Exhibit (17)(c)
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5 | ||||
7 | ||||
Portfolio of Investments (Unaudited) | ||||
27 | ||||
36 | ||||
61 | ||||
66 | ||||
69 | ||||
72 | ||||
MassMutual Select Equity Opportunities Fund (formerly known as MassMutual Select Focused Value Fund) | 79 | |||
81 | ||||
84 | ||||
87 | ||||
89 | ||||
93 | ||||
96 | ||||
103 | ||||
109 | ||||
132 | ||||
136 | ||||
141 | ||||
143 | ||||
154 | ||||
158 | ||||
170 | ||||
182 | ||||
196 | ||||
236 | ||||
Other Information (Unaudited) | ||||
296 | ||||
296 | ||||
296 | ||||
298 |
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.
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To Our Shareholders
Eric Wietsma
“We recommend working with a personal financial professional who can help you define an investment strategy that aligns with how comfortable you are with market volatility, how long you have to save and invest, and your specific financial goals.”
March 31, 2017
Welcome to the MassMutual Select Funds Semiannual Report, covering the six months from October 1, 2016 to March 31, 2017.
Market Highlights
• | During the period, U.S. stocks enjoyed strong performance, bolstered by a rally which started after the November 2016 U.S. presidential election. |
• | Data throughout the period pointed to a slowly improving global economic environment. |
• | Foreign stocks trailed U.S. stock returns throughout 2016, with developed markets stocks lagging emerging market stocks, although both began to show improvement during the first quarter of 2017. |
• | U.S. bonds encountered headwinds, as post-election “risk on” attitudes depressed prices. |
• | The Federal Reserve (the “Fed”) raised short-term interest rates by one-quarter of one percent twice during the period. |
Market Environment
Overall, 2016 delivered positive returns to domestic stock investors. The S&P 500® Index* ended the year up 11.96 percent and nearly half of that gain occurred in the last seven weeks of the year. The rally continued into the first quarter of 2017, as the index added another 6.07 percent by March 31, 2017.
The most significant event of this reporting period was the surprising election of Donald J. Trump as the 45th President of the United States. Investor sentiment was buoyed by campaign promises focused on tax reforms, infrastructure spending, health care reform, and the creation of American jobs. Solid economic data, which supported confidence in a slowly improving global market environment, and investor optimism drove the Dow Jones Industrial AverageSM (the “Dow”) above 20,000 – a milestone for the first time ever on January 25, 2017. In a clear indication of the market’s post-election acceleration, the Dow closed above 21,000 on March 1, 2017 – just twenty-four trading days after crossing the 20,000 mark. This tied a 1999 record for the shortest time frame between 1000-point gains. The Dow closed the reporting period at 20,662.
All major U.S. stock indexes enjoyed a strong finish to 2016, but not equally. During the first half of the reporting period, small-cap stocks significantly outperformed large-cap issues, but that trend reversed by the end of the period, as large cap stocks outperformed their small-cap counterparts for the first three months of 2017. Similarly, value stocks outperformed growth stocks in 2016 by a wide margin – but since January 2017 and through the end of the reporting period, growth stocks outperformed value issues.
Market sectors also experienced uneven performance throughout the reporting period. Energy, telecommunication services, and financial stocks enjoyed the greatest lift through the end of 2016, as health care, information technology, and consumer discretionary stocks lagged. However, by the end of the reporting period, the information technology sector had appreciated more than 10 percent and consumer discretionary and health care stocks logged increases of six percent and seven percent, respectively. Additionally, on March 31, 2017, both energy and telecommunication services showed negative performance for the quarter, with the financial sector appreciating less than one percent.
(Continued)
5
MassMutual Select Funds – President’s Letter to Shareholders (Unaudited) (Continued)
As noted earlier, the global economy continued to show signs of strength throughout the reporting period. On the domestic front, strong jobs and housing data continued. Job creation remained steady, as the unemployment rate edged down to 4.7 percent at the end of the period. Housing starts continued to show year-over-year improvement, as did new home sales. Notable during this reporting period was the gap between sentiment and surveys and hard economic data. For example, consumer sentiment, as measured by the University of Michigan Consumer Sentiment Index, hit 96.9 to end the first quarter of 2017; however, actual consumer spending during the period remained range-bound.
Developed international markets ended 2016 with a modest one percent increase, as measured by the MSCI EAFE® Index*, an indicator of the performance of foreign developed-market stocks. European nations struggled to understand the impact of the Brexit vote on the future of the European Union (EU), even as other nations faced elections in which populist sentiment seemed to lean toward following Great Britain’s lead. (“Brexit” – an abbreviation for “British exit” – was the United Kingdom’s surprising June 23, 2016 referendum to leave the EU.) Even though British Prime Minister Theresa May triggered Article 50 of the Lisbon Treaty to begin the country’s official exit from the EU on March 29, 2017, the MSCI EAFE Index ended the reporting period up 7.25 percent. Asian markets were notable during the period for their lack of major market disturbances. Emerging markets lagged toward the end of 2016, but rebounded during the first quarter of 2017. The MSCI Emerging Markets Index*, a measure of the performance of emerging stock markets throughout the world, ended the reporting period up 11.45 percent.
In previous reporting periods, we wrote frequently about the Fed and its plans to normalize short-term interest rates. In the recent Select annual report, we observed how closely investors watched the Fed’s signals regarding rate hikes. In previous reporting periods, the mere hint of a rate hike could send markets into a tailspin. During this reporting period, the Federal Open Market Committee raised the federal funds rate – the Fed’s overnight bank lending rate – twice by one-quarter of one percent and markets barely reacted. At the end of March, markets continued to rise, despite the Fed’s forecast of two more rate hikes in 2017.
Along with investors’ “risk on” attitude toward equity markets, the Fed rate hikes exerted pressure on bond prices. The slow rise in yields accelerated higher following the Trump victory. The prospect of more stimulus from a Trump administration shifted longer-term assumptions about inflation and investors reacted by selling bonds. The yield on the 10-year U.S. Treasury bond moved above 2.00 percent in a matter of days and continued even higher, before retreating in the final weeks of 2016 to end the year at just below 2.50 percent. U.S. corporate bond returns moved downward along with Treasury bonds. However, investment-grade and high-yield corporate bonds diverged significantly, as U.S. high-yield corporate bonds bucked the investment-grade bond market trend and posted gains for the reporting period. High-yield bonds are the fixed income investments most like stocks and they tend to respond favorably to positive economic activity.
Review and maintain your strategy
MassMutual is committed to helping people secure their future and protect the ones they love. Because we know that you want to protect those who matter most to you, we’d like to remind you as a retirement investor that it’s important to maintain perspective and have realistic expectations about the future performance of your investment accounts. As noted in this report, financial markets can react and contract with little notice. The diversified suite of investment options we provide in our Select series of Funds taps into the deep expertise of seasoned asset managers who are committed to helping you prepare for retirement. We also recommend working with a personal financial professional, who can help you define an investment strategy that aligns with how comfortable you are with market volatility, how long you have to save and invest, and your specific financial goals. As always, we thank you for your confidence in MassMutual.
Sincerely,
Eric Wietsma
President
The information provided is the opinion of MassMutual U.S. Product and Marketing as of 4/1/17 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.
* | Indexes are unmanaged, do not incur fees or expenses, and cannot be purchased directly for investment. |
6
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).
MassMutual Select Total Return Bond Fund Portfolio Characteristics (% of Net Assets) on 3/31/17 | ||||
U.S. Government Agency Obligations and Instrumentalities | 30.1 | % | ||
Corporate Debt | 30.0 | % | ||
U.S. Treasury Obligations | 22.7 | % | ||
Non-U.S. Government Agency Obligations | 16.1 | % | ||
Municipal Obligations | 1.6 | % | ||
|
| |||
Total Long-Term Investments | 100.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | (0.5 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
7
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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.
MassMutual Select Strategic Bond Fund Portfolio Characteristics (% of Net Assets) on 3/31/17 | ||||
U.S. Treasury Obligations | 26.5 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 25.5 | % | ||
Corporate Debt | 23.5 | % | ||
Non-U.S. Government Agency Obligations | 12.4 | % | ||
Sovereign Debt Obligations | 4.2 | % | ||
Bank Loans | 3.8 | % | ||
Purchased Options | 0.3 | % | ||
Municipal Obligations | 0.1 | % | ||
Preferred Stock | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 96.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.7 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
8
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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 36% of the Fund’s portfolio; and Brandywine Global Investment Management, LLC (Brandywine Global), which managed approximately 64% of the Fund’s portfolio, as of March 31, 2017.
MassMutual Select Diversified Value Fund Largest Holdings (% of Net Assets) on 3/31/17 | ||||
Apple, Inc. | 4.4 | % | ||
JP Morgan Chase & Co. | 3.7 | % | ||
Wells Fargo & Co. | 3.2 | % | ||
Bank of America Corp. | 2.8 | % | ||
Johnson & Johnson | 2.6 | % | ||
Pfizer, Inc. | 2.3 | % | ||
Chevron Corp. | 2.2 | % | ||
Oracle Corp. | 2.1 | % | ||
Cisco Systems, Inc. | 2.0 | % | ||
Citigroup, Inc. | 1.9 | % | ||
|
| |||
27.2 | % | |||
|
| |||
MassMutual Select Diversified Value Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Financial | 30.4 | % | ||
Consumer, Non-cyclical | 16.5 | % | ||
Technology | 12.2 | % | ||
Industrial | 11.7 | % | ||
Communications | 8.4 | % | ||
Consumer, Cyclical | 8.0 | % | ||
Energy | 6.4 | % | ||
Utilities | 3.1 | % | ||
Basic Materials | 1.8 | % | ||
Mutual Funds | 0.3 | % | ||
|
| |||
Total Long-Term Investments | 98.8 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.2 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
9
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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).
MassMutual Select Fundamental Value Fund Largest Holdings (% of Net Assets) on 3/31/17 | ||||
JP Morgan Chase & Co. | 4.6 | % | ||
Wells Fargo & Co. | 3.7 | % | ||
Cisco Systems, Inc. | 3.1 | % | ||
Merck & Co., Inc. | 2.6 | % | ||
The PNC Financial Services Group, Inc. | 2.6 | % | ||
Citigroup, Inc. | 2.4 | % | ||
Chevron Corp. | 2.3 | % | ||
Intel Corp. | 2.0 | % | ||
Philip Morris International, Inc. | 1.7 | % | ||
Chubb Ltd. | 1.7 | % | ||
|
| |||
26.7 | % | |||
|
| |||
MassMutual Select Fundamental Value Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Financial | 28.4 | % | ||
Consumer, Non-cyclical | 18.0 | % | ||
Industrial | 11.0 | % | ||
Energy | 10.9 | % | ||
Communications | 9.8 | % | ||
Technology | 8.6 | % | ||
Consumer, Cyclical | 6.1 | % | ||
Utilities | 3.5 | % | ||
Basic Materials | 2.3 | % | ||
|
| |||
Total Long-Term Investments | 98.6 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.4 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
10
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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 Fund’s subadvisers are Huber Capital Management, LLC (Huber Capital Management), which was responsible for approximately 43% of the Fund’s portfolio; and Barrow, Hanley, Mewhinney & Strauss, LLC (Barrow Hanley), which managed approximately 57% of the Fund’s portfolio, as of March 31, 2017.
MassMutual Select | ||||
Bank of America Corp. | 4.0 | % | ||
JP Morgan Chase & Co. | 3.8 | % | ||
Philip Morris International, Inc. | 3.5 | % | ||
Pfizer, Inc. | 3.3 | % | ||
Merck & Co., Inc. | 3.1 | % | ||
KBR, Inc. | 2.9 | % | ||
Citigroup, Inc. | 2.6 | % | ||
Wells Fargo & Co. | 2.4 | % | ||
BP PLC Sponsored ADR (United Kingdom) | 2.3 | % | ||
Wal-Mart Stores, Inc. | 2.2 | % | ||
|
| |||
30.1 | % | |||
|
| |||
MassMutual Select Large Cap Value Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Financial | 24.7 | % | ||
Consumer, Non-cyclical | 21.1 | % | ||
Industrial | 13.8 | % | ||
Energy | 8.6 | % | ||
Technology | 8.4 | % | ||
Consumer, Cyclical | 7.5 | % | ||
Communications | 5.1 | % | ||
Utilities | 3.6 | % | ||
Basic Materials | 3.1 | % | ||
Mutual Funds | 3.0 | % | ||
|
| |||
Total Long-Term Investments | 98.9 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.1 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
11
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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.
MM S&P 500 Index Fund | ||||
Apple, Inc. | 3.7 | % | ||
Microsoft Corp. | 2.5 | % | ||
Amazon.com, Inc. | 1.7 | % | ||
Exxon Mobil Corp. | 1.7 | % | ||
Johnson & Johnson | 1.7 | % | ||
Facebook, Inc. Class A | 1.7 | % | ||
Berkshire Hathaway, Inc. Class B | 1.6 | % | ||
JP Morgan Chase & Co. | 1.6 | % | ||
General Electric Co. | 1.3 | % | ||
AT&T, Inc. | 1.3 | % | ||
|
| |||
18.8 | % | |||
|
| |||
MM S&P 500 Index Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Consumer, Non-cyclical | 22.8 | % | ||
Financial | 18.5 | % | ||
Technology | 14.2 | % | ||
Communications | 13.9 | % | ||
Industrial | 9.9 | % | ||
Consumer, Cyclical | 9.0 | % | ||
Energy | 6.6 | % | ||
Utilities | 3.2 | % | ||
Basic Materials | 2.3 | % | ||
Diversified | 0.1 | % | ||
|
| |||
Total Long-Term Investments | 100.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | (0.5 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
12
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
What is the investment approach of MassMutual Select Equity Opportunities 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 U.S. companies that the Fund’s subadvisers believe are financially sound, valued conservatively by the market, and have improving prospects. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities. The Fund’s subadvisers are T. Rowe Price Associates, Inc. (T. Rowe Price), which was responsible for approximately 31% of the Fund’s portfolio; and Wellington Management Company LLP (Wellington Management), which managed approximately 69% of the Fund’s portfolio, as of March 31, 2017. Effective March 28, 2017, the name of the Fund changed from the MassMutual Select Focused Value Fund to the MassMutual Select Equity Opportunities Fund, and T. Rowe Price and Wellington Management replaced Harris Associates L.P. (Harris) as co-subadvisers of the Fund.
MassMutual Select Equity Opportunities Fund Largest Holdings (% of Net Assets) on 3/31/17 | ||||
Microsoft Corp. | 4.5 | % | ||
NIKE, Inc. Class B | 3.6 | % | ||
United Parcel Service, Inc. Class B | 3.6 | % | ||
Costco Wholesale Corp. | 3.5 | % | ||
Bristol-Myers Squibb Co. | 3.4 | % | ||
The PNC Financial Services Group, Inc. | 3.2 | % | ||
Chubb Ltd. | 3.1 | % | ||
Medtronic PLC | 2.9 | % | ||
American Express Co. | 2.9 | % | ||
Public Storage | 2.8 | % | ||
|
| |||
33.5 | % | |||
|
| |||
MassMutual Select Equity Opportunities Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Financial | 25.9 | % | ||
Consumer, Non-cyclical | 24.7 | % | ||
Consumer, Cyclical | 14.3 | % | ||
Industrial | 13.4 | % | ||
Technology | 7.8 | % | ||
Communications | 4.0 | % | ||
Energy | 3.1 | % | ||
Basic Materials | 3.1 | % | ||
Utilities | 2.1 | % | ||
|
| |||
Total Long-Term Investments | 98.4 | % | ||
Other Assets and Liabilities | 1.6 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
13
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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).
MassMutual Select Fundamental Growth Fund Largest Holdings (% of Net Assets) on 3/31/17 | ||||
Apple, Inc. | 7.3 | % | ||
Alphabet, Inc. Class C | 5.4 | % | ||
Microsoft Corp. | 5.4 | % | ||
Facebook, Inc. Class A | 3.5 | % | ||
Amazon.com, Inc. | 2.5 | % | ||
Oracle Corp. | 2.4 | % | ||
Visa, Inc. Class A | 2.1 | % | ||
The Home Depot, Inc. | 2.0 | % | ||
Amgen, Inc. | 2.0 | % | ||
Comcast Corp. Class A | 1.9 | % | ||
|
| |||
34.5 | % | |||
|
| |||
MassMutual Select Fundamental Growth Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Technology | 27.2 | % | ||
Communications | 22.7 | % | ||
Consumer, Non-cyclical | 20.6 | % | ||
Financial | 11.3 | % | ||
Industrial | 7.0 | % | ||
Energy | 4.7 | % | ||
Consumer, Cyclical | 4.0 | % | ||
Basic Materials | 2.3 | % | ||
Mutual Funds | 1.3 | % | ||
|
| |||
Total Long-Term Investments | 101.1 | % | ||
Short-Term Investments and Other Assets and Liabilities | (1.1 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
14
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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 62% of the Fund’s portfolio; and Loomis, Sayles & Company, L.P. (Loomis Sayles), which managed approximately 38% of the Fund’s portfolio, as of March 31, 2017.
MassMutual Select Blue Chip Growth Fund Largest Holdings (% of Net Assets) on 3/31/17 | ||||
Amazon.com, Inc. | 8.1 | % | ||
Facebook, Inc. Class A | 5.9 | % | ||
Visa, Inc. Class A | 3.9 | % | ||
Alphabet, Inc. Class C | 3.7 | % | ||
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) | 3.4 | % | ||
Microsoft Corp. | 3.3 | % | ||
The Priceline Group, Inc. | 2.9 | % | ||
Alphabet, Inc. Class A | 2.6 | % | ||
Cisco Systems, Inc. | 1.9 | % | ||
Oracle Corp. | 1.8 | % | ||
|
| |||
37.5 | % | |||
|
| |||
MassMutual Select Blue Chip Growth Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Communications | 31.9 | % | ||
Consumer, Non-cyclical | 23.3 | % | ||
Technology | 14.6 | % | ||
Financial | 14.1 | % | ||
Consumer, Cyclical | 9.0 | % | ||
Industrial | 6.3 | % | ||
Energy | 0.9 | % | ||
Utilities | 0.2 | % | ||
Basic Materials | 0.1 | % | ||
Mutual Funds | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 100.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | (0.4 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
15
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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 52% of the Fund’s portfolio; and Jackson Square Partners, LLC (Jackson Square), which was responsible for approximately 48% of the Fund’s portfolio, as of March 31, 2017.
MassMutual Select Growth Opportunities Fund Largest Holdings (% of Net Assets) on 3/31/17 | ||||
Visa, Inc. Class A | 7.4 | % | ||
Facebook, Inc. Class A | 5.6 | % | ||
Alphabet, Inc. Class A | 4.3 | % | ||
The Priceline Group, Inc. | 3.5 | % | ||
Amazon.com, Inc. | 3.3 | % | ||
Salesforce.com, Inc. | 3.1 | % | ||
Microsoft Corp. | 2.9 | % | ||
The Charles Schwab Corp. | 2.9 | % | ||
Celgene Corp. | 2.7 | % | ||
PayPal Holdings, Inc. | 2.7 | % | ||
|
| |||
38.4 | % | |||
|
| |||
MassMutual Select Growth Opportunities Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Communications | 33.7 | % | ||
Consumer, Non-cyclical | 23.3 | % | ||
Financial | 18.0 | % | ||
Technology | 16.2 | % | ||
Consumer, Cyclical | 5.6 | % | ||
Industrial | 1.4 | % | ||
Mutual Funds | 1.1 | % | ||
Energy | 0.9 | % | ||
|
| |||
Total Long-Term Investments | 100.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | (0.2 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
16
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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 March 31, 2017.
MassMutual Select Mid-Cap Value Fund Largest Holdings (% of Net Assets) on 3/31/17 | ||||
Northern Trust Corp. | 2.8 | % | ||
Johnson Controls International PLC | 1.6 | % | ||
Unum Group | 1.5 | % | ||
PG&E Corp. | 1.5 | % | ||
Baxter International, Inc. | 1.2 | % | ||
Micron Technology, Inc. | 1.2 | % | ||
iShares Russell Mid-Cap Value ETF | 1.2 | % | ||
Applied Materials, Inc. | 1.1 | % | ||
Public Service Enterprise Group, Inc. | 1.1 | % | ||
SL Green Realty Corp. | 1.1 | % | ||
|
| |||
14.3 | % | |||
|
| |||
MassMutual Select Mid-Cap Value Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Financial | 25.8 | % | ||
Industrial | 15.6 | % | ||
Consumer, Non-cyclical | 13.8 | % | ||
Energy | 12.4 | % | ||
Consumer, Cyclical | 9.3 | % | ||
Technology | 8.1 | % | ||
Utilities | 7.5 | % | ||
Basic Materials | 4.2 | % | ||
Mutual Funds | 1.1 | % | ||
Communications | 0.9 | % | ||
|
| |||
Total Long-Term Investments | 98.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.3 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
17
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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 54% of the Fund’s portfolio; and Barrow, Hanley, Mewhinney & Strauss, LLC (Barrow Hanley), which was responsible for approximately 46% of the Fund’s portfolio, as of March 31, 2017.
MassMutual Select Small Cap Value Equity Fund Largest Holdings (% of Net Assets) on 3/31/17 | ||||
II-VI, Inc. | 2.1 | % | ||
Texas Capital Bancshares, Inc. | 2.1 | % | ||
Brooks Automation, Inc. | 1.9 | % | ||
Vishay Intertechnology, Inc. | 1.8 | % | ||
Primoris Services Corp. | 1.7 | % | ||
Plexus Corp. | 1.6 | % | ||
Terex Corp. | 1.5 | % | ||
RH | 1.5 | % | ||
UMB Financial Corp. | 1.5 | % | ||
Prosperity Bancshares, Inc. | 1.5 | % | ||
|
| |||
17.2 | % | |||
|
| |||
MassMutual Select Small Cap Value Equity Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Industrial | 32.4 | % | ||
Financial | 19.0 | % | ||
Consumer, Non-cyclical | 12.8 | % | ||
Consumer, Cyclical | 9.6 | % | ||
Technology | 8.9 | % | ||
Basic Materials | 5.9 | % | ||
Energy | 5.8 | % | ||
Utilities | 2.6 | % | ||
|
| |||
Total Long-Term Investments | 97.0 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.0 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
18
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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 March 31, 2017.
MassMutual Select Small Company Value Fund Largest Holdings (% of Net Assets) on 3/31/17 | ||||
Radian Group, Inc. | 1.2 | % | ||
Portland General Electric Co. | 1.1 | % | ||
Popular, Inc. | 1.1 | % | ||
F.N.B. Corp. | 1.0 | % | ||
Healthcare Realty Trust, Inc. | 1.0 | % | ||
WSFS Financial Corp. | 0.9 | % | ||
Spire, Inc. | 0.9 | % | ||
IBERIABANK Corp. | 0.9 | % | ||
Wintrust Financial Corp. | 0.9 | % | ||
Colony Starwood Homes | 0.9 | % | ||
|
| |||
9.9 | % | |||
|
| |||
MassMutual Select Small Company Value Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Financial | 38.6 | % | ||
Industrial | 15.6 | % | ||
Consumer, Non-cyclical | 13.3 | % | ||
Consumer, Cyclical | 7.9 | % | ||
Mutual Funds | 6.1 | % | ||
Energy | 6.0 | % | ||
Communications | 5.6 | % | ||
Basic Materials | 4.9 | % | ||
Utilities | 4.8 | % | ||
Technology | 3.0 | % | ||
Government | 0.2 | % | ||
Diversified | 0.1 | % | ||
|
| |||
Total Long-Term Investments | 106.1 | % | ||
Short-Term Investments and Other Assets and Liabilities | (6.1 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
19
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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.
MM S&P Mid Cap Index Fund Largest Holdings (% of Net Assets) on 3/31/17 | ||||
ResMed, Inc. | 0.6 | % | ||
The WhiteWave Foods Co. | 0.6 | % | ||
Computer Sciences Corp. | 0.6 | % | ||
SVB Financial Group | 0.6 | % | ||
Everest Re Group Ltd. | 0.6 | % | ||
Alleghany Corp. | 0.6 | % | ||
CDK Global, Inc. | 0.5 | % | ||
Duke Realty Corp. | 0.5 | % | ||
Huntington Ingalls Industries, Inc. | 0.5 | % | ||
ANSYS, Inc. | 0.5 | % | ||
|
| |||
5.6 | % | |||
|
| |||
MM S&P Mid Cap Index Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Financial | 23.7 | % | ||
Industrial | 18.1 | % | ||
Consumer, Non-cyclical | 15.2 | % | ||
Consumer, Cyclical | 11.4 | % | ||
Technology | 11.2 | % | ||
Basic Materials | 5.3 | % | ||
Utilities | 5.3 | % | ||
Mutual Funds | 4.9 | % | ||
Energy | 3.5 | % | ||
Communications | 2.9 | % | ||
|
| |||
Total Long-Term Investments | 101.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | (1.5 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
20
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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.
MM Russell 2000 Small Cap Index Fund Largest Holdings (% of Net Assets) on 3/31/17 | ||||
Advanced Micro Devices, Inc. | 0.6 | % | ||
The Chemours Co. | 0.4 | % | ||
Microsemi Corp. | 0.3 | % | ||
Take-Two Interactive Software, Inc. | 0.3 | % | ||
Olin Corp. | 0.3 | % | ||
LogMeIn, Inc. | 0.3 | % | ||
New Residential Investment Corp. | 0.3 | % | ||
Coherent, Inc. | 0.3 | % | ||
Exelixis, Inc. | 0.3 | % | ||
F.N.B. Corp. | 0.2 | % | ||
|
| |||
3.3 | % | |||
|
| |||
MM Russell 2000 Small Cap Index Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Financial | 26.4 | % | ||
Consumer, Non-cyclical | 18.7 | % | ||
Industrial | 13.6 | % | ||
Mutual Funds | 11.7 | % | ||
Consumer, Cyclical | 10.9 | % | ||
Technology | 10.2 | % | ||
Communications | 6.1 | % | ||
Basic Materials | 4.2 | % | ||
Utilities | 3.4 | % | ||
Energy | 3.1 | % | ||
Diversified | 0.1 | % | ||
Government | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 108.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | (8.4 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
21
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
What is the investment approach of MassMutual Select Mid Cap Growth 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 March 31, 2017. Effective March 28, 2017, the name of the Fund changed from the MassMutual Select Mid Cap Growth Equity II Fund to the MassMutual Select Mid Cap Growth Fund.
MassMutual Select Mid Cap Growth Fund Largest Holdings (% of Net Assets) on 3/31/17 | ||||
Teleflex, Inc. | 1.8 | % | ||
Willis Towers Watson PLC | 1.8 | % | ||
Equifax, Inc. | 1.8 | % | ||
Textron, Inc. | 1.7 | % | ||
The Cooper Cos., Inc. | 1.6 | % | ||
Microchip Technology, Inc. | 1.5 | % | ||
Dollar General Corp. | 1.4 | % | ||
Global Payments, Inc. | 1.4 | % | ||
Norwegian Cruise Line Holdings Ltd. | 1.4 | % | ||
Fiserv, Inc. | 1.4 | % | ||
|
| |||
15.8 | % | |||
|
| |||
MassMutual Select Mid Cap Growth Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Consumer, Non-cyclical | 31.0 | % | ||
Industrial | 19.1 | % | ||
Consumer, Cyclical | 16.6 | % | ||
Technology | 13.2 | % | ||
Financial | 8.9 | % | ||
Mutual Funds | 6.1 | % | ||
Basic Materials | 3.3 | % | ||
Communications | 2.8 | % | ||
Energy | 1.0 | % | ||
|
| |||
Total Long-Term Investments | 102.0 | % | ||
Short-Term Investments and Other Assets and Liabilities | (2.0 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
22
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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 March 31, 2017.
MassMutual Select Small Cap Growth Equity Fund Largest Holdings (% of Net Assets) on 3/31/17 | ||||
Western Alliance Bancorp | 1.4 | % | ||
HubSpot, Inc. | 1.3 | % | ||
Sterling Bancorp | 1.2 | % | ||
Entegris, Inc. | 1.1 | % | ||
Veeva Systems, Inc. Class A | 1.0 | % | ||
Insulet Corp. | 1.0 | % | ||
Monolithic Power Systems, Inc. | 1.0 | % | ||
Masonite International Corp. | 1.0 | % | ||
iShares Russell 2000 Index Fund | 0.9 | % | ||
John Bean Technologies Corp. | 0.9 | % | ||
|
| |||
10.8 | % | |||
|
| |||
MassMutual Select Small Cap Growth Equity Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Consumer, Non-cyclical | 19.4 | % | ||
Technology | 18.1 | % | ||
Industrial | 17.1 | % | ||
Financial | 16.5 | % | ||
Consumer, Cyclical | 14.2 | % | ||
Mutual Funds | 11.6 | % | ||
Communications | 6.9 | % | ||
Energy | 3.3 | % | ||
Basic Materials | 2.7 | % | ||
Utilities | 0.6 | % | ||
|
| |||
Total Long-Term Investments | 110.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | (10.4 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
23
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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).
MassMutual Select Diversified International Fund Largest Holdings (% of Net Assets) on 3/31/17 | ||||
Royal Dutch Shell PLC Class A | 4.0 | % | ||
TOTAL SA | 3.5 | % | ||
Mitsubishi UFJ Financial Group, Inc. | 2.9 | % | ||
Australia & New Zealand Banking Group Ltd. | 2.8 | % | ||
Siemens AG | 2.8 | % | ||
BNP Paribas SA | 2.3 | % | ||
AXA SA | 2.3 | % | ||
Zurich Insurance Group AG | 1.9 | % | ||
ING Groep NV | 1.9 | % | ||
Nippon Telegraph & Telephone Corp. | 1.9 | % | ||
|
| |||
26.3 | % | |||
|
| |||
MassMutual Select Diversified International Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Financial | 35.9 | % | ||
Consumer, Cyclical | 16.5 | % | ||
Industrial | 13.2 | % | ||
Energy | 10.1 | % | ||
Consumer, Non-cyclical | 6.8 | % | ||
Communications | 5.9 | % | ||
Basic Materials | 4.5 | % | ||
Utilities | 3.9 | % | ||
Technology | 2.6 | % | ||
|
| |||
Total Long-Term Investments | 99.4 | % | ||
Other Assets and Liabilities | 0.6 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
24
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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.
MM MSCI EAFE International Index Fund Largest Holdings (% of Net Assets) on 3/31/17 | ||||
Nestle SA | 1.8 | % | ||
Roche Holding AG | 1.3 | % | ||
Novartis AG | 1.2 | % | ||
HSBC Holdings PLC | 1.2 | % | ||
Toyota Motor Corp. | 1.0 | % | ||
British American Tobacco PLC | 0.9 | % | ||
Royal Dutch Shell PLC Class A | 0.8 | % | ||
TOTAL SA | 0.8 | % | ||
Commonwealth Bank of Australia | 0.8 | % | ||
BP PLC | 0.8 | % | ||
|
| |||
10.6 | % | |||
|
| |||
MM MSCI EAFE International Index Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Financial | 23.7 | % | ||
Consumer, Non-cyclical | 22.1 | % | ||
Industrial | 13.2 | % | ||
Consumer, Cyclical | 12.5 | % | ||
Communications | 6.6 | % | ||
Basic Materials | 6.0 | % | ||
Energy | 4.7 | % | ||
Utilities | 3.3 | % | ||
Technology | 3.1 | % | ||
Mutual Funds | 2.6 | % | ||
Diversified | 0.6 | % | ||
|
| |||
Total Long-Term Investments | 98.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.6 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
25
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)
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 51% of the Fund’s portfolio; Harris Associates L.P. (Harris), which oversaw approximately 28% of the Fund’s portfolio; and J.P. Morgan Investment Management Inc. (J.P. Morgan), which managed approximately 21% of the Fund’s portfolio as of March 31, 2017.
MassMutual Select Overseas Fund Largest Holdings (% of Net Assets) on 3/31/17 | ||||
Nestle SA | 2.2 | % | ||
Bayer AG | 2.0 | % | ||
Roche Holding AG | 1.7 | % | ||
Hoya Corp. | 1.6 | % | ||
Pernod Ricard SA | 1.5 | % | ||
BNP Paribas SA | 1.5 | % | ||
Schneider Electric SE | 1.5 | % | ||
Air Liquide SA | 1.4 | % | ||
LVMH Moet Hennessy Louis Vuitton SE | 1.4 | % | ||
WPP PLC | 1.4 | % | ||
|
| |||
16.2 | % | |||
|
| |||
MassMutual Select Overseas Fund Sector Table (% of Net Assets) on 3/31/17 | ||||
Financial | 23.4 | % | ||
Consumer, Non-cyclical | 22.0 | % | ||
Industrial | 15.7 | % | ||
Consumer, Cyclical | 15.2 | % | ||
Technology | 6.0 | % | ||
Communications | 5.9 | % | ||
Basic Materials | 5.4 | % | ||
Energy | 3.5 | % | ||
Mutual Funds | 3.4 | % | ||
Utilities | 1.4 | % | ||
|
| |||
Total Long-Term Investments | 101.9 | % | ||
Short-Term Investments and Other Assets and Liabilities | (1.9 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
| |||
26
March 31, 2017 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES — 100.5% | ||||||||
CORPORATE DEBT — 30.0% | ||||||||
Aerospace & Defense — 0.2% | ||||||||
United Technologies Corp. STEP | $ | 1,717,000 | $ | 1,716,515 | ||||
|
| |||||||
Airlines — 1.0% | ||||||||
America West Airlines, Inc. | 686,479 | 768,856 | ||||||
Continental Airlines, Inc. | 3,583,632 | 3,941,995 | ||||||
Continental Airlines, Inc. | 484,108 | 514,365 | ||||||
Continental Airlines, Inc. | 1,984,096 | 2,172,585 | ||||||
US Airways, Inc. | 1,252,835 | 1,447,025 | ||||||
|
| |||||||
8,844,826 | ||||||||
|
| |||||||
Auto Manufacturers — 0.6% | ||||||||
Ford Motor Credit Co. LLC | 900,000 | 902,287 | ||||||
Ford Motor Credit Co. LLC | 700,000 | 701,981 | ||||||
Ford Motor Credit Co. LLC | 1,500,000 | 1,527,357 | ||||||
General Motors Co. | 1,110,000 | 1,134,366 | ||||||
General Motors Financial Co., Inc. | 200,000 | 200,759 | ||||||
General Motors Financial Co., Inc. | 1,400,000 | 1,410,710 | ||||||
|
| |||||||
5,877,460 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.0% | ||||||||
The Goodyear Tire & Rubber Co. | 450,000 | 450,000 | ||||||
|
| |||||||
Banks — 9.5% | ||||||||
Bank of America Corp. | 8,100,000 | 8,120,704 | ||||||
Bank of America Corp. | 9,815,000 | 10,211,703 | ||||||
Capital One NA | 2,025,000 | 2,037,755 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + | 2,000,000 | 1,615,000 | ||||||
Citigroup, Inc. | 1,000,000 | 999,716 | ||||||
Citigroup, Inc. | 2,000,000 | 2,001,028 | ||||||
Citigroup, Inc. | 3,075,000 | 3,085,563 |
Principal Amount | Value | |||||||
Credit Suisse AG 3 mo. USD LIBOR + .490%, FRN | $ | 2,115,000 | $ | 2,116,373 | ||||
Discover Bank | 1,565,000 | 1,566,318 | ||||||
Discover Bank | 2,120,000 | 2,207,791 | ||||||
The Goldman Sachs Group, Inc. | 2,000,000 | 2,010,964 | ||||||
The Goldman Sachs Group, Inc. | 1,150,000 | 1,177,981 | ||||||
The Goldman Sachs Group, Inc. | 4,055,000 | 4,074,776 | ||||||
The Goldman Sachs Group, Inc. | 2,000,000 | 2,065,344 | ||||||
The Goldman Sachs Group, Inc. | 2,000,000 | 2,083,560 | ||||||
JP Morgan Chase & Co. | 6,900,000 | 7,495,159 | ||||||
JP Morgan Chase Bank NA | 11,700,000 | 11,945,127 | ||||||
Morgan Stanley | 1,350,000 | 1,473,808 | ||||||
Morgan Stanley | 9,000,000 | 9,280,395 | ||||||
Santander UK Group Holdings PLC | 2,000,000 | 2,002,084 | ||||||
UBS AG | 2,000,000 | 2,000,404 | ||||||
Wachovia Corp. | 2,000,000 | 2,062,850 | ||||||
Wells Fargo & Co. | 145,000 | 144,585 | ||||||
Wells Fargo Bank NA | 2,500,000 | 2,492,107 | ||||||
Wells Fargo Bank NA | 3,010,000 | 3,020,138 | ||||||
|
| |||||||
87,291,233 | ||||||||
|
| |||||||
Beverages — 0.5% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 3,249,000 | 3,285,389 | ||||||
DS Services of America, Inc. (a) | 1,400,000 | 1,501,500 | ||||||
|
| |||||||
4,786,889 | ||||||||
|
| |||||||
Biotechnology — 0.5% | ||||||||
Amgen, Inc. | 1,500,000 | 1,500,933 | ||||||
Celgene Corp. | 676,000 | 690,942 | ||||||
Celgene Corp. | 160,000 | 158,687 |
The accompanying notes are an integral part of the financial statements.
27
MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Celgene Corp. | $ | 500,000 | $ | 523,358 | ||||
Gilead Sciences, Inc. | 2,095,000 | 1,953,740 | ||||||
|
| |||||||
4,827,660 | ||||||||
|
| |||||||
Chemicals — 0.1% | ||||||||
Axalta Coating Systems LLC (a) | 450,000 | 461,250 | ||||||
Valvoline, Inc. (a) | 450,000 | 472,500 | ||||||
|
| |||||||
933,750 | ||||||||
|
| |||||||
Commercial Services — 0.1% | ||||||||
IHS Markit Ltd. (a) | 500,000 | 523,750 | ||||||
|
| |||||||
Diversified Financial Services — 3.8% | ||||||||
American Express Co. | 2,500,000 | 2,625,203 | ||||||
CIT Group, Inc. | 1,406,000 | 1,443,786 | ||||||
Federal Home Loan Mortgage Corp. | 20,300,000 | 20,186,933 | ||||||
GE Capital International Funding Co. Unlimited Co. | 2,548,000 | 2,690,571 | ||||||
International Lease Finance Corp. (a) | 3,911,000 | 4,179,873 | ||||||
Protective Life Global Funding 3 mo. USD LIBOR + .550%, FRN (a) | 2,000,000 | 2,001,022 | ||||||
Protective Life Global Funding (a) | 1,495,000 | 1,505,842 | ||||||
|
| |||||||
34,633,230 | ||||||||
|
| |||||||
Electric — 2.2% | ||||||||
AEP Texas, Inc. (a) | 2,000,000 | 2,069,366 | ||||||
Entergy Louisiana LLC | 1,250,000 | 1,276,505 | ||||||
FirstEnergy Transmission LLC (a) | 2,000,000 | 2,184,616 | ||||||
IPALCO Enterprises, Inc. | 4,588,000 | 4,714,170 | ||||||
MidAmerican Energy Co. | 1,905,000 | 2,023,474 | ||||||
NextEra Energy Capital Holdings, Inc. | 4,000,000 | 4,012,892 | ||||||
Oncor Electric Delivery Co. LLC | 2,000,000 | 2,130,958 | ||||||
Public Service Electric & Gas Co. | 2,000,000 | 2,027,532 | ||||||
|
| |||||||
20,439,513 | ||||||||
|
|
Principal Amount | Value | |||||||
Entertainment — 0.1% | ||||||||
GLP Capital LP/GLP Financing II, Inc. | $ | 450,000 | $ | 464,625 | ||||
|
| |||||||
Food Services — 0.0% | ||||||||
Aramark Services, Inc. | 450,000 | 452,813 | ||||||
|
| |||||||
Foods — 0.4% | ||||||||
Chobani LLC/Chobani Finance Corp., Inc. (a) (b) | 230,000 | 235,463 | ||||||
Kraft Heinz Foods Co. | 1,000,000 | 938,403 | ||||||
Kraft Heinz Foods Co. | 1,750,000 | 1,826,566 | ||||||
Lamb Weston Holdings, Inc. (a) | 450,000 | 459,000 | ||||||
|
| |||||||
3,459,432 | ||||||||
|
| |||||||
Gas — 0.4% | ||||||||
KeySpan Gas East Corp. (a) | 2,837,000 | 3,441,179 | ||||||
|
| |||||||
Health Care – Products — 0.0% | ||||||||
Hill-Rom Holdings, Inc. (a) | 400,000 | 414,500 | ||||||
|
| |||||||
Health Care – Services — 0.7% | ||||||||
Aetna, Inc. | 2,600,000 | 2,600,047 | ||||||
Centene Corp. | 680,000 | 683,829 | ||||||
DaVita, Inc. | 400,000 | 401,000 | ||||||
HCA, Inc. | 1,500,000 | 1,641,570 | ||||||
Tenet Healthcare Corp. 3 mo. USD LIBOR + 3.500%, FRN | 750,000 | 753,750 | ||||||
Tenet Healthcare Corp. | 180,000 | 190,350 | ||||||
WellCare Health Plans, Inc. | 408,000 | 417,506 | ||||||
|
| |||||||
6,688,052 | ||||||||
|
| |||||||
Insurance — 1.3% | ||||||||
Farmers Exchange Capital II 3 mo. USD LIBOR + 3.744%, VRN (a) | 1,750,000 | 1,892,065 | ||||||
Farmers Exchange Capital III 3 mo. USD LIBOR + 3.454%, VRN (a) | 3,290,000 | 3,311,385 | ||||||
The Guardian Life Insurance Co. of America (a) | 3,000,000 | 3,054,354 |
The accompanying notes are an integral part of the financial statements.
28
MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Teachers Insurance & Annuity Association of America 3 mo. | $ | 4,000,000 | $ | 3,950,000 | ||||
|
| |||||||
12,207,804 | ||||||||
|
| |||||||
Media — 0.8% | ||||||||
Altice US Finance I Corp. (a) | 500,000 | 515,625 | ||||||
Altice US Finance I Corp. (a) | 200,000 | 205,500 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. (a) (b) | 740,000 | 743,700 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 3,945,000 | 4,168,555 | ||||||
CSC Holdings LLC (a) | 700,000 | 711,375 | ||||||
CSC Holdings LLC | 233,000 | 255,718 | ||||||
DISH DBS Corp. | 200,000 | 210,124 | ||||||
DISH DBS Corp. | 260,000 | 280,637 | ||||||
|
| |||||||
7,091,234 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.3% | ||||||||
General Electric Co. | 716,000 | 903,698 | ||||||
Siemens Financieringsmaatschappij NV (a) | 1,575,000 | 1,518,476 | ||||||
|
| |||||||
2,422,174 | ||||||||
|
| |||||||
Oil & Gas — 0.2% | ||||||||
Anadarko Petroleum Corp. | 1,000,000 | 943,294 | ||||||
Noble Energy, Inc. | 1,100,000 | 1,114,962 | ||||||
|
| |||||||
2,058,256 | ||||||||
|
| |||||||
Packaging & Containers — 0.0% | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu | 270,000 | 277,765 | ||||||
|
| |||||||
Pharmaceuticals — 1.0% | ||||||||
AbbVie, Inc. | 1,250,000 | 1,201,596 | ||||||
AbbVie, Inc. | 1,000,000 | 997,350 | ||||||
Actavis Funding SCS | 1,630,000 | 1,644,870 |
Principal Amount | Value | |||||||
AstraZeneca PLC | $ | 1,200,000 | $ | 1,208,215 | ||||
Grifols Worldwide Operations Ltd. | 200,000 | 207,600 | ||||||
Shire Acquisitions Investments Ireland DAC | 3,000,000 | 2,978,379 | ||||||
Valeant Pharmaceuticals International, Inc. (a) | 400,000 | 308,000 | ||||||
Valeant Pharmaceuticals International, Inc. (a) | 650,000 | 504,563 | ||||||
Valeant Pharmaceuticals International, Inc. (a) | 450,000 | 346,500 | ||||||
|
| |||||||
9,397,073 | ||||||||
|
| |||||||
Pipelines — 1.3% | ||||||||
Boardwalk Pipelines LP | 1,000,000 | 974,476 | ||||||
Energy Transfer Partners LP | 790,000 | 785,224 | ||||||
Energy Transfer Partners LP 3 mo. USD LIBOR + 3.018%, FRN | 440,000 | 371,800 | ||||||
Energy Transfer Partners LP | 750,000 | 776,535 | ||||||
EnLink Midstream Partners LP | 600,000 | 565,007 | ||||||
Florida Gas Transmission Co. LLC (a) | 800,000 | 887,501 | ||||||
Kinder Morgan Energy Partners LP | 2,000,000 | 1,968,430 | ||||||
Kinder Morgan Energy Partners LP | 2,000,000 | 2,025,132 | ||||||
Rockies Express Pipeline LLC (a) | 1,108,000 | 1,157,860 | ||||||
Williams Partners LP | 2,000,000 | 2,028,756 | ||||||
Williams Partners LP | 1,000,000 | 991,621 | ||||||
|
| |||||||
12,532,342 | ||||||||
|
| |||||||
Real Estate — 0.3% | ||||||||
American Campus Communities Operating Partnership LP | 3,000,000 | 3,048,408 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 2.9% | ||||||||
Alexandria Real Estate Equities, Inc. | 2,000,000 | 2,124,914 | ||||||
Boston Properties LP | 3,495,000 | 3,582,032 |
The accompanying notes are an integral part of the financial statements.
29
MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
DDR Corp. | $ | 1,130,000 | $ | 1,130,000 | ||||
Equinix, Inc. | 587,000 | 606,078 | ||||||
HCP, Inc. | 3,500,000 | 3,610,296 | ||||||
HCP, Inc. | 1,500,000 | 1,504,452 | ||||||
Highwoods Realty LP | 1,476,000 | 1,558,702 | ||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | 250,000 | 263,750 | ||||||
National Retail Properties, Inc. | 2,725,000 | 2,799,038 | ||||||
SBA Communications Corp. (a) | 478,000 | 471,929 | ||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC (a) | 4,845,000 | 4,846,197 | ||||||
Welltower, Inc. | 1,300,000 | 1,331,542 | ||||||
Welltower, Inc. | 2,825,000 | 2,862,089 | ||||||
|
| |||||||
26,691,019 | ||||||||
|
| |||||||
Retail — 0.3% | ||||||||
CVS Health Corp. | 900,000 | 945,169 | ||||||
Walgreens Boots Alliance, Inc. | 1,500,000 | 1,497,927 | ||||||
|
| |||||||
2,443,096 | ||||||||
|
| |||||||
Semiconductors — 0.1% | ||||||||
NXP BV/NXP Funding LLC (a) | 500,000 | 518,750 | ||||||
|
| |||||||
Software — 0.3% | ||||||||
First Data Corp. (a) | 1,012,000 | 1,029,710 | ||||||
Microsoft Corp. | 600,000 | 569,182 | ||||||
MSCI, Inc. (a) | 400,000 | 404,000 | ||||||
Quintiles IMS, Inc. (a) | 500,000 | 506,875 | ||||||
|
| |||||||
2,509,767 | ||||||||
|
| |||||||
Telecommunications — 1.1% | ||||||||
AT&T, Inc. | 2,900,000 | 2,705,952 | ||||||
AT&T, Inc. | 1,500,000 | 1,406,117 |
Principal Amount | Value | |||||||
AT&T, Inc. | $ | 1,875,000 | $ | 1,911,476 | ||||
Sprint Communications, Inc. (a) | 1,000,000 | 1,088,750 | ||||||
T-Mobile USA, Inc. | 300,000 | 309,750 | ||||||
Verizon Communications, Inc. | 2,665,000 | 2,562,128 | ||||||
|
| |||||||
9,984,173 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $275,524,837) | 276,427,288 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 1.6% | ||||||||
City of New York NY | 1,750,000 | 2,291,537 | ||||||
New York City Water & Sewer System BAB | 10,000,000 | 11,129,500 | ||||||
New York State Dormitory Authority 5.051% 9/15/27 | 600,000 | 689,286 | ||||||
State of California | 700,000 | 807,072 | ||||||
|
| |||||||
14,917,395 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $13,812,702) | 14,917,395 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 16.1% | ||||||||
Automobile ABS — 0.1% | ||||||||
Nissan Auto Receivables Owner Trust, Series 2015-C, Class A2A | 1,332,072 | 1,330,980 | ||||||
|
| |||||||
Commercial MBS — 2.0% | ||||||||
Banc of America Large Loan, Inc., Series 2009-UB2, Class A4AA, VRN (a) | 456,891 | 458,084 | ||||||
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class A (a) | 1,310,000 | 1,336,995 | ||||||
COMM Mortgage Trust, Series 2016-787S, Class A (a) | 1,280,000 | 1,306,849 | ||||||
COMM Mortgage Trust, | 1,340,000 | 1,388,875 |
The accompanying notes are an integral part of the financial statements.
30
MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
COMM Mortgage Trust, | $ | 1,240,000 | $ | 1,342,526 | ||||
Fannie Mae-Aces, Series 2014-M6, Class FA, 1 mo. USD | 501,648 | 501,235 | ||||||
GS Mortgage Securities Trust, Series 2011-GC3, Class A4, CMO, 144A (a) 4.753% 3/10/44 | 4,323,468 | 4,623,620 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2011-C3, Class A4 (a) | 3,100,000 | 3,339,167 | ||||||
Liberty Street Trust, Series 2016-225L, Class A (a) | 1,280,000 | 1,311,942 | ||||||
RBS Commercial Funding, Inc. Trust, Series 2013-GSP, Class A, VRN (a) | 1,320,000 | 1,390,471 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3, VRN | 973,982 | 972,733 | ||||||
|
| |||||||
17,972,497 | ||||||||
|
| |||||||
Credit Card ABS — 0.6% | ||||||||
Chase Issuance Trust, | 2,655,000 | 2,658,544 | ||||||
Citibank Credit Card Issuance Trust, Series 2008-A2, Class A2, 1 mo. USD LIBOR + 1.150%, FRN | 2,660,000 | 2,682,686 | ||||||
|
| |||||||
5,341,230 | ||||||||
|
| |||||||
Home Equity ABS — 1.6% | ||||||||
Accredited Mortgage Loan Trust, | 187,274 | 187,206 | ||||||
Bear Stearns Asset-Backed Securities Trust, Series 2007-HE4, Class 1A2, 1 mo. USD LIBOR + .190%, FRN | 1,235,592 | 1,261,067 | ||||||
Home Equity Asset Trust, Series 2006-3, Class 1A1, 1 mo. USD LIBOR + .200%, FRN | 4,465,182 | 4,414,508 | ||||||
Home Equity Asset Trust, Series 2003-4, Class M1, 1 mo. USD LIBOR + 1.200%, FRN | 4,600,627 | 4,356,201 |
Principal Amount | Value | |||||||
Residential Asset Securities Corp., Series 2005-KS11, Class M1, 1 mo. USD LIBOR + .400%, FRN | $ | 4,600,000 | $ | 4,574,781 | ||||
|
| |||||||
14,793,763 | ||||||||
|
| |||||||
Other ABS — 2.5% | ||||||||
Carrington Mortgage Loan Trust, | 1,037,089 | 1,028,895 | ||||||
Countrywide Asset-Backed Certificates, | 404,280 | 394,365 | ||||||
Countrywide Asset-Backed Certificates, | 95,902 | 95,868 | ||||||
Countrywide Asset-Backed Certificates, | 1,153,906 | 1,127,759 | ||||||
Dryden Senior Loan Fund, | 3,650,000 | 3,676,039 | ||||||
First Franklin Mortgage Loan Trust, | 1,534,896 | 1,469,741 | ||||||
Lehman XS Trust, | 817,428 | 779,784 | ||||||
Magnetite CLO Ltd., | 3,630,000 | 3,635,111 | ||||||
Morgan Stanley Capital I, Inc. Trust, | 6,395,081 | 6,177,176 | ||||||
Structured Asset Investment Loan Trust, Series 2005-8, Class A4, 1 mo. USD LIBOR + .360%, FRN | 3,568,362 | 3,561,381 | ||||||
Wells Fargo Home Equity Trust, | 1,381,664 | 1,383,449 | ||||||
|
| |||||||
23,329,568 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
31
MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Student Loans ABS — 5.8% | ||||||||
Access Group, Inc., | $ | 3,971,708 | $ | 3,944,932 | ||||
Education Loan Asset-Backed Trust I, | 4,100,000 | 3,990,254 | ||||||
Goal Capital Funding Trust, | 3,551,770 | 3,526,390 | ||||||
Navient Student Loan Trust, | 7,680,000 | 7,406,282 | ||||||
Nelnet Student Loan Trust, | 5,319,180 | 5,273,805 | ||||||
SLC Student Loan Trust, | 7,720,000 | 7,198,696 | ||||||
SLC Student Loan Trust, | 7,380,000 | 6,730,028 | ||||||
SLM Student Loan Trust, Series 2012-7, Class A2, 1 mo. USD LIBOR + .280%, FRN | 1,752,565 | 1,751,780 | ||||||
SLM Student Loan Trust, | 3,172,060 | 2,879,982 | ||||||
SLM Student Loan Trust, Series 2008-5, Class B, 3 mo. USD LIBOR + 1.850%, FRN | 3,735,000 | 3,673,754 | ||||||
SLM Student Loan Trust, | 3,630,000 | 3,672,215 | ||||||
Wachovia Student Loan Trust, | 3,300,000 | 3,022,255 | ||||||
|
| |||||||
53,070,373 | ||||||||
|
|
Principal Amount | Value | |||||||
WL Collateral CMO — 3.5% | ||||||||
Bear Stearns ALT-A Trust, | $ | 3,440,191 | $ | 3,204,569 | ||||
Citigroup Mortgage Loan Trust, Inc., | 21,585 | 21,247 | ||||||
First Horizon Alternative Mortgage Securities Trust, | 5,498,266 | 5,062,938 | ||||||
IndyMac Index Mortgage Loan Trust, | 2,252,993 | 2,203,495 | ||||||
JP Morgan Mortgage Trust, | 1,641,370 | 1,633,709 | ||||||
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A1, VRN | 2,414,036 | 2,375,157 | ||||||
Morgan Stanley Resecuritization Trust, | 5,037,547 | 4,863,549 | ||||||
RALI Trust, Series 2006-QA7, Class 2A1, 1 mo. USD LIBOR + ..185%, FRN | 1,477,632 | 1,252,351 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | 2,357,819 | 2,176,173 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-7, Class 4CB | 4,994,882 | 3,365,074 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class IIA1, VRN | 976,454 | 1,036,487 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-2, Class 1A1 | 1,506,774 | 1,502,069 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | 3,935,707 | 3,564,177 | ||||||
|
| |||||||
32,260,995 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
32
MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $145,687,092) | $ | 148,099,406 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 30.1% | ||||||||
Collateralized Mortgage Obligations — 1.5% | ||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||||||
Series KS02, Class A | $ | 2,952,315 | 2,954,284 | |||||
Series KJ05, Class A1 | 4,455,264 | 4,396,199 | ||||||
Series K040, Class A2 | 3,345,000 | 3,465,049 | ||||||
Series K151, Class A3 | 2,870,000 | 2,912,055 | ||||||
|
| |||||||
13,727,587 | ||||||||
|
| |||||||
Pass-Through Securities — 28.6% | ||||||||
Federal Home Loan Mortgage Corp. | 5,206,431 | 5,216,803 | ||||||
Pool #G18596 3.000% | 1,153,099 | 1,184,539 | ||||||
Pool #G08715 3.000% | 5,376,861 | 5,333,174 | ||||||
Pool #G08721 3.000% | 727,620 | 721,708 | ||||||
Pool #G08726 3.000% | 9,755,334 | 9,673,023 | ||||||
Pool #G08732 3.000% | 6,631,597 | 6,575,643 | ||||||
Pool #G08741 3.000% | 3,989,778 | 3,956,114 | ||||||
Pool #G08747 3.000% | 1,292,772 | 1,281,864 | ||||||
Pool #G07848 3.500% | 10,972,755 | 11,338,371 | ||||||
Pool #G07924 3.500% | 4,412,836 | 4,539,187 | ||||||
Pool #G60138 3.500% | 7,045,793 | 7,255,241 | ||||||
Pool #G08681 3.500% | 6,536,705 | 6,691,186 | ||||||
Pool #G08698 3.500% | 9,099,092 | 9,314,129 | ||||||
Pool #G08702 3.500% | 3,699,818 | 3,787,255 |
Principal Amount | Value | |||||||
Pool #G08711 3.500% | $ | 5,547,363 | $ | 5,676,729 | ||||
Pool #G08716 3.500% | 7,860,594 | 8,043,905 | ||||||
Federal National Mortgage Association | 2,200,000 | 2,194,774 | ||||||
Pool #MA2740 2.500% | 4,686,516 | 4,754,434 | ||||||
Pool #AN2275 2.680% | 2,940,000 | 2,826,427 | ||||||
Pool #AN1609 2.950% | 2,285,124 | 2,232,584 | ||||||
Pool #MA1607 3.000% | 5,552,846 | 5,671,061 | ||||||
Pool #AN1282 3.010% | 820,000 | 818,215 | ||||||
Pool #466386 3.430% | 2,911,686 | 3,023,958 | ||||||
Pool #AN0877 3.500% | 979,177 | 1,007,624 | ||||||
Pool #AB4262 3.500% | 4,841,019 | 5,056,028 | ||||||
Pool #MA1148 3.500% | 10,126,808 | 10,364,551 | ||||||
Pool #466216 3.540% | 2,500,000 | 2,607,309 | ||||||
Pool #AM7122 3.610% | 1,901,321 | 1,954,694 | ||||||
Pool #AM4407 3.650% | 1,924,199 | 2,040,647 | ||||||
Pool #AX2491 4.000% | 3,070,546 | 3,221,434 | ||||||
Pool #AL9027 4.000% | 6,795,102 | 7,129,017 | ||||||
Pool #AL9549 4.000% | 2,989,707 | 3,136,623 | ||||||
Pool #FN0003 4.283% | 2,714,492 | 2,901,590 | ||||||
Pool #468066 4.295% | 4,134,310 | 4,445,821 | ||||||
Pool #AL9106 4.500% | 1,362,270 | 1,463,961 | ||||||
Pool #AL9105 4.500% | 2,724,006 | 2,924,795 | ||||||
Federal National Mortgage Association TBA | 6,025,000 | 6,177,978 | ||||||
Pool #6237 3.000% | 4,725,000 | 4,685,133 |
The accompanying notes are an integral part of the financial statements.
33
MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #1058 3.500% | $ | 2,090,000 | $ | 2,138,005 | ||||
Pool #11192 4.000% | 9,100,000 | 9,545,758 | ||||||
Pool #20567 4.500% | 34,965,000 | 37,497,232 | ||||||
Government National Mortgage Association II | 7,142,016 | 7,212,599 | ||||||
Pool #MA3521 3.500% | 4,574,886 | 4,750,554 | ||||||
Pool #MA3597 3.500% | 4,775,792 | 4,959,175 | ||||||
Pool #MA3663 3.500% | 3,391,017 | 3,521,227 | ||||||
Pool #MA4127 3.500% | 4,966,958 | 5,156,517 | ||||||
Government National Mortgage Association II TBA | 5,045,000 | 5,089,932 | ||||||
Pool #304 3.500% | 4,555,000 | 4,723,321 | ||||||
Pool #1235 4.000% | 7,425,000 | 7,843,236 | ||||||
|
| |||||||
263,665,085 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $280,483,583) | 277,392,672 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 22.7% | ||||||||
U.S. Treasury Bonds & Notes — 22.7% | ||||||||
U.S. Treasury Bond | 6,925,000 | 6,721,145 | ||||||
U.S. Treasury Bond | 36,570,000 | 36,447,147 | ||||||
U.S. Treasury Inflation Index | 9,439,713 | 9,463,840 | ||||||
U.S. Treasury Inflation Index | 7,263,747 | 6,914,564 | ||||||
U.S. Treasury Note | 5,830,000 | 5,823,396 | ||||||
U.S. Treasury Note | 20,595,000 | 20,189,857 | ||||||
U.S. Treasury Note | 10,345,000 | 10,323,259 | ||||||
U.S. Treasury Note | 46,920,000 | 46,822,496 | ||||||
U.S. Treasury Note | 20,160,000 | 20,109,600 |
Principal Amount | Value | |||||||
U.S. Treasury Note | $ | 47,315,000 | $ | 46,716,172 | ||||
|
| |||||||
209,531,476 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $208,660,199) | 209,531,476 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $924,168,413) | 926,368,237 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $924,168,413) | 926,368,237 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 7.4% | ||||||||
Repurchase Agreement — 2.3% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (c) | 21,705,544 | 21,705,544 | ||||||
|
| |||||||
Sovereign Debt Obligations — 3.9% | ||||||||
Japan Treasury Discount Bill JPY (d) | 1,400,000,000 | 12,575,919 | ||||||
Japan Treasury Discount Bill JPY (d) | 1,600,000,000 | 14,374,088 | ||||||
Japan Treasury Discount Bill JPY (d) | 1,020,000,000 | 9,166,385 | ||||||
|
| |||||||
36,116,392 | ||||||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 110,049 | 110,049 | ||||||
|
| |||||||
U.S. Treasury Bill — 1.2% | ||||||||
U.S. Treasury Bill (e) | 30,000 | 29,999 | ||||||
U.S. Treasury Bill (e) | 585,000 | 584,970 | ||||||
U.S. Treasury Bill | 10,180,000 | 10,175,042 | ||||||
|
| |||||||
10,790,011 | ||||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $67,910,099) | 68,721,996 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 107.9% (Cost $992,078,512) (f) | 995,090,233 | |||||||
Other Assets/(Liabilities) — (7.9)% | (73,257,128 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 921,833,105 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
34
MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)
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 |
CMO | Collateralized Mortgage Obligation |
JPY | Japanese Yen |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
WL | Whole Loan |
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 March 31, 2017, these securities amounted to a value of $92,327,450 or 10.02% 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 $21,705,635. 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 $22,142,022. |
(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 pledged/held as collateral for open futures contracts. (Note 2). |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
35
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 0.0% | ||||||||
PREFERRED STOCK — 0.0% | ||||||||
Financial — 0.0% | ||||||||
Banks — 0.0% | ||||||||
Citigroup Capital XIII, 3 mo. USD LIBOR + 6.370%, VRN | 6,050 | $ | 161,233 | |||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $162,660) | 161,233 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $162,660) | 161,233 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 96.0% | ||||||||
BANK LOANS — 3.8% | ||||||||
Airlines — 0.1% | ||||||||
American Airlines, Inc., 2017 Term Loan B | $ | 485,109 | 484,231 | |||||
|
| |||||||
Building Materials — 0.1% | ||||||||
American Builders & Contractors Supply Co., Inc., Term Loan B | 327,475 | 328,038 | ||||||
|
| |||||||
Coal — 0.1% | ||||||||
Murray Energy Corp., Term Loan B2 | 204,693 | 198,360 | ||||||
|
| |||||||
Commercial Services — 0.3% | ||||||||
Avolon TLB Borrower 1 (Luxembourg) Sarl, Term Loan B2 | 330,000 | 334,264 | ||||||
Brickman Group Ltd., 1st Lien Term Loan | 127,374 | 127,619 | ||||||
Jaguar Holding Co. II, 2015 Term Loan B | 340,739 | 341,591 | ||||||
Prime Security Services Borrower LLC, 2016 1st Lien Term Loan | 400,000 | 403,832 | ||||||
|
| |||||||
1,207,306 | ||||||||
|
| |||||||
Computers — 0.1% | ||||||||
Dell, Inc., Term Loan A2 | 395,000 | 394,704 | ||||||
|
| |||||||
Diversified Financial Services — 0.0% | ||||||||
Ziggo Secured Finance Partnership, USD Term Loan E | 170,000 | 169,716 | ||||||
|
|
Principal Amount | Value | |||||||
Electric — 0.3% | ||||||||
Energy Future Intermediate Holding Co. LLC, 2016 DIP Term Loan | $ | 1,060,000 | $ | 1,058,230 | ||||
|
| |||||||
Entertainment — 0.1% | ||||||||
Aristocrat Leisure Limited, 2017 Term Loan B | 35,514 | 35,703 | ||||||
UPC Financing Partnership, USD Term Loan AP | 340,000 | 340,707 | ||||||
|
| |||||||
376,410 | ||||||||
|
| |||||||
Food Service — 0.1% | ||||||||
Aramark Services, Inc., 2017 USD Term Loan B | 350,000 | 351,750 | ||||||
|
| |||||||
Health Care – Services — 0.2% | ||||||||
DaVita HealthCare Partners, Inc., Term Loan B | 308,414 | 311,693 | ||||||
HCA, Inc., Term Loan B8 | 349,125 | 351,932 | ||||||
MPH Acquisition Holdings LLC, 2016 Term Loan B | 291,873 | 295,416 | ||||||
|
| |||||||
959,041 | ||||||||
|
| |||||||
Holding Company – Diversified — 0.2% | ||||||||
Reynolds Group Holdings, Inc., USD 2017 Term Loan | 667,541 | 669,837 | ||||||
|
| |||||||
Investment Companies — 0.0% | ||||||||
RPI Finance Trust, Term Loan B5 | 34,501 | 34,561 | ||||||
|
| |||||||
Lodging — 0.3% | ||||||||
Boyd Gaming Corp., 2017 Term Loan B2 | 360,585 | 362,330 | ||||||
Four Seasons Holdings, Inc., New 1st Lien Term Loan | 299,250 | 302,243 | ||||||
Hilton Worldwide Finance LLC, Term Loan B2 | 378,599 | 381,222 | ||||||
|
| |||||||
1,045,795 | ||||||||
|
| |||||||
Media — 0.5% | ||||||||
CBS Radio, Inc., Term Loan B | 373,965 | 377,704 | ||||||
Charter Communications Operating LLC, 2016 Term Loan I Add | 317,594 | 318,963 |
The accompanying notes are an integral part of the financial statements.
36
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
CSC Holdings LLC, 2016 Term Loan | $ | 65,789 | $ | 65,605 | ||||
Numericable U.S. LLC, USD Term Loan B10 | 349,125 | 349,125 | ||||||
Univision Communications, Inc., Term Loan C5 | 763,554 | 758,461 | ||||||
|
| |||||||
1,869,858 | ||||||||
|
| |||||||
Packaging & Containers — 0.2% | ||||||||
Berry Plastics Group, Inc., Term Loan I | 284,398 | 286,056 | ||||||
Berry Plastics Group, Inc., Term Loan J | 350,000 | 352,090 | ||||||
|
| |||||||
638,146 | ||||||||
|
| |||||||
Pharmaceuticals — 0.1% | ||||||||
DPx Holdings B.V., 2014 USD Incremental Term Loan | 352,746 | 352,746 | ||||||
Valeant Pharmaceuticals International, Inc., Term Loan B F1 | 251,008 | 251,563 | ||||||
|
| |||||||
604,309 | ||||||||
|
| |||||||
Retail — 0.6% | ||||||||
1011778 B.C. ULC, Term Loan B3 | 353,963 | 354,111 | ||||||
Academy, Ltd., 2015 Term Loan B | 306,143 | 225,321 | ||||||
Albertsons LLC, USD 2016 Term Loan B4 | 238,802 | 239,777 | ||||||
Albertsons LLC, USD 2016 Term Loan B6 | 379,050 | 380,946 | ||||||
Michaels Stores, Inc., 2016 Term Loan B1 | 323,988 | 322,909 | ||||||
The Neiman Marcus Group, Inc., 2020 Term Loan | 34,152 | 27,395 | ||||||
Party City Holdings, Inc., 2016 Term Loan | 357,031 | 355,945 | ||||||
Petco Animal Supplies, Inc., 2017 Term Loan B | 278,392 | 261,758 | ||||||
PetSmart, Inc., Term Loan B2 | 443,175 | 422,678 | ||||||
|
| |||||||
2,590,840 | ||||||||
|
| |||||||
Software — 0.1% | ||||||||
First Data Corp., 2016 USD Term Loan | 336,404 | 338,867 | ||||||
|
|
Principal Amount | �� | Value | ||||||
Telecommunications — 0.2% | ||||||||
Level 3 Financing, Inc., 2017 Term Loan B | $ | 370,000 | $ | 370,463 | ||||
Virgin Media Investment Holdings Limited, USD Term Loan I | 318,737 | 319,435 | ||||||
|
| |||||||
689,898 | ||||||||
|
| |||||||
Transportation — 0.2% | ||||||||
Air Medical Group Holdings, Inc., Term Loan B | 157,200 | 157,052 | ||||||
Flying Fortress, Inc., New Term Loan | 350,000 | 352,772 | ||||||
XPO Logistics, Inc., 2017 Term Loan B | 332,226 | 333,004 | ||||||
|
| |||||||
842,828 | ||||||||
|
| |||||||
TOTAL BANK LOANS (Cost $14,986,154) | 14,852,725 | |||||||
|
| |||||||
CORPORATE DEBT — 23.5% | ||||||||
Advertising — 0.0% | ||||||||
WPP Finance 2010 | 60,000 | 60,218 | ||||||
|
| |||||||
Aerospace & Defense — 0.3% | ||||||||
Boeing Capital Corp. | 150,000 | 161,433 | ||||||
The Boeing Co. | 10,000 | 10,875 | ||||||
The Boeing Co. | 130,000 | 140,362 | ||||||
Harris Corp. | 80,000 | 87,532 | ||||||
Lockheed Martin Corp. | 350,000 | 355,720 | ||||||
Lockheed Martin Corp. | 60,000 | 63,722 | ||||||
Raytheon Co. | 120,000 | 124,008 | ||||||
United Technologies Corp. | 100,000 | 105,836 | ||||||
|
| |||||||
1,049,488 | ||||||||
|
| |||||||
Agriculture — 0.5% | ||||||||
Altria Group, Inc. | 210,000 | 210,426 | ||||||
Altria Group, Inc. | 290,000 | 314,149 | ||||||
Altria Group, Inc. | 90,000 | 102,651 | ||||||
Altria Group, Inc. | 180,000 | 209,099 |
The accompanying notes are an integral part of the financial statements.
37
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Philip Morris International, Inc. | $ | 80,000 | $ | 79,042 | ||||
Philip Morris International, Inc. | 240,000 | 242,894 | ||||||
Philip Morris International, Inc. | 80,000 | 81,463 | ||||||
Reynolds American, Inc. | 65,000 | 66,694 | ||||||
Reynolds American, Inc. | 370,000 | 434,530 | ||||||
Reynolds American, Inc. | 10,000 | 11,274 | ||||||
|
| |||||||
1,752,222 | ||||||||
|
| |||||||
Airlines — 0.1% | ||||||||
Delta Air Lines, Inc., Series 2007-1 Class A | 175,984 | 203,261 | ||||||
|
| |||||||
Auto Manufacturers — 0.4% | ||||||||
Fiat Chrysler Automobiles NV | 200,000 | 203,750 | ||||||
Ford Motor Co. | 140,000 | 131,527 | ||||||
Ford Motor Credit Co. LLC | 420,000 | 482,667 | ||||||
General Motors Co. | 300,000 | 330,402 | ||||||
General Motors Financial Co., Inc. | 20,000 | 20,275 | ||||||
General Motors Financial Co., Inc. | 30,000 | 30,229 | ||||||
General Motors Financial Co., Inc. | 10,000 | 10,319 | ||||||
General Motors Financial Co., Inc. | 60,000 | 60,522 | ||||||
General Motors Financial Co., Inc. | 80,000 | 84,126 | ||||||
Hyundai Capital America (a) | 70,000 | 70,108 | ||||||
Toyota Motor Credit Corp. | 290,000 | 289,894 | ||||||
|
| |||||||
1,713,819 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.1% | ||||||||
American Axle & Manufacturing Inc | 210,000 | 216,300 | ||||||
The Goodyear Tire & Rubber Co. | 110,000 | 112,750 | ||||||
The Goodyear Tire & Rubber Co. | 100,000 | 104,250 | ||||||
|
| |||||||
433,300 | ||||||||
|
|
Principal Amount | Value | |||||||
Banks — 5.9% | ||||||||
Bank of America Corp. | $ | 90,000 | $ | 90,559 | ||||
Bank of America Corp. | 290,000 | 285,978 | ||||||
Bank of America Corp. | 250,000 | 254,432 | ||||||
Bank of America Corp. | 270,000 | 279,935 | ||||||
Bank of America Corp. | 270,000 | 269,716 | ||||||
Bank of America Corp. | 290,000 | 302,916 | ||||||
Bank of America Corp. | 380,000 | 386,960 | ||||||
Bank of America Corp. | 50,000 | 51,277 | ||||||
Bank of America Corp. | 220,000 | 237,279 | ||||||
Bank of America Corp. | 220,000 | 238,870 | ||||||
Bank of America Corp. | 510,000 | 555,799 | ||||||
Bank of America Corp. | 210,000 | 230,316 | ||||||
Bank of America Corp. | 90,000 | 93,638 | ||||||
Bank of America Corp. | 30,000 | 30,791 | ||||||
Bank of America Corp. 3 mo. USD LIBOR + 3.705%, VRN | 200,000 | 210,500 | ||||||
Bank of America Corp. | 110,000 | 115,746 | ||||||
Bank of America Corp. | 40,000 | 44,592 | ||||||
Barclays Bank PLC (a) | 130,000 | 133,397 | ||||||
BNP Paribas SA | 130,000 | 130,385 | ||||||
BNP Paribas SA (a) | 260,000 | 259,933 | ||||||
Citigroup, Inc. | 1,070,000 | 1,080,257 | ||||||
Citigroup, Inc. | 340,000 | 346,432 | ||||||
Citigroup, Inc. | 610,000 | 617,346 | ||||||
Citigroup, Inc. | 441,000 | 459,464 | ||||||
Citigroup, Inc. | 40,000 | 39,515 |
The accompanying notes are an integral part of the financial statements.
38
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Citigroup, Inc. | $ | 16,000 | $ | 17,134 | ||||
Citigroup, Inc. 3 mo. USD LIBOR + 3.466%, VRN | 100,000 | 100,000 | ||||||
Citigroup, Inc. | 170,000 | 185,854 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + 4.230%, VRN | 40,000 | 41,750 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + 4.068%, VRN | 100,000 | 104,375 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + 3.905%, VRN | 500,000 | 520,630 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + 3.423%, VRN | 150,000 | 156,375 | ||||||
Citigroup, Inc. | 20,000 | 24,364 | ||||||
Citigroup, Inc. | 10,000 | 14,677 | ||||||
Commonwealth Bank of Australia (a) | 70,000 | 74,968 | ||||||
Cooperatieve Rabobank UA | 280,000 | 287,197 | ||||||
Cooperatieve Rabobank UA | 250,000 | 263,541 | ||||||
Cooperatieve Rabobank UA | 295,000 | 318,296 | ||||||
Cooperatieve Rabobank UA 3 mo. USD LIBOR + 10.868%, VRN (a) | 210,000 | 245,175 | ||||||
Credit Agricole SA 3 mo. USD LIBOR + 6.982%, VRN (a) | 480,000 | 533,400 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | 260,000 | 264,559 | ||||||
The Goldman Sachs Capital II 3 mo. USD LIBOR + .768%, VRN | 18,000 | 15,058 | ||||||
The Goldman Sachs Group, Inc. | 70,000 | 70,384 | ||||||
The Goldman Sachs Group, Inc. | 200,000 | 195,523 | ||||||
The Goldman Sachs Group, Inc. | 90,000 | 92,190 | ||||||
The Goldman Sachs Group, Inc. | 100,000 | 103,679 | ||||||
The Goldman Sachs Group, Inc. | 260,000 | 265,020 |
Principal Amount | Value | |||||||
The Goldman Sachs Group, Inc. | $ | 180,000 | $ | 189,638 | ||||
The Goldman Sachs Group, Inc. | 490,000 | 514,860 | ||||||
The Goldman Sachs Group, Inc. | 100,000 | 109,692 | ||||||
The Goldman Sachs Group, Inc. | 290,000 | 321,012 | ||||||
The Goldman Sachs Group, Inc. | 770,000 | 966,991 | ||||||
The Goldman Sachs Group, Inc. | 20,000 | 23,853 | ||||||
The Goldman Sachs Group, Inc. | 80,000 | 98,715 | ||||||
HSBC Holdings PLC | 490,000 | 501,134 | ||||||
HSBC Holdings PLC | 370,000 | 374,938 | ||||||
HSBC Holdings PLC | 330,000 | 332,289 | ||||||
HSBC Holdings PLC | 300,000 | 369,474 | ||||||
ING Bank NV (a) | 210,000 | 233,644 | ||||||
Intesa Sanpaolo SpA (a) | 450,000 | 423,329 | ||||||
JP Morgan Chase & Co. | 80,000 | 81,816 | ||||||
JP Morgan Chase & Co. | 300,000 | 304,075 | ||||||
JP Morgan Chase & Co. | 70,000 | 71,717 | ||||||
JP Morgan Chase & Co. | 40,000 | 42,808 | ||||||
JP Morgan Chase & Co. | 290,000 | 305,533 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 160,000 | 161,045 | ||||||
Morgan Stanley | 200,000 | 218,342 | ||||||
Nordea Bank AB (a) | 390,000 | 416,095 | ||||||
Royal Bank of Scotland Group PLC | 240,000 | 253,681 | ||||||
Royal Bank of Scotland Group PLC | 210,000 | 223,165 | ||||||
Royal Bank of Scotland Group PLC | 110,000 | 116,482 | ||||||
Royal Bank of Scotland NV | 70,000 | 71,642 | ||||||
Santander Holdings USA, Inc. | 50,000 | 50,925 |
The accompanying notes are an integral part of the financial statements.
39
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Standard Chartered PLC (a) | $ | 470,000 | $ | 484,631 | ||||
State Street Corp. STEP | 280,000 | 287,924 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 230,000 | 223,891 | ||||||
UBS Group Funding Jersey Ltd. (a) | 210,000 | 213,553 | ||||||
Wachovia Capital Trust III 3 mo. USD LIBOR + .930%, VRN | 630,000 | 630,378 | ||||||
Wells Fargo & Co. | 380,000 | 363,832 | ||||||
Wells Fargo & Co. | 120,000 | 121,095 | ||||||
Wells Fargo & Co. | 660,000 | 685,835 | ||||||
Wells Fargo & Co. | 180,000 | 174,326 | ||||||
Wells Fargo & Co. | 991,000 | 1,055,927 | ||||||
Wells Fargo & Co. | 40,000 | 43,003 | ||||||
Wells Fargo & Co. | 100,000 | 100,366 | ||||||
Wells Fargo & Co. | 320,000 | 326,918 | ||||||
Wells Fargo & Co. | 290,000 | 302,362 | ||||||
Wells Fargo & Co. | 110,000 | 122,497 | ||||||
Wells Fargo & Co. 3 mo. USD LIBOR + 3.990%, VRN | 70,000 | 75,456 | ||||||
Wells Fargo Bank NA | 250,000 | 256,755 | ||||||
|
| |||||||
22,885,826 | ||||||||
|
| |||||||
Beverages — 1.0% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 190,000 | 191,429 | ||||||
Anheuser-Busch InBev Finance, Inc. | 210,000 | 213,740 | ||||||
Anheuser-Busch InBev Finance, Inc. | 780,000 | 788,736 | ||||||
Anheuser-Busch InBev Finance, Inc. | 970,000 | 1,048,302 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 240,000 | 237,199 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 100,000 | 108,100 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 260,000 | 282,909 |
Principal Amount | Value | |||||||
Cott Holdings, Inc. (a) | $ | 150,000 | $ | 152,670 | ||||
Diageo Capital PLC | 200,000 | 216,529 | ||||||
Diageo Investment Corp. | 150,000 | 152,715 | ||||||
Molson Coors Brewing Co. | 210,000 | 199,696 | ||||||
Molson Coors Brewing Co. | 30,000 | 30,999 | ||||||
PepsiCo, Inc. | 50,000 | 49,716 | ||||||
Pernod Ricard SA (a) | 250,000 | 266,129 | ||||||
|
| |||||||
3,938,869 | ||||||||
|
| |||||||
Biotechnology — 0.3% | ||||||||
Amgen, Inc. | 30,000 | 30,745 | ||||||
Amgen, Inc. | 34,000 | 34,021 | ||||||
Celgene Corp. | 40,000 | 41,205 | ||||||
Celgene Corp. | 40,000 | 40,489 | ||||||
Celgene Corp. | 10,000 | 10,221 | ||||||
Celgene Corp. | 350,000 | 366,350 | ||||||
Celgene Corp. | 70,000 | 73,565 | ||||||
Gilead Sciences, Inc. | 210,000 | 215,717 | ||||||
Gilead Sciences, Inc. | 10,000 | 9,865 | ||||||
Gilead Sciences, Inc. | 200,000 | 203,998 | ||||||
|
| |||||||
1,026,176 | ||||||||
|
| |||||||
Chemicals — 0.2% | ||||||||
Equate Petrochemical BV (a) | 230,000 | 230,009 | ||||||
OCP SA (a) | 330,000 | 325,133 | ||||||
Potash Corp. of Saskatchewan, Inc. | 50,000 | 52,982 | ||||||
Westlake Chemical Corp. (a) | 40,000 | 41,540 | ||||||
Westlake Chemical Corp. (a) | 90,000 | 93,690 | ||||||
|
| |||||||
743,354 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
40
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Commercial Services — 0.1% | ||||||||
Ecolab, Inc. | $ | 50,000 | $ | 53,990 | ||||
UBM PLC (a) | 110,000 | 115,602 | ||||||
United Rentals North America, Inc. | 140,000 | 144,200 | ||||||
United Rentals North America, Inc. | 90,000 | 93,825 | ||||||
|
| |||||||
407,617 | ||||||||
|
| |||||||
Computers — 0.3% | ||||||||
Apple, Inc. | 370,000 | 350,000 | ||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (a) | 470,000 | 481,615 | ||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (a) | 400,000 | 418,298 | ||||||
|
| |||||||
1,249,913 | ||||||||
|
| |||||||
Diversified Financial Services — 1.5% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 150,000 | 154,020 | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 160,000 | 167,721 | ||||||
Ally Financial, Inc. | 80,000 | 80,600 | ||||||
Ally Financial, Inc. | 236,000 | 265,058 | ||||||
CIT Group Inc | 180,000 | 188,437 | ||||||
CIT Group, Inc. | 40,000 | 41,700 | ||||||
Federal National Mortgage Association | 1,460,000 | 1,393,337 | ||||||
GE Capital International Funding Co. Unlimited Co. | 215,000 | 215,930 | ||||||
GE Capital International Funding Co. Unlimited Co. | 380,000 | 401,263 | ||||||
HSBC Finance Corp. | 460,000 | 519,988 | ||||||
ILFC E-Capital Trust II VRN (a) | 10,000 | 9,400 | ||||||
International Lease Finance Corp. | 70,000 | 77,971 | ||||||
International Lease Finance Corp. | 180,000 | 220,251 |
Principal Amount | Value | |||||||
KKR Group Finance Co. II LLC (a) | $ | 20,000 | $ | 20,831 | ||||
Quicken Loans, Inc. (a) | 90,000 | 88,425 | ||||||
Synchrony Financial | 200,000 | 200,802 | ||||||
UBS Group Funding Switzerland AG (a) | 500,000 | 503,227 | ||||||
UBS Group Funding Switzerland AG (a) | 700,000 | 710,030 | ||||||
Visa, Inc. | 490,000 | 491,694 | ||||||
Visa, Inc. | 260,000 | 272,854 | ||||||
|
| |||||||
6,023,539 | ||||||||
|
| |||||||
Electric — 0.8% | ||||||||
AES Corp. | 130,000 | 129,350 | ||||||
AES Corp. | 10,000 | 10,150 | ||||||
AES Corp. | 90,000 | 91,125 | ||||||
Berkshire Hathaway Energy Co. | 110,000 | 143,096 | ||||||
Duke Energy Corp. | 100,000 | 102,855 | ||||||
Exelon Corp. | 290,000 | 331,191 | ||||||
FirstEnergy Corp. | 70,000 | 70,256 | ||||||
FirstEnergy Corp. | 310,000 | 320,340 | ||||||
FirstEnergy Corp. Series C | 630,000 | 821,107 | ||||||
Majapahit Holding BV (b) | 370,000 | 417,434 | ||||||
Pacific Gas & Electric Co. | 110,000 | 135,818 | ||||||
Pacific Gas & Electric Co. | 520,000 | 650,996 | ||||||
Pacific Gas & Electric Co. | 50,000 | 54,741 | ||||||
|
| |||||||
3,278,459 | ||||||||
|
| |||||||
Engineering & Construction — 0.0% | ||||||||
ABB Finance USA, Inc. | 20,000 | 20,993 | ||||||
|
| |||||||
Entertainment — 0.0% | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 40,000 | 41,300 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
41
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Environmental Controls — 0.1% | ||||||||
Waste Management, Inc. | $ | 90,000 | $ | 93,002 | ||||
Waste Management, Inc. | 30,000 | 32,310 | ||||||
Waste Management, Inc. | 50,000 | 65,173 | ||||||
|
| |||||||
190,485 | ||||||||
|
| |||||||
Foods — 0.6% | ||||||||
Danone SA (a) | 250,000 | 243,291 | ||||||
Danone SA (a) | 310,000 | 299,980 | ||||||
Danone SA (a) | 550,000 | 525,777 | ||||||
Kraft Heinz Foods Co. | 170,000 | 173,898 | ||||||
Kraft Heinz Foods Co. | 136,000 | 147,758 | ||||||
Kraft Heinz Foods Co. | 100,000 | 101,518 | ||||||
Kraft Heinz Foods Co. | 120,000 | 112,608 | ||||||
Kraft Heinz Foods Co. (a) | 122,000 | 130,416 | ||||||
Kraft Heinz Foods Co. | 80,000 | 83,086 | ||||||
Kraft Heinz Foods Co. | 40,000 | 40,720 | ||||||
Kraft Heinz Foods Co. | 70,000 | 73,063 | ||||||
The Kroger Co. | 30,000 | 30,531 | ||||||
Lamb Weston Holdings, Inc. (a) | 120,000 | 122,400 | ||||||
Tyson Foods, Inc. | 40,000 | 41,927 | ||||||
WM Wrigley Jr. Co. (a) | 40,000 | 40,325 | ||||||
WM Wrigley Jr. Co. (a) | 130,000 | 132,318 | ||||||
WM Wrigley Jr. Co. (a) | 10,000 | 10,340 | ||||||
|
| |||||||
2,309,956 | ||||||||
|
| |||||||
Forest Products & Paper — 0.0% | ||||||||
Celulosa Arauco y Constitucion SA | 130,000 | 136,178 | ||||||
|
| |||||||
Health Care – Products — 0.4% | ||||||||
Abbott Laboratories | 210,000 | 209,736 |
Principal Amount | Value | |||||||
Abbott Laboratories | $ | 140,000 | $ | 144,334 | ||||
Abbott Laboratories | 160,000 | 165,739 | ||||||
Becton Dickinson & Co. | 65,000 | 66,909 | ||||||
Becton Dickinson & Co. | 50,000 | 52,193 | ||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (a) | 10,000 | 9,200 | ||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (a) | 40,000 | 38,100 | ||||||
Medtronic, Inc. | 180,000 | 184,121 | ||||||
Medtronic, Inc. | 260,000 | 266,044 | ||||||
Medtronic, Inc. | 190,000 | 204,005 | ||||||
Thermo Fisher Scientific, Inc. | 90,000 | 93,411 | ||||||
|
| |||||||
1,433,792 | ||||||||
|
| |||||||
Health Care – Services — 0.5% | ||||||||
Aetna, Inc. | 40,000 | 39,673 | ||||||
Anthem, Inc. | 20,000 | 20,174 | ||||||
Anthem, Inc. | 50,000 | 54,391 | ||||||
Anthem, Inc. | 50,000 | 50,256 | ||||||
Anthem, Inc. | 70,000 | 72,516 | ||||||
Catholic Health Initiatives | 20,000 | 17,051 | ||||||
Centene Corp. | 110,000 | 113,025 | ||||||
Centene Corp. | 80,000 | 80,450 | ||||||
Centene Corp. | 50,000 | 53,688 | ||||||
DaVita, Inc. | 20,000 | 20,050 | ||||||
Fresenius Medical Care US Finance II, | 50,000 | 50,550 | ||||||
Fresenius Medical Care US Finance II, | 70,000 | 71,050 |
The accompanying notes are an integral part of the financial statements.
42
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Fresenius Medical Care US Finance II, | $ | 50,000 | $ | 54,125 | ||||
HCA, Inc. | 70,000 | 73,675 | ||||||
HCA, Inc. | 190,000 | 209,000 | ||||||
HCA, Inc. | 80,000 | 86,400 | ||||||
HCA, Inc. | 60,000 | 65,663 | ||||||
HCA, Inc. | 40,000 | 45,750 | ||||||
Humana, Inc. | 40,000 | 40,176 | ||||||
Humana, Inc. | 190,000 | 194,272 | ||||||
Humana, Inc. | 70,000 | 70,894 | ||||||
Humana, Inc. | 10,000 | 10,454 | ||||||
Humana, Inc. | 60,000 | 62,934 | ||||||
Tenet Healthcare Corp. | 150,000 | 156,563 | ||||||
UnitedHealth Group, Inc. | 50,000 | 52,216 | ||||||
UnitedHealth Group, Inc. | 70,000 | 86,341 | ||||||
|
| |||||||
1,851,337 | ||||||||
|
| |||||||
Home Builders — 0.1% | ||||||||
NVR, Inc. | 100,000 | 103,473 | ||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. (a) | 120,000 | 123,600 | ||||||
|
| |||||||
227,073 | ||||||||
|
| |||||||
Household Products & Wares — 0.0% | ||||||||
Spectrum Brands, Inc. | 60,000 | 63,450 | ||||||
|
| |||||||
Housewares — 0.1% | ||||||||
Newell Brands, Inc. | 80,000 | 81,723 | ||||||
Newell Brands, Inc. | 170,000 | 175,708 | ||||||
Newell Brands, Inc. | 140,000 | 145,704 | ||||||
|
| |||||||
403,135 | ||||||||
|
|
Principal Amount | Value | |||||||
Insurance — 0.5% | ||||||||
American International Group, Inc. | $ | 210,000 | $ | 208,829 | ||||
American International Group, Inc. 3 mo. USD LIBOR + 2.056%, VRN | 234,000 | 238,680 | ||||||
Chubb INA Holdings, Inc. | 70,000 | 70,251 | ||||||
Chubb INA Holdings, Inc. | 80,000 | 80,957 | ||||||
Chubb INA Holdings, Inc. | 230,000 | 242,796 | ||||||
MetLife Capital Trust IV (a) | 200,000 | 246,000 | ||||||
MetLife, Inc. | 190,000 | 208,525 | ||||||
Teachers Insurance & Annuity Association of America (a) | 200,000 | 216,288 | ||||||
Teachers Insurance & Annuity Association of America (a) | 260,000 | 343,677 | ||||||
Voya Financial, Inc. STEP | 31,000 | 31,282 | ||||||
Voya Financial, Inc. | 160,000 | 177,302 | ||||||
|
| |||||||
2,064,587 | ||||||||
|
| |||||||
Internet — 0.1% | ||||||||
Amazon.com, Inc. | 180,000 | 203,338 | ||||||
Netflix, Inc. | 50,000 | 53,750 | ||||||
|
| |||||||
257,088 | ||||||||
|
| |||||||
Iron & Steel — 0.1% | ||||||||
ArcelorMittal STEP | 50,000 | 56,869 | ||||||
ArcelorMittal STEP | 60,000 | 68,100 | ||||||
Steel Dynamics, Inc. | 60,000 | 62,475 | ||||||
Vale Overseas Ltd. | 361,000 | 388,111 | ||||||
|
| |||||||
575,555 | ||||||||
|
| |||||||
Leisure Time — 0.0% | ||||||||
NCL Corp. Ltd. (a) | 140,000 | 142,975 | ||||||
NCL Corp. Ltd. (a) | 40,000 | 40,600 | ||||||
|
| |||||||
183,575 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
43
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Lodging — 0.1% | ||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. (a) | $ | 190,000 | $ | 191,900 | ||||
|
| |||||||
Machinery – Diversified — 0.0% | ||||||||
John Deere Capital Corp. | 40,000 | 39,712 | ||||||
John Deere Capital Corp. | 100,000 | 100,967 | ||||||
|
| |||||||
140,679 | ||||||||
|
| |||||||
Media — 0.9% | ||||||||
21st Century Fox America, Inc. | 20,000 | 23,581 | ||||||
21st Century Fox America, Inc. | 30,000 | 37,555 | ||||||
Altice Financing SA (a) | 200,000 | 208,200 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. (a) | 110,000 | 110,550 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
| 60,000 |
|
| 63,400 |
| ||
Comcast Corp. | 170,000 | 171,527 | ||||||
Comcast Corp. | 160,000 | 163,144 | ||||||
Comcast Corp. | 20,000 | 20,591 | ||||||
Comcast Corp. | 70,000 | 89,792 | ||||||
Comcast Corp. | 70,000 | 93,912 | ||||||
DISH DBS Corp. | 80,000 | 84,050 | ||||||
DISH DBS Corp. | 410,000 | 430,603 | ||||||
NBCUniversal Media LLC | 170,000 | 182,579 | ||||||
SFR Group SA (a) | 320,000 | 329,600 | ||||||
Time Warner Cable, Inc. | 140,000 | 145,646 | ||||||
Time Warner Cable, Inc. | 200,000 | 212,312 | ||||||
Time Warner Cable, Inc. | 10,000 | 11,467 | ||||||
Time Warner Cable, Inc. | 120,000 | 138,612 |
Principal Amount | Value | |||||||
Time Warner Cable, Inc. | $ | 210,000 | $ | 260,225 | ||||
Time Warner Cable, Inc. | 230,000 | 256,419 | ||||||
Time Warner Entertainment Co. LP | 20,000 | 26,686 | ||||||
Time Warner, Inc. | 200,000 | 214,697 | ||||||
Time Warner, Inc. | 20,000 | 22,967 | ||||||
Viacom, Inc. | 30,000 | 30,068 | ||||||
Viacom, Inc. | 50,000 | 51,485 | ||||||
|
| |||||||
3,379,668 | ||||||||
|
| |||||||
Mining — 0.7% | ||||||||
Barrick Gold Corp. | 54,000 | 57,900 | ||||||
Barrick Gold Corp. | 40,000 | 43,491 | ||||||
Barrick Gold Corp. | 61,000 | 66,928 | ||||||
Barrick North America Finance LLC | 44,000 | 47,165 | ||||||
Barrick North America Finance LLC | 180,000 | 203,650 | ||||||
Barrick North America Finance LLC | 210,000 | 243,365 | ||||||
BHP Billiton Finance USA Ltd. | 32,000 | 32,494 | ||||||
BHP Billiton Finance USA Ltd. | 130,000 | 145,580 | ||||||
BHP Billiton Finance USA Ltd. USD 5 year swap rate + 5.093%, VRN (a) | 500,000 | 565,500 | ||||||
FMG Resources August 2006 Pty Ltd. (a) | 30,000 | 34,388 | ||||||
Freeport-McMoRan, Inc. | 170,000 | 164,050 | ||||||
Freeport-McMoRan, Inc. | 80,000 | 67,700 | ||||||
Freeport-McMoRan, Inc. (a) | 26,000 | 26,585 | ||||||
Freeport-McMoRan, Inc. (a) | 36,000 | 37,170 | ||||||
Glencore Finance Canada Ltd. STEP (a) | 320,000 | 321,283 | ||||||
Glencore Funding LLC (a) | 260,000 | 256,683 | ||||||
Glencore Funding LLC (a) | 170,000 | 173,279 |
The accompanying notes are an integral part of the financial statements.
44
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Rio Tinto Finance USA Ltd. | $ | 20,000 | $ | 20,979 | ||||
Southern Copper Corp. | 400,000 | 392,101 | ||||||
|
| |||||||
2,900,291 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.3% | ||||||||
Eaton Corp. | 70,000 | 69,991 | ||||||
Eaton Corp. | 570,000 | 566,029 | ||||||
General Electric Co. | 10,000 | 10,748 | ||||||
General Electric Co. | 60,000 | 64,548 | ||||||
General Electric Co. | 170,000 | 186,603 | ||||||
General Electric Co. | 75,000 | 83,050 | ||||||
General Electric Co. | 86,000 | 108,545 | ||||||
General Electric Co. | 156,000 | 221,522 | ||||||
|
| |||||||
1,311,036 | ||||||||
|
| |||||||
Oil & Gas — 3.1% | ||||||||
Anadarko Petroleum Corp. | 390,000 | 417,204 | ||||||
Anadarko Petroleum Corp. | 20,000 | �� | 22,196 | |||||
Anadarko Petroleum Corp. | 60,000 | 70,817 | ||||||
Anadarko Petroleum Corp. | 430,000 | 520,183 | ||||||
Antero Resources Corp. | 10,000 | 10,271 | ||||||
Apache Corp. | 160,000 | 150,080 | ||||||
Apache Corp. | 90,000 | 89,841 | ||||||
Apache Corp. | 460,000 | 473,313 | ||||||
Apache Corp. | 30,000 | 33,939 | ||||||
BP Capital Markets PLC | 290,000 | 283,795 | ||||||
BP Capital Markets PLC | 300,000 | 301,537 | ||||||
BP Capital Markets PLC | 220,000 | 221,360 | ||||||
BP Capital Markets PLC | 20,000 | 20,824 |
Principal Amount | Value | |||||||
BP Capital Markets PLC | $ | 230,000 | $ | 231,549 | ||||
Chesapeake Energy Corp. | 20,000 | 18,200 | ||||||
Chevron Corp. | 380,000 | 375,453 | ||||||
CNOOC Finance 2015 USA LLC | 550,000 | 544,312 | ||||||
ConocoPhillips Holding Co. | 125,000 | 161,518 | ||||||
Continental Resources, Inc. | 10,000 | 9,731 | ||||||
Devon Energy Corp. | 100,000 | 99,063 | ||||||
Devon Energy Corp. | 330,000 | 331,100 | ||||||
Devon Energy Corp. | 400,000 | 423,018 | ||||||
Devon Energy Corp. | 170,000 | 194,992 | ||||||
Devon Financing Co. LLC | 60,000 | 77,495 | ||||||
Ecopetrol SA | 530,000 | 482,300 | ||||||
Ensco PLC | 115,000 | 116,437 | ||||||
EOG Resources, Inc. | 120,000 | 125,363 | ||||||
Exxon Mobil Corp. | 240,000 | 239,973 | ||||||
Exxon Mobil Corp. | 70,000 | 71,963 | ||||||
Kerr-McGee Corp. | 230,000 | 271,533 | ||||||
Kerr-McGee Corp. | 130,000 | 166,616 | ||||||
Noble Energy, Inc. | 120,000 | 124,787 | ||||||
Noble Energy, Inc. | 300,000 | 333,718 | ||||||
Occidental Petroleum Corp. | 130,000 | 125,062 | ||||||
Occidental Petroleum Corp. | 120,000 | 122,483 | ||||||
Occidental Petroleum Corp. | 170,000 | 169,672 | ||||||
Occidental Petroleum Corp. | 170,000 | 164,065 | ||||||
Occidental Petroleum Corp. | 50,000 | 50,707 | ||||||
Occidental Petroleum Corp. | 80,000 | 83,629 |
The accompanying notes are an integral part of the financial statements.
45
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Petrobras Global Finance BV | $ | 660,000 | $ | 677,490 | ||||
Petrobras Global Finance BV | 260,000 | 272,870 | ||||||
Petrobras Global Finance BV | 332,000 | 340,466 | ||||||
Petrobras Global Finance BV | 260,000 | 274,872 | ||||||
Petroleos Mexicanos | 220,000 | 214,548 | ||||||
Petroleos Mexicanos | 353,000 | 363,625 | ||||||
Petroleos Mexicanos | 160,000 | 177,600 | ||||||
QEP Resources, Inc. | 170,000 | 180,625 | ||||||
Range Resources Corp. | 40,000 | 38,300 | ||||||
Range Resources Corp. (a) | 200,000 | 197,000 | ||||||
Shell International Finance BV | 380,000 | 369,504 | ||||||
Shell International Finance BV | 60,000 | 57,433 | ||||||
Shell International Finance BV | 210,000 | 223,765 | ||||||
Shell International Finance BV | 190,000 | 192,680 | ||||||
Shell International Finance BV | 100,000 | 103,819 | ||||||
Sinopec Group Overseas Development 2014 Ltd. (a) | 330,000 | 348,493 | ||||||
SM Energy Co. | 20,000 | 18,900 | ||||||
Whiting Petroleum Corp. | 10,000 | 9,900 | ||||||
Whiting Petroleum Corp. | 200,000 | 199,000 | ||||||
WPX Energy, Inc. | 30,000 | 33,375 | ||||||
|
| |||||||
12,024,364 | ||||||||
|
| |||||||
Oil & Gas Services — 0.3% | ||||||||
Baker Hughes, Inc. | 55,000 | 56,342 | ||||||
Halliburton Co. | 240,000 | 243,023 | ||||||
Halliburton Co. | 30,000 | 31,676 | ||||||
Halliburton Co. | 420,000 | 442,509 |
Principal Amount | Value | |||||||
Schlumberger Holdings Corp. (a) | $ | 190,000 | $ | 194,280 | ||||
Schlumberger Holdings Corp. (a) | 150,000 | 156,327 | ||||||
Schlumberger Norge AS (a) | 10,000 | 10,612 | ||||||
SESI LLC | 20,000 | 20,250 | ||||||
|
| |||||||
1,155,019 | ||||||||
|
| |||||||
Packaging & Containers — 0.1% | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC | 10,000 | 10,288 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC STEP | 97,220 | 99,894 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu (a) |
| 60,000 |
|
| 61,650 |
| ||
WestRock RKT Co. | 80,000 | 82,106 | ||||||
WestRock RKT Co. | 30,000 | 30,965 | ||||||
|
| |||||||
284,903 | ||||||||
|
| |||||||
Pharmaceuticals — 0.6% | ||||||||
AbbVie, Inc. | 80,000 | 79,700 | ||||||
AbbVie, Inc. | 130,000 | 130,025 | ||||||
Actavis Funding SCS | 30,000 | 30,632 | ||||||
Actavis Funding SCS | 180,000 | 181,642 | ||||||
Actavis Funding SCS | 30,000 | 30,082 | ||||||
Actavis Funding SCS | 310,000 | 311,327 | ||||||
GlaxoSmithKline Capital PLC | 180,000 | 181,567 | ||||||
Johnson & Johnson | 690,000 | 684,256 | ||||||
Merck & Co., Inc. | 120,000 | 118,463 | ||||||
Valeant Pharmaceuticals International, Inc. (a) | 40,000 | 35,800 | ||||||
Valeant Pharmaceuticals International, Inc. (a) | 80,000 | 82,300 |
The accompanying notes are an integral part of the financial statements.
46
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Valeant Pharmaceuticals International, Inc. (a) | $ | 90,000 | $ | 92,362 | ||||
Valeant Pharmaceuticals International, Inc. (a) | 270,000 | 236,587 | ||||||
|
| |||||||
2,194,743 | ||||||||
|
| |||||||
Pipelines — 0.5% | ||||||||
El Paso Natural Gas Co. LLC | 289,000 | 363,949 | ||||||
Enterprise Products Operating LLC | 40,000 | 44,680 | ||||||
Kinder Morgan Energy Partners LP | 120,000 | 118,106 | ||||||
Kinder Morgan, Inc. | 90,000 | 90,321 | ||||||
MPLX LP | 150,000 | 157,790 | ||||||
MPLX LP | 140,000 | 146,647 | ||||||
Regency Energy Partners LP/Regency Energy Finance Corp. | 30,000 | 30,784 | ||||||
Regency Energy Partners LP/Regency Energy Finance Corp. | 100,000 | 109,909 | ||||||
Regency Energy Partners LP/Regency Energy Finance Corp. | 28,000 | 28,929 | ||||||
Southern Natural Gas Co. LLC | 5,000 | 6,669 | ||||||
Transcontinental Gas Pipe Line Co. LLC | 280,000 | 359,532 | ||||||
The Williams Cos., Inc. | 240,000 | 279,600 | ||||||
Williams Partners LP/ACMP Finance Corp. | 140,000 | 144,550 | ||||||
Williams Partners LP/ACMP Finance Corp. | 70,000 | 72,006 | ||||||
|
| |||||||
1,953,472 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.1% | ||||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC (a) | 220,000 | 222,537 | ||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC (a) | 250,000 | 244,139 | ||||||
|
| |||||||
466,676 | ||||||||
|
|
Principal Amount | Value | |||||||
Retail — 0.5% | ||||||||
1011778 B.C. ULC/New Red Finance, Inc. (a) | $ | 110,000 | $ | 114,125 | ||||
CVS Health Corp. | 120,000 | 118,720 | ||||||
CVS Health Corp. | 124,000 | 127,763 | ||||||
CVS Health Corp. | 350,000 | 386,154 | ||||||
CVS Pass-Through Trust (a) | 9,524 | 10,286 | ||||||
CVS Pass-Through Trust | 103,870 | 116,468 | ||||||
CVS Pass-Through Trust | 89,441 | 100,538 | ||||||
CVS Pass-Through Trust | 75,293 | 89,548 | ||||||
Dollar Tree, Inc. | 130,000 | 138,450 | ||||||
McDonald’s Corp. | 320,000 | 320,688 | ||||||
McDonald’s Corp. | 200,000 | 204,560 | ||||||
QVC, Inc. | 10,000 | 9,243 | ||||||
The TJX Cos., Inc. | 30,000 | 27,550 | ||||||
Wal-Mart Stores, Inc. | 50,000 | 64,999 | ||||||
Walgreens Boots Alliance, Inc. | 260,000 | 254,217 | ||||||
|
| |||||||
2,083,309 | ||||||||
|
| |||||||
Semiconductors — 0.0% | ||||||||
Intel Corp. | 70,000 | 73,184 | ||||||
Intel Corp. | 50,000 | 56,064 | ||||||
Micron Technology, Inc. (a) | 20,000 | 21,050 | ||||||
National Semiconductor Corp. | 30,000 | 30,319 | ||||||
|
| |||||||
180,617 | ||||||||
|
| |||||||
Software — 0.7% | ||||||||
Activision Blizzard, Inc. (a) | 40,000 | 43,300 | ||||||
First Data Corp. (a) | 170,000 | 175,355 | ||||||
First Data Corp. (a) | 130,000 | 139,425 | ||||||
Microsoft Corp. | 620,000 | 586,625 |
The accompanying notes are an integral part of the financial statements.
47
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Microsoft Corp. | $ | 100,000 | $ | 98,268 | ||||
Microsoft Corp. | 380,000 | 382,442 | ||||||
Microsoft Corp. | 690,000 | 700,589 | ||||||
Microsoft Corp. | 100,000 | 93,457 | ||||||
Microsoft Corp. | 170,000 | 175,449 | ||||||
Microsoft Corp. | 180,000 | 185,307 | ||||||
Oracle Corp. | 260,000 | 259,932 | ||||||
|
| |||||||
2,840,149 | ||||||||
|
| |||||||
Telecommunications — 1.5% | ||||||||
America Movil SAB de CV | 100,000 | 107,187 | ||||||
America Movil SAB de CV | 160,000 | 163,759 | ||||||
AT&T, Inc. | 60,000 | 59,862 | ||||||
AT&T, Inc. | 600,000 | 579,556 | ||||||
AT&T, Inc. | 600,000 | 606,647 | ||||||
AT&T, Inc. | 150,000 | 132,027 | ||||||
AT&T, Inc. | 166,000 | 147,614 | ||||||
AT&T, Inc. | 30,000 | 30,932 | ||||||
AT&T, Inc. | 200,000 | 213,568 | ||||||
Bharti Airtel Ltd. (a) | 440,000 | 439,683 | ||||||
CommScope Technologies LLC (a) | 90,000 | 89,860 | ||||||
Qwest Corp. | 85,000 | 84,640 | ||||||
Rogers Communications, Inc. | 120,000 | 128,078 | ||||||
Sprint Capital Corp. | 40,000 | 48,100 | ||||||
Sprint Corp. | 80,000 | 86,360 | ||||||
Sprint Corp. | 420,000 | 458,850 | ||||||
Sprint Corp. | 30,000 | 33,225 | ||||||
Telefonica Emisiones SAU | 80,000 | 86,415 |
Principal Amount | Value | |||||||
Telefonica Emisiones SAU | $ | 60,000 | $ | 60,660 | ||||
Verizon Communications, Inc. | 40,000 | 36,526 | ||||||
Verizon Communications, Inc. | 1,670,000 | 1,698,291 | ||||||
Verizon Communications, Inc. | 20,000 | 21,288 | ||||||
Verizon Communications, Inc. | 80,000 | 88,048 | ||||||
Verizon Communications, Inc. | 80,000 | 82,710 | ||||||
Verizon Communications, Inc. | 110,000 | 115,296 | ||||||
West Corp. (a) | 60,000 | 61,050 | ||||||
West Corp. (a) | 160,000 | 157,200 | ||||||
|
| |||||||
5,817,432 | ||||||||
|
| |||||||
Textiles — 0.1% | ||||||||
Cintas Corp. No 2 | 160,000 | 161,866 | ||||||
Cintas Corp. No 2 | 180,000 | 183,928 | ||||||
|
| |||||||
345,794 | ||||||||
|
| |||||||
Trucking & Leasing — 0.0% | ||||||||
Park Aerospace Holdings Ltd. (a) | 50,000 | 52,000 | ||||||
Park Aerospace Holdings Ltd. (a) | 80,000 | 83,200 | ||||||
|
| |||||||
135,200 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $88,939,660) | 91,929,817 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.1% | ||||||||
Northeast Ohio Regional Sewer District | 50,000 | 55,663 | ||||||
State of California | 70,000 | 77,295 | ||||||
State of California | 50,000 | 55,892 | ||||||
|
| |||||||
188,850 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $173,256) | 188,850 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
48
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 12.4% | ||||||||
Agency Collateral CMO — 0.1% | ||||||||
Federal National Mortgage Association, Series 2016-60, Class QS, 1 mo. LIBOR + 6.100%, FRN | $ | 536,920 | $ | 93,081 | ||||
Government National Mortgage Association, Series 2016-84, Class IG | 781,977 | 149,650 | ||||||
Government National Mortgage Association, Series 2016-135, Class SB, 1 mo. LIBOR + 6.100%, FRN | 188,106 | 45,229 | ||||||
|
| |||||||
287,960 | ||||||||
|
| |||||||
Automobile ABS — 0.3% | ||||||||
Hertz, Series 2015-1A, Class B (a) | 500,000 | 502,713 | ||||||
Hertz, Series 2015-1A, Class C (a) | 250,000 | 246,165 | ||||||
Hertz Vehicle Financing LLC, Series 2013-1A, Class A2 (a) | 120,000 | 119,621 | ||||||
Hertz Vehicle Financing LLC, Series 2015-1A, Class A (a) | 250,000 | 249,623 | ||||||
|
| |||||||
1,118,122 | ||||||||
|
| |||||||
Commercial MBS — 5.5% | ||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class AJ, VRN | 150,000 | 149,902 | ||||||
Banc of America Merrill Lynch Trust, Series 2016-GG10, Class AJA, VRN (a) | 790,404 | 586,079 | ||||||
BBCCRE Trust, Series 2015-GTP, Class E, VRN (a) | 1,020,000 | 884,092 | ||||||
CD Mortgage Trust, Series 2017-CD3, Class A4 | 400,000 | 414,130 | ||||||
CD Mortgage Trust, Series 2006-CD2, Class AJ, VRN | 97,747 | 84,160 | ||||||
Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class D (a) | 400,000 | 285,710 | ||||||
Citigroup Commercial Mortgage Trust (c) | 490,000 | 389,474 | ||||||
Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class AS | 390,000 | 395,939 |
Principal Amount | Value | |||||||
Citigroup Commercial Mortgage Trust, Series 2016-P6, Class A5, VRN | $ | 310,000 | $ | 320,222 | ||||
Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class E, VRN (a) | 270,000 | 197,009 | ||||||
COMM Mortgage Trust, Series 2012-CR1, Class XA, VRN | 1,878,553 | 146,035 | ||||||
COMM Mortgage Trust, Series 2013-LC13, Class E, VRN (a) | 440,000 | 283,934 | ||||||
COMM Mortgage Trust, Series 2013-CR9, Class E, VRN (a) | 280,000 | 189,899 | ||||||
COMM Mortgage Trust, Series 2015-LC19, Class C, VRN | 120,000 | 121,672 | ||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class AJ | 143,915 | 135,500 | ||||||
Credit Suisse Commercial Mortgage Trust, Series 2007-C5, Class AM, VRN | 80,000 | 76,285 | ||||||
Credit Suisse Mortgage Trust, Series 2015-GLPA, Class A (a) | 140,000 | 146,763 | ||||||
Credit Suisse Mortgage Trust, Series 2014-USA, Class A2 (a) | 190,000 | 194,817 | ||||||
Credit Suisse Mortgage Trust, Series 2014-USA, Class F (a) | 230,000 | 186,050 | ||||||
Credit Suisse Mortgage Trust, Series 2014-USA, Class E (a) | 240,000 | 206,189 | ||||||
Credit Suisse Mortgage Trust, Series 2014-TIKI, Class F, 1 mo. LIBOR + 3.823%, FRN (a) | 400,000 | 397,262 | ||||||
Credit Suisse Mortgage Trust, Series 2015, Class TF, 1 mo. LIBOR + 4.143%, FRN (a) | 270,000 | 256,500 | ||||||
Credit Suisse Mortgage Trust, Series 2015, Class F, 1 mo. LIBOR + 4.500%, FRN (a) | 260,000 | 259,361 | ||||||
Credit Suisse Mortgage Trust, Series 2015-SAMZ, Class MZ, 1 mo. LIBOR + 5.736%, FRN (a) | 1,000,000 | 1,010,001 |
The accompanying notes are an integral part of the financial statements.
49
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
EQTY Mortgage Trust, Series 2014-INNS, Class D, 1 mo. LIBOR + 2.350%, FRN (a) | $ | 190,000 | $ | 189,429 | ||||
FREMF Mortgage Trust, Series 2012-K20, Class X2A (a) | 3,421,901 | 27,906 | ||||||
GE Business Loan Trust, Series 2005-2A, Class B, 1 mo. LIBOR + .500%, FRN (a) | 97,683 | 91,718 | ||||||
GE Business Loan Trust, Series 2006-2A, Class D, 1 mo. LIBOR + .750%, FRN (a) | 178,351 | 159,693 | ||||||
GE Commercial Mortgage Corp., Series 2007-C1, Class AJ, VRN | 60,000 | 34,729 | ||||||
Government National Mortgage Association, Series 2012-144, Class IO, VRN | 7,643,083 | 289,847 | ||||||
GS Mortgage Securities Corp. II, Series 2015-GC30, Class D | 310,000 | 219,145 | ||||||
GS Mortgage Securities Corp. II, Series 2015-GC30, Class AS, VRN | 280,000 | 288,047 | ||||||
GS Mortgage Securities Corp. Trust, Series 2017-485L, Class A (a) | 330,000 | 338,873 | ||||||
GS Mortgage Securities Corp. Trust, Series 2016-ICE2, Class E, 1 mo. LIBOR + 8.500%, FRN (a) | 310,000 | 322,183 | ||||||
GS Mortgage Securities Trust, Series 2011-GC5, Class XA, VRN (a) | 502,931 | 24,492 | ||||||
GS Mortgage Securities Trust, Series 2016-GS3, Class A4 | 320,000 | 309,737 | ||||||
GS Mortgage Securities Trust, Series 2017-GS5, Class C, VRN | 370,000 | 378,567 | ||||||
GS Mortgage Securities Trust, Series 2015-GC28, Class C, VRN | 270,000 | 251,880 | ||||||
GS Mortgage Securities Trust, Series 2006-GG8, Class AJ | 161,935 | 152,226 | ||||||
Hudson Yards Mortgage Trust, Series 2016-10HY, Class A (a) | 320,000 | 308,688 |
Principal Amount | Value | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class A5 | $ | 460,000 | $ | 444,497 | ||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class A4, VRN | 310,000 | 318,498 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class AM | 123,159 | 123,531 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class AJ | 540,000 | 370,258 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AJFX (a) | 600,000 | 234,551 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class AJ, VRN | 370,000 | 319,789 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AJ, VRN | 520,000 | 177,450 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class XA, VRN | 2,527,820 | 87,994 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class A3 | 60,000 | 62,270 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class AS | 250,000 | 258,936 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class B, VRN | 260,000 | 259,823 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class B, VRN | 30,000 | 32,221 | ||||||
LSTAR Commercial Mortgage Trust, Series 2015-3, Class A2, VRN (a) | 668,791 | 677,078 | ||||||
LSTAR Commercial Mortgage Trust, Series 2015-3, Class A3, VRN (a) | 707,000 | 708,070 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AJ, VRN | 260,000 | 200,260 |
The accompanying notes are an integral part of the financial statements.
50
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21, Class E (a) | $ | 390,000 | $ | 247,724 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31, Class A5 | 320,000 | 315,172 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class E, VRN (a) | 150,000 | 142,337 | ||||||
Morgan Stanley Capital I Trust, Series 2016-BNK2, Class A4 | 350,000 | 343,699 | ||||||
Morgan Stanley Capital I Trust, Series 2006-IQ12, Class AJ | 150,294 | 121,643 | ||||||
Morgan Stanley Capital I Trust, Series 2007-IQ13, Class AJ | 570,000 | 538,500 | ||||||
Morgan Stanley Capital I Trust, Series 2007-IQ15, Class AJ, VRN | 340,000 | 320,169 | ||||||
Motel 6 Trust, Series 2015-MTL6, Class F (a) | 630,000 | 617,094 | ||||||
One Market Plaza Trust, Series 2017-1MKT, Class A (a) | 850,000 | 879,227 | ||||||
Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A, (Acquired 9/08/15, Cost $1,207,744), VRN (a) (d) | 606,341 | 594,726 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-LC20, Class A5 | 430,000 | 427,797 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXSI, Class AS | 330,000 | 331,456 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class B, VRN | 290,000 | 292,550 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2016-C35, Class C, VRN | 370,000 | 361,081 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, VRN | 140,000 | 146,464 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2016-C37, Class C, VRN | 320,000 | 320,532 | ||||||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class AS | 190,000 | 198,540 |
Principal Amount | Value | |||||||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, VRN | $ | 190,000 | $ | 192,980 | ||||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class C, VRN | 190,000 | 177,208 | ||||||
|
| |||||||
21,548,270 | ||||||||
|
| |||||||
Home Equity ABS — 1.2% | ||||||||
ACE Securities Corp., Series 2005-HE3, Class M4, 1 mo. USD LIBOR + .945%, FRN | 1,020,000 | 749,812 | ||||||
Bear Stearns Asset Backed Securities I Trust, Series 2006-HE7, Class 2A3, 1 mo. USD LIBOR + .250%, FRN | 1,782,402 | 1,266,926 | ||||||
GSAA Home Equity Trust, Series 2006-19, Class A3A, 1 mo. USD LIBOR + .240%, FRN | 897,173 | 513,788 | ||||||
GSAA Trust, Series 2006-5, Class 2A3, 1 mo. USD LIBOR + .270%, FRN | 653,521 | 441,485 | ||||||
Option One Mortgage Loan Trust, Series 2007-FXD1, Class 3A4, STEP | 1,930,000 | 1,825,239 | ||||||
|
| |||||||
4,797,250 | ||||||||
|
| |||||||
Manufactured Housing ABS — 0.2% | ||||||||
Greenpoint Manufactured Housing, Series 2001-2, Class IA2, 28 day ARS + 0.000%, FRN | 150,000 | 137,235 | ||||||
Greenpoint Manufactured Housing, Series 2001-2, Class IIA2, 28 day ARS + 0.000%, FRN | 200,000 | 182,436 | ||||||
Greenpoint Manufactured Housing, Series 1999-2, Class A2, 1 mo. | 200,000 | 185,874 | ||||||
Greenpoint Manufactured Housing, Series 1999-4, Class A2, 1 mo. | 75,000 | 68,502 | ||||||
Greenpoint Manufactured Housing, Series 1999-3, Class 2A2, FRN | 75,000 | 69,910 | ||||||
|
| |||||||
643,957 | ||||||||
|
| |||||||
Other ABS — 0.9% | ||||||||
Ameriquest Mortgage Securities, Inc., Series 2004-R7, Class M3, 1 mo. USD LIBOR + 1.020%, FRN | 645,369 | 588,171 |
The accompanying notes are an integral part of the financial statements.
51
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Community Funding CLO Ltd., Series 2015-1A, Class A, (Acquired 10/01/15, Cost $690,000), STEP (a) (d) | $ | 690,000 | $ | 642,056 | ||||
Consumer Credit Origination Loan Trust, Series 2015-1, Class A (a) | 1,820 | 1,831 | ||||||
HSI Asset Securitization Corp., Series 2005-II, Class 2A4, 1 mo. | 2,400,000 | 1,936,260 | ||||||
United States Small Business Administration, Series 2015-20D, Class 1 | 136,855 | 136,024 | ||||||
|
| |||||||
3,304,342 | ||||||||
|
| |||||||
Other Mortgage Securities — 0.5% | ||||||||
Credit Suisse Mortgage Capital Certificates, Series 2015-4R, Class 3A3, 1 mo. LIBOR + .310%, FRN (a) | 880,000 | 395,226 | ||||||
Morgan Stanley Resecuritization Trust, Series 2015-R6, Class 1B, 1 mo. | 1,419,105 | 626,225 | ||||||
Nomura Resecuritization Trust, Series 2015-6R, Class 3A2, 1 mo. USD LIBOR + .190%, FRN (a) | 1,090,000 | 1,027,515 | ||||||
|
| |||||||
2,048,966 | ||||||||
|
| |||||||
Student Loans ABS — 0.7% | ||||||||
National Collegiate Student Loan, Series 2007-4, Class A3L, 1 mo. | 1,856,443 | 1,070,925 | ||||||
SLM Private Education Loan Trust, Series 2011-A, Class A3, 1 mo. | 235,000 | 245,594 | ||||||
SLM Student Loan EDC Repackaging Trust, Series 2013-M1, Class M1 (a) | 101,461 | 99,065 | ||||||
SLM Student Loan Trust, Series 2006-1, Class A5, 3 mo. USD LIBOR + .110%, | 820,000 | 806,094 | ||||||
SLM Student Loan Trust, Series 2008-5, Class A4, 3 mo. USD LIBOR + | 567,700 | 580,051 | ||||||
|
| |||||||
2,801,729 | ||||||||
|
|
Principal Amount | Value | |||||||
WL Collateral CMO — 3.0% | ||||||||
Alternative Loan Trust, Series 2005-36, Class 3A1, VRN | $ | 533,784 | $ | 439,565 | ||||
Alternative Loan Trust, Series 2004-28CB, Class 2A7 | 225,682 | 229,054 | ||||||
BCAP LLC Trust, Series 2010-RR6, Class 1212 (a) | 81,618 | 80,979 | ||||||
Bear Stearns ALT-A Trust, Series 2004-7, Class 2A1, VRN | 167,169 | 174,106 | ||||||
Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC8, Class A3, 1 mo. USD LIBOR + 7.650%, FRN | 1,250,360 | 357,238 | ||||||
Citigroup Mortgage Loan Trust, Series 2007-6, Class 2A4, 1 mo. | 2,665,471 | 1,300,060 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2015-2R, Class 7A2, VRN (a) | 2,450,501 | 1,914,424 | ||||||
GSMSC Resecuritization Trust, Series 2014-2R, Class 3B, 1 mo. | 1,220,000 | 757,496 | ||||||
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, VRN | 149,517 | 128,425 | ||||||
HarborView Mortgage Loan Trust, Series 2006-2, Class 1A, VRN | 83,157 | 67,993 | ||||||
Lehman Mortgage Trust, Series 2007-4, Class 2A2, 1 mo. USD LIBOR + | 1,606,723 | 400,494 | ||||||
Lehman Mortgage Trust, Series 2007-2, Class 2A12, 1 mo. USD LIBOR + | 590,505 | 149,840 | ||||||
Lehman Mortgage Trust, Series 2006-8, Class 4A2, 1 mo. USD LIBOR + | 391,330 | 96,296 | ||||||
MASTR Adjustable Rate Mortgages Trust, Series 2003-3, Class 3A4, VRN | 444,134 | 450,377 |
The accompanying notes are an integral part of the financial statements.
52
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Morgan Stanley Resecuritization Trust, Series 2015-R3, Class 7A2, 12 mo. | $ | 300,000 | $ | 266,917 | ||||
Prime Mortgage Trust, Series 2006-DR1, Class 1A1 (a) | 91,419 | 92,068 | ||||||
Prime Mortgage Trust, Series 2006-DR1, Class 1A2 (a) | 26,194 | 26,428 | ||||||
Prime Mortgage Trust, Series 2006-DR1, Class 2A2 (a) | 955,074 | 934,567 | ||||||
RALI Series Trust, Series 2006-QS7, Class A5, 1 mo. USD LIBOR + | 724,246 | 107,553 | ||||||
RBSSP Resecuritization Trust, Series 2013-4, Class 1A2, 1 mo. | 1,921,638 | 1,189,246 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 1A1, VRN | 465,971 | 385,045 | ||||||
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 4A1, 12 mo. MTA + 2.150%, FRN | 476,070 | 422,152 | ||||||
Towd Point Mortgage Funding Vantage PLC, Series 2016-V1A, Class A1, 3 mo. GBP LIBOR + 1.200%, FRN GBP (a) (e) | 452,266 | 565,360 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A1, 1 mo. USD LIBOR + .260%, FRN | 163,936 | 156,352 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 12 mo. | 492,969 | 355,952 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR14, Class 2A3, VRN | 821,872 | 746,026 | ||||||
|
| |||||||
11,794,013 | ||||||||
|
|
Principal Amount | Value | |||||||
WL Collateral PAC — 0.0% | ||||||||
Countrywide Alternative Loan Trust, Series 2006-18CB, Class A6, 1 mo. | $ | 92,447 | $ | 132,279 | ||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $48,390,717) | 48,476,888 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 4.2% | ||||||||
Argentine Bonos del Tesoro ARS (e) | 12,470,000 | 794,609 | ||||||
Argentine Republic Government International Bond (a) | 770,000 | 788,480 | ||||||
Argentine Republic Government International Bond (a) | 220,000 | 236,280 | ||||||
Argentine Republic Government International Bond (a) | 220,000 | 212,960 | ||||||
Argentine Republic Government International Bond (a) | 170,000 | 180,710 | ||||||
Brazil Government International Bond | 200,000 | 178,000 | ||||||
Brazil Government International Bond | 550,000 | 534,875 | ||||||
Brazil Notas do Tesouro Nacional Serie F BRL (e) | 6,000,000 | 1,930,358 | ||||||
Brazil Notas do Tesouro Nacional Serie F BRL (e) | 6,181,000 | 1,981,896 | ||||||
Colombia Government International Bond | 300,000 | 326,250 | ||||||
Indonesia Government International Bond (a) | 430,000 | 438,630 | ||||||
Indonesia Government International Bond (b) | 310,000 | 328,513 | ||||||
Kuwait International Government Bond (a) | 530,000 | 535,962 | ||||||
Mexican Bonos MXN (e) | 4,058,000 | 212,740 | ||||||
Mexican Bonos MXN (e) | 26,885,600 | 1,485,581 | ||||||
Mexican Bonos MXN (e) | 30,070,000 | 1,787,810 |
The accompanying notes are an integral part of the financial statements.
53
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Peruvian Government International Bond | $ | 250,000 | $ | 297,813 | ||||
Peruvian Government International Bond | 50,000 | 64,563 | ||||||
Portugal Government International Bond (a) | 330,000 | 319,836 | ||||||
Provincia de Buenos Aires (a) | 170,000 | 170,374 | ||||||
Provincia de Buenos Aires (a) | 160,000 | 162,032 | ||||||
Republic of Poland Government International Bond | 490,000 | 514,322 | ||||||
Russian Federal Bond — OFZ RUB (e) | 27,320,000 | 464,315 | ||||||
Russian Federal Bond — OFZ RUB (e) | 89,460,000 | 1,493,039 | ||||||
Russian Federal Bond — OFZ RUB (e) | 8,260,000 | 145,378 | ||||||
Russian Federal Bond — OFZ RUB (e) | 36,350,000 | 662,382 | ||||||
|
| |||||||
16,247,708 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $16,067,455) | 16,247,708 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 25.5% | ||||||||
Collateralized Mortgage Obligations — 1.4% | ||||||||
Fannie Mae-Aces | 5,689,798 | 101,174 | ||||||
Series 2016-M7, Class A1 | 243,196 | 235,084 | ||||||
Series 2015-M4, Class ABV2 | 131,099 | 128,509 | ||||||
Series 2015-M13, Class A2 | 90,000 | 89,272 | ||||||
Federal Home Loan Mortgage Corp. | 33,696 | 315 | ||||||
Series 4092, Class AI | 975,444 | 103,257 | ||||||
Series 334, Class S7 | 315,031 | 66,574 |
Principal Amount | Value | |||||||
Series 3621, Class SB | $ | 69,575 | $ | 12,280 | ||||
Series 4203, Class PS | 356,398 | 62,239 | ||||||
Series R007, Class ZA | 197,292 | 215,898 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | 339,253 | 8,952 | ||||||
Series K712, Class X1 | 920,380 | 25,017 | ||||||
Series K015, Class X1 | 370,298 | 21,370 | ||||||
Federal National Mortgage Association Series 2005-88, Class IP | 89,136 | 6,039 | ||||||
Series 2006-88, Class IP | 127,804 | 7,097 | ||||||
Series 2006-118, Class IP2 | 169,919 | 9,903 | ||||||
Series 2006-118, Class IP1 | 255,199 | 19,449 | ||||||
Series 2006-59, Class IP | 211,854 | 16,816 | ||||||
Series 409, Class C2 | 234,689 | 21,873 | ||||||
Series 2013-1, Class YI | 2,049,037 | 278,239 | ||||||
Series 409, Class C13 | 223,915 | 43,156 | ||||||
Series 409, Class C18 | 243,667 | 54,117 | ||||||
Series 409, Class C22 | 150,207 | 31,117 | ||||||
Series 2016-61, Class BS | 263,540 | 44,114 | ||||||
Series 2012-133, Class CS | 117,921 | 23,138 | ||||||
Series 2012-134, Class SK | 293,262 | 59,711 | ||||||
Series 2011-59, Class NZ | 685,491 | 768,917 | ||||||
Series 2013-9, Class CB | 731,940 | 798,649 | ||||||
Series 2011-87, Class SG | 418,802 | 61,738 |
The accompanying notes are an integral part of the financial statements.
54
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Series 2011-96, Class SA | $ | 444,950 | $ | 78,018 | ||||
Series 2012-74, Class SA | 118,766 | 19,499 | ||||||
Series 2012-46, Class BA | 205,293 | 231,937 | ||||||
Series 2012-28, Class B | 67,010 | 73,371 | ||||||
Series 2013-9, Class BC | 223,022 | 255,459 | ||||||
Series 2012-51, Class B | 175,131 | 197,652 | ||||||
Government National Mortgage Association | 6,115,298 | 247,826 | ||||||
Series 2013-178, Class IO | 445,041 | 18,200 | ||||||
Series 2014-186, Class IO | 2,911,343 | 162,835 | ||||||
Series 2010-H28, Class FE | 228,962 | 227,425 | ||||||
Series 2014-22, Class IA | 71,870 | 2,583 | ||||||
Series 2011-H08, Class FG | 201,631 | 200,786 | ||||||
Series 2011-H09, Class AF | 139,925 | 139,416 | ||||||
Series 2012-66, Class CI | 235,874 | 22,041 | ||||||
Series 2014-176, Class IA | 171,870 | 30,420 | ||||||
Series 2015-167, Class OI | 164,493 | 37,689 | ||||||
Series 2014-117, Class SJ | 123,324 | 18,472 | ||||||
Series 2016-21, Class ST | 175,180 | 36,810 | ||||||
Series 2010-31, Class GS | 27,175 | 2,281 | ||||||
Series 2010-85, Class HS | 88,148 | 11,606 | ||||||
|
| |||||||
5,328,340 | ||||||||
|
|
Principal Amount | Value | |||||||
Pass-Through Securities — 21.5% | ||||||||
Federal Home Loan Mortgage Corp. | $ | 147,267 | $ | 150,701 | ||||
Pool #U99045 3.500% | 666,627 | 682,172 | ||||||
Pool #U99114 3.500% | 80,742 | 82,625 | ||||||
Pool #U99124 3.500% | 722,812 | 739,668 | ||||||
Pool #G14492 4.000% | 461,778 | 486,292 | ||||||
Pool #U90316 4.000% | 67,383 | 71,010 | ||||||
Pool #U91254 4.000% | 157,243 | 165,805 | ||||||
Pool #Q19135 4.000% | 72,849 | 77,476 | ||||||
Pool #Q19236 4.000% | 64,682 | 68,567 | ||||||
Pool #U99054 4.000% | 1,726,541 | 1,820,556 | ||||||
Pool #Q19985 4.000% | 2,001,705 | 2,128,219 | ||||||
Pool #Q19615 4.000% | 70,133 | 74,565 | ||||||
Pool #U95137 4.000% | 80,820 | 85,247 | ||||||
Pool #G08758 4.000% | 4,000,000 | 4,200,938 | ||||||
Pool #U99076 4.500% | 571,578 | 616,277 | ||||||
Pool #U92272 4.500% | 81,208 | 87,661 | ||||||
Pool #U99084 4.500% | 484,058 | 522,518 | ||||||
Pool #U99091 4.500% | 172,036 | 185,705 | ||||||
Pool #G06496 5.000% | 121,387 | 132,900 | ||||||
Pool #G06875 5.500% | 16,042 | 17,896 | ||||||
Pool #G06669 6.500% | 31,990 | 36,829 | ||||||
Pool #G07509 6.500% | 31,557 | 36,157 | ||||||
Pool #G07335 7.000% | 72,509 | 82,892 | ||||||
Federal Home Loan Mortgage Corp. TBA | 9,500,000 | 9,413,535 | ||||||
Pool #270 3.500% | 5,900,000 | 6,034,594 |
The accompanying notes are an integral part of the financial statements.
55
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #2789 4.000% | $ | 4,200,000 | $ | 4,405,734 | ||||
Federal National Mortgage Association Pool #AP9633 2.500% | 138,438 | 132,744 | ||||||
Pool #AM8674 2.810% | 50,000 | 49,934 | ||||||
Pool #AQ7306 3.000% | 74,138 | 73,377 | ||||||
Pool #AR1202 3.000% | 73,308 | 72,555 | ||||||
Pool #AS8359 3.000% | 1,084,554 | 1,076,123 | ||||||
Pool #BE0072 3.000% | 1,687,823 | 1,677,340 | ||||||
Pool #MA1177 3.500% | 69,793 | 71,432 | ||||||
Pool #MA1213 3.500% | 422,658 | 432,581 | ||||||
Pool #AS6340 3.500% | 273,861 | 281,317 | ||||||
Pool #AS6328 3.500% | 1,831,582 | 1,875,154 | ||||||
Pool #AS6541 3.500% | 278,421 | 286,088 | ||||||
Pool #AS6562 3.500% | 270,322 | 277,598 | ||||||
Pool #AK8441 4.000% | 66,352 | 69,986 | ||||||
Pool #AO2711 4.000% | 61,533 | 64,903 | ||||||
Pool #AO6086 4.000% | 72,676 | 76,656 | ||||||
Pool #AP0692 4.000% | 58,162 | 61,384 | ||||||
Pool #AP5333 4.000% | 318,198 | 335,823 | ||||||
Pool #AP2530 4.000% | 54,671 | 57,665 | ||||||
Pool #AP2958 4.000% | 37,942 | 40,020 | ||||||
Pool #AP4903 4.000% | 66,376 | 70,011 | ||||||
Pool #AP7399 4.000% | 131,017 | 138,070 | ||||||
Pool #AP9766 4.000% | 277,550 | 292,490 | ||||||
Pool #MA1217 4.000% | 341,582 | 359,969 | ||||||
Pool #AP9229 4.000% | 58,469 | 61,671 | ||||||
Pool #MA1253 4.000% | 208,521 | 219,745 |
Principal Amount | Value | |||||||
Pool #AQ3599 4.000% | $ | 42,119 | $ | 44,459 | ||||
Pool #AQ4555 4.000% | 109,851 | 115,918 | ||||||
Pool #AQ7003 4.000% | 110,995 | 116,969 | ||||||
Pool #AQ7082 4.000% | 139,830 | 147,576 | ||||||
Pool #AL3508 4.000% | 68,520 | 72,851 | ||||||
Pool #AQ4078 4.000% | 67,464 | 71,728 | ||||||
Pool #AQ4080 4.000% | 64,907 | 68,726 | ||||||
Pool #AT8394 4.000% | 69,809 | 74,199 | ||||||
Pool #AB9683 4.000% | 120,514 | 127,283 | ||||||
Pool #AT9637 4.000% | 214,248 | 226,784 | ||||||
Pool #AT9653 4.000% | 144,443 | 153,527 | ||||||
Pool #AT9657 4.000% | 123,408 | 130,301 | ||||||
Pool #AS0070 4.000% | 77,890 | 82,156 | ||||||
Pool #MA1547 4.000% | 79,157 | 83,492 | ||||||
Pool #AS4347 4.000% | 152,904 | 161,708 | ||||||
Pool #MA0706 4.500% | 46,185 | 49,633 | ||||||
Pool #MA0734 4.500% | 146,519 | 157,456 | ||||||
Pool #MA0776 4.500% | 50,200 | 53,947 | ||||||
Pool #MA0913 4.500% | 36,988 | 39,750 | ||||||
Pool #MA0939 4.500% | 42,294 | 45,451 | ||||||
Pool #993117 4.500% | 11,174 | 12,047 | ||||||
Pool #AA0856 4.500% | 17,469 | 18,833 | ||||||
Pool #AA2450 4.500% | 5,225 | 5,633 | ||||||
Pool #AA3495 4.500% | 24,167 | 26,054 | ||||||
Pool #935520 4.500% | 53,671 | 57,862 | ||||||
Pool #AD5481 4.500% | 897,976 | 968,095 |
The accompanying notes are an integral part of the financial statements.
56
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #AD6914 4.500% | $ | 98,620 | $ | 106,320 | ||||
Pool #AD8685 4.500% | 258,902 | 279,119 | ||||||
Pool #MA1591 4.500% | 149,607 | 161,430 | ||||||
Pool #AL4341 4.500% | 15,359 | 16,515 | ||||||
Pool #AU6423 4.500% | 425,645 | 457,685 | ||||||
Pool #MA1629 4.500% | 157,272 | 169,700 | ||||||
Pool #MA1664 4.500% | 79,620 | 85,911 | ||||||
Pool #MA1711 4.500% | 156,848 | 169,439 | ||||||
Pool #AL4741 4.500% | 75,017 | 80,945 | ||||||
Pool #AW0318 4.500% | 328,877 | 353,632 | ||||||
Pool #AL5562 4.500% | 44,427 | 47,771 | ||||||
Pool #AL5540 4.500% | 143,095 | 155,319 | ||||||
Pool #890604 4.500% | 751,013 | 813,059 | ||||||
Pool #AS4271 4.500% | 77,842 | 84,881 | ||||||
Pool #915154 5.000% | 95,875 | 105,159 | ||||||
Pool #974965 5.000% | 300,774 | 329,712 | ||||||
Pool #983077 5.000% | 80,490 | 88,234 | ||||||
Pool #310088 5.000% | 78,659 | 86,227 | ||||||
Pool #AE2266 5.000% | 136,417 | 149,520 | ||||||
Pool #937948 5.500% | 9,177 | 10,278 | ||||||
Pool #995072 5.500% | 40,971 | 46,177 | ||||||
Pool #481473 6.000% | 84 | 94 | ||||||
Pool #867557 6.000% | 2,631 | 2,953 | ||||||
Pool #AE0469 6.000% | 297,867 | 338,488 | ||||||
Pool #AL4324 6.500% | 197,554 | 226,108 | ||||||
Pool #AE0758 7.000% | 114,499 | 129,692 |
Principal Amount | Value | |||||||
Federal National Mortgage Association TBA | $ | 700,000 | $ | 700,437 | ||||
Pool #5650 3.000% | 500,000 | 512,695 | ||||||
Pool #6237 3.000% | 2,900,000 | 2,875,531 | ||||||
Pool #1058 3.500% | 2,400,000 | 2,455,125 | ||||||
Pool #11192 4.000% | 9,200,000 | 9,650,656 | ||||||
Pool #29647 5.000% | 2,300,000 | 2,512,930 | ||||||
Government National Mortgage Association | 3,370 | 3,787 | ||||||
Pool #595077 6.000% | 560 | 637 | ||||||
Pool #596620 6.000% | 430 | 477 | ||||||
Pool #604706 6.000% | 74,391 | 84,866 | ||||||
Pool #636251 6.000% | 6,957 | 8,020 | ||||||
Pool #782034 6.000% | 84,412 | 98,012 | ||||||
Pool #658029 6.000% | 35,426 | 40,085 | ||||||
Government National Mortgage Association II | 1,400,000 | 1,454,742 | ||||||
Pool #MA4263 4.000% | 1,995,858 | 2,112,102 | ||||||
Pool #783298 4.500% | 363,567 | 391,388 | ||||||
Pool #783368 4.500% | 49,078 | 52,786 | ||||||
Pool #4747 5.000% | 217,299 | 239,292 | ||||||
Government National Mortgage Association II TBA | 2,200,000 | 2,219,594 | ||||||
Pool #304 3.500% | 9,000,000 | 9,332,578 | ||||||
Government National Mortgage Association TBA | 900,000 | 933,117 | ||||||
|
| |||||||
83,846,838 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
57
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Whole Loans — 2.6% | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | $ | 3,130,000 | $ | 3,122,389 | ||||
Series 2016-DNA2, Class M3, | 1,450,000 | 1,567,326 | ||||||
Series 2017-DNA1, Class B1, | 1,450,000 | 1,447,477 | ||||||
Series 2016-DNA1, Class M3, | 880,000 | 997,294 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities | 773,356 | 777,528 | ||||||
Series 2014-C03, Class 1M2, 1 mo. USD LIBOR + 3.000%, FRN | 1,350,000 | 1,392,141 | ||||||
Series 2016-C04, Class 1M2, 1 mo. USD LIBOR + 4.250%, FRN | 987,413 | 1,045,256 | ||||||
|
| |||||||
10,349,411 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $99,414,466) | 99,524,589 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 26.5% | ||||||||
U.S. Treasury Bonds & Notes — 26.5% | ||||||||
U.S. Treasury Bond | 2,760,000 | 2,474,512 | ||||||
U.S. Treasury Bond | 2,980,000 | 2,901,775 | ||||||
U.S. Treasury Bond | 1,370,000 | 1,329,671 | ||||||
U.S. Treasury Bond | 5,980,000 | 5,945,989 | ||||||
U.S. Treasury Bond | 2,400,000 | 2,391,937 | ||||||
U.S. Treasury Bond | 5,540,000 | 5,912,392 | ||||||
U.S. Treasury Bond | 2,510,000 | 2,856,027 | ||||||
U.S. Treasury Inflation Index | 4,159,145 | 4,202,034 |
Principal Amount | Value | |||||||
U.S. Treasury Inflation Index | $ | 1,288,357 | $ | 1,197,770 | ||||
U.S. Treasury Inflation Index | 773,640 | 743,678 | ||||||
U.S. Treasury Inflation Index | 690,804 | 657,595 | ||||||
U.S. Treasury Inflation Index | 1,187,618 | 1,309,355 | ||||||
U.S. Treasury Inflation Index | 381,929 | 481,725 | ||||||
U.S. Treasury Note | 5,000,000 | 4,985,703 | ||||||
U.S. Treasury Note | 6,000,000 | 5,979,680 | ||||||
U.S. Treasury Note | 10,000,000 | 10,005,430 | ||||||
U.S. Treasury Note | 140,000 | 136,093 | ||||||
U.S. Treasury Note | 5,360,000 | 5,073,491 | ||||||
U.S. Treasury Note | 30,000 | 29,703 | ||||||
U.S. Treasury Note | 20,000 | 19,781 | ||||||
U.S. Treasury Note | 13,130,000 | 12,947,719 | ||||||
U.S. Treasury Note | 190,000 | 186,811 | ||||||
U.S. Treasury Note | 7,340,000 | 7,011,649 | ||||||
U.S. Treasury Note | 590,000 | 562,192 | ||||||
U.S. Treasury Note | 330,000 | 314,106 | ||||||
U.S. Treasury Note | 250,000 | 251,180 | ||||||
U.S. Treasury Note | 1,680,000 | 1,623,943 | ||||||
U.S. Treasury Note | 640,000 | 592,265 | ||||||
U.S. Treasury Note | 270,000 | 271,698 | ||||||
U.S. Treasury Note | 1,510,000 | 1,467,071 | ||||||
U.S. Treasury Note | 180,000 | 168,864 | ||||||
U.S. Treasury Note | 5,990,000 | 6,013,820 | ||||||
U.S. Treasury Note | 4,790,000 | 4,773,460 | ||||||
U.S. Treasury Note | 3,650,000 | 3,628,328 |
The accompanying notes are an integral part of the financial statements.
58
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
U.S. Treasury Note | $ | 1,310,000 | $ | 1,314,697 | ||||
U.S. Treasury Note | 3,880,000 | 3,846,444 | ||||||
U.S. Treasury Note | 10,000 | 10,326 | ||||||
|
| |||||||
103,618,914 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $104,888,448) | 103,618,914 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $372,860,156) | 374,839,491 | |||||||
|
| |||||||
Units | ||||||||
PURCHASED OPTIONS — 0.3% | ||||||||
Financial — 0.3% | ||||||||
Diversified Financial Services — 0.3% | ||||||||
Eurodollar Future Put, Expires 6/19/17, Strike 98.50 | 400 | 2,500 | ||||||
U.S. Bond Future Call, Expires 4/21/17, Strike 155.00 | 67 | 10,469 | ||||||
U.S. Treasury Note 10 Year Future Call, Expires 4/17/17, Strike 123.50 | 332 | 399,437 | ||||||
U.S. Treasury Note 10 Year Future Call, Expires 4/21/17, Strike 125.00 | 603 | 179,016 | ||||||
U.S. Treasury Note 10 Year Future Call, Expires 4/21/17, Strike 126.00 | 185 | 14,453 | ||||||
U.S. Treasury Note 10 Year Future Put, Expires 5/26/17, Strike 122.00 | 138 | 21,562 | ||||||
U.S. Treasury Note 10 Year Future Put, Expires 5/26/17, Strike 122.50 | 200 | 43,750 | ||||||
U.S. Treasury Note 5 Year Future Call, Expires 4/21/17, Strike 118.00 | 212 | 38,094 | ||||||
U.S. Treasury Note 5 Year Future Call, Expires 4/21/17, Strike 118.00 | 92 | 10,062 | ||||||
USD Put MXN Call, | 6,360,000 | 589,000 | ||||||
|
| |||||||
1,308,343 | ||||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (Cost $814,156) | 1,308,343 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $373,836,972) | 376,309,067 | |||||||
|
|
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 17.6% | ||||||||
Discount Notes — 12.0% | ||||||||
Federal Home Loan Bank Discount Notes | $ | 7,000,000 | $ | 6,999,734 | ||||
Federal Home Loan Bank Discount Notes | 12,500,000 | 12,469,400 | ||||||
Federal Home Loan Bank Discount Notes | 6,635,000 | 6,632,711 | ||||||
Federal Home Loan Bank Discount Notes | 20,839,000 | 20,829,810 | ||||||
|
| |||||||
46,931,655 | ||||||||
|
| |||||||
Repurchase Agreement — 0.2% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (f) | 576,131 | 576,131 | ||||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 7,960 | 7,960 | ||||||
|
| |||||||
U.S. Treasury Bill — 5.4% | ||||||||
U.S. Treasury Bill | 20,000,000 | 19,973,960 | ||||||
U.S. Treasury Bill | 1,000,000 | 998,175 | ||||||
|
| |||||||
20,972,135 | ||||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $68,490,988) | 68,487,881 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 113.9% (Cost $442,327,960) (g) | 444,796,948 | |||||||
Other Assets/(Liabilities) —(13.9)% | (54,149,296 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 390,647,652 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
ARS | Argentinean Peso |
BRL | Brazilian Real |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
DIP | Debtor In Possession |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
GBP | British Pound |
MTA | Monthly Treasury Average Index |
The accompanying notes are an integral part of the financial statements.
59
MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
MXN | Mexican Peso |
PAC | Planned Amortization Class |
RUB | Russian Ruble |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
WL | Whole Loans |
(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 March 31, 2017, these securities amounted to a value of $38,585,441 or 9.88% 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 March 31, 2017, these securities amounted to a value of $745,947 or 0.19% of net assets. |
(c) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(d) | Restricted security. Certain securities are restricted as to resale. At March 31, 2017, these securities amounted to a value of $1,236,782 or 0.32% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(e) | The principal amount of the security is in foreign currency. The market value is in U.S. dollars. |
(f) | Maturity value of $576,134. Collateralized by U.S. Government Agency obligations with a rate of 2.125%, maturity date of 9/30/21, and an aggregate market value, including accrued interest, of $590,325. |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
60
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 98.5% | ||||||||
COMMON STOCK — 98.5% | ||||||||
Basic Materials — 1.8% | ||||||||
Chemicals — 1.4% | ||||||||
Ashland Global Holdings, Inc. | 1,600 | $ | 198,096 | |||||
Celanese Corp. Series A | 4,100 | 368,385 | ||||||
E.I. du Pont de Nemours & Co. | 26,054 | 2,092,918 | ||||||
Eastman Chemical Co. | 4,200 | 339,360 | ||||||
Huntsman Corp. | 7,000 | 171,780 | ||||||
LyondellBasell Industries NV Class A | 14,700 | 1,340,493 | ||||||
The Mosaic Co. | 10,100 | 294,718 | ||||||
RPM International, Inc. | 3,600 | 198,108 | ||||||
Westlake Chemical Corp. | 3,800 | 250,990 | ||||||
|
| |||||||
5,254,848 | ||||||||
|
| |||||||
Forest Products & Paper — 0.2% | ||||||||
International Paper Co. | 12,000 | 609,360 | ||||||
|
| |||||||
Iron & Steel — 0.2% | ||||||||
Nucor Corp. | 8,200 | 489,704 | ||||||
Reliance Steel & Aluminum Co. | 1,800 | 144,036 | ||||||
Steel Dynamics, Inc. | 7,100 | 246,796 | ||||||
|
| |||||||
880,536 | ||||||||
|
| |||||||
6,744,744 | ||||||||
|
| |||||||
Communications — 8.4% | ||||||||
Advertising — 0.2% | ||||||||
The Interpublic Group of Cos., Inc. | 11,400 | 280,098 | ||||||
Omnicom Group, Inc. | 6,500 | 560,365 | ||||||
|
| |||||||
840,463 | ||||||||
|
| |||||||
Internet — 0.7% | ||||||||
CDW Corp. | 4,600 | 265,466 | ||||||
eBay, Inc. (a) | 31,600 | 1,060,812 | ||||||
Symantec Corp. | 44,947 | 1,378,974 | ||||||
|
| |||||||
2,705,252 | ||||||||
|
| |||||||
Media — 3.9% | ||||||||
CBS Corp. Class B | 11,000 | 762,960 | ||||||
Comcast Corp. Class A | 80,264 | 3,017,124 | ||||||
Discovery Communications, Inc. Class A (a) | 4,100 | 119,269 | ||||||
News Corp. Class A | 11,100 | 144,300 | ||||||
Scripps Networks Interactive Class A | 2,500 | 195,925 | ||||||
Time Warner, Inc. | 37,400 | 3,654,354 | ||||||
Twenty-First Century Fox, Inc. Class A | 30,500 | 987,895 | ||||||
Viacom, Inc. Class B | 10,100 | 470,862 | ||||||
The Walt Disney Co. | 43,800 | 4,966,482 | ||||||
|
| |||||||
14,319,171 | ||||||||
|
| |||||||
Telecommunications — 3.6% | ||||||||
Cisco Systems, Inc. | 216,901 | 7,331,254 |
Number of Shares | Value | |||||||
Juniper Networks, Inc. | 11,100 | $ | 308,913 | |||||
Motorola Solutions, Inc. | 4,500 | 387,990 | ||||||
Verizon Communications, Inc. | 88,274 | 4,303,357 | ||||||
Vodafone Group PLC Sponsored ADR (United Kingdom) | 42,865 | 1,132,922 | ||||||
|
| |||||||
13,464,436 | ||||||||
|
| |||||||
31,329,322 | ||||||||
|
| |||||||
Consumer, Cyclical — 8.0% | ||||||||
Airlines — 0.9% | ||||||||
Alaska Air Group, Inc. | 3,400 | 313,548 | ||||||
American Airlines Group, Inc. | 14,700 | 621,810 | ||||||
Delta Air Lines, Inc. | 21,200 | 974,352 | ||||||
Southwest Airlines Co. | 17,800 | 956,928 | ||||||
United Continental Holdings, Inc. (a) | 8,700 | 614,568 | ||||||
|
| |||||||
3,481,206 | ||||||||
|
| |||||||
Auto Manufacturers — 0.6% | ||||||||
General Motors Co. | 43,600 | 1,541,696 | ||||||
PACCAR, Inc. | 10,200 | 685,440 | ||||||
|
| |||||||
2,227,136 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.4% | ||||||||
BorgWarner, Inc. | 6,100 | 254,919 | ||||||
Delphi Automotive PLC | 7,800 | 627,822 | ||||||
The Goodyear Tire & Rubber Co. | 7,300 | 262,800 | ||||||
Lear Corp. | 2,000 | 283,160 | ||||||
WABCO Holdings, Inc. (a) | 1,500 | 176,130 | ||||||
|
| |||||||
1,604,831 | ||||||||
|
| |||||||
Home Builders — 0.2% | ||||||||
NVR, Inc. (a) | 90 | 189,619 | ||||||
PulteGroup, Inc. | 9,200 | 216,660 | ||||||
Thor Industries, Inc. | 1,500 | 144,195 | ||||||
Toll Brothers, Inc. (a) | 4,700 | 169,717 | ||||||
|
| |||||||
720,191 | ||||||||
|
| |||||||
Home Furnishing — 0.2% | ||||||||
Leggett & Platt, Inc. | 3,700 | 186,184 | ||||||
Whirlpool Corp. | 1,900 | 325,527 | ||||||
|
| |||||||
511,711 | ||||||||
|
| |||||||
Housewares — 0.4% | ||||||||
Newell Brands, Inc. | 34,066 | 1,606,893 | ||||||
|
| |||||||
Leisure Time — 1.0% | ||||||||
Brunswick Corp. | 2,600 | 159,120 | ||||||
Carnival Corp. | 15,600 | 918,996 | ||||||
Harley-Davidson, Inc. | 27,867 | 1,685,954 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) | 6,600 | 334,818 | ||||||
Royal Caribbean Cruises Ltd. | 6,200 | 608,282 | ||||||
|
| |||||||
3,707,170 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
61
MassMutual Select Diversified Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Lodging — 0.1% | ||||||||
Hyatt Hotels Corp. Class A (a) | 1,100 | $ | 59,378 | |||||
Wyndham Worldwide Corp. | 3,100 | 261,299 | ||||||
|
| |||||||
320,677 | ||||||||
|
| |||||||
Retail — 4.1% | ||||||||
Advance Auto Parts, Inc. | 10,138 | 1,503,060 | ||||||
Best Buy Co., Inc. | 8,700 | 427,605 | ||||||
CarMax, Inc. (a) | 5,400 | 319,788 | ||||||
CVS Health Corp. | 22,026 | 1,729,041 | ||||||
Darden Restaurants, Inc. | 3,400 | 284,478 | ||||||
Dick’s Sporting Goods, Inc. | 2,500 | 121,650 | ||||||
Dollar General Corp. | 20,848 | 1,453,731 | ||||||
Foot Locker, Inc. | 3,800 | 284,278 | ||||||
The Gap, Inc. | 11,000 | 267,190 | ||||||
Kohl’s Corp. | 5,000 | 199,050 | ||||||
Liberty Interactive Corp. QVC Group Class A (a) | 65,007 | 1,301,440 | ||||||
Nordstrom, Inc. | 4,800 | 223,536 | ||||||
Penske Automotive Group, Inc. | 2,300 | 107,663 | ||||||
PVH Corp. | 2,300 | 237,981 | ||||||
Wal-Mart Stores, Inc. | 84,000 | 6,054,720 | ||||||
Yum! Brands, Inc. | 9,200 | 587,880 | ||||||
|
| |||||||
15,103,091 | ||||||||
|
| |||||||
Textiles — 0.1% | ||||||||
Mohawk Industries, Inc. (a) | 2,200 | 504,878 | ||||||
|
| |||||||
29,787,784 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 16.5% | ||||||||
Agriculture — 0.9% | ||||||||
Archer-Daniels-Midland Co. | 17,200 | 791,888 | ||||||
Bunge Ltd. | 4,100 | 324,966 | ||||||
Philip Morris International, Inc. | 19,273 | 2,175,921 | ||||||
|
| |||||||
3,292,775 | ||||||||
|
| |||||||
Beverages — 0.5% | ||||||||
PepsiCo, Inc. | 17,316 | 1,936,968 | ||||||
|
| |||||||
Biotechnology — 1.4% | ||||||||
Amgen, Inc. | 21,400 | 3,511,098 | ||||||
Biogen, Inc. (a) | 6,200 | 1,695,204 | ||||||
United Therapeutics Corp. (a) | 1,300 | 175,994 | ||||||
|
| |||||||
5,382,296 | ||||||||
|
| |||||||
Commercial Services — 0.3% | ||||||||
AMERCO | 500 | 190,595 | ||||||
ManpowerGroup, Inc. | 1,900 | 194,883 | ||||||
Quanta Services, Inc. (a) | 1,600 | 59,376 | ||||||
Robert Half International, Inc. | 3,700 | 180,671 | ||||||
United Rentals, Inc. (a) | 2,300 | 287,615 | ||||||
The Western Union Co. | 13,900 | 282,865 | ||||||
|
| |||||||
1,196,005 | ||||||||
|
| |||||||
Foods — 0.6% | ||||||||
Ingredion, Inc. | 1,700 | 204,731 |
Number of Shares | Value | |||||||
Mondelez International, Inc. Class A | 48,622 | $ | 2,094,636 | |||||
|
| |||||||
2,299,367 | ||||||||
|
| |||||||
Health Care – Products — 1.3% | ||||||||
Abbott Laboratories | 47,617 | 2,114,671 | ||||||
Medtronic PLC | 32,498 | 2,618,039 | ||||||
|
| |||||||
4,732,710 | ||||||||
|
| |||||||
Health Care – Services — 2.7% | ||||||||
Aetna, Inc. | 18,976 | 2,420,389 | ||||||
Anthem, Inc. | 7,600 | 1,256,888 | ||||||
Cigna Corp. | 7,500 | 1,098,675 | ||||||
HCA Holdings, Inc. (a) | 10,800 | 961,092 | ||||||
Humana, Inc. | 6,359 | 1,310,844 | ||||||
MEDNAX, Inc. (a) | 1,000 | 69,380 | ||||||
Quest Diagnostics, Inc. | 4,000 | 392,760 | ||||||
UnitedHealth Group, Inc. | 14,900 | 2,443,749 | ||||||
|
| |||||||
9,953,777 | ||||||||
|
| |||||||
Household Products & Wares — 0.1% | ||||||||
Avery Dennison Corp. | 2,600 | 209,560 | ||||||
|
| |||||||
Pharmaceuticals — 8.7% | ||||||||
AbbVie, Inc. | 46,400 | 3,023,424 | ||||||
Allergan PLC | 8,067 | 1,927,368 | ||||||
Cardinal Health, Inc. | 9,100 | 742,105 | ||||||
Eli Lilly & Co. | 17,402 | 1,463,682 | ||||||
Johnson & Johnson | 78,900 | 9,826,995 | ||||||
Merck & Co., Inc. | 111,088 | 7,058,531 | ||||||
Pfizer, Inc. | 249,381 | 8,531,324 | ||||||
|
| |||||||
32,573,429 | ||||||||
|
| |||||||
61,576,887 | ||||||||
|
| |||||||
Energy — 6.4% | ||||||||
Oil & Gas — 5.2% | ||||||||
Anadarko Petroleum Corp. | 34,371 | 2,131,002 | ||||||
Chevron Corp. | 75,594 | 8,116,528 | ||||||
ConocoPhillips | 35,900 | 1,790,333 | ||||||
Helmerich & Payne, Inc. | 3,000 | 199,710 | ||||||
Hess Corp. | 25,297 | 1,219,568 | ||||||
HollyFrontier Corp. | 5,200 | 147,368 | ||||||
Marathon Petroleum Corp. | 51,811 | 2,618,528 | ||||||
Phillips 66 | 15,700 | 1,243,754 | ||||||
Royal Dutch Shell PLC A Shares Sponsored ADR (United Kingdom) | 24,930 | 1,314,559 | ||||||
Valero Energy Corp. | 13,000 | 861,770 | ||||||
|
| |||||||
19,643,120 | ||||||||
|
| |||||||
Oil & Gas Services — 1.2% | ||||||||
Baker Hughes, Inc. | 26,555 | 1,588,520 | ||||||
Halliburton Co. | 48,481 | 2,385,750 | ||||||
National Oilwell Varco, Inc. | 9,700 | 388,873 | ||||||
|
| |||||||
4,363,143 | ||||||||
|
| |||||||
24,006,263 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
62
MassMutual Select Diversified Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Financial — 30.4% | ||||||||
Banks — 17.9% | ||||||||
Bank of America Corp. | 440,565 | $ | 10,392,928 | |||||
The Bank of New York Mellon Corp. | 30,100 | 1,421,623 | ||||||
BOK Financial Corp. | 1,900 | 148,713 | ||||||
Capital One Financial Corp. | 14,000 | 1,213,240 | ||||||
Citigroup, Inc. | 121,722 | 7,281,410 | ||||||
Citizens Financial Group, Inc. | 14,100 | 487,155 | ||||||
Comerica, Inc. | 4,700 | 322,326 | ||||||
Commerce Bancshares, Inc. | 3,005 | 168,761 | ||||||
Cullen/Frost Bankers, Inc. | 1,600 | 142,352 | ||||||
East West Bancorp, Inc. | 4,200 | 216,762 | ||||||
Fifth Third Bancorp | 81,446 | 2,068,728 | ||||||
The Goldman Sachs Group, Inc. | 11,600 | 2,664,752 | ||||||
JP Morgan Chase & Co. | 157,718 | 13,853,949 | ||||||
M&T Bank Corp. | 4,500 | 696,285 | ||||||
Morgan Stanley | 51,000 | 2,184,840 | ||||||
Northern Trust Corp. | 6,100 | 528,138 | ||||||
PacWest Bancorp | 3,500 | 186,410 | ||||||
The PNC Financial Services Group, Inc. | 38,357 | 4,612,046 | ||||||
Prosperity Bancshares, Inc. | 2,000 | 139,420 | ||||||
Regions Financial Corp. | 35,700 | 518,721 | ||||||
State Street Corp. | 28,307 | 2,253,520 | ||||||
SunTrust Banks, Inc. | 14,200 | 785,260 | ||||||
Synovus Financial Corp. | 3,600 | 147,672 | ||||||
US Bancorp | 49,300 | 2,538,950 | ||||||
Wells Fargo & Co. | 213,507 | 11,883,800 | ||||||
|
| |||||||
66,857,761 | ||||||||
|
| |||||||
Diversified Financial Services — 4.8% | ||||||||
Alliance Data Systems Corp. | 7,661 | 1,907,589 | ||||||
Ally Financial, Inc. | 13,500 | 274,455 | ||||||
American Express Co. | 45,542 | 3,602,828 | ||||||
Ameriprise Financial, Inc. | 19,697 | 2,554,307 | ||||||
BlackRock, Inc. | 4,700 | 1,802,497 | ||||||
Credit Acceptance Corp. (a) | 200 | 39,882 | ||||||
Discover Financial Services | 38,230 | 2,614,550 | ||||||
Eaton Vance Corp. | 3,100 | 139,376 | ||||||
E*TRADE Financial Corp. (a) | 8,000 | 279,120 | ||||||
FNF Group | 52,476 | 2,043,415 | ||||||
Franklin Resources, Inc. | 16,400 | 691,096 | ||||||
Invesco Ltd. | 11,700 | 358,371 | ||||||
Nasdaq, Inc. | 4,400 | 305,580 | ||||||
Navient Corp. | 8,700 | 128,412 | ||||||
Raymond James Financial, Inc. | 4,000 | 305,040 | ||||||
Santander Consumer USA Holdings, Inc. (a) | 10,500 | 139,860 | ||||||
|
| |||||||
17,996,715 | ||||||||
|
| |||||||
Insurance — 6.5% | ||||||||
Aflac, Inc. | 11,100 | 803,862 | ||||||
Alleghany Corp. (a) | 500 | 307,330 | ||||||
The Allstate Corp. | 12,000 | 977,880 |
Number of Shares | Value | |||||||
American Financial Group, Inc. | 5,300 | $ | 505,726 | |||||
American International Group, Inc. | 73,330 | 4,577,992 | ||||||
Arch Capital Group Ltd. (a) | 3,400 | 322,218 | ||||||
Assurant, Inc. | 1,900 | 181,773 | ||||||
Assured Guaranty Ltd. | 1,500 | 55,665 | ||||||
Axis Capital Holdings Ltd. | 2,500 | 167,575 | ||||||
Cincinnati Financial Corp. | 4,400 | 317,988 | ||||||
Everest Re Group Ltd. | 1,300 | 303,953 | ||||||
The Hartford Financial Services Group, Inc. | 10,900 | 523,963 | ||||||
Lincoln National Corp. | 6,400 | 418,880 | ||||||
Loews Corp. | 9,700 | 453,669 | ||||||
Markel Corp. (a) | 400 | 390,344 | ||||||
MetLife, Inc. | 69,244 | 3,657,468 | ||||||
Old Republic International Corp. | 3,200 | 65,536 | ||||||
Principal Financial Group, Inc. | 8,400 | 530,124 | ||||||
Prudential Financial, Inc. | 12,500 | 1,333,500 | ||||||
Reinsurance Group of America, Inc. | 2,000 | 253,960 | ||||||
RenaissanceRe Holdings Ltd. | 1,200 | 173,580 | ||||||
Torchmark Corp. | 9,000 | 693,360 | ||||||
The Travelers Cos., Inc. | 35,714 | 4,304,966 | ||||||
Unum Group | 44,477 | 2,085,526 | ||||||
Validus Holdings Ltd. | 2,200 | 124,058 | ||||||
Voya Financial, Inc. | 5,500 | 208,780 | ||||||
W.R. Berkley Corp. | 3,500 | 247,205 | ||||||
XL Group Ltd. | 7,700 | 306,922 | ||||||
|
| |||||||
24,293,803 | ||||||||
|
| |||||||
Real Estate — 0.0% | ||||||||
Jones Lang LaSalle, Inc. | 1,300 | 144,885 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.1% | ||||||||
CBRE Group, Inc. Class A (a) | 43,143 | 1,500,945 | ||||||
Outfront Media, Inc. | 26,561 | 705,195 | ||||||
Weyerhaeuser Co. | 54,234 | 1,842,871 | ||||||
|
| |||||||
4,049,011 | ||||||||
|
| |||||||
Savings & Loans — 0.1% | ||||||||
Investors Bancorp, Inc. | 9,000 | 129,420 | ||||||
People’s United Financial, Inc. | 7,000 | 127,400 | ||||||
|
| |||||||
256,820 | ||||||||
|
| |||||||
113,598,995 | ||||||||
|
| |||||||
Industrial — 11.7% | ||||||||
Aerospace & Defense — 4.3% | ||||||||
The Boeing Co. | 17,600 | 3,112,736 | ||||||
General Dynamics Corp. | 9,700 | 1,815,840 | ||||||
Harris Corp. | 23,943 | 2,664,137 | ||||||
L3 Technologies, Inc. | 2,300 | 380,167 | ||||||
Northrop Grumman Corp. | 8,421 | 2,002,851 | ||||||
Rockwell Collins, Inc. | 3,400 | 330,344 | ||||||
Spirit AeroSystems Holdings, Inc. Class A | 3,700 | 214,304 | ||||||
United Technologies Corp. | 47,495 | 5,329,414 | ||||||
|
| |||||||
15,849,793 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
63
MassMutual Select Diversified Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Building Materials — 1.1% | ||||||||
Johnson Controls International PLC | 53,920 | $ | 2,271,111 | |||||
Owens Corning | 3,300 | 202,521 | ||||||
USG Corp. (a) | 4,200 | 133,560 | ||||||
Vulcan Materials Co. | 12,365 | 1,489,735 | ||||||
|
| |||||||
4,096,927 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.3% | ||||||||
Emerson Electric Co. | 17,300 | 1,035,578 | ||||||
Hubbell, Inc. | 1,300 | 156,065 | ||||||
|
| |||||||
1,191,643 | ||||||||
|
| |||||||
Electronics — 1.9% | ||||||||
Arrow Electronics, Inc. (a) | 2,600 | 190,866 | ||||||
Avnet, Inc. | 5,400 | 247,104 | ||||||
Corning, Inc. | 37,400 | 1,009,800 | ||||||
Garmin Ltd. | 5,700 | 291,327 | ||||||
Gentex Corp. | 8,300 | 177,039 | ||||||
Honeywell International, Inc. | 39,355 | 4,914,259 | ||||||
Jabil Circuit, Inc. | 5,100 | 147,492 | ||||||
|
| |||||||
6,977,887 | ||||||||
|
| |||||||
Engineering & Construction — 0.1% | ||||||||
Fluor Corp. | 4,100 | 215,742 | ||||||
Jacobs Engineering Group, Inc. | 3,500 | 193,480 | ||||||
|
| |||||||
409,222 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.2% | ||||||||
Snap-on, Inc. | 1,600 | 269,872 | ||||||
Stanley Black & Decker, Inc. | 4,200 | 558,054 | ||||||
|
| |||||||
827,926 | ||||||||
|
| |||||||
Machinery – Diversified — 0.2% | ||||||||
AGCO Corp. | 2,400 | 144,432 | ||||||
Cummins, Inc. | 4,900 | 740,880 | ||||||
|
| |||||||
885,312 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.5% | ||||||||
Carlisle Cos., Inc. | 1,700 | 180,897 | ||||||
Eaton Corp. PLC | 32,746 | 2,428,116 | ||||||
Hexcel Corp. | 2,500 | 136,375 | ||||||
Ingersoll-Rand PLC | 7,000 | 569,240 | ||||||
Pentair PLC | 32,531 | 2,042,296 | ||||||
Textron, Inc. | 7,900 | 375,961 | ||||||
|
| |||||||
5,732,885 | ||||||||
|
| |||||||
Packaging & Containers — 0.7% | ||||||||
Crown Holdings, Inc. (a) | 4,000 | 211,800 | ||||||
Graphic Packaging Holding Co. | 8,800 | 113,256 | ||||||
Packaging Corp. of America | 2,800 | 256,536 | ||||||
Sealed Air Corp. | 38,198 | 1,664,669 | ||||||
Sonoco Products Co. | 2,900 | 153,468 | ||||||
|
| |||||||
2,399,729 | ||||||||
|
| |||||||
Transportation — 1.4% | ||||||||
Norfolk Southern Corp. | 16,668 | 1,866,316 | ||||||
Union Pacific Corp. | 22,200 | 2,351,424 |
Number of Shares | Value | |||||||
United Parcel Service, Inc. Class B | 9,300 | $ | 997,890 | |||||
|
| |||||||
5,215,630 | ||||||||
|
| |||||||
43,586,954 | ||||||||
|
| |||||||
Technology — 12.2% | ||||||||
Computers — 6.2% | ||||||||
Apple, Inc. | 115,485 | 16,590,575 | ||||||
Diebold Nixdorf, Inc. | 23,697 | 727,498 | ||||||
HP, Inc. | 49,300 | 881,484 | ||||||
International Business Machines Corp. | 27,400 | 4,771,436 | ||||||
NCR Corp. (a) | 3,100 | 141,608 | ||||||
|
| |||||||
23,112,601 | ||||||||
|
| |||||||
Semiconductors — 3.1% | ||||||||
Applied Materials, Inc. | 29,800 | 1,159,220 | ||||||
Intel Corp. | 137,800 | 4,970,446 | ||||||
KLA-Tencor Corp. | 4,300 | 408,801 | ||||||
Marvell Technology Group Ltd. | 12,800 | 195,328 | ||||||
Qorvo, Inc. (a) | 3,700 | 253,672 | ||||||
QUALCOMM, Inc. | 74,792 | 4,288,574 | ||||||
Skyworks Solutions, Inc. | 5,300 | 519,294 | ||||||
|
| |||||||
11,795,335 | ||||||||
|
| |||||||
Software — 2.9% | ||||||||
CA, Inc. | 11,400 | 361,608 | ||||||
Microsoft Corp. | 42,855 | 2,822,430 | ||||||
Oracle Corp. | 172,654 | 7,702,095 | ||||||
|
| |||||||
10,886,133 | ||||||||
|
| |||||||
45,794,069 | ||||||||
|
| |||||||
Utilities — 3.1% | ||||||||
Electric — 3.1% | ||||||||
The AES Corp. | 19,300 | 215,774 | ||||||
Ameren Corp. | 7,100 | 387,589 | ||||||
American Electric Power Co., Inc. | 13,400 | 899,542 | ||||||
DTE Energy Co. | 5,200 | 530,972 | ||||||
Duke Energy Corp. | 17,600 | 1,443,376 | ||||||
Edison International | 9,000 | 716,490 | ||||||
Entergy Corp. | 4,900 | 372,204 | ||||||
Eversource Energy | 8,700 | 511,386 | ||||||
Exelon Corp. | 25,600 | 921,088 | ||||||
NextEra Energy, Inc. | 15,901 | 2,041,212 | ||||||
OGE Energy Corp. | 5,400 | 188,892 | ||||||
PG&E Corp. | 30,626 | 2,032,341 | ||||||
Pinnacle West Capital Corp. | 3,100 | 258,478 | ||||||
Public Service Enterprise Group, Inc. | 13,100 | 580,985 | ||||||
Xcel Energy, Inc. | 14,000 | 622,300 | ||||||
|
| |||||||
11,722,629 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $294,645,718) | 368,147,647 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
64
MassMutual Select Diversified Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
TOTAL EQUITIES (Cost $294,645,718) | $ | 368,147,647 | ||||||
|
| |||||||
MUTUAL FUNDS — 0.3% | ||||||||
Diversified Financial Services — 0.3% | ||||||||
iShares Russell 1000 Value Index Fund | 10,300 | 1,183,882 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,181,162) | 1,183,882 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $295,826,880) | 369,331,529 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 2.5% | ||||||||
Repurchase Agreement — 2.5% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (b) | $ | 9,263,150 | 9,263,150 | |||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 928 | 928 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $9,264,078) | 9,264,078 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.3% (Cost $305,090,958) (c) | 378,595,607 | |||||||
Other Assets/(Liabilities) — (1.3)% | (4,684,335 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 373,911,272 | ||||||
|
|
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 $9,263,188. Collateralized by U.S. Government Agency obligations with rates ranging from 1.000% – 1.500%, maturity dates ranging from 5/15/18 – 1/31/22, and an aggregate market value, including accrued interest, of $9,452,558. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
65
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 98.6% | ||||||||
COMMON STOCK — 98.6% | ||||||||
Basic Materials — 2.3% | ||||||||
Chemicals — 1.4% | ||||||||
The Dow Chemical Co. | 277,680 | $ | 17,643,788 | |||||
|
| |||||||
Forest Products & Paper — 0.9% | ||||||||
International Paper Co. | 210,790 | 10,703,916 | ||||||
|
| |||||||
28,347,704 | ||||||||
|
| |||||||
Communications — 9.8% | ||||||||
Internet — 0.6% | ||||||||
eBay, Inc. (a) | 219,780 | 7,378,015 | ||||||
|
| |||||||
Media — 4.1% | ||||||||
CBS Corp. Class B | 191,700 | 13,296,312 | ||||||
Comcast Corp. Class A | 361,820 | 13,600,814 | ||||||
Thomson Reuters Corp. | 265,580 | 11,481,023 | ||||||
Viacom, Inc. Class B | 283,400 | 13,212,108 | ||||||
|
| |||||||
51,590,257 | ||||||||
|
| |||||||
Telecommunications — 5.1% | ||||||||
Cisco Systems, Inc. | 1,136,500 | 38,413,700 | ||||||
Nokia OYJ Sponsored ADR (Finland) | 1,825,800 | 9,895,836 | ||||||
Verizon Communications, Inc. | 321,950 | 15,695,062 | ||||||
|
| |||||||
64,004,598 | ||||||||
|
| |||||||
122,972,870 | ||||||||
|
| |||||||
Consumer, Cyclical — 6.1% | ||||||||
Home Builders — 1.2% | ||||||||
PulteGroup, Inc. | 639,990 | 15,071,764 | ||||||
|
| |||||||
Leisure Time — 1.0% | ||||||||
Norwegian Cruise Line Holdings Ltd. (a) | 254,680 | 12,919,916 | ||||||
|
| |||||||
Lodging — 1.2% | ||||||||
Hilton Worldwide Holdings, Inc. | 247,036 | 14,441,725 | ||||||
|
| |||||||
Retail — 2.7% | ||||||||
The Home Depot, Inc. | 78,590 | 11,539,370 | ||||||
Liberty Interactive Corp. QVC Group Class A (a) | 449,720 | 9,003,394 | ||||||
Lowe’s Cos., Inc. | 84,090 | 6,913,039 | ||||||
Signet Jewelers Ltd. | 88,880 | 6,156,718 | ||||||
|
| |||||||
33,612,521 | ||||||||
|
| |||||||
76,045,926 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 18.0% | ||||||||
Agriculture — 3.1% | ||||||||
British American Tobacco PLC | 256,377 | 16,995,208 | ||||||
Philip Morris International, Inc. | 194,680 | 21,979,372 | ||||||
|
| |||||||
38,974,580 | ||||||||
|
| |||||||
Biotechnology — 1.0% | ||||||||
Amgen, Inc. | 72,890 | 11,959,062 | ||||||
|
|
Number of Shares | Value | |||||||
Commercial Services — 0.8% | ||||||||
Nielsen Holdings PLC | 235,350 | $ | 9,722,308 | |||||
|
| |||||||
Cosmetics & Personal Care — 0.5% | ||||||||
Unilever NV NY Shares | 123,200 | 6,120,576 | ||||||
|
| |||||||
Foods — 1.8% | ||||||||
The Kraft Heinz Co. | 117,406 | 10,661,639 | ||||||
Mondelez International, Inc. Class A | 292,410 | 12,597,023 | ||||||
|
| |||||||
23,258,662 | ||||||||
|
| |||||||
Health Care – Products — 1.5% | ||||||||
Medtronic PLC | 240,467 | 19,372,021 | ||||||
|
| |||||||
Health Care – Services — 1.4% | ||||||||
UnitedHealth Group, Inc. | 108,760 | 17,837,728 | ||||||
|
| |||||||
Pharmaceuticals — 7.9% | ||||||||
Allergan PLC | 64,230 | 15,345,831 | ||||||
AstraZeneca PLC Sponsored ADR (United Kingdom) | 413,340 | 12,871,408 | ||||||
Bristol-Myers Squibb Co. | 301,450 | 16,392,851 | ||||||
Merck & Co., Inc. | 524,130 | 33,303,220 | ||||||
Pfizer, Inc. | 181,885 | 6,222,286 | ||||||
Roche Holding AG | 57,822 | 14,750,703 | ||||||
|
| |||||||
98,886,299 | ||||||||
|
| |||||||
226,131,236 | ||||||||
|
| |||||||
Energy — 10.9% | ||||||||
Oil & Gas — 9.5% | ||||||||
Anadarko Petroleum Corp. | 114,570 | 7,103,340 | ||||||
Canadian Natural Resources Ltd. | 284,220 | 9,319,574 | ||||||
Chevron Corp. | 263,580 | 28,300,584 | ||||||
EOG Resources, Inc. | 191,020 | 18,634,001 | ||||||
Exxon Mobil Corp. | 207,380 | 17,007,234 | ||||||
Marathon Oil Corp. | 901,551 | 14,244,506 | ||||||
Occidental Petroleum Corp. | 114,280 | 7,240,781 | ||||||
Pioneer Natural Resources Co. | 74,610 | 13,894,620 | ||||||
Southwestern Energy Co. (a) | 524,870 | 4,288,188 | ||||||
|
| |||||||
120,032,828 | ||||||||
|
| |||||||
Oil & Gas Services — 1.4% | ||||||||
Halliburton Co. | 353,780 | 17,409,514 | ||||||
|
| |||||||
137,442,342 | ||||||||
|
| |||||||
Financial — 28.4% | ||||||||
Banks — 17.1% | ||||||||
Bank of America Corp. | 622,050 | 14,674,160 | ||||||
Citigroup, Inc. | 515,000 | 30,807,300 | ||||||
The Goldman Sachs Group, Inc. | 68,450 | 15,724,334 | ||||||
JP Morgan Chase & Co. | 660,326 | 58,003,036 | ||||||
M&T Bank Corp. | 109,940 | 17,011,016 | ||||||
The PNC Financial Services Group, Inc. | 267,620 | 32,178,629 | ||||||
Wells Fargo & Co. | 838,990 | 46,698,183 | ||||||
|
| |||||||
215,096,658 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
66
MassMutual Select Fundamental Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Diversified Financial Services — 3.5% | ||||||||
BlackRock, Inc. | 44,340 | $ | 17,004,834 | |||||
Intercontinental Exchange, Inc. | 210,840 | 12,622,991 | ||||||
Invesco Ltd. | 475,180 | 14,554,763 | ||||||
|
| |||||||
44,182,588 | ||||||||
|
| |||||||
Insurance — 6.8% | ||||||||
American International Group, Inc. | 203,320 | 12,693,268 | ||||||
Chubb Ltd. | 157,570 | 21,468,912 | ||||||
Marsh & McLennan Cos., Inc. | 216,920 | 16,028,219 | ||||||
MetLife, Inc. | 289,730 | 15,303,539 | ||||||
Principal Financial Group, Inc. | 175,358 | 11,066,843 | ||||||
Unum Group | 184,660 | 8,658,707 | ||||||
|
| |||||||
85,219,488 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.0% | ||||||||
Park Hotels & Resorts, Inc. | 491,324 | 12,612,287 | ||||||
|
| |||||||
357,111,021 | ||||||||
|
| |||||||
Industrial — 11.0% | ||||||||
Aerospace & Defense — 1.9% | ||||||||
Triumph Group, Inc. | 228,290 | 5,878,467 | ||||||
United Technologies Corp. | 163,000 | 18,290,230 | ||||||
|
| |||||||
24,168,697 | ||||||||
|
| |||||||
Building Materials — 1.1% | ||||||||
Fortune Brands Home & Security, Inc. | 217,280 | 13,221,488 | ||||||
|
| |||||||
Machinery – Construction & Mining — 0.8% | ||||||||
Caterpillar, Inc. | 113,950 | 10,570,002 | ||||||
|
| |||||||
Miscellaneous – Manufacturing — 5.9% | ||||||||
3M Co. | 78,710 | 15,059,584 | ||||||
Eaton Corp. PLC | 278,530 | 20,653,000 | ||||||
General Electric Co. | 690,850 | 20,587,330 | ||||||
Ingersoll-Rand PLC | 226,790 | 18,442,563 | ||||||
|
| |||||||
74,742,477 | ||||||||
|
| |||||||
Transportation — 1.3% | ||||||||
Union Pacific Corp. | 149,400 | 15,824,448 | ||||||
|
| |||||||
138,527,112 | ||||||||
|
| |||||||
Technology — 8.6% | ||||||||
Computers — 2.0% | ||||||||
Apple, Inc. | 72,360 | 10,395,238 | ||||||
Cognizant Technology Solutions Corp. Class A (a) | 243,900 | 14,516,928 | ||||||
|
| |||||||
24,912,166 | ||||||||
|
| |||||||
Semiconductors — 5.5% | ||||||||
Analog Devices, Inc. | 100,940 | 8,272,033 | ||||||
Intel Corp. | 712,670 | 25,706,007 | ||||||
Maxim Integrated Products, Inc. | 395,200 | 17,768,192 | ||||||
QUALCOMM, Inc. | 302,950 | 17,371,153 | ||||||
|
| |||||||
69,117,385 | ||||||||
|
|
Number of Shares | Value | |||||||
Software — 1.1% | ||||||||
Microsoft Corp. | 213,340 | $ | 14,050,572 | |||||
|
| |||||||
108,080,123 | ||||||||
|
| |||||||
Utilities — 3.5% | ||||||||
Electric — 3.5% | ||||||||
Dominion Resources, Inc. | 105,320 | 8,169,672 | ||||||
Edison International | 158,360 | 12,607,040 | ||||||
Eversource Energy | 264,690 | 15,558,478 | ||||||
NextEra Energy, Inc. | 62,280 | 7,994,884 | ||||||
|
| |||||||
44,330,074 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $924,836,391) | 1,238,988,408 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $924,836,391) | 1,238,988,408 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $924,836,391) | 1,238,988,408 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.0% | ||||||||
Repurchase Agreement — 1.0% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (b) | $ | 12,895,751 | 12,895,751 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $12,895,751) | 12,895,751 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.6% (Cost $937,732,142) (c) | 1,251,884,159 | |||||||
Other Assets/(Liabilities) — 0.4% | 5,644,066 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,257,528,225 | ||||||
|
|
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 $12,895,805. Collateralized by U.S. Government Agency obligations with a rate of 1.500%, maturity date of 1/31/22, and an aggregate market value, including accrued interest, of $13,154,930. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
67
MassMutual Select Fundamental Value Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
Country weightings, as a percentage of net assets, is as follows:
United States | 81.0 | % | ||
Ireland | 5.9 | % | ||
United Kingdom | 3.1 | % | ||
Switzerland | 2.9 | % | ||
Bermuda | 2.7 | % | ||
Canada | 1.7 | % | ||
Finland | 0.8 | % | ||
Netherlands | 0.5 | % | ||
|
| |||
Total Long-Term Investments | 98.6 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.4 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
68
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 95.9% | ||||||||
COMMON STOCK — 95.9% | ||||||||
Basic Materials — 3.1% | ||||||||
Chemicals — 2.9% | ||||||||
BASF SE Sponsored ADR (Germany) | 8,481 | $ | 841,103 | |||||
Celanese Corp. Series A | 14,600 | 1,311,810 | ||||||
The Dow Chemical Co. | 12,000 | 762,480 | ||||||
E.I. du Pont de Nemours & Co. | 32,300 | 2,594,659 | ||||||
|
| |||||||
5,510,052 | ||||||||
|
| |||||||
Iron & Steel — 0.2% | ||||||||
Carpenter Technology Corp. | 9,221 | 343,943 | ||||||
|
| |||||||
5,853,995 | ||||||||
|
| |||||||
Communications — 5.1% | ||||||||
Advertising — 0.7% | ||||||||
Aimia, Inc. | 186,300 | 1,250,073 | ||||||
|
| |||||||
Media — 0.7% | ||||||||
Time Warner, Inc. | 13,100 | 1,280,001 | ||||||
|
| |||||||
Telecommunications — 3.7% | ||||||||
ARRIS International PLC (a) | 30,400 | 804,080 | ||||||
AT&T, Inc. | 48,808 | 2,027,972 | ||||||
Cisco Systems, Inc. | 32,500 | 1,098,500 | ||||||
Verizon Communications, Inc. | 57,469 | 2,801,614 | ||||||
Vodafone Group PLC Sponsored ADR (United Kingdom) | 13,672 | 361,351 | ||||||
|
| |||||||
7,093,517 | ||||||||
|
| |||||||
9,623,591 | ||||||||
|
| |||||||
Consumer, Cyclical — 7.5% | ||||||||
Airlines — 1.1% | ||||||||
Southwest Airlines Co. | 37,449 | 2,013,258 | ||||||
|
| |||||||
Auto Parts & Equipment — 0.7% | ||||||||
Adient PLC | 18,058 | 1,312,275 | ||||||
|
| |||||||
Home Builders — 0.4% | ||||||||
Lennar Corp. Class B | 19,933 | 833,199 | ||||||
|
| |||||||
Home Furnishing — 0.7% | ||||||||
Whirlpool Corp. | 8,000 | 1,370,640 | ||||||
|
| |||||||
Housewares — 0.5% | ||||||||
Tupperware Brands Corp. | 14,771 | 926,437 | ||||||
|
| |||||||
Retail — 4.1% | �� | |||||||
The Gap, Inc. | 49,647 | 1,205,926 | ||||||
The Home Depot, Inc. | 7,900 | 1,159,957 | ||||||
Target Corp. | 21,859 | 1,206,398 | ||||||
Wal-Mart Stores, Inc. | 58,560 | 4,221,005 | ||||||
|
| |||||||
7,793,286 | ||||||||
|
| |||||||
14,249,095 | ||||||||
|
|
Number of Shares | Value | |||||||
Consumer, Non-cyclical — 21.1% | ||||||||
Agriculture — 5.0% | ||||||||
Altria Group, Inc. | 40,259 | $ | 2,875,298 | |||||
Philip Morris International, Inc. | 59,360 | 6,701,744 | ||||||
|
| |||||||
9,577,042 | ||||||||
|
| |||||||
Foods — 1.8% | ||||||||
Conagra Brands, Inc. | 24,300 | 980,262 | ||||||
Lamb Weston Holdings, Inc. | 9,533 | 400,958 | ||||||
Tyson Foods, Inc. Class A | 33,400 | 2,061,114 | ||||||
|
| |||||||
3,442,334 | ||||||||
|
| |||||||
Health Care – Products — 1.4% | ||||||||
Medtronic PLC | 34,416 | 2,772,553 | ||||||
|
| |||||||
Pharmaceuticals — 12.9% | ||||||||
Allergan PLC | 1,800 | 430,056 | ||||||
Eli Lilly & Co. | 31,364 | 2,638,026 | ||||||
Herbalife Ltd. (a) (b) | 56,703 | 3,296,712 | ||||||
Johnson & Johnson | 32,574 | 4,057,092 | ||||||
Merck & Co., Inc. | 93,200 | 5,921,928 | ||||||
Pfizer, Inc. | 181,566 | 6,211,373 | ||||||
Sanofi ADR (France) | 36,500 | 1,651,625 | ||||||
VCA, Inc. (a) | 3,400 | 311,100 | ||||||
|
| |||||||
24,517,912 | ||||||||
|
| |||||||
40,309,841 | ||||||||
|
| |||||||
Energy — 8.6% | ||||||||
Oil & Gas — 8.6% | ||||||||
BP PLC Sponsored ADR (United Kingdom) | 129,622 | 4,474,552 | ||||||
Chesapeake Energy Corp. (a) (b) | 33,300 | 197,802 | ||||||
ConocoPhillips | 65,618 | 3,272,370 | ||||||
Ensco PLC Class A | 109,900 | 983,605 | ||||||
Occidental Petroleum Corp. | 34,823 | 2,206,385 | ||||||
PBF Energy, Inc. Class A (b) | 36,600 | 811,422 | ||||||
Phillips 66 | 37,079 | 2,937,398 | ||||||
Royal Dutch Shell PLC A Shares Sponsored ADR (United Kingdom) | 30,400 | 1,602,992 | ||||||
|
| |||||||
16,486,526 | ||||||||
|
| |||||||
Financial — 24.7% | ||||||||
Banks — 15.7% | ||||||||
Bank of America Corp. | 326,396 | 7,699,682 | ||||||
Citigroup, Inc. | 81,726 | 4,888,849 | ||||||
JP Morgan Chase & Co. | 82,758 | 7,269,463 | ||||||
KeyCorp | 90,900 | 1,616,202 | ||||||
The PNC Financial Services Group, Inc. | 6,799 | 817,512 | ||||||
State Street Corp. | 19,093 | 1,519,994 | ||||||
SunTrust Banks, Inc. | 26,172 | 1,447,311 | ||||||
Wells Fargo & Co. | 83,740 | 4,660,968 | ||||||
|
| |||||||
29,919,981 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
69
MassMutual Select Large Cap Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Diversified Financial Services — 3.4% | ||||||||
Ally Financial, Inc. | 34,606 | $ | 703,540 | |||||
American Express Co. | 40,699 | 3,219,698 | ||||||
Ameriprise Financial, Inc. | 14,300 | 1,854,424 | ||||||
Mastercard, Inc. Class A | 5,800 | 652,326 | ||||||
|
| |||||||
6,429,988 | ||||||||
|
| |||||||
Insurance — 5.6% | ||||||||
American International Group, Inc. | 11,700 | 730,431 | ||||||
CNO Financial Group, Inc. | 168,077 | 3,445,579 | ||||||
Loews Corp. | 82,718 | 3,868,721 | ||||||
Voya Financial, Inc. | 19,147 | 726,820 | ||||||
XL Group Ltd. | 48,800 | 1,945,168 | ||||||
|
| |||||||
10,716,719 | ||||||||
|
| |||||||
47,066,688 | ||||||||
|
| |||||||
Industrial — 13.8% | ||||||||
Aerospace & Defense — 4.0% | ||||||||
Arconic, Inc. | 42,367 | 1,115,947 | ||||||
Northrop Grumman Corp. | 11,800 | 2,806,512 | ||||||
Raytheon Co. | 6,881 | 1,049,352 | ||||||
United Technologies Corp. | 24,100 | 2,704,261 | ||||||
|
| |||||||
7,676,072 | ||||||||
|
| |||||||
Building Materials — 1.0% | ||||||||
Johnson Controls International PLC | 43,585 | 1,835,800 | ||||||
|
| |||||||
Electronics — 1.1% | ||||||||
Corning, Inc. | 16,900 | 456,300 | ||||||
Honeywell International, Inc. | 10,475 | 1,308,013 | ||||||
TE Connectivity Ltd. | 5,100 | 380,205 | ||||||
|
| |||||||
2,144,518 | ||||||||
|
| |||||||
Engineering & Construction — 3.1% | ||||||||
Fluor Corp. | 6,500 | 342,030 | ||||||
KBR, Inc. | 370,600 | 5,570,118 | ||||||
|
| |||||||
5,912,148 | ||||||||
|
| |||||||
Hand & Machine Tools — 1.3% | ||||||||
Stanley Black & Decker, Inc. | 18,099 | 2,404,814 | ||||||
|
| |||||||
Machinery – Diversified — 0.2% | ||||||||
Flowserve Corp. | 7,800 | 377,676 | ||||||
|
| |||||||
Transportation — 3.1% | ||||||||
Euronav NV (a) (b) | 166,215 | 1,313,099 | ||||||
FedEx Corp. | 8,100 | 1,580,715 | ||||||
Golar LNG Partners LP (c) | 53,475 | 1,194,632 | ||||||
Norfolk Southern Corp. | 17,285 | 1,935,401 | ||||||
|
| |||||||
6,023,847 | ||||||||
|
| |||||||
26,374,875 | ||||||||
|
| |||||||
Technology — 8.4% | ||||||||
Computers — 2.1% | ||||||||
Hewlett Packard Enterprise Co. | 36,500 | 865,050 | ||||||
HP, Inc. | 24,900 | 445,212 |
Number of Shares | Value | |||||||
International Business Machines Corp. | 15,500 | $ | 2,699,170 | |||||
|
| |||||||
4,009,432 | ||||||||
|
| |||||||
Semiconductors — 0.9% | ||||||||
QUALCOMM, Inc. | 30,900 | 1,771,806 | ||||||
|
| |||||||
Software — 5.4% | ||||||||
CA, Inc. | 102,100 | 3,238,612 | ||||||
First Data Corp. Class A (a) | 25,800 | 399,900 | ||||||
Microsoft Corp. | 51,300 | 3,378,618 | ||||||
Oracle Corp. | 71,900 | 3,207,459 | ||||||
|
| |||||||
10,224,589 | ||||||||
|
| |||||||
16,005,827 | ||||||||
|
| |||||||
Utilities — 3.6% | ||||||||
Electric — 3.6% | ||||||||
American Electric Power Co., Inc. | 6,000 | 402,780 | ||||||
Entergy Corp. | 50,973 | 3,871,909 | ||||||
Exelon Corp. | 61,600 | 2,216,368 | ||||||
NextEra Energy, Inc. | 3,000 | 385,110 | ||||||
|
| |||||||
6,876,167 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $162,101,251) | 182,846,605 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $162,101,251) | 182,846,605 | |||||||
|
| |||||||
MUTUAL FUNDS — 3.0% | ||||||||
Diversified Financial Services — 3.0% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 5,774,344 | 5,774,344 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $5,774,344) | 5,774,344 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $167,875,595) | 188,620,949 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 5.3% | ||||||||
Repurchase Agreement — 5.2% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (e) | $ | 9,913,375 | 9,913,375 | |||||
|
|
The accompanying notes are an integral part of the financial statements.
70
MassMutual Select Large Cap Value Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Time Deposit — 0.1% | ||||||||
Euro Time Deposit | $ | 96,781 | $ | 96,781 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $10,010,156) | 10,010,156 | |||||||
|
| |||||||
TOTAL INVESTMENTS —104.2% (Cost $177,885,751) (f) | 198,631,105 | |||||||
Other Assets/(Liabilities) — (4.2)% | (7,946,796 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 190,684,309 | ||||||
|
|
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 March 31, 2017, was $5,617,686 or 2.95% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(c) | Security is a Master Limited Partnership. |
(d) | Represents investment of security lending collateral. (Note 2). |
(e) | Maturity value of $9,913,417. 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 $10,113,762. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
71
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 100.5% | ||||||||
COMMON STOCK — 100.5% | ||||||||
Basic Materials — 2.3% | ||||||||
Chemicals — 1.9% | ||||||||
Air Products & Chemicals, Inc. | 40,616 | $ | 5,494,939 | |||||
Albemarle Corp. | 20,692 | 2,185,903 | ||||||
CF Industries Holdings, Inc. | 42,312 | 1,241,857 | ||||||
The Dow Chemical Co. | 208,912 | 13,274,268 | ||||||
E.I. du Pont de Nemours & Co. | 161,093 | 12,940,601 | ||||||
Eastman Chemical Co. | 27,440 | 2,217,152 | ||||||
FMC Corp. | 25,593 | 1,781,017 | ||||||
International Flavors & Fragrances, Inc. | 14,657 | 1,942,492 | ||||||
LyondellBasell Industries NV Class A | 61,403 | 5,599,340 | ||||||
Monsanto Co. | 81,514 | 9,227,385 | ||||||
The Mosaic Co. | 64,560 | 1,883,861 | ||||||
PPG Industries, Inc. | 47,956 | 5,039,216 | ||||||
Praxair, Inc. | 52,999 | 6,285,681 | ||||||
The Sherwin-Williams Co. | 15,223 | 4,722,022 | ||||||
|
| |||||||
73,835,734 | ||||||||
|
| |||||||
Forest Products & Paper — 0.1% | ||||||||
International Paper Co. | 77,423 | 3,931,540 | ||||||
|
| |||||||
Iron & Steel — 0.1% | ||||||||
Nucor Corp. | 59,668 | 3,563,373 | ||||||
|
| |||||||
Mining — 0.2% | ||||||||
Freeport-McMoRan, Inc. (a) | 246,405 | 3,291,971 | ||||||
Newmont Mining Corp. | 99,353 | 3,274,675 | ||||||
6,566,646 | ||||||||
|
| |||||||
87,897,293 | ||||||||
|
| |||||||
Communications — 13.9% | ||||||||
Advertising — 0.1% | ||||||||
The Interpublic Group of Cos., Inc. | 73,980 | 1,817,688 | ||||||
Omnicom Group, Inc. | 43,700 | 3,767,377 | ||||||
|
| |||||||
5,585,065 | ||||||||
|
| |||||||
Internet — 7.3% | ||||||||
Alphabet, Inc. Class A (a) | 55,412 | 46,978,294 | ||||||
Alphabet, Inc. Class C (a) | 55,144 | 45,745,257 | ||||||
Amazon.com, Inc. (a) | 73,875 | 65,493,143 | ||||||
eBay, Inc. (a) | 188,562 | 6,330,026 | ||||||
Expedia, Inc. | 22,538 | 2,843,619 | ||||||
F5 Networks, Inc. (a) | 12,320 | 1,756,462 | ||||||
Facebook, Inc. Class A (a) | 439,288 | 62,400,860 | ||||||
Netflix, Inc. (a) | 80,277 | 11,865,743 | ||||||
The Priceline Group, Inc. (a) | 9,201 | 16,377,504 | ||||||
Symantec Corp. | 114,700 | 3,518,996 | ||||||
TripAdvisor, Inc. (a) | 21,878 | 944,255 | ||||||
VeriSign, Inc. (a) | 16,464 | 1,434,179 | ||||||
Yahoo!, Inc. (a) | 163,355 | 7,581,306 | ||||||
|
| |||||||
273,269,644 | ||||||||
|
|
Number of Shares | Value | |||||||
Media — 3.1% | ||||||||
CBS Corp. Class B | 69,174 | $ | 4,797,909 | |||||
Charter Communications, Inc. Class A (a) | 40,088 | 13,121,604 | ||||||
Comcast Corp. Class A | 882,700 | 33,180,693 | ||||||
Discovery Communications, Inc. Class A (a) | 28,776 | 837,094 | ||||||
Discovery Communications, Inc. Class C (a) | 39,972 | 1,131,607 | ||||||
DISH Network Corp. Class A (a) | 42,142 | 2,675,596 | ||||||
News Corp. Class A | 72,813 | 946,569 | ||||||
News Corp. Class B | 21,500 | 290,250 | ||||||
Scripps Networks Interactive Class A | 18,186 | 1,425,237 | ||||||
TEGNA, Inc. | 41,396 | 1,060,566 | ||||||
Time Warner, Inc. | 144,447 | 14,113,916 | ||||||
Twenty-First Century Fox, Inc. Class A | 196,883 | 6,377,040 | ||||||
Twenty-First Century Fox, Inc. Class B | 91,386 | 2,904,247 | ||||||
Viacom, Inc. Class B | 64,442 | 3,004,286 | ||||||
The Walt Disney Co. | 271,331 | 30,766,222 | ||||||
|
| |||||||
116,632,836 | ||||||||
|
| |||||||
Telecommunications — 3.4% | ||||||||
AT&T, Inc. | 1,145,795 | 47,607,782 | ||||||
CenturyLink, Inc. | 101,541 | 2,393,321 | ||||||
Cisco Systems, Inc. | 934,955 | 31,601,479 | ||||||
Juniper Networks, Inc. | 71,301 | 1,984,307 | ||||||
Level 3 Communications, Inc. (a) | 54,178 | 3,100,065 | ||||||
Motorola Solutions, Inc. | 30,307 | 2,613,070 | ||||||
Verizon Communications, Inc. | 760,536 | 37,076,130 | ||||||
|
| |||||||
126,376,154 | ||||||||
|
| |||||||
521,863,699 | ||||||||
|
| |||||||
Consumer, Cyclical — 9.0% | ||||||||
Airlines — 0.6% | ||||||||
Alaska Air Group, Inc. | 22,744 | 2,097,452 | ||||||
American Airlines Group, Inc. | 94,373 | 3,991,978 | ||||||
Delta Air Lines, Inc. | 136,809 | 6,287,742 | ||||||
Southwest Airlines Co. | 114,449 | 6,152,778 | ||||||
United Continental Holdings, Inc. (a) | 53,144 | 3,754,092 | ||||||
|
| |||||||
22,284,042 | ||||||||
|
| |||||||
Apparel — 0.6% | ||||||||
Hanesbrands, Inc. | 68,939 | 1,431,174 | ||||||
Michael Kors Holdings Ltd. (a) | 30,732 | 1,171,196 | ||||||
NIKE, Inc. Class B | 247,029 | 13,766,926 | ||||||
Ralph Lauren Corp. | 10,364 | 845,910 | ||||||
Under Armour, Inc. Class A (a) | 35,053 | 693,348 | ||||||
Under Armour, Inc. Class C (a) | 35,231 | 644,727 | ||||||
VF Corp. | 62,112 | 3,414,297 | ||||||
|
| |||||||
21,967,578 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
72
MM S&P 500 Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Auto Manufacturers — 0.6% | ||||||||
Ford Motor Co. | 725,546 | $ | 8,445,355 | |||||
General Motors Co. | 254,449 | 8,997,317 | ||||||
PACCAR, Inc. | 65,972 | 4,433,318 | ||||||
|
| |||||||
21,875,990 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.2% | ||||||||
BorgWarner, Inc. | 37,033 | 1,547,609 | ||||||
Delphi Automotive PLC | 50,040 | 4,027,720 | ||||||
The Goodyear Tire & Rubber Co. | 46,477 | 1,673,172 | ||||||
|
| |||||||
7,248,501 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.2% | ||||||||
Fastenal Co. | 53,776 | 2,769,464 | ||||||
LKQ Corp. (a) | 56,380 | 1,650,242 | ||||||
W.W. Grainger, Inc. | 10,197 | 2,373,454 | ||||||
|
| |||||||
6,793,160 | ||||||||
|
| |||||||
Home Builders — 0.1% | ||||||||
D.R. Horton, Inc. | 62,942 | 2,096,598 | ||||||
Lennar Corp. Class A | 38,386 | 1,964,979 | ||||||
PulteGroup, Inc. | 53,129 | 1,251,188 | ||||||
|
| |||||||
5,312,765 | ||||||||
|
| |||||||
Home Furnishing — 0.1% | ||||||||
Leggett & Platt, Inc. | 24,245 | 1,220,008 | ||||||
Whirlpool Corp. | 13,741 | 2,354,246 | ||||||
|
| |||||||
3,574,254 | ||||||||
|
| |||||||
Housewares — 0.1% | ||||||||
Newell Brands, Inc. | 90,700 | 4,278,319 | ||||||
|
| |||||||
Leisure Time — 0.3% | ||||||||
Carnival Corp. | 77,937 | 4,591,269 | ||||||
Harley-Davidson, Inc. | 33,457 | 2,024,149 | ||||||
Royal Caribbean Cruises Ltd. | 31,231 | 3,064,073 | ||||||
|
| |||||||
9,679,491 | ||||||||
|
| |||||||
Lodging — 0.2% | ||||||||
Marriott International, Inc. Class A | 58,507 | 5,510,189 | ||||||
Wyndham Worldwide Corp. | 19,534 | 1,646,521 | ||||||
Wynn Resorts Ltd. | 14,884 | 1,705,855 | ||||||
|
| |||||||
8,862,565 | ||||||||
|
| |||||||
Retail — 5.8% | ||||||||
Advance Auto Parts, Inc. | 13,709 | 2,032,496 | ||||||
AutoNation, Inc. (a) | 12,118 | 512,470 | ||||||
AutoZone, Inc. (a) | 5,323 | 3,848,795 | ||||||
Bed Bath & Beyond, Inc. | 28,006 | 1,105,117 | ||||||
Best Buy Co., Inc. | 50,264 | 2,470,476 | ||||||
CarMax, Inc. (a) | 34,706 | 2,055,289 | ||||||
Chipotle Mexican Grill, Inc. (a) | 5,390 | 2,401,353 | ||||||
Coach, Inc. | 53,095 | 2,194,416 | ||||||
Costco Wholesale Corp. | 81,954 | 13,742,866 | ||||||
CVS Health Corp. | 191,306 | 15,017,521 | ||||||
Darden Restaurants, Inc. | 23,421 | 1,959,635 | ||||||
Dollar General Corp. | 46,841 | 3,266,223 |
Number of Shares | Value | |||||||
Dollar Tree, Inc. (a) | 44,287 | $ | 3,474,758 | |||||
Foot Locker, Inc. | 25,010 | 1,870,998 | ||||||
The Gap, Inc. | 40,508 | 983,939 | ||||||
Genuine Parts Co. | 27,938 | 2,581,751 | ||||||
The Home Depot, Inc. | 227,232 | 33,364,475 | ||||||
Kohl’s Corp. | 32,265 | 1,284,470 | ||||||
L Brands, Inc. | 45,225 | 2,130,098 | ||||||
Lowe’s Cos., Inc. | 161,705 | 13,293,768 | ||||||
Macy’s, Inc. | 57,331 | 1,699,291 | ||||||
McDonald’s Corp. | 152,802 | 19,804,667 | ||||||
Nordstrom, Inc. | 20,869 | 971,869 | ||||||
O’Reilly Automotive, Inc. (a) | 17,062 | 4,604,010 | ||||||
PVH Corp. | 14,803 | 1,531,666 | ||||||
Ross Stores, Inc. | 73,693 | 4,854,158 | ||||||
Signet Jewelers Ltd. | 13,087 | 906,537 | ||||||
Staples, Inc. | 123,696 | 1,084,814 | ||||||
Starbucks Corp. | 272,056 | 15,885,350 | ||||||
Target Corp. | 103,237 | 5,697,650 | ||||||
Tiffany & Co. | 20,080 | 1,913,624 | ||||||
The TJX Cos., Inc. | 121,184 | 9,583,231 | ||||||
Tractor Supply Co. | 24,573 | 1,694,800 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 10,954 | 3,124,409 | ||||||
Wal-Mart Stores, Inc. | 281,193 | 20,268,391 | ||||||
Walgreens Boots Alliance, Inc. | 159,159 | 13,218,155 | ||||||
Yum! Brands, Inc. | 62,791 | 4,012,345 | ||||||
|
| |||||||
220,445,881 | ||||||||
|
| |||||||
Textiles — 0.1% | ||||||||
Mohawk Industries, Inc. (a) | 11,800 | 2,707,982 | ||||||
|
| |||||||
Toys, Games & Hobbies — 0.1% | ||||||||
Hasbro, Inc. | 20,574 | 2,053,697 | ||||||
Mattel, Inc. | 62,556 | 1,602,059 | ||||||
|
| |||||||
3,655,756 | ||||||||
|
| |||||||
338,686,284 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 22.8% | ||||||||
Agriculture — 1.9% | ||||||||
Altria Group, Inc. | 361,718 | 25,833,900 | ||||||
Archer-Daniels-Midland Co. | 106,271 | 4,892,717 | ||||||
Philip Morris International, Inc. | 289,607 | 32,696,630 | ||||||
Reynolds American, Inc. | 153,762 | 9,690,081 | ||||||
|
| |||||||
73,113,328 | ||||||||
|
| |||||||
Beverages — 2.1% | ||||||||
Brown-Forman Corp. Class B | 33,666 | 1,554,696 | ||||||
The Coca-Cola Co. | 720,249 | 30,567,367 | ||||||
Constellation Brands, Inc. Class A | 32,266 | 5,229,351 | ||||||
Dr. Pepper Snapple Group, Inc. | 33,973 | 3,326,636 | ||||||
Molson Coors Brewing Co. Class B | 34,432 | 3,295,487 | ||||||
Monster Beverage Corp. (a) | 74,741 | 3,450,792 | ||||||
PepsiCo, Inc. | 266,092 | 29,765,051 | ||||||
|
| |||||||
77,189,380 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
73
MM S&P 500 Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Biotechnology — 2.5% | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 42,179 | $ | 5,113,782 | |||||
Amgen, Inc. | 137,393 | 22,542,070 | ||||||
Biogen, Inc. (a) | 40,172 | 10,983,828 | ||||||
Celgene Corp. (a) | 145,043 | 18,047,701 | ||||||
Gilead Sciences, Inc. | 243,813 | 16,559,779 | ||||||
Illumina, Inc. (a) | 27,077 | 4,620,419 | ||||||
Incyte Corp. (a) | 32,628 | 4,361,385 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 14,230 | 5,514,267 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 46,444 | 5,078,651 | ||||||
|
| |||||||
92,821,882 | ||||||||
|
| |||||||
Commercial Services — 1.5% | ||||||||
Automatic Data Processing, Inc. | 83,864 | 8,586,835 | ||||||
Cintas Corp. | 15,998 | 2,024,387 | ||||||
Ecolab, Inc. | 48,719 | 6,106,439 | ||||||
Equifax, Inc. | 22,215 | 3,037,679 | ||||||
Global Payments, Inc. | 28,401 | 2,291,393 | ||||||
H&R Block, Inc. | 38,483 | 894,730 | ||||||
Moody’s Corp. | 31,342 | 3,511,558 | ||||||
Nielsen Holdings PLC | 62,946 | 2,600,299 | ||||||
PayPal Holdings, Inc. (a) | 208,720 | 8,979,134 | ||||||
Quanta Services, Inc. (a) | 29,249 | 1,085,430 | ||||||
Robert Half International, Inc. | 23,614 | 1,153,072 | ||||||
S&P Global, Inc. | 48,203 | 6,302,060 | ||||||
Total System Services, Inc. | 30,834 | 1,648,386 | ||||||
United Rentals, Inc. (a) | 15,545 | 1,943,902 | ||||||
Verisk Analytics, Inc. (a) | 28,722 | 2,330,503 | ||||||
The Western Union Co. | 90,637 | 1,844,463 | ||||||
|
| |||||||
54,340,270 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 1.6% | ||||||||
Colgate-Palmolive Co. | 164,347 | 12,028,557 | ||||||
Coty, Inc. Class A | 86,885 | 1,575,225 | ||||||
The Estee Lauder Cos., Inc. Class A | 41,697 | 3,535,489 | ||||||
The Procter & Gamble Co. | 476,859 | 42,845,781 | ||||||
|
| |||||||
59,985,052 | ||||||||
|
| |||||||
Foods — 1.6% | ||||||||
Campbell Soup Co. | 36,321 | 2,079,014 | ||||||
Conagra Brands, Inc. | 76,618 | 3,090,770 | ||||||
General Mills, Inc. | 108,533 | 6,404,532 | ||||||
The Hershey Co. | 26,203 | 2,862,678 | ||||||
Hormel Foods Corp. | 49,623 | 1,718,445 | ||||||
The J.M. Smucker Co. | 21,806 | 2,858,330 | ||||||
Kellogg Co. | 47,046 | 3,416,010 | ||||||
The Kraft Heinz Co. | 111,012 | 10,081,000 | ||||||
The Kroger Co. | 172,379 | 5,083,457 | ||||||
McCormick & Co., Inc. | 21,260 | 2,073,913 | ||||||
Mondelez International, Inc. Class A | 284,959 | 12,276,034 | ||||||
Sysco Corp. | 91,986 | 4,775,913 | ||||||
Tyson Foods, Inc. Class A | 53,554 | 3,304,817 | ||||||
Whole Foods Market, Inc. | 59,164 | 1,758,354 | ||||||
|
| |||||||
61,783,267 | ||||||||
|
|
Number of Shares | Value | |||||||
Health Care – Products — 3.0% | ||||||||
Abbott Laboratories | 322,247 | $ | 14,310,989 | |||||
Baxter International, Inc. | 90,497 | 4,693,174 | ||||||
Becton, Dickinson & Co. | 39,613 | 7,266,609 | ||||||
Boston Scientific Corp. (a) | 256,004 | 6,366,820 | ||||||
C.R. Bard, Inc. | 13,429 | 3,337,644 | ||||||
The Cooper Cos., Inc. | 8,980 | 1,795,012 | ||||||
Danaher Corp. | 114,218 | 9,769,066 | ||||||
DENTSPLY SIRONA, Inc. | 42,417 | 2,648,517 | ||||||
Edwards Lifesciences Corp. (a) | 40,033 | 3,765,904 | ||||||
Henry Schein, Inc. (a) | 14,705 | 2,499,409 | ||||||
Hologic, Inc. (a) | 51,557 | 2,193,750 | ||||||
IDEXX Laboratories, Inc. (a) | 16,673 | 2,577,813 | ||||||
Intuitive Surgical, Inc. (a) | 6,884 | 5,276,379 | ||||||
Medtronic PLC | 255,542 | 20,586,464 | ||||||
Patterson Cos., Inc. | 15,928 | 720,423 | ||||||
Stryker Corp. | 57,829 | 7,613,188 | ||||||
Thermo Fisher Scientific, Inc. | 72,907 | 11,198,515 | ||||||
Varian Medical Systems, Inc. (a) | 17,423 | 1,587,758 | ||||||
Zimmer Biomet Holdings, Inc. | 37,535 | 4,583,399 | ||||||
|
| |||||||
112,790,833 | ||||||||
|
| |||||||
Health Care – Services — 2.0% | ||||||||
Aetna, Inc. | 65,904 | 8,406,055 | ||||||
Anthem, Inc. | 49,531 | 8,191,437 | ||||||
Centene Corp. (a) | 32,431 | 2,311,033 | ||||||
Cigna Corp. | 47,799 | 7,002,075 | ||||||
DaVita, Inc. (a) | 28,724 | 1,952,370 | ||||||
Envision Healthcare Corp. (a) | 21,456 | 1,315,682 | ||||||
HCA Holdings, Inc. (a) | 54,335 | 4,835,272 | ||||||
Humana, Inc. | 27,925 | 5,756,459 | ||||||
Laboratory Corp. of America Holdings (a) | 18,972 | 2,721,913 | ||||||
Quest Diagnostics, Inc. | 25,383 | 2,492,357 | ||||||
UnitedHealth Group, Inc. | 179,466 | 29,434,219 | ||||||
Universal Health Services, Inc. Class B | 16,479 | 2,050,812 | ||||||
|
| |||||||
76,469,684 | ||||||||
|
| |||||||
Household Products & Wares — 0.4% | ||||||||
Avery Dennison Corp. | 16,960 | 1,366,976 | ||||||
Church & Dwight Co., Inc. | 47,520 | 2,369,822 | ||||||
The Clorox Co. | 24,161 | 3,257,628 | ||||||
Kimberly-Clark Corp. | 66,632 | 8,770,770 | ||||||
|
| |||||||
15,765,196 | ||||||||
|
| |||||||
Pharmaceuticals — 6.2% | ||||||||
AbbVie, Inc. | 297,281 | 19,370,830 | ||||||
Allergan PLC | 62,600 | 14,956,392 | ||||||
AmerisourceBergen Corp. | 31,246 | 2,765,271 | ||||||
Bristol-Myers Squibb Co. | 312,134 | 16,973,847 | ||||||
Cardinal Health, Inc. | 58,672 | 4,784,702 | ||||||
Eli Lilly & Co. | 181,517 | 15,267,395 | ||||||
Express Scripts Holding Co. (a) | 112,926 | 7,442,953 |
The accompanying notes are an integral part of the financial statements.
74
MM S&P 500 Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Johnson & Johnson | 505,912 | $ | 63,011,340 | |||||
Mallinckrodt PLC (a) | 19,535 | 870,675 | ||||||
McKesson Corp. | 39,435 | 5,846,633 | ||||||
Mead Johnson Nutrition Co. | 33,831 | 3,013,665 | ||||||
Merck & Co., Inc. | 511,628 | 32,508,843 | ||||||
Mylan NV (a) | 86,474 | 3,371,621 | ||||||
Perrigo Co. PLC | 26,594 | 1,765,576 | ||||||
Pfizer, Inc. | 1,110,164 | 37,978,710 | ||||||
Zoetis, Inc. | 91,781 | 4,898,352 | ||||||
|
| |||||||
234,826,805 | ||||||||
|
| |||||||
859,085,697 | ||||||||
|
| |||||||
Diversified — 0.1% | ||||||||
Holding Company – Diversified — 0.1% | ||||||||
Leucadia National Corp. | 60,655 | 1,577,030 | ||||||
|
| |||||||
Energy — 6.6% | ||||||||
Oil & Gas — 5.2% | ||||||||
Anadarko Petroleum Corp. | 104,176 | 6,458,912 | ||||||
Apache Corp. | 70,254 | 3,610,353 | ||||||
Cabot Oil & Gas Corp. | 89,308 | 2,135,354 | ||||||
Chesapeake Energy Corp. (a) | 143,415 | 851,885 | ||||||
Chevron Corp. | 353,248 | 37,928,238 | ||||||
Cimarex Energy Co. | 17,648 | 2,108,759 | ||||||
Concho Resources, Inc. (a) | 27,734 | 3,559,381 | ||||||
ConocoPhillips | 230,734 | 11,506,705 | ||||||
Devon Energy Corp. | 98,701 | 4,117,806 | ||||||
EOG Resources, Inc. | 107,375 | 10,474,431 | ||||||
EQT Corp. | 32,063 | 1,959,049 | ||||||
Exxon Mobil Corp. | 773,668 | 63,448,513 | ||||||
Helmerich & Payne, Inc. | 19,759 | 1,315,357 | ||||||
Hess Corp. | 50,951 | 2,456,348 | ||||||
Marathon Oil Corp. | 158,257 | 2,500,461 | ||||||
Marathon Petroleum Corp. | 98,019 | 4,953,880 | ||||||
Murphy Oil Corp. | 31,186 | 891,608 | ||||||
Newfield Exploration Co. (a) | 38,055 | 1,404,610 | ||||||
Noble Energy, Inc. | 80,224 | 2,754,892 | ||||||
Occidental Petroleum Corp. | 142,404 | 9,022,717 | ||||||
Phillips 66 | 82,428 | 6,529,946 | ||||||
Pioneer Natural Resources Co. | 31,504 | 5,866,990 | ||||||
Range Resources Corp. | 34,190 | 994,929 | ||||||
Southwestern Energy Co. (a) | 88,710 | 724,761 | ||||||
Tesoro Corp. | 22,066 | 1,788,670 | ||||||
Transocean Ltd. (a) | 74,568 | 928,372 | ||||||
Valero Energy Corp. | 84,246 | 5,584,667 | ||||||
|
| |||||||
195,877,594 | ||||||||
|
| |||||||
Oil & Gas Services — 1.0% | ||||||||
Baker Hughes, Inc. | 79,494 | 4,755,331 | ||||||
Halliburton Co. | 161,450 | 7,944,955 | ||||||
National Oilwell Varco, Inc. | 70,259 | 2,816,683 | ||||||
Schlumberger Ltd. | 260,245 | 20,325,134 | ||||||
TechnipFMC PLC (a) | 87,424 | 2,841,280 | ||||||
|
| |||||||
38,683,383 | ||||||||
|
|
Number of Shares | Value | |||||||
Pipelines — 0.4% | ||||||||
Kinder Morgan, Inc. | 357,472 | $ | 7,771,441 | |||||
ONEOK, Inc. | 38,994 | 2,161,828 | ||||||
The Williams Cos., Inc. | 154,422 | 4,569,347 | ||||||
|
| |||||||
14,502,616 | ||||||||
|
| |||||||
249,063,593 | ||||||||
|
| |||||||
Financial — 18.5% | ||||||||
Banks — 7.9% | ||||||||
Bank of America Corp. | 1,869,937 | 44,111,814 | ||||||
The Bank of New York Mellon Corp. | 193,535 | 9,140,658 | ||||||
BB&T Corp. | 150,758 | 6,738,883 | ||||||
Capital One Financial Corp. | 89,751 | 7,777,822 | ||||||
Citigroup, Inc. | 516,733 | 30,910,968 | ||||||
Citizens Financial Group, Inc. | 95,573 | 3,302,047 | ||||||
Comerica, Inc. | 32,402 | 2,222,129 | ||||||
Fifth Third Bancorp | 141,321 | 3,589,553 | ||||||
The Goldman Sachs Group, Inc. | 69,099 | 15,873,422 | ||||||
Huntington Bancshares, Inc. | 202,229 | 2,707,846 | ||||||
JP Morgan Chase & Co. | 666,272 | 58,525,333 | ||||||
KeyCorp | 199,377 | 3,544,923 | ||||||
M&T Bank Corp. | 28,539 | 4,415,839 | ||||||
Morgan Stanley | 268,342 | 11,495,771 | ||||||
Northern Trust Corp. | 40,938 | 3,544,412 | ||||||
The PNC Financial Services Group, Inc. | 90,976 | 10,938,954 | ||||||
Regions Financial Corp. | 224,720 | 3,265,182 | ||||||
State Street Corp. | 67,167 | 5,347,165 | ||||||
SunTrust Banks, Inc. | 91,247 | 5,045,959 | ||||||
US Bancorp | 296,567 | 15,273,201 | ||||||
Wells Fargo & Co. | 840,607 | 46,788,186 | ||||||
Zions Bancorp | 37,396 | 1,570,632 | ||||||
|
| |||||||
296,130,699 | ||||||||
|
| |||||||
Diversified Financial Services — 3.4% | ||||||||
Affiliated Managers Group, Inc. | 10,750 | 1,762,355 | ||||||
Alliance Data Systems Corp. | 10,382 | 2,585,118 | ||||||
American Express Co. | 141,227 | 11,172,468 | ||||||
Ameriprise Financial, Inc. | 28,702 | 3,722,075 | ||||||
BlackRock, Inc. | 22,642 | 8,683,433 | ||||||
CBOE Holdings, Inc. | 16,981 | 1,376,650 | ||||||
The Charles Schwab Corp. | 226,640 | 9,249,178 | ||||||
CME Group, Inc. | 63,111 | 7,497,587 | ||||||
Discover Financial Services | 71,866 | 4,914,916 | ||||||
E*TRADE Financial Corp. (a) | 51,123 | 1,783,682 | ||||||
Franklin Resources, Inc. | 63,810 | 2,688,953 | ||||||
Intercontinental Exchange, Inc. | 110,710 | 6,628,208 | ||||||
Invesco Ltd. | 74,594 | 2,284,814 | ||||||
Mastercard, Inc. Class A | 175,805 | 19,772,788 | ||||||
Nasdaq, Inc. | 20,874 | 1,449,699 | ||||||
Navient Corp. | 54,655 | 806,708 | ||||||
Raymond James Financial, Inc. | 23,900 | 1,822,614 | ||||||
Synchrony Financial | 143,617 | 4,926,063 |
The accompanying notes are an integral part of the financial statements.
75
MM S&P 500 Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
T. Rowe Price Group, Inc. | 45,233 | $ | 3,082,629 | |||||
Visa, Inc. Class A | 346,542 | 30,797,188 | ||||||
|
| |||||||
127,007,126 | ||||||||
|
| |||||||
Insurance — 4.3% | ||||||||
Aflac, Inc. | 74,733 | 5,412,164 | ||||||
The Allstate Corp. | 68,352 | 5,570,005 | ||||||
American International Group, Inc. | 173,511 | 10,832,292 | ||||||
Aon PLC | 49,003 | 5,816,166 | ||||||
Arthur J Gallagher & Co. | 33,789 | 1,910,430 | ||||||
Assurant, Inc. | 10,404 | 995,351 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 354,268 | 59,049,390 | ||||||
Chubb Ltd. | 87,149 | 11,874,051 | ||||||
Cincinnati Financial Corp. | 28,211 | 2,038,809 | ||||||
The Hartford Financial Services Group, Inc. | 70,248 | 3,376,821 | ||||||
Lincoln National Corp. | 42,034 | 2,751,125 | ||||||
Loews Corp. | 51,897 | 2,427,223 | ||||||
Marsh & McLennan Cos., Inc. | 95,940 | 7,089,007 | ||||||
MetLife, Inc. | 202,776 | 10,710,628 | ||||||
Principal Financial Group, Inc. | 50,286 | 3,173,550 | ||||||
The Progressive Corp. | 107,474 | 4,210,831 | ||||||
Prudential Financial, Inc. | 80,013 | 8,535,787 | ||||||
Torchmark Corp. | 20,459 | 1,576,161 | ||||||
The Travelers Cos., Inc. | 52,043 | 6,273,263 | ||||||
Unum Group | 42,168 | 1,977,258 | ||||||
Willis Towers Watson PLC | 23,789 | 3,113,742 | ||||||
XL Group Ltd. | 48,485 | 1,932,612 | ||||||
|
| |||||||
160,646,666 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 2.9% | ||||||||
Alexandria Real Estate Equities, Inc. | 16,600 | 1,834,632 | ||||||
American Tower Corp. | 79,866 | 9,706,914 | ||||||
Apartment Investment & Management Co. Class A | 30,184 | 1,338,660 | ||||||
AvalonBay Communities, Inc. | 25,489 | 4,679,780 | ||||||
Boston Properties, Inc. | 28,806 | 3,814,202 | ||||||
CBRE Group, Inc. Class A (a) | 56,017 | 1,948,831 | ||||||
Crown Castle International Corp. | 67,108 | 6,338,351 | ||||||
Digital Realty Trust, Inc. | 29,745 | 3,164,571 | ||||||
Equinix, Inc. | 14,495 | 5,803,363 | ||||||
Equity Residential | 68,864 | 4,284,718 | ||||||
Essex Property Trust, Inc. | 12,224 | 2,830,223 | ||||||
Extra Space Storage, Inc. | 23,066 | 1,715,880 | ||||||
Federal Realty Investment Trust | 13,570 | 1,811,595 | ||||||
GGP, Inc. | 108,689 | 2,519,411 | ||||||
HCP, Inc. | 86,907 | 2,718,451 | ||||||
Host Hotels & Resorts, Inc. | 139,145 | 2,596,446 | ||||||
Iron Mountain, Inc. | 45,539 | 1,624,376 | ||||||
Kimco Realty Corp. | 80,322 | 1,774,313 | ||||||
The Macerich Co. | 22,207 | 1,430,131 | ||||||
Mid-America Apartment Communities, Inc. | 21,015 | 2,138,066 |
Number of Shares | Value | |||||||
Prologis, Inc. | 99,338 | $ | 5,153,655 | |||||
Public Storage | 27,709 | 6,065,777 | ||||||
Realty Income Corp. | 50,731 | 3,020,016 | ||||||
Regency Centers Corp. | 27,159 | 1,803,086 | ||||||
Simon Property Group, Inc. | 59,722 | 10,273,976 | ||||||
SL Green Realty Corp. | 18,488 | 1,971,191 | ||||||
UDR, Inc. | 49,133 | 1,781,563 | ||||||
Ventas, Inc. | 65,987 | 4,291,794 | ||||||
Vornado Realty Trust | 32,359 | 3,245,931 | ||||||
Welltower, Inc. | 67,541 | 4,783,254 | ||||||
Weyerhaeuser Co. | 140,600 | 4,777,588 | ||||||
|
| |||||||
111,240,745 | ||||||||
|
| |||||||
Savings & Loans — 0.0% | ||||||||
People’s United Financial, Inc. | 64,071 | 1,166,092 | ||||||
|
| |||||||
696,191,328 | ||||||||
|
| |||||||
Industrial — 9.9% | ||||||||
Aerospace & Defense — 2.2% | ||||||||
Arconic, Inc. | 82,819 | 2,181,453 | ||||||
The Boeing Co. | 106,276 | 18,795,973 | ||||||
General Dynamics Corp. | 52,896 | 9,902,131 | ||||||
Harris Corp. | 23,172 | 2,578,348 | ||||||
L3 Technologies, Inc. | 14,629 | 2,418,027 | ||||||
Lockheed Martin Corp. | 46,525 | 12,450,090 | ||||||
Northrop Grumman Corp. | 32,536 | 7,738,362 | ||||||
Raytheon Co. | 54,644 | 8,333,210 | ||||||
Rockwell Collins, Inc. | 24,216 | 2,352,827 | ||||||
TransDigm Group, Inc. | 9,341 | 2,056,515 | ||||||
United Technologies Corp. | 139,823 | 15,689,539 | ||||||
|
| |||||||
84,496,475 | ||||||||
|
| |||||||
Building Materials — 0.4% | ||||||||
Fortune Brands Home & Security, Inc. | 28,051 | 1,706,903 | ||||||
Johnson Controls International PLC | 174,587 | 7,353,605 | ||||||
Martin Marietta Materials, Inc. | 11,860 | 2,588,445 | ||||||
Masco Corp. | 59,083 | 2,008,231 | ||||||
Vulcan Materials Co. | 24,895 | 2,999,350 | ||||||
|
| |||||||
16,656,534 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.3% | ||||||||
Acuity Brands, Inc. | 8,089 | 1,650,156 | ||||||
AMETEK, Inc. | 43,268 | 2,339,934 | ||||||
Emerson Electric Co. | 119,747 | 7,168,055 | ||||||
|
| |||||||
11,158,145 | ||||||||
|
| |||||||
Electronics — 1.3% | ||||||||
Agilent Technologies, Inc. | 59,414 | 3,141,218 | ||||||
Allegion PLC | 18,315 | 1,386,445 | ||||||
Amphenol Corp. Class A | 57,826 | 4,115,476 | ||||||
Corning, Inc. | 173,347 | 4,680,369 | ||||||
FLIR Systems, Inc. | 26,436 | 959,098 | ||||||
Fortive Corp. | 56,016 | 3,373,283 | ||||||
Garmin Ltd. | 22,269 | 1,138,169 |
The accompanying notes are an integral part of the financial statements.
76
MM S&P 500 Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Honeywell International, Inc. | 141,749 | $ | 17,700,198 | |||||
Mettler-Toledo International, Inc. (a) | 4,723 | 2,261,892 | ||||||
PerkinElmer, Inc. | 20,862 | 1,211,248 | ||||||
TE Connectivity Ltd. | 66,036 | 4,922,984 | ||||||
Waters Corp. (a) | 14,999 | 2,344,494 | ||||||
|
| |||||||
47,234,874 | ||||||||
|
| |||||||
Engineering & Construction — 0.1% | ||||||||
Fluor Corp. | 26,596 | 1,399,482 | ||||||
Jacobs Engineering Group, Inc. | 21,983 | 1,215,220 | ||||||
|
| |||||||
2,614,702 | ||||||||
|
| |||||||
Environmental Controls — 0.3% | ||||||||
Republic Services, Inc. | 42,846 | 2,691,157 | ||||||
Stericycle, Inc. (a) | 16,254 | 1,347,294 | ||||||
Waste Management, Inc. | 75,706 | 5,520,482 | ||||||
|
| |||||||
9,558,933 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.1% | ||||||||
Snap-on, Inc. | 10,732 | 1,810,166 | ||||||
Stanley Black & Decker, Inc. | 28,734 | 3,817,887 | ||||||
|
| |||||||
5,628,053 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.3% | ||||||||
Caterpillar, Inc. | 109,732 | 10,178,740 | ||||||
|
| |||||||
Machinery – Diversified — 0.5% | ||||||||
Cummins, Inc. | 28,727 | 4,343,522 | ||||||
Deere & Co. | 54,643 | 5,948,437 | ||||||
Flowserve Corp. | 24,940 | 1,207,595 | ||||||
Rockwell Automation, Inc. | 23,827 | 3,710,102 | ||||||
Roper Technologies, Inc. | 18,970 | 3,917,115 | ||||||
Xylem, Inc. | 32,826 | 1,648,522 | ||||||
|
| |||||||
20,775,293 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 2.6% | ||||||||
3M Co. | 111,200 | 21,275,896 | ||||||
Dover Corp. | 28,751 | 2,310,143 | ||||||
Eaton Corp. PLC | 84,161 | 6,240,538 | ||||||
General Electric Co. | 1,627,498 | 48,499,440 | ||||||
Illinois Tool Works, Inc. | 58,226 | 7,713,198 | ||||||
Ingersoll-Rand PLC | 48,130 | 3,913,932 | ||||||
Parker Hannifin Corp. | 24,674 | 3,955,736 | ||||||
Pentair PLC | 31,191 | 1,958,171 | ||||||
Textron, Inc. | 49,977 | 2,378,405 | ||||||
|
| |||||||
98,245,459 | ||||||||
|
| |||||||
Packaging & Containers — 0.2% | ||||||||
Ball Corp. | 32,246 | 2,394,588 | ||||||
Sealed Air Corp. | 36,214 | 1,578,206 | ||||||
WestRock Co. | 46,955 | 2,443,069 | ||||||
|
| |||||||
6,415,863 | ||||||||
|
| |||||||
Transportation — 1.6% | ||||||||
C.H. Robinson Worldwide, Inc. | 26,324 | 2,034,582 | ||||||
CSX Corp. | 172,287 | 8,019,960 |
Number of Shares | Value | |||||||
Expeditors International of Washington, Inc. | 33,543 | $ | 1,894,844 | |||||
FedEx Corp. | 45,846 | 8,946,847 | ||||||
J.B. Hunt Transport Services, Inc. | 16,340 | 1,499,031 | ||||||
Kansas City Southern | 19,873 | 1,704,308 | ||||||
Norfolk Southern Corp. | 54,310 | 6,081,091 | ||||||
Ryder System, Inc. | 10,256 | 773,713 | ||||||
Union Pacific Corp. | 151,703 | 16,068,382 | ||||||
United Parcel Service, Inc. Class B | 128,777 | 13,817,772 | ||||||
|
| |||||||
60,840,530 | ||||||||
|
| |||||||
373,803,601 | ||||||||
|
| |||||||
Technology — 14.2% | ||||||||
Computers — 5.7% | ||||||||
Accenture PLC Class A | 116,093 | 13,917,229 | ||||||
Apple, Inc. | 978,742 | 140,606,076 | ||||||
Cognizant Technology Solutions Corp. Class A (a) | 114,163 | 6,794,982 | ||||||
CSRA, Inc. | 26,762 | 783,859 | ||||||
Hewlett Packard Enterprise Co. | 309,653 | 7,338,776 | ||||||
HP, Inc. | 317,045 | 5,668,764 | ||||||
International Business Machines Corp. | 160,112 | 27,881,904 | ||||||
NetApp, Inc. | 51,291 | 2,146,528 | ||||||
Seagate Technology PLC | 55,234 | 2,536,898 | ||||||
Teradata Corp. (a) | 24,881 | 774,297 | ||||||
Western Digital Corp. | 53,474 | 4,413,209 | ||||||
|
| |||||||
212,862,522 | ||||||||
|
| |||||||
Office & Business Equipment — 0.0% | ||||||||
Xerox Corp. | 156,076 | 1,145,598 | ||||||
|
| |||||||
Semiconductors — 3.4% | ||||||||
Advanced Micro Devices, Inc. (a) | 144,000 | 2,095,200 | ||||||
Analog Devices, Inc. | 68,171 | 5,586,613 | ||||||
Applied Materials, Inc. | 201,078 | 7,821,934 | ||||||
Broadcom Ltd. | 74,807 | 16,379,741 | ||||||
Intel Corp. | 881,190 | 31,784,523 | ||||||
KLA-Tencor Corp. | 28,899 | 2,747,428 | ||||||
Lam Research Corp. | 30,605 | 3,928,458 | ||||||
Microchip Technology, Inc. | 39,943 | 2,946,995 | ||||||
Micron Technology, Inc. (a) | 191,974 | 5,548,049 | ||||||
NVIDIA Corp. | 109,854 | 11,966,396 | ||||||
Qorvo, Inc. (a) | 23,313 | 1,598,339 | ||||||
QUALCOMM, Inc. | 275,979 | 15,824,636 | ||||||
Skyworks Solutions, Inc. | 34,314 | 3,362,086 | ||||||
Texas Instruments, Inc. | 187,017 | 15,066,089 | ||||||
Xilinx, Inc. | 45,962 | 2,660,740 | ||||||
|
| |||||||
129,317,227 | ||||||||
|
| |||||||
Software — 5.1% | ||||||||
Activision Blizzard, Inc. | 128,997 | 6,431,790 | ||||||
Adobe Systems, Inc. (a) | 92,435 | 12,028,567 | ||||||
Akamai Technologies, Inc. (a) | 32,513 | 1,941,026 | ||||||
Autodesk, Inc. (a) | 36,678 | 3,171,547 |
The accompanying notes are an integral part of the financial statements.
77
MM S&P 500 Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
CA, Inc. | 58,524 | $ | 1,856,381 | |||||
Cerner Corp. (a) | 54,743 | 3,221,626 | ||||||
Citrix Systems, Inc. (a) | 28,875 | 2,407,886 | ||||||
The Dun & Bradstreet Corp. | 6,937 | 748,780 | ||||||
Electronic Arts, Inc. (a) | 57,532 | 5,150,265 | ||||||
Fidelity National Information Services, Inc. | 60,912 | 4,849,813 | ||||||
Fiserv, Inc. (a) | 40,162 | 4,631,080 | ||||||
Intuit, Inc. | 45,378 | 5,263,394 | ||||||
Microsoft Corp. | 1,441,499 | 94,937,124 | ||||||
Oracle Corp. | 559,154 | 24,943,860 | ||||||
Paychex, Inc. | 60,172 | 3,544,131 | ||||||
Red Hat, Inc. (a) | 33,713 | 2,916,175 | ||||||
Salesforce.com, Inc. (a) | 122,162 | 10,077,143 | ||||||
Synopsys, Inc. (a) | 28,145 | 2,030,099 | ||||||
|
| |||||||
190,150,687 | ||||||||
|
| |||||||
533,476,034 | ||||||||
|
| |||||||
Utilities — 3.2% | ||||||||
Electric — 2.9% | ||||||||
The AES Corp. | 119,985 | 1,341,432 | ||||||
Alliant Energy Corp. | 41,580 | 1,646,984 | ||||||
Ameren Corp. | 44,949 | 2,453,766 | ||||||
American Electric Power Co., Inc. | 91,571 | 6,147,161 | ||||||
CMS Energy Corp. | 51,700 | 2,313,058 | ||||||
Consolidated Edison, Inc. | 57,516 | 4,466,692 | ||||||
Dominion Resources, Inc. | 116,869 | 9,065,528 | ||||||
DTE Energy Co. | 33,553 | 3,426,097 | ||||||
Duke Energy Corp. | 130,977 | 10,741,424 | ||||||
Edison International | 60,375 | 4,806,454 | ||||||
Entergy Corp. | 33,224 | 2,523,695 | ||||||
Eversource Energy | 59,320 | 3,486,830 | ||||||
Exelon Corp. | 173,657 | 6,248,179 | ||||||
FirstEnergy Corp. | 82,639 | 2,629,573 | ||||||
NextEra Energy, Inc. | 87,556 | 11,239,564 | ||||||
NRG Energy, Inc. | 60,283 | 1,127,292 | ||||||
PG&E Corp. | 94,118 | 6,245,670 | ||||||
Pinnacle West Capital Corp. | 20,369 | 1,698,367 | ||||||
PPL Corp. | 126,598 | 4,733,499 | ||||||
Public Service Enterprise Group, Inc. | 93,741 | 4,157,413 | ||||||
SCANA Corp. | 26,332 | 1,720,796 | ||||||
The Southern Co. | 185,479 | 9,233,145 | ||||||
WEC Energy Group, Inc. | 59,093 | 3,582,809 | ||||||
Xcel Energy, Inc. | 95,328 | 4,237,330 | ||||||
|
| |||||||
109,272,758 | ||||||||
|
| |||||||
Gas — 0.2% | ||||||||
CenterPoint Energy, Inc. | 79,517 | 2,192,284 | ||||||
NiSource, Inc. | 61,503 | 1,463,156 | ||||||
Sempra Energy | 46,974 | 5,190,627 | ||||||
|
| |||||||
8,846,067 | ||||||||
|
|
Number of Shares | Value | |||||||
Water — 0.1% | ||||||||
American Water Works Co., Inc. | 33,012 | $ | 2,567,343 | |||||
|
| |||||||
120,686,168 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $2,163,799,140) | 3,782,330,727 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $2,163,799,140) | 3,782,330,727 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $2,163,799,140) | 3,782,330,727 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.7% | ||||||||
Repurchase Agreement — 0.6% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (b) | $ | 24,274,173 | 24,274,173 | |||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 3,707 | 3,707 | ||||||
|
| |||||||
U.S. Treasury Bill — 0.1% | ||||||||
U.S. Treasury Bill (c) | 1,965,000 | 1,959,146 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $26,237,381) | 26,237,026 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.2% (Cost $2,190,036,521) (d) | 3,808,567,753 | |||||||
|
| |||||||
Other Assets/(Liabilities) — (1.2)% | (44,215,374 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,764,352,379 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Maturity value of $24,274,274. Collateralized by U.S. Government Agency obligations with rates ranging from 1.500% – 2.125%, maturity dates ranging from 9/30/21 – 1/31/22, and an aggregate market value, including accrued interest, of $24,760,682. |
(c) | A portion of this security is pledged/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.
78
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 98.4% | ||||||||
COMMON STOCK — 98.4% | ||||||||
Basic Materials — 3.1% | ||||||||
Chemicals — 3.1% | ||||||||
CF Industries Holdings, Inc. | 118,200 | $ | 3,469,170 | |||||
E.I. du Pont de Nemours & Co. | 111,200 | 8,932,696 | ||||||
Praxair, Inc. | 88,289 | 10,471,075 | ||||||
|
| |||||||
22,872,941 | ||||||||
|
| |||||||
Communications — 4.0% | ||||||||
Media — 2.2% | ||||||||
Comcast Corp. Class A | 196,500 | 7,386,435 | ||||||
Twenty-First Century Fox, Inc. Class B | 281,700 | 8,952,426 | ||||||
|
| |||||||
16,338,861 | ||||||||
|
| |||||||
Telecommunications — 1.8% | ||||||||
Cisco Systems, Inc. | 193,000 | 6,523,400 | ||||||
Verizon Communications, Inc. | 144,000 | 7,020,000 | ||||||
|
| |||||||
13,543,400 | ||||||||
|
| |||||||
29,882,261 | ||||||||
|
| |||||||
Consumer, Cyclical — 14.3% | ||||||||
Apparel — 3.6% | ||||||||
NIKE, Inc. Class B | 488,505 | 27,224,384 | ||||||
|
| |||||||
Lodging — 0.6% | ||||||||
Las Vegas Sands Corp. | 81,600 | 4,656,912 | ||||||
|
| |||||||
Retail — 10.1% | ||||||||
Costco Wholesale Corp. | 156,612 | 26,262,266 | ||||||
Lowe’s Cos., Inc. | 159,521 | 13,114,221 | ||||||
McDonald’s Corp. | 120,570 | 15,627,078 | ||||||
The TJX Cos., Inc. | 199,268 | 15,758,114 | ||||||
Wal-Mart Stores, Inc. | 59,100 | 4,259,928 | ||||||
|
| |||||||
75,021,607 | ||||||||
|
| |||||||
106,902,903 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 24.7% | ||||||||
Beverages — 3.4% | ||||||||
The Coca-Cola Co. | 368,919 | 15,656,922 | ||||||
Diageo PLC | 141,631 | 4,057,024 | ||||||
PepsiCo, Inc. | 54,100 | 6,051,626 | ||||||
|
| |||||||
25,765,572 | ||||||||
|
| |||||||
Biotechnology — 0.4% | ||||||||
Gilead Sciences, Inc. | 41,200 | 2,798,304 | ||||||
|
| |||||||
Commercial Services — 1.9% | ||||||||
Automatic Data Processing, Inc. | 139,069 | 14,239,275 | ||||||
|
| |||||||
Cosmetics & Personal Care — 2.4% | ||||||||
Colgate-Palmolive Co. | 248,056 | 18,155,219 | ||||||
|
| |||||||
Health Care – Products — 3.9% | ||||||||
Becton, Dickinson & Co. | 37,400 | 6,860,656 |
Number of Shares | Value | |||||||
Medtronic PLC | 272,959 | $ | 21,989,577 | |||||
|
| |||||||
28,850,233 | ||||||||
|
| |||||||
Health Care – Services — 2.9% | ||||||||
Anthem, Inc. | 51,300 | 8,483,994 | ||||||
UnitedHealth Group, Inc. | 79,043 | 12,963,842 | ||||||
|
| |||||||
21,447,836 | ||||||||
|
| |||||||
Pharmaceuticals — 9.8% | ||||||||
Bristol-Myers Squibb Co. | 464,330 | 25,250,265 | ||||||
Cardinal Health, Inc. | 189,819 | 15,479,740 | ||||||
Johnson & Johnson | 48,100 | 5,990,855 | ||||||
McKesson Corp. | 105,136 | 15,587,463 | ||||||
Merck & Co., Inc. | 164,716 | 10,466,055 | ||||||
|
| |||||||
72,774,378 | ||||||||
|
| |||||||
184,030,817 | ||||||||
|
| |||||||
Energy — 3.1% | ||||||||
Oil & Gas — 3.1% | ||||||||
Hess Corp. | 113,000 | 5,447,730 | ||||||
Occidental Petroleum Corp. | 92,300 | 5,848,128 | ||||||
TOTAL SA | 231,344 | 11,687,252 | ||||||
|
| |||||||
22,983,110 | ||||||||
|
| |||||||
Financial — 25.9% | ||||||||
Banks — 7.5% | ||||||||
JP Morgan Chase & Co. | 102,200 | 8,977,248 | ||||||
Morgan Stanley | 244,300 | 10,465,812 | ||||||
The PNC Financial Services Group, Inc. | 198,130 | 23,823,151 | ||||||
State Street Corp. | 90,700 | 7,220,627 | ||||||
Wells Fargo & Co. | 105,000 | 5,844,300 | ||||||
|
| |||||||
56,331,138 | ||||||||
|
| |||||||
Diversified Financial Services — 8.0% | ||||||||
American Express Co. | 276,058 | 21,838,948 | ||||||
Ameriprise Financial, Inc. | 58,100 | 7,534,408 | ||||||
BlackRock, Inc. | 38,164 | 14,636,276 | ||||||
Visa, Inc. Class A | 175,521 | 15,598,551 | ||||||
|
| |||||||
59,608,183 | ||||||||
|
| |||||||
Insurance — 7.2% | ||||||||
Chubb Ltd. | 171,367 | 23,348,754 | ||||||
Loews Corp. | 157,500 | 7,366,275 | ||||||
Marsh & McLennan Cos., Inc. | 226,695 | 16,750,494 | ||||||
MetLife, Inc. | 123,100 | 6,502,142 | ||||||
|
| |||||||
53,967,665 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 3.2% | ||||||||
Equity Residential | 50,700 | 3,154,554 | ||||||
Public Storage | 94,232 | 20,628,327 | ||||||
|
| |||||||
23,782,881 | ||||||||
|
| |||||||
193,689,867 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
79
MassMutual Select Equity Opportunities Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Industrial — 13.4% | ||||||||
Aerospace & Defense — 3.6% | ||||||||
The Boeing Co. | 38,400 | $ | 6,791,424 | |||||
Harris Corp. | 64,300 | 7,154,661 | ||||||
Lockheed Martin Corp. | 48,699 | 13,031,853 | ||||||
|
| |||||||
26,977,938 | ||||||||
|
| |||||||
Building Materials — 1.1% | ||||||||
Johnson Controls International PLC | 184,200 | 7,758,504 | ||||||
|
| |||||||
Electrical Components & Equipment — 0.3% | ||||||||
Emerson Electric Co. | 38,800 | 2,322,568 | ||||||
|
| |||||||
Transportation — 8.4% | ||||||||
Canadian National Railway Co. | 233,100 | 17,205,772 | ||||||
Union Pacific Corp. | 175,108 | 18,547,439 | ||||||
United Parcel Service, Inc. Class B | 250,806 | 26,911,484 | ||||||
|
| |||||||
62,664,695 | ||||||||
|
| |||||||
99,723,705 | ||||||||
|
| |||||||
Technology — 7.8% | ||||||||
Computers — 2.5% | ||||||||
Accenture PLC Class A | 130,770 | 15,676,707 | ||||||
Western Digital Corp. | 31,500 | 2,599,695 | ||||||
|
| |||||||
18,276,402 | ||||||||
|
| |||||||
Semiconductors — 0.8% | ||||||||
QUALCOMM, Inc. | 102,600 | 5,883,084 | ||||||
|
| |||||||
Software — 4.5% | ||||||||
Microsoft Corp. | 512,709 | 33,767,015 | ||||||
|
| |||||||
57,926,501 | ||||||||
|
| |||||||
Utilities — 2.1% | ||||||||
Electric — 2.1% | ||||||||
The AES Corp. | 185,000 | 2,068,300 | ||||||
Exelon Corp. | 130,100 | 4,680,998 | ||||||
PG&E Corp. | 137,900 | 9,151,044 | ||||||
|
| |||||||
15,900,342 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $725,563,470) | 733,912,447 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $725,563,470) | 733,912,447 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $725,563,470) | 733,912,447 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 98.4% (Cost $725,563,470) (a) | 733,912,447 | |||||||
Other Assets/(Liabilities) — 1.6% | 12,217,357 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 746,129,804 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States | 84.8 | % | ||
Ireland | 6.1 | % | ||
Switzerland | 3.1 | % | ||
Canada | 2.3 | % | ||
France | 1.6 | % | ||
United Kingdom | 0.5 | % | ||
|
| |||
Total Long-Term Investments | 98.4 | % | ||
Other Assets and Liabilities | 1.6 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
80
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 99.8% | ||||||||
COMMON STOCK — 99.8% | ||||||||
Basic Materials — 2.3% | ||||||||
Iron & Steel — 1.2% | ||||||||
Cliffs Natural Resources, Inc. (a) | 56,428 | $ | 463,274 | |||||
Nucor Corp. | 16,468 | 983,469 | ||||||
|
| |||||||
1,446,743 | ||||||||
|
| |||||||
Mining — 1.1% | ||||||||
Rio Tinto PLC Sponsored ADR (United Kingdom) (b) | 33,913 | 1,379,581 | ||||||
|
| |||||||
2,826,324 | ||||||||
|
| |||||||
Communications — 22.7% | ||||||||
Internet — 17.6% | ||||||||
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) (a) | 10,844 | 1,169,309 | ||||||
Alphabet, Inc. Class C (a) | 7,986 | 6,624,866 | ||||||
Amazon.com, Inc. (a) | 3,458 | 3,065,655 | ||||||
eBay, Inc. (a) | 45,367 | 1,522,970 | ||||||
F5 Networks, Inc. (a) | 8,418 | 1,200,154 | ||||||
Facebook, Inc. Class A (a) | 30,277 | 4,300,848 | ||||||
Netflix, Inc. (a) | 4,868 | 719,539 | ||||||
The Priceline Group, Inc. (a) | 1,085 | 1,931,268 | ||||||
Snap, Inc. Class A (a) | 5,245 | 118,170 | ||||||
Yandex NV Class A (a) | 38,312 | 840,182 | ||||||
|
| |||||||
21,492,961 | ||||||||
|
| |||||||
Media — 4.2% | ||||||||
Comcast Corp. Class A | 62,691 | 2,356,555 | ||||||
Discovery Communications, Inc. Class A (a) (b) | 22,505 | 654,671 | ||||||
FactSet Research Systems, Inc. | 2,287 | 377,149 | ||||||
Scripps Networks Interactive Class A | 12,527 | 981,741 | ||||||
Viacom, Inc. Class B | 16,139 | 752,400 | ||||||
|
| |||||||
5,122,516 | ||||||||
|
| |||||||
Telecommunications — 0.9% | ||||||||
Cisco Systems, Inc. | 32,649 | 1,103,536 | ||||||
|
| |||||||
27,719,013 | ||||||||
|
| |||||||
Consumer, Cyclical — 4.0% | ||||||||
Lodging — 0.7% | ||||||||
Las Vegas Sands Corp. | 14,934 | 852,283 | ||||||
|
| |||||||
Retail — 3.3% | ||||||||
The Home Depot, Inc. | 16,800 | 2,466,744 | ||||||
Ross Stores, Inc. | 10,500 | 691,635 | ||||||
The TJX Cos., Inc. | 11,498 | 909,262 | ||||||
|
| |||||||
4,067,641 | ||||||||
|
| |||||||
4,919,924 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 20.6% | ||||||||
Beverages — 1.8% | ||||||||
PepsiCo, Inc. | 19,372 | 2,166,952 | ||||||
|
|
Number of Shares | Value | |||||||
Biotechnology — 4.2% | ||||||||
Amgen, Inc. | 14,624 | $ | 2,399,360 | |||||
Celgene Corp. (a) | 10,945 | 1,361,886 | ||||||
Gilead Sciences, Inc. | 20,298 | 1,378,640 | ||||||
|
| |||||||
5,139,886 | ||||||||
|
| |||||||
Commercial Services — 4.8% | ||||||||
Experian PLC | 27,998 | 571,514 | ||||||
Gartner, Inc. (a) | 6,476 | 699,343 | ||||||
Global Payments, Inc. | 8,964 | 723,216 | ||||||
IHS Markit Ltd. (a) | 30,851 | 1,294,200 | ||||||
PayPal Holdings, Inc. (a) | 34,768 | 1,495,719 | ||||||
Vantiv, Inc. Class A (a) | 16,619 | 1,065,610 | ||||||
|
| |||||||
5,849,602 | ||||||||
|
| |||||||
Health Care – Products — 1.6% | ||||||||
C.R. Bard, Inc. | 2,047 | 508,761 | ||||||
Danaher Corp. | 7,314 | 625,566 | ||||||
Medtronic PLC | 4,074 | 328,202 | ||||||
Varian Medical Systems, Inc. (a) | 4,976 | 453,463 | ||||||
|
| |||||||
1,915,992 | ||||||||
|
| |||||||
Health Care – Services — 3.1% | ||||||||
Aetna, Inc. | 11,158 | 1,423,203 | ||||||
Anthem, Inc. | 6,514 | 1,077,285 | ||||||
HCA Holdings, Inc. (a) | 8,593 | 764,691 | ||||||
ICON PLC (a) | 6,905 | 550,467 | ||||||
|
| |||||||
3,815,646 | ||||||||
|
| |||||||
Pharmaceuticals — 5.1% | ||||||||
Allergan PLC | 6,083 | 1,453,350 | ||||||
Bristol-Myers Squibb Co. | 29,310 | 1,593,878 | ||||||
Cardinal Health, Inc. | 12,601 | 1,027,611 | ||||||
Johnson & Johnson | 9,678 | 1,205,395 | ||||||
Merck & Co., Inc. | 15,907 | 1,010,731 | ||||||
|
| |||||||
6,290,965 | ||||||||
|
| |||||||
25,179,043 | ||||||||
|
| |||||||
Energy — 4.7% | ||||||||
Oil & Gas — 2.8% | ||||||||
BP PLC Sponsored ADR (United Kingdom) | 31,645 | 1,092,385 | ||||||
Chevron Corp. | 10,161 | 1,090,987 | ||||||
Pioneer Natural Resources Co. | 6,201 | 1,154,812 | ||||||
|
| |||||||
3,338,184 | ||||||||
|
| |||||||
Oil & Gas Services — 1.9% | ||||||||
Baker Hughes, Inc. | 19,104 | 1,142,801 | ||||||
Schlumberger Ltd. | 15,240 | 1,190,244 | ||||||
|
| |||||||
2,333,045 | ||||||||
|
| |||||||
5,671,229 | ||||||||
|
| |||||||
Financial — 11.3% | ||||||||
Banks — 3.0% | ||||||||
Bank of America Corp. | 57,745 | 1,362,205 |
The accompanying notes are an integral part of the financial statements.
81
MassMutual Select Fundamental Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Citigroup, Inc. | 20,831 | $ | 1,246,110 | |||||
JP Morgan Chase & Co. | 12,471 | 1,095,453 | ||||||
|
| |||||||
3,703,768 | ||||||||
|
| |||||||
Diversified Financial Services — 6.6% | ||||||||
Alliance Data Systems Corp. | 3,993 | 994,257 | ||||||
American Express Co. | 14,220 | 1,124,944 | ||||||
Intercontinental Exchange, Inc. | 21,194 | 1,268,885 | ||||||
Mastercard, Inc. Class A | 17,914 | 2,014,787 | ||||||
Visa, Inc. Class A | 29,262 | 2,600,514 | ||||||
|
| |||||||
8,003,387 | ||||||||
|
| |||||||
Insurance — 1.7% | ||||||||
American International Group, Inc. | 19,073 | 1,190,727 | ||||||
MetLife, Inc. | 17,589 | 929,051 | ||||||
|
| |||||||
2,119,778 | ||||||||
|
| |||||||
13,826,933 | ||||||||
|
| |||||||
Industrial — 7.0% | ||||||||
Electrical Components & Equipment — 0.5% | ||||||||
Emerson Electric Co. | 10,503 | 628,710 | ||||||
|
| |||||||
Electronics — 1.5% | ||||||||
Fortive Corp. | 9,468 | 570,163 | ||||||
Honeywell International, Inc. | 10,014 | 1,250,448 | ||||||
|
| |||||||
1,820,611 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.8% | ||||||||
Caterpillar, Inc. | 10,281 | 953,665 | ||||||
|
| |||||||
Machinery – Diversified — 1.8% | ||||||||
Cummins, Inc. | 7,414 | 1,120,997 | ||||||
Rockwell Automation, Inc. | 6,524 | 1,015,852 | ||||||
|
| |||||||
2,136,849 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.7% | ||||||||
Dover Corp. | 9,821 | 789,117 | ||||||
Parker Hannifin Corp. | 8,273 | 1,326,328 | ||||||
|
| |||||||
2,115,445 | ||||||||
|
| |||||||
Transportation — 0.7% | ||||||||
C.H. Robinson Worldwide, Inc. | 11,418 | 882,497 | ||||||
|
| |||||||
8,537,777 | ||||||||
|
| |||||||
Technology — 27.2% | ||||||||
Computers — 9.7% | ||||||||
Amdocs Ltd. | 9,336 | 569,402 | ||||||
Apple, Inc. | 62,445 | 8,970,849 | ||||||
Check Point Software Technologies Ltd. (a) | 18,108 | 1,858,967 | ||||||
NetApp, Inc. | 10,522 | 440,346 | ||||||
|
| |||||||
11,839,564 | ||||||||
|
| |||||||
Semiconductors — 6.3% | ||||||||
Analog Devices, Inc. | 8,224 | 673,957 | ||||||
Applied Materials, Inc. | 27,117 | 1,054,851 | ||||||
Cirrus Logic, Inc. (a) | 6,960 | 422,402 | ||||||
Maxim Integrated Products, Inc. | 35,642 | 1,602,464 |
Number of Shares | Value | |||||||
QUALCOMM, Inc. | 22,315 | $ | 1,279,542 | |||||
Texas Instruments, Inc. | 23,449 | 1,889,052 | ||||||
Xilinx, Inc. | 13,429 | 777,405 | ||||||
|
| |||||||
7,699,673 | ||||||||
|
| |||||||
Software — 11.2% | ||||||||
Electronic Arts, Inc. (a) | 11,638 | 1,041,834 | ||||||
Fiserv, Inc. (a) | 5,593 | 644,929 | ||||||
Intuit, Inc. | 4,213 | 488,666 | ||||||
Jack Henry & Associates, Inc. | 8,451 | 786,788 | ||||||
Microsoft Corp. | 100,317 | 6,606,879 | ||||||
Oracle Corp. | 66,039 | 2,946,000 | ||||||
Paychex, Inc. | 12,127 | 714,280 | ||||||
SS&C Technologies Holdings, Inc | 14,388 | 509,335 | ||||||
|
| |||||||
13,738,711 | ||||||||
|
| |||||||
33,277,948 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $102,715,974) | 121,958,191 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $102,715,974) | 121,958,191 | |||||||
|
| |||||||
MUTUAL FUNDS — 1.3% | ||||||||
Diversified Financial Services — 1.3% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 1,573,066 | 1,573,066 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,573,066) | 1,573,066 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $104,289,040) | 123,531,257 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 2.8% | ||||||||
Repurchase Agreement — 2.8% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (d) | $ | 3,345,362 | 3,345,362 | |||||
|
|
The accompanying notes are an integral part of the financial statements.
82
MassMutual Select Fundamental Growth Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | $ | 18,054 | $ | 18,054 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,363,416) | 3,363,416 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 103.9% (Cost $107,652,456) (e) | 126,894,673 | |||||||
|
| |||||||
Other Assets/(Liabilities) — (3.9)% | (4,705,207 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 122,189,466 | ||||||
|
|
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 March 31, 2017, was $1,540,468 or 1.26% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(c) | Represents investment of security lending collateral. (Note 2). |
(d) | Maturity value of $3,345,376. Collateralized by U.S. Government Agency obligations with a rate of 2.125%, maturity date of 9/30/21, and an aggregate market value, including accrued interest, of $3,415,810. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
83
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 100.4% | ||||||||
COMMON STOCK — 100.4% | ||||||||
Basic Materials — 0.1% | ||||||||
Chemicals — 0.1% | ||||||||
E.I. du Pont de Nemours & Co. | 1,600 | $ | 128,529 | |||||
PPG Industries, Inc. | 1,100 | 115,588 | ||||||
The Sherwin-Williams Co. | 3,700 | 1,147,703 | ||||||
|
| |||||||
1,391,820 | ||||||||
|
| |||||||
Communications — 31.9% | ||||||||
Internet — 28.8% | ||||||||
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) (a) | 573,952 | 61,889,243 | ||||||
Alphabet, Inc. Class A (a) | 55,920 | 47,408,976 | ||||||
Alphabet, Inc. Class C (a) | 82,760 | 68,654,386 | ||||||
Amazon.com, Inc. (a) | 169,071 | 149,888,204 | ||||||
Baidu, Inc. Sponsored ADR (Cayman Islands) (a) | 1,222 | 210,819 | ||||||
Ctrip.com International Ltd. ADR (Cayman Islands) (a) | 131,820 | 6,478,953 | ||||||
Facebook, Inc. Class A (a) | 761,750 | 108,206,587 | ||||||
MercadoLibre, Inc. | 2,200 | 465,234 | ||||||
Netflix, Inc. (a) | 91,300 | 13,495,053 | ||||||
The Priceline Group, Inc. (a) | 30,400 | 54,111,088 | ||||||
Snap, Inc. Class A (a) | 49,700 | 1,119,741 | ||||||
Tencent Holdings Ltd. | 658,500 | 18,902,190 | ||||||
|
| |||||||
530,830,474 | ||||||||
|
| |||||||
Media — 1.2% | ||||||||
Charter Communications, Inc. Class A (a) | 16,237 | 5,314,695 | ||||||
Comcast Corp. Class A | 95,800 | 3,601,122 | ||||||
FactSet Research Systems, Inc. | 70,845 | 11,683,049 | ||||||
The Walt Disney Co. | 7,400 | 839,086 | ||||||
|
| |||||||
21,437,952 | ||||||||
|
| |||||||
Telecommunications — 1.9% | ||||||||
Cisco Systems, Inc. | 1,047,480 | 35,404,824 | ||||||
|
| |||||||
587,673,250 | ||||||||
|
| |||||||
Consumer, Cyclical — 9.0% | ||||||||
Airlines — 1.8% | ||||||||
Alaska Air Group, Inc. | 119,600 | 11,029,512 | ||||||
American Airlines Group, Inc. | 389,100 | 16,458,930 | ||||||
Delta Air Lines, Inc. | 4,200 | 193,032 | ||||||
United Continental Holdings, Inc. (a) | 76,800 | 5,425,152 | ||||||
|
| |||||||
33,106,626 | ||||||||
|
| |||||||
Auto Manufacturers — 0.7% | ||||||||
Ferrari NV | 36,600 | 2,721,576 | ||||||
Tesla, Inc. (a) | 35,528 | 9,887,442 | ||||||
|
| |||||||
12,609,018 | ||||||||
|
|
Number of Shares | Value | |||||||
Auto Parts & Equipment — 0.3% | ||||||||
Delphi Automotive PLC | 56,000 | $ | 4,507,440 | |||||
|
| |||||||
Leisure Time — 0.3% | ||||||||
Norwegian Cruise Line Holdings Ltd. (a) | 8,300 | 421,059 | ||||||
Royal Caribbean Cruises Ltd. | 56,200 | 5,513,782 | ||||||
|
| |||||||
5,934,841 | ||||||||
|
| |||||||
Lodging — 1.1% | ||||||||
Hilton Worldwide Holdings, Inc. | 91,951 | 5,375,456 | ||||||
Las Vegas Sands Corp. | 26,900 | 1,535,183 | ||||||
Marriott International, Inc. Class A | 82,290 | 7,750,072 | ||||||
MGM Resorts International | 197,100 | 5,400,540 | ||||||
|
| |||||||
20,061,251 | ||||||||
|
| |||||||
Retail — 4.8% | ||||||||
AutoZone, Inc. (a) | 5,700 | 4,121,385 | ||||||
Coach, Inc. | 46,100 | 1,905,313 | ||||||
Costco Wholesale Corp. | 12,100 | 2,029,049 | ||||||
Dollar General Corp. | 14,800 | 1,032,004 | ||||||
Domino’s Pizza, Inc. | 2,600 | 479,180 | ||||||
The Home Depot, Inc. | 94,000 | 13,802,020 | ||||||
Lowe’s Cos., Inc. | 119,300 | 9,807,653 | ||||||
O’Reilly Automotive, Inc. (a) | 32,770 | 8,842,657 | ||||||
Ross Stores, Inc. | 113,000 | 7,443,310 | ||||||
Starbucks Corp. | 56,400 | 3,293,196 | ||||||
Walgreens Boots Alliance, Inc. | 132,400 | 10,995,820 | ||||||
Yum China Holdings, Inc. (a) | 271,530 | 7,385,616 | ||||||
Yum! Brands, Inc. | 279,414 | 17,854,555 | ||||||
|
| |||||||
88,991,758 | ||||||||
|
| |||||||
165,210,934 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 23.3% | ||||||||
Agriculture — 0.6% | ||||||||
Philip Morris International, Inc. | 93,800 | 10,590,020 | ||||||
|
| |||||||
Beverages — 2.8% | ||||||||
The Coca-Cola Co. | 531,692 | 22,565,008 | ||||||
Constellation Brands, Inc. Class A | 11,100 | 1,798,977 | ||||||
Dr. Pepper Snapple Group, Inc. | 2,300 | 225,216 | ||||||
Molson Coors Brewing Co. Class B | 3,400 | 325,414 | ||||||
Monster Beverage Corp. (a) | 597,909 | 27,605,459 | ||||||
|
| |||||||
52,520,074 | ||||||||
|
| |||||||
Biotechnology — 4.3% | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 85,958 | 10,421,548 | ||||||
Amgen, Inc. | 86,248 | 14,150,709 | ||||||
Biogen, Inc. (a) | 36,400 | 9,952,488 | ||||||
Celgene Corp. (a) | 118,100 | 14,695,183 | ||||||
Illumina, Inc. (a) | 10,000 | 1,706,400 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 47,849 | 18,541,966 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 84,600 | 9,251,010 | ||||||
|
| |||||||
78,719,304 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
84
MassMutual Select Blue Chip Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Commercial Services — 1.3% | ||||||||
Automatic Data Processing, Inc. | 65,562 | $ | 6,712,893 | |||||
Ecolab, Inc. | 6,400 | 802,176 | ||||||
Equifax, Inc. | 15,700 | 2,146,818 | ||||||
FleetCor Technologies, Inc. (a) | 13,100 | 1,983,733 | ||||||
Global Payments, Inc. | 21,900 | 1,766,892 | ||||||
IHS Markit Ltd. (a) | 51,565 | 2,163,152 | ||||||
PayPal Holdings, Inc. (a) | 177,600 | 7,640,352 | ||||||
S&P Global, Inc. | 13,400 | 1,751,916 | ||||||
|
| |||||||
24,967,932 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 1.3% | ||||||||
The Procter & Gamble Co. | 266,810 | 23,972,878 | ||||||
|
| |||||||
Foods — 1.3% | ||||||||
Danone SA Sponsored ADR (France) | 1,711,188 | 23,426,164 | ||||||
|
| |||||||
Health Care – Products — 5.1% | ||||||||
Becton, Dickinson & Co. | 42,400 | 7,777,856 | ||||||
C.R. Bard, Inc. | 1,400 | 347,956 | ||||||
Danaher Corp. | 311,300 | 26,625,489 | ||||||
DENTSPLY SIRONA, Inc. | 5,700 | 355,908 | ||||||
Henry Schein, Inc. (a) | 400 | 67,988 | ||||||
Intuitive Surgical, Inc. (a) | 18,400 | 14,103,048 | ||||||
Stryker Corp. | 103,300 | 13,599,445 | ||||||
Thermo Fisher Scientific, Inc. | 73,708 | 11,321,549 | ||||||
Varex Imaging Corp. (a) | 62,893 | 2,113,205 | ||||||
Varian Medical Systems, Inc. (a) | 184,180 | 16,784,323 | ||||||
|
| |||||||
93,096,767 | ||||||||
|
| |||||||
Health Care – Services — 2.7% | ||||||||
Aetna, Inc. | 73,972 | 9,435,129 | ||||||
Cigna Corp. | 34,000 | 4,980,660 | ||||||
Humana, Inc. | 46,400 | 9,564,896 | ||||||
UnitedHealth Group, Inc. | 157,500 | 25,831,575 | ||||||
|
| |||||||
49,812,260 | ||||||||
|
| |||||||
Pharmaceuticals — 3.9% | ||||||||
Allergan PLC | 58,393 | 13,951,256 | ||||||
Bristol-Myers Squibb Co. | 41,000 | 2,229,580 | ||||||
Eli Lilly & Co. | 20,200 | 1,699,022 | ||||||
Merck & Co., Inc. | 230,752 | 14,661,982 | ||||||
Novartis AG Sponsored ADR (Switzerland) | 189,431 | 14,069,040 | ||||||
Novo Nordisk A/S Sponsored ADR (Denmark) | 545,264 | 18,691,650 | ||||||
Shire PLC ADR (Ireland) | 20,009 | 3,486,168 | ||||||
Zoetis, Inc. | 54,100 | 2,887,317 | ||||||
|
| |||||||
71,676,015 | ||||||||
|
| |||||||
428,781,414 | ||||||||
|
| |||||||
Energy — 0.9% | ||||||||
Oil & Gas Services — 0.9% | ||||||||
Schlumberger Ltd. | 215,063 | 16,796,420 | ||||||
|
|
Number of Shares | Value | |||||||
Financial — 14.1% | ||||||||
Banks — 3.1% | ||||||||
The Bank of New York Mellon Corp. | 93,100 | $ | 4,397,113 | |||||
Citigroup, Inc. | 36,500 | 2,183,430 | ||||||
Citizens Financial Group, Inc. | 111,600 | 3,855,780 | ||||||
First Republic Bank | 34,122 | 3,200,985 | ||||||
The Goldman Sachs Group, Inc. | 6,200 | 1,424,264 | ||||||
JP Morgan Chase & Co. | 99,300 | 8,722,512 | ||||||
Morgan Stanley | 555,600 | 23,801,904 | ||||||
State Street Corp. | 115,700 | 9,210,877 | ||||||
|
| |||||||
56,796,865 | ||||||||
|
| |||||||
Diversified Financial Services — 9.2% | ||||||||
American Express Co. | 131,936 | 10,437,457 | ||||||
Ameriprise Financial, Inc. | 9,000 | 1,167,120 | ||||||
The Charles Schwab Corp. | 129,000 | 5,264,490 | ||||||
CME Group, Inc. | 24,000 | 2,851,200 | ||||||
Intercontinental Exchange, Inc. | 236,200 | 14,141,294 | ||||||
Mastercard, Inc. Class A | 269,100 | 30,265,677 | ||||||
SEI Investments Co. | 391,151 | 19,729,656 | ||||||
TD Ameritrade Holding Corp. | 347,600 | 13,507,736 | ||||||
Visa, Inc. Class A | 802,499 | 71,318,086 | ||||||
|
| |||||||
168,682,716 | ||||||||
|
| |||||||
Insurance — 0.5% | ||||||||
Chubb Ltd. | 6,700 | 912,875 | ||||||
Marsh & McLennan Cos., Inc. | 67,400 | 4,980,186 | ||||||
The Progressive Corp. | 14,300 | 560,274 | ||||||
Willis Towers Watson PLC | 23,372 | 3,059,161 | ||||||
|
| |||||||
9,512,496 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.3% | ||||||||
American Tower Corp. | 168,400 | 20,467,336 | ||||||
Equinix, Inc. | 8,732 | 3,496,031 | ||||||
SBA Communications Corp. (a) | 2,000 | 240,740 | ||||||
|
| |||||||
24,204,107 | ||||||||
|
| |||||||
259,196,184 | ||||||||
|
| |||||||
Industrial — 6.3% | ||||||||
Aerospace & Defense — 1.2% | ||||||||
The Boeing Co. | 94,100 | 16,642,526 | ||||||
General Dynamics Corp. | 4,800 | 898,560 | ||||||
Harris Corp. | 11,400 | 1,268,478 | ||||||
Northrop Grumman Corp. | 10,300 | 2,449,752 | ||||||
Raytheon Co. | 1,000 | 152,500 | ||||||
Rockwell Collins, Inc. | 9,200 | 893,872 | ||||||
|
| |||||||
22,305,688 | ||||||||
|
| |||||||
Building Materials — 0.1% | ||||||||
Johnson Controls International PLC | 14,355 | 604,633 | ||||||
|
| |||||||
Electronics — 0.7% | ||||||||
Agilent Technologies, Inc. | 3,300 | 174,471 | ||||||
Fortive Corp. | 155,150 | 9,343,133 | ||||||
Honeywell International, Inc. | 24,400 | 3,046,828 | ||||||
|
| |||||||
12,564,432 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
85
MassMutual Select Blue Chip Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Hand & Machine Tools — 0.0% | ||||||||
Stanley Black & Decker, Inc. | 900 | $ | 119,583 | |||||
|
| |||||||
Machinery – Diversified — 1.2% | ||||||||
Deere & Co. | 169,023 | 18,399,844 | ||||||
Roper Technologies, Inc. | 18,900 | 3,902,661 | ||||||
Wabtec Corp. | 3,873 | 302,094 | ||||||
|
| |||||||
22,604,599 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.1% | ||||||||
Textron, Inc. | 49,100 | 2,336,669 | ||||||
|
| |||||||
Packaging & Containers — 0.1% | ||||||||
Ball Corp. | 22,917 | 1,701,816 | ||||||
|
| |||||||
Transportation — 2.9% | ||||||||
Canadian Pacific Railway Ltd. | 17,200 | 2,527,024 | ||||||
Expeditors International of Washington, Inc. | 402,575 | 22,741,462 | ||||||
FedEx Corp. | 41,200 | 8,040,180 | ||||||
J.B. Hunt Transport Services, Inc. | 17,700 | 1,623,798 | ||||||
Union Pacific Corp. | 1,800 | 190,656 | ||||||
United Parcel Service, Inc. Class B | 168,192 | 18,047,001 | ||||||
|
| |||||||
53,170,121 | ||||||||
|
| |||||||
115,407,541 | ||||||||
|
| |||||||
Technology — 14.6% | ||||||||
Computers — 0.9% | ||||||||
Apple, Inc. | 120,200 | 17,267,932 | ||||||
|
| |||||||
Semiconductors — 2.8% | ||||||||
Analog Devices, Inc. | 62,801 | 5,146,542 | ||||||
Broadcom Ltd. | 46,000 | 10,072,160 | ||||||
KLA-Tencor Corp. | 14,900 | 1,416,543 | ||||||
Microchip Technology, Inc. | 20,400 | 1,505,112 | ||||||
NVIDIA Corp. | 900 | 98,037 | ||||||
NXP Semiconductor NV (a) | 62,421 | 6,460,573 | ||||||
QUALCOMM, Inc. | 453,729 | 26,016,821 | ||||||
|
| |||||||
50,715,788 | ||||||||
|
| |||||||
Software — 10.9% | ||||||||
Activision Blizzard, Inc. | 9,000 | 448,740 | ||||||
Autodesk, Inc. (a) | 275,235 | 23,799,570 | ||||||
Cerner Corp. (a) | 288,930 | 17,003,531 | ||||||
Electronic Arts, Inc. (a) | 48,300 | 4,323,816 | ||||||
Fidelity National Information Services, Inc. | 68,800 | 5,477,856 | ||||||
Fiserv, Inc. (a) | 106,100 | 12,234,391 | ||||||
Intuit, Inc. | 29,100 | 3,375,309 | ||||||
Microsoft Corp. | 911,186 | 60,010,710 | ||||||
Oracle Corp. | 730,716 | 32,597,241 | ||||||
Red Hat, Inc. (a) | 88,590 | 7,663,035 | ||||||
Salesforce.com, Inc. (a) | 229,700 | 18,947,953 | ||||||
ServiceNow, Inc. (a) | 128,500 | 11,239,895 | ||||||
Workday, Inc. Class A (a) | 47,000 | 3,914,160 | ||||||
|
| |||||||
201,036,207 | ||||||||
|
| |||||||
269,019,927 | ||||||||
|
|
Number of Shares | Value | |||||||
Utilities — 0.2% | ||||||||
Electric — 0.2% | ||||||||
NextEra Energy, Inc. | 30,500 | $ | 3,915,285 | |||||
|
| |||||||
TOTAL COMMON STOCK (Cost $1,412,274,435) | 1,847,392,775 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $1,412,274,435) | 1,847,392,775 | |||||||
|
| |||||||
MUTUAL FUNDS — 0.0% | ||||||||
Diversified Financial Services — 0.0% | ||||||||
T. Rowe Price Reserve Investment Fund | 1,016 | 1,016 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,016) | 1,016 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,412,275,451) | 1,847,393,791 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.5% | ||||||||
Repurchase Agreement — 0.7% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (b) | $ | 13,587,219 | 13,587,219 | |||||
|
| |||||||
Time Deposit — 0.8% | ||||||||
Euro Time Deposit | 13,724,007 | 13,724,007 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $27,311,226) | 27,311,226 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.9% (Cost $1,439,586,677) (c) | 1,874,705,017 | |||||||
Other Assets/(Liabilities) — (1.9)% | (35,407,055 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,839,297,962 | ||||||
|
|
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 $13,587,275. Collateralized by U.S. Government Agency obligations with a rate of 1.500%, maturity date of 1/31/22, and an aggregate market value, including accrued interest, of $13,861,498. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
86
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 99.1% | ||||||||
COMMON STOCK — 99.1% | ||||||||
Communications — 33.7% | ||||||||
Internet — 32.1% | ||||||||
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) (a) | 199,000 | $ | 21,458,170 | |||||
Alphabet, Inc. Class A (a) | 41,352 | 35,058,226 | ||||||
Alphabet, Inc. Class C (a) | 24,988 | 20,729,045 | ||||||
Amazon.com, Inc. (a) | 30,400 | 26,950,816 | ||||||
Baidu, Inc. Sponsored ADR (Cayman Islands) (a) | 76,500 | 13,197,780 | ||||||
eBay, Inc. (a) | 510,911 | 17,151,282 | ||||||
Facebook, Inc. Class A (a) | 319,188 | 45,340,655 | ||||||
Netflix, Inc. (a) | 122,000 | 18,032,820 | ||||||
Palo Alto Networks, Inc. (a) | 71,000 | 8,000,280 | ||||||
The Priceline Group, Inc. (a) | 15,800 | 28,123,526 | ||||||
Snap, Inc. Class A (a) | 209,853 | 4,727,988 | ||||||
Symantec Corp. | 418,967 | 12,853,908 | ||||||
TripAdvisor, Inc. (a) | 225,087 | 9,714,755 | ||||||
|
| |||||||
261,339,251 | ||||||||
|
| |||||||
Media — 1.6% | ||||||||
Liberty Global PLC Series A (a) | 77,070 | 2,764,501 | ||||||
Liberty Global PLC Series C (a) | 289,164 | 10,132,307 | ||||||
|
| |||||||
12,896,808 | ||||||||
|
| |||||||
274,236,059 | ||||||||
|
| |||||||
Consumer, Cyclical — 5.6% | ||||||||
Apparel — 0.5% | ||||||||
Under Armour, Inc. Class A (a) (b) | 99,500 | 1,968,110 | ||||||
Under Armour, Inc. Class C (a) (b) | 99,369 | 1,818,453 | ||||||
|
| |||||||
3,786,563 | ||||||||
|
| |||||||
Retail — 5.1% | ||||||||
Chipotle Mexican Grill, Inc. (a) | 22,300 | 9,935,096 | ||||||
Dollar General Corp. | 103,331 | 7,205,271 | ||||||
Liberty Interactive Corp. QVC Group Class A (a) | 715,496 | 14,324,230 | ||||||
Starbucks Corp. | 85,286 | 4,979,849 | ||||||
Walgreens Boots Alliance, Inc. | 60,029 | 4,985,408 | ||||||
|
| |||||||
41,429,854 | ||||||||
|
| |||||||
45,216,417 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 23.3% | ||||||||
Beverages — 1.4% | ||||||||
Monster Beverage Corp. (a) | 249,500 | 11,519,415 | ||||||
|
| |||||||
Biotechnology — 12.7% | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 105,000 | 12,730,200 | ||||||
Biogen, Inc. (a) | 79,008 | 21,602,367 | ||||||
BioMarin Pharmaceutical, Inc. (a) | 115,000 | 10,094,700 | ||||||
Celgene Corp. (a) | 178,829 | 22,251,693 |
Number of Shares | Value | |||||||
Illumina, Inc. (a) | 69,000 | $ | 11,774,160 | |||||
Incyte Corp. (a) | 85,600 | 11,442,152 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 34,700 | 13,446,597 | ||||||
|
| |||||||
103,341,869 | ||||||||
|
| |||||||
Commercial Services — 3.8% | ||||||||
Nielsen Holdings PLC | 215,801 | 8,914,739 | ||||||
PayPal Holdings, Inc. (a) | 504,941 | 21,722,562 | ||||||
|
| |||||||
30,637,301 | ||||||||
|
| |||||||
Health Care – Products — 2.3% | ||||||||
DENTSPLY SIRONA, Inc. | 166,684 | 10,407,749 | ||||||
Edwards Lifesciences Corp. (a) | 92,000 | 8,654,440 | ||||||
|
| |||||||
19,062,189 | ||||||||
|
| |||||||
Health Care – Services — 1.6% | ||||||||
Quintiles IMS Holdings, Inc. (a) | 156,736 | 12,621,950 | ||||||
|
| |||||||
Pharmaceuticals — 1.5% | ||||||||
Allergan PLC | 49,197 | 11,754,147 | ||||||
|
| |||||||
188,936,871 | ||||||||
|
| |||||||
Energy — 0.9% | ||||||||
Oil & Gas Services — 0.9% | ||||||||
Schlumberger Ltd. | 98,500 | 7,692,850 | ||||||
|
| |||||||
Financial — 18.0% | ||||||||
Diversified Financial Services — 14.6% | ||||||||
The Charles Schwab Corp. | 572,453 | 23,361,807 | ||||||
Intercontinental Exchange, Inc. | 243,368 | 14,570,442 | ||||||
LendingClub Corp. (a) (b) | 536,000 | 2,942,640 | ||||||
Mastercard, Inc. Class A | 158,775 | 17,857,424 | ||||||
Visa, Inc. Class A | 674,120 | 59,909,045 | ||||||
|
| |||||||
118,641,358 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 3.4% | ||||||||
Crown Castle International Corp. | 188,744 | 17,826,871 | ||||||
Equinix, Inc. | 24,113 | 9,654,122 | ||||||
|
| |||||||
27,480,993 | ||||||||
|
| |||||||
146,122,351 | ||||||||
|
| |||||||
Industrial — 1.4% | ||||||||
Transportation — 1.4% | ||||||||
FedEx Corp. | 59,489 | 11,609,278 | ||||||
|
| |||||||
Technology — 16.2% | ||||||||
Semiconductors — 1.8% | ||||||||
ASML Holding NV | 45,772 | 6,078,521 | ||||||
QUALCOMM, Inc. | 141,214 | 8,097,211 | ||||||
|
| |||||||
14,175,732 | ||||||||
|
| |||||||
Software — 14.4% | ||||||||
Adobe Systems, Inc. (a) | 158,500 | 20,625,605 | ||||||
athenahealth, Inc. (a) (b) | 50,500 | 5,690,845 | ||||||
Electronic Arts, Inc. (a) | 151,826 | 13,591,463 | ||||||
Intuit, Inc. | 66,407 | 7,702,548 | ||||||
Microsoft Corp. | 362,789 | 23,893,284 |
The accompanying notes are an integral part of the financial statements.
87
MassMutual Select Growth Opportunities Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Salesforce.com, Inc. (a) | 305,500 | $ | 25,200,695 | |||||
ServiceNow, Inc. (a) | 102,500 | 8,965,675 | ||||||
Splunk, Inc. (a) | 188,000 | 11,710,520 | ||||||
|
| |||||||
117,380,635 | ||||||||
|
| |||||||
131,556,367 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $624,830,548) | 805,370,193 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $624,830,548) | 805,370,193 | |||||||
|
| |||||||
MUTUAL FUNDS — 1.1% | ||||||||
Diversified Financial Services — 1.1% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 9,171,717 | 9,171,717 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $9,171,717) | 9,171,717 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $634,002,265) | 814,541,910 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.4% | ||||||||
Repurchase Agreement — 1.4% | ||||||||
State Street Bank & Trust Co. | $ | 10,941,076 | 10,941,076 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $10,941,076) | 10,941,076 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.6% (Cost $644,943,341) (e) | 825,482,986 | |||||||
Other Assets/(Liabilities) — (1.6)% | (12,834,790 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 812,648,196 | ||||||
|
|
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 March 31, 2017, was $8,966,545 or 1.10% 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 $10,941,080. Collateralized by U.S. Government Agency obligations with rates ranging from 2.000% – 2.125%, maturity dates ranging from 8/31/21 – 9/30/21, and an aggregate market value, including accrued interest, of $11,166,342. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
88
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 97.6% | ||||||||
COMMON STOCK — 97.6% | ||||||||
Basic Materials — 4.2% | ||||||||
Chemicals — 1.6% | ||||||||
Agrium, Inc. | 3,785 | $ | 361,658 | |||||
Huntsman Corp. | 30,755 | 754,727 | ||||||
Versum Materials, Inc. (a) | 22,065 | 675,189 | ||||||
|
| |||||||
1,791,574 | ||||||||
|
| |||||||
Forest Products & Paper — 0.2% | ||||||||
International Paper Co. | 4,205 | 213,530 | ||||||
|
| |||||||
Iron & Steel — 0.5% | ||||||||
Commercial Metals Co. | 29,620 | 566,631 | ||||||
|
| |||||||
Mining — 1.9% | ||||||||
Alcoa Corp. | 31,490 | 1,083,256 | ||||||
Teck Resources Ltd. Class B | 21,960 | 480,924 | ||||||
US Silica Holdings, Inc. | 9,905 | 475,341 | ||||||
|
| |||||||
2,039,521 | ||||||||
|
| |||||||
4,611,256 | ||||||||
|
| |||||||
Communications — 0.9% | ||||||||
Media — 0.2% | ||||||||
CBS Corp. Class B | 2,605 | 180,683 | ||||||
|
| |||||||
Telecommunications — 0.7% | ||||||||
Level 3 Communications, Inc. (a) | 9,211 | 527,053 | ||||||
Zayo Group Holdings, Inc. (a) | 9,090 | 299,061 | ||||||
|
| |||||||
826,114 | ||||||||
|
| |||||||
1,006,797 | ||||||||
|
| |||||||
Consumer, Cyclical — 9.3% | ||||||||
Airlines — 0.7% | ||||||||
United Continental Holdings, Inc. (a) | 11,060 | 781,278 | ||||||
|
| |||||||
Apparel — 0.2% | ||||||||
Ralph Lauren Corp. | 3,198 | 261,021 | ||||||
|
| |||||||
Auto Manufacturers — 0.5% | ||||||||
Honda Motor Co. Ltd. Sponsored ADR (Japan) | 17,897 | 541,563 | ||||||
|
| |||||||
Auto Parts & Equipment — 1.4% | ||||||||
Delphi Automotive PLC | 7,308 | 588,221 | ||||||
Visteon Corp. (a) | 9,605 | 940,810 | ||||||
|
| |||||||
1,529,031 | ||||||||
|
| |||||||
Entertainment — 0.5% | ||||||||
Lions Gate Entertainment Corp. Class B (a) | 21,460 | 523,195 | ||||||
|
| |||||||
Food Services — 0.4% | ||||||||
Aramark | 11,420 | 421,055 | ||||||
|
| |||||||
Home Builders — 1.2% | ||||||||
PulteGroup, Inc. | 21,765 | 512,566 |
Number of Shares | Value | |||||||
Toll Brothers, Inc. (a) | 24,115 | $ | 870,793 | |||||
|
| |||||||
1,383,359 | ||||||||
|
| |||||||
Housewares — 0.9% | ||||||||
Newell Brands, Inc. | 20,070 | 946,702 | ||||||
|
| |||||||
Leisure Time — 0.4% | ||||||||
Carnival Corp. | 7,643 | 450,249 | ||||||
|
| |||||||
Retail — 2.8% | ||||||||
Advance Auto Parts, Inc. | 4,350 | 644,931 | ||||||
CST Brands, Inc. | 8,304 | 399,339 | ||||||
JC Penney Co., Inc. (a) | 52,565 | 323,801 | ||||||
L Brands, Inc. | 2,507 | 118,080 | ||||||
PVH Corp. | 11,030 | 1,141,274 | ||||||
Target Corp. | 8,502 | 469,225 | ||||||
|
| |||||||
3,096,650 | ||||||||
|
| |||||||
Toys, Games & Hobbies — 0.3% | ||||||||
Mattel, Inc. | 13,220 | 338,564 | ||||||
|
| |||||||
10,272,667 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 13.8% | ||||||||
Commercial Services — 0.7% | ||||||||
ManpowerGroup, Inc. | 3,515 | 360,533 | ||||||
Vantiv, Inc. Class A (a) | 6,965 | 446,596 | ||||||
|
| |||||||
807,129 | ||||||||
|
| |||||||
Foods — 4.8% | ||||||||
Conagra Brands, Inc. | 24,493 | 988,048 | ||||||
General Mills, Inc. | 6,873 | 405,576 | ||||||
The J.M. Smucker Co. | 2,321 | 304,237 | ||||||
Kellogg Co. | 7,120 | 516,983 | ||||||
Lamb Weston Holdings, Inc. | 7,945 | 334,167 | ||||||
Mondelez International, Inc. Class A | 16,610 | 715,559 | ||||||
Pinnacle Foods, Inc. | 21,645 | 1,252,596 | ||||||
Sysco Corp. | 8,805 | 457,155 | ||||||
US Foods Holding Corp. (a) | 12,745 | 356,605 | ||||||
|
| |||||||
5,330,926 | ||||||||
|
| |||||||
Health Care – Products — 3.6% | ||||||||
Abbott Laboratories | 8,252 | 366,472 | ||||||
Baxter International, Inc. | 26,386 | 1,368,378 | ||||||
Boston Scientific Corp. (a) | 21,485 | 534,332 | ||||||
STERIS PLC | 6,652 | 462,048 | ||||||
Zimmer Biomet Holdings, Inc. | 9,975 | 1,218,047 | ||||||
|
| |||||||
3,949,277 | ||||||||
|
| |||||||
Health Care – Services — 2.8% | ||||||||
Envision Healthcare Corp. (a) | 15,020 | 921,026 | ||||||
HCA Holdings, Inc. (a) | 4,393 | 390,933 | ||||||
HealthSouth Corp. | 11,325 | 484,823 | ||||||
LifePoint Health, Inc. (a) | 12,795 | 838,073 | ||||||
Quest Diagnostics, Inc. | 5,100 | 500,769 | ||||||
|
| |||||||
3,135,624 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
89
MassMutual Select Mid-Cap Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Household Products & Wares — 0.4% | ||||||||
Avery Dennison Corp. | 5,245 | $ | 422,747 | |||||
|
| |||||||
Pharmaceuticals — 1.5% | ||||||||
Cardinal Health, Inc. | 6,219 | 507,159 | ||||||
Express Scripts Holding Co. (a) | 5,290 | 348,664 | ||||||
McKesson Corp. | 2,718 | 402,971 | ||||||
Mead Johnson Nutrition Co. | 4,639 | 413,242 | ||||||
|
| |||||||
1,672,036 | ||||||||
|
| |||||||
15,317,739 | ||||||||
|
| |||||||
Energy — 12.4% | ||||||||
Coal — 0.5% | ||||||||
Arch Coal, Inc. Class A (a) | 7,445 | 513,258 | ||||||
|
| |||||||
Oil & Gas — 10.2% | ||||||||
Anadarko Petroleum Corp. | �� | 11,547 | 715,914 | |||||
Cimarex Energy Co. | 1,632 | 195,008 | ||||||
Devon Energy Corp. | 13,372 | 557,880 | ||||||
Energen Corp. (a) | 20,245 | 1,102,138 | ||||||
EQT Corp. | 17,377 | 1,061,735 | ||||||
Helmerich & Payne, Inc. | 3,287 | 218,816 | ||||||
Hess Corp. | 17,720 | 854,281 | ||||||
Imperial Oil Ltd. | 31,870 | 971,066 | ||||||
Marathon Petroleum Corp. | 8,871 | 448,340 | ||||||
Noble Energy, Inc. | 23,337 | 801,392 | ||||||
Oasis Petroleum, Inc. (a) | 51,900 | 740,094 | ||||||
Occidental Petroleum Corp. | 11,173 | 707,921 | ||||||
PDC Energy, Inc. (a) | 9,685 | 603,860 | ||||||
Precision Drilling Corp. (a) | 255,010 | 1,203,647 | ||||||
SM Energy Co. | 23,040 | 553,421 | ||||||
Tesoro Corp. | 6,795 | 550,803 | ||||||
|
| |||||||
11,286,316 | ||||||||
|
| |||||||
Oil & Gas Services — 1.6% | ||||||||
Baker Hughes, Inc. | 15,121 | 904,538 | ||||||
Frank’s International NV | 5,537 | 58,526 | ||||||
Halliburton Co. | 4,270 | 210,127 | ||||||
National Oilwell Varco, Inc. | 16,292 | 653,146 | ||||||
|
| |||||||
1,826,337 | ||||||||
|
| |||||||
Pipelines — 0.1% | ||||||||
Spectra Energy Partners LP (b) | 3,126 | 136,481 | ||||||
|
| |||||||
13,762,392 | ||||||||
|
| |||||||
Financial — 25.8% | ||||||||
Banks — 9.8% | ||||||||
Bank of Hawaii Corp. | 3,551 | 292,460 | ||||||
BB&T Corp. | 16,639 | 743,763 | ||||||
Citizens Financial Group, Inc. | 35,345 | 1,221,170 | ||||||
Comerica, Inc. | 4,720 | 323,698 | ||||||
Commerce Bancshares, Inc. | 10,255 | 575,921 | ||||||
F.N.B. Corp. | 56,580 | 841,345 | ||||||
KeyCorp | 27,710 | 492,684 | ||||||
M&T Bank Corp. | 4,050 | 626,656 |
Number of Shares | Value | |||||||
Northern Trust Corp. | 35,958 | $ | 3,113,244 | |||||
The PNC Financial Services Group, Inc. | 4,794 | 576,430 | ||||||
State Street Corp. | 5,014 | 399,164 | ||||||
SunTrust Banks, Inc. | 3,990 | 220,647 | ||||||
UMB Financial Corp. | 3,089 | 232,633 | ||||||
Westamerica Bancorp. | 8,560 | 477,905 | ||||||
Zions Bancorp | 18,630 | 782,460 | ||||||
|
| |||||||
10,920,180 | ||||||||
|
| |||||||
Diversified Financial Services — 3.4% | ||||||||
Ameriprise Financial, Inc. | 5,203 | 674,725 | ||||||
E*TRADE Financial Corp. (a) | 22,320 | 778,745 | ||||||
Invesco Ltd. | 27,308 | 836,444 | ||||||
Lazard Ltd. Class A | 22,945 | 1,055,240 | ||||||
T. Rowe Price Group, Inc. | 6,640 | 452,516 | ||||||
|
| |||||||
3,797,670 | ||||||||
|
| |||||||
Insurance — 4.8% | ||||||||
Aflac, Inc. | 4,130 | 299,095 | ||||||
The Allstate Corp. | 3,106 | 253,108 | ||||||
Brown & Brown, Inc. | 9,929 | 414,238 | ||||||
Chubb Ltd. | 5,683 | 774,309 | ||||||
MetLife, Inc. | 5,140 | 271,495 | ||||||
ProAssurance Corp. | 4,535 | 273,234 | ||||||
Reinsurance Group of America, Inc. | 4,085 | 518,713 | ||||||
Torchmark Corp. | 2,513 | 193,601 | ||||||
Unum Group | 34,808 | 1,632,147 | ||||||
Voya Financial, Inc. | 3,290 | 124,888 | ||||||
XL Group Ltd. | 13,080 | 521,369 | ||||||
|
| |||||||
5,276,197 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 7.3% | ||||||||
American Tower Corp. | 3,769 | 458,084 | ||||||
CBRE Group, Inc. Class A (a) | 30,970 | 1,077,446 | ||||||
DuPont Fabros Technology, Inc. | 6,695 | 332,005 | ||||||
Empire State Realty Trust, Inc. Class A | 11,199 | 231,147 | ||||||
EPR Properties | 13,370 | 984,433 | ||||||
Gaming and Leisure Properties, Inc. | 6,450 | 215,559 | ||||||
Host Hotels & Resorts, Inc. | 33,245 | 620,352 | ||||||
MGM Growth Properties LLC Class A | 11,654 | 315,241 | ||||||
Piedmont Office Realty Trust, Inc. Class A | 48,224 | 1,031,029 | ||||||
SL Green Realty Corp. | 11,800 | 1,258,116 | ||||||
Tanger Factory Outlet Centers, Inc. | 15,215 | 498,596 | ||||||
Weyerhaeuser Co. | 33,414 | 1,135,408 | ||||||
|
| |||||||
8,157,416 | ||||||||
|
| |||||||
Savings & Loans — 0.5% | ||||||||
Capitol Federal Financial, Inc. | 35,244 | 515,620 | ||||||
|
| |||||||
28,667,083 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
90
MassMutual Select Mid-Cap Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Industrial — 15.6% | ||||||||
Building Materials — 2.1% | ||||||||
Apogee Enterprises, Inc. | 9,210 | $ | 549,008 | |||||
Johnson Controls International PLC | 43,423 | 1,828,977 | ||||||
|
| |||||||
2,377,985 | ||||||||
|
| |||||||
Electrical Components & Equipment — 1.5% | ||||||||
Belden, Inc. | 6,665 | 461,151 | ||||||
Emerson Electric Co. | 7,372 | 441,288 | ||||||
Hubbell, Inc. | 6,120 | 734,706 | ||||||
|
| |||||||
1,637,145 | ||||||||
|
| |||||||
Electronics — 2.3% | ||||||||
Keysight Technologies, Inc. (a) | 19,954 | 721,138 | ||||||
Koninklijke Philips NV | 20,856 | 670,411 | ||||||
Orbotech Ltd. (a) | 6,225 | 200,756 | ||||||
PerkinElmer, Inc. | 6,925 | 402,065 | ||||||
TE Connectivity Ltd. | 7,616 | 567,773 | ||||||
|
| |||||||
2,562,143 | ||||||||
|
| |||||||
Engineering & Construction — 1.6% | ||||||||
AECOM (a) | 20,350 | 724,256 | ||||||
KBR, Inc. | 72,220 | 1,085,467 | ||||||
|
| |||||||
1,809,723 | ||||||||
|
| |||||||
Environmental Controls — 0.6% | ||||||||
Republic Services, Inc. | 11,302 | 709,879 | ||||||
|
| |||||||
Machinery – Construction & Mining — 0.3% | ||||||||
Oshkosh Corp. | 4,430 | 303,854 | ||||||
|
| |||||||
Machinery – Diversified — 1.1% | ||||||||
AGCO Corp. | 7,015 | 422,163 | ||||||
Cummins, Inc. | 3,297 | 498,506 | ||||||
Rockwell Automation, Inc. | 1,918 | 298,652 | ||||||
|
| |||||||
1,219,321 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 3.0% | ||||||||
Crane Co. | 12,075 | 903,572 | ||||||
Ingersoll-Rand PLC | 9,354 | 760,667 | ||||||
ITT, Inc. | 2,149 | 88,152 | ||||||
Parker Hannifin Corp. | 2,191 | 351,261 | ||||||
Textron, Inc. | 14,886 | 708,425 | ||||||
Trinseo SA | 7,150 | 479,765 | ||||||
|
| |||||||
3,291,842 | ||||||||
|
| |||||||
Packaging & Containers — 1.4% | ||||||||
Bemis Co., Inc. | 9,369 | 457,769 | ||||||
Sonoco Products Co. | 8,664 | 458,499 | ||||||
WestRock Co. | 11,418 | 594,079 | ||||||
|
| |||||||
1,510,347 | ||||||||
|
| |||||||
Transportation — 1.0% | ||||||||
Atlas Air Worldwide Holdings, Inc. (a) | 8,060 | 446,927 | ||||||
Heartland Express, Inc. | 30,870 | 618,943 | ||||||
|
| |||||||
1,065,870 | ||||||||
|
|
Number of Shares | Value | |||||||
Trucking & Leasing — 0.7% | ||||||||
GATX Corp. | 12,415 | $ | 756,818 | |||||
|
| |||||||
17,244,927 | ||||||||
|
| |||||||
Technology — 8.1% | ||||||||
Computers — 2.3% | ||||||||
Barracuda Networks, Inc. (a) | 26,525 | 612,993 | ||||||
Leidos Holdings, Inc. | 12,765 | 652,802 | ||||||
NetApp, Inc. | 23,597 | 987,534 | ||||||
Western Digital Corp. | 3,195 | 263,683 | ||||||
|
| |||||||
2,517,012 | ||||||||
|
| |||||||
Semiconductors — 5.8% | ||||||||
Analog Devices, Inc. | 4,660 | 381,887 | ||||||
Applied Materials, Inc. | 32,607 | 1,268,412 | ||||||
Lam Research Corp. | 7,195 | 923,550 | ||||||
Maxim Integrated Products, Inc. | 16,804 | 755,508 | ||||||
Micron Technology, Inc. (a) | 45,770 | 1,322,753 | ||||||
Microsemi Corp. (a) | 15,130 | 779,649 | ||||||
Teradyne, Inc. | 22,455 | 698,351 | ||||||
Xilinx, Inc. | 6,370 | 368,759 | ||||||
|
| |||||||
6,498,869 | ||||||||
|
| |||||||
9,015,881 | ||||||||
|
| |||||||
Utilities — 7.5% | ||||||||
Electric — 6.8% | ||||||||
Ameren Corp. | 15,092 | 823,872 | ||||||
Consolidated Edison, Inc. | 4,657 | 361,663 | ||||||
Edison International | 10,450 | 831,925 | ||||||
Eversource Energy | 4,269 | 250,932 | ||||||
Exelon Corp. | 29,535 | 1,062,669 | ||||||
NorthWestern Corp. | 6,046 | 354,900 | ||||||
PG&E Corp. | 24,484 | 1,624,758 | ||||||
Public Service Enterprise Group, Inc. | 28,530 | 1,265,306 | ||||||
Westar Energy, Inc. | 3,156 | 171,276 | ||||||
Xcel Energy, Inc. | 17,962 | 798,411 | ||||||
|
| |||||||
7,545,712 | ||||||||
|
| |||||||
Gas — 0.7% | ||||||||
Atmos Energy Corp. | 4,415 | 348,741 | ||||||
Spire, Inc. | 6,483 | 437,602 | ||||||
|
| |||||||
786,343 | ||||||||
|
| |||||||
8,332,055 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $97,616,147) | 108,230,797 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $97,616,147) | 108,230,797 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
91
MassMutual Select Mid-Cap Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 1.1% | ||||||||
Diversified Financial Services — 1.1% | ||||||||
iShares Russell Mid-Cap Value ETF | 15,395 | $ | 1,277,631 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,185,781) | 1,277,631 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $98,801,928) | 109,508,428 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 98.7% (Cost $98,801,928) (c) | 109,508,428 | |||||||
Other Assets/(Liabilities) — 1.3% | 1,404,298 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 110,912,726 | ||||||
|
|
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) | Security is a Master Limited Partnership. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
92
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 96.9% | ||||||||
COMMON STOCK — 96.9% | ||||||||
Basic Materials — 5.9% | ||||||||
Chemicals — 2.0% | ||||||||
PolyOne Corp. | 68,319 | $ | 2,328,995 | |||||
Sensient Technologies Corp. | 18,660 | 1,478,991 | ||||||
|
| |||||||
3,807,986 | ||||||||
|
| |||||||
Forest Products & Paper — 1.1% | ||||||||
Deltic Timber Corp. | 16,640 | 1,299,917 | ||||||
Neenah Paper, Inc. | 10,490 | 783,603 | ||||||
|
| |||||||
2,083,520 | ||||||||
|
| |||||||
Iron & Steel — 1.2% | ||||||||
Allegheny Technologies, Inc. | 122,000 | 2,191,120 | ||||||
|
| |||||||
Mining — 1.6% | ||||||||
Ferroglobe PLC | 203,700 | 2,104,221 | ||||||
Ferroglobe Representation & Warranty Insurance Trust (a) (b) | 234,800 | - | ||||||
Luxfer Holdings PLC ADR (United Kingdom) | 67,722 | 823,500 | ||||||
Materion Corp. | 2,300 | 77,165 | ||||||
|
| |||||||
3,004,886 | ||||||||
|
| |||||||
11,087,512 | ||||||||
|
| |||||||
Consumer, Cyclical — 9.6% | ||||||||
Auto Parts & Equipment — 1.3% | ||||||||
American Axle & Manufacturing Holdings, Inc. (a) | 129,279 | 2,427,860 | ||||||
|
| |||||||
Distribution & Wholesale — 0.9% | ||||||||
Essendant, Inc. | 60,180 | 911,727 | ||||||
ScanSource, Inc. (a) | 22,970 | 901,572 | ||||||
|
| |||||||
1,813,299 | ||||||||
|
| |||||||
Home Builders — 0.3% | ||||||||
TRI Pointe Group, Inc. (a) | 48,930 | 613,582 | ||||||
|
| |||||||
Home Furnishing — 1.0% | ||||||||
Whirlpool Corp. | 10,653 | 1,825,178 | ||||||
|
| |||||||
Housewares — 1.1% | ||||||||
The Scotts Miracle-Gro Co. | 23,217 | 2,168,236 | ||||||
|
| |||||||
Office Furnishings — 0.5% | ||||||||
Steelcase, Inc. Class A | 57,320 | 960,110 | ||||||
|
| |||||||
Retail — 3.6% | ||||||||
The Cato Corp. Class A | 30,620 | 672,415 | ||||||
CST Brands, Inc. | 6,400 | 307,776 | ||||||
DSW, Inc. Class A | 25,710 | 531,683 | ||||||
Fred’s, Inc. Class A | 74,970 | 982,107 | ||||||
RH (a) | 62,100 | 2,872,746 | ||||||
Stage Stores, Inc. | 72,370 | 187,438 | ||||||
Vitamin Shoppe, Inc. (a) | 59,602 | 1,200,981 | ||||||
|
| |||||||
6,755,146 | ||||||||
|
|
Number of Shares | Value | |||||||
Storage & Warehousing — 0.9% | ||||||||
Mobile Mini, Inc. | 53,871 | $ | 1,643,066 | |||||
|
| |||||||
18,206,477 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 12.8% | ||||||||
Beverages — 0.5% | ||||||||
C&C Group PLC | 251,651 | 975,782 | ||||||
|
| |||||||
Biotechnology — 0.8% | ||||||||
Charles River Laboratories International, Inc. (a) | 16,140 | 1,451,793 | ||||||
|
| |||||||
Commercial Services — 3.0% | ||||||||
Forrester Research, Inc. | 27,200 | 1,081,200 | ||||||
FTI Consulting, Inc. (a) | 43,170 | 1,777,309 | ||||||
Huron Consulting Group, Inc. (a) | 26,880 | 1,131,648 | ||||||
ICF International, Inc. (a) | 1,800 | 74,340 | ||||||
Matthews International Corp. Class A | 23,330 | 1,578,274 | ||||||
|
| |||||||
5,642,771 | ||||||||
|
| |||||||
Foods — 2.3% | ||||||||
Cranswick PLC | 39,954 | 1,279,120 | ||||||
Post Holdings, Inc. (a) | 17,060 | 1,493,091 | ||||||
Smart & Final Stores, Inc. (a) | 136,900 | 1,656,490 | ||||||
|
| |||||||
4,428,701 | ||||||||
|
| |||||||
Health Care – Products — 2.9% | ||||||||
Haemonetics Corp. (a) | 41,130 | 1,668,644 | ||||||
ICU Medical, Inc. (a) | 8,100 | 1,236,870 | ||||||
Natus Medical, Inc. (a) | 17,390 | 682,558 | ||||||
STERIS PLC | 27,440 | 1,905,982 | ||||||
|
| |||||||
5,494,054 | ||||||||
|
| |||||||
Health Care – Services — 1.8% | ||||||||
Envision Healthcare Corp. (a) | 21,420 | 1,313,475 | ||||||
HealthSouth Corp. | 48,688 | 2,084,333 | ||||||
|
| |||||||
3,397,808 | ||||||||
|
| |||||||
Household Products & Wares — 1.1% | ||||||||
ACCO Brands Corp. (a) | 113,000 | 1,485,950 | ||||||
Helen of Troy Ltd. (a) | 6,790 | 639,618 | ||||||
|
| |||||||
2,125,568 | ||||||||
|
| |||||||
Pharmaceuticals — 0.4% | ||||||||
Phibro Animal Health Corp. Class A | 25,660 | 721,046 | ||||||
|
| |||||||
24,237,523 | ||||||||
|
| |||||||
Energy — 5.8% | ||||||||
Oil & Gas — 3.6% | ||||||||
Callon Petroleum Co. (a) | 178,000 | 2,342,480 | ||||||
Diamondback Energy, Inc. (a) | 14,660 | 1,520,462 | ||||||
Range Resources Corp. | 49,837 | 1,450,257 | ||||||
Resolute Energy Corp. (a) | 16,620 | 671,448 | ||||||
RSP Permian, Inc. (a) | 21,528 | 891,905 | ||||||
|
| |||||||
6,876,552 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
93
MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Oil & Gas Services — 2.2% | ||||||||
Era Group, Inc. (a) | 34,110 | $ | 452,299 | |||||
Flotek Industries, Inc. (a) | 82,200 | 1,051,338 | ||||||
SEACOR Holdings, Inc. (a) | 19,620 | 1,357,508 | ||||||
Thermon Group Holdings, Inc. (a) | 64,540 | 1,345,013 | ||||||
|
| |||||||
4,206,158 | ||||||||
|
| |||||||
11,082,710 | ||||||||
|
| |||||||
Financial — 19.0% | ||||||||
Banks — 11.3% | ||||||||
1st Source Corp. | �� | 16,171 | 759,229 | |||||
FCB Financial Holdings, Inc. Class A (a) | 13,660 | 676,853 | ||||||
First Midwest Bancorp, Inc. | 64,860 | 1,535,885 | ||||||
Great Western Bancorp, Inc. | 40,240 | 1,706,578 | ||||||
Hancock Holding Co. | 47,160 | 2,148,138 | ||||||
International Bancshares Corp. | 46,550 | 1,647,870 | ||||||
MB Financial, Inc. | 38,900 | 1,665,698 | ||||||
Prosperity Bancshares, Inc. | 39,458 | 2,750,617 | ||||||
Texas Capital Bancshares, Inc. (a) | 46,836 | 3,908,464 | ||||||
UMB Financial Corp. | 37,200 | 2,801,532 | ||||||
Webster Financial Corp. | 36,800 | 1,841,472 | ||||||
|
| |||||||
21,442,336 | ||||||||
|
| |||||||
Insurance — 3.9% | ||||||||
Alleghany Corp. (a) | 2,958 | 1,818,164 | ||||||
Assured Guaranty Ltd. | 25,930 | 962,262 | ||||||
Kemper Corp. | 31,460 | 1,255,254 | ||||||
Reinsurance Group of America, Inc. | 15,880 | 2,016,443 | ||||||
White Mountains Insurance Group Ltd. | 1,480 | 1,302,222 | ||||||
|
| |||||||
7,354,345 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 2.6% | ||||||||
Corporate Office Properties Trust | 32,200 | 1,065,820 | ||||||
DiamondRock Hospitality Co. | 75,364 | 840,309 | ||||||
Education Realty Trust, Inc. | 20,373 | 832,237 | ||||||
Ramco-Gershenson Properties Trust | 83,810 | 1,175,016 | ||||||
Summit Hotel Properties, Inc. | 67,680 | 1,081,526 | ||||||
|
| |||||||
4,994,908 | ||||||||
|
| |||||||
Savings & Loans — 1.2% | ||||||||
Banc of California, Inc. | 34,490 | 713,943 | ||||||
Northwest Bancshares, Inc. | 90,420 | 1,522,673 | ||||||
|
| |||||||
2,236,616 | ||||||||
|
| |||||||
36,028,205 | ||||||||
|
| |||||||
Industrial — 32.3% | ||||||||
Aerospace & Defense — 0.9% | ||||||||
Cubic Corp. | 31,990 | 1,689,072 | ||||||
|
| |||||||
Building Materials — 4.4% | ||||||||
Gibraltar Industries, Inc. (a) | 48,528 | 1,999,353 | ||||||
Simpson Manufacturing Co., Inc. | 56,409 | 2,430,664 | ||||||
Trex Co., Inc. (a) | 34,421 | 2,388,473 | ||||||
Tyman PLC | 359,964 | 1,451,274 | ||||||
|
| |||||||
8,269,764 | ||||||||
|
|
Number of Shares | Value | |||||||
Electrical Components & Equipment — 2.1% | ||||||||
Belden, Inc. | 32,340 | $ | 2,237,605 | |||||
Encore Wire Corp. | 37,700 | 1,734,200 | ||||||
|
| |||||||
3,971,805 | ||||||||
|
| |||||||
Electronics — 8.8% | ||||||||
CTS Corp. | 42,270 | 900,351 | ||||||
ESCO Technologies, Inc. | 23,420 | 1,360,702 | ||||||
FARO Technologies, Inc. (a) | 44,793 | 1,601,350 | ||||||
II-VI, Inc. (a) | 112,128 | 4,042,214 | ||||||
Keysight Technologies, Inc. (a) | 42,460 | 1,534,504 | ||||||
Park Electrochemical Corp. | 36,770 | 656,712 | ||||||
Plexus Corp. (a) | 53,282 | 3,079,700 | ||||||
Vishay Intertechnology, Inc. | 208,397 | 3,428,131 | ||||||
|
| |||||||
16,603,664 | ||||||||
|
| |||||||
Engineering & Construction — 3.3% | ||||||||
Comfort Systems USA, Inc. | 52,613 | 1,928,266 | ||||||
Mistras Group, Inc. (a) | 50,270 | 1,074,773 | ||||||
Primoris Services Corp. | 139,100 | 3,229,902 | ||||||
|
| |||||||
6,232,941 | ||||||||
|
| |||||||
Environmental Controls — 0.5% | ||||||||
Clean Harbors, Inc. (a) | 17,730 | 986,143 | ||||||
|
| |||||||
Machinery – Construction & Mining — 2.7% | ||||||||
Babcock & Wilcox Enterprises, Inc. (a) | 48,190 | 450,095 | ||||||
Oshkosh Corp. | 27,053 | 1,855,565 | ||||||
Terex Corp. | 91,722 | 2,880,071 | ||||||
|
| |||||||
5,185,731 | ||||||||
|
| |||||||
Machinery – Diversified — 0.9% | ||||||||
Albany International Corp. Class A | 35,640 | 1,641,222 | ||||||
|
| |||||||
Metal Fabricate & Hardware — 2.5% | ||||||||
CIRCOR International, Inc. | 18,500 | 1,099,640 | ||||||
Mueller Industries, Inc. | 52,560 | 1,799,129 | ||||||
TriMas Corp. (a) | 88,950 | 1,845,712 | ||||||
|
| |||||||
4,744,481 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 2.6% | ||||||||
Barnes Group, Inc. | 52,090 | 2,674,301 | ||||||
Colfax Corp. (a) | 56,500 | 2,218,190 | ||||||
|
| |||||||
4,892,491 | ||||||||
|
| |||||||
Packaging & Containers — 1.5% | ||||||||
Greif, Inc. Class A | 34,110 | 1,879,120 | ||||||
Multi Packaging Solutions International Ltd. (a) | 56,190 | 1,008,610 | ||||||
|
| |||||||
2,887,730 | ||||||||
|
| |||||||
Transportation — 1.4% | ||||||||
Dorian LPG Ltd. (a) | 55,900 | 588,627 | ||||||
Forward Air Corp. | 20,940 | 996,116 | ||||||
Scorpio Tankers, Inc. | 242,640 | 1,077,321 | ||||||
|
| |||||||
2,662,064 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
94
MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Trucking & Leasing — 0.7% | ||||||||
GATX Corp. | 22,300 | $ | 1,359,408 | |||||
|
| |||||||
61,126,516 | ||||||||
|
| |||||||
Technology — 8.9% | ||||||||
Computers — 3.4% | ||||||||
Diebold Nixdorf, Inc. | 36,020 | 1,105,814 | ||||||
Mercury Systems, Inc. (a) | 55,487 | 2,166,767 | ||||||
MTS Systems Corp. | 37,200 | 2,047,860 | ||||||
WNS Holdings Ltd. ADR (India) (a) | 41,580 | 1,189,604 | ||||||
|
| |||||||
6,510,045 | ||||||||
|
| |||||||
Semiconductors — 4.6% | ||||||||
Brooks Automation, Inc. | 164,061 | 3,674,966 | ||||||
Diodes, Inc. (a) | 96,608 | 2,323,422 | ||||||
Photronics, Inc. (a) | 162,328 | 1,736,910 | ||||||
Xcerra Corp. (a) | 113,230 | 1,006,615 | ||||||
|
| |||||||
8,741,913 | ||||||||
|
| |||||||
Software — 0.9% | ||||||||
Allscripts Healthcare Solutions, Inc. (a) | 125,600 | 1,592,608 | ||||||
|
| |||||||
16,844,566 | ||||||||
|
| |||||||
Utilities — 2.6% | ||||||||
Electric — 0.3% | ||||||||
Westar Energy, Inc. | 12,050 | 653,953 | ||||||
|
| |||||||
Gas — 2.3% | ||||||||
New Jersey Resources Corp. | 14,670 | 580,932 | ||||||
Spire, Inc. | 14,720 | 993,600 | ||||||
UGI Corp. | 30,505 | 1,506,947 | ||||||
WGL Holdings, Inc. | 14,660 | 1,209,890 | ||||||
|
| |||||||
4,291,369 | ||||||||
|
| |||||||
4,945,322 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $140,788,982) | 183,558,831 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $140,788,982) | 183,558,831 | |||||||
|
| |||||||
BONDS & NOTES — 0.1% | ||||||||
CORPORATE DEBT — 0.1% |
Principal Amount | Value | |||||||
Industrial — 0.1% | ||||||||
Metal Fabricate & Hardware — 0.1% | ||||||||
Mueller Industries, Inc. 6.000%, 3/01/27 | $ | 282,000 | $ | 279,885 | ||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $282,000) | 279,885 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $282,000) | 279,885 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $141,070,982) | 183,838,716 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 3.4% | ||||||||
Repurchase Agreement — 3.4% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (c) | $ | 6,350,666 | 6,350,666 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,350,666) | 6,350,666 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.4% (Cost $147,421,648) (d) | 190,189,382 | |||||||
Other Assets/(Liabilities) — (0.4)% | (849,609 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 189,339,773 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
(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 March 31, 2017, these securities amounted to a value of $0 or 0.00% of net assets. |
(c) | Maturity value of $6,350,692. Collateralized by U.S. Government Agency obligations with a rate of 1.625%, maturity date of 4/30/19, and an aggregate market value, including accrued interest, of $6,484,768. |
(d) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
95
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 100.0% | ||||||||
COMMON STOCK — 100.0% | ||||||||
Basic Materials — 4.9% | ||||||||
Chemicals — 3.0% | ||||||||
American Vanguard Corp. | 18,600 | $ | 308,760 | |||||
The Chemours Co. | 47,200 | 1,817,200 | ||||||
Huntsman Corp. | 66,235 | 1,625,407 | ||||||
Innophos Holdings, Inc. | 2,900 | 156,513 | ||||||
Innospec, Inc. | 5,522 | 357,549 | ||||||
KMG Chemicals, Inc. | 12,900 | 594,303 | ||||||
Koppers Holdings, Inc. (a) | 15,000 | 635,250 | ||||||
Minerals Technologies, Inc. | 9,700 | 743,020 | ||||||
Olin Corp. | 38,295 | 1,258,757 | ||||||
OMNOVA Solutions, Inc. (a) | 10,700 | 105,930 | ||||||
Rayonier Advanced Materials, Inc. (b) | 53,300 | 716,885 | ||||||
|
| |||||||
8,319,574 | ||||||||
|
| |||||||
Forest Products & Paper — 0.3% | ||||||||
Clearwater Paper Corp. (a) | 11,000 | 616,000 | ||||||
Mercer International, Inc. | 9,400 | 109,980 | ||||||
|
| |||||||
725,980 | ||||||||
|
| |||||||
Iron & Steel — 1.3% | ||||||||
Carpenter Technology Corp. | 15,200 | 566,960 | ||||||
Cliffs Natural Resources, Inc. (a) | 144,400 | 1,185,524 | ||||||
Commercial Metals Co. | 62,640 | 1,198,303 | ||||||
Reliance Steel & Aluminum Co. | 4,700 | 376,094 | ||||||
Shiloh Industries, Inc. (a) | 18,800 | 256,244 | ||||||
|
| |||||||
3,583,125 | ||||||||
|
| |||||||
Mining — 0.3% | ||||||||
Ferroglobe PLC | 72,955 | 753,625 | ||||||
Ferroglobe Representation & Warranty Insurance Trust (a) (c) | 49,975 | - | ||||||
New Gold, Inc. (a) (b) | 50,000 | 149,000 | ||||||
|
| |||||||
902,625 | ||||||||
|
| |||||||
13,531,304 | ||||||||
|
| |||||||
Communications — 5.6% | ||||||||
Internet — 1.2% | ||||||||
DHI Group, Inc. (a) | 58,300 | 230,285 | ||||||
ePlus, Inc. (a) | 13,685 | 1,848,159 | ||||||
Leaf Group Ltd. (a) | 11,400 | 85,500 | ||||||
New Media Investment Group, Inc. | 11,000 | 156,310 | ||||||
PC-Tel, Inc. | 8,200 | 58,384 | ||||||
Rightside Group Ltd. (a) | 26,163 | 259,537 | ||||||
The Rubicon Project, Inc. (a) | 47,750 | 281,248 | ||||||
Sohu.com, Inc. (a) | 9,900 | 389,367 | ||||||
TechTarget, Inc. (a) | 5,400 | 48,762 | ||||||
Travelzoo, Inc. (a) | 7,800 | 75,270 | ||||||
US Auto Parts Network, Inc. (a) | 9,300 | 31,155 | ||||||
|
| |||||||
3,463,977 | ||||||||
|
|
Number of Shares | Value | |||||||
Media — 2.3% | ||||||||
Cable One, Inc. | 716 | $ | 447,121 | |||||
Houghton Mifflin Harcourt Co. (a) | 58,915 | 597,987 | ||||||
The McClatchy Co. Class A (a) (b) | 8,800 | 85,096 | ||||||
Nexstar Media Group, Inc. | 23,035 | 1,615,905 | ||||||
Salem Media Group, Inc. | 5,500 | 40,975 | ||||||
Scholastic Corp. | 7,400 | 315,018 | ||||||
Sinclair Broadcast Group, Inc. Class A | 37,690 | 1,526,445 | ||||||
Tribune Media Co. Class A | 47,260 | 1,761,380 | ||||||
|
| |||||||
6,389,927 | ||||||||
|
| |||||||
Telecommunications — 2.1% | ||||||||
Black Box Corp. | 20,900 | 187,055 | ||||||
Ciena Corp. (a) | 50,835 | 1,200,215 | ||||||
Extreme Networks, Inc. (a) | 119,600 | 898,196 | ||||||
Harmonic, Inc. (a) (b) | 76,700 | 456,365 | ||||||
Ixia (a) | 32,700 | 642,555 | ||||||
NETGEAR, Inc. (a) | 20,200 | 1,000,910 | ||||||
Sonus Networks, Inc. (a) | 17,600 | 115,984 | ||||||
Vonage Holdings Corp. (a) | 198,760 | 1,256,163 | ||||||
|
| |||||||
5,757,443 | ||||||||
|
| |||||||
15,611,347 | ||||||||
|
| |||||||
Consumer, Cyclical — 7.9% | ||||||||
Airlines — 0.2% | ||||||||
Copa Holdings SA Class A | 600 | 67,350 | ||||||
Hawaiian Holdings, Inc. (a) | 9,300 | 431,985 | ||||||
|
| |||||||
499,335 | ||||||||
|
| |||||||
Apparel — 0.5% | ||||||||
Canada Goose Holdings, Inc. (a) | 4,289 | 68,453 | ||||||
Crocs, Inc. (a) | 14,600 | 103,222 | ||||||
Perry Ellis International, Inc. (a) | 8,000 | 171,840 | ||||||
Skechers U.S.A., Inc. Class A (a) | 17,865 | 490,394 | ||||||
Steven Madden Ltd. (a) | 14,200 | 547,410 | ||||||
|
| |||||||
1,381,319 | ||||||||
|
| |||||||
Auto Manufacturers — 0.3% | ||||||||
Blue Bird Corp. (a) (b) | 7,293 | 125,075 | ||||||
Wabash National Corp. (b) | 35,100 | 726,219 | ||||||
|
| |||||||
851,294 | ||||||||
|
| |||||||
Auto Parts & Equipment — 1.3% | ||||||||
Commercial Vehicle Group, Inc. (a) | 37,300 | 252,521 | ||||||
Cooper-Standard Holding, Inc. (a) | 2,400 | 266,232 | ||||||
Dorman Products, Inc. (a) | 10,100 | 829,513 | ||||||
Meritor, Inc. (a) | 37,700 | 645,801 | ||||||
Spartan Motors, Inc. | 42,400 | 339,200 | ||||||
Tenneco, Inc. | 15,540 | 970,007 | ||||||
Tower International, Inc. | 7,200 | 195,120 | ||||||
|
| |||||||
3,498,394 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
96
MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Distribution & Wholesale — 1.3% | ||||||||
Beacon Roofing Supply, Inc. (a) | 13,800 | $ | 678,408 | |||||
Pool Corp. | 7,800 | 930,774 | ||||||
Titan Machinery, Inc. (a) | 25,800 | 395,772 | ||||||
WESCO International, Inc. (a) | 23,855 | 1,659,115 | ||||||
|
| |||||||
3,664,069 | ||||||||
|
| |||||||
Food Services — 0.2% | ||||||||
AdvancePierre Foods Holdings, Inc. | 20,235 | 630,725 | ||||||
|
| |||||||
Home Builders — 0.4% | ||||||||
Cavco Industries, Inc. (a) | 4,900 | 570,360 | ||||||
Taylor Morrison Home Corp. Class A (a) | 27,000 | 575,640 | ||||||
|
| |||||||
1,146,000 | ||||||||
|
| |||||||
Home Furnishing — 0.1% | ||||||||
Ethan Allen Interiors, Inc. | 10,600 | 324,890 | ||||||
|
| |||||||
Leisure Time — 0.3% | ||||||||
LCI Industries | 7,800 | 778,440 | ||||||
|
| |||||||
Lodging — 0.2% | ||||||||
ILG, Inc. | 17,700 | 370,992 | ||||||
|
| |||||||
Retail — 2.5% | ||||||||
Asbury Automotive Group, Inc. (a) | 18,135 | 1,089,913 | ||||||
Big 5 Sporting Goods Corp. (b) | 31,300 | 472,630 | ||||||
Big Lots, Inc. (b) | 5,300 | 258,004 | ||||||
Caleres, Inc. | 26,375 | 696,828 | ||||||
The Children’s Place, Inc. (b) | 6,700 | 804,335 | ||||||
Francesca’s Holdings Corp. (a) | 33,400 | 512,690 | ||||||
Fred’s, Inc. Class A (b) | 16,400 | 214,840 | ||||||
Genesco, Inc. (a) | 4,300 | 238,435 | ||||||
Lumber Liquidators Holdings, Inc. (a) (b) | 16,900 | 354,731 | ||||||
Party City Holdco, Inc. (a) (b) | 13,800 | 193,890 | ||||||
PCM, Inc. (a) | 15,100 | 423,555 | ||||||
PriceSmart, Inc. | 6,300 | 580,860 | ||||||
Red Robin Gourmet Burgers, Inc. (a) (b) | 6,100 | 356,545 | ||||||
Rush Enterprises, Inc. Class A (a) | 15,200 | 502,816 | ||||||
Sportsman’s Warehouse Holdings, Inc. (a) (b) | 26,127 | 124,887 | ||||||
Tailored Brands, Inc. (b) | 2,800 | 41,832 | ||||||
Tilly’s, Inc. Class A | 5,200 | 46,904 | ||||||
|
| |||||||
6,913,695 | ||||||||
|
| |||||||
Textiles — 0.6% | ||||||||
Culp, Inc. | 12,700 | 396,240 | ||||||
UniFirst Corp. | 9,530 | 1,348,018 | ||||||
|
| |||||||
1,744,258 | ||||||||
|
| |||||||
21,803,411 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 13.3% | ||||||||
Agriculture — 0.3% | ||||||||
Alliance One International, Inc. (a) | 11,500 | 147,775 | ||||||
Universal Corp. | 8,600 | 608,450 |
Number of Shares | Value | |||||||
Vector Group Ltd. | 12,746 | $ | 265,117 | |||||
|
| |||||||
1,021,342 | ||||||||
|
| |||||||
Biotechnology — 1.0% | ||||||||
ChemoCentryx, Inc. (a) | 9,200 | 66,976 | ||||||
Emergent BioSolutions, Inc. (a) | 25,995 | 754,895 | ||||||
Exelixis, Inc. (a) | 38,600 | 836,462 | ||||||
The Medicines Co. (a) (b) | 11,815 | 577,753 | ||||||
Momenta Pharmaceuticals, Inc. (a) | 20,000 | 267,000 | ||||||
PDL BioPharma, Inc. | 125,700 | 285,339 | ||||||
REGENXBIO, Inc. (a) | 4,400 | 84,920 | ||||||
|
| |||||||
2,873,345 | ||||||||
|
| |||||||
Commercial Services — 4.6% | ||||||||
Aaron’s, Inc. | 38,175 | 1,135,324 | ||||||
American Public Education, Inc. (a) | 15,900 | 364,110 | ||||||
ARC Document Solutions, Inc. (a) | 54,000 | 186,300 | ||||||
Cambium Learning Group, Inc. (a) | 41,800 | 204,820 | ||||||
Capella Education Co. | 8,300 | 705,708 | ||||||
Care.com, Inc. (a) | 3,500 | 43,785 | ||||||
DeVry Education Group, Inc. | 38,130 | 1,351,708 | ||||||
Ennis, Inc. | 31,400 | 533,800 | ||||||
EVERTEC, Inc. | 68,475 | 1,088,753 | ||||||
FTI Consulting, Inc. (a) | 9,200 | 378,764 | ||||||
Green Dot Corp. Class A (a) | 19,100 | 637,176 | ||||||
The Hackett Group, Inc. | 27,500 | 535,975 | ||||||
HMS Holdings Corp. (a) | 14,000 | 284,620 | ||||||
INC Research Holdings, Inc. Class A (a) | 7,400 | 339,290 | ||||||
Information Services Group, Inc. (a) | 35,600 | 112,140 | ||||||
Insperity, Inc. | 7,800 | 691,470 | ||||||
K12, Inc. (a) | 7,100 | 135,965 | ||||||
LSC Communications, Inc. | 32,963 | 829,349 | ||||||
Matthews International Corp. Class A | 4,800 | 324,720 | ||||||
McGrath RentCorp | 13,076 | 438,961 | ||||||
Navigant Consulting, Inc. (a) | 25,200 | 576,072 | ||||||
Neff Corp. Class A (a) | 12,000 | 233,400 | ||||||
Quad/Graphics, Inc. | 47,700 | 1,203,948 | ||||||
Rent-A-Center, Inc. (b) | 17,400 | 154,338 | ||||||
RPX Corp. (a) | 31,100 | 373,200 | ||||||
|
| |||||||
12,863,696 | ||||||||
|
| |||||||
Foods — 1.7% | ||||||||
Fresh Del Monte Produce, Inc. | 18,800 | 1,113,524 | ||||||
John B Sanfilippo & Son, Inc. (b) | 2,400 | 175,656 | ||||||
Nomad Foods Ltd. (a) (b) | 53,000 | 606,850 | ||||||
Pinnacle Foods, Inc. | 7,400 | 428,238 | ||||||
Post Holdings, Inc. (a) | 5,400 | 472,608 | ||||||
Snyder’s-Lance, Inc. | 32,790 | 1,321,765 | ||||||
SpartanNash Co. | 14,900 | 521,351 | ||||||
|
| |||||||
4,639,992 | ||||||||
|
| |||||||
Health Care – Products — 2.6% | ||||||||
Analogic Corp. | 4,300 | 326,370 | ||||||
Atrion Corp. | 1,730 | 809,986 |
The accompanying notes are an integral part of the financial statements.
97
MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Haemonetics Corp. (a) | 15,100 | $ | 612,607 | |||||
Halyard Health, Inc. (a) | 17,500 | 666,575 | ||||||
Lantheus Holdings, Inc. (a) | 23,500 | 293,750 | ||||||
LeMaitre Vascular, Inc. | 4,200 | 103,446 | ||||||
LivaNova PLC (a) | 19,275 | 944,668 | ||||||
Quidel Corp. (a) | 20,900 | 473,176 | ||||||
Repligen Corp. (a) | 13,300 | 468,160 | ||||||
West Pharmaceutical Services, Inc. | 11,600 | 946,676 | ||||||
Wright Medical Group NV (a) | 47,268 | 1,470,980 | ||||||
|
| |||||||
7,116,394 | ||||||||
|
| |||||||
Health Care – Services — 0.8% | ||||||||
The Ensign Group, Inc. | 6,900 | 129,720 | ||||||
Medpace Holdings, Inc. (a) | 20,120 | 600,582 | ||||||
National HealthCare Corp. | 4,400 | 313,720 | ||||||
Select Medical Holdings Corp. (a) | 26,900 | 359,115 | ||||||
Triple-S Management Corp. Class B (a) | 10,839 | 190,441 | ||||||
WellCare Health Plans, Inc. (a) | 3,950 | 553,830 | ||||||
|
| |||||||
2,147,408 | ||||||||
|
| |||||||
Household Products & Wares — 0.3% | ||||||||
Central Garden & Pet Co. Class A (a) | 12,900 | 447,888 | ||||||
CSS Industries, Inc. | 11,600 | 300,672 | ||||||
|
| |||||||
748,560 | ||||||||
|
| |||||||
Pharmaceuticals — 2.0% | ||||||||
Akorn, Inc. (a) | 30,525 | 735,042 | ||||||
BioSpecifics Technologies Corp. (a) | 7,800 | 427,440 | ||||||
Corcept Therapeutics, Inc. (a) | 75,800 | 830,768 | ||||||
Cumberland Pharmaceuticals, Inc. (a) | 21,700 | 150,598 | ||||||
Enanta Pharmaceuticals, Inc. (a) | 4,200 | 129,360 | ||||||
Heska Corp. (a) | 1,100 | 115,478 | ||||||
Omega Protein Corp. | 26,600 | 533,330 | ||||||
Owens & Minor, Inc. | 27,290 | 944,234 | ||||||
Progenics Pharmaceuticals, Inc. (a) | 56,500 | 533,360 | ||||||
Supernus Pharmaceuticals, Inc. (a) | 15,900 | 497,670 | ||||||
Xencor, Inc. (a) | 23,800 | 569,296 | ||||||
|
| |||||||
5,466,576 | ||||||||
|
| |||||||
36,877,313 | ||||||||
|
| |||||||
Diversified — 0.1% | ||||||||
Holding Company – Diversified — 0.1% | ||||||||
Conyers Park Acquisition Corp. (a) | 15,200 | 168,416 | ||||||
|
| |||||||
Energy — 6.0% | ||||||||
Coal — 0.4% | ||||||||
Cloud Peak Energy, Inc. (a) | 75,700 | 346,706 | ||||||
Hallador Energy Co. | 37,800 | 302,778 | ||||||
SunCoke Energy, Inc. (a) | 3,900 | 34,944 | ||||||
Westmoreland Coal Co. (a) | 25,200 | 365,904 | ||||||
|
| |||||||
1,050,332 | ||||||||
|
| |||||||
Energy – Alternate Sources — 0.2% | ||||||||
REX American Resources Corp. (a) | 5,100 | 461,499 | ||||||
|
|
Number of Shares | Value | |||||||
Oil & Gas — 3.2% | ||||||||
Adams Resources & Energy, Inc. | 1,500 | $ | 56,025 | |||||
Atwood Oceanics, Inc. (a) (b) | 51,100 | 486,983 | ||||||
Bill Barrett Corp. (a) | 98,800 | 449,540 | ||||||
California Resources Corp. (a) (b) | 53,400 | 803,136 | ||||||
Centennial Resource Development, Inc. Class A (a) (b) | 20,800 | 379,184 | ||||||
Contango Oil & Gas Co. (a) | 19,800 | 144,936 | ||||||
Evolution Petroleum Corp. | 43,800 | 350,400 | ||||||
Matador Resources Co. (a) (b) | 28,600 | 680,394 | ||||||
Panhandle Oil & Gas, Inc. Class A | 3,300 | 63,360 | ||||||
Parsley Energy, Inc. Class A (a) | 14,500 | 471,395 | ||||||
PBF Energy, Inc. Class A (b) | 39,935 | 885,359 | ||||||
Resolute Energy Corp. (a) (b) | 11,900 | 480,760 | ||||||
Ring Energy, Inc. (a) | 52,610 | 569,240 | ||||||
Rowan Cos. PLC Class A (a) | 5,900 | 91,922 | ||||||
Sanchez Energy Corp. (a) (b) | 10,300 | 98,262 | ||||||
SandRidge Energy, Inc. (a) | 56,590 | 1,046,349 | ||||||
SM Energy Co. | 31,255 | 750,745 | ||||||
Western Refining, Inc. | 13,100 | 459,417 | ||||||
Whiting Petroleum Corp. (a) | 10,900 | 103,114 | ||||||
WPX Energy, Inc. (a) | 47,100 | 630,669 | ||||||
|
| |||||||
9,001,190 | ||||||||
|
| |||||||
Oil & Gas Services — 1.9% | ||||||||
Archrock, Inc. | 6,800 | 84,320 | ||||||
Frank’s International NV | 28,200 | 298,074 | ||||||
Gulf Island Fabrication, Inc. | 11,300 | 130,515 | ||||||
Keane Group, Inc. (a) (b) | 10,000 | 143,000 | ||||||
MRC Global, Inc. (a) | 107,905 | 1,977,899 | ||||||
NOW, Inc. (a) | 42,475 | 720,376 | ||||||
Oceaneering International, Inc. | 14,500 | 392,660 | ||||||
Tesco Corp. (a) | 42,300 | 340,515 | ||||||
TETRA Technologies, Inc. (a) | 239,845 | 976,169 | ||||||
Thermon Group Holdings, Inc. (a) | 9,300 | 193,812 | ||||||
|
| |||||||
5,257,340 | ||||||||
|
| |||||||
Pipelines — 0.3% | ||||||||
SemGroup Corp. Class A | 25,660 | 923,760 | ||||||
|
| |||||||
16,694,121 | ||||||||
|
| |||||||
Financial — 38.6% | ||||||||
Banks — 15.9% | ||||||||
1st Source Corp. | 2,900 | 136,155 | ||||||
BancFirst Corp. | 400 | 35,960 | ||||||
Bank of Hawaii Corp. | 7,200 | 592,992 | ||||||
Bank of Marin Bancorp | 1,900 | 122,265 | ||||||
BankUnited, Inc. | 28,200 | 1,052,142 | ||||||
Bankwell Financial Group, Inc. | 2,400 | 82,536 | ||||||
Boston Private Financial Holdings, Inc. | 28,100 | 460,840 | ||||||
C&F Financial Corp. | 3,300 | 152,790 | ||||||
Central Pacific Financial Corp. | 17,200 | 525,288 | ||||||
Central Valley Community Bancorp | 16,100 | 330,050 |
The accompanying notes are an integral part of the financial statements.
98
MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Century Bancorp, Inc. Class A | 3,700 | $ | 225,052 | |||||
Chemical Financial Corp. | 36,951 | 1,890,044 | ||||||
Citizens & Northern Corp. | 4,100 | 95,448 | ||||||
CoBiz Financial, Inc. | 31,400 | 527,520 | ||||||
Columbia Banking System, Inc. | 24,200 | 943,558 | ||||||
CVB Financial Corp. (b) | 8,400 | 185,556 | ||||||
East West Bancorp, Inc. | 27,310 | 1,409,469 | ||||||
F.N.B. Corp. | 182,345 | 2,711,470 | ||||||
Financial Institutions, Inc. | 3,700 | 121,915 | ||||||
First BanCorp (a) | 9,900 | 55,935 | ||||||
First Busey Corp. | 11,100 | 326,340 | ||||||
First Business Financial Services, Inc. | 2,200 | 57,112 | ||||||
First Hawaiian, Inc. | 10,772 | 322,298 | ||||||
First Interstate BancSystem, Inc. Class A | 23,400 | 927,810 | ||||||
First Merchants Corp. | 15,400 | 605,528 | ||||||
The First of Long Island Corp. | 9,500 | 256,975 | ||||||
Franklin Financial Network, Inc. (a) | 12,700 | 492,125 | ||||||
Glacier Bancorp, Inc. | 22,400 | 760,032 | ||||||
Great Western Bancorp, Inc. | 15,770 | 668,806 | ||||||
Hilltop Holdings, Inc. | 53,820 | 1,478,435 | ||||||
Home BancShares, Inc. | 67,600 | 1,829,932 | ||||||
Hope Bancorp, Inc. | 30,500 | 584,685 | ||||||
Horizon Bancorp | 8,100 | 212,382 | ||||||
Howard Bancorp, Inc. (a) | 9,741 | 182,157 | ||||||
IBERIABANK Corp. | 31,550 | 2,495,605 | ||||||
Lakeland Financial Corp. | 20,500 | 883,960 | ||||||
MainSource Financial Group, Inc. | 7,400 | 243,682 | ||||||
MB Financial, Inc. | 40,715 | 1,743,416 | ||||||
National Bank Holdings Corp. Class A | 22,800 | 741,000 | ||||||
Northrim BanCorp, Inc. | 5,400 | 162,270 | ||||||
OFG Bancorp | 16,800 | 198,240 | ||||||
Park Sterling Corp. | 20,900 | 257,279 | ||||||
Pinnacle Financial Partners, Inc. | 6,200 | 411,990 | ||||||
Popular, Inc. | 74,645 | 3,040,291 | ||||||
Preferred Bank | 1,700 | 91,222 | ||||||
Prosperity Bancshares, Inc. | 19,000 | 1,324,490 | ||||||
Republic Bancorp, Inc. Class A | 3,700 | 127,243 | ||||||
S&T Bancorp, Inc. | 2,100 | 72,660 | ||||||
Stock Yards Bancorp, Inc. | 2,700 | 109,755 | ||||||
SVB Financial Group (a) | 6,550 | 1,218,889 | ||||||
Synovus Financial Corp. | 8,300 | 340,466 | ||||||
Texas Capital Bancshares, Inc. (a) | 8,900 | 742,705 | ||||||
Towne Bank | 29,000 | 939,600 | ||||||
Two River Bancorp (b) | 5,400 | 95,418 | ||||||
UMB Financial Corp. | 3,800 | 286,178 | ||||||
Umpqua Holdings Corp. | 4,600 | 81,604 | ||||||
United Community Banks, Inc. | 14,600 | 404,274 | ||||||
Valley National Bancorp | 4,700 | 55,460 | ||||||
Veritex Holdings, Inc. (a) | 5,000 | 140,600 | ||||||
Walker & Dunlop, Inc. (a) | 35,100 | 1,463,319 | ||||||
Washington Trust Bancorp, Inc. | 3,800 | 187,340 | ||||||
Webster Financial Corp. | 28,465 | 1,424,389 |
Number of Shares | Value | |||||||
West Bancorporation, Inc. | 17,300 | $ | 397,035 | |||||
Western Alliance Bancorp (a) | 28,365 | 1,392,438 | ||||||
Wintrust Financial Corp. (b) | 35,690 | 2,466,893 | ||||||
|
| |||||||
43,901,313 | ||||||||
|
| |||||||
Diversified Financial Services — 3.2% | ||||||||
Altisource Portfolio Solutions SA (a) (b) | 13,900 | 511,520 | ||||||
BGC Partners, Inc. Class A | 129,500 | 1,471,120 | ||||||
CBOE Holdings, Inc. | 7,333 | 594,487 | ||||||
Houlihan Lokey, Inc. | 8,724 | 300,542 | ||||||
Impac Mortgage Holdings, Inc. (a) (b) | 22,300 | 277,858 | ||||||
INTL. FCStone, Inc. (a) | 9,000 | 341,640 | ||||||
Janus Capital Group, Inc. | 25,700 | 339,240 | ||||||
LendingClub Corp. (a) | 14,200 | 77,958 | ||||||
Navient Corp. | 37,500 | 553,500 | ||||||
Nelnet, Inc. Class A | 2,200 | 96,492 | ||||||
Ocwen Financial Corp. (a) (b) | 8,900 | 48,683 | ||||||
OM Asset Management PLC | 154,850 | 2,341,332 | ||||||
OneMain Holdings, Inc. (a) (b) | 33,445 | 831,108 | ||||||
PennyMac Financial Services, Inc. Class A (a) | 30,100 | 513,205 | ||||||
Regional Management Corp. (a) | 10,100 | 196,243 | ||||||
Stifel Financial Corp. (a) | 6,200 | 311,178 | ||||||
|
| |||||||
8,806,106 | ||||||||
|
| |||||||
Insurance — 5.1% | ||||||||
Ambac Financial Group, Inc. (a) | 55,100 | 1,039,186 | ||||||
Argo Group International Holdings Ltd. | 29,827 | 2,022,271 | ||||||
Assured Guaranty Ltd. | 19,800 | 734,778 | ||||||
CNO Financial Group, Inc. | 99,350 | 2,036,675 | ||||||
Employers Holdings, Inc. | 12,430 | 471,718 | ||||||
Essent Group Ltd. (a) | 11,800 | 426,806 | ||||||
Kinsale Capital Group, Inc. | 8,735 | 279,869 | ||||||
Maiden Holdings Ltd. | 27,995 | 391,930 | ||||||
MGIC Investment Corp. (a) | 57,300 | 580,449 | ||||||
ProAssurance Corp. | 16,600 | 1,000,150 | ||||||
Radian Group, Inc. | 188,960 | 3,393,722 | ||||||
Safety Insurance Group, Inc. | 4,500 | 315,450 | ||||||
State Auto Financial Corp. | 14,100 | 387,045 | ||||||
Validus Holdings Ltd. | 20,270 | 1,143,025 | ||||||
|
| |||||||
14,223,074 | ||||||||
|
| |||||||
Investment Companies — 0.1% | ||||||||
Acacia Research Corp. (a) | 64,400 | 370,300 | ||||||
|
| |||||||
Private Equity — 0.1% | ||||||||
Safeguard Scientifics, Inc. (a) | 14,200 | 180,340 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 11.4% | ||||||||
Acadia Realty Trust | 19,000 | 571,140 | ||||||
AG Mortgage Investment Trust, Inc. | 18,800 | 339,340 | ||||||
American Assets Trust, Inc. | 13,500 | 564,840 | ||||||
American Campus Communities, Inc. | 8,000 | 380,720 |
The accompanying notes are an integral part of the financial statements.
99
MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Anworth Mortgage Asset Corp. | 132,000 | $ | 732,600 | |||||
Ares Commercial Real Estate Corp. | 9,700 | 129,786 | ||||||
ARMOUR Residential REIT, Inc. (b) | 49,800 | 1,130,958 | ||||||
Cedar Realty Trust, Inc. | 131,300 | 659,126 | ||||||
Chimera Investment Corp. | 24,700 | 498,446 | ||||||
Colony Starwood Homes | 71,142 | 2,415,271 | ||||||
CoreCivic, Inc. | 18,300 | 574,986 | ||||||
CYS Investments, Inc. | 18,300 | 145,485 | ||||||
Douglas Emmett, Inc. | 12,000 | 460,800 | ||||||
EastGroup Properties, Inc. | 18,200 | 1,338,246 | ||||||
Equity LifeStyle Properties, Inc. | 10,800 | 832,248 | ||||||
First Potomac Realty Trust | 51,210 | 526,439 | ||||||
Getty Realty Corp. | 9,700 | 245,119 | ||||||
Healthcare Realty Trust, Inc. | 81,560 | 2,650,700 | ||||||
Invesco Mortgage Capital, Inc. | 154,095 | 2,376,145 | ||||||
Kilroy Realty Corp. | 7,300 | 526,184 | ||||||
Kite Realty Group Trust | 85,345 | 1,834,918 | ||||||
Lexington Realty Trust | 80,860 | 806,983 | ||||||
Mack-Cali Realty Corp. | 35,300 | 950,982 | ||||||
MFA Financial, Inc. | 32,200 | 260,176 | ||||||
MTGE Investment Corp. | 18,100 | 303,175 | ||||||
New Residential Investment Corp. | 123,375 | 2,094,907 | ||||||
Piedmont Office Realty Trust, Inc. Class A | 27,500 | 587,950 | ||||||
Potlatch Corp. | 13,100 | 598,670 | ||||||
PS Business Parks, Inc. | 15,400 | 1,767,304 | ||||||
Retail Opportunity Investments Corp. | 16,000 | 336,480 | ||||||
RLJ Lodging Trust | 36,000 | 846,360 | ||||||
Saul Centers, Inc. | 9,300 | 573,066 | ||||||
Summit Hotel Properties, Inc. | 85,700 | 1,369,486 | ||||||
Sunstone Hotel Investors, Inc. | 17,100 | 262,143 | ||||||
Washington Real Estate Investment Trust | 47,475 | 1,485,018 | ||||||
Weingarten Realty Investors | 12,500 | 417,375 | ||||||
|
| |||||||
31,593,572 | ||||||||
|
| |||||||
Savings & Loans — 2.8% | ||||||||
Beneficial Bancorp, Inc. | 35,372 | 565,952 | ||||||
Charter Financial Corp. | 23,900 | 470,113 | ||||||
Dime Community Bancshares, Inc. | 35,000 | 710,500 | ||||||
First Defiance Financial Corp. | 7,800 | 386,178 | ||||||
Flagstar Bancorp, Inc. (a) | 53,755 | 1,515,353 | ||||||
Hingham Institution for Savings | 1,350 | 238,748 | ||||||
Meridian Bancorp, Inc. | 15,700 | 287,310 | ||||||
Meta Financial Group, Inc. | 2,400 | 212,400 | ||||||
Oritani Financial Corp. | 3,300 | 56,100 | ||||||
United Financial Bancorp, Inc. | 35,600 | 605,556 | ||||||
Washington Federal, Inc. | 5,000 | 165,500 | ||||||
WSFS Financial Corp. | 56,040 | 2,575,038 | ||||||
|
| |||||||
7,788,748 | ||||||||
|
| |||||||
106,863,453 | ||||||||
|
|
Number of Shares | Value | |||||||
Government — 0.2% | ||||||||
Multi-National — 0.2% | ||||||||
Banco Latinoamericano de Comercio Exterior SA | 25,200 | $ | 699,048 | |||||
|
| |||||||
Industrial — 15.6% | ||||||||
Aerospace & Defense — 1.2% | ||||||||
Curtiss-Wright Corp. | 10,615 | 968,725 | ||||||
Ducommun, Inc. (a) | 12,300 | 354,117 | ||||||
Kaman Corp. (b) | 7,200 | 346,536 | ||||||
KLX, Inc. (a) | 29,255 | 1,307,698 | ||||||
Triumph Group, Inc. | 14,000 | 360,500 | ||||||
|
| |||||||
3,337,576 | ||||||||
|
| |||||||
Building Materials — 0.5% | ||||||||
Gibraltar Industries, Inc. (a) | 1,100 | 45,320 | ||||||
Summit Materials, Inc. Class A (a) | 31,783 | 785,358 | ||||||
Universal Forest Products, Inc. | 5,400 | 532,116 | ||||||
|
| |||||||
1,362,794 | ||||||||
|
| |||||||
Electrical Components & Equipment — 2.4% | ||||||||
Advanced Energy Industries, Inc. (a) | 9,400 | 644,464 | ||||||
Belden, Inc. | 16,000 | 1,107,040 | ||||||
Energizer Holdings, Inc. | 24,390 | 1,359,742 | ||||||
General Cable Corp. | 54,800 | 983,660 | ||||||
Littelfuse, Inc. | 7,750 | 1,239,303 | ||||||
SPX Corp. (a) | 49,900 | 1,210,075 | ||||||
|
| |||||||
6,544,284 | ||||||||
|
| |||||||
Electronics — 4.0% | ||||||||
Badger Meter, Inc. | 11,000 | 404,250 | ||||||
Bel Fuse, Inc. Class B | 6,900 | 176,295 | ||||||
Benchmark Electronics, Inc. (a) | 60,215 | 1,914,837 | ||||||
Brady Corp. Class A | 11,600 | 448,340 | ||||||
Control4 Corp. (a) | 16,800 | 265,272 | ||||||
CyberOptics Corp. (a) | 5,600 | 145,320 | ||||||
ESCO Technologies, Inc. | 14,600 | 848,260 | ||||||
II-VI, Inc. (a) | 17,630 | 635,561 | ||||||
Itron, Inc. (a) | 1,700 | 103,190 | ||||||
Kemet Corp. (a) | 59,300 | 711,600 | ||||||
Knowles Corp. (a) (b) | 37,800 | 716,310 | ||||||
Methode Electronics, Inc. | 11,300 | 515,280 | ||||||
Rogers Corp. (a) | 14,570 | 1,251,126 | ||||||
Sanmina Corp. (a) | 9,000 | 365,400 | ||||||
Stoneridge, Inc. (a) | 29,100 | 527,874 | ||||||
SYNNEX Corp. | 6,000 | 671,640 | ||||||
TTM Technologies, Inc. (a) | 95,800 | 1,545,254 | ||||||
|
| |||||||
11,245,809 | ||||||||
|
| |||||||
Engineering & Construction — 0.3% | ||||||||
Aegion Corp. (a) | 26,100 | 597,951 | ||||||
The Goldfield Corp. (a) | 35,900 | 206,425 | ||||||
Sterling Construction Co., Inc. (a) | 6,200 | 57,350 | ||||||
|
| |||||||
861,726 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
100
MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Environmental Controls — 0.2% | ||||||||
CECO Environmental Corp. | 16,800 | $ | 176,568 | |||||
MSA Safety, Inc. | 4,800 | 339,312 | ||||||
|
| |||||||
515,880 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.4% | ||||||||
Hardinge, Inc. | 3,100 | 34,844 | ||||||
Kennametal, Inc. | 25,885 | 1,015,469 | ||||||
|
| |||||||
1,050,313 | ||||||||
|
| |||||||
Machinery – Diversified — 0.9% | ||||||||
Applied Industrial Technologies, Inc. | 8,600 | 531,910 | ||||||
Kadant, Inc. | 1,200 | 71,220 | ||||||
SPX FLOW, Inc. (a) | 19,330 | 670,944 | ||||||
Welbilt, Inc. (a) | 62,625 | 1,229,329 | ||||||
|
| |||||||
2,503,403 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 0.6% | ||||||||
CIRCOR International, Inc. | 8,800 | 523,072 | ||||||
Global Brass & Copper Holdings, Inc. | 800 | 27,520 | ||||||
Olympic Steel, Inc. | 12,800 | 237,568 | ||||||
RBC Bearings, Inc. (a) | 4,900 | 475,741 | ||||||
Sun Hydraulics Corp. | 9,700 | 350,267 | ||||||
|
| |||||||
1,614,168 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.7% | ||||||||
Actuant Corp. Class A | 29,330 | 772,845 | ||||||
Barnes Group, Inc. | 27,835 | 1,429,049 | ||||||
Colfax Corp. (a) | 9,900 | 388,674 | ||||||
Harsco Corp. (a) | 42,700 | 544,425 | ||||||
Hillenbrand, Inc. | 8,350 | 299,348 | ||||||
Myers Industries, Inc. | 39,300 | 622,905 | ||||||
Trinseo SA | 10,100 | 677,710 | ||||||
|
| |||||||
4,734,956 | ||||||||
|
| |||||||
Packaging & Containers — 0.7% | ||||||||
Graphic Packaging Holding Co. | 53,150 | 684,041 | ||||||
Owens-Illinois, Inc. (a) | 63,135 | 1,286,691 | ||||||
|
| |||||||
1,970,732 | ||||||||
|
| |||||||
Transportation — 2.3% | ||||||||
Genesee & Wyoming, Inc. Class A (a) | 8,400 | 570,024 | ||||||
Golar LNG Ltd. | 43,875 | 1,225,429 | ||||||
Kirby Corp. (a) | 5,700 | 402,135 | ||||||
Landstar System, Inc. | 15,700 | 1,344,705 | ||||||
Navios Maritime Acquisition Corp. | 127,900 | 219,988 | ||||||
Overseas Shipholding Group, Inc. Class A | 87,900 | 339,294 | ||||||
Universal Logistics Holdings, Inc. | 17,300 | 248,255 | ||||||
Werner Enterprises, Inc. | 58,350 | 1,528,770 | ||||||
XPO Logistics, Inc. (a) | 9,700 | 464,533 | ||||||
|
| |||||||
6,343,133 | ||||||||
|
|
Number of Shares | Value | |||||||
Trucking & Leasing — 0.4% | ||||||||
The Greenbrier Cos., Inc. (b) | 21,695 | $ | 935,054 | |||||
Willis Lease Finance Corp. (a) | 4,900 | 109,515 | ||||||
|
| |||||||
1,044,569 | ||||||||
|
| |||||||
43,129,343 | ||||||||
|
| |||||||
Technology — 3.0% | ||||||||
Computers — 0.9% | ||||||||
CSRA, Inc. | 16,100 | 471,569 | ||||||
DMC Global, Inc. | 4,800 | 59,520 | ||||||
Insight Enterprises, Inc. (a) | 30,865 | 1,268,243 | ||||||
NCI, Inc. Class A (a) | 5,500 | 82,775 | ||||||
NCR Corp. (a) | 13,800 | 630,384 | ||||||
|
| |||||||
2,512,491 | ||||||||
|
| |||||||
Semiconductors — 1.4% | ||||||||
Alpha & Omega Semiconductor Ltd. (a) | 29,300 | 503,667 | ||||||
Brooks Automation, Inc. | 20,700 | 463,680 | ||||||
Cabot Microelectronics Corp. | 7,300 | 559,253 | ||||||
MaxLinear, Inc. Class A (a) | 29,515 | 827,896 | ||||||
MKS Instruments, Inc. | 15,255 | 1,048,781 | ||||||
Rudolph Technologies, Inc. (a) | 21,500 | 481,600 | ||||||
|
| |||||||
3,884,877 | ||||||||
|
| |||||||
Software — 0.7% | ||||||||
BroadSoft, Inc. (a) | 19,485 | 783,297 | ||||||
Callidus Software, Inc. (a) | 20,000 | 427,000 | ||||||
Digi International, Inc. (a) | 11,300 | 134,470 | ||||||
Progress Software Corp. | 16,250 | 472,062 | ||||||
|
| |||||||
1,816,829 | ||||||||
|
| |||||||
8,214,197 | ||||||||
|
| |||||||
Utilities — 4.8% | ||||||||
Electric — 2.8% | ||||||||
Atlantica Yield PLC | 8,400 | 176,064 | ||||||
El Paso Electric Co. | 15,200 | 767,600 | ||||||
NorthWestern Corp. | 12,200 | 716,140 | ||||||
NRG Energy, Inc. | 26,100 | 488,070 | ||||||
Ormat Technologies, Inc. | 25,500 | 1,455,540 | ||||||
PNM Resources, Inc. | 27,600 | 1,021,200 | ||||||
Portland General Electric Co. | 68,855 | 3,058,539 | ||||||
|
| |||||||
7,683,153 | ||||||||
|
| |||||||
Gas — 1.7% | ||||||||
Atmos Energy Corp. | 5,900 | 466,041 | ||||||
Chesapeake Utilities Corp. | 11,000 | 761,200 | ||||||
ONE Gas, Inc. | 14,300 | 966,680 | ||||||
Spire, Inc. | 37,745 | 2,547,788 | ||||||
|
| |||||||
4,741,709 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
101
MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Water — 0.3% | ||||||||
California Water Service Group | 6,400 | $ | 229,440 | |||||
SJW Group | 12,300 | 593,106 | ||||||
|
| |||||||
822,546 | ||||||||
|
| |||||||
13,247,408 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $228,023,495) | 276,839,361 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $228,023,495) | 276,839,361 | |||||||
|
| |||||||
MUTUAL FUNDS — 6.1% | ||||||||
Diversified Financial Services — 6.1% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 16,815,955 | 16,815,955 | ||||||
T. Rowe Price Reserve Investment Fund | 1,008 | 1,008 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $16,816,963) | 16,816,963 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $244,840,458) | 293,656,324 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.6% | ||||||||
Repurchase Agreement — 1.5% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (e) | $ | 4,241,598 | 4,241,598 | |||||
|
| |||||||
U.S. Treasury Bill — 0.1% | ||||||||
U.S. Treasury Bill (f) | 215,000 | 214,161 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,455,710) | 4,455,759 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 107.7% (Cost $249,296,168) (g) | 298,112,083 | |||||||
Other Assets/(Liabilities) — (7.7)% | (21,255,897 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 276,856,186 | ||||||
|
|
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 March 31, 2017, was $16,387,103 or 5.92% 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 March 31, 2017, these securities amounted to a value of $0 or 0.00% of net assets. |
(d) | Represents investment of security lending collateral. (Note 2). |
(e) | Maturity value of $4,241,616. Collateralized by U.S. Government Agency obligations with rates ranging from 2.000% – 2.125%, maturity dates ranging from 8/31/21 – 9/30/21, and an aggregate market value, including accrued interest, of $4,335,444. |
(f) | A portion of this security is pledged/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.
102
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 96.6% | ||||||||
COMMON STOCK — 96.6% | ||||||||
Basic Materials — 5.3% | ||||||||
Chemicals — 3.3% | ||||||||
Ashland Global Holdings, Inc. | 13,851 | $ | 1,714,892 | |||||
Cabot Corp. | 13,845 | 829,454 | ||||||
The Chemours Co. | 40,774 | 1,569,799 | ||||||
Minerals Technologies, Inc. | 7,800 | 597,480 | ||||||
NewMarket Corp. | 2,058 | 932,747 | ||||||
Olin Corp. | 36,822 | 1,210,339 | ||||||
PolyOne Corp. | 18,292 | 623,574 | ||||||
RPM International, Inc. | 29,737 | 1,636,427 | ||||||
Sensient Technologies Corp. | 9,876 | 782,772 | ||||||
The Valspar Corp. | 16,273 | 1,805,327 | ||||||
Versum Materials, Inc. (a) | 24,193 | 740,306 | ||||||
|
| |||||||
12,443,117 | ||||||||
|
| |||||||
Forest Products & Paper — 0.1% | ||||||||
Domtar Corp. | 13,934 | 508,870 | ||||||
|
| |||||||
Iron & Steel — 1.5% | ||||||||
Allegheny Technologies, Inc. (b) | 24,214 | 434,883 | ||||||
Carpenter Technology Corp. | 10,401 | 387,957 | ||||||
Commercial Metals Co. | 25,728 | 492,177 | ||||||
Reliance Steel & Aluminum Co. | 16,220 | 1,297,924 | ||||||
Steel Dynamics, Inc. | 53,952 | 1,875,372 | ||||||
United States Steel Corp. | 38,801 | 1,311,862 | ||||||
|
| |||||||
5,800,175 | ||||||||
|
| |||||||
Mining — 0.4% | ||||||||
Compass Minerals International, Inc. (b) | 7,524 | 510,504 | ||||||
Royal Gold, Inc. | 14,545 | 1,018,877 | ||||||
|
| |||||||
1,529,381 | ||||||||
|
| |||||||
20,281,543 | ||||||||
|
| |||||||
Communications — 2.9% | ||||||||
Internet — 0.1% | ||||||||
WebMD Health Corp. (a) | 8,400 | 442,512 | ||||||
|
| |||||||
Media — 1.2% | ||||||||
AMC Networks, Inc. Class A (a) | 12,524 | 734,908 | ||||||
Cable One, Inc. | 1,044 | 651,947 | ||||||
FactSet Research Systems, Inc. | 8,808 | 1,452,527 | ||||||
John Wiley & Sons, Inc. Class A | 10,006 | 538,323 | ||||||
Meredith Corp. | 8,144 | 526,103 | ||||||
The New York Times Co. Class A | 27,136 | 390,758 | ||||||
Time, Inc. | 22,083 | 427,306 | ||||||
|
| |||||||
4,721,872 | ||||||||
|
| |||||||
Telecommunications — 1.6% | ||||||||
ARRIS International PLC (a) | 42,349 | 1,120,131 | ||||||
Ciena Corp. (a) | 31,444 | 742,393 | ||||||
Frontier Communications Corp. (b) | 261,152 | 558,865 |
Number of Shares | Value | |||||||
InterDigital, Inc. | 7,637 | $ | 659,073 | |||||
LogMeIn, Inc. | 11,704 | 1,141,140 | ||||||
Plantronics, Inc. | 7,387 | 399,711 | ||||||
Telephone & Data Systems, Inc. | 20,853 | 552,813 | ||||||
ViaSat, Inc. (a) | 11,795 | 752,757 | ||||||
|
| |||||||
5,926,883 | ||||||||
|
| |||||||
11,091,267 | ||||||||
|
| |||||||
Consumer, Cyclical — 11.4% | ||||||||
Airlines — 0.4% | ||||||||
JetBlue Airways Corp. (a) | 75,032 | 1,546,409 | ||||||
|
| |||||||
Apparel — 0.6% | ||||||||
Carter’s, Inc. | 10,820 | 971,636 | ||||||
Deckers Outdoor Corp. (a) | 7,110 | 424,680 | ||||||
Skechers U.S.A., Inc. Class A (a) | 29,780 | 817,461 | ||||||
|
| |||||||
2,213,777 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.3% | ||||||||
Cooper Tire & Rubber Co. | 11,725 | 520,004 | ||||||
Dana, Inc. | 32,061 | 619,098 | ||||||
|
| |||||||
1,139,102 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.5% | ||||||||
Pool Corp. | 9,162 | 1,093,301 | ||||||
Watsco, Inc. | 6,759 | 967,754 | ||||||
|
| |||||||
2,061,055 | ||||||||
|
| |||||||
Entertainment — 0.5% | ||||||||
Churchill Downs, Inc. | 2,743 | 435,726 | ||||||
Cinemark Holdings, Inc. | 23,542 | 1,043,852 | ||||||
International Speedway Corp. Class A | 5,637 | 208,287 | ||||||
|
| |||||||
1,687,865 | ||||||||
|
| |||||||
Home Builders — 1.4% | ||||||||
CalAtlantic Group, Inc. (b) | 16,055 | 601,260 | ||||||
KB Home | 18,514 | 368,058 | ||||||
NVR, Inc. (a) | 767 | 1,615,977 | ||||||
Thor Industries, Inc. | 10,653 | 1,024,073 | ||||||
Toll Brothers, Inc. (a) | 32,913 | 1,188,488 | ||||||
TRI Pointe Group, Inc. (a) | 35,316 | 442,863 | ||||||
|
| |||||||
5,240,719 | ||||||||
|
| |||||||
Home Furnishing — 0.1% | ||||||||
Tempur Sealy International, | 10,420 | 484,113 | ||||||
|
| |||||||
Housewares — 0.8% | ||||||||
The Scotts Miracle-Gro Co. | 9,858 | 920,639 | ||||||
The Toro Co. | 24,089 | 1,504,599 | ||||||
Tupperware Brands Corp. | 11,280 | 707,481 | ||||||
|
| |||||||
3,132,719 | ||||||||
|
| |||||||
Leisure Time — 0.6% | ||||||||
Brunswick Corp. | 19,930 | 1,219,716 |
The accompanying notes are an integral part of the financial statements.
103
MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Polaris Industries, Inc. (b) | 13,031 | $ | 1,091,998 | |||||
|
| |||||||
2,311,714 | ||||||||
|
| |||||||
Office Furnishings — 0.2% | ||||||||
Herman Miller, Inc. | 13,337 | 420,783 | ||||||
HNI Corp. | 9,792 | 451,313 | ||||||
|
| |||||||
872,096 | ||||||||
|
| |||||||
Retail — 6.0% | ||||||||
American Eagle Outfitters, Inc. (b) | 38,061 | 533,996 | ||||||
Big Lots, Inc. (b) | 9,920 | 482,906 | ||||||
Brinker International, Inc. (b) | 10,881 | 478,329 | ||||||
Buffalo Wild Wings, Inc. (a) | 3,871 | 591,295 | ||||||
Cabela’s, Inc. (a) | 11,440 | 607,578 | ||||||
Casey’s General Stores, Inc. | 8,722 | 979,044 | ||||||
The Cheesecake Factory, Inc. | 9,881 | 626,060 | ||||||
Chico’s FAS, Inc. | 28,764 | 408,449 | ||||||
Copart, Inc. (a) | 22,755 | 1,409,217 | ||||||
Cracker Barrel Old Country Store, Inc. (b) | 5,352 | 852,306 | ||||||
CST Brands, Inc. | 16,850 | 810,317 | ||||||
Dick’s Sporting Goods, Inc. | 19,576 | 952,568 | ||||||
Dillard’s, Inc. Class A (b) | 5,626 | 293,902 | ||||||
Domino’s Pizza, Inc. | 10,697 | 1,971,457 | ||||||
Dunkin’ Brands Group, Inc. | 20,467 | 1,119,136 | ||||||
GameStop Corp. Class A (b) | 22,680 | 511,434 | ||||||
HSN, Inc. | 7,112 | 263,855 | ||||||
Jack in the Box, Inc. | 7,044 | 716,516 | ||||||
JC Penney Co., Inc. (a) (b) | 68,634 | 422,785 | ||||||
Kate Spade & Co. (a) | 28,560 | 663,449 | ||||||
The Michaels Cos., Inc. (a) | 23,549 | 527,262 | ||||||
MSC Industrial Direct Co., Inc. Class A | 9,984 | 1,025,956 | ||||||
Nu Skin Enterprises, Inc. Class A | 11,001 | 610,996 | ||||||
Office Depot, Inc. | 114,610 | 534,656 | ||||||
Panera Bread Co. Class A (a) (b) | 4,751 | 1,244,144 | ||||||
Papa John’s International, Inc. | 5,892 | 471,596 | ||||||
Sally Beauty Holdings, Inc. (a) | 31,960 | 653,262 | ||||||
Texas Roadhouse, Inc. | 14,329 | 638,070 | ||||||
Urban Outfitters, Inc. (a) | 19,666 | 467,264 | ||||||
The Wendy’s Co. | 42,878 | 583,570 | ||||||
Williams-Sonoma, Inc. (b) | 17,992 | 964,731 | ||||||
World Fuel Services Corp. | 15,569 | 564,376 | ||||||
|
| |||||||
22,980,482 | ||||||||
|
| |||||||
43,670,051 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 15.2% | ||||||||
Beverages — 0.1% | ||||||||
The Boston Beer Co., Inc. Class A (a) | 2,072 | 299,715 | ||||||
|
| |||||||
Biotechnology — 1.2% | ||||||||
Bio-Rad Laboratories, Inc. Class A (a) | 4,629 | 922,745 | ||||||
Bioverativ, Inc. (a) | 24,032 | 1,308,783 |
Number of Shares | Value | |||||||
Charles River Laboratories International, Inc. (a) | 10,546 | $ | 948,612 | |||||
United Therapeutics Corp. (a) | 10,010 | 1,355,154 | ||||||
|
| |||||||
4,535,294 | ||||||||
|
| |||||||
Commercial Services — 3.8% | ||||||||
Aaron’s, Inc. | 14,169 | 421,386 | ||||||
Avis Budget Group, Inc. (a) | 19,144 | 566,279 | ||||||
CEB, Inc. | 7,185 | 564,741 | ||||||
CoreLogic, Inc. (a) | 18,782 | 764,803 | ||||||
Deluxe Corp. | 10,799 | 779,364 | ||||||
DeVry Education Group, Inc. | 12,740 | 451,633 | ||||||
FTI Consulting, Inc. (a) | 9,171 | 377,570 | ||||||
Gartner, Inc. (a) | 18,400 | 1,987,016 | ||||||
Graham Holdings Co. Class B | 1,036 | 621,134 | ||||||
Live Nation Entertainment, Inc. (a) | 29,438 | 894,032 | ||||||
ManpowerGroup, Inc. | 15,059 | 1,544,602 | ||||||
MarketAxess Holdings, Inc. | 8,377 | 1,570,604 | ||||||
PAREXEL International Corp. (a) | 11,344 | 715,920 | ||||||
Rollins, Inc. | 21,357 | 792,985 | ||||||
Service Corp. International | 41,904 | 1,293,995 | ||||||
Sotheby’s (a) | 10,260 | 466,625 | ||||||
WEX, Inc. (a) | 8,562 | 886,167 | ||||||
|
| |||||||
14,698,856 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.4% | ||||||||
Avon Products, Inc. (a) | 97,507 | 429,031 | ||||||
Edgewell Personal Care Co. (a) | 12,783 | 934,948 | ||||||
|
| |||||||
1,363,979 | ||||||||
|
| |||||||
Foods — 3.2% | ||||||||
Dean Foods Co. | 20,205 | 397,230 | ||||||
Flowers Foods, Inc. | 40,926 | 794,374 | ||||||
The Hain Celestial Group, Inc. (a) | 23,030 | 856,716 | ||||||
Ingredion, Inc. | 15,982 | 1,924,712 | ||||||
Lamb Weston Holdings, Inc. | 30,890 | 1,299,234 | ||||||
Lancaster Colony Corp. | 4,336 | 558,650 | ||||||
Post Holdings, Inc. (a) | 14,310 | 1,252,411 | ||||||
Snyder’s-Lance, Inc. | 19,083 | 769,236 | ||||||
Sprouts Farmers Market, Inc. (a) (b) | 28,559 | 660,284 | ||||||
Tootsie Roll Industries, Inc. (b) | 3,984 | 148,808 | ||||||
TreeHouse Foods, Inc. (a) | 12,644 | 1,070,441 | ||||||
United Natural Foods, Inc. (a) | 11,261 | 486,813 | ||||||
The WhiteWave Foods Co. (a) | 39,454 | 2,215,342 | ||||||
|
| |||||||
12,434,251 | ||||||||
|
| |||||||
Health Care – Products — 3.9% | ||||||||
ABIOMED, Inc. (a) | 9,014 | 1,128,553 | ||||||
Align Technology, Inc. (a) | 16,799 | 1,927,013 | ||||||
Bio-Techne Corp. | 8,306 | 844,305 | ||||||
Globus Medical, Inc. Class A (a) | 16,013 | 474,305 | ||||||
Halyard Health, Inc. (a) | 10,390 | 395,755 | ||||||
Hill-Rom Holdings, Inc. | 13,240 | 934,744 | ||||||
LivaNova PLC (a) | 9,653 | 473,094 | ||||||
Masimo Corp. (a) | 9,990 | 931,667 |
The accompanying notes are an integral part of the financial statements.
104
MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
NuVasive, Inc. (a) | 11,264 | $ | 841,196 | |||||
ResMed, Inc. | 31,536 | 2,269,646 | ||||||
STERIS PLC | 18,908 | 1,313,350 | ||||||
Teleflex, Inc. | 9,997 | 1,936,719 | ||||||
West Pharmaceutical Services, Inc. | 16,309 | 1,330,977 | ||||||
|
| |||||||
14,801,324 | ||||||||
|
| |||||||
Health Care – Services — 1.3% | ||||||||
HealthSouth Corp. | 19,825 | 848,708 | ||||||
LifePoint Health, Inc. (a) | 8,892 | 582,426 | ||||||
MEDNAX, Inc. (a) | 20,881 | 1,448,724 | ||||||
Molina Healthcare, Inc. (a) | 9,475 | 432,060 | ||||||
Tenet Healthcare Corp. (a) (b) | 17,776 | 314,813 | ||||||
WellCare Health Plans, Inc. (a) | 9,863 | 1,382,891 | ||||||
|
| |||||||
5,009,622 | ||||||||
|
| |||||||
Household Products & Wares — 0.1% | ||||||||
Helen of Troy Ltd. (a) | 6,008 | 565,954 | ||||||
|
| |||||||
Pharmaceuticals — 1.2% | ||||||||
Akorn, Inc. (a) | 19,388 | 466,863 | ||||||
Catalent, Inc. (a) | 27,771 | 786,475 | ||||||
Endo International PLC (a) | 44,175 | 492,993 | ||||||
Owens & Minor, Inc. | 13,588 | 470,145 | ||||||
Prestige Brands Holdings, Inc. (a) | 11,785 | 654,775 | ||||||
VCA, Inc. (a) | 18,085 | 1,654,777 | ||||||
|
| |||||||
4,526,028 | ||||||||
|
| |||||||
58,235,023 | ||||||||
|
| |||||||
Energy — 3.5% | ||||||||
Coal — 0.2% | ||||||||
CONSOL Energy, Inc. | 39,331 | 659,974 | ||||||
|
| |||||||
Energy – Alternate Sources — 0.1% | ||||||||
First Solar, Inc. (a) (b) | 17,372 | 470,781 | ||||||
|
| |||||||
Oil & Gas — 2.6% | ||||||||
Diamond Offshore Drilling, Inc. (a) (b) | 14,352 | 239,822 | ||||||
Energen Corp. (a) | 21,609 | 1,176,394 | ||||||
Ensco PLC Class A | 67,465 | 603,812 | ||||||
Gulfport Energy Corp. (a) | 35,359 | 607,821 | ||||||
HollyFrontier Corp. | 39,484 | 1,118,977 | ||||||
Murphy USA, Inc. (a) | 7,722 | 566,949 | ||||||
Nabors Industries Ltd. | 63,524 | 830,259 | ||||||
Noble Corp. PLC | 54,470 | 337,169 | ||||||
Patterson-UTI Energy, Inc. | 37,030 | 898,718 | ||||||
QEP Resources, Inc. (a) | 53,342 | 677,977 | ||||||
Rowan Cos. PLC Class A (a) | 27,938 | 435,274 | ||||||
SM Energy Co. | 21,796 | 523,540 | ||||||
Western Refining, Inc. | 17,665 | 619,511 | ||||||
WPX Energy, Inc. (a) | 88,230 | 1,181,400 | ||||||
|
| |||||||
9,817,623 | ||||||||
|
| |||||||
Oil & Gas Services — 0.6% | ||||||||
Dril-Quip, Inc. (a) (b) | 8,417 | 459,147 | ||||||
NOW, Inc. (a) | 23,926 | 405,785 |
Number of Shares | Value | |||||||
Oceaneering International, Inc. | 21,833 | $ | 591,238 | |||||
Oil States International, Inc. (a) | 11,437 | 379,137 | ||||||
Superior Energy Services, Inc. (a) | 34,023 | 485,168 | ||||||
|
| |||||||
2,320,475 | ||||||||
|
| |||||||
13,268,853 | ||||||||
|
| |||||||
Financial — 23.7% | ||||||||
Banks — 7.3% | ||||||||
Associated Banc-Corp. | 33,795 | 824,598 | ||||||
BancorpSouth, Inc. | 18,989 | 574,417 | ||||||
Bank of Hawaii Corp. | 9,493 | 781,843 | ||||||
Bank of the Ozarks, Inc. | 20,296 | 1,055,595 | ||||||
Cathay General Bancorp | 16,662 | 627,824 | ||||||
Chemical Financial Corp. | 15,821 | 809,244 | ||||||
Commerce Bancshares, Inc. | 19,455 | 1,092,593 | ||||||
Cullen/Frost Bankers, Inc. | 12,632 | 1,123,869 | ||||||
East West Bancorp, Inc. | 32,095 | 1,656,423 | ||||||
F.N.B. Corp. | 71,341 | 1,060,841 | ||||||
First Horizon National Corp. | 52,022 | 962,407 | ||||||
Fulton Financial Corp. | 38,758 | 691,830 | ||||||
Hancock Holding Co. | 18,758 | 854,427 | ||||||
International Bancshares Corp. | 12,928 | 457,651 | ||||||
MB Financial, Inc. | 15,843 | 678,397 | ||||||
PacWest Bancorp | 26,686 | 1,421,296 | ||||||
PrivateBancorp, Inc. | 17,816 | 1,057,736 | ||||||
Prosperity Bancshares, Inc. | 15,467 | 1,078,205 | ||||||
Signature Bank (a) | 11,951 | 1,773,409 | ||||||
SVB Financial Group (a) | 11,645 | 2,167,018 | ||||||
Synovus Financial Corp. | 27,226 | 1,116,811 | ||||||
TCF Financial Corp. | 38,026 | 647,203 | ||||||
Texas Capital Bancshares, Inc. (a) | 11,007 | 918,534 | ||||||
Trustmark Corp. | 15,069 | 479,044 | ||||||
UMB Financial Corp. | 9,758 | 734,875 | ||||||
Umpqua Holdings Corp. | 49,053 | 870,200 | ||||||
Valley National Bancorp | 58,736 | 693,085 | ||||||
Webster Financial Corp. | 20,485 | 1,025,069 | ||||||
Wintrust Financial Corp. | 11,662 | 806,077 | ||||||
|
| |||||||
28,040,521 | ||||||||
|
| |||||||
Diversified Financial Services — 1.7% | ||||||||
Eaton Vance Corp. | 25,551 | 1,148,773 | ||||||
Federated Investors, Inc. Class B | 20,602 | 542,657 | ||||||
Janus Capital Group, Inc. | 32,003 | 422,440 | ||||||
Legg Mason, Inc. | 19,308 | 697,212 | ||||||
SEI Investments Co. | 29,766 | 1,501,397 | ||||||
SLM Corp. (a) | 95,527 | 1,155,877 | ||||||
Stifel Financial Corp. (a) | 15,171 | 761,432 | ||||||
Waddell & Reed Financial, Inc. Class A (b) | 18,761 | 318,937 | ||||||
|
| |||||||
6,548,725 | ||||||||
|
| |||||||
Insurance — 4.7% | ||||||||
Alleghany Corp. (a) | 3,437 | 2,112,586 | ||||||
American Financial Group, Inc. | 16,272 | 1,552,674 |
The accompanying notes are an integral part of the financial statements.
105
MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Aspen Insurance Holdings Ltd. | 13,320 | $ | 693,306 | |||||
Brown & Brown, Inc. | 25,554 | 1,066,113 | ||||||
CNO Financial Group, Inc. | 38,691 | 793,165 | ||||||
Everest Re Group Ltd. | 9,102 | 2,128,139 | ||||||
First American Financial Corp. | 24,481 | 961,614 | ||||||
Genworth Financial, Inc. Class A (a) | 110,960 | 457,155 | ||||||
The Hanover Insurance Group, Inc. | 9,471 | 852,958 | ||||||
Kemper Corp. | 10,848 | 432,835 | ||||||
Mercury General Corp. | 8,124 | 495,483 | ||||||
Old Republic International Corp. | 54,412 | 1,114,358 | ||||||
Primerica, Inc. | 10,174 | 836,303 | ||||||
Reinsurance Group of America, Inc. | 14,322 | 1,818,608 | ||||||
RenaissanceRe Holdings Ltd. | 9,115 | 1,318,485 | ||||||
W.R. Berkley Corp. | 21,588 | 1,524,760 | ||||||
|
| |||||||
18,158,542 | ||||||||
|
| |||||||
Real Estate — 0.4% | ||||||||
Alexander & Baldwin, Inc. | 10,271 | 457,265 | ||||||
Jones Lang LaSalle, Inc. | 10,073 | 1,122,636 | ||||||
|
| |||||||
1,579,901 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 9.0% | ||||||||
American Campus Communities, Inc. | 29,673 | 1,412,138 | ||||||
Camden Property Trust | 19,485 | 1,567,763 | ||||||
Care Capital Properties, Inc. | 18,712 | 502,791 | ||||||
CoreCivic, Inc. | 26,195 | 823,047 | ||||||
Corporate Office Properties Trust | 21,967 | 727,108 | ||||||
Cousins Properties, Inc. | 93,137 | 770,243 | ||||||
CyrusOne, Inc. | 16,544 | 851,520 | ||||||
DCT Industrial Trust, Inc. | 20,458 | 984,439 | ||||||
Douglas Emmett, Inc. | 32,378 | 1,243,315 | ||||||
Duke Realty Corp. | 79,155 | 2,079,402 | ||||||
Education Realty Trust, Inc. | 16,286 | 665,283 | ||||||
EPR Properties | 14,271 | 1,050,774 | ||||||
First Industrial Realty Trust, Inc. | 26,108 | 695,256 | ||||||
The Geo Group, Inc. | 18,236 | 845,603 | ||||||
Healthcare Realty Trust, Inc. | 25,922 | 842,465 | ||||||
Highwoods Properties, Inc. | 22,633 | 1,111,959 | ||||||
Hospitality Properties Trust | 36,570 | 1,153,052 | ||||||
Kilroy Realty Corp. | 21,767 | 1,568,965 | ||||||
Lamar Advertising Co. Class A | 18,438 | 1,378,056 | ||||||
LaSalle Hotel Properties | 25,169 | 728,643 | ||||||
Liberty Property Trust | 32,724 | 1,261,510 | ||||||
Life Storage, Inc. | 10,349 | 849,860 | ||||||
Mack-Cali Realty Corp. | 20,001 | 538,827 | ||||||
Medical Properties Trust, Inc. (b) | 71,447 | 920,952 | ||||||
National Retail Properties, Inc. | 32,778 | 1,429,776 | ||||||
Omega Healthcare Investors, Inc. | 43,799 | 1,444,929 | ||||||
Potlatch Corp. | 9,027 | 412,534 | ||||||
Quality Care Properties, Inc. (a) | 20,836 | 392,967 | ||||||
Rayonier, Inc. | 27,372 | 775,723 | ||||||
Senior Housing Properties Trust | 52,882 | 1,070,861 | ||||||
Tanger Factory Outlet Centers, Inc. | 21,429 | 702,228 | ||||||
Taubman Centers, Inc. | 13,472 | 889,422 |
Number of Shares | Value | |||||||
Uniti Group, Inc. (a) | 31,213 | $ | 806,856 | |||||
Urban Edge Properties | 20,430 | 537,309 | ||||||
Washington Prime Group, Inc. | 41,260 | 358,549 | ||||||
Weingarten Realty Investors | 26,231 | 875,853 | ||||||
|
| |||||||
34,269,978 | ||||||||
|
| |||||||
Savings & Loans — 0.6% | ||||||||
New York Community Bancorp, Inc. | 108,742 | 1,519,126 | ||||||
Washington Federal, Inc. | 19,874 | 657,829 | ||||||
|
| |||||||
2,176,955 | ||||||||
|
| |||||||
90,774,622 | ||||||||
|
| |||||||
Industrial — 18.1% | ||||||||
Aerospace & Defense — 1.5% | ||||||||
BE Aerospace, Inc. | 22,589 | 1,448,181 | ||||||
Curtiss-Wright Corp. | 9,913 | 904,660 | ||||||
Esterline Technologies Corp. (a) | 6,609 | 568,705 | ||||||
KLX, Inc. (a) | 11,690 | 522,543 | ||||||
Orbital ATK, Inc. | 12,811 | 1,255,478 | ||||||
Teledyne Technologies, Inc. (a) | 7,840 | 991,446 | ||||||
|
| |||||||
5,691,013 | ||||||||
|
| |||||||
Building Materials — 1.0% | ||||||||
Cree, Inc. (a) | 21,684 | 579,613 | ||||||
Eagle Materials, Inc. | 10,777 | 1,046,878 | ||||||
Lennox International, Inc. | 8,612 | 1,440,788 | ||||||
Louisiana-Pacific Corp. (a) | 32,128 | 797,417 | ||||||
|
| |||||||
3,864,696 | ||||||||
|
| |||||||
Electrical Components & Equipment — 1.1% | ||||||||
Belden, Inc. | 9,391 | 649,763 | ||||||
Energizer Holdings, Inc. | 13,788 | 768,681 | ||||||
EnerSys | 9,668 | 763,192 | ||||||
Hubbell, Inc. | 11,479 | 1,378,054 | ||||||
Littelfuse, Inc. | 5,039 | 805,787 | ||||||
|
| |||||||
4,365,477 | ||||||||
|
| |||||||
Electronics — 3.6% | ||||||||
Arrow Electronics, Inc. (a) | 19,798 | 1,453,371 | ||||||
Avnet, Inc. | 28,695 | 1,313,083 | ||||||
Coherent, Inc. (a) | 5,466 | 1,124,028 | ||||||
Gentex Corp. | 63,959 | 1,364,245 | ||||||
Jabil Circuit, Inc. | 40,569 | 1,173,255 | ||||||
Keysight Technologies, Inc. (a) | 40,734 | 1,472,127 | ||||||
Knowles Corp. (a) (b) | 19,745 | 374,168 | ||||||
National Instruments Corp. | 23,645 | 769,881 | ||||||
SYNNEX Corp. | 6,488 | 726,267 | ||||||
Tech Data Corp. (a) | 7,699 | 722,936 | ||||||
Trimble, Inc. (a) | 56,164 | 1,797,810 | ||||||
Vishay Intertechnology, Inc. (b) | 29,819 | 490,523 | ||||||
Woodward, Inc. | 12,310 | 836,095 | ||||||
|
| |||||||
13,617,789 | ||||||||
|
| |||||||
Engineering & Construction — 1.0% | ||||||||
AECOM (a) | 34,577 | 1,230,596 | ||||||
Dycom Industries, Inc. (a) (b) | 6,995 | 650,185 |
The accompanying notes are an integral part of the financial statements.
106
MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
EMCOR Group, Inc. | 13,282 | $ | 836,102 | |||||
Granite Construction, Inc. | 8,821 | 442,726 | ||||||
KBR, Inc. | 31,808 | 478,074 | ||||||
|
| |||||||
3,637,683 | ||||||||
|
| |||||||
Environmental Controls — 0.3% | ||||||||
Clean Harbors, Inc. (a) | 11,604 | 645,415 | ||||||
MSA Safety, Inc. | 6,977 | 493,204 | ||||||
|
| |||||||
1,138,619 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.7% | ||||||||
Kennametal, Inc. | 17,853 | 700,373 | ||||||
Lincoln Electric Holdings, Inc. | 13,749 | 1,194,238 | ||||||
Regal Beloit Corp. | 9,971 | 754,306 | ||||||
|
| |||||||
2,648,917 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.7% | ||||||||
Joy Global, Inc. | 22,178 | 626,529 | ||||||
Oshkosh Corp. | 16,610 | 1,139,280 | ||||||
Terex Corp. | 23,576 | 740,286 | ||||||
|
| |||||||
2,506,095 | ||||||||
|
| |||||||
Machinery – Diversified — 2.4% | ||||||||
AGCO Corp. | 14,857 | 894,094 | ||||||
Cognex Corp. | 19,157 | 1,608,230 | ||||||
Graco, Inc. | 12,467 | 1,173,644 | ||||||
IDEX Corp. | 16,975 | 1,587,332 | ||||||
Nordson Corp. | 11,914 | 1,463,516 | ||||||
Wabtec Corp. (b) | 19,192 | 1,496,976 | ||||||
Zebra Technologies Corp. Class A (a) | 11,772 | 1,074,195 | ||||||
|
| |||||||
9,297,987 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 0.5% | ||||||||
The Timken Co. | 15,541 | 702,453 | ||||||
Valmont Industries, Inc. | 5,014 | 779,677 | ||||||
Worthington Industries, Inc. | 9,781 | 441,025 | ||||||
|
| |||||||
1,923,155 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 2.1% | ||||||||
A.O. Smith Corp. | 32,787 | 1,677,383 | ||||||
AptarGroup, Inc. | 13,876 | 1,068,313 | ||||||
Carlisle Cos., Inc. | 14,374 | 1,529,537 | ||||||
Crane Co. | 11,192 | 837,497 | ||||||
Donaldson Co., Inc. | 29,399 | 1,338,242 | ||||||
ITT, Inc. | 19,635 | 805,428 | ||||||
Trinity Industries, Inc. | 33,881 | 899,541 | ||||||
|
| |||||||
8,155,941 | ||||||||
|
| |||||||
Packaging & Containers — 1.5% | ||||||||
Bemis Co., Inc. | 20,581 | 1,005,588 | ||||||
Greif, Inc. Class A | 5,747 | 316,602 | ||||||
Owens-Illinois, Inc. (a) | 36,109 | 735,901 | ||||||
Packaging Corp. of America | 20,972 | 1,921,455 | ||||||
Silgan Holdings, Inc. | 8,334 | 494,706 | ||||||
Sonoco Products Co. | 22,094 | 1,169,215 | ||||||
|
| |||||||
5,643,467 | ||||||||
|
|
Number of Shares | Value | |||||||
Shipbuilding — 0.5% | ||||||||
Huntington Ingalls Industries, Inc. | 10,248 | $ | 2,052,059 | |||||
|
| |||||||
Transportation — 1.1% | ||||||||
Genesee & Wyoming, Inc. Class A (a) | 13,647 | 926,085 | ||||||
Kirby Corp. (a) | 11,990 | 845,895 | ||||||
Landstar System, Inc. | 9,300 | 796,545 | ||||||
Old Dominion Freight Line, Inc. | 15,421 | 1,319,575 | ||||||
Werner Enterprises, Inc. | 9,964 | 261,057 | ||||||
|
| |||||||
4,149,157 | ||||||||
|
| |||||||
Trucking & Leasing — 0.1% | ||||||||
GATX Corp. (b) | 8,771 | 534,680 | ||||||
|
| |||||||
69,226,735 | ||||||||
|
| |||||||
Technology — 11.2% | ||||||||
Computers — 3.4% | ||||||||
3D Systems Corp. (a) (b) | 23,933 | 358,038 | ||||||
Brocade Communications Systems, Inc. | 90,763 | 1,132,722 | ||||||
Computer Sciences Corp. | 31,438 | 2,169,536 | ||||||
Convergys Corp. | 21,029 | 444,763 | ||||||
Diebold Nixdorf, Inc. (b) | 16,795 | 515,606 | ||||||
DST Systems, Inc. | 7,023 | 860,317 | ||||||
Fortinet, Inc. (a) | 33,176 | 1,272,300 | ||||||
Leidos Holdings, Inc. | 31,798 | 1,626,150 | ||||||
MAXIMUS, Inc. | 14,429 | 897,484 | ||||||
NCR Corp. (a) | 27,739 | 1,267,118 | ||||||
NetScout Systems, Inc. (a) | 20,434 | 775,470 | ||||||
NeuStar, Inc. Class A (a) | 12,278 | 407,016 | ||||||
Science Applications International Corp. | 9,769 | 726,814 | ||||||
VeriFone Systems, Inc. (a) | 24,839 | 465,234 | ||||||
|
| |||||||
12,918,568 | ||||||||
|
| |||||||
Office & Business Equipment — 0.1% | ||||||||
Pitney Bowes, Inc. | 41,496 | 544,013 | ||||||
|
| |||||||
Semiconductors — 2.1% | ||||||||
Cirrus Logic, Inc. (a) | 14,299 | 867,807 | ||||||
Cypress Semiconductor Corp. (b) | 72,996 | 1,004,425 | ||||||
Integrated Device Technology, Inc. (a) | 29,702 | 703,047 | ||||||
IPG Photonics Corp. (a) | 8,340 | 1,006,638 | ||||||
Microsemi Corp. (a) | 25,670 | 1,322,775 | ||||||
Monolithic Power Systems, Inc. | 8,433 | 776,679 | ||||||
Silicon Laboratories, Inc. (a) | 9,326 | 685,927 | ||||||
Synaptics, Inc. (a) | 7,871 | 389,693 | ||||||
Teradyne, Inc. | 44,592 | 1,386,811 | ||||||
|
| |||||||
8,143,802 | ||||||||
|
| |||||||
Software — 5.6% | ||||||||
ACI Worldwide, Inc. (a) | 26,111 | 558,514 | ||||||
Acxiom Corp. (a) | 17,379 | 494,780 | ||||||
Allscripts Healthcare Solutions, Inc. (a) | 40,186 | 509,559 |
The accompanying notes are an integral part of the financial statements.
107
MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
ANSYS, Inc. (a) | 19,006 | $ | 2,031,171 | |||||
Broadridge Financial Solutions, Inc. | 26,331 | 1,789,191 | ||||||
Cadence Design Systems, Inc. (a) | 62,060 | 1,948,684 | ||||||
CDK Global, Inc. | 32,282 | 2,098,653 | ||||||
CommVault Systems, Inc. (a) | 9,333 | 474,116 | ||||||
Fair Isaac Corp. | 6,914 | 891,560 | ||||||
j2 Global, Inc. | 10,723 | 899,767 | ||||||
Jack Henry & Associates, Inc. | 17,282 | 1,608,954 | ||||||
Manhattan Associates, Inc. (a) | 15,672 | 815,728 | ||||||
MSCI, Inc. | 20,157 | 1,959,059 | ||||||
PTC, Inc. (a) | 25,762 | 1,353,793 | ||||||
Take-Two Interactive Software, Inc. (a) | 22,576 | 1,338,080 | ||||||
Tyler Technologies, Inc. (a) | 7,461 | 1,153,172 | ||||||
The Ultimate Software Group, Inc. (a) | 6,604 | 1,289,167 | ||||||
|
| |||||||
21,213,948 | ||||||||
|
| |||||||
42,820,331 | ||||||||
|
| |||||||
Utilities — 5.3% | ||||||||
Electric — 2.5% | ||||||||
Black Hills Corp. (b) | 11,884 | 789,929 | ||||||
Great Plains Energy, Inc. | 47,949 | 1,401,070 | ||||||
Hawaiian Electric Industries, Inc. | 24,209 | 806,402 | ||||||
IDACORP, Inc. | 11,219 | 930,728 | ||||||
MDU Resources Group, Inc. | 43,479 | 1,190,020 | ||||||
NorthWestern Corp. | 10,765 | 631,906 | ||||||
OGE Energy Corp. | 44,458 | 1,555,141 | ||||||
PNM Resources, Inc. | 17,733 | 656,121 | ||||||
Westar Energy, Inc. | 31,622 | 1,716,126 | ||||||
|
| |||||||
9,677,443 | ||||||||
|
| |||||||
Gas — 2.5% | ||||||||
Atmos Energy Corp. | 23,414 | 1,849,472 | ||||||
National Fuel Gas Co. (b) | 18,997 | 1,132,601 | ||||||
New Jersey Resources Corp. | 19,215 | 760,914 | ||||||
ONE Gas, Inc. | 11,630 | 786,188 | ||||||
Southwest Gas Holdings, Inc. | 10,585 | 877,602 | ||||||
UGI Corp. | 38,498 | 1,901,801 | ||||||
Vectren Corp. | 18,460 | 1,081,941 | ||||||
WGL Holdings, Inc. | 11,402 | 941,007 | ||||||
|
| |||||||
9,331,526 | ||||||||
|
| |||||||
Water — 0.3% | ||||||||
Aqua America, Inc. | 39,503 | 1,270,021 | ||||||
|
| |||||||
20,278,990 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $328,462,686) | 369,647,415 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $328,462,686) | 369,647,415 | |||||||
|
|
Number of Shares | Value | |||||||
MUTUAL FUNDS — 4.9% | ||||||||
Diversified Financial Services — 4.9% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 18,581,847 | $ | 18,581,847 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $18,581,847) | 18,581,847 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $347,044,533) | 388,229,262 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 3.2% | ||||||||
Repurchase Agreement — 3.0% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (d) | $ | 11,523,122 | 11,523,122 | |||||
|
| |||||||
U.S. Treasury Bill — 0.2% | ||||||||
U.S. Treasury Bill (e) | 745,000 | 742,781 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $12,266,037) | 12,265,903 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 104.7% (Cost $359,310,570) (f) | 400,495,165 | |||||||
Other Assets/(Liabilities) — (4.7)% | (17,850,954 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 382,644,211 | ||||||
|
|
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 March 31, 2017, was $18,101,390 or 4.73% 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 $11,523,170. 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 $11,757,624. |
(e) | A portion of this security is pledged/held as collateral for open futures contracts. (Note 2). |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
108
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 96.7% | ||||||||
COMMON STOCK — 96.7% | ||||||||
Basic Materials — 4.2% | ||||||||
Chemicals — 2.6% | ||||||||
A. Schulman, Inc. | 4,771 | $ | 150,048 | |||||
Aceto Corp. | 4,713 | 74,513 | ||||||
AgroFresh Solutions, Inc. (a) (b) | 3,300 | 14,421 | ||||||
American Vanguard Corp. | 4,597 | 76,310 | ||||||
Balchem Corp. | 5,223 | 430,480 | ||||||
Calgon Carbon Corp. | 8,334 | 121,676 | ||||||
The Chemours Co. | 30,433 | 1,171,671 | ||||||
Chemtura Corp. (a) | 10,583 | 353,472 | ||||||
Codexis, Inc. (a) | 6,083 | 29,198 | ||||||
CSW Industrials, Inc. (a) | 2,343 | 85,988 | ||||||
Ferro Corp. (a) | 13,927 | 211,551 | ||||||
GCP Applied Technologies, Inc. (a) | 11,776 | 384,486 | ||||||
H.B. Fuller Co. | 8,321 | 429,031 | ||||||
Hawkins, Inc. | 1,571 | 76,979 | ||||||
Ingevity Corp. (a) | 7,069 | 430,149 | ||||||
Innophos Holdings, Inc. | 3,178 | 171,517 | ||||||
Innospec, Inc. | 3,920 | 253,820 | ||||||
KMG Chemicals, Inc. | 1,515 | 69,796 | ||||||
Koppers Holdings, Inc. (a) | 3,365 | 142,508 | ||||||
Kraton Corp. (a) | 4,911 | 151,848 | ||||||
Kronos Worldwide, Inc. | 3,736 | 61,382 | ||||||
Landec Corp. (a) | 4,582 | 54,984 | ||||||
Minerals Technologies, Inc. | 5,758 | 441,063 | ||||||
Oil-Dri Corp. of America | 858 | 31,978 | ||||||
Olin Corp. | 27,504 | 904,056 | ||||||
OMNOVA Solutions, Inc. (a) | 7,108 | 70,369 | ||||||
PolyOne Corp. | 13,936 | 475,078 | ||||||
Quaker Chemical Corp. | 2,141 | 281,884 | ||||||
Rayonier Advanced Materials, Inc. (b) | 7,265 | 97,714 | ||||||
Sensient Technologies Corp. | 7,388 | 585,573 | ||||||
Stepan Co. | 3,258 | 256,763 | ||||||
Tronox Ltd. Class A | 10,708 | 197,563 | ||||||
Univar, Inc. (a) | 7,134 | 218,728 | ||||||
Valhi, Inc. | 4,752 | 15,587 | ||||||
|
| |||||||
8,522,184 | ||||||||
|
| |||||||
Forest Products & Paper — 0.3% | ||||||||
Clearwater Paper Corp. (a) | 2,786 | 156,016 | ||||||
Deltic Timber Corp. | 1,762 | 137,647 | ||||||
Neenah Paper, Inc. | 2,755 | 205,799 | ||||||
Orchids Paper Products Co. (b) | 1,568 | 37,632 | ||||||
P.H. Glatfelter Co. | 7,140 | 155,224 | ||||||
Schweitzer-Mauduit International, Inc. | 5,053 | 209,295 | ||||||
|
| |||||||
901,613 | ||||||||
|
| |||||||
Iron & Steel — 0.6% | ||||||||
AK Steel Holding Corp. (a) (b) | 51,771 | 372,234 | ||||||
Allegheny Technologies, Inc. (b) | 18,039 | 323,980 |
Number of Shares | Value | |||||||
Carpenter Technology Corp. | 7,682 | $ | 286,539 | |||||
Cliffs Natural Resources, Inc. (a) | 46,781 | 384,072 | ||||||
Commercial Metals Co. | 19,096 | 365,307 | ||||||
Ryerson Holding Corp. (a) | 1,954 | 24,620 | ||||||
Schnitzer Steel Industries, Inc. Class A | 4,359 | 90,013 | ||||||
|
| |||||||
1,846,765 | ||||||||
|
| |||||||
Mining — 0.7% | ||||||||
Century Aluminum Co. (a) | 8,288 | 105,175 | ||||||
Coeur Mining, Inc. (a) (b) | 29,904 | 241,624 | ||||||
Fairmount Santrol Holdings, Inc. (a) (b) | 15,104 | 110,712 | ||||||
Ferroglobe PLC | 10,869 | 112,277 | ||||||
Ferroglobe Representation & Warranty Insurance Trust (a) (c) | 10,133 | - | ||||||
Gold Resource Corp. (b) | 8,705 | 39,346 | ||||||
Hecla Mining Co. (b) | 63,431 | 335,550 | ||||||
Kaiser Aluminum Corp. | 2,958 | 236,344 | ||||||
Materion Corp. | 3,309 | 111,017 | ||||||
Smart Sand, Inc. (a) (b) | 1,887 | 30,664 | ||||||
Stillwater Mining Co. (a) | 20,307 | 350,702 | ||||||
United States Lime & Minerals, Inc. | 306 | 24,168 | ||||||
US Silica Holdings, Inc. | 12,369 | 593,588 | ||||||
|
| |||||||
2,291,167 | ||||||||
|
| |||||||
13,561,729 | ||||||||
|
| |||||||
Communications — 6.1% | ||||||||
Advertising — 0.0% | ||||||||
Marchex, Inc. Class B (a) | 4,800 | 13,056 | ||||||
MDC Partners, Inc. Class A | 9,111 | 85,644 | ||||||
|
| |||||||
98,700 | ||||||||
|
| |||||||
Internet — 2.0% | ||||||||
1-800-Flowers.com, Inc. Class A (a) | 4,313 | 43,993 | ||||||
8x8, Inc. (a) | 14,718 | 224,450 | ||||||
Angie’s List, Inc. (a) | 6,866 | 39,136 | ||||||
Autobytel, Inc. (a) | 1,313 | 16,452 | ||||||
Bankrate, Inc. (a) | 7,832 | 75,579 | ||||||
Blucora, Inc. (a) | 6,591 | 114,024 | ||||||
Boingo Wireless, Inc. (a) | 5,778 | 75,056 | ||||||
ChannelAdvisor Corp. (a) | 3,663 | 40,842 | ||||||
Chegg, Inc. (a) (b) | 13,443 | 113,459 | ||||||
Cogent Communications Holdings, Inc. | 6,897 | 296,916 | ||||||
Corindus Vascular Robotics, Inc. (a) (b) | 9,099 | 11,920 | ||||||
DHI Group, Inc. (a) | 8,751 | 34,566 | ||||||
Endurance International Group Holdings, Inc. (a) | 9,790 | 76,852 | ||||||
ePlus, Inc. (a) | 1,046 | 141,262 | ||||||
Etsy, Inc. (a) | 17,438 | 185,366 | ||||||
FTD Cos., Inc. (a) | 2,932 | 59,051 |
The accompanying notes are an integral part of the financial statements.
109
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Global Eagle Entertainment, Inc. (a) (b) | 7,313 | $ | 23,328 | |||||
Global Sources Ltd. (a) | 1,242 | 10,247 | ||||||
GrubHub, Inc. (a) (b) | 13,416 | 441,252 | ||||||
HealthStream, Inc. (a) | 4,320 | 104,674 | ||||||
Imperva, Inc. (a) | 4,798 | 196,958 | ||||||
Lands’ End, Inc. (a) (b) | 2,578 | 55,298 | ||||||
Limelight Networks, Inc. (a) | 11,367 | 29,327 | ||||||
Liquidity Services, Inc. (a) | 4,162 | 33,296 | ||||||
MeetMe, Inc. (a) | 8,014 | 47,202 | ||||||
ModusLink Global Solutions, Inc. (a) | 573 | 1,031 | ||||||
New Media Investment Group, Inc. | 7,546 | 107,229 | ||||||
NIC, Inc. | 10,537 | 212,847 | ||||||
Overstock.com, Inc. (a) | 2,204 | 37,909 | ||||||
Perficient, Inc. (a) | 5,911 | 102,615 | ||||||
Proofpoint, Inc. (a) (b) | 6,777 | 503,938 | ||||||
Q2 Holdings, Inc. (a) | 4,242 | 147,834 | ||||||
QuinStreet, Inc. (a) | 6,619 | 25,814 | ||||||
Quotient Technology, Inc. (a) | 10,655 | 101,755 | ||||||
Rapid7, Inc. (a) | 3,383 | 50,677 | ||||||
RealNetworks, Inc. (a) | 4,236 | 20,502 | ||||||
Reis, Inc. | 1,371 | 24,541 | ||||||
RetailMeNot, Inc. (a) | 6,521 | 52,820 | ||||||
Rightside Group Ltd. (a) | 1,819 | 18,044 | ||||||
RingCentral, Inc. Class A (a) | 9,748 | 275,868 | ||||||
The Rubicon Project, Inc. (a) | 6,551 | 38,585 | ||||||
Shutterfly, Inc. (a) | 5,735 | 276,943 | ||||||
Shutterstock, Inc. (a) | 3,150 | 130,253 | ||||||
Stamps.com, Inc. (a) (b) | 2,687 | 318,006 | ||||||
TechTarget, Inc. (a) | 2,453 | 22,151 | ||||||
The Trade Desk, Inc. Class A (a) | 1,525 | 56,806 | ||||||
TrueCar, Inc. (a) (b) | 9,010 | 139,385 | ||||||
VASCO Data Security International, Inc. (a) | 4,947 | 66,785 | ||||||
VirnetX Holding Corp. (a) (b) | 7,479 | 17,202 | ||||||
Wayfair, Inc. Class A (a) (b) | 5,269 | 213,342 | ||||||
Web.com Group, Inc. (a) | 7,058 | 136,219 | ||||||
WebMD Health Corp. (a) | 6,202 | 326,721 | ||||||
XO Group, Inc. (a) | 4,123 | 70,957 | ||||||
Zendesk, Inc. (a) | 13,480 | 377,979 | ||||||
Zix Corp. (a) | 8,918 | 42,896 | ||||||
|
| |||||||
6,408,160 | ||||||||
|
| |||||||
Media — 1.4% | ||||||||
Central European Media Enterprises Ltd. Class A (a) (b) | 12,990 | 40,269 | ||||||
Daily Journal Corp. (a) (b) | 176 | 37,715 | ||||||
The E.W. Scripps Co. Class A (a) | 9,929 | 232,736 | ||||||
Entercom Communications Corp. Class A | 4,397 | 62,877 | ||||||
Entravision Communications Corp. Class A | 10,673 | 66,173 | ||||||
Gannett Co., Inc. | 19,767 | 165,647 | ||||||
Gray Television, Inc. (a) | 10,647 | 154,382 |
Number of Shares | Value | |||||||
Hemisphere Media Group, Inc. (a) | 801 | $ | 9,412 | |||||
Houghton Mifflin Harcourt Co. (a) | 20,727 | 210,379 | ||||||
Liberty Media Corp-Liberty Braves Class A (a) | 1,549 | 37,083 | ||||||
Liberty Media Corp-Liberty Braves Class C (a) | 5,246 | 124,068 | ||||||
Liberty Media Corp-Liberty Formula One Class A (a) | 3,800 | 124,260 | ||||||
Liberty Media Corp-Liberty Formula One Class C (a) (b) | 7,683 | 262,374 | ||||||
Meredith Corp. | 6,228 | 402,329 | ||||||
MSG Networks, Inc. Class A (a) | 9,903 | 231,235 | ||||||
The New York Times Co. Class A | 20,669 | 297,634 | ||||||
Nexstar Media Group, Inc. | 7,217 | 506,273 | ||||||
Radio One, Inc. Class D (a) | 3,898 | 12,863 | ||||||
Saga Communications, Inc. Class A | 564 | 28,792 | ||||||
Salem Media Group, Inc. | 1,704 | 12,695 | ||||||
Scholastic Corp. | 4,490 | 191,139 | ||||||
Sinclair Broadcast Group, Inc. Class A | 12,212 | 494,586 | ||||||
Time, Inc. | 17,070 | 330,304 | ||||||
TiVo Corp. | 19,458 | 364,837 | ||||||
Townsquare Media, Inc. Class A (a) | 1,327 | 16,163 | ||||||
tronc, Inc. (a) (b) | 4,502 | 62,668 | ||||||
Value Line, Inc. | 220 | 3,786 | ||||||
World Wrestling Entertainment, Inc. Class A | 6,000 | 133,320 | ||||||
|
| |||||||
4,615,999 | ||||||||
|
| |||||||
Telecommunications — 2.7% | ||||||||
A10 Networks, Inc. (a) | 7,421 | 67,902 | ||||||
Acacia Communications, Inc. (a) (b) | 886 | 51,937 | ||||||
ADTRAN, Inc. | 8,155 | 169,216 | ||||||
Aerohive Networks, Inc. (a) | 3,760 | 15,830 | ||||||
ATN International, Inc. | 1,747 | 123,024 | ||||||
Black Box Corp. | 2,346 | 20,997 | ||||||
CalAmp Corp. (a) | 5,816 | 97,651 | ||||||
Calix, Inc. (a) | 7,032 | 50,982 | ||||||
Ciena Corp. (a) | 22,807 | 538,473 | ||||||
Cincinnati Bell, Inc. (a) | 6,986 | 123,652 | ||||||
Clearfield, Inc. (a) | 1,935 | 31,831 | ||||||
Comtech Telecommunications Corp. | 3,847 | 56,705 | ||||||
Consolidated Communications Holdings, Inc. (b) | 8,290 | 194,152 | ||||||
DigitalGlobe, Inc. (a) | 10,490 | 343,547 | ||||||
Extreme Networks, Inc. (a) | 16,918 | 127,054 | ||||||
FairPoint Communications, Inc. (a) | 3,551 | 58,947 | ||||||
Finisar Corp. (a) | 17,852 | 488,074 | ||||||
General Communication, Inc. Class A (a) | 4,469 | 92,955 | ||||||
Gigamon, Inc. (a) | 5,436 | 193,250 | ||||||
Globalstar, Inc. (a) (b) | 66,108 | 105,773 | ||||||
Gogo, Inc. (a) (b) | 9,479 | 104,269 | ||||||
GTT Communications, Inc. (a) | 4,404 | 107,237 | ||||||
Harmonic, Inc. (a) | 12,867 | 76,559 |
The accompanying notes are an integral part of the financial statements.
110
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Hawaiian Telcom Holdco, Inc. (a) | 903 | $ | 20,688 | |||||
HC2 Holdings, Inc. (a) | 5,775 | 35,805 | ||||||
IDT Corp. Class B | 3,047 | 38,758 | ||||||
Infinera Corp. (a) (b) | 23,395 | 239,331 | ||||||
Intelsat SA (a) (b) | 4,895 | 20,314 | ||||||
InterDigital, Inc. | 5,754 | 496,570 | ||||||
Iridium Communications, Inc. (a) (b) | 13,721 | 132,408 | ||||||
Ixia (a) | 10,752 | 211,277 | ||||||
KVH Industries, Inc. (a) | 2,703 | 22,705 | ||||||
LogMeIn, Inc. | 8,644 | 842,790 | ||||||
Loral Space & Communications, Inc. (a) | 2,093 | 82,464 | ||||||
Lumos Networks Corp. (a) | 3,197 | 56,587 | ||||||
NeoPhotonics Corp. (a) (b) | 5,238 | 47,194 | ||||||
NETGEAR, Inc. (a) | 5,377 | 266,430 | ||||||
NII Holdings, Inc. (a) (b) | 8,021 | 10,427 | ||||||
Numerex Corp. Class A (a) | 2,225 | 10,613 | ||||||
Oclaro, Inc. (a) | 18,578 | 182,436 | ||||||
ORBCOMM, Inc. (a) | 10,905 | 104,143 | ||||||
Plantronics, Inc. | 5,503 | 297,767 | ||||||
Preformed Line Products Co. | 391 | 20,391 | ||||||
Quantenna Communications, Inc. (a) (b) | 1,081 | 22,517 | ||||||
RigNet, Inc. (a) | 2,126 | 45,603 | ||||||
Shenandoah Telecommunications Co. | 7,723 | 216,630 | ||||||
ShoreTel, Inc. (a) | 11,013 | 67,730 | ||||||
Silicom Ltd. | 892 | 44,306 | ||||||
Sonus Networks, Inc. (a) | 8,178 | 53,893 | ||||||
Spok Holdings, Inc. | 3,453 | 65,607 | ||||||
Straight Path Communications, Inc. Class B (a) (b) | 1,636 | 58,847 | ||||||
Telenav, Inc. (a) | 5,478 | 47,385 | ||||||
Ubiquiti Networks, Inc. (a) (b) | 4,305 | 216,369 | ||||||
ViaSat, Inc. (a) | 8,595 | 548,533 | ||||||
Viavi Solutions, Inc. (a) | 38,948 | 417,522 | ||||||
Vonage Holdings Corp. (a) | 31,712 | 200,420 | ||||||
West Corp. | 7,170 | 175,091 | ||||||
Windstream Holdings, Inc. (b) | 30,244 | 164,830 | ||||||
|
| |||||||
8,724,398 | ||||||||
|
| |||||||
19,847,257 | ||||||||
|
| |||||||
Consumer, Cyclical — 10.9% | ||||||||
Airlines — 0.3% | ||||||||
Allegiant Travel Co. | 2,193 | 351,428 | ||||||
Hawaiian Holdings, Inc. (a) | 8,752 | 406,531 | ||||||
SkyWest, Inc. | 8,337 | 285,542 | ||||||
|
| |||||||
1,043,501 | ||||||||
|
| |||||||
Apparel — 0.6% | ||||||||
Columbia Sportswear Co. | 4,480 | 263,200 | ||||||
Crocs, Inc. (a) | 11,938 | 84,402 | ||||||
Deckers Outdoor Corp. (a) | 5,387 | 321,766 | ||||||
Delta Apparel, Inc. (a) | 1,235 | 21,773 | ||||||
Iconix Brand Group, Inc. (a) (b) | 7,306 | 54,941 |
Number of Shares | Value | |||||||
Oxford Industries, Inc. | 2,509 | $ | 143,665 | |||||
Perry Ellis International, Inc. (a) | 1,990 | 42,745 | ||||||
Sequential Brands Group, Inc. (a) (b) | 6,153 | 23,935 | ||||||
Steven Madden Ltd. (a) | 10,225 | 394,174 | ||||||
Superior Uniform Group, Inc. | 1,420 | 26,412 | ||||||
Unifi, Inc. (a) | 2,554 | 72,508 | ||||||
Vince Holding Corp. (a) (b) | 3,238 | 5,019 | ||||||
Weyco Group, Inc. (b) | 1,128 | 31,674 | ||||||
Wolverine World Wide, Inc. | 16,088 | 401,717 | ||||||
|
| |||||||
1,887,931 | ||||||||
|
| |||||||
Auto Manufacturers — 0.2% | ||||||||
Blue Bird Corp. (a) (b) | 836 | 14,337 | ||||||
Navistar International Corp. (a) (b) | 8,215 | 202,253 | ||||||
REV Group, Inc. (a) | 2,101 | 57,925 | ||||||
Wabash National Corp. (b) | 9,913 | 205,100 | ||||||
Workhorse Group, Inc. (a) (b) | 1,635 | 4,300 | ||||||
|
| |||||||
483,915 | ||||||||
|
| |||||||
Auto Parts & Equipment — 1.2% | ||||||||
American Axle & Manufacturing Holdings, Inc. (a) | 12,737 | 239,201 | ||||||
Cooper Tire & Rubber Co. | 9,197 | 407,887 | ||||||
Cooper-Standard Holding, Inc. (a) | 2,461 | 272,999 | ||||||
Dana, Inc. | 24,772 | 478,347 | ||||||
Dorman Products, Inc. (a) | 4,400 | 361,372 | ||||||
Douglas Dynamics, Inc. | 3,698 | 113,344 | ||||||
Gentherm, Inc. (a) | 6,053 | 237,580 | ||||||
Horizon Global Corp. (a) | 3,513 | 48,760 | ||||||
Meritor, Inc. (a) | 13,515 | 231,512 | ||||||
Metaldyne Performance Group, Inc. | 2,462 | 56,257 | ||||||
Miller Industries, Inc. | 1,865 | 49,143 | ||||||
Modine Manufacturing Co. (a) | 7,984 | 97,405 | ||||||
Motorcar Parts of America, Inc. (a) | 2,995 | 92,036 | ||||||
Spartan Motors, Inc. | 5,755 | 46,040 | ||||||
Standard Motor Products, Inc. | 3,565 | 175,184 | ||||||
Strattec Security Corp. | 517 | 14,372 | ||||||
Superior Industries International, Inc. | 4,214 | 106,825 | ||||||
Supreme Industries, Inc. Class A | 2,249 | 45,565 | ||||||
Tenneco, Inc. | 8,879 | 554,227 | ||||||
Titan International, Inc. | 7,211 | 74,562 | ||||||
Tower International, Inc. | 3,397 | 92,059 | ||||||
Unique Fabricating, Inc. | 1,023 | 12,307 | ||||||
|
| |||||||
3,806,984 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.7% | ||||||||
Anixter International, Inc. (a) | 4,815 | 381,829 | ||||||
Beacon Roofing Supply, Inc. (a) | 9,931 | 488,208 | ||||||
Core-Mark Holding Co., Inc. | 7,579 | 236,389 | ||||||
Essendant, Inc. | 6,245 | 94,612 | ||||||
Fossil Group, Inc. (a) (b) | 6,892 | 120,265 | ||||||
G-III Apparel Group Ltd. (a) (b) | 7,219 | 158,024 | ||||||
H&E Equipment Services, Inc. | 5,276 | 129,368 | ||||||
ScanSource, Inc. (a) | 4,125 | 161,906 |
The accompanying notes are an integral part of the financial statements.
111
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
SiteOne Landscape Supply, Inc. (a) | 1,947 | $ | 94,254 | |||||
Systemax, Inc. | 1,778 | 19,718 | ||||||
Titan Machinery, Inc. (a) | 3,025 | 46,404 | ||||||
Triton International Ltd. | 6,662 | 171,813 | ||||||
Veritiv Corp. (a) | 1,360 | 70,448 | ||||||
|
| |||||||
2,173,238 | ||||||||
|
| |||||||
Entertainment — 0.9% | ||||||||
AMC Entertainment Holdings, Inc. Class A | 8,911 | 280,251 | ||||||
Caesars Acquisition Co. Class A (a) | 8,004 | 123,262 | ||||||
Churchill Downs, Inc. | 2,232 | 354,553 | ||||||
Eldorado Resorts, Inc. (a) (b) | 4,760 | 90,083 | ||||||
Empire Resorts, Inc. (a) | 623 | 15,108 | ||||||
Eros International PLC (a) (b) | 4,852 | 49,976 | ||||||
Golden Entertainment, Inc. | 1,843 | 24,383 | ||||||
IMAX Corp. (a) | 9,778 | 332,452 | ||||||
International Speedway Corp. Class A | 4,329 | 159,956 | ||||||
Isle of Capri Casinos, Inc. (a) | 4,214 | 111,081 | ||||||
Marriott Vacations Worldwide Corp. | 3,715 | 371,240 | ||||||
National CineMedia, Inc. | 10,215 | 129,015 | ||||||
Penn National Gaming, Inc. (a) | 13,799 | 254,316 | ||||||
Pinnacle Entertainment, Inc. (a) | 8,991 | 175,504 | ||||||
Reading International, Inc. Series A (a) | 2,781 | 43,217 | ||||||
Red Rock Resorts, Inc. Class A | 5,011 | 111,144 | ||||||
Scientific Games Corp. Class A (a) | 8,604 | 203,485 | ||||||
SeaWorld Entertainment, Inc. | 11,176 | 204,185 | ||||||
Speedway Motorsports, Inc. | 1,948 | 36,700 | ||||||
|
| |||||||
3,069,911 | ||||||||
|
| |||||||
Food Services — 0.0% | ||||||||
AdvancePierre Foods Holdings, Inc. | 3,637 | 113,365 | ||||||
|
| |||||||
Home Builders — 0.7% | ||||||||
AV Homes, Inc. (a) (b) | 2,138 | 35,170 | ||||||
Beazer Homes USA, Inc. (a) | 5,271 | 63,937 | ||||||
Cavco Industries, Inc. (a) | 1,406 | 163,658 | ||||||
Century Communities, Inc. (a) | 2,562 | 65,075 | ||||||
Green Brick Partners, Inc. (a) (b) | 3,903 | 38,835 | ||||||
Hovnanian Enterprises, Inc. Class A (a) | 20,304 | 46,090 | ||||||
Installed Building Products, Inc. (a) | 3,330 | 175,658 | ||||||
KB Home | 13,849 | 275,318 | ||||||
LGI Homes, Inc. (a) (b) | 2,521 | 85,487 | ||||||
M.D.C. Holdings, Inc. | 6,931 | 208,277 | ||||||
M/I Homes, Inc. (a) | 4,006 | 98,147 | ||||||
Meritage Home Corp. (a) | 6,349 | 233,643 | ||||||
The New Home Co., Inc. (a) | 1,899 | 19,864 | ||||||
PICO Holdings, Inc. (a) | 3,703 | 51,842 | ||||||
Taylor Morrison Home Corp. Class A (a) | 6,650 | 141,778 | ||||||
TRI Pointe Group, Inc. (a) | 24,736 | 310,189 | ||||||
UCP, Inc. Class A (a) | 1,249 | 12,677 | ||||||
William Lyon Homes Class A (a) (b) | 3,904 | 80,501 | ||||||
Winnebago Industries, Inc. | 4,453 | 130,250 | ||||||
|
| |||||||
2,236,396 | ||||||||
|
|
Number of Shares | Value | |||||||
Home Furnishing — 0.4% | ||||||||
American Woodmark Corp. (a) | 2,272 | $ | 208,570 | |||||
Bassett Furniture Industries, Inc. | 1,631 | 43,874 | ||||||
Daktronics, Inc. | 6,163 | 58,240 | ||||||
Ethan Allen Interiors, Inc. | 4,099 | 125,634 | ||||||
Flexsteel Industries, Inc. | 1,097 | 55,289 | ||||||
Hooker Furniture Corp. | 1,890 | 58,685 | ||||||
iRobot Corp. (a) (b) | 4,459 | 294,918 | ||||||
La-Z-Boy, Inc. | 8,185 | 220,995 | ||||||
Select Comfort Corp. (a) (b) | 7,161 | 177,521 | ||||||
Universal Electronics, Inc. (a) | 2,352 | 161,112 | ||||||
|
| |||||||
1,404,838 | ||||||||
|
| |||||||
Housewares — 0.1% | ||||||||
Libbey, Inc. | 3,556 | 51,846 | ||||||
Lifetime Brands, Inc. | 1,957 | 39,336 | ||||||
NACCO Industries, Inc. Class A | 661 | 46,138 | ||||||
|
| |||||||
137,320 | ||||||||
|
| |||||||
Leisure Time — 0.5% | ||||||||
Acushnet Holdings Corp. (a) (b) | 3,807 | 65,785 | ||||||
Callaway Golf Co. | 15,664 | 173,400 | ||||||
Camping World Holdings, Inc. Class A | 2,033 | 65,544 | ||||||
ClubCorp Holdings, Inc. | 10,679 | 171,398 | ||||||
Escalade, Inc. | 1,586 | 20,459 | ||||||
Fox Factory Holding Corp. (a) | 3,778 | 108,429 | ||||||
Intrawest Resorts Holdings, Inc. (a) | 2,685 | 67,152 | ||||||
Johnson Outdoors, Inc. Class A | 776 | 28,324 | ||||||
LCI Industries | 3,942 | 393,412 | ||||||
Liberty TripAdvisor Holdings, Inc. Class A (a) | 12,065 | 170,116 | ||||||
Lindblad Expeditions Holdings, Inc. (a) | 2,207 | 19,775 | ||||||
Malibu Boats, Inc. Class A (a) | 3,040 | 68,248 | ||||||
Marine Products Corp. | 1,792 | 19,479 | ||||||
MCBC Holdings, Inc. | 1,209 | 19,550 | ||||||
Nautilus, Inc. (a) | 4,982 | 90,922 | ||||||
Planet Fitness, Inc. Class A | 4,361 | 84,036 | ||||||
|
| |||||||
1,566,029 | ||||||||
|
| |||||||
Lodging — 0.4% | ||||||||
Belmond Ltd. Class A (a) | 14,053 | 170,041 | ||||||
Boyd Gaming Corp. (a) | 13,688 | 301,273 | ||||||
Caesars Entertainment Corp. (a) (b) | 9,311 | 88,920 | ||||||
Century Casinos, Inc. (a) | 3,731 | 28,206 | ||||||
ILG, Inc. | 18,689 | 391,721 | ||||||
La Quinta Holdings, Inc. (a) | 14,174 | 191,633 | ||||||
The Marcus Corp. | 3,135 | 100,634 | ||||||
Monarch Casino & Resort, Inc. (a) | 1,817 | 53,674 | ||||||
Red Lion Hotels Corp. (a) | 2,289 | 16,138 | ||||||
|
| |||||||
1,342,240 | ||||||||
|
| |||||||
Office Furnishings — 0.4% | ||||||||
CompX International, Inc. | 299 | 4,590 | ||||||
Herman Miller, Inc. | 9,944 | 313,733 |
The accompanying notes are an integral part of the financial statements.
112
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
HNI Corp. | 7,523 | $ | 346,735 | |||||
Interface, Inc. | 10,823 | 206,178 | ||||||
Kimball International, Inc. Class B | 6,214 | 102,531 | ||||||
Knoll, Inc. | 8,050 | 191,670 | ||||||
Steelcase, Inc. Class A | 14,361 | 240,547 | ||||||
|
| |||||||
1,405,984 | ||||||||
|
| |||||||
Retail — 4.3% | ||||||||
Abercrombie & Fitch Co. Class A (b) | 11,274 | 134,499 | ||||||
America’s Car-Mart, Inc. (a) | 1,336 | 48,697 | ||||||
American Eagle Outfitters, Inc. (b) | 27,662 | 388,098 | ||||||
Asbury Automotive Group, Inc. (a) | 3,331 | 200,193 | ||||||
Ascena Retail Group, Inc. (a) (b) | 28,425 | 121,090 | ||||||
At Home Group, Inc. (a) | 1,508 | 22,861 | ||||||
Barnes & Noble Education, Inc. (a) | 6,570 | 63,006 | ||||||
Barnes & Noble, Inc. | 10,587 | 97,930 | ||||||
Big 5 Sporting Goods Corp. (b) | 3,015 | 45,526 | ||||||
Big Lots, Inc. (b) | 7,385 | 359,502 | ||||||
Biglari Holdings, Inc. (a) | 169 | 73,005 | ||||||
BJ’s Restaurants, Inc. (a) | 3,513 | 141,925 | ||||||
Bloomin’ Brands, Inc. | 17,279 | 340,915 | ||||||
BMC Stock Holdings, Inc. (a) | 9,075 | 205,095 | ||||||
Bob Evans Farms, Inc. | 3,290 | 213,422 | ||||||
Bojangles’, Inc. (a) | 1,712 | 35,096 | ||||||
Boot Barn Holdings, Inc. (a) | 2,244 | 22,193 | ||||||
The Buckle, Inc. (b) | 4,820 | 89,652 | ||||||
Buffalo Wild Wings, Inc. (a) | 2,904 | 443,586 | ||||||
Build-A-Bear Workshop, Inc. (a) | 2,314 | 20,479 | ||||||
Caleres, Inc. | 7,168 | 189,379 | ||||||
Carrols Restaurant Group, Inc. (a) | 5,624 | 79,580 | ||||||
The Cato Corp. Class A | 4,287 | 94,143 | ||||||
The Cheesecake Factory, Inc. | 7,532 | 477,228 | ||||||
Chico’s FAS, Inc. | 21,636 | 307,231 | ||||||
The Children’s Place, Inc. (b) | 3,108 | 373,115 | ||||||
Chuy’s Holdings, Inc. (a) | 2,664 | 79,387 | ||||||
Citi Trends, Inc. | 2,429 | 41,293 | ||||||
Conn’s, Inc. (a) (b) | 3,400 | 29,750 | ||||||
The Container Store Group, Inc. (a) (b) | 2,494 | 10,550 | ||||||
Cracker Barrel Old Country Store, Inc. (b) | 3,184 | 507,052 | ||||||
Dave & Buster’s Entertainment, Inc. (a) | 6,289 | 384,195 | ||||||
Del Frisco’s Restaurant Group, Inc. (a) | 3,906 | 70,503 | ||||||
Del Taco Restaurants, Inc. (a) (b) | 3,947 | 52,337 | ||||||
Denny’s Corp. (a) | 11,597 | 143,455 | ||||||
Destination XL Group, Inc. (a) | 5,610 | 15,989 | ||||||
DineEquity, Inc. | 2,937 | 159,832 | ||||||
DSW, Inc. Class A | 11,225 | 232,133 | ||||||
Duluth Holdings, Inc. Class B (a) (b) | 1,515 | 32,254 | ||||||
El Pollo Loco Holdings, Inc. (a) (b) | 3,201 | 38,252 | ||||||
Express, Inc. (a) | 12,353 | 112,536 | ||||||
EZCORP, Inc. Class A (a) | 8,207 | 66,887 | ||||||
Fiesta Restaurant Group, Inc. (a) | 4,441 | 107,472 |
Number of Shares | Value | |||||||
The Finish Line, Inc. Class A | 6,920 | $ | 98,472 | |||||
FirstCash, Inc. | 7,898 | 388,187 | ||||||
Five Below, Inc. (a) | 8,888 | 384,939 | ||||||
Fogo De Chao, Inc. (a) | 943 | 15,324 | ||||||
Foundation Building Materials, Inc. (a) | 2,151 | 34,351 | ||||||
Francesca’s Holdings Corp. (a) | 6,214 | 95,385 | ||||||
Fred’s, Inc. Class A (b) | 5,797 | 75,941 | ||||||
Freshpet, Inc. (a) | 3,813 | 41,943 | ||||||
Gaia, Inc. (a) | 1,026 | 10,209 | ||||||
Genesco, Inc. (a) | 3,432 | 190,304 | ||||||
GMS, Inc. (a) | 1,195 | 41,873 | ||||||
GNC Holdings, Inc. Class A (b) | 11,509 | 84,706 | ||||||
Group 1 Automotive, Inc. | 3,452 | 255,724 | ||||||
Guess?, Inc. | 10,161 | 113,295 | ||||||
The Habit Restaurants, Inc. Class A (a) (b) | 2,268 | 40,144 | ||||||
Haverty Furniture Cos., Inc. | 3,110 | 75,728 | ||||||
Hibbett Sports, Inc. (a) (b) | 3,787 | 111,716 | ||||||
HSN, Inc. | 5,243 | 194,515 | ||||||
J Alexander’s Holdings, Inc. (a) | 2,152 | 21,628 | ||||||
Jack in the Box, Inc. | 5,418 | 551,119 | ||||||
Jamba, Inc. (a) (b) | 1,993 | 18,037 | ||||||
Kirkland’s, Inc. (a) | 2,475 | 30,690 | ||||||
Kona Grill, Inc. (a) (b) | 1,210 | 7,623 | ||||||
Lithia Motors, Inc. Class A | 3,941 | 337,547 | ||||||
Luby’s, Inc. (a) | 2,951 | 9,178 | ||||||
Lumber Liquidators Holdings, Inc. (a) (b) | 4,313 | 90,530 | ||||||
MarineMax, Inc. (a) | 4,054 | 87,769 | ||||||
Movado Group, Inc. | 2,586 | 64,521 | ||||||
Nathan’s Famous, Inc. (a) | 522 | 32,703 | ||||||
Noodles & Co. (a) (b) | 2,103 | 12,092 | ||||||
Office Depot, Inc. | 86,022 | 401,293 | ||||||
Ollie’s Bargain Outlet Holdings, Inc. (a) | 3,394 | 113,699 | ||||||
Papa John’s International, Inc. | 4,510 | 360,980 | ||||||
Party City Holdco, Inc. (a) (b) | 4,507 | 63,323 | ||||||
PC Connection, Inc. | 1,919 | 57,167 | ||||||
PetMed Express, Inc. | 3,301 | 66,482 | ||||||
Pier 1 Imports, Inc. | 13,258 | 94,927 | ||||||
Potbelly Corp. (a) | 4,098 | 56,962 | ||||||
PriceSmart, Inc. | 3,320 | 306,104 | ||||||
Red Robin Gourmet Burgers, Inc. (a) (b) | 2,134 | 124,732 | ||||||
Regis Corp. (a) | 6,046 | 70,859 | ||||||
RH (a) (b) | 6,456 | 298,655 | ||||||
Ruby Tuesday, Inc. (a) | 10,526 | 29,578 | ||||||
Rush Enterprises, Inc. Class A (a) | 4,898 | 162,026 | ||||||
Rush Enterprises, Inc. Class B (a) | 996 | 31,055 | ||||||
Ruth’s Hospitality Group, Inc. | 5,167 | 103,598 | ||||||
Sears Holdings Corp. (a) (b) | 1,691 | 19,430 | ||||||
Sears Hometown and Outlet Stores, Inc. (a) | 2,124 | 8,284 | ||||||
Shake Shack, Inc. Class A (a) (b) | 2,668 | 89,111 | ||||||
Shoe Carnival, Inc. | 2,281 | 56,044 |
The accompanying notes are an integral part of the financial statements.
113
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Sonic Automotive, Inc. Class A | 4,716 | $ | 94,556 | |||||
Sonic Corp. (b) | 7,432 | 188,476 | ||||||
Sportsman’s Warehouse Holdings, Inc. (a) (b) | 4,079 | 19,498 | ||||||
Stage Stores, Inc. (b) | 3,864 | 10,008 | ||||||
Stein Mart, Inc. (b) | 4,679 | 14,084 | ||||||
Tailored Brands, Inc. (b) | 8,028 | 119,938 | ||||||
Texas Roadhouse, Inc. | 10,996 | 489,652 | ||||||
Tile Shop Holdings, Inc. (b) | 5,454 | 104,989 | ||||||
Tilly’s, Inc. Class A | 1,879 | 16,949 | ||||||
Tuesday Morning Corp. (a) (b) | 7,866 | 29,497 | ||||||
Vera Bradley, Inc. (a) (b) | 3,150 | 29,327 | ||||||
Vitamin Shoppe, Inc. (a) | 3,906 | 78,706 | ||||||
West Marine, Inc. (a) | 3,267 | 31,167 | ||||||
Wingstop, Inc. | 2,569 | 72,651 | ||||||
Winmark Corp. | 390 | 44,070 | ||||||
Zoe’s Kitchen, Inc. (a) (b) | 3,163 | 58,515 | ||||||
Zumiez, Inc. (a) | 3,034 | 55,522 | ||||||
|
| |||||||
14,159,430 | ||||||||
|
| |||||||
Storage & Warehousing — 0.1% | ||||||||
Mobile Mini, Inc. | 7,395 | 225,548 | ||||||
Wesco Aircraft Holdings, Inc. (a) | 9,256 | 105,518 | ||||||
|
| |||||||
331,066 | ||||||||
|
| |||||||
Textiles — 0.1% | ||||||||
Culp, Inc. | 1,822 | 56,846 | ||||||
UniFirst Corp. | 2,508 | 354,757 | ||||||
|
| |||||||
411,603 | ||||||||
|
| |||||||
Toys, Games & Hobbies — 0.0% | ||||||||
JAKKS Pacific, Inc. (a) (b) | 2,314 | 12,727 | ||||||
|
| |||||||
35,586,478 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 18.7% | ||||||||
Agriculture — 0.3% | ||||||||
Alico, Inc. | 490 | 12,936 | ||||||
Alliance One International, Inc. (a) | 1,254 | 16,114 | ||||||
The Andersons, Inc. | 4,426 | 167,745 | ||||||
Limoneira Co. | 1,855 | 38,788 | ||||||
Tejon Ranch Co. (a) | 2,284 | 49,997 | ||||||
Turning Point Brands, Inc. (a) | 924 | 14,414 | ||||||
Universal Corp. | 4,099 | 290,004 | ||||||
Vector Group Ltd. | 15,422 | 320,778 | ||||||
|
| |||||||
910,776 | ||||||||
|
| |||||||
Beverages — 0.2% | ||||||||
The Boston Beer Co., Inc. Class A (a) | 1,466 | 212,057 | ||||||
Coca-Cola Bottling Co. Consolidated (b) | 782 | 161,107 | ||||||
Craft Brew Alliance, Inc. (a) | 2,005 | 26,767 | ||||||
Farmer Brothers Co. (a) | 1,282 | 45,319 | ||||||
MGP Ingredients, Inc. | 2,103 | 114,046 | ||||||
National Beverage Corp. (b) | 1,947 | 164,580 | ||||||
Primo Water Corp. (a) | 3,709 | 50,368 | ||||||
|
| |||||||
774,244 | ||||||||
|
|
Number of Shares | Value | |||||||
Biotechnology — 3.6% | ||||||||
Acceleron Pharma, Inc. (a) | 4,552 | $ | 120,491 | |||||
Achillion Pharmaceuticals, Inc. (a) | 19,125 | 80,516 | ||||||
Acorda Therapeutics, Inc. (a) | 7,142 | 149,982 | ||||||
Aduro Biotech, Inc. (a) | 6,198 | 66,629 | ||||||
Advaxis, Inc. (a) (b) | 6,085 | 49,714 | ||||||
Adverum Biotechnologies, Inc. (a) | 3,670 | 9,909 | ||||||
Aevi Genomic Medicine, Inc. (a) (b) | 4,184 | 7,782 | ||||||
Agenus, Inc. (a) (b) | 12,204 | 46,009 | ||||||
Alder Biopharmaceuticals, Inc. (a) | 7,784 | 161,907 | ||||||
AMAG Pharmaceuticals, Inc. (a) | 5,720 | 128,986 | ||||||
AnaptysBio, Inc. (a) | 840 | 23,310 | ||||||
Anavex Life Sciences Corp. (a) (b) | 5,721 | 32,839 | ||||||
ANI Pharmaceuticals, Inc. (a) (b) | 1,311 | 64,908 | ||||||
Applied Genetic Technologies Corp. (a) | 2,063 | 14,235 | ||||||
Aptevo Therapeutics, Inc. (a) | 3,077 | 6,339 | ||||||
Aratana Therapeutics, Inc. (a) (b) | 5,227 | 27,703 | ||||||
Ardelyx, Inc. (a) | 5,103 | 64,553 | ||||||
Arena Pharmaceuticals, Inc. (a) | 41,405 | 60,451 | ||||||
Argos Therapeutics, Inc. (a) (b) | 2,231 | 1,008 | ||||||
Arrowhead Pharmaceuticals, Inc. (a) (b) | 11,924 | 22,059 | ||||||
Asterias Biotherapeutics, Inc. (a) | 352 | 151 | ||||||
Asterias Biotherapeutics, Inc. (a) | 3,721 | 12,651 | ||||||
Atara Biotherapeutics, Inc. (a) | 3,918 | 80,515 | ||||||
Athersys, Inc. (a) (b) | 16,458 | 28,143 | ||||||
Audentes Therapeutics, Inc. (a) | 860 | 14,654 | ||||||
Bellicum Pharmaceuticals, Inc. (a) | 3,491 | 43,079 | ||||||
BioCryst Pharmaceuticals, Inc. (a) (b) | 13,256 | 111,350 | ||||||
BioTime, Inc. (a) | 12,105 | 41,762 | ||||||
Bluebird Bio, Inc. (a) (b) | 6,757 | 614,211 | ||||||
Blueprint Medicines Corp. (a) | 4,032 | 161,240 | ||||||
Cambrex Corp. (a) | 5,294 | 291,435 | ||||||
Celldex Therapeutics, Inc. (a) | 16,093 | 58,096 | ||||||
Cellular Biomedicine Group, Inc. (a) (b) | 2,209 | 26,066 | ||||||
ChemoCentryx, Inc. (a) | 3,557 | 25,895 | ||||||
ChromaDex Corp. (a) | 4,572 | 12,299 | ||||||
Clearside Biomedical, Inc. (a) (b) | 1,814 | 14,403 | ||||||
Corvus Pharmaceuticals, Inc. (a) | 628 | 13,044 | ||||||
Curis, Inc. (a) (b) | 18,845 | 52,389 | ||||||
Cytokinetics, Inc. (a) | 5,470 | 70,290 | ||||||
CytomX Therapeutics, Inc. (a) | 3,431 | 59,253 | ||||||
CytRx Corp. (a) (b) | 12,657 | 5,622 | ||||||
Dermira, Inc. (a) | 4,808 | 164,001 | ||||||
Dimension Therapeutics, Inc. (a) | 1,791 | 3,134 | ||||||
Dynavax Technologies Corp. (a) (b) | 7,484 | 44,530 | ||||||
Edge Therapeutics, Inc. (a) | 2,759 | 25,135 | ||||||
Editas Medicine, Inc. (a) (b) | 1,297 | 28,949 | ||||||
Eiger BioPharmaceuticals, Inc. (a) | 654 | 7,488 | ||||||
Emergent BioSolutions, Inc. (a) | 5,396 | 156,700 | ||||||
Endocyte, Inc. (a) | 5,722 | 14,706 | ||||||
Enzo Biochem, Inc. (a) | 6,567 | 54,966 | ||||||
Epizyme, Inc. (a) | 6,720 | 115,248 | ||||||
Esperion Therapeutics, Inc. (a) | 2,377 | 83,932 |
The accompanying notes are an integral part of the financial statements.
114
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Exact Sciences Corp. (a) (b) | 17,556 | $ | 414,673 | |||||
Exelixis, Inc. (a) | 37,755 | 818,151 | ||||||
FibroGen, Inc. (a) | 8,696 | 214,356 | ||||||
Five Prime Therapeutics, Inc. (a) | 4,526 | 163,615 | ||||||
Flex Pharma, Inc. (a) | 1,570 | 6,908 | ||||||
Fortress Biotech, Inc. (a) (b) | 5,300 | 19,610 | ||||||
Foundation Medicine, Inc. (a) (b) | 2,234 | 72,047 | ||||||
Galena Biopharma, Inc. (a) (b) | 2,152 | 1,313 | ||||||
Geron Corp. (a) (b) | 25,232 | 57,277 | ||||||
GlycoMimetics, Inc. (a) (b) | 1,841 | 9,997 | ||||||
Halozyme Therapeutics, Inc. (a) (b) | 18,151 | 235,237 | ||||||
Idera Pharmaceuticals, Inc. (a) (b) | 16,812 | 41,526 | ||||||
ImmunoGen, Inc. (a) (b) | 14,382 | 55,658 | ||||||
Immunomedics, Inc. (a) (b) | 16,230 | 105,008 | ||||||
Infinity Pharmaceuticals, Inc. (a) | 7,556 | 24,406 | ||||||
Innoviva, Inc. (a) (b) | 13,428 | 185,709 | ||||||
Inovio Pharmaceuticals, Inc. (a) (b) | 10,843 | 71,781 | ||||||
Insmed, Inc. (a) | 10,283 | 180,055 | ||||||
Intellia Therapeutics, Inc. (a) | 1,050 | 14,795 | ||||||
Karyopharm Therapeutics, Inc. (a) | 4,452 | 57,164 | ||||||
Kite Pharma, Inc. (a) (b) | 7,231 | 567,561 | ||||||
Lexicon Pharmaceuticals, Inc. (a) (b) | 7,072 | 101,412 | ||||||
Ligand Pharmaceuticals, Inc. (a) | 3,165 | 334,984 | ||||||
Lion Biotechnologies, Inc. (a) | 9,158 | 68,227 | ||||||
Loxo Oncology, Inc. (a) (b) | 2,690 | 113,195 | ||||||
MacroGenics, Inc. (a) | 5,324 | 99,026 | ||||||
The Medicines Co. (a) (b) | 11,185 | 546,947 | ||||||
Merrimack Pharmaceuticals, Inc. (a) (b) | 20,827 | 64,147 | ||||||
Momenta Pharmaceuticals, Inc. (a) | 10,709 | 142,965 | ||||||
Myriad Genetics, Inc. (a) (b) | 11,280 | 216,576 | ||||||
NantKwest, Inc. (a) (b) | 2,503 | 8,886 | ||||||
NeoGenomics, Inc. (a) (b) | 8,649 | 68,241 | ||||||
NewLink Genetics Corp. (a) | 3,590 | 86,519 | ||||||
Novavax, Inc. (a) (b) | 45,516 | 58,260 | ||||||
Omeros Corp. (a) (b) | 6,594 | 99,701 | ||||||
OncoMed Pharmaceuticals, Inc. (a) | 3,382 | 31,148 | ||||||
Organovo Holdings, Inc. (a) (b) | 15,423 | 49,045 | ||||||
Otonomy, Inc. (a) | 3,949 | 48,375 | ||||||
OvaScience, Inc. (a) (b) | 4,713 | 8,813 | ||||||
Pacific Biosciences of California, Inc. (a) | 12,970 | 67,055 | ||||||
Paratek Pharmaceuticals, Inc. (a) (b) | 3,277 | 63,082 | ||||||
PDL BioPharma, Inc. | 27,801 | 63,108 | ||||||
Pfenex, Inc. (a) | 3,290 | 19,115 | ||||||
PharmAthene, Inc. | 10,656 | 8,647 | ||||||
Prothena Corp. PLC (a) (b) | 5,768 | 321,797 | ||||||
PTC Therapeutics, Inc. (a) | 5,660 | 55,694 | ||||||
Puma Biotechnology, Inc. (a) (b) | 4,645 | 172,794 | ||||||
REGENXBIO, Inc. (a) | 3,418 | 65,967 | ||||||
Retrophin, Inc. (a) | 6,033 | 111,369 | ||||||
Rigel Pharmaceuticals, Inc. (a) (b) | 19,919 | 65,932 | ||||||
RTI Surgical, Inc. (a) | 9,942 | 39,768 | ||||||
Sage Therapeutics, Inc. (a) | 5,005 | 355,705 |
Number of Shares | Value | |||||||
Sangamo Therapeutics, Inc. (a) | 11,711 | $ | 60,897 | |||||
Second Sight Medical Products, Inc. (a) (b) | 2,964 | 3,586 | ||||||
Selecta Biosciences, Inc. (a) | 764 | 10,940 | ||||||
Senseonics Holdings, Inc. (a) | 4,008 | 7,174 | ||||||
Spark Therapeutics, Inc. (a) (b) | 3,176 | 169,408 | ||||||
Spectrum Pharmaceuticals, Inc. (a) | 12,869 | 83,649 | ||||||
Stemline Therapeutics, Inc. (a) (b) | 3,384 | 28,933 | ||||||
Syndax Pharmaceuticals, Inc. (a) (b) | 727 | 9,974 | ||||||
Synthetic Biologics, Inc. (a) (b) | 11,406 | 7,194 | ||||||
Theravance Biopharma, Inc. (a) | 6,662 | 245,295 | ||||||
Tobira Therapeutics, Inc. (a) (c) | 1,376 | 10,678 | ||||||
Tokai Pharmaceuticals, Inc. (a) (b) | 2,001 | 1,672 | ||||||
Trovagene, Inc. (a) (b) | 4,212 | 4,844 | ||||||
Ultragenyx Pharmaceutical, Inc. (a) | 6,397 | 433,589 | ||||||
Veracyte, Inc. (a) | 2,737 | 25,126 | ||||||
Versartis, Inc. (a) | 5,170 | 110,380 | ||||||
WaVe Life Sciences Ltd. (a) | 1,175 | 32,313 | ||||||
XBiotech, Inc. (a) (b) | 2,995 | 49,388 | ||||||
ZIOPHARM Oncology, Inc. (a) (b) | 20,201 | 128,074 | ||||||
|
| |||||||
11,871,128 | ||||||||
|
| |||||||
Commercial Services — 4.4% | ||||||||
Aaron’s, Inc. | 10,907 | 324,374 | ||||||
ABM Industries, Inc. | 9,248 | 403,213 | ||||||
The Advisory Board Co. (a) | 6,802 | 318,334 | ||||||
Alarm.com Holdings, Inc. (a) (b) | 1,738 | 53,426 | ||||||
Albany Molecular Research, Inc. (a) (b) | 4,292 | 60,217 | ||||||
American Public Education, Inc. (a) | 2,608 | 59,723 | ||||||
AMN Healthcare Services, Inc. (a) | 7,855 | 318,913 | ||||||
ARC Document Solutions, Inc. (a) | 6,379 | 22,008 | ||||||
Ascent Capital Group, Inc. Class A (a) | 1,626 | 22,975 | ||||||
B. Riley Financial, Inc. | 1,592 | 23,880 | ||||||
Barrett Business Services, Inc. | 1,152 | 62,922 | ||||||
Bridgepoint Education, Inc. (a) | 3,100 | 33,077 | ||||||
Bright Horizons Family Solutions, Inc. (a) | 7,288 | 528,307 | ||||||
The Brink’s Co. | 7,480 | 399,806 | ||||||
CAI International, Inc. (a) | 2,499 | 39,334 | ||||||
Cambium Learning Group, Inc. (a) | 2,067 | 10,128 | ||||||
Capella Education Co. | 1,876 | 159,507 | ||||||
Cardtronics PLC Class A (a) | 7,483 | 349,830 | ||||||
Care.com, Inc. (a) | 2,479 | 31,012 | ||||||
Career Education Corp. (a) | 11,226 | 97,666 | ||||||
Carriage Services, Inc. | 2,466 | 66,878 | ||||||
CBIZ, Inc. (a) | 8,252 | 111,815 | ||||||
CEB, Inc. | 5,337 | 419,488 | ||||||
Cimpress NV (a) (b) | 4,168 | 359,240 | ||||||
Collectors Universe, Inc. | 1,316 | 34,348 | ||||||
Corvel Corp. (a) | 1,676 | 72,906 | ||||||
CPI Card Group, Inc. (b) | 3,146 | 13,213 |
The accompanying notes are an integral part of the financial statements.
115
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
CRA International, Inc. | 1,331 | $ | 47,024 | |||||
Cross Country Healthcare, Inc. (a) | 5,317 | 76,352 | ||||||
Deluxe Corp. | 8,115 | 585,660 | ||||||
DeVry Education Group, Inc. | 10,377 | 367,865 | ||||||
Ennis, Inc. | 4,304 | 73,168 | ||||||
EVERTEC, Inc. | 10,654 | 169,399 | ||||||
Forrester Research, Inc. | 1,640 | 65,190 | ||||||
Franklin Covey Co. (a) | 1,725 | 34,845 | ||||||
FTI Consulting, Inc. (a) | 6,897 | 283,949 | ||||||
Grand Canyon Education, Inc. (a) | 7,458 | 534,067 | ||||||
Great Lakes Dredge & Dock Corp. (a) | 10,277 | 41,108 | ||||||
Green Dot Corp. Class A (a) | 7,121 | 237,557 | ||||||
The Hackett Group, Inc. | 3,783 | 73,731 | ||||||
Healthcare Services Group, Inc. | 11,669 | 502,817 | ||||||
HealthEquity, Inc. (a) | 7,160 | 303,942 | ||||||
Heidrick & Struggles International, Inc. | 3,051 | 80,394 | ||||||
HMS Holdings Corp. (a) | 13,995 | 284,518 | ||||||
Huron Consulting Group, Inc. (a) | 3,593 | 151,265 | ||||||
ICF International, Inc. (a) | 2,966 | 122,496 | ||||||
INC Research Holdings, Inc. Class A (a) | 6,878 | 315,356 | ||||||
Information Services Group, Inc. (a) | 4,666 | 14,698 | ||||||
Insperity, Inc. | 2,621 | 232,352 | ||||||
K12, Inc. (a) | 5,580 | 106,857 | ||||||
Kelly Services, Inc. Class A | 4,930 | 107,770 | ||||||
Kforce, Inc. | 3,991 | 94,786 | ||||||
Korn/Ferry International | 9,501 | 299,187 | ||||||
Landauer, Inc. | 1,559 | 76,001 | ||||||
Laureate Education, Inc. Class A (a) | 5,883 | 83,950 | ||||||
LendingTree, Inc. (a) | 1,057 | 132,495 | ||||||
Liberty Tax, Inc. | 1,059 | 15,091 | ||||||
Matthews International Corp. Class A | 5,303 | 358,748 | ||||||
McGrath RentCorp | 3,900 | 130,923 | ||||||
Medifast, Inc. | 1,720 | 76,316 | ||||||
MoneyGram International, Inc. (a) | 4,850 | 81,529 | ||||||
Monro Muffler Brake, Inc. | 5,212 | 271,545 | ||||||
National Research Corp. Class A | 1,506 | 29,668 | ||||||
Navigant Consulting, Inc. (a) | 7,969 | 182,171 | ||||||
Neff Corp. Class A (a) | 1,576 | 30,653 | ||||||
Nutrisystem, Inc. | 4,851 | 269,231 | ||||||
On Assignment, Inc. (a) | 8,444 | 409,787 | ||||||
PAREXEL International Corp. (a) | 8,725 | 550,635 | ||||||
Patriot National, Inc. (a) (b) | 1,769 | 4,989 | ||||||
Paylocity Holding Corp. (a) | 3,576 | 138,141 | ||||||
PFSweb, Inc. (a) | 2,213 | 14,451 | ||||||
Quad/Graphics, Inc. | 4,820 | 121,657 | ||||||
Rent-A-Center, Inc. (b) | 8,389 | 74,410 | ||||||
Resources Connection, Inc. | 4,658 | 78,022 | ||||||
RPX Corp. (a) | 8,077 | 96,924 | ||||||
ServiceSource International, Inc. (a) | 10,622 | 41,213 | ||||||
Sotheby’s (a) | 8,177 | 371,890 | ||||||
SP Plus Corp. (a) | 2,817 | 95,074 | ||||||
Strayer Education, Inc. | 1,748 | 140,697 | ||||||
Team, Inc. (a) (b) | 4,755 | 128,623 |
Number of Shares | Value | |||||||
Textainer Group Holdings Ltd. | 3,641 | $ | 55,707 | |||||
Travelport Worldwide Ltd. | 19,226 | 226,290 | ||||||
TriNet Group, Inc. (a) | 6,977 | 201,635 | ||||||
TrueBlue, Inc. (a) | 6,986 | 191,067 | ||||||
Vectrus, Inc. (a) | 1,700 | 37,995 | ||||||
Viad Corp. | 3,336 | 150,787 | ||||||
Weight Watchers International, Inc. (a) | 4,606 | 71,715 | ||||||
|
| |||||||
14,542,923 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.2% | ||||||||
Avon Products, Inc. (a) | 73,164 | 321,921 | ||||||
elf Beauty, Inc. (a) (b) | 1,546 | 44,525 | ||||||
Inter Parfums, Inc. | 2,929 | 107,055 | ||||||
Revlon, Inc. Class A (a) | 1,982 | 55,199 | ||||||
|
| |||||||
528,700 | ||||||||
|
| |||||||
Foods — 1.5% | ||||||||
Amplify Snack Brands, Inc. (a) (b) | 5,092 | 42,773 | ||||||
B&G Foods, Inc. (b) | 10,922 | 439,611 | ||||||
Cal-Maine Foods, Inc. (b) | 5,137 | 189,042 | ||||||
Calavo Growers, Inc. (b) | 2,569 | 155,681 | ||||||
The Chefs’ Warehouse, Inc. (a) | 3,270 | 45,453 | ||||||
Dean Foods Co. | 15,212 | 299,068 | ||||||
Fresh Del Monte Produce, Inc. | 5,367 | 317,887 | ||||||
Ingles Markets, Inc. Class A | 2,337 | 100,842 | ||||||
Inventure Foods, Inc. (a) (b) | 3,010 | 13,304 | ||||||
J&J Snack Foods Corp. | 2,485 | 336,867 | ||||||
John B Sanfilippo & Son, Inc. (b) | 1,443 | 105,613 | ||||||
Lancaster Colony Corp. | 3,118 | 401,723 | ||||||
Lifeway Foods, Inc. (a) | 726 | 7,790 | ||||||
Performance Food Group Co. (a) | 6,205 | 147,679 | ||||||
Sanderson Farms, Inc. (b) | 3,322 | 344,956 | ||||||
Seaboard Corp. | 44 | 183,456 | ||||||
Seneca Foods Corp. Class A (a) | 1,097 | 39,602 | ||||||
Smart & Final Stores, Inc. (a) (b) | 3,982 | 48,182 | ||||||
Snyder’s-Lance, Inc. | 13,360 | 538,542 | ||||||
SpartanNash Co. | 6,167 | 215,783 | ||||||
SUPERVALU, Inc. (a) | 44,732 | 172,666 | ||||||
TerraVia Holdings, Inc. (a) (b) | 12,182 | 8,826 | ||||||
Tootsie Roll Industries, Inc. (b) | 2,962 | 110,640 | ||||||
United Natural Foods, Inc. (a) | 8,231 | 355,826 | ||||||
Village Super Market, Inc. Class A | 1,150 | 30,475 | ||||||
Weis Markets, Inc. | 1,616 | 96,394 | ||||||
|
| |||||||
4,748,681 | ||||||||
|
| |||||||
Foods — 0.1% | ||||||||
Darling Ingredients, Inc. (a) | 27,265 | 395,888 | ||||||
|
| |||||||
Health Care – Products — 3.4% | ||||||||
Abaxis, Inc. | 3,601 | 174,649 | ||||||
Accelerate Diagnostics, Inc. (a) (b) | 3,912 | 94,670 | ||||||
Accuray, Inc. (a) | 13,311 | 63,227 | ||||||
Analogic Corp. | 2,045 | 155,216 | ||||||
AngioDynamics, Inc. (a) | 4,421 | 76,704 |
The accompanying notes are an integral part of the financial statements.
116
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
AtriCure, Inc. (a) (b) | 5,294 | $ | 101,380 | |||||
Atrion Corp. | 226 | 105,813 | ||||||
Avinger, Inc. (a) | 2,760 | 5,244 | ||||||
AxoGen, Inc. (a) | 4,317 | 45,113 | ||||||
BioTelemetry, Inc. (a) | 4,436 | 128,422 | ||||||
Cantel Medical Corp. | 5,951 | 476,675 | ||||||
Cardiovascular Systems, Inc. (a) | 5,285 | 149,433 | ||||||
Cerus Corp. (a) | 16,441 | 73,162 | ||||||
Chemed Corp. | 2,677 | 489,061 | ||||||
ConforMIS, Inc. (a) (b) | 5,572 | 29,086 | ||||||
CONMED Corp. | 4,581 | 203,442 | ||||||
CryoLife, Inc. (a) | 5,328 | 88,711 | ||||||
Cutera, Inc. (a) | 2,036 | 42,145 | ||||||
Endologix, Inc. (a) (b) | 13,670 | 98,971 | ||||||
Entellus Medical, Inc. (a) | 1,411 | 19,472 | ||||||
Exactech, Inc. (a) | 1,791 | 45,133 | ||||||
GenMark Diagnostics, Inc. (a) | 7,146 | 91,612 | ||||||
Genomic Health, Inc. (a) | 3,146 | 99,068 | ||||||
Glaukos Corp. (a) | 2,805 | 143,897 | ||||||
Globus Medical, Inc. Class A (a) | 11,627 | 344,392 | ||||||
Haemonetics Corp. (a) | 8,494 | 344,602 | ||||||
Halyard Health, Inc. (a) | 7,782 | 296,416 | ||||||
ICU Medical, Inc. (a) | 2,442 | 372,893 | ||||||
Inogen, Inc. (a) | 2,730 | 211,739 | ||||||
Insulet Corp. (a) | 9,578 | 412,716 | ||||||
Integer Holdings Corp. (a) | 5,049 | 202,970 | ||||||
Integra LifeSciences Holdings Corp. (a) | 10,040 | 422,985 | ||||||
Intersect ENT, Inc. (a) | 4,237 | 72,665 | ||||||
Invacare Corp. | 5,163 | 61,440 | ||||||
InVivo Therapeutics Holdings Corp. (a) (b) | 5,007 | 20,278 | ||||||
iRadimed Corp. (a) (b) | 677 | 6,025 | ||||||
iRhythm Technologies, Inc. (a) (b) | 1,143 | 42,977 | ||||||
IRIDEX Corp. (a) | 1,406 | 16,689 | ||||||
K2M Group Holdings, Inc. (a) | 4,200 | 86,142 | ||||||
LeMaitre Vascular, Inc. | 2,292 | 56,452 | ||||||
Luminex Corp. | 6,231 | 114,463 | ||||||
Masimo Corp. (a) | 6,777 | 632,023 | ||||||
Meridian Bioscience, Inc. | 6,997 | 96,559 | ||||||
Merit Medical Systems, Inc. (a) | 7,193 | 207,878 | ||||||
MiMedx Group, Inc. (a) (b) | 16,974 | 161,762 | ||||||
NanoString Technologies, Inc. (a) | 2,580 | 51,265 | ||||||
Natus Medical, Inc. (a) | 5,438 | 213,442 | ||||||
Nevro Corp. (a) | 3,989 | 373,769 | ||||||
Novan, Inc. (a) | 761 | 4,855 | ||||||
Novocure Ltd. (a) | 8,512 | 68,947 | ||||||
NuVasive, Inc. (a) | 8,225 | 614,243 | ||||||
NxStage Medical, Inc. (a) | 10,569 | 283,566 | ||||||
Obalon Therapeutics, Inc. (a) (b) | 770 | 8,231 | ||||||
OraSure Technologies, Inc. (a) | 8,885 | 114,883 | ||||||
Orthofix International NV (a) | 2,922 | 111,474 | ||||||
Oxford Immunotec Global PLC (a) | 3,706 | 57,406 | ||||||
Penumbra, Inc. (a) | 4,605 | 384,287 |
Number of Shares | Value | |||||||
Quidel Corp. (a) | 4,526 | $ | 102,469 | |||||
Repligen Corp. (a) | 5,572 | 196,134 | ||||||
Rockwell Medical, Inc. (a) (b) | 8,177 | 51,188 | ||||||
The Spectranetics Corp. (a) | 7,078 | 206,147 | ||||||
STAAR Surgical Co. (a) | 6,676 | 65,425 | ||||||
Surmodics, Inc. (a) | 2,216 | 53,295 | ||||||
Tactile Systems Technology, Inc. (a) (b) | 625 | 11,844 | ||||||
Tandem Diabetes Care, Inc. (a) | 2,789 | 3,347 | ||||||
TransEnterix, Inc. (a) | 10,989 | 13,297 | ||||||
Utah Medical Products, Inc. | 576 | 35,885 | ||||||
ViewRay, Inc. (a) (b) | 1,246 | 10,603 | ||||||
Wright Medical Group NV (a) | 17,118 | 532,712 | ||||||
Zeltiq Aesthetics, Inc. (a) | 5,885 | 327,265 | ||||||
|
| |||||||
11,080,351 | ||||||||
|
| |||||||
Health Care – Services — 1.2% | ||||||||
AAC Holdings, Inc. (a) (b) | 1,487 | 12,684 | ||||||
Addus HomeCare Corp. (a) | 1,182 | 37,824 | ||||||
Adeptus Health, Inc. Class A (a) (b) | 2,145 | 3,861 | ||||||
Air Methods Corp. (a) | 5,625 | 241,875 | ||||||
Almost Family, Inc. (a) | 1,869 | 90,833 | ||||||
Amedisys, Inc. (a) | 4,667 | 238,437 | ||||||
American Renal Associates Holdings, Inc. (a) (b) | 1,525 | 25,742 | ||||||
Capital Senior Living Corp. (a) | 4,619 | 64,943 | ||||||
Civitas Solutions, Inc. (a) | 2,604 | 47,783 | ||||||
Community Health Systems, Inc. (a) | 18,338 | 162,658 | ||||||
The Ensign Group, Inc. | 7,923 | 148,952 | ||||||
Fulgent Genetics, Inc. (a) (b) | 643 | 7,022 | ||||||
Genesis Healthcare, Inc. (a) | 5,750 | 15,180 | ||||||
HealthSouth Corp. | 14,728 | 630,506 | ||||||
Invitae Corp. (a) | 4,501 | 49,781 | ||||||
Kindred Healthcare, Inc. | 14,157 | 118,211 | ||||||
LHC Group, Inc. (a) | 2,496 | 134,534 | ||||||
Magellan Health, Inc. (a) | 3,875 | 267,569 | ||||||
Medpace Holdings, Inc. (a) | 1,284 | 38,327 | ||||||
Molina Healthcare, Inc. (a) | 7,187 | 327,727 | ||||||
Natera, Inc. (a) | 4,112 | 36,474 | ||||||
National HealthCare Corp. | 1,858 | 132,475 | ||||||
Nobilis Health Corp. (a) (b) | 8,316 | 14,137 | ||||||
The Providence Service Corp. (a) | 1,954 | 86,836 | ||||||
Quorum Health Corp. (a) | 5,027 | 27,347 | ||||||
RadNet, Inc. (a) | 6,494 | 38,315 | ||||||
Select Medical Holdings Corp. (a) | 17,723 | 236,602 | ||||||
Surgery Partners, Inc. (a) | 3,131 | 61,055 | ||||||
Teladoc, Inc. (a) | 4,050 | 101,250 | ||||||
Tivity Health, Inc. (a) | 5,281 | 153,677 | ||||||
Triple-S Management Corp. Class B (a) | 3,789 | 66,573 | ||||||
U.S. Physical Therapy, Inc. | 2,006 | 130,992 | ||||||
Universal American Corp. (a) | 7,038 | 70,169 | ||||||
|
| |||||||
3,820,351 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
117
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Household Products & Wares — 0.4% | ||||||||
ACCO Brands Corp. (a) | 17,720 | $ | 233,018 | |||||
Central Garden & Pet Co. (a) (b) | 1,709 | 63,353 | ||||||
Central Garden & Pet Co. Class A (a) | 5,494 | 190,752 | ||||||
CSS Industries, Inc. | 1,455 | 37,713 | ||||||
Helen of Troy Ltd. (a) | 4,654 | 438,407 | ||||||
T2 Biosystems, Inc. (a) (b) | 2,279 | 11,987 | ||||||
WD-40 Co. | 2,337 | 254,616 | ||||||
|
| |||||||
1,229,846 | ||||||||
|
| |||||||
Pharmaceuticals — 3.4% | ||||||||
AcelRx Pharmaceuticals, Inc. (a) (b) | 5,247 | 16,528 | ||||||
Aclaris Therapeutics, Inc. (a) | 1,937 | 57,761 | ||||||
Adamas Pharmaceuticals, Inc. (a) | 2,870 | 50,225 | ||||||
Aerie Pharmaceuticals, Inc. (a) | 4,787 | 217,091 | ||||||
Agile Therapeutics, Inc. (a) | 2,052 | 6,577 | ||||||
Aimmune Therapeutics, Inc. (a) (b) | 4,411 | 95,851 | ||||||
Akebia Therapeutics, Inc. (a) | 6,033 | 55,504 | ||||||
Amicus Therapeutics, Inc. (a) (b) | 23,655 | 168,660 | ||||||
Amphastar Pharmaceuticals, Inc. (a) (b) | 5,998 | 86,971 | ||||||
Ampio Pharmaceuticals, Inc. (a) (b) | 8,314 | 6,651 | ||||||
Anika Therapeutics, Inc. (a) | 2,368 | 102,866 | ||||||
Anthera Pharmaceuticals, Inc. (a) (b) | 6,305 | 2,683 | ||||||
Array BioPharma, Inc. (a) (b) | 27,795 | 248,487 | ||||||
Avexis, Inc. (a) | 977 | 74,281 | ||||||
Axovant Sciences Ltd. (a) | 4,189 | 62,584 | ||||||
Axsome Therapeutics, Inc. (a) (b) | 1,722 | 6,716 | ||||||
Bio-Path Holdings, Inc. (a) (b) | 14,025 | 11,600 | ||||||
BioScrip, Inc. (a) (b) | 19,592 | 33,306 | ||||||
BioSpecifics Technologies Corp. (a) | 858 | 47,018 | ||||||
Cara Therapeutics, Inc. (a) (b) | 3,487 | 64,126 | ||||||
Catalent, Inc. (a) | 16,568 | 469,206 | ||||||
Cempra, Inc. (a) | 7,875 | 29,531 | ||||||
Chimerix, Inc. (a) | 7,223 | 46,083 | ||||||
Cidara Therapeutics, Inc. (a) | 2,167 | 16,903 | ||||||
Clovis Oncology, Inc. (a) | 6,095 | 388,069 | ||||||
Coherus Biosciences, Inc. (a) | 5,622 | 118,905 | ||||||
Collegium Pharmaceutical, Inc. (a) (b) | 2,625 | 26,408 | ||||||
Concert Pharmaceuticals, Inc. (a) | 2,941 | 50,174 | ||||||
Corcept Therapeutics, Inc. (a) | 12,410 | 136,014 | ||||||
Depomed, Inc. (a) | 10,270 | 128,889 | ||||||
Diplomat Pharmacy, Inc. (a) | 7,617 | 121,491 | ||||||
Durect Corp. (a) | 19,100 | 20,055 | ||||||
Eagle Pharmaceuticals, Inc. (a) (b) | 1,473 | 122,171 | ||||||
Egalet Corp. (a) (b) | 3,954 | 20,165 | ||||||
Enanta Pharmaceuticals, Inc. (a) | 2,654 | 81,743 | ||||||
Flexion Therapeutics, Inc. (a) | 4,441 | 119,507 | ||||||
Global Blood Therapeutics, Inc. (a) | 3,330 | 122,711 | ||||||
Heron Therapeutics, Inc. (a) (b) | 7,051 | 105,765 | ||||||
Heska Corp. (a) | 1,022 | 107,290 | ||||||
Horizon Pharma PLC (a) | 26,799 | 396,089 | ||||||
Ignyta, Inc. (a) | 5,312 | 45,683 |
Number of Shares | Value | |||||||
Immune Design Corp. (a) (b) | 2,139 | $ | 14,545 | |||||
Impax Laboratories, Inc. (a) | 12,048 | 152,407 | ||||||
Inotek Pharmaceuticals Corp. (a) (b) | 2,622 | 5,244 | ||||||
Insys Therapeutics, Inc. (a) (b) | 4,088 | 42,965 | ||||||
Intra-Cellular Therapies, Inc. (a) (b) | 5,622 | 91,358 | ||||||
Ironwood Pharmaceuticals, Inc. (a) (b) | 21,483 | 366,500 | ||||||
Jounce Therapeutics, Inc. (a) | 1,070 | 23,529 | ||||||
Kadmon Holdings, Inc. (a) (b) | 1,216 | 4,402 | ||||||
Keryx Biopharmaceuticals, Inc. (a) (b) | 12,939 | 79,704 | ||||||
La Jolla Pharmaceutical Co. (a) (b) | 2,311 | 68,983 | ||||||
Lannett Co., Inc. (a) (b) | 4,670 | 104,375 | ||||||
Lifevantage Corp. (a) | 2,068 | 11,105 | ||||||
Lipocine, Inc. (a) (b) | 3,137 | 12,234 | ||||||
MannKind Corp. (a) (b) | 11,555 | 17,101 | ||||||
MediciNova, Inc. (a) (b) | 4,743 | 28,411 | ||||||
Minerva Neurosciences, Inc. (a) | 3,489 | 28,261 | ||||||
Mirati Therapeutics, Inc. (a) | 2,422 | 12,594 | ||||||
MyoKardia, Inc. (a) | 2,069 | 27,207 | ||||||
Myovant Sciences Ltd. (a) (b) | �� | 1,694 | 19,888 | |||||
Natural Grocers by Vitamin Cottage, | 1,452 | 15,086 | ||||||
Natural Health Trends Corp. (b) | 1,290 | 37,281 | ||||||
Nature’s Sunshine Products, Inc. | 1,386 | 13,860 | ||||||
Nektar Therapeutics (a) | 23,627 | 554,526 | ||||||
Neogen Corp. (a) | 6,047 | 396,381 | ||||||
Neos Therapeutics, Inc. (a) (b) | 2,990 | 21,528 | ||||||
Nutraceutical International Corp. | 1,416 | 44,108 | ||||||
Ocular Therapeutix, Inc. (a) (b) | 3,457 | 32,081 | ||||||
Omega Protein Corp. | 3,561 | 71,398 | ||||||
Omthera Pharmaceuticals, Inc. (a) (c) | 428 | - | ||||||
Ophthotech Corp. (a) | 4,877 | 17,850 | ||||||
Owens & Minor, Inc. | 10,364 | 358,594 | ||||||
Pacira Pharmaceuticals, Inc. (a) | 6,052 | 275,971 | ||||||
PharMerica Corp. (a) | 4,922 | 115,175 | ||||||
Phibro Animal Health Corp. Class A | 3,049 | 85,677 | ||||||
Portola Pharmaceuticals, Inc. (a) | 8,174 | 320,339 | ||||||
PRA Health Sciences, Inc. (a) | 4,026 | 262,616 | ||||||
Prestige Brands Holdings, Inc. (a) | 8,853 | 491,873 | ||||||
Progenics Pharmaceuticals, Inc. (a) (b) | 11,657 | 110,042 | ||||||
Protagonist Therapeutics, Inc. (a) | 1,137 | 14,565 | ||||||
Proteostasis Therapeutics, Inc. (a) | 1,238 | 9,681 | ||||||
Ra Pharmaceuticals, Inc. (a) | 1,308 | 27,847 | ||||||
Radius Health, Inc. (a) (b) | 5,243 | 202,642 | ||||||
Reata Pharmaceuticals, Inc. Class A (a) (b) | 1,057 | 23,941 | ||||||
Regulus Therapeutics, Inc. (a) (b) | 5,827 | 9,615 | ||||||
Revance Therapeutics, Inc. (a) | 3,415 | 71,032 | ||||||
Sarepta Therapeutics, Inc. (a) (b) | 8,329 | 246,538 | ||||||
SciClone Pharmaceuticals, Inc. (a) | 8,163 | 79,997 | ||||||
Seres Therapeutics, Inc. (a) | 2,838 | 31,984 | ||||||
Sorrento Therapeutics, Inc. (a) (b) | 4,521 | 17,858 | ||||||
Sucampo Pharmaceuticals, Inc. Class A (a) (b) | 4,047 | 44,517 |
The accompanying notes are an integral part of the financial statements.
118
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Supernus Pharmaceuticals, Inc. (a) | 7,834 | $ | 245,204 | |||||
Synergy Pharmaceuticals, Inc. (a) (b) | 33,567 | 156,422 | ||||||
Synutra International, Inc. (a) (b) | 3,342 | 19,885 | ||||||
Syros Pharmaceuticals, Inc. (a) | 697 | 11,103 | ||||||
Teligent, Inc. (a) (b) | 6,895 | 53,850 | ||||||
TESARO, Inc. (a) (b) | 4,751 | 731,036 | ||||||
Tetraphase Pharmaceuticals, Inc. (a) | 6,032 | 55,434 | ||||||
TG Therapeutics, Inc. (a) (b) | 7,100 | 82,715 | ||||||
TherapeuticsMD, Inc. (a) (b) | 24,917 | 179,402 | ||||||
Titan Pharmaceuticals, Inc. (a) (b) | 2,756 | 9,095 | ||||||
Trevena, Inc. (a) | 8,135 | 29,856 | ||||||
USANA Health Sciences, Inc. (a) | 1,743 | 100,397 | ||||||
Vanda Pharmaceuticals, Inc. (a) | 6,195 | 86,730 | ||||||
Vital Therapies, Inc. (a) | 3,564 | 14,256 | ||||||
Voyager Therapeutics, Inc. (a) | 2,112 | 27,963 | ||||||
vTv Therapeutics, Inc. Class A (a) | 1,443 | 9,452 | ||||||
Xencor, Inc. (a) | 5,946 | 142,228 | ||||||
Zafgen, Inc. (a) | 3,494 | 16,282 | ||||||
Zogenix, Inc. (a) (b) | 4,105 | 44,539 | ||||||
|
| |||||||
11,219,603 | ||||||||
|
| |||||||
61,122,491 | ||||||||
|
| |||||||
Diversified — 0.1% | ||||||||
Holding Company – Diversified — 0.1% | ||||||||
HRG Group, Inc. (a) | 19,686 | 380,333 | ||||||
Wins Finance Holdings, Inc. (a) (b) | 212 | 30,738 | ||||||
|
| |||||||
411,071 | ||||||||
|
| |||||||
Energy — 3.1% | ||||||||
Coal — 0.1% | ||||||||
Ramaco Resources, Inc. (a) | 1,008 | 9,747 | ||||||
SunCoke Energy, Inc. (a) | 10,782 | 96,607 | ||||||
Westmoreland Coal Co. (a) | 3,116 | 45,244 | ||||||
|
| |||||||
151,598 | ||||||||
|
| |||||||
Energy – Alternate Sources — 0.3% | ||||||||
Clean Energy Fuels Corp. (a) | 17,329 | 44,189 | ||||||
FuelCell Energy, Inc. (a) (b) | 7,404 | 10,181 | ||||||
FutureFuel Corp. | 4,195 | 59,485 | ||||||
Green Plains, Inc. (b) | 6,017 | 148,921 | ||||||
Pacific Ethanol, Inc. (a) | 4,565 | 31,270 | ||||||
Pattern Energy Group, Inc. (b) | 11,014 | 221,712 | ||||||
Plug Power, Inc. (a) (b) | 31,758 | 43,826 | ||||||
Renewable Energy Group, Inc. (a) (b) | 6,485 | 67,768 | ||||||
REX American Resources Corp. (a) | 921 | 83,341 | ||||||
Sunrun, Inc. (a) (b) | 10,672 | 57,629 | ||||||
TerraForm Global, Inc. Class A | 15,182 | 72,874 | ||||||
TerraForm Power, Inc. Class A (a) (b) | 14,665 | 181,406 | ||||||
TPI Composites, Inc. (a) | 900 | 17,109 | ||||||
Vivint Solar, Inc. (a) (b) | 3,508 | 9,822 | ||||||
|
| |||||||
1,049,533 | ||||||||
|
|
Number of Shares | Value | |||||||
Oil & Gas — 1.7% | ||||||||
Abraxas Petroleum Corp. (a) | 23,646 | $ | 47,765 | |||||
Adams Resources & Energy, Inc. | 322 | 12,027 | ||||||
Alon USA Energy, Inc. | 5,290 | 64,485 | ||||||
Atwood Oceanics, Inc. (a) (b) | 12,671 | 120,755 | ||||||
Bill Barrett Corp. (a) (b) | 9,965 | 45,341 | ||||||
California Resources Corp. (a) (b) | 5,197 | 78,163 | ||||||
Callon Petroleum Co. (a) | 30,906 | 406,723 | ||||||
Carrizo Oil & Gas, Inc. (a) | 10,279 | 294,596 | ||||||
Clayton Williams Energy, Inc. (a) (b) | 978 | 129,174 | ||||||
Cobalt International Energy, Inc. (a) | 66,693 | 35,574 | ||||||
Contango Oil & Gas Co. (a) | 3,553 | 26,008 | ||||||
CVR Energy, Inc. (b) | 2,696 | 54,136 | ||||||
Delek US Holdings, Inc. | 10,237 | 248,452 | ||||||
Denbury Resources, Inc. (a) (b) | 58,511 | 150,958 | ||||||
Earthstone Energy, Inc. (a) (b) | 258 | 3,292 | ||||||
Eclipse Resources Corp. (a) | 8,827 | 22,421 | ||||||
EP Energy Corp. Class A (a) (b) | 6,545 | 31,089 | ||||||
Erin Energy Corp. (a) (b) | 3,030 | 7,272 | ||||||
Evolution Petroleum Corp. | 3,816 | 30,528 | ||||||
EXCO Resources, Inc. (a) (b) | 21,007 | 13,022 | ||||||
Isramco, Inc. (a) | 138 | 16,167 | ||||||
Jagged Peak Energy, Inc. (a) | 5,311 | 69,255 | ||||||
Jones Energy, Inc. Class A (a) (b) | 9,754 | 24,873 | ||||||
Matador Resources Co. (a) (b) | 14,721 | 350,213 | ||||||
Northern Oil and Gas, Inc. (a) (b) | 8,467 | 22,014 | ||||||
Oasis Petroleum, Inc. (a) | 38,739 | 552,418 | ||||||
Panhandle Oil & Gas, Inc. Class A | 2,620 | 50,304 | ||||||
Par Pacific Holdings, Inc. (a) (b) | 5,036 | 83,044 | ||||||
Parker Drilling Co. (a) | 20,301 | 35,527 | ||||||
PDC Energy, Inc. (a) | 9,310 | 580,478 | ||||||
Ring Energy, Inc. (a) | 6,968 | 75,394 | ||||||
RSP Permian, Inc. (a) | 16,326 | 676,386 | ||||||
Sanchez Energy Corp. (a) (b) | 11,309 | 107,888 | ||||||
Seadrill Ltd. (a) (b) | 63,336 | 104,504 | ||||||
SRC Energy, Inc. (a) (b) | 30,909 | 260,872 | ||||||
Trecora Resources (a) | 3,428 | 38,051 | ||||||
Unit Corp. (a) | 8,413 | 203,258 | ||||||
W&T Offshore, Inc. (a) | 5,307 | 14,700 | ||||||
Western Refining, Inc. | 13,404 | 470,078 | ||||||
WildHorse Resource Development Corp. (a) | 3,327 | 41,388 | ||||||
|
| |||||||
5,598,593 | ||||||||
|
| |||||||
Oil & Gas Services — 0.9% | ||||||||
Archrock, Inc. | 11,570 | 143,468 | ||||||
Bristow Group, Inc. (b) | 5,493 | 83,549 | ||||||
CARBO Ceramics, Inc. (a) (b) | 3,689 | 48,105 | ||||||
Dawson Geophysical Co. (a) | 3,027 | 16,830 | ||||||
Era Group, Inc. (a) | 3,280 | 43,493 | ||||||
Exterran Corp. (a) | 5,275 | 165,899 | ||||||
Flotek Industries, Inc. (a) (b) | 9,165 | 117,220 | ||||||
Forum Energy Technologies, Inc. (a) | 10,505 | 217,453 |
The accompanying notes are an integral part of the financial statements.
119
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Geospace Technologies Corp. (a) | 2,044 | $ | 33,174 | |||||
Helix Energy Solutions Group, Inc. (a) | 23,002 | 178,726 | ||||||
Independence Contract Drilling, Inc. (a) | 5,231 | 28,823 | ||||||
Keane Group, Inc. (a) | 5,172 | 73,960 | ||||||
Mammoth Energy Services, Inc. (a) | 1,250 | 26,888 | ||||||
Matrix Service Co. (a) | 4,358 | 71,907 | ||||||
McDermott International, Inc. (a) (b) | 40,220 | 271,485 | ||||||
MRC Global, Inc. (a) | 15,577 | 285,526 | ||||||
Natural Gas Services Group, Inc. (a) | 2,081 | 54,210 | ||||||
Newpark Resources, Inc. (a) | 13,958 | 113,060 | ||||||
NOW, Inc. (a) | 17,788 | 301,684 | ||||||
Oil States International, Inc. (a) | 8,519 | 282,405 | ||||||
PHI, Inc. (a) | 1,833 | 21,959 | ||||||
Pioneer Energy Services Corp. (a) | 12,811 | 51,244 | ||||||
SEACOR Holdings, Inc. (a) | 2,654 | 183,630 | ||||||
Tesco Corp. (a) | 7,725 | 62,186 | ||||||
TETRA Technologies, Inc. (a) | 19,425 | 79,060 | ||||||
Thermon Group Holdings, Inc. (a) | 5,348 | 111,452 | ||||||
Willbros Group, Inc. (a) | 6,715 | 18,399 | ||||||
|
| |||||||
3,085,795 | ||||||||
|
| |||||||
Pipelines — 0.1% | ||||||||
SemGroup Corp. Class A | 10,999 | 395,964 | ||||||
|
| |||||||
10,281,483 | ||||||||
|
| |||||||
Financial — 26.4% | ||||||||
Banks — 10.5% | ||||||||
1st Source Corp. | 2,628 | 123,385 | ||||||
Access National Corp. (b) | 1,293 | 38,816 | ||||||
ACNB Corp. | 1,029 | 29,687 | ||||||
Allegiance Bancshares, Inc. (a) | 1,822 | 67,778 | ||||||
American National Bankshares, Inc. | 1,378 | 51,331 | ||||||
Ameris Bancorp | 6,028 | 277,891 | ||||||
Ames National Corp. | 1,399 | 42,809 | ||||||
Arrow Financial Corp. | 1,893 | 64,173 | ||||||
Atlantic Capital Bancshares, Inc. (a) | 2,949 | 55,884 | ||||||
BancFirst Corp. | 1,308 | 117,589 | ||||||
The Bancorp, Inc. (a) | 8,489 | 43,294 | ||||||
BancorpSouth, Inc. | 14,363 | 434,481 | ||||||
Bank of Marin Bancorp | 964 | 62,033 | ||||||
The Bank of NT Butterfield & Son Ltd. | 2,095 | 66,851 | ||||||
Bank of the Ozarks, Inc. | 14,729 | 766,055 | ||||||
Bankwell Financial Group, Inc. | 971 | 33,393 | ||||||
Banner Corp. | 4,982 | 277,198 | ||||||
Bar Harbor Bankshares | 2,394 | 79,194 | ||||||
Blue Hills Bancorp, Inc. | 4,048 | 72,257 | ||||||
BNC Bancorp | 6,730 | 235,886 | ||||||
Boston Private Financial Holdings, Inc. | 13,574 | 222,614 | ||||||
Bridge Bancorp, Inc. | 3,050 | 106,750 | ||||||
Bryn Mawr Bank Corp. | 2,705 | 106,847 |
Number of Shares | Value | |||||||
C&F Financial Corp. | 485 | $ | 22,456 | |||||
Camden National Corp. | 2,563 | 112,875 | ||||||
Capital Bank Financial Corp. Class A | 4,047 | 175,640 | ||||||
Capital City Bank Group, Inc. | 1,898 | 40,598 | ||||||
Capstar Financial Holdings, Inc. (a) (b) | 479 | 9,135 | ||||||
Cardinal Financial Corp. | 5,198 | 155,628 | ||||||
Carolina Financial Corp. | 1,971 | 59,130 | ||||||
Cascade Bancorp (a) | 5,433 | 41,888 | ||||||
Cass Information Systems, Inc. | 1,817 | 120,104 | ||||||
Cathay General Bancorp | 12,310 | 463,841 | ||||||
CenterState Banks, Inc. | 8,103 | 209,868 | ||||||
Central Pacific Financial Corp. | 5,024 | 153,433 | ||||||
Central Valley Community Bancorp | 1,535 | 31,468 | ||||||
Century Bancorp, Inc. Class A | 505 | 30,717 | ||||||
Chemical Financial Corp. | 10,936 | 559,376 | ||||||
Chemung Financial Corp. | 490 | 19,355 | ||||||
Citizens & Northern Corp. | 2,009 | 46,770 | ||||||
City Holding Co. | 2,414 | 155,655 | ||||||
CNB Financial Corp. | 2,362 | 56,428 | ||||||
CoBiz Financial, Inc. | 6,027 | 101,254 | ||||||
Codorus Valley Bancorp, Inc. | 1,397 | 36,196 | ||||||
Columbia Banking System, Inc. | 9,633 | 375,591 | ||||||
Community Bank System, Inc. (b) | 7,140 | 392,557 | ||||||
Community Trust Bancorp, Inc. | 2,492 | 114,009 | ||||||
ConnectOne Bancorp, Inc. | 5,002 | 121,298 | ||||||
County Bancorp, Inc. | 770 | 22,376 | ||||||
CU Bancorp (a) | 2,661 | 105,509 | ||||||
Customers Bancorp, Inc. (a) | 4,532 | 142,894 | ||||||
CVB Financial Corp. (b) | 16,761 | 370,250 | ||||||
Eagle Bancorp, Inc. (a) | 5,077 | 303,097 | ||||||
Enterprise Bancorp, Inc. | 1,550 | 53,878 | ||||||
Enterprise Financial Services Corp. | 3,623 | 153,615 | ||||||
Equity Bancshares, Inc. Class A (a) (b) | 1,111 | 35,296 | ||||||
F.N.B. Corp. | 52,821 | 785,448 | ||||||
Farmers Capital Bank Corp. | 1,258 | 50,823 | ||||||
Farmers National Banc Corp. | 4,181 | 59,997 | ||||||
FB Financial Corp. (a) (b) | 1,072 | 37,906 | ||||||
FCB Financial Holdings, Inc. Class A (a) | 4,968 | 246,164 | ||||||
Fidelity Southern Corp. | 3,402 | 76,137 | ||||||
Financial Institutions, Inc. | 2,327 | 76,675 | ||||||
First BanCorp (a) | 19,799 | 111,864 | ||||||
First Bancorp | 3,207 | 93,933 | ||||||
First Bancorp, Inc. | 1,743 | 47,497 | ||||||
First Busey Corp. | 5,128 | 150,763 | ||||||
First Business Financial Services, Inc. | 1,389 | 36,058 | ||||||
First Citizens BancShares, Inc. Class A | 1,261 | 422,902 | ||||||
First Commonwealth Financial Corp. | 14,574 | 193,251 | ||||||
First Community Bancshares, Inc. | 2,630 | 65,671 | ||||||
First Community Financial Partners, Inc. (a) | 2,334 | 29,759 | ||||||
First Connecticut Bancorp, Inc. | 2,310 | 57,288 | ||||||
First Financial Bancorp | 10,156 | 278,782 |
The accompanying notes are an integral part of the financial statements.
120
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
First Financial Bankshares, Inc. (b) | 10,584 | $ | 424,418 | |||||
First Financial Corp. | 1,638 | 77,805 | ||||||
First Foundation, Inc. (a) | 4,397 | 68,197 | ||||||
First Internet Bancorp | 939 | 27,701 | ||||||
First Interstate BancSystem, Inc. Class A | 3,276 | 129,893 | ||||||
First Merchants Corp. | 6,759 | 265,764 | ||||||
First Mid-Illinois Bancshares, Inc. | 1,261 | 42,672 | ||||||
First Midwest Bancorp, Inc. | 14,814 | 350,796 | ||||||
First NBC Bank Holding Co. (a) (b) | 2,353 | 9,412 | ||||||
First Northwest Bancorp (a) | 1,662 | 25,761 | ||||||
The First of Long Island Corp. | 3,615 | 97,786 | ||||||
Franklin Financial Network, Inc. (a) | 1,934 | 74,942 | ||||||
Fulton Financial Corp. | 28,529 | 509,243 | ||||||
German American Bancorp Inc. | 2,366 | 112,006 | ||||||
Glacier Bancorp, Inc. | 12,639 | 428,841 | ||||||
Great Southern Bancorp, Inc. | 1,749 | 88,324 | ||||||
Great Western Bancorp, Inc. | 9,786 | 415,024 | ||||||
Green Bancorp, Inc. (a) | 3,531 | 62,852 | ||||||
Guaranty Bancorp | 2,945 | 71,711 | ||||||
Hancock Holding Co. | 13,936 | 634,785 | ||||||
Hanmi Financial Corp. | 5,206 | 160,084 | ||||||
HarborOne Bancorp, Inc. (a) (b) | 2,314 | 43,943 | ||||||
Heartland Financial USA, Inc. | 3,866 | 193,107 | ||||||
Heritage Commerce Corp. | 4,386 | 61,843 | ||||||
Heritage Financial Corp. | 4,910 | 121,522 | ||||||
Heritage Oaks Bancorp | 3,995 | 53,333 | ||||||
Hilltop Holdings, Inc. | 12,455 | 342,139 | ||||||
Home BancShares, Inc. | 20,077 | 543,484 | ||||||
Hope Bancorp, Inc. | 21,307 | 408,455 | ||||||
Horizon Bancorp | 3,220 | 84,428 | ||||||
IBERIABANK Corp. | 8,401 | 664,519 | ||||||
Independent Bank Corp. | 4,290 | 278,850 | ||||||
Independent Bank Corp. | 3,384 | 70,049 | ||||||
Independent Bank Group, Inc. | 1,851 | 119,019 | ||||||
International Bancshares Corp. | 9,078 | 321,361 | ||||||
Kearny Financial Corp. | 14,477 | 217,879 | ||||||
Lakeland Bancorp, Inc. | 6,870 | 134,652 | ||||||
Lakeland Financial Corp. | 3,988 | 171,963 | ||||||
LCNB Corp. | 1,508 | 35,966 | ||||||
LegacyTexas Financial Group, Inc. | 7,341 | 292,906 | ||||||
Live Oak Bancshares, Inc. | 3,256 | 70,492 | ||||||
Macatawa Bank Corp. | 4,217 | 41,664 | ||||||
MainSource Financial Group, Inc. | 3,831 | 126,155 | ||||||
MB Financial, Inc. | 12,588 | 539,018 | ||||||
MBT Financial Corp. | 3,120 | 35,412 | ||||||
Mercantile Bank Corp. | 2,586 | 88,958 | ||||||
Merchants Bancshares, Inc. | 941 | 45,827 | ||||||
Middleburg Financial Corp. (b) | 817 | 32,713 | ||||||
Midland States Bancorp, Inc. | 573 | 19,705 | ||||||
MidWestOne Financial Group, Inc. | 1,416 | 48,555 | ||||||
National Bank Holdings Corp. Class A | 3,989 | 129,642 | ||||||
National Bankshares, Inc. (b) | 1,176 | 44,159 | ||||||
National Commerce Corp. (a) | 1,453 | 53,180 |
Number of Shares | Value | |||||||
NBT Bancorp, Inc. | 7,027 | $ | 260,491 | |||||
Nicolet Bankshares, Inc. (a) | 1,275 | 60,358 | ||||||
Northrim BanCorp, Inc. | 1,169 | 35,128 | ||||||
OFG Bancorp (b) | 7,338 | 86,588 | ||||||
Old Line Bancshares, Inc. | 1,445 | 41,154 | ||||||
Old National Bancorp | 22,085 | 383,175 | ||||||
Old Second Bancorp, Inc. | 4,935 | 55,519 | ||||||
Opus Bank | 2,831 | 57,045 | ||||||
Orrstown Financial Services, Inc. | 1,299 | 29,033 | ||||||
Pacific Continental Corp. | 3,428 | 83,986 | ||||||
Pacific Mercantile Bancorp (a) | 2,485 | 18,762 | ||||||
Paragon Commercial Corp. (a) | 132 | 7,061 | ||||||
Park National Corp. | 2,207 | 232,176 | ||||||
Park Sterling Corp. | 8,390 | 103,281 | ||||||
Peapack Gladstone Financial Corp. | 2,557 | 75,662 | ||||||
Penns Woods Bancorp, Inc. | 730 | 31,719 | ||||||
People’s Utah Bancorp | 2,187 | 57,846 | ||||||
Peoples Bancorp, Inc. | 2,656 | 84,089 | ||||||
Peoples Financial Services Corp. | 1,176 | 49,157 | ||||||
Pinnacle Financial Partners, Inc. | 7,766 | 516,051 | ||||||
Preferred Bank | 2,046 | 109,788 | ||||||
Premier Financial Bancorp, Inc. | 1,608 | 33,816 | ||||||
PrivateBancorp, Inc. | 13,044 | 774,422 | ||||||
Prosperity Bancshares, Inc. | 11,107 | 774,269 | ||||||
Provident Bancorp, Inc. (a) | 826 | 17,305 | ||||||
QCR Holdings, Inc. | 1,950 | 82,582 | ||||||
Renasant Corp. | 7,139 | 283,347 | ||||||
Republic Bancorp, Inc. Class A | 1,634 | 56,193 | ||||||
Republic First Bancorp, Inc. (a) | 8,496 | 70,517 | ||||||
S&T Bancorp, Inc. | 5,716 | 197,774 | ||||||
Sandy Spring Bancorp, Inc. | 3,905 | 160,066 | ||||||
Seacoast Banking Corp. of Florida (a) | 5,284 | 126,710 | ||||||
ServisFirst Bancshares, Inc. (b) | 7,643 | 278,052 | ||||||
Shore Bancshares, Inc. | 2,213 | 36,979 | ||||||
Sierra Bancorp | 1,968 | 53,982 | ||||||
Simmons First National Corp. Class A | 4,868 | 268,470 | ||||||
South State Corp. | 4,333 | 387,154 | ||||||
Southern First Bancshares, Inc. (a) | 1,004 | 32,781 | ||||||
Southern National Bancorp of Virginia, Inc. | 1,927 | 32,624 | ||||||
Southside Bancshares, Inc. | 4,387 | 147,272 | ||||||
Southwest Bancorp, Inc. | 2,992 | 78,241 | ||||||
State Bank Financial Corp. | 5,795 | 151,365 | ||||||
Stock Yards Bancorp, Inc. | 3,508 | 142,600 | ||||||
Stonegate Bank | 1,990 | 93,709 | ||||||
Summit Financial Group, Inc. (b) | 1,416 | 30,501 | ||||||
Sun Bancorp, Inc. | 1,689 | 41,212 | ||||||
Texas Capital Bancshares, Inc. (a) | 8,259 | 689,214 | ||||||
Tompkins Financial Corp. | 2,407 | 193,884 | ||||||
Towne Bank | 9,243 | 299,473 | ||||||
TriCo Bancshares | 3,380 | 120,091 | ||||||
TriState Capital Holdings, Inc. (a) | 3,599 | 84,037 | ||||||
Triumph Bancorp, Inc. (a) | 2,570 | 66,306 |
The accompanying notes are an integral part of the financial statements.
121
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
TrustCo Bank Corp NY | 15,122 | $ | 118,708 | |||||
Trustmark Corp. | 11,198 | 355,984 | ||||||
UMB Financial Corp. | 7,456 | 561,511 | ||||||
Umpqua Holdings Corp. | 36,750 | 651,945 | ||||||
Union Bankshares Corp. | 7,197 | 253,190 | ||||||
Union Bankshares, Inc. (b) | 703 | 30,194 | ||||||
United Bankshares, Inc. (b) | 11,580 | 489,255 | ||||||
United Community Banks, Inc. | 11,623 | 321,841 | ||||||
Univest Corp. of Pennsylvania | 4,123 | 106,786 | ||||||
Valley National Bancorp | 41,158 | 485,664 | ||||||
Veritex Holdings, Inc. (a) | 1,889 | 53,119 | ||||||
Walker & Dunlop, Inc. (a) | 4,569 | 190,482 | ||||||
Washington Trust Bancorp, Inc. | 2,471 | 121,820 | ||||||
WashingtonFirst Bankshares, Inc. | 1,429 | 40,012 | ||||||
Webster Financial Corp. | 15,246 | 762,910 | ||||||
WesBanco, Inc. | 6,676 | 254,422 | ||||||
West Bancorporation, Inc. | 2,594 | 59,532 | ||||||
Westamerica Bancorp. | 4,093 | 228,512 | ||||||
Western New England Bancorp, Inc. | 4,281 | 44,951 | ||||||
Wintrust Financial Corp. (b) | 8,543 | 590,492 | ||||||
Xenith Bankshares, Inc. (a) | 1,297 | 32,905 | ||||||
|
| |||||||
34,439,466 | ||||||||
|
| |||||||
Diversified Financial Services — 2.5% | ||||||||
Aircastle Ltd. | 7,866 | 189,807 | ||||||
Altisource Portfolio Solutions SA (a) (b) | 1,933 | 71,134 | ||||||
Arlington Asset Investment Corp. (b) | 3,687 | 52,097 | ||||||
Associated Capital Group, Inc. Class A | 778 | 28,125 | ||||||
BGC Partners, Inc. Class A | 36,102 | 410,119 | ||||||
Blackhawk Network Holdings, Inc. (a) | 9,119 | 370,231 | ||||||
California First National Bancorp (b) | 439 | 7,112 | ||||||
Cohen & Steers, Inc. | 3,463 | 138,416 | ||||||
Cowen Group, Inc. Class A (a) (b) | 4,276 | 63,926 | ||||||
Diamond Hill Investment Group, Inc. | 509 | 99,026 | ||||||
Ellie Mae, Inc. (a) | 5,442 | 545,669 | ||||||
Encore Capital Group, Inc. (a) (b) | 3,966 | 122,153 | ||||||
Enova International, Inc. (a) | 4,404 | 65,399 | ||||||
Evercore Partners, Inc. Class A | 6,475 | 504,403 | ||||||
FBR & Co. | 1,041 | 18,790 | ||||||
Federal Agricultural Mortgage Corp. Class C | 1,421 | 81,807 | ||||||
Financial Engines, Inc. | 8,876 | 386,550 | ||||||
FNFV Group (a) | 10,925 | 144,756 | ||||||
Gain Capital Holdings, Inc. | 6,242 | 51,996 | ||||||
GAMCO Investors, Inc. Class A | 658 | 19,470 | ||||||
Greenhill & Co., Inc. (b) | 4,599 | 134,751 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 8,004 | 161,681 | ||||||
Hennessy Advisors, Inc. | 702 | 11,801 | ||||||
Houlihan Lokey, Inc. | 3,492 | 120,299 |
Number of Shares | Value | |||||||
Impac Mortgage Holdings, Inc. (a) (b) | 1,545 | $ | 19,251 | |||||
INTL. FCStone, Inc. (a) | 2,479 | 94,103 | ||||||
Investment Technology Group, Inc. | 5,511 | 111,598 | ||||||
Janus Capital Group, Inc. | 23,982 | 316,562 | ||||||
KCG Holdings, Inc. Class A (a) | 6,727 | 119,942 | ||||||
Ladder Capital Corp. | 7,236 | 104,488 | ||||||
Ladenburg Thalmann Financial Services, Inc. (a) | 16,908 | 41,932 | ||||||
LendingClub Corp. (a) | 54,627 | 299,902 | ||||||
Manning & Napier, Inc. (b) | 2,391 | 13,629 | ||||||
Marlin Business Services Corp. | 1,432 | 36,874 | ||||||
Medley Management, Inc. Class A | 1,104 | 9,163 | ||||||
Moelis & Co.Class A | 3,911 | 150,574 | ||||||
Nationstar Mortgage Holdings, Inc. (a) (b) | 5,439 | 85,719 | ||||||
Nelnet, Inc. Class A | 3,326 | 145,878 | ||||||
NewStar Financial, Inc. | 3,876 | 41,008 | ||||||
Ocwen Financial Corp. (a) (b) | 16,683 | 91,256 | ||||||
OM Asset Management PLC | 6,770 | 102,362 | ||||||
On Deck Capital, Inc. (a) | 7,635 | 38,480 | ||||||
Oppenheimer Holdings, Inc. Class A | 1,578 | 26,984 | ||||||
PennyMac Financial Services, Inc. Class A (a) | 2,162 | 36,862 | ||||||
PHH Corp. (a) | 8,802 | 112,049 | ||||||
Piper Jaffray Cos., Inc. | 2,430 | 155,156 | ||||||
PJT Partners, Inc. Class A | 2,991 | 104,954 | ||||||
PRA Group, Inc. (a) | 7,654 | 253,730 | ||||||
Pzena Investment Management, Inc. Class A | 2,603 | 25,614 | ||||||
Regional Management Corp. (a) | 1,859 | 36,120 | ||||||
Silvercrest Asset Management Group, Inc. Class A | 1,087 | 14,457 | ||||||
Stifel Financial Corp. (a) | 10,651 | 534,574 | ||||||
Virtu Financial, Inc. Class A | 4,229 | 71,893 | ||||||
Virtus Investment Partners, Inc. | 869 | 92,027 | ||||||
Waddell & Reed Financial, Inc. Class A (b) | 13,187 | 224,179 | ||||||
WageWorks, Inc. (a) | 6,059 | 438,066 | ||||||
Walter Investment Management | 3,539 | 3,822 | ||||||
Westwood Holdings Group, Inc. | 1,300 | 69,433 | ||||||
WisdomTree Investments, Inc. (b) | 19,269 | 174,963 | ||||||
World Acceptance Corp. (a) (b) | 1,018 | 52,712 | ||||||
|
| |||||||
8,049,834 | ||||||||
|
| |||||||
Insurance — 2.9% | ||||||||
Ambac Financial Group, Inc. (a) | 7,406 | 139,677 | ||||||
American Equity Investment Life Holding Co. | 14,220 | 336,019 | ||||||
AMERISAFE, Inc. | 3,159 | 205,019 | ||||||
Argo Group International Holdings Ltd. | 4,777 | 323,881 | ||||||
Atlas Financial Holdings, Inc. (a) | 1,827 | 24,939 | ||||||
Baldwin & Lyons, Inc. Class B | 1,496 | 36,577 |
The accompanying notes are an integral part of the financial statements.
122
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Blue Capital Reinsurance Holdings Ltd. | 938 | $ | 18,103 | |||||
Citizens, Inc. (a) (b) | 7,706 | 57,256 | ||||||
CNO Financial Group, Inc. | 29,766 | 610,203 | ||||||
Crawford & Co. Class B | 1,798 | 18,034 | ||||||
Donegal Group, Inc. Class A | 1,262 | 22,236 | ||||||
eHealth, Inc. (a) | 3,112 | 37,468 | ||||||
EMC Insurance Group, Inc. | 1,415 | 39,705 | ||||||
Employers Holdings, Inc. | 5,345 | 202,843 | ||||||
Enstar Group Ltd. (a) | 1,887 | 360,983 | ||||||
Essent Group Ltd. (a) | 12,390 | 448,146 | ||||||
FBL Financial Group, Inc. Class A | 1,640 | 107,338 | ||||||
Federated National Holding Co. | 2,000 | 34,860 | ||||||
Fidelity & Guaranty Life (b) | 2,027 | 56,351 | ||||||
Genworth Financial, Inc. Class A (a) | 83,643 | 344,609 | ||||||
Global Indemnity Ltd. (a) | 1,432 | 55,118 | ||||||
Greenlight Capital Re Ltd. Class A (a) | 4,915 | 108,621 | ||||||
Hallmark Financial Services, Inc. (a) | 2,435 | 26,907 | ||||||
HCI Group, Inc. (b) | 1,425 | 64,952 | ||||||
Heritage Insurance Holdings, Inc. | 4,476 | 57,159 | ||||||
Horace Mann Educators Corp. | 6,714 | 275,610 | ||||||
Independence Holding Co. | 1,266 | 23,548 | ||||||
Infinity Property & Casualty Corp. | 1,786 | 170,563 | ||||||
Investors Title Co. | 252 | 39,854 | ||||||
James River Group Holdings Ltd. | 2,416 | 103,550 | ||||||
Kemper Corp. | 6,579 | 262,502 | ||||||
Kinsale Capital Group, Inc. | 1,159 | 37,134 | ||||||
Maiden Holdings Ltd. | 11,538 | 161,532 | ||||||
MBIA, Inc. (a) | 21,894 | 185,442 | ||||||
MGIC Investment Corp. (a) | 56,661 | 573,976 | ||||||
National General Holdings Corp. | 8,032 | 190,840 | ||||||
National Western Life Group, Inc. Class A | 378 | 114,972 | ||||||
The Navigators Group, Inc. | 3,744 | 203,299 | ||||||
NMI Holdings, Inc. Class A (a) | 8,182 | 93,275 | ||||||
OneBeacon Insurance Group Ltd. Class A | 3,252 | 52,032 | ||||||
Primerica, Inc. | 7,800 | 641,160 | ||||||
Radian Group, Inc. | 35,753 | 642,124 | ||||||
RLI Corp. | 6,311 | 378,786 | ||||||
Safety Insurance Group, Inc. | 2,374 | 166,417 | ||||||
Selective Insurance Group, Inc. | 9,420 | 444,153 | ||||||
State Auto Financial Corp. | 2,596 | 71,260 | ||||||
State National Cos., Inc. | 5,092 | 73,325 | ||||||
Stewart Information Services Corp. | 3,759 | 166,073 | ||||||
Third Point Reinsurance Ltd. (a) | 10,955 | 132,555 | ||||||
Trupanion, Inc. (a) (b) | 2,286 | 32,507 | ||||||
United Fire Group, Inc. | 3,579 | 153,074 | ||||||
United Insurance Holdings Corp. (b) | 2,718 | 43,352 | ||||||
Universal Insurance Holdings, Inc. (b) | 5,423 | 132,863 | ||||||
WMIH Corp. (a) (b) | 34,287 | 49,716 | ||||||
|
| |||||||
9,352,498 | ||||||||
|
|
Number of Shares | Value | |||||||
Investment Companies — 0.0% | ||||||||
Acacia Research Corp. (a) | 8,488 | $ | 48,806 | |||||
Real Industry, Inc. (a) | 3,933 | 11,209 | ||||||
Tiptree, Inc. | 3,478 | 25,389 | ||||||
|
| |||||||
85,404 | ||||||||
|
| |||||||
Private Equity — 0.1% | ||||||||
Fifth Street Asset Management, | 890 | 4,094 | ||||||
Kennedy-Wilson Holdings, Inc. | 13,710 | 304,362 | ||||||
Safeguard Scientifics, Inc. (a) | 3,472 | 44,094 | ||||||
|
| |||||||
352,550 | ||||||||
|
| |||||||
Real Estate — 0.4% | ||||||||
Alexander & Baldwin, Inc. | 7,743 | 344,718 | ||||||
Community Healthcare Trust, Inc. | 2,146 | 51,289 | ||||||
Consolidated-Tomoka Land Co. | 633 | 33,891 | ||||||
Farmland Partners, Inc. (b) | 4,240 | 47,361 | ||||||
Forestar Group, Inc. (a) | 6,981 | 95,291 | ||||||
FRP Holdings, Inc. (a) | 1,047 | 41,880 | ||||||
Griffin Industrial Realty, Inc. | 133 | 4,116 | ||||||
HFF, Inc. Class A | 5,956 | 164,803 | ||||||
Marcus & Millichap, Inc. (a) | 2,457 | 60,393 | ||||||
RE/MAX Holdings, Inc. Class A | 2,945 | 175,080 | ||||||
The RMR Group, Inc. Class A | 1,150 | 56,925 | ||||||
The St. Joe Co. (a) | 8,308 | 141,651 | ||||||
Stratus Properties, Inc. (b) | 1,084 | 29,702 | ||||||
Trinity Place Holdings, Inc. (a) | 3,647 | 26,660 | ||||||
|
| |||||||
1,273,760 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 8.0% | ||||||||
Acadia Realty Trust | 13,287 | 399,407 | ||||||
AG Mortgage Investment Trust, Inc. | 4,550 | 82,128 | ||||||
Agree Realty Corp. | 4,212 | 202,008 | ||||||
Alexander’s, Inc. | 353 | 152,447 | ||||||
Altisource Residential Corp. | 8,709 | 132,812 | ||||||
American Assets Trust, Inc. | 6,484 | 271,291 | ||||||
Anworth Mortgage Asset Corp. | 15,549 | 86,297 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 13,557 | 255,007 | ||||||
Ares Commercial Real Estate Corp. | 4,560 | 61,013 | ||||||
Armada Hoffler Properties, Inc. (b) | 5,810 | 80,701 | ||||||
ARMOUR Residential REIT, Inc. (b) | 6,128 | 139,167 | ||||||
Ashford Hospitality Prime, Inc. | 4,764 | 50,546 | ||||||
Ashford Hospitality Trust, Inc. | 12,715 | 80,995 | ||||||
Bluerock Residential Growth REIT, Inc. | 3,655 | 44,993 | ||||||
Capstead Mortgage Corp. | 16,041 | 169,072 | ||||||
CareTrust REIT, Inc. | 10,566 | 177,720 | ||||||
Catchmark Timber Trust, Inc. Class A | 6,365 | 73,325 | ||||||
CBL & Associates Properties, Inc. (b) | 28,056 | 267,654 | ||||||
Cedar Realty Trust, Inc. | 13,395 | 67,243 | ||||||
Chatham Lodging Trust | 6,229 | 123,023 | ||||||
Chesapeake Lodging Trust | 9,873 | 236,557 |
The accompanying notes are an integral part of the financial statements.
123
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
City Office REIT, Inc. | 4,316 | $ | 52,439 | |||||
Clipper Realty, Inc. (a) | 958 | 12,282 | ||||||
Colony Starwood Homes | 12,034 | 408,554 | ||||||
CorEnergy Infrastructure Trust, Inc. | 1,988 | 67,155 | ||||||
CoreSite Realty Corp. | 5,561 | 500,768 | ||||||
Cousins Properties, Inc. | 60,023 | 496,390 | ||||||
CYS Investments, Inc. | 25,376 | 201,739 | ||||||
DiamondRock Hospitality Co. | 33,335 | 371,685 | ||||||
DuPont Fabros Technology, Inc. | 12,387 | 614,271 | ||||||
Dynex Capital, Inc. | 7,535 | 53,423 | ||||||
Easterly Government Properties, Inc. | 5,442 | 107,697 | ||||||
EastGroup Properties, Inc. | 5,232 | 384,709 | ||||||
Education Realty Trust, Inc. | 12,212 | 498,860 | ||||||
FelCor Lodging Trust, Inc. | 22,619 | 169,869 | ||||||
First Industrial Realty Trust, Inc. | 19,270 | 513,160 | ||||||
First Potomac Realty Trust | 9,779 | 100,528 | ||||||
Four Corners Property Trust, Inc. | 10,022 | 228,802 | ||||||
Franklin Street Properties Corp. | 17,473 | 212,122 | ||||||
The Geo Group, Inc. | 13,498 | 625,902 | ||||||
Getty Realty Corp. | 4,385 | 110,809 | ||||||
Gladstone Commercial Corp. | 4,077 | 84,272 | ||||||
Global Medical REIT, Inc. (b) | 2,755 | 25,015 | ||||||
Global Net Lease, Inc. (b) | 11,121 | 267,794 | ||||||
Government Properties Income Trust (b) | 11,626 | 243,332 | ||||||
Gramercy Property Trust | 23,399 | 615,394 | ||||||
Great Ajax Corp. | 2,285 | 29,819 | ||||||
Healthcare Realty Trust, Inc. | 18,959 | 616,167 | ||||||
Hersha Hospitality Trust | 6,524 | 122,586 | ||||||
Hudson Pacific Properties, Inc. | 20,321 | 703,919 | ||||||
Independence Realty Trust, Inc. | 9,610 | 90,046 | ||||||
InfraREIT, Inc. (a) | 6,620 | 119,160 | ||||||
Invesco Mortgage Capital, Inc. | 18,731 | 288,832 | ||||||
Investors Real Estate Trust | 20,152 | 119,501 | ||||||
iStar, Inc. (a) | 11,417 | 134,721 | ||||||
Kite Realty Group Trust | 13,771 | 296,076 | ||||||
LaSalle Hotel Properties | 17,718 | 512,936 | ||||||
Lexington Realty Trust | 38,189 | 381,126 | ||||||
LTC Properties, Inc. | 6,251 | 299,423 | ||||||
Mack-Cali Realty Corp. | 14,834 | 399,628 | ||||||
MedEquities Realty Trust, Inc. | 3,303 | 37,027 | ||||||
Medical Properties Trust, Inc. | 48,926 | 630,656 | ||||||
Monmouth Real Estate Investment Corp. | 10,970 | 156,542 | ||||||
Monogram Residential Trust, Inc. | 27,991 | 279,070 | ||||||
MTGE Investment Corp. | 7,654 | 128,204 | ||||||
National Health Investors, Inc. | 6,189 | 449,507 | ||||||
National Storage Affiliates Trust | 6,952 | 166,153 | ||||||
New Residential Investment Corp. | 49,511 | 840,697 | ||||||
New Senior Investment Group, Inc. | 12,698 | 129,520 | ||||||
New York Mortgage Trust, Inc. (b) | 18,277 | 112,769 | ||||||
NexPoint Residential Trust, Inc. | 3,002 | 72,528 | ||||||
NorthStar Realty Europe Corp. | 9,150 | 106,049 | ||||||
One Liberty Properties, Inc. | 2,245 | 52,443 | ||||||
Orchid Island Capital, Inc. (b) | 5,006 | 50,010 |
Number of Shares | Value | |||||||
Owens Realty Mortgage, Inc. | 1,710 | $ | 30,438 | |||||
Parkway, Inc. | 7,030 | 139,827 | ||||||
Pebblebrook Hotel Trust (b) | 11,873 | 346,810 | ||||||
Pennsylvania Real Estate Investment Trust | 11,459 | 173,489 | ||||||
PennyMac Mortgage Investment Trust | 11,410 | 202,527 | ||||||
Physicians Realty Trust | 25,687 | 510,401 | ||||||
Potlatch Corp. | 6,738 | 307,927 | ||||||
Preferred Apartment Communities, Inc. Class A | 4,408 | 58,230 | ||||||
PS Business Parks, Inc. | 3,267 | 374,921 | ||||||
QTS Realty Trust, Inc. Class A | 7,775 | 379,031 | ||||||
RAIT Financial Trust | 15,763 | 50,442 | ||||||
Ramco-Gershenson Properties Trust | 13,138 | 184,195 | ||||||
Redwood Trust, Inc. | 12,749 | 211,761 | ||||||
Resource Capital Corp. | 5,122 | 50,042 | ||||||
Retail Opportunity Investments Corp. | 17,844 | 375,259 | ||||||
Rexford Industrial Realty, Inc. | 10,878 | 244,973 | ||||||
RLJ Lodging Trust | 20,250 | 476,077 | ||||||
Ryman Hospitality Properties, Inc. | 7,213 | 445,980 | ||||||
Sabra Health Care REIT, Inc. | 10,712 | 299,186 | ||||||
Saul Centers, Inc. | 1,614 | 99,455 | ||||||
Select Income REIT | 10,539 | 271,801 | ||||||
Seritage Growth Properties Class A (b) | 4,103 | 177,044 | ||||||
Silver Bay Realty Trust Corp. | 5,560 | 119,373 | ||||||
STAG Industrial, Inc. | 13,708 | 342,974 | ||||||
Summit Hotel Properties, Inc. | 15,412 | 246,284 | ||||||
Sunstone Hotel Investors, Inc. | 36,093 | 553,306 | ||||||
Terreno Realty Corp. | 7,477 | 209,356 | ||||||
Tier REIT, Inc. | 7,916 | 137,422 | ||||||
UMH Properties, Inc. | 4,206 | 63,973 | ||||||
Universal Health Realty Income Trust | 2,068 | 133,386 | ||||||
Urban Edge Properties | 14,908 | 392,080 | ||||||
Urstadt Biddle Properties, Inc. Class A | 4,893 | 100,600 | ||||||
Washington Prime Group, Inc. | 30,898 | 268,504 | ||||||
Washington Real Estate Investment Trust | 12,178 | 380,928 | ||||||
Western Asset Mortgage Capital Corp. | 6,913 | 67,540 | ||||||
Whitestone REIT | 4,606 | 63,747 | ||||||
Xenia Hotels & Resorts, Inc. | 17,186 | 293,365 | ||||||
|
| |||||||
26,228,146 | ||||||||
|
| |||||||
Savings & Loans — 2.0% | ||||||||
Astoria Financial Corp. | 15,292 | 313,639 | ||||||
Banc of California, Inc. (b) | 8,102 | 167,711 | ||||||
Bank Mutual Corp. | 6,871 | 64,587 | ||||||
BankFinancial Corp. | 2,591 | 37,621 | ||||||
Bear State Financial, Inc. | 3,115 | 29,281 | ||||||
Beneficial Bancorp, Inc. | 11,640 | 186,240 |
The accompanying notes are an integral part of the financial statements.
124
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Berkshire Hills Bancorp, Inc. | 5,568 | $ | 200,726 | |||||
BofI Holding, Inc. (a) (b) | 9,951 | 260,020 | ||||||
Brookline Bancorp, Inc. | 11,413 | 178,613 | ||||||
BSB Bancorp, Inc. (a) | 1,374 | 38,816 | ||||||
Capitol Federal Financial, Inc. | 21,165 | 309,644 | ||||||
Charter Financial Corp. | 2,332 | 45,870 | ||||||
Clifton Bancorp, Inc. | 3,676 | 59,514 | ||||||
Dime Community Bancshares, Inc. | 5,235 | 106,271 | ||||||
ESSA Bancorp, Inc. | 1,411 | 20,572 | ||||||
EverBank Financial Corp. | 17,122 | 333,537 | ||||||
First Defiance Financial Corp. | 1,453 | 71,938 | ||||||
First Financial Northwest, Inc. | 1,353 | 23,908 | ||||||
Flagstar Bancorp, Inc. (a) | 3,533 | 99,595 | ||||||
Flushing Financial Corp. | 4,619 | 124,113 | ||||||
Greene County Bancorp, Inc. (b) | 571 | 13,333 | ||||||
Hingham Institution for Savings | 229 | 40,499 | ||||||
Home Bancorp Inc. | 997 | 33,649 | ||||||
HomeStreet, Inc. (a) | 4,278 | 119,570 | ||||||
HomeTrust Bancshares, Inc. (a) | 2,702 | 63,497 | ||||||
Investors Bancorp, Inc. | 49,488 | 711,637 | ||||||
Meridian Bancorp, Inc. | 7,980 | 146,034 | ||||||
Meta Financial Group, Inc. | 1,364 | 120,714 | ||||||
MutualFirst Financial, Inc. | 942 | 29,720 | ||||||
Northfield Bancorp, Inc. | 6,972 | 125,635 | ||||||
Northwest Bancshares, Inc. | 15,890 | 267,588 | ||||||
OceanFirst Financial Corp. | 4,257 | 119,941 | ||||||
Oritani Financial Corp. | 6,407 | 108,919 | ||||||
Pacific Premier Bancorp, Inc. (a) | 4,510 | 173,861 | ||||||
Provident Financial Holdings, Inc. | 983 | 18,333 | ||||||
Provident Financial Services, Inc. | 10,113 | 261,421 | ||||||
SI Financial Group, Inc. | 1,934 | 27,173 | ||||||
Southern Missouri Bancorp, Inc. | 998 | 35,449 | ||||||
Sterling Bancorp | 21,049 | 498,861 | ||||||
Territorial Bancorp, Inc. | 1,241 | 38,682 | ||||||
United Community Financial Corp. | 7,553 | 62,992 | ||||||
United Financial Bancorp, Inc. | 8,318 | 141,489 | ||||||
Washington Federal, Inc. | 15,069 | 498,784 | ||||||
Waterstone Financial, Inc. | 4,203 | 76,705 | ||||||
WSFS Financial Corp. | 4,772 | 219,273 | ||||||
|
| |||||||
6,625,975 | ||||||||
|
| |||||||
86,407,633 | ||||||||
|
| |||||||
Government — 0.0% | ||||||||
Multi-National — 0.0% | ||||||||
Banco Latinoamericano de Comercio Exterior SA | 5,034 | 139,643 | ||||||
|
| |||||||
Industrial — 13.6% | ||||||||
Aerospace & Defense — 1.2% | ||||||||
AAR Corp. | 5,429 | 182,577 | ||||||
Aerojet Rocketdyne Holdings, Inc. (a) | 9,792 | 212,486 | ||||||
Aerovironment, Inc. (a) (b) | 3,454 | 96,816 | ||||||
Astronics Corp. (a) | 3,227 | 102,393 |
Number of Shares | Value | |||||||
Cubic Corp. | 4,208 | $ | 222,182 | |||||
Curtiss-Wright Corp. | 7,355 | 671,217 | ||||||
Ducommun, Inc. (a) | 1,766 | 50,843 | ||||||
Esterline Technologies Corp. (a) | 4,910 | 422,506 | ||||||
Kaman Corp. (b) | 4,478 | 215,526 | ||||||
KLX, Inc. (a) | 8,774 | 392,198 | ||||||
Kratos Defense & Security Solutions, Inc. (a) | 11,148 | 86,731 | ||||||
Moog, Inc. Class A (a) | 5,303 | 357,157 | ||||||
National Presto Industries, Inc. | 803 | 82,067 | ||||||
Teledyne Technologies, Inc. (a) | 5,679 | 718,166 | ||||||
Triumph Group, Inc. (b) | 8,246 | 212,335 | ||||||
|
| |||||||
4,025,200 | ||||||||
|
| |||||||
Building Materials — 1.6% | ||||||||
AAON, Inc. | 6,718 | 237,481 | ||||||
Apogee Enterprises, Inc. | 4,713 | 280,942 | ||||||
Armstrong Flooring, Inc. (a) | 3,836 | 70,659 | ||||||
Boise Cascade Co. (a) | 6,479 | 172,989 | ||||||
Builders FirstSource, Inc. (a) | 13,823 | 205,963 | ||||||
Caesarstone Ltd. (a) (b) | 3,959 | 143,514 | ||||||
Continental Building Products, Inc. (a) | 5,835 | 142,957 | ||||||
Forterra, Inc. (a) (b) | 3,182 | 62,049 | ||||||
Gibraltar Industries, Inc. (a) | 5,265 | 216,918 | ||||||
Griffon Corp. | 5,022 | 123,792 | ||||||
Headwaters, Inc. (a) | 12,083 | 283,709 | ||||||
JELD-WEN Holding, Inc. (a) | 4,202 | 138,036 | ||||||
Louisiana-Pacific Corp. (a) | 23,951 | 594,464 | ||||||
LSI Industries, Inc. | 3,762 | 37,959 | ||||||
Masonite International Corp. (a) | 5,040 | 399,420 | ||||||
NCI Building Systems, Inc. (a) | 4,557 | 78,153 | ||||||
Patrick Industries, Inc. (a) | 2,643 | 187,389 | ||||||
PGT Innovations, Inc. (a) | 7,758 | 83,398 | ||||||
Ply Gem Holdings, Inc. (a) | 3,743 | 73,737 | ||||||
Quanex Building Products Corp. | 5,712 | 115,668 | ||||||
Simpson Manufacturing Co., Inc. | 6,901 | 297,364 | ||||||
Summit Materials, Inc. Class A (a) | 17,782 | 439,393 | ||||||
Trex Co., Inc. (a) | 4,896 | 339,733 | ||||||
Universal Forest Products, Inc. | 3,293 | 324,492 | ||||||
US Concrete, Inc. (a) (b) | 2,374 | 153,242 | ||||||
|
| |||||||
5,203,421 | ||||||||
|
| |||||||
Electrical Components & Equipment — 1.2% | ||||||||
Advanced Energy Industries, Inc. (a) | 6,543 | 448,588 | ||||||
American Superconductor Corp. (a) (b) | 1,810 | 12,417 | ||||||
Belden, Inc. | 6,962 | 481,701 | ||||||
Encore Wire Corp. | 3,352 | 154,192 | ||||||
Energous Corp. (a) (b) | 2,347 | 36,613 | ||||||
EnerSys | 7,232 | 570,894 | ||||||
Generac Holdings, Inc. (a) | 10,236 | 381,598 | ||||||
General Cable Corp. (b) | 8,039 | 144,300 | ||||||
Graham Corp. | 1,614 | 37,122 | ||||||
Insteel Industries, Inc. | 2,932 | 105,962 |
The accompanying notes are an integral part of the financial statements.
125
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Littelfuse, Inc. | 3,675 | $ | 587,669 | |||||
Novanta, Inc. (a) | 5,263 | 139,733 | ||||||
Powell Industries, Inc. | 1,484 | 51,109 | ||||||
SPX Corp. (a) | 6,837 | 165,797 | ||||||
Universal Display Corp. | 6,889 | 593,143 | ||||||
Vicor Corp. (a) | 2,869 | 46,191 | ||||||
|
| |||||||
3,957,029 | ||||||||
|
| |||||||
Electronics — 2.5% | ||||||||
Allied Motion Technologies, Inc. | 1,099 | 22,090 | ||||||
Applied Optoelectronics, Inc. (a) (b) | 2,996 | 168,225 | ||||||
AVX Corp. | 7,728 | 126,585 | ||||||
Badger Meter, Inc. | 4,654 | 171,034 | ||||||
Bel Fuse, Inc. Class B | 1,459 | 37,277 | ||||||
Benchmark Electronics, Inc. (a) | 8,218 | 261,332 | ||||||
Brady Corp. Class A | 7,589 | 293,315 | ||||||
Coherent, Inc. (a) | 4,019 | 826,467 | ||||||
Control4 Corp. (a) | 3,379 | 53,354 | ||||||
CTS Corp. | 5,221 | 111,207 | ||||||
Electro Scientific Industries, Inc. (a) | 4,747 | 33,087 | ||||||
ESCO Technologies, Inc. | 4,217 | 245,008 | ||||||
FARO Technologies, Inc. (a) | 2,796 | 99,957 | ||||||
Fluidigm Corp. (a) (b) | 4,659 | 26,510 | ||||||
GoPro, Inc. Class A (a) (b) | 16,793 | 146,099 | ||||||
II-VI, Inc. (a) | 9,883 | 356,282 | ||||||
Itron, Inc. (a) | 5,554 | 337,128 | ||||||
Kimball Electronics, Inc. (a) | 4,580 | 77,631 | ||||||
Knowles Corp. (a) (b) | 14,656 | 277,731 | ||||||
Mesa Laboratories, Inc. | 507 | 62,209 | ||||||
Methode Electronics, Inc. | 6,047 | 275,743 | ||||||
NVE Corp. | 809 | 66,977 | ||||||
OSI Systems, Inc. (a) | 2,925 | 213,496 | ||||||
Park Electrochemical Corp. | 3,245 | 57,956 | ||||||
Plexus Corp. (a) | 5,522 | 319,172 | ||||||
Rogers Corp. (a) | 2,991 | 256,837 | ||||||
Sanmina Corp. (a) | 12,193 | 495,036 | ||||||
Sparton Corp. (a) | 1,625 | 34,109 | ||||||
Stoneridge, Inc. (a) | 4,418 | 80,143 | ||||||
SYNNEX Corp. | 4,853 | 543,245 | ||||||
Tech Data Corp. (a) | 5,811 | 545,653 | ||||||
TTM Technologies, Inc. (a) | 12,034 | 194,108 | ||||||
Vishay Intertechnology, Inc. (b) | 22,649 | 372,576 | ||||||
Vishay Precision Group, Inc. (a) | 1,926 | 30,431 | ||||||
Watts Water Technologies, Inc. Class A | 4,625 | 288,369 | ||||||
Woodward, Inc. | 8,796 | 597,424 | ||||||
ZAGG, Inc. (a) | 4,314 | 31,061 | ||||||
|
| |||||||
8,134,864 | ||||||||
|
| |||||||
Engineering & Construction — 1.1% | ||||||||
Aegion Corp. (a) | 5,796 | 132,786 | ||||||
Argan, Inc. | 2,219 | 146,787 | ||||||
Comfort Systems USA, Inc. | 6,195 | 227,047 | ||||||
Dycom Industries, Inc. (a) (b) | 5,073 | 471,535 |
Number of Shares | Value | |||||||
EMCOR Group, Inc. | 10,063 | $ | 633,466 | |||||
Exponent, Inc. | 4,240 | 252,492 | ||||||
Granite Construction, Inc. | 6,565 | 329,497 | ||||||
Hill International, Inc. (a) | 5,701 | 23,659 | ||||||
IES Holdings, Inc. (a) | 1,385 | 25,068 | ||||||
Layne Christensen Co. (a) | 3,186 | 28,164 | ||||||
MasTec, Inc. (a) | 10,991 | 440,190 | ||||||
Mistras Group, Inc. (a) | 2,877 | 61,510 | ||||||
MYR Group, Inc. (a) | 2,528 | 103,648 | ||||||
NV5 Global, Inc. (a) | 1,173 | 44,105 | ||||||
Orion Group Holdings, Inc. (a) | 4,263 | 31,845 | ||||||
Primoris Services Corp. | 6,685 | 155,226 | ||||||
TopBuild Corp. (a) | 6,384 | 300,048 | ||||||
Tutor Perini Corp. (a) | 6,212 | 197,542 | ||||||
VSE Corp. | 1,465 | 59,772 | ||||||
|
| |||||||
3,664,387 | ||||||||
|
| |||||||
Environmental Controls — 0.4% | ||||||||
Advanced Disposal Services, Inc. (a) | 3,742 | 84,569 | ||||||
Aqua Metals, Inc. (a) (b) | 2,089 | 40,819 | ||||||
AquaVenture Holdings Ltd. (a) | 1,153 | 19,682 | ||||||
Casella Waste Systems, Inc. Class A (a) | 6,314 | 89,090 | ||||||
CECO Environmental Corp. | 4,954 | 52,066 | ||||||
Energy Recovery, Inc. (a) | 5,818 | 48,406 | ||||||
Heritage-Crystal Clean, Inc. (a) | 1,996 | 27,345 | ||||||
MSA Safety, Inc. | 5,153 | 364,266 | ||||||
Tetra Tech, Inc. | 9,596 | 391,997 | ||||||
TRC Cos., Inc. (a) | 3,195 | 55,753 | ||||||
US Ecology, Inc. | 3,624 | 169,784 | ||||||
|
| |||||||
1,343,777 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.3% | ||||||||
Franklin Electric Co., Inc. | 7,648 | 329,246 | ||||||
Hardinge, Inc. | 1,899 | 21,345 | ||||||
Kennametal, Inc. | 13,116 | 514,541 | ||||||
Milacron Holdings Corp. (a) | 2,477 | 46,097 | ||||||
|
| |||||||
911,229 | ||||||||
|
| |||||||
Machinery – Diversified — 0.0% | ||||||||
NN, Inc. | 4,299 | 108,335 | ||||||
|
| |||||||
Machinery – Construction & Mining — 0.3% | ||||||||
Astec Industries, Inc. | 3,217 | 197,829 | ||||||
Babcock & Wilcox Enterprises, Inc. (a) | 7,782 | 72,684 | ||||||
Hyster-Yale Materials Handling, Inc. | 1,592 | 89,773 | ||||||
Joy Global, Inc. | 16,386 | 462,905 | ||||||
|
| |||||||
823,191 | ||||||||
|
| |||||||
Machinery – Diversified — 0.7% | ||||||||
Alamo Group, Inc. | 1,569 | 119,542 | ||||||
Albany International Corp. Class A | 4,758 | 219,106 | ||||||
Altra Industrial Motion Corp. | 4,156 | 161,876 | ||||||
Applied Industrial Technologies, Inc. | 6,031 | 373,017 |
The accompanying notes are an integral part of the financial statements.
126
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Briggs & Stratton Corp. | 7,062 | $ | 158,542 | |||||
Chart Industries, Inc. (a) | 5,129 | 179,207 | ||||||
Columbus McKinnon Corp. | 3,216 | 79,821 | ||||||
DXP Enterprises, Inc. (a) | 2,608 | 98,765 | ||||||
Gencor Industries, Inc. (a) | 1,200 | 17,940 | ||||||
The Gorman-Rupp Co. | 2,862 | 89,867 | ||||||
Hurco Cos., Inc. | 1,082 | 33,650 | ||||||
Ichor Holdings Ltd. (a) | 1,136 | 22,527 | ||||||
Kadant, Inc. | 1,792 | 106,355 | ||||||
Lindsay Corp. (b) | 1,761 | 155,179 | ||||||
The Manitowoc Co., Inc. (a) | 21,118 | 120,373 | ||||||
Power Solutions International, Inc. (a) (b) | 908 | 9,162 | ||||||
SPX FLOW, Inc. (a) | 5,914 | 205,275 | ||||||
Tennant Co. | 2,926 | 212,574 | ||||||
|
| |||||||
2,362,778 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 0.8% | ||||||||
Advanced Drainage Systems, Inc. | 5,771 | 126,385 | ||||||
Ampco-Pittsburgh Corp. | 1,322 | 18,574 | ||||||
Atkore International Group, Inc. (a) | 2,076 | 54,557 | ||||||
CIRCOR International, Inc. | 2,738 | 162,747 | ||||||
Global Brass & Copper Holdings, Inc. | 3,520 | 121,088 | ||||||
Haynes International, Inc. | 2,017 | 76,888 | ||||||
Lawson Products, Inc. (a) | 1,005 | 22,562 | ||||||
Mueller Industries, Inc. | 9,417 | 322,344 | ||||||
Mueller Water Products, Inc. Class A | 25,887 | 305,984 | ||||||
Olympic Steel, Inc. | 1,441 | 26,745 | ||||||
Omega Flex, Inc. | 473 | 22,605 | ||||||
Park-Ohio Holdings Corp. | 1,446 | 51,984 | ||||||
RBC Bearings, Inc. (a) | 3,766 | 365,641 | ||||||
Rexnord Corp. (a) | 13,765 | 317,696 | ||||||
Sun Hydraulics Corp. | 3,864 | 139,529 | ||||||
TimkenSteel Corp. (a) | 6,581 | 124,447 | ||||||
TriMas Corp. (a) | 7,414 | 153,841 | ||||||
Worthington Industries, Inc. | 7,479 | 337,228 | ||||||
|
| |||||||
2,750,845 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.4% | ||||||||
Actuant Corp. Class A | 9,747 | 256,833 | ||||||
American Outdoor Brands Corp. (a) (b) | 9,193 | 182,113 | ||||||
American Railcar Industries, Inc. (b) | 1,310 | 53,841 | ||||||
Axon Enterprise, Inc. (a) | 8,672 | 197,635 | ||||||
AZZ, Inc. | 4,300 | 255,850 | ||||||
Barnes Group, Inc. | 8,341 | 428,227 | ||||||
Chase Corp. | 1,185 | 113,049 | ||||||
EnPro Industries, Inc. | 3,582 | 254,895 | ||||||
Fabrinet (a) | 5,791 | 243,396 | ||||||
Federal Signal Corp. | 9,870 | 136,305 | ||||||
FreightCar America, Inc. | 1,912 | 23,957 | ||||||
GP Strategies Corp. (a) | 2,153 | 54,471 | ||||||
Handy & Harman Ltd. (a) | 563 | 15,314 | ||||||
Harsco Corp. (a) | 13,229 | 168,670 |
Number of Shares | Value | |||||||
Hillenbrand, Inc. | 9,801 | $ | 351,366 | |||||
John Bean Technologies Corp. | 5,210 | 458,219 | ||||||
LSB Industries, Inc. (a) (b) | 3,569 | 33,477 | ||||||
Lydall, Inc. (a) | 2,733 | 146,489 | ||||||
Myers Industries, Inc. | 3,682 | 58,360 | ||||||
NL Industries, Inc. (a) | 1,398 | 9,017 | ||||||
Proto Labs, Inc. (a) (b) | 4,121 | 210,583 | ||||||
Raven Industries, Inc. | 6,018 | 174,823 | ||||||
Standex International Corp. | 2,124 | 212,719 | ||||||
Sturm, Ruger & Co., Inc. (b) | 3,050 | 163,327 | ||||||
Tredegar Corp. | 4,114 | 72,201 | ||||||
Trinseo SA | 4,513 | 302,822 | ||||||
|
| |||||||
4,577,959 | ||||||||
|
| |||||||
Packaging & Containers — 0.3% | ||||||||
Greif, Inc. | 964 | 62,949 | ||||||
Greif, Inc. Class A | 4,246 | 233,912 | ||||||
KapStone Paper and Packaging Corp. | 14,339 | 331,231 | ||||||
Multi Packaging Solutions International Ltd. (a) | 3,552 | 63,759 | ||||||
Multi-Color Corp. | 2,251 | 159,821 | ||||||
UFP Technologies, Inc. (a) | 1,119 | 28,982 | ||||||
|
| |||||||
880,654 | ||||||||
|
| |||||||
Transportation — 1.6% | ||||||||
Air Transport Services Group, Inc. (a) | 8,056 | 129,299 | ||||||
ArcBest Corp. | 4,104 | 106,704 | ||||||
Ardmore Shipping Corp. (b) | 4,870 | 39,203 | ||||||
Atlas Air Worldwide Holdings, Inc. (a) | 4,092 | 226,901 | ||||||
Celadon Group, Inc. | 4,712 | 30,864 | ||||||
Costamare, Inc. | 4,957 | 33,014 | ||||||
Covenant Transportation Group, Inc. Class A (a) | 1,977 | 37,168 | ||||||
DHT Holdings, Inc. | 15,409 | 68,878 | ||||||
Dorian LPG Ltd. (a) (b) | 4,129 | 43,478 | ||||||
Echo Global Logistics, Inc. (a) | 4,801 | 102,501 | ||||||
Forward Air Corp. | 4,948 | 235,376 | ||||||
Frontline Ltd. | 11,663 | 78,609 | ||||||
GasLog Ltd. | 6,853 | 105,194 | ||||||
Gener8 Maritime, Inc. (a) (b) | 6,594 | 37,388 | ||||||
Golar LNG Ltd. | 15,955 | 445,623 | ||||||
Heartland Express, Inc. (b) | 7,600 | 152,380 | ||||||
Hornbeck Offshore Services, Inc. (a) (b) | 5,149 | 22,810 | ||||||
Hub Group, Inc. Class A (a) | 5,570 | 258,448 | ||||||
International Seaways, Inc. (a) | 2,561 | 48,966 | ||||||
Knight Transportation, Inc. | 11,096 | 347,860 | ||||||
Marten Transport Ltd. | 3,886 | 91,127 | ||||||
Matson, Inc. | 7,181 | 228,069 | ||||||
Navios Maritime Acquisition Corp. | 12,853 | 22,107 | ||||||
Nordic American Tankers Ltd. (b) | 16,407 | 134,209 | ||||||
Overseas Shipholding Group, Inc. Class A | 5,983 | 23,094 | ||||||
PAM Transportation Services, Inc. (a) | 400 | 6,516 |
The accompanying notes are an integral part of the financial statements.
127
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Radiant Logistics, Inc. (a) | 5,966 | $ | 29,830 | |||||
Roadrunner Transportation Systems, Inc. (a) | 4,853 | 33,340 | ||||||
Saia, Inc. (a) | 4,220 | 186,946 | ||||||
Scorpio Bulkers, Inc. (a) (b) | 9,319 | 85,735 | ||||||
Scorpio Tankers, Inc. | 27,199 | 120,764 | ||||||
Ship Finance International Ltd. (b) | 9,980 | 146,706 | ||||||
Swift Transportation Co. (a) (b) | 12,402 | 254,737 | ||||||
Teekay Corp. (b) | 8,148 | 74,554 | ||||||
Teekay Tankers Ltd. Class A | 20,068 | 41,139 | ||||||
Tidewater, Inc. (a) (b) | 7,113 | 8,180 | ||||||
Universal Logistics Holdings, Inc. | 1,368 | 19,631 | ||||||
USA Truck, Inc. (a) | 1,273 | 9,357 | ||||||
Werner Enterprises, Inc. | 7,401 | 193,906 | ||||||
XPO Logistics, Inc. (a) | 16,262 | 778,787 | ||||||
YRC Worldwide, Inc. (a) | 5,411 | 59,575 | ||||||
|
| |||||||
5,098,973 | ||||||||
|
| |||||||
Trucking & Leasing — 0.2% | ||||||||
GATX Corp. (b) | 6,800 | 414,528 | ||||||
The Greenbrier Cos., Inc. (b) | 4,505 | 194,165 | ||||||
Willis Lease Finance Corp. (a) | 585 | 13,075 | ||||||
|
| |||||||
621,768 | ||||||||
|
| |||||||
44,464,410 | ||||||||
|
| |||||||
Technology — 10.2% | ||||||||
Computers — 2.6% | ||||||||
3D Systems Corp. (a) (b) | 17,827 | 266,692 | ||||||
Agilysys, Inc. (a) | 2,615 | 24,712 | ||||||
ALJ Regional Holdings, Inc. (a) | 2,923 | 10,874 | ||||||
Barracuda Networks, Inc. (a) | 3,589 | 82,942 | ||||||
CACI International, Inc. Class A (a) | 4,041 | 474,009 | ||||||
Carbonite, Inc. (a) | 2,985 | 60,596 | ||||||
Cogint, Inc. (a) (b) | 2,486 | 11,560 | ||||||
Convergys Corp. | 14,790 | 312,809 | ||||||
Cray, Inc. (a) | 6,689 | 146,489 | ||||||
Diebold Nixdorf, Inc. (b) | 11,369 | 349,028 | ||||||
Digimarc Corp. (a) (b) | 1,658 | 44,766 | ||||||
DMC Global, Inc. | 2,353 | 29,177 | ||||||
Electronics For Imaging, Inc. (a) | 7,811 | 381,411 | ||||||
Engility Holdings, Inc. (a) | 3,039 | 87,949 | ||||||
EPAM Systems, Inc. (a) | 8,006 | 604,613 | ||||||
Exlservice Holdings, Inc. (a) | 5,406 | 256,028 | ||||||
The ExOne Co. (a) (b) | 1,642 | 16,732 | ||||||
Globant SA (a) (b) | 4,266 | 155,282 | ||||||
Immersion Corp. (a) (b) | 4,594 | 39,784 | ||||||
Insight Enterprises, Inc. (a) | 6,091 | 250,279 | ||||||
The KeyW Holding Corp. (a) (b) | 7,178 | 67,760 | ||||||
Lumentum Holdings, Inc. (a) | 8,390 | 447,607 | ||||||
MAXIMUS, Inc. | 10,659 | 662,990 | ||||||
Maxwell Technologies, Inc. (a) | 5,446 | 31,641 | ||||||
Mercury Systems, Inc. (a) | 7,746 | 302,481 | ||||||
Mitek Systems, Inc. (a) | 4,704 | 31,282 | ||||||
MTS Systems Corp. | 2,777 | 152,874 |
Number of Shares | Value | |||||||
NCI, Inc. Class A (a) | 929 | $ | 13,981 | |||||
NetScout Systems, Inc. (a) | 14,877 | 564,582 | ||||||
NeuStar, Inc. Class A (a) | 8,993 | 298,118 | ||||||
Nimble Storage, Inc. (a) | 10,608 | 132,600 | ||||||
Pure Storage, Inc. Class A (a) | 11,334 | 111,413 | ||||||
Qualys, Inc. (a) | 4,512 | 171,005 | ||||||
Radisys Corp. (a) | 6,397 | 25,588 | ||||||
Science Applications International Corp. | 7,021 | 522,362 | ||||||
SecureWorks Corp. Class A (a) | 933 | 8,864 | ||||||
Silver Spring Networks, Inc. (a) | 6,144 | 69,366 | ||||||
Stratasys Ltd. (a) | 8,152 | 167,034 | ||||||
Super Micro Computer, Inc. (a) | 6,344 | 160,820 | ||||||
Sykes Enterprises, Inc. (a) | 6,430 | 189,042 | ||||||
Syntel, Inc. | 5,442 | 91,589 | ||||||
TeleTech Holdings, Inc. | 2,682 | 79,387 | ||||||
Unisys Corp. (a) | 8,374 | 116,817 | ||||||
USA Technologies, Inc. (a) | 6,346 | 26,971 | ||||||
Varonis Systems, Inc. (a) | 1,810 | 57,558 | ||||||
Virtusa Corp. (a) | 4,595 | 138,861 | ||||||
Vocera Communications, Inc. (a) | 4,058 | 100,760 | ||||||
|
| |||||||
8,349,085 | ||||||||
|
| |||||||
Office & Business Equipment — 0.0% | ||||||||
Eastman Kodak Co. (a) | 3,003 | 34,535 | ||||||
|
| |||||||
Semiconductors — 3.8% | ||||||||
Advanced Micro Devices, Inc. (a) | 124,945 | 1,817,950 | ||||||
Alpha & Omega Semiconductor Ltd. (a) | 3,183 | 54,716 | ||||||
Ambarella, Inc. (a) (b) | 5,316 | 290,838 | ||||||
Amkor Technology, Inc. (a) | 16,451 | 190,667 | ||||||
Axcelis Technologies, Inc. (a) | 4,836 | 90,917 | ||||||
Brooks Automation, Inc. | 11,272 | 252,493 | ||||||
Cabot Microelectronics Corp. | 3,903 | 299,009 | ||||||
Cavium, Inc. (a) | 10,707 | 767,264 | ||||||
CEVA, Inc. (a) | 3,293 | 116,901 | ||||||
Cirrus Logic, Inc. (a) | 10,406 | 631,540 | ||||||
Cohu, Inc. | 4,354 | 80,375 | ||||||
Diodes, Inc. (a) | 6,331 | 152,261 | ||||||
DSP Group, Inc. (a) | 3,705 | 44,460 | ||||||
EMCORE Corp. | 4,440 | 39,960 | ||||||
Entegris, Inc. (a) | 23,468 | 549,151 | ||||||
Exar Corp. (a) | 6,742 | 87,713 | ||||||
FormFactor, Inc. (a) | 11,404 | 135,137 | ||||||
GigPeak, Inc. (a) | 10,335 | 31,832 | ||||||
Impinj, Inc. (a) (b) | 1,005 | 30,421 | ||||||
Inphi Corp. (a) (b) | 6,673 | 325,776 | ||||||
Integrated Device Technology, Inc. (a) | 22,382 | 529,782 | ||||||
InvenSense, Inc. (a) | 13,577 | 171,477 | ||||||
IXYS Corp. | 4,194 | 61,023 | ||||||
Kopin Corp. (a) | 10,563 | 43,308 | ||||||
Lattice Semiconductor Corp. (a) | 19,925 | 137,881 | ||||||
MACOM Technology Solutions Holdings, Inc. (a) | 5,240 | 253,092 |
The accompanying notes are an integral part of the financial statements.
128
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
MaxLinear, Inc. Class A (a) | 9,265 | $ | 259,883 | |||||
Microsemi Corp. (a) | 18,916 | 974,741 | ||||||
MKS Instruments, Inc. | 8,828 | 606,925 | ||||||
Monolithic Power Systems, Inc. | 6,457 | 594,690 | ||||||
Nanometrics, Inc. (a) | 3,972 | 120,987 | ||||||
Photronics, Inc. (a) | 10,871 | 116,320 | ||||||
Power Integrations, Inc. | 4,551 | 299,228 | ||||||
Rambus, Inc. (a) | 18,041 | 237,059 | ||||||
Rudolph Technologies, Inc. (a) | 5,014 | 112,314 | ||||||
Semtech Corp. (a) | 10,729 | 362,640 | ||||||
Sigma Designs, Inc. (a) | 5,653 | 35,331 | ||||||
Silicon Laboratories, Inc. (a) | 6,851 | 503,891 | ||||||
Synaptics, Inc. (a) | 5,829 | 288,594 | ||||||
Ultra Clean Holdings, Inc. (a) | 5,341 | 90,103 | ||||||
Ultratech, Inc. (a) | 3,526 | 104,440 | ||||||
Veeco Instruments, Inc. (a) | 6,658 | 198,741 | ||||||
Xcerra Corp. (a) | 8,840 | 78,588 | ||||||
Xperi Corp. | 8,184 | 277,847 | ||||||
|
| |||||||
12,448,266 | ||||||||
|
| |||||||
Software — 3.8% | ||||||||
2U, Inc. (a) (b) | 6,117 | 242,600 | ||||||
ACI Worldwide, Inc. (a) | 19,162 | 409,875 | ||||||
Actua Corp. (a) | 5,858 | 82,305 | ||||||
Acxiom Corp. (a) | 12,875 | 366,551 | ||||||
Amber Road, Inc. (a) | 2,725 | 21,037 | ||||||
American Software, Inc. Class A | 4,048 | 41,613 | ||||||
Appfolio, Inc. Class A (a) | 1,301 | 35,387 | ||||||
Apptio, Inc. Class A (a) (b) | 1,113 | 13,056 | ||||||
Aspen Technology, Inc. (a) | 12,945 | 762,719 | ||||||
Avid Technology, Inc. (a) (b) | 4,945 | 23,044 | ||||||
Bazaarvoice, Inc. (a) | 13,486 | 57,990 | ||||||
Benefitfocus, Inc. (a) | 2,154 | 60,204 | ||||||
Blackbaud, Inc. | 7,836 | 600,786 | ||||||
Blackline, Inc. (a) (b) | 1,595 | 47,467 | ||||||
Bottomline Technologies de, Inc. (a) | 6,670 | 157,746 | ||||||
Box, Inc. Class A (a) (b) | 8,099 | 132,095 | ||||||
Brightcove, Inc. (a) | 5,120 | 45,568 | ||||||
BroadSoft, Inc. (a) | 4,880 | 196,176 | ||||||
Callidus Software, Inc. (a) | 10,116 | 215,977 | ||||||
Castlight Health, Inc. Class B (a) | 7,222 | 26,360 | ||||||
CommVault Systems, Inc. (a) | 6,426 | 326,441 | ||||||
Computer Programs & Systems, Inc. (b) | 1,882 | 52,696 | ||||||
Cornerstone OnDemand, Inc. (a) | 8,360 | 325,120 | ||||||
Cotiviti Holdings, Inc. (a) | 2,112 | 87,923 | ||||||
Coupa Software, Inc. (a) (b) | 1,373 | 34,874 | ||||||
CSG Systems International, Inc. | 5,325 | 201,338 | ||||||
Digi International, Inc. (a) | 4,387 | 52,205 | ||||||
Ebix, Inc. (b) | 4,179 | 255,964 | ||||||
Envestnet, Inc. (a) | 6,905 | 223,032 | ||||||
Everbridge, Inc. (a) (b) | 1,391 | 28,557 | ||||||
Evolent Health, Inc. Class A (a) (b) | 2,568 | 57,266 | ||||||
Exa Corp. (a) | 2,341 | 29,731 |
Number of Shares | Value | |||||||
Fair Isaac Corp. | 5,141 | $ | 662,932 | |||||
Five9, Inc. (a) | 5,375 | 88,473 | ||||||
Glu Mobile, Inc. (a) (b) | 17,211 | 39,069 | ||||||
Guidance Software, Inc. (a) | 4,086 | 24,107 | ||||||
Hortonworks, Inc. (a) | 6,961 | 68,287 | ||||||
HubSpot, Inc. (a) | 4,793 | 290,216 | ||||||
InnerWorkings, Inc. (a) | 6,501 | 64,750 | ||||||
Instructure, Inc. (a) (b) | 1,815 | 42,471 | ||||||
j2 Global, Inc. | 7,818 | 656,008 | ||||||
Jive Software, Inc. (a) | 9,656 | 41,521 | ||||||
LivePerson, Inc. (a) | 8,712 | 59,677 | ||||||
Majesco (a) | 1,107 | 5,712 | ||||||
ManTech International Corp. Class A | 4,059 | 140,563 | ||||||
Medidata Solutions, Inc. (a) | 9,128 | 526,594 | ||||||
MicroStrategy, Inc. Class A (a) | 1,577 | 296,161 | ||||||
MINDBODY, Inc. Class A (a) | 2,419 | 66,402 | ||||||
MobileIron, Inc. (a) | 7,420 | 32,277 | ||||||
Model N, Inc. (a) | 3,518 | 36,763 | ||||||
Monotype Imaging Holdings, Inc. | 6,740 | 135,474 | ||||||
NantHealth, Inc. (a) (b) | 992 | 4,920 | ||||||
New Relic, Inc. (a) | 3,643 | 135,046 | ||||||
Omnicell, Inc. (a) | 5,937 | 241,339 | ||||||
Park City Group, Inc. (a) (b) | 2,220 | 27,417 | ||||||
Paycom Software, Inc. (a) (b) | 7,306 | 420,168 | ||||||
PDF Solutions, Inc. (a) | 4,536 | 102,604 | ||||||
pdvWireless, Inc. (a) | 1,547 | 33,802 | ||||||
Pegasystems, Inc. | 5,984 | 262,398 | ||||||
Planet Payment, Inc. (a) | 7,453 | 29,663 | ||||||
Progress Software Corp. | 8,310 | 241,406 | ||||||
PROS Holdings, Inc. (a) | 4,240 | 102,566 | ||||||
QAD, Inc. Class A | 1,634 | 45,507 | ||||||
Quality Systems, Inc. (a) | 8,481 | 129,251 | ||||||
RealPage, Inc. (a) | 8,964 | 312,844 | ||||||
Rosetta Stone, Inc. (a) | 3,494 | 34,067 | ||||||
Sapiens International Corp. NV (b) | 4,125 | 53,130 | ||||||
SPS Commerce, Inc. (a) | 2,717 | 158,917 | ||||||
Synchronoss Technologies, Inc. (a) | 6,862 | 167,433 | ||||||
Tabula Rasa HealthCare, Inc. (a) | 798 | 10,757 | ||||||
Take-Two Interactive Software, Inc. (a) | 16,189 | 959,522 | ||||||
Verint Systems, Inc. (a) | 10,313 | 447,326 | ||||||
Workiva, Inc. (a) (b) | 3,774 | 59,063 | ||||||
Xactly Corp. (a) | 3,912 | 46,553 | ||||||
|
| |||||||
12,516,859 | ||||||||
|
| |||||||
33,348,745 | ||||||||
|
| |||||||
Utilities — 3.4% | ||||||||
Electric — 1.9% | ||||||||
ALLETE, Inc. | 8,238 | 557,795 | ||||||
Ameresco, Inc. Class A (a) | 3,436 | 22,506 | ||||||
Atlantic Power Corp. (a) | 19,184 | 50,838 | ||||||
Atlantica Yield PLC | 9,780 | 204,989 | ||||||
Avista Corp. | 10,523 | 410,923 | ||||||
Black Hills Corp. (b) | 8,571 | 569,714 |
The accompanying notes are an integral part of the financial statements.
129
MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Dynegy, Inc. (a) | 19,213 | $ | 151,014 | |||||
El Paso Electric Co. | 6,692 | 337,946 | ||||||
EnerNOC, Inc. (a) | 4,172 | 25,032 | ||||||
Genie Energy Ltd. Class B | 1,996 | 14,451 | ||||||
IDACORP, Inc. | 8,380 | 695,205 | ||||||
MGE Energy, Inc. | 5,804 | 377,260 | ||||||
NorthWestern Corp. | 8,084 | 474,531 | ||||||
NRG Yield, Inc. Class A | 5,911 | 102,792 | ||||||
NRG Yield, Inc. Class C (b) | 10,557 | 186,859 | ||||||
Ormat Technologies, Inc. | 6,448 | 368,052 | ||||||
Otter Tail Corp. | 6,341 | 240,324 | ||||||
PNM Resources, Inc. | 13,275 | 491,175 | ||||||
Portland General Electric Co. | 14,852 | 659,726 | ||||||
Spark Energy, Inc. Class A (b) | 874 | 27,924 | ||||||
Unitil Corp. | 2,336 | 105,190 | ||||||
|
| |||||||
6,074,246 | ||||||||
|
| |||||||
Gas — 1.2% | ||||||||
Chesapeake Utilities Corp. | 2,585 | 178,882 | ||||||
Delta Natural Gas Co., Inc. | 1,159 | 35,176 | ||||||
New Jersey Resources Corp. | 14,253 | 564,419 | ||||||
Northwest Natural Gas Co. | 4,545 | 268,609 | ||||||
ONE Gas, Inc. | 8,655 | 585,078 | ||||||
South Jersey Industries, Inc. | 13,255 | 472,541 | ||||||
Southwest Gas Holdings, Inc. | 7,866 | 652,170 | ||||||
Spire, Inc. | 7,434 | 501,795 | ||||||
WGL Holdings, Inc. | 8,387 | 692,179 | ||||||
|
| |||||||
3,950,849 | ||||||||
|
| |||||||
Water — 0.3% | ||||||||
American States Water Co. | 6,096 | 270,053 | ||||||
Artesian Resources Corp. Class A | 1,306 | 42,523 | ||||||
California Water Service Group | 7,996 | 286,657 | ||||||
Connecticut Water Service, Inc. | 1,769 | 94,022 | ||||||
Consolidated Water Co. Ltd. | 2,235 | 26,038 | ||||||
Global Water Resources, Inc. | 1,281 | 11,145 | ||||||
Middlesex Water Co. | 2,670 | 98,656 | ||||||
SJW Group | 2,717 | 131,014 | ||||||
The York Water Co. | 2,090 | 73,254 | ||||||
|
| |||||||
1,033,362 | ||||||||
|
| |||||||
11,058,457 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $279,373,300) | 316,229,397 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $279,373,300) | 316,229,397 | |||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
Consumer, Non-cyclical — 0.0% | ||||||||
Pharmaceuticals — 0.0% | ||||||||
Dyax Corp. (a) (c) | 23,469 | 44,356 | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $26,051) | 44,356 | |||||||
|
|
Principal Amount | Value | |||||||
BONDS & NOTES — 0.0% | ||||||||
CORPORATE DEBT — 0.0% | ||||||||
Industrial — 0.0% | ||||||||
Metal Fabricate & Hardware — 0.0% | ||||||||
Mueller Industries, Inc. 6.000% 3/01/27 | $ | 45,000 | $ | 44,663 | ||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $45,000) | 44,663 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $45,000) | 44,663 | |||||||
|
| |||||||
Number of Shares | ||||||||
MUTUAL FUNDS — 11.7% | ||||||||
Diversified Financial Services — 11.7% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 38,150,827 | 38,150,827 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $38,150,827) | 38,150,827 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $317,595,178) | 354,469,243 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 3.9% | ||||||||
Repurchase Agreement — 3.6% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (e) | $ | 11,909,746 | 11,909,746 | |||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 7,540 | 7,540 | ||||||
|
| |||||||
U.S. Treasury Bill — 0.3% | ||||||||
U.S. Treasury Bill (f) | 835,000 | 832,512 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $12,749,949) | 12,749,798 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 112.3% (Cost $330,345,127) (g) | 367,219,041 | |||||||
Other Assets/(Liabilities) — (12.3)% | (40,144,602 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 327,074,439 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
130
MM Russell 2000 Small Cap 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) | Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2017, was $37,054,235 or 11.33% 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 March 31, 2017, these securities amounted to a value of $55,034 or 0.02% of net assets. |
(d) | Represents investment of security lending collateral. (Note 2). |
(e) | Maturity value of $11,909,795. Collateralized by U.S. Government Agency obligations with a rate of 1.625%, maturity date of 4/30/19, and an aggregate market value, including accrued interest, of $12,148,808. |
(f) | A portion of this security is pledged/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.
131
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 95.9% | ||||||||
COMMON STOCK — 95.7% | ||||||||
Basic Materials — 3.3% | ||||||||
Chemicals — 2.9% | ||||||||
Air Products & Chemicals, Inc. | 239,000 | $ | 32,334,310 | |||||
Ashland Global Holdings, Inc. | 192,000 | 23,771,520 | ||||||
CF Industries Holdings, Inc. | 113,397 | 3,328,202 | ||||||
FMC Corp. | 110,088 | 7,661,024 | ||||||
RPM International, Inc. | 478,000 | 26,304,340 | ||||||
The Sherwin-Williams Co. | 25,229 | 7,825,783 | ||||||
Valvoline, Inc. (a) | 454,000 | 11,145,700 | ||||||
|
| |||||||
112,370,879 | ||||||||
|
| |||||||
Mining — 0.4% | ||||||||
Franco-Nevada Corp. | 270,000 | 17,687,700 | ||||||
|
| |||||||
130,058,579 | ||||||||
|
| |||||||
Communications — 2.7% | ||||||||
Internet — 1.9% | ||||||||
Cogent Communications Holdings, Inc. | 135,164 | 5,818,810 | ||||||
Dropbox, Inc. (b) (c) | 32,717 | 337,967 | ||||||
Expedia, Inc. | 73,231 | 9,239,555 | ||||||
Match Group, Inc. (a) (c) | 285,000 | 4,654,050 | ||||||
Snap, Inc. Class A (a) (c) | 130,900 | 2,949,177 | ||||||
TripAdvisor, Inc. (a) (c) | 183,000 | 7,898,280 | ||||||
VeriSign, Inc. (a) (c) | 418,000 | 36,411,980 | ||||||
Zillow Group, Inc. Class A (c) | 96,000 | 3,245,760 | ||||||
Zillow Group, Inc. Class C (c) | 101,000 | 3,400,670 | ||||||
|
| |||||||
73,956,249 | ||||||||
|
| |||||||
Media — 0.3% | ||||||||
FactSet Research Systems, Inc. | 72,000 | 11,873,520 | ||||||
|
| |||||||
Telecommunications — 0.5% | ||||||||
DigitalGlobe, Inc. (c) | 540,000 | 17,685,000 | ||||||
|
| |||||||
103,514,769 | ||||||||
|
| |||||||
Consumer, Cyclical — 16.6% | ||||||||
Airlines — 0.3% | ||||||||
United Continental Holdings, Inc. (c) | 170,929 | 12,074,424 | ||||||
|
| |||||||
Apparel — 0.4% | ||||||||
Carter’s, Inc. | 167,000 | 14,996,600 | ||||||
|
| |||||||
Auto Manufacturers — 0.6% | ||||||||
Ferrari NV | 171,061 | 12,720,096 | ||||||
Tesla, Inc. (a) (c) | 40,000 | 11,132,000 | ||||||
|
| |||||||
23,852,096 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.3% | ||||||||
WABCO Holdings, Inc. (c) | 91,000 | 10,685,220 | ||||||
|
| |||||||
Distribution & Wholesale — 0.7% | ||||||||
Beacon Roofing Supply, Inc. (c) | 182,035 | 8,948,841 | ||||||
HD Supply Holdings, Inc. (c) | 246,779 | 10,148,786 |
Number of Shares | Value | |||||||
LKQ Corp. (c) | 291,322 | $ | 8,526,995 | |||||
|
| |||||||
27,624,622 | ||||||||
|
| |||||||
Entertainment — 0.6% | ||||||||
IMAX Corp. (c) | 150,621 | 5,121,114 | ||||||
Vail Resorts, Inc. | 90,000 | 17,271,000 | ||||||
|
| |||||||
22,392,114 | ||||||||
|
| |||||||
Food Services — 0.9% | ||||||||
Aramark | 960,694 | 35,420,788 | ||||||
|
| |||||||
Leisure Time — 2.2% | ||||||||
Brunswick Corp. | 181,822 | 11,127,506 | ||||||
Norwegian Cruise Line Holdings Ltd. (c) | 1,070,000 | 54,281,100 | ||||||
Royal Caribbean Cruises Ltd. | 209,936 | 20,596,821 | ||||||
|
| |||||||
86,005,427 | ||||||||
|
| |||||||
Lodging — 1.9% | ||||||||
Marriott International, Inc. Class A | 535,000 | 50,386,300 | ||||||
MGM Resorts International | 923,805 | 25,312,257 | ||||||
|
| |||||||
75,698,557 | ||||||||
|
| |||||||
Retail — 8.7% | ||||||||
AutoZone, Inc. (c) | 59,000 | 42,659,950 | ||||||
Burlington Stores, Inc. (c) | 173,000 | 16,831,170 | ||||||
CarMax, Inc. (a) (c) | 448,000 | 26,530,560 | ||||||
Casey’s General Stores, Inc. (a) | 153,000 | 17,174,250 | ||||||
Coach, Inc. | 1,191,000 | 49,224,030 | ||||||
Dick’s Sporting Goods, Inc. | 242,000 | 11,775,720 | ||||||
Dollar General Corp. | 794,293 | 55,386,051 | ||||||
Dollar Tree, Inc. (c) | 80,190 | 6,291,707 | ||||||
L Brands, Inc. | 271,000 | 12,764,100 | ||||||
The Michaels Cos., Inc. (c) | 899,000 | 20,128,610 | ||||||
O’Reilly Automotive, Inc. (c) | 160,935 | 43,426,701 | ||||||
PVH Corp. | 109,000 | 11,278,230 | ||||||
Ross Stores, Inc. | 282,482 | 18,607,089 | ||||||
Texas Roadhouse, Inc. | 94,960 | 4,228,569 | ||||||
|
| |||||||
336,306,737 | ||||||||
|
| |||||||
645,056,585 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 30.9% | ||||||||
Beverages — 0.2% | ||||||||
Brown-Forman Corp. Class B | 87,568 | 4,043,890 | ||||||
Monster Beverage Corp. (c) | 83,081 | 3,835,850 | ||||||
|
| |||||||
7,879,740 | ||||||||
|
| |||||||
Biotechnology — 3.4% | ||||||||
Alkermes PLC (c) | 740,832 | 43,338,672 | ||||||
BioMarin Pharmaceutical, Inc. (c) | 96,601 | 8,479,636 | ||||||
Illumina, Inc. (c) | 163,137 | 27,837,698 | ||||||
Incyte Corp. (c) | 261,498 | 34,954,437 | ||||||
The Medicines Co. (a) (c) | 60,853 | 2,975,712 | ||||||
Vertex Pharmaceuticals, Inc. (c) | 142,000 | 15,527,700 | ||||||
|
| |||||||
133,113,855 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
132
MassMutual Select Mid Cap Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Commercial Services — 11.0% | ||||||||
Bright Horizons Family Solutions, Inc. (c) | 64,378 | $ | 4,666,761 | |||||
Cintas Corp. | 136,478 | 17,269,926 | ||||||
CoreLogic, Inc. (c) | 586,072 | 23,864,852 | ||||||
Equifax, Inc. | 497,585 | 68,039,773 | ||||||
Euronet Worldwide, Inc. (c) | 184,640 | 15,790,413 | ||||||
FleetCor Technologies, Inc. (c) | 202,000 | 30,588,860 | ||||||
Gartner, Inc. (c) | 174,633 | 18,858,618 | ||||||
Global Payments, Inc. | 682,713 | 55,081,285 | ||||||
IHS Markit Ltd. (c) | 1,042,000 | 43,711,900 | ||||||
KAR Auction Services, Inc. | 718,905 | 31,394,581 | ||||||
MacDonald Dettwiler & Associates Ltd. | 120,000 | 6,339,061 | ||||||
Moody’s Corp. | 48,908 | 5,479,652 | ||||||
PAREXEL International Corp. (c) | 77,017 | 4,860,543 | ||||||
Sabre Corp. | 721,000 | 15,277,990 | ||||||
TransUnion (c) | 178,000 | 6,826,300 | ||||||
Vantiv, Inc. Class A (c) | 707,691 | 45,377,147 | ||||||
Verisk Analytics, Inc. (c) | 370,000 | 30,021,800 | ||||||
Wework Cos., Inc. Class A (b) (c) | 47,262 | 2,448,644 | ||||||
|
| |||||||
425,898,106 | ||||||||
|
| |||||||
Foods — 1.9% | ||||||||
Blue Buffalo Pet Products, Inc. (a) (c) | 473,696 | 10,895,008 | ||||||
Conagra Brands, Inc. | 538,000 | 21,702,920 | ||||||
Sprouts Farmers Market, Inc. (a) (c) | 838,000 | 19,374,560 | ||||||
TreeHouse Foods, Inc. (a) (c) | 270,000 | 22,858,200 | ||||||
|
| |||||||
74,830,688 | ||||||||
|
| |||||||
Health Care – Products — 9.8% | ||||||||
Align Technology, Inc. (c) | 71,448 | 8,195,800 | ||||||
Bruker Corp. | 1,018,000 | 23,749,940 | ||||||
C.R. Bard, Inc. | 60,471 | 15,029,462 | ||||||
The Cooper Cos., Inc. | 316,120 | 63,189,227 | ||||||
DENTSPLY SIRONA, Inc. | 507,000 | 31,657,080 | ||||||
Edwards Lifesciences Corp. (c) | 68,295 | 6,424,511 | ||||||
Henry Schein, Inc. (c) | 149,000 | 25,325,530 | ||||||
Hologic, Inc. (c) | 1,225,000 | 52,123,750 | ||||||
IDEXX Laboratories, Inc. (c) | 114,000 | 17,625,540 | ||||||
Intuitive Surgical, Inc. (c) | 47,000 | 36,024,090 | ||||||
QIAGEN NV (c) | 254,697 | 7,378,572 | ||||||
STERIS PLC | 88,788 | 6,167,214 | ||||||
Teleflex, Inc. | 366,394 | 70,981,510 | ||||||
West Pharmaceutical Services, Inc. | 181,000 | 14,771,410 | ||||||
|
| |||||||
378,643,636 | ||||||||
|
| |||||||
Health Care – Services — 2.8% | ||||||||
Acadia Healthcare Co., Inc. (a) (c) | 436,218 | 19,019,105 | ||||||
Envision Healthcare Corp. (c) | 514,000 | 31,518,480 | ||||||
MEDNAX, Inc. (c) | 613,000 | 42,529,940 | ||||||
Quintiles IMS Holdings, Inc. (c) | 216,000 | 17,394,480 | ||||||
|
| |||||||
110,462,005 | ||||||||
|
|
Number of Shares | Value | |||||||
Pharmaceuticals — 1.8% | ||||||||
Alnylam Pharmaceuticals, Inc. (a) (c) | 152,000 | $ | 7,790,000 | |||||
Catalent, Inc. (c) | 683,000 | 19,342,560 | ||||||
Dexcom, Inc. (c) | 21,640 | 1,833,557 | ||||||
TESARO, Inc. (a) (c) | 45,000 | 6,924,150 | ||||||
Zoetis, Inc. | 632,292 | 33,745,424 | ||||||
|
| |||||||
69,635,691 | ||||||||
|
| |||||||
1,200,463,721 | ||||||||
|
| |||||||
Energy — 1.0% | ||||||||
Oil & Gas — 1.0% | ||||||||
ARC Resources Ltd. (a) | 489,000 | 6,986,502 | ||||||
Carrizo Oil & Gas, Inc. (a) (c) | 200,231 | 5,738,620 | ||||||
Centennial Resource Development, Inc. (b) (c) | 124,621 | 2,151,091 | ||||||
Centennial Resource Development, Inc. Class A (a) (c) | 267,000 | 4,867,410 | ||||||
Concho Resources, Inc. (c) | 158,905 | 20,393,868 | ||||||
|
| |||||||
40,137,491 | ||||||||
|
| |||||||
Financial — 8.9% | ||||||||
Banks — 0.6% | ||||||||
Popular, Inc. | 80,647 | 3,284,752 | ||||||
Signature Bank (c) | 67,011 | 9,943,762 | ||||||
Webster Financial Corp. | 220,010 | 11,009,301 | ||||||
|
| |||||||
24,237,815 | ||||||||
|
| |||||||
Diversified Financial Services — 4.8% | ||||||||
Alliance Data Systems Corp. | 29,558 | 7,359,942 | ||||||
CBOE Holdings, Inc. | 522,000 | 42,318,540 | ||||||
E*TRADE Financial Corp. (c) | 159,004 | 5,547,650 | ||||||
FNF Group | 1,309,000 | 50,972,460 | ||||||
Intercontinental Exchange, Inc. | 118,000 | 7,064,660 | ||||||
Nasdaq, Inc. | 160,976 | 11,179,783 | ||||||
Raymond James Financial, Inc. | 188,057 | 14,341,227 | ||||||
SEI Investments Co. | 94,064 | 4,744,588 | ||||||
SLM Corp. (c) | 591,000 | 7,151,100 | ||||||
TD Ameritrade Holding Corp. | 924,000 | 35,906,640 | ||||||
|
| |||||||
186,586,590 | ||||||||
|
| |||||||
Insurance — 3.1% | ||||||||
Aon PLC | 113,225 | 13,438,675 | ||||||
The Progressive Corp. | 923,000 | 36,163,140 | ||||||
Willis Towers Watson PLC | 528,888 | 69,226,151 | ||||||
|
| |||||||
118,827,966 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.4% | ||||||||
SBA Communications Corp. (c) | 125,044 | 15,051,546 | ||||||
|
| |||||||
344,703,917 | ||||||||
|
| |||||||
Industrial — 19.1% | ||||||||
Aerospace & Defense — 1.7% | ||||||||
Harris Corp. | 357,000 | 39,723,390 | ||||||
Rockwell Collins, Inc. | 280,000 | 27,204,800 | ||||||
|
| |||||||
66,928,190 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
133
MassMutual Select Mid Cap Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Building Materials — 1.3% | ||||||||
Eagle Materials, Inc. | 99,444 | $ | 9,659,990 | |||||
Fortune Brands Home & Security, Inc. | 29,816 | 1,814,304 | ||||||
Martin Marietta Materials, Inc. | 134,991 | 29,461,786 | ||||||
Vulcan Materials Co. | 73,992 | 8,914,556 | ||||||
|
| |||||||
49,850,636 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.5% | ||||||||
Acuity Brands, Inc. | 46,000 | 9,384,000 | ||||||
Universal Display Corp. | 130,100 | 11,201,610 | ||||||
|
| |||||||
20,585,610 | ||||||||
|
| |||||||
Electronics — 5.8% | ||||||||
Agilent Technologies, Inc. | 833,000 | 44,040,710 | ||||||
Allegion PLC | 453,000 | 34,292,100 | ||||||
Amphenol Corp. Class A | 99,474 | 7,079,565 | ||||||
Flex Ltd. (c) | 290,253 | 4,876,250 | ||||||
Fortive Corp. | 448,000 | 26,978,560 | ||||||
Keysight Technologies, Inc. (c) | 1,125,000 | 40,657,500 | ||||||
Mettler-Toledo International, Inc. (c) | 28,000 | 13,409,480 | ||||||
Sensata Technologies Holding NV (c) | 1,071,000 | 46,770,570 | ||||||
Woodward, Inc. | 98,987 | 6,723,197 | ||||||
|
| |||||||
224,827,932 | ||||||||
|
| |||||||
Environmental Controls — 1.3% | ||||||||
Waste Connections, Inc. | 575,867 | 50,802,987 | ||||||
|
| |||||||
Machinery – Diversified — 3.7% | ||||||||
Cognex Corp. | 118,000 | 9,906,100 | ||||||
IDEX Corp. | 500,000 | 46,755,000 | ||||||
The Middleby Corp. (c) | 104,000 | 14,190,800 | ||||||
Roper Technologies, Inc. | 238,000 | 49,144,620 | ||||||
Wabtec Corp. (a) | 40,247 | 3,139,266 | ||||||
Xylem, Inc. | 434,000 | 21,795,480 | ||||||
|
| |||||||
144,931,266 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 2.2% | ||||||||
A.O. Smith Corp. | 155,112 | 7,935,530 | ||||||
Colfax Corp. (c) | 273,000 | 10,717,980 | ||||||
Textron, Inc. | 1,368,000 | 65,103,120 | ||||||
|
| |||||||
83,756,630 | ||||||||
|
| |||||||
Packaging & Containers — 1.5% | ||||||||
Ardagh Group SA (c) | 63,000 | 1,383,480 | ||||||
Ball Corp. | 618,205 | 45,907,903 | ||||||
Berry Plastics Group, Inc. (c) | 176,030 | 8,549,777 | ||||||
|
| |||||||
55,841,160 | ||||||||
|
| |||||||
Transportation — 1.1% | ||||||||
J.B. Hunt Transport Services, Inc. | 181,547 | 16,655,122 | ||||||
Kansas City Southern | 257,000 | 22,040,320 | ||||||
Old Dominion Freight Line, Inc. | 59,000 | 5,048,630 | ||||||
|
| |||||||
43,744,072 | ||||||||
|
| |||||||
741,268,483 | ||||||||
|
|
Number of Shares | Value | |||||||
Technology — 13.2% | ||||||||
Computers — 0.9% | ||||||||
Computer Sciences Corp. | 92,491 | $ | 6,382,804 | |||||
Conduent, Inc. (c) | 344,488 | 5,780,508 | ||||||
CSRA, Inc. | 517,000 | 15,142,930 | ||||||
Fortinet, Inc. (c) | 118,108 | 4,529,442 | ||||||
Genpact Ltd. | 194,775 | 4,822,629 | ||||||
|
| |||||||
36,658,313 | ||||||||
|
| |||||||
Semiconductors — 3.7% | ||||||||
Integrated Device Technology, Inc. (c) | 286,360 | 6,778,141 | ||||||
KLA-Tencor Corp. | 180,000 | 17,112,600 | ||||||
Lam Research Corp. | 105,365 | 13,524,652 | ||||||
Microchip Technology, Inc. | 773,000 | 57,031,940 | ||||||
NXP Semiconductor NV (c) | 209,000 | 21,631,500 | ||||||
Qorvo, Inc. (c) | 177,271 | 12,153,700 | ||||||
Xilinx, Inc. | 241,000 | 13,951,490 | ||||||
|
| |||||||
142,184,023 | ||||||||
|
| |||||||
Software — 8.6% | ||||||||
Activision Blizzard, Inc. | 238,445 | 11,888,868 | ||||||
athenahealth, Inc. (a) (c) | 59,000 | 6,648,710 | ||||||
Atlassian Corp. PLC Class A (c) | 511,000 | 15,304,450 | ||||||
Black Knight Financial Services, Inc. Class A (a) (c) | 56,000 | 2,144,800 | ||||||
Cadence Design Systems, Inc. (c) | 458,881 | 14,408,863 | ||||||
CDK Global, Inc. | 265,673 | 17,271,402 | ||||||
Electronic Arts, Inc. (c) | 452,950 | 40,548,084 | ||||||
Fidelity National Information Services, Inc. | 210,000 | 16,720,200 | ||||||
Fiserv, Inc. (c) | 458,000 | 52,811,980 | ||||||
Guidewire Software, Inc. (c) | 129,000 | 7,266,570 | ||||||
Jack Henry & Associates, Inc. | 62,879 | 5,854,035 | ||||||
MSCI, Inc. | 239,000 | 23,228,410 | ||||||
Red Hat, Inc. (c) | 521,607 | 45,119,005 | ||||||
ServiceNow, Inc. (c) | 57,000 | 4,985,790 | ||||||
Splunk, Inc. (c) | 241,000 | 15,011,890 | ||||||
SS&C Technologies Holdings, Inc | 468,000 | 16,567,200 | ||||||
Tableau Software, Inc. Class A (c) | 220,000 | 10,901,000 | ||||||
Veeva Systems, Inc. Class A (c) | 236,000 | 12,102,080 | ||||||
Workday, Inc. Class A (c) | 181,000 | 15,073,680 | ||||||
|
| |||||||
333,857,017 | ||||||||
|
| |||||||
512,699,353 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $2,975,519,882) | 3,717,902,898 | |||||||
|
| |||||||
PREFERRED STOCK — 0.2% | ||||||||
Communications — 0.1% | ||||||||
Internet — 0.1% | ||||||||
Dropbox, Inc. Series A (b) (c) | 40,629 | 419,698 | ||||||
Dropbox, Inc. Series A 1 (b) (c) | 199,577 | 2,061,630 | ||||||
|
| |||||||
2,481,328 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
134
MassMutual Select Mid Cap Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Consumer, Non-cyclical — 0.1% | ||||||||
Commercial Services — 0.1% | ||||||||
Wework, Inc. Series D 1 (b) (c) | 83,736 | $ | 4,338,362 | |||||
Wework, Inc. Series D 2 (b) (c) | 65,792 | 3,408,684 | ||||||
|
| |||||||
7,747,046 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $4,663,463) | 10,228,374 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $2,980,183,345) | 3,728,131,272 | |||||||
|
| |||||||
MUTUAL FUNDS — 6.1% | ||||||||
Diversified Financial Services — 6.1% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 186,011,336 | 186,011,336 | ||||||
T. Rowe Price Government Reserve Investment Fund | 50,031,798 | 50,031,798 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $236,043,134) | 236,043,134 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $3,216,226,479) | 3,964,174,406 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 3.5% | ||||||||
Repurchase Agreement — 3.5% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (e) | $ | 134,677,161 | 134,677,161 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $134,677,161) | 134,677,161 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 105.5% (Cost $3,350,903,640) (f) | 4,098,851,567 | |||||||
Other Assets/(Liabilities) — (5.5)% | (213,065,954 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,885,785,613 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2017, was $181,693,031 or 4.68% 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) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2017, these securities amounted to a value of $15,166,076 or 0.39% of net assets. |
(c) | Non-income producing security. |
(d) | Represents investment of security lending collateral. (Note 2). |
(e) | Maturity value of $134,677,722. Collateralized by U.S. Government Agency obligations with rates ranging from 2.000% – 2.125%, maturity dates ranging from 8/31/21 – 9/30/21, and an aggregate market value, including accrued interest, of $137,373,658. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
135
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 98.8% | ||||||||
COMMON STOCK — 97.6% | ||||||||
Basic Materials — 2.7% | ||||||||
Chemicals — 2.5% | ||||||||
Ferro Corp. (a) | 73,700 | $ | 1,119,503 | |||||
Ingevity Corp. (a) | 47,799 | 2,908,569 | ||||||
Methanex Corp. | 54,265 | 2,545,028 | ||||||
Minerals Technologies, Inc. | 20,613 | 1,578,956 | ||||||
Platform Specialty Products Corp. (a) | 200,189 | 2,606,461 | ||||||
PolyOne Corp. | 52,411 | 1,786,691 | ||||||
|
| |||||||
12,545,208 | ||||||||
|
| |||||||
Iron & Steel — 0.0% | ||||||||
Cliffs Natural Resources, Inc. (a) | 25,520 | 209,519 | ||||||
|
| |||||||
Mining — 0.2% | ||||||||
US Silica Holdings, Inc. | 16,638 | 798,458 | ||||||
|
| |||||||
13,553,185 | ||||||||
|
| |||||||
Communications — 6.3% | ||||||||
Internet — 3.9% | ||||||||
Dropbox, Inc. (a) (b) | 28,181 | 291,110 | ||||||
GoDaddy, Inc. Class A (a) | 29,188 | 1,106,225 | ||||||
Just Eat PLC (a) | 116,166 | 822,809 | ||||||
Mimecast Ltd. (a) (c) | 43,367 | 970,987 | ||||||
Proofpoint, Inc. (a) (c) | 44,558 | 3,313,333 | ||||||
Q2 Holdings, Inc. (a) | 48,500 | 1,690,225 | ||||||
Shopify, Inc. Class A (a) | 48,860 | 3,326,877 | ||||||
Stamps.com, Inc. (a) (c) | 12,146 | 1,437,479 | ||||||
The Trade Desk, Inc. Class A (a) | 16,658 | 620,511 | ||||||
Wix.com Ltd. (a) | 51,120 | 3,471,048 | ||||||
Zendesk, Inc. (a) | 72,250 | 2,025,890 | ||||||
Zillow Group, Inc. Class C (a) | 27,792 | 935,757 | ||||||
|
| |||||||
20,012,251 | ||||||||
|
| |||||||
Media — 0.4% | ||||||||
The New York Times Co. Class A | 124,306 | 1,790,006 | ||||||
|
| |||||||
Telecommunications — 2.0% | ||||||||
Arista Networks, Inc. (a) | 15,147 | 2,003,493 | ||||||
Ciena Corp. (a) | 85,395 | 2,016,176 | ||||||
Infinera Corp. (a) (c) | 52,869 | 540,850 | ||||||
LogMeIn, Inc. | 25,780 | 2,513,550 | ||||||
Oclaro, Inc. (a) (c) | 95,157 | 934,442 | ||||||
Vonage Holdings Corp. (a) | 363,806 | 2,299,254 | ||||||
|
| |||||||
10,307,765 | ||||||||
|
| |||||||
32,110,022 | ||||||||
|
| |||||||
Consumer, Cyclical — 14.2% | ||||||||
Airlines — 0.7% | ||||||||
Hawaiian Holdings, Inc. (a) | 17,490 | 812,411 | ||||||
Spirit Airlines, Inc. (a) | 48,160 | 2,555,851 | ||||||
|
| |||||||
3,368,262 | ||||||||
|
|
Number of Shares | Value | |||||||
Apparel — 1.0% | ||||||||
Canada Goose Holdings, Inc. (a) | 8,310 | $ | 132,627 | |||||
Deckers Outdoor Corp. (a) | 26,400 | 1,576,872 | ||||||
Oxford Industries, Inc. | 12,676 | 725,828 | ||||||
Steven Madden Ltd. (a) | 33,698 | 1,299,058 | ||||||
Wolverine World Wide, Inc. | 49,706 | 1,241,159 | ||||||
|
| |||||||
4,975,544 | ||||||||
|
| |||||||
Auto Manufacturers — 0.4% | ||||||||
Wabash National Corp. (c) | 90,300 | 1,868,307 | ||||||
|
| |||||||
Auto Parts & Equipment — 0.6% | ||||||||
Tenneco, Inc. | 21,481 | 1,340,844 | ||||||
Visteon Corp. (a) | 18,590 | 1,820,891 | ||||||
|
| |||||||
3,161,735 | ||||||||
|
| |||||||
Distribution & Wholesale — 2.1% | ||||||||
Beacon Roofing Supply, Inc. (a) | 62,290 | 3,062,176 | ||||||
H&E Equipment Services, Inc. | 55,720 | 1,366,254 | ||||||
Pool Corp. | 30,480 | 3,637,179 | ||||||
SiteOne Landscape Supply, Inc. (a) (c) | 28,130 | 1,361,773 | ||||||
WESCO International, Inc. (a) | 18,641 | 1,296,482 | ||||||
|
| |||||||
10,723,864 | ||||||||
|
| |||||||
Entertainment — 1.6% | ||||||||
Cinemark Holdings, Inc. | 32,827 | 1,455,549 | ||||||
Marriott Vacations Worldwide Corp. | 15,932 | 1,592,085 | ||||||
National CineMedia, Inc. | 123,040 | 1,553,995 | ||||||
Red Rock Resorts, Inc. Class A | 31,290 | 694,012 | ||||||
Vail Resorts, Inc. | 15,950 | 3,060,805 | ||||||
|
| |||||||
8,356,446 | ||||||||
|
| |||||||
Home Furnishing — 0.6% | ||||||||
iRobot Corp. (a) (c) | 25,080 | 1,658,791 | ||||||
La-Z-Boy, Inc. | 57,831 | 1,561,437 | ||||||
|
| |||||||
3,220,228 | ||||||||
|
| |||||||
Leisure Time — 1.6% | ||||||||
Acushnet Holdings Corp. (a) (c) | 82,082 | 1,418,377 | ||||||
ClubCorp Holdings, Inc. | 50,029 | 802,965 | ||||||
Fox Factory Holding Corp. (a) | 35,106 | 1,007,542 | ||||||
LCI Industries | 13,190 | 1,316,362 | ||||||
Lindblad Expeditions Holdings, Inc. (a) (c) | 170,831 | 1,530,646 | ||||||
Planet Fitness, Inc. Class A | 93,410 | 1,800,011 | ||||||
|
| |||||||
7,875,903 | ||||||||
|
| |||||||
Lodging — 0.3% | ||||||||
Hyatt Hotels Corp. Class A (a) | 27,434 | 1,480,887 | ||||||
|
| |||||||
Retail — 5.3% | ||||||||
Bloomin’ Brands, Inc. | 98,532 | 1,944,036 | ||||||
Burlington Stores, Inc. (a) | 27,700 | 2,694,933 | ||||||
The Cheesecake Factory, Inc. | 27,824 | 1,762,929 | ||||||
Chico’s FAS, Inc. | 142,005 | 2,016,471 |
The accompanying notes are an integral part of the financial statements.
136
MassMutual Select Small Cap Growth Equity Fund — Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
The Children’s Place, Inc. (c) | 10,390 | $ | 1,247,319 | |||||
Dave & Buster’s Entertainment, Inc. (a) | 29,630 | 1,810,097 | ||||||
FirstCash, Inc. | 33,580 | 1,650,457 | ||||||
Five Below, Inc. (a) | 11,444 | 495,640 | ||||||
Jack in the Box, Inc. | 9,760 | 992,787 | ||||||
Kate Spade & Co. (a) | 108,530 | 2,521,152 | ||||||
Nu Skin Enterprises, Inc. Class A | 36,244 | 2,012,992 | ||||||
Ollie’s Bargain Outlet Holdings, Inc. (a) | 74,420 | 2,493,070 | ||||||
Panera Bread Co. Class A (a) (c) | 11,648 | 3,050,262 | ||||||
Papa John’s International, Inc. | 12,210 | 977,288 | ||||||
Wingstop, Inc. | 48,147 | 1,361,597 | ||||||
|
| |||||||
27,031,030 | ||||||||
|
| |||||||
72,062,206 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 19.4% | ||||||||
Beverages — 0.2% | ||||||||
MGP Ingredients, Inc. (c) | 20,361 | 1,104,177 | ||||||
|
| |||||||
Biotechnology — 2.7% | ||||||||
Aduro Biotech, Inc. (a) | 69,400 | 746,050 | ||||||
Alder Biopharmaceuticals, Inc. (a) (c) | 29,972 | 623,418 | ||||||
Bluebird Bio, Inc. (a) (c) | 21,311 | 1,937,170 | ||||||
Blueprint Medicines Corp. (a) | 43,288 | 1,731,087 | ||||||
Cambrex Corp. (a) | 16,870 | 928,693 | ||||||
Exelixis, Inc. (a) | 32,530 | 704,925 | ||||||
Five Prime Therapeutics, Inc. (a) | 28,051 | 1,014,044 | ||||||
Ionis Pharmaceuticals, Inc. (a) (c) | 17,791 | 715,198 | ||||||
Kite Pharma, Inc. (a) (c) | 9,340 | 733,097 | ||||||
Ligand Pharmaceuticals, Inc. (a) | 7,240 | 766,282 | ||||||
Otonomy, Inc. (a) | 36,892 | 451,927 | ||||||
Spark Therapeutics, Inc. (a) (c) | 9,526 | 508,117 | ||||||
Ultragenyx Pharmaceutical, Inc. (a) | 41,170 | 2,790,502 | ||||||
|
| |||||||
13,650,510 | ||||||||
|
| |||||||
Commercial Services — 3.1% | ||||||||
Bright Horizons Family Solutions, Inc. (a) | 24,040 | 1,742,660 | ||||||
Cardtronics PLC Class A (a) | 49,121 | 2,296,407 | ||||||
CoStar Group, Inc. (a) | 7,340 | 1,520,995 | ||||||
HealthEquity, Inc. (a) | 37,230 | 1,580,413 | ||||||
MarketAxess Holdings, Inc. | 16,860 | 3,161,081 | ||||||
Monro Muffler Brake, Inc. | 21,771 | 1,134,269 | ||||||
TriNet Group, Inc. (a) | 64,281 | 1,857,721 | ||||||
WEX, Inc. (a) | 21,746 | 2,250,711 | ||||||
|
| |||||||
15,544,257 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.2% | ||||||||
elf Beauty, Inc. (a) (c) | 35,470 | 1,021,536 | ||||||
|
| |||||||
Foods — 1.1% | ||||||||
Calavo Growers, Inc. (c) | 16,119 | 976,811 | ||||||
Greencore Group PLC | 427,055 | 1,315,371 | ||||||
Performance Food Group Co. (a) | 70,800 | 1,685,040 | ||||||
Sanderson Farms, Inc. (c) | 15,984 | 1,659,779 | ||||||
|
| |||||||
5,637,001 | ||||||||
|
|
Number of Shares | Value | |||||||
Health Care – Products — 8.0% | ||||||||
ABIOMED, Inc. (a) | 25,637 | $ | 3,209,752 | |||||
Align Technology, Inc. (a) | 23,032 | 2,642,001 | ||||||
Cantel Medical Corp. | 39,080 | 3,130,308 | ||||||
Glaukos Corp. (a) | 12,700 | 651,510 | ||||||
Globus Medical, Inc. Class A (a) | 64,343 | 1,905,840 | ||||||
Haemonetics Corp. (a) | 48,461 | 1,966,063 | ||||||
ICU Medical, Inc. (a) | 7,410 | 1,131,507 | ||||||
Inogen, Inc. (a) | 27,256 | 2,113,975 | ||||||
Insulet Corp. (a) | 117,500 | 5,063,075 | ||||||
Integra LifeSciences Holdings Corp. (a) | 34,820 | 1,466,967 | ||||||
Masimo Corp. (a) | 16,270 | 1,517,340 | ||||||
MiMedx Group, Inc. (a) (c) | 169,900 | 1,619,147 | ||||||
Nevro Corp. (a) (c) | 19,172 | 1,796,416 | ||||||
NuVasive, Inc. (a) | 42,650 | 3,185,102 | ||||||
NxStage Medical, Inc. (a) | 36,400 | 976,612 | ||||||
Penumbra, Inc. (a) | 15,920 | 1,328,524 | ||||||
Repligen Corp. (a) | 45,750 | 1,610,400 | ||||||
The Spectranetics Corp. (a) | 38,560 | 1,123,060 | ||||||
West Pharmaceutical Services, Inc. | 28,250 | 2,305,482 | ||||||
Wright Medical Group NV (a) | 68,380 | 2,127,986 | ||||||
|
| |||||||
40,871,067 | ||||||||
|
| |||||||
Health Care – Services — 1.9% | ||||||||
Acadia Healthcare Co., Inc. (a) (c) | 34,639 | 1,510,260 | ||||||
Kindred Healthcare, Inc. | 220,724 | 1,843,046 | ||||||
LifePoint Health, Inc. (a) | 35,576 | 2,330,228 | ||||||
Molina Healthcare, Inc. (a) (c) | 32,694 | 1,490,846 | ||||||
Teladoc, Inc. (a) (c) | 44,400 | 1,110,000 | ||||||
WellCare Health Plans, Inc. (a) | 8,970 | 1,257,684 | ||||||
|
| |||||||
9,542,064 | ||||||||
|
| |||||||
Pharmaceuticals — 2.2% | ||||||||
ACADIA Pharmaceuticals, Inc. (a) (c) | 12,830 | 441,095 | ||||||
Aerie Pharmaceuticals, Inc. (a) | 33,438 | 1,516,413 | ||||||
Aimmune Therapeutics, Inc. (a) (c) | 6,500 | 141,245 | ||||||
Coherus Biosciences, Inc. (a) (c) | 14,514 | 306,971 | ||||||
Dexcom, Inc. (a) | 12,567 | 1,064,802 | ||||||
Galapagos NV (a) (c) | 15,403 | 1,327,585 | ||||||
Global Blood Therapeutics, Inc. (a) | 26,970 | 993,844 | ||||||
Ironwood Pharmaceuticals, Inc. (a) (c) | 44,991 | 767,546 | ||||||
Neogen Corp. (a) | 7,200 | 471,960 | ||||||
Portola Pharmaceuticals, Inc. (a) | 22,184 | 869,391 | ||||||
PRA Health Sciences, Inc. (a) | 31,820 | 2,075,619 | ||||||
TESARO, Inc. (a) (c) | 9,171 | 1,411,142 | ||||||
|
| |||||||
11,387,613 | ||||||||
|
| |||||||
98,758,225 | ||||||||
|
| |||||||
Energy — 3.3% | ||||||||
Energy – Alternate Sources — 0.6% | ||||||||
First Solar, Inc. (a) (c) | 37,077 | 1,004,787 |
The accompanying notes are an integral part of the financial statements.
137
MassMutual Select Small Cap Growth Equity Fund — Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Pattern Energy Group, Inc. (c) | 104,092 | $ | 2,095,372 | |||||
|
| |||||||
3,100,159 | ||||||||
|
| |||||||
Oil & Gas — 2.3% | ||||||||
Callon Petroleum Co. (a) | 226,265 | 2,977,647 | ||||||
Centennial Resource Development, Inc. (b) | 5,688 | 98,181 | ||||||
Centennial Resource Development, Inc. Class A (a) (c) | 54,209 | 988,230 | ||||||
Delek US Holdings, Inc. | 77,277 | 1,875,513 | ||||||
Oasis Petroleum, Inc. (a) | 60,050 | 856,313 | ||||||
QEP Resources, Inc. (a) | 90,271 | 1,147,345 | ||||||
Resolute Energy Corp. (a) (c) | 15,236 | 615,534 | ||||||
SRC Energy, Inc. (a) (c) | 198,177 | 1,672,614 | ||||||
WPX Energy, Inc. (a) | 95,405 | 1,277,473 | ||||||
|
| |||||||
11,508,850 | ||||||||
|
| |||||||
Oil & Gas Services — 0.4% | ||||||||
Forum Energy Technologies, Inc. (a) | 58,421 | 1,209,314 | ||||||
RPC, Inc. (c) | 46,170 | 845,373 | ||||||
|
| |||||||
2,054,687 | ||||||||
|
| |||||||
16,663,696 | ||||||||
|
| |||||||
Financial — 16.5% | ||||||||
Banks — 5.9% | ||||||||
Ameris Bancorp | 51,341 | 2,366,820 | ||||||
ConnectOne Bancorp, Inc. | 70,565 | 1,711,201 | ||||||
F.N.B. Corp. | 71,339 | 1,060,811 | ||||||
FCB Financial Holdings, Inc. Class A (a) | 41,669 | 2,064,699 | ||||||
Great Western Bancorp, Inc. | 41,934 | 1,778,421 | ||||||
MB Financial, Inc. | 85,796 | 3,673,785 | ||||||
Pinnacle Financial Partners, Inc. | 31,270 | 2,077,891 | ||||||
South State Corp. | 19,750 | 1,764,663 | ||||||
State Bank Financial Corp. | 67,544 | 1,764,249 | ||||||
Texas Capital Bancshares, Inc. (a) | 48,536 | 4,050,329 | ||||||
United Community Banks, Inc. | 23,404 | 648,057 | ||||||
Western Alliance Bancorp (a) | 143,413 | 7,040,144 | ||||||
|
| |||||||
30,001,070 | ||||||||
|
| |||||||
Diversified Financial Services — 2.5% | ||||||||
Air Lease Corp. | 53,138 | 2,059,097 | ||||||
Blackhawk Network Holdings, Inc. (a) | 32,614 | 1,324,129 | ||||||
Evercore Partners, Inc. Class A | 21,900 | 1,706,010 | ||||||
Financial Engines, Inc. (c) | 38,818 | 1,690,524 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 147,548 | 2,980,470 | ||||||
SLM Corp. (a) | 90,700 | 1,097,470 | ||||||
WageWorks, Inc. (a) | 11,341 | 819,954 | ||||||
WisdomTree Investments, Inc. (c) | 104,579 | 949,577 | ||||||
|
| |||||||
12,627,231 | ||||||||
|
|
Number of Shares | Value | |||||||
Insurance — 2.6% | ||||||||
Assurant, Inc. | 9,751 | $ | 932,878 | |||||
Assured Guaranty Ltd. | 47,625 | 1,767,364 | ||||||
eHealth, Inc. (a) | 113,921 | 1,371,609 | ||||||
Essent Group Ltd. (a) | 28,850 | 1,043,504 | ||||||
Horace Mann Educators Corp. | 49,594 | 2,035,834 | ||||||
Kemper Corp. | 43,112 | 1,720,169 | ||||||
MBIA, Inc. (a) | 102,591 | 868,946 | ||||||
MGIC Investment Corp. (a) | 242,034 | 2,451,804 | ||||||
Primerica, Inc. | 14,680 | 1,206,696 | ||||||
|
| |||||||
13,398,804 | ||||||||
|
| |||||||
Private Equity — 0.8% | ||||||||
Kennedy-Wilson Holdings, Inc. | 177,279 | 3,935,594 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 3.3% | ||||||||
CoreSite Realty Corp. | 18,747 | 1,688,167 | ||||||
LaSalle Hotel Properties | 113,688 | 3,291,268 | ||||||
Life Storage, Inc. | 18,667 | 1,532,934 | ||||||
MFA Financial, Inc. | 229,131 | 1,851,379 | ||||||
Outfront Media, Inc. | 76,782 | 2,038,562 | ||||||
Potlatch Corp. | 16,500 | 754,050 | ||||||
PS Business Parks, Inc. | 18,032 | 2,069,352 | ||||||
Redwood Trust, Inc. | 118,347 | 1,965,744 | ||||||
Rexford Industrial Realty, Inc. | 79,441 | 1,789,011 | ||||||
|
| |||||||
16,980,467 | ||||||||
|
| |||||||
Savings & Loans — 1.4% | ||||||||
Pacific Premier Bancorp, Inc. (a) | 25,936 | 999,833 | ||||||
Sterling Bancorp | 254,987 | 6,043,192 | ||||||
|
| |||||||
7,043,025 | ||||||||
|
| |||||||
83,986,191 | ||||||||
|
| |||||||
Industrial — 17.1% | ||||||||
Aerospace & Defense — 1.2% | ||||||||
Astronics Corp. (a) | 26,613 | 844,430 | ||||||
HEICO Corp. | 24,730 | 2,156,456 | ||||||
HEICO Corp. Class A | 13,490 | 1,011,750 | ||||||
Teledyne Technologies, Inc. (a) | 16,565 | 2,094,810 | ||||||
|
| |||||||
6,107,446 | ||||||||
|
| |||||||
Building Materials — 1.9% | ||||||||
Armstrong Flooring, Inc. (a) | 55,730 | 1,026,546 | ||||||
Eagle Materials, Inc. | 9,450 | 917,973 | ||||||
Lennox International, Inc. | 12,950 | 2,166,535 | ||||||
Masonite International Corp. (a) | 61,163 | 4,847,168 | ||||||
Summit Materials, Inc. Class A (a) | 38,752 | 957,562 | ||||||
|
| |||||||
9,915,784 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.4% | ||||||||
Littelfuse, Inc. | 11,270 | 1,802,186 | ||||||
SunPower Corp. (a) (c) | 69,260 | 422,486 | ||||||
|
| |||||||
2,224,672 | ||||||||
|
| |||||||
Electronics — 1.5% | ||||||||
Coherent, Inc. (a) | 18,213 | 3,745,321 |
The accompanying notes are an integral part of the financial statements.
138
MassMutual Select Small Cap Growth Equity Fund — Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
II-VI, Inc. (a) | 31,728 | $ | 1,143,794 | |||||
Itron, Inc. (a) | 15,837 | 961,306 | ||||||
Watts Water Technologies, Inc. Class��A | 28,170 | 1,756,400 | ||||||
|
| |||||||
7,606,821 | ||||||||
|
| |||||||
Engineering & Construction — 1.0% | ||||||||
Dycom Industries, Inc. (a) (c) | 18,780 | 1,745,601 | ||||||
Granite Construction, Inc. | 29,430 | 1,477,092 | ||||||
MasTec, Inc. (a) | 44,720 | 1,791,036 | ||||||
|
| |||||||
5,013,729 | ||||||||
|
| |||||||
Environmental Controls — 1.0% | ||||||||
Casella Waste Systems, Inc. Class A (a) | 79,601 | 1,123,170 | ||||||
Clean Harbors, Inc. (a) | 69,543 | 3,867,982 | ||||||
|
| |||||||
4,991,152 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.9% | ||||||||
Lincoln Electric Holdings, Inc. | 19,260 | 1,672,924 | ||||||
Milacron Holdings Corp. (a) | 83,400 | 1,552,074 | ||||||
Regal Beloit Corp. | 15,483 | 1,171,289 | ||||||
|
| |||||||
4,396,287 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.6% | ||||||||
Astec Industries, Inc. | 18,740 | 1,152,416 | ||||||
BWX Technologies, Inc. | 37,850 | 1,801,660 | ||||||
|
| |||||||
2,954,076 | ||||||||
|
| |||||||
Machinery – Diversified — 2.1% | ||||||||
Altra Industrial Motion Corp. | 59,872 | 2,332,015 | ||||||
Applied Industrial Technologies, Inc. | 20,485 | 1,266,997 | ||||||
Cognex Corp. | 26,720 | 2,243,144 | ||||||
The Middleby Corp. (a) | 26,138 | 3,566,530 | ||||||
Zebra Technologies Corp. Class A (a) | 11,644 | 1,062,515 | ||||||
|
| |||||||
10,471,201 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 1.8% | ||||||||
Advanced Drainage Systems, Inc. | 154,032 | 3,373,301 | ||||||
Mueller Water Products, Inc. Class A | 77,150 | 911,913 | ||||||
RBC Bearings, Inc. (a) | 18,190 | 1,766,067 | ||||||
Rexnord Corp. (a) | 51,524 | 1,189,174 | ||||||
The Timken Co. | 45,700 | 2,065,640 | ||||||
|
| |||||||
9,306,095 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.4% | ||||||||
A.O. Smith Corp. | 20,300 | 1,038,548 | ||||||
John Bean Technologies Corp. | 53,303 | 4,687,999 | ||||||
Trinseo SA | 23,070 | 1,547,997 | ||||||
|
| |||||||
7,274,544 | ||||||||
|
| |||||||
Packaging & Containers — 0.9% | ||||||||
Berry Plastics Group, Inc. (a) | 41,030 | 1,992,827 | ||||||
Graphic Packaging Holding Co. | 115,115 | 1,481,530 | ||||||
KapStone Paper and Packaging Corp. | 41,053 | 948,324 | ||||||
|
| |||||||
4,422,681 | ||||||||
|
|
Number of Shares | Value | |||||||
Transportation — 2.0% | ||||||||
Kirby Corp. (a) | 33,113 | $ | 2,336,122 | |||||
Knight Transportation, Inc. | 66,337 | 2,079,665 | ||||||
Swift Transportation Co. (a) (c) | 174,524 | 3,584,723 | ||||||
XPO Logistics, Inc. (a) | 45,370 | 2,172,769 | ||||||
|
| |||||||
10,173,279 | ||||||||
|
| |||||||
Trucking & Leasing — 0.4% | ||||||||
GATX Corp. (c) | 30,453 | 1,856,415 | ||||||
|
| |||||||
86,714,182 | ||||||||
|
| |||||||
Technology — 17.5% | ||||||||
Computers — 1.2% | ||||||||
EPAM Systems, Inc. (a) | 13,691 | 1,033,944 | ||||||
Mercury Systems, Inc. (a) | 68,390 | 2,670,629 | ||||||
Nutanix, Inc. Class A (a) | 11,063 | 207,653 | ||||||
VeriFone Systems, Inc. (a) | 66,571 | 1,246,875 | ||||||
Virtusa Corp. (a) | 36,590 | 1,105,750 | ||||||
|
| |||||||
6,264,851 | ||||||||
|
| |||||||
Semiconductors — 8.0% | ||||||||
Advanced Micro Devices, Inc. (a) | 67,395 | 980,597 | ||||||
Cavium, Inc. (a) | 61,156 | 4,382,439 | ||||||
Entegris, Inc. (a) | 239,309 | 5,599,831 | ||||||
Impinj, Inc. (a) (c) | 57,525 | 1,741,282 | ||||||
Inphi Corp. (a) (c) | 52,070 | 2,542,057 | ||||||
Integrated Device Technology, Inc. (a) | 9,103 | 215,468 | ||||||
MACOM Technology Solutions Holdings, Inc. (a) | 67,178 | 3,244,697 | ||||||
MaxLinear, Inc. Class A (a) | 120,377 | 3,376,575 | ||||||
Microsemi Corp. (a) | 17,560 | 904,867 | ||||||
MKS Instruments, Inc. | 67,339 | 4,629,556 | ||||||
Monolithic Power Systems, Inc. | 53,710 | 4,946,691 | ||||||
Power Integrations, Inc. | 25,800 | 1,696,350 | ||||||
Semtech Corp. (a) | 56,980 | 1,925,924 | ||||||
Silicon Laboratories, Inc. (a) | 26,470 | 1,946,869 | ||||||
Tower Semiconductor Ltd. (a) | 99,935 | 2,303,502 | ||||||
|
| |||||||
40,436,705 | ||||||||
|
| |||||||
Software — 8.3% | ||||||||
2U, Inc. (a) (c) | 100,948 | 4,003,598 | ||||||
Allscripts Healthcare Solutions, Inc. (a) | 158,696 | 2,012,265 | ||||||
Aspen Technology, Inc. (a) | 24,598 | 1,449,314 | ||||||
BroadSoft, Inc. (a) | 59,248 | 2,381,770 | ||||||
Callidus Software, Inc. (a) | 91,563 | 1,954,870 | ||||||
Cotiviti Holdings, Inc. (a) | 23,360 | 972,477 | ||||||
Envestnet, Inc. (a) | 14,866 | 480,172 | ||||||
Evolent Health, Inc. Class A (a) (c) | 57,540 | 1,283,142 | ||||||
Fair Isaac Corp. | 17,786 | 2,293,505 | ||||||
Five9, Inc. (a) | 51,392 | 845,912 | ||||||
Guidewire Software, Inc. (a) | 12,593 | 709,364 | ||||||
HubSpot, Inc. (a) | 110,655 | 6,700,160 | ||||||
PTC, Inc. (a) | 55,140 | 2,897,607 |
The accompanying notes are an integral part of the financial statements.
139
MassMutual Select Small Cap Growth Equity Fund — Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Take-Two Interactive Software, Inc. (a) | 45,150 | $ | 2,676,040 | |||||
Telogis (b) | 251,002 | 798,186 | ||||||
Twilio, Inc. (a) (c) | 25,915 | 748,166 | ||||||
Tyler Technologies, Inc. (a) | 8,700 | 1,344,672 | ||||||
The Ultimate Software Group, Inc. (a) | 18,681 | 3,646,718 | ||||||
Veeva Systems, Inc. Class A (a) | 99,790 | 5,117,231 | ||||||
|
| |||||||
42,315,169 | ||||||||
|
| |||||||
89,016,725 | ||||||||
|
| |||||||
Utilities — 0.6% | ||||||||
Electric — 0.6% | ||||||||
8Point3 Energy Partners LP | 87,635 | 1,189,207 | ||||||
Black Hills Corp. (c) | 29,100 | 1,934,277 | ||||||
|
| |||||||
3,123,484 | ||||||||
|
| |||||||
3,123,484 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $427,322,639) | 495,987,916 | |||||||
|
| |||||||
PREFERRED STOCK — 1.2% | ||||||||
Communications — 0.6% | ||||||||
Internet — 0.6% | ||||||||
Draftkings, Inc. Series D (a) (b) | 53,080 | 143,316 | ||||||
Draftkings, Inc. Series D 1 (a) (b) | 102,640 | 333,580 | ||||||
The Honest Company, Series D (a) (b) | 14,220 | 498,127 | ||||||
Veracode, Inc. Series 8 (a) (b) | 30,294 | 1,170,560 | ||||||
Zuora, Inc. Series F (a) (b) | 194,983 | 824,778 | ||||||
|
| |||||||
2,970,361 | ||||||||
|
| |||||||
Technology — 0.6% | ||||||||
Software — 0.6% | ||||||||
Cloudera, Inc. Series F (a) (b) | 38,099 | 794,364 | ||||||
Docusign, Inc. Series E | 8,415 | - | ||||||
Marklogic Corp. Series F (a) (b) | 77,018 | 810,229 | ||||||
Telogis (a) (b) | 341,823 | 1,504,842 | ||||||
|
| |||||||
3,109,435 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $5,225,147) | 6,079,796 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $432,547,786) | 502,067,712 | |||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
Consumer, Non-cyclical — 0.0% | ||||||||
Pharmaceuticals — 0.0% | ||||||||
Dyax Corp. (a) (b) | 20,230 | 38,235 | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $22,455) | 38,235 | |||||||
|
|
Number of Shares | Value | |||||||
MUTUAL FUNDS — 11.6% | ||||||||
Diversified Financial Services —11.6% | ||||||||
iShares Russell 2000 Index Fund | 34,176 | $ | 4,698,516 | |||||
State Street Navigator Securities Lending Prime Portfolio (d) | 54,372,407 | 54,372,407 | ||||||
|
| |||||||
59,070,923 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $58,987,483) | 59,070,923 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $491,557,724) | 561,176,870 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.5% | ||||||||
Repurchase Agreement — 0.5% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (e) | $ | 2,525,613 | 2,525,613 | |||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 9,278 | 9,278 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,534,891) | 2,534,891 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 110.9% (Cost $494,092,615) (f) | 563,711,761 | |||||||
Other Assets/(Liabilities) — (10.9)% | (55,370,176 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 508,341,585 | ||||||
|
|
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 March 31, 2017, these securities amounted to a value of $7,305,508 or 1.44% of net assets. |
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2017, was $53,105,914 or 10.45% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(d) | Represents investment of security lending collateral. (Note 2). |
(e) | Maturity value of $2,525,624. Collateralized by U.S. Government Agency obligations with rates ranging from 1.000% – 2.000%, maturity dates ranging from 5/15/18 – 8/31/21, and an aggregate market value, including accrued interest, of $2,579,349. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
140
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 99.4% | ||||||||
COMMON STOCK — 99.4% | ||||||||
Australia — 4.1% | ||||||||
Australia & New Zealand Banking Group Ltd. | 20,125 | $ | 488,803 | |||||
Goodman Group | 36,390 | 215,229 | ||||||
|
| |||||||
704,032 | ||||||||
|
| |||||||
Austria — 1.1% | ||||||||
Erste Group Bank AG | 5,892 | 191,886 | ||||||
|
| |||||||
Belgium — 2.1% | ||||||||
Anheuser-Busch InBev SA/NV | 1,680 | 184,564 | ||||||
KBC Group NV | 2,690 | 178,482 | ||||||
|
| |||||||
363,046 | ||||||||
|
| |||||||
Canada — 1.1% | ||||||||
TransCanada Corp. | 3,990 | 184,131 | ||||||
|
| |||||||
Cayman Islands — 1.5% | ||||||||
CK Hutchison Holdings Ltd. | 20,696 | 254,566 | ||||||
|
| |||||||
Chile — 0.6% | ||||||||
Banco Santander Chile Sponsored ADR (Chile) | 4,293 | 107,669 | ||||||
|
| |||||||
Denmark — 8.3% | ||||||||
Bayer AG | 1,273 | 146,738 | ||||||
Brenntag AG | 2,651 | 148,686 | ||||||
Daimler AG | 3,995 | 295,038 | ||||||
Deutsche Boerse AG (a) | 1,982 | 181,650 | ||||||
HeidelbergCement AG | 675 | 63,195 | ||||||
Infineon Technologies AG | 4,954 | 101,155 | ||||||
Siemens AG | 3,566 | 488,489 | ||||||
|
| |||||||
1,424,951 | ||||||||
|
| |||||||
Finland — 1.4% | ||||||||
Outokumpu OYJ | 17,857 | 174,127 | ||||||
UPM-Kymmene OYJ | 2,769 | 65,162 | ||||||
|
| |||||||
239,289 | ||||||||
|
| |||||||
France — 14.4% | ||||||||
Air Liquide SA | 1,763 | 201,445 | ||||||
AXA SA | 15,120 | 391,274 | ||||||
BNP Paribas SA | 5,930 | 394,989 | ||||||
Natixis SA | 28,969 | 178,519 | ||||||
Renault SA | 2,720 | 236,310 | ||||||
Sanofi | 3,075 | 278,215 | ||||||
Schneider Electric SE | 2,817 | 206,468 | ||||||
TOTAL SA | 11,767 | 594,456 | ||||||
|
| |||||||
2,481,676 | ||||||||
|
| |||||||
Hong Kong — 0.9% | ||||||||
CNOOC Ltd. | 125,000 | 149,604 | ||||||
|
|
Number of Shares | Value | |||||||
Ireland — 0.8% | ||||||||
Ryanair Holdings PLC Sponsored ADR (Ireland) (a) | 1,772 | $ | 147,041 | |||||
|
| |||||||
Israel — 1.2% | ||||||||
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel) | 6,258 | 200,819 | ||||||
|
| |||||||
Italy — 3.3% | ||||||||
Enel SpA | 63,443 | 298,747 | ||||||
Intesa Sanpaolo SpA | 52,650 | 143,004 | ||||||
Telecom Italia SpA (a) | 151,863 | 136,574 | ||||||
|
| |||||||
578,325 | ||||||||
|
| |||||||
Japan — 24.1% | ||||||||
Bridgestone Corp. | 6,400 | 259,474 | ||||||
Daikin Industries Ltd. | 2,300 | 231,820 | ||||||
Dentsu, Inc. | 2,600 | 141,411 | ||||||
DMG Mori Co. Ltd. | 7,100 | 111,266 | ||||||
Honda Motor Co. Ltd. | 9,700 | 293,097 | ||||||
Japan Airlines Co. Ltd. | 6,100 | 193,684 | ||||||
Mabuchi Motor Co. Ltd. | 3,000 | 169,454 | ||||||
Mitsubishi Corp. | 10,900 | 236,063 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 77,800 | 491,106 | ||||||
Mitsui Fudosan Co. Ltd. | 7,000 | 149,752 | ||||||
NGK Spark Plug Co. Ltd. | 8,200 | 188,153 | ||||||
Nippon Telegraph & Telephone Corp. | 7,700 | 328,910 | ||||||
Otsuka Corp. | 2,800 | 152,271 | ||||||
Sompo Holdings, Inc. | 3,500 | 128,697 | ||||||
Sony Corp. | 3,800 | 128,911 | ||||||
Sumitomo Electric Industries Ltd. | 15,400 | 256,208 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 4,000 | 145,843 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 5,100 | 177,561 | ||||||
Suzuki Motor Corp. | 3,500 | 145,725 | ||||||
Toyota Motor Corp. | 1,600 | 87,072 | ||||||
Yamato Holdings Co. Ltd. | 6,100 | 128,055 | ||||||
|
| |||||||
4,144,533 | ||||||||
|
| |||||||
Luxembourg — 1.1% | ||||||||
ArcelorMittal (a) | 21,905 | 183,264 | ||||||
|
| |||||||
Netherlands — 4.8% | ||||||||
Airbus SE | 2,671 | 203,261 | ||||||
ASR Nederland NV (a) | 5,187 | 147,847 | ||||||
ING Groep NV | 21,843 | 330,012 | ||||||
NN Group NV | 4,437 | 144,312 | ||||||
|
| |||||||
825,432 | ||||||||
|
| |||||||
Norway — 1.3% | ||||||||
Norsk Hydro ASA | 37,951 | 220,582 | ||||||
|
| |||||||
Republic of Korea — 1.1% | ||||||||
Samsung Electronics Co. Ltd. | 102 | 187,858 | ||||||
|
| |||||||
Singapore — 1.3% | ||||||||
DBS Group Holdings, Ltd. | 16,300 | 226,215 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
141
MassMutual Select Diversified International Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Spain — 3.0% | ||||||||
Bankia SA | 225,876 | $ | 256,894 | |||||
Iberdrola SA | 35,895 | 256,752 | ||||||
|
| |||||||
513,646 | ||||||||
|
| |||||||
Sweden — 1.7% | ||||||||
Nordea Bank AB | 25,342 | 289,549 | ||||||
|
| |||||||
Switzerland — 3.6% | ||||||||
LafargeHolcim Ltd. | 2,206 | 130,611 | ||||||
Roche Holding AG | 635 | 161,992 | ||||||
Zurich Insurance Group AG | 1,245 | 332,387 | ||||||
|
| |||||||
624,990 | ||||||||
|
| |||||||
United Kingdom — 16.6% | ||||||||
Barratt Developments PLC | 15,340 | 105,116 | ||||||
InterContinental Hotels Group PLC | 1,992 | 97,539 | ||||||
ITV PLC | 52,767 | 144,984 | ||||||
Lloyds Banking Group PLC | 83,683 | 69,625 | ||||||
National Grid PLC | 9,570 | 121,378 | ||||||
Prudential PLC | 13,194 | 279,099 | ||||||
Rio Tinto PLC | 7,824 | 314,934 | ||||||
Royal Dutch Shell PLC Class A | 26,387 | 694,033 | ||||||
Shire PLC | 3,405 | 198,116 | ||||||
Standard Chartered PLC (a) | 29,543 | 282,734 | ||||||
TechnipFMC PLC (a) | 3,504 | 114,025 | ||||||
Vodafone Group PLC | 99,095 | 257,726 | ||||||
Wolseley PLC | 2,785 | 175,173 | ||||||
|
| |||||||
2,854,482 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $15,013,530) | 17,097,586 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $15,013,530) | 17,097,586 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $15,013,530) | 17,097,586 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.4% (Cost $15,013,530) (b) | 17,097,586 | |||||||
Other Assets/(Liabilities) — 0.6% | 96,483 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 17,194,069 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
(a) | Non-income producing security. |
(b) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
142
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 95.8% | ||||||||
COMMON STOCK — 95.3% | ||||||||
Australia — 7.2% | ||||||||
The AGL Energy Ltd. | 14,827 | $ | 298,708 | |||||
Alumina Ltd. (a) | 60,300 | 82,400 | ||||||
Amcor Ltd. | 25,166 | 289,355 | ||||||
AMP Ltd. | 65,039 | 256,746 | ||||||
APA Group | 22,991 | 157,328 | ||||||
Aristocrat Leisure Ltd. | 11,286 | 154,858 | ||||||
ASX Ltd. | 3,940 | 151,634 | ||||||
Aurizon Holdings Ltd. | 42,669 | 171,049 | ||||||
AusNet Services | 34,713 | 44,630 | ||||||
Australia & New Zealand Banking Group Ltd. | 61,970 | 1,505,147 | ||||||
Bank of Queensland Ltd. | 7,299 | 67,777 | ||||||
Bendigo & Adelaide Bank Ltd. | 10,872 | 100,763 | ||||||
BHP Billiton Ltd. | 67,948 | 1,240,433 | ||||||
Boral Ltd. | 26,985 | 120,294 | ||||||
Brambles Ltd. | 34,571 | 246,557 | ||||||
Caltex Australia Ltd. | 5,436 | 122,283 | ||||||
Challenger Ltd. | 13,164 | 125,800 | ||||||
CIMIC Group Ltd. | 1,870 | 51,278 | ||||||
Coca-Cola Amatil Ltd. | 11,723 | 96,859 | ||||||
Cochlear Ltd. | 1,291 | 133,312 | ||||||
Commonwealth Bank of Australia | 36,493 | 2,393,734 | ||||||
Computershare Ltd. | 10,839 | 115,984 | ||||||
Crown Resorts Ltd. | 7,032 | 63,417 | ||||||
CSL Ltd. | 9,636 | 920,121 | ||||||
Dexus Property Group | 20,087 | 150,212 | ||||||
Domino’s Pizza Enterprises Ltd. (a) | 1,179 | 52,293 | ||||||
DUET Group | 56,603 | 120,628 | ||||||
Flight Centre Travel Group Ltd. (a) | 1,073 | 23,615 | ||||||
Fortescue Metals Group Ltd. | 32,357 | 153,814 | ||||||
Goodman Group | 39,785 | 235,309 | ||||||
The GPT Group | 37,098 | 146,101 | ||||||
Harvey Norman Holdings Ltd. | 10,871 | 37,457 | ||||||
Healthscope Ltd. | 33,633 | 58,282 | ||||||
Incitec Pivot Ltd. | 38,954 | 111,565 | ||||||
Insurance Australia Group Ltd. | 49,465 | 228,221 | ||||||
LendLease Group | 11,493 | 136,732 | ||||||
Macquarie Group Ltd. | 6,445 | 443,644 | ||||||
Medibank Pvt. Ltd. | 57,203 | 123,191 | ||||||
Mirvac Group | 83,220 | 139,222 | ||||||
National Australia Bank Ltd. | 56,234 | 1,427,726 | ||||||
Newcrest Mining Ltd. | 16,644 | 286,066 | ||||||
Orica Ltd. | 7,889 | 106,012 | ||||||
Origin Energy Ltd. | 39,469 | 211,910 | ||||||
Qantas Airways Ltd. | 10,777 | 32,015 | ||||||
QBE Insurance Group Ltd. | 29,208 | 286,435 | ||||||
Ramsay Health Care Ltd. | 2,928 | 156,278 | ||||||
REA Group Ltd. | 1,007 | 45,484 |
Number of Shares | Value | |||||||
Rio Tinto Ltd. | 8,924 | $ | 411,815 | |||||
Santos Ltd. | 40,488 | 116,938 | ||||||
Scentre Group | 111,867 | 366,559 | ||||||
Seek Ltd. | 7,922 | 96,342 | ||||||
Sonic Healthcare Ltd. | 8,151 | 137,674 | ||||||
South32 Ltd. | 52,452 | 109,096 | ||||||
South32 Ltd. | 65,072 | 137,056 | ||||||
Stockland | 54,541 | 193,523 | ||||||
Suncorp Group Ltd. | 27,997 | 282,332 | ||||||
Sydney Airport | 22,817 | 117,971 | ||||||
Tabcorp Holdings Ltd. | 16,118 | 58,421 | ||||||
Tatts Group Ltd. | 34,753 | 117,568 | ||||||
Telstra Corp. Ltd. | 90,938 | 323,662 | ||||||
TPG Telecom Ltd. (a) | 6,332 | 33,690 | ||||||
Transurban Group | 42,914 | 382,442 | ||||||
Treasury Wine Estates Ltd. | 15,391 | 143,558 | ||||||
Vicinity Centres | 69,046 | 149,249 | ||||||
Vocus Group Ltd. (a) | 9,335 | 30,769 | ||||||
Wesfarmers Ltd. | 23,888 | 821,266 | ||||||
Westfield Corp. | 42,723 | 289,792 | ||||||
Westpac Banking Corp. | 70,862 | 1,890,881 | ||||||
Woodside Petroleum Ltd. | 15,937 | 389,452 | ||||||
Woolworths Ltd. | 27,153 | 549,175 | ||||||
|
| |||||||
20,771,910 | ||||||||
|
| |||||||
Austria — 0.2% | ||||||||
Andritz AG | 1,549 | 77,625 | ||||||
Erste Group Bank AG | 6,694 | 218,005 | ||||||
OMV AG | 3,336 | 131,274 | ||||||
Raiffeisen Bank International AG (b) | 2,218 | 50,396 | ||||||
Voestalpine AG | 2,687 | 105,750 | ||||||
|
| |||||||
583,050 | ||||||||
|
| |||||||
Belgium — 1.1% | ||||||||
Ageas | 4,440 | 173,560 | ||||||
Anheuser-Busch InBev SA/NV | 16,135 | 1,772,586 | ||||||
Colruyt SA | 1,354 | 66,474 | ||||||
Groupe Bruxelles Lambert SA | 1,643 | 149,161 | ||||||
KBC Group NV | 5,351 | 355,040 | ||||||
Proximus SADP | 3,174 | 99,601 | ||||||
Solvay SA | 1,656 | 202,374 | ||||||
Telenet Group Holding NV (b) | 1,050 | 62,448 | ||||||
UCB SA | 2,842 | 220,455 | ||||||
Umicore SA | 1,967 | 112,056 | ||||||
|
| |||||||
3,213,755 | ||||||||
|
| |||||||
Bermuda — 0.4% | ||||||||
Cheung Kong Infrastructure Holdings Ltd. | 14,000 | 109,871 | ||||||
First Pacific Co. Ltd. | 39,750 | 28,836 | ||||||
Hongkong Land Holdings Ltd. | 24,500 | 188,606 | ||||||
Jardine Matheson Holdings Ltd. | 5,400 | 346,962 | ||||||
Jardine Strategic Holdings Ltd. | 4,600 | 193,203 |
The accompanying notes are an integral part of the financial statements.
143
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Kerry Properties Ltd. | 13,000 | $ | 45,040 | |||||
Li & Fung Ltd. | 114,000 | 49,501 | ||||||
NWS Holdings Ltd. | 29,612 | 54,019 | ||||||
Shangri-La Asia Ltd. | 22,000 | 32,068 | ||||||
Yue Yuen Industrial Holdings Ltd. | 14,500 | 57,029 | ||||||
|
| |||||||
1,105,135 | ||||||||
|
| |||||||
Cayman Islands — 0.6% | ||||||||
ASM Pacific Technology Ltd. | 4,700 | 63,920 | ||||||
Cheung Kong Property Holdings Ltd. | 56,745 | 383,101 | ||||||
CK Hutchison Holdings Ltd. | 57,245 | 704,128 | ||||||
Melco Crown Entertainment Ltd. ADR (Cayman Islands) | 3,700 | 68,598 | ||||||
MGM China Holdings Ltd. | 20,000 | 41,654 | ||||||
Sands China Ltd. | 53,600 | 248,082 | ||||||
WH Group Ltd. (c) | 185,072 | 159,514 | ||||||
Wynn Macau Ltd. | 30,400 | 61,785 | ||||||
|
| |||||||
1,730,782 | ||||||||
|
| |||||||
Denmark — 4.0% | ||||||||
AP Moeller — Maersk A/S Class A | 85 | 137,170 | ||||||
AP Moeller — Maersk A/S Class B | 145 | 239,904 | ||||||
Bayer AG | 17,513 | 2,018,716 | ||||||
Brenntag AG | 3,438 | 192,826 | ||||||
Carlsberg A/S Class B | 2,396 | 221,078 | ||||||
Chr Hansen Holding A/S | 2,051 | 131,560 | ||||||
Coloplast A/S Class B | 2,472 | 193,055 | ||||||
Daimler AG | 20,384 | 1,505,398 | ||||||
Danske Bank A/S | 14,507 | 494,775 | ||||||
Deutsche Boerse AG (b) | 4,231 | 387,769 | ||||||
DONG Energy A/S (c) | 2,977 | 114,720 | ||||||
DSV A/S | 3,962 | 205,324 | ||||||
Genmab A/S (b) | 1,245 | 239,969 | ||||||
HeidelbergCement AG | 3,159 | 295,753 | ||||||
Infineon Technologies AG | 23,840 | 486,787 | ||||||
ISS A/S | 3,776 | 142,560 | ||||||
Novo Nordisk A/S Class B | 40,464 | 1,391,126 | ||||||
Novozymes A/S Class B | 5,188 | 205,638 | ||||||
Pandora A/S | 2,414 | 267,464 | ||||||
Siemens AG | 16,202 | 2,219,434 | ||||||
TDC A/S | 19,304 | 99,441 | ||||||
Tryg A/S | 2,126 | 38,571 | ||||||
Vestas Wind Systems A/S | 4,653 | 378,705 | ||||||
William Demant Holding A/S (b) | 2,346 | 49,025 | ||||||
|
| |||||||
11,656,768 | ||||||||
|
| |||||||
Finland — 0.9% | ||||||||
Elisa OYJ | 3,304 | 116,926 | ||||||
Fortum OYJ | 9,108 | 144,176 | ||||||
Kone OYJ | 7,182 | 315,527 | ||||||
Metso OYJ (a) | 2,127 | 64,339 | ||||||
Neste OYJ | 2,690 | 104,911 | ||||||
Nokia OYJ | 10,433 | 56,108 | ||||||
Nokia OYJ | 112,708 | 608,146 |
Number of Shares | Value | |||||||
Nokian Renkaat OYJ | 2,685 | $ | 112,112 | |||||
Orion OYJ Class B | 2,363 | 123,196 | ||||||
Sampo OYJ | 9,408 | 446,703 | ||||||
Stora Enso OYJ Class R | 11,508 | 136,256 | ||||||
UPM-Kymmene OYJ | 11,419 | 268,719 | ||||||
Wartsila OYJ Abp | 3,003 | 160,602 | ||||||
|
| |||||||
2,657,721 | ||||||||
|
| |||||||
France — 9.1% | ||||||||
Accor SA | 3,537 | 147,357 | ||||||
Aeroports de Paris | 555 | 68,580 | ||||||
Air Liquide SA | 8,218 | 939,011 | ||||||
Alstom SA (b) | 3,649 | 108,894 | ||||||
Arkema | 1,407 | 138,958 | ||||||
Atos SE | 1,980 | 244,797 | ||||||
AXA SA | 41,012 | 1,061,303 | ||||||
BNP Paribas SA | 22,426 | 1,493,762 | ||||||
Bollore SA | 21,119 | 81,777 | ||||||
Bollore SA (b) | 200 | 758 | ||||||
Bouygues SA | 4,333 | 176,587 | ||||||
Bureau Veritas SA | 5,529 | 116,642 | ||||||
Cap Gemini SA | 3,520 | 325,305 | ||||||
Carrefour SA | 12,217 | 288,241 | ||||||
Casino Guichard-Perrachon SA | 1,070 | 59,792 | ||||||
Christian Dior SE | 1,194 | 277,708 | ||||||
Cie Generale des Etablissements Michelin | 3,852 | 468,328 | ||||||
CNP Assurances | 3,234 | 65,830 | ||||||
Compagnie de Saint-Gobain | 10,525 | 541,199 | ||||||
Credit Agricole SA | 24,203 | 328,513 | ||||||
Danone SA | 12,471 | 848,654 | ||||||
Dassault Aviation SA | 43 | 54,706 | ||||||
Dassault Systemes SE | 2,815 | 243,810 | ||||||
Edenred | 4,455 | 105,324 | ||||||
Eiffage SA | 1,390 | 108,822 | ||||||
Electricite de France SA (a) | 7,119 | 59,729 | ||||||
Engie SA | 33,315 | 471,481 | ||||||
Essilor International SA | 4,365 | 530,121 | ||||||
Eurazeo SA | 733 | 48,271 | ||||||
Eutelsat Communications SA | 3,539 | 79,120 | ||||||
Fonciere Des Regions | 689 | 57,492 | ||||||
Gecina SA | 939 | 127,425 | ||||||
Groupe Eurotunnel SE | 11,036 | 111,088 | ||||||
Hermes International | 582 | 275,740 | ||||||
ICADE | 718 | 52,554 | ||||||
Iliad SA | 601 | 134,501 | ||||||
Imerys SA | 649 | 55,092 | ||||||
Ingenico Group | 1,170 | 110,303 | ||||||
JCDecaux SA | 1,402 | 49,411 | ||||||
Kering | 1,594 | 412,667 | ||||||
Klepierre | 4,577 | 178,058 | ||||||
L’Oreal SA | 5,326 | 1,023,623 | ||||||
Lagardere S.C.A | 2,265 | 66,715 | ||||||
Legrand SA | 5,604 | 338,129 |
The accompanying notes are an integral part of the financial statements.
144
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
LVMH Moet Hennessy Louis Vuitton SE | 5,900 | $ | 1,297,287 | |||||
Natixis SA | 21,458 | 132,233 | ||||||
Orange SA | 42,094 | 655,036 | ||||||
Pernod Ricard SA | 4,474 | 529,531 | ||||||
Peugeot SA (b) | 10,883 | 219,439 | ||||||
Publicis Groupe SA | 4,131 | 288,698 | ||||||
Remy Cointreau SA | 403 | 39,458 | ||||||
Renault SA | 4,082 | 354,639 | ||||||
Rexel SA | 6,967 | 126,689 | ||||||
Safran SA | 6,585 | 491,974 | ||||||
Sanofi | 24,577 | 2,223,641 | ||||||
Schneider Electric SE | 253 | 18,465 | ||||||
Schneider Electric SE | 11,623 | 851,892 | ||||||
SCOR SE | 3,693 | 139,767 | ||||||
SEB SA | 469 | 65,527 | ||||||
SFR Group SA (b) | 1,690 | 53,171 | ||||||
Societe BIC SA | 538 | 67,037 | ||||||
Societe Generale SA | 16,209 | 824,331 | ||||||
Sodexo SA | 2,065 | 242,891 | ||||||
Suez | 7,710 | 121,776 | ||||||
Thales SA | 2,364 | 228,644 | ||||||
TOTAL SA | 47,630 | 2,406,217 | ||||||
Unibail-Rodamco SE (a) | 348 | 81,205 | ||||||
Unibail-Rodamco SE | 1,744 | 407,635 | ||||||
Valeo SA | 5,075 | 338,457 | ||||||
Veolia Environnement SA | 9,955 | 186,494 | ||||||
Vinci SA | 10,722 | 850,858 | ||||||
Vivendi SA | 21,640 | 421,071 | ||||||
Wendel SA | 536 | 67,910 | ||||||
Zodiac Aerospace | 4,613 | 115,463 | ||||||
|
| |||||||
26,323,614 | ||||||||
|
| |||||||
Germany — 6.0% | ||||||||
Adidas AG | 3,976 | 756,124 | ||||||
Allianz SE | 9,677 | 1,792,549 | ||||||
Axel Springer SE | 777 | 42,929 | ||||||
BASF SE | 19,451 | 1,928,120 | ||||||
Bayerische Motoren Werke AG | 7,155 | 652,684 | ||||||
Beiersdorf AG | 2,241 | 212,149 | ||||||
Commerzbank AG | 23,834 | 215,380 | ||||||
Continental AG | 2,317 | 507,950 | ||||||
Covestro AG (c) | 1,988 | 153,098 | ||||||
Deutsche Bank AG (b) | 29,728 | 512,178 | ||||||
Deutsche Lufthansa AG Registered | 4,597 | 74,542 | ||||||
Deutsche Post AG Registered | 20,742 | 710,114 | ||||||
Deutsche Telekom AG | 69,252 | 1,213,447 | ||||||
Deutsche Wohnen AG | 7,375 | 242,857 | ||||||
E.ON SE | 46,690 | 371,126 | ||||||
Evonik Industries AG | 3,395 | 110,734 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 750 | 53,082 | ||||||
Fresenius Medical Care AG & Co. KGaA | 4,520 | 381,174 |
Number of Shares | Value | |||||||
Fresenius SE & Co. KGaA | 8,659 | $ | 695,488 | |||||
GEA Group AG | 3,793 | 161,056 | ||||||
Hannover Rueck SE | 1,249 | 144,029 | ||||||
Henkel AG & Co. KGaA | 2,271 | 252,324 | ||||||
Hochtief AG | 451 | 74,570 | ||||||
Hugo Boss AG | 1,405 | 102,389 | ||||||
Innogy SE (b) (c) | 2,723 | 102,790 | ||||||
K+S AG | 4,045 | 94,028 | ||||||
LANXESS AG | 1,892 | 126,983 | ||||||
Linde AG | 4,012 | 667,811 | ||||||
MAN SE | 750 | 77,361 | ||||||
Merck KGaA | 2,768 | 315,255 | ||||||
Metro AG | 3,652 | 116,802 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG Registered | 3,398 | 664,930 | ||||||
OSRAM Licht AG | 1,848 | 115,857 | ||||||
ProSiebenSat.1 Media SE | 4,858 | 215,100 | ||||||
RWE AG (b) | 10,161 | 168,410 | ||||||
SAP SE | 20,816 | 2,042,554 | ||||||
Symrise AG | 2,563 | 170,451 | ||||||
Telefonica Deutschland Holding AG | 18,354 | 91,078 | ||||||
ThyssenKrupp AG | 8,236 | 201,677 | ||||||
TUI AG | 4,761 | 65,873 | ||||||
TUI AG | 5,511 | 76,479 | ||||||
United Internet AG | 2,549 | 112,779 | ||||||
Volkswagen AG | 674 | 100,447 | ||||||
Vonovia SE | 9,785 | 344,835 | ||||||
Zalando SE (b) (c) | 1,629 | 65,910 | ||||||
|
| |||||||
17,297,503 | ||||||||
|
| |||||||
Hong Kong — 2.4% | ||||||||
AIA Group Ltd. | 255,180 | 1,608,447 | ||||||
The Bank of East Asia Ltd. | 25,515 | 105,613 | ||||||
BOC Hong Kong Holdings Ltd. | 80,000 | 326,769 | ||||||
Cathay Pacific Airways Ltd. | 24,000 | 34,841 | ||||||
CLP Holdings Ltd. | 35,499 | 371,365 | ||||||
Galaxy Entertainment Group Ltd. | 51,000 | 278,839 | ||||||
Hang Lung Group Ltd. | 18,000 | 76,799 | ||||||
Hang Lung Properties Ltd. | 51,000 | 132,825 | ||||||
Hang Seng Bank Ltd. | 16,000 | 324,508 | ||||||
Henderson Land Development Co. Ltd. | 22,442 | 139,020 | ||||||
HK Electric Investments & HK Electric Investments Ltd. (c) | 50,706 | 46,780 | ||||||
HKT Trust & HKT Ltd. | 79,840 | 103,355 | ||||||
Hong Kong & China Gas Co. Ltd. | 163,751 | 327,406 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 24,539 | 617,502 | ||||||
Hysan Development Co. Ltd. | 12,035 | 54,605 | ||||||
The Link REIT | 46,723 | 327,300 | ||||||
MTR Corp. | 30,456 | 171,038 | ||||||
New World Development Ltd. | �� | 127,111 | 156,722 | |||||
PCCW Ltd. | 80,136 | 47,270 | ||||||
Power Assets Holdings Ltd. | 30,500 | 263,076 |
The accompanying notes are an integral part of the financial statements.
145
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Sino Land Co. Ltd. | 64,044 | $ | 112,222 | |||||
SJM Holdings Ltd. | 46,000 | 37,455 | ||||||
Sun Hung Kai Properties Ltd. | 31,258 | 459,224 | ||||||
Swire Pacific Ltd. Class A | 12,500 | 125,109 | ||||||
Swire Properties Ltd. | 22,396 | 71,748 | ||||||
Techtronic Industries Co. | 28,403 | 114,849 | ||||||
The Wharf Holdings Ltd. | 29,000 | 248,842 | ||||||
Wheelock & Co. Ltd. | 17,000 | 134,401 | ||||||
|
| |||||||
6,817,930 | ||||||||
|
| |||||||
Ireland — 0.5% | ||||||||
Bank of Ireland (b) | 609,114 | 152,618 | ||||||
CRH PLC | 1,480 | 52,197 | ||||||
CRH PLC | 16,082 | 566,884 | ||||||
DCC PLC | 1,844 | 162,382 | ||||||
James Hardie Industries PLC | 9,163 | 143,943 | ||||||
Kerry Group PLC Class A | 3,472 | 273,346 | ||||||
Paddy Power Betfair PLC | 1,658 | 178,032 | ||||||
|
| |||||||
1,529,402 | ||||||||
|
| |||||||
Israel — 0.6% | ||||||||
Azrieli Group Ltd. | 811 | 43,183 | ||||||
Bank Hapoalim B.M. | 22,074 | 134,471 | ||||||
Bank Leumi Le-Israel BM (b) | 29,930 | 132,122 | ||||||
Bezeq Israeli Telecommunication Corp. Ltd. | 42,120 | 75,660 | ||||||
Check Point Software Technologies Ltd. (b) | 2,800 | 287,448 | ||||||
Elbit Systems Ltd. | 493 | 56,377 | ||||||
Frutarom Industries Ltd. | 810 | 45,199 | ||||||
Israel Chemicals Ltd. | 9,724 | 41,311 | ||||||
Mizrahi Tefahot Bank Ltd. | 2,615 | 44,329 | ||||||
Nice Ltd. | 1,439 | 97,640 | ||||||
Taro Pharmaceutical Industries | 300 | 34,986 | ||||||
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel) | 19,693 | 631,948 | ||||||
|
| |||||||
1,624,674 | ||||||||
|
| |||||||
Italy — 1.8% | ||||||||
Assicurazioni Generali SpA | 24,591 | 390,882 | ||||||
Atlantia SpA | 8,617 | 222,464 | ||||||
Enel SpA | 161,003 | 758,147 | ||||||
Eni SpA | 53,749 | 880,931 | ||||||
Intesa Sanpaolo SpA | 267,795 | 727,367 | ||||||
Intesa Sanpaolo SpA | 17,866 | 45,439 | ||||||
Leonardo SpA (b) | 8,478 | 120,201 | ||||||
Luxottica Group SpA | 3,815 | 210,597 | ||||||
Mediobanca SpA | 13,109 | 118,170 | ||||||
Poste Italiane SpA (c) | 9,752 | 65,021 | ||||||
Prysmian SpA | 4,451 | 117,663 | ||||||
Saipem SpA (b) | 115,786 | 52,559 | ||||||
Snam SpA | 54,383 | 235,199 | ||||||
Telecom Italia SpA (b) | 245,563 | 220,841 |
Number of Shares | Value | |||||||
Telecom Italia SpA — RSP | 141,895 | $ | 103,662 | |||||
Terna Rete Elettrica Nazionale SpA | 31,074 | 154,148 | ||||||
UniCredit SpA | 39,876 | 614,699 | ||||||
UnipolSai SpA | 21,208 | 46,788 | ||||||
|
| |||||||
5,084,778 | ||||||||
|
| |||||||
Japan — 22.5% | ||||||||
ABC-Mart, Inc. | 600 | 35,153 | ||||||
Acom Co. Ltd. (a) (b) | 7,500 | 30,041 | ||||||
Aeon Co. Ltd. | 13,600 | 198,810 | ||||||
AEON Financial Service Co, Ltd. (a) | 2,100 | 39,708 | ||||||
Aeon Mall Co. Ltd. | 2,200 | 34,706 | ||||||
Air Water, Inc. | 3,000 | 55,522 | ||||||
Aisin Seiki Co. | 4,300 | 211,836 | ||||||
Ajinomoto Co., Inc. | 11,700 | 231,198 | ||||||
Alfresa Holdings Corp. | 3,800 | 65,966 | ||||||
All Nippon Airways Co. Ltd. | 24,000 | 73,362 | ||||||
Alps Electric Co. Ltd. | 4,300 | 122,385 | ||||||
Amada Holdings Co. Ltd. | 6,900 | 78,996 | ||||||
Aozora Bank Ltd. | 25,000 | 92,200 | ||||||
Asahi Glass Co. Ltd. | 21,000 | 170,578 | ||||||
Asahi Group Holdings Ltd. | 8,400 | 317,941 | ||||||
Asahi Kasei Corp. | 27,000 | 262,453 | ||||||
Asics Corp. | 3,000 | 48,276 | ||||||
Astellas Pharma, Inc. | 45,400 | 599,097 | ||||||
Bandai Namco Holdings, Inc. | 4,100 | 122,836 | ||||||
The Bank of Kyoto Ltd. (a) | 6,000 | 43,850 | ||||||
Benesse Holdings, Inc. (a) | 1,300 | 40,770 | ||||||
Bridgestone Corp. | 13,700 | 555,437 | ||||||
Brother Industries Ltd. | 5,600 | 117,451 | ||||||
Calbee, Inc. (a) | 1,500 | 51,248 | ||||||
Canon, Inc. | 22,500 | 704,931 | ||||||
Casio Computer Co. Ltd. (a) | 4,400 | 61,430 | ||||||
Central Japan Railway Co. | 3,100 | 506,706 | ||||||
The Chiba Bank Ltd. (a) | 15,000 | 96,689 | ||||||
Chubu Electric Power Co., Inc. | 14,600 | 196,195 | ||||||
Chugai Pharmaceutical Co. Ltd. | 4,600 | 158,440 | ||||||
The Chugoku Bank Ltd. (a) | 3,200 | 46,705 | ||||||
The Chugoku Electric Power Co., Inc. (a) | 5,400 | 59,845 | ||||||
Coca-Cola West Co. Ltd. | 2,600 | 83,934 | ||||||
Concordia Financial Group Ltd. | 24,200 | 112,508 | ||||||
Credit Saison Co. Ltd. | 2,800 | 50,148 | ||||||
CYBERDYNE, Inc. (a) (b) | 2,000 | 28,750 | ||||||
Dai Nippon Printing Co. Ltd. | 11,000 | 118,855 | ||||||
The Dai-ichi Life Holdings, Inc. | 22,700 | 409,231 | ||||||
Daicel Corp. | 6,900 | 83,408 | ||||||
Daiichi Sankyo Co. Ltd. | 13,000 | 293,277 | ||||||
Daikin Industries Ltd. | 5,100 | 514,036 | ||||||
Daito Trust Construction Co. Ltd. | 1,500 | 206,277 | ||||||
Daiwa House Industry Co. Ltd. | 12,200 | 351,143 | ||||||
Daiwa House REIT Investment Co. | 28 | 72,819 | ||||||
Daiwa Securities Group, Inc. | 37,000 | 226,055 | ||||||
DeNA Co. Ltd. (a) | 2,200 | 44,718 |
The accompanying notes are an integral part of the financial statements.
146
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Denso Corp. | 10,000 | $ | 441,167 | |||||
Dentsu, Inc. | 4,800 | 261,066 | ||||||
Don Quijote Holdings Co. Ltd. | 2,500 | 86,832 | ||||||
East Japan Railway | 7,100 | 619,414 | ||||||
Eisai Co. Ltd. | 5,400 | 280,187 | ||||||
Electric Power Development Co. Ltd. | 2,800 | 65,620 | ||||||
FamilyMart UNY Holdings Co. Ltd. | 1,900 | 113,298 | ||||||
FANUC Corp. | 4,100 | 842,651 | ||||||
Fast Retailing Co., Ltd. | 1,100 | 346,190 | ||||||
Fuji Electric Co. Ltd. | 11,000 | 65,545 | ||||||
Fuji Heavy Industries Ltd. | 13,300 | 489,709 | ||||||
FUJIFILM Holdings Corp. | 9,200 | 360,249 | ||||||
Fujitsu LTD | 41,000 | 251,548 | ||||||
Fukuoka Financial Group, Inc. | 15,000 | 65,140 | ||||||
The Hachijuni Bank Ltd. | 7,700 | 43,639 | ||||||
Hakuhodo DY Holdings, Inc. | 4,100 | 48,727 | ||||||
Hamamatsu Photonics KK | 3,400 | 98,057 | ||||||
Hankyu Hanshin Holdings, Inc. | 5,000 | 162,878 | ||||||
Hikari Tsushin, Inc. | 400 | 39,142 | ||||||
Hino Motors Ltd. | 4,900 | 59,488 | ||||||
Hirose Electric Co. Ltd. | 700 | 97,095 | ||||||
The Hiroshima Bank Ltd. | 9,000 | 38,371 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 1,200 | 68,736 | ||||||
Hitachi Chemical Co. Ltd. | 2,000 | 55,461 | ||||||
Hitachi Construction Machinery Co. Ltd. | 2,100 | 52,516 | ||||||
Hitachi High-Technologies Corp. | 1,300 | 53,078 | ||||||
Hitachi Ltd. | 102,000 | 554,068 | ||||||
Hitachi Metals Ltd. | 4,100 | 57,688 | ||||||
Hokuriku Electric Power Co. (a) | 3,300 | 32,144 | ||||||
Honda Motor Co. Ltd. | 34,500 | 1,042,459 | ||||||
Hoshizaki Corp. | 1,000 | 78,851 | ||||||
Hoya Corp. | 8,500 | 410,046 | ||||||
Hulic Co. Ltd. | 5,600 | 52,778 | ||||||
Idemitsu Kosan Co. Ltd. | 1,700 | 59,260 | ||||||
IHI Corp. (b) | 35,000 | 110,704 | ||||||
Iida Group Holdings Co. Ltd. | 2,900 | 44,578 | ||||||
Inpex Corp. | 21,200 | 209,143 | ||||||
Isetan Mitsukoshi Holdings Ltd. (a) | 8,100 | 89,143 | ||||||
Isuzu Motors Ltd. | 12,300 | 163,425 | ||||||
ITOCHU Corp. (a) | 31,500 | 447,893 | ||||||
J Front Retailing Co. Ltd. | 5,900 | 87,700 | ||||||
Japan Airlines Co. Ltd. | 2,400 | 76,204 | ||||||
Japan Airport Terminal Co. Ltd. (a) | 900 | 31,347 | ||||||
Japan Exchange Group, Inc. | 10,800 | 154,147 | ||||||
Japan Post Bank Co. Ltd. | 8,300 | 103,176 | ||||||
Japan Post Holdings Co. Ltd. | 10,400 | 130,751 | ||||||
Japan Prime Realty Investment Corp. | 16 | 61,951 | ||||||
Japan Real Estate Investment Corp. | 27 | 143,090 | ||||||
Japan Retail Fund Investment Corp. | 59 | 115,805 | ||||||
Japan Tobacco, Inc. | 23,200 | 755,220 | ||||||
JFE Holdings, Inc. | 11,700 | 201,313 | ||||||
JGC Corp. | 4,200 | 73,268 |
Number of Shares | Value | |||||||
JSR Corp. | 3,700 | $ | 62,539 | |||||
JTEKT Corp. | 5,400 | 84,169 | ||||||
JX Holdings, Inc. (a) | 47,500 | 234,179 | ||||||
Kajima Corp. | 19,000 | 124,221 | ||||||
Kakaku.com, Inc. (a) | 2,700 | 36,732 | ||||||
Kamigumi Co. Ltd. | 5,000 | 43,281 | ||||||
Kaneka Corp. | 5,000 | 37,374 | ||||||
The Kansai Electric Power Co., Inc. | 14,600 | 179,573 | ||||||
Kansai Paint Co. Ltd. | 5,100 | 108,430 | ||||||
Kao Corp. | 10,600 | 582,262 | ||||||
Kawasaki Heavy Industries Ltd. | 34,000 | 103,604 | ||||||
KDDI Corp. | 38,800 | 1,019,467 | ||||||
Keihan Holdings Co, Ltd. (a) | 10,000 | 61,278 | ||||||
Keikyu Corp. (a) | 11,000 | 120,971 | ||||||
Keio Corp. (a) | 12,000 | 95,215 | ||||||
Keisei Electric Railway Co. Ltd. | 2,900 | 67,406 | ||||||
Keyence Corp. | 2,000 | 802,230 | ||||||
Kikkoman Corp. | 3,000 | 89,762 | ||||||
Kintetsu Group Holdings Co. Ltd. (a) | 41,000 | 147,921 | ||||||
Kirin Holdings Co. Ltd. | 17,800 | 336,308 | ||||||
Kobe Steel Ltd. (b) | 6,000 | 54,905 | ||||||
Koito Manufacturing Co. Ltd. | 2,300 | 119,908 | ||||||
Komatsu Ltd. | 19,400 | 507,514 | ||||||
Konami Holdings Corp. (a) | 1,900 | 80,766 | ||||||
Konica Minolta, Inc. | 10,700 | 96,019 | ||||||
Kose Corp. | 600 | 54,408 | ||||||
Kubota Corp. | 22,200 | 334,156 | ||||||
Kuraray Co. Ltd. | 7,400 | 112,538 | ||||||
Kurita Water Industries Ltd. | 1,900 | 46,048 | ||||||
Kyocera Corp. | 6,700 | 374,230 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 5,300 | 84,105 | ||||||
Kyushu Electric Power Co, Inc. (a) | 10,000 | 106,899 | ||||||
Kyushu Financial Group, Inc. | 6,700 | 41,108 | ||||||
Lawson, Inc. | 1,000 | 67,876 | ||||||
LINE Corp. (a) (b) | 900 | 34,648 | ||||||
Lion Corp. | 5,000 | 90,001 | ||||||
Lixil Group Corp. | 5,500 | 139,829 | ||||||
M3, Inc. | 4,100 | 101,917 | ||||||
Mabuchi Motor Co. Ltd. | 900 | 50,836 | ||||||
Makita Corp. | 4,600 | 161,400 | ||||||
Marubeni Corp. | 36,600 | 225,874 | ||||||
Marui Group Co. Ltd. (a) | 4,000 | 54,485 | ||||||
Maruichi Steel Tube Ltd. | 1,100 | 31,348 | ||||||
Mazda Motor Corp. | 12,900 | 186,421 | ||||||
McDonald’s Holdings Co. Japan Ltd. (a) | 1,300 | 37,981 | ||||||
Mebuki Financial Group Inc. | 19,500 | 78,168 | ||||||
Medipal Holdings Corp. | 3,300 | 51,853 | ||||||
MEIJI Holdings Co. Ltd. | 2,400 | 200,047 | ||||||
Minebea Mitsumi, Inc. | 8,600 | 115,173 | ||||||
Miraca Holdings, Inc. | 1,100 | 50,698 | ||||||
MISUMI Group, Inc. | 5,600 | 101,479 | ||||||
Mitsubishi Chemical Holding Corp. | 30,100 | 233,568 |
The accompanying notes are an integral part of the financial statements.
147
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Mitsubishi Corp. | 31,900 | $ | 690,863 | |||||
Mitsubishi Electric Corp. | 40,800 | 586,921 | ||||||
Mitsubishi Estate Co. Ltd. | 26,000 | 475,461 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 3,500 | 72,865 | ||||||
Mitsubishi Heavy Industries Ltd. | 70,000 | 281,705 | ||||||
Mitsubishi Logistics Corp. (a) | 2,000 | 27,612 | ||||||
Mitsubishi Materials Corp. | 2,700 | 81,810 | ||||||
Mitsubishi Motors Corp. | 13,700 | 82,552 | ||||||
Mitsubishi Tanabe Pharma Corp. (a) | 5,300 | 110,513 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 270,000 | 1,704,354 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 8,500 | 42,503 | ||||||
Mitsui & Co. Ltd. | 36,000 | 522,834 | ||||||
Mitsui Chemicals, Inc. | 19,000 | 94,128 | ||||||
Mitsui Fudosan Co. Ltd. | 19,000 | 406,471 | ||||||
Mitsui OSK Lines Ltd. | 23,000 | 72,563 | ||||||
Mitsui Sumitomo Insurance Group Holdings, Inc. | 10,600 | 338,302 | ||||||
Mixi, Inc. | 900 | 43,431 | ||||||
Mizuho Financial Group, Inc. | 509,800 | 936,806 | ||||||
Murata Manufacturing Co. Ltd. | 4,000 | 570,670 | ||||||
Nabtesco Corp. | 2,800 | 74,335 | ||||||
Nagoya Railroad Co. Ltd. (a) | 18,000 | 81,186 | ||||||
NEC Corp. (a) | 54,000 | 130,308 | ||||||
Nexon Co. Ltd. | 3,300 | 52,568 | ||||||
NGK Insulators Ltd. | 6,000 | 136,200 | ||||||
NGK Spark Plug Co. Ltd. | 4,300 | 98,666 | ||||||
NH Foods Ltd. | 4,000 | 107,441 | ||||||
Nidec Corp. | 5,000 | 476,693 | ||||||
Nikon Corp. | 7,800 | 113,274 | ||||||
Nintendo Co. Ltd. | 2,400 | 558,208 | ||||||
Nippon Building Fund, Inc. | 29 | 158,605 | ||||||
Nippon Electric Glass Co. Ltd. | 8,000 | 48,482 | ||||||
Nippon Express Co. Ltd. | 17,000 | 87,516 | ||||||
Nippon Paint Holdings Co. Ltd. | 3,800 | 132,377 | ||||||
Nippon Prologis REIT, Inc. | 30 | 65,020 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 17,000 | 393,358 | ||||||
Nippon Telegraph & Telephone Corp. | 14,600 | 623,648 | ||||||
Nippon Yusen KK (b) | 33,000 | 69,871 | ||||||
Nissan Chemical Industries Ltd. | 2,500 | 72,932 | ||||||
Nissan Motor Co. Ltd. | 51,000 | 493,025 | ||||||
Nisshin Seifun Group, Inc. | 3,700 | 55,374 | ||||||
Nissin Foods Holdings Co. Ltd. | 1,100 | 60,950 | ||||||
Nitori Holdings Co. Ltd. | 1,800 | 227,614 | ||||||
Nitto Denko Corp. | 3,600 | 278,757 | ||||||
NOK Corp. | 1,800 | 41,847 | ||||||
Nomura Holdings, Inc. | 76,500 | 477,267 | ||||||
Nomura Real Estate Holdings, Inc. | 2,400 | 38,323 | ||||||
Nomura Real Estate Master Fund, Inc. | 83 | 128,910 | ||||||
Nomura Research Institute Ltd. | 3,100 | 114,414 | ||||||
NSK Ltd. | 10,000 | 143,695 | ||||||
NTT Data Corp. | 2,600 | 123,638 | ||||||
NTT DOCOMO, Inc. | 29,200 | 680,526 |
Number of Shares | Value | |||||||
Obayashi Corp. | 13,400 | $ | 125,716 | |||||
Obic Co. Ltd. | 1,600 | 76,353 | ||||||
Odakyu Electric Railway Co. Ltd. (a) | 6,800 | 132,537 | ||||||
Oji Holdings Corp. | 17,000 | 79,708 | ||||||
Olympus Corp. | 6,500 | 250,552 | ||||||
Omron Corp. | 4,000 | 175,996 | ||||||
Ono Pharmaceutical Co. Ltd. | 9,300 | 192,808 | ||||||
Oracle Corp. | 700 | 40,058 | ||||||
Oriental Land Co. Ltd. (a) | 4,800 | 275,546 | ||||||
ORIX Corp. | 27,900 | 414,171 | ||||||
Osaka Gas Co. Ltd. | 39,000 | 148,403 | ||||||
Otsuka Corp. | 1,000 | 54,382 | ||||||
Otsuka Holdings Co. Ltd. | 8,200 | 370,633 | ||||||
Panasonic Corp. | 46,500 | 527,007 | ||||||
Park24 Co. Ltd. | 1,900 | 49,786 | ||||||
Pola Orbis Holdings, Inc. | 1,600 | 38,679 | ||||||
Rakuten, Inc. | 21,000 | 210,728 | ||||||
Recruit Holdings Co. Ltd. | 7,700 | 393,453 | ||||||
Resona Holdings, Inc. | 48,200 | 259,685 | ||||||
Ricoh Co. Ltd. (a) | 14,000 | 115,423 | ||||||
Rinnai Corp. | 700 | 55,805 | ||||||
Rohm Co. Ltd. | 2,000 | 133,379 | ||||||
Ryohin Keikaku Co. Ltd. | 500 | 109,653 | ||||||
Sankyo Co. Ltd. | 900 | 30,164 | ||||||
Santen Pharmaceutical Co. Ltd. | 8,600 | 124,744 | ||||||
SBI Holdings, Inc. | 4,642 | 64,866 | ||||||
Secom Co. Ltd. | 4,500 | 322,868 | ||||||
Sega Sammy Holdings, Inc. | 3,600 | 48,331 | ||||||
Seibu Holdings, Inc. | 3,300 | 54,575 | ||||||
Seiko Epson Corp. | 6,400 | 135,068 | ||||||
Sekisui Chemical Co. Ltd. | 9,200 | 154,937 | ||||||
Sekisui House Ltd. | 13,500 | 222,510 | ||||||
Seven & I Holdings Co. Ltd. | 15,900 | 625,058 | ||||||
Seven Bank Ltd. (a) | 10,800 | 35,376 | ||||||
Sharp Corp. (a) (b) | 31,000 | 131,502 | ||||||
Shimadzu Corp. | 5,000 | 79,632 | ||||||
Shimamura Co. Ltd. | 500 | 66,131 | ||||||
Shimano, Inc. | 1,600 | 234,006 | ||||||
Shimizu Corp. | 11,000 | 98,972 | ||||||
Shin-Etsu Chemical Co. Ltd. | 8,200 | 713,126 | ||||||
Shinsei Bank Ltd. (a) | 34,000 | 62,781 | ||||||
Shionogi & Co. Ltd. | 6,400 | 331,123 | ||||||
Shiseido Co. Ltd. | 8,200 | 216,199 | ||||||
The Shizuoka Bank Ltd. | 11,000 | 89,784 | ||||||
Showa Shell Sekiyu KK | 3,500 | 35,511 | ||||||
SMC Corp. | 1,200 | 356,161 | ||||||
SoftBank Group Corp. | 17,500 | 1,239,453 | ||||||
Sohgo Security Services Co. Ltd. | 1,500 | 56,077 | ||||||
Sompo Holdings, Inc. | 7,600 | 279,456 | ||||||
Sony Corp. | 26,700 | 905,773 | ||||||
Sony Financial Holdings, Inc. (a) | 3,300 | 53,252 | ||||||
Stanley Electric Co. Ltd. | 3,600 | 102,919 | ||||||
Start Today Co. Ltd. | 4,200 | 92,877 |
The accompanying notes are an integral part of the financial statements.
148
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Sumitomo Chemical Co. Ltd. | 33,000 | $ | 185,108 | |||||
Sumitomo Corp. | 25,500 | 343,613 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. (a) | 3,000 | 49,623 | ||||||
Sumitomo Electric Industries Ltd. | 16,500 | 274,509 | ||||||
Sumitomo Heavy Industries Ltd. | 12,000 | 83,918 | ||||||
Sumitomo Metal Mining Co. Ltd. | 11,000 | 156,649 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 28,400 | 1,035,482 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 7,100 | 247,193 | ||||||
Sumitomo Realty & Development Co. Ltd. | 8,000 | 208,284 | ||||||
Sumitomo Rubber Industries Ltd. | 3,300 | 56,422 | ||||||
Sundrug Co. Ltd. | 1,400 | 46,985 | ||||||
Suntory Beverage & Food Ltd. | 2,800 | 118,104 | ||||||
Suruga Bank Ltd. | 4,200 | 88,670 | ||||||
Suzuken Co. Ltd. | 1,500 | 49,322 | ||||||
Suzuki Motor Corp. | 7,500 | 312,268 | ||||||
Sysmex Corp. | 3,300 | 200,546 | ||||||
T&D Holdings, Inc. | 13,000 | 189,665 | ||||||
Taiheiyo Cement Corp. | 24,000 | 80,459 | ||||||
Taisei Corp. | 21,000 | 153,205 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. | 700 | 56,963 | ||||||
Taiyo Nippon Sanso Corp. | 2,500 | 29,345 | ||||||
Takashimaya Co. Ltd. | 6,000 | 52,589 | ||||||
Takeda Pharmaceutical Co. Ltd. | 15,000 | 705,730 | ||||||
TDK Corp. | 2,700 | 171,509 | ||||||
Teijin Ltd. | 3,600 | 68,047 | ||||||
Terumo Corp. | 7,500 | 260,921 | ||||||
THK Co. Ltd. | 2,300 | 58,133 | ||||||
Tobu Railway Co. Ltd. | 19,000 | 96,481 | ||||||
Toho Co. Ltd. | 2,300 | 61,101 | ||||||
Toho Gas Co. Ltd. (a) | 7,000 | 49,618 | ||||||
Tohoku Electric Power Co., Inc. | 9,400 | 127,522 | ||||||
Tokio Marine Holdings, Inc. | 14,400 | 609,680 | ||||||
The Tokyo Electric Power Co Holdings, Inc. (b) | 33,100 | 129,885 | ||||||
Tokyo Electron Ltd. | 3,400 | 372,280 | ||||||
Tokyo Gas Co. Ltd. | 43,000 | 195,972 | ||||||
Tokyo Tatemono Co. Ltd. | 4,000 | 52,874 | ||||||
Tokyu Corp. | 24,000 | 170,192 | ||||||
Tokyu Fudosan Holdings Corp. | 9,700 | 52,730 | ||||||
TonenGeneral Sekiyu KK (d) | 6,000 | 70,062 | ||||||
Toppan Printing Co. Ltd. | 11,000 | 112,372 | ||||||
Toray Industries, Inc. (a) | 31,000 | 275,365 | ||||||
Toshiba Corp. (a) (b) | 88,000 | 190,738 | ||||||
TOTO Ltd. (a) | 2,900 | 109,841 | ||||||
Toyo Seikan Group Holdings Ltd. | 3,100 | 50,564 | ||||||
Toyo Suisan Kaisha Ltd. | 1,700 | 63,409 | ||||||
Toyoda Gosei Co. Ltd. | 1,300 | 33,155 | ||||||
Toyota Industries Corp. | 3,400 | 169,483 |
Number of Shares | Value | |||||||
Toyota Motor Corp. | 55,300 | $ | 3,009,411 | |||||
Toyota Tsusho Corp. | 4,800 | 145,715 | ||||||
Trend Micro, Inc. | 2,400 | 106,950 | ||||||
Tsuruha Holdings, Inc. | 700 | 64,839 | ||||||
Unicharm Corp. | 8,400 | 201,523 | ||||||
United Urban Investment Corp. | 69 | 105,977 | ||||||
USS Co. Ltd. | 4,500 | 75,153 | ||||||
West Japan Railway Co. | 3,600 | 234,484 | ||||||
Yahoo! Japan Corp. (a) | 29,500 | 136,661 | ||||||
Yakult Honsha Co. Ltd. | 1,800 | 100,066 | ||||||
Yamada Denki Co. Ltd. (a) | 12,600 | 63,019 | ||||||
Yamaguchi Financial Group, Inc. (a) | 4,000 | 43,474 | ||||||
Yamaha Corp. | 3,400 | 93,584 | ||||||
Yamaha Motor Co. Ltd. | 5,800 | 140,208 | ||||||
Yamato Holdings Co. Ltd. | 7,800 | 163,742 | ||||||
Yamazaki Baking Co. Ltd. | 2,500 | 51,521 | ||||||
Yaskawa Electric Corp. | 5,200 | 104,640 | ||||||
Yokogawa Electric Corp. | 4,400 | 69,451 | ||||||
The Yokohama Rubber Co. Ltd. | 2,100 | 41,226 | ||||||
|
| |||||||
64,690,319 | ||||||||
|
| |||||||
Luxembourg — 0.3% | ||||||||
ArcelorMittal (b) | 38,635 | 323,232 | ||||||
Eurofins Scientific SE | 223 | 97,050 | ||||||
Millicom International Cellular SA | 1,614 | 90,010 | ||||||
RTL Group | 709 | 57,105 | ||||||
SES SA | 7,563 | 176,052 | ||||||
Tenaris SA | 9,801 | 167,621 | ||||||
|
| |||||||
911,070 | ||||||||
|
| |||||||
Mauritius — 0.0% | ||||||||
Golden Agri-Resources Ltd. | 136,900 | 37,645 | ||||||
|
| |||||||
Netherlands — 4.0% | ||||||||
ABN AMRO Group NV (c) | 5,846 | 141,808 | ||||||
Aegon NV | 36,797 | 187,219 | ||||||
AerCap Holdings NV (b) | 3,200 | 147,104 | ||||||
Airbus SE | 12,250 | 932,218 | ||||||
Akzo Nobel NV | 5,305 | 439,669 | ||||||
Altice NV Class A (b) | 7,685 | 173,766 | ||||||
Altice NV Class B (b) | 2,109 | 47,676 | ||||||
ASML Holding NV | 7,892 | 1,046,795 | ||||||
Boskalis Westminster | 1,983 | 68,384 | ||||||
CNH Industrial NV | 22,746 | 219,361 | ||||||
EXOR NV | 2,500 | 129,298 | ||||||
Ferrari NV | 968 | 72,029 | ||||||
Ferrari NV | 1,554 | 115,555 | ||||||
Fiat Chrysler Automobiles NV (b) | 3,280 | 35,670 | ||||||
Fiat Chrysler Automobiles NV (b) | 15,554 | 170,005 | ||||||
Gemalto NV | 1,668 | 93,167 | ||||||
Gemalto NV | 216 | 12,070 | ||||||
Heineken Holding NV | 2,094 | 166,522 | ||||||
Heineken NV | 4,846 | 412,396 | ||||||
ING Groep NV | 82,057 | 1,239,747 | ||||||
Koninklijke Ahold Delhaize NV | 27,012 | 578,113 |
The accompanying notes are an integral part of the financial statements.
149
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Koninklijke DSM NV | 3,973 | $ | 268,664 | |||||
Koninklijke KPN NV | 76,394 | 230,005 | ||||||
Koninklijke Philips NV | 20,005 | 643,055 | ||||||
Koninklijke Vopak NV | 1,359 | 59,318 | ||||||
Mobileye NV (b) | 3,900 | 239,460 | ||||||
NN Group NV | 6,828 | 222,079 | ||||||
NXP Semiconductor NV (b) | 6,345 | 656,708 | ||||||
QIAGEN NV | 5,022 | 145,777 | ||||||
Randstad Holding NV (a) | 2,466 | 142,285 | ||||||
RELX NV | 21,398 | 397,549 | ||||||
STMicroelectronics NV | 13,200 | 202,026 | ||||||
Unilever NV | 34,493 | 1,713,603 | ||||||
Wolters Kluwer NV | 6,537 | 271,653 | ||||||
|
| |||||||
11,620,754 | ||||||||
|
| |||||||
New Zealand — 0.2% | ||||||||
Auckland International Airport Ltd. | 22,046 | 104,035 | ||||||
Contact Energy Ltd. | 13,826 | 48,990 | ||||||
Fletcher Building Ltd. | 16,098 | 93,547 | ||||||
Mercury NZ Ltd. | 13,427 | 29,655 | ||||||
Meridian Energy Ltd. | 24,301 | 47,651 | ||||||
Ryman Healthcare Ltd. | 7,231 | 42,427 | ||||||
Spark New Zealand Ltd. | 42,626 | 104,240 | ||||||
|
| |||||||
470,545 | ||||||||
|
| |||||||
Norway — 0.6% | ||||||||
DNB ASA | 20,515 | 325,237 | ||||||
Gjensidige Forsikring ASA | 4,284 | 65,269 | ||||||
Marine Harvest ASA | 7,889 | 120,184 | ||||||
Norsk Hydro ASA | 27,951 | 162,459 | ||||||
Orkla ASA | 16,908 | 151,352 | ||||||
Schibsted ASA Class A | 1,414 | 36,431 | ||||||
Schibsted ASA Class B | 1,666 | 38,128 | ||||||
StatoilHydro ASA | 23,754 | 408,280 | ||||||
Telenor ASA | 16,376 | 272,605 | ||||||
Yara International ASA | 3,678 | 141,639 | ||||||
|
| |||||||
1,721,584 | ||||||||
|
| |||||||
Papua New Guinea — 0.1% | ||||||||
Oil Search Ltd. | 28,414 | 156,058 | ||||||
|
| |||||||
Portugal — 0.2% | ||||||||
Banco Espirito Santo SA | 39,664 | 423 | ||||||
EDP — Energias de Portugal SA | 53,864 | 182,575 | ||||||
Galp Energia SGPS SA | 11,275 | 171,255 | ||||||
Jeronimo Martins SGPS SA | 5,319 | 95,217 | ||||||
|
| |||||||
449,470 | ||||||||
|
| |||||||
Singapore — 1.2% | ||||||||
Ascendas Real Estate Investment Trust | 49,600 | 89,354 | ||||||
CapitaLand Commercial Trust | 39,900 | 44,149 | ||||||
CapitaLand Commercial Trust | 47,300 | 66,652 | ||||||
Capitaland Ltd. | 57,600 | 149,475 |
Number of Shares | Value | |||||||
City Developments Ltd. | 7,800 | $ | 56,925 | |||||
ComfortDelGro Corp. Ltd. | 43,900 | 80,343 | ||||||
DBS Group Holdings, Ltd. | 38,751 | 537,794 | ||||||
Genting Singapore PLC | 144,000 | 105,002 | ||||||
Global Logistic Properties Ltd. | 61,000 | 121,327 | ||||||
Hutchison Port Holdings Trust | 100,300 | 41,624 | ||||||
Jardine Cycle & Carriage Ltd. | 1,877 | 58,855 | ||||||
Keppel Corp. Ltd. | 30,400 | 150,982 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 66,183 | 460,208 | ||||||
SATS Ltd. | 13,600 | 47,456 | ||||||
SembCorp Industries Ltd. | 18,800 | 42,769 | ||||||
Singapore Airlines Ltd. | 11,000 | 79,187 | ||||||
Singapore Exchange Ltd. | 16,400 | 90,327 | ||||||
Singapore Press Holdings Ltd. (a) | 30,800 | 78,165 | ||||||
Singapore Technologies Engineering Ltd. | 37,300 | 99,523 | ||||||
Singapore Telecommunications Ltd. | 176,200 | 494,001 | ||||||
StarHub Ltd. (a) | 11,100 | 22,801 | ||||||
Suntec Real Estate Investment Trust | 45,800 | 58,685 | ||||||
United Overseas Bank Ltd. | 27,673 | 437,713 | ||||||
UOL Group Ltd. | 8,976 | 44,760 | ||||||
Wilmar International Ltd. | 44,500 | 112,204 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 31,300 | 25,285 | ||||||
|
| |||||||
3,595,566 | ||||||||
|
| |||||||
Spain — 3.2% | ||||||||
Abertis Infraestructuras SA | 14,414 | 232,202 | ||||||
ACS Actividades de Construccion y Servicios SA | 4,390 | 149,383 | ||||||
Aena SA (c) | 1,464 | 231,627 | ||||||
Amadeus IT Group SA | 9,237 | 468,329 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 138,859 | 1,076,922 | ||||||
Banco de Sabadell SA | 111,194 | 203,816 | ||||||
Banco Popular Espanol SA (a) | 63,894 | 62,027 | ||||||
Banco Santander SA | 308,812 | 1,892,602 | ||||||
Bankia SA (a) | 107,532 | 122,299 | ||||||
Bankinter SA | 15,454 | 129,773 | ||||||
CaixaBank SA | 77,136 | 331,535 | ||||||
Distribuidora Internacional de Alimentacion SA (a) | 11,871 | 68,651 | ||||||
Enagas SA | 5,218 | 135,410 | ||||||
Endesa SA | 6,554 | 154,029 | ||||||
Ferrovial SA | 10,835 | 216,841 | ||||||
Gas Natural SDG SA | 7,248 | 158,592 | ||||||
Grifols SA | 6,199 | 152,048 | ||||||
Iberdrola SA | 116,757 | 835,146 | ||||||
Industria de Diseno Textil SA | 23,036 | 811,947 | ||||||
International Consolidated Airlines Group SA | 17,624 | 116,578 | ||||||
Mapfre SA | 20,426 | 70,061 | ||||||
Red Electrica Corp. SA | 8,993 | 172,451 | ||||||
Repsol YPF SA | 24,145 | 372,843 | ||||||
Telefonica SA | 95,874 | 1,075,622 |
The accompanying notes are an integral part of the financial statements.
150
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Zardoya Otis SA | 3,434 | $ | 31,725 | |||||
|
| |||||||
9,272,459 | ||||||||
|
| |||||||
Sweden — 2.7% | ||||||||
Alfa Laval AB | 6,676 | 125,771 | ||||||
Assa Abloy AB Class B | 21,083 | 432,657 | ||||||
Atlas Copco AB Class A | 14,141 | 499,176 | ||||||
Atlas Copco AB Class B | 8,343 | 265,180 | ||||||
Boliden AB | 5,686 | 169,621 | ||||||
Electrolux AB Series B (a) | 4,984 | 138,593 | ||||||
Getinge AB Class B (a) | 3,801 | 66,723 | ||||||
Hennes & Mauritz AB Class B | 20,003 | 510,464 | ||||||
Hexagon AB Class B | 5,763 | 231,536 | ||||||
Husqvarna AB Class B | 8,031 | 70,545 | ||||||
ICA Gruppen AB | 1,498 | 51,143 | ||||||
Industrivarden AB Class C | 3,062 | 66,380 | ||||||
Investor AB Class B | 9,578 | 403,535 | ||||||
Kinnevik AB Class B | 4,803 | 128,205 | ||||||
L E Lundbergforetagen AB Class B | 769 | 52,172 | ||||||
Lundin Petroleum AB (b) | 4,525 | 91,896 | ||||||
Nordea Bank AB | 64,155 | 733,014 | ||||||
Sandvik AB | 23,149 | 345,286 | ||||||
Securitas AB Class B | 7,285 | 113,895 | ||||||
Skandinaviska Enskilda Banken AB Class A (a) | 31,929 | 355,280 | ||||||
Skanska AB | 7,067 | 166,540 | ||||||
SKF AB Class B (a) | 8,275 | 163,823 | ||||||
Svenska Cellulosa AB Class B | 12,799 | 413,112 | ||||||
Svenska Handelsbanken AB (a) | 32,146 | 440,916 | ||||||
Swedbank AB Class A (a) | 19,068 | 441,780 | ||||||
Swedish Match AB | 4,280 | 139,114 | ||||||
Tele2 AB | 6,792 | 64,890 | ||||||
Telefonaktiebolaget LM Ericsson Class B (a) | 64,579 | 431,428 | ||||||
TeliaSonera AB | 57,742 | 242,389 | ||||||
Volvo AB Class B (a) | 32,631 | 480,421 | ||||||
|
| |||||||
7,835,485 | ||||||||
|
| |||||||
Switzerland — 8.4% | ||||||||
ABB Ltd. Registered | 39,785 | 930,483 | ||||||
Actelion Ltd. | 2,044 | 576,908 | ||||||
Adecco Group AG | 3,587 | 254,813 | ||||||
Aryzta AG | 1,673 | 53,700 | ||||||
Baloise Holding AG | 1,028 | 141,525 | ||||||
Barry Callebaut AG Registered | 42 | 54,900 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 21 | 119,087 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 2 | 132,848 | ||||||
Cie Financiere Richemont SA | 11,029 | 870,550 | ||||||
Coca-Cola HBC AG (b) | 4,276 | 110,419 | ||||||
Credit Suisse Group AG | 42,868 | 636,752 | ||||||
Dufry AG (b) | 1,028 | 156,732 | ||||||
EMS-Chemie Holding AG Registered | 172 | 100,221 |
Number of Shares | Value | |||||||
Galenica AG Registered | 92 | $ | 97,094 | |||||
Geberit AG Registered | 778 | 335,566 | ||||||
Givaudan SA Registered | 194 | 349,427 | ||||||
Julius Baer Group Ltd. | 4,982 | 248,718 | ||||||
Kuehne & Nagel International AG | 1,114 | 157,486 | ||||||
LafargeHolcim Ltd. | 4,505 | 265,844 | ||||||
LafargeHolcim Ltd. | 5,090 | 301,366 | ||||||
Lonza Group AG Registered | 1,210 | 228,484 | ||||||
Nestle SA | 65,968 | 5,060,606 | ||||||
Novartis AG | 47,315 | 3,512,760 | ||||||
Pargesa Holding SA | 628 | 44,391 | ||||||
Partners Group Holding AG | 388 | 208,602 | ||||||
Roche Holding AG | 14,887 | 3,797,754 | ||||||
Schindler Holding AG | 846 | 163,436 | ||||||
Schindler Holding AG | 380 | 72,055 | ||||||
SGS SA Registered | 120 | 256,209 | ||||||
Sika AG | 45 | 270,052 | ||||||
Sonova Holding AG Registered | 1,201 | 166,644 | ||||||
The Swatch Group AG | 683 | 244,121 | ||||||
The Swatch Group AG Registered | 947 | 65,866 | ||||||
Swiss Life Holding AG | 714 | 230,401 | ||||||
Swiss Prime Site AG | 1,461 | 128,596 | ||||||
Swiss Re AG | 6,836 | 613,920 | ||||||
Swisscom AG | 568 | 262,061 | ||||||
Syngenta AG | 1,956 | 863,363 | ||||||
UBS Group AG Registered | 77,393 | 1,238,682 | ||||||
Zurich Insurance Group AG | 3,181 | 849,255 | ||||||
|
| |||||||
24,171,697 | ||||||||
|
| |||||||
United Kingdom — 17.0% | ||||||||
3i Group PLC | 20,245 | 190,118 | ||||||
Aberdeen Asset Management PLC | 17,060 | 56,473 | ||||||
Admiral Group PLC | 4,369 | 108,882 | ||||||
Anglo American PLC (b) | 29,521 | 447,481 | ||||||
Antofagasta PLC | 9,377 | 97,723 | ||||||
Ashtead Group PLC | 11,121 | 230,206 | ||||||
Associated British Foods PLC | 7,832 | 255,905 | ||||||
AstraZeneca PLC | 26,783 | 1,646,053 | ||||||
Auto Trader Group PLC (c) | 23,346 | 114,751 | ||||||
Aviva PLC | 85,558 | 570,320 | ||||||
Babcock International Group PLC | 4,926 | 54,467 | ||||||
BAE Systems PLC | 66,912 | 539,275 | ||||||
Barclays PLC | 355,065 | 1,000,838 | ||||||
Barratt Developments PLC | 20,729 | 142,044 | ||||||
Berkeley Group Holdings PLC | 3,058 | 122,932 | ||||||
BHP Billiton PLC | 44,591 | 691,597 | ||||||
BP PLC | 401,392 | 2,305,007 | ||||||
British American Tobacco PLC | 39,493 | 2,617,987 | ||||||
The British Land Co. PLC | 19,938 | 152,503 | ||||||
BT Group PLC | 178,697 | 712,480 | ||||||
Bunzl PLC | 7,541 | 218,907 | ||||||
Burberry Group PLC | 9,192 | 198,958 | ||||||
Capita PLC | 13,901 | 98,434 | ||||||
Carnival PLC | 4,219 | 241,494 |
The accompanying notes are an integral part of the financial statements.
151
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Centrica PLC | 117,701 | $ | 320,025 | |||||
Cobham PLC (a) | 32,726 | 54,566 | ||||||
Coca-Cola European Partners PLC | 4,510 | 168,651 | ||||||
Compass Group PLC | 35,494 | 668,761 | ||||||
Croda International PLC | 2,986 | 133,444 | ||||||
Diageo PLC | 53,261 | 1,525,663 | ||||||
Direct Line Insurance Group PLC | 28,300 | 123,188 | ||||||
Dixons Carphone PLC | 23,899 | 95,101 | ||||||
easyJet PLC | 3,153 | 40,532 | ||||||
Experian PLC | 19,976 | 407,763 | ||||||
Fresnillo PLC | 5,300 | 102,826 | ||||||
G4S PLC | 35,788 | 136,450 | ||||||
GKN PLC | 35,356 | 161,210 | ||||||
GlaxoSmithKline PLC | 103,290 | 2,148,618 | ||||||
Glencore PLC (b) | 258,750 | 1,017,169 | ||||||
Hammerson PLC | 17,919 | 128,224 | ||||||
Hargreaves Lansdown PLC | 5,488 | 89,501 | ||||||
Hikma Pharmaceuticals PLC | 2,931 | 72,692 | ||||||
HSBC Holdings PLC | 408,892 | 3,340,923 | ||||||
IMI PLC | 6,504 | 97,146 | ||||||
Imperial Brands PLC | 20,265 | 982,888 | ||||||
Inmarsat PLC | 9,246 | 98,599 | ||||||
InterContinental Hotels Group PLC | 3,872 | 189,593 | ||||||
Intertek Group PLC | 3,344 | 165,037 | ||||||
Intu Properties PLC | 18,087 | 63,294 | ||||||
Investec PLC | 13,480 | 92,004 | ||||||
ITV PLC | 75,457 | 207,327 | ||||||
J Sainsbury PLC | 37,215 | 123,239 | ||||||
Johnson Matthey PLC | 4,326 | 167,103 | ||||||
Kingfisher PLC | 49,238 | 201,274 | ||||||
Land Securities Group PLC | 17,382 | 230,752 | ||||||
Legal & General Group PLC | 125,154 | 387,804 | ||||||
Lloyds Banking Group PLC | 1,358,725 | 1,130,474 | ||||||
London Stock Exchange Group PLC | 6,833 | 271,489 | ||||||
Marks & Spencer Group PLC | 33,627 | 141,786 | ||||||
Mediclinic International PLC (a) | 7,474 | 66,631 | ||||||
Meggitt PLC | 15,851 | 88,511 | ||||||
Merlin Entertainments PLC (c) | 17,032 | 102,347 | ||||||
Mondi PLC | 8,166 | 197,459 | ||||||
National Grid PLC | 79,555 | 1,009,014 | ||||||
Next PLC | 2,892 | 156,650 | ||||||
Old Mutual PLC | 106,438 | 267,833 | ||||||
Pearson PLC | 17,014 | 145,130 | ||||||
Persimmon PLC | 6,406 | 168,223 | ||||||
Petrofac Ltd. | 4,977 | 57,369 | ||||||
Provident Financial PLC | 3,079 | 115,706 | ||||||
Prudential PLC | 54,555 | 1,154,028 | ||||||
Reckitt Benckiser Group PLC | 13,334 | 1,215,252 | ||||||
RELX PLC | 22,833 | 447,807 | ||||||
Rio Tinto PLC | 26,525 | 1,067,691 | ||||||
Rolls-Royce Holdings PLC | 39,154 | 369,510 | ||||||
Royal Bank of Scotland Group PLC (b) | 76,923 | 233,358 |
Number of Shares | Value | |||||||
Royal Dutch Shell PLC Class A | 92,539 | $ | 2,433,968 | |||||
Royal Dutch Shell PLC Class B | 79,338 | 2,179,788 | ||||||
Royal Mail PLC | 18,810 | 100,199 | ||||||
RSA Insurance Group PLC | 21,145 | 155,390 | ||||||
The Sage Group PLC | 24,340 | 192,538 | ||||||
Schroders PLC | 2,798 | 106,224 | ||||||
Segro PLC | 22,947 | 131,168 | ||||||
Severn Trent PLC | 5,283 | 157,437 | ||||||
Shire PLC | 19,110 | 1,111,891 | ||||||
Sky PLC | 22,355 | 273,240 | ||||||
Smith & Nephew PLC | 19,363 | 295,058 | ||||||
Smiths Group PLC | 8,184 | 166,176 | ||||||
SSE PLC | 21,329 | 394,499 | ||||||
St James’s Place PLC | 10,928 | 145,298 | ||||||
Standard Chartered PLC (b) | 69,280 | 663,028 | ||||||
Standard Life PLC | 43,113 | 191,787 | ||||||
Tate & Lyle PLC | 11,197 | 107,254 | ||||||
Taylor Wimpey PLC | 67,304 | 162,980 | ||||||
Tesco PLC (b) | 171,865 | 399,749 | ||||||
Travis Perkins PLC | 5,806 | 110,140 | ||||||
Unilever PLC | 27,161 | 1,340,606 | ||||||
United Utilities Group PLC | 13,996 | 174,095 | ||||||
Vodafone Group PLC | 563,331 | 1,465,112 | ||||||
The Weir Group PLC | 4,943 | 118,830 | ||||||
Whitbread PLC | 4,116 | 204,115 | ||||||
William Hill PLC | 16,555 | 60,317 | ||||||
WM Morrison Supermarkets PLC | 49,708 | 149,476 | ||||||
Wolseley PLC | 5,420 | 340,911 | ||||||
Worldpay Group PLC (c) | 37,183 | 137,625 | ||||||
WPP PLC | 26,969 | 592,043 | ||||||
|
| |||||||
49,023,412 | ||||||||
|
| |||||||
United States — 0.1% | ||||||||
Randgold Resources Ltd. | 1,950 | 170,255 | ||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $270,376,926) | 274,523,341 | |||||||
|
| |||||||
PREFERRED STOCK — 0.5% | ||||||||
Germany — 0.5% | ||||||||
Bayerische Motoren Werke AG 4.460% | 1,141 | 89,874 | ||||||
Fuchs Petrolub SE 2.040% | 1,272 | 62,054 | ||||||
Henkel AG & Co. KGaA 1.240% | 3,752 | 480,811 | ||||||
Porsche Automobil Holding SE 2.200% | 3,419 | 186,528 | ||||||
Schaeffler AG 3.670% | 3,316 | 58,329 | ||||||
Volkswagen AG 0.140% | 3,913 | 570,045 | ||||||
|
| |||||||
1,447,641 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $1,490,705) | 1,447,641 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $271,867,631) | 275,970,982 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
152
MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 2.6% | ||||||||
United States — 2.6% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (e) | 7,414,030 | $ | 7,414,030 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $7,414,030) | 7,414,030 | |||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
Germany — 0.0% | ||||||||
Deutsche Bank AG, Expires 4/06/17 (b) | 29,728 | 71,039 | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $0) | 71,039 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $279,281,661) | 283,456,051 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 2.2% | ||||||||
Repurchase Agreement — 2.2% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (f) | $ | 6,290,861 | 6,290,861 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,290,861) | 6,290,861 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.6% (Cost $285,572,522) (g) | 289,746,912 | |||||||
Other Assets/(Liabilities) — (0.6)% | (1,755,008 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 287,991,904 | ||||||
|
|
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 March 31, 2017, was $7,040,231 or 2.44% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(b) | Non-income producing security. |
(c) | 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 March 31, 2017, these securities amounted to a value of $1,435,991 or 0.50% of net assets. |
(d) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2017, these securities amounted to a value of $70,485 or 0.02% of net assets. |
(e) | Represents investment of security lending collateral. (Note 2). |
(f) | Maturity value of $6,290,887. Collateralized by U.S. Government Agency obligations with a rate of 1.625%, maturity date of 4/30/19, and an aggregate market value, including accrued interest, of $6,418,907. |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
153
March 31, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 98.5% | ||||||||
COMMON STOCK — 98.5% | ||||||||
Australia — 2.1% | ||||||||
AMP Ltd. | 883,257 | $ | 3,486,721 | |||||
Australia & New Zealand Banking Group Ltd. | 152,941 | 3,714,681 | ||||||
Goodman Group | 274,483 | 1,623,436 | ||||||
Orica Ltd. | 295,815 | 3,975,139 | ||||||
|
| |||||||
12,799,977 | ||||||||
|
| |||||||
Austria — 0.2% | ||||||||
Erste Group Bank AG | 41,880 | 1,363,917 | ||||||
|
| |||||||
Belgium — 1.0% | ||||||||
Anheuser-Busch InBev SA/NV | 12,764 | 1,402,249 | ||||||
KBC Group NV | 68,317 | 4,532,850 | ||||||
|
| |||||||
5,935,099 | ||||||||
|
| |||||||
Bermuda — 0.2% | ||||||||
Global Brands Group Holding Ltd. (a) | 6,465,600 | 690,426 | ||||||
Li & Fung Ltd. | 1,209,600 | 525,229 | ||||||
|
| |||||||
1,215,655 | ||||||||
|
| |||||||
Brazil — 0.5% | ||||||||
Ambev SA ADR (Brazil) | 507,457 | 2,922,952 | ||||||
|
| |||||||
Canada — 2.4% | ||||||||
Canadian National Railway Co. | 72,818 | 5,383,435 | ||||||
Element Fleet Management Corp. (b) | 203,976 | 1,888,141 | ||||||
Loblaw Cos. Ltd. | 29,401 | 1,595,350 | ||||||
Suncor Energy, Inc. | 148,208 | 4,550,387 | ||||||
TransCanada Corp. (b) | 30,829 | 1,422,699 | ||||||
|
| |||||||
14,840,012 | ||||||||
|
| |||||||
Cayman Islands — 1.7% | ||||||||
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) (a) | 30,538 | 3,292,913 | ||||||
Baidu, Inc. Sponsored ADR (Cayman Islands) (a) | 19,150 | 3,303,758 | ||||||
CK Hutchison Holdings Ltd. | 150,100 | 1,846,269 | ||||||
Melco Crown Entertainment Ltd. ADR (Cayman Islands) | 95,500 | 1,770,570 | ||||||
|
| |||||||
10,213,510 | ||||||||
|
| |||||||
Chile — 0.1% | ||||||||
Banco Santander Chile Sponsored ADR (Chile) | 31,004 | 777,580 | ||||||
|
| |||||||
Denmark — 5.5% | ||||||||
Bayer AG | 103,591 | 11,940,889 | ||||||
Brenntag AG | 21,893 | 1,227,903 | ||||||
Carlsberg A/S Class B | 21,937 | 2,024,121 | ||||||
Daimler AG | 105,997 | 7,828,083 | ||||||
Deutsche Boerse AG (a) | 15,544 | 1,424,601 | ||||||
HeidelbergCement AG | 5,420 | 507,433 |
Number of Shares | Value | |||||||
Infineon Technologies AG | 38,630 | $ | 788,782 | |||||
Novo Nordisk A/S Class B | 120,198 | 4,132,330 | ||||||
Siemens AG | 27,248 | 3,732,572 | ||||||
|
| |||||||
33,606,714 | ||||||||
|
| |||||||
Finland — 0.3% | ||||||||
Outokumpu OYJ | 140,494 | 1,369,986 | ||||||
UPM-Kymmene OYJ | 22,044 | 518,753 | ||||||
|
| |||||||
1,888,739 | ||||||||
|
| |||||||
France — 14.9% | ||||||||
Air Liquide SA | 77,308 | 8,833,422 | ||||||
AXA SA | 112,621 | 2,914,391 | ||||||
BNP Paribas SA | 137,313 | 9,146,213 | ||||||
Bureau Veritas SA | 147,400 | 3,109,598 | ||||||
Danone SA | 109,025 | 7,419,170 | ||||||
Dassault Systemes SE | 27,209 | 2,356,602 | ||||||
Engie SA | 250,124 | 3,539,808 | ||||||
Hermes International | 1,303 | 617,336 | ||||||
Kering | 7,370 | 1,908,000 | ||||||
L’Oreal SA | 16,249 | 3,122,954 | ||||||
Legrand SA | 42,947 | 2,591,296 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 39,882 | 8,769,222 | ||||||
Natixis SA | 209,167 | 1,288,970 | ||||||
Pernod Ricard SA | 77,735 | 9,200,506 | ||||||
Publicis Groupe SA | 32,400 | 2,264,297 | ||||||
Renault SA | 21,547 | 1,871,977 | ||||||
Safran SA | 44,860 | 3,351,548 | ||||||
Sanofi | 29,342 | 2,654,762 | ||||||
Schneider Electric SE | 121,911 | 8,935,307 | ||||||
TOTAL SA | 91,069 | 4,600,709 | ||||||
Valeo SA | 38,580 | 2,572,937 | ||||||
|
| |||||||
91,069,025 | ||||||||
|
| |||||||
Germany — 5.9% | ||||||||
Allianz SE | 33,320 | 6,172,134 | ||||||
Bayerische Motoren Werke AG | 32,765 | 2,988,846 | ||||||
Beiersdorf AG | 66,486 | 6,294,036 | ||||||
Continental AG | 16,865 | 3,697,269 | ||||||
Linde AG | 9,372 | 1,560,001 | ||||||
Merck KGaA | 32,821 | 3,738,070 | ||||||
MTU Aero Engines AG | 14,385 | 1,871,434 | ||||||
ProSiebenSat.1 Media SE | 51,404 | 2,276,042 | ||||||
SAP SE | 80,325 | 7,881,830 | ||||||
|
| |||||||
36,479,662 | ||||||||
|
| |||||||
Hong Kong — 1.4% | ||||||||
AIA Group Ltd. | 1,182,200 | 7,451,626 | ||||||
CNOOC Ltd. | 1,024,000 | 1,225,554 | ||||||
|
| |||||||
8,677,180 | ||||||||
|
| |||||||
India — 1.8% | ||||||||
Housing Development Finance Corp. Ltd. | 174,185 | 4,029,970 |
The accompanying notes are an integral part of the financial statements.
154
MassMutual Select Overseas Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Infosys Ltd. Sponsored ADR (b) | 118,700 | $ | 1,875,460 | |||||
Tata Consultancy Services Ltd. | 131,380 | 4,903,003 | ||||||
|
| |||||||
10,808,433 | ||||||||
|
| |||||||
Indonesia — 0.5% | ||||||||
Bank Mandiri Persero Tbk PT | 3,859,300 | 3,388,554 | ||||||
|
| |||||||
Ireland — 0.7% | ||||||||
Ryanair Holdings PLC Sponsored ADR (Ireland) (a) | 12,991 | 1,077,993 | ||||||
Willis Towers Watson PLC | 26,142 | 3,421,727 | ||||||
|
| |||||||
4,499,720 | ||||||||
|
| |||||||
Israel — 0.9% | ||||||||
Check Point Software Technologies Ltd. (a) | 40,105 | 4,117,179 | ||||||
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel) | 47,049 | 1,509,803 | ||||||
|
| |||||||
5,626,982 | ||||||||
|
| |||||||
Italy — 2.8% | ||||||||
Enel SpA | 483,415 | 2,276,353 | ||||||
Eni SpA | 198,426 | 3,252,147 | ||||||
Intesa Sanpaolo SpA | 2,668,629 | 7,248,349 | ||||||
Luxottica Group SpA | 24,274 | 1,339,985 | ||||||
PRADA SpA | 410,600 | 1,725,496 | ||||||
Telecom Italia SpA (a) | 1,216,320 | 1,093,867 | ||||||
|
| |||||||
16,936,197 | ||||||||
|
| |||||||
Japan — 14.0% | ||||||||
Bridgestone Corp. | 48,000 | 1,946,055 | ||||||
Daikin Industries Ltd. | 46,800 | 4,717,037 | ||||||
Daiwa Securities Group, Inc. | 357,900 | 2,186,619 | ||||||
Denso Corp. | 108,400 | 4,782,253 | ||||||
Dentsu, Inc. | 21,100 | 1,147,603 | ||||||
DMG Mori Co. Ltd. | 55,500 | 869,756 | ||||||
FANUC Corp. | 19,000 | 3,904,970 | ||||||
Honda Motor Co. Ltd. | 203,000 | 6,133,886 | ||||||
Hoya Corp. | 201,000 | 9,696,392 | ||||||
Japan Airlines Co. Ltd. | 44,600 | 1,416,119 | ||||||
Japan Tobacco, Inc. | 116,400 | 3,789,120 | ||||||
Kao Corp. | 47,000 | 2,581,727 | ||||||
Komatsu Ltd. | 29,000 | 758,654 | ||||||
Kubota Corp. | 171,400 | 2,579,923 | ||||||
Kyocera Corp. | 71,500 | 3,993,644 | ||||||
Mabuchi Motor Co. Ltd. | 22,200 | 1,253,959 | ||||||
Mitsubishi Corp. | 81,700 | 1,769,389 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 589,800 | 3,723,066 | ||||||
Mitsui Fudosan Co. Ltd. | 45,000 | 962,693 | ||||||
NGK Spark Plug Co. Ltd. | 57,200 | 1,312,484 | ||||||
Nippon Telegraph & Telephone Corp. | 55,600 | 2,374,986 | ||||||
Olympus Corp. | 40,700 | 1,568,840 | ||||||
Omron Corp. | 22,700 | 998,779 | ||||||
Otsuka Corp. | 21,500 | 1,169,222 | ||||||
Shin-Etsu Chemical Co. Ltd. | 16,900 | 1,469,735 |
Number of Shares | Value | |||||||
Sompo Holdings, Inc. | 26,700 | $ | 981,774 | |||||
Sony Corp. | 27,900 | 946,482 | ||||||
Sumitomo Electric Industries Ltd. | 117,600 | 1,956,497 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 30,400 | 1,108,403 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 39,500 | 1,375,228 | ||||||
Suzuki Motor Corp. | 25,800 | 1,074,202 | ||||||
Terumo Corp. (b) | 162,600 | 5,656,758 | ||||||
Toyota Motor Corp. | 80,800 | 4,397,114 | ||||||
Yamato Holdings Co. Ltd. | 45,100 | 946,764 | ||||||
|
| |||||||
85,550,133 | ||||||||
|
| |||||||
Luxembourg — 0.2% | ||||||||
ArcelorMittal (a) | 166,706 | 1,394,710 | ||||||
|
| |||||||
Mexico — 0.6% | ||||||||
Grupo Televisa SAB Sponsored ADR (Mexico) | 136,300 | 3,535,622 | ||||||
|
| |||||||
Netherlands — 6.4% | ||||||||
Airbus SE | 20,336 | 1,547,557 | ||||||
Akzo Nobel NV | 71,858 | 5,955,458 | ||||||
ASML Holding NV | 6,965 | 923,837 | ||||||
ASR Nederland NV (a) | 41,492 | 1,182,661 | ||||||
CNH Industrial NV | 567,100 | 5,469,077 | ||||||
EXOR NV | 70,500 | 3,646,206 | ||||||
Heineken NV | 6,793 | 578,086 | ||||||
ING Groep NV | 541,631 | 8,183,156 | ||||||
Koninklijke Philips NV | 79,535 | 2,556,631 | ||||||
NN Group NV | 33,763 | 1,098,131 | ||||||
Randstad Holding NV (b) | 76,080 | 4,389,721 | ||||||
RELX NV | 185,291 | 3,442,480 | ||||||
|
| |||||||
38,973,001 | ||||||||
|
| |||||||
Norway — 0.3% | ||||||||
Norsk Hydro ASA | 288,757 | 1,678,334 | ||||||
|
| |||||||
Republic of Korea — 0.5% | ||||||||
Samsung Electronics Co. Ltd. | 1,551 | 2,856,540 | ||||||
|
| |||||||
Singapore — 1.4% | ||||||||
DBS Group Holdings, Ltd. | 502,800 | 6,977,959 | ||||||
Singapore Telecommunications Ltd. | 218,600 | 611,035 | ||||||
Singapore Telecommunications Ltd. | 299,800 | 840,531 | ||||||
|
| |||||||
8,429,525 | ||||||||
|
| |||||||
Spain — 1.3% | ||||||||
Amadeus IT Group SA | 82,116 | 4,163,395 | ||||||
Bankia SA (b) | 1,758,432 | 1,999,910 | ||||||
Iberdrola SA | 273,116 | 1,953,559 | ||||||
|
| |||||||
8,116,864 | ||||||||
|
| |||||||
Sweden — 2.6% | ||||||||
Atlas Copco AB Class B | 26,400 | 839,117 | ||||||
Hennes & Mauritz AB Class B | 318,744 | 8,134,142 | ||||||
Nordea Bank AB | 191,385 | 2,186,702 | ||||||
SKF AB Class B (b) | 138,100 | 2,734,020 |
The accompanying notes are an integral part of the financial statements.
155
MassMutual Select Overseas Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Volvo AB Class B (b) | 158,600 | $ | 2,335,043 | |||||
|
| |||||||
16,229,024 | ||||||||
|
| |||||||
Switzerland — 10.5% | ||||||||
Cie Financiere Richemont SA | 40,450 | 3,192,833 | ||||||
Credit Suisse Group AG | 395,444 | 5,873,845 | ||||||
Julius Baer Group Ltd. | 47,559 | 2,374,301 | ||||||
Kuehne & Nagel International AG | 30,010 | 4,242,506 | ||||||
LafargeHolcim Ltd. | 72,818 | 4,311,364 | ||||||
Nestle SA | 175,397 | 13,455,238 | ||||||
Novartis AG Registered | 74,930 | 5,562,953 | ||||||
Roche Holding AG | 40,178 | 10,249,624 | ||||||
The Swatch Group AG | 7,675 | 2,743,232 | ||||||
UBS Group AG Registered | 444,978 | 7,121,916 | ||||||
Zurich Insurance Group AG | 19,924 | 5,319,258 | ||||||
|
| |||||||
64,447,070 | ||||||||
|
| |||||||
Taiwan — 1.0% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 73,000 | 458,106 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (Taiwan) | 170,234 | 5,590,484 | ||||||
|
| |||||||
6,048,590 | ||||||||
|
| |||||||
United Kingdom — 16.2% | ||||||||
Ashtead Group PLC | 114,200 | 2,363,950 | ||||||
Barclays PLC | 940,823 | 2,651,942 | ||||||
Barratt Developments PLC | 122,648 | 840,437 | ||||||
Compass Group PLC | 406,009 | 7,649,822 | ||||||
Delphi Automotive PLC | 21,988 | 1,769,814 | ||||||
Diageo PLC | 279,236 | 7,998,723 | ||||||
Experian PLC | 215,978 | 4,408,685 | ||||||
G4S PLC | 595,500 | 2,270,486 | ||||||
Glencore PLC (a) | 1,732,800 | 6,811,789 | ||||||
InterContinental Hotels Group PLC | 15,875 | 777,323 | ||||||
ITV PLC | 434,038 | 1,192,573 | ||||||
Lloyds Banking Group PLC | 8,074,293 | 6,717,901 | ||||||
Meggitt PLC | 251,649 | 1,405,195 | ||||||
National Grid PLC | 74,715 | 947,627 | ||||||
Prudential PLC | 202,794 | 4,289,798 | ||||||
Reckitt Benckiser Group PLC | 78,642 | 7,167,381 | ||||||
Rio Tinto PLC | 136,784 | 5,505,864 | ||||||
Rolls-Royce Holdings PLC | 258,678 | 2,441,236 | ||||||
Royal Bank of Scotland Group PLC (a) | 838,400 | 2,543,423 | ||||||
Royal Dutch Shell PLC Class A | 200,594 | 5,276,039 | ||||||
Schroders PLC | 300 | 8,281 | ||||||
Schroders PLC | 79,000 | 2,999,170 | ||||||
Shire PLC | 27,476 | 1,598,656 | ||||||
Smiths Group PLC | 177,012 | 3,594,226 | ||||||
Standard Chartered PLC (a) | 225,100 | 2,154,268 | ||||||
TechnipFMC PLC (a) | 27,914 | 908,361 | ||||||
Vodafone Group PLC | 755,077 | 1,963,805 |
Number of Shares | Value | |||||||
Wolseley PLC | 31,013 | $ | 1,950,679 | |||||
WPP PLC | 398,433 | 8,746,690 | ||||||
|
| |||||||
98,954,144 | ||||||||
|
| |||||||
United States — 0.6% | ||||||||
Yum China Holdings, Inc. (a) | 146,322 | 3,979,958 | ||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $550,577,615) | 603,243,423 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $550,577,615) | 603,243,423 | |||||||
|
| |||||||
MUTUAL FUNDS — 3.4% | ||||||||
United States — 3.4% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 20,519,438 | 20,519,438 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $20,519,438) | 20,519,438 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $571,097,053) | 623,762,861 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.0% | ||||||||
Repurchase Agreement — 1.0% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (d) | $ | 6,159,206 | 6,159,206 | |||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 22,102 | 22,102 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,181,308) | 6,181,308 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 102.9% (Cost $577,278,361) (e) | 629,944,169 | |||||||
Other Assets/(Liabilities) — (2.9)% | (17,648,860 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 612,295,309 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
156
MassMutual Select Overseas 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) | Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2017, was $19,535,024 or 3.19% 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 $6,159,232. Collateralized by U.S. Government Agency obligations with rates ranging from 1.500% – 2.000%, maturity dates ranging from 8/31/21 – 1/31/22, and an aggregate market value, including accrued interest, of $6,288,718. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
157
MassMutual Select Funds – Financial Statements
Statements of Assets and Liabilities
March 31, 2017 (Unaudited)
MassMutual Select Total Return Bond Fund | MassMutual Select Strategic Bond Fund | |||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) | $ | 926,368,237 | $ | 376,309,067 | ||||
Repurchase agreements, at value (Note 2) (b) | 21,705,544 | 576,131 | ||||||
Other short-term investments, at value (Note 2) (c) | 47,016,452 | 67,911,750 | ||||||
|
|
|
| |||||
Total investments (d) | 995,090,233 | 444,796,948 | ||||||
|
|
|
| |||||
Cash | - | 7,708 | ||||||
Foreign currency, at value (e) | - | 1,452,158 | ||||||
Receivables from: | ||||||||
Investments sold | 4,484,889 | 712,250 | ||||||
Collateral pledged for open derivative instruments (Note 2) | - | 1,464,935 | ||||||
Investments sold on a when-issued basis (Note 2) | 7,501,247 | 8,575,203 | ||||||
Open forward foreign currency contracts (Note 2) | - | 542,204 | ||||||
Investment adviser (Note 3) | - | 6,027 | ||||||
Fund shares sold | 946,321 | 62,400 | ||||||
Variation margin on open derivative instruments (Note 2) | 100,131 | 317,603 | ||||||
Interest and dividends | 5,038,004 | 2,142,310 | ||||||
Interest tax reclaim receivable | 3,591 | 379 | ||||||
Foreign taxes withheld | - | - | ||||||
Prepaid expenses | 56,076 | 71,117 | ||||||
|
|
|
| |||||
Total assets | 1,013,220,492 | 460,151,242 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | 3,150,510 | 3,227,768 | ||||||
Written options outstanding, at value (Note 2) (f) | - | 536,138 | ||||||
Open forward foreign currency contracts (Note 2) | 845,282 | 692,131 | ||||||
Foreign currency overdraft (e) | - | - | ||||||
Investments purchased on a when-issued basis (Note 2) | 85,067,378 | 63,803,920 | ||||||
Fund shares repurchased | 1,485,169 | 857,237 | ||||||
Securities on loan (Note 2) | - | - | ||||||
Trustees’ fees and expenses (Note 3) | 211,567 | 45,454 | ||||||
Variation margin on open derivative instruments (Note 2) | - | 50,702 | ||||||
Affiliates (Note 3): | ||||||||
Investment advisory fees | 235,214 | 130,396 | ||||||
Administration fees | 99,309 | 41,370 | ||||||
Service fees | 186,282 | 56,327 | ||||||
Shareholder service fees | 14,854 | 15,591 | ||||||
Distribution fees | 26,667 | 5,978 | ||||||
Accrued expense and other liabilities | 65,155 | 40,578 | ||||||
|
|
|
| |||||
Total liabilities | 91,387,387 | 69,503,590 | ||||||
|
|
|
| |||||
Net assets | $ | 921,833,105 | $ | 390,647,652 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 935,991,531 | $ | 390,586,139 | ||||
Undistributed (accumulated) net investment income (loss) | 2,343,746 | 1,823,002 | ||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | (18,832,384 | ) | (5,629,677 | ) | ||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 2,330,212 | 3,868,188 | ||||||
|
|
|
| |||||
Net assets | $ | 921,833,105 | $ | 390,647,652 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | 924,168,412 | $ | 373,836,972 | ||||
(b) Cost of repurchase agreements: | $ | 21,705,544 | $ | 576,131 | ||||
(c) Cost of other short-term investments: | $ | 46,204,556 | $ | 67,914,857 | ||||
(d) Securities on loan with market value of: | $ | - | $ | - | ||||
(e) Cost of foreign currency: | $ | - | $ | 1,432,009 | ||||
(f) Premiums on written options: | $ | - | $ | 587,736 |
The accompanying notes are an integral part of the financial statements.
158
MassMutual Select Diversified Value Fund | MassMutual Select Fundamental Value Fund | MassMutual Select Large Cap Value Fund | MM S&P 500 Index Fund | MassMutual Select Equity Opportunities Fund | ||||||||||||||
$ | 369,331,529 | $ | 1,238,988,408 | $ | 188,620,949 | $ | 3,782,330,727 | $ | 733,912,447 | |||||||||
9,263,150 | 12,895,751 | 9,913,375 | 24,274,173 | - | ||||||||||||||
928 | - | 96,781 | 1,962,853 | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
378,595,607 | 1,251,884,159 | 198,631,105 | 3,808,567,753 | 733,912,447 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
- | - | - | - | 123,782,867 | ||||||||||||||
- | - | - | - | - | ||||||||||||||
14,045,282 | 10,296,312 | 87,734 | - | 368,068 | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | 12,371 | - | - | ||||||||||||||
1,549,275 | 514,044 | 46,614 | 1,520,294 | 108,166 | ||||||||||||||
- | - | - | - | - | ||||||||||||||
276,875 | 1,992,752 | 338,726 | 3,996,812 | 582,979 | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | 413,797 | 17,734 | - | - | ||||||||||||||
64,024 | 62,179 | 69,239 | 68,092 | 64,100 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
394,531,063 | 1,265,163,243 | 199,203,523 | 3,814,152,951 | 858,818,627 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
19,571,998 | 4,814,608 | 1,628,837 | 66,985 | 108,160,098 | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | 57 | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
759,990 | 1,665,622 | 817,196 | 47,621,666 | 3,705,106 | ||||||||||||||
- | - | 5,774,344 | - | - | ||||||||||||||
74,548 | 252,175 | 139,585 | 535,467 | 156,421 | ||||||||||||||
- | - | - | 68,829 | - | ||||||||||||||
158,315 | 646,222 | 96,496 | 301,750 | 446,114 | ||||||||||||||
17,124 | 88,564 | 20,571 | 450,800 | 68,572 | ||||||||||||||
12,941 | 94,576 | 16,757 | 495,335 | 87,053 | ||||||||||||||
3,810 | 32,283 | 5,080 | 94,385 | 30,604 | ||||||||||||||
1,164 | 1,462 | 34 | 74,795 | 2,493 | ||||||||||||||
19,901 | 39,506 | 20,257 | 90,560 | 32,362 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
20,619,791 | 7,635,018 | 8,519,214 | 49,800,572 | 112,688,823 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 373,911,272 | $ | 1,257,528,225 | $ | 190,684,309 | $ | 3,764,352,379 | $ | 746,129,804 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 294,754,865 | $ | 892,720,275 | $ | 171,003,894 | $ | 2,077,878,798 | $ | 543,441,844 | |||||||||
1,433,052 | 6,160,571 | 672,515 | 15,066,326 | 5,844,478 | ||||||||||||||
4,218,706 | 44,509,447 | (1,737,106 | ) | 52,754,268 | 188,494,505 | |||||||||||||
73,504,649 | 314,137,932 | 20,745,006 | 1,618,652,987 | 8,348,977 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 373,911,272 | $ | 1,257,528,225 | $ | 190,684,309 | $ | 3,764,352,379 | $ | 746,129,804 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 295,826,880 | $ | 924,836,391 | $ | 167,875,595 | $ | 2,163,799,140 | $ | 725,563,470 | |||||||||
$ | 9,263,150 | $ | 12,895,751 | $ | 9,913,375 | $ | 24,274,173 | $ | - | |||||||||
$ | 928 | $ | - | $ | 96,781 | $ | 1,963,208 | $ | - | |||||||||
$ | - | $ | - | $ | 5,617,686 | $ | - | $ | - | |||||||||
$ | - | $ | - | $ | (57 | ) | $ | - | $ | - | ||||||||
$ | - | $ | - | $ | - | $ | - | $ | - |
159
MassMutual Select Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
March 31, 2017 (Unaudited)
MassMutual Select Total Return Bond Fund | MassMutual Select Strategic Bond Fund | |||||||
Class I shares: | ||||||||
Net assets | $ | 325,253,205 | $ | 116,110,560 | ||||
|
|
|
| |||||
Shares outstanding (a) | 33,266,888 | 11,279,933 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 9.78 | $ | 10.29 | ||||
|
|
|
| |||||
Class R5 shares: | ||||||||
Net assets | $ | 97,286,651 | $ | 68,251,039 | ||||
|
|
|
| |||||
Shares outstanding (a) | 9,967,157 | 6,626,712 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 9.76 | $ | 10.30 | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | 150,142,699 | $ | 48,027,906 | ||||
|
|
|
| |||||
Shares outstanding (a) | 15,321,362 | 4,661,908 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 9.80 | $ | 10.30 | ||||
|
|
|
| |||||
Administrative Class shares: | ||||||||
Net assets | $ | 62,361,110 | $ | 60,974,224 | ||||
|
|
|
| |||||
Shares outstanding (a) | 6,401,962 | 5,935,999 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 9.74 | $ | 10.27 | ||||
|
|
|
| |||||
Class A shares: | ||||||||
Net assets | $ | 4,716,797 | $ | 47,334,259 | ||||
|
|
|
| |||||
Shares outstanding (a) | 483,807 | 4,618,901 | ||||||
|
|
|
| |||||
Net asset value, and redemption price per share | $ | 9.75 | $ | 10.25 | ||||
|
|
|
| |||||
Offering price per share | ||||||||
(100/[100-maximum sales charge] of net asset value) | $ | 10.24 | $ | 10.76 | ||||
|
|
|
| |||||
Class R4 shares: | ||||||||
Net assets | $ | 240,664,781 | $ | 39,358,450 | ||||
|
|
|
| |||||
Shares outstanding (a) | 24,541,977 | 3,851,560 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 9.81 | $ | 10.22 | ||||
|
|
|
| |||||
Class R3 shares: | ||||||||
Net assets | $ | 41,407,862 | $ | 10,591,214 | ||||
|
|
|
| |||||
Shares outstanding (a) | 4,254,922 | 1,044,393 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 9.73 | $ | 10.14 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
160
MassMutual Select Diversified Value Fund | MassMutual Select Fundamental Value Fund | MassMutual Select Large Cap Value Fund | MM S&P 500 Index Fund | MassMutual Select Equity Opportunities Fund | ||||||||||||||
$ | 286,247,910 | $ | 565,694,474 | $ | 51,152,816 | $ | 1,173,324,066 | $ | 244,842,926 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
18,235,378 | 45,720,913 | 6,858,330 | 58,482,611 | 11,739,944 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 15.70 | $ | 12.37 | $ | 7.46 | $ | 20.06 | $ | 20.86 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 46,626,951 | $ | 380,661,290 | $ | 97,535,555 | $ | 699,017,152 | $ | 208,625,515 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,965,756 | 30,644,127 | 13,046,781 | 34,767,829 | 9,976,510 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 15.72 | $ | 12.42 | $ | 7.48 | $ | 20.11 | $ | 20.91 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 12,859,524 | $ | 69,354,024 | $ | 3,043,961 | $ | 530,388,580 | $ | 69,921,684 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
818,310 | 5,605,574 | 405,085 | 26,346,903 | 3,391,192 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 15.71 | $ | 12.37 | $ | 7.51 | $ | 20.13 | $ | 20.62 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 7,629,561 | $ | 95,676,699 | $ | 12,484,803 | $ | 540,532,399 | $ | 86,995,095 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
483,357 | 7,687,939 | 1,673,954 | 27,217,658 | 4,261,869 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 15.78 | $ | 12.45 | $ | 7.46 | $ | 19.86 | $ | 20.41 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 17,686,511 | $ | 129,454,755 | $ | 25,912,954 | $ | 26,277,685 | $ | 123,225,231 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,127,302 | 10,529,324 | 3,481,177 | 1,341,171 | 6,247,197 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 15.69 | $ | 12.29 | $ | 7.44 | $ | 19.59 | $ | 19.72 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 16.65 | $ | 13.04 | $ | 7.89 | $ | 20.79 | $ | 20.92 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 957,772 | $ | 13,945,716 | $ | 504,862 | $ | 656,759,505 | $ | 8,418,795 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
61,349 | 1,146,121 | 68,417 | 33,376,424 | 430,637 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 15.61 | $ | 12.17 | $ | 7.38 | $ | 19.68 | $ | 19.55 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 1,903,043 | $ | 2,741,267 | $ | 49,358 | $ | 138,052,992 | $ | 4,100,558 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
121,575 | 225,843 | 6,780 | 7,144,063 | 218,842 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 15.65 | $ | 12.14 | $ | 7.28 | $ | 19.32 | $ | 18.74 | |||||||||
|
|
|
|
|
|
|
|
|
|
161
MassMutual Select Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
March 31, 2017 (Unaudited)
MassMutual Select Fundamental Growth Fund | MassMutual Select Blue Chip Growth Fund | |||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) | $ | 123,531,257 | $ | 1,847,393,791 | ||||
Repurchase agreements, at value (Note 2) (b) | 3,345,362 | 13,587,219 | ||||||
Other short-term investments, at value (Note 2) (c) | 18,054 | 13,724,007 | ||||||
|
|
|
| |||||
Total investments (d) | 126,894,673 | 1,874,705,017 | ||||||
|
|
|
| |||||
Foreign currency, at value (e) | - | 1 | ||||||
Receivables from: | ||||||||
Investments sold | 918,317 | 227,565 | ||||||
Open forward foreign currency contracts (Note 2) | - | - | ||||||
Investment adviser (Note 3) | 14,307 | - | ||||||
Fund shares sold | 61,334 | 1,023,764 | ||||||
Variation margin on open derivative instruments (Note 2) | - | - | ||||||
Interest and dividends | 78,658 | 1,502,482 | ||||||
Foreign taxes withheld | 275 | 273,335 | ||||||
Prepaid expenses | 69,664 | 83,288 | ||||||
|
|
|
| |||||
Total assets | 128,037,228 | 1,877,815,452 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | 3,562,430 | 7,790,042 | ||||||
Open forward foreign currency contracts (Note 2) | - | - | ||||||
Fund shares repurchased | 575,357 | 29,144,557 | ||||||
Securities on loan (Note 2) | 1,573,066 | - | ||||||
Trustees’ fees and expenses (Note 3) | 18,971 | 213,288 | ||||||
Affiliates (Note 3): | ||||||||
Investment advisory fees | 65,953 | 973,269 | ||||||
Administration fees | 13,744 | 129,700 | ||||||
Service fees | 11,975 | 145,767 | ||||||
Shareholder service fees | 3,646 | 55,598 | ||||||
Distribution fees | 1,113 | 17,947 | ||||||
Due to custodian | - | - | ||||||
Accrued expense and other liabilities | 21,507 | 47,322 | ||||||
|
|
|
| |||||
Total liabilities | 5,847,762 | 38,517,490 | ||||||
|
|
|
| |||||
Net assets | $ | 122,189,466 | $ | 1,839,297,962 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 100,432,406 | $ | 1,380,887,651 | ||||
Undistributed (accumulated) net investment income (loss) | 2,590 | - | ||||||
Distributions in excess of net investment income | - | (4,821,268 | ) | |||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 2,512,255 | 28,113,242 | ||||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 19,242,215 | 435,118,337 | ||||||
|
|
|
| |||||
Net assets | $ | 122,189,466 | $ | 1,839,297,962 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | 104,289,040 | $ | 1,412,275,451 | ||||
(b) Cost of repurchase agreements: | $ | 3,345,362 | $ | 13,587,219 | ||||
(c) Cost of other short-term investments: | $ | 18,054 | $ | 13,724,007 | ||||
(d) Securities on loan with market value of: | $ | 1,540,468 | $ | - | ||||
(e) Cost of foreign currency: | $ | - | $ | 1 |
The accompanying notes are an integral part of the financial statements.
162
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 | ||||||||||||||
$ | 814,541,910 | $ | 109,508,428 | $ | 183,838,716 | $ | 293,656,324 | $ | 388,229,262 | |||||||||
10,941,076 | - | - | 4,241,598 | 11,523,122 | ||||||||||||||
- | - | 6,350,666 | 214,161 | 742,781 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
825,482,986 | 109,508,428 | 190,189,382 | 298,112,083 | 400,495,165 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
- | 1 | 14 | - | - | ||||||||||||||
5,532,325 | 3,274,990 | 541,790 | 1,347,093 | 34,860 | ||||||||||||||
- | 13,510 | - | - | - | ||||||||||||||
- | 10,265 | 8,386 | - | - | ||||||||||||||
278,429 | 38,258 | 67,368 | 95,337 | 2,323,519 | ||||||||||||||
- | - | - | 4,375 | 951 | ||||||||||||||
81,754 | 152,338 | 200,079 | 396,489 | 345,100 | ||||||||||||||
60,025 | - | - | - | - | ||||||||||||||
61,350 | 55,627 | 66,644 | 62,496 | 57,341 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
831,496,869 | 113,053,417 | 191,073,663 | 300,017,873 | 403,256,936 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
6,881,826 | 198,270 | 329,475 | 1,314,657 | 845,959 | ||||||||||||||
- | 5,318 | - | - | - | ||||||||||||||
1,986,069 | 598,538 | 1,209,222 | 4,659,321 | 913,240 | ||||||||||||||
9,171,717 | - | - | 16,815,955 | 18,581,847 | ||||||||||||||
129,959 | 27,069 | 26,231 | 98,185 | 23,815 | ||||||||||||||
483,116 | 67,909 | 125,117 | 210,231 | 29,752 | ||||||||||||||
68,304 | 9,073 | 14,351 | 23,039 | 52,987 | ||||||||||||||
59,922 | 1,393 | 7,819 | 16,195 | 81,484 | ||||||||||||||
27,806 | 424 | 2,823 | 5,775 | 13,575 | ||||||||||||||
552 | 104 | 371 | 65 | 26,708 | ||||||||||||||
- | 1,212,177 | - | - | - | ||||||||||||||
39,402 | 20,416 | 18,481 | 18,264 | 43,358 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
18,848,673 | 2,140,691 | 1,733,890 | 23,161,687 | 20,612,725 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 812,648,196 | $ | 110,912,726 | $ | 189,339,773 | $ | 276,856,186 | $ | 382,644,211 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 606,602,277 | $ | 95,016,847 | $ | 133,219,025 | $ | 208,972,120 | $ | 337,047,976 | |||||||||
(3,532,568 | ) | 438,131 | 513,493 | 635,505 | 879,633 | |||||||||||||
- | - | - | - | - | ||||||||||||||
29,038,842 | 4,742,907 | 12,839,521 | 18,429,940 | 3,474,429 | ||||||||||||||
| 180,539,645 | 10,714,841 | 42,767,734 | 48,818,621 | 41,242,173 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 812,648,196 | $ | 110,912,726 | $ | 189,339,773 | $ | 276,856,186 | $ | 382,644,211 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 634,002,265 | $ | 98,801,928 | $ | 141,070,982 | $ | 244,840,458 | $ | 347,044,533 | |||||||||
$ | 10,941,076 | $ | - | $ | 6,350,666 | $ | 4,241,598 | $ | 11,523,122 | |||||||||
$ | - | $ | - | $ | - | $ | 214,112 | $ | 742,915 | |||||||||
$ | 8,966,545 | $ | - | $ | - | $ | 16,387,103 | $ | 18,101,390 | |||||||||
$ | - | $ | 1 | $ | 14 | $ | - | $ | - |
163
MassMutual Select Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
March 31, 2017 (Unaudited)
MassMutual Select Fundamental Growth Fund | MassMutual Select Blue Chip Growth Fund | |||||||
Class I shares: | ||||||||
Net assets | $ | 61,302,046 | $ | 856,804,634 | ||||
|
|
|
| |||||
Shares outstanding (a) | 8,028,298 | 50,003,680 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 7.64 | $ | 17.13 | ||||
|
|
|
| |||||
Class R5 shares: | ||||||||
Net assets | $ | 23,223,943 | $ | 384,064,343 | ||||
|
|
|
| |||||
Shares outstanding (a) | 3,034,078 | 22,440,891 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 7.65 | $ | 17.11 | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | 7,771,777 | $ | 118,122,428 | ||||
|
|
|
| |||||
Shares outstanding (a) | 1,035,349 | 6,961,661 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 7.51 | $ | 16.97 | ||||
|
|
|
| |||||
Administrative Class shares: | ||||||||
Net assets | $ | 9,957,139 | $ | 240,246,091 | ||||
|
|
|
| |||||
Shares outstanding (a) | 1,357,365 | 14,342,234 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 7.34 | $ | 16.75 | ||||
|
|
|
| |||||
Class A shares: | ||||||||
Net assets | $ | 16,248,233 | $ | 152,345,125 | ||||
|
|
|
| |||||
Shares outstanding (a) | 2,310,743 | 9,467,006 | ||||||
|
|
|
| |||||
Net asset value, and redemption price per share | $ | 7.03 | $ | 16.09 | ||||
|
|
|
| |||||
Offering price per share | ||||||||
(100/[100-maximum sales charge] of net asset value) | $ | 7.46 | $ | 17.07 | ||||
|
|
|
| |||||
Class R4 shares: | ||||||||
Net assets | $ | 1,823,721 | $ | 56,735,192 | ||||
|
|
|
| |||||
Shares outstanding (a) | 261,758 | 3,530,069 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 6.97 | $ | 16.07 | ||||
|
|
|
| |||||
Class R3 shares: | ||||||||
Net assets | $ | 1,862,607 | $ | 30,980,149 | ||||
|
|
|
| |||||
Shares outstanding (a) | 282,267 | 2,047,595 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 6.60 | $ | 15.13 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
164
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 | ||||||||||||||
$ | 322,828,510 | $ | 97,973,652 | $ | 115,687,393 | $ | 130,086,312 | $ | 93,576,327 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
30,989,691 | 6,688,580 | 6,683,375 | 10,308,024 | 6,864,609 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10.42 | $ | 14.65 | $ | 17.31 | $ | 12.62 | $ | 13.63 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 177,506,696 | $ | 7,964,265 | $ | 43,478,330 | $ | 91,355,760 | $ | 32,420,782 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
17,184,353 | 540,263 | 2,509,204 | 7,206,205 | 2,385,532 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10.33 | $ | 14.74 | $ | 17.33 | $ | 12.68 | $ | 13.59 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 129,642,900 | $ | 1,982,472 | $ | 8,193,552 | $ | 13,893,869 | $ | 28,324,888 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
12,857,357 | 134,853 | 472,009 | 1,100,925 | 2,092,436 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10.08 | $ | 14.70 | $ | 17.36 | $ | 12.62 | $ | 13.54 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 88,420,162 | $ | 833,564 | $ | 9,296,113 | $ | 15,796,533 | $ | 60,451,764 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
9,052,134 | 55,949 | 538,526 | 1,271,247 | 4,465,640 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 9.77 | $ | 14.90 | $ | 17.26 | $ | 12.43 | $ | 13.54 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 85,895,860 | $ | 1,838,826 | $ | 9,975,310 | $ | 25,143,196 | $ | 37,999,623 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
9,358,360 | 125,073 | 579,545 | 2,079,648 | 2,812,547 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 9.18 | $ | 14.70 | $ | 17.21 | $ | 12.09 | $ | 13.51 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 9.74 | $ | 15.60 | $ | 18.26 | $ | 12.83 | $ | 14.33 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 7,325,877 | $ | 133,563 | $ | 1,981,914 | $ | 469,483 | $ | 66,297,172 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
794,918 | 9,147 | 115,693 | 39,211 | 4,924,915 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 9.22 | $ | 14.60 | $ | 17.13 | $ | 11.97 | $ | 13.46 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 1,028,191 | $ | 186,384 | $ | 727,161 | $ | 111,033 | $ | 63,573,655 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
119,912 | 12,792 | 42,479 | 9,756 | 4,737,623 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 8.57 | $ | 14.57 | $ | 17.12 | $ | 11.38 | $ | 13.42 | |||||||||
|
|
|
|
|
|
|
|
|
|
165
MassMutual Select Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
March 31, 2017 (Unaudited)
MM Russell 2000 Small Cap Index Fund | MassMutual Select Mid Cap Growth Fund | |||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) | $ | 354,469,243 | $ | 3,964,174,406 | ||||
Repurchase agreements, at value (Note 2) (b) | 11,909,746 | 134,677,161 | ||||||
Other short-term investments, at value (Note 2) (c) | 840,052 | - | ||||||
|
|
|
| |||||
Total investments (d) | 367,219,041 | 4,098,851,567 | ||||||
|
|
|
| |||||
Foreign currency, at value (e) | 14 | 32,692 | ||||||
Receivables from: | ||||||||
Investments sold | 571,454 | 7,018,920 | ||||||
Collateral pledged for open derivative instruments (Note 2) | - | - | ||||||
Open forward foreign currency contracts (Note 2) | - | - | ||||||
Investment adviser (Note 3) | 5,668 | - | ||||||
Fund shares sold | 145,928 | 1,997,320 | ||||||
Variation margin on open derivative instruments (Note 2) | 27,752 | - | ||||||
Interest and dividends | 395,887 | 1,862,267 | ||||||
Foreign taxes withheld | - | - | ||||||
Prepaid expenses | 57,383 | 118,627 | ||||||
|
|
|
| |||||
Total assets | 368,423,127 | 4,109,881,393 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | 1,669,627 | 4,966,064 | ||||||
Open forward foreign currency contracts (Note 2) | - | - | ||||||
Fund shares repurchased | 1,310,657 | 29,923,140 | ||||||
Securities on loan (Note 2) | 38,150,827 | 186,011,336 | ||||||
Trustees’ fees and expenses (Note 3) | 19,570 | 361,502 | ||||||
Affiliates (Note 3): | ||||||||
Investment advisory fees | 27,030 | 2,243,925 | ||||||
Administration fees | 38,656 | 217,765 | ||||||
Service fees | 57,056 | 224,416 | ||||||
Shareholder service fees | 9,478 | 86,571 | ||||||
Distribution fees | 18,818 | 11,426 | ||||||
Due to custodian | 7,540 | - | ||||||
Accrued expense and other liabilities | 39,429 | 49,635 | ||||||
|
|
|
| |||||
Total liabilities | 41,348,688 | 224,095,780 | ||||||
|
|
|
| |||||
Net assets | $ | 327,074,439 | $ | 3,885,785,613 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 289,662,061 | $ | 3,025,184,114 | ||||
Undistributed (accumulated) net investment income (loss) | 986,069 | (7,106,179 | ) | |||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | (689,574 | ) | 119,759,541 | |||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 37,115,883 | 747,948,137 | ||||||
|
|
|
| |||||
Net assets | $ | 327,074,439 | $ | 3,885,785,613 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | 317,595,178 | $ | 3,216,226,479 | ||||
(b) Cost of repurchase agreements: | $ | 11,909,746 | $ | 134,677,161 | ||||
(c) Cost of other short-term investments: | $ | 840,203 | $ | - | ||||
(d) Securities on loan with market value of: | $ | 37,054,235 | $ | 181,693,031 | ||||
(e) Cost of foreign currency: | $ | 13 | $ | 32,569 |
The accompanying notes are an integral part of the financial statements.
166
MassMutual Select Small Cap Growth Equity Fund | MassMutual Select Diversified International Fund | MM MSCI EAFE International Index Fund | MassMutual Select Overseas Fund | |||||||||||
$ | 561,176,870 | $ | 17,097,586 | $ | 283,456,051 | $ | 623,762,861 | |||||||
2,525,613 | - | 6,290,861 | 6,159,206 | |||||||||||
9,278 | - | - | 22,102 | |||||||||||
|
|
|
|
|
|
|
| |||||||
563,711,761 | 17,097,586 | 289,746,912 | 629,944,169 | |||||||||||
|
|
|
|
|
|
|
| |||||||
12 | 21,424 | 2,895,749 | 47,912 | |||||||||||
6,710,535 | 235,975 | - | 1,995,960 | |||||||||||
- | - | 659,761 | - | |||||||||||
- | 275,195 | 123,825 | 353,197 | |||||||||||
- | 23,339 | 2,351 | - | |||||||||||
280,050 | 53,947 | 701,668 | 285,271 | |||||||||||
- | - | 437,785 | - | |||||||||||
364,056 | 97,418 | 1,254,338 | 2,033,632 | |||||||||||
- | 84,897 | 609,404 | 1,966,743 | |||||||||||
62,418 | 36,785 | 56,636 | 62,750 | |||||||||||
|
|
|
|
|
|
|
| |||||||
571,128,832 | 17,926,566 | 296,488,429 | 636,689,634 | |||||||||||
|
|
|
|
|
|
|
| |||||||
4,627,830 | - | 40,800 | 1,476,409 | |||||||||||
- | 216,385 | 16,267 | 132,828 | |||||||||||
2,112,719 | 279,514 | 782,446 | 1,553,904 | |||||||||||
54,372,407 | - | 7,414,030 | 20,519,438 | |||||||||||
145,067 | 26,742 | 31,541 | 138,607 | |||||||||||
347,491 | 13,964 | 24,508 | 413,242 | |||||||||||
32,575 | 10,317 | 41,943 | 44,997 | |||||||||||
25,050 | 831 | 50,746 | 38,349 | |||||||||||
9,886 | 67 | 8,402 | 13,401 | |||||||||||
1,089 | 216 | 18,599 | 1,205 | |||||||||||
1,083,911 | 182,797 | - | 20,287 | |||||||||||
29,222 | 1,664 | 67,243 | 41,658 | |||||||||||
|
|
|
|
|
|
|
| |||||||
62,787,247 | 732,497 | 8,496,525 | 24,394,325 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 508,341,585 | $ | 17,194,069 | $ | 287,991,904 | $ | 612,295,309 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 451,641,505 | $ | 87,937,810 | $ | 283,675,765 | $ | 612,656,149 | |||||||
(851,046 | ) | 190,180 | 1,386,200 | 530,504 | ||||||||||
(12,067,904 | ) | (73,069,940 | ) | (1,368,132 | ) | (53,842,490 | ) | |||||||
69,619,030 | 2,136,019 | 4,298,071 | 52,951,146 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 508,341,585 | $ | 17,194,069 | $ | 287,991,904 | $ | 612,295,309 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 491,557,724 | $ | 15,013,530 | $ | 279,281,661 | $ | 571,097,053 | |||||||
$ | 2,525,613 | $ | - | $ | 6,290,861 | $ | 6,159,206 | |||||||
$ | 9,278 | $ | - | $ | - | $ | 22,102 | |||||||
$ | 53,105,914 | $ | - | $ | 7,040,231 | $ | 19,535,024 | |||||||
$ | 12 | $ | 21,515 | $ | 2,925,679 | $ | 48,235 |
167
MassMutual Select Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
March 31, 2017 (Unaudited)
MM Russell 2000 Small Cap Index Fund | MassMutual Select Mid Cap Growth Fund | |||||||
Class I shares: | ||||||||
Net assets | $ | 147,485,373 | $ | 2,081,151,694 | ||||
|
|
|
| |||||
Shares outstanding (a) | 11,267,973 | 104,837,733 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 13.09 | $ | 19.85 | ||||
|
|
|
| |||||
Class R5 shares: | ||||||||
Net assets | $ | 12,654,343 | $ | 889,015,596 | ||||
|
|
|
| |||||
Shares outstanding (a) | 967,080 | 45,113,032 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 13.09 | $ | 19.71 | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | 18,704,392 | $ | 222,937,596 | ||||
|
|
|
| |||||
Shares outstanding (a) | 1,439,380 | 11,549,526 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.99 | $ | 19.30 | ||||
|
|
|
| |||||
Administrative Class shares: | ||||||||
Net assets | $ | 46,799,845 | $ | 326,165,032 | ||||
|
|
|
| |||||
Shares outstanding (a) | 3,593,343 | 17,575,619 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 13.02 | $ | 18.56 | ||||
|
|
|
| |||||
Class A shares: | ||||||||
Net assets | $ | 22,731,916 | $ | 274,830,660 | ||||
|
|
|
| |||||
Shares outstanding (a) | 1,754,197 | 15,846,945 | ||||||
|
|
|
| |||||
Net asset value, and redemption price per share | $ | 12.96 | $ | 17.34 | ||||
|
|
|
| |||||
Offering price per share | ||||||||
(100/[100-maximum sales charge] of net asset value) | $ | 13.75 | $ | 18.40 | ||||
|
|
|
| |||||
Class R4 shares: | ||||||||
Net assets | $ | 42,719,005 | $ | 71,929,187 | ||||
|
|
|
| |||||
Shares outstanding (a) | 3,306,744 | 4,130,454 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.92 | $ | 17.41 | ||||
|
|
|
| |||||
Class R3 shares: | ||||||||
Net assets | $ | 35,979,565 | $ | 19,755,848 | ||||
|
|
|
| |||||
Shares outstanding (a) | 2,794,629 | 1,220,751 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.87 | $ | 16.18 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
(b) | Amount is less than $0.05. |
(c) | Amount is less than 0.5. |
(d) | Net Asset value calculations reflect fractional share and dollar amount. |
The accompanying notes are an integral part of the financial statements.
168
MassMutual Select Small Cap Growth Equity Fund | MassMutual Select Diversified International Fund | MM MSCI EAFE International Index Fund | MassMutual Select Overseas Fund | |||||||||||
$ | 287,964,834 | $ | 15,600,321 | $ | 117,775,825 | $ | 333,797,816 | |||||||
|
|
|
|
|
|
|
| |||||||
20,174,394 | 2,344,940 | 9,832,178 | 39,431,589 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 14.27 | $ | 6.65 | $ | 11.98 | $ | 8.47 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 116,217,438 | $ | 0 | (b) | $ | 15,461,817 | $ | 133,765,838 | ||||||
|
|
|
|
|
|
|
| |||||||
8,223,176 | 0 | (c) | 1,291,117 | 15,746,465 | ||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 14.13 | $ | 5.00 | (d) | $ | 11.98 | $ | 8.49 | ||||||
|
|
|
|
|
|
|
| |||||||
$ | 34,494,357 | $ | 104,913 | $ | 23,584,711 | $ | 44,559,005 | |||||||
|
|
|
|
|
|
|
| |||||||
2,559,964 | 15,362 | 1,976,674 | 5,273,351 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 13.47 | $ | 6.83 | $ | 11.93 | $ | 8.45 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 30,062,084 | $ | 208,512 | $ | 43,501,309 | $ | 37,837,767 | |||||||
|
|
|
|
|
|
|
| |||||||
2,355,379 | 30,174 | 3,649,711 | 4,443,016 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 12.76 | $ | 6.91 | $ | 11.92 | $ | 8.52 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 35,247,485 | $ | 255,399 | $ | 16,136,073 | $ | 53,604,129 | |||||||
|
|
|
|
|
|
|
| |||||||
3,046,098 | 38,512 | 1,356,196 | 6,426,545 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 11.57 | $ | 6.63 | $ | 11.90 | $ | 8.34 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 12.28 | $ | 7.03 | $ | 12.63 | $ | 8.85 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 2,579,084 | $ | 665,650 | $ | 39,784,552 | $ | 6,798,524 | |||||||
|
|
|
|
|
|
|
| |||||||
221,977 | 100,887 | 3,360,768 | 828,031 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 11.62 | $ | 6.60 | $ | 11.84 | $ | 8.21 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 1,776,303 | $ | 359,274 | $ | 31,747,617 | $ | 1,932,230 | |||||||
|
|
|
|
|
|
|
| |||||||
170,274 | 54,638 | 2,687,921 | 233,223 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.43 | $ | 6.58 | $ | 11.81 | $ | 8.28 | |||||||
|
|
|
|
|
|
|
|
169
MassMutual Select Funds – Financial Statements (Continued)
For the Six Months Ended March 31, 2017 (Unaudited)
MassMutual Select Total Return Bond Fund | MassMutual Select Strategic Bond Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends (a) | $ | - | $ | 5,587 | ||||
Interest | 11,554,487 | 5,446,873 | ||||||
Securities lending net income | - | - | ||||||
|
|
|
| |||||
Total investment income | 11,554,487 | 5,452,460 | ||||||
|
|
|
| |||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 1,445,481 | 688,647 | ||||||
Custody fees | 47,588 | 72,376 | ||||||
Audit fees | 37,583 | 24,662 | ||||||
Legal fees | 5,763 | 1,455 | ||||||
Accounting & Administration fees | 40,180 | 23,804 | ||||||
Proxy fees | 490 | 489 | ||||||
Shareholder reporting fees | 19,263 | 9,916 | ||||||
Trustees’ fees | 29,474 | 8,167 | ||||||
Registration and filing fees | 43,166 | 41,689 | ||||||
Transfer agent fees | 1,496 | 1,496 | ||||||
|
|
|
| |||||
1,670,484 | 872,701 | |||||||
Administration fees: | ||||||||
Class R5 | 54,901 | 32,229 | ||||||
Service Class | 126,969 | 32,733 | ||||||
Administrative Class | 51,587 | 37,870 | ||||||
Class A | 2,351 | 33,503 | ||||||
Class R4 | 261,182 | 31,230 | ||||||
Class R3 | 43,773 | 8,196 | ||||||
Distribution fees: | ||||||||
Class R3 | 54,716 | 10,244 | ||||||
Distribution and Service fees: | ||||||||
Class A | 3,918 | 55,838 | ||||||
Class R4 | 326,478 | 39,037 | ||||||
Class R3 | 54,716 | 10,245 | ||||||
Shareholder service fees: | ||||||||
Service Class | 42,323 | 10,911 | ||||||
Administrative Class | 51,587 | 37,870 | ||||||
Class A | 2,351 | 33,503 | ||||||
|
|
|
| |||||
Total expenses | 2,747,336 | 1,246,110 | ||||||
Expenses waived: | ||||||||
Class I fees reimbursed by adviser | - | (18,404 | ) | |||||
Class R5 fees reimbursed by adviser | - | (12,457 | ) | |||||
Service Class fees reimbursed by adviser | - | (8,423 | ) | |||||
Administrative Class fees reimbursed by adviser | - | (9,711 | ) | |||||
Class A fees reimbursed by adviser | - | (8,651 | ) | |||||
Class R4 fees reimbursed by adviser | - | (5,843 | ) | |||||
Class R3 fees reimbursed by adviser | - | (1,549 | ) | |||||
|
|
|
| |||||
Net expenses | 2,747,336 | 1,181,072 | ||||||
|
|
|
| |||||
Net investment income (loss) | 8,807,151 | 4,271,388 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
170
MassMutual Select Diversified Value Fund | MassMutual Select Fundamental Value Fund | MassMutual Select Large Cap Value Fund | MM S&P 500 Index Fund | MassMutual Select Equity Opportunities Fund | ||||||||||||||
$ | 4,199,471 | $ | 16,065,965 | $ | 2,580,473 | $ | 40,059,797 | $ | 10,766,051 | |||||||||
381 | 1,280 | 316 | 5,911 | 2,866 | ||||||||||||||
- | - | 8,247 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
4,199,852 | 16,067,245 | 2,589,036 | 40,065,708 | 10,768,917 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
889,300 | 3,781,293 | 551,851 | 1,723,929 | 2,553,034 | ||||||||||||||
21,883 | 51,938 | 10,700 | 131,605 | 27,253 | ||||||||||||||
17,602 | 17,791 | 17,768 | 19,329 | 17,948 | ||||||||||||||
1,692 | 6,275 | 1,014 | 17,584 | 3,921 | ||||||||||||||
23,800 | 44,510 | 20,571 | 100,170 | 33,166 | ||||||||||||||
490 | 490 | 490 | 489 | 490 | ||||||||||||||
7,937 | 19,929 | 6,554 | 66,885 | 14,042 | ||||||||||||||
9,109 | 33,881 | 6,165 | 96,559 | 20,675 | ||||||||||||||
42,958 | 43,395 | 41,510 | 44,347 | 43,452 | ||||||||||||||
1,496 | 1,496 | 1,496 | 1,495 | 1,496 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,016,267 | 4,000,998 | 658,119 | 2,202,392 | 2,715,477 | ||||||||||||||
24,042 | 193,696 | 46,742 | 385,170 | 105,485 | ||||||||||||||
8,388 | 73,350 | 2,410 | 512,406 | 52,912 | ||||||||||||||
5,413 | 71,362 | 8,925 | 517,953 | 66,125 | ||||||||||||||
13,928 | 105,973 | 19,784 | 23,541 | 96,014 | ||||||||||||||
849 | 12,475 | 450 | 798,750 | 8,041 | ||||||||||||||
1,791 | 1,932 | 53 | 137,691 | 3,886 | ||||||||||||||
2,238 | 2,415 | 66 | 137,691 | 4,857 | ||||||||||||||
23,213 | 176,621 | 32,973 | 29,426 | 160,023 | ||||||||||||||
1,061 | 15,594 | 563 | 798,750 | 10,051 | ||||||||||||||
2,238 | 2,415 | 66 | 137,691 | 4,858 | ||||||||||||||
2,796 | 24,450 | 803 | 128,102 | 17,637 | ||||||||||||||
5,413 | 71,362 | 8,925 | 388,465 | 66,125 | ||||||||||||||
13,928 | 105,973 | 19,784 | 17,655 | 96,014 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,121,565 | 4,858,616 | 799,663 | 6,215,683 | 3,407,505 | ||||||||||||||
- | - | (20,775 | ) | - | - | |||||||||||||
- | - | (39,939 | ) | - | - | |||||||||||||
- | - | (1,374 | ) | - | - | |||||||||||||
- | - | (5,081 | ) | - | - | |||||||||||||
- | - | (11,288 | ) | - | - | |||||||||||||
- | - | (194 | ) | - | - | |||||||||||||
- | - | (23 | ) | - | - | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,121,565 | 4,858,616 | 720,989 | 6,215,683 | 3,407,505 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
3,078,287 | 11,208,629 | 1,868,047 | 33,850,025 | 7,361,412 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
171
MassMutual Select Funds – Financial Statements (Continued)
Statements of Operations (Continued)
For the Six Months Ended March 31, 2017 (Unaudited)
MassMutual Select Total Return Bond Fund | MassMutual Select Strategic Bond Fund | |||||||
Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | (17,596,609 | ) | $ | (3,282,858 | ) | ||
Futures contracts | (2,109,520 | ) | (1,894,492 | ) | ||||
Written options | - | 421,423 | ||||||
Swap agreements | - | (113,873 | ) | |||||
Foreign currency transactions | 4,155,389 | 651,311 | ||||||
|
|
|
| |||||
Net realized gain (loss) | (15,550,740 | ) | (4,218,489 | ) | ||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | (10,915,579 | ) | (4,650,405 | ) | ||||
Futures contracts | 231,157 | 419,277 | ||||||
Written options | - | 38,888 | ||||||
Swap agreements | - | 2,151,635 | ||||||
Translation of assets and liabilities in foreign currencies | (852,014 | ) | (128,366 | ) | ||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | (11,536,436 | ) | (2,168,971 | ) | ||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | (27,087,176 | ) | (6,387,460 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | (18,280,025 | ) | $ | (2,116,072 | ) | ||
|
|
|
| |||||
(a) Net of foreign withholding tax of: | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
172
MassMutual Select Diversified Value Fund | MassMutual Select Fundamental Value Fund | MassMutual Select Large Cap Value Fund | MM S&P 500 Index Fund | MassMutual Select Equity Opportunities Fund | ||||||||||||||
$ | 5,687,669 | $ | 51,531,947 | $ | 4,953,452 | $ | 87,032,301 | $ | 195,117,669 | |||||||||
- | - | - | 3,274,422 | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | (743 | ) | (11,457 | ) | - | 64,257 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
5,687,669 | 51,531,204 | 4,941,995 | 90,306,723 | 195,181,926 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
31,721,119 | 54,652,383 | 12,771,022 | 225,516,735 | (88,267,468 | ) | |||||||||||||
- | - | - | (247,464 | ) | - | |||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | (4,209 | ) | 5,157 | - | - | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
31,721,119 | 54,648,174 | 12,776,179 | 225,269,271 | (88,267,468 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
37,408,788 | 106,179,378 | 17,718,174 | 315,575,994 | 106,914,458 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 40,487,075 | $ | 117,388,007 | $ | 19,586,221 | $ | 349,426,019 | $ | 114,275,870 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10,312 | $ | 129,390 | $ | 14,019 | $ | - | $ | - |
173
MassMutual Select Funds – Financial Statements (Continued)
Statements of Operations
For the Six Months Ended March 31, 2017 (Unaudited)
MassMutual Select Fundamental Growth Fund | MassMutual Select Blue Chip Growth Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends (a) | $ | 901,688 | $ | 8,732,260 | ||||
Interest | 229 | 2,467 | ||||||
Securities lending net income | 1,820 | - | ||||||
|
|
|
| |||||
Total investment income | 903,737 | 8,734,727 | ||||||
|
|
|
| |||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 365,640 | 5,129,318 | ||||||
Custody fees | 21,793 | 72,552 | ||||||
Audit fees | 18,218 | 18,190 | ||||||
Legal fees | 650 | 7,338 | ||||||
Accounting & Administration fees | 22,426 | 50,487 | ||||||
Proxy fees | 489 | 490 | ||||||
Shareholder reporting fees | 5,136 | 22,456 | ||||||
Trustees’ fees | 3,348 | 40,393 | ||||||
Registration and filing fees | 41,339 | 47,296 | ||||||
Transfer agent fees | 1,495 | 1,496 | ||||||
|
|
|
| |||||
480,534 | 5,390,016 | |||||||
Administration fees: | ||||||||
Class R5 | 11,023 | 184,367 | ||||||
Service Class | 5,073 | 122,002 | ||||||
Administrative Class | 7,498 | 175,066 | ||||||
Class A | 11,513 | 114,304 | ||||||
Class R4 | 1,556 | 49,618 | ||||||
Class R3 | 1,585 | 26,517 | ||||||
Distribution fees: | ||||||||
Class R3 | 1,981 | 33,146 | ||||||
Distribution and Service fees: | ||||||||
Class A | 19,188 | 190,507 | ||||||
Class R4 | 1,945 | 62,022 | ||||||
Class R3 | 1,981 | 33,146 | ||||||
Shareholder service fees: | ||||||||
Service Class | 1,691 | 40,667 | ||||||
Administrative Class | 7,498 | 175,066 | ||||||
Class A | 11,513 | 114,304 | ||||||
|
|
|
| |||||
Total expenses | 564,579 | 6,710,748 | ||||||
Expenses waived: | ||||||||
Class I fees reimbursed by adviser | (42,604 | ) | - | |||||
Class R5 fees reimbursed by adviser | (16,991 | ) | - | |||||
Service Class fees reimbursed by adviser | (5,232 | ) | - | |||||
Administrative Class fees reimbursed by adviser | (7,707 | ) | - | |||||
Class A fees reimbursed by adviser | (11,830 | ) | - | |||||
Class R4 fees reimbursed by adviser | (1,192 | ) | - | |||||
Class R3 fees reimbursed by adviser | (1,215 | ) | - | |||||
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 | 477,808 | 6,710,748 | ||||||
|
|
|
| |||||
Net investment income (loss) | 425,929 | 2,023,979 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
174
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 | ||||||||||||||
$ | 2,186,783 | $ | 1,619,368 | $ | 1,598,261 | $ | 2,892,221 | $ | 2,735,113 | |||||||||
- | 212 | 1,653 | 1,157 | 1,667 | ||||||||||||||
75,101 | - | - | 33,475 | 27,626 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,261,884 | 1,619,580 | 1,599,914 | 2,926,853 | 2,764,406 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,868,083 | 418,477 | 748,945 | 1,282,496 | 161,090 | ||||||||||||||
40,175 | 26,050 | 11,792 | 25,356 | 33,629 | ||||||||||||||
17,987 | 18,564 | 17,764 | 17,481 | 15,587 | ||||||||||||||
4,607 | 563 | 901 | 1,462 | 1,547 | ||||||||||||||
35,991 | 23,643 | 20,427 | 23,148 | 24,189 | ||||||||||||||
490 | 489 | 490 | 489 | 490 | ||||||||||||||
16,764 | 4,737 | 6,098 | 7,739 | 23,477 | ||||||||||||||
24,409 | 3,007 | 4,994 | 7,896 | 8,282 | ||||||||||||||
43,433 | 42,089 | 40,886 | 41,513 | 41,801 | ||||||||||||||
1,496 | 1,495 | 1,496 | 1,495 | 1,496 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
3,053,435 | 539,114 | 853,793 | 1,409,075 | 311,588 | ||||||||||||||
89,178 | 3,908 | 23,763 | 56,457 | 12,585 | ||||||||||||||
100,220 | 1,592 | 5,934 | 11,023 | 25,993 | ||||||||||||||
64,032 | 561 | 5,650 | 12,283 | 61,570 | ||||||||||||||
68,130 | 1,428 | 7,246 | 18,650 | 41,541 | ||||||||||||||
7,298 | 125 | 1,748 | 431 | 54,512 | ||||||||||||||
855 | 136 | 550 | 98 | 49,047 | ||||||||||||||
1,068 | 170 | 687 | 122 | 49,047 | ||||||||||||||
113,550 | 2,380 | 12,077 | 31,083 | 51,926 | ||||||||||||||
9,123 | 156 | 2,185 | 539 | 54,512 | ||||||||||||||
1,068 | 170 | 687 | 122 | 49,047 | ||||||||||||||
33,407 | 531 | 1,978 | 3,674 | 6,498 | ||||||||||||||
64,032 | 561 | 5,650 | 12,283 | 46,178 | ||||||||||||||
68,130 | 1,428 | 7,246 | 18,650 | 31,156 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
3,673,526 | 552,260 | 929,194 | 1,574,490 | 845,200 | ||||||||||||||
- | (54,247 | ) | (34,313 | ) | - | - | ||||||||||||
- | (4,022 | ) | (13,068 | ) | - | - | ||||||||||||
- | (1,090 | ) | (2,176 | ) | - | - | ||||||||||||
- | (384 | ) | (2,071 | ) | - | - | ||||||||||||
- | (977 | ) | (2,657 | ) | - | - | ||||||||||||
- | (64 | ) | (481 | ) | - | - | ||||||||||||
- | (71 | ) | (151 | ) | - | - | ||||||||||||
- | - | - | (13,243 | ) | - | |||||||||||||
- | - | - | (11,289 | ) | - | |||||||||||||
- | - | - | (1,468 | ) | - | |||||||||||||
- | - | - | (1,637 | ) | - | |||||||||||||
- | - | - | (2,486 | ) | - | |||||||||||||
- | - | - | (43 | ) | - | |||||||||||||
- | - | - | (10 | ) | - | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
3,673,526 | 491,405 | 874,277 | 1,544,314 | 845,200 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(1,411,642 | ) | 1,128,175 | 725,637 | 1,382,539 | 1,919,206 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
175
MassMutual Select Funds – Financial Statements (Continued)
Statements of Operations (Continued)
For the Six Months Ended March 31, 2017 (Unaudited)
MassMutual Select Fundamental Growth Fund | MassMutual Select Blue Chip Growth Fund | |||||||
Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | 3,402,208 | $ | 33,807,780 | ||||
Futures contracts | - | - | ||||||
Foreign currency transactions | 58 | 224 | ||||||
|
|
|
| |||||
Net realized gain (loss) | 3,402,266 | 33,808,004 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | 5,951,772 | 96,562,668 | ||||||
Futures contracts | - | - | ||||||
Translation of assets and liabilities in foreign currencies | (2 | ) | (157 | ) | ||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | 5,951,770 | 96,562,511 | ||||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 9,354,036 | 130,370,515 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | 9,779,965 | $ | 132,394,494 | ||||
|
|
|
| |||||
(a) Net of foreign withholding tax of: | $ | - | $ | 134,144 |
The accompanying notes are an integral part of the financial statements.
176
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 | ||||||||||||||
$ | 39,103,904 | $ | 7,704,956 | $ | 13,185,833 | $ | 22,633,708 | $ | 4,764,369 | |||||||||
- | - | - | 220,351 | 709,377 | ||||||||||||||
- | 60,399 | (988 | ) | - | - | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
39,103,904 | 7,765,355 | 13,184,845 | 22,854,059 | 5,473,746 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(7,950,764 | ) | 3,942,590 | 10,124,524 | 13,101,097 | 27,113,287 | |||||||||||||
- | - | - | (19,261 | ) | 57,292 | |||||||||||||
- | 19,678 | 13 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(7,950,764 | ) | 3,962,268 | 10,124,537 | 13,081,836 | 27,170,579 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
31,153,140 | 11,727,623 | 23,309,382 | 35,935,895 | 32,644,325 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 29,741,498 | $ | 12,855,798 | $ | 24,035,019 | $ | 37,318,434 | $ | 34,563,531 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | - | $ | 3,171 | $ | - | $ | 3,053 | $ | - |
177
MassMutual Select Funds – Financial Statements (Continued)
Statements of Operations
For the Six Months Ended March 31, 2017 (Unaudited)
MM Russell 2000 Small Cap Index Fund | MassMutual Select Mid Cap Growth Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends (a) | $ | 2,491,999 | $ | 13,228,688 | ||||
Interest | 1,978 | 79,651 | ||||||
Securities lending net income | 254,417 | 387,355 | ||||||
|
|
|
| |||||
Total investment income | 2,748,394 | 13,695,694 | ||||||
|
|
|
| |||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 149,995 | 12,303,059 | ||||||
Custody fees | 55,566 | 133,717 | ||||||
Audit fees | 15,580 | 18,709 | ||||||
Legal fees | 1,371 | 14,343 | ||||||
Accounting & Administration fees | 23,363 | 90,073 | ||||||
Proxy fees | 489 | 490 | ||||||
Shareholder reporting fees | 19,264 | 54,617 | ||||||
Trustees’ fees | 7,548 | 82,629 | ||||||
Registration and filing fees | 41,800 | 70,382 | ||||||
Transfer agent fees | 1,495 | 1,495 | ||||||
|
|
|
| |||||
316,471 | 12,769,514 | |||||||
Administration fees: | ||||||||
Class R5 | 7,753 | 386,556 | ||||||
Service Class | 16,932 | 170,851 | ||||||
Administrative Class | 46,314 | 244,517 | ||||||
Class A | 21,554 | 205,995 | ||||||
Class R4 | 43,968 | 63,026 | ||||||
Class R3 | 34,285 | 16,904 | ||||||
Distribution fees: | ||||||||
Class R3 | 34,285 | 21,130 | ||||||
Distribution and Service fees: | ||||||||
Class A | 26,943 | 343,325 | ||||||
Class R4 | 43,968 | 78,783 | ||||||
Class R3 | 34,285 | 21,130 | ||||||
Shareholder service fees: | ||||||||
Service Class | 4,233 | 56,950 | ||||||
Administrative Class | 34,735 | 244,517 | ||||||
Class A | 16,166 | 205,995 | ||||||
|
|
|
| |||||
Total expenses | 681,892 | 14,829,193 | ||||||
Expenses waived: | ||||||||
Class I fees reimbursed by adviser | (7,523 | ) | - | |||||
Class R5 fees reimbursed by adviser | (753 | ) | - | |||||
Service Class fees reimbursed by adviser | (936 | ) | - | |||||
Administrative Class fees reimbursed by adviser | (2,458 | ) | - | |||||
Class A fees reimbursed by adviser | (1,176 | ) | - | |||||
Class R4 fees reimbursed by adviser | (2,009 | ) | - | |||||
Class R3 fees reimbursed by adviser | (1,627 | ) | - | |||||
|
|
|
| |||||
Net expenses | 665,410 | 14,829,193 | ||||||
|
|
|
| |||||
Net investment income (loss) | 2,082,984 | (1,133,499 | ) | |||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
178
MassMutual Select Small Cap Growth Equity Fund | MassMutual Select Diversified International Fund | MM MSCI EAFE International Index Fund | MassMutual Select Overseas Fund | |||||||||||
$ | 2,261,426 | $ | 349,836 | $ | 3,129,101 | $ | 5,217,927 | |||||||
707 | 104 | - | 1,791 | |||||||||||
96,607 | 3,269 | 24,694 | 69,835 | |||||||||||
|
|
|
|
|
|
|
| |||||||
2,358,740 | 353,209 | 3,153,795 | 5,289,553 | |||||||||||
|
|
|
|
|
|
|
| |||||||
2,001,727 | 139,149 | 128,959 | 2,450,144 | |||||||||||
40,246 | 27,136 | 138,979 | 262,270 | |||||||||||
18,674 | 7,584 | 16,271 | 23,915 | |||||||||||
2,401 | 266 | 1,963 | 3,217 | |||||||||||
27,265 | 30,698 | 29,659 | 44,326 | |||||||||||
489 | 718 | 489 | 490 | |||||||||||
11,834 | 4,527 | 32,985 | 11,921 | |||||||||||
13,373 | 766 | 9,760 | 17,231 | |||||||||||
42,552 | 65,782 | 42,299 | 42,630 | |||||||||||
1,495 | 1,544 | 1,496 | 1,496 | |||||||||||
|
|
|
|
|
|
|
| |||||||
2,160,056 | 278,170 | 402,860 | 2,857,640 | |||||||||||
60,212 | - | 11,852 | 68,086 | |||||||||||
25,514 | 124 | 18,600 | 41,818 | |||||||||||
21,825 | 146 | 40,172 | 27,745 | |||||||||||
27,319 | 199 | 14,492 | 40,735 | |||||||||||
2,107 | 919 | 39,662 | 6,669 | |||||||||||
1,601 | 309 | 34,771 | 1,924 | |||||||||||
2,001 | 386 | 34,771 | 2,405 | |||||||||||
45,532 | 332 | 18,115 | 67,892 | |||||||||||
2,634 | 1,148 | 39,662 | 8,337 | |||||||||||
2,001 | 386 | 34,771 | 2,405 | |||||||||||
8,505 | 41 | 4,650 | 13,939 | |||||||||||
21,825 | 146 | 30,129 | 27,745 | |||||||||||
27,319 | 199 | 10,869 | 40,735 | |||||||||||
|
|
|
|
|
|
|
| |||||||
2,408,451 | 282,505 | 735,376 | 3,208,075 | |||||||||||
- | (115,118 | ) | (31,453 | ) | - | |||||||||
- | - | (7,623 | ) | - | ||||||||||
- | (574 | ) | (5,757 | ) | - | |||||||||
- | (685 | ) | (12,583 | ) | - | |||||||||
- | (932 | ) | (4,526 | ) | - | |||||||||
- | (3,230 | ) | (9,838 | ) | - | |||||||||
- | (1,088 | ) | (8,683 | ) | - | |||||||||
|
|
|
|
|
|
|
| |||||||
2,408,451 | 160,878 | 654,913 | 3,208,075 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(49,711 | ) | 192,331 | 2,498,882 | 2,081,478 | ||||||||||
|
|
|
|
|
|
|
|
179
MassMutual Select Funds – Financial Statements (Continued)
Statements of Operations (Continued)
For the Six Months Ended March 31, 2017 (Unaudited)
MM Russell 2000 Small Cap Index Fund | MassMutual Select Mid Cap Growth Fund | |||||||
Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | 2,510,272 | $ | 148,381,096 | ||||
Futures contracts | 679,417 | - | ||||||
Foreign currency transactions | - | (3,070 | ) | |||||
|
|
|
| |||||
Net realized gain (loss) | 3,189,689 | 148,378,026 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | 26,660,351 | 145,468,729 | ||||||
Futures contracts | 121,793 | - | ||||||
Translation of assets and liabilities in foreign currencies | 14 | 49 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | 26,782,158 | 145,468,778 | ||||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 29,971,847 | 293,846,804 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | 32,054,831 | $ | 292,713,305 | ||||
|
|
|
| |||||
(a) Net of foreign withholding tax of: | $ | 309 | $ | 65,582 |
The accompanying notes are an integral part of the financial statements.
180
MassMutual Select Small Cap Growth Equity Fund | MassMutual Select Diversified International Fund | MM MSCI EAFE International Index Fund | MassMutual Select Overseas Fund | |||||||||||
$ | 23,752,553 | $ | 1,717,598 | $ | (416,578 | ) | $ | 11,551,499 | ||||||
- | 31,436 | 711,896 | - | |||||||||||
(179 | ) | (114,383 | ) | (193,877 | ) | 246,056 | ||||||||
|
|
|
|
|
|
|
| |||||||
23,752,374 | 1,634,651 | 101,441 | 11,797,555 | |||||||||||
|
|
|
|
|
|
|
| |||||||
20,844,097 | 1,532,772 | 14,176,022 | 42,339,264 | |||||||||||
- | - | 12,263 | - | |||||||||||
2,501 | 161,238 | 29,388 | 189,843 | |||||||||||
|
|
|
|
|
|
|
| |||||||
20,846,598 | 1,694,010 | 14,217,673 | 42,529,107 | |||||||||||
|
|
|
|
|
|
|
| |||||||
44,598,972 | 3,328,661 | 14,319,114 | 54,326,662 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 44,549,261 | $ | 3,520,992 | $ | 16,817,996 | $ | 56,408,140 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 5,666 | $ | 40,749 | $ | 241,881 | $ | 546,468 |
181
MassMutual Select Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Select Total Return Bond Fund | ||||||||
Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 8,807,151 | $ | 21,825,619 | ||||
Net realized gain (loss) on investment transactions | (15,550,740 | ) | 24,361,826 | |||||
Net change in unrealized appreciation (depreciation) on investments | (11,536,436 | ) | 8,713,277 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (18,280,025 | ) | 54,900,722 | |||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (7,870,907 | ) | (11,646,083 | ) | ||||
Class R5 | (2,790,251 | ) | (3,418,949 | ) | ||||
Service Class | (4,551,240 | ) | (3,911,860 | ) | ||||
Administrative Class | (1,532,748 | ) | (1,554,924 | ) | ||||
Class A | (58,288 | ) | (38,056 | ) | ||||
Class R4 | (5,371,025 | ) | (5,515,962 | ) | ||||
Class R3 | (859,047 | ) | (706,660 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (23,033,506 | ) | (26,792,494 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | (6,338,533 | ) | (1,469,754 | ) | ||||
Class R5 | (2,343,175 | ) | (450,926 | ) | ||||
Service Class | (3,991,039 | ) | (556,725 | ) | ||||
Administrative Class | (1,437,368 | ) | (228,916 | ) | ||||
Class A | (56,887 | ) | (5,815 | ) | ||||
Class R4 | (5,414,502 | ) | (894,237 | ) | ||||
Class R3 | (950,202 | ) | (132,231 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | (20,531,706 | ) | (3,738,604 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 40,552,533 | (235,816,450 | ) | |||||
Class R5 | (11,015,441 | ) | (52,955,915 | ) | ||||
Service Class | (31,410,281 | ) | (21,335,015 | ) | ||||
Administrative Class | (13,738,311 | ) | (11,055,342 | ) | ||||
Class A | 2,917,782 | (114,239 | ) | |||||
Class R4 | (38,932,158 | ) | (49,120,848 | ) | ||||
Class R3 | (2,082,204 | ) | (3,958,860 | ) | ||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (53,708,080 | ) | (374,356,669 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (115,553,317 | ) | (349,987,045 | ) | ||||
Net assets | ||||||||
Beginning of period | 1,037,386,422 | 1,387,373,467 | ||||||
|
|
|
| |||||
End of period | $ | 921,833,105 | $ | 1,037,386,422 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of period | $ | 2,343,746 | $ | 16,570,101 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
182
MassMutual Select Strategic Bond Fund | MassMutual Select Diversified Value Fund | |||||||||||||
Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | |||||||||||
$ | 4,271,388 | $ | 7,722,270 | $ | 3,078,287 | $ | 6,547,600 | |||||||
(4,218,489 | ) | 4,178,805 | 5,687,669 | 18,374,032 | ||||||||||
(2,168,971 | ) | 9,755,185 | 31,721,119 | 10,747,274 | ||||||||||
|
|
|
|
|
|
|
| |||||||
(2,116,072 | ) | 21,656,260 | 40,487,075 | 35,668,906 | ||||||||||
|
|
|
|
|
|
|
| |||||||
(2,344,902 | ) | (2,104,352 | ) | (5,970,065 | ) | (1,221,667 | ) | |||||||
(1,674,523 | ) | (1,461,955 | ) | (1,008,254 | ) | (3,009,308 | ) | |||||||
(1,022,505 | ) | (1,803,081 | ) | (191,402 | ) | (202,722 | ) | |||||||
(1,301,956 | ) | (885,218 | ) | (140,076 | ) | (66,927 | ) | |||||||
(969,840 | ) | (1,037,539 | ) | (328,272 | ) | (182,440 | ) | |||||||
(638,914 | ) | (431,509 | ) | (17,038 | ) | (3,318 | ) | |||||||
(178,876 | ) | (79,005 | ) | (30,235 | ) | (6,062 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(8,131,516 | ) | (7,802,659 | ) | (7,685,342 | ) | (4,692,444 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
- | - | (10,642,888 | ) | - | ||||||||||
- | - | (1,966,043 | ) | - | ||||||||||
- | - | (379,991 | ) | - | ||||||||||
- | - | (283,231 | ) | - | ||||||||||
- | - | (776,599 | ) | - | ||||||||||
- | - | (34,820 | ) | - | ||||||||||
- | - | (72,108 | ) | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
- | - | (14,155,680 | ) | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
19,393,047 | 26,883,805 | 20,704,516 | 156,999,625 | |||||||||||
8,669,258 | 8,225,778 | (2,889,390 | ) | (169,039,194 | ) | |||||||||
2,056,279 | (14,119,240 | ) | 3,613,057 | (7,265,323 | ) | |||||||||
19,545,206 | 4,259,419 | 336,281 | 141,729 | |||||||||||
3,010,974 | 3,359,709 | (3,261,850 | ) | (2,749,576 | ) | |||||||||
13,687,691 | 10,536,190 | 204,649 | 386,731 | |||||||||||
4,957,133 | 2,584,298 | 172,288 | 1,281,814 | |||||||||||
|
|
|
|
|
|
|
| |||||||
71,319,588 | 41,729,959 | 18,879,551 | (20,244,194 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||
61,072,000 | 55,583,560 | 37,525,604 | 10,732,268 | |||||||||||
329,575,652 | 273,992,092 | 336,385,668 | 325,653,400 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 390,647,652 | $ | 329,575,652 | $ | 373,911,272 | $ | 336,385,668 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 1,823,002 | $ | 5,683,130 | $ | 1,433,052 | $ | 6,040,107 | |||||||
|
|
|
|
|
|
|
|
183
MassMutual Select Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Select Fundamental Value Fund | ||||||||
Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 11,208,629 | $ | 24,377,259 | ||||
Net realized gain (loss) on investment transactions | 51,531,204 | 91,082,311 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 54,648,174 | 40,933,427 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 117,388,007 | 156,392,997 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (9,855,438 | ) | (7,875,862 | ) | ||||
Class R5 | (7,072,572 | ) | (7,188,189 | ) | ||||
Service Class | (1,997,608 | ) | (2,845,064 | ) | ||||
Administrative Class | (1,544,955 | ) | (1,461,869 | ) | ||||
Class A | (1,894,919 | ) | (2,038,495 | ) | ||||
Class R4 | (211,075 | ) | (31,688 | ) | ||||
Class R3 | (20,350 | ) | (15,751 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (22,596,917 | ) | (21,456,918 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | (38,389,049 | ) | (46,281,071 | ) | ||||
Class R5 | (29,024,045 | ) | (45,087,536 | ) | ||||
Service Class | (8,811,764 | ) | (18,900,526 | ) | ||||
Administrative Class | (7,133,227 | ) | (10,620,613 | ) | ||||
Class A | (10,854,286 | ) | (18,164,880 | ) | ||||
Class R4 | (911,229 | ) | (207,995 | ) | ||||
Class R3 | (116,872 | ) | (134,185 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | (95,240,472 | ) | (139,396,806 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 64,693,090 | 73,865,163 | ||||||
Class R5 | 7,453,768 | (45,890,943 | ) | |||||
Service Class | (52,902,873 | ) | (30,347,984 | ) | ||||
Administrative Class | 1,447,901 | (8,822,833 | ) | |||||
Class A | (31,912,715 | ) | (9,067,584 | ) | ||||
Class R4 | 7,009,256 | 5,055,023 | ||||||
Class R3 | 1,206,868 | 633,158 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (3,004,705 | ) | (14,576,000 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (3,454,087 | ) | (19,036,727 | ) | ||||
Net assets | ||||||||
Beginning of period | 1,260,982,312 | 1,280,019,039 | ||||||
|
|
|
| |||||
End of period | $ | 1,257,528,225 | $ | 1,260,982,312 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of period | $ | 6,160,571 | $ | 17,548,859 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
184
MassMutual Select Large Cap Value Fund | MM S&P 500 Index Fund | |||||||||||||
Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | |||||||||||
$ | 1,868,047 | $ | 4,696,991 | $ | 33,850,025 | $ | 66,405,972 | |||||||
4,941,995 | 3,819,824 | 90,306,723 | 161,179,547 | |||||||||||
12,776,179 | 14,368,591 | 225,269,271 | 281,344,380 | |||||||||||
|
|
|
|
|
|
|
| |||||||
19,586,221 | 22,885,406 | 349,426,019 | 508,929,899 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(1,251,972 | ) | (1,880,949 | ) | (24,363,216 | ) | (18,438,367 | ) | |||||||
(2,283,380 | ) | (3,041,190 | ) | (15,781,529 | ) | (15,778,015 | ) | |||||||
(62,604 | ) | (252,981 | ) | (9,787,077 | ) | (11,265,838 | ) | |||||||
(265,851 | ) | (351,071 | ) | (9,966,910 | ) | (7,628,821 | ) | |||||||
(534,166 | ) | (696,660 | ) | (387,481 | ) | (258,430 | ) | |||||||
(11,039 | ) | (2,353 | ) | (11,520,027 | ) | (8,581,094 | ) | |||||||
(961 | ) | (1,566 | ) | (1,872,385 | ) | (699,099 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(4,409,973 | ) | (6,226,770 | ) | (73,678,625 | ) | (62,649,664 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(2,356,756 | ) | (7,537,007 | ) | (43,393,769 | ) | (18,281,037 | ) | |||||||
(4,476,714 | ) | (12,769,934 | ) | (29,559,075 | ) | (16,602,756 | ) | |||||||
(139,223 | ) | (1,097,808 | ) | (20,021,105 | ) | (12,897,031 | ) | |||||||
(570,228 | ) | (1,644,212 | ) | (20,808,952 | ) | (9,439,887 | ) | |||||||
(1,296,759 | ) | (3,694,184 | ) | (916,829 | ) | (311,663 | ) | |||||||
(22,198 | ) | (11,207 | ) | (25,888,389 | ) | (11,345,262 | ) | |||||||
(2,632 | ) | (8,711 | ) | (4,376,517 | ) | (838,040 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(8,864,510 | ) | (26,763,063 | ) | (144,964,636 | ) | (69,715,676 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
805,165 | (8,414,998 | ) | 55,460,053 | 116,191,743 | ||||||||||
5,083,843 | (29,386,141 | ) | (157,233,038 | ) | (129,531,451 | ) | ||||||||
(1,202,720 | ) | (4,694,547 | ) | 11,957,991 | (203,718,872 | ) | ||||||||
771,315 | (3,819,323 | ) | 16,429,290 | (40,134,859 | ) | |||||||||
(1,773,150 | ) | (5,649,322 | ) | 4,049,097 | 7,402,371 | |||||||||
398,969 | (86 | ) | 1,628,729 | 37,518,315 | ||||||||||
(3,705 | ) | (25,147 | ) | 38,718,236 | 64,356,578 | |||||||||
|
|
|
|
|
|
|
| |||||||
4,079,717 | (51,989,564 | ) | (28,989,642 | ) | (147,916,175 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
10,391,455 | (62,093,991 | ) | 101,793,116 | 228,648,384 | ||||||||||
180,292,854 | 242,386,845 | 3,662,559,263 | 3,433,910,879 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 190,684,309 | $ | 180,292,854 | $ | 3,764,352,379 | $ | 3,662,559,263 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 672,515 | $ | 3,214,441 | $ | 15,066,326 | $ | 54,894,926 | |||||||
|
|
|
|
|
|
|
|
185
MassMutual Select Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Select Equity Opportunities Fund | ||||||||
Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 7,361,412 | $ | 9,762,180 | ||||
Net realized gain (loss) on investment transactions | 195,181,926 | 21,331,073 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (88,267,468 | ) | 68,738,687 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 114,275,870 | 99,831,940 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (3,086,365 | ) | (4,096,929 | ) | ||||
Class R5 | (2,663,772 | ) | (3,911,958 | ) | ||||
Service Class | (833,175 | ) | (1,222,029 | ) | ||||
Administrative Class | (940,019 | ) | (1,453,204 | ) | ||||
Class A | (991,150 | ) | (2,357,730 | ) | ||||
Class R4 | (96,161 | ) | (64,180 | ) | ||||
Class R3 | (37,120 | ) | (47,379 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (8,647,762 | ) | (13,153,409 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | (4,140,218 | ) | (33,305,260 | ) | ||||
Class R5 | (3,855,546 | ) | (34,110,272 | ) | ||||
Service Class | (1,309,707 | ) | (11,384,357 | ) | ||||
Administrative Class | (1,630,642 | ) | (14,481,287 | ) | ||||
Class A | (2,472,628 | ) | (28,593,552 | ) | ||||
Class R4 | (159,443 | ) | (583,244 | ) | ||||
Class R3 | (81,348 | ) | (482,246 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | (13,649,532 | ) | (122,940,218 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 3,148,225 | 4,192,341 | ||||||
Class R5 | (21,541,708 | ) | (26,306,262 | ) | ||||
Service Class | (8,566,416 | ) | (3,009,686 | ) | ||||
Administrative Class | (13,725,790 | ) | (3,973,770 | ) | ||||
Class A | (39,180,033 | ) | (24,741,038 | ) | ||||
Class R4 | 1,334,753 | 4,526,558 | ||||||
Class R3 | 96,936 | 1,373,007 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (78,434,033 | ) | (47,938,850 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | 13,544,543 | (84,200,537 | ) | |||||
Net assets | ||||||||
Beginning of period | 732,585,261 | 816,785,798 | ||||||
|
|
|
| |||||
End of period | $ | 746,129,804 | $ | 732,585,261 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of period | $ | 5,844,478 | $ | 7,130,828 | ||||
|
|
|
| |||||
Distributions in excess of net investment income included in net assets at end of period | $ | - | $ | - | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
186
MassMutual Select Fundamental Growth Fund | MassMutual Select Blue Chip Growth Fund | |||||||||||||
Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | |||||||||||
$ | 425,929 | $ | 995,469 | $ | 2,023,979 | $ | 2,359,946 | |||||||
3,402,266 | 13,633,746 | 33,808,004 | 67,494,968 | |||||||||||
5,951,770 | 266,727 | 96,562,511 | 130,056,054 | |||||||||||
|
|
|
|
|
|
|
| |||||||
9,779,965 | 14,895,942 | 132,394,494 | 199,910,968 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(568,154 | ) | (751,915 | ) | (3,139,236 | ) | (1,935,400 | ) | |||||||
(196,932 | ) | (179,581 | ) | (1,764,182 | ) | (2,166,584 | ) | |||||||
(56,808 | ) | (47,013 | ) | (728,699 | ) | (905,314 | ) | |||||||
(77,813 | ) | (74,962 | ) | (710,970 | ) | (585,084 | ) | |||||||
(76,213 | ) | (67,082 | ) | (97,869 | ) | (47,459 | ) | |||||||
(14,271 | ) | (2,144 | ) | (141,097 | ) | (66,043 | ) | |||||||
(11,658 | ) | (3,962 | ) | (51,241 | ) | (21,466 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(1,001,849 | ) | (1,126,659 | ) | (6,633,294 | ) | (5,727,350 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(6,386,963 | ) | (8,068,438 | ) | (20,985,062 | ) | (54,421,472 | ) | |||||||
(2,457,311 | ) | (2,154,268 | ) | (14,348,294 | ) | (76,223,871 | ) | |||||||
(780,847 | ) | (639,638 | ) | (7,798,720 | ) | (36,595,844 | ) | |||||||
(1,224,123 | ) | (1,150,105 | ) | (9,408,039 | ) | (38,222,083 | ) | |||||||
(1,884,654 | ) | (1,953,737 | ) | (6,373,156 | ) | (26,595,883 | ) | |||||||
(196,524 | ) | (30,274 | ) | (2,005,791 | ) | (3,897,139 | ) | |||||||
(217,771 | ) | (52,494 | ) | (1,145,122 | ) | (1,142,260 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(13,148,193 | ) | (14,048,954 | ) | (62,064,184 | ) | (237,098,552 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
6,779,489 | (18,509,803 | ) | 306,749,743 | 190,504,053 | ||||||||||
790,733 | 3,018,021 | 5,013,533 | (99,893,271 | ) | ||||||||||
1,449,624 | 949,076 | (94,343,026 | ) | 24,094,939 | ||||||||||
204,267 | 228,682 | 773,799 | 13,689,494 | |||||||||||
329,686 | (1,046,308 | ) | (12,884,728 | ) | 16,657,548 | |||||||||
1,152,246 | 513,190 | 10,485,641 | 24,392,703 | |||||||||||
596,665 | 1,214,767 | 7,252,344 | 18,511,152 | |||||||||||
|
|
|
|
|
|
|
| |||||||
11,302,710 | (13,632,375 | ) | 223,047,306 | 187,956,618 | ||||||||||
|
|
|
|
|
|
|
| |||||||
6,932,633 | (13,912,046 | ) | 286,744,322 | 145,041,684 | ||||||||||
115,256,833 | 129,168,879 | 1,552,553,640 | 1,407,511,956 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 122,189,466 | $ | 115,256,833 | $ | 1,839,297,962 | $ | 1,552,553,640 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 2,590 | $ | 578,510 | $ | - | $ | - | |||||||
|
|
|
|
|
|
|
| |||||||
$ | - | $ | - | $ | (4,821,268 | ) | $ | (211,953 | ) | |||||
|
|
|
|
|
|
|
|
187
MassMutual Select Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Select Growth Opportunities Fund | ||||||||
Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (1,411,642 | ) | $ | (2,507,396 | ) | ||
Net realized gain (loss) on investment transactions | 39,103,904 | 67,533,040 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (7,950,764 | ) | 18,055,615 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 29,741,498 | 83,081,259 | ||||||
|
|
|
| |||||
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 | (24,329,924 | ) | (38,981,121 | ) | ||||
Class R5 | (13,168,716 | ) | (23,803,912 | ) | ||||
Service Class | (10,598,292 | ) | (17,831,054 | ) | ||||
Administrative Class | (6,692,874 | ) | (12,455,719 | ) | ||||
Class A | (7,450,992 | ) | (16,598,049 | ) | ||||
Class R4 | (635,215 | ) | (652,252 | ) | ||||
Class R3 | (74,953 | ) | (102,779 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | (62,950,966 | ) | (110,424,886 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | (18,079,784 | ) | 6,394,311 | |||||
Class R5 | (8,625,761 | ) | (22,570,065 | ) | ||||
Service Class | (13,586,786 | ) | 5,172,386 | |||||
Administrative Class | 1,247,346 | (12,272,827 | ) | |||||
Class A | (13,443,172 | ) | (30,532,043 | ) | ||||
Class R4 | 803,672 | 4,494,851 | ||||||
Class R3 | 211,784 | 148,347 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (51,472,701 | ) | (49,165,040 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (84,682,169 | ) | (76,508,667 | ) | ||||
Net assets | ||||||||
Beginning of period | 897,330,365 | 973,839,032 | ||||||
|
|
|
| |||||
End of period | $ | 812,648,196 | $ | 897,330,365 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of period | $ | (3,532,568 | ) | $ | (2,120,926 | ) | ||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
188
MassMutual Select Mid-Cap Value Fund | MassMutual Select Small Cap Value Equity Fund | |||||||||||||
Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | |||||||||||
$ | 1,128,175 | $ | 1,275,270 | $ | 725,637 | $ | 846,197 | |||||||
7,765,355 | 1,495,668 | 13,184,845 | 11,666,378 | |||||||||||
3,962,268 | 16,772,568 | 10,124,537 | 12,556,690 | |||||||||||
|
|
|
|
|
|
|
| |||||||
12,855,798 | 19,543,506 | 24,035,019 | 25,069,265 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(1,608,595 | ) | (1,281,970 | ) | (556,291 | ) | (408,152 | ) | |||||||
(107,757 | ) | (72,905 | ) | (181,044 | ) | (449,400 | ) | |||||||
(27,561 | ) | (30,765 | ) | (20,709 | ) | (32,438 | ) | |||||||
(9,697 | ) | (1,206 | ) | (25,697 | ) | (9,022 | ) | |||||||
(18,927 | ) | (11,553 | ) | (769 | ) | (2,458 | ) | |||||||
(1,475 | ) | (886 | ) | (1,325 | ) | (5,128 | ) | |||||||
(901 | ) | (609 | ) | - | (88 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
(1,774,913 | ) | (1,399,894 | ) | (785,835 | ) | (906,686 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(2,029,336 | ) | (12,944,843 | ) | (6,446,918 | ) | (2,321,956 | ) | |||||||
(144,318 | ) | (891,064 | ) | (2,770,889 | ) | (3,117,262 | ) | |||||||
(41,340 | ) | (388,558 | ) | (405,040 | ) | (226,348 | ) | |||||||
(13,769 | ) | (35,387 | ) | (453,776 | ) | (141,014 | ) | |||||||
(36,978 | ) | (324,216 | ) | (497,585 | ) | (227,926 | ) | |||||||
(2,384 | ) | (13,658 | ) | (85,386 | ) | (38,293 | ) | |||||||
(1,991 | ) | (13,243 | ) | (28,154 | ) | (5,311 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(2,270,116 | ) | (14,610,969 | ) | (10,687,748 | ) | (6,078,110 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(16,675,702 | ) | (25,212,907 | ) | (14,710,505 | ) | 45,464,579 | ||||||||
322,375 | (1,404,204 | ) | (9,725,643 | ) | (48,503,305 | ) | ||||||||
(340,908 | ) | (574,857 | ) | 353,832 | 3,657,179 | |||||||||
124,977 | 381,890 | 4,182,816 | (1,758,964 | ) | ||||||||||
(56,352 | ) | (527,870 | ) | 515,249 | 1,704,295 | |||||||||
29,731 | 1,237 | 123,710 | 1,027,529 | |||||||||||
74,636 | 12,789 | 248,388 | 277,968 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(16,521,243 | ) | (27,323,922 | ) | (19,012,153 | ) | 1,869,281 | ||||||||
|
|
|
|
|
|
|
| |||||||
(7,710,474 | ) | (23,791,279 | ) | (6,450,717 | ) | 19,953,750 | ||||||||
118,623,200 | 142,414,479 | 195,790,490 | 175,836,740 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 110,912,726 | $ | 118,623,200 | $ | 189,339,773 | $ | 195,790,490 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 438,131 | $ | 1,084,869 | $ | 513,493 | $ | 573,691 | |||||||
|
|
|
|
|
|
|
|
189
MassMutual Select Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Select Small Company Value Fund | ||||||||
Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 1,382,539 | $ | 2,464,670 | ||||
Net realized gain (loss) on investment transactions | 22,854,059 | 1,127,816 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 13,081,836 | 31,324,876 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 37,318,434 | 34,917,362 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (1,408,250 | ) | (850,085 | ) | ||||
Class R5 | (1,125,976 | ) | (636,073 | ) | ||||
Service Class | (124,519 | ) | (67,956 | ) | ||||
Administrative Class | (138,596 | ) | (57,520 | ) | ||||
Class A | (124,224 | ) | (9,255 | ) | ||||
Class R4 | (4,033 | ) | (297 | ) | ||||
Class R3 | (597 | ) | - | |||||
|
|
|
| |||||
Total distributions from net investment income | (2,926,195 | ) | (1,621,186 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | (839,215 | ) | (28,358,964 | ) | ||||
Class R5 | (732,702 | ) | (26,816,038 | ) | ||||
Service Class | (92,672 | ) | (3,864,438 | ) | ||||
Administrative Class | (111,226 | ) | (4,094,745 | ) | ||||
Class A | (162,946 | ) | (7,146,651 | ) | ||||
Class R4 | (2,923 | ) | (25,297 | ) | ||||
Class R3 | (684 | ) | (15,919 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | (1,942,368 | ) | (70,322,052 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | (9,408,391 | ) | 13,522,455 | |||||
Class R5 | (27,911,886 | ) | (5,581,055 | ) | ||||
Service Class | (3,437,068 | ) | 1,102,624 | |||||
Administrative Class | (2,511,893 | ) | 512,933 | |||||
Class A | (4,339,662 | ) | (252,521 | ) | ||||
Class R4 | 234,739 | 100,718 | ||||||
Class R3 | 16,768 | 33,959 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (47,357,393 | ) | 9,439,113 | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | (14,907,522 | ) | (27,586,763 | ) | ||||
Net assets | ||||||||
Beginning of period | 291,763,708 | 319,350,471 | ||||||
|
|
|
| |||||
End of period | $ | 276,856,186 | $ | 291,763,708 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of period | $ | 635,505 | $ | 2,179,161 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
190
MM S&P Mid Cap Index Fund | MM Russell 2000 Small Cap Index Fund | |||||||||||||
Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | |||||||||||
$ | 1,919,206 | $ | 4,078,986 | $ | 2,082,984 | $ | 3,824,023 | |||||||
5,473,746 | 27,261,689 | 3,189,689 | 14,419,724 | |||||||||||
27,170,579 | 11,645,536 | 26,782,158 | 24,177,978 | |||||||||||
|
|
|
|
|
|
|
| |||||||
34,563,531 | 42,986,211 | 32,054,831 | 42,421,725 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(1,256,426 | ) | (1,884,209 | ) | (1,878,258 | ) | (2,171,643 | ) | |||||||
(340,047 | ) | (144,757 | ) | (221,776 | ) | (95,684 | ) | |||||||
(351,574 | ) | (161,524 | ) | (214,609 | ) | (73,428 | ) | |||||||
(774,228 | ) | (500,702 | ) | (539,724 | ) | (290,228 | ) | |||||||
(447,496 | ) | (290,077 | ) | (194,294 | ) | (93,134 | ) | |||||||
(485,310 | ) | (195,232 | ) | (358,183 | ) | (136,086 | ) | |||||||
(386,975 | ) | (137,526 | ) | (254,434 | ) | (88,306 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(4,042,056 | ) | (3,314,027 | ) | (3,661,278 | ) | (2,948,509 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(7,100,135 | ) | (5,940,987 | ) | (7,366,279 | ) | (4,491,792 | ) | |||||||
(2,026,274 | ) | (486,746 | ) | (919,931 | ) | (212,931 | ) | |||||||
(2,291,760 | ) | (638,431 | ) | (964,194 | ) | (193,449 | ) | |||||||
(5,521,317 | ) | (2,141,360 | ) | (2,667,295 | ) | (834,189 | ) | |||||||
(3,913,155 | ) | (1,565,793 | ) | (1,180,862 | ) | (378,901 | ) | |||||||
(3,599,543 | ) | (775,045 | ) | (1,875,930 | ) | (353,998 | ) | |||||||
(3,308,462 | ) | (577,513 | ) | (1,519,544 | ) | (244,700 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(27,760,646 | ) | (12,125,875 | ) | (16,494,035 | ) | (6,709,960 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
19,041,008 | (74,001,329 | ) | 14,560,162 | (76,193,569 | ) | |||||||||
10,800,611 | 8,233,835 | (3,248,453 | ) | 5,768,863 | ||||||||||
4,854,977 | 4,752,029 | 4,686,112 | 3,686,370 | |||||||||||
(2,892,948 | ) | 7,809,259 | 884,312 | 8,508,048 | ||||||||||
(4,498,425 | ) | 6,324,124 | 2,012,741 | 3,328,695 | ||||||||||
28,792,667 | 20,280,246 | 12,165,754 | 16,962,829 | |||||||||||
29,063,127 | 22,951,665 | 12,743,367 | 14,260,660 | |||||||||||
|
|
|
|
|
|
|
| |||||||
85,161,017 | (3,650,171 | ) | 43,803,995 | (23,678,104 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
87,921,846 | 23,896,138 | 55,703,513 | 9,085,152 | |||||||||||
294,722,365 | 270,826,227 | 271,370,926 | 262,285,774 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 382,644,211 | $ | 294,722,365 | $ | 327,074,439 | $ | 271,370,926 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 879,633 | $ | 3,002,483 | $ | 986,069 | $ | 2,564,363 | |||||||
|
|
|
|
|
|
|
|
191
MassMutual Select Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Select Mid Cap Growth Fund | ||||||||
Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (1,133,499 | ) | $ | (2,084,037 | ) | ||
Net realized gain (loss) on investment transactions | 148,378,026 | 147,023,683 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 145,468,778 | 148,866,837 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 292,713,305 | 293,806,483 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (2,934,635 | ) | - | |||||
Class R5 | (489,137 | ) | - | |||||
Service Class | - | - | ||||||
Administrative Class | - | - | ||||||
Class A | - | - | ||||||
Class R4 | - | - | ||||||
Class R3 | - | - | ||||||
|
|
|
| |||||
Total distributions from net investment income | (3,423,772 | ) | - | |||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | (79,202,488 | ) | (81,785,351 | ) | ||||
Class R5 | (33,707,189 | ) | (55,211,743 | ) | ||||
Service Class | (10,407,836 | ) | (20,768,068 | ) | ||||
Administrative Class | (15,578,988 | ) | (30,187,112 | ) | ||||
Class A | (13,641,841 | ) | (27,155,559 | ) | ||||
Class R4 | (3,089,225 | ) | (1,661,395 | ) | ||||
Class R3 | (900,059 | ) | (625,778 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | (156,527,626 | ) | (217,395,006 | ) | ||||
|
|
|
| |||||
Tax return of capital: | ||||||||
Class I | - | - | ||||||
Class R5 | - | - | ||||||
Service Class | - | - | ||||||
Administrative Class | - | - | ||||||
Class A | - | - | ||||||
Class R4 | - | - | ||||||
Class R3 | - | - | ||||||
|
|
|
| |||||
Total distributions from tax return of capital | - | - | ||||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 336,876,934 | 803,773,454 | ||||||
Class R5 | 33,484,655 | 168,193,351 | ||||||
Service Class | (19,225,955 | ) | (6,304,691 | ) | ||||
Administrative Class | (24,320,541 | ) | (29,690,315 | ) | ||||
Class A | (29,933,112 | ) | (10,220,087 | ) | ||||
Class R4 | 15,394,447 | 40,927,154 | ||||||
Class R3 | 5,176,777 | 8,881,610 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 317,453,205 | 975,560,476 | ||||||
|
|
|
| |||||
Total increase (decrease) in net assets | 450,215,112 | 1,051,971,953 | ||||||
Net assets | ||||||||
Beginning of period | 3,435,570,501 | 2,383,598,548 | ||||||
|
|
|
| |||||
End of period | $ | 3,885,785,613 | $ | 3,435,570,501 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of period | $ | (7,106,179 | ) | $ | (2,548,908 | ) | ||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
192
MassMutual Select Small Cap Growth Equity Fund | MassMutual Select Diversified International Fund | |||||||||||||
Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | |||||||||||
$ | (49,711 | ) | $ | (740,561 | ) | $ | 192,331 | $ | 1,727,967 | |||||
23,752,374 | (27,626,352 | ) | 1,634,651 | (7,098,915 | ) | |||||||||
20,846,598 | 67,899,260 | 1,694,010 | 6,294,308 | |||||||||||
|
|
|
|
|
|
|
| |||||||
44,549,261 | 39,532,347 | 3,520,992 | 923,360 | |||||||||||
|
|
|
|
|
|
|
| |||||||
- | - | (2,182,357 | ) | (92,480 | ) | |||||||||
- | - | - | - | |||||||||||
- | - | (8,710 | ) | - | ||||||||||
- | - | (10,595 | ) | - | ||||||||||
- | - | (13,539 | ) | - | ||||||||||
- | - | (62,141 | ) | (326 | ) | |||||||||
- | - | (16,223 | ) | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
- | - | (2,293,565 | ) | (92,806 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
- | (49,177,897 | ) | - | - | ||||||||||
- | (32,616,960 | ) | - | - | ||||||||||
- | (8,890,222 | ) | - | - | ||||||||||
- | (7,088,429 | ) | - | - | ||||||||||
- | (10,904,104 | ) | - | - | ||||||||||
- | (180,373 | ) | - | - | ||||||||||
- | (119,351 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
- | (108,977,336 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
- | (69,823 | ) | - | - | ||||||||||
- | (46,310 | ) | - | - | ||||||||||
- | (12,622 | ) | - | - | ||||||||||
- | (10,064 | ) | - | - | ||||||||||
- | (15,482 | ) | - | - | ||||||||||
- | (256 | ) | - | - | ||||||||||
- | (170 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
- | (154,727 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
(13,187,750 | ) | 65,409,071 | (24,591,607 | ) | (26,988,814 | ) | ||||||||
(14,250,787 | ) | (25,489,734 | ) | - | (11,654 | ) | ||||||||
(5,070,589 | ) | 6,878,171 | (62,336 | ) | 17,266 | |||||||||
(1,818,032 | ) | 818,188 | 61,462 | 50,487 | ||||||||||
(7,833,157 | ) | 2,056,514 | (11,662 | ) | (301,841 | ) | ||||||||
597,889 | 1,395,690 | (477,629 | ) | 1,017,929 | ||||||||||
378,166 | 994,687 | 148,448 | 99,644 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(41,184,260 | ) | 52,062,587 | (24,933,324 | ) | (26,116,983 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
3,365,001 | (17,537,129 | ) | (23,705,897 | ) | (25,286,429 | ) | ||||||||
504,976,584 | 522,513,713 | 40,899,966 | 66,186,395 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 508,341,585 | $ | 504,976,584 | $ | 17,194,069 | $ | 40,899,966 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | (851,046 | ) | $ | (801,335 | ) | $ | 190,180 | $ | 2,291,414 | |||||
|
|
|
|
|
|
|
|
193
MassMutual Select Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MM MSCI EAFE International Index Fund | ||||||||
Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 2,498,882 | $ | 12,136,097 | ||||
Net realized gain (loss) on investment transactions | 101,441 | 4,840,199 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 14,217,673 | 4,610,492 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 16,817,996 | 21,586,788 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (4,530,030 | ) | (6,785,859 | ) | ||||
Class R5 | (1,577,963 | ) | (607,053 | ) | ||||
Service Class | (853,253 | ) | (309,406 | ) | ||||
Administrative Class | (1,954,094 | ) | (736,427 | ) | ||||
Class A | (638,937 | ) | (237,035 | ) | ||||
Class R4 | (1,392,338 | ) | (244,763 | ) | ||||
Class R3 | (1,261,717 | ) | (231,410 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (12,208,332 | ) | (9,151,953 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | (1,569,875 | ) | (713,404 | ) | ||||
Class R5 | (556,282 | ) | (65,592 | ) | ||||
Service Class | (309,451 | ) | (36,223 | ) | ||||
Administrative Class | (725,106 | ) | (89,660 | ) | ||||
Class A | (248,397 | ) | (32,786 | ) | ||||
Class R4 | (518,141 | ) | (28,097 | ) | ||||
Class R3 | (487,173 | ) | (27,157 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | (4,414,425 | ) | (992,919 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 22,840,092 | (190,445,217 | ) | |||||
Class R5 | (15,581,245 | ) | 15,464,582 | |||||
Service Class | 6,643,895 | 1,319,875 | ||||||
Administrative Class | 4,007,967 | 4,903,152 | ||||||
Class A | 2,637,071 | 399,928 | ||||||
Class R4 | 13,469,766 | 18,287,049 | ||||||
Class R3 | 6,902,960 | 19,010,376 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 40,920,506 | (131,060,255 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | 41,115,745 | (119,618,339 | ) | |||||
Net assets | ||||||||
Beginning of period | 246,876,159 | 366,494,498 | ||||||
|
|
|
| |||||
End of period | $ | 287,991,904 | $ | 246,876,159 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of period | $ | 1,386,200 | $ | 11,095,650 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
194
MassMutual Select Overseas Fund | ||||||
Six Months Ended March 31, 2017 (Unaudited) | Year Ended September 30, 2016 | |||||
$ | 2,081,478 | $ | 11,332,840 | |||
11,797,555 | (20,719,067 | ) | ||||
42,529,107 | 35,851,044 | |||||
|
|
|
| |||
56,408,140 | 26,464,817 | |||||
|
|
|
| |||
(7,122,357 | ) | (5,063,565 | ) | |||
(2,873,471 | ) | (2,456,793 | ) | |||
(1,364,491 | ) | (1,082,851 | ) | |||
(720,851 | ) | (473,888 | ) | |||
(941,459 | ) | (620,779 | ) | |||
(115,855 | ) | (52,843 | ) | |||
(32,726 | ) | (16,976 | ) | |||
|
|
|
| |||
(13,171,210 | ) | (9,767,695 | ) | |||
|
|
|
| |||
- | - | |||||
- | - | |||||
- | - | |||||
- | - | |||||
- | - | |||||
- | - | |||||
- | - | |||||
|
|
|
| |||
- | - | |||||
|
|
|
| |||
(17,948,673 | ) | 28,654,909 | ||||
(14,754,841 | ) | (25,640,587 | ) | |||
(28,220,225 | ) | (8,986,925 | ) | |||
(2,071,019 | ) | 458,898 | ||||
(9,129,336 | ) | (1,318,821 | ) | |||
(330,568 | ) | 2,959,175 | ||||
(127,924 | ) | 602,560 | ||||
|
|
|
| |||
(72,582,586 | ) | (3,270,791 | ) | |||
|
|
|
| |||
(29,345,656 | ) | 13,426,331 | ||||
641,640,965 | 628,214,634 | |||||
|
|
|
| |||
$ | 612,295,309 | $ | 641,640,965 | |||
|
|
|
| |||
$ | 530,504 | $ | 11,620,236 | |||
|
|
|
|
195
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.43 | $ | 0.10 | $ | (0.27 | ) | $ | (0.17 | ) | $ | (0.27 | ) | $ | (0.21 | ) | $ | (0.48 | ) | $ | 9.78 | (1.54% | )b | $ | 325,253 | 0.35% | a | N/A | N/A | 2.07% | a | |||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.41 | $ | 0.10 | $ | (0.28 | ) | $ | (0.18 | ) | $ | (0.26 | ) | $ | (0.21 | ) | $ | (0.47 | ) | $ | 9.76 | (1.66% | )b | $ | 97,287 | 0.45% | a | N/A | N/A | 1.95% | a | |||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.45 | $ | 0.09 | $ | (0.29 | ) | $ | (0.20 | ) | $ | (0.24 | ) | $ | (0.21 | ) | $ | (0.45 | ) | $ | 9.80 | (1.66% | )b | $ | 150,143 | 0.55% | a | N/A | N/A | 1.83% | a | |||||||||||||||||||||||||
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% |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 130 | % | 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. |
r | Unaudited. |
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. |
The accompanying notes are an integral part of the financial statements.
196
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.37 | $ | 0.09 | $ | (0.28 | ) | $ | (0.19 | ) | $ | (0.23 | ) | $ | (0.21 | ) | $ | (0.44 | ) | $ | 9.74 | (1.73% | )b | $ | 62,361 | 0.65% | a | N/A | N/A | 1.74% | a | |||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.38 | $ | 0.08 | $ | (0.28 | ) | $ | (0.20 | ) | $ | (0.22 | ) | $ | (0.21 | ) | $ | (0.43 | ) | $ | 9.75 | (1.82% | )b | $ | 4,717 | 0.90% | a | N/A | N/A | 1.62% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.43 | $ | 0.08 | $ | (0.28 | ) | $ | (0.20 | ) | $ | (0.21 | ) | $ | (0.21 | ) | $ | (0.42 | ) | $ | 9.81 | (1.78% | )b | $ | 240,665 | 0.80% | a | N/A | N/A | 1.60% | a | |||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.35 | $ | 0.07 | $ | (0.29 | ) | $ | (0.22 | ) | $ | (0.19 | ) | $ | (0.21 | ) | $ | (0.40 | ) | $ | 9.73 | (1.98% | )b | $ | 41,408 | 1.05% | a | N/A | N/A | 1.35% | a | |||||||||||||||||||||||||
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% |
197
MassMutual Select Strategic 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 | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.67 | $ | 0.14 | $ | (0.24 | ) | $ | (0.10 | ) | $ | (0.28 | ) | $ | (0.28 | ) | $ | 10.29 | (0.83% | )b | $ | 116,111 | 0.52% | a | 0.48% | a | 2.75% | a | ||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.67 | $ | 0.14 | $ | (0.24 | ) | $ | (0.10 | ) | $ | (0.27 | ) | $ | (0.27 | ) | $ | 10.30 | (0.82% | )b | $ | 68,251 | 0.62% | a | 0.58% | a | 2.67% | a | ||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.67 | $ | 0.13 | $ | (0.24 | ) | $ | (0.11 | ) | $ | (0.26 | ) | $ | (0.26 | ) | $ | 10.30 | (0.97% | )b | $ | 48,028 | 0.72% | a | 0.68% | a | 2.55% | a | ||||||||||||||||||||
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% |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 89 | % | 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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
198
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.64 | $ | 0.13 | $ | (0.24 | ) | $ | (0.11 | ) | $ | (0.26 | ) | $ | (0.26 | ) | $ | 10.27 | (0.97% | )b | $ | 60,974 | 0.82% | a | 0.78% | a | 2.48% | a | ||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.60 | $ | 0.11 | $ | (0.23 | ) | $ | (0.12 | ) | $ | (0.23 | ) | $ | (0.23 | ) | $ | 10.25 | (1.09% | )b | $ | 47,334 | 1.07% | a | 1.03% | a | 2.21% | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.58 | $ | 0.12 | $ | (0.24 | ) | $ | (0.12 | ) | $ | (0.24 | ) | $ | (0.24 | ) | $ | 10.22 | (1.04% | )b | $ | 39,358 | 0.97% | a | 0.93% | a | 2.30% | a | ||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.50 | $ | 0.10 | $ | (0.23 | ) | $ | (0.13 | ) | $ | (0.23 | ) | $ | (0.23 | ) | $ | 10.14 | (1.18% | )b | $ | 10,591 | 1.22% | a | 1.18% | a | 2.07% | a | ||||||||||||||||||||
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% |
199
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 | 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 | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 14.90 | $ | 0.14 | $ | 1.64 | $ | 1.78 | $ | (0.35 | ) | $ | (0.63 | ) | $ | (0.98 | ) | $ | 15.70 | 12.18% | b | $ | 286,248 | 0.57% | a | 1.79% | a | |||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 14.90 | $ | 0.13 | $ | 1.64 | $ | 1.77 | $ | (0.32 | ) | $ | (0.63 | ) | $ | (0.95 | ) | $ | 15.72 | 12.10% | b | $ | 46,627 | 0.67% | a | 1.70% | a | |||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 14.90 | $ | 0.12 | $ | 1.64 | $ | 1.76 | $ | (0.32 | ) | $ | (0.63 | ) | $ | (0.95 | ) | $ | 15.71 | 11.99% | b | $ | 12,860 | 0.77% | a | 1.57% | a | |||||||||||||||||||||
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% |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 27 | % | 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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
200
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total 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 | ||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 14.96 | $ | 0.11 | $ | 1.65 | $ | 1.76 | $ | (0.31 | ) | $ | (0.63 | ) | $ | (0.94 | ) | $ | 15.78 | 11.96% | b | $ | 7,630 | 0.87% | a | 1.49% | a | |||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 14.85 | $ | 0.09 | $ | 1.65 | $ | 1.74 | $ | (0.27 | ) | $ | (0.63 | ) | $ | (0.90 | ) | $ | 15.69 | 11.87% | b | $ | 17,687 | 1.12% | a | 1.24% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 14.81 | $ | 0.10 | $ | 1.64 | $ | 1.74 | $ | (0.31 | ) | $ | (0.63 | ) | $ | (0.94 | ) | $ | 15.61 | 11.92% | b | $ | 958 | 1.02% | a | 1.33% | a | |||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 14.83 | $ | 0.08 | $ | 1.63 | $ | 1.71 | $ | (0.26 | ) | $ | (0.63 | ) | $ | (0.89 | ) | $ | 15.65 | 11.73% | b | $ | 1,903 | 1.27% | a | 1.09% | a | |||||||||||||||||||||
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% |
201
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.39 | $ | 0.12 | $ | 1.07 | $ | 1.19 | $ | (0.25 | ) | $ | (0.96 | ) | $ | (1.21 | ) | $ | 12.37 | 9.81% | b | $ | 565,694 | 0.63% | a | N/A | 1.93% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.43 | $ | 0.11 | $ | 1.07 | $ | 1.18 | $ | (0.23 | ) | $ | (0.96 | ) | $ | (1.19 | ) | $ | 12.42 | 9.75% | b | $ | 380,661 | 0.73% | a | N/A | 1.82% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.38 | $ | 0.10 | $ | 1.07 | $ | 1.17 | $ | (0.22 | ) | $ | (0.96 | ) | $ | (1.18 | ) | $ | 12.37 | 9.65% | b | $ | 69,354 | 0.83% | a | N/A | 1.64% | a | ||||||||||||||||||||||||
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% |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 6 | % | 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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
202
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.44 | $ | 0.10 | $ | 1.08 | $ | 1.18 | $ | (0.21 | ) | $ | (0.96 | ) | $ | (1.17 | ) | $ | 12.45 | 9.69% | b | $ | 95,677 | 0.93% | a | N/A | 1.61% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.28 | $ | 0.08 | $ | 1.06 | $ | 1.14 | $ | (0.17 | ) | $ | (0.96 | ) | $ | (1.13 | ) | $ | 12.29 | 9.46% | b | $ | 129,455 | 1.18% | a | N/A | 1.35% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.21 | $ | 0.09 | $ | 1.05 | $ | 1.14 | $ | (0.22 | ) | $ | (0.96 | ) | $ | (1.18 | ) | $ | 12.17 | 9.58% | b | $ | 13,946 | 1.08% | a | N/A | 1.49% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.14 | $ | 0.08 | $ | 1.05 | $ | 1.13 | $ | (0.17 | ) | $ | (0.96 | ) | $ | (1.13 | ) | $ | 12.14 | 9.49% | b | $ | 2,741 | 1.33% | a | N/A | 1.32% | a | ||||||||||||||||||||||||
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% |
203
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 7.22 | $ | 0.08 | $ | 0.72 | $ | 0.80 | $ | (0.19 | ) | $ | (0.37 | ) | $ | (0.56 | ) | $ | 7.46 | 11.48% | b | $ | 51,153 | 0.72% | a | 0.63% | a | 2.18% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 7.23 | $ | 0.08 | $ | 0.73 | $ | 0.81 | $ | (0.19 | ) | $ | (0.37 | ) | $ | (0.56 | ) | $ | 7.48 | 11.34% | b | $ | 97,536 | 0.82% | a | 0.73% | a | 2.08% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 7.24 | $ | 0.08 | $ | 0.72 | $ | 0.80 | $ | (0.16 | ) | $ | (0.37 | ) | $ | (0.53 | ) | $ | 7.51 | 11.27% | b | $ | 3,044 | 0.92% | a | 0.83% | a | 2.08% | a | |||||||||||||||||||||||
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% |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 14 | % | 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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
204
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 7.20 | $ | 0.07 | $ | 0.73 | $ | 0.80 | $ | (0.17 | ) | $ | (0.37 | ) | $ | (0.54 | ) | $ | 7.46 | 11.28% | b | $ | 12,485 | 1.02% | a | 0.93% | a | 1.88% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 7.18 | $ | 0.06 | $ | 0.72 | $ | 0.78 | $ | (0.15 | ) | $ | (0.37 | ) | $ | (0.52 | ) | $ | 7.44 | 11.02% | b | $ | 25,913 | 1.27% | a | 1.18% | a | 1.64% | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 7.15 | $ | 0.06 | $ | 0.72 | $ | 0.78 | $ | (0.18 | ) | $ | (0.37 | ) | $ | (0.55 | ) | $ | 7.38 | 11.27% | b | $ | 505 | 1.17% | a | 1.08% | a | 1.75% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 7.02 | $ | 0.05 | $ | 0.71 | $ | 0.76 | $ | (0.13 | ) | $ | (0.37 | ) | $ | (0.50 | ) | $ | 7.28 | 11.03% | b | $ | 49 | 1.42% | a | 1.33% | a | 1.51% | a | |||||||||||||||||||||||
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% |
205
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 19.40 | $ | 0.20 | $ | 1.69 | $ | 1.89 | $ | (0.44 | ) | $ | (0.79 | ) | $ | (1.23 | ) | $ | 20.06 | 10.04% | b | $ | 1,173,324 | 0.12% | a | N/A | 2.05% | a | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 19.43 | $ | 0.19 | $ | 1.70 | $ | 1.89 | $ | (0.42 | ) | $ | (0.79 | ) | $ | (1.21 | ) | $ | 20.11 | 9.96% | b | $ | 699,017 | 0.22% | a | N/A | 1.97% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 19.43 | $ | 0.18 | $ | 1.69 | $ | 1.87 | $ | (0.38 | ) | $ | (0.79 | ) | $ | (1.17 | ) | $ | 20.13 | 9.92% | b | $ | 530,389 | 0.37% | a | N/A | 1.80% | a | ||||||||||||||||||||||||
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% |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 1 | % | 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. |
r | Unaudited. |
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.
206
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 19.19 | $ | 0.16 | $ | 1.68 | $ | 1.84 | $ | (0.38 | ) | $ | (0.79 | ) | $ | (1.17 | ) | $ | 19.86 | 9.84% | b | $ | 540,532 | 0.47% | a | N/A | 1.70% | a | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 18.92 | $ | 0.14 | $ | 1.65 | $ | 1.79 | $ | (0.33 | ) | $ | (0.79 | ) | $ | (1.12 | ) | $ | 19.59 | 9.73% | b | $ | 26,278 | 0.72% | a | N/A | 1.46% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 19.01 | $ | 0.15 | $ | 1.66 | $ | 1.81 | $ | (0.35 | ) | $ | (0.79 | ) | $ | (1.14 | ) | $ | 19.68 | 9.79% | b | $ | 656,760 | 0.62% | a | N/A | 1.55% | a | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 18.70 | $ | 0.12 | $ | 1.63 | $ | 1.75 | $ | (0.34 | ) | $ | (0.79 | ) | $ | (1.13 | ) | $ | 19.32 | 9.60% | b | $ | 138,053 | 0.87% | a | N/A | 1.30% | a | ||||||||||||||||||||||||
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% |
207
MassMutual Select Equity 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 18.40 | $ | 0.22 | $ | 2.87 | $ | 3.09 | $ | (0.27 | ) | $ | (0.36 | ) | $ | (0.63 | ) | $ | 20.86 | 16.94% | b | $ | 244,843 | 0.73% | a | N/A | 2.22% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 18.44 | $ | 0.21 | $ | 2.87 | $ | 3.08 | $ | (0.25 | ) | $ | (0.36 | ) | $ | (0.61 | ) | $ | 20.91 | 16.85% | b | $ | 208,626 | 0.83% | a | N/A | 2.07% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 18.18 | $ | 0.19 | $ | 2.84 | $ | 3.03 | $ | (0.23 | ) | $ | (0.36 | ) | $ | (0.59 | ) | $ | 20.62 | 16.81% | b | $ | 69,922 | 0.93% | a | N/A | 1.92% | a | ||||||||||||||||||||||||
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% |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 118 | % | 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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
208
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 17.99 | $ | 0.18 | $ | 2.81 | $ | 2.99 | $ | (0.21 | ) | $ | (0.36 | ) | $ | (0.57 | ) | $ | 20.41 | 16.75% | b | $ | 86,995 | 1.03% | a | N/A | 1.85% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 17.37 | $ | 0.15 | $ | 2.70 | $ | 2.85 | $ | (0.14 | ) | $ | (0.36 | ) | $ | (0.50 | ) | $ | 19.72 | 16.62% | b | $ | 123,225 | 1.28% | a | N/A | 1.60% | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 17.28 | $ | 0.17 | $ | 2.68 | $ | 2.85 | $ | (0.22 | ) | $ | (0.36 | ) | $ | (0.58 | ) | $ | 19.55 | 16.62% | b | $ | 8,419 | 1.18% | a | N/A | 1.83% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 16.55 | $ | 0.13 | $ | 2.58 | $ | 2.71 | $ | (0.16 | ) | $ | (0.36 | ) | $ | (0.52 | ) | $ | 18.74 | 16.54% | b | $ | 4,101 | 1.43% | a | N/A | 1.46% | a | ||||||||||||||||||||||||
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% | ) |
209
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 8.01 | $ | 0.03 | $ | 0.62 | $ | 0.65 | $ | (0.08 | ) | $ | (0.94 | ) | $ | (1.02 | ) | $ | 7.64 | 9.16% | b | $ | 61,302 | 0.85% | a | 0.70% | a | 0.91% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 8.02 | $ | 0.03 | $ | 0.62 | $ | 0.65 | $ | (0.08 | ) | $ | (0.94 | ) | $ | (1.02 | ) | $ | 7.65 | 9.02% | b | $ | 23,224 | 0.95% | a | 0.80% | a | 0.81% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 7.88 | $ | 0.03 | $ | 0.61 | $ | 0.64 | $ | (0.07 | ) | $ | (0.94 | ) | $ | (1.01 | ) | $ | 7.51 | 9.08% | b | $ | 7,772 | 1.05% | a | 0.90% | a | 0.71% | a | |||||||||||||||||||||||
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% |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 29 | % | 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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
210
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $7.72 | $ | 0.02 | $ | 0.60 | $ | 0.62 | $ | (0.06 | ) | $ | (0.94 | ) | $ | (1.00 | ) | $ | 7.34 | 9.02% | b | $ | 9,957 | 1.15% | a | 1.00% | a | 0.59% | a | ||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $7.43 | $ | 0.01 | $ | 0.57 | $ | 0.58 | $ | (0.04 | ) | $ | (0.94 | ) | $ | (0.98 | ) | $ | 7.03 | 8.77% | b | $ | 16,248 | 1.40% | a | 1.25% | a | 0.36% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $7.39 | $ | 0.02 | $ | 0.57 | $ | 0.59 | $ | (0.07 | ) | $ | (0.94 | ) | $ | (1.01 | ) | $ | 6.97 | 9.00% | b | $ | 1,824 | 1.30% | a | 1.15% | a | 0.49% | a | ||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $7.04 | $ | 0.01 | $ | 0.54 | $ | 0.55 | $ | (0.05 | ) | $ | (0.94 | ) | $ | (0.99 | ) | $ | 6.60 | 8.88% | b | $ | 1,863 | 1.55% | a | 1.40% | a | 0.19% | a | ||||||||||||||||||||||
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% | ) |
211
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 16.66 | $ | 0.03 | $ | 1.20 | $ | 1.23 | $ | (0.10 | ) | $ | (0.66 | ) | $ | (0.76 | ) | $ | 17.13 | 7.75% | b | $ | 856,805 | 0.65% | a | N/A | 0.41% | a | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 16.63 | $ | 0.03 | $ | 1.19 | $ | 1.22 | $ | (0.08 | ) | $ | (0.66 | ) | $ | (0.74 | ) | $ | 17.11 | 7.71% | b | $ | 384,064 | 0.75% | a | N/A | 0.30% | a | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 16.49 | $ | 0.02 | $ | 1.18 | $ | 1.20 | $ | (0.06 | ) | $ | (0.66 | ) | $ | (0.72 | ) | $ | 16.97 | 7.64% | b | $ | 118,122 | 0.85% | a | N/A | 0.19% | a | ||||||||||||||||||||||||
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% |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 14 | % | 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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
212
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 16.28 | $ | 0.01 | $ | 1.17 | $ | 1.18 | $ | (0.05 | ) | $ | (0.66 | ) | $ | (0.71 | ) | $ | 16.75 | 7.60% | b | $ | 240,246 | 0.95% | a | N/A | 0.10% | a | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 15.65 | $ | (0.01 | ) | $ | 1.12 | $ | 1.11 | $ | (0.01 | ) | $ | (0.66 | ) | $ | (0.67 | ) | $ | 16.09 | 7.44% | b | $ | 152,345 | 1.20% | a | N/A | (0.15% | )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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 15.66 | $ | (0.00 | )d | $ | 1.12 | $ | 1.12 | $ | (0.05 | ) | $ | (0.66 | ) | $ | (0.71 | ) | $ | 16.07 | 7.49% | b | $ | 56,735 | 1.10% | a | N/A | (0.04% | )a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 14.78 | $ | (0.02 | ) | $ | 1.06 | $ | 1.04 | $ | (0.03 | ) | $ | (0.66 | ) | $ | (0.69 | ) | $ | 15.13 | 7.41% | b | $ | 30,980 | 1.35% | a | N/A | (0.29% | )a | |||||||||||||||||||||||
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% | ) |
213
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.82 | $ | (0.01 | ) | $ | 0.39 | $ | 0.38 | $ | - | $ | (0.78 | ) | $ | (0.78 | ) | $ | 10.42 | 4.14% | b | $ | 322,829 | 0.74% | a | N/A | (0.20% | )a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.74 | $ | (0.01 | ) | $ | 0.38 | $ | 0.37 | $ | - | $ | (0.78 | ) | $ | (0.78 | ) | $ | 10.33 | 4.07% | b | $ | 177,507 | 0.84% | a | N/A | (0.29% | )a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.50 | $ | (0.02 | ) | $ | 0.38 | $ | 0.36 | $ | - | $ | (0.78 | ) | $ | (0.78 | ) | $ | 10.08 | 4.06% | b | $ | 129,643 | 0.94% | a | N/A | (0.39% | )a | ||||||||||||||||||||||||
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% | ) |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 10 | % | 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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
214
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.21 | $ | (0.02 | ) | $ | 0.36 | $ | 0.34 | $ | - | $ | (0.78 | ) | $ | (0.78 | ) | $ | 9.77 | 3.98% | b | $ | 88,420 | 1.04% | a | N/A | (0.49% | )a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 9.65 | $ | (0.03 | ) | $ | 0.34 | $ | 0.31 | $ | - | $ | (0.78 | ) | $ | (0.78 | ) | $ | 9.18 | 3.90% | b | $ | 85,896 | 1.29% | a | N/A | (0.74% | )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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 9.68 | $ | (0.03 | ) | $ | 0.35 | $ | 0.32 | $ | - | $ | (0.78 | ) | $ | (0.78 | ) | $ | 9.22 | 3.99% | b | $ | 7,326 | 1.19% | a | N/A | (0.65% | )a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 9.08 | $ | (0.04 | ) | $ | 0.31 | $ | 0.27 | $ | - | $ | (0.78 | ) | $ | (0.78 | ) | $ | 8.57 | 3.69% | b | $ | 1,028 | 1.44% | a | N/A | (0.89% | )a | ||||||||||||||||||||||||
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% | ) |
215
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 13.59 | $ | 0.14 | $ | 1.39 | $ | 1.53 | $ | (0.21 | ) | $ | (0.26 | ) | $ | (0.47 | ) | $ | 14.65 | 11.33% | b | $ | 97,974 | 0.90% | a | 0.80% | a | 1.91% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 13.67 | $ | 0.13 | $ | 1.40 | $ | 1.53 | $ | (0.20 | ) | $ | (0.26 | ) | $ | (0.46 | ) | $ | 14.74 | 11.25% | b | $ | 7,964 | 1.00% | a | 0.90% | a | 1.77% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 13.62 | $ | 0.13 | $ | 1.39 | $ | 1.52 | $ | (0.18 | ) | $ | (0.26 | ) | $ | (0.44 | ) | $ | 14.70 | 11.20% | b | $ | 1,982 | 1.10% | a | 1.00% | a | 1.75% | a | |||||||||||||||||||||||
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% |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 49 | % | 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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
216
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 13.81 | $ | 0.11 | $ | 1.43 | $ | 1.54 | $ | (0.19 | ) | $ | (0.26 | ) | $ | (0.45 | ) | $ | 14.90 | 11.20% | b | $ | 834 | 1.20% | a | 1.10% | a | 1.55% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 13.61 | $ | 0.10 | $ | 1.39 | $ | 1.49 | $ | (0.14 | ) | $ | (0.26 | ) | $ | (0.40 | ) | $ | 14.70 | 10.98% | b | $ | 1,839 | 1.45% | a | 1.35% | a | 1.33% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 13.54 | $ | 0.10 | $ | 1.38 | $ | 1.48 | $ | (0.16 | ) | $ | (0.26 | ) | $ | (0.42 | ) | $ | 14.60 | 11.03% | b | $ | 134 | 1.35% | a | 1.25% | a | 1.40% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 13.48 | $ | 0.08 | $ | 1.39 | $ | 1.47 | $ | (0.12 | ) | $ | (0.26 | ) | $ | (0.38 | ) | $ | 14.57 | 10.97% | b | $ | 186 | 1.60% | a | 1.50% | a | 1.10% | a | |||||||||||||||||||||||
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% |
217
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 16.19 | $ | 0.07 | $ | 2.02 | $ | 2.09 | $ | (0.08 | ) | $ | (0.89 | ) | $ | (0.97 | ) | $ | 17.31 | 12.94% | b | $ | 115,687 | 0.85% | a | 0.80% | a | 0.80% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 16.20 | $ | 0.06 | $ | 2.02 | $ | 2.08 | $ | (0.06 | ) | $ | (0.89 | ) | $ | (0.95 | ) | $ | 17.33 | 12.88% | b | $ | 43,478 | 0.95% | a | 0.90% | a | 0.68% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 16.22 | $ | 0.05 | $ | 2.03 | $ | 2.08 | $ | (0.05 | ) | $ | (0.89 | ) | $ | (0.94 | ) | $ | 17.36 | 12.84% | b | $ | 8,194 | 1.05% | a | 1.00% | a | 0.63% | a | |||||||||||||||||||||||
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% |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 10 | % | 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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
218
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 16.15 | $ | 0.05 | $ | 2.00 | $ | 2.05 | $ | (0.05 | ) | $ | (0.89 | ) | $ | (0.94 | ) | $ | 17.26 | 12.74% | b | $ | 9,296 | 1.16% | a | 1.10% | a | 0.60% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 16.08 | $ | 0.02 | $ | 2.00 | $ | 2.02 | $ | (0.00 | )d | $ | (0.89 | ) | $ | (0.89 | ) | $ | 17.21 | 12.61% | b | $ | 9,975 | 1.41% | a | 1.35% | a | 0.29% | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 16.01 | $ | 0.03 | $ | 1.99 | $ | 2.02 | $ | (0.01 | ) | $ | (0.89 | ) | $ | (0.90 | ) | $ | 17.13 | 12.68% | b | $ | 1,982 | 1.30% | a | 1.25% | a | 0.35% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 16.00 | $ | 0.02 | $ | 1.99 | $ | 2.01 | $ | - | $ | (0.89 | ) | $ | (0.89 | ) | $ | 17.12 | 12.60% | b | $ | 727 | 1.55% | a | 1.50% | a | 0.19% | a | ||||||||||||||||||||||||
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 |
219
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 11.30 | $ | 0.06 | $ | 1.47 | $ | 1.53 | $ | (0.13 | ) | $ | (0.08 | ) | $ | (0.21 | ) | $ | 12.62 | 13.50% | b | $ | 130,086 | 0.93% | a | 0.91% | a | 1.03% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 11.35 | $ | 0.06 | $ | 1.47 | $ | 1.53 | $ | (0.12 | ) | $ | (0.08 | ) | $ | (0.20 | ) | $ | 12.68 | 13.43% | b | $ | 91,356 | 1.03% | a | 1.01% | a | 0.92% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 11.29 | $ | 0.05 | $ | 1.46 | $ | 1.51 | $ | (0.10 | ) | $ | (0.08 | ) | $ | (0.18 | ) | $ | 12.62 | 13.37% | b | $ | 13,894 | 1.13% | a | 1.11% | a | 0.81% | a | |||||||||||||||||||||||
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% |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 26 | % | 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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
220
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 11.12 | $ | 0.04 | $ | 1.45 | $ | 1.49 | $ | (0.10 | ) | $ | (0.08 | ) | $ | (0.18 | ) | $ | 12.43 | 13.33% | b | $ | 15,797 | 1.23% | a | 1.21% | a | 0.72% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.80 | $ | 0.03 | $ | 1.40 | $ | 1.43 | $ | (0.06 | ) | $ | (0.08 | ) | $ | (0.14 | ) | $ | 12.09 | 13.19% | b | $ | 25,143 | 1.48% | a | 1.46% | a | 0.48% | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.74 | $ | 0.04 | $ | 1.37 | $ | 1.41 | $ | (0.10 | ) | $ | (0.08 | ) | $ | (0.18 | ) | $ | 11.97 | 13.15% | b | $ | 469 | 1.38% | a | 1.36% | a | 0.62% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.19 | $ | 0.02 | $ | 1.32 | $ | 1.34 | $ | (0.07 | ) | $ | (0.08 | ) | $ | (0.15 | ) | $ | 11.38 | 13.08% | b | $ | 111 | 1.63% | a | 1.61% | a | 0.36% | a | |||||||||||||||||||||||
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% | ) |
221
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 13.56 | $ | 0.10 | $ | 1.41 | $ | 1.51 | $ | (0.22 | ) | $ | (1.22 | ) | $ | (1.44 | ) | $ | 13.63 | 11.49% | b | $ | 93,576 | 0.19% | a | 0.19% | a,n | 1.51% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 13.52 | $ | 0.10 | $ | 1.40 | $ | 1.50 | $ | (0.21 | ) | $ | (1.22 | ) | $ | (1.43 | ) | $ | 13.59 | 11.44% | b | $ | 32,421 | 0.29% | a | 0.29% | a,n | 1.43% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 13.46 | $ | 0.08 | $ | 1.41 | $ | 1.49 | $ | (0.19 | ) | $ | (1.22 | ) | $ | (1.41 | ) | $ | 13.54 | 11.44% | b | $ | 28,325 | 0.44% | a | 0.44% | a,n | 1.26% | a | |||||||||||||||||||||||
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 |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||
2014 | 2013 | 2012 | ||||||||||||||||||||||
Portfolio turnover rate | 11 | % | 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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
222
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 13.45 | $ | 0.08 | $ | 1.40 | $ | 1.48 | $ | (0.17 | ) | $ | (1.22 | ) | $ | (1.39 | ) | $ | 13.54 | 11.39% | b | $ | 60,452 | 0.54% | a | 0.54% | a,n | 1.17% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 13.42 | $ | 0.06 | $ | 1.39 | $ | 1.45 | $ | (0.14 | ) | $ | (1.22 | ) | $ | (1.36 | ) | $ | 13.51 | 11.16% | b | $ | 38,000 | 0.79% | a | 0.79% | a,n | 0.91% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 13.39 | $ | 0.07 | $ | 1.39 | $ | 1.46 | $ | (0.17 | ) | $ | (1.22 | ) | $ | (1.39 | ) | $ | 13.46 | 11.23% | b | $ | 66,297 | 0.69% | a | 0.69% | a,n | 1.04% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 13.35 | $ | 0.05 | $ | 1.38 | $ | 1.43 | $ | (0.14 | ) | $ | (1.22 | ) | $ | (1.36 | ) | $ | 13.42 | 11.09% | b | $ | 63,574 | 0.94% | a | 0.94% | a,n | 0.80% | a | |||||||||||||||||||||||
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 |
223
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.57 | $ | 0.10 | $ | 1.34 | $ | 1.44 | $ | (0.19 | ) | $ | (0.73 | ) | $ | (0.92 | ) | $ | 13.09 | 11.53% | b | $ | 147,485 | 0.21% | a | 0.20% | a | 1.63% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.56 | $ | 0.10 | $ | 1.34 | $ | 1.44 | $ | (0.18 | ) | $ | (0.73 | ) | $ | (0.91 | ) | $ | 13.09 | 11.45% | b | $ | 12,654 | 0.31% | a | 0.30% | a | 1.50% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.48 | $ | 0.09 | $ | 1.31 | $ | 1.40 | $ | (0.16 | ) | $ | (0.73 | ) | $ | (0.89 | ) | $ | 12.99 | 11.33% | b | $ | 18,704 | 0.46% | a | 0.45% | a | 1.38% | a | |||||||||||||||||||||||
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 |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||
2014 | 2013 | 2012 | ||||||||||||||||||||||
Portfolio turnover rate | 5 | % | 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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
224
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.50 | $ | 0.08 | $ | 1.32 | $ | 1.40 | $ | (0.15 | ) | $ | (0.73 | ) | $ | (0.88 | ) | $ | 13.02 | 11.27% | b | $ | 46,800 | 0.56% | a | 0.55% | a | 1.28% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.43 | $ | 0.07 | $ | 1.31 | $ | 1.38 | $ | (0.12 | ) | $ | (0.73 | ) | $ | (0.85 | ) | $ | 12.96 | 11.19% | b | $ | 22,732 | 0.81% | a | 0.80% | a | 1.03% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.40 | $ | 0.07 | $ | 1.32 | $ | 1.39 | $ | (0.14 | ) | $ | (0.73 | ) | $ | (0.87 | ) | $ | 12.92 | 11.29% | b | $ | 42,719 | 0.71% | a | 0.70% | a | 1.14% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.36 | $ | 0.06 | $ | 1.30 | $ | 1.36 | $ | (0.12 | ) | $ | (0.73 | ) | $ | (0.85 | ) | $ | 12.87 | 11.10% | b | $ | 35,980 | 0.96% | a | 0.95% | a | 0.90% | a | |||||||||||||||||||||||
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 |
225
MassMutual Select Mid Cap 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 19.16 | $ | 0.01 | $ | 1.56 | $ | 1.57 | $ | (0.03 | ) | $ | (0.85 | ) | $ | (0.88 | ) | $ | 19.85 | 8.52% | b | $ | 2,081,152 | 0.72% | a | N/A | 0.06% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 19.01 | $ | (0.00 | )d | $ | 1.56 | $ | 1.56 | $ | (0.01 | ) | $ | (0.85 | ) | $ | (0.86 | ) | $ | 19.71 | 8.53% | b | $ | 889,016 | 0.82% | a | N/A | (0.05% | )a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 18.64 | $ | (0.01 | ) | $ | 1.52 | $ | 1.51 | $ | - | $ | (0.85 | ) | $ | (0.85 | ) | $ | 19.30 | 8.41% | b | $ | 222,938 | 0.92% | a | N/A | (0.15% | )a | ||||||||||||||||||||||||
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% | ) |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 17 | % | 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 $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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
226
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 17.96 | $ | (0.02 | ) | $ | 1.47 | $ | 1.45 | $ | - | $ | (0.85 | ) | $ | (0.85 | ) | $ | 18.56 | 8.40% | b | $ | 326,165 | 1.02% | a | N/A | (0.25% | )a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 16.86 | $ | (0.04 | ) | $ | 1.37 | $ | 1.33 | $ | - | $ | (0.85 | ) | $ | (0.85 | ) | $ | 17.34 | 8.23% | b | $ | 274,831 | 1.27% | a | N/A | (0.51% | )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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 16.92 | $ | (0.03 | ) | $ | 1.37 | $ | 1.34 | $ | - | $ | (0.85 | ) | $ | (0.85 | ) | $ | 17.41 | 8.26% | b | $ | 71,929 | 1.17% | a | N/A | (0.39% | )a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 15.80 | $ | (0.05 | ) | $ | 1.28 | $ | 1.23 | $ | - | $ | (0.85 | ) | $ | (0.85 | ) | $ | 16.18 | 8.14% | b | $ | 19,756 | 1.42% | a | N/A | (0.64% | )a | ||||||||||||||||||||||||
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% | ) |
227
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 13.05 | $ | 0.01 | $ | 1.21 | $ | 1.22 | $ | - | $ | - | $ | - | $ | 14.27 | 9.43% | b | $ | 287,965 | 0.86% | a | N/A | 0.08% | a | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.93 | $ | (0.00 | )d | $ | 1.20 | $ | 1.20 | $ | - | $ | - | $ | - | $ | 14.13 | 9.37% | b | $ | 116,217 | 0.96% | a | N/A | (0.02% | )a | ||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.33 | $ | (0.01 | ) | $ | 1.15 | $ | 1.14 | $ | - | $ | - | $ | - | $ | 13.47 | 9.33% | b | $ | 34,494 | 1.06% | a | N/A | (0.11% | )a | ||||||||||||||||||||||||||
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% | ) |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 46 | % | 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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
228
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 11.69 | $ | (0.01 | ) | $ | 1.08 | $ | 1.07 | $ | - | $ | - | $ | - | $ | 12.76 | 9.25% | b | $ | 30,062 | 1.16% | a | N/A | (0.22% | )a | ||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.61 | $ | (0.03 | ) | $ | 0.99 | $ | 0.96 | $ | - | $ | - | $ | - | $ | 11.57 | 9.15% | b | $ | 35,247 | 1.41% | a | N/A | (0.47% | )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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 10.65 | $ | (0.02 | ) | $ | 0.99 | $ | 0.97 | $ | - | $ | - | $ | - | $ | 11.62 | 9.21% | b | $ | 2,579 | 1.31% | a | N/A | (0.37% | )a | ||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 9.57 | $ | (0.03 | ) | $ | 0.89 | $ | 0.86 | $ | - | $ | - | $ | - | $ | 10.43 | 9.10% | b | $ | 1,776 | 1.56% | a | N/A | (0.63% | )a | ||||||||||||||||||||||||||
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% | ) |
229
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 6.41 | $ | 0.04 | $ | 0.58 | $ | 0.62 | $ | (0.38 | ) | $ | - | $ | (0.38 | ) | $ | 6.65 | 9.94% | b | $ | 15,600 | 1.60% | a | 0.90% | a | 1.11% | a | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 5.00 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 5.00 | -% | $ | 0 | f | -% | -% | -% | |||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 6.56 | $ | 0.04 | $ | 0.59 | $ | 0.63 | $ | (0.36 | ) | $ | - | $ | (0.36 | ) | $ | 6.83 | 9.96% | b | $ | 105 | 1.80% | a | 1.10% | a | 1.18% | a | ||||||||||||||||||||||||
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% |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 16 | % | 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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
230
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 6.64 | $ | 0.05 | $ | 0.58 | $ | 0.63 | $ | (0.36 | ) | $ | - | $ | (0.36 | ) | $ | 6.91 | 9.84% | b | $ | 209 | 1.90% | a | 1.20% | a | 1.50% | a | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 6.36 | $ | 0.04 | $ | 0.56 | $ | 0.60 | $ | (0.33 | ) | $ | - | $ | (0.33 | ) | $ | 6.63 | 9.57% | b | $ | 255 | 2.15% | a | 1.45% | a | 1.10% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 6.35 | $ | 0.03 | $ | 0.57 | $ | 0.60 | $ | (0.35 | ) | $ | - | $ | (0.35 | ) | $ | 6.60 | 9.78% | b | $ | 666 | 2.05% | a | 1.35% | a | 0.91% | a | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 6.33 | $ | 0.04 | $ | 0.56 | $ | 0.60 | $ | (0.35 | ) | $ | - | $ | (0.35 | ) | $ | 6.58 | 9.72% | b | $ | 359 | 2.30% | a | 1.60% | a | 1.21% | a | ||||||||||||||||||||||||
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 |
231
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.10 | $ | 0.13 | $ | 0.57 | $ | 0.70 | $ | (0.61 | ) | $ | (0.21 | ) | $ | (0.82 | ) | $ | 11.98 | 6.27% | b | $ | 117,776 | 0.31% | a | 0.25% | a | 2.27% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.09 | $ | 0.09 | $ | 0.61 | $ | 0.70 | $ | (0.60 | ) | $ | (0.21 | ) | $ | (0.81 | ) | $ | 11.98 | 6.35% | b | $ | 15,462 | 0.41% | a | 0.35% | a | $ | 1.57% | a | ||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.05 | $ | 0.12 | $ | 0.55 | $ | 0.67 | $ | (0.58 | ) | $ | (0.21 | ) | $ | (0.79 | ) | $ | 11.93 | 6.13% | b | $ | 23,585 | 0.56% | a | 0.50% | a | 2.09% | a | |||||||||||||||||||||||
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 |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||
2014 | 2013 | 2012 | ||||||||||||||||||||||
Portfolio turnover rate | 4 | % | 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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
232
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.03 | $ | 0.10 | $ | 0.57 | $ | 0.67 | $ | (0.57 | ) | $ | (0.21 | ) | $ | (0.78 | ) | $ | 11.92 | 6.10% | b | $ | 43,501 | 0.66% | a | 0.60% | a | 1.79% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 12.00 | $ | 0.09 | $ | 0.56 | $ | 0.65 | $ | (0.54 | ) | $ | (0.21 | ) | $ | (0.75 | ) | $ | 11.90 | 5.96% | b | $ | 16,136 | 0.91% | a | 0.85% | a | 1.60% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 11.96 | $ | 0.10 | $ | 0.56 | $ | 0.66 | $ | (0.57 | ) | $ | (0.21 | ) | $ | (0.78 | ) | $ | 11.84 | 6.04% | b | $ | 39,785 | 0.81% | a | 0.75% | a | 1.81% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 11.93 | $ | 0.08 | $ | 0.56 | $ | 0.64 | $ | (0.55 | ) | $ | (0.21 | ) | $ | (0.76 | ) | $ | 11.81 | 5.86% | b | $ | 31,748 | 1.06% | a | 1.00% | a | 1.45% | a | |||||||||||||||||||||||
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 |
233
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 7.88 | $ | 0.03 | $ | 0.74 | $ | 0.77 | $ | (0.18 | ) | $ | (0.18 | ) | $ | 8.47 | 9.92% | b | $ | 333,798 | 0.93% | a | N/A | 0.82% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 7.90 | $ | 0.03 | $ | 0.73 | $ | 0.76 | $ | (0.17 | ) | $ | (0.17 | ) | $ | 8.49 | 9.90% | b | $ | 133,766 | 1.03% | a | N/A | 0.68% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 7.86 | $ | 0.02 | $ | 0.73 | $ | 0.75 | $ | (0.16 | ) | $ | (0.16 | ) | $ | 8.45 | 9.71% | b | $ | 44,559 | 1.13% | a | N/A | 0.48% | a | |||||||||||||||||||||||
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% |
Six months ended March 31, 2017b,r | Year ended September 30, 2016 | Period ended September 30, 2015b | Year ended December 31 | |||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||
Portfolio turnover rate | 15 | % | 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. |
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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
234
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 7.92 | $ | 0.02 | $ | 0.73 | $ | 0.75 | $ | (0.15 | ) | $ | (0.15 | ) | $ | 8.52 | 9.67% | b | $ | 37,838 | 1.23% | a | N/A | 0.50% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 7.75 | $ | 0.01 | $ | 0.71 | $ | 0.72 | $ | (0.13 | ) | $ | (0.13 | ) | $ | 8.34 | 9.46% | b | $ | 53,604 | 1.48% | a | N/A | $ | 0.23% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 7.64 | $ | 0.01 | $ | 0.70 | $ | 0.71 | $ | (0.14 | ) | $ | (0.14 | ) | $ | 8.21 | 9.51% | b | $ | 6,799 | 1.38% | a | N/A | 0.36% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
3/31/17r | $ | 7.70 | $ | (0.00 | )d | $ | 0.71 | $ | 0.71 | $ | (0.13 | ) | $ | (0.13 | ) | $ | 8.28 | 9.34% | b | $ | 1,932 | 1.63% | a | N/A | 0.09% | a | ||||||||||||||||||||||
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% |
235
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 Equity Opportunities Fund (formerly known as MassMutual Select Focused Value Fund) (“Equity Opportunities 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 Fund (formerly known as MassMutual Select Mid Cap Growth Equity II Fund) (“Mid Cap Growth 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.
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. If the NYSE is scheduled to close early, the business day will be considered to
236
Notes to Financial Statements (Unaudited) (Continued)
end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Trustees, and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, each Fund’s net asset value generally is not calculated and the Funds do not anticipate accepting buy or sell orders. However, the value of each Fund’s assets may still be affected on such days to the extent that a Fund holds foreign securities that trade on days that foreign securities markets are open.
Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System (“NASDAQ System”), or in the case 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 its regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.
The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of 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
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. |
237
Notes to Financial Statements (Unaudited) (Continued)
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.
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.
238
Notes to Financial Statements (Unaudited) (Continued)
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 and Growth Opportunities Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of March 31, 2017. For each Fund noted in the preceding sentence, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
The following is the aggregate value by input level, as of March 31, 2017, for the remaining Funds’ investments:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Total Return Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt | $ | - | $ | 276,427,288 | $ | - | $ | 276,427,288 | ||||||||
Municipal Obligations | - | 14,917,395 | - | 14,917,395 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 148,099,406 | - | 148,099,406 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 277,392,672 | - | 277,392,672 | ||||||||||||
U.S. Treasury Obligations | - | 209,531,476 | - | 209,531,476 | ||||||||||||
Short-Term Investments | - | 68,721,996 | - | 68,721,996 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | - | $ | 995,090,233 | $ | - | $ | 995,090,233 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 163,873 | $ | - | $ | - | $ | 163,873 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | (845,282 | ) | $ | - | $ | (845,282 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Preferred Stock | $ | 161,233 | $ | - | $ | - | $ | 161,233 | ||||||||
Bank Loans | - | 14,852,725 | - | 14,852,725 | ||||||||||||
Corporate Debt | - | 91,929,817 | - | 91,929,817 | ||||||||||||
Municipal Obligations | - | 188,850 | - | 188,850 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 47,240,106 | 1,236,782 | ** | 48,476,888 | |||||||||||
Sovereign Debt Obligations | - | 16,247,708 | - | 16,247,708 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 99,524,589 | - | 99,524,589 | ||||||||||||
U.S. Treasury Obligations | - | 103,618,914 | - | 103,618,914 | ||||||||||||
Purchased Options | 1,308,343 | - | - | 1,308,343 | ||||||||||||
Short-Term Investments | - | 68,487,881 | - | 68,487,881 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,469,576 | $ | 442,090,590 | $ | 1,236,782 | $ | 444,796,948 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | 542,204 | $ | - | $ | 542,204 | ||||||||
Futures Contracts | 439,504 | - | - | 439,504 | ||||||||||||
Swap Agreements | - | 1,388,887 | - | 1,388,887 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 439,504 | $ | 1,931,091 | $ | - | $ | 2,370,595 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | (692,131 | ) | $ | - | $ | (692,131 | ) | ||||||
Futures Contracts | (102,055 | ) | - | - | (102,055 | ) | ||||||||||
Swap Agreements | - | (186,601 | ) | - | (186,601 | ) | ||||||||||
Written Options | (536,138 | ) | - | - | (536,138 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (638,193 | ) | $ | (878,732 | ) | $ | - | $ | (1,516,925 | ) | |||||
|
|
|
|
|
|
|
|
239
Notes to Financial Statements (Unaudited) (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Fundamental Value Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 1,207,242,497 | $ | 31,745,911 | * | $ | - | $ | 1,238,988,408 | |||||||
Short-Term Investments | - | 12,895,751 | - | 12,895,751 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,207,242,497 | $ | 44,641,662 | $ | - | $ | 1,251,884,159 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Large Cap Value Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 180,755,429 | $ | 2,091,176 | $ | - | $ | 182,846,605 | ||||||||
Mutual Funds | 5,774,344 | - | - | 5,774,344 | ||||||||||||
Short-Term Investments | - | 10,010,156 | - | 10,010,156 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 186,529,773 | $ | 12,101,332 | $ | - | $ | 198,631,105 | ||||||||
|
|
|
|
|
|
|
| |||||||||
S&P 500 Index Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 3,782,330,727 | $ | - | $ | - | $ | 3,782,330,727 | ||||||||
Short-Term Investments | - | 26,237,026 | - | 26,237,026 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,782,330,727 | $ | 26,237,026 | $ | - | $ | 3,808,567,753 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 121,755 | $ | - | $ | - | $ | 121,755 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Opportunities Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 718,168,171 | $ | 15,744,276 | * | $ | - | $ | 733,912,447 | |||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Growth Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 121,386,676 | $ | 571,515 | * | $ | - | $ | 121,958,191 | |||||||
Mutual Funds | 1,573,066 | - | - | 1,573,066 | ||||||||||||
Short-Term Investments | - | 3,363,416 | - | 3,363,416 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 122,959,742 | $ | 3,934,931 | $ | - | $ | 126,894,673 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Blue Chip Growth Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 1,805,064,422 | $ | 42,328,353 | * | $ | - | $ | 1,847,392,775 | |||||||
Mutual Funds | 1,016 | - | - | 1,016 | ||||||||||||
Short-Term Investments | - | 27,311,226 | - | 27,311,226 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,805,065,438 | $ | 69,639,579 | $ | - | $ | 1,874,705,017 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Mid-Cap Value Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 107,560,386 | $ | 670,411 | * | $ | - | $ | 108,230,797 | |||||||
Mutual Funds | 1,277,631 | - | - | 1,277,631 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 108,838,017 | $ | 670,411 | $ | - | $ | 109,508,428 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | 13,510 | $ | - | $ | 13,510 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | (5,318 | ) | $ | - | $ | (5,318 | ) | ||||||
|
|
|
|
|
|
|
|
240
Notes to Financial Statements (Unaudited) (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Small Cap Value Equity Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 179,852,655 | $ | 3,706,176 | * | $ | - | +** | $ | 183,558,831 | ||||||
Corporate Debt | - | 279,885 | - | 279,885 | ||||||||||||
Short-Term Investments | - | 6,350,666 | - | 6,350,666 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 179,852,655 | $ | 10,336,727 | $ | - | $ | 190,189,382 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Company Value Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 276,839,361 | $ | - | $ | - | +** | $ | 276,839,361 | |||||||
Mutual Funds | 16,816,963 | - | - | 16,816,963 | ||||||||||||
Short-Term Investments | - | 4,455,759 | - | 4,455,759 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 293,656,324 | $ | 4,455,759 | $ | - | $ | 298,112,083 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 2,706 | $ | - | $ | - | $ | 2,706 | ||||||||
|
|
|
|
|
|
|
| |||||||||
S&P Mid Cap Index Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 369,647,415 | $ | - | $ | - | $ | 369,647,415 | ||||||||
Mutual Funds | 18,581,847 | - | - | 18,581,847 | ||||||||||||
Short-Term Investments | - | 12,265,903 | - | 12,265,903 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 388,229,262 | $ | 12,265,903 | $ | - | $ | 400,495,165 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 57,578 | $ | - | $ | - | $ | 57,578 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Russell 2000 Small Cap Index Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 316,218,719 | $ | - | $ | 10,678 | ** | $ | 316,229,397 | |||||||
Rights | - | - | 44,356 | ** | 44,356 | |||||||||||
Corporate Debt | - | 44,663 | - | 44,663 | ||||||||||||
Mutual Funds | 38,150,827 | - | - | 38,150,827 | ||||||||||||
Short-Term Investments | - | 12,749,798 | - | 12,749,798 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 354,369,546 | $ | 12,794,461 | $ | 55,034 | $ | 367,219,041 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 241,968 | $ | - | $ | - | $ | 241,968 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Growth Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 3,712,965,196 | $ | - | $ | 4,937,702 | ** | $ | 3,717,902,898 | |||||||
Preferred Stock | - | - | 10,228,374 | ** | 10,228,374 | |||||||||||
Mutual Funds | 236,043,134 | - | - | 236,043,134 | ||||||||||||
Short-Term Investments | - | 134,677,161 | - | 134,677,161 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,949,008,330 | $ | 134,677,161 | $ | 15,166,076 | $ | 4,098,851,567 | ||||||||
|
|
|
|
|
|
|
|
241
Notes to Financial Statements (Unaudited) (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Small Cap Growth Equity Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 492,662,259 | $ | 2,138,180 | * | $ | 1,187,477 | $ | 495,987,916 | |||||||
Preferred Stock | - | - | 6,079,796 | 6,079,796 | ||||||||||||
Rights | - | - | 38,235 | 38,235 | ||||||||||||
Mutual Funds | 59,070,923 | - | - | 59,070,923 | ||||||||||||
Short-Term Investments | - | 2,534,891 | - | 2,534,891 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 551,733,182 | $ | 4,673,071 | $ | 7,305,508 | $ | 563,711,761 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified International Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Australia | $ | - | $ | 704,032 | $ | - | $ | 704,032 | ||||||||
Austria | - | 191,886 | - | 191,886 | ||||||||||||
Belgium | - | 363,046 | - | 363,046 | ||||||||||||
Canada | 184,131 | - | - | 184,131 | ||||||||||||
Cayman Islands | - | 254,566 | - | 254,566 | ||||||||||||
Chile | 107,669 | - | - | 107,669 | ||||||||||||
Denmark | - | 1,424,951 | - | 1,424,951 | ||||||||||||
Finland | - | 239,289 | - | 239,289 | ||||||||||||
France | - | 2,481,676 | - | 2,481,676 | ||||||||||||
Hong Kong | - | 149,604 | - | 149,604 | ||||||||||||
Ireland | 147,041 | - | - | 147,041 | ||||||||||||
Israel | 200,819 | - | - | 200,819 | ||||||||||||
Italy | - | 578,325 | - | 578,325 | ||||||||||||
Japan | - | 4,144,533 | - | 4,144,533 | ||||||||||||
Luxembourg | - | 183,264 | - | 183,264 | ||||||||||||
Netherlands | - | 825,432 | - | 825,432 | ||||||||||||
Norway | - | 220,582 | - | 220,582 | ||||||||||||
Republic of Korea | - | 187,858 | - | 187,858 | ||||||||||||
Singapore | - | 226,215 | - | 226,215 | ||||||||||||
Spain | - | 513,646 | - | 513,646 | ||||||||||||
Sweden | - | 289,549 | - | 289,549 | ||||||||||||
Switzerland | - | 624,990 | - | 624,990 | ||||||||||||
United Kingdom | - | 2,854,482 | - | 2,854,482 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 639,660 | $ | 16,457,926 | $ | - | $ | 17,097,586 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | 275,195 | $ | - | $ | 275,195 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | (216,385 | ) | $ | - | $ | (216,385 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
MSCI EAFE International Index Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Australia | $ | - | $ | 20,771,910 | $ | - | $ | 20,771,910 | ||||||||
Austria | - | 583,050 | - | 583,050 | ||||||||||||
Belgium | - | 3,213,755 | - | 3,213,755 | ||||||||||||
Bermuda | - | 1,105,135 | - | 1,105,135 | ||||||||||||
Cayman Islands | 68,598 | 1,662,184 | - | 1,730,782 | ||||||||||||
Denmark | - | 11,656,768 | - | 11,656,768 |
242
Notes to Financial Statements (Unaudited) (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
MSCI EAFE International Index Fund (Continued) | ||||||||||||||||
Asset Investments (Continued) | ||||||||||||||||
Finland | $ | - | $ | 2,657,721 | $ | - | $ | 2,657,721 | ||||||||
France | - | 26,323,614 | - | 26,323,614 | ||||||||||||
Germany | - | 17,297,503 | - | 17,297,503 | ||||||||||||
Hong Kong | - | 6,817,930 | - | 6,817,930 | ||||||||||||
Ireland | - | 1,529,402 | - | 1,529,402 | ||||||||||||
Israel | 954,382 | 670,292 | - | 1,624,674 | ||||||||||||
Italy | - | 5,084,778 | - | 5,084,778 | ||||||||||||
Japan | - | 64,690,319 | - | 64,690,319 | ||||||||||||
Luxembourg | - | 911,070 | - | 911,070 | ||||||||||||
Mauritius | - | 37,645 | - | 37,645 | ||||||||||||
Netherlands | 1,328,832 | 10,291,922 | - | 11,620,754 | ||||||||||||
New Zealand | - | 470,545 | - | 470,545 | ||||||||||||
Norway | - | 1,721,584 | - | 1,721,584 | ||||||||||||
Papua New Guinea | - | 156,058 | - | 156,058 | ||||||||||||
Portugal | - | 449,047 | 423 | ** | 449,470 | |||||||||||
Singapore | - | 3,595,566 | - | 3,595,566 | ||||||||||||
Spain | - | 9,272,459 | - | 9,272,459 | ||||||||||||
Sweden | - | 7,835,485 | - | 7,835,485 | ||||||||||||
Switzerland | - | 24,171,697 | - | 24,171,697 | ||||||||||||
United Kingdom | - | 49,023,412 | - | 49,023,412 | ||||||||||||
United States | - | 170,255 | - | 170,255 | ||||||||||||
Preferred Stock | ||||||||||||||||
Germany | - | 1,447,641 | - | 1,447,641 | ||||||||||||
Mutual Funds | 7,414,030 | - | - | 7,414,030 | ||||||||||||
Rights | - | 71,039 | - | 71,039 | ||||||||||||
Short-Term Investments | - | 6,290,861 | - | 6,290,861 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 9,765,842 | $ | 279,980,647 | $ | 423 | $ | 289,746,912 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | 123,825 | $ | - | $ | 123,825 | ||||||||
Futures Contracts | 127,161 | - | - | 127,161 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 127,161 | $ | 123,825 | $ | - | $ | 250,986 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | (16,267 | ) | $ | - | $ | (16,267 | ) | ||||||
Futures Contracts | (64,011 | ) | - | - | (64,011 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (64,011 | ) | $ | (16,267 | ) | $ | - | $ | (80,278 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Overseas Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Australia | $ | - | $ | 12,799,977 | $ | - | $ | 12,799,977 | ||||||||
Austria | - | 1,363,917 | - | 1,363,917 | ||||||||||||
Belgium | - | 5,935,099 | - | 5,935,099 | ||||||||||||
Bermuda | - | 1,215,655 | - | 1,215,655 | ||||||||||||
Brazil | 2,922,952 | - | - | 2,922,952 | ||||||||||||
Canada | 14,840,012 | - | - | 14,840,012 | ||||||||||||
Cayman Islands | 8,367,241 | 1,846,269 | - | 10,213,510 | ||||||||||||
Chile | 777,580 | - | - | 777,580 | ||||||||||||
Denmark | - | 33,606,714 | - | 33,606,714 |
243
Notes to Financial Statements (Unaudited) (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Overseas Fund (Continued) | ||||||||||||||||
Asset Investments (Continued) | ||||||||||||||||
Finland | $ | - | $ | 1,888,739 | $ | - | $ | 1,888,739 | ||||||||
France | - | 91,069,025 | - | 91,069,025 | ||||||||||||
Germany | - | 36,479,662 | - | 36,479,662 | ||||||||||||
Hong Kong | - | 8,677,180 | - | 8,677,180 | ||||||||||||
India | 1,875,460 | 8,932,973 | - | 10,808,433 | ||||||||||||
Indonesia | - | 3,388,554 | - | 3,388,554 | ||||||||||||
Ireland | 4,499,720 | - | - | 4,499,720 | ||||||||||||
Israel | 5,626,982 | - | - | 5,626,982 | ||||||||||||
Italy | - | 16,936,197 | - | 16,936,197 | ||||||||||||
Japan | - | 85,550,133 | - | 85,550,133 | ||||||||||||
Luxembourg | - | 1,394,710 | - | 1,394,710 | ||||||||||||
Mexico | 3,535,622 | - | - | 3,535,622 | ||||||||||||
Netherlands | - | 38,973,001 | - | 38,973,001 | ||||||||||||
Norway | - | 1,678,334 | - | 1,678,334 | ||||||||||||
Republic of Korea | - | 2,856,540 | - | 2,856,540 | ||||||||||||
Singapore | - | 8,429,525 | - | 8,429,525 | ||||||||||||
Spain | - | 8,116,864 | - | 8,116,864 | ||||||||||||
Sweden | - | 16,229,024 | - | 16,229,024 | ||||||||||||
Switzerland | - | 64,447,070 | - | 64,447,070 | ||||||||||||
Taiwan | 5,590,484 | 458,106 | - | 6,048,590 | ||||||||||||
United Kingdom | 1,769,814 | 97,184,330 | - | 98,954,144 | ||||||||||||
United States | 3,979,958 | - | - | 3,979,958 | ||||||||||||
Mutual Funds | 20,519,438 | - | - | 20,519,438 | ||||||||||||
Short-Term Investments | - | 6,181,308 | - | 6,181,308 | ||||||||||||
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Total Investments | $ | 74,305,263 | $ | 555,638,906 | $ | - | $ | 629,944,169 | ||||||||
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Asset Derivatives | ||||||||||||||||
Forwards Contracts | $ | - | $ | 353,197 | $ | - | $ | 353,197 | ||||||||
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Liability Derivatives | ||||||||||||||||
Forwards Contracts | $ | - | $ | (132,828 | ) | $ | - | $ | (132,828 | ) | ||||||
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* | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments after the close of trading in their applicable foreign markets. |
** | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund(s). Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the period ended March 31, 2017 is not presented. |
+ | Represents a security at $0 value as of March 31, 2017. |
The following tables show Funds with certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of March 31, 2017.
Statements of Assets and Liabilities location: | Total Return | Strategic Bond Fund | MSCI EAFE International | |||
Receivables from: | ||||||
Collateral pledged for open derivative instruments | X | X | ||||
Investments sold on a when-issued basis | X | X | ||||
Payables for: | ||||||
Investments purchased on a when-issued basis | X | X |
244
Notes to Financial Statements (Unaudited) (Continued)
Statements of Assets and Liabilities location: | Large Cap | Fundamental | Growth | Mid-Cap | Small | S&P | ||||||
Payables for: | ||||||||||||
Securities on loan | X | X | X | X | X | |||||||
Due to custodian | X |
Statements of Assets and Liabilities location: | Russell 2000 | Mid Cap | Small Cap | Diversified International | MSCI EAFE | Overseas | ||||||
Payables for: | ||||||||||||
Securities on loan | X | X | X | X | X | |||||||
Due to custodian | X | X | X | X |
The Funds had no transfers between Level 1 and Level 2 of the fair value hierarchy during the period ended March 31, 2017. 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 9/30/16 | 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 3/31/17 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still held as of 3/31/17 | |||||||||||||||||||||||||||||||
Small Cap Growth Equity Fund |
| |||||||||||||||||||||||||||||||||||||||
Common Stock | $ | 1,039,359 | $ | - | $ | - | $ | 65,415 | $ | 82,703 | $ | - | $ | - | $ | - | $ | 1,187,477 | $ | 65,415 | ||||||||||||||||||||
Preferred Stock | 6,269,529 | - | 121,233 | 137,342 | - | (448,308 | ) | - | - | 6,079,796 | 293,692 | |||||||||||||||||||||||||||||
Rights | - | ** | - | - | 38,235 | - | - | - | - | 38,235 | 38,235 | |||||||||||||||||||||||||||||
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$ | 7,308,888 | $ | - | $ | 121,233 | $ | 240,992 | $ | 82,703 | $ | (448,308 | ) | $ | - | $ | - | $ | 7,305,508 | $ | 397,342 | ||||||||||||||||||||
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* | The Fund(s) recognize transfers between the Levels as of the beginning of the year. |
** | Represents a security at $0 value as of September 30, 2016. |
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.
245
Notes to Financial Statements (Unaudited) (Continued)
Small Cap Growth Equity Fund | Fair Value Amount | Valuation | Unobservable Input Description | Value/ Weighted Average Range | ||||||||
Common stock — $1,187,477 | ||||||||||||
Dropbox, Inc. | $ | 291,110 | Market Approach | EV/Multiple | 6.30x | |||||||
Discount for Lack of Marketability | 10% | |||||||||||
Telogis | 798,186 | Market Approach | Future Cash Distribution | $ | 3.18 | |||||||
Centennial Resource Development Inc. Class A | 98,181 | Market Approach | Parity to Underlying Security | $ | 17.26 | |||||||
Discount for Lack of Marketability | 10% | |||||||||||
Docusign, Inc. Series E (Escrow Shares) | — | Worthless | Worthless | $ | 0.00 | |||||||
Preferred stock — $6,079,796 | ||||||||||||
Cloudera, Inc. Series F | $ | 794,364 | Market Approach | EV/Multiple | 6.40x | |||||||
Discount for Lack of Marketability | 10% | |||||||||||
Draftkings, Inc. Series D | 143,316 | Market Approach | Probability Expected Weighted Return Model | |||||||||
Draftkings, Inc. Series D1 | 333,580 | Merger Probability | 50% | |||||||||
No Merger Probability | 50% | |||||||||||
Marklogic Corp. Series F | 810,229 | Market Approach | EV/Multiple | 3.60x | ||||||||
Discount for Lack of Marketability | 10% | |||||||||||
Telogis | 1,504,842 | Market Approach | Future Cash Distribution | $ | 4.40 | |||||||
The Honest Company, Series D | 498,127 | Market Approach | EV/Multiple | 4.03x | ||||||||
Discount for Lack of Marketability | 10% | |||||||||||
Veracode, Inc. Series 8 | 1,170,560 | Market Approach | Future Cash Distribution | $ | 38.64 | |||||||
Zuora Inc., Series F | 824,778 | Market Approach | EV/Multiple | 6.10x | ||||||||
Discount for Lack of Marketability | 10% | |||||||||||
Rights — $38,235 | ||||||||||||
Dyax Corp | $ | 38,235 | Asset Valuation | Future Cash Distribution | $ | 1.89 | ||||||
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| |||||||||||
Total | $ | 7,305,508 | ||||||||||
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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 period ended March 31, 2017, the following table shows how the Fund used these types of derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).
246
Notes to Financial Statements (Unaudited) (Continued)
Type of Derivative and Objective for Use | Total | Strategic | S&P 500 | |||
Foreign Currency Exchange Transactions* | ||||||
Hedging/Risk Management | A | A | ||||
Directional Exposures to Currencies | M | 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 Buyer) | ||||||
Hedging/Risk Management | A | |||||
Duration/Credit Quality Management | A | |||||
Income | M | |||||
Substitution for Direct Investment | M | |||||
Credit Default Swaps (Protection Seller) | ||||||
Hedging/Risk Management | A | |||||
Duration/Credit Quality Management | A | |||||
Income | M | |||||
Substitution for Direct Investment | M | |||||
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 | 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 | ||||||||||||
Substitution for Direct Investment | A | A | A | M | A |
* | Includes any options purchased or written, futures contracts, forward contracts, and swap agreements, if applicable. |
** | Includes any options purchased or written on futures contracts, if applicable. |
*** | Includes any caps, floors, and collars, and related purchased or written options, if applicable. |
247
Notes to Financial Statements (Unaudited) (Continued)
At March 31, 2017, and during the period 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 | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | 163,873 | $ | 163,873 | ||||||||||
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Liability Derivatives | ||||||||||||||||||||
Forward Contracts^ | $ | - | $ | - | $ | (845,282 | ) | $ | - | $ | (845,282 | ) | ||||||||
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Realized Gain (Loss)# | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | 3,990,685 | $ | - | $ | 3,990,685 | ||||||||||
Futures Contracts | - | - | - | (2,109,520 | ) | (2,109,520 | ) | |||||||||||||
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Total Realized Gain (Loss) | $ | - | $ | - | $ | 3,990,685 | $ | (2,109,520 | ) | $ | 1,881,165 | |||||||||
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Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | (776,916 | ) | $ | - | $ | (776,916 | ) | ||||||||
Futures Contracts | - | - | - | 231,157 | 231,157 | |||||||||||||||
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Total Change in Appreciation (Depreciation) | $ | - | $ | - | $ | (776,916 | ) | $ | 231,157 | $ | (545,759 | ) | ||||||||
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Strategic Bond Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | 591,500 | $ | 716,843 | $ | 1,308,343 | ||||||||||
Forward Contracts* | - | - | 542,204 | - | 542,204 | |||||||||||||||
Futures Contracts^^ | - | - | - | 439,504 | 439,504 | |||||||||||||||
Swap Agreements^^,^^^ | 111,099 | - | - | 1,277,788 | 1,388,887 | |||||||||||||||
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Total Value | $ | 111,099 | $ | - | $ | 1,133,704 | $ | 2,434,135 | $ | 3,678,938 | ||||||||||
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Liability Derivatives | ||||||||||||||||||||
Forward Contracts^ | $ | - | $ | - | $ | (692,131 | ) | $ | - | $ | (692,131 | ) | ||||||||
Futures Contracts^^ | - | - | (7,173 | ) | (94,882 | ) | (102,055 | ) | ||||||||||||
Swap Agreements^^,^^^ | (24,908 | ) | - | - | (161,693 | ) | (186,601 | ) | ||||||||||||
Written Options^,^^^ | - | - | (29 | ) | (536,109 | ) | (536,138 | ) | ||||||||||||
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Total Value | $ | (24,908 | ) | $ | - | $ | (699,333 | ) | $ | (792,684 | ) | $ | (1,516,925 | ) | ||||||
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Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | (31,708 | ) | $ | (959,254 | ) | $ | (990,962 | ) | |||||||
Forward Contracts | - | - | 726,997 | - | 726,997 | |||||||||||||||
Futures Contracts | - | - | 48,169 | (1,942,661 | ) | (1,894,492 | ) | |||||||||||||
Swap Agreements | 57,845 | - | - | (171,718 | ) | (113,873 | ) | |||||||||||||
Written Options | - | - | 14,960 | 406,463 | 421,423 | |||||||||||||||
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| |||||||||||
Total Realized Gain (Loss) | $ | 57,845 | $ | - | $ | 758,418 | $ | (2,667,170 | ) | $ | (1,850,907 | ) | ||||||||
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248
Notes to Financial Statements (Unaudited) (Continued)
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Strategic Bond Fund (Continued) | ||||||||||||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 509,181 | $ | 15,916 | $ | 525,097 | ||||||||||
Forward Contracts | - | - | (178,150 | ) | - | (178,150 | ) | |||||||||||||
Futures Contracts | - | - | (7,575 | ) | 426,852 | 419,277 | ||||||||||||||
Swap Agreements | 13,636 | - | - | 2,137,999 | 2,151,635 | |||||||||||||||
Written Options | - | - | 2,931 | 35,957 | 38,888 | |||||||||||||||
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Total Change in Appreciation (Depreciation) | $ | 13,636 | $ | - | $ | 326,387 | $ | 2,616,724 | $ | 2,956,747 | ||||||||||
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S&P 500 Index Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | 121,755 | $ | - | $ | - | $ | 121,755 | ||||||||||
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Realized Gain (Loss)# | ||||||||||||||||||||
Futures Contracts | $ | - | $ | 3,274,422 | $ | - | $ | - | $ | 3,274,422 | ||||||||||
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Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Futures Contracts | $ | - | $ | (247,464 | ) | $ | - | $ | - | $ | (247,464 | ) | ||||||||
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Mid-Cap Value Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Forward Contracts*,^^^ | $ | - | $ | - | $ | 13,510 | $ | - | $ | 13,510 | ||||||||||
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Liability Derivatives | ||||||||||||||||||||
Forward Contracts^,^^^ | $ | - | $ | - | $ | (5,318 | ) | $ | - | $ | (5,318 | ) | ||||||||
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Realized Gain (Loss)# | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | 60,382 | $ | - | $ | 60,382 | ||||||||||
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Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | 19,607 | $ | - | $ | 19,607 | ||||||||||
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Small Company Value Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | 2,706 | $ | - | $ | - | $ | 2,706 | ||||||||||
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Realized Gain (Loss)# | ||||||||||||||||||||
Futures Contracts | $ | - | $ | 220,351 | $ | - | $ | - | $ | 220,351 | ||||||||||
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Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Futures Contracts | $ | - | $ | (19,261 | ) | $ | - | $ | - | $ | (19,261 | ) | ||||||||
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S&P Mid Cap Index Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | 57,578 | $ | - | $ | - | $ | 57,578 | ||||||||||
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Realized Gain (Loss)# | ||||||||||||||||||||
Futures Contracts | $ | - | $ | 709,377 | $ | - | $ | - | $ | 709,377 | ||||||||||
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Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Futures Contracts | $ | - | $ | 57,292 | $ | - | $ | - | $ | 57,292 | ||||||||||
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249
Notes to Financial Statements (Unaudited) (Continued)
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Russell 2000 Small Cap Index Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | 241,968 | $ | - | $ | - | $ | 241,968 | ||||||||||
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Realized Gain (Loss)# | ||||||||||||||||||||
Futures Contracts | $ | - | $ | 679,417 | $ | - | $ | - | $ | 679,417 | ||||||||||
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Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Futures Contracts | $ | - | $ | 121,793 | $ | - | $ | - | $ | 121,793 | ||||||||||
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Diversified International Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Forward Contracts*,^^^ | $ | - | $ | - | $ | 275,195 | $ | - | $ | 275,195 | ||||||||||
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Liability Derivatives | ||||||||||||||||||||
Forward Contracts^,^^^ | $ | - | $ | - | $ | (216,385 | ) | $ | - | $ | (216,385 | ) | ||||||||
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Realized Gain (Loss)# | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | (27,127 | ) | $ | - | $ | (27,127 | ) | ||||||||
Futures Contracts | - | 31,436 | - | - | 31,436 | |||||||||||||||
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Total Realized Gain (Loss) | $ | - | $ | 31,436 | $ | (27,127 | ) | $ | - | $ | 4,309 | |||||||||
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Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | 163,834 | $ | - | $ | 163,834 | ||||||||||
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MSCI EAFE International Index Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Forward Contracts* | $ | - | $ | - | $ | 123,825 | $ | - | $ | 123,825 | ||||||||||
Futures Contracts^^ | - | 127,161 | - | - | 127,161 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | 127,161 | $ | 123,825 | $ | - | $ | 250,986 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Forward Contracts^ | $ | - | $ | - | $ | (16,267 | ) | $ | - | $ | (16,267 | ) | ||||||||
Futures Contracts^^ | - | (64,011 | ) | - | - | (64,011 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | (64,011 | ) | $ | (16,267 | ) | $ | - | $ | (80,278 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | (70,784 | ) | $ | - | $ | (70,784 | ) | ||||||||
Futures Contracts | - | 711,896 | - | - | 711,896 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | - | $ | 711,896 | $ | (70,784 | ) | $ | - | $ | 641,112 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | 81,730 | $ | - | $ | 81,730 | ||||||||||
Futures Contracts | - | 12,263 | - | - | 12,263 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | - | $ | 12,263 | $ | 81,730 | $ | - | $ | 93,993 | ||||||||||
|
|
|
|
|
|
|
|
|
|
250
Notes to Financial Statements (Unaudited) (Continued)
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Overseas Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Forward Contracts*,^^^ | $ | - | $ | - | $ | 353,197 | $ | - | $ | 353,197 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Forward Contracts^,^^^ | $ | - | $ | - | $ | (91,079 | ) | $ | - | $ | (91,079 | ) | ||||||||
Forward Contracts^ | - | - | (41,749 | ) | - | (41,749 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | (132,828 | ) | $ | - | $ | (132,828 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | 608,183 | $ | - | $ | 608,183 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | 228,097 | $ | - | $ | 228,097 | ||||||||||
|
|
|
|
|
|
|
|
|
|
* | 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, at value, or open forward foreign currency contracts, 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 period ended March 31, 2017, 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 | 718 | $ | 34,028,372 | $ | - | - | - | |||||||||||||
Strategic Bond Fund | 1,653 | 42,796,241 | 50,638,667 | 3,912,924 | 669,105 | |||||||||||||||
S&P 500 Index Fund | 357 | - | - | - | - | |||||||||||||||
Mid-Cap Value Fund | - | 2,283,860 | - | - | - | |||||||||||||||
Small Company Value Fund | 22 | - | - | - | - | |||||||||||||||
S&P Mid Cap Index Fund | 64 | - | - | - | - | |||||||||||||||
Russell 2000 Small Cap Index Fund | 103 | - | - | - | - | |||||||||||||||
Diversified International Fund | 10 | 22,525,954 | - | - | - | |||||||||||||||
MSCI EAFE International Index Fund | 123 | 11,513,082 | - | - | - | |||||||||||||||
Overseas Fund | - | 43,487,818 | - | - | - |
† | 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 period ended March 31, 2017. |
251
Notes to Financial Statements (Unaudited) (Continued)
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 March 31, 2017.
Counterparty | Derivative Assets Subject to an MNA by Counterparty† | Financial Instruments Available for Offset | Collateral Received*** | Net Amount* | ||||||||||||
MSCI EAFE International Index Fund | ||||||||||||||||
Bank of New York Mellon | $ | 2,928 | $ | (2,928 | ) | $ | - | $ | - | |||||||
Citibank N.A. | 39,928 | (4 | ) | - | 39,924 | |||||||||||
Goldman Sachs & Co. | 8,695 | (311 | ) | - | 8,384 | |||||||||||
JP Morgan Chase Bank N.A. | 3,617 | - | - | 3,617 | ||||||||||||
Morgan Stanley & Co. LLC | 67,139 | - | - | 67,139 | ||||||||||||
Societe Generale | 1,518 | (894 | ) | - | 624 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 123,825 | $ | (4,137 | ) | $ | - | $ | 119,688 | ||||||||
|
|
|
|
|
|
|
|
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 March 31, 2017.
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty† | Financial Instruments Available for Offset | Collateral Pledged*** | Net Amount** | ||||||||||||
Total Return Bond Fund | ||||||||||||||||
Bank of America N.A. | $ | (152,709 | ) | $ | - | $ | - | $ | (152,709 | ) | ||||||
Citibank N.A. | (422,793 | ) | - | - | (422,793 | ) | ||||||||||
JP Morgan Chase Bank N.A. | (269,780 | ) | - | - | (269,780 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (845,282 | ) | $ | - | $ | - | $ | (845,282 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
MSCI EAFE International Index Fund | ||||||||||||||||
Bank of Montreal | $ | (239 | ) | $ | - | $ | - | $ | (239 | ) | ||||||
Bank of New York Mellon | (14,819 | ) | 2,928 | - | (11,891 | ) | ||||||||||
Citibank N.A. | (4 | ) | 4 | - | - | |||||||||||
Goldman Sachs & Co. | (311 | ) | 311 | - | - | |||||||||||
Societe Generale | (894 | ) | 894 | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (16,267 | ) | $ | 4,137 | $ | - | $ | (12,130 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Overseas Fund | ||||||||||||||||
State Street Bank and Trust Co. | $ | (41,749 | ) | $ | - | $ | - | $ | (41,749 | ) | ||||||
|
|
|
|
|
|
|
|
* | 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.
252
Notes to Financial Statements (Unaudited) (Continued)
Further details regarding the derivatives and other investments held by the Fund(s) during the period ended March 31, 2017, 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 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.
253
Notes to Financial Statements (Unaudited) (Continued)
The Fund(s) listed in the following table had open forward foreign currency contracts at March 31, 2017. 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 | ||||||||||||||||||||
Contracts to Deliver | ||||||||||||||||||||
JPY | 1,020,000,000 | Bank of America N.A.* | 06/19/17 | $ | 9,036,145 | $ | (152,709 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
JPY | 1,600,000,000 | Citibank N.A.* | 05/01/17 | 13,962,702 | (422,793 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
JPY | 1,400,000,000 | JP Morgan Chase Bank N.A.* | 04/17/17 | 12,311,047 | (269,780 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 35,309,894 | $ | (845,282 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Strategic Bond Fund | ||||||||||||||||||||
Contracts to Buy | ||||||||||||||||||||
EUR | 1,920,000 | Bank of America N.A. | 04/20/17 | $ | 2,039,197 | $ | 10,513 | |||||||||||||
|
|
|
| |||||||||||||||||
CAD | 1,324,200 | Barclays Bank PLC | 04/03/17 | 995,789 | (37 | ) | ||||||||||||||
CAD | 5,140,820 | Barclays Bank PLC | 04/20/17 | 3,835,568 | 31,122 | |||||||||||||||
|
|
|
| |||||||||||||||||
4,831,357 | 31,085 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 6,719,841 | Citibank N.A. | 04/20/17 | 7,170,460 | 3,358 | |||||||||||||||
GBP | 832,464 | Citibank N.A. | 04/20/17 | 1,018,212 | 25,171 | |||||||||||||||
IDR | 31,676,380,000 | Citibank N.A. | 04/20/17 | 2,348,660 | 24,446 | |||||||||||||||
INR | 165,360,000 | Citibank N.A. | 04/20/17 | 2,392,707 | 148,238 | |||||||||||||||
MXN | 38,009,200 | Citibank N.A. | 04/20/17 | 1,738,279 | 286,834 | |||||||||||||||
|
|
|
| |||||||||||||||||
14,668,318 | 488,047 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
BRL | 416,000 | Goldman Sachs & Co. | 04/20/17 | 126,617 | 5,768 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 21,665,489 | $ | 535,413 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Contracts to Deliver | ||||||||||||||||||||
EUR | 1,185,385 | Bank of America N.A. | 04/20/17 | $ | 1,265,408 | $ | (59 | ) | ||||||||||||
MXN | 34,655,405 | Bank of America N.A. | 04/10/17 | 1,604,677 | (244,594 | ) | ||||||||||||||
MXN | 58,123,100 | Bank of America N.A. | 04/20/17 | 3,056,376 | (40,397 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
5,926,461 | (285,050 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
CAD | 1,324,200 | Barclays Bank PLC | 04/03/17 | 1,000,000 | 4,249 | |||||||||||||||
CAD | 1,324,200 | Barclays Bank PLC | 04/20/17 | 996,027 | 24 | |||||||||||||||
CNY | 40,663,913 | Barclays Bank PLC | 04/20/17 | 5,819,939 | (74,811 | ) | ||||||||||||||
JPY | 119,689,600 | Barclays Bank PLC | 04/20/17 | 1,058,825 | (16,861 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
8,874,791 | (87,399 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
CNY | 5,420,000 | Citibank N.A. | 04/20/17 | 772,135 | (13,563 | ) | ||||||||||||||
EUR | 6,513,922 | Citibank N.A. | 04/20/17 | 6,929,274 | (24,714 | ) | ||||||||||||||
JPY | 463,056,625 | Citibank N.A. | 04/20/17 | 4,023,466 | (138,161 | ) | ||||||||||||||
TWD | 103,310,000 | Citibank N.A. | 04/20/17 | 3,268,115 | (138,673 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
14,992,990 | (315,111 | ) | ||||||||||||||||||
|
|
|
|
254
Notes to Financial Statements (Unaudited) (Continued)
Counterparty | Settlement | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Strategic Bond Fund (Continued) | ||||||||||||||||||||
Contracts to Deliver (Continued) | ||||||||||||||||||||
EUR | 400,000 | JP Morgan Chase Bank N.A. | 04/20/17 | $ | 429,504 | $ | 2,481 | |||||||||||||
|
|
|
| |||||||||||||||||
EUR | 836,893 | UBS AG | 04/20/17 | 893,171 | (261 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 31,116,917 | $ | (685,340 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Mid-Cap Value Fund | ||||||||||||||||||||
Contracts to Buy | ||||||||||||||||||||
CAD | 41,149 | Morgan Stanley & Co. LLC | 06/30/17 | $ | 30,981 | $ | (1 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
EUR | 19,548 | UBS AG | 06/30/17 | 20,985 | (44 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 51,966 | $ | (45 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Contracts to Deliver | ||||||||||||||||||||
JPY | 36,623,372 | Credit Suisse International | 06/30/17 | $ | 333,278 | $ | 3,176 | |||||||||||||
|
|
|
| |||||||||||||||||
CAD | 1,165,363 | Morgan Stanley & Co. LLC | 06/30/17 | 872,099 | (5,273 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 561,236 | UBS AG | 06/30/17 | 611,557 | 10,334 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 1,816,934 | $ | 8,237 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Diversified International Fund | ||||||||||||||||||||
Contracts to Buy | ||||||||||||||||||||
AUD | 730,746 | Australia & New Zealand Banking Group | 04/21/17 | $ | 560,854 | $ | (2,736 | ) | ||||||||||||
CAD | 186,213 | Australia & New Zealand Banking Group | 04/21/17 | 140,256 | (193 | ) | ||||||||||||||
EUR | 2,130,979 | Australia & New Zealand Banking Group | 04/21/17 | 2,268,634 | 6,413 | |||||||||||||||
GBP | 1,812,366 | Australia & New Zealand Banking Group | 04/21/17 | 2,242,755 | 28,858 | |||||||||||||||
HKD | 2,262,191 | Australia & New Zealand Banking Group | 04/21/17 | 291,650 | (439 | ) | ||||||||||||||
JPY | 234,249,526 | Australia & New Zealand Banking Group | 04/21/17 | 2,052,516 | 52,831 | |||||||||||||||
SGD | 380,835 | Australia & New Zealand Banking Group | 04/21/17 | 268,854 | 3,433 | |||||||||||||||
|
|
|
| |||||||||||||||||
7,825,519 | 88,167 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 85,940 | Barclays Bank PLC | 04/21/17 | 107,002 | 715 | |||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 2,599,752 | BNP Paribas SA | 04/21/17 | 2,783,138 | (7,627 | ) | ||||||||||||||
JPY | 8,497,359 | BNP Paribas SA | 04/21/17 | 75,344 | 1,027 | |||||||||||||||
SEK | 914,137 | BNP Paribas SA | 04/21/17 | 101,945 | 152 | |||||||||||||||
|
|
|
| |||||||||||||||||
2,960,427 | (6,448 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 91,756 | Citibank N.A. | 04/21/17 | 113,653 | 1,353 | |||||||||||||||
SEK | 1,153,512 | Citibank N.A. | 04/21/17 | 130,182 | (1,350 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
243,835 | 3 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 335,419 | Deutsche Bank AG | 04/21/17 | 360,315 | (2,220 | ) | ||||||||||||||
NOK | 642,382 | Deutsche Bank AG | 04/21/17 | 74,644 | 185 | |||||||||||||||
|
|
|
| |||||||||||||||||
434,959 | (2,035 | ) | ||||||||||||||||||
|
|
|
|
255
Notes to Financial Statements (Unaudited) (Continued)
Counterparty | Settlement | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Diversified International Fund (Continued) | ||||||||||||||||||||
Contracts to Buy (Continued) | ||||||||||||||||||||
DKK | 1,103,563 | Goldman Sachs & Co. | 04/21/17 | $ | 158,995 | $ | (618 | ) | ||||||||||||
EUR | 573,675 | Goldman Sachs & Co. | 04/21/17 | 611,957 | 503 | |||||||||||||||
GBP | 703,035 | Goldman Sachs & Co. | 04/21/17 | 866,193 | 14,988 | |||||||||||||||
JPY | 200,486,528 | Goldman Sachs & Co. | 04/21/17 | 1,778,707 | 23,192 | |||||||||||||||
NOK | 1,308,550 | Goldman Sachs & Co. | 04/21/17 | 156,302 | (3,872 | ) | ||||||||||||||
SEK | 4,191,559 | Goldman Sachs & Co. | 04/21/17 | 472,370 | (4,229 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
4,044,524 | 29,964 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
CHF | 215,985 | HSBC Bank USA | 04/21/17 | 214,589 | 1,250 | |||||||||||||||
EUR | 77,829 | HSBC Bank USA | 04/21/17 | 83,569 | (478 | ) | ||||||||||||||
NOK | 875,937 | HSBC Bank USA | 04/21/17 | 105,105 | (3,070 | ) | ||||||||||||||
SEK | 1,113,791 | HSBC Bank USA | 04/21/17 | 124,201 | 195 | |||||||||||||||
|
|
|
| |||||||||||||||||
527,464 | (2,103 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
AUD | 355,564 | Merrill Lynch International | 04/21/17 | 270,832 | 735 | |||||||||||||||
CHF | 266,214 | Merrill Lynch International | 04/21/17 | 267,490 | (1,456 | ) | ||||||||||||||
EUR | 137,396 | Merrill Lynch International | 04/21/17 | 145,748 | 937 | |||||||||||||||
GBP | 1,059,128 | Merrill Lynch International | 04/21/17 | 1,312,811 | 14,695 | |||||||||||||||
|
|
|
| |||||||||||||||||
1,996,881 | 14,911 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
CHF | 260,462 | Morgan Stanley & Co. LLC | 04/21/17 | 258,849 | 1,437 | |||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 87,711 | Royal Bank of Canada | 04/21/17 | 107,118 | 2,819 | |||||||||||||||
JPY | 182,191,073 | Royal Bank of Canada | 04/21/17 | 1,628,078 | 9,387 | |||||||||||||||
|
|
|
| |||||||||||||||||
1,735,196 | 12,206 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 109,516 | Societe Generale | 04/21/17 | 118,194 | (1,274 | ) | ||||||||||||||
GBP | 190,709 | Societe Generale | 04/21/17 | 239,567 | (533 | ) | ||||||||||||||
HKD | 2,764,982 | Societe Generale | 04/21/17 | 356,718 | (783 | ) | ||||||||||||||
SGD | 123,616 | Societe Generale | 04/21/17 | 88,062 | 320 | |||||||||||||||
|
|
|
| |||||||||||||||||
802,541 | (2,270 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 132,168 | Standard Chartered Bank | 04/21/17 | 142,666 | (1,562 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
AUD | 1,839,488 | State Street Bank and Trust Co. | 04/21/17 | 1,376,588 | 28,349 | |||||||||||||||
CAD | 110,044 | State Street Bank and Trust Co. | 04/21/17 | 83,449 | (677 | ) | ||||||||||||||
CHF | 703,764 | State Street Bank and Trust Co. | 04/21/17 | 702,163 | 1,125 | |||||||||||||||
EUR | 2,498,771 | State Street Bank and Trust Co. | 04/21/17 | 2,643,058 | 24,646 | |||||||||||||||
|
|
|
| |||||||||||||||||
4,805,258 | 53,443 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 162,177 | UBS AG | 04/21/17 | 173,248 | (106 | ) | ||||||||||||||
JPY | 7,681,408 | UBS AG | 04/21/17 | 67,089 | 1,949 | |||||||||||||||
|
|
|
| |||||||||||||||||
240,337 | 1,843 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
$ | 26,125,458 | $ | 188,271 | |||||||||||||||||
|
|
|
|
256
Notes to Financial Statements (Unaudited) (Continued)
Counterparty | Settlement | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Diversified International Fund (Continued) | ||||||||||||||||||||
Contracts to Deliver | ||||||||||||||||||||
AUD | 628,907 | Australia & New Zealand Banking Group | 04/21/17 | $ | 475,499 | $ | (4,838 | ) | ||||||||||||
HKD | 2,236,504 | Australia & New Zealand Banking Group | 04/21/17 | 288,393 | 489 | |||||||||||||||
JPY | 269,949,608 | Australia & New Zealand Banking Group | 04/21/17 | 2,393,962 | (32,244 | ) | ||||||||||||||
SGD | 370,607 | Australia & New Zealand Banking Group | 04/21/17 | 261,621 | (3,353 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
3,419,475 | (39,946 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
CHF | 399,254 | Barclays Bank PLC | 04/21/17 | 403,541 | 4,557 | |||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 2,016,124 | BNP Paribas SA | 04/21/17 | 2,146,998 | (5,429 | ) | ||||||||||||||
GBP | 879,144 | BNP Paribas SA | 04/21/17 | 1,070,271 | (31,645 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
3,217,269 | (37,074 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 84,053 | Citibank N.A. | 04/21/17 | 103,520 | (1,832 | ) | ||||||||||||||
NOK | 1,947,138 | Citibank N.A. | 04/21/17 | 229,250 | 2,433 | |||||||||||||||
|
|
|
| |||||||||||||||||
332,770 | 601 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
JPY | 203,831,352 | Credit Suisse International | 04/21/17 | 1,820,487 | (11,473 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 2,192,433 | Deutsche Bank AG | 04/21/17 | 2,319,294 | (21,362 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 2,884,814 | Goldman Sachs & Co. | 04/21/17 | 3,106,279 | 26,433 | |||||||||||||||
|
|
|
| |||||||||||||||||
AUD | 1,395,708 | HSBC Bank USA | 04/21/17 | 1,068,225 | 2,232 | |||||||||||||||
GBP | 1,285,706 | HSBC Bank USA | 04/21/17 | 1,602,461 | (9,038 | ) | ||||||||||||||
SEK | 1,335,630 | HSBC Bank USA | 04/21/17 | 151,707 | 2,535 | |||||||||||||||
|
|
|
| |||||||||||||||||
2,822,393 | (4,271 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
SEK | 1,967,307 | Merrill Lynch International | 04/21/17 | 219,668 | (54 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
CHF | 335,708 | Morgan Stanley & Co. LLC | 04/21/17 | 333,045 | (2,435 | ) | ||||||||||||||
EUR | 2,851,267 | Morgan Stanley & Co. LLC | 04/21/17 | 3,048,383 | 4,352 | |||||||||||||||
|
|
|
| |||||||||||||||||
3,381,428 | 1,917 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
AUD | 57,270 | Royal Bank of Canada | 04/21/17 | 43,628 | (113 | ) | ||||||||||||||
CHF | 169,401 | Royal Bank of Canada | 04/21/17 | 169,368 | 82 | |||||||||||||||
GBP | 30,751 | Royal Bank of Canada | 04/21/17 | 38,131 | (412 | ) | ||||||||||||||
SEK | 1,665,437 | Royal Bank of Canada | 04/21/17 | 186,420 | 413 | |||||||||||||||
|
|
|
| |||||||||||||||||
437,547 | (30 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 1,343,602 | Standard Chartered Bank | 04/21/17 | 1,677,368 | (6,698 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
CAD | 458,838 | State Street Bank and Trust Co. | 04/21/17 | 351,784 | 6,661 | |||||||||||||||
CHF | 319,137 | State Street Bank and Trust Co. | 04/21/17 | 317,273 | (1,649 | ) | ||||||||||||||
EUR | 312,837 | State Street Bank and Trust Co. | 04/21/17 | 331,431 | (2,556 | ) |
257
Notes to Financial Statements (Unaudited) (Continued)
Counterparty | Settlement | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Diversified International Fund (Continued) | ||||||||||||||||||||
Contracts to Deliver (Continued) | ||||||||||||||||||||
GBP | 210,453 | State Street Bank and Trust Co. | 04/21/17 | $ | 261,180 | $ | (2,602 | ) | ||||||||||||
JPY | 29,588,229 | State Street Bank and Trust Co. | 04/21/17 | 261,698 | (4,231 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
1,523,366 | (4,377 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
JPY | 164,129,226 | Toronto Dominion Bank | 04/21/17 | 1,434,002 | (41,130 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 26,114,887 | $ | (132,907 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Cross Currency Forwards | ||||||||||||||||||||
JPY | 9,482,409 | Credit Suisse International | 04/21/17 | SGD | 119,293 | $ | (68 | ) | ||||||||||||
|
| |||||||||||||||||||
GBP | 76,883 | Deutsche Bank AG | 04/21/17 | NOK | 803,217 | 2,801 | ||||||||||||||
|
| |||||||||||||||||||
EUR | 106,944 | Royal Bank of Canada | 04/21/17 | NOK | 978,767 | 160 | ||||||||||||||
|
| |||||||||||||||||||
EUR | 155,404 | Standard Chartered Bank | 04/21/17 | HKD | 1,284,522 | 553 | ||||||||||||||
|
| |||||||||||||||||||
$ | 3,446 | |||||||||||||||||||
|
| |||||||||||||||||||
MSCI EAFE International Index Fund | ||||||||||||||||||||
Contracts to Buy | ||||||||||||||||||||
DKK | 1,181,683 | Bank of Montreal* | 06/21/17 | $ | 170,355 | $ | (239 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
SEK | 1,550,615 | Bank of New York Mellon* | 06/21/17 | 173,796 | (97 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
AUD | 735,618 | Citibank N.A.* | 06/21/17 | 553,039 | 8,175 | |||||||||||||||
GBP | 1,028,008 | Citibank N.A.* | 06/21/17 | 1,259,338 | 31,058 | |||||||||||||||
HKD | 67,742 | Citibank N.A.* | 06/21/17 | 8,735 | (4 | ) | ||||||||||||||
ILS | 195,433 | Citibank N.A.* | 06/21/17 | 53,389 | 695 | |||||||||||||||
|
|
|
| |||||||||||||||||
1,874,501 | 39,924 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 326,588 | Goldman Sachs & Co.* | 06/21/17 | 350,000 | (311 | ) | ||||||||||||||
JPY | 34,263,120 | Goldman Sachs & Co.* | 06/21/17 | 300,000 | 8,695 | |||||||||||||||
|
|
|
| |||||||||||||||||
650,000 | 8,384 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
CHF | 436,290 | Morgan Stanley & Co. LLC* | 06/21/17 | 435,319 | 2,270 | |||||||||||||||
JPY | 246,228,274 | Morgan Stanley & Co. LLC* | 06/21/17 | 2,155,717 | 62,688 | |||||||||||||||
SGD | 260,021 | Morgan Stanley & Co. LLC* | 06/21/17 | 183,812 | 2,181 | |||||||||||||||
|
|
|
| |||||||||||||||||
2,774,848 | 67,139 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 2,326,234 | Societe Generale* | 06/21/17 | 2,491,676 | (894 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 8,135,176 | $ | 114,217 | |||||||||||||||||
|
|
|
|
258
Notes to Financial Statements (Unaudited) (Continued)
Counterparty | Settlement | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
MSCI EAFE International Index Fund (Continued) | ||||||||||||||||||||
Contracts to Deliver | ||||||||||||||||||||
AUD | 481,144 | Bank of New York Mellon* | 06/21/17 | $ | 370,000 | $ | 2,928 | |||||||||||||
GBP | 564,804 | Bank of New York Mellon* | 06/21/17 | 700,000 | (8,964 | ) | ||||||||||||||
JPY | 59,465,576 | Bank of New York Mellon* | 06/21/17 | 530,000 | (5,758 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
1,600,000 | (11,794 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 458,921 | JP Morgan Chase Bank N.A.* | 06/21/17 | 495,000 | 3,617 | |||||||||||||||
|
|
|
| |||||||||||||||||
CHF | 330,498 | Societe Generale* | 06/21/17 | 333,000 | 1,518 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 2,428,000 | $ | (6,659 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Overseas Fund | ||||||||||||||||||||
Contracts to Buy | ||||||||||||||||||||
EUR | 552,279 | Australia & New Zealand Banking Group | 04/21/17 | $ | 585,930 | $ | 3,686 | |||||||||||||
GBP | 805,070 | Australia & New Zealand Banking Group | 04/21/17 | 1,004,124 | 4,948 | |||||||||||||||
JPY | 286,749,590 | Australia & New Zealand Banking Group | 04/21/17 | 2,519,741 | 57,457 | |||||||||||||||
SGD | 693,060 | Australia & New Zealand Banking Group | 04/21/17 | 486,464 | 9,056 | |||||||||||||||
|
|
|
| |||||||||||||||||
4,596,259 | 75,147 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 519,557 | Barclays Bank PLC | 04/21/17 | 646,890 | 4,320 | |||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 554,711 | Citibank N.A. | 04/21/17 | 687,089 | 8,183 | |||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 687,579 | Deutsche Bank AG | 04/21/17 | 738,614 | (4,550 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
DKK | 3,947,898 | Goldman Sachs & Co. | 04/21/17 | 568,792 | (2,214 | ) | ||||||||||||||
EUR | 1,014,370 | Goldman Sachs & Co. | 04/21/17 | 1,079,013 | 3,935 | |||||||||||||||
GBP | 2,204,667 | Goldman Sachs & Co. | 04/21/17 | 2,713,284 | 50,037 | |||||||||||||||
JPY | 34,977,871 | Goldman Sachs & Co. | 04/21/17 | 309,966 | 4,402 | |||||||||||||||
SEK | 10,533,588 | Goldman Sachs & Co. | 04/21/17 | 1,187,089 | (10,628 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
5,858,144 | 45,532 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 1,516,570 | HSBC Bank USA | 04/21/17 | 1,617,011 | 2,088 | |||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 674,644 | Societe Generale | 04/21/17 | 847,591 | (1,994 | ) | ||||||||||||||
HKD | 1,682,684 | Societe Generale | 04/21/17 | 217,155 | (544 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
1,064,746 | (2,538 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
JPY | 33,800,374 | Standard Chartered Bank | 04/21/17 | 297,144 | 6,641 | |||||||||||||||
|
|
|
| |||||||||||||||||
AUD | 7,113,653 | State Street Bank and Trust Co. | 04/21/17 | 5,323,529 | 109,629 | |||||||||||||||
CHF | 1,991,539 | State Street Bank and Trust Co. | 04/21/17 | 1,987,009 | 3,182 | |||||||||||||||
EUR | 605,480 | State Street Bank and Trust Co. | 04/21/17 | 640,442 | 5,972 | |||||||||||||||
|
|
|
| |||||||||||||||||
7,950,980 | 118,783 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 425,742 | UBS AG | 04/21/17 | 454,804 | (280 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | 23,911,681 | $ | 253,326 | |||||||||||||||||
|
|
|
|
259
Notes to Financial Statements (Unaudited) (Continued)
Counterparty | Settlement | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Overseas Fund (Continued) | ||||||||||||||||||||
Contracts to Deliver | ||||||||||||||||||||
EUR | 412,073 | Australia & New Zealand Banking Group | 04/21/17 | $ | 448,142 | $ | 8,210 | |||||||||||||
JPY | 112,204,866 | Australia & New Zealand Banking Group | 04/21/17 | 999,752 | (8,703 | ) | ||||||||||||||
SGD | 521,357 | Australia & New Zealand Banking Group | 04/21/17 | 367,326 | (5,431 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
1,815,220 | (5,924 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 434,688 | BNP Paribas SA | 04/21/17 | 544,226 | (610 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
NOK | 2,462,228 | Citibank N.A. | 04/21/17 | 289,896 | 3,078 | |||||||||||||||
|
|
|
| |||||||||||||||||
JPY | 150,741,871 | Goldman Sachs & Co. | 04/21/17 | 1,327,826 | (26,986 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
AUD | 521,193 | HSBC Bank USA | 04/21/17 | 399,847 | 1,778 | |||||||||||||||
GBP | 639,460 | HSBC Bank USA | 04/21/17 | 803,976 | 2,479 | |||||||||||||||
|
|
|
| |||||||||||||||||
1,203,823 | 4,257 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
NOK | 5,690,901 | Merrill Lynch International | 04/21/17 | 664,027 | 1,110 | |||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 8,935,210 | Morgan Stanley & Co. LLC | 04/21/17 | 9,552,928 | 13,640 | |||||||||||||||
|
|
|
| |||||||||||||||||
EUR | 742,654 | Royal Bank of Scotland PLC | 04/21/17 | 788,459 | (4,403 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
CAD | 521,572 | Societe Generale | 04/21/17 | 398,303 | 5,995 | |||||||||||||||
|
|
|
| |||||||||||||||||
GBP | 790,862 | Standard Chartered Bank | 04/21/17 | 995,472 | 4,209 | |||||||||||||||
JPY | 117,629,091 | Standard Chartered Bank | 04/21/17 | 1,066,097 | 8,891 | |||||||||||||||
|
|
|
| |||||||||||||||||
2,061,569 | 13,100 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
AUD | 832,000 | State Street Bank and Trust Co.* | 06/21/17 | 608,261 | (26,484 | ) | ||||||||||||||
CAD | 1,465,098 | State Street Bank and Trust Co. | 04/21/17 | 1,123,267 | 21,271 | |||||||||||||||
CHF | 1,975,000 | State Street Bank and Trust Co.* | 09/20/17 | 1,977,591 | (15,265 | ) | ||||||||||||||
EUR | 2,376,853 | State Street Bank and Trust Co. | 04/21/17 | 2,525,685 | (11,858 | ) | ||||||||||||||
GBP | 622,059 | State Street Bank and Trust Co. | 04/21/17 | 778,621 | (1,065 | ) | ||||||||||||||
JPY | 37,041,624 | State Street Bank and Trust Co. | 04/21/17 | 330,818 | (2,098 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
7,344,243 | (35,499 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||
$ | 25,990,520 | $ | (32,242 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Cross Currency Forwards | ||||||||||||||||||||
HKD | 10,586,152 | Australia & New Zealand Banking Group | 04/21/17 | EUR | 1,268,025 | $ | 9,000 | |||||||||||||
|
| |||||||||||||||||||
EUR | 334,061 | Barclays Bank PLC | 04/21/17 | GBP | 287,848 | (4,142 | ) | |||||||||||||
|
| |||||||||||||||||||
CAD | 378,357 | HSBC Bank USA | 04/21/17 | JPY | 32,284,332 | (5,573 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (715 | ) | ||||||||||||||||||
|
|
260
Notes to Financial Statements (Unaudited) (Continued)
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 |
SEK | Swedish Krona |
SGD | Singapore Dollar |
TWD | Taiwan Dollar |
* | Contracts are subject to an MNA. |
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.
261
Notes to Financial Statements (Unaudited) (Continued)
The Fund(s) listed in the following table had open futures contracts at March 31, 2017:
Expiration Date | Number of Contracts | Notional Amount | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Total Return Bond Fund |
| |||||||||||||||
Futures Contracts — Long |
| |||||||||||||||
U.S. Treasury Note 2 Year | 06/30/17 | 175 | $ | 37,879,297 | $ | 31,051 | ||||||||||
U.S. Treasury Note 5 Year | 06/30/17 | 527 | 62,041,899 | 132,822 | ||||||||||||
|
| |||||||||||||||
$ | 163,873 | |||||||||||||||
|
| |||||||||||||||
Strategic Bond Fund |
| |||||||||||||||
Futures Contracts — Long |
| |||||||||||||||
Euro-BTP | 06/08/17 | 80 | $ | 11,153,605 | $ | 39,437 | ||||||||||
U.S. Treasury Note 10 Year | 06/21/17 | 240 | 29,895,000 | 197,439 | ||||||||||||
U.S. Treasury Ultra 10 Year | 06/21/17 | 17 | 2,276,141 | 9,687 | ||||||||||||
U.S. Treasury Ultra Long Bond | 06/21/17 | 89 | 14,295,625 | 68,632 | ||||||||||||
U.S. Treasury Note 5 Year | 06/30/17 | 580 | 68,281,406 | 64,565 | ||||||||||||
90 Day Eurodollar | 12/17/18 | 134 | 32,826,650 | 32,977 | ||||||||||||
|
| |||||||||||||||
$ | 412,737 | |||||||||||||||
|
| |||||||||||||||
Futures Contracts — Short |
| |||||||||||||||
Euro Bund | 05/26/17 | 13 | $ | (8,182 | ) | $ | (162 | ) | ||||||||
Euro Bund | 05/26/17 | 18 | (7,873 | ) | 5,900 | |||||||||||
Euro Bund | 05/26/17 | 13 | (1,526 | ) | 4,415 | |||||||||||
Euro Bund | 05/26/17 | 18 | (3,648 | ) | 12,151 | |||||||||||
Euro Bund | 06/08/17 | 125 | (21,525,353 | ) | (48,834 | ) | ||||||||||
Japanese Government Bond 10 Year | 06/13/17 | 6 | (8,099,165 | ) | (10,013 | ) | ||||||||||
Euro FX | 06/19/17 | 5 | (670,125 | ) | (7,173 | ) | ||||||||||
U.S. Treasury Ultra Long Bond | 06/21/17 | 46 | (6,938,812 | ) | 2,475 | |||||||||||
U.S. Treasury Note 2 Year | 06/30/17 | 15 | (3,246,797 | ) | 1,826 | |||||||||||
90 Day Eurodollar | 12/16/19 | 134 | (32,724,475 | ) | (35,873 | ) | ||||||||||
|
| |||||||||||||||
$ | (75,288 | ) | ||||||||||||||
|
| |||||||||||||||
S&P 500 Index Fund |
| |||||||||||||||
Future Contract — Long |
| |||||||||||||||
S&P 500 E Mini Index | 06/16/17 | 255 | $ | 30,079,800 | $ | 121,755 | ||||||||||
|
| |||||||||||||||
Small Company Value Fund |
| |||||||||||||||
Future Contract — Long |
| |||||||||||||||
Russell 2000 Mini Index | 06/16/17 | 6 | $ | 415,320 | $ | 2,706 | ||||||||||
|
| |||||||||||||||
S&P Mid Cap Index Fund |
| |||||||||||||||
Future Contract — Long |
| |||||||||||||||
S&P Midcap 400 E Mini Index | 06/16/17 | 68 | $ | 11,683,760 | $ | 57,578 | ||||||||||
|
| |||||||||||||||
Russell 2000 Small Cap Index Fund |
| |||||||||||||||
Future Contract — Long |
| |||||||||||||||
Russell 2000 Mini Index | 06/16/17 | 174 | $ | 12,044,280 | $ | 241,968 | ||||||||||
|
| |||||||||||||||
MSCI EAFE International Index Fund |
| |||||||||||||||
Futures Contracts — Long |
| |||||||||||||||
Hang Seng Index | 04/27/17 | 3 | $ | 465,759 | $ | (1,227 | ) | |||||||||
Topix Index | 06/08/17 | 21 | 2,853,005 | (60,935 | ) | |||||||||||
SPI 200 Index | 06/15/17 | 9 | 1,005,271 | 13,990 | ||||||||||||
Euro Stoxx 50 Index | 06/16/17 | 129 | 4,714,764 | 113,171 | ||||||||||||
FTSE 100 Index | 06/16/17 | 26 | 2,370,024 | (1,849 | ) | |||||||||||
|
| |||||||||||||||
$ | 63,150 | |||||||||||||||
|
|
262
Notes to Financial Statements (Unaudited) (Continued)
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).
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.
Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap
263
Notes to Financial Statements (Unaudited) (Continued)
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 March 31, 2017. 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 — Buy Protection |
| |||||||||||||||||||||||||
Centrally Cleared Swaps |
| |||||||||||||||||||||||||
USD | 316,800 | 12/20/21 | 5.000% | CDX.NA.HY.27† (Rating:AAA)** | $ | (97 | ) | $ | (24,811 | ) | $ | (24,908 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
Credit Default Swaps — Sell Protection†† |
| |||||||||||||||||||||||||
Centrally Cleared Swaps |
| |||||||||||||||||||||||||
USD | 6,000,000 | 12/20/21 | 1.000% | CDX.NA.HY.27† (Rating:AAA)** | 13,733 | 97,366 | 111,099 | |||||||||||||||||||
|
|
|
|
|
|
Counterparty | Currency | Notional Amount | Expiration Date | Payments Made by Fund | 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 | $ | (161,693 | ) | $ | - | $ | (161,693 | ) | ||||||||||||||
USD | 5,020,000 | 6/13/26 | Fixed 1.580% | 3-Month USD-LIBOR | 334,601 | 709 | 335,310 | |||||||||||||||||||
USD | 10,400,000 | 8/31/22 | Fixed 1.897% | 3-Month USD-LIBOR | 109,559 | - | 109,559 | |||||||||||||||||||
USD | 16,244,000 | 11/30/22 | Fixed 1.900% | 3-Month USD-LIBOR | 199,019 | - | 199,019 | |||||||||||||||||||
USD | 12,160,000 | 5/15/23 | Fixed 1.266% | 3-Month USD-LIBOR | 629,171 | 4,729 | 633,900 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
1,110,657 | 5,438 | 1,116,095 | ||||||||||||||||||||||||
|
|
|
|
|
|
USD | U.S. Dollar |
* | Collateral for swap agreements held by Goldman Sachs International amounted to $329,904 in cash at March 31, 2017. |
** | 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 |
264
Notes to Financial Statements (Unaudited) (Continued)
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. |
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
265
Notes to Financial Statements (Unaudited) (Continued)
Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.
Exchange Traded Options. Exchange traded options purchased or sold by a Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited. Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price.
Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in 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 open written option contracts at March 31, 2017.
Strategic Bond Fund | Units | Expiration Date | Description | Premiums Received | Value | |||||||||||||
1,000,000 | 4/07/17 | USD Call CAD Put, Call, Strike 1.36 | $ | 2,960 | $ | 29 | ||||||||||||
48 | 4/21/17 | 5 Year U.S. Treasury Note Future Put, Strike 116.00 | 8,563 | 750 | ||||||||||||||
48 | 4/21/17 | 5 Year U.S. Treasury Note Future Call, Strike 119.25 | 7,249 | 750 | ||||||||||||||
338 | 5/26/17 | 10 Year U.S. Treasury Note Future Call, Strike 125.00 | 173,028 | 237,656 | ||||||||||||||
185 | 5/26/17 | 10 Year U.S. Treasury Note Future Call, Strike 127.50 | 68,774 | 28,906 | ||||||||||||||
881 | 5/26/17 | 10 Year U.S. Treasury Note Future Call, Strike 128.00 | 134,793 | 110,125 | ||||||||||||||
396 | 5/26/17 | 5 Year U.S. Treasury Note Future Call, Strike 118.50 | 122,463 | 105,188 | ||||||||||||||
125 | 5/26/17 | U.S. Treasury Bond Call, Strike 157.00 | 69,906 | 52,734 | ||||||||||||||
|
|
|
| |||||||||||||||
$ | 587,736 | $ | 536,138 | |||||||||||||||
|
|
|
|
CAD Canadian Dollar
266
Notes to Financial Statements (Unaudited) (Continued)
Transactions in written option contracts during the period ended March 31, 2017, were as follows:
Number of Contracts | Premiums Received | |||||||
Strategic Bond Fund | ||||||||
Options outstanding at September 30, 2016 | 277 | $ | 63,944 | |||||
Options written | 4,013,954 | 1,079,101 | ||||||
Options terminated in closing purchase transactions | (3,010,645 | ) | (140,396 | ) | ||||
Options expired | (1,284 | ) | (347,545 | ) | ||||
Options exercised | (281 | ) | (67,368 | ) | ||||
|
|
|
| |||||
Options outstanding at March 31, 2017 | 1,002,021 | $ | 587,736 | |||||
|
|
|
|
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
267
Notes to Financial Statements (Unaudited) (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 March 31, 2017, the Funds had no unfunded loan commitments.
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.
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. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of
268
Notes to Financial Statements (Unaudited) (Continued)
credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to Lending Agreement, the agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At March 31, 2017, 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 March 31, 2017.
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 period ended March 31, 2017, 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 | $ | 10,828 | $ | 2,581 | $ | 8,247 | ||||||
Fundamental Growth Fund | 2,277 | 457 | 1,820 | |||||||||
Growth Opportunities Fund | 93,905 | 18,804 | 75,101 | |||||||||
Small Company Value Fund | 42,013 | 8,538 | 33,475 | |||||||||
S&P Mid Cap Index Fund | 34,589 | 6,963 | 27,626 | |||||||||
Russell 2000 Small Cap Index Fund | 318,408 | 63,991 | 254,417 | |||||||||
Mid Cap Growth Fund | 485,453 | 98,098 | 387,355 | |||||||||
Small Cap Growth Equity Fund | 120,875 | 24,268 | 96,607 | |||||||||
Diversified International Fund | 4,432 | 1,163 | 3,269 | |||||||||
MSCI EAFE International Index Fund | 31,019 | 6,325 | 24,694 | |||||||||
Overseas Fund | 88,551 | 18,716 | 69,835 |
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 is 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.
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
269
Notes to Financial Statements (Unaudited) (Continued)
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 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.
270
Notes to Financial Statements (Unaudited) (Continued)
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 | ||||
Equity Opportunities Fund* | 0.69% on the first $1 billion; and | T. Rowe Price Associates, Inc.; and Wellington | ||
0.64% on any excess over $1 billion | Management Company LLP | |||
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 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. | |||
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 |
271
Notes to Financial Statements (Unaudited) (Continued)
Fund | Investment Advisory Fee | Investment Subadviser(s) | ||
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 |
* | Effective March 28, 2017, T. Rowe Price Associates, Inc. and Wellington Management Company LLP replaced Harris Associates L.P. as co-subadvisers to the Fund. |
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% | |||||||||||||||||||||
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% | |||||||||||||||||||||
Equity Opportunities 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 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% |
272
Notes to Financial Statements (Unaudited) (Continued)
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% | |||||||||||||||||||||
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, 2018. |
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 period ended March 31, 2017, brokerage commissions rebated under these agreements were as follows:
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Notes to Financial Statements (Unaudited) (Continued)
Rebated Commissions | ||||
Diversified Value Fund | $ | 5,987 | ||
Fundamental Value Fund | 566 | |||
Large Cap Value Fund | 1,241 | |||
Fundamental Growth Fund | 4 | |||
Blue Chip Growth Fund | 8,524 | |||
Growth Opportunities Fund | 15,567 | |||
Mid-Cap Value Fund | 8,075 | |||
Small Cap Value Equity Fund | 5,651 | |||
Small Company Value Fund | 16,588 | |||
Mid Cap Growth Fund | 42,762 | |||
Small Cap Growth Equity Fund | 3,281 | |||
Diversified International Fund | 21 | |||
Overseas Fund | 1,053 |
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 may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.
Elaine A. Sarsynski resigned as a Trustee of the Trust effective as of February 1, 2017.
The following table shows beneficial ownership of Funds’ shares by affiliated parties March 31, 2017:
Total % Ownership by Related Party | ||||
Total Return Bond Fund | 72.4% | |||
Strategic Bond Fund | 75.0% | |||
Diversified Value Fund | 35.5% | |||
Fundamental Value Fund | 83.7% | |||
Large Cap Value Fund | 95.3% | |||
S&P 500 Index Fund | 65.1% | |||
Equity Opportunities Fund | 78.9% | |||
Fundamental Growth Fund | 91.4% | |||
Blue Chip Growth Fund | 65.4% | |||
Growth Opportunities Fund | 54.6% | |||
Mid-Cap Value Fund | 86.8% | |||
Small Cap Value Equity Fund | 61.9% | |||
Small Company Value Fund | 72.2% | |||
S&P Mid Cap Index Fund | 66.3% | |||
Russell 2000 Small Cap Index Fund | 72.0% | |||
Mid Cap Growth Fund | 37.2% | |||
Small Cap Growth Equity Fund | 87.0% | |||
Diversified International Fund | 98.4% | |||
MSCI EAFE International Index Fund | 72.6% | |||
Overseas Fund | 80.9% |
274
Notes to Financial Statements (Unaudited) (Continued)
4. | Purchases and Sales of Investments |
Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the period ended March 31, 2017, 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 | $ | 1,179,210,812 | $ | 59,829,459 | $ | 1,180,500,390 | $ | 87,423,423 | ||||||||
Strategic Bond Fund | 306,342,459 | 48,907,205 | 257,948,825 | 35,669,583 | ||||||||||||
Diversified Value Fund | - | 95,088,180 | - | 93,691,944 | ||||||||||||
Fundamental Value Fund | - | 70,521,143 | - | 167,767,172 | ||||||||||||
Large Cap Value Fund | - | 24,428,565 | - | 34,824,369 | ||||||||||||
S&P 500 Index Fund | - | 52,209,423 | - | 183,966,723 | ||||||||||||
Equity Opportunities Fund | - | 822,296,239 | - | 888,763,152 | ||||||||||||
Fundamental Growth Fund | - | 32,653,767 | - | 33,725,091 | ||||||||||||
Blue Chip Growth Fund | - | 408,068,768 | - | 229,089,840 | ||||||||||||
Growth Opportunities Fund | - | 82,949,168 | - | 192,023,563 | ||||||||||||
Mid-Cap Value Fund | - | 57,133,666 | - | 75,328,047 | ||||||||||||
Small Cap Value Equity Fund | - | 18,976,552 | - | 43,930,577 | ||||||||||||
Small Company Value Fund | - | 77,015,301 | - | 120,602,879 | ||||||||||||
S&P Mid Cap Index Fund | - | 87,064,788 | - | 34,124,496 | ||||||||||||
Russell 2000 Small Cap Index Fund | - | 40,500,149 | - | 14,335,028 | ||||||||||||
Mid Cap Growth Fund | - | 795,784,378 | - | 589,237,093 | ||||||||||||
Small Cap Growth Equity Fund | - | 228,970,776 | - | 267,088,771 | ||||||||||||
Diversified International Fund | - | 5,307,815 | - | 30,911,803 | ||||||||||||
MSCI EAFE International Index Fund | - | 30,731,731 | - | 10,418,026 | ||||||||||||
Overseas Fund | - | 93,410,069 | - | 184,532,696 |
5. Capital Share Transactions
Changes in shares outstanding for each Fund were as follows:
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Total Return Bond Fund Class I |
| |||||||||||||||
Sold | 7,586,428 | $ | 76,150,659 | 12,503,110 | $ | 127,254,863 | ||||||||||
Issued as reinvestment of dividends | 1,480,150 | 14,209,440 | 1,328,859 | 13,115,837 | ||||||||||||
Redeemed | (4,916,718 | ) | (49,807,566 | ) | (37,248,837 | ) | (376,187,150 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,149,860 | $ | 40,552,533 | (23,416,868 | ) | $ | (235,816,450 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return Bond Fund Class R5 |
| |||||||||||||||
Sold | 657,308 | $ | 6,518,055 | 1,347,670 | $ | 13,691,530 | ||||||||||
Issued as reinvestment of dividends | 535,289 | 5,133,426 | 392,482 | 3,869,875 | ||||||||||||
Redeemed | (2,313,291 | ) | (22,666,922 | ) | (7,059,727 | ) | (70,517,320 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,120,694 | ) | $ | (11,015,441 | ) | (5,319,575 | ) | $ | (52,955,915 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Return Bond Fund Service Class |
| |||||||||||||||
Sold | 2,408,920 | $ | 24,212,999 | 4,921,762 | $ | 49,850,896 | ||||||||||
Issued as reinvestment of dividends | 887,049 | 8,542,279 | 451,372 | 4,468,584 | ||||||||||||
Redeemed | (6,537,028 | ) | (64,165,559 | ) | (7,428,099 | ) | (75,654,495 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,241,059 | ) | $ | (31,410,281 | ) | (2,054,965 | ) | $ | (21,335,015 | ) | ||||||
|
|
|
|
|
|
|
|
275
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Total Return Bond Fund Administrative Class |
| |||||||||||||||
Sold | 821,690 | $ | 8,198,404 | 1,831,713 | $ | 18,398,997 | ||||||||||
Issued as reinvestment of dividends | 310,357 | 2,970,116 | 181,285 | 1,783,840 | ||||||||||||
Redeemed | (2,485,592 | ) | (24,906,831 | ) | (3,071,788 | ) | (31,238,179 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,353,545 | ) | $ | (13,738,311 | ) | (1,058,790 | ) | $ | (11,055,342 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Return Bond Fund Class A |
| |||||||||||||||
Sold | 330,465 | $ | 3,248,479 | 161,694 | $ | 1,635,538 | ||||||||||
Issued as reinvestment of dividends | 12,010 | 115,175 | 4,231 | 41,765 | ||||||||||||
Redeemed | (45,805 | ) | (445,872 | ) | (175,989 | ) | (1,791,542 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 296,670 | $ | 2,917,782 | (10,064 | ) | $ | (114,239 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return Bond Fund Class R4 |
| |||||||||||||||
Sold | 2,223,945 | $ | 21,777,356 | 3,239,131 | $ | 32,940,557 | ||||||||||
Issued as reinvestment of dividends | 1,118,831 | 10,785,527 | 647,495 | 6,410,199 | ||||||||||||
Redeemed | (7,151,037 | ) | (71,495,041 | ) | (8,702,146 | ) | (88,471,604 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,808,261 | ) | $ | (38,932,158 | ) | (4,815,520 | ) | $ | (49,120,848 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Return Bond Fund Class R3 |
| |||||||||||||||
Sold | 430,207 | $ | 4,253,147 | 1,270,449 | $ | 12,823,620 | ||||||||||
Issued as reinvestment of dividends | 189,054 | 1,809,249 | 85,167 | 838,891 | ||||||||||||
Redeemed | (829,653 | ) | (8,144,600 | ) | (1,749,838 | ) | (17,621,371 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (210,392 | ) | $ | (2,082,204 | ) | (394,222 | ) | $ | (3,958,860 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Bond Fund Class I |
| |||||||||||||||
Sold | 4,083,074 | $ | 41,748,963 | 4,806,483 | $ | 49,509,908 | ||||||||||
Issued as reinvestment of dividends | 234,490 | 2,344,902 | 212,776 | 2,104,352 | ||||||||||||
Redeemed | (2,361,337 | ) | (24,700,818 | ) | (2,405,958 | ) | (24,730,455 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,956,227 | $ | 19,393,047 | 2,613,301 | $ | 26,883,805 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Bond Fund Class R5 |
| |||||||||||||||
Sold | 1,250,391 | $ | 13,031,711 | 1,501,420 | $ | 15,309,827 | ||||||||||
Issued as reinvestment of dividends | 167,285 | 1,674,523 | 147,672 | 1,461,955 | ||||||||||||
Redeemed | (580,339 | ) | (6,036,976 | ) | (835,570 | ) | (8,546,004 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 837,337 | $ | 8,669,258 | 813,522 | $ | 8,225,778 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Bond Fund Service Class |
| |||||||||||||||
Sold | 1,003,720 | $ | 10,261,186 | 2,003,903 | $ | 20,616,652 | ||||||||||
Issued as reinvestment of dividends | 102,148 | 1,022,505 | 182,130 | 1,803,081 | ||||||||||||
Redeemed | (878,356 | ) | (9,227,412 | ) | (3,582,759 | ) | (36,538,973 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 227,512 | $ | 2,056,279 | (1,396,726 | ) | $ | (14,119,240 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Bond Fund Administrative Class |
| |||||||||||||||
Sold | 2,864,242 | $ | 29,419,715 | 1,422,662 | $ | 14,550,319 | ||||||||||
Issued as reinvestment of dividends | 130,326 | 1,301,956 | 89,506 | 885,218 | ||||||||||||
Redeemed | (1,098,030 | ) | (11,176,465 | ) | (1,087,275 | ) | (11,176,118 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,896,538 | $ | 19,545,206 | 424,893 | $ | 4,259,419 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Bond Fund Class A |
| |||||||||||||||
Sold | 816,328 | $ | 8,343,181 | 1,541,955 | $ | 15,823,216 | ||||||||||
Issued as reinvestment of dividends | 97,276 | 969,840 | 105,121 | 1,037,539 | ||||||||||||
Redeemed | (615,339 | ) | (6,302,047 | ) | (1,323,777 | ) | (13,501,046 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 298,265 | $ | 3,010,974 | 323,299 | $ | 3,359,709 | ||||||||||
|
|
|
|
|
|
|
|
276
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Strategic Bond Fund Class R4 |
| |||||||||||||||
Sold | 1,790,700 | $ | 18,159,076 | 1,444,373 | $ | 14,619,963 | ||||||||||
Issued as reinvestment of dividends | 64,277 | 638,914 | 43,560 | 428,631 | ||||||||||||
Redeemed | (501,186 | ) | (5,110,299 | ) | (440,927 | ) | (4,512,404 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,353,791 | $ | 13,687,691 | 1,047,006 | $ | 10,536,190 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Bond Fund Class R3 |
| |||||||||||||||
Sold | 614,122 | $ | 6,210,481 | 575,781 | $ | 5,808,886 | ||||||||||
Issued as reinvestment of dividends | 18,123 | 178,876 | 8,070 | 79,005 | ||||||||||||
Redeemed | (141,304 | ) | (1,432,224 | ) | (318,996 | ) | (3,303,593 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 490,941 | $ | 4,957,133 | 264,855 | $ | 2,584,298 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Value Fund Class I |
| |||||||||||||||
Sold | 1,467,466 | $ | 22,598,360 | 14,613,260 | $ | 204,745,870 | ||||||||||
Issued as reinvestment of dividends | 1,092,957 | 16,612,953 | 86,337 | 1,221,667 | ||||||||||||
Redeemed | (1,216,946 | ) | (18,506,797 | ) | (3,366,763 | ) | (48,967,912 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,343,477 | $ | 20,704,516 | 11,332,834 | $ | 156,999,625 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Value Fund Class R5 |
| |||||||||||||||
Sold | 338,008 | $ | 5,255,846 | 1,203,968 | $ | 16,755,365 | ||||||||||
Issued as reinvestment of dividends | 195,292 | 2,974,297 | 212,522 | 3,009,308 | ||||||||||||
Redeemed | (710,276 | ) | (11,119,533 | ) | (13,465,671 | ) | (188,803,867 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (176,976 | ) | $ | (2,889,390 | ) | (12,049,181 | ) | $ | (169,039,194 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Value Fund Service Class |
| |||||||||||||||
Sold | 373,818 | $ | 5,657,519 | 115,827 | $ | 1,614,208 | ||||||||||
Issued as reinvestment of dividends | 37,518 | 571,393 | 14,306 | 202,722 | ||||||||||||
Redeemed | (174,082 | ) | (2,615,855 | ) | (648,016 | ) | (9,082,253 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 237,254 | $ | 3,613,057 | (517,883 | ) | $ | (7,265,323 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Value Fund Administrative Class |
| |||||||||||||||
Sold | 30,096 | $ | 464,012 | 125,275 | $ | 1,789,278 | ||||||||||
Issued as reinvestment of dividends | 27,667 | 423,307 | 4,700 | 66,927 | ||||||||||||
Redeemed | (35,802 | ) | (551,038 | ) | (122,266 | ) | (1,714,476 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 21,961 | $ | 336,281 | 7,709 | $ | 141,729 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Value Fund Class A |
| |||||||||||||||
Sold | 74,578 | $ | 1,160,374 | 218,152 | $ | 3,041,006 | ||||||||||
Issued as reinvestment of dividends | 72,592 | 1,104,854 | 12,875 | 182,440 | ||||||||||||
Redeemed | (364,341 | ) | (5,527,078 | ) | (426,946 | ) | (5,973,022 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (217,171 | ) | $ | (3,261,850 | ) | (195,919 | ) | $ | (2,749,576 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Value Fund Class R4 |
| |||||||||||||||
Sold | 15,492 | $ | 239,006 | 27,718 | $ | 390,798 | ||||||||||
Issued as reinvestment of dividends | 2,971 | 44,981 | 151 | 2,136 | ||||||||||||
Redeemed | (5,079 | ) | (79,338 | ) | (442 | ) | (6,203 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 13,384 | $ | 204,649 | 27,427 | $ | 386,731 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Value Fund Class R3 |
| |||||||||||||||
Sold | 11,748 | $ | 178,497 | 98,639 | $ | 1,371,981 | ||||||||||
Issued as reinvestment of dividends | 6,738 | 102,343 | 428 | 6,062 | ||||||||||||
Redeemed | (7,183 | ) | (108,552 | ) | (6,902 | ) | (96,229 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 11,303 | $ | 172,288 | 92,165 | $ | 1,281,814 | ||||||||||
|
|
|
|
|
|
|
|
277
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Fundamental Value Fund Class I |
| |||||||||||||||
Sold | 6,185,596 | $ | 75,147,193 | 8,701,389 | $ | 103,028,581 | ||||||||||
Issued as reinvestment of dividends | 4,013,684 | 48,244,487 | 4,701,123 | 54,156,933 | ||||||||||||
Redeemed | (4,847,741 | ) | (58,698,590 | ) | (6,906,229 | ) | (83,320,351 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 5,351,539 | $ | 64,693,090 | 6,496,283 | $ | 73,865,163 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Value Fund Class R5 |
| |||||||||||||||
Sold | 1,686,205 | $ | 20,910,172 | 3,807,265 | $ | 46,306,885 | ||||||||||
Issued as reinvestment of dividends | 2,990,606 | 36,096,617 | 4,518,213 | 52,275,725 | ||||||||||||
Redeemed | (3,999,617 | ) | (49,553,021 | ) | (12,273,847 | ) | (144,473,553 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 677,194 | $ | 7,453,768 | (3,948,369 | ) | $ | (45,890,943 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Value Fund Service Class |
| |||||||||||||||
Sold | 603,793 | $ | 7,514,021 | 2,245,416 | $ | 28,540,020 | ||||||||||
Issued as reinvestment of dividends | 898,535 | 10,809,372 | 1,886,001 | 21,745,590 | ||||||||||||
Redeemed | (5,925,187 | ) | (71,226,266 | ) | (6,851,737 | ) | (80,633,594 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (4,422,859 | ) | $ | (52,902,873 | ) | (2,720,320 | ) | $ | (30,347,984 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Value Fund Administrative Class |
| |||||||||||||||
Sold | 660,906 | $ | 8,353,913 | 766,524 | $ | 9,151,182 | ||||||||||
Issued as reinvestment of dividends | 717,205 | 8,678,182 | 1,042,492 | 12,082,482 | ||||||||||||
Redeemed | (1,271,749 | ) | (15,584,194 | ) | (2,466,210 | ) | (30,056,497 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 106,362 | $ | 1,447,901 | (657,194 | ) | $ | (8,822,833 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Value Fund Class A |
| |||||||||||||||
Sold | 463,570 | $ | 5,702,706 | 743,478 | $ | 8,796,073 | ||||||||||
Issued as reinvestment of dividends | 1,064,699 | 12,744,452 | 1,760,850 | 20,196,951 | ||||||||||||
Redeemed | (4,136,883 | ) | (50,359,873 | ) | (3,141,245 | ) | (38,060,608 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,608,614 | ) | $ | (31,912,715 | ) | (636,917 | ) | $ | (9,067,584 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Value Fund Class R4 |
| |||||||||||||||
Sold | 558,485 | $ | 6,765,498 | 431,831 | $ | 5,251,875 | ||||||||||
Issued as reinvestment of dividends | 94,790 | 1,122,304 | 19,957 | 227,308 | ||||||||||||
Redeemed | (72,814 | ) | (878,546 | ) | (35,950 | ) | (424,160 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 580,461 | $ | 7,009,256 | 415,838 | $ | 5,055,023 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Value Fund Class R3 |
| |||||||||||||||
Sold | 104,594 | $ | 1,249,207 | 63,571 | $ | 783,131 | ||||||||||
Issued as reinvestment of dividends | 11,609 | 137,222 | 13,210 | 149,936 | ||||||||||||
Redeemed | (14,894 | ) | (179,561 | ) | (25,433 | ) | (299,909 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 101,309 | $ | 1,206,868 | 51,348 | $ | 633,158 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Large Cap Value Fund Class I |
| |||||||||||||||
Sold | 1,243,698 | $ | 9,142,590 | 2,650,718 | $ | 18,725,891 | ||||||||||
Issued as reinvestment of dividends | 499,824 | 3,608,728 | 1,382,960 | 9,417,956 | ||||||||||||
Redeemed | (1,644,075 | ) | (11,946,153 | ) | (5,169,812 | ) | (36,558,845 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 99,447 | $ | 805,165 | (1,136,134 | ) | $ | (8,414,998 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Large Cap Value Fund Class R5 |
| |||||||||||||||
Sold | 226,119 | $ | 1,652,974 | 320,263 | $ | 2,268,108 | ||||||||||
Issued as reinvestment of dividends | 933,715 | 6,760,094 | 2,314,952 | 15,811,124 | ||||||||||||
Redeemed | (456,056 | ) | (3,329,225 | ) | (6,588,107 | ) | (47,465,373 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 703,778 | $ | 5,083,843 | (3,952,892 | ) | $ | (29,386,141 | ) | ||||||||
|
|
|
|
|
|
|
|
278
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Large Cap Value Fund Service Class |
| |||||||||||||||
Sold | 47,833 | $ | 360,635 | 97,647 | $ | 680,962 | ||||||||||
Issued as reinvestment of dividends | 27,723 | 201,827 | 197,196 | 1,350,789 | ||||||||||||
Redeemed | (244,670 | ) | (1,765,182 | ) | (977,616 | ) | (6,726,298 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (169,114 | ) | $ | (1,202,720 | ) | (682,773 | ) | $ | (4,694,547 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Large Cap Value Fund Administrative Class |
| |||||||||||||||
Sold | 72,353 | $ | 532,384 | 154,722 | $ | 1,085,633 | ||||||||||
Issued as reinvestment of dividends | 115,640 | 836,079 | 292,564 | 1,995,283 | ||||||||||||
Redeemed | (81,730 | ) | (597,148 | ) | (951,428 | ) | (6,900,239 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 106,263 | $ | 771,315 | (504,142 | ) | $ | (3,819,323 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Large Cap Value Fund Class A |
| |||||||||||||||
Sold | 120,958 | $ | 895,575 | 185,339 | $ | 1,301,610 | ||||||||||
Issued as reinvestment of dividends | 253,535 | 1,830,521 | 644,641 | 4,390,007 | ||||||||||||
Redeemed | (616,409 | ) | (4,499,246 | ) | (1,600,947 | ) | (11,340,939 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (241,916 | ) | $ | (1,773,150 | ) | (770,967 | ) | $ | (5,649,322 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Large Cap Value Fund Class R4 |
| |||||||||||||||
Sold | 53,787 | $ | 383,489 | - | $ | - | ||||||||||
Issued as reinvestment of dividends | 3,696 | 26,420 | 2 | 13 | ||||||||||||
Redeemed | (1,531 | ) | (10,940 | ) | (14 | ) | (99 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 55,952 | $ | 398,969 | (12 | ) | $ | (86 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Large Cap Value Fund Class R3 |
| |||||||||||||||
Sold | - | $ | - | - | $ | - | ||||||||||
Issued as reinvestment of dividends | 509 | 3,593 | 1,542 | 10,277 | ||||||||||||
Redeemed | (1,001 | ) | (7,298 | ) | (4,945 | ) | (35,424 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (492 | ) | $ | (3,705 | ) | (3,403 | ) | $ | (25,147 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
S&P 500 Index Fund Class I |
| |||||||||||||||
Sold | 4,083,216 | $ | 80,111,418 | 10,127,359 | $ | 186,093,714 | ||||||||||
Issued as reinvestment of dividends | 3,547,486 | 67,756,985 | 2,041,101 | 36,719,404 | ||||||||||||
Redeemed | (4,743,608 | ) | (92,408,350 | ) | (5,760,107 | ) | (106,621,375 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,887,094 | $ | 55,460,053 | 6,408,353 | $ | 116,191,743 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
S&P 500 Index Fund Class R5 |
| |||||||||||||||
Sold | 3,017,271 | $ | 58,842,713 | 7,434,694 | $ | 135,466,488 | ||||||||||
Issued as reinvestment of dividends | 2,367,656 | 45,340,604 | 1,795,938 | 32,380,771 | ||||||||||||
Redeemed | (13,286,655 | ) | (261,416,355 | ) | (16,334,513 | ) | (297,378,710 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (7,901,728 | ) | $ | (157,233,038 | ) | (7,103,881 | ) | $ | (129,531,451 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
S&P 500 Index Fund Service Class |
| |||||||||||||||
Sold | 3,012,498 | $ | 58,590,950 | 5,613,320 | $ | 102,847,120 | ||||||||||
Issued as reinvestment of dividends | 1,554,128 | 29,808,182 | 1,337,922 | 24,162,868 | ||||||||||||
Redeemed | (3,935,514 | ) | (76,441,141 | ) | (17,553,808 | ) | (330,728,860 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 631,112 | $ | 11,957,991 | (10,602,566 | ) | $ | (203,718,872 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
S&P 500 Index Fund Administrative Class |
| |||||||||||||||
Sold | 2,703,655 | $ | 52,309,404 | 5,191,140 | $ | 93,571,191 | ||||||||||
Issued as reinvestment of dividends | 1,625,772 | 30,775,862 | 956,766 | 17,068,708 | ||||||||||||
Redeemed | (3,490,571 | ) | (66,655,976 | ) | (8,286,473 | ) | (150,774,758 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 838,856 | $ | 16,429,290 | (2,138,567 | ) | $ | (40,134,859 | ) | ||||||||
|
|
|
|
|
|
|
|
279
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
S&P 500 Index Fund Class A |
| |||||||||||||||
Sold | 264,735 | $ | 5,034,819 | 726,100 | $ | 12,765,271 | ||||||||||
Issued as reinvestment of dividends | 69,787 | 1,304,310 | 32,110 | 566,093 | ||||||||||||
Redeemed | (120,059 | ) | (2,290,032 | ) | (319,623 | ) | (5,928,993 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 214,463 | $ | 4,049,097 | 438,587 | $ | 7,402,371 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
S&P 500 Index Fund Class R4 |
| |||||||||||||||
Sold | 4,218,874 | $ | 80,572,272 | 7,548,583 | $ | 135,485,760 | ||||||||||
Issued as reinvestment of dividends | 1,994,051 | 37,408,394 | 1,125,782 | 19,926,344 | ||||||||||||
Redeemed | (6,129,693 | ) | (116,351,937 | ) | (6,554,397 | ) | (117,893,789 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 83,232 | $ | 1,628,729 | 2,119,968 | $ | 37,518,315 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
S&P 500 Index Fund Class R3 |
| |||||||||||||||
Sold | 2,015,799 | $ | 38,111,476 | 3,933,638 | $ | 69,670,035 | ||||||||||
Issued as reinvestment of dividends | 338,878 | 6,248,902 | 88,139 | 1,537,139 | ||||||||||||
Redeemed | (302,650 | ) | (5,642,142 | ) | (383,519 | ) | (6,850,596 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,052,027 | $ | 38,718,236 | 3,638,258 | $ | 64,356,578 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Opportunities Fund Class I |
| |||||||||||||||
Sold | 1,317,592 | $ | 26,389,390 | 3,366,425 | $ | 58,152,025 | ||||||||||
Issued as reinvestment of dividends | 362,780 | 7,226,583 | 2,177,077 | 37,402,189 | ||||||||||||
Redeemed | (1,551,917 | ) | (30,467,748 | ) | (5,132,513 | ) | (91,361,873 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 128,455 | $ | 3,148,225 | 410,989 | $ | 4,192,341 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Opportunities Fund Class R5 |
| |||||||||||||||
Sold | 835,249 | $ | 16,915,816 | 1,086,002 | $ | 18,938,224 | ||||||||||
Issued as reinvestment of dividends | 326,293 | 6,519,318 | 2,206,746 | 38,022,230 | ||||||||||||
Redeemed | (2,238,429 | ) | (44,976,842 | ) | (4,689,569 | ) | (83,266,716 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,076,887 | ) | $ | (21,541,708 | ) | (1,396,821 | ) | $ | (26,306,262 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Equity Opportunities Fund Service Class |
| |||||||||||||||
Sold | 318,913 | $ | 6,223,685 | 540,059 | $ | 9,378,730 | ||||||||||
Issued as reinvestment of dividends | 108,721 | 2,142,882 | 741,552 | 12,606,386 | ||||||||||||
Redeemed | (866,561 | ) | (16,932,983 | ) | (1,442,287 | ) | (24,994,802 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (438,927 | ) | $ | (8,566,416 | ) | (160,676 | ) | $ | (3,009,686 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Equity Opportunities Fund Administrative Class |
| |||||||||||||||
Sold | 444,498 | $ | 8,679,798 | 651,473 | $ | 11,115,509 | ||||||||||
Issued as reinvestment of dividends | 131,693 | 2,570,661 | 946,229 | 15,934,491 | ||||||||||||
Redeemed | (1,296,646 | ) | (24,976,249 | ) | (1,776,639 | ) | (31,023,770 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (720,455 | ) | $ | (13,725,790 | ) | (178,937 | ) | $ | (3,973,770 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Equity Opportunities Fund Class A |
| |||||||||||||||
Sold | 300,212 | $ | 5,721,476 | 530,391 | $ | 9,065,368 | ||||||||||
Issued as reinvestment of dividends | 183,549 | 3,463,563 | 1,899,937 | 30,949,974 | ||||||||||||
Redeemed | (2,656,099 | ) | (48,365,072 | ) | (3,904,504 | ) | (64,756,380 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,172,338 | ) | $ | (39,180,033 | ) | (1,474,176 | ) | $ | (24,741,038 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Equity Opportunities Fund Class R4 |
| |||||||||||||||
Sold | 128,210 | $ | 2,275,279 | 304,677 | $ | 5,245,752 | ||||||||||
Issued as reinvestment of dividends | 13,668 | 255,604 | 38,940 | 630,425 | ||||||||||||
Redeemed | (62,303 | ) | (1,196,130 | ) | (84,269 | ) | (1,349,619 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 79,575 | $ | 1,334,753 | 259,348 | $ | 4,526,558 | ||||||||||
|
|
|
|
|
|
|
|
280
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Equity Opportunities Fund Class R3 |
| |||||||||||||||
Sold | 30,342 | $ | 546,929 | 85,499 | $ | 1,463,128 | ||||||||||
Issued as reinvestment of dividends | 6,603 | 118,468 | 34,081 | 529,625 | ||||||||||||
Redeemed | (31,924 | ) | (568,461 | ) | (36,528 | ) | (619,746 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 5,021 | $ | 96,936 | 83,052 | $ | 1,373,007 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Growth Fund Class I |
| |||||||||||||||
Sold | 1,731,472 | $ | 13,088,672 | 2,547,288 | $ | 20,169,478 | ||||||||||
Issued as reinvestment of dividends | 978,216 | 6,955,117 | 1,141,055 | 8,820,353 | ||||||||||||
Redeemed | (1,760,972 | ) | (13,264,300 | ) | (5,988,530 | ) | (47,499,634 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 948,716 | $ | 6,779,489 | (2,300,187 | ) | $ | (18,509,803 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Growth Fund Class R5 |
| |||||||||||||||
Sold | 202,551 | $ | 1,505,472 | 669,326 | $ | 5,135,912 | ||||||||||
Issued as reinvestment of dividends | 372,264 | 2,654,243 | 301,142 | 2,333,849 | ||||||||||||
Redeemed | (428,374 | ) | (3,368,982 | ) | (578,911 | ) | (4,451,740 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 146,441 | $ | 790,733 | 391,557 | $ | 3,018,021 | ||||||||||
|
| �� |
|
|
|
|
|
| ||||||||
Fundamental Growth Fund Service Class |
| |||||||||||||||
Sold | 125,523 | $ | 931,274 | 169,303 | $ | 1,318,083 | ||||||||||
Issued as reinvestment of dividends | 119,665 | 837,655 | 90,111 | 686,651 | ||||||||||||
Redeemed | (42,620 | ) | (319,305 | ) | (138,133 | ) | (1,055,658 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 202,568 | $ | 1,449,624 | 121,281 | $ | 949,076 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Growth Fund Administrative Class |
| |||||||||||||||
Sold | 121,575 | $ | 893,393 | 238,954 | $ | 1,879,430 | ||||||||||
Issued as reinvestment of dividends | 190,341 | 1,301,936 | 163,998 | 1,225,067 | ||||||||||||
Redeemed | (276,979 | ) | (1,991,062 | ) | (388,524 | ) | (2,875,815 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 34,937 | $ | 204,267 | 14,428 | $ | 228,682 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Growth Fund Class A |
| |||||||||||||||
Sold | 193,517 | $ | 1,352,536 | 343,219 | $ | 2,504,676 | ||||||||||
Issued as reinvestment of dividends | 298,913 | 1,960,867 | 280,669 | 2,020,819 | ||||||||||||
Redeemed | (416,329 | ) | (2,983,717 | ) | (760,199 | ) | (5,571,803 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 76,101 | $ | 329,686 | (136,311 | ) | $ | (1,046,308 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Growth Fund Class R4 |
| |||||||||||||||
Sold | 155,884 | $ | 1,108,751 | 85,556 | $ | 611,449 | ||||||||||
Issued as reinvestment of dividends | 30,194 | 196,260 | 2,678 | 19,193 | ||||||||||||
Redeemed | (21,728 | ) | (152,765 | ) | (16,634 | ) | (117,452 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 164,350 | $ | 1,152,246 | 71,600 | $ | 513,190 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Fundamental Growth Fund Class R3 |
| |||||||||||||||
Sold | 83,477 | $ | 567,104 | 208,256 | $ | 1,425,953 | ||||||||||
Issued as reinvestment of dividends | 37,245 | 229,429 | 8,254 | 56,456 | ||||||||||||
Redeemed | (29,072 | ) | (199,868 | ) | (39,761 | ) | (267,642 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 91,650 | $ | 596,665 | 176,749 | $ | 1,214,767 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Blue Chip Growth Fund Class I |
| |||||||||||||||
Sold | 23,212,823 | $ | 370,913,714 | 14,862,659 | $ | 232,116,521 | ||||||||||
Issued as reinvestment of dividends | 1,517,252 | 24,124,298 | 3,535,563 | 56,356,872 | ||||||||||||
Redeemed | (5,425,368 | ) | (88,288,269 | ) | (6,084,355 | ) | (97,969,340 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 19,304,707 | $ | 306,749,743 | 12,313,867 | $ | 190,504,053 | ||||||||||
|
|
|
|
|
|
|
|
281
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Blue Chip Growth Fund Class R5 |
| |||||||||||||||
Sold | 2,624,227 | $ | 43,583,969 | 4,801,764 | $ | 78,179,165 | ||||||||||
Issued as reinvestment of dividends | 1,014,640 | 16,112,476 | 4,920,932 | 78,390,455 | ||||||||||||
Redeemed | (3,293,139 | ) | (54,682,912 | ) | (16,201,183 | ) | (256,462,891 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 345,728 | $ | 5,013,533 | (6,478,487 | ) | $ | (99,893,271 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Blue Chip Growth Fund Service Class |
| |||||||||||||||
Sold | 794,108 | $ | 12,989,497 | 4,250,516 | $ | 69,254,595 | ||||||||||
Issued as reinvestment of dividends | 541,423 | 8,527,419 | 2,373,491 | 37,501,158 | ||||||||||||
Redeemed | (7,293,350 | ) | (115,859,942 | ) | (5,284,435 | ) | (82,660,814 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (5,957,819 | ) | $ | (94,343,026 | ) | 1,339,572 | $ | 24,094,939 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Blue Chip Growth Fund Administrative Class |
| |||||||||||||||
Sold | 1,166,658 | $ | 18,591,769 | 2,005,805 | $ | 32,220,167 | ||||||||||
Issued as reinvestment of dividends | 650,740 | 10,119,009 | 2,486,045 | 38,807,167 | ||||||||||||
Redeemed | (1,729,521 | ) | (27,936,979 | ) | (3,619,543 | ) | (57,337,840 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 87,877 | $ | 773,799 | 872,307 | $ | 13,689,494 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Blue Chip Growth Fund Class A |
| |||||||||||||||
Sold | 544,590 | $ | 8,399,689 | 1,760,146 | $ | 26,797,121 | ||||||||||
Issued as reinvestment of dividends | 432,843 | 6,471,007 | 1,771,499 | 26,643,342 | ||||||||||||
Redeemed | (1,803,677 | ) | (27,755,424 | ) | (2,459,732 | ) | (36,782,915 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (826,244 | ) | $ | (12,884,728 | ) | 1,071,913 | $ | 16,657,548 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Blue Chip Growth Fund Class R4 |
| |||||||||||||||
Sold | 903,916 | $ | 13,865,174 | 1,752,959 | $ | 26,219,066 | ||||||||||
Issued as reinvestment of dividends | 143,797 | 2,146,888 | 262,389 | 3,943,712 | ||||||||||||
Redeemed | (356,429 | ) | (5,526,421 | ) | (386,193 | ) | (5,770,075 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 691,284 | $ | 10,485,641 | 1,629,155 | $ | 24,392,703 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Blue Chip Growth Fund Class R3 |
| |||||||||||||||
Sold | 603,414 | $ | 8,780,526 | 1,364,827 | $ | 19,543,732 | ||||||||||
Issued as reinvestment of dividends | 85,090 | 1,196,363 | 81,838 | 1,163,726 | ||||||||||||
Redeemed | (186,718 | ) | (2,724,545 | ) | (152,381 | ) | (2,196,306 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 501,786 | $ | 7,252,344 | 1,294,284 | $ | 18,511,152 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Growth Opportunities Fund Class I |
| |||||||||||||||
Sold | 2,084,609 | $ | 21,124,089 | 7,342,454 | $ | 77,365,291 | ||||||||||
Issued as reinvestment of dividends | 2,537,010 | 24,329,924 | 3,586,120 | 38,981,121 | ||||||||||||
Redeemed | (6,263,400 | ) | (63,533,797 | ) | (10,357,640 | ) | (109,952,101 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,641,781 | ) | $ | (18,079,784 | ) | 570,934 | $ | 6,394,311 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Growth Opportunities Fund Class R5 |
| |||||||||||||||
Sold | 1,089,178 | $ | 10,945,427 | 1,544,312 | $ | 16,314,440 | ||||||||||
Issued as reinvestment of dividends | 1,384,723 | 13,168,716 | 2,204,066 | 23,803,912 | ||||||||||||
Redeemed | (3,220,160 | ) | (32,739,904 | ) | (6,026,743 | ) | (62,688,417 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (746,259 | ) | $ | (8,625,761 | ) | (2,278,365 | ) | $ | (22,570,065 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Growth Opportunities Fund Service Class |
| |||||||||||||||
Sold | 481,416 | $ | 4,720,743 | 1,751,891 | $ | 19,083,532 | ||||||||||
Issued as reinvestment of dividends | 1,140,828 | 10,598,292 | 1,686,949 | 17,831,054 | ||||||||||||
Redeemed | (3,012,528 | ) | (28,905,821 | ) | (3,141,277 | ) | (31,742,200 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,390,284 | ) | $ | (13,586,786 | ) | 297,563 | $ | 5,172,386 | ||||||||
|
|
|
|
|
|
|
|
282
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Growth Opportunities Fund Administrative Class |
| |||||||||||||||
Sold | 501,876 | $ | 4,787,862 | 836,054 | $ | 8,461,631 | ||||||||||
Issued as reinvestment of dividends | 743,653 | 6,692,874 | 1,211,646 | 12,455,718 | ||||||||||||
Redeemed | (1,071,841 | ) | (10,233,390 | ) | (3,403,565 | ) | (33,190,176 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 173,688 | $ | 1,247,346 | (1,355,865 | ) | $ | (12,272,827 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Growth Opportunities Fund Class A |
| |||||||||||||||
Sold | 486,280 | $ | 4,367,330 | 624,026 | $ | 5,796,869 | ||||||||||
Issued as reinvestment of dividends | 880,710 | 7,450,808 | 1,704,082 | 16,597,761 | ||||||||||||
Redeemed | (2,774,481 | ) | (25,261,310 | ) | (5,692,923 | ) | (52,926,673 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,407,491 | ) | $ | (13,443,172 | ) | (3,364,815 | ) | $ | (30,532,043 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Growth Opportunities Fund Class R4 |
| |||||||||||||||
Sold | 265,134 | $ | 2,439,952 | 616,217 | $ | 6,174,854 | ||||||||||
Issued as reinvestment of dividends | 74,731 | 635,215 | 65,563 | 639,893 | ||||||||||||
Redeemed | (253,524 | ) | (2,271,495 | ) | (252,838 | ) | (2,319,896 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 86,341 | $ | 803,672 | 428,942 | $ | 4,494,851 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Growth Opportunities Fund Class R3 |
| |||||||||||||||
Sold | 31,489 | $ | 265,316 | 35,538 | $ | 314,524 | ||||||||||
Issued as reinvestment of dividends | 9,476 | 74,953 | 10,153 | 93,106 | ||||||||||||
Redeemed | (15,743 | ) | (128,485 | ) | (30,472 | ) | (259,283 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 25,222 | $ | 211,784 | 15,219 | $ | 148,347 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Mid-Cap Value Fund Class I |
| |||||||||||||||
Sold | 1,653,261 | $ | 23,167,825 | 2,495,317 | $ | 32,470,619 | ||||||||||
Issued as reinvestment of dividends | 252,109 | 3,637,931 | 1,173,829 | 14,226,812 | ||||||||||||
Redeemed | (3,075,226 | ) | (43,481,458 | ) | (5,190,999 | ) | (71,910,338 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,169,856 | ) | $ | (16,675,702 | ) | (1,521,853 | ) | $ | (25,212,907 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Mid-Cap Value Fund Class R5 |
| |||||||||||||||
Sold | 59,934 | $ | 866,472 | 127,107 | $ | 1,646,344 | ||||||||||
Issued as reinvestment of dividends | 17,361 | 252,075 | 79,014 | 963,968 | ||||||||||||
Redeemed | (54,454 | ) | (796,172 | ) | (299,874 | ) | (4,014,516 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 22,841 | $ | 322,375 | (93,753 | ) | $ | (1,404,204 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Mid-Cap Value Fund Service Class |
| |||||||||||||||
Sold | 6 | $ | 85 | 17,883 | $ | 205,717 | ||||||||||
Issued as reinvestment of dividends | 4,755 | 68,901 | 34,484 | 419,323 | ||||||||||||
Redeemed | (28,360 | ) | (409,894 | ) | (89,911 | ) | (1,199,897 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (23,599 | ) | $ | (340,908 | ) | (37,544 | ) | $ | (574,857 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Mid-Cap Value Fund Administrative Class |
| |||||||||||||||
Sold | 12,968 | $ | 191,141 | 29,286 | $ | 403,592 | ||||||||||
Issued as reinvestment of dividends | 1,597 | 23,466 | 2,965 | 36,593 | ||||||||||||
Redeemed | (6,076 | ) | (89,630 | ) | (4,309 | ) | (58,295 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 8,489 | $ | 124,977 | 27,942 | $ | 381,890 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Mid-Cap Value Fund Class A |
| |||||||||||||||
Sold | 24,147 | $ | 348,437 | 61,093 | $ | 794,363 | ||||||||||
Issued as reinvestment of dividends | 3,856 | 55,905 | 27,545 | 335,769 | ||||||||||||
Redeemed | (31,901 | ) | (460,694 | ) | (126,981 | ) | (1,658,002 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,898 | ) | $ | (56,352 | ) | (38,343 | ) | $ | (527,870 | ) | ||||||
|
|
|
|
|
|
|
|
283
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Mid-Cap Value Fund Class R4 |
| |||||||||||||||
Sold | 2,192 | $ | 29,358 | 108 | $ | 1,418 | ||||||||||
Issued as reinvestment of dividends | 65 | 945 | 2 | 28 | ||||||||||||
Redeemed | (41 | ) | (572 | ) | (15 | ) | (209 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,216 | $ | 29,731 | 95 | $ | 1,237 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Mid-Cap Value Fund Class R3 |
| |||||||||||||||
Sold | 5,579 | $ | 80,009 | 1,557 | $ | 19,762 | ||||||||||
Issued as reinvestment of dividends | 201 | 2,892 | 1,146 | 13,852 | ||||||||||||
Redeemed | (586 | ) | (8,265 | ) | (1,616 | ) | (20,825 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 5,194 | $ | 74,636 | 1,087 | $ | 12,789 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Value Equity Fund Class I |
| |||||||||||||||
Sold | 773,637 | $ | 13,080,906 | 4,656,033 | $ | 68,492,489 | ||||||||||
Issued as reinvestment of dividends | 407,400 | 7,003,209 | 186,610 | 2,730,108 | ||||||||||||
Redeemed | (2,079,326 | ) | (34,794,620 | ) | (1,765,831 | ) | (25,758,018 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (898,289 | ) | $ | (14,710,505 | ) | 3,076,812 | $ | 45,464,579 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Value Equity Fund Class R5 |
| |||||||||||||||
Sold | 201,845 | $ | 3,412,983 | 473,708 | $ | 7,131,853 | ||||||||||
Issued as reinvestment of dividends | 171,524 | 2,951,933 | 243,625 | 3,566,662 | ||||||||||||
Redeemed | (937,250 | ) | (16,090,559 | ) | (4,034,682 | ) | (59,201,820 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (563,881 | ) | $ | (9,725,643 | ) | (3,317,349 | ) | $ | (48,503,305 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Value Equity Fund Service Class |
| |||||||||||||||
Sold | 46,916 | $ | 806,178 | 289,671 | $ | 4,586,399 | ||||||||||
Issued as reinvestment of dividends | 24,682 | 425,749 | 17,628 | 258,786 | ||||||||||||
Redeemed | (51,191 | ) | (878,095 | ) | (78,874 | ) | (1,188,006 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 20,407 | $ | 353,832 | 228,425 | $ | 3,657,179 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Value Equity Fund Administrative Class |
| |||||||||||||||
Sold | 241,842 | $ | 4,305,231 | 63,978 | $ | 982,855 | ||||||||||
Issued as reinvestment of dividends | 27,941 | 479,474 | 10,262 | 150,036 | ||||||||||||
Redeemed | (35,190 | ) | (601,889 | ) | (183,347 | ) | (2,891,855 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 234,593 | $ | 4,182,816 | (109,107 | ) | $ | (1,758,964 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Value Equity Fund Class A |
| |||||||||||||||
Sold | 101,430 | $ | 1,713,931 | 223,793 | $ | 3,430,864 | ||||||||||
Issued as reinvestment of dividends | 29,109 | 498,354 | 15,791 | 230,384 | ||||||||||||
Redeemed | (101,408 | ) | (1,697,036 | ) | (133,836 | ) | (1,956,953 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 29,131 | $ | 515,249 | 105,748 | $ | 1,704,295 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Value Equity Fund Class R4 |
| |||||||||||||||
Sold | 41,230 | $ | 674,399 | 79,717 | $ | 1,243,218 | ||||||||||
Issued as reinvestment of dividends | 5,092 | 86,710 | 2,729 | 39,618 | ||||||||||||
Redeemed | (39,778 | ) | (637,399 | ) | (17,345 | ) | (255,307 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 6,544 | $ | 123,710 | 65,101 | $ | 1,027,529 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Value Equity Fund Class R3 |
| |||||||||||||||
Sold | 14,035 | $ | 232,439 | 20,584 | $ | 302,236 | ||||||||||
Issued as reinvestment of dividends | 1,304 | 22,210 | 137 | 1,996 | ||||||||||||
Redeemed | (371 | ) | (6,261 | ) | (1,682 | ) | (26,264 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 14,968 | $ | 248,388 | 19,039 | $ | 277,968 | ||||||||||
|
|
|
|
|
|
|
|
284
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Small Company Value Fund Class I |
| |||||||||||||||
Sold | 1,291,543 | $ | 15,885,577 | 1,908,765 | $ | 20,824,044 | ||||||||||
Issued as reinvestment of dividends | 178,796 | 2,247,465 | 2,891,985 | 29,209,049 | ||||||||||||
Redeemed | (2,263,734 | ) | (27,541,433 | ) | (3,328,874 | ) | (36,510,638 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (793,395 | ) | $ | (9,408,391 | ) | 1,471,876 | $ | 13,522,455 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Company Value Fund Class R5 |
| |||||||||||||||
Sold | 975,476 | $ | 11,894,393 | 854,150 | $ | 9,159,892 | ||||||||||
Issued as reinvestment of dividends | 147,164 | 1,858,678 | 2,704,641 | 27,452,111 | ||||||||||||
Redeemed | (3,343,240 | ) | (41,664,957 | ) | (3,935,998 | ) | (42,193,058 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,220,600 | ) | $ | (27,911,886 | ) | (377,207 | ) | $ | (5,581,055 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Small Company Value Fund Service Class |
| |||||||||||||||
Sold | 96,909 | $ | 1,179,127 | 246,503 | $ | 2,609,640 | ||||||||||
Issued as reinvestment of dividends | 17,279 | 217,193 | 388,961 | 3,932,394 | ||||||||||||
Redeemed | (410,943 | ) | (4,833,388 | ) | (520,112 | ) | (5,439,410 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (296,755 | ) | $ | (3,437,068 | ) | 115,352 | $ | 1,102,624 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Company Value Fund Administrative Class |
| |||||||||||||||
Sold | 144,486 | $ | 1,750,165 | 199,771 | $ | 2,187,363 | ||||||||||
Issued as reinvestment of dividends | 20,162 | 249,821 | 416,894 | 4,152,265 | ||||||||||||
Redeemed | (372,531 | ) | (4,511,879 | ) | (555,490 | ) | (5,826,695 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (207,883 | ) | $ | (2,511,893 | ) | 61,175 | $ | 512,933 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Company Value Fund Class A |
| |||||||||||||||
Sold | 150,214 | $ | 1,766,966 | 176,322 | $ | 1,859,148 | ||||||||||
Issued as reinvestment of dividends | 23,811 | 287,164 | 737,719 | 7,155,864 | ||||||||||||
Redeemed | (574,020 | ) | (6,393,792 | ) | (888,801 | ) | (9,267,533 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (399,995 | ) | $ | (4,339,662 | ) | 25,240 | $ | (252,521 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Small Company Value Fund Class R4 |
| |||||||||||||||
Sold | 21,754 | $ | 230,547 | 10,772 | $ | 111,338 | ||||||||||
Issued as reinvestment of dividends | 472 | 5,631 | 358 | 3,452 | ||||||||||||
Redeemed | (122 | ) | (1,439 | ) | (1,339 | ) | (14,072 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 22,104 | $ | 234,739 | 9,791 | $ | 100,718 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Company Value Fund Class R3 |
| |||||||||||||||
Sold | 2,015 | $ | 22,230 | 2,448 | $ | 26,188 | ||||||||||
Issued as reinvestment of dividends | 112 | 1,281 | 1,738 | 15,919 | ||||||||||||
Redeemed | (599 | ) | (6,743 | ) | (662 | ) | (8,148 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,528 | $ | 16,768 | 3,524 | $ | 33,959 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
S&P Mid Cap Index Fund Class I |
| |||||||||||||||
Sold | 1,557,783 | $ | 21,133,783 | 4,355,241 | $ | 55,642,526 | ||||||||||
Issued as reinvestment of dividends | 633,073 | 8,356,561 | 649,394 | 7,825,196 | ||||||||||||
Redeemed | (769,840 | ) | (10,449,336 | ) | (10,625,732 | ) | (137,469,051 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,421,016 | $ | 19,041,008 | (5,621,097 | ) | $ | (74,001,329 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
S&P Mid Cap Index Fund Class R5 |
| |||||||||||||||
Sold | 1,060,913 | $ | 14,480,839 | 940,527 | $ | 11,717,874 | ||||||||||
Issued as reinvestment of dividends | 179,812 | 2,366,321 | 52,494 | 631,503 | ||||||||||||
Redeemed | (445,557 | ) | (6,046,549 | ) | (323,871 | ) | (4,115,542 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 795,168 | $ | 10,800,611 | 669,150 | $ | 8,233,835 | ||||||||||
|
|
|
|
|
|
|
|
285
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
S&P Mid Cap Index Fund Service Class |
| |||||||||||||||
Sold | 479,026 | $ | 6,549,550 | 753,305 | $ | 9,412,680 | ||||||||||
Issued as reinvestment of dividends | 201,627 | 2,643,334 | 66,663 | 799,955 | ||||||||||||
Redeemed | (320,963 | ) | (4,337,907 | ) | (425,022 | ) | (5,460,606 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 359,690 | $ | 4,854,977 | 394,946 | $ | 4,752,029 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
S&P Mid Cap Index Fund Administrative Class |
| |||||||||||||||
Sold | 681,582 | $ | 9,186,150 | 1,287,492 | $ | 16,228,818 | ||||||||||
Issued as reinvestment of dividends | 479,844 | 6,295,545 | 220,172 | 2,642,062 | ||||||||||||
Redeemed | (1,374,651 | ) | (18,374,643 | ) | (882,193 | ) | (11,061,621 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (213,225 | ) | $ | (2,892,948 | ) | 625,471 | $ | 7,809,259 | ||||||||
|
|
|
|
|
|
|
| |||||||||
S&P Mid Cap Index Fund Class A |
| |||||||||||||||
Sold | 562,887 | $ | 7,553,240 | 1,051,985 | $ | 13,208,349 | ||||||||||
Issued as reinvestment of dividends | 332,874 | 4,360,651 | 154,785 | 1,855,870 | ||||||||||||
Redeemed | (1,237,117 | ) | (16,412,316 | ) | (680,053 | ) | (8,740,095 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (341,356 | ) | $ | (4,498,425 | ) | 526,717 | $ | 6,324,124 | ||||||||
|
|
|
|
|
|
|
| |||||||||
S&P Mid Cap Index Fund Class R4 |
| |||||||||||||||
Sold | 2,089,410 | $ | 27,829,402 | 1,898,502 | $ | 23,804,594 | ||||||||||
Issued as reinvestment of dividends | 313,015 | 4,084,853 | 80,755 | 965,023 | ||||||||||||
Redeemed | (234,560 | ) | (3,121,588 | ) | (359,416 | ) | (4,489,371 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,167,865 | $ | 28,792,667 | 1,619,841 | $ | 20,280,246 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
S&P Mid Cap Index Fund Class R3 |
| |||||||||||||||
Sold | 2,109,449 | $ | 27,991,954 | 2,000,894 | $ | 25,110,269 | ||||||||||
Issued as reinvestment of dividends | 283,828 | 3,695,437 | 59,452 | 709,852 | ||||||||||||
Redeemed | (196,144 | ) | (2,624,264 | ) | (230,580 | ) | (2,868,456 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,197,133 | $ | 29,063,127 | 1,829,766 | $ | 22,951,665 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Russell 2000 Small Cap Index Fund Class I |
| |||||||||||||||
Sold | 1,432,881 | $ | 18,590,735 | 3,624,240 | $ | 41,475,122 | ||||||||||
Issued as reinvestment of dividends | 719,419 | 9,244,537 | 593,889 | 6,663,435 | ||||||||||||
Redeemed | (1,039,798 | ) | (13,275,110 | ) | (10,502,299 | ) | (124,332,126 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,112,502 | $ | 14,560,162 | (6,284,170 | ) | $ | (76,193,569 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Russell 2000 Small Cap Index Fund Class R5 |
| |||||||||||||||
Sold | 339,080 | $ | 4,398,832 | 610,101 | $ | 6,895,801 | ||||||||||
Issued as reinvestment of dividends | 88,849 | 1,141,707 | 27,481 | 308,615 | ||||||||||||
Redeemed | (677,616 | ) | (8,788,992 | ) | (125,306 | ) | (1,435,553 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (249,687 | ) | $ | (3,248,453 | ) | 512,276 | $ | 5,768,863 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Russell 2000 Small Cap Index Fund Service Class |
| |||||||||||||||
Sold | 445,052 | $ | 5,693,240 | 657,605 | $ | 7,374,314 | ||||||||||
Issued as reinvestment of dividends | 92,310 | 1,178,803 | 23,914 | 266,876 | ||||||||||||
Redeemed | (167,528 | ) | (2,185,931 | ) | (335,666 | ) | (3,954,820 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 369,834 | $ | 4,686,112 | 345,853 | $ | 3,686,370 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Russell 2000 Small Cap Index Fund Administrative Class |
| |||||||||||||||
Sold | 622,835 | $ | 7,976,623 | 1,207,392 | $ | 13,569,152 | ||||||||||
Issued as reinvestment of dividends | 250,548 | 3,207,019 | 100,484 | 1,124,417 | ||||||||||||
Redeemed | (805,267 | ) | (10,299,330 | ) | (543,599 | ) | (6,185,521 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 68,116 | $ | 884,312 | 764,277 | $ | 8,508,048 | ||||||||||
|
|
|
|
|
|
|
|
286
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Russell 2000 Small Cap Index Fund Class A |
| |||||||||||||||
Sold | 291,129 | $ | 3,696,027 | 524,544 | $ | 5,968,111 | ||||||||||
Issued as reinvestment of dividends | 107,940 | 1,375,156 | 42,335 | 472,035 | ||||||||||||
Redeemed | (238,292 | ) | (3,058,442 | ) | (270,190 | ) | (3,111,451 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 160,777 | $ | 2,012,741 | 296,689 | $ | 3,328,695 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Russell 2000 Small Cap Index Fund Class R4 |
| |||||||||||||||
Sold | 999,995 | $ | 12,706,725 | 1,755,046 | $ | 19,748,897 | ||||||||||
Issued as reinvestment of dividends | 175,914 | 2,234,113 | 43,772 | 486,743 | ||||||||||||
Redeemed | (217,357 | ) | (2,775,084 | ) | (289,254 | ) | (3,272,811 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 958,552 | $ | 12,165,754 | 1,509,564 | $ | 16,962,829 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Russell 2000 Small Cap Index Fund Class R3 |
| |||||||||||||||
Sold | 1,050,036 | $ | 13,282,309 | 1,413,714 | $ | 16,004,347 | ||||||||||
Issued as reinvestment of dividends | 140,014 | 1,773,978 | 29,679 | 329,730 | ||||||||||||
Redeemed | (181,319 | ) | (2,312,920 | ) | (184,010 | ) | (2,073,417 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,008,731 | $ | 12,743,367 | 1,259,383 | $ | 14,260,660 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Growth Fund Class I |
| |||||||||||||||
Sold | 22,982,303 | $ | 438,130,391 | 49,383,910 | $ | 910,970,892 | ||||||||||
Issued as reinvestment of dividends | 4,289,736 | 80,089,376 | 4,524,359 | 81,664,689 | ||||||||||||
Redeemed | (9,553,502 | ) | (181,342,833 | ) | (10,371,505 | ) | (188,862,127 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 17,718,537 | $ | 336,876,934 | 43,536,764 | $ | 803,773,454 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Growth Fund Class R5 |
| |||||||||||||||
Sold | 9,642,499 | $ | 185,574,593 | 18,173,123 | $ | 331,978,269 | ||||||||||
Issued as reinvestment of dividends | 1,840,557 | 34,123,932 | 3,079,294 | 55,211,743 | ||||||||||||
Redeemed | (9,827,617 | ) | (186,213,870 | ) | (12,215,414 | ) | (218,996,661 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,655,439 | $ | 33,484,655 | 9,037,003 | $ | 168,193,351 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Growth Fund Service Class |
| |||||||||||||||
Sold | 1,016,737 | $ | 18,832,160 | 4,042,867 | $ | 73,640,921 | ||||||||||
Issued as reinvestment of dividends | 573,119 | 10,407,836 | 1,180,675 | 20,768,068 | ||||||||||||
Redeemed | (2,619,884 | ) | (48,465,951 | ) | (5,669,807 | ) | (100,713,680 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,030,028 | ) | $ | (19,225,955 | ) | (446,265 | ) | $ | (6,304,691 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Growth Fund Administrative Class |
| |||||||||||||||
Sold | 1,074,474 | $ | 19,209,155 | 2,899,172 | $ | 49,335,238 | ||||||||||
Issued as reinvestment of dividends | 891,757 | 15,578,988 | 1,779,900 | 30,187,112 | ||||||||||||
Redeemed | (3,331,927 | ) | (59,108,684 | ) | (6,338,164 | ) | (109,212,665 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,365,696 | ) | $ | (24,320,541 | ) | (1,659,092 | ) | $ | (29,690,315 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Growth Fund Class A |
| |||||||||||||||
Sold | 551,552 | $ | 9,218,343 | 1,998,535 | $ | 32,625,483 | ||||||||||
Issued as reinvestment of dividends | 835,385 | 13,641,826 | 1,701,476 | 27,155,552 | ||||||||||||
Redeemed | (3,185,441 | ) | (52,793,281 | ) | (4,338,691 | ) | (70,001,122 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,798,504 | ) | $ | (29,933,112 | ) | (638,680 | ) | $ | (10,220,087 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Growth Fund Class R4 |
| |||||||||||||||
Sold | 1,334,530 | $ | 22,305,234 | 2,958,640 | $ | 48,085,568 | ||||||||||
Issued as reinvestment of dividends | 188,367 | 3,089,225 | 103,228 | 1,651,643 | ||||||||||||
Redeemed | (594,935 | ) | (10,000,012 | ) | (540,982 | ) | (8,810,057 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 927,962 | $ | 15,394,447 | 2,520,886 | $ | 40,927,154 | ||||||||||
|
|
|
|
|
|
|
|
287
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Mid Cap Growth Fund Class R3 |
| |||||||||||||||
Sold | 363,637 | $ | 5,698,079 | 807,955 | $ | 12,316,910 | ||||||||||
Issued as reinvestment of dividends | 59,020 | 900,059 | 41,802 | 625,777 | ||||||||||||
Redeemed | (91,547 | ) | (1,421,361 | ) | (262,967 | ) | (4,061,077 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 331,110 | $ | 5,176,777 | 586,790 | $ | 8,881,610 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Growth Equity Fund Class I |
| |||||||||||||||
Sold | 1,899,084 | $ | 25,613,565 | 6,619,365 | $ | 80,155,091 | ||||||||||
Issued as reinvestment of dividends | - | - | 4,007,138 | 49,247,720 | ||||||||||||
Redeemed | (2,894,657 | ) | (38,801,315 | ) | (5,091,392 | ) | (63,993,740 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (995,573 | ) | $ | (13,187,750 | ) | 5,535,111 | $ | 65,409,071 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Growth Equity Fund Class R5 |
| |||||||||||||||
Sold | 718,148 | $ | 9,596,061 | 470,983 | $ | 5,959,392 | ||||||||||
Issued as reinvestment of dividends | - | - | 2,681,713 | 32,663,269 | ||||||||||||
Redeemed | (1,744,301 | ) | (23,846,848 | ) | (5,113,794 | ) | (64,112,395 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,026,153 | ) | $ | (14,250,787 | ) | (1,961,098 | ) | $ | (25,489,734 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Growth Equity Fund Service Class |
| |||||||||||||||
Sold | 272,430 | $ | 3,576,898 | 912,807 | $ | 12,049,219 | ||||||||||
Issued as reinvestment of dividends | - | - | 765,507 | 8,902,844 | ||||||||||||
Redeemed | (690,131 | ) | (8,647,487 | ) | (1,191,270 | ) | (14,073,892 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (417,701 | ) | $ | (5,070,589 | ) | 487,044 | $ | 6,878,171 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Growth Equity Fund Administrative Class |
| |||||||||||||||
Sold | 415,771 | $ | 5,051,692 | 295,651 | $ | 3,435,994 | ||||||||||
Issued as reinvestment of dividends | - | - | 643,562 | 7,098,493 | ||||||||||||
Redeemed | (570,523 | ) | (6,869,724 | ) | (820,251 | ) | (9,716,299 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (154,752 | ) | $ | (1,818,032 | ) | 118,962 | $ | 818,188 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Growth Equity Fund Class A |
| |||||||||||||||
Sold | 141,807 | $ | 1,574,408 | 278,604 | $ | 2,905,950 | ||||||||||
Issued as reinvestment of dividends | - | - | 1,088,692 | 10,919,581 | ||||||||||||
Redeemed | (870,576 | ) | (9,407,565 | ) | (1,138,884 | ) | (11,769,017 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (728,769 | ) | $ | (7,833,157 | ) | 228,412 | $ | 2,056,514 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Growth Equity Fund Class R4 |
| |||||||||||||||
Sold | 104,881 | $ | 1,148,244 | 163,608 | $ | 1,681,826 | ||||||||||
Issued as reinvestment of dividends | - | - | 15,613 | 157,063 | ||||||||||||
Redeemed | (50,176 | ) | (550,355 | ) | (45,671 | ) | (443,199 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 54,705 | $ | 597,889 | 133,550 | $ | 1,395,690 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Growth Equity Fund Class R3 |
| |||||||||||||||
Sold | 78,062 | $ | 755,382 | 125,369 | $ | 1,178,785 | ||||||||||
Issued as reinvestment of dividends | - | - | 13,192 | 119,521 | ||||||||||||
Redeemed | (38,816 | ) | (377,216 | ) | (33,756 | ) | (303,619 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 39,246 | $ | 378,166 | 104,805 | $ | 994,687 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified International Fund Class I |
| |||||||||||||||
Sold | 893,360 | $ | 5,767,849 | 3,745,109 | $ | 23,601,885 | ||||||||||
Issued as reinvestment of dividends | 346,957 | 2,182,357 | 14,450 | 92,480 | ||||||||||||
Redeemed | (4,985,584 | ) | (32,541,813 | ) | (7,936,334 | ) | (50,683,179 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,745,267 | ) | $ | (24,591,607 | ) | (4,176,775 | ) | $ | (26,988,814 | ) | ||||||
|
|
|
|
|
|
|
|
288
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Diversified International Fund Class R5 |
| |||||||||||||||
Sold | - | $ | - | - | $ | - | ||||||||||
Issued as reinvestment of dividends | - | - | - | - | ||||||||||||
Redeemed | - | - | (1,821 | ) | (11,654 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | - | $ | - | (1,821 | ) | $ | (11,654 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified International Fund Service Class |
| |||||||||||||||
Sold | 971 | $ | 6,436 | 6,855 | $ | 45,639 | ||||||||||
Issued as reinvestment of dividends | 1,348 | 8,710 | - | - | ||||||||||||
Redeemed | (11,311 | ) | (77,482 | ) | (4,320 | ) | (28,373 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (8,992 | ) | $ | (62,336 | ) | 2,535 | $ | 17,266 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified International Fund Administrative Class |
| |||||||||||||||
Sold | 9,189 | $ | 60,312 | 8,411 | $ | 53,822 | ||||||||||
Issued as reinvestment of dividends | 983 | 6,428 | - | - | ||||||||||||
Redeemed | (781 | ) | (5,278 | ) | (518 | ) | (3,335 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 9,391 | $ | 61,462 | 7,893 | $ | 50,487 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified International Fund Class A |
| |||||||||||||||
Sold | 3,920 | $ | 25,508 | 13,524 | $ | 86,771 | ||||||||||
Issued as reinvestment of dividends | 2,156 | 13,539 | - | - | ||||||||||||
Redeemed | (7,794 | ) | (50,709 | ) | (61,730 | ) | (388,612 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,718 | ) | $ | (11,662 | ) | (48,206 | ) | $ | (301,841 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Diversified International Fund Class R4 |
| |||||||||||||||
Sold | 17,367 | $ | 110,126 | 181,733 | $ | 1,143,459 | ||||||||||
Issued as reinvestment of dividends | 9,942 | 62,141 | 44 | 280 | ||||||||||||
Redeemed | (101,493 | ) | (649,896 | ) | (20,496 | ) | (125,810 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (74,184 | ) | $ | (477,629 | ) | 161,281 | $ | 1,017,929 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified International Fund Class R3 |
| |||||||||||||||
Sold | 25,342 | $ | 158,972 | 25,400 | $ | 168,030 | ||||||||||
Issued as reinvestment of dividends | 1,842 | 11,477 | - | - | ||||||||||||
Redeemed | (3,471 | ) | (22,001 | ) | (10,262 | ) | (68,386 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 23,713 | $ | 148,448 | 15,138 | $ | 99,644 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
MSCI EAFE International Index Fund Class I |
| |||||||||||||||
Sold | 3,425,074 | $ | 39,281,995 | 7,534,443 | $ | 88,368,254 | ||||||||||
Issued as reinvestment of dividends | 551,030 | 6,099,905 | 645,375 | 7,499,263 | ||||||||||||
Redeemed | (1,902,192 | ) | (22,541,808 | ) | (24,221,752 | ) | (286,312,734 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,073,912 | $ | 22,840,092 | (16,041,934 | ) | $ | (190,445,217 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
MSCI EAFE International Index Fund Class R5 |
| |||||||||||||||
Sold | 674,293 | $ | 7,858,216 | 1,499,240 | $ | 17,823,032 | ||||||||||
Issued as reinvestment of dividends | 192,796 | 2,134,245 | 57,837 | 672,645 | ||||||||||||
Redeemed | (2,238,049 | ) | (25,573,706 | ) | (265,410 | ) | (3,031,095 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,370,960 | ) | $ | (15,581,245 | ) | 1,291,667 | $ | 15,464,582 | ||||||||
|
|
|
|
|
|
|
| |||||||||
MSCI EAFE International Index Fund Service Class |
| |||||||||||||||
Sold | 669,824 | $ | 7,799,376 | 499,934 | $ | 5,671,657 | ||||||||||
Issued as reinvestment of dividends | 105,318 | 1,162,704 | 29,796 | 345,628 | ||||||||||||
Redeemed | (201,081 | ) | (2,318,185 | ) | (407,232 | ) | (4,697,410 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 574,061 | $ | 6,643,895 | 122,498 | $ | 1,319,875 | ||||||||||
|
|
|
|
|
|
|
|
289
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
MSCI EAFE International Index Fund Administrative Class |
| |||||||||||||||
Sold | 589,241 | $ | 6,821,154 | 1,419,181 | $ | 16,239,900 | ||||||||||
Issued as reinvestment of dividends | 242,902 | 2,679,200 | 71,276 | 826,087 | ||||||||||||
Redeemed | (478,589 | ) | (5,492,387 | ) | (1,045,037 | ) | (12,162,835 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 353,554 | $ | 4,007,967 | 445,420 | $ | 4,903,152 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
MSCI EAFE International Index Fund Class A |
| |||||||||||||||
Sold | 311,564 | $ | 3,590,324 | 373,294 | $ | 4,404,938 | ||||||||||
Issued as reinvestment of dividends | 80,520 | 887,334 | 23,302 | 269,821 | ||||||||||||
Redeemed | (160,779 | ) | (1,840,587 | ) | (365,641 | ) | (4,274,831 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 231,305 | $ | 2,637,071 | 30,955 | $ | 399,928 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
MSCI EAFE International Index Fund Class R4 |
| |||||||||||||||
Sold | 1,212,441 | $ | 13,809,061 | 1,788,872 | $ | 20,582,139 | ||||||||||
Issued as reinvestment of dividends | 174,314 | 1,910,479 | 23,481 | 270,735 | ||||||||||||
Redeemed | (194,564 | ) | (2,249,774 | ) | (221,831 | ) | (2,565,825 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,192,191 | $ | 13,469,766 | 1,590,522 | $ | 18,287,049 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
MSCI EAFE International Index Fund Class R3 |
| |||||||||||||||
Sold | 605,511 | $ | 6,965,651 | 1,749,342 | $ | 20,220,760 | ||||||||||
Issued as reinvestment of dividends | 159,862 | 1,748,890 | 22,246 | 256,489 | ||||||||||||
Redeemed | (156,660 | ) | (1,811,581 | ) | (126,900 | ) | (1,466,873 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 608,713 | $ | 6,902,960 | 1,644,688 | $ | 19,010,376 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Overseas Fund Class I |
| |||||||||||||||
Sold | 9,478,938 | $ | 75,944,287 | 15,269,237 | $ | 116,388,130 | ||||||||||
Issued as reinvestment of dividends | 914,295 | 7,122,357 | 656,753 | 5,063,565 | ||||||||||||
Redeemed | (12,641,543 | ) | (101,015,317 | ) | (12,078,896 | ) | (92,796,786 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,248,310 | ) | $ | (17,948,673 | ) | 3,847,094 | $ | 28,654,909 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Overseas Fund Class R5 |
| |||||||||||||||
Sold | 908,508 | $ | 7,364,423 | 2,343,020 | $ | 18,067,799 | ||||||||||
Issued as reinvestment of dividends | 367,452 | 2,873,471 | 317,415 | 2,456,793 | ||||||||||||
Redeemed | (3,072,368 | ) | (24,992,735 | ) | (6,082,350 | ) | (46,165,179 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,796,408 | ) | $ | (14,754,841 | ) | (3,421,915 | ) | $ | (25,640,587 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Overseas Fund Service Class |
| |||||||||||||||
Sold | 665,049 | $ | 5,289,488 | 859,650 | $ | 6,535,356 | ||||||||||
Issued as reinvestment of dividends | 175,384 | 1,364,491 | 140,630 | 1,082,851 | ||||||||||||
Redeemed | (4,456,811 | ) | (34,874,204 | ) | (2,185,000 | ) | (16,605,132 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,616,378 | ) | $ | (28,220,225 | ) | (1,184,720 | ) | $ | (8,986,925 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Overseas Fund Administrative Class |
| |||||||||||||||
Sold | 304,258 | $ | 2,436,225 | 1,168,459 | $ | 8,803,196 | ||||||||||
Issued as reinvestment of dividends | 91,828 | 720,851 | 60,989 | 473,888 | ||||||||||||
Redeemed | (650,483 | ) | (5,228,095 | ) | (1,146,777 | ) | (8,818,186 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (254,397 | ) | $ | (2,071,019 | ) | 82,671 | $ | 458,898 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Overseas Fund Class A |
| |||||||||||||||
Sold | 281,661 | $ | 2,222,570 | 1,233,779 | $ | 9,115,292 | ||||||||||
Issued as reinvestment of dividends | 122,424 | 941,444 | 81,573 | 620,770 | ||||||||||||
Redeemed | (1,570,135 | ) | (12,293,350 | ) | (1,474,233 | ) | (11,054,883 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,166,050 | ) | $ | (9,129,336 | ) | (158,881 | ) | $ | (1,318,821 | ) | ||||||
|
|
|
|
|
|
|
|
290
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Overseas Fund Class R4 |
| |||||||||||||||
Sold | 239,690 | $ | 1,853,768 | 519,411 | $ | 3,734,361 | ||||||||||
Issued as reinvestment of dividends | 15,304 | 115,855 | 6,873 | 51,550 | ||||||||||||
Redeemed | (299,234 | ) | (2,300,191 | ) | (112,376 | ) | (826,736 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (44,240 | ) | $ | (330,568 | ) | 413,908 | $ | 2,959,175 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Overseas Fund Class R3 |
| |||||||||||||||
Sold | 20,982 | $ | 164,213 | 124,989 | $ | 920,307 | ||||||||||
Issued as reinvestment of dividends | 4,284 | 32,726 | 2,243 | 16,976 | ||||||||||||
Redeemed | (41,191 | ) | (324,863 | ) | (45,134 | ) | (334,723 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (15,925 | ) | $ | (127,924 | ) | 82,098 | $ | 602,560 | ||||||||
|
|
|
|
|
|
|
|
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 period ended March 31, 2017, 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. The Distributor receives all contingent deferred sales charges. Any contingent deferred sales charges imposed during the period ended March 31, 2017, were waived for any redemptions or exchanges subject to such a charge.
6. | Federal Income Tax Information |
At March 31, 2017, 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 | $ | 992,078,512 | $ | 13,843,816 | $ | (10,832,095 | ) | $ | 3,011,721 | |||||||
Strategic Bond Fund | 442,327,960 | 9,111,868 | (6,642,880 | ) | 2,468,988 | |||||||||||
Diversified Value Fund | 305,090,958 | 75,872,044 | (2,367,395 | ) | 73,504,649 | |||||||||||
Fundamental Value Fund | 937,732,142 | 356,757,575 | (42,605,558 | ) | 314,152,017 | |||||||||||
Large Cap Value Fund | 177,885,751 | 32,936,973 | (12,191,619 | ) | 20,745,354 | |||||||||||
S&P 500 Index Fund | 2,190,036,521 | 1,662,368,655 | (43,837,423 | ) | 1,618,531,232 | |||||||||||
Equity Opportunities Fund | 725,563,470 | 12,081,632 | (3,732,655 | ) | 8,348,977 | |||||||||||
Fundamental Growth Fund | 107,652,456 | 20,330,539 | (1,088,322 | ) | 19,242,217 | |||||||||||
Blue Chip Growth Fund | 1,439,586,677 | 457,479,387 | (22,361,047 | ) | 435,118,340 | |||||||||||
Growth Opportunities Fund | 644,943,341 | 210,624,999 | (30,085,354 | ) | 180,539,645 | |||||||||||
Mid-Cap Value Fund | 98,801,928 | 12,938,078 | (2,231,578 | ) | 10,706,500 | |||||||||||
Small Cap Value Equity Fund | 147,421,648 | 49,473,991 | (6,706,257 | ) | 42,767,734 | |||||||||||
Small Company Value Fund | 249,296,168 | 56,696,559 | (7,880,644 | ) | 48,815,915 | |||||||||||
S&P Mid Cap Index Fund | 359,310,570 | 53,421,995 | (12,237,400 | ) | 41,184,595 | |||||||||||
Russell 2000 Small Cap Index Fund | 330,345,127 | 57,670,182 | (20,796,268 | ) | 36,873,914 | |||||||||||
Mid Cap Growth Fund | 3,350,903,640 | 786,827,428 | (38,879,501 | ) | 747,947,927 | |||||||||||
Small Cap Growth Equity Fund | 494,092,615 | 82,907,220 | (13,288,074 | ) | 69,619,146 | |||||||||||
Diversified International Fund | 15,013,530 | 2,302,092 | (218,036 | ) | 2,084,056 | |||||||||||
MSCI EAFE International Index Fund | 285,572,522 | 20,255,330 | (16,080,940 | ) | 4,174,390 | |||||||||||
Overseas Fund | 577,278,361 | 71,175,738 | (18,509,930 | ) | 52,665,808 |
291
Notes to Financial Statements (Unaudited) (Continued)
Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. 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.
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.
292
Notes to Financial Statements (Unaudited) (Continued)
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended 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 | - | |||||||||
Equity Opportunities 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 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 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 |
293
Notes to Financial Statements (Unaudited) (Continued)
Undistributed Ordinary Income | Undistributed Long Term Capital Gain (Capital Loss Carryover) | Other Temporary Differences | Unrealized Appreciation (Depreciation) | |||||||||||||
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 | |||||||||||
Equity Opportunities 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 Fund | 3,423,771 | 134,984,194 | (354,676 | ) | 589,786,303 | |||||||||||
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 | ) |
The Funds did not have any unrecognized tax benefits at March 31, 2017, nor were there any increases or decreases in unrecognized tax benefits for the period 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 period ended March 31, 2017, 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.
8. | New Accounting Pronouncements |
In October 2016, the Securities and Exchange Commission (“SEC”) released its Final Rule on Investment Company Reporting Modernization (the “Rule”). The Rule, which introduces two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contains amendments to Regulation S-X which impact financial statement presentation, particularly the presentation of derivative investments. Management is still evaluating the impact of the Rule; however, management believes that many of the Regulation S-X amendments are consistent with the Funds’ current financial statement presentation and expects that each Fund will be able to comply with the Rule’s Regulation S-X amendments by the August 1, 2017 compliance date.
In December 2016, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2016-19, Technical Corrections and Improvements (“ASU 2016-19”). ASU 2016-19 includes simplification and minor improvements to topics on insurance and troubled debt restructuring. The amendment requires an entity to disclose when there has been a change in a valuation approach, a valuation technique, or both. The transition guidance for the amendment must be applied prospectively because it could potentially involve the use of hindsight that includes fair value measurements. The guidance is effective for
294
Notes to Financial Statements (Unaudited) (Continued)
interim periods beginning after December 15, 2016. Management is currently evaluating the implication, if any, of the additional disclosure requirements and its impact on the Funds’ financial statements.
In March 2017, FASB issued Accounting Standards Update 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). For entities that hold callable debt securities at a premium, ASU 2017-08 requires that the premium be amortized to the earliest call date. ASU 2017-08 would first be effective for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years. Management is still evaluating the potential impact of ASU 2017-08 but believes that adoption of ASU 2017-08 will not have a material effect on each Fund’s financial position or its results of operations.
9. | Legal Proceedings |
On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds.
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.
10. | Subsequent Events |
In preparation of these financial statements, management has evaluated the events and transactions subsequent to March 31, 2017, through the date when the financial statements were issued, and determined that there are no subsequent events or transactions that would require adjustments to or disclosures in the Funds’ financial statements other than those disclosed below.
Effective April 28, 2017 (the “Termination Date”), the Diversified International Fund was dissolved pursuant to a Plan of Liquidation and Termination approved by the Trustees. Shareholders of the various classes of shares of the Fund received proceeds in proportion to the number of shares of such class held by each of them on the Termination Date.
295
Other Information (Unaudited)
A description of the policies and procedures that each Fund’s investment adviser and subadvisers use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the SEC’s EDGAR database on its website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most 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 meeting in November 2016, 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”), approved renegotiated subadvisory agreements with T. Rowe Price Associates, Inc. (“T. Rowe Price”) for the Blue Chip Growth Fund, Small Company Value Fund, and Mid Cap Growth Fund, each of which is based on the new form of subadvisory agreement previously presented to the Trustees (“Renegotiated Subadvisory Agreements”). In preparation for the meeting, the Trustees requested, and MML Advisers provided in advance, certain materials relevant to the consideration of the Renegotiated Subadvisory Agreements. In all of their deliberations, the Trustees were advised by independent counsel.
In reviewing the Renegotiated Subadvisory Agreements, the Trustees discussed with MML Advisers and considered a wide range of information about, among other things: (i) T. Rowe Price and its personnel with responsibilities for providing services to the Blue Chip Growth Fund, Small Company Value Fund, and Mid Cap Growth Fund; (ii) the terms of the Renegotiated Subadvisory Agreements; and (iii) the scope and quality of services that T. Rowe Price will provide under the Renegotiated Subadvisory Agreements.
Prior to the votes being taken to approve the Renegotiated Subadvisory Agreements, the Independent Trustees met separately in executive session to discuss the appropriateness of such contracts. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.
Based on the foregoing, the Trustees concluded that: (i) overall, they were satisfied with the nature, extent, and quality of services expected to be provided under the Renegotiated Subadvisory Agreements, including the anticipated level of MML Advisers’ oversight of the Blue Chip Growth Fund, Small Company Value Fund, and Mid Cap Growth Fund and the subadvisory process; and (ii) the terms of the Renegotiated Subadvisory Agreements are fair and reasonable with respect to the Blue Chip Growth Fund, Small Company Value Fund, and Mid Cap Growth Fund and are in the best interest of the Funds’ shareholders. After carefully considering the information summarized above, the Trustees, including the Independent Trustees voting separately, unanimously voted to approve the Renegotiated Subadvisory Agreements.
The Renegotiated Subadvisory Agreements became effective on February 1, 2017.
At their meeting in March 2017, the Trustees, including the Independent Trustees, approved new subadvisory agreements (“New Subadvisory Agreements”) with T. Rowe Price and Wellington Management Company LLP (“Wellington Management”) for the Equity Opportunities Fund. In preparation for the meeting, the Trustees requested, and MML Advisers provided in advance, certain materials relevant to the consideration of the New Subadvisory Agreements. In all of their deliberations, the Trustees were advised by independent counsel.
296
Other Information (Unaudited) (Continued)
In reviewing the New Subadvisory Agreements, the Independent Trustees discussed with MML Advisers and considered a wide range of information about, among other things: (i) T. Rowe Price and Wellington Management and their respective personnel with responsibilities for providing services to the Equity Opportunities Fund; (ii) the terms of the New Subadvisory Agreements; (iii) the scope and quality of services that T. Rowe Price and Wellington Management will provide under the New Subadvisory Agreements; (iv) the historical investment performance track records of T. Rowe Price and Wellington Management; and (v) the fees payable to T. Rowe Price and Wellington Management by MML Advisers for the Equity Opportunities Fund and the effect of such fees on the profitability to MML Advisers.
Prior to the votes being taken to approve the New Subadvisory Agreements, the Independent Trustees met separately in executive session to discuss the appropriateness of such contracts. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.
Based on the foregoing, the Trustees concluded that: (i) overall, they were satisfied with the nature, extent, and quality of services expected to be provided under the New Subadvisory Agreements; (ii) MML Advisers’ projected level of profitability due to the New Subadvisory Agreements was not excessive and the subadvisory fee amounts under the New Subadvisory Agreements are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of T. Rowe Price and Wellington Management appear well suited to the Equity Opportunities Fund, given its investment objectives and policies; and (iv) the terms of the New Subadvisory Agreements are fair and reasonable with respect to the Equity Opportunities Fund and are in the best interests of the Equity Opportunities Fund’s shareholders. After carefully considering the information summarized above, the Trustees, including the Independent Trustees voting separately, unanimously voted to approve the New Subadvisory Agreements.
The New Subadvisory Agreements became effective on March 28, 2017.
297
Other Information (Unaudited) (Continued)
Expense Examples:
The following information is in regards to expenses for the six months ended March 31, 2017:
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 March 31, 2017.
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 | 0.35 | % | $ | 984.60 | $ | 1.73 | $ | 1,023.20 | $ | 1.77 | ||||||||||||
Class R5 | 1,000 | 0.45 | % | 983.40 | 2.23 | 1,022.70 | 2.27 | |||||||||||||||||
Service Class | 1,000 | 0.55 | % | 983.40 | 2.72 | 1,022.20 | 2.77 | |||||||||||||||||
Administrative Class | 1,000 | 0.65 | % | 982.70 | 3.21 | 1,021.70 | 3.28 | |||||||||||||||||
Class A | 1,000 | 0.90 | % | 981.80 | 4.45 | 1,020.40 | 4.53 | |||||||||||||||||
Class R4 | 1,000 | 0.80 | % | 982.20 | 3.95 | 1,020.90 | 4.03 | |||||||||||||||||
Class R3 | 1,000 | 1.05 | % | 980.20 | 5.18 | 1,019.70 | 5.29 |
298
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* | |||||||||||||||||||
Strategic Bond Fund | ||||||||||||||||||||||||
Class I | $ | 1,000 | 0.48 | % | $ | 991.70 | $ | 2.38 | $ | 1,022.50 | $ | 2.42 | ||||||||||||
Class R5 | 1,000 | 0.58 | % | 991.80 | 2.88 | 1,022.00 | 2.92 | |||||||||||||||||
Service Class | 1,000 | 0.68 | % | 990.30 | 3.37 | 1,021.50 | 3.43 | |||||||||||||||||
Administrative Class | 1,000 | 0.78 | % | 990.30 | 3.87 | 1,021.00 | 3.93 | |||||||||||||||||
Class A | 1,000 | 1.03 | % | 989.10 | 5.11 | 1,019.80 | 5.19 | |||||||||||||||||
Class R4 | 1,000 | 0.93 | % | 989.60 | 4.61 | 1,020.30 | 4.68 | |||||||||||||||||
Class R3 | 1,000 | 1.18 | % | 988.20 | 5.85 | 1,019.00 | 5.94 | |||||||||||||||||
Diversified Value Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.57 | % | 1,121.80 | 3.02 | 1,022.10 | 2.87 | |||||||||||||||||
Class R5 | 1,000 | 0.67 | % | 1,121.00 | 3.54 | 1,021.60 | 3.38 | |||||||||||||||||
Service Class | 1,000 | 0.77 | % | 1,119.90 | 4.07 | 1,021.10 | 3.88 | |||||||||||||||||
Administrative Class | 1,000 | 0.87 | % | 1,119.60 | 4.60 | 1,020.60 | 4.38 | |||||||||||||||||
Class A | 1,000 | 1.12 | % | 1,118.70 | 5.92 | 1,019.30 | 5.64 | |||||||||||||||||
Class R4 | 1,000 | 1.02 | % | 1,119.20 | 5.39 | 1,019.80 | 5.14 | |||||||||||||||||
Class R3 | 1,000 | 1.27 | % | 1,117.30 | 6.70 | 1,018.60 | 6.39 | |||||||||||||||||
Fundamental Value Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.63 | % | 1,098.10 | 3.30 | 1,021.80 | 3.18 | |||||||||||||||||
Class R5 | 1,000 | 0.73 | % | 1,097.50 | 3.82 | 1,021.30 | 3.68 | |||||||||||||||||
Service Class | 1,000 | 0.83 | % | 1,096.50 | 4.34 | 1,020.80 | 4.18 | |||||||||||||||||
Administrative Class | 1,000 | 0.93 | % | 1,096.90 | 4.86 | 1,020.30 | 4.68 | |||||||||||||||||
Class A | 1,000 | 1.18 | % | 1,094.60 | 6.16 | 1,019.00 | 5.94 | |||||||||||||||||
Class R4 | 1,000 | 1.08 | % | 1,095.80 | 5.64 | 1,019.50 | 5.44 | |||||||||||||||||
Class R3 | 1,000 | 1.33 | % | 1,094.90 | 6.95 | 1,018.30 | 6.69 | |||||||||||||||||
Large Cap Value Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.63 | % | 1,114.80 | 3.32 | 1,021.80 | 3.18 | |||||||||||||||||
Class R5 | 1,000 | 0.73 | % | 1,113.40 | 3.85 | 1,021.30 | 3.68 | |||||||||||||||||
Service Class | 1,000 | 0.83 | % | 1,112.70 | 4.37 | 1,020.80 | 4.18 | |||||||||||||||||
Administrative Class | 1,000 | 0.93 | % | 1,112.80 | 4.90 | 1,020.30 | 4.68 | |||||||||||||||||
Class A | 1,000 | 1.18 | % | 1,110.20 | 6.21 | 1,019.00 | 5.94 | |||||||||||||||||
Class R4 | 1,000 | 1.08 | % | 1,112.70 | 5.69 | 1,019.50 | 5.44 | |||||||||||||||||
Class R3 | 1,000 | 1.33 | % | 1,110.30 | 7.00 | 1,018.30 | 6.69 | |||||||||||||||||
S&P 500 Index Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.12 | % | 1,100.40 | 0.63 | 1,024.30 | 0.61 | |||||||||||||||||
Class R5 | 1,000 | 0.22 | % | 1,099.60 | 1.15 | 1,023.80 | 1.11 | |||||||||||||||||
Service Class | 1,000 | 0.37 | % | 1,099.20 | 1.94 | 1,023.10 | 1.87 | |||||||||||||||||
Administrative Class | 1,000 | 0.47 | % | 1,098.40 | 2.46 | 1,022.60 | 2.37 | |||||||||||||||||
Class A | 1,000 | 0.72 | % | 1,097.30 | 3.76 | 1,021.30 | 3.63 | |||||||||||||||||
Class R4 | 1,000 | 0.62 | % | 1,097.90 | 3.24 | 1,021.80 | 3.13 | |||||||||||||||||
Class R3 | 1,000 | 0.87 | % | 1,096.00 | 4.55 | 1,020.60 | 4.38 | |||||||||||||||||
Equity Opportunities Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.73 | % | 1,169.40 | 3.95 | 1,021.30 | 3.68 | |||||||||||||||||
Class R5 | 1,000 | 0.83 | % | 1,168.50 | 4.49 | 1,020.80 | 4.18 | |||||||||||||||||
Service Class | 1,000 | 0.93 | % | 1,168.10 | 5.03 | 1,020.30 | 4.68 | |||||||||||||||||
Administrative Class | 1,000 | 1.03 | % | 1,167.50 | 5.57 | 1,019.80 | 5.19 | |||||||||||||||||
Class A | 1,000 | 1.28 | % | 1,166.20 | 6.91 | 1,018.50 | 6.44 | |||||||||||||||||
Class R4 | 1,000 | 1.18 | % | 1,166.20 | 6.37 | 1,019.00 | 5.94 | |||||||||||||||||
Class R3 | 1,000 | 1.43 | % | 1,165.40 | 7.72 | 1,017.80 | 7.19 |
299
Other Information (Unaudited) (Continued)
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Fundamental Growth Fund | ||||||||||||||||||||||||
Class I | $ | 1,000 | 0.70 | % | $ | 1,091.60 | $ | 3.65 | $ | 1,021.40 | $ | 3.53 | ||||||||||||
Class R5 | 1,000 | 0.80 | % | 1,090.20 | 4.17 | 1,020.90 | 4.03 | |||||||||||||||||
Service Class | 1,000 | 0.90 | % | 1,090.80 | 4.69 | 1,020.40 | 4.53 | |||||||||||||||||
Administrative Class | 1,000 | 1.00 | % | 1,090.20 | 5.21 | 1,019.90 | 5.04 | |||||||||||||||||
Class A | 1,000 | 1.25 | % | 1,087.70 | 6.51 | 1,018.70 | 6.29 | |||||||||||||||||
Class R4 | 1,000 | 1.15 | % | 1,090.00 | 5.99 | 1,019.20 | 5.79 | |||||||||||||||||
Class R3 | 1,000 | 1.40 | % | 1,088.80 | 7.29 | 1,018.00 | 7.04 | |||||||||||||||||
Blue Chip Growth Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.65 | % | 1,077.50 | 3.37 | 1,021.70 | 3.28 | |||||||||||||||||
Class R5 | 1,000 | 0.75 | % | 1,077.10 | 3.88 | 1,021.20 | 3.78 | |||||||||||||||||
Service Class | 1,000 | 0.85 | % | 1,076.40 | 4.40 | 1,020.70 | 4.28 | |||||||||||||||||
Administrative Class | 1,000 | 0.95 | % | 1,076.00 | 4.92 | 1,020.20 | 4.78 | |||||||||||||||||
Class A | 1,000 | 1.20 | % | 1,074.40 | 6.21 | 1,018.90 | 6.04 | |||||||||||||||||
Class R4 | 1,000 | 1.10 | % | 1,074.90 | 5.69 | 1,019.40 | 5.54 | |||||||||||||||||
Class R3 | 1,000 | 1.35 | % | 1,074.10 | 6.98 | 1,018.20 | 6.79 | |||||||||||||||||
Growth Opportunities Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.74 | % | 1,041.40 | 3.77 | 1,021.20 | 3.73 | |||||||||||||||||
Class R5 | 1,000 | 0.84 | % | 1,040.70 | 4.27 | 1,020.70 | 4.23 | |||||||||||||||||
Service Class | 1,000 | 0.94 | % | 1,040.60 | 4.78 | 1,020.20 | 4.73 | |||||||||||||||||
Administrative Class | 1,000 | 1.04 | % | 1,039.80 | 5.29 | 1,019.70 | 5.24 | |||||||||||||||||
Class A | 1,000 | 1.29 | % | 1,039.00 | 6.56 | 1,018.50 | 6.49 | |||||||||||||||||
Class R4 | 1,000 | 1.19 | % | 1,039.90 | 6.05 | 1,019.00 | 5.99 | |||||||||||||||||
Class R3 | 1,000 | 1.44 | % | 1,036.90 | 7.31 | 1,017.80 | 7.24 | |||||||||||||||||
Mid-Cap Value Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.80 | % | 1,113.30 | 4.22 | 1,020.90 | 4.03 | |||||||||||||||||
Class R5 | 1,000 | 0.90 | % | 1,112.50 | 4.74 | 1,020.40 | 4.53 | |||||||||||||||||
Service Class | 1,000 | 1.00 | % | 1,112.00 | 5.27 | 1,019.90 | 5.04 | |||||||||||||||||
Administrative Class | 1,000 | 1.10 | % | 1,112.00 | 5.79 | 1,019.40 | 5.54 | |||||||||||||||||
Class A | 1,000 | 1.35 | % | 1,109.80 | 7.10 | 1,018.20 | 6.79 | |||||||||||||||||
Class R4 | 1,000 | 1.25 | % | 1,110.30 | 6.58 | 1,018.70 | 6.29 | |||||||||||||||||
Class R3 | 1,000 | 1.50 | % | 1,109.70 | 7.89 | 1,017.50 | 7.54 | |||||||||||||||||
Small Cap Value Equity Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.80 | % | 1,129.40 | 4.25 | 1,020.90 | 4.03 | |||||||||||||||||
Class R5 | 1,000 | 0.90 | % | 1,128.80 | 4.78 | 1,020.40 | 4.53 | |||||||||||||||||
Service Class | 1,000 | 1.00 | % | 1,128.40 | 5.31 | 1,019.90 | 5.04 | |||||||||||||||||
Administrative Class | 1,000 | 1.10 | % | 1,127.40 | 5.83 | 1,019.40 | 5.54 | |||||||||||||||||
Class A | 1,000 | 1.35 | % | 1,126.10 | 7.16 | 1,018.20 | 6.79 | |||||||||||||||||
Class R4 | 1,000 | 1.25 | % | 1,126.80 | 6.63 | 1,018.70 | 6.29 | |||||||||||||||||
Class R3 | 1,000 | 1.50 | % | 1,126.00 | 7.95 | 1,017.50 | 7.54 | |||||||||||||||||
Small Company Value Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.91 | % | 1,135.00 | 4.84 | 1,020.40 | 4.58 | |||||||||||||||||
Class R5 | 1,000 | 1.01 | % | 1,134.30 | 5.37 | 1,019.90 | 5.09 | |||||||||||||||||
Service Class | 1,000 | 1.11 | % | 1,133.70 | 5.90 | 1,019.40 | 5.59 | |||||||||||||||||
Administrative Class | 1,000 | 1.21 | % | 1,133.30 | 6.44 | 1,018.90 | 6.09 | |||||||||||||||||
Class A | 1,000 | 1.46 | % | 1,131.90 | 7.76 | 1,017.70 | 7.34 | |||||||||||||||||
Class R4 | 1,000 | 1.36 | % | 1,131.50 | 7.23 | 1,018.20 | 6.84 | |||||||||||||||||
Class R3 | 1,000 | 1.61 | % | 1,130.80 | 8.55 | 1,016.90 | 8.10 |
300
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* | |||||||||||||||||||
S&P Mid Cap Index Fund | ||||||||||||||||||||||||
Class I | $ | 1,000 | 0.19 | % | $ | 1,114.90 | $ | 1.00 | $ | 1,024.00 | $ | 0.96 | ||||||||||||
Class R5 | 1,000 | 0.29 | % | 1,114.40 | 1.53 | 1,023.50 | 1.46 | |||||||||||||||||
Service Class | 1,000 | 0.44 | % | 1,114.40 | 2.32 | 1,022.70 | 2.22 | |||||||||||||||||
Administrative Class | 1,000 | 0.54 | % | 1,113.90 | 2.85 | 1,022.20 | 2.72 | |||||||||||||||||
Class A | 1,000 | 0.79 | % | 1,111.60 | 4.16 | 1,021.00 | 3.98 | |||||||||||||||||
Class R4 | 1,000 | 0.69 | % | 1,112.30 | 3.63 | 1,021.50 | 3.48 | |||||||||||||||||
Class R3 | 1,000 | 0.94 | % | 1,110.90 | 4.95 | 1,020.20 | 4.73 | |||||||||||||||||
Russell 2000 Small Cap Index Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.20 | % | 1,115.30 | 1.05 | 1,023.90 | 1.01 | |||||||||||||||||
Class R5 | 1,000 | 0.30 | % | 1,114.50 | 1.58 | 1,023.40 | 1.51 | |||||||||||||||||
Service Class | 1,000 | 0.45 | % | 1,113.30 | 2.37 | 1,022.70 | 2.27 | |||||||||||||||||
Administrative Class | 1,000 | 0.55 | % | 1,112.70 | 2.90 | 1,022.20 | 2.77 | |||||||||||||||||
Class A | 1,000 | 0.80 | % | 1,111.90 | 4.21 | 1,020.90 | 4.03 | |||||||||||||||||
Class R4 | 1,000 | 0.70 | % | 1,112.90 | 3.69 | 1,021.40 | 3.53 | |||||||||||||||||
Class R3 | 1,000 | 0.95 | % | 1,111.00 | 5.00 | 1,020.20 | 4.78 | |||||||||||||||||
Mid Cap Growth Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.72 | % | 1,085.20 | 3.74 | 1,021.30 | 3.63 | |||||||||||||||||
Class R5 | 1,000 | 0.82 | % | 1,085.30 | 4.26 | 1,020.80 | 4.13 | |||||||||||||||||
Service Class | 1,000 | 0.92 | % | 1,084.10 | 4.78 | 1,020.30 | 4.63 | |||||||||||||||||
Administrative Class | 1,000 | 1.02 | % | 1,084.00 | 5.30 | 1,019.80 | 5.14 | |||||||||||||||||
Class A | 1,000 | 1.27 | % | 1,082.30 | 6.59 | 1,018.60 | 6.39 | |||||||||||||||||
Class R4 | 1,000 | 1.17 | % | 1,082.60 | 6.07 | 1,019.10 | 5.89 | |||||||||||||||||
Class R3 | 1,000 | 1.42 | % | 1,081.40 | 7.37 | 1,017.90 | 7.14 | |||||||||||||||||
Small Cap Growth Equity Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.86 | % | 1,094.30 | 4.49 | 1,020.60 | 4.33 | |||||||||||||||||
Class R5 | 1,000 | 0.96 | % | 1,093.70 | 5.01 | 1,020.10 | 4.83 | |||||||||||||||||
Service Class | 1,000 | 1.06 | % | 1,093.30 | 5.53 | 1,019.60 | 5.34 | |||||||||||||||||
Administrative Class | 1,000 | 1.16 | % | 1,092.50 | 6.05 | 1,019.10 | 5.84 | |||||||||||||||||
Class A | 1,000 | 1.41 | % | 1,091.50 | 7.35 | 1,017.90 | 7.09 | |||||||||||||||||
Class R4 | 1,000 | 1.31 | % | 1,092.10 | 6.83 | 1,018.40 | 6.59 | |||||||||||||||||
Class R3 | 1,000 | 1.56 | % | 1,091.00 | 8.13 | 1,017.20 | 7.85 | |||||||||||||||||
Diversified International Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.90 | % | 1,099.40 | 4.71 | 1,020.40 | 4.53 | |||||||||||||||||
Class R5 | 1,000 | - | 1,000.00 | - | 1,024.90 | - | ||||||||||||||||||
Service Class | 1,000 | 1.10 | % | 1,099.60 | 5.76 | 1,019.40 | 5.54 | |||||||||||||||||
Administrative Class | 1,000 | 1.20 | % | 1,098.40 | 6.28 | 1,018.90 | 6.04 | |||||||||||||||||
Class A | 1,000 | 1.45 | % | 1,095.70 | 7.58 | 1,017.70 | 7.29 | |||||||||||||||||
Class R4 | 1,000 | 1.35 | % | 1,097.80 | 7.06 | 1,018.20 | 6.79 | |||||||||||||||||
Class R3 | 1,000 | 1.60 | % | 1,097.20 | 8.37 | 1,017.00 | 8.05 | |||||||||||||||||
MSCI EAFE International Index Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.25 | % | 1,062.70 | 1.29 | 1,023.70 | 1.26 | |||||||||||||||||
Class R5 | 1,000 | 0.35 | % | 1,063.50 | 1.80 | 1,023.20 | 1.77 | |||||||||||||||||
Service Class | 1,000 | 0.50 | % | 1,061.30 | 2.57 | 1,022.40 | 2.52 | |||||||||||||||||
Administrative Class | 1,000 | 0.60 | % | 1,061.00 | 3.08 | 1,021.90 | 3.02 | |||||||||||||||||
Class A | 1,000 | 0.85 | % | 1,059.60 | 4.36 | 1,020.70 | 4.28 | |||||||||||||||||
Class R4 | 1,000 | 0.75 | % | 1,060.40 | 3.85 | 1,021.20 | 3.78 | |||||||||||||||||
Class R3 | 1,000 | 1.00 | % | 1,058.60 | 5.13 | 1,019.90 | 5.04 |
301
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* | |||||||||||||||||||
Overseas Fund | ||||||||||||||||||||||||
Class I | $ | 1,000 | 0.93 | % | $ | 1,099.20 | $ | 4.87 | $ | 1,020.30 | $ | 4.68 | ||||||||||||
Class R5 | 1,000 | 1.03 | % | 1,099.00 | 5.39 | 1,019.80 | 5.19 | |||||||||||||||||
Service Class | 1,000 | 1.13 | % | 1,097.10 | 5.91 | 1,019.30 | 5.69 | |||||||||||||||||
Administrative Class | 1,000 | 1.23 | % | 1,096.70 | 6.43 | 1,018.80 | 6.19 | |||||||||||||||||
Class A | 1,000 | 1.48 | % | 1,094.60 | 7.73 | 1,017.60 | 7.44 | |||||||||||||||||
Class R4 | 1,000 | 1.38 | % | 1,095.10 | 7.21 | 1,018.10 | 6.94 | |||||||||||||||||
Class R3 | 1,000 | 1.63 | % | 1,093.40 | 8.51 | 1,016.80 | 8.20 |
* | Expenses are calculated using the annualized expense ratio for the six months ended March 31, 2017, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 365 days in the year, unless stated otherwise. |
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©2017 Massachusetts Mutual Life Insurance Company, Springfield, MA. All rights reserved. www.massmutual.com. MassMutual Financial Group is a marketing name for Massachusetts Mutual Life Insurance Company (MassMutual) and its affiliated companies and sales representatives. Investment Adviser: MML Investment Advisers, LLC | RS-42331-00 |