,633,594 | ) | (3,214,291 | ) | (45,170,669 | ) | (3,458,729 | ) | (48,171,091 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (2,720,320 | ) | $ | (30,347,984 | ) | (2,192,707 | ) | $ | (31,338,108 | ) | (284,956 | ) | $ | (3,904,274 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Fundamental Value Fund Administrative Class | ||||||||||||||||||||||||
Sold | 766,524 | $ | 9,151,182 | 1,109,389 | $ | 15,387,968 | 1,820,385 | $ | 25,427,872 | |||||||||||||||
Issued as reinvestment of dividends | 1,042,492 | 12,082,482 | 248,372 | 3,231,319 | 715,302 | 9,858,080 | ||||||||||||||||||
Redeemed | (2,466,210 | ) | (30,056,497 | ) | (1,944,132 | ) | (27,148,185 | ) | (4,053,689 | ) | (57,705,459 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (657,194 | ) | $ | (8,822,833 | ) | (586,371 | ) | $ | (8,528,898 | ) | (1,518,002 | ) | $ | (22,419,507 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Fundamental Value Fund Class A | ||||||||||||||||||||||||
Sold | 743,478 | $ | 8,796,073 | 588,520 | $ | 8,122,915 | 1,086,897 | $ | 15,133,078 | |||||||||||||||
Issued as reinvestment of dividends | 1,760,850 | 20,196,951 | 419,771 | 5,398,259 | 1,199,791 | 16,363,720 | ||||||||||||||||||
Redeemed | (3,141,245 | ) | (38,060,608 | ) | (2,736,156 | ) | (37,691,444 | ) | (6,932,280 | ) | (96,333,318 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (636,917 | ) | $ | (9,067,584 | ) | (1,727,865 | ) | $ | (24,170,270 | ) | (4,645,592 | ) | $ | (64,836,520 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
318
Notes to Financial Statements (Continued)
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Fundamental Value Fund Class R4* | ||||||||||||||||||||||||
Sold | 431,831 | $ | 5,251,875 | 143,990 | $ | 1,924,195 | 7,285 | $ | 100,105 | |||||||||||||||
Issued as reinvestment of dividends | 19,957 | 227,308 | 2,786 | 35,747 | 598 | 8,123 | ||||||||||||||||||
Redeemed | (35,950 | ) | (424,160 | ) | (4,837 | ) | (63,537 | ) | - | ++ | (4 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 415,838 | $ | 5,055,023 | 141,939 | $ | 1,896,405 | 7,883 | $ | 108,224 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Fundamental Value Fund Class R3 | ||||||||||||||||||||||||
Sold | 63,571 | $ | 783,131 | 12,120 | $ | 169,953 | 20,949 | $ | 280,684 | |||||||||||||||
Issued as reinvestment of dividends | 13,210 | 149,936 | 2,269 | 28,952 | 6,619 | 89,543 | ||||||||||||||||||
Redeemed | (25,433 | ) | (299,909 | ) | (11,950 | ) | (164,543 | ) | (49,393 | ) | (682,475 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 51,348 | $ | 633,158 | 2,439 | $ | 34,362 | (21,825 | ) | $ | (312,248 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Large Cap Value Fund Class I* | ||||||||||||||||||||||||
Sold | 2,650,718 | $ | 18,725,891 | 2,361,348 | $ | 19,321,026 | 16,338,285 | $ | 158,815,916 | |||||||||||||||
Issued as reinvestment of dividends | 1,382,960 | 9,417,956 | 64,625 | 507,956 | 2,967,180 | 24,081,651 | ||||||||||||||||||
Redeemed | (5,169,812 | ) | (36,558,845 | ) | (12,507,908 | ) | (104,138,849 | ) | (1,328,513 | ) | (12,830,215 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (1,136,134 | ) | $ | (8,414,998 | ) | (10,081,935 | ) | $ | (84,309,867 | ) | 17,976,952 | $ | 170,067,352 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Large Cap Value Fund Class R5 | ||||||||||||||||||||||||
Sold | 320,263 | $ | 2,268,108 | 377,055 | $ | 3,036,783 | 1,727,304 | $ | 16,372,761 | |||||||||||||||
Issued as reinvestment of dividends | 2,314,952 | 15,811,124 | 149,314 | 1,173,602 | 3,422,426 | 27,854,550 | ||||||||||||||||||
Redeemed | (6,588,107 | ) | (47,465,373 | ) | (5,027,049 | ) | (40,151,766 | ) | (19,999,251 | ) | (195,042,573 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (3,952,892 | ) | $ | (29,386,141 | ) | (4,500,680 | ) | $ | (35,941,381 | ) | (14,849,521 | ) | $ | (150,815,262 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Large Cap Value Fund Service Class | ||||||||||||||||||||||||
Sold | 97,647 | $ | 680,962 | 278,662 | $ | 2,307,007 | 272,500 | $ | 2,616,460 | |||||||||||||||
Issued as reinvestment of dividends | 197,196 | 1,350,789 | 10,243 | 80,714 | 270,035 | 2,211,761 | ||||||||||||||||||
Redeemed | (977,616 | ) | (6,726,298 | ) | (651,063 | ) | (5,308,377 | ) | (2,583,385 | ) | (25,270,397 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (682,773 | ) | $ | (4,694,547 | ) | (362,158 | ) | $ | (2,920,656 | ) | (2,040,850 | ) | $ | (20,442,176 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Large Cap Value Fund Administrative Class | ||||||||||||||||||||||||
Sold | 154,722 | $ | 1,085,633 | 144,083 | $ | 1,177,492 | 244,875 | $ | 2,301,666 | |||||||||||||||
Issued as reinvestment of dividends | 292,564 | 1,995,283 | 17,301 | 135,466 | 498,751 | 4,052,167 | ||||||||||||||||||
Redeemed | (951,428 | ) | (6,900,239 | ) | (1,130,733 | ) | (9,350,884 | ) | (773,823 | ) | (7,386,418 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (504,142 | ) | $ | (3,819,323 | ) | (969,349 | ) | $ | (8,037,926 | ) | (30,197 | ) | $ | (1,032,585 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Large Cap Value Fund Class A | ||||||||||||||||||||||||
Sold | 185,339 | $ | 1,301,610 | 212,441 | $ | 1,727,564 | 309,369 | $ | 2,953,813 | |||||||||||||||
Issued as reinvestment of dividends | 644,641 | 4,390,007 | 38,153 | 297,975 | 1,064,648 | 8,644,653 | ||||||||||||||||||
Redeemed | (1,600,947 | ) | (11,340,939 | ) | (1,850,721 | ) | (15,017,305 | ) | (2,259,924 | ) | (20,798,349 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (770,967 | ) | $ | (5,649,322 | ) | (1,600,127 | ) | $ | (12,991,766 | ) | (885,907 | ) | $ | (9,199,883 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Large Cap Value Fund Class R4* | ||||||||||||||||||||||||
Sold | - | $ | - | - | $ | - | 10,438 | $ | 100,100 | |||||||||||||||
Issued as reinvestment of dividends | 2 | 13 | - | ++ | 1 | 2,039 | 16,468 | |||||||||||||||||
Redeemed | (14 | ) | (99 | ) | - | - | - | - | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (12 | ) | $ | (86 | ) | - | $ | 1 | 12,477 | $ | 116,568 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Large Cap Value Fund Class R3 | ||||||||||||||||||||||||
Sold | - | $ | - | 123 | $ | 978 | 1,823 | $ | 17,651 | |||||||||||||||
Issued as reinvestment of dividends | 1,542 | 10,277 | 90 | 684 | 1,942 | 15,465 | ||||||||||||||||||
Redeemed | (4,945 | ) | (35,424 | ) | (1,178 | ) | (9,616 | ) | (4,434 | ) | (42,275 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (3,403 | ) | $ | (25,147 | ) | (965 | ) | $ | (7,954 | ) | (669 | ) | $ | (9,159 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
319
Notes to Financial Statements (Continued)
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
S&P 500 Index Fund Class I | ||||||||||||||||||||||||
Sold | 10,127,359 | $ | 186,093,714 | 20,921,260 | $ | 390,227,718 | 12,183,415 | $ | 217,601,722 | |||||||||||||||
Issued as reinvestment of dividends | 2,041,101 | 36,719,404 | 127,884 | 2,314,697 | 1,221,280 | 21,873,108 | ||||||||||||||||||
Redeemed | (5,760,107 | ) | (106,621,375 | ) | (5,290,996 | ) | (100,117,177 | ) | (5,634,441 | ) | (99,926,880 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 6,408,353 | $ | 116,191,743 | 15,758,148 | $ | 292,425,238 | 7,770,254 | $ | 139,547,950 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
S&P 500 Index Fund Class R5 | ||||||||||||||||||||||||
Sold | 7,434,694 | $ | 135,466,488 | 6,193,493 | $ | 114,817,033 | 7,198,904 | $ | 128,426,647 | |||||||||||||||
Issued as reinvestment of dividends | 1,795,938 | 32,380,771 | 144,893 | 2,625,457 | 2,092,279 | 37,535,493 | ||||||||||||||||||
Redeemed | (16,334,513 | ) | (297,378,710 | ) | (10,585,672 | ) | (193,909,227 | ) | (14,242,495 | ) | (256,137,157 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (7,103,881 | ) | $ | (129,531,451 | ) | (4,247,286 | ) | $ | (76,466,737 | ) | (4,951,312 | ) | $ | (90,175,017 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
S&P 500 Index Fund Service Class | ||||||||||||||||||||||||
Sold | 5,613,320 | $ | 102,847,120 | 5,154,855 | $ | 96,344,871 | 8,697,056 | $ | 155,811,713 | |||||||||||||||
Issued as reinvestment of dividends | 1,337,922 | 24,162,868 | 102,609 | 1,860,292 | 1,482,031 | 26,632,100 | ||||||||||||||||||
Redeemed | (17,553,808 | ) | (330,728,860 | ) | (8,503,630 | ) | (158,101,863 | ) | (6,354,912 | ) | (115,441,223 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (10,602,566 | ) | $ | (203,718,872 | ) | (3,246,166 | ) | $ | (59,896,700 | ) | 3,824,175 | $ | 67,002,590 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
S&P 500 Index Fund Administrative Class** | ||||||||||||||||||||||||
Sold | 5,191,140 | $ | 93,571,191 | 4,014,481 | $ | 73,662,102 | 6,678,377 | $ | 118,523,155 | |||||||||||||||
Issued - merger | - | - | - | - | 9,172,137 | 156,751,820 | ||||||||||||||||||
Issued as reinvestment of dividends | 956,766 | 17,068,708 | 81,889 | 1,465,815 | 1,110,393 | 19,720,586 | ||||||||||||||||||
Redeemed | (8,286,473 | ) | (150,774,758 | ) | (5,925,310 | ) | (109,738,959 | ) | (6,537,496 | ) | (117,420,416 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (2,138,567 | ) | $ | (40,134,859 | ) | (1,828,940 | ) | $ | (34,611,042 | ) | 10,423,411 | $ | 177,575,145 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
S&P 500 Index Fund Class L** | ||||||||||||||||||||||||
Sold | 471,818 | $ | 7,946,754 | |||||||||||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||||||||||
Redeemed | (1,457,981 | ) | (24,202,166 | ) | ||||||||||||||||||||
Redemptions-merger | (9,167,924 | ) | (156,751,820 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net increase (decrease) | (10,154,087 | ) | $ | (173,007,232 | ) | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
S&P 500 Index Fund Class A* | ||||||||||||||||||||||||
Sold | 726,100 | $ | 12,765,271 | 548,409 | $ | 9,941,627 | 181,606 | $ | 3,338,659 | |||||||||||||||
Issued as reinvestment of dividends | 32,110 | 566,093 | 1,464 | 25,931 | 216 | 3,797 | ||||||||||||||||||
Redeemed | (319,623 | ) | (5,928,993 | ) | (43,574 | ) | (801,710 | ) | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 438,587 | $ | 7,402,371 | 506,299 | $ | 9,165,848 | 181,822 | $ | 3,342,456 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
S&P 500 Index Fund Class R4 | ||||||||||||||||||||||||
Sold | 7,548,583 | $ | 135,485,760 | 5,479,026 | $ | 100,128,550 | 4,939,611 | $ | 86,075,620 | |||||||||||||||
Issued as reinvestment of dividends | 1,125,782 | 19,926,344 | 88,028 | 1,562,509 | 1,069,986 | 18,863,853 | ||||||||||||||||||
Redeemed | (6,554,397 | ) | (117,893,789 | ) | (4,401,643 | ) | (80,184,606 | ) | (7,986,542 | ) | (141,390,149 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 2,119,968 | $ | 37,518,315 | 1,165,411 | $ | 21,506,453 | (1,976,945 | ) | $ | (36,450,676 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
S&P 500 Index Fund Class R3 | ||||||||||||||||||||||||
Sold | 3,933,638 | $ | 69,670,035 | 1,434,122 | $ | 26,083,776 | 94,950 | $ | 1,680,895 | |||||||||||||||
Issued as reinvestment of dividends | 88,139 | 1,537,139 | 3,957 | 69,412 | 11,779 | 205,539 | ||||||||||||||||||
Redeemed | (383,519 | ) | (6,850,596 | ) | (191,128 | ) | (3,342,970 | ) | (197,798 | ) | (3,552,477 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 3,638,258 | $ | 64,356,578 | 1,246,951 | $ | 22,810,218 | (91,069 | ) | $ | (1,666,043 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Focused Value Fund Class I |
| |||||||||||||||||||||||
Sold | 3,366,425 | $ | 58,152,025 | 3,119,611 | $ | 70,682,518 | 2,959,862 | $ | 70,759,031 | |||||||||||||||
Issued as reinvestment of dividends | 2,177,077 | 37,402,189 | 136,615 | 2,785,570 | 1,319,420 | 29,283,066 | ||||||||||||||||||
Redeemed | (5,132,513 | ) | (91,361,873 | ) | (1,882,228 | ) | (41,690,763 | ) | (1,633,311 | ) | (38,578,137 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 410,989 | $ | 4,192,341 | 1,373,998 | $ | 31,777,325 | 2,645,971 | $ | 61,463,960 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
320
Notes to Financial Statements (Continued)
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Focused Value Fund Class R5 |
| |||||||||||||||||||||||
Sold | 1,086,002 | $ | 18,938,224 | 1,067,491 | $ | 23,553,021 | 2,212,211 | $ | 53,299,969 | |||||||||||||||
Issued as reinvestment of dividends | 2,206,746 | 38,022,230 | 151,955 | 3,102,930 | 1,993,602 | 44,464,918 | ||||||||||||||||||
Redeemed | (4,689,569 | ) | (83,266,716 | ) | (3,568,686 | ) | (80,786,074 | ) | (2,920,057 | ) | (68,731,101 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (1,396,821 | ) | $ | (26,306,262 | ) | (2,349,240 | ) | $ | (54,130,123 | ) | 1,285,756 | $ | 29,033,786 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Focused Value Fund Service Class |
| |||||||||||||||||||||||
Sold | 540,059 | $ | 9,378,730 | 453,235 | $ | 9,907,101 | 1,123,541 | $ | 26,831,292 | |||||||||||||||
Issued as reinvestment of dividends | 741,552 | 12,606,386 | 48,592 | 980,581 | 607,080 | 13,377,310 | ||||||||||||||||||
Redeemed | (1,442,287 | ) | (24,994,802 | ) | (898,027 | ) | (19,648,792 | ) | (1,608,468 | ) | (37,541,420 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (160,676 | ) | $ | (3,009,686 | ) | (396,200 | ) | $ | (8,761,110 | ) | 122,153 | $ | 2,667,182 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Focused Value Fund Administrative Class | ||||||||||||||||||||||||
Sold | 651,473 | $ | 11,115,509 | 793,614 | $ | 17,206,308 | 1,179,417 | $ | 27,632,533 | |||||||||||||||
Issued as reinvestment of dividends | 946,229 | 15,934,491 | 63,718 | 1,274,361 | 709,989 | 15,552,785 | ||||||||||||||||||
Redeemed | (1,776,639 | ) | (31,023,770 | ) | (707,281 | ) | (15,439,622 | ) | (1,457,633 | ) | (34,171,997 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (178,937 | ) | $ | (3,973,770 | ) | 150,051 | $ | 3,041,047 | 431,773 | $ | 9,013,321 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Focused Value Fund Class A |
| |||||||||||||||||||||||
Sold | 530,391 | $ | 9,065,368 | 657,932 | $ | 13,870,012 | 1,140,675 | $ | 25,757,217 | |||||||||||||||
Issued as reinvestment of dividends | 1,899,937 | 30,949,974 | 128,106 | 2,486,539 | 1,409,894 | 30,021,703 | ||||||||||||||||||
Redeemed | (3,904,504 | ) | (64,756,380 | ) | (1,369,908 | ) | (28,918,300 | ) | (1,801,589 | ) | (41,039,845 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (1,474,176 | ) | $ | (24,741,038 | ) | (583,870 | ) | $ | (12,561,749 | ) | 748,980 | $ | 14,739,075 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Focused Value Fund Class R4* |
| |||||||||||||||||||||||
Sold | 304,677 | $ | 5,245,752 | 92,311 | $ | 1,958,967 | 4,499 | $ | 100,105 | |||||||||||||||
Issued as reinvestment of dividends | 38,940 | 630,425 | 1,079 | 20,937 | 726 | 15,429 | ||||||||||||||||||
Redeemed | (84,269 | ) | (1,349,619 | ) | (6,901 | ) | (143,073 | ) | - | ++ | (4 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 259,348 | $ | 4,526,558 | 86,489 | $ | 1,836,831 | 5,225 | $ | 115,530 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Focused Value Fund Class R3 |
| |||||||||||||||||||||||
Sold | 85,499 | $ | 1,463,128 | 109,902 | $ | 2,212,406 | 10,930 | $ | 239,546 | |||||||||||||||
Issued as reinvestment of dividends | 34,081 | 529,625 | 1,460 | 27,322 | 4,701 | 96,559 | ||||||||||||||||||
Redeemed | (36,528 | ) | (619,746 | ) | (14,993 | ) | (311,422 | ) | (14,745 | ) | (329,618 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 83,052 | $ | 1,373,007 | 96,369 | $ | 1,928,306 | 886 | $ | 6,487 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Fundamental Growth Fund Class I* |
| |||||||||||||||||||||||
Sold | 2,547,288 | $ | 20,169,478 | 2,347,055 | $ | 19,606,078 | 11,000,743 | $ | 94,182,688 | |||||||||||||||
Issued as reinvestment of dividends | 1,141,055 | 8,820,353 | 34,423 | 286,058 | 1,266,055 | 10,181,561 | ||||||||||||||||||
Redeemed | (5,988,530 | ) | (47,499,634 | ) | (3,561,077 | ) | (30,341,662 | ) | (1,707,430 | ) | (14,926,140 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (2,300,187 | ) | $ | (18,509,803 | ) | (1,179,599 | ) | $ | (10,449,526 | ) | 10,559,368 | $ | 89,438,109 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Fundamental Growth Fund Class R5 | ||||||||||||||||||||||||
Sold | 669,326 | $ | 5,135,912 | 169,548 | $ | 1,422,774 | 936,174 | $ | 7,936,420 | |||||||||||||||
Issued as reinvestment of dividends | 301,142 | 2,333,849 | 9,059 | 75,368 | 305,142 | 2,460,188 | ||||||||||||||||||
Redeemed | (578,911 | ) | (4,451,740 | ) | (258,206 | ) | (2,168,283 | ) | (8,993,364 | ) | (76,816,211 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 391,557 | $ | 3,018,021 | (79,599 | ) | $ | (670,141 | ) | (7,752,048 | ) | $ | (66,419,603 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Fundamental Growth Fund Service Class | ||||||||||||||||||||||||
Sold | 169,303 | $ | 1,318,083 | 71,007 | $ | 593,397 | 182,881 | $ | 1,533,069 | |||||||||||||||
Issued as reinvestment of dividends | 90,111 | 686,651 | 2,654 | 21,733 | 102,126 | 811,176 | ||||||||||||||||||
Redeemed | (138,133 | ) | (1,055,658 | ) | (207,940 | ) | (1,731,144 | ) | (168,157 | ) | (1,420,613 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 121,281 | $ | 949,076 | (134,279 | ) | $ | (1,116,014 | ) | 116,850 | $ | 923,632 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
321
Notes to Financial Statements (Continued)
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Fundamental Growth Fund Administrative Class | ||||||||||||||||||||||||
Sold | 238,954 | $ | 1,879,430 | 299,843 | $ | 2,423,845 | 429,271 | $ | 3,599,551 | |||||||||||||||
Issued as reinvestment of dividends | 163,998 | 1,225,067 | 4,912 | 39,495 | 179,970 | 1,405,019 | ||||||||||||||||||
Redeemed | (388,524 | ) | (2,875,815 | ) | (218,724 | ) | (1,821,177 | ) | (731,559 | ) | (6,051,325 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 14,428 | $ | 228,682 | 86,031 | $ | 642,163 | (122,318 | ) | $ | (1,046,755 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Fundamental Growth Fund Class A |
| |||||||||||||||||||||||
Sold | 343,219 | $ | 2,504,676 | 330,125 | $ | 2,586,341 | 588,039 | $ | 4,683,491 | |||||||||||||||
Issued as reinvestment of dividends | 280,669 | 2,020,819 | 9,303 | 72,193 | 380,934 | 2,879,218 | ||||||||||||||||||
Redeemed | (760,199 | ) | (5,571,803 | ) | (1,120,201 | ) | (8,862,774 | ) | (840,876 | ) | (6,834,024 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (136,311 | ) | $ | (1,046,308 | ) | (780,773 | ) | $ | (6,204,240 | ) | 128,097 | $ | 728,685 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Fundamental Growth Fund Class R4* | ||||||||||||||||||||||||
Sold | 85,556 | $ | 611,449 | 11,433 | $ | 85,074 | 12,591 | $ | 100,105 | |||||||||||||||
Issued as reinvestment of dividends | 2,678 | 19,193 | - | ++ | 1 | 1,787 | 13,481 | |||||||||||||||||
Redeemed | (16,634 | ) | (117,452 | ) | (3 | ) | (23 | ) | - | ++ | (4 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 71,600 | $ | 513,190 | 11,430 | $ | 85,052 | 14,378 | $ | 113,582 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Fundamental Growth Fund Class R3 | ||||||||||||||||||||||||
Sold | 208,256 | $ | 1,425,953 | 31,773 | $ | 238,277 | 19,699 | $ | 153,507 | |||||||||||||||
Issued as reinvestment of dividends | 8,254 | 56,456 | 46 | 344 | 4,521 | 32,814 | ||||||||||||||||||
Redeemed | (39,761 | ) | (267,642 | ) | (18,425 | ) | (142,202 | ) | (45,708 | ) | (341,723 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 176,749 | $ | 1,214,767 | 13,394 | $ | 96,419 | (21,488 | ) | $ | (155,402 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Blue Chip Growth Fund Class I* |
| |||||||||||||||||||||||
Sold | 14,862,659 | $ | 232,116,521 | 4,695,810 | $ | 84,124,483 | 15,826,162 | $ | 278,717,462 | |||||||||||||||
Issued as reinvestment of dividends | 3,535,563 | 56,356,872 | 151,026 | 2,722,994 | 1,084,756 | 18,256,444 | ||||||||||||||||||
Redeemed | (6,084,355 | ) | (97,969,340 | ) | (2,048,141 | ) | (37,730,437 | ) | (1,324,507 | ) | (23,460,463 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 12,313,867 | $ | 190,504,053 | 2,798,695 | $ | 49,117,040 | 15,586,411 | $ | 273,513,443 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Blue Chip Growth Fund Class R5 | ||||||||||||||||||||||||
Sold | 4,801,764 | $ | 78,179,165 | 2,329,260 | $ | 42,047,907 | 13,966,347 | $ | 237,511,545 | |||||||||||||||
Issued as reinvestment of dividends | 4,920,932 | 78,390,455 | 246,851 | 4,445,803 | 2,244,422 | 37,728,727 | ||||||||||||||||||
Redeemed | (16,201,183 | ) | (256,462,891 | ) | (6,530,938 | ) | (118,656,159 | ) | (14,766,902 | ) | (257,263,758 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (6,478,487 | ) | $ | (99,893,271 | ) | (3,954,827 | ) | $ | (72,162,449 | ) | 1,443,867 | $ | 17,976,514 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Blue Chip Growth Fund Service Class | ||||||||||||||||||||||||
Sold | 4,250,516 | $ | 69,254,595 | 3,732,366 | $ | 67,880,382 | 1,201,709 | $ | 20,533,484 | |||||||||||||||
Issued as reinvestment of dividends | 2,373,491 | 37,501,158 | 99,125 | 1,772,363 | 654,157 | 10,930,968 | ||||||||||||||||||
Redeemed | (5,284,435 | ) | (82,660,814 | ) | (1,486,939 | ) | (26,672,445 | ) | (3,823,221 | ) | (66,915,590 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 1,339,572 | $ | 24,094,939 | 2,344,552 | $ | 42,980,300 | (1,967,355 | ) | $ | (35,451,138 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Blue Chip Growth Fund Administrative Class | ||||||||||||||||||||||||
Sold | 2,005,805 | $ | 32,220,167 | 2,101,316 | $ | 36,896,532 | 2,797,805 | $ | 47,462,078 | |||||||||||||||
Issued as reinvestment of dividends | 2,486,045 | 38,807,167 | 120,128 | 2,123,862 | 1,104,412 | 18,266,974 | ||||||||||||||||||
Redeemed | (3,619,543 | ) | (57,337,840 | ) | (4,343,828 | ) | (77,102,819 | ) | (2,926,568 | ) | (49,879,617 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 872,307 | $ | 13,689,494 | (2,122,384 | ) | $ | (38,082,425 | ) | 975,649 | $ | 15,849,435 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Blue Chip Growth Fund Class A | ||||||||||||||||||||||||
Sold | 1,760,146 | $ | 26,797,121 | 1,066,089 | $ | 18,307,267 | 1,435,111 | $ | 23,726,637 | |||||||||||||||
Issued as reinvestment of dividends | 1,771,499 | 26,643,342 | 83,921 | 1,435,893 | 710,681 | 11,392,210 | ||||||||||||||||||
Redeemed | (2,459,732 | ) | (36,782,915 | ) | (1,501,012 | ) | (25,756,654 | ) | (3,784,449 | ) | (62,211,123 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 1,071,913 | $ | 16,657,548 | (351,002 | ) | $ | (6,013,494 | ) | (1,638,657 | ) | $ | (27,092,276 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
322
Notes to Financial Statements (Continued)
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Blue Chip Growth Fund Class R4* | ||||||||||||||||||||||||
Sold | 1,752,959 | $ | 26,219,066 | 1,229,330 | $ | 21,577,414 | 43,785 | $ | 772,937 | |||||||||||||||
Issued as reinvestment of dividends | 262,389 | 3,943,712 | 10,613 | 181,915 | 3,387 | 54,367 | ||||||||||||||||||
Redeemed | (386,193 | ) | (5,770,075 | ) | (77,483 | ) | (1,371,947 | ) | (2 | ) | (30 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 1,629,155 | $ | 24,392,703 | 1,162,460 | $ | 20,387,382 | 47,170 | $ | 827,274 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Blue Chip Growth Fund Class R3 | ||||||||||||||||||||||||
Sold | 1,364,827 | $ | 19,543,732 | 197,213 | $ | 3,281,017 | 52,019 | $ | 786,953 | |||||||||||||||
Issued as reinvestment of dividends | 81,838 | 1,163,726 | 1,882 | 30,819 | 5,002 | 76,884 | ||||||||||||||||||
Redeemed | (152,381 | ) | (2,196,306 | ) | (4,716 | ) | (77,398 | ) | (61,524 | ) | (967,817 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 1,294,284 | $ | 18,511,152 | 194,379 | $ | 3,234,438 | (4,503 | ) | $ | (103,980 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Growth Opportunities Fund Class I | ||||||||||||||||||||||||
Sold | 7,342,454 | $ | 77,365,291 | 14,459,205 | $ | 173,799,599 | 15,383,010 | $ | 179,452,094 | |||||||||||||||
Issued as reinvestment of dividends | 3,586,120 | 38,981,121 | 763,029 | 8,835,876 | 1,574,099 | 18,343,315 | ||||||||||||||||||
Redeemed | (10,357,640 | ) | (109,952,101 | ) | (9,435,314 | ) | (116,462,279 | ) | (3,102,295 | ) | (36,629,897 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 570,934 | $ | 6,394,311 | 5,786,920 | $ | 66,173,196 | 13,854,814 | $ | 161,165,512 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Growth Opportunities Fund Class R5 | ||||||||||||||||||||||||
Sold | 1,544,312 | $ | 16,314,440 | 4,071,387 | $ | 49,383,935 | 3,770,649 | $ | 44,509,774 | |||||||||||||||
Issued as reinvestment of dividends | 2,204,066 | 23,803,912 | 501,000 | 5,771,522 | 1,383,377 | 16,052,750 | ||||||||||||||||||
Redeemed | (6,026,743 | ) | (62,688,417 | ) | (7,405,536 | ) | (88,231,300 | ) | (11,999,938 | ) | (140,501,582 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (2,278,365 | ) | $ | (22,570,065 | ) | (2,833,149 | ) | $ | (33,075,843 | ) | (6,845,912 | ) | $ | (79,939,058 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Growth Opportunities Fund Service Class | ||||||||||||||||||||||||
Sold | 1,751,891 | $ | 19,083,532 | 2,440,722 | $ | 28,659,941 | 6,568,226 | $ | 73,875,210 | |||||||||||||||
Issued as reinvestment of dividends | 1,686,949 | 17,831,054 | 350,196 | 3,960,722 | 830,060 | 9,465,425 | ||||||||||||||||||
Redeemed | (3,141,277 | ) | (31,742,200 | ) | (2,487,799 | ) | (28,779,267 | ) | (1,395,197 | ) | (15,953,684 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 297,563 | $ | 5,172,386 | 303,119 | $ | 3,841,396 | 6,003,089 | $ | 67,386,951 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Growth Opportunities Fund Administrative Class | ||||||||||||||||||||||||
Sold | 836,054 | $ | 8,461,631 | 1,950,687 | $ | 22,353,548 | 4,201,422 | $ | 47,493,854 | |||||||||||||||
Issued as reinvestment of dividends | 1,211,646 | 12,455,718 | 251,418 | 2,773,139 | 807,443 | 8,996,527 | ||||||||||||||||||
Redeemed | (3,403,565 | ) | (33,190,176 | ) | (4,892,403 | ) | (55,003,818 | ) | (2,142,511 | ) | (23,789,962 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (1,355,865 | ) | $ | (12,272,827 | ) | (2,690,298 | ) | $ | (29,877,131 | ) | 2,866,354 | $ | 32,700,419 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Growth Opportunities Fund Class A | ||||||||||||||||||||||||
Sold | 624,026 | $ | 5,796,869 | 1,499,511 | $ | 16,259,284 | 2,729,944 | $ | 29,479,935 | |||||||||||||||
Issued as reinvestment of dividends | 1,704,082 | 16,597,761 | 394,196 | 4,146,940 | 1,087,780 | 11,605,518 | ||||||||||||||||||
Redeemed | (5,692,923 | ) | (52,926,673 | ) | (4,185,976 | ) | (45,916,195 | ) | (3,340,778 | ) | (36,141,174 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (3,364,815 | ) | $ | (30,532,043 | ) | (2,292,269 | ) | $ | (25,509,971 | ) | 476,946 | $ | 4,944,279 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Growth Opportunities Fund Class R4* | ||||||||||||||||||||||||
Sold | 616,217 | $ | 6,174,854 | 308,793 | $ | 3,405,926 | 9,470 | $ | 100,105 | |||||||||||||||
Issued as reinvestment of dividends | 65,563 | 639,893 | 5,679 | 59,853 | 660 | 7,042 | ||||||||||||||||||
Redeemed | (252,838 | ) | (2,319,896 | ) | (44,967 | ) | (477,308 | ) | - | ++ | (4 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 428,942 | $ | 4,494,851 | 269,505 | $ | 2,988,471 | 10,130 | $ | 107,143 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Growth Opportunities Fund Class R3 | ||||||||||||||||||||||||
Sold | 35,538 | $ | 314,524 | 75,169 | $ | 794,864 | 9,264 | $ | 93,791 | |||||||||||||||
Issued as reinvestment of dividends | 10,153 | 93,106 | 1,950 | 19,463 | 297 | 3,016 | ||||||||||||||||||
Redeemed | (30,472 | ) | (259,283 | ) | (9,878 | ) | (100,932 | ) | (172 | ) | (1,852 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 15,219 | $ | 148,347 | 67,241 | $ | 713,395 | 9,389 | $ | 94,955 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
323
Notes to Financial Statements (Continued)
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Mid-Cap Value Fund Class I | ||||||||||||||||||||||||
Sold | 2,495,317 | $ | 32,470,619 | 2,791,239 | $ | 41,954,534 | 5,107,947 | $ | 78,295,165 | |||||||||||||||
Issued as reinvestment of dividends | 1,173,829 | 14,226,812 | 96,087 | 1,376,932 | 232,903 | 3,409,347 | ||||||||||||||||||
Redeemed | (5,190,999 | ) | (71,910,338 | ) | (2,184,807 | ) | (33,201,315 | ) | (1,233,919 | ) | (18,822,248 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (1,521,853 | ) | $ | (25,212,907 | ) | 702,519 | $ | 10,130,151 | 4,106,931 | $ | 62,882,264 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Mid-Cap Value Fund Class R5 | ||||||||||||||||||||||||
Sold | 127,107 | $ | 1,646,344 | 176,515 | $ | 2,675,728 | 557,851 | $ | 8,455,919 | |||||||||||||||
Issued as reinvestment of dividends | 79,014 | 963,968 | 11,786 | 169,477 | 31,721 | 467,641 | ||||||||||||||||||
Redeemed | (299,874 | ) | (4,014,516 | ) | (774,201 | ) | (11,124,109 | ) | (4,962,038 | ) | (75,648,879 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (93,753 | ) | $ | (1,404,204 | ) | (585,900 | ) | $ | (8,278,904 | ) | (4,372,466 | ) | $ | (66,725,319 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Mid-Cap Value Fund Service Class | ||||||||||||||||||||||||
Sold | 17,883 | $ | 205,717 | 6,673 | $ | 103,511 | 259,718 | $ | 3,815,460 | |||||||||||||||
Issued as reinvestment of dividends | 34,484 | 419,323 | 2,194 | 31,478 | 8,071 | 118,452 | ||||||||||||||||||
Redeemed | (89,911 | ) | (1,199,897 | ) | (141,309 | ) | (2,184,530 | ) | (114,313 | ) | (1,731,914 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (37,544 | ) | $ | (574,857 | ) | (132,442 | ) | $ | (2,049,541 | ) | 153,476 | $ | 2,201,998 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Mid-Cap Value Fund Administrative Class | ||||||||||||||||||||||||
Sold | 29,286 | $ | 403,592 | 36,743 | $ | 571,363 | 43,178 | $ | 662,050 | |||||||||||||||
Issued as reinvestment of dividends | 2,965 | 36,593 | 369 | 5,322 | 1,676 | 24,791 | ||||||||||||||||||
Redeemed | (4,309 | ) | (58,295 | ) | (92,060 | ) | (1,390,436 | ) | (258,124 | ) | (3,815,002 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 27,942 | $ | 381,890 | (54,948 | ) | $ | (813,751 | ) | (213,270 | ) | $ | (3,128,161 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Mid-Cap Value Fund Class A | ||||||||||||||||||||||||
Sold | 61,093 | $ | 794,363 | 30,100 | $ | 455,440 | 89,166 | $ | 1,331,325 | |||||||||||||||
Issued as reinvestment of dividends | 27,545 | 335,769 | 2,147 | 30,700 | 7,974 | 116,959 | ||||||||||||||||||
Redeemed | (126,981 | ) | (1,658,002 | ) | (241,986 | ) | (3,623,213 | ) | (134,702 | ) | (2,040,468 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (38,343 | ) | $ | (527,870 | ) | (209,739 | ) | $ | (3,137,073 | ) | (37,562 | ) | $ | (592,184 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Mid-Cap Value Fund Class R4* | ||||||||||||||||||||||||
Sold | 108 | $ | 1,418 | 7 | $ | 100 | 6,668 | $ | 100,106 | |||||||||||||||
Issued as reinvestment of dividends | 2 | 28 | - | ++ | 2 | 161 | 2,351 | |||||||||||||||||
Redeemed | (15 | ) | (209 | ) | - | - | - | ++ | (4 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 95 | $ | 1,237 | 7 | $ | 102 | 6,829 | $ | 102,453 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Mid-Cap Value Fund Class R3 | ||||||||||||||||||||||||
Sold | 1,557 | $ | 19,762 | 306 | $ | 4,633 | 578 | $ | 8,687 | |||||||||||||||
Issued as reinvestment of dividends | 1,146 | 13,852 | 71 | 993 | 138 | 2,017 | ||||||||||||||||||
Redeemed | (1,616 | ) | (20,825 | ) | (841 | ) | (12,951 | ) | (254 | ) | (3,894 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 1,087 | $ | 12,789 | (464 | ) | $ | (7,325 | ) | 462 | $ | 6,810 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap Value Equity Fund Class I* | ||||||||||||||||||||||||
Sold | 4,656,033 | $ | 68,492,489 | 1,635,318 | $ | 25,917,220 | 4,578,495 | $ | 69,867,656 | |||||||||||||||
Issued as reinvestment of dividends | 186,610 | 2,730,108 | 348 | 5,250 | 27,368 | 410,790 | ||||||||||||||||||
Redeemed | (1,765,831 | ) | (25,758,018 | ) | (972,229 | ) | (15,398,495 | ) | (764,448 | ) | (11,543,349 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 3,076,812 | $ | 45,464,579 | 663,437 | $ | 10,523,975 | 3,841,415 | $ | 58,735,097 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap Value Equity Fund Class R5 | ||||||||||||||||||||||||
Sold | 473,708 | $ | 7,131,853 | 621,881 | $ | 9,625,448 | 821,569 | $ | 12,258,579 | |||||||||||||||
Issued as reinvestment of dividends | 243,625 | 3,566,662 | 493 | 7,433 | 37,367 | 561,623 | ||||||||||||||||||
Redeemed | (4,034,682 | ) | (59,201,820 | ) | (444,619 | ) | (7,173,194 | ) | (3,910,279 | ) | (59,777,640 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (3,317,349 | ) | $ | (48,503,305 | ) | 177,755 | $ | 2,459,687 | (3,051,343 | ) | $ | (46,957,438 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
324
Notes to Financial Statements (Continued)
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Small Cap Value Equity Fund Service Class | ||||||||||||||||||||||||
Sold | 289,671 | $ | 4,586,399 | 159,554 | $ | 2,529,601 | 68,762 | $ | 1,003,370 | |||||||||||||||
Issued as reinvestment of dividends | 17,628 | 258,786 | 17 | 257 | 218 | 3,287 | ||||||||||||||||||
Redeemed | (78,874 | ) | (1,188,006 | ) | (29,412 | ) | (458,254 | ) | (328,514 | ) | (4,936,520 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 228,425 | $ | 3,657,179 | 130,159 | $ | 2,071,604 | (259,534 | ) | $ | (3,929,863 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap Value Equity Fund Administrative Class | ||||||||||||||||||||||||
Sold | 63,978 | $ | 982,855 | 262,360 | $ | 4,172,545 | 46,458 | $ | 689,385 | |||||||||||||||
Issued as reinvestment of dividends | 10,262 | 150,036 | 32 | 482 | 958 | 14,370 | ||||||||||||||||||
Redeemed | (183,347 | ) | (2,891,855 | ) | (90,145 | ) | (1,481,585 | ) | (99,293 | ) | (1,479,025 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (109,107 | ) | $ | (1,758,964 | ) | 172,247 | $ | 2,691,442 | (51,877 | ) | $ | (775,270 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap Value Equity Fund Class A | ||||||||||||||||||||||||
Sold | 223,793 | $ | 3,430,864 | 144,748 | $ | 2,296,606 | 76,932 | $ | 1,140,711 | |||||||||||||||
Issued as reinvestment of dividends | 15,791 | 230,384 | 36 | 541 | 677 | 10,138 | ||||||||||||||||||
Redeemed | (133,836 | ) | (1,956,953 | ) | (111,650 | ) | (1,718,016 | ) | (104,823 | ) | (1,547,251 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 105,748 | $ | 1,704,295 | 33,134 | $ | 579,131 | (27,214 | ) | $ | (396,402 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap Value Equity Fund Class R4* | ||||||||||||||||||||||||
Sold | 79,717 | $ | 1,243,218 | 42,404 | $ | 654,884 | 6,664 | $ | 100,105 | |||||||||||||||
Issued as reinvestment of dividends | 2,729 | 39,618 | 1 | 19 | 25 | 374 | ||||||||||||||||||
Redeemed | (17,345 | ) | (255,307 | ) | (5,046 | ) | (75,632 | ) | - | ++ | (4 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 65,101 | $ | 1,027,529 | 37,359 | $ | 579,271 | 6,689 | $ | 100,475 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap Value Equity Fund Class R3* | ||||||||||||||||||||||||
Sold | 20,584 | $ | 302,236 | 1,803 | $ | 27,225 | 6,657 | $ | 100,002 | |||||||||||||||
Issued as reinvestment of dividends | 137 | 1,996 | - | - | 13 | 187 | ||||||||||||||||||
Redeemed | (1,682 | ) | (26,264 | ) | (1 | ) | (14 | ) | - | ++ | (2 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 19,039 | $ | 277,968 | 1,802 | $ | 27,211 | 6,670 | $ | 100,187 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Company Value Fund Class I | ||||||||||||||||||||||||
Sold | 1,908,765 | $ | 20,824,044 | 2,078,209 | $ | 29,514,990 | 1,827,234 | $ | 29,756,367 | |||||||||||||||
Issued as reinvestment of dividends | 2,891,985 | 29,209,049 | 145,563 | 1,951,998 | 1,438,057 | 19,910,627 | ||||||||||||||||||
Redeemed | (3,328,874 | ) | (36,510,638 | ) | (1,804,028 | ) | (25,446,725 | ) | (1,754,954 | ) | (28,559,990 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 1,471,876 | $ | 13,522,455 | 419,744 | $ | 6,020,263 | 1,510,337 | $ | 21,107,004 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Company Value Fund Class R5 | ||||||||||||||||||||||||
Sold | 854,150 | $ | 9,159,892 | 315,301 | $ | 4,489,368 | 1,017,860 | $ | 16,761,642 | |||||||||||||||
Issued as reinvestment of dividends | 2,704,641 | 27,452,111 | 172,009 | 2,313,519 | 2,239,865 | 31,154,942 | ||||||||||||||||||
Redeemed | (3,935,998 | ) | (42,193,058 | ) | (5,066,016 | ) | (70,400,471 | ) | (4,269,944 | ) | (71,440,100 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (377,207 | ) | $ | (5,581,055 | ) | (4,578,706 | ) | $ | (63,597,584 | ) | (1,012,219 | ) | $ | (23,523,516 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Company Value Fund Service Class | ||||||||||||||||||||||||
Sold | 246,503 | $ | 2,609,640 | 107,179 | $ | 1,542,459 | 561,088 | $ | 9,174,062 | |||||||||||||||
Issued as reinvestment of dividends | 388,961 | 3,932,394 | 19,572 | 262,066 | 411,998 | 5,708,369 | ||||||||||||||||||
Redeemed | (520,112 | ) | (5,439,410 | ) | (1,436,476 | ) | (20,883,372 | ) | (1,084,179 | ) | (17,628,320 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 115,352 | $ | 1,102,624 | (1,309,725 | ) | $ | (19,078,847 | ) | (111,093 | ) | $ | (2,745,889 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Company Value Fund Administrative Class | ||||||||||||||||||||||||
Sold | 199,771 | $ | 2,187,363 | 132,310 | $ | 1,860,464 | 388,906 | $ | 6,337,834 | |||||||||||||||
Issued as reinvestment of dividends | 416,894 | 4,152,265 | 22,127 | 292,735 | 277,700 | 3,813,989 | ||||||||||||||||||
Redeemed | (555,490 | ) | (5,826,695 | ) | (480,038 | ) | (6,762,202 | ) | (1,156,543 | ) | (18,669,429 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 61,175 | $ | 512,933 | (325,601 | ) | $ | (4,609,003 | ) | (489,937 | ) | $ | (8,517,606 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
325
Notes to Financial Statements (Continued)
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Small Company Value Fund Class A | ||||||||||||||||||||||||
Sold | 176,322 | $ | 1,859,148 | 122,838 | $ | 1,683,450 | 195,593 | $ | 3,089,638 | |||||||||||||||
Issued as reinvestment of dividends | 737,719 | 7,155,864 | 40,459 | 523,547 | 514,007 | 6,917,804 | ||||||||||||||||||
Redeemed | (888,801 | ) | (9,267,533 | ) | (823,906 | ) | (11,268,655 | ) | (1,301,329 | ) | (20,357,321 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 25,240 | $ | (252,521 | ) | (660,609 | ) | $ | (9,061,658 | ) | (591,729 | ) | $ | (10,349,879 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Company Value Fund Class R4* | ||||||||||||||||||||||||
Sold | 10,772 | $ | 111,338 | 7 | $ | 100 | 6,153 | $ | 100,100 | |||||||||||||||
Issued as reinvestment of dividends | 358 | 3,452 | - | ++ | 3 | 1,156 | 15,463 | |||||||||||||||||
Redeemed | (1,339 | ) | (14,072 | ) | - | - | - | - | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 9,791 | $ | 100,718 | 7 | $ | 103 | 7,309 | $ | 115,563 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Company Value Fund Class R3 | ||||||||||||||||||||||||
Sold | 2,448 | $ | 26,188 | 376 | $ | 4,896 | 994 | $ | 14,998 | |||||||||||||||
Issued as reinvestment of dividends | 1,738 | 15,919 | 77 | 952 | 2,063 | 26,603 | ||||||||||||||||||
Redeemed | (662 | ) | (8,148 | ) | (1,723 | ) | (23,386 | ) | (9,726 | ) | (135,815 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 3,524 | $ | 33,959 | (1,270 | ) | $ | (17,538 | ) | (6,669 | ) | $ | (94,214 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
S&P Mid Cap Index Fund Class I | ||||||||||||||||||||||||
Sold | 4,355,241 | $ | 55,642,526 | 2,935,566 | $ | 39,501,935 | 4,865,632 | $ | 62,508,918 | |||||||||||||||
Issued as reinvestment of dividends | 649,394 | 7,825,196 | 39,002 | 504,686 | 443,356 | 5,601,604 | ||||||||||||||||||
Redeemed | (10,625,732 | ) | (137,469,051 | ) | (2,913,115 | ) | (39,562,371 | ) | (1,788,217 | ) | (23,223,691 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (5,621,097 | ) | $ | (74,001,329 | ) | 61,453 | $ | 444,250 | 3,520,771 | $ | 44,886,831 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
S&P Mid Cap Index Fund Class R5 | ||||||||||||||||||||||||
Sold | 940,527 | $ | 11,717,874 | 569,544 | $ | 7,719,408 | 441,605 | $ | 5,760,583 | |||||||||||||||
Issued as reinvestment of dividends | 52,494 | 631,503 | 3,138 | 40,508 | 16,103 | 202,481 | ||||||||||||||||||
Redeemed | (323,871 | ) | (4,115,542 | ) | (81,515 | ) | (1,087,624 | ) | (500,577 | ) | (6,440,896 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 669,150 | $ | 8,233,835 | 491,167 | $ | 6,672,292 | (42,869 | ) | $ | (477,832 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
S&P Mid Cap Index Fund Service Class | ||||||||||||||||||||||||
Sold | 753,305 | $ | 9,412,680 | 586,362 | $ | 7,918,925 | 781,222 | $ | 10,189,485 | |||||||||||||||
Issued as reinvestment of dividends | 66,663 | 799,955 | 4,788 | 61,578 | 36,382 | 456,050 | ||||||||||||||||||
Redeemed | (425,022 | ) | (5,460,606 | ) | (210,050 | ) | (2,801,419 | ) | (118,798 | ) | (1,522,099 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 394,946 | $ | 4,752,029 | 381,100 | $ | 5,179,084 | 698,806 | $ | 9,123,436 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
S&P Mid Cap Index Fund Administrative Class** | ||||||||||||||||||||||||
Sold | 1,287,492 | $ | 16,228,818 | 1,083,856 | $ | 14,372,468 | 2,094,656 | $ | 27,235,166 | |||||||||||||||
Issued - merger | - | - | - | - | 820,869 | 10,498,909 | ||||||||||||||||||
Issued as reinvestment of dividends | 220,172 | 2,642,062 | 13,911 | 178,890 | 121,693 | 1,529,901 | ||||||||||||||||||
Redeemed | (882,193 | ) | (11,061,621 | ) | (311,026 | ) | (4,128,689 | ) | (772,420 | ) | (9,567,914 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 625,471 | $ | 7,809,259 | 786,741 | $ | 10,422,669 | 2,264,798 | $ | 29,696,062 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
S&P Mid Cap Index Fund Class L** | ||||||||||||||||||||||||
Sold | 129,514 | $ | 1,609,378 | |||||||||||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||||||||||
Redeemed | (91,804 | ) | (1,152,071 | ) | ||||||||||||||||||||
Redemptions-merger | (822,022 | ) | (10,498,909 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net increase (decrease) | (784,312 | ) | $ | (10,041,602 | ) | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
S&P Mid Cap Index Fund Class A | ||||||||||||||||||||||||
Sold | 1,051,985 | $ | 13,208,349 | 769,978 | $ | 10,180,874 | 1,646,529 | $ | 21,078,704 | |||||||||||||||
Issued as reinvestment of dividends | 154,785 | 1,855,870 | 9,247 | 118,641 | 77,453 | 974,088 | ||||||||||||||||||
Redeemed | (680,053 | ) | (8,740,095 | ) | (353,348 | ) | (4,691,321 | ) | (243,502 | ) | (3,113,435 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 526,717 | $ | 6,324,124 | 425,877 | $ | 5,608,194 | 1,480,480 | $ | 18,939,357 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
326
Notes to Financial Statements (Continued)
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
S&P Mid Cap Index Fund Class R4* | ||||||||||||||||||||||||
Sold | 1,898,502 | $ | 23,804,594 | 1,246,351 | $ | 16,860,722 | 12,384 | $ | 158,744 | |||||||||||||||
Issued as reinvestment of dividends | 80,755 | 965,023 | 3,827 | 49,106 | 345 | 4,339 | ||||||||||||||||||
Redeemed | (359,416 | ) | (4,489,371 | ) | (123,115 | ) | (1,605,103 | ) | (2,583 | ) | (34,357 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 1,619,841 | $ | 20,280,246 | 1,127,063 | $ | 15,304,725 | 10,146 | $ | 128,726 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
S&P Mid Cap Index Fund Class R3* | ||||||||||||||||||||||||
Sold | 2,000,894 | $ | 25,110,269 | 735,854 | $ | 9,839,400 | 10,583 | $ | 134,566 | |||||||||||||||
Issued as reinvestment of dividends | 59,452 | 709,852 | 2,043 | 26,172 | 286 | 3,594 | ||||||||||||||||||
Redeemed | (230,580 | ) | (2,868,456 | ) | (38,042 | ) | (500,045 | ) | - | ++ | (2 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 1,829,766 | $ | 22,951,665 | 699,855 | $ | 9,365,527 | 10,869 | $ | 138,158 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Russell 2000 Small Cap Index Fund Class I | ||||||||||||||||||||||||
Sold | 3,624,240 | $ | 41,475,122 | 10,926,433 | $ | 136,230,106 | 2,967,260 | $ | 38,418,209 | |||||||||||||||
Issued as reinvestment of dividends | 593,889 | 6,663,435 | 8,227 | 97,899 | 918,237 | 10,863,772 | ||||||||||||||||||
Redeemed | (10,502,299 | ) | (124,332,126 | ) | (2,482,938 | ) | (30,933,432 | ) | (2,824,660 | ) | (36,721,735 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (6,284,170 | ) | $ | (76,193,569 | ) | 8,451,722 | $ | 105,394,573 | 1,060,837 | $ | 12,560,246 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Russell 2000 Small Cap Index Fund | ||||||||||||||||||||||||
Sold | 610,101 | $ | 6,895,801 | 399,539 | $ | 4,997,416 | 301,116 | $ | 3,811,858 | |||||||||||||||
Issued as reinvestment of dividends | 27,481 | 308,615 | 357 | 4,253 | 40,875 | 484,081 | ||||||||||||||||||
Redeemed | (125,306 | ) | (1,435,553 | ) | (50,177 | ) | (616,230 | ) | (978,898 | ) | (12,841,630 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 512,276 | $ | 5,768,863 | 349,719 | $ | 4,385,439 | (636,907 | ) | $ | (8,545,691 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Russell 2000 Small Cap Index Fund Service Class | ||||||||||||||||||||||||
Sold | 657,605 | $ | 7,374,314 | 308,891 | $ | 3,868,147 | 566,910 | $ | 7,179,345 | |||||||||||||||
Issued as reinvestment of dividends | 23,914 | 266,876 | 375 | 4,433 | 58,611 | 685,886 | ||||||||||||||||||
Redeemed | (335,666 | ) | (3,954,820 | ) | (119,466 | ) | (1,485,252 | ) | (167,405 | ) | (2,118,634 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 345,853 | $ | 3,686,370 | 189,800 | $ | 2,387,328 | 458,116 | $ | 5,746,597 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Russell 2000 Small Cap Index Fund Administrative Class** | ||||||||||||||||||||||||
Sold | 1,207,392 | $ | 13,569,152 | 875,273 | $ | 10,771,918 | 1,165,732 | $ | 15,049,179 | |||||||||||||||
Issued - merger | - | - | - | - | 568,246 | 7,694,053 | ||||||||||||||||||
Issued as reinvestment of dividends | 100,484 | 1,124,417 | 1,427 | 16,884 | 237,105 | 2,801,944 | ||||||||||||||||||
Redeemed | (543,599 | ) | (6,185,521 | ) | (222,220 | ) | (2,752,787 | ) | (438,195 | ) | (5,450,508 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 764,277 | $ | 8,508,048 | 654,480 | $ | 8,036,015 | 1,532,888 | $ | 20,094,668 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Russell 2000 Small Cap Index Fund Class L** | ||||||||||||||||||||||||
Sold | 151,470 | $ | 1,967,808 | |||||||||||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||||||||||
Redeemed | (18,994 | ) | (252,140 | ) | ||||||||||||||||||||
Redemptions-merger | (570,377 | ) | (7,694,053 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net increase (decrease) | (437,901 | ) | $ | (5,978,385 | ) | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Russell 2000 Small Cap Index Fund Class A | ||||||||||||||||||||||||
Sold | 524,544 | $ | 5,968,111 | 349,772 | $ | 4,289,946 | 971,480 | $ | 12,592,987 | |||||||||||||||
Issued as reinvestment of dividends | 42,335 | 472,035 | 670 | 7,896 | 135,865 | 1,596,280 | ||||||||||||||||||
Redeemed | (270,190 | ) | (3,111,451 | ) | (315,025 | ) | (3,780,749 | ) | (267,863 | ) | (3,451,001 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 296,689 | $ | 3,328,695 | 35,417 | $ | 517,093 | 839,482 | $ | 10,738,266 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
327
Notes to Financial Statements (Continued)
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Russell 2000 Small Cap Index Fund Class R4* | ||||||||||||||||||||||||
Sold | 1,755,046 | $ | 19,748,897 | 862,576 | $ | 10,801,317 | 12,594 | $ | 164,043 | |||||||||||||||
Issued as reinvestment of dividends | 43,772 | 486,743 | 398 | 4,695 | 1,212 | 14,257 | ||||||||||||||||||
Redeemed | (289,254 | ) | (3,272,811 | ) | (36,747 | ) | (456,095 | ) | (1,405 | ) | (18,223 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 1,509,564 | $ | 16,962,829 | 826,227 | $ | 10,349,917 | 12,401 | $ | 160,077 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Russell 2000 Small Cap Index Fund Class R3* | ||||||||||||||||||||||||
Sold | 1,413,714 | $ | 16,004,347 | 525,869 | $ | 6,481,367 | 10,426 | $ | 135,368 | |||||||||||||||
Issued as reinvestment of dividends | 29,679 | 329,730 | 217 | 2,558 | 951 | 11,206 | ||||||||||||||||||
Redeemed | (184,010 | ) | (2,073,417 | ) | (10,948 | ) | (133,305 | ) | - | ++ | (2 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 1,259,383 | $ | 14,260,660 | 515,138 | $ | 6,350,620 | 11,377 | $ | 146,572 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Mid Cap Growth Equity II Fund Class I | ||||||||||||||||||||||||
Sold | 49,383,910 | $ | 910,970,892 | 22,870,090 | $ | 449,566,700 | 7,485,967 | $ | 143,812,519 | |||||||||||||||
Issued as reinvestment of dividends | 4,524,359 | 81,664,689 | 267,844 | 5,244,373 | 2,417,129 | 43,786,734 | ||||||||||||||||||
Redeemed | (10,371,505 | ) | (188,862,127 | ) | (3,200,740 | ) | (63,563,277 | ) | (2,482,100 | ) | (47,728,838 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 43,536,764 | $ | 803,773,454 | 19,937,194 | $ | 391,247,796 | 7,420,996 | $ | 139,870,415 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Mid Cap Growth Equity II Fund Class R5 | ||||||||||||||||||||||||
Sold | 18,173,123 | $ | 331,978,269 | 9,397,357 | $ | 186,314,944 | 5,660,180 | $ | 109,032,215 | |||||||||||||||
Issued as reinvestment of dividends | 3,079,294 | 55,211,743 | 258,903 | 5,040,837 | 3,765,351 | 67,957,371 | ||||||||||||||||||
Redeemed | (12,215,414 | ) | (218,996,661 | ) | (11,231,122 | ) | (217,495,085 | ) | (4,439,917 | ) | (84,355,158 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 9,037,003 | $ | 168,193,351 | (1,574,862 | ) | $ | (26,139,304 | ) | 4,985,614 | $ | 92,634,428 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Mid Cap Growth Equity II Fund Service Class | ||||||||||||||||||||||||
Sold | 4,042,867 | $ | 73,640,921 | 2,092,413 | $ | 40,643,117 | 1,932,089 | $ | 36,118,849 | |||||||||||||||
Issued as reinvestment of dividends | 1,180,675 | 20,768,068 | 97,757 | 1,870,084 | 1,425,010 | 25,305,083 | ||||||||||||||||||
Redeemed | (5,669,807 | ) | (100,713,680 | ) | (2,493,491 | ) | (48,613,948 | ) | (4,810,810 | ) | (90,597,474 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (446,265 | ) | $ | (6,304,691 | ) | (303,321 | ) | $ | (6,100,747 | ) | (1,453,711 | ) | $ | (29,173,542 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Mid Cap Growth Equity II Fund Administrative Class | ||||||||||||||||||||||||
Sold | 2,899,172 | $ | 49,335,238 | 2,453,587 | $ | 46,040,687 | 2,414,538 | $ | 44,334,771 | |||||||||||||||
Issued as reinvestment of dividends | 1,779,900 | 30,187,112 | 158,882 | 2,940,916 | 2,325,776 | 40,024,588 | ||||||||||||||||||
Redeemed | (6,338,164 | ) | (109,212,665 | ) | (2,627,863 | ) | (48,810,736 | ) | (5,847,490 | ) | (107,224,067 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (1,659,092 | ) | $ | (29,690,315 | ) | (15,394 | ) | $ | 170,867 | (1,107,176 | ) | $ | (22,864,708 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Mid Cap Growth Equity II Fund Class A | ||||||||||||||||||||||||
Sold | 1,998,535 | $ | 32,625,483 | 1,580,281 | $ | 27,895,467 | 1,246,539 | $ | 21,682,463 | |||||||||||||||
Issued as reinvestment of dividends | 1,701,476 | 27,155,552 | 149,203 | 2,612,544 | 2,235,160 | 36,490,476 | ||||||||||||||||||
Redeemed | (4,338,691 | ) | (70,001,122 | ) | (2,668,071 | ) | (47,189,051 | ) | (4,064,481 | ) | (70,792,839 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (638,680 | ) | $ | (10,220,087 | ) | (938,587 | ) | $ | (16,681,040 | ) | (582,782 | ) | $ | (12,619,900 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Mid Cap Growth Equity II Fund | ||||||||||||||||||||||||
Sold | 2,958,640 | $ | 48,085,568 | 528,765 | $ | 9,376,715 | 153,205 | $ | 2,820,147 | |||||||||||||||
Issued as reinvestment of dividends | 103,228 | 1,651,643 | 3,882 | 68,126 | 17,280 | 278,894 | ||||||||||||||||||
Redeemed | (540,982 | ) | (8,810,057 | ) | (21,456 | ) | (383,244 | ) | (70 | ) | (1,205 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 2,520,886 | $ | 40,927,154 | 511,191 | $ | 9,061,597 | 170,415 | $ | 3,097,836 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Mid Cap Growth Equity II Fund Class R3 | ||||||||||||||||||||||||
Sold | 807,955 | $ | 12,316,910 | 199,962 | $ | 3,349,409 | 45,787 | $ | 767,482 | |||||||||||||||
Issued as reinvestment of dividends | 41,802 | 625,777 | 2,134 | 35,278 | 20,573 | 317,456 | ||||||||||||||||||
Redeemed | (262,967 | ) | (4,061,077 | ) | (53,575 | ) | (904,171 | ) | (40,501 | ) | (660,997 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 586,790 | $ | 8,881,610 | 148,521 | $ | 2,480,516 | 25,859 | $ | 423,941 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
328
Notes to Financial Statements (Continued)
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Small Cap Growth Equity Fund Class I | ||||||||||||||||||||||||
Sold | 6,619,365 | $ | 80,155,091 | 5,694,232 | $ | 94,768,636 | 18,600,163 | $ | 362,383,605 | |||||||||||||||
Issued as reinvestment of dividends | 4,007,138 | 49,247,720 | 484,385 | 7,939,063 | 6,094,282 | 97,729,693 | ||||||||||||||||||
Redeemed | (5,091,392 | ) | (63,993,740 | ) | (22,533,939 | ) | (346,916,531 | ) | (5,180,570 | ) | (96,976,985 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 5,535,111 | $ | 65,409,071 | (16,355,322 | ) | $ | (244,208,832 | ) | 19,513,875 | $ | 363,136,313 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap Growth Equity Fund Class R5 | ||||||||||||||||||||||||
Sold | 470,983 | $ | 5,959,392 | 915,285 | $ | 15,583,546 | 1,776,976 | $ | 33,356,696 | |||||||||||||||
Issued as reinvestment of dividends | 2,681,713 | 32,663,269 | 174,189 | 2,835,799 | 2,517,284 | 40,227,761 | ||||||||||||||||||
Redeemed | (5,113,794 | ) | (64,112,395 | ) | (2,946,070 | ) | (47,977,992 | ) | (21,553,594 | ) | (416,183,600 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (1,961,098 | ) | $ | (25,489,734 | ) | (1,856,596 | ) | $ | (29,558,647 | ) | (17,259,334 | ) | $ | (342,599,143 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap Growth Equity Fund Service Class | ||||||||||||||||||||||||
Sold | 912,807 | $ | 12,049,219 | 467,122 | $ | 7,583,034 | 717,979 | $ | 13,192,895 | |||||||||||||||
Issued as reinvestment of dividends | 765,507 | 8,902,844 | 37,218 | 584,319 | 503,951 | 7,757,014 | ||||||||||||||||||
Redeemed | (1,191,270 | ) | (14,073,892 | ) | (544,335 | ) | (8,896,268 | ) | (2,877,813 | ) | (53,697,974 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 487,044 | $ | 6,878,171 | (39,995 | ) | $ | (728,915 | ) | (1,655,883 | ) | $ | (32,748,065 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap Growth Equity Fund Administrative Class | ||||||||||||||||||||||||
Sold | 295,651 | $ | 3,435,994 | 714,691 | $ | 11,038,789 | 189,985 | $ | 3,317,177 | |||||||||||||||
Issued as reinvestment of dividends | 643,562 | 7,098,493 | 35,370 | 533,026 | 422,009 | 6,266,247 | ||||||||||||||||||
Redeemed | (820,251 | ) | (9,716,299 | ) | (350,459 | ) | (5,462,429 | ) | (1,005,524 | ) | (17,751,888 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 118,962 | $ | 818,188 | 399,602 | $ | 6,109,386 | (393,530 | ) | $ | (8,168,464 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap Growth Equity Fund Class A | ||||||||||||||||||||||||
Sold | 278,604 | $ | 2,905,950 | 317,818 | $ | 4,676,322 | 380,419 | $ | 6,352,602 | |||||||||||||||
Issued as reinvestment of dividends | 1,088,692 | 10,919,581 | 59,663 | 836,480 | 885,377 | 12,281,354 | ||||||||||||||||||
Redeemed | (1,138,884 | ) | (11,769,017 | ) | (826,877 | ) | (12,027,480 | ) | (1,495,640 | ) | (24,866,641 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 228,412 | $ | 2,056,514 | (449,396 | ) | $ | (6,514,678 | ) | (229,844 | ) | $ | (6,232,685 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap Growth Equity Fund Class R4* | ||||||||||||||||||||||||
Sold | 163,608 | $ | 1,681,826 | 28,289 | $ | 412,074 | 5,847 | $ | 100,100 | |||||||||||||||
Issued as reinvestment of dividends | 15,613 | 157,063 | 319 | 4,478 | 1,584 | 21,949 | ||||||||||||||||||
Redeemed | (45,671 | ) | (443,199 | ) | (2,317 | ) | (34,587 | ) | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 133,550 | $ | 1,395,690 | 26,291 | $ | 381,965 | 7,431 | $ | 122,049 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap Growth Equity Fund Class R3 | ||||||||||||||||||||||||
Sold | 125,369 | $ | 1,178,785 | 24,568 | $ | 331,054 | 1,621 | $ | 25,446 | |||||||||||||||
Issued as reinvestment of dividends | 13,192 | 119,521 | 428 | 5,562 | 3,454 | 44,504 | ||||||||||||||||||
Redeemed | (33,756 | ) | (303,619 | ) | (6,745 | ) | (91,932 | ) | (32,702 | ) | (489,967 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 104,805 | $ | 994,687 | 18,251 | $ | 244,684 | (27,627 | ) | $ | (420,017 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Diversified International Fund Class I* | ||||||||||||||||||||||||
Sold | 3,745,109 | $ | 23,601,885 | 3,408,389 | $ | 23,495,197 | 10,117,351 | $ | 76,763,289 | |||||||||||||||
Issued as reinvestment of dividends | 14,450 | 92,480 | - | - | 350,251 | 2,280,133 | ||||||||||||||||||
Redeemed | (7,936,334 | ) | (50,683,179 | ) | (2,236,694 | ) | (15,657,489 | ) | (1,372,315 | ) | (10,245,288 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (4,176,775 | ) | $ | (26,988,814 | ) | 1,171,695 | $ | 7,837,708 | 9,095,287 | $ | 68,798,134 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Diversified International Fund Class R5 | ||||||||||||||||||||||||
Sold | - | $ | - | 271,215 | $ | 1,866,132 | 3,936,704 | $ | 29,540,167 | |||||||||||||||
Issued as reinvestment of dividends | - | - | - | - | 615,418 | 4,012,527 | ||||||||||||||||||
Redeemed | (1,821 | ) | (11,654 | ) | (16,841,768 | ) | (113,678,010 | ) | (9,053,603 | ) | (68,745,202 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (1,821 | ) | $ | (11,654 | ) | (16,570,553 | ) | $ | (111,811,878 | ) | (4,501,481 | ) | $ | (35,192,508 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
329
Notes to Financial Statements (Continued)
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Diversified International Fund Service Class | ||||||||||||||||||||||||
Sold | 6,855 | $ | 45,639 | 626 | $ | 4,489 | 8,313 | $ | 66,686 | |||||||||||||||
Issued as reinvestment of dividends | - | - | - | - | 765 | 5,112 | ||||||||||||||||||
Redeemed | (4,320 | ) | (28,373 | ) | (157 | ) | (1,165 | ) | (24 | ) | (180 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 2,535 | $ | 17,266 | 469 | $ | 3,324 | 9,054 | $ | 71,618 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Diversified International Fund Administrative Class | ||||||||||||||||||||||||
Sold | 8,411 | $ | 53,822 | 317 | $ | 2,301 | 11,852 | $ | 96,150 | |||||||||||||||
Issued as reinvestment of dividends | - | - | - | - | 44 | 301 | ||||||||||||||||||
Redeemed | (518 | ) | (3,335 | ) | (229 | ) | (1,621 | ) | (646 | ) | (4,881 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 7,893 | $ | 50,487 | 88 | $ | 680 | 11,250 | $ | 91,570 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Diversified International Fund Class A | ||||||||||||||||||||||||
Sold | 13,524 | $ | 86,771 | 51,037 | $ | 367,809 | 13,061 | $ | 97,847 | |||||||||||||||
Issued as reinvestment of dividends | - | - | - | - | 1,887 | 12,303 | ||||||||||||||||||
Redeemed | (61,730 | ) | (388,612 | ) | (23,446 | ) | (168,813 | ) | (53,186 | ) | (406,925 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (48,206 | ) | $ | (301,841 | ) | 27,591 | $ | 198,996 | (38,238 | ) | $ | (296,775 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Diversified International Fund Class R4* | ||||||||||||||||||||||||
Sold | 181,733 | $ | 1,143,459 | 14 | $ | 100 | 13,294 | $ | 100,100 | |||||||||||||||
Issued as reinvestment of dividends | 44 | 280 | - | - | 482 | 3,132 | ||||||||||||||||||
Redeemed | (20,496 | ) | (125,810 | ) | - | - | - | - | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 161,281 | $ | 1,017,929 | 14 | $ | 100 | 13,776 | $ | 103,232 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Diversified International Fund Class R3* | ||||||||||||||||||||||||
Sold | 25,400 | $ | 168,030 | 2,057 | $ | 14,978 | 13,280 | $ | 100,000 | |||||||||||||||
Issued as reinvestment of dividends | - | - | - | - | 453 | 2,942 | ||||||||||||||||||
Redeemed | (10,262 | ) | (68,386 | ) | (3 | ) | (22 | ) | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 15,138 | $ | 99,644 | 2,054 | $ | 14,956 | 13,733 | $ | 102,942 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
MSCI EAFE International Index Fund Class I | ||||||||||||||||||||||||
Sold | 7,534,443 | $ | 88,368,254 | 10,728,512 | $ | 138,432,347 | 6,137,910 | $ | 83,299,937 | |||||||||||||||
Issued as reinvestment of dividends | 645,375 | 7,499,263 | - | - | 748,888 | 8,948,685 | ||||||||||||||||||
Redeemed | (24,221,752 | ) | (286,312,734 | ) | (4,417,329 | ) | (57,220,809 | ) | (3,019,024 | ) | (41,065,429 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (16,041,934 | ) | $ | (190,445,217 | ) | 6,311,183 | $ | 81,211,538 | 3,867,774 | $ | 51,183,193 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
MSCI EAFE International Index Fund Class R5 | ||||||||||||||||||||||||
Sold | 1,499,240 | $ | 17,823,032 | 1,089,373 | $ | 14,214,058 | 136,413 | $ | 1,803,724 | |||||||||||||||
Issued as reinvestment of dividends | 57,837 | 672,645 | - | - | 12,304 | 147,160 | ||||||||||||||||||
Redeemed | (265,410 | ) | (3,031,095 | ) | (50,846 | ) | (649,345 | ) | (588,452 | ) | (8,140,940 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 1,291,667 | $ | 15,464,582 | 1,038,527 | $ | 13,564,713 | (439,735 | ) | $ | (6,190,056 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
MSCI EAFE International Index Fund Service Class | ||||||||||||||||||||||||
Sold | 499,934 | $ | 5,671,657 | 891,543 | $ | 11,118,291 | 546,496 | $ | 7,307,099 | |||||||||||||||
Issued as reinvestment of dividends | 29,796 | 345,628 | - | - | 21,714 | 258,846 | ||||||||||||||||||
Redeemed | (407,232 | ) | (4,697,410 | ) | (103,262 | ) | (1,317,888 | ) | (105,069 | ) | (1,341,693 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 122,498 | $ | 1,319,875 | 788,281 | $ | 9,800,403 | 463,141 | $ | 6,224,252 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
330
Notes to Financial Statements (Continued)
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
MSCI EAFE International Index Fund Administrative Class** | ||||||||||||||||||||||||
Sold | 1,419,181 | $ | 16,239,900 | 1,488,123 | $ | 18,855,446 | 1,337,462 | $ | 17,873,859 | |||||||||||||||
Issued - merger | - | - | - | - | 227,690 | 2,996,406 | ||||||||||||||||||
Issued as reinvestment of dividends | 71,276 | 826,087 | - | - | 73,835 | 879,118 | ||||||||||||||||||
Redeemed | (1,045,037 | ) | (12,162,835 | ) | (497,686 | ) | (6,056,971 | ) | (108,573 | ) | (1,461,352 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 445,420 | $ | 4,903,152 | 990,437 | $ | 12,798,475 | 1,530,414 | $ | 20,288,031 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
MSCI EAFE International Index Fund Class L** | ||||||||||||||||||||||||
Sold | 107,602 | $ | 1,427,946 | |||||||||||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||||||||||
Redeemed | (27,237 | ) | (367,232 | ) | ||||||||||||||||||||
Redemptions-merger | (228,251 | ) | (2,996,406 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net increase (decrease) | (147,886 | ) | $ | (1,935,692 | ) | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
MSCI EAFE International Index Fund Class A | ||||||||||||||||||||||||
Sold | 373,294 | $ | 4,404,938 | 589,614 | $ | 7,370,253 | 375,870 | $ | 5,008,578 | |||||||||||||||
Issued as reinvestment of dividends | 23,302 | 269,821 | - | - | 21,587 | 257,338 | ||||||||||||||||||
Redeemed | (365,641 | ) | (4,274,831 | ) | (92,182 | ) | (1,158,952 | ) | (43,701 | ) | (574,162 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 30,955 | $ | 399,928 | 497,432 | $ | 6,211,301 | 353,756 | $ | 4,691,754 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
MSCI EAFE International Index Fund Class R4* | ||||||||||||||||||||||||
Sold | 1,788,872 | $ | 20,582,139 | 592,872 | $ | 7,604,131 | 11,695 | $ | 156,499 | |||||||||||||||
Issued as reinvestment of dividends | 23,481 | 270,735 | - | - | 400 | 4,774 | ||||||||||||||||||
Redeemed | (221,831 | ) | (2,565,825 | ) | (26,405 | ) | (338,723 | ) | (507 | ) | (6,715 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 1,590,522 | $ | 18,287,049 | 566,467 | $ | 7,265,408 | 11,588 | $ | 154,558 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
MSCI EAFE International Index Fund Class R3* | ||||||||||||||||||||||||
Sold | 1,749,342 | $ | 20,220,760 | 441,928 | $ | 5,619,760 | 7,698 | $ | 103,687 | |||||||||||||||
Issued as reinvestment of dividends | 22,246 | 256,489 | - | - | 286 | 3,406 | ||||||||||||||||||
Redeemed | (126,900 | ) | (1,466,873 | ) | (15,392 | ) | (199,291 | ) | - | ++ | (2 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 1,644,688 | $ | 19,010,376 | 426,536 | $ | 5,420,469 | 7,984 | $ | 107,091 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Overseas Fund Class I | ||||||||||||||||||||||||
Sold | 15,269,237 | $ | 116,388,130 | 14,310,248 | $ | 124,851,103 | 11,391,326 | $ | 101,207,044 | |||||||||||||||
Issued as reinvestment of dividends | 656,753 | 5,063,565 | 908,412 | 7,349,048 | 782,746 | 6,888,163 | ||||||||||||||||||
Redeemed | (12,078,896 | ) | (92,796,786 | ) | (14,187,706 | ) | (124,544,318 | ) | (5,294,345 | ) | (47,210,956 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 3,847,094 | $ | 28,654,909 | 1,030,954 | $ | 7,655,833 | 6,879,727 | $ | 60,884,251 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Overseas Fund Class R5 | ||||||||||||||||||||||||
Sold | 2,343,020 | $ | 18,067,799 | 3,205,164 | $ | 28,099,685 | 3,882,765 | $ | 34,644,976 | |||||||||||||||
Issued as reinvestment of dividends | 317,415 | 2,456,793 | 506,053 | 4,104,090 | 393,545 | 3,471,069 | ||||||||||||||||||
Redeemed | (6,082,350 | ) | (46,165,179 | ) | (2,504,755 | ) | (21,279,183 | ) | (5,611,673 | ) | (50,399,568 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (3,421,915 | ) | $ | (25,640,587 | ) | 1,206,462 | $ | 10,924,592 | (1,335,363 | ) | $ | (12,283,523 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Overseas Fund Service Class | ||||||||||||||||||||||||
Sold | 859,650 | $ | 6,535,356 | 1,227,331 | $ | 10,645,908 | 1,902,013 | $ | 16,855,265 | |||||||||||||||
Issued as reinvestment of dividends | 140,630 | 1,082,851 | 226,681 | 1,829,317 | 168,068 | 1,475,642 | ||||||||||||||||||
Redeemed | (2,185,000 | ) | (16,605,132 | ) | (596,028 | ) | (5,132,518 | ) | (2,129,470 | ) | (18,580,250 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (1,184,720 | ) | $ | (8,986,925 | ) | 857,984 | $ | 7,342,707 | (59,389 | ) | $ | (249,343 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
331
Notes to Financial Statements (Continued)
Year Ended September 30, 2016 | Period Ended | Year Ended December 31, 2014 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Overseas Fund Administrative Class | ||||||||||||||||||||||||
Sold | 1,168,459 | $ | 8,803,196 | 1,562,529 | $ | 13,713,454 | 1,255,809 | $ | 11,274,836 | |||||||||||||||
Issued as reinvestment of dividends | 60,989 | 473,888 | 105,047 | 852,982 | 70,539 | 624,275 | ||||||||||||||||||
Redeemed | (1,146,777 | ) | (8,818,186 | ) | (616,265 | ) | (5,278,872 | ) | (661,936 | ) | (5,917,512 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 82,671 | $ | 458,898 | 1,051,311 | $ | 9,287,564 | 664,412 | $ | 5,981,599 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Overseas Fund Class A | ||||||||||||||||||||||||
Sold | 1,233,779 | $ | 9,115,292 | 1,255,112 | $ | 10,752,876 | 1,918,732 | $ | 16,599,357 | |||||||||||||||
Issued as reinvestment of dividends | 81,573 | 620,770 | 152,686 | 1,213,854 | 127,572 | 1,104,770 | ||||||||||||||||||
Redeemed | (1,474,233 | ) | (11,054,883 | ) | (1,141,148 | ) | (9,723,344 | ) | (1,340,652 | ) | (11,754,657 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (158,881 | ) | $ | (1,318,821 | ) | 266,650 | $ | 2,243,386 | 705,652 | $ | 5,949,470 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Overseas Fund Class R4* | ||||||||||||||||||||||||
Sold | 519,411 | $ | 3,734,361 | 472,293 | $ | 3,858,572 | 11,376 | $ | 100,105 | |||||||||||||||
Issued as reinvestment of dividends | 6,873 | 51,550 | 5,817 | 45,724 | 279 | 2,404 | ||||||||||||||||||
Redeemed | (112,376 | ) | (826,736 | ) | (31,402 | ) | (252,934 | ) | - | ++ | (4 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 413,908 | $ | 2,959,175 | 446,708 | $ | 3,651,362 | 11,655 | $ | 102,505 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Overseas Fund Class R3 | ||||||||||||||||||||||||
Sold | 124,989 | $ | 920,307 | 159,151 | $ | 1,367,031 | 12,261 | $ | 102,463 | |||||||||||||||
Issued as reinvestment of dividends | 2,243 | 16,976 | 3,458 | 27,413 | - | - | ||||||||||||||||||
Redeemed | (45,134 | ) | (334,723 | ) | (17,936 | ) | (158,188 | ) | (73,386 | ) | (639,471 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 82,098 | $ | 602,560 | 144,673 | $ | 1,236,256 | (61,125 | ) | $ | (537,008 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* | Class commenced operations on April 1, 2014. |
** | Class L shares merged into Administrative Class shares on March 21, 2014. |
+ | For the period January 1, 2015 through September 30, 2015. |
++ | Amount rounds to less than 0.5 share. |
Purchases of Class A shares are subject to a front-end sales charge of up to 5.75% of the amount purchased. A portion of the front-end sales charge may be retained by the Distributor. For the year ended September 30, 2016, no material amounts have been retained by the Distributor.
Redemptions or exchanges of Class A shares made within eighteen months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1% of the amount redeemed. Prior to April 1, 2014, redemptions or exchanges of Class R3 shares made within eighteen months of purchase were subject to a contingent deferred sales charge of 1% of the amount redeemed. The Distributor receives all contingent deferred sales charges. Any contingent deferred sales charges imposed during the year ended September 30, 2016, were waived for any redemptions or exchanges subject to such a charge.
6. | Federal Income Tax Information |
At September 30, 2016, the cost of securities and the unrealized appreciation (depreciation) in the value of 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) | |||||||||||||
Total Return Bond Fund | $ | 1,111,391,344 | $ | 16,775,455 | $ | (6,197,451 | ) | $ | 10,578,004 | |||||||
Strategic Bond Fund | 342,879,884 | 11,448,204 | (4,903,470 | ) | 6,544,734 | |||||||||||
Diversified Value Fund | 296,179,102 | 47,225,548 | (6,874,725 | ) | 40,350,823 | |||||||||||
Fundamental Value Fund | 1,002,931,860 | 306,441,328 | (49,170,423 | ) | 257,270,905 | |||||||||||
Large Cap Value Fund | 184,316,977 | 19,136,193 | (17,838,414 | ) | 1,297,779 |
332
Notes to Financial Statements (Continued)
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||
S&P 500 Index® Fund | $ | 2,301,642,101 | $ | 1,418,481,277 | $ | (62,645,799 | ) | $ | 1,355,835,478 | |||||||
Focused Value Fund | 643,435,755 | 114,075,037 | (17,458,726 | ) | 96,616,311 | |||||||||||
Fundamental Growth Fund | 104,844,120 | 14,836,428 | (1,724,291 | ) | 13,112,137 | |||||||||||
Blue Chip Growth Fund | 1,228,990,434 | 367,561,604 | (34,653,398 | ) | 332,908,206 | |||||||||||
Growth Opportunities Fund | 743,658,159 | 212,566,076 | (26,382,053 | ) | 186,184,023 | |||||||||||
Mid-Cap Value Fund | 114,066,462 | 7,900,616 | (2,895,306 | ) | 5,005,310 | |||||||||||
Small Cap Value Equity Fund | 164,437,407 | 41,993,252 | (9,695,365 | ) | 32,297,887 | |||||||||||
Small Company Value Fund | 268,586,985 | 42,089,639 | (9,028,979 | ) | 33,060,660 | |||||||||||
S&P Mid Cap Index Fund | 282,602,373 | 28,177,691 | (16,030,595 | ) | 12,147,096 | |||||||||||
Russell 2000 Small Cap Index Fund | 265,103,091 | 27,939,676 | (21,506,614 | ) | 6,433,062 | |||||||||||
Mid Cap Growth Equity II Fund | 2,982,839,259 | 627,983,923 | (38,197,783 | ) | 589,786,140 | |||||||||||
Small Cap Growth Equity Fund | 517,068,192 | 63,524,410 | (20,645,417 | ) | 42,878,993 | |||||||||||
Diversified International Fund | 41,254,680 | 1,689,766 | (1,652,805 | ) | 36,961 | |||||||||||
MSCI EAFE International Index Fund | 256,356,757 | 13,104,520 | (25,140,465 | ) | (12,035,945 | ) | ||||||||||
Overseas Fund | 677,614,435 | 44,334,139 | (50,928,928 | ) | (6,594,789 | ) |
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. Under pre-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 of pre-enactment losses.
At September 30, 2016, the following Fund(s) had available, for federal income tax purposes, pre-enactment unused capital losses:
Expiring 2017 | Expiring 2018 | |||||||
Strategic Bond Fund | $ | 908,193 | $ | - | ||||
Diversified International Fund | 62,822,946 | 511,296 | ||||||
Overseas Fund | 34,687,306 | - |
Net capital loss carryforwards for the Fund(s) shown in the above table are from pre-enactment years and are, therefore, subject to the eight-year carryforward period and possible expiration.
At September 30, 2016, the following Fund(s) had post-enactment accumulated capital loss carryforwards:
Short Term Capital Loss Carryforward | Long term Capital Loss Carryforward | |||||||
Small Cap Growth Equity Fund | $ | 29,993,687 | $ | - | ||||
Diversified International Fund | 5,933,403 | 4,986,664 | ||||||
Overseas Fund | 9,167,688 | 6,250,815 |
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.
333
Notes to Financial Statements (Continued)
The following Fund(s) elected to defer to the fiscal year beginning October 1, 2016, post-October capital losses:
Post-October Loss | ||||
Mid-Cap Value Fund | $ | 877,083 |
The following Fund(s) elected to defer to the fiscal year beginning October 1, 2016, late year ordinary losses:
Amount | ||||
Growth Opportunities Fund | $ | 1,992,680 | ||
Small Cap Growth Equity Fund | 579,637 |
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 September 30, 2016, was as follows:
Ordinary Income | Long Term Capital Gain | Return of Capital | ||||||||||
Total Return Bond Fund | $ | 29,488,312 | $ | 1,042,786 | $ | - | ||||||
Strategic Bond Fund | 7,802,659 | - | - | |||||||||
Diversified Value Fund | 4,692,444 | - | - | |||||||||
Fundamental Value Fund | 29,591,681 | 131,262,043 | - | |||||||||
Large Cap Value Fund | 7,972,411 | 25,017,422 | - | |||||||||
S&P 500 Index® Fund | 65,794,815 | 66,570,525 | - | |||||||||
Focused Value Fund | 16,284,630 | 119,808,997 | - | |||||||||
Fundamental Growth Fund | 1,126,659 | 14,048,954 | - | |||||||||
Blue Chip Growth Fund | 21,224,134 | 221,601,768 | - | |||||||||
Growth Opportunities Fund | - | 110,424,886 | - | |||||||||
Mid-Cap Value Fund | 1,977,892 | 14,032,971 | - | |||||||||
Small Cap Value Equity Fund | 906,686 | 6,078,110 | - | |||||||||
Small Company Value Fund | 1,621,186 | 70,322,052 | - | |||||||||
S&P Mid Cap Index Fund | 4,950,383 | 10,489,519 | - | |||||||||
Russell 2000 Small Cap Index Fund | 4,309,399 | 5,349,070 | - | |||||||||
Mid Cap Growth Equity II Fund | 8,107,780 | 209,287,226 | - | |||||||||
Small Cap Growth Equity Fund | 767,123 | 108,210,213 | 154,727 | |||||||||
Diversified International Fund | 92,806 | - | - | |||||||||
MSCI EAFE International Index Fund | 9,425,297 | 719,575 | - | |||||||||
Overseas Fund | 9,767,695 | - | - |
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the period ended September 30, 2015, was as follows:
Ordinary Income | Long Term Capital Gain | Return of Capital | ||||||||||
Total Return Bond Fund | $ | 1,318,713 | $ | - | $ | - | ||||||
Strategic Bond Fund | 72,594 | - | - | |||||||||
Diversified Value Fund | 1,079,882 | - | - | |||||||||
Fundamental Value Fund | - | 40,137,427 | - | |||||||||
Large Cap Value Fund | 60,051 | 2,137,204 | - |
334
Notes to Financial Statements (Continued)
Ordinary Income | Long Term Capital Gain | Return of Capital | ||||||||||
S&P 500 Index Fund | $ | 135,517 | $ | 9,788,907 | $ | - | ||||||
Focused Value Fund | - | 10,679,655 | - | |||||||||
Fundamental Growth Fund | - | 495,629 | - | |||||||||
Blue Chip Growth Fund | - | 12,714,695 | - | |||||||||
Growth Opportunities Fund | - | 25,572,687 | - | |||||||||
Mid-Cap Value Fund | - | 1,615,963 | - | |||||||||
Small Cap Value Equity Fund | 13,999 | - | - | |||||||||
Small Company Value Fund | - | 5,346,329 | - | |||||||||
S&P Mid Cap Index Fund | 129,048 | 851,278 | - | |||||||||
Russell 2000 Small Cap Index Fund | 16,452 | 122,272 | - | |||||||||
Mid Cap Growth Equity II Fund | - | 17,813,262 | - | |||||||||
Small Cap Growth Equity Fund | - | 12,740,502 | - | |||||||||
Overseas Fund | 15,424,845 | - | - |
The following Fund(s) have elected to pass through the foreign tax credit for the year ended September 30, 2016:
Amount | ||||
Diversified International Fund | $ | 129,560 | ||
MSCI EAFE International Index Fund | 732,441 | |||
Overseas Fund | 1,120,254 |
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 September 30, 2016, 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 September 30, 2016, 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) | |||||||||||||
Total Return Bond Fund | $ | 29,552,167 | $ | 7,729,193 | $ | (213,122 | ) | $ | 10,618,573 | |||||||
Strategic Bond Fund | 5,741,973 | (908,193 | ) | (43,116 | ) | 5,518,437 | ||||||||||
Diversified Value Fund | 6,116,975 | 14,119,426 | (76,870 | ) | 40,350,823 | |||||||||||
Fundamental Value Fund | 19,025,385 | 89,228,915 | (257,997 | ) | 257,261,029 | |||||||||||
Large Cap Value Fund | 3,364,156 | 8,861,962 | (149,715 | ) | 1,292,274 | |||||||||||
S&P 500 Index® Fund | 56,823,670 | 143,566,031 | (534,355 | ) | 1,355,835,477 | |||||||||||
Focused Value Fund | 11,971,910 | 2,280,974 | (159,811 | ) | 96,616,311 | |||||||||||
Fundamental Growth Fund | 597,289 | 12,436,492 | (18,781 | ) | 13,112,137 | |||||||||||
Blue Chip Growth Fund | - | 62,016,891 | (211,956 | ) | 332,908,360 | |||||||||||
Growth Opportunities Fund | - | 55,192,292 | (2,120,928 | ) | 186,184,023 | |||||||||||
Mid-Cap Value Fund | 2,984,998 | - | (905,271 | ) | 5,005,383 | |||||||||||
Small Cap Value Equity Fund | 1,280,457 | 10,007,110 | (26,129 | ) | 32,297,874 | |||||||||||
Small Company Value Fund | 2,282,880 | 194,374 | (103,719 | ) | 33,060,660 | |||||||||||
S&P Mid Cap Index Fund | 4,078,120 | 26,630,477 | (20,287 | ) | 12,147,096 | |||||||||||
Russell 2000 Small Cap Index Fund | 3,807,795 | 15,286,437 | (16,289 | ) | 6,434,917 | |||||||||||
Mid Cap Growth Equity II Fund | 3,423,771 | 134,984,194 | (354,676 | ) | 589,786,303 |
335
Notes to Financial Statements (Continued)
Undistributed Ordinary Income | Undistributed Long Term Capital Gain (Capital Loss Carryover) | Other Temporary Differences | Unrealized Appreciation (Depreciation) | |||||||||||||
Small Cap Growth Equity Fund | $ | - | $ | (29,993,687 | ) | $ | (731,869 | ) | $ | 42,876,376 | ||||||
Diversified International Fund | 2,289,085 | (74,254,309 | ) | (28,508 | ) | 22,564 | ||||||||||
MSCI EAFE International Index Fund | 11,810,502 | 4,355,325 | (26,469 | ) | (12,018,458 | ) | ||||||||||
Overseas Fund | 13,171,210 | (50,105,809 | ) | (142,731 | ) | (6,520,440 | ) |
During the year ended September 30, 2016, 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) | ||||||||||
Total Return Bond Fund | $ | 90 | $ | (2,553,500 | ) | $ | 2,553,410 | |||||
Strategic Bond Fund | 11 | 97,628 | (97,639 | ) | ||||||||
Diversified Value Fund | 18 | 60,881 | (60,899 | ) | ||||||||
Fundamental Value Fund | 74 | 1,881,019 | (1,881,093 | ) | ||||||||
Large Cap Value Fund | 23 | 129,133 | (129,156 | ) | ||||||||
S&P 500 Index® Fund | 3,987,871 | (8,985,821 | ) | 4,997,950 | ||||||||
Focused Value Fund | 44 | - | (44 | ) | ||||||||
Fundamental Growth Fund | 282,875 | (251,777 | ) | (31,098 | ) | |||||||
Blue Chip Growth Fund | 63 | (2,689,636 | ) | 2,689,573 | ||||||||
Growth Opportunities Fund | (550,614 | ) | - | 550,614 | ||||||||
Mid-Cap Value Fund | 8 | 62,969 | (62,977 | ) | ||||||||
Small Cap Value Equity Fund | 8 | 62,211 | (62,219 | ) | ||||||||
Small Company Value Fund | 25 | 138,438 | (138,463 | ) | ||||||||
S&P Mid Cap Index Fund | 9 | 23,085 | (23,094 | ) | ||||||||
Russell 2000 Small Cap Index Fund | 4 | 21,737 | (21,741 | ) | ||||||||
Mid Cap Growth Equity II Fund | 102 | (2,690,234 | ) | 2,690,132 | ||||||||
Small Cap Growth Equity Fund | 60,411 | (214,091 | ) | 153,680 | ||||||||
Diversified International Fund | (10,172,261 | ) | 9,586,713 | 585,548 | ||||||||
MSCI EAFE International Index Fund | 11 | (1,004,726 | ) | 1,004,715 | ||||||||
Overseas Fund | 33 | (1,352,118 | ) | 1,352,085 |
The Funds did not have any unrecognized tax benefits at September 30, 2016, 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 September 30, 2016, 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.
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.
336
Notes to Financial Statements (Continued)
8. | 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.
The potential amounts sought to be recovered from the Diversified Value Fund and S&P 500 Index Fund, plus interest and the Official Committee’s court costs, are approximately $1,621,800 and $1,186,430, respectively.
In addition, on June 2, 2011, the Diversified Value Fund and S&P 500 Index Fund were named as defendants in a closely related, parallel adversary proceeding 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”), in the United States District Court for the District of Massachusetts. The Plaintiffs also seek to recover payments of the Proceeds.
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 Official Committee 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.
9. | Subsequent Events |
In preparation of these financial statements, management has evaluated the events and transactions subsequent to September 30, 2016, 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.
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To the Board of Trustees of MassMutual Select Funds and Shareholders of MassMutual Select Total Return Bond Fund, MassMutual Select Strategic Bond Fund, MassMutual Select Diversified Value Fund, MassMutual Select Fundamental Value Fund, MassMutual Select Large Cap Value Fund, MM S&P 500® Index Fund, MassMutual Select Focused Value Fund, MassMutual Select Fundamental Growth Fund, MassMutual Select Blue Chip Growth Fund, MassMutual Select Growth Opportunities Fund, MassMutual Select Mid-Cap Value Fund, MassMutual Select Small Cap Value Equity Fund, MassMutual Select Small Company Value Fund, MM S&P® Mid Cap Index Fund, MM Russell 2000® Small Cap Index Fund, MassMutual Select Mid Cap Growth Equity II Fund, MassMutual Select Small Cap Growth Equity Fund, MassMutual Select Diversified International Fund, MM MSCI EAFE® International Index Fund, and MassMutual Select Overseas Fund (collectively, the “Funds”):
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the Funds as of September 30, 2016, and the related statements of operations for the year then ended, the statements of changes in net assets for the year ended September 30, 2016, the nine months ended September 30, 2015, and the year ended December 31, 2014, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of September 30, 2016, by correspondence with the custodian, brokers and agent banks; where replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2016, the results of their operations for the year then ended, the changes in their net assets for the year ended September 30, 2016, the nine months ended September 30, 2015, and the year ended December 31, 2014, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Boston, Massachusetts
November 22, 2016
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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 Statement of Additional Information includes additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MassMutual Select Funds, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981, Attention: Retirement Services 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: 68 | 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). | 94 | Trustee (since 2003), MML Series Investment Fund (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: 58 | Trustee | Since | Chairman (since 2011), Academy of Executive Education, LLC. | 94 | Director (2011-2015), Argo Group International Holdings, Ltd. (underwriter of specialty insurance and reinsurance products); Trustee (since 2012), MML Series Investment Fund (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: 62 | Trustee | Since 2012 | Retired. | 94 | Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MML Series Investment Fund (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: 69 | Chairperson
Trustee | Since
Since | Retired. | 94 | Director (since 2007), Actuant Corporation (diversified industrial company); Chairperson (since 2016), Trustee (since 2003), MML Series Investment Fund (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 Held by Trustee | |||||
C. Ann Merrifield Age: 65 | Trustee | Since 2012 | Retired; President and Chief Executive Officer (2012-2014), PathoGenetix (genomics company). | 94 | Director (since 2015), Juniper Pharmaceuticals Inc. (specialty pharmaceutical company); Director (since 2014), Flexion Therapeutics (specialty pharmaceutical company); Director (since 2014), InVivo Therapeutics (research and clinical-stage biomaterials and biotechnology company); Trustee (since 2012), MML Series Investment Fund (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: 64 | Trustee | Since 2009 | Retired; Senior Vice President and Chief Investment Officer (2010-2014), Selective Insurance Group (property and casualty company). | 96^ | Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Trustee (since 2009), MML Series Investment Fund (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 Held by Trustee | |||||
Robert E. Joyal^^ Age: 71 | Trustee | Since 2003 | Retired. | 96^ | Director (since 2013), Leucadia National Corporation (holding company); Director (since 2012), Ormat Technologies, Inc. (provider of alternative and renewable 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), MML Series Investment Fund (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)
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 | |||||
Elaine A. Sarsynski^^^ Age: 61 | Trustee | Since | Executive Vice President (since 2008), MassMutual; Chairman (since 2013), President, Chairman & CEO (2012-2013), Chairman & CEO (2008-2012), MassMutual International LLC. | 94 | Director (since 2012), Horizon Technology Finance Management LLC (specialty finance company); Director (2013-2016), MML Advisers; Trustee (since 2008), MML Series Investment Fund (open-end investment company); Vice Chairperson (2011-2012), Trustee (since 2011), MML Series Investment Fund II (open-end investment company); Vice Chairperson (2011-2012), Trustee (since 2011), MassMutual Premier Funds (open-end investment company). |
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 | ||||
Michael C. Eldredge Age: 52 | Vice President | Since 2009 | Head of Asset Allocation Funds (since 2016) and portfolio manager (since 2014), Head of Investments (2014-2016), MML Advisers; Vice President (since 2008), MassMutual; Vice President (since 2009), MML Series Investment Fund (open-end investment company); Vice President (since 2009), MML Series Investment Fund II (open-end investment company); Vice President (since 2009), MassMutual Premier Funds (open-end investment company). | 94 | ||||
Andrew M. Goldberg Age: 50 | Vice President, Secretary, and Chief Legal Officer Assistant Secretary | Since 2008 (2001- | Assistant Vice President and Counsel (since 2004), MassMutual; Secretary (since 2015), Assistant Secretary (2013-2015), MML Advisers; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MML Series Investment Fund (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). | 94 | ||||
Brian K. Haendiges Age: 56 | Vice President | Since 2014 | Vice President (since 2014), MML Advisers; Senior Vice President (since 2014), Vice President (2010-2014), MassMutual; Vice President (since 2014), MassMutual Premier Funds (open-end investment company); President (since 2016), Vice President (2014-2016), MML Series Investment Fund (open-end investment company); President (since 2016), Vice President (2014-2016), MML Series Investment Fund II (open-end investment company). | 94 | ||||
Renee Hitchcock Age: 45 | Chief Financial Officer and Treasurer Assistant Treasurer | Since 2016 2007- | Assistant Vice President (since 2015), Director (2007-2015), MassMutual; Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Premier 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). | 94 | ||||
Douglas Steele Age: 41 | Vice President | Since 2016 | Head of Investment Due Diligence (since 2016), MML Advisers; Assistant Vice President (since 2013), Investment Director (2005-2013), MassMutual; Vice President (since 2016), MassMutual Premier Funds (open-end investment company); Vice President (since 2016), MML Series Investment Fund (open-end investment company); Vice President (since 2016), MML Series Investment Fund II (open-end investment company). | 94 |
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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: 52 | Vice President and Chief Compliance Officer | Since 2007 | Vice President and Chief Compliance Officer (since 2013), MML Advisers; Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (since 2014), 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), MML Series Investment Fund (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). | 94 | ||||
Eric H. Wietsma Age: 50 | President
Vice President | Since 2008
(2006- | Director and President (since 2013), MML Advisers; Senior Vice President (since 2010), MassMutual; Vice President (since 2006), MML Series Investment Fund (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). | 94 | ||||
Tina Wilson Age: 45 | Vice President | Since 2016 | Head of Investments (since 2016), MML Advisers; Senior Vice President (since 2014), Vice President (2009-2014), MassMutual; Vice President (since 2016), MassMutual Premier Funds (open-end investment company); Vice President (since 2016), MML Series Investment Fund (open-end investment company); Vice President (since 2016), MML Series Investment Fund II (open-end investment company). | 94 |
* | 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-two years. |
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 (formerly known as Babson Capital Management LLC), an affiliate of MML Advisers. |
^^ | Mr. Joyal is an “Interested Person,” as that term is defined in the 1940 Act, 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. |
^^^ | Ms. Sarsynski is an Interested Person as an employee of MassMutual. |
# | 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 September 30, 2016, qualified for the dividends received deduction, as follows:
Dividends Received Deductions | ||||
Diversified Value Fund | 9.05% | |||
Fundamental Value Fund | 21.50% | |||
Large Cap Value Fund | 85.07% | |||
S&P 500 Index® Fund | 100.00% | |||
Focused Value Fund | 100.00% | |||
Fundamental Growth Fund | 100.00% | |||
Blue Chip Growth Fund | 64.42% | |||
Mid-Cap Value Fund | 93.20% | |||
Small Cap Value Equity Fund | 100.00% | |||
Small Company Value Fund | 100.00% | |||
S&P Mid Cap Index Fund | 61.48% | |||
Russell 2000 Small Cap Index Fund | 42.87% | |||
Mid Cap Growth Equity II Fund | 100.00% | |||
Small Cap Growth Equity Fund | 33.35% | |||
Overseas Fund | 1.02% |
For the year ended September 30, 2016, the following Fund(s) earned the following foreign sources of income:
Amount | ||||
Diversified International Fund | $ | 1,833,191 | ||
MSCI EAFE International Index Fund | 11,609,588 | |||
Overseas Fund | 14,566,920 |
Under Section 854(b)(2) of the Code, the Fund(s) hereby designate the following maximum amounts as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the year ended September 30, 2016:
Qualified Dividend Income | ||||
Diversified Value Fund | $ | 8,790,270 | ||
Fundamental Value Fund | 34,718,618 | |||
Large Cap Value Fund | 5,938,823 | |||
S&P 500 Index® Fund | 75,291,566 | |||
Focused Value Fund | 17,356,029 | |||
Fundamental Growth Fund | 2,008,158 | |||
Blue Chip Growth Fund | 14,862,588 | |||
Growth Opportunities Fund | 4,531,978 | |||
Mid-Cap Value Fund | 1,989,168 | |||
Small Cap Value Equity Fund | 2,197,030 | |||
Small Company Value Fund | 3,303,621 | |||
S&P Mid Cap Index Fund | 3,726,924 | |||
Russell 2000 Small Cap Index Fund | 2,485,386 | |||
Mid Cap Growth Equity II Fund | 19,914,847 | |||
Small Cap Growth Equity Fund | 2,444,724 | |||
Diversified International Fund | 1,746,465 | |||
MSCI EAFE International Index Fund | 10,674,275 | |||
Overseas Fund | 13,844,678 |
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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 calling 1-888-309-3539, and on the Securities and Exchange Commission’s (“SEC”) EDGAR database on its website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-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 Form N-Q. The Funds’ Forms N-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 calling 1-800-SEC-0330.
Trustees’ Approval of Investment Advisory Contracts
At their meetings in April and May 2016, the Contract Committee (the “Committee”) and 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”), re-approved the existing advisory and subadvisory agreements (collectively, the “Contracts”) for each of the Total Return Bond Fund, Strategic Bond Fund, Diversified Value Fund, Fundamental Value Fund, Large Cap Value Fund, S&P 500 Index Fund, Focused Value Fund, Fundamental Growth Fund, Blue Chip Growth Fund, Growth Opportunities Fund, Mid-Cap Value Fund, Small Cap Value Equity Fund, Small Company Value Fund, S&P Mid Cap Index Fund, Russell 2000 Small Cap Index Fund, Mid Cap Growth Equity II Fund, Small Cap Growth Equity Fund, Small Company Growth Fund, Diversified International Fund, MSCI EAFE International Index Fund, and Overseas Fund. In preparation for the meetings, the Trustees requested, and MML Advisers and the subadvisers provided in advance, certain materials relevant to the consideration of the Contracts (the “Meeting Materials”). In all of their deliberations, the Trustees were advised by independent counsel.
The Committee received in advance of the meetings (i) a memorandum from MML Advisers discussing the nature and quality of the services it provides as investment adviser to the Funds; (ii) a profitability analysis prepared by MML Advisers; and (iii) a fee and performance study report (the “Third-Party Report”) with respect to each Fund prepared by an independent third-party vendor (the “Third-Party”). The Third Party Report provided detailed comparative advisory fee, total expense, and performance information for each Fund to assist the Committee in its evaluation of the Contracts. The Committee also considered information presented to it throughout the year regarding MML Advisers and each of the subadvisers.
The Committee considered the nature, scope, and quality of services MML Advisers provides to the Funds, including: (i) the financial condition, stability, and business strategy of MML Advisers; (ii) the capabilities of MML Advisers with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the Funds; (iii) MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Funds; and (iv) the experience and qualifications of the personnel of MML Advisers that perform, or oversee the performance of, the services provided to the Funds, and the needs of the Funds for administrative and shareholder services.
The Committee then reviewed and considered, for each Fund separately, the detailed information presented in the Third-Party Report regarding: (i) Fund expenses, including, among other things, both the Fund’s advisory fee and total net expense ratio against peer funds; and (ii) the Fund’s relative performance (over various time periods against peer funds and a benchmark index). In connection with the Committee’s review, MML Advisers provided commentary and analysis regarding each Fund’s performance and expenses. The Committee also noted that it had received in the Meeting Materials or during the course of the past year: (i) detailed information regarding MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Funds; and (ii) a wide range of information about each subadviser and its personnel with responsibility for providing services to the respective Fund and the fees payable to each subadviser by MML Advisers. MML Advisers reviewed with the Committee in detail the work MML Advisers does in its oversight roles, the expertise it brings to these roles, the size of its
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Other Information (Unaudited) (Continued)
teams, and the financial commitment it has made to provide those services. Throughout the discussion, MML Advisers responded to Committee members’ questions and provided additional information concerning each Fund.
The Committee reviewed the expense and performance information for each Fund. (References to any one- or three-year period below are to periods ended December 31, 2015. In all cases, the comparative expense information is that of a Fund’s “peer group” and the comparative performance information is that of a Fund’s “performance category.”)
The Committee considered that, in the case of eight of the Funds, total net expense information showed the Funds to be in the first or second quartile of their peer groups (favorable), and performance information showed the Funds to have had first or second quartile investment performance in their performance categories for the most recent one- and three-year periods. These Funds included the MSCI EAFE International Index Fund, S&P 500 Index Fund, Blue Chip Growth Fund, Diversified Value Fund, Fundamental Growth Fund, Fundamental Value Fund, Mid Cap Growth Equity II Fund, and Small Cap Value Equity Fund. The Committee also considered that the S&P Mid Cap Index Fund and Mid-Cap Value Fund each had total net expenses in the first or second quartile, and had performance that improved from the three-year period to the one-year period from the third comparative quartile to the first or second quartile. The Committee determined that further inquiry was not required in light of the improvement in each Fund’s performance.
The Committee considered information regarding the Funds that had achieved favorable investment performance in recent periods compared to their performance categories, but that had experienced relatively high total net expense ratios:
• | Growth Opportunities Fund – The Committee considered that the Fund had experienced seven (2009-2015) straight years of performance in the top half of its performance category. The Committee noted that the Fund’s total net expense ratio, which was in the third quartile (54th percentile), is only 1 basis point above the peer group median, and that its advisory fee is in line with the peer group median. The Committee noted that the Fund is on Under Review status due to a manager change at one of the Fund’s two subadvisers. |
• | Strategic Bond Fund – The Committee considered MML Advisers’ statements that although the Fund’s total net expense ratio was in the third quartile (69th percentile), it was only 4 basis points above the Fund’s peer group median. The Committee also considered that the Fund has delivered quite favorable long-term investment performance and that its advisory fee was only 1 basis point below the peer group median. MML Advisers noted that the Fund’s one- and three-year performance rankings were in the second and first comparative quartiles, respectively (27th and 21st percentiles, respectively). |
The Committee considered information regarding the Funds that had underperformed in recent periods compared to their peers. The Committee considered that each of the Funds had relatively favorable total net expenses, first or second quartile, but had achieved unfavorable relative performance.
• | Russell 2000 Small Cap Index Fund – The Committee noted that the performance for the one- and three-year periods ranked in the third quartile (60th and 73rd percentiles, respectively). The Committee considered MML Advisers’ statements that the Fund’s performance category includes some very low-cost index funds (which can affect relative performance significantly) and funds with slightly different benchmarks. The Committee considered MML Advisers’ statement that the Fund provides investors a relatively low-cost index-based option, and that the Fund’s total net expenses are in the first comparative quartile (25th percentile). |
• | Diversified International Fund – The Committee considered that, although the Fund experienced fourth-quartile comparative performance for the three-year period (88th percentile), its performance has improved to the third quartile (58th percentile) for the one-year period. The Committee also noted that the Fund’s total net expenses were in the second quartile (47th percentile). The Trustees considered MML Advisers’ statement that, although the Fund is on Under Review status due to performance. MML Advisers continues to believe the subadviser has the ability to deliver excess returns over time. |
• | Focused Value Fund – The Committee noted that the Fund’s total net expense ratio was in the second comparative quartile (50th percentile), and the Fund has achieved three-year performance in the third quartile (73rd percentile) and one-year performance in the fourth quartile (98th percentile). The Committee considered MML Advisers’ statements that the Fund has performed well over the long-term and the ten-year ranking remains in the top decile, although MML Advisers has placed the Fund on Under Review status due to its recent underperformance. The Committee noted MML Advisers’ statement that the strategy has periodically underperformed in the past but has rebounded significantly following periods of underperformance. |
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Other Information (Unaudited) (Continued)
• | Large Cap Value Fund – The Committee considered that total net expenses are in the first quartile (25th percentile). The Committee noted that the Fund had experienced fourth quartile comparative performance for the three-year period (81st percentile), but had experienced second quartile comparative performance for the one-year period (46th percentile). The Committee noted MML Advisers’ statement that three-year underperformance was due principally to performance of a legacy subadviser and to the significant underperformance of one of the Fund’s current subadvisers in 2014. The Committee considered the improvement in that subadviser’s performance in 2015, and MML Advisers’ continued confidence in both that subadviser and the combination of the Fund’s current subadvisers. |
• | Small Cap Growth Equity Fund – The Committee considered that the Fund’s total net expense ratio was in the second comparative quartile (44th percentile). The Committee noted that, although the Fund had achieved third quartile performance (68th percentile) for the one-year period due to underperformance by all three of the Fund’s subadvisers, the Fund had achieved first quartile performance (23rd percentile) for the three-year period and second quartile performance for the five-year period. |
• | Total Return Bond Fund – The Committee noted that, although the Fund’s performance over the three-year period has been in the fourth quartile (79th percentile), performance for the one-year period has been in the second quartile (39th percentile). The Committee also noted that total net expenses were in the first quartile (7th percentile). MML Advisers noted that Metropolitan West Management, LLC (“MetWest”) had replaced Pacific Investment Management Company, LLC as the subadviser to the Fund in October 2014, and that MetWest had met performance expectations in 2015. The Committee asked that the MML Advisers consider incorporating the current advisory fee waiver into the advisory fee. In response to the Committee’s request, MML Advisers agreed to amend the Fund’s advisory agreement, effective June 1, 2016, to incorporate the current advisory fee waiver into the advisory fee. |
The Committee considered information regarding the Funds that had underperformed in recent periods compared to their peers, and that had total net expenses in the third or fourth comparative quartiles.
• | Overseas Fund – The Committee considered that the Fund’s underperformance in the 2014 – 2015 period caused its performance in the three-year period to fall into the third quartile (63rd percentile). MML Advisers noted that the Fund has multiple subadvisers and that different subadvisers underperformed in each of the last two years. The Committee considered MML Advisers’ view that the Fund has produced attractive long-term performance, and that MML Advisers has confidence in each of the Fund’s subadvisers and in the combination of the Fund’s subadvisers. The Committee considered that the Fund’s total net expenses are in the third quartile (64th percentile), although the Fund’s advisory fee is at the peer group median. The Committee noted that the advisory fee had been lowered in 2014. |
• | Select Small Company Value Fund – The Committee considered that the Fund experienced third-quartile comparative performance in the one- and three-year periods (75th percentile for both). The Committee considered MML Advisers’ statements that the Fund has been categorized as a small-cap blend fund, although it is intended to be managed as a small cap value fund; that a value-oriented fund will underperform a “blend” fund in current and recent market conditions; that MML Advisers has taken steps to cause the Fund’s value orientation to be recognized by Morningstar; and that the Fund’s relative performance should improve when its performance is compared to a small-cap value peer group (which should commence in 2016). The Committee noted that the Fund’s total net expenses were in the third comparative quartile (54th percentile), although expenses were in line with the peer group median and only 1 basis point above the broader category median. The Committee noted that the Fund has been placed in Under Review status. |
The Committee also reviewed and considered information included in the Meeting Materials, or discussed at the meeting, concerning economies of scale and the profitability of MML Advisers’ advisory relationship with the various Funds, including: (i) a description of the revenue (including advisory fees and administrative and shareholder services fees, as applicable) and expense allocation methodology employed by MML Advisers; and (ii) profitability information for each individual Fund. The discussions included consideration of the intangible benefits derived by MML Advisers and its affiliates resulting from their relationships with the Funds and the so-called “fallout benefits” to MML Advisers, such as any reputational value derived from serving as investment adviser to the Funds, and benefits accruing to subadvisers due to so-called “soft-dollar arrangements.”
Prior to the votes being taken to approve the Contracts, the Committee met separately in executive session to discuss the appropriateness of such contracts. The Committee 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 Committee did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.
346
Other Information (Unaudited) (Continued)
As to each of the Funds, the Committee concluded that: (i) overall, it was satisfied with the nature, extent, and quality of services provided, and expected to be provided in the future, under the Contracts, including the level of MML Advisers’ oversight of each Fund and the subadvisory process; (ii) MML Advisers’ levels of profitability from its relationship with the various Funds are not excessive and the advisory fees payable under the Contracts and each Fund’s total net expenses are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of the subadvisers generally appear well suited to the Funds, given their investment objectives and policies; (iv) either the relative or absolute performance of a Fund (in each case, taking into account the applicable investment strategy and risk profile of the Fund), or the steps MML Advisers has proposed in respect of the underperformance of a Fund, are sufficient to warrant continuation of the Contracts for each of the Funds; and (v) the terms of the Contracts are fair and reasonable with respect to each Fund and are in the best interests of each Fund’s shareholders.
347
Other Information (Unaudited) (Continued)
Fund Expenses September 30, 2016
Expense Examples:
The following information is in regards to expenses for the six months ended September 30, 2016:
As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) 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 September 30, 2016.
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* | |||||||||||||||||||
Total Return Bond Fund | ||||||||||||||||||||||||
Class I | $ | 1,000 | 0.34 | % | $ | 1,029.60 | $ | 1.73 | $ | 1,023.30 | $ | 1.72 | ||||||||||||
Class R5 | 1,000 | 0.44 | % | 1,029.70 | 2.23 | 1,022.80 | 2.23 | |||||||||||||||||
Service Class | 1,000 | 0.54 | % | 1,028.60 | 2.74 | 1,022.30 | 2.73 | |||||||||||||||||
Administrative Class | 1,000 | 0.64 | % | 1,028.80 | 3.25 | 1,021.80 | 3.23 | |||||||||||||||||
Class A | 1,000 | 0.89 | % | 1,026.70 | 4.51 | 1,020.60 | 4.50 | |||||||||||||||||
Class R4 | 1,000 | 0.79 | % | 1,027.60 | 4.00 | 1,021.10 | 3.99 | |||||||||||||||||
Class R3 | 1,000 | 1.04 | % | 1,026.80 | 5.27 | 1,019.80 | 5.25 | |||||||||||||||||
Strategic Bond Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.48 | % | 1,046.10 | 2.46 | 1,022.60 | 2.43 | |||||||||||||||||
Class R5 | 1,000 | 0.58 | % | 1,045.10 | 2.97 | 1,022.10 | 2.93 | |||||||||||||||||
Service Class | 1,000 | 0.68 | % | 1,045.10 | 3.48 | 1,021.60 | 3.44 | |||||||||||||||||
Administrative Class | 1,000 | 0.78 | % | 1,044.20 | 3.99 | 1,021.10 | 3.94 | |||||||||||||||||
Class A | 1,000 | 1.03 | % | 1,043.30 | 5.26 | 1,019.90 | 5.20 | |||||||||||||||||
Class R4 | 1,000 | 0.93 | % | 1,044.40 | 4.75 | 1,020.40 | 4.70 | |||||||||||||||||
Class R3 | 1,000 | 1.18 | % | 1,042.70 | 6.03 | 1,019.10 | 5.96 |
348
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* | |||||||||||||||||||
Diversified Value Fund | ||||||||||||||||||||||||
Class I | $ | 1,000 | 0.56 | % | $ | 1,059.70 | $ | 2.88 | $ | 1,022.20 | $ | 2.83 | ||||||||||||
Class R5 | 1,000 | 0.66 | % | 1,059.70 | 3.40 | 1,021.70 | 3.34 | |||||||||||||||||
Service Class | 1,000 | 0.76 | % | 1,059.00 | 3.91 | 1,021.20 | 3.84 | |||||||||||||||||
Administrative Class | 1,000 | 0.86 | % | 1,058.70 | 4.43 | 1,020.70 | 4.34 | |||||||||||||||||
Class A | 1,000 | 1.11 | % | 1,056.90 | 5.71 | 1,019.50 | 5.60 | |||||||||||||||||
Class R4 | 1,000 | 1.01 | % | 1,057.90 | 5.20 | 1,020.00 | 5.10 | |||||||||||||||||
Class R3 | 1,000 | 1.27 | % | 1,056.30 | 6.53 | 1,018.70 | 6.41 | |||||||||||||||||
Fundamental Value Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.63 | % | 1,066.30 | 3.25 | 1,021.90 | 3.18 | |||||||||||||||||
Class R5 | 1,000 | 0.73 | % | 1,066.00 | 3.77 | 1,021.40 | 3.69 | |||||||||||||||||
Service Class | 1,000 | 0.83 | % | 1,065.40 | 4.29 | 1,020.90 | 4.19 | |||||||||||||||||
Administrative Class | 1,000 | 0.93 | % | 1,065.10 | 4.80 | 1,020.40 | 4.70 | |||||||||||||||||
Class A | 1,000 | 1.18 | % | 1,064.10 | 6.09 | 1,019.10 | 5.96 | |||||||||||||||||
Class R4 | 1,000 | 1.08 | % | 1,064.50 | 5.57 | 1,019.60 | 5.45 | |||||||||||||||||
Class R3 | 1,000 | 1.33 | % | 1,063.00 | 6.86 | 1,018.40 | 6.71 | |||||||||||||||||
Large Cap Value Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.63 | % | 1,065.00 | 3.25 | 1,021.90 | 3.18 | |||||||||||||||||
Class R5 | 1,000 | 0.73 | % | 1,064.80 | 3.77 | 1,021.40 | 3.69 | |||||||||||||||||
Service Class | 1,000 | 0.83 | % | 1,063.10 | 4.28 | 1,020.90 | 4.19 | |||||||||||||||||
Administrative Class | 1,000 | 0.93 | % | 1,063.50 | 4.80 | 1,020.40 | 4.70 | |||||||||||||||||
Class A | 1,000 | 1.18 | % | 1,062.10 | 6.08 | 1,019.10 | 5.96 | |||||||||||||||||
Class R4 | 1,000 | 1.08 | % | 1,062.50 | 5.57 | 1,019.60 | 5.45 | |||||||||||||||||
Class R3 | 1,000 | 1.33 | % | 1,062.00 | 6.86 | 1,018.40 | 6.71 | |||||||||||||||||
S&P 500 Index Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.12 | % | 1,063.60 | 0.62 | 1,024.40 | 0.61 | |||||||||||||||||
Class R5 | 1,000 | 0.22 | % | 1,062.90 | 1.13 | 1,023.90 | 1.11 | |||||||||||||||||
Service Class | 1,000 | 0.37 | % | 1,062.30 | 1.91 | 1,023.20 | 1.87 | |||||||||||||||||
Administrative Class | 1,000 | 0.47 | % | 1,062.00 | 2.42 | 1,022.70 | 2.38 | |||||||||||||||||
Class A | 1,000 | 0.72 | % | 1,059.90 | 3.71 | 1,021.40 | 3.64 | |||||||||||||||||
Class R4 | 1,000 | 0.62 | % | 1,060.80 | 3.19 | 1,021.90 | 3.13 | |||||||||||||||||
Class R3 | 1,000 | 0.87 | % | 1,059.50 | 4.48 | 1,020.70 | 4.40 | |||||||||||||||||
Focused Value Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.73 | % | 1,079.80 | 3.80 | 1,021.40 | 3.69 | |||||||||||||||||
Class R5 | 1,000 | 0.83 | % | 1,079.00 | 4.31 | 1,020.90 | 4.19 | |||||||||||||||||
Service Class | 1,000 | 0.93 | % | 1,078.30 | 4.83 | 1,020.40 | 4.70 | |||||||||||||||||
Administrative Class | 1,000 | 1.03 | % | 1,077.90 | 5.35 | 1,019.90 | 5.20 | |||||||||||||||||
Class A | 1,000 | 1.28 | % | 1,076.90 | 6.65 | 1,018.60 | 6.46 | |||||||||||||||||
Class R4 | 1,000 | 1.18 | % | 1,077.30 | 6.13 | 1,019.10 | 5.96 | |||||||||||||||||
Class R3 | 1,000 | 1.43 | % | 1,075.40 | 7.42 | 1,017.90 | 7.21 | |||||||||||||||||
Fundamental Growth Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.70 | % | 1,040.30 | 3.57 | 1,021.50 | 3.54 | |||||||||||||||||
Class R5 | 1,000 | 0.80 | % | 1,040.20 | 4.08 | 1,021.00 | 4.04 | |||||||||||||||||
Service Class | 1,000 | 0.90 | % | 1,039.60 | 4.59 | 1,020.50 | 4.55 | |||||||||||||||||
Administrative Class | 1,000 | 1.00 | % | 1,039.00 | 5.10 | 1,020.00 | 5.05 | |||||||||||||||||
Class A | 1,000 | 1.25 | % | 1,037.70 | 6.37 | 1,018.80 | 6.31 | |||||||||||||||||
Class R4 | 1,000 | 1.15 | % | 1,037.90 | 5.86 | 1,019.30 | 5.81 | |||||||||||||||||
Class R3 | 1,000 | 1.40 | % | 1,035.30 | 7.12 | 1,018.00 | 7.06 |
349
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* | |||||||||||||||||||
Blue Chip Growth Fund | ||||||||||||||||||||||||
Class I | $ | 1,000 | 0.66 | % | $ | 1,086.00 | $ | 3.44 | $ | 1,021.70 | $ | 3.34 | ||||||||||||
Class R5 | 1,000 | 0.76 | % | 1,084.80 | 3.96 | 1,021.20 | 3.84 | |||||||||||||||||
Service Class | 1,000 | 0.86 | % | 1,084.90 | 4.48 | 1,020.70 | 4.34 | |||||||||||||||||
Administrative Class | 1,000 | 0.96 | % | 1,083.90 | 5.00 | 1,020.20 | 4.85 | |||||||||||||||||
Class A | 1,000 | 1.21 | % | 1,083.00 | 6.30 | 1,019.00 | 6.11 | |||||||||||||||||
Class R4 | 1,000 | 1.11 | % | 1,083.70 | 5.78 | 1,019.50 | 5.60 | |||||||||||||||||
Class R3 | 1,000 | 1.36 | % | 1,082.00 | 7.08 | 1,018.20 | 6.86 | |||||||||||||||||
Growth Opportunities Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.74 | % | 1,083.10 | 3.85 | 1,021.30 | 3.74 | |||||||||||||||||
Class R5 | 1,000 | 0.84 | % | 1,081.60 | 4.37 | 1,020.80 | 4.24 | |||||||||||||||||
Service Class | 1,000 | 0.94 | % | 1,080.20 | 4.89 | 1,020.30 | 4.75 | |||||||||||||||||
Administrative Class | 1,000 | 1.04 | % | 1,080.40 | 5.41 | 1,019.80 | 5.25 | |||||||||||||||||
Class A | 1,000 | 1.29 | % | 1,079.40 | 6.71 | 1,018.60 | 6.51 | |||||||||||||||||
Class R4 | 1,000 | 1.19 | % | 1,079.20 | 6.19 | 1,019.10 | 6.01 | |||||||||||||||||
Class R3 | 1,000 | 1.44 | % | 1,078.40 | 7.48 | 1,017.80 | 7.26 | |||||||||||||||||
Mid-Cap Value Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.80 | % | 1,083.70 | 4.17 | 1,021.00 | 4.04 | |||||||||||||||||
Class R5 | 1,000 | 0.90 | % | 1,083.20 | 4.69 | 1,020.50 | 4.55 | |||||||||||||||||
Service Class | 1,000 | 1.00 | % | 1,082.70 | 5.21 | 1,020.00 | 5.05 | |||||||||||||||||
Administrative Class | 1,000 | 1.10 | % | 1,082.30 | 5.73 | 1,019.50 | 5.55 | |||||||||||||||||
Class A | 1,000 | 1.35 | % | 1,081.00 | 7.02 | 1,018.30 | 6.81 | |||||||||||||||||
Class R4 | 1,000 | 1.25 | % | 1,081.50 | 6.50 | 1,018.80 | 6.31 | |||||||||||||||||
Class R3 | 1,000 | 1.50 | % | 1,080.10 | 7.80 | 1,017.50 | 7.57 | |||||||||||||||||
Small Cap Value Equity Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.80 | % | 1,075.70 | 4.15 | 1,021.00 | 4.04 | |||||||||||||||||
Class R5 | 1,000 | 0.90 | % | 1,075.00 | 4.67 | 1,020.50 | 4.55 | |||||||||||||||||
Service Class | 1,000 | 1.00 | % | 1,074.20 | 5.19 | 1,020.00 | 5.05 | |||||||||||||||||
Administrative Class | 1,000 | 1.10 | % | 1,074.50 | 5.70 | 1,019.50 | 5.55 | |||||||||||||||||
Class A | 1,000 | 1.35 | % | 1,072.70 | 7.00 | 1,018.30 | 6.81 | |||||||||||||||||
Class R4 | 1,000 | 1.25 | % | 1,073.10 | 6.48 | 1,018.80 | 6.31 | |||||||||||||||||
Class R3 | 1,000 | 1.50 | % | 1,071.70 | 7.77 | 1,017.50 | 7.57 | |||||||||||||||||
Small Company Value Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.91 | % | 1,110.00 | 4.80 | 1,020.50 | 4.60 | |||||||||||||||||
Class R5 | 1,000 | 1.01 | % | 1,110.60 | 5.33 | 1,020.00 | 5.10 | |||||||||||||||||
Service Class | 1,000 | 1.11 | % | 1,109.00 | 5.85 | 1,019.50 | 5.60 | |||||||||||||||||
Administrative Class | 1,000 | 1.21 | % | 1,108.70 | 6.38 | 1,019.00 | 6.11 | |||||||||||||||||
Class A | 1,000 | 1.45 | % | 1,107.70 | 7.64 | 1,017.80 | 7.31 | |||||||||||||||||
Class R4 | 1,000 | 1.36 | % | 1,108.40 | 7.17 | 1,018.20 | 6.86 | |||||||||||||||||
Class R3 | 1,000 | 1.61 | % | 1,106.40 | 8.48 | 1,017.00 | 8.12 | |||||||||||||||||
S&P Mid Cap Index Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.19 | % | 1,082.20 | 0.99 | 1,024.10 | 0.96 | |||||||||||||||||
Class R5 | 1,000 | 0.29 | % | 1,081.60 | 1.51 | 1,023.60 | 1.47 | |||||||||||||||||
Service Class | 1,000 | 0.44 | % | 1,080.30 | 2.29 | 1,022.80 | 2.23 | |||||||||||||||||
Administrative Class | 1,000 | 0.54 | % | 1,079.50 | 2.81 | 1,022.30 | 2.73 | |||||||||||||||||
Class A | 1,000 | 0.79 | % | 1,078.80 | 4.11 | 1,021.10 | 3.99 | |||||||||||||||||
Class R4 | 1,000 | 0.69 | % | 1,079.00 | 3.59 | 1,021.60 | 3.49 | |||||||||||||||||
Class R3 | 1,000 | 0.95 | % | 1,078.40 | 4.94 | 1,020.30 | 4.80 |
350
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* | |||||||||||||||||||
Russell 2000 Small Cap Index Fund | ||||||||||||||||||||||||
Class I | $ | 1,000 | 0.20 | % | $ | 1,132.40 | $ | 1.07 | $ | 1,024.00 | $ | 1.01 | ||||||||||||
Class R5 | 1,000 | 0.30 | % | 1,131.50 | 1.60 | 1,023.50 | 1.52 | |||||||||||||||||
Service Class | 1,000 | 0.45 | % | 1,130.40 | 2.40 | 1,022.80 | 2.28 | |||||||||||||||||
Administrative Class | 1,000 | 0.55 | % | 1,130.20 | 2.93 | 1,022.30 | 2.78 | |||||||||||||||||
Class A | 1,000 | 0.80 | % | 1,129.00 | 4.26 | 1,021.00 | 4.04 | |||||||||||||||||
Class R4 | 1,000 | 0.70 | % | 1,128.30 | 3.72 | 1,021.50 | 3.54 | |||||||||||||||||
Class R3 | 1,000 | 0.95 | % | 1,127.70 | 5.05 | 1,020.30 | 4.80 | |||||||||||||||||
Mid Cap Growth Equity II Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.73 | % | 1,063.90 | 3.77 | 1,021.40 | 3.69 | |||||||||||||||||
Class R5 | 1,000 | 0.83 | % | 1,063.20 | 4.28 | 1,020.90 | 4.19 | |||||||||||||||||
Service Class | 1,000 | 0.93 | % | 1,062.70 | 4.80 | 1,020.40 | 4.70 | |||||||||||||||||
Administrative Class | 1,000 | 1.03 | % | 1,062.10 | 5.31 | 1,019.90 | 5.20 | |||||||||||||||||
Class A | 1,000 | 1.28 | % | 1,061.00 | 6.60 | 1,018.60 | 6.46 | |||||||||||||||||
Class R4 | 1,000 | 1.18 | % | 1,061.50 | 6.08 | 1,019.10 | 5.96 | |||||||||||||||||
Class R3 | 1,000 | 1.43 | % | 1,059.70 | 7.36 | 1,017.90 | 7.21 | |||||||||||||||||
Small Cap Growth Equity Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.85 | % | 1,114.50 | 4.49 | 1,020.80 | 4.29 | |||||||||||||||||
Class R5 | 1,000 | 0.95 | % | 1,114.80 | 5.02 | 1,020.30 | 4.80 | |||||||||||||||||
Service Class | 1,000 | 1.05 | % | 1,113.90 | 5.55 | 1,019.80 | 5.30 | |||||||||||||||||
Administrative Class | 1,000 | 1.15 | % | 1,113.40 | 6.08 | 1,019.30 | 5.81 | |||||||||||||||||
Class A | 1,000 | 1.40 | % | 1,112.30 | 7.39 | 1,018.00 | 7.06 | |||||||||||||||||
Class R4 | 1,000 | 1.31 | % | 1,113.00 | 6.92 | 1,018.50 | 6.61 | |||||||||||||||||
Class R3 | 1,000 | 1.56 | % | 1,110.30 | 8.23 | 1,017.20 | 7.87 | |||||||||||||||||
Diversified International Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.90 | % | 1,035.50 | 4.58 | 1,020.50 | 4.55 | |||||||||||||||||
Class R5 | 1,000 | 1.00 | % | 807.80 | 4.52 | 1,020.00 | 5.05 | |||||||||||||||||
Service Class | 1,000 | 1.10 | % | 1,034.70 | 5.60 | 1,019.50 | 5.55 | |||||||||||||||||
Administrative Class | 1,000 | 1.20 | % | 1,034.30 | 6.10 | 1,019.00 | 6.06 | |||||||||||||||||
Class A | 1,000 | 1.45 | % | 1,034.10 | 7.37 | 1,017.80 | 7.31 | |||||||||||||||||
Class R4 | 1,000 | 1.35 | % | 1,032.50 | 6.86 | 1,018.30 | 6.81 | |||||||||||||||||
Class R3 | 1,000 | 1.60 | % | 1,032.60 | 8.13 | 1,017.00 | 8.07 | |||||||||||||||||
MSCI EAFE International Index Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.23 | % | 1,056.70 | 1.18 | 1,023.90 | 1.16 | |||||||||||||||||
Class R5 | 1,000 | 0.34 | % | 1,054.10 | 1.75 | 1,023.30 | 1.72 | |||||||||||||||||
Service Class | 1,000 | 0.49 | % | 1,054.20 | 2.52 | 1,022.60 | 2.48 | |||||||||||||||||
Administrative Class | 1,000 | 0.59 | % | 1,053.40 | 3.03 | 1,022.10 | 2.98 | |||||||||||||||||
Class A | 1,000 | 0.84 | % | 1,052.60 | 4.31 | 1,020.80 | 4.24 | |||||||||||||||||
Class R4 | 1,000 | 0.74 | % | 1,052.80 | 3.80 | 1,021.30 | 3.74 | |||||||||||||||||
Class R3 | 1,000 | 0.99 | % | 1,052.00 | 5.08 | 1,020.10 | 5.00 | |||||||||||||||||
Overseas Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.91 | % | 1,043.70 | 4.65 | 1,020.50 | 4.60 | |||||||||||||||||
Class R5 | 1,000 | 1.01 | % | 1,043.60 | 5.16 | 1,020.00 | 5.10 | |||||||||||||||||
Service Class | 1,000 | 1.11 | % | 1,043.80 | 5.67 | 1,019.50 | 5.60 | |||||||||||||||||
Administrative Class | 1,000 | 1.21 | % | 1,043.50 | 6.18 | 1,019.00 | 6.11 | |||||||||||||||||
Class A | 1,000 | 1.46 | % | 1,041.70 | 7.45 | 1,017.70 | 7.36 | |||||||||||||||||
Class R4 | 1,000 | 1.36 | % | 1,042.30 | 6.94 | 1,018.20 | 6.86 | |||||||||||||||||
Class R3 | 1,000 | 1.61 | % | 1,040.50 | 8.21 | 1,017.00 | 8.12 |
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Other Information (Unaudited) (Continued)
* | Expenses are calculated using the annualized expense ratio for the six months ended September 30, 2016, multiplied by the average account value over the period, multiplied by 183 days in the period, divided by 366 days in the year, unless stated otherwise. |
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