UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number			811-08274

MassMutual Select Funds
(Exact name of registrant as specified in charter)

1295 State Street, Springfield, MA					01111
(Address of principal executive offices)					(Zip code)

Frederick C. Castellani 1295 State Street, Springfield, MA 01111
(Name and address of agent for service)

Registrant’s telephone number, including area code:				413-788-8411

Date of fiscal year end:	12/31/2006

Date of reporting period:		06/30/2006

Item 1. Reports to Stockholders.

RETIREMENT SERVICES

MassMutual
Select Funds

Semi-Annual Report, June 30, 2006

	I N V E S T

	I N S U R E

	R E T I R E

You can’t predict. You can prepare.^®

Table of Contents

Letter to Shareholders					1

Portfolio Manager Reports					3

Portfolio of Investments

MassMutual Select Strategic Bond Fund					81

MassMutual Select Strategic Balanced Fund					88

MassMutual Select Diversified Value Fund					95

MassMutual Select Fundamental Value Fund					98

MassMutual Select Value Equity Fund					100

MassMutual Select Large Cap Value Fund					104

MassMutual Select Indexed Equity Fund					106

MassMutual Select Core Opportunities Fund					112

MassMutual Select Blue Chip Growth Fund					113

MassMutual Select Large Cap Growth Fund					116

MassMutual Select Growth Equity Fund					118

MassMutual Select Aggressive Growth Fund					122

MassMutual Select OTC 100 Fund					123

MassMutual Select Focused Value Fund					126

MassMutual Select Small Cap Value Equity Fund					128

MassMutual Select Small Company Value Fund					133

MassMutual Select Small Cap Core Equity Fund					138

MassMutual Select Mid Cap Growth Equity Fund					142

MassMutual Select Mid Cap Growth Equity II Fund					144

MassMutual Select Small Cap Growth Equity Fund					149

MassMutual Select Small Company Growth Fund					153

MassMutual Select Emerging Growth Fund					156

MassMutual Select Overseas Fund					159

MassMutual Select Destination Retirement Income Fund					162

MassMutual Select Destination Retirement 2010 Fund					163

MassMutual Select Destination Retirement 2020 Fund					164

MassMutual Select Destination Retirement 2030 Fund					165

MassMutual Select Destination Retirement 2040 Fund					166

Statement of Assets and Liabilities					168

Statement of Operations					184

Statement of Changes in Net Assets					192

Financial Highlights					206

Notes to Financial Statements					284

Other Information (Unaudited)					327

This material must be preceded or accompanied by a current prospectus 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. Read it carefully before investing.

MassMutual Select Funds – President's Letter to Shareholders

June 30, 2006

Frederick C. Castellani

"Although we expect occasional weakness in the financial markets, MassMutual believes that individuals who diversify their investments can help to reduce their investment losses and increase their total returns – potentially increasing the likelihood of reaching their financial goals."

Stocks outpace bonds for the year-to-date period

In an environment of rising inflation, a slowing economy and indications of a slowdown in the real estate market, equities outperformed bonds for the six months ended June 30, 2006. The Dow Jones Industrial Average^SM (The Dow), which measures blue-chip activity, returned 4.04% for the period. The technology-laden Nasdaq Composite^® Index (Nasdaq) lost 1.51%, and the S&P 500^® Index, a broad measure of U.S. large-cap stock performance, gained 2.70%. The clear outperformer, however, was the MSCI^® EAFE^® Index, a benchmark for foreign stocks that advanced 10.16% during this challenging period*.

In the bond market, the Lehman Brothers^® Aggregate Bond Index, which measures the U.S. investment-grade fixed-income markets, returned –0.72% for the six-month period ended June 30, 2006*. Investors in this market segment continued to face the challenges posed by a Federal Reserve (Fed) that remained in a tightening mode – raising the federal funds target rate in 0.25% increments four times – from 4.25% at the start of the first quarter to 5.25% at the end of June.

Turning to the first quarter of 2006, most U.S. stock indexes posted strong gains, as solid growth in corporate profits and signs of an uptick in overall economic activity helped to boost share prices. Against this backdrop, foreign stocks continued to outperform their U.S.-based counterparts.

As early estimates placed first quarter economic growth around the robust level of 5.0%, bond yields rose and prices fell. (The official Gross Domestic Product (GDP) for the first quarter came in at 4.8%.) Additionally, inflationary pressures at the wholesale level were somewhat stronger than expected, as the core Producer Price Index – excluding food and energy – ticked up by 0.4% in January and 0.3% in February. (Rising inflation tends to drive bond prices lower.) The period featured two hikes in short-term interest rates by the Fed, and longer-term rates also rose during the quarter. Consequently, the Lehman Brothers Aggregate Bond Index fell slightly.

The second quarter saw a turnaround in the fortunes of the equity markets, as investor uncertainty (caused in part by global unrest and rising oil prices) led many of the markets lower. In fact, The Dow was the only domestic equity benchmark to post a return in positive territory, advancing 0.37%. Even the first quarter's clear winner, foreign stocks, only produced a 0.70% gain, as measured by the MSCI EAFE Index – aided in part by a weaker U.S. dollar.

Meanwhile, with rising inflation and interest rates making headlines, bond prices remained on the defensive during the second quarter. Treasuries and higher-quality corporate bonds struggled against rising yields across all maturities. Bond prices in the longer maturities were particularly weak. As a result, the Lehman Brothers Aggregate Bond Index ended the quarter just below the break-even mark, returning –0.08%*.

A look at the recent market volatility

The stock market recovery of the past few years can be divided into two phases. First, there was a period of strongly advancing share prices for roughly a year following the March 2003 lows, as investors were cheered by early military success in Iraq and signs that the U.S. economy was finally on the mend after a prolonged three-year bear market in stocks. A key player in this recovery was former Fed chairman Alan Greenspan, who from early 2001 through November 2002, advocated the

* Indexes are unmanaged, do not incur fees or expenses and cannot be purchased directly for investment.

(Continued)

MassMutual Select Funds – President's Letter to Shareholders (Continued)

Fed's strategy to progressively lower the target federal funds rate from 6.50% to 1.25% – a level unseen for decades. One final 0.25% cut would follow near the end of June 2003, while the economic rally was still in motion.

Naturally, short-term interest rates could not remain at 1.00% forever. In June 2004, Mr. Greenspan began raising rates again, employing a methodical, gradual approach to "removing policy accommodation," which appeared to calm investors' nerves. As a result, stock prices trended irregularly higher for almost the next two years. With the economy growing at a healthy, sustainable pace and short-term interest rates on track to return to merely a neutral level, there was a lot for investors to like about the financial environment. The stock market, of course, generally likes predictability and dislikes uncertainty.

Nevertheless, a few storm clouds dotted the horizon. Most notably, these included the rapid escalation of crude oil prices, which exceeded $70 at the end of June 2006 – and significant rallies in commodity prices, such as copper and gold, suggesting the possibility of worsening inflation on the horizon. For quite a while, though, it seemed as though the economy and the stock market were holding together nicely in the face of the twin threats of advancing commodity prices and rising interest rates.

So what happened to change things in the more recent environment? For one thing, inflation crept up to levels the Fed considers unacceptable. At the same time, near the end of May, there were signs that the Fed's credit-tightening moves were beginning to slow the economy. Central bank officials have stated numerous times that interest rate policy in the immediate future will be determined by economic data, rather than by the previous agenda of removing the stimulative monetary conditions that brought the economy out of recession. However, the conundrum facing the Fed under Ben Bernanke, Mr. Greenspan's successor, was – and is – what to do when the data give conflicting signals. All of this could add up to uncertainty – and, in all likelihood, increased volatility in the financial markets – at least, until additional information clarifies the si tuation.

Outlook

While the second quarter was disappointing, occasional weakness in the stock and bond markets is a normal occurrence. MassMutual believes investors would be wise to adhere to established investing principles, including taking a long-term perspective and employing a strategy of diversification among investment types. Although diversification cannot prevent losses, the long-term effect of proper diversification has tended to be a reduction in losses and an increase in total returns. By helping smooth out the peaks and valleys of investing, diversification can help investors to stay the course and may increase the likelihood of reaching their financial goals.

Frederick C. Castellani
President

The information provided is the opinion of MassMutual Retirement Services Investments Marketing as of 7/1/06 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.

MassMutual Select Strategic Bond Fund – Portfolio Manager Report

What is the investment objective of the MassMutual Select Strategic Bond Fund? This Fund seeks a superior total rate of return by investing in fixed-income instruments. The Fund normally invests at least 80% of its net assets in U.S. dollar-denominated, fixed-income securities and other debt instruments of domestic and foreign entities, including corporate bonds, securities issued or guaranteed by the U.S. government, its agencies or instrumentalities, mortgage-backed securities and money market instruments.

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned –1.40%, trailing the –0.72% return of the Lehman Brothers^® Aggregate Bond Index, an unmanaged index of fixed-rate investment-grade securities with at least one year to maturity, combining the Lehman Brothers^® Government/Credit Index and the Lehman Brothers^® Mortgage-Backed Securities Index.

What was the investment background during the period? Interest rates rose across the yield curve in the first quarter. The yield curve is a graphical representation of bond yields with very short maturities to the longest available, with the curve indicating whether short-term rates are higher or lower than long-term rates. Driven by the Federal Reserve's (Fed's) decision to raise its target funds rate from 4.25% to 4.75% and by news that suggested the economy was stronger than expected, short-term interest rates rose more than had been expected, and somewhat more than long-term rates, resulting in a flatter yield curve. The curve briefly inverted in February (i.e., short-term interest rates were higher than long-term rates), only to revert to a slight upward slope in March. Investment-grade credit spreads – or the differences in yields betw een comparable bonds – declined modestly, as the outlook for the economy improved. Tightening spreads often indicate decreasing yields and increasing prices for a specific group of bonds. Bond prices move in the opposite direction to interest rates (or yields); when yields rise, the prices of existing bonds fall – and vice versa. Mortgage-backed spreads were mixed. High-yield spreads tightened significantly, led by positive restructuring announcements that sparked strong gains in General Motors (GM) and Ford bonds. Emerging market spreads extended their long tightening process, leaving yields at record-low levels.

During the second quarter, interest rates moved broadly higher across the yield curve, driven by a more-active-than-expected Fed, a stronger-than-expected economy, and a mild rise in inflation concerns. Short-term rates rose more than long-term rates, leaving the yield curve substantially flat. The Fed raised its target federal funds rate by 0.25% at each of its two meetings, exceeding the market's expectation that only one more tightening was likely to occur. The economy proved resilient, despite rising energy prices and a softer housing market, while headline inflation registered 3%-4% and core inflation drifted slightly higher. Corporate profits exceeded expectations. The housing market exhibited signs of a spreading slowdown, which in turn gave rise to a widely held perception that the economy was likely to slow enough to reduce inflation pressures and allow the Fed to soon end its tightening cycle.

What factors contributed to the Fund's performance? During the first quarter, our decision to extend duration moderately as rates rose suffered, since rates continued to drift higher. A modest exposure to the short end of the yield curve also hampered the Fund's performance, since short-term rates rose more than had been expected. A moderately overweight exposure to BBB-rated corporate bonds contributed to returns as spreads narrowed, and an emphasis on BB-rated bonds, particularly those of GM and Ford, benefited as spreads narrowed and their prices rose. An overweight exposure to the mortgage-backed sector added somewhat to performance. A modest exposure to emerging market debt had a positive impact on performance, as spreads were generally tighter. Moderate non-dollar bond exposure hampered the Fund's progress, as our choice of bonds underperfo rmed their U.S. counterparts.

The Fund's strategies produced mixed results in the second quarter. Overweight duration detracted somewhat from performance, as interest rates rose, and modest yield curve exposure suffered as the

MassMutual Select Strategic Bond Fund – Portfolio Manager Report (Continued)

curve flattened. Underweight exposure to the corporate bond sector benefited from wider spreads, but an emphasis on lower-quality issues was penalized as those sectors underperformed. The Fund's overweight exposure to the mortgage-backed sector was a modest negative for performance, as spreads widened marginally and prices fell. Treasury Inflation-Protected Securities (TIPS) exposure contributed to the Fund's progress, thanks mainly to an outsized inflation adjustment for the period and a rise in breakeven spreads (the difference between TIPS' return and the rate of inflation that is needed for TIPS to break even to nominal Treasuries). Non-dollar bond exposure detracted modestly from returns, as foreign yields rose more than their U.S. counterparts, but our decision to leave some currency exposure unhedged benefited the Fund due to the weaker dollar. Emerging market and high-yield debt exposure detracted somewhat from returns, as spreads wi dened and prices fell, but our emphasis on the auto sector benefited from a significant tightening in GM spreads, thanks to positive restructuring news.

What is your outlook? With economic growth moderating and monetary policy having achieved a degree of neutrality, we think that inflation pressures are likely to moderate and interest rates are likely to be relatively stable over the next several years. Thus, we will continue to follow a tactical duration strategy that calls for duration to rise as rates rise, and to fall as rates fall.

MassMutual Select Strategic Bond Fund

Quality Structure

(% of Net Assets) on 6/30/06

U.S. Governments, Aaa/AAA	72.7	%
Aa/AA	2.5	%
A/A	3.7	%
Baa/BBB	7.5	%
Ba/BB	5.2	%
B/B	1.5	%
Forward Currency Contracts	0.0	%
Purchased Options	0.1	%
Futures	(0.2	%)
Written Options	0.1	%
Short-Term Investments and Other Assets and Liabilities	6.9	%
Total	100.0	%

MassMutual Select Strategic Bond Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Strategic Bond Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class N, Class N (CDSC fees deducted) and the Lehman Brothers Aggregate Bond Index.

MassMutual Select Strategic Bond Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{12/31/04 - 6/30/06}
Class S		–1.40	%		–1.93	%		0.15	%
Class A		–1.50	%		–2.11	%		–0.10	%
Class A (sales load deducted)*		–6.18	%		–6.76	%		–3.30	%
Class Y		–1.30	%		–1.91	%		0.16	%
Class L		–1.30	%		–1.91	%		0.17	%
Class N		–1.71	%		–2.58	%		–0.49	%
Class N (CDSC fees deducted)*		–2.69	%		–3.54	%		–0.49	%
Lehman Brothers Aggregate Bond Index		–0.72	%		–0.81	%		1.26	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

* Class A (sales load deducted) returns include the 4.75% maximum sales charge and Class N (CDSC fees deducted) returns include the 1.00% maximum contingent deferred sales charge for the first 18 months shown.

Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should note that the Fund is a professionally managed mutual fund, while the Lehman Brothers Aggregate Bond Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the fund distributions or the redemption of the fund shares.

MassMutual Select Strategic Balanced Fund – Portfolio Manager Report

What is the investment objective of the MassMutual Select Strategic Balanced Fund? This Fund seeks long-term capital growth, consistent with preservation of capital and balanced by current income.

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned 1.98%, trailing the 2.25% return of the Lipper Balanced Fund Index, an unmanaged, equally weighted index of the 30 largest mutual funds within the Lipper Balanced Category. Conversely, the Fund's 1.98% advance outperformed the –0.72% return of the Lehman Brothers^® Aggregate Bond Index, an unmanaged index of fixed-rate investment-grade securities with at least one year to maturity, combining the Lehman Brothers^® Government/Credit Index and the Lehman Brothers^® Mortgage-Backed Securities Index, but underperformed the 3.23% of the Russell 3000^® Index, which measures the performa nce of the 3,000 largest U.S. companies based on total market capitalization.

What was the investment background during the period? During the first quarter, the overall market was buoyed by optimism regarding corporate profits and the possibility that the Federal Reserve (Fed) would stop raising interest rates sooner rather than later. Interest rates rose across the yield curve. The yield curve is a graphical representation of bond yields with very short maturities to the longest available, with the curve indicating whether short-term rates are higher or lower than long-term rates. Driven by the Fed's decision to raise its target funds rate from 4.25% to 4.75% during the period and by news that suggested the economy was stronger than expected, short-term interest rates rose more than had been expected, and somewhat more than long-term rates, resulting in a flatter yield curve. The yield curve briefly inverted in February (i.e., short-term interest rates exceeded long-term rates), only to revert to a slight upward slope in March when long-term rates increased.

During the second quarter, stocks advanced through the first week of May and then corrected over much of the remainder of the period. Interest rates moved broadly higher across the yield curve, driven by a more-active-than-expected Fed, a stronger-than-expected economy, and a mild rise in inflation concerns. Short-term interest rates rose more than their long-term counterparts, leaving the yield curve substantially flat. The Fed raised its target funds rate by 0.25% at each of its two meetings, exceeding the market's expectation that only one more tightening was likely to occur during the period. The economy proved resilient, despite rising energy prices, a softer housing market and corporate profits that exceeded expectations.

What factors contributed to the Fund's performance with respect to its stock portfolio? During the first quarter, the largest contributors to the Fund's performance came from its holdings in the industrials, information technology and financials sectors. Conversely, the Fund's investments in the telecommunications services sector were the only detractors from performance. During the second quarter, the largest contributors to the Fund's results were in the energy and consumer staples sectors. Our holdings in the information technology and financials sectors were the largest detractors from performance, however.

What factors contributed to the Fund's performance with respect to its bond portfolio? During the first quarter, the Fund's modest exposure to the short end of the yield curve hampered results, since short-term rates rose more than had been expected. A moderately overweight exposure to BBB-rated corporate bonds contributed to returns, as spreads – or the differences in yields between comparable bonds – narrowed. Tightening spreads often indicate decreasing yields and increasing prices for a specific group of bonds. Bond prices move in the opposite direction to interest rates (or yields); when yields rise, the prices of existing bonds fall – and vice versa. An emphasis on BB-rated bonds, particularly those of General Motors (GM) and Ford, benefited the Fund as spreads narrowed and their prices rose. Also having a positive impact on performance was our modest exposure to emerging market debt, as spreads were generally tighter in the first quarter. Turning to the second quarter, the Fund's underweight exposure to the corporate bond sector benefited from wider spreads, but our emphasis on lower-quality issues was penalized, as those sectors underperformed. Our

MassMutual Select Strategic Balanced Fund – Portfolio Manager Report (Continued)

overweight exposure to the mortgage-backed sector was a modest negative for performance, as spreads widened marginally. Emerging market and high-yield debt exposure also detracted somewhat from second quarter returns, as spreads widened and prices fell. Conversely, our emphasis on the auto sector benefited from a significant tightening in GM spreads, thanks to positive restructuring news.

What is your outlook? From the perspective of the Fund's equity portfolio, we believe that 2006 may witness a change in market leadership in the direction of larger companies. There have been only four six-year periods since 1925 during which the S&P 500^® Index has shown a decline (including 2000-2005). Larger companies were significantly overpriced relative to smaller- and mid-cap stocks as the decade began, but now arguably are as cheap, in a relative sense, as they were 25 years ago. Historically speaking, leadership changes have usually occurred in correcting stock markets – and we suspect the transition to larger company leadership may become apparent within the next few months.

With respect to the fixed-income segment of the portfolio, we believe that with economic growth moderating and monetary policy having achieved a degree of neutrality, inflation pressures may moderate and interest rates may remain relatively stable over the next several years.

MassMutual Select Strategic

Balanced Fund

Asset Allocation

(% of Net Assets) on 06/30/06

Equities	58.8	%
Bonds & Notes	35.3	%
Purchased Options	0.0	%
Forward Currency Contracts	(0.0	%)
Futures	(0.1	%)
Swaps	(0.1	%)
Written Options	(0.0	%)
Short-Term Investments and Other Assets and Liabilities	6.1	%
	100.0	%

MassMutual Select Strategic

Balanced Fund

Largest Stock Holdings (6/30/06)

News Corp., Inc., Cl. B

JP Morgan Chase & Co.

The PMI Group, Inc.

Bank of America Corp.

Cisco Systems, Inc.

Honeywell International, Inc.

The Walt Disney Co.

Abbott Laboratories

Merrill Lynch & Co., Inc.

Pearson PLC

MassMutual Select Strategic Balanced Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Strategic Balanced Fund Class S, Class A, Class A (sales load deducted), Class Y, the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the Russell 3000 Index.

MassMutual Select Strategic Balanced Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{12/31/03 - 6/30/06}
Class S		1.98	%		6.11	%		4.64	%
Class A		1.80	%		5.69	%		4.19	%
Class A (sales load deducted)*		–4.05	%		–0.38	%		1.75	%
Class Y		1.89	%		6.03	%		4.56	%
Lipper Balanced		2.25	%		7.03	%		6.57	%
Lehman Aggregate		–0.72	%		–0.81	%		2.43	%
Russell 3000		3.23	%		9.56	%		8.52	%

Hypothetical Investments in MassMutual Select Strategic Balanced Fund Class L, Class N, Class N (CDSC fees deducted), the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the Russell 3000 Index.

MassMutual Select Strategic Balanced Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{12/31/03 - 6/30/06}
Class L		1.80	%		5.89	%		4.42	%
Class N		1.61	%		5.28	%		3.86	%
Class N (CDSC fees deducted)*		0.61	%		4.28	%		3.86	%
Lipper Balanced		2.25	%		7.03	%		6.57	%
Lehman Aggregate		–0.72	%		–0.81	%		2.43	%
Russell 3000		3.23	%		9.56	%		8.52	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

* Class A (sales load deducted) returns include the 5.75% maximum sales charge and Class N (CDSC fees deducted) returns include the 1.00% maximum contingent deferred sales charge for the first 18 months shown.

Investors should note that the Fund is a professionally managed mutual fund, while the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the Russell 3000 Index are unmanaged and do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the fund distributions or the redemption of the fund shares.

MassMutual Select Diversified Value Fund – Portfolio Manager Report

What is the investment objective of the MassMutual Select Diversified Value Fund? This 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.

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned 5.94%, underperforming the 6.56% return of the Russell 1000^® Value Index, an unmanaged index representative of stocks with a greater-than-average value orientation among the stocks of the largest 1000 U.S. companies based on capitalization.

What was the investment background during the period? During the first quarter, domestic equity markets rose, as the S&P 500^® Index increased by 4.2% on investor confidence that U.S. companies could continue to provide earnings gains in 2006. Investor optimism prevailed despite high oil prices, the prospects for further interest rate increases and a slowdown in the housing market. In this environment, value stocks outperformed growth stocks. All sectors were in the positive column, although dispersion of returns was quite narrow. Even the energy sector, which outperformed all other sectors in 2005, was in line with other industries during the first quarter, albeit toward the high end of the range. Telecommunications stocks gained, as the proposed AT&T/BellSouth merger fueled speculation of further industry consolidation. Ho wever, consumer cyclicals lagged, as troubles in the U.S. auto industry grew.

After much turbulence, the S&P 500 Index ended the second quarter down 1.4%, reducing its gain for the first six months to 2.7%. While this was not a significant quarterly drop by historical standards, the mid-quarter rout came as a shock to investors after an extended period of strong markets and low volatility. In the decline, value stocks once again outperformed their growth counterparts. Sector performance was mixed, however, with no clear theme. Housing-related, technology and capital equipment stocks fell the most in the quarter. Conversely, energy and industrial resource stocks finished the quarter in positive territory, rebounding from their steep declines during the worst of the market downdraft in May and early June. Utilities and consumer staples issues also posted gains.

What factors contributed to the Fund's performance? During the first quarter, the Fund's returns, relative to the Russell 1000 Value Index, were helped by our positioning within the energy and technology sectors. In energy, offshore drillers Diamond Offshore Drilling, GlobalSantaFe and Rowan gained, as major oil producers continued to spend heavily on exploration. In technology, Corning was a key contributor, as the company continued to benefit from robust demand for high-end LCD televisions. Telecommunications equipment manufacturers Tellabs and ADC Telecommunications rose on continued strong broadband infrastructure. Conversely, relative returns were hurt by our stock selection within the financials sector, as several of our insurance holdings declined on disappointing pricing. Another chief detractor was Intel, as shares of the company fell on investor concerns regarding a slowdown in PC sales. Stock selection in industrial resources and consumer staples also detracted from performance. Finally, many of our auto parts holdings hampered performance, as pressure in that industry continues.

Turning to the second quarter, the Fund's relative returns were hurt by our stock selection within the energy sector, especially first quarter winners Diamond Offshore Drilling, GlobalSantaFe and Rowan. These offshore drillers suffered as natural gas prices fell, reflecting above-normal natural gas inventories due to an unseasonably warm winter. Contributing to returns, on the other hand, was stock selection within the consumer growth sector, particularly our positions in Comcast and CBS. Comcast benefited from strength in its Internet-based phone service rollout and subscription growth for high-speed Internet. Meanwhile, shares of CBS rose after the company reported solid television viewership ratings. Additionally, CBS sold Paramount Parks for a higher-than-expected price and planned to devote the proceeds to share buybacks.

MassMutual Select Diversified Value Fund – Portfolio Manager Report (Continued)

What is your outlook? It is impossible to predict with any certainty whether or not the volatility that the equity markets have experienced in the first six months of 2006 is nearing an end. Numerous forces will continue to influence the direction that the market takes moving forward – such as oil prices, inflation, geopolitical unrest and Federal Reserve policy. We believe, however, that we have positioned the Fund to be ready to handle the wide array of market conditions that investors may face throughout the remainder of the year.

MassMutual Select Diversified Value Fund

Industry Table

(% of Net Assets) on 6/30/06

Banking, Savings & Loans	15.7	%
Energy	12.1	%
Insurance	9.3	%
Financial Services	8.7	%
Telephone Utilities	6.0	%
Pharmaceuticals	5.3	%
Broadcasting, Publishing & Printing	4.1	%
Foods	3.7	%
Electrical Equipment & Electronics	3.5	%
Electric Utilities	3.1	%
Automotive & Parts	2.5	%
Cosmetics & Personal Care	2.5	%
Tobacco	2.2	%
Computers & Office Equipment	1.9	%
Industrial – Diversified	1.9	%
Communications	1.8	%
Aerospace & Defense	1.7	%
Chemicals	1.4	%
Beverages	1.3	%
Transportation	1.2	%
Restaurants	1.1	%
Computers & Information	1.1	%
Metals & Mining	0.9	%
Household Products	0.9	%
Retail	0.8	%
Containers	0.7	%
Apparel, Textiles & Shoes	0.6	%
Entertainment & Leisure	0.5	%
Prepackaged Software	0.4	%
Healthcare	0.4	%
Advertising	0.3	%
Computer Programming Services	0.3	%
Forest Products & Paper	0.2	%
Toys, Games	0.2	%
Building Materials & Construction	0.2	%
Home Construction, Furnishings & Appliances	0.1	%
Short-Term Investments and Other Assets and Liabilities	1.4	%
	100.0	%

MassMutual Select Diversified Value Fund

Largest Holdings

Largest Stock Holdings (6/30/06)

Exxon Mobil Corp.

Citigroup, Inc.

Bank of America Corp.

Pfizer, Inc.

JP Morgan Chase & Co.

AT&T, Inc.

American International Group, Inc.

General Electric Co.

Verizon Communications, Inc.

Altria Group, Inc.

MassMutual Select Diversified Value Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Diversified Value Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class N, Class N (CDSC fees deducted) and the Russell 1000 Value Index.

MassMutual Select Diversified Value Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{10/15/04 - 6/30/06}
Class S		5.94	%		11.79	%		13.54	%
Class A		5.60	%		11.16	%		12.98	%
Class A (sales load deducted)*		–0.48	%		4.77	%		9.13	%
Class Y		5.86	%		11.63	%		13.43	%
Class L		5.76	%		11.53	%		13.30	%
Class N		5.50	%		10.87	%		12.64	%
Class N (CDSC fees deducted)*		4.50	%		9.87	%		12.64	%
Russell 1000 Value Index		6.56	%		12.10	%		14.74	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Value Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the fund distributions or the redemption of the fund shares.

MassMutual Select Fundamental Value Fund – Portfolio Manager Report

What is the investment objective of the MassMutual Select Fundamental Value Fund? The Fund seeks long-term total return by investing at least 80% of its net assets in equity securities, with a focus on companies with large capitalizations (generally having market capitalizations above $2 billion).

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned 7.14%, outpacing the 2.70% return of the S&P 500^® Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.

What was the investment backdrop during the period? During the first quarter, U.S. equity markets posted one of their strongest quarters in recent years in the face of rising long-term interest rates and noticeable cooling in the housing market. Value stocks outperformed the broader market, as the Russell 1000^® Value Index return of 5.9% bested the S&P 500 Index return of 4.2%.

Turning to the second quarter, domestic stock markets were weak, as investors became increasingly nervous about inflation and continued Federal Reserve tightening. Evidence suggesting some cooling in the U.S. housing market became more apparent during this period. In this environment, value stocks outpaced the broader market, as the Russell 1000 Value Index return of 0.6% outperformed the S&P 500 Index return of –1.4%.

What factors contributed to the Fund's performance? During the first quarter, stock selection in three of ten broad industry sectors added to the Fund's performance relative to its benchmark, the S&P 500 Index. Our holdings in the energy, industrials, and consumer staples sectors were the largest contributors. Conversely, the Fund's investments in the health care, utilities, and materials sectors detracted from relative results. From an industry weightings standpoint, the Fund's allocations to capital goods, transportation, and food/staples retailing contributed to the Fund's relative results. Our purchases during the first quarter reflected stock-specific fundamentals. For example, we purchased shares of aerospace and defense companies Lockheed Martin and Goodrich on the belief that aircraft orders should remain strong for the foreseeable fu ture – and defense spending likely will remain robust as international tensions remain elevated. We purchased shares of Abbott Laboratories, which we expected would benefit from its strong pharmaceutical product pipeline, and Sun Microsystems, where we expected revenues and cost performance to positively surprise investors. Our purchases were funded by sales of stocks that had achieved our price objectives, including CSX, GlobalSantaFe, and Rockwell Automation. Our reduced earnings outlook for Dollar General caused us to eliminate the position.

Turning to the second quarter, stock selection in six of ten broad industry sectors fueled the portfolio's benchmark-relative performance. Investments in the financials, consumer staples, and utilities sectors were the largest contributors to the Fund's progress. Conversely, holdings in the information technology, energy, and health care sectors detracted the most from relative results. With respect to industry weightings, the portfolio's allocations to health care equipment/services, food/staples retailing, and capital goods hampered the Fund relative to its benchmark. During this period, we trimmed or eliminated some big winners in the capital goods area, including Caterpillar and Rockwell Automation. We also trimmed shares of companies whose earnings had not lived up to our expectations, such as AIG and Citigroup. We reduced energy holdings – specifically, ExxonMobil and Cameco – and eliminated electric utilities PPL and Consoli dated Edison. Proceeds were used to build positions in several technology-related companies, including EMC, Hewlett Packard and Cisco. We also built a position in UPS, which had languished following its IPO at the beginning of the decade, despite very robust earnings growth, and we added to the Fund's AT&T position, as we continued to gain confidence in the earnings outlook for the company. Finally, we added Aetna on market confusion following their most recent earnings report, since we believe that Aetna's valuation does not reflect its strong fundamentals.

MassMutual Select Fundamental Value Fund – Portfolio Manager Report (Continued)

What is your outlook? Little has changed in the economic trend or in the strong corporate profit growth over the past few years, despite greater capital market volatility during the second quarter. Despite the ongoing trend in vigorous global growth, the economic and investment market cycles are quite advanced, and we believe there may be storm clouds on the horizon for the U.S. consumer. We think higher energy costs, increased real estate taxes, and lower mortgage equity withdrawals eventually could contribute to a consumer slowdown, while uncertainty remains with respect to the extent of that slowdown and its impact overseas.

MassMutual Select Fundamental Value Fund

Industry Table

(% of Net Assets) on 6/30/06

Banking, Savings & Loans	13.4	%
Energy	11.0	%
Insurance	8.4	%
Financial Services	8.0	%
Electric Utilities	5.4	%
Telephone Utilities	5.2	%
Retail	4.5	%
Aerospace & Defense	4.5	%
Pharmaceuticals	3.9	%
Metals & Mining	3.4	%
Broadcasting, Publishing & Printing	3.3	%
Foods	3.2	%
Medical Supplies	2.9	%
Chemicals	2.3	%
Air Transportation	2.3	%
Machinery & Components	1.9	%
Computers & Information	1.9	%
Lodging	1.8	%
Manufacturing	1.8	%
Beverages	1.5	%
Computers & Office Equipment	1.5	%
Electrical Equipment & Electronics	1.5	%
Communications Equipment	1.0	%
Transportation	1.0	%
Cosmetics & Personal Care	0.9	%
Apparel, Textiles & Shoes	0.9	%
Computer Integrated Systems Design	0.9	%
Restaurants	0.9	%
Short-Term Investments and Other Assets and Liabilities	0.8	%
	100.0	%

MassMutual Select Fundamental

Value Fund

Largest Stock Holdings (6/30/06)

Exxon Mobil Corp.

Citigroup, Inc.

CVS Corp.

Bank of America Corp.

Golden West Financial Corp.

Occidental Petroleum Corp.

AT&T, Inc.

JP Morgan Chase & Co.

WellPoint, Inc.

The Goldman Sachs Group, Inc.

MassMutual Select Fundamental Value Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Fundamental Value Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L and the S&P 500 Index.

MassMutual Select Fundamental Value Fund
Total Return

	_{Year to Date}_{1/1/06 -}_6/30/06			_{One Year}_{7/1/05 -}_6/30/06			_{Five Year}_Average_Annual_{7/1/01 -}_6/30/06			_Since_Inception_Average_Annual_{12/31/01 -}_6/30/06
Class S		7.14	%		14.41	%	N/A				5.89	%
Class A		6.91	%		13.95	%	N/A				5.44	%
Class A (sales load deducted)*		0.76	%		7.40	%	N/A				4.06	%
Class Y		7.15	%		14.39	%	N/A				5.84	%
Class L		7.16	%		14.33	%	N/A				5.71	%
S&P 500 Index		2.70	%		8.62	%		2.49	%		3.83	%

Hypothetical Investments in MassMutual Select Fundamental Value Fund Class N, Class N (CDSC fees deducted) and the S&P 500 Index.

MassMutual Select Fundamental Value Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		6.68	%		13.58	%		14.45	%
Class N (CDSC fees deducted)*		5.68	%		12.58	%		14.45	%
S&P 500 Index		2.70	%		8.62	%		13.10	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

Investors should note that the Fund is a professionally managed mutual fund, while the S&P 500 Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the fund distributions or the redemption of the fund shares.

MassMutual Select Value Equity Fund – Portfolio Manager Report

What is the investment objective of the MassMutual Select Value Equity Fund? The Fund seeks long-term growth of capital by investing in securities of companies that Fund management believes are undervalued in the marketplace relative to factors such as the company's assets, sales, earnings, growth potential, or cash flow – or relative to securities of other companies in the same industry.

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned 3.32%, trailing the 6.56% return of the Russell 1000^® Value Index, an unmanaged index representative of stocks with a greater-than-average value orientation among the stocks of the largest 1000 U.S. companies based on capitalization.

What was the investment background during the period? The domestic equity market posted positive returns during the first quarter of 2006. Despite concerns about inflation, a slowdown in the housing market and higher short-term interest rates, strong corporate earnings and healthy economic growth fueled U.S. stocks. The impact from energy prices was mixed. The price for natural gas declined during the period, due to higher-than-normal temperatures and lower demand for home heating fuel in the U.S. Yet oil prices increased slightly and pushed gasoline prices higher. The Federal Reserve (Fed) raised its target short-term interest rate from 4.25% to 4.75% during the quarter. Long-term interest rates also increased, but the spread between long rates and short rates remained close to zero. With respect to market performance by capitalization, 2006 sta rted off just like six of the previous seven years had finished, with small-cap stocks outperforming large caps (as measured by the Russell 2000^® and Russell 1000^® Indexes, respectively). In terms of style, the Russell 3000^® Value Index topped the Russell 3000^® Growth Index during the first three months of the year, just as it had in the previous six calendar years.

During the second quarter, U.S. equities pulled back amid investor concerns about monetary tightening and potential inflationary pressures. More-volatile information technology stocks fared the worst, while defensive market sectors, including utilities, held up relatively well. Less-liquid small- and mid-cap stocks – which had done well in 2006 through early May – underperformed large-cap stocks, while value stocks once again bested their growth counterparts. Investment-grade bond yields rose amid continued Fed interest rate hikes and an uptick in the core inflation rate. High-yield bond yield spreads – or the difference in yields relative to comparable bonds – remained narrow, but widened modestly versus comparable-duration Treasuries.

What factors contributed to the Fund's performance? Hurting the Fund's performance during the first quarter was negative security selection within the materials and health care sectors. Within materials, the Fund held an overweight position in chemical stocks, which were hampered by concerns about the supply and demand fundamentals for ethylene. Within health care, the Fund's pharmaceutical holdings lagged, due in part to lower-than-expected earnings for the fourth quarter. Also hurting performance was an underweight position in the strong-performing telecommunications services stocks, which benefited from robust earnings and industry consolidation. Contributing to the Fund's performance, relative to the benchmark (the Russell 1000 Value Index) was strong security selection within the media industry, where the Fund held underweight positions in s tocks with exposure to traditional media, such as radio and television, and was overweight in stocks with exposure to emerging markets and outdoor advertising. Also helping performance was an underweight position in the poor-performing commercial banks.

During the second quarter, from a sector perspective, financials held back the Fund's relative return the most. Specifically, the Fund's positions narrowly trailed their segment of the benchmark, as certain insurance and bank stocks were negatively impacted by downward earnings estimate revisions. Amid heightened economic concerns, an above-average weighting and lagging returns in industrials and an overweight position in weak-performing information technology stocks also worked against the Fund's relative return. Conversely, the Fund's overexposure to and good stock choices in telecommunication services stocks were a plus, as their underlying business fundamentals showed signs of stability and negative investor sentiment toward the sector continued to abate.

MassMutual Select Value Equity Fund – Portfolio Manager Report (Continued)

What is your outlook? It is impossible to predict with any certainty whether or not the volatility that the equity markets have experienced in the first six months of 2006 is nearing an end. Numerous forces will continue to influence the direction that the market takes moving forward – such as oil prices, inflation, geopolitical unrest and Fed policy. We believe, however, that we have positioned the Fund to be ready to handle the wide array of market conditions that investors may face throughout the remainder of the year.

MassMutual Select Value Equity Fund

Industry Table

(% of Net Assets) on 6/30/06

Energy	11.2	%
Banking, Savings & Loans	9.7	%
Insurance	8.2	%
Pharmaceuticals	7.0	%
Electrical Equipment & Electronics	6.5	%
Aerospace & Defense	5.2	%
Telephone Utilities	4.4	%
Retail	4.0	%
Financial Services	3.9	%
Commercial Services	3.9	%
Medical Supplies	3.9	%
Metals & Mining	2.4	%
Cosmetics & Personal Care	2.3	%
Chemicals	2.0	%
Foods	1.6	%
Broadcasting, Publishing & Printing	1.6	%
Entertainment & Leisure	1.6	%
Electric Utilities	1.6	%
Machinery & Components	1.5	%
Computers & Office Equipment	1.5	%
Communications	1.4	%
Industrial – Diversified	1.1	%
Tobacco	1.0	%
Photography Equipment/ Supplies	1.0	%
Real Estate	0.9	%
Computers & Information	0.9	%
Prepackaged Software	0.8	%
Building Materials & Construction	0.8	%
Air Transportation	0.8	%
Information Retrieval Services	0.7	%
Apparel, Textiles & Shoes	0.6	%
Automotive & Parts	0.5	%
Beverages	0.5	%
Restaurants	0.5	%
Oil & Gas	0.5	%
Containers	0.5	%
Data Processing & Preparation	0.4	%
Transportation	0.3	%
Diversified Financial	0.3	%
Advertising	0.2	%
Forest Products & Paper	0.2	%
Internet Content	0.2	%
Home Construction, Furnishings & Appliances	0.2	%
Electronics	0.1	%
Computer Integrated Systems Design	0.1	%
Computer Programming Services	0.1	%
Healthcare	0.1	%
Manufacturing	0.1	%
Communications Equipment	0.1	%
Internet Software	0.1	%
Heavy Machinery	0.1	%
Travel	0.0	%
Short-Term Investments and Other Assets and Liabilities	0.9	%
	100.0	%

MassMutual Select Value Equity Fund

Largest Stock Holdings (6/30/06)

Honeywell International, Inc.

General Electric Co.

American International Group, Inc.

AT&T, Inc.

Exxon Mobil Corp.

JP Morgan Chase & Co.

Bank of America Corp.

Citigroup, Inc.

Halliburton Co.

Pfizer, Inc.

MassMutual Select Value Equity Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Value Equity Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L and the Russell 1000 Value Index.

MassMutual Select Value Equity Fund
Total Return

	_{Year to Date}_{1/1/06 -}_6/30/06			_{One Year}_{7/1/05 -}_6/30/06			_{Five Year}_Average_Annual_{7/1/01 -}_6/30/06			_Since_Inception_Average_Annual_{5/1/01 -}_6/30/06
Class S		3.32	%		13.26	%		5.34	%		4.91	%
Class A		3.15	%		12.77	%		4.86	%		4.46	%
Class A (sales load deducted)*		–2.79	%		6.28	%		3.63	%		3.27	%
Class Y		3.41	%		13.30	%		5.30	%		4.88	%
Class L		3.24	%		12.99	%		5.13	%		4.71	%
Russell 1000 Value Index		6.56	%		12.10	%		6.90	%		6.66	%

Hypothetical Investments in MassMutual Select Value Equity Fund, Class N, Class N (CDSC fees deducted) and the Russell 1000 Value Index.

MassMutual Select Value Equity Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		3.04	%		12.54	%		14.44	%
Class N (CDSC fees deducted)*		2.04	%		11.54	%		14.44	%
Russell 1000 Value Index		6.56	%		12.10	%		16.99	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

MassMutual Select Large Cap Value Fund – Portfolio Manager Report

What is the investment objective of the Select Large Cap Value Fund? This Fund seeks both capital growth and income by investing in large-capitalization companies that the Fund's sub-adviser believes foster the creation of long-term value – such as proven management, a durable franchise and business model, and sustainable competitive advantages.

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned 3.08%, outpacing the 2.70% return of the S&P 500^® Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.

What was the investment backdrop during the period?
For the six months ended June 30, 2006, equities outperformed bonds against a backdrop of rising inflation, a slowing economy and indications of a slowdown in the real estate market. In the first quarter, most U.S. stock indexes posted strong gains, as solid growth in corporate profits and signs of an uptick in overall economic activity helped to boost share prices.

What factors contributed to the Fund's performance? During the first quarter, the Fund's holdings in financials, energy and materials were notable contributors to absolute performance. Top individual contributors included Costco Wholesale, Occidental Petroleum, Martin Marietta, ConocoPhillips and JPMorgan Chase. Detractors during the period were largely stock specific, and included Transatlantic Holdings, HCA Inc., Altria Group, Tyco International and Progressive Corp. Among the few changes we made in the first quarter, we added Sprint Nextel to the portfolio. Sprint Nextel offers consumers and businesses a wide range of telephone and data services delivered over wireless and wireline networks. While competition remains fierce in the telecommunications industry, we believe Sprint Nextel represents an attractive risk/reward trade-off, given its ca sh-generating assets, attractive competitive position and valuation.

During the second quarter, the Fund's investments in consumer staples, consumer discretionary and energy were notable contributors to performance. Top-performing positions included Comcast, Golden West Financial, Occidental Petroleum, Costco and News Corp. Detracting from performance, on the other hand, were individual issues within the information technology, materials, telecommunications and health care sectors. Less-than-favorable returns came from American International Group, Moody's, Microsoft, Sealed Air and Sprint Nextel.

What is your outlook? Our belief is that the major averages are likely to advance in a range-bound fashion for the foreseeable future. Our view is that in such an environment, prudent stock selection may offer the potential to generate attractive returns.

MassMutual Select Large Cap Value Fund – Portfolio Manager Report (Continued)

MassMutual Select Large Cap Value Fund

Industry Table

(% of Net Assets) on 6/30/06

Banking, Savings & Loans	14.6	%
Energy	12.1	%
Financial Services	12.0	%
Insurance	10.9	%
Retail	6.7	%
Commercial Services	5.0	%
Broadcasting, Publishing & Printing	4.6	%
Tobacco	4.4	%
Industrial – Diversified	4.1	%
Healthcare	2.8	%
Beverages	2.0	%
Containers	2.0	%
Prepackaged Software	2.0	%
Automotive & Parts	1.8	%
Entertainment & Leisure	1.6	%
Building Materials & Construction	1.5	%
Cosmetics & Personal Care	1.5	%
Transportation	1.4	%
Telephone Utilities	1.3	%
Communications	1.3	%
Pharmaceuticals	0.9	%
Foods	0.7	%
Computers & Information	0.7	%
Computers & Office Equipment	0.6	%
Advertising	0.3	%
Metals & Mining	0.3	%
Household Products	0.2	%
Computer Related Services	0.2	%
Travel	0.1	%
Short-Term Investments and Other Assets and Liabilities	2.4	%
	100.0	%

MassMutual Select Large Cap

Value Fund

Largest Stock Holdings (6/30/06)

American Express Co.

Altria Group, Inc.

Costco Wholesale Corp.

ConocoPhillips

Tyco International Ltd.

JP Morgan Chase & Co.

American International Group, Inc.

Berkshire Hathaway, Inc. Cl. A

Golden West Financial Corp.

HSBC Holdings PLC

MassMutual Select Large Cap Value Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Large Cap Value Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L and the S&P 500 Index.

MassMutual Select Large Cap Value Fund
Total Return

	_{Year to Date}_{1/1/06 -}_6/30/06			_{One Year}_{7/1/05 -}_6/30/06			_{Five Year}_Average_Annual_{7/1/01 -}_6/30/06			_Since_Inception_Average_Annual_{5/1/00 -}_6/30/06
Class S		3.08	%		11.45	%		5.65	%		3.30	%
Class A		2.84	%		10.97	%		5.13	%		2.80	%
Class A (sales load deducted)*		–3.08	%		4.59	%		3.89	%		1.81	%
Class Y		3.09	%		11.46	%		5.56	%		3.21	%
Class L		2.92	%		11.27	%		5.41	%		3.03	%
S&P 500 Index		2.70	%		8.62	%		2.49	%		–0.54	%

Hypothetical Investments in MassMutual Select Large Cap Value Fund Class N, Class N (CDSC fees deducted) and the S&P 500 Index.

MassMutual Select Large Cap Value Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		2.78	%		10.70	%		14.57	%
Class N (CDSC fees deducted)*		1.78	%		9.70	%		14.57	%
S&P 500 Index		2.70	%		8.62	%		13.10	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

MassMutual Select Indexed Equity Fund – Portfolio Manager Report

What is the investment objective of the Select Indexed Equity Fund? 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. The Fund pursues this objective by investing at least 80% of its net assets in the equity securities of companies that make up the S&P 500 Index.

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned 2.49%, moderately trailing the 2.70% return of the S&P 500 Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.

What was the investment backdrop during the period? The Federal Reserve (Fed) raised interest rates twice during the first quarter of 2006, bringing the federal funds rate to 4.75% as of March 31. The new chairman of the Fed, Ben Bernanke, announced that additional hikes might be necessary due to "elevated prices of energy and other commodities." Oil prices remained a concern for investors and cast a shadow over future growth in both the U.S. and abroad. During the first quarter of 2006, crude oil prices ranged between $60 and $70 per barrel, within striking distance of the 2005 high of $71. On the positive side however, the U.S. Commerce Department announced that businesses saw their after-tax profits rise 13.8% during the fourth quarter of 2005, a dramatic improvement from the third quarter, when profits were down 4.3%.

The Fed maintained its tightening policy and increased interest rates by 0.25% at each Federal Open Market Committee (FOMC) meeting in May and June. This last increase was the 17th consecutive one since June 2004, and brought the federal funds rate to 5.25% as of June 29. Ahead of the June meeting, there had been some market speculation that the Fed might raise their key interest rate by 0.50%. The continued rise in energy and commodity prices had fueled concerns about inflationary pressure on the U.S. economy. The lack of substantial progress in talks with Iran regarding their nuclear program contributed substantially to rising oil prices. Crude prices finished the quarter just above $70 per barrel, after reaching a new high of $75 in late April. In addition, the escalation of the conflict with North Korea that culminated with the actual testing of long-range missiles, added to the nervousness that pervaded financial markets.

What factors contributed to the Fund's performance? During the quarter ended March 31, 2006, large-capitalization stocks underperformed both mid- and small-cap stocks. Value stocks outpaced growth issues during the period. Telecommunication services was the best-performing sector in the Index, returning 14.45%; utilities was the worst-performing sector, with its return of –1.16%.

Turning to the second quarter, large-cap stocks outperformed both mid- and small-cap issues. Value stocks once again outpaced their growth counterparts. During the quarter, utilities was the best-performing sector in the Index, while information technology was the worst-performing.

What is your outlook? It is impossible to predict with any certainty whether or not the volatility that the equity markets have experienced in the first six months of 2006 is nearing an end. Numerous forces will continue to influence the direction that the market takes moving forward – such as oil prices, inflation, geopolitical unrest and Fed policy. We expect these factors to have the greatest impact on market conditions as the remainder of 2006 unfolds.

MassMutual Select Indexed Equity Fund – Portfolio Manager Report (Continued)

MassMutual Select Indexed Equity Fund

Industry Table

(% of Net Assets) on 6/30/06

Energy	9.9	%
Banking, Savings & Loans	9.4	%
Pharmaceuticals	8.1	%
Financial Services	6.0	%
Electrical Equipment & Electronics	6.0	%
Insurance	5.3	%
Retail	4.8	%
Computers & Information	3.5	%
Telephone Utilities	3.2	%
Electric Utilities	3.0	%
Prepackaged Software	2.9	%
Aerospace & Defense	2.3	%
Broadcasting, Publishing & Printing	2.3	%
Cosmetics & Personal Care	2.3	%
Beverages	2.1	%
Transportation	2.0	%
Medical Supplies	2.0	%
Industrial – Diversified	1.6	%
Foods	1.6	%
Commercial Services	1.5	%
Tobacco	1.5	%
Chemicals	1.3	%
Healthcare	1.3	%
Machinery & Components	1.2	%
Information Retrieval Services	1.2	%
Entertainment & Leisure	1.1	%
Computers & Office Equipment	1.0	%
Communications	1.0	%
Metals & Mining	1.0	%
Data Processing & Preparation	0.7	%
Real Estate	0.7	%
Household Products	0.7	%
Automotive & Parts	0.6	%
Restaurants	0.6	%
Apparel, Textiles & Shoes	0.6	%
Communications Equipment	0.4	%
Home Construction, Furnishings & Appliances	0.4	%
Manufacturing	0.4	%
Forest Products & Paper	0.4	%
Computer Integrated Systems Design	0.3	%
Lodging	0.3	%
Food Retailers	0.3	%
Advertising	0.2	%
Building Materials & Construction	0.2	%
Containers	0.2	%
Air Transportation	0.1	%
Toys, Games	0.1	%
Retail – Grocery	0.1	%
Photography Equipment/ Supplies	0.1	%
Industrial – Distribution	0.1	%
Computer Programming Services	0.0	%
Travel	0.0	%
Short-Term Investments and Other Assets and Liabilities	2.1	%
	100.0	%

MassMutual Select Indexed

Equity Fund

Largest Stock Holdings (6/30/06)

Exxon Mobil Corp.

General Electric Co.

Citigroup, Inc.

Bank of America Corp.

Microsoft Corp.

The Procter & Gamble Co.

Johnson & Johnson

Pfizer, Inc.

American International Group, Inc.

Altria Group, Inc.

MassMutual Select Indexed Equity Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Indexed Equity Fund Class S, Class A, Class A (sales load deducted), Class Y and the S&P 500 Index.

MassMutual Select Indexed Equity Fund
Total Return

	_{Year to Date}_{1/1/06 -}_6/30/06			_{One Year}_{7/1/05 -}_6/30/06			_{Five Year}_Average_Annual_{7/1/01 -}_6/30/06			_Since_Inception_Average_Annual_{3/1/98 -}_6/30/06
Class S		2.49	%		8.12	%		2.05	%		3.47	%
Class A		2.35	%		7.88	%		1.67	%		3.03	%
Class A (sales load deducted)*		–3.53	%		1.68	%		0.48	%		2.30	%
Class Y		2.43	%		8.09	%		2.01	%		3.41	%
S&P 500 Index		2.70	%		8.62	%		2.49	%		3.92	%

Hypothetical Investments in MassMutual Select Indexed Equity Fund Class L and the S&P 500 Index.

MassMutual Select Indexed Equity Fund
Total Return

	_{Year to Date}_{1/1/06 -}_6/30/06			_{One Year}_{7/1/05 -}_6/30/06			_{Five Year}_Average_Annual_{7/1/01 -}_6/30/06			_Since_Inception_Average_Annual_{7/1/99 -}_6/30/06
Class L		2.52	%		8.11	%		1.93	%		–0.10	%
S&P 500 Index		2.70	%		8.62	%		2.49	%		0.47	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

* Class A (sales load deducted) returns include the 5.75% maximum sales charge.

MassMutual Select Indexed Equity Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Indexed Equity Fund Class Z and the S&P 500 Index.

MassMutual Select Indexed Equity Fund
Total Return

	_{Year to Date}_{1/1/06 -}_6/30/06			_{One Year}_{7/1/05 -}_6/30/06			_{Five Year}_Average_Annual_{5/1/01 -}_6/30/06			_{Since Inception}_Average_Annual_{5/1/01 -}_6/30/06
Class Z		2.66	%		8.46	%		2.31	%		1.88	%
S&P 500 Index		2.70	%		8.62	%		2.49	%		2.06	%

Hypothetical Investments in MassMutual Select Indexed Equity Fund Class N, Class N (CDSC fees deducted) and the S&P 500 Index.

MassMutual Select Indexed Equity Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		2.20	%		7.51	%		11.88	%
Class N (CDSC fees deducted)*		1.20	%		6.51	%		11.88	%
S&P 500 Index		2.70	%		8.62	%		13.10	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

* Class N (CDSC fees deducted) returns include the 1.00% maximum contingent deferred sales charge for the first 18 months shown.

MassMutual Select Core Opportunities Fund – Portfolio Manager Report

What is the investment objective of the MassMutual Select Core Opportunities Fund? This Fund seeks long-term growth of capital by normally investing at least 80% of its net assets in equity securities and securities convertible into common stocks traded on U.S. exchanges and issued by large, established companies. The Fund's sub-adviser seeks to invest in both growth and value securities.

How did the Fund perform during the three months ended June 30, 2006? Since the Fund's inception on March 31, 2006, its Class S shares returned –3.70%, trailing the –1.85% return of the S&P 500^® Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.

What was the investment background during the period? Equities declined swiftly after the May 10 Federal Reserve (Fed) meeting, but a late June rally helped to mitigate some of the quarter's earlier losses. The Fed's seventeen interest rate increases appeared to be slowing economic growth, but higher inflation reports raised concerns that the Fed will need to continue its campaign of increases. Risk reduction was the overriding theme of the quarter, as higher-beta stocks lagged more defensive securities, value outperformed growth, and large capitalization stocks performed better than their small- and mid-cap counterparts.

What factors contributed to the Fund's performance during the period? Energy/utilities was the best-performing sector during the second quarter, as oil prices climbed from the high $60's per barrel to the mid $70's, and the utility industry showed its defensiveness during a difficult equity market. Weatherford performed very well for the portfolio on the heels of a very good first quarter earnings report, with significant top-line growth and margin expansion. Pricing trends continued to favor the oil service companies, and Weatherford took advantage of that with recent contract signings. Hess Corporation also appreciated nicely, as the company reported a 14% increase in production and better cost controls. Hess also announced positive news associated with major exploration projects in the Gulf of Mexico.

Consumer staples was the worst-performing sector within the portfolio, relative to the benchmark, the S&P 500 Index, for the second quarter. Health care stocks fell on pricing concerns, options backdating in some securities, and further compression due to lowered growth expectations. Amgen declined as sales trends in key products were weaker than expected and a potential competitive threat to its important Epogen franchise progressed. After strong appreciation throughout the past 18 months, CIGNA's stock declined over higher medical loss trends in the industry and concerns regarding a more competitive, lower pricing environment.

Technology was the worst-performing sector on an absolute basis during the second quarter, primarily in the electronics and hardware/software industries. Inventory buildup has gone from being an Intel-specific issue to a problem throughout technology end markets. Within the hardware/software industry, Microsoft announced the delay of its new operating system and an additional $2.5 billion in capital spending plans – with little detail for the rationale. The portfolio's technology holdings declined less than the benchmark, primarily due to better stock selection in the electronics industry. Nokia performed better, as the handset industry has outpaced the PC market, and a new position in Intel worked well, as the Company appears to be at the threshold of a meaningful restructuring plan and a new product cycle. Lastly, Oracle posted a very good fiscal fourth quarter, with better-than-expected growth in both its database and applications bu sinesses.

What is your outlook? As of June 30, 2006, the S&P 500 Index was trading at 14 to 15 times 2006 estimates after five years of multiple contractions. At this level, we are not overly concerned with expectations of slowing earnings growth, which is still solid. We also expect higher-quality, large-cap stocks to assume leadership as the domestic economic and profit cycles reach maturity. Risks to this optimistic outlook have shifted to some degree, from an overheated economy creating inflationary pressures to one where economic growth is decelerating as oil approaches $80 per barrel and housing fundamentals deteriorate. Ironically, any hint of weakness could provide a better environment for equities, if it results in the end of the Fed's tightening stance.

MassMutual Select Core Opportunities Fund – Portfolio Manager Report (Continued)

MassMutual Select Core Opportunities Fund

Industry Table

(% of Net Assets) on 6/30/06

Energy	10.2	%
Pharmaceuticals	8.7	%
Computers & Information	7.3	%
Electrical Equipment & Electronics	7.3	%
Prepackaged Software	7.0	%
Insurance	6.0	%
Banking, Savings & Loans	4.4	%
Commercial Services	4.2	%
Financial Services	4.0	%
Machinery & Components	3.1	%
Medical Supplies	2.8	%
Cosmetics & Personal Care	2.7	%
Metals & Mining	2.7	%
Data Processing & Preparation	2.5	%
Communications	2.3	%
Retail	2.3	%
Information Retrieval Services	2.3	%
Broadcasting, Publishing & Printing	2.2	%
Transportation	2.2	%
Chemicals	1.9	%
Foods	1.8	%
Aerospace & Defense	1.6	%
Tobacco	1.6	%
Forest Products & Paper	1.4	%
Telephone Utilities	1.3	%
Real Estate	0.6	%
Short-Term Investments and Other Assets and Liabilities	5.6	%
	100.0	%

MassMutual Select Core

Opportunities Fund

Largest Stock Holdings (6/30/06)

General Electric Co.

Amgen, Inc.

Halliburton Co.

International Business Machines Corp.

Oracle Corp.

Intel Corp.

Bank of America Corp.

Medtronic, Inc.

The Procter & Gamble Co.

Pfizer, Inc.

MassMutual Select Core Opportunities Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Core Opportunities Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class N, Class N (CDSC fees deducted) and the S&P 500 Index.

MassMutual Select Core Opportunities Fund
Total Return

	_{Since Inception}_{3/31/06 - 6/30/06}
Class S		–3.70	%
Class A		–3.80	%
Class A (sales load deducted)*		–9.33	%
Class Y		–3.70	%
Class L		–3.70	%
Class N		–3.80	%
Class N (CDSC fees deducted)*		–4.76	%
S&P 500 Index		–1.85	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

* Class A (sales load deducted) returns include the 5.75% maximum sales charge and Class N (CDSC fees deducted) returns include the 1.00% maximum contingent deferred sales charge.

MassMutual Select Blue Chip Growth Fund – Portfolio Manager Report

What is the investment objective of the Select Blue Chip Growth Fund? The Fund seeks growth of capital over the long term by normally investing at least 80% of its net assets in the common stocks of large and medium-sized blue chip growth companies.

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned –1.86%, trailing the 2.70% return of the S&P 500^® Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.

What was the investment backdrop during the period? For the six months ended June 30, 2006, equities outperformed bonds against a backdrop of rising inflation, a slowing economy and indications of a slowdown in the real estate market. In the first quarter, most U.S. stock indexes posted strong gains, as solid growth in corporate profits and signs of an uptick in overall economic activity helped to boost share prices.

The second quarter saw a turnaround in the fortunes of the equity markets, as investor uncertainty, caused in part by global unrest and rising oil prices, led many of the markets lower. In fact, the Dow Jones Industrial Average^SM was the only domestic equity benchmark to post a return in positive territory, advancing 0.37%.

What factors contributed to the Fund's performance? Energy stocks produced the best returns in the market during the year-to-date period, and the portfolio's overweight in the energy sector enhanced performance relative to the S&P 500 Index. Our emphasis on energy equipment and services stocks also proved favorable, as these companies continued to benefit from increased spending by energy producers on infrastructure, equipment and specialized services.

Stock selection was most successful in the consumer discretionary sector. Portfolio holdings in the gaming industry also performed well during the period. Another sector that contributed positively to relative results was the materials sector, as a healthy economy and soaring commodity prices boosted returns within the sector. Metals and mining companies were the best performers.

On the downside, disappointing stock selection in the health care sector, which posted poor returns during the period, detracted from the Fund's relative performance. The weakest performers were health care providers and services companies, which declined on concerns about slowing enrollment growth and cost pressures related to Medicare. The portfolio's industrial and business services holdings also hindered relative performance during the period. The key issue in this sector was what the portfolio did not own – the Fund held underweight positions in several areas that performed well, including aerospace and defense and air freight and logistics. The consumer staples sector was another area of relative weakness. We have remained underweight in this sector because of its below-average growth, but we have found selected opportunities with promising growth prospects. Examples include consumer products maker Procter & Gamble and beverage and snack company PepsiCo.

What is your outlook? Despite the recent increases in inflation and interest rates, we continue to expect solid economic growth in 2006, with stable unemployment and consumer confidence. In addition, we anticipate continued growth in corporate earnings, leading to increased business spending. However, as profit growth moderates, diligent stock selection should become increasingly important. Valuations are reasonable, particularly for large-cap growth companies generating consistent earnings and cash flow growth. We remain vigilant in seeking companies with durable, long-term growth characteristics.

MassMutual Select Blue Chip Growth Fund – Portfolio Manager Report (Continued)

MassMutual Select Blue Chip Growth Fund

Industry Table

(% of Net Assets) on 6/30/06

Financial Services	12.6	%
Electrical Equipment & Electronics	10.0	%
Pharmaceuticals	8.6	%
Retail	6.9	%
Banking, Savings & Loans	5.1	%
Insurance	5.0	%
Energy	4.6	%
Healthcare	4.4	%
Prepackaged Software	4.4	%
Computers & Information	3.8	%
Information Retrieval Services	3.5	%
Machinery & Components	3.3	%
Industrial – Diversified	3.3	%
Communications	3.1	%
Medical Supplies	2.7	%
Data Processing & Preparation	2.0	%
Aerospace & Defense	2.0	%
Broadcasting, Publishing & Printing	1.7	%
Lodging	1.5	%
Cosmetics & Personal Care	1.4	%
Commercial Services	1.4	%
Beverages	1.2	%
Household Products	0.9	%
Chemicals	0.9	%
Entertainment & Leisure	0.8	%
Metals & Mining	0.8	%
Transportation	0.7	%
Home Construction, Furnishings & Appliances	0.6	%
Telephone Utilities	0.6	%
Manufacturing	0.5	%
Foods	0.4	%
Communications Equipment	0.3	%
Advertising	0.3	%
Short-Term Investments and Other Assets and Liabilities	0.7	%
	100.0	%

MassMutual Select Blue Chip Growth Fund

Largest Stock Holdings (6/30/06)

General Electric Co.

Danaher Corp.

Microsoft Corp.

UnitedHealth Group, Inc.

Schlumberger Ltd.

Citigroup, Inc.

State Street Corp.

Google, Inc. Cl. A

Wal-Mart Stores, Inc.

Kohl's Corp.

MassMutual Select Blue Chip Growth Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Blue Chip Growth Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L and the S&P 500 Index.

MassMutual Select Blue Chip Growth Fund
Total Return

	_{Year to Date}_{1/1/06 -}_6/30/06			_{One Year}_{7/1/05 -}_6/30/06			_{Five Year}_Average_Annual_{7/1/01 -}_6/30/06			_Since_Inception_Average_Annual_{6/1/01 -}_6/30/06
Class S		–1.86	%		3.99	%		–1.55	%		–1.84	%
Class A		–2.11	%		3.52	%		–2.05	%		–2.35	%
Class A (sales load deducted)*		–7.74	%		–2.43	%		–3.20	%		–3.48	%
Class Y		–1.87	%		3.88	%		–1.67	%		–1.96	%
Class L		–1.98	%		3.75	%		–1.81	%		–2.09	%
S&P 500 Index		2.70	%		8.62	%		2.49	%		1.96	%

Hypothetical Investments in MassMutual Select Blue Chip Growth Fund Class N, Class N (CDSC fees deducted) and the S&P 500 Index.

MassMutual Select Blue Chip Growth Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		–2.24	%		3.20	%		7.90	%
Class N (CDSC fees deducted)*		–3.22	%		2.20	%		7.90	%
S&P 500 Index		2.70	%		8.62	%		13.10	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

MassMutual Select Large Cap Growth Fund – Portfolio Manager Report

What is the investment objective of the Select Large Cap Growth Fund? The Fund seeks long-term growth of capital and future income by normally investing at least 80% of its net assets in the common stocks and securities convertible into common stocks of companies which the Fund's sub-adviser believes offer prospects for long-term growth and which, at the time of purchase, have market capitalizations of at least approximately $10 billion.

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned –7.17%, underperforming the 2.70% return of the S&P 500^® Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.

What was the investment backdrop during the period? The U.S. stock market's first quarter returns varied greatly by month. January's performance was robust, with the S&P 500 Index making a 2.7% single-month gain. February marked a significant pullback, while in March, the market regained steam, albeit below January's pace to end 4.2% ahead for the quarter. During this period, investors began incorporating increased inflation into their analyses. Such a perception bodes poorly for longer-term assets, such as growth stocks. In this environment, the growth style lagged value, preventing three quarters of growth outperformance from gaining further traction.

For the second quarter of 2006, U.S. equity markets were down nearly across the board, as fears of the Federal Reserve increasing interest rates to combat inflation drove the yield on the 10-year Treasury up 0.30% to 5.14%. The market uncertainty that emerged in the first quarter accelerated in the second, and investors who had gotten out of touch with volatility in recent years saw renewed gyrations in day-to-day returns. Growth stocks in particular suffered more than their share of this volatility.

What factors contributed to the Fund's performance? In the first quarter, the Fund's underperformance was driven primarily by stock-specific issues related to several of our information technology and health care holdings. Ironically, the information technology sector was an overall contributor to relative performance. Although Yahoo! and Juniper were detractors, Broadcom, Corning and Qualcomm were the top three performing stocks for the first quarter.

The health care sector was the largest detractor from performance in the first quarter. Our underperformance was due primarily to holding overweight positions in Alcon, Genentech and St. Jude. Sector allocation also detracted from our first quarter results. Another drag on the Fund's performance came from our underweight position in the top-performing industrials sector. A more positive result came from our overweight position in key performer Broadcom. In that same vein, the most significant contributions to the Fund's first quarter progress came from an underweight position in the consumer staples sector and our overweight position in the financial services sector.

Turning to the second quarter, the Fund's underperformance was driven by stock-specific issues related to several of our information technology and health care holdings, compounded by overall market problems, including inflation worries. The information technology sector was the largest detractor from relative performance. However, our overweight position in Google and underweight position in Microsoft were primary contributors to the Fund's second quarter performance. Their contributions, however, could not offset the weaknesses of Broadcom, Advanced Micro Devices, eBay and Qualcomm.

The health care sector was the second-largest detractor from performance in the second quarter. Our underperformance was due primarily to holding overweight positions in Teva Pharma, UnitedHealth Group and St. Jude. Sector allocation also detracted from returns. The most significant detractors included underweight positions in the industrials and consumer staples sectors. The largest contribution came from our overweight position in the energy sector, which was one of the top performers for the quarter.

MassMutual Select Large Cap Growth Fund – Portfolio Manager Report (Continued)

What is your outlook? We believe that the renewed outperformance of value stocks is only a temporary phenomenon. Economic indicators in the first quarter started showing surprising strength, and first quarter U.S. Gross Domestic Product (GDP) did come in far ahead of what was anticipated. But we see this surge as an offset to the fourth quarter of 2005, during which GDP was considerably lower than many recent quarters. When you average these two quarters together, you see the economic slowdown that we have been anticipating. Historically, growth stocks have generally outperformed value stocks during periods of decelerating economic growth.

MassMutual Select Large Cap Growth Fund

Industry Table

(% of Net Assets) on 6/30/06

Pharmaceuticals	13.2	%
Financial Services	10.1	%
Information Retrieval Services	9.2	%
Energy	7.7	%
Insurance	7.0	%
Electrical Equipment & Electronics	6.0	%
Communications	5.9	%
Banking, Savings & Loans	5.1	%
Healthcare	4.9	%
Retail	4.3	%
Computers & Information	4.2	%
Aerospace & Defense	4.2	%
Cosmetics & Personal Care	4.0	%
Lodging	3.0	%
Household Products	2.7	%
Commercial Services	1.8	%
Chemicals	1.6	%
Restaurants	1.6	%
Machinery & Components	0.6	%
Prepackaged Software	0.6	%
Industrial – Diversified	0.5	%
Foods	0.5	%
Short-Term Investments and Other Assets and Liabilities	1.3	%
	100.0	%

MassMutual Select Large Cap

Growth Fund

Largest Stock Holdings (6/30/06)

WellPoint, Inc.

Google, Inc. Cl. A

Apple Computer, Inc.

The Procter & Gamble Co.

Halliburton Co.

Genentech, Inc.

Boeing Co.

Yahoo!, Inc.

Legg Mason, Inc.

Qualcomm, Inc.

MassMutual Select Large Cap Growth Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Large Cap Growth Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L and the S&P 500 Index.

MassMutual Select Large Cap Growth Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/01 - 6/30/06}
Class S		–7.17	%		7.17	%		–0.60	%
Class A		–7.39	%		6.72	%		–1.06	%
Class A (sales load deducted)*		–12.71	%		0.58	%		–2.36	%
Class Y		–7.29	%		7.10	%		–0.69	%
Class L		–7.31	%		6.90	%		–0.53	%
S&P 500 Index		2.70	%		8.62	%		3.83	%

Hypothetical Investments in MassMutual Select Large Cap Growth Fund Class N, Class N (CDSC fees deducted) and the S&P 500 Index.

MassMutual Select Large Cap Growth Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		–7.57	%		6.36	%		9.44	%
Class N (CDSC fees deducted)*		–8.49	%		5.36	%		9.44	%
S&P 500 Index		2.70	%		8.62	%		13.10	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

MassMutual Select Growth Equity Fund – Portfolio Manager Report

What is the investment objective of the Select Growth Equity Fund? This Fund seeks long-term growth of capital and future income by normally investing at least 80% of its net assets in the common stocks and securities convertible into common stocks of companies that the Fund's sub-adviser believes offer prospects for long-term growth.

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned –5.14%, lagging the 2.70% return of the S&P 500^® Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.

What was the investment background during the period? Stocks picked up in the first quarter of 2006, exactly where they left off in late 2005, posting solid gains in the face of economic uncertainty and potentially setting the stage for a fourth consecutive year of equity gains since 2002. Solid growth in corporate profits and signs of an uptick in overall economic activity helped to boost share prices during the first three months of the year. High-quality U.S. stocks again underperformed their low-quality counterparts, although the spread appeared to taper during the period.

In a dramatic turnaround, the majority of the U.S. equity market indexes posted negative returns in the second quarter, with the exception of the Dow Jones Industrial Average^SM, which advanced 0.37%. Leading the markets lower was investor uncertainty, caused in part by global unrest and rising oil prices. The spread between high- and low-quality stocks was considerable during the timeframe, although both ended the quarter in negative territory.

What factors contributed to the Fund's performance? Portfolio performance in the first quarter was hindered by the Fund's overweight position (relative to its benchmark, the S&P 500 Index) in health care and its underweight position in the services sector. Lower-than-benchmark positions in the food & beverage, machinery and manufacturing sectors contributed to relative returns, but not enough to offset overall negative sector performance. Stock selection was negative for the quarter, due in large part to picks among technology issues. Specific contributors included the portfolio's overweight positions in Merck & Co., Caterpillar Inc., Nvidia Corp., Fannie Mae, and Schwab Corp., as well as underweight positions in Medtronic Inc., Johnson & Johnson and General Electric. Detractors included overweight positions in Intel Corp., United Health Group, Altria Group, Lowe's Companies and Dell Inc., as well as the portfolio's underweight position in Cisco Systems and QUALCOMM.

Turning to the second quarter, the Fund's progress was hampered by underweight positions in manufacturing and consumer goods, and an overweight position in health care. The Fund's underweight position in technology and construction, and greater-than-benchmark allocations to the financial and oil & gas sectors contributed to relative returns. Stock selection was negative for the quarter, due in large part to picks among health care, financial, retail stores and technology issues. Specific stock contributors included the portfolio's overweight positions in Merck & Co., Caterpillar Inc., and Altria Group, as well as underweight positions in Microsoft, eBay, Cisco Systems, and Boston Scientific. Detractors included overweight positions in UnitedHealth Group, Home Depot, QUALCOMM, Dell Inc., Express Scripts, Broadcom Corp., Motorola and Aetna Inc., as well as the portfolio's underweight position in Comcast Corp.

What is your outlook? Our market outlook for the remainder of 2006 is for a moderate, yet sustained bear market. Numerous forces will likely continue to influence the direction that the market takes moving forward – such as oil prices, inflation, geopolitical unrest and Fed policy. We believe, however, that we have positioned the Fund to be ready to handle the wide array of market conditions that investors may face throughout the remainder of the year.

MassMutual Select Growth Equity Fund – Portfolio Manager Report (Continued)

MassMutual Select Growth Equity Fund

Industry Table

(% of Net Assets) on 6/30/06

Pharmaceuticals	14.4	%
Retail	13.6	%
Insurance	6.6	%
Electrical Equipment & Electronics	5.6	%
Healthcare	5.1	%
Financial Services	5.1	%
Transportation	4.4	%
Energy	4.1	%
Medical Supplies	3.3	%
Commercial Services	3.2	%
Machinery & Components	2.8	%
Communications	2.5	%
Computers & Information	2.0	%
Computers & Office Equipment	1.9	%
Banking, Savings & Loans	1.8	%
Foods	1.7	%
Food Retailers	1.6	%
Beverages	1.5	%
Communications Equipment	1.4	%
Household Products	1.4	%
Aerospace & Defense	1.3	%
Information Retrieval Services	1.1	%
Prepackaged Software	1.1	%
Tobacco	1.0	%
Industrial – Diversified	1.0	%
Metals & Mining	1.0	%
Apparel, Textiles & Shoes	1.0	%
Home Construction, Furnishings & Appliances	0.9	%
Manufacturing	0.8	%
Data Processing & Preparation	0.8	%
Telephone Utilities	0.7	%
Automotive & Parts	0.7	%
Restaurants	0.6	%
Building Materials & Construction	0.4	%
Internet Content	0.3	%
Cosmetics & Personal Care	0.2	%
Advertising	0.2	%
Heavy Machinery	0.1	%
Computer Programming Services	0.1	%
Broadcasting, Publishing & Printing	0.1	%
Computer Integrated Systems Design	0.0	%
Short-Term Investments and Other Assets and Liabilities	2.6	%
	100.0	%

MassMutual Select Growth Equity Fund

Largest Stock Holdings (6/30/06)

The Home Depot, Inc.

Merck & Co., Inc.

Pfizer, Inc.

Lowe's Companies, Inc.

Qualcomm, Inc.

American International Group, Inc.

UnitedHealth Group, Inc.

Genentech, Inc.

Wal-Mart Stores, Inc.

Hewlett-Packard Co.

MassMutual Select Growth Equity Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Growth Equity Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L and the S&P 500 Index.

MassMutual Select Growth Equity Fund
Total Return

	_{Year to Date}_{1/1/06 -}_6/30/06			_{One Year}_{7/1/05 -}_6/30/06			_{Five Year}_Average_Annual_{7/1/01 -}_6/30/06			_Since_Inception_Average_Annual_{5/3/99 -}_6/30/06
Class S		–5.14	%		–1.44	%		–3.63	%		–2.33	%
Class A		–5.38	%		–1.79	%		–4.07	%		–2.76	%
Class A (sales load deducted)*		–10.82	%		–7.44	%		–5.20	%		–3.56	%
Class Y		–5.16	%		–1.51	%		–3.69	%		–2.39	%
Class L		–5.19	%		–1.65	%		–3.82	%		–2.51	%
S&P 500 Index		2.70	%		8.62	%		2.49	%		0.88	%

��

Hypothetical Investments in MassMutual Select Growth Equity Fund Class N, Class N (CDSC fees deducted) and the S&P 500 Index.

MassMutual Select Growth Equity Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		–5.45	%		–2.10	%		6.37	%
Class N (CDSC fees deducted)*		–6.40	%		–3.08	%		6.37	%
S&P 500 Index		2.70	%		8.62	%		13.10	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

MassMutual Select Aggressive Growth Fund – Portfolio Manager Report

What is the investment objective of the MassMutual Select Aggressive Growth Fund? This Fund seeks long-term capital appreciation by investing primarily in U.S. common stocks and other equity securities.

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned –9.32%, underperforming the 2.70% return of the S&P 500^® Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.

What was the investment background during the period? For the six months ended June 30, 2006, equities outperformed bonds, against a backdrop of rising inflation, a slowing economy and indications of a slowdown in the real estate market. In the first quarter of 2006, most U.S. stock indexes posted strong gains, as solid growth in corporate profits and signs of an uptick in overall economic activity helped to boost share prices.

The second quarter saw a turnaround in the fortunes of the equity markets, as investor uncertainty – caused in part by global unrest and rising oil prices – led many of the markets lower. In fact, the Dow Jones Industrial Average^SM was the only broad domestic equity benchmark to post a return in positive territory, advancing 0.37%.

What factors contributed to the Fund's performance during the period? In the first quarter of 2006, from a sector perspective, several overweight positions in the consumer discretionary sector were the greatest detractors from the Fund's performance relative to its benchmark, the S&P 500 Index. True to our long-term fundamental approach to investing, however, we maintained our commitment to the sector, as we are optimistic about its prospects for the future.

Turning to the second quarter of 2006, the Fund's overweight position in the health care and consumer discretionary sectors relative to its benchmark detracted from performance. Also hampering the Fund's progress were underweight positions in the transportation and energy sectors. Conversely, underweight stakes in the technology and basic industry sectors, and an overweight position in telecommunications contributed to the Fund's relative performance in the second quarter.

MassMutual Select Aggressive Growth Fund – Portfolio Manager Report (Continued)

MassMutual Select Aggressive Growth Fund

Industry Table

(% of Net Assets) on 6/30/06

Pharmaceuticals	15.1	%
Commercial Services	14.7	%
Medical Supplies	14.0	%
Information Retrieval Services	12.2	%
Retail	9.9	%
Food Retailers	7.9	%
Communications	6.4	%
Financial Services	6.3	%
Computers & Information	3.4	%
Prepackaged Software	2.9	%
Energy	2.5	%
Transportation	1.0	%
Data Processing & Preparation	0.5	%
Chemicals	0.5	%
Healthcare	0.5	%
Cosmetics & Personal Care	0.4	%
Lodging	0.4	%
Telephone Utilities	0.4	%
Short-Term Investments and Other Assets and Liabilities	1.0	%
	100.0	%

MassMutual Select Aggressive

Growth Fund

Largest Stock Holdings (6/30/06)

Google, Inc. Cl. A

Starbucks Corp.

Genentech, Inc.

eBay, Inc.

Chicago Mercantile Exchange Holdings, Inc.

Allergan, Inc.

Apollo Group, Inc. Cl. A

Qualcomm, Inc.

Genzyme Corp.

Lowe's Companies, Inc.

MassMutual Select Aggressive Growth Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Aggressive Growth Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L and the S&P 500 Index.

MassMutual Select Aggressive Growth Fund
Total Return

	_{Year to Date}_{1/1/06 -}_6/30/06			_{One Year}_{7/1/05 -}_6/30/06			_{Five Year}_Average_Annual_{7/1/01 -}_6/30/06			_Since_Inception_Average_Annual_{5/1/00 -}_6/30/06
Class S		–9.32	%		2.03	%		0.27	%		–7.83	%
Class A		–9.58	%		1.56	%		–0.24	%		–8.29	%
Class A (sales load deducted)*		–14.78	%		–4.28	%		–1.41	%		–9.17	%
Class Y		–9.38	%		1.87	%		0.13	%		–7.93	%
Class L		–9.45	%		1.71	%		0.00	%		–8.06	%
S&P 500 Index		2.70	%		8.62	%		2.49	%		–0.54	%

Hypothetical Investments in MassMutual Select Aggressive Growth Fund Class N, Class N (CDSC fees deducted) and the S&P 500 Index.

MassMutual Select Aggressive Growth Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		–9.58	%		1.23	%		12.88	%
Class N (CDSC fees deducted)*		–10.48	%		0.23	%		12.88	%
S&P 500 Index		2.70	%		8.62	%		13.10	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

MassMutual Select OTC 100 Fund – Portfolio Manager Report

What is the investment objective of the Select OTC 100 Fund? This Fund seeks to approximate, as closely as practicable (before fees and expenses), the total return of the 100 largest publicly traded over-the-counter common stocks. The Fund pursues this objective by investing at least 80% of its net assets in the equity securities of companies included in the NASDAQ 100 Index^®, which is generally recognized as representative of the over-the-counter market.

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned –4.27%, nearly in line with the –4.25% return of the NASDAQ 100 Index.

The NASDAQ 100 Index is a modified capitalization-weighted index composed of the 100 largest non-financial companies listed on the National Association of Securities Dealers Automated Quotations System ("NASDAQ").

What was the investment backdrop during the period? The Federal Reserve (Fed) raised interest rates twice during the first quarter of 2006, bringing the federal funds rate to 4.75% as of March 31. The new chairman of the Fed, Ben Bernanke, announced that additional hikes might be necessary due to "elevated prices of energy and other commodities." Oil prices remained a concern for investors and cast a shadow over future growth in both the U.S. and abroad. During the first quarter of 2006, crude oil prices ranged between $60 and $70 per barrel, within striking distance of the 2005 high of $71. On the positive side, however, the U.S. Commerce Department announced that businesses saw their after-tax profits rise 13.8% during the fourth quarter of 2005, a dramatic improvement from the third quarter, when profits were down 4.3%.

What factors contributed to the Fund's performance? The NASDAQ 100 Index finished the first quarter of 2006 up 3.69%. The industrial sector advanced 16.84% for the quarter. The information technology sector returned 2.67%. Consumer discretionary also advanced for the quarter, with a return of 5.35%.

The second quarter produced very different results for the NASDAQ 100 Index. It finished the period with a loss of 7.47%, following poor performance from the information technology sector, which finished down 10.44%. The energy and health care sectors also contributed to the negative return of the index, with returns of –11.14% and –7.97%, respectively. On the upside, the materials sector showed strong returns, advancing 10.75% for the second quarter.

What is your outlook? It is impossible to predict with any certainty whether or not the volatility that the equity markets have experienced in the first six months of 2006 is nearing an end. Numerous forces will continue to influence the direction that the market takes moving forward – such as oil prices, inflation, geopolitical unrest and Fed policy. We expect these factors to have the greatest impact on market conditions as the remainder of 2006 unfolds.

MassMutual Select OTC 100 Fund – Portfolio Manager Report (Continued)

MassMutual Select OTC 100 Fund

Industry Table

(% of Net Assets) on 6/30/06

Prepackaged Software	14.8	%
Electrical Equipment & Electronics	12.4	%
Pharmaceuticals	12.1	%
Computers & Information	11.2	%
Communications	10.7	%
Information Retrieval Services	6.3	%
Retail	5.9	%
Commercial Services	5.5	%
Food Retailers	3.0	%
Broadcasting, Publishing & Printing	2.7	%
Transportation	1.8	%
Medical Supplies	1.8	%
Manufacturing	1.5	%
Computer Integrated Systems Design	1.5	%
Automotive & Parts	1.1	%
Computer Programming Services	1.1	%
Computer Related Services	1.0	%
Healthcare	1.0	%
Advertising	0.8	%
Data Processing & Preparation	0.7	%
Retail – Grocery	0.7	%
Telephone Utilities	0.6	%
Lodging	0.6	%
Apparel, Textiles & Shoes	0.5	%
Machinery & Components	0.5	%
Travel	0.4	%
Energy	0.4	%
Internet Content	0.4	%
Communications Equipment	0.3	%
Short-Term Investments and Other Assets and Liabilities	(1.3	)%
	100.0	%

MassMutual Select OTC 100 Fund

Largest Stock Holdings (6/30/06)

Microsoft Corp.

Qualcomm, Inc.

Apple Computer, Inc.

Google, Inc. Cl. A

Cisco Systems, Inc.

Starbucks Corp.

Intel Corp.

Amgen, Inc.

Oracle Corp.

Comcast Corp. Cl. A

MassMutual Select OTC 100 Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select OTC 100 Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L and the NASDAQ 100 Index.

MassMutual Select OTC 100 Fund
Total Return

	_{Year to Date}_{1/1/06 -}_6/30/06			_{One Year}_{7/1/05 -}_6/30/06			_{Five Year}_Average_Annual_{7/1/01 -}_6/30/06			_Since_Inception_Average_Annual_{5/1/00 -}_6/30/06
Class S		–4.27	%		5.21	%		–3.25	%		–13.60	%
Class A		–4.61	%		4.80	%		–3.74	%		–14.04	%
Class A (sales load deducted)*		–10.10	%		–1.23	%		–4.87	%		–14.86	%
Class Y		–4.30	%		5.25	%		–3.37	%		–13.71	%
Class L		–4.56	%		5.01	%		–3.51	%		–13.84	%
NASDAQ 100 Index		–4.25	%		5.47	%		–2.98	%		–13.21	%

Hypothetical Investments in MassMutual Select OTC 100 Fund Class N, Class N (CDSC fees deducted) and the NASDAQ 100 Index.

MassMutual Select OTC 100 Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		–4.67	%		4.58	%		13.03	%
Class N (CDSC fees deducted)*		–5.62	%		3.58	%		13.03	%
NASDAQ 100 Index		–4.25	%		5.47	%		14.20	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

Investors note that the Fund is a professionally managed mutual fund, while the NASDAQ 100 Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the fund distributions or the redemption of the fund shares.

MassMutual Select Focused Value Fund – Portfolio Manager Report

What is the investment objective of the MassMutual Select Focused Value Fund? This Fund seeks growth of capital over the long term by investing primarily in a non-diversified portfolio of U.S. equity securities. As a non-diversified fund, the Fund is not limited in the percentage of its assets that it may invest in any one company. (This means that the Fund may hold larger positions in a smaller number of stocks than a diversified fund. As a result, an increase or decrease in value of a single stock could have a greater impact on the Fund's net asset value and its total return.)

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned 2.39%, trailing the 6.32% return of the Russell 2500^TM Index, a widely recognized, unmanaged index representative of common stocks of mid-capitalized U.S. companies.

What factors contributed to the Fund's performance? During the first quarter of 2006, the portfolio benefited most by lack of exposure to both energy and utility stocks, which both experienced weaker performance during the period. Conversely, the Fund's performance was dampened by consumer discretionary and industrials holdings.

Hewlett-Packard, Cablevision Systems and Morgan Stanley had the most significant positive impact on first quarter performance. Additionally, Pepsi Bottling Group and JPMorgan Chase were solid contributors – as were CBRL group (a restaurant company), Seagate Technology and Itron Corporation (a manufacturer of automatic meter reading equipment). Interestingly, stock selection strength did not come from the winners we chose, but the losers we avoided. Only six portfolio holdings posted negative results in the first quarter.

Turning to the second quarter, overall, the portfolio benefited most by its financials, consumer discretionary, and health care stocks. Conversely, performance was diminished by lack of exposure to both utility and energy stocks, along with an overweight position in the technology sector. On a stock-specific basis, Cablevision Systems, Washington Mutual, and Pepsi Bottling Group made the greatest contributions to performance during the period. JPMorgan Chase and Yum! Brands also fueled the Fund's returns.

What is your outlook? A lackluster equity market has generally been the friend of investors like us, as it has provided the Fund with a wonderful opportunity to own some very strong businesses – with below-average risk profiles – trading at large discounts to intrinsic values. Our level of conviction remains quite high, and we are confident in the portfolio's strong position.

MassMutual Select Focused Value Fund – Portfolio Manager Report (Continued)

MassMutual Select Focused Value Fund

Industry Table

(% of Net Assets) on 6/30/06

Electrical Equipment & Electronics	10.4	%
Restaurants	9.0	%
Banking, Savings & Loans	8.7	%
Broadcasting, Publishing & Printing	8.3	%
Retail	6.2	%
Transportation	5.4	%
Medical Supplies	5.3	%
Industrial – Diversified	4.5	%
Financial Services	4.4	%
Computers & Office Equipment	4.3	%
Computers & Information	3.8	%
Commercial Services	3.4	%
Beverages	3.2	%
Insurance	2.9	%
Home Construction, Furnishings & Appliances	2.7	%
Machinery & Components	2.3	%
Chemicals	2.1	%
Advertising	1.9	%
Foods	1.8	%
Automotive & Parts	1.0	%
Apparel, Textiles & Shoes	0.8	%
Computer Integrated Systems Design	0.8	%
Data Processing & Preparation	0.7	%
Healthcare	0.7	%
Pharmaceuticals	0.4	%
Toys, Games	0.4	%
Entertainment & Leisure	0.3	%
Short-Term Investments and Other Assets and Liabilities	4.3	%
	100.0	%

MassMutual Select Focused Value Fund

Largest Stock Holdings (6/30/06)

JP Morgan Chase & Co.

McDonald's Corp.

Hewlett-Packard Co.

Yum! Brands, Inc.

Baxter International, Inc.

Tyco International Ltd.

Washington Mutual, Inc.

Morgan Stanley

Tiffany & Co.

Intel Corp.

MassMutual Select Focused Value Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Focused Value Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L and the Russell 2500 Index.

MassMutual Select Focused Value Fund
Total Return

	_{Year to Date}_{1/1/06 -}_6/30/06			_{One Year}_{7/1/05 -}_6/30/06			_{Five Year}_Average_Annual_{7/1/01 -}_6/30/06			_Since_Inception_Average_Annual_{5/1/00 -}_6/30/06
Class S		2.39	%		4.43	%		10.98	%		13.43	%
Class A		2.09	%		3.86	%		10.43	%		12.85	%
Class A (sales load deducted)*		–3.78	%		–2.12	%		9.13	%		11.78	%
Class Y		2.29	%		4.30	%		10.87	%		13.30	%
Class L		2.25	%		4.19	%		10.72	%		13.14	%
Russell 2500 Index		6.32	%		13.53	%		9.65	%		8.43	%

Hypothetical Investments in MassMutual Select Focused Value Fund Class N, Class N (CDSC fees deducted) and the Russell 2500 Index.

MassMutual Select Focused Value Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		2.00	%		3.61	%		16.39	%
Class N (CDSC fees deducted)*		1.00	%		2.66	%		16.39	%
Russell 2500 Index		6.32	%		13.53	%		21.70	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

Investors should note that the Fund is a professionally managed mutual fund, while the Russell 2500 Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the fund distributions or the redemption of the fund shares.

MassMutual Select Small Cap Value Equity Fund – Portfolio Manager Report

What is the investment objective of the MassMutual Select Small Cap Value Equity Fund? This Fund seeks to maximize total return through investment primarily in small capitalization equity securities.

How did the Fund perform during the three months ended June 30, 2006? Since the Fund's inception on March 31, 2006, its Class S shares returned –2.10%, outpacing the –2.40% return of the Russell 2000^® Value Index, a widely recognized, unmanaged index that measures the performance of those Russell 2000^® Index Companies with lower price-to-book ratios and lower forecasted growth rates.

What was the investment backdrop during the period? The second quarter proved to be a challenging environment for investors. Increased volatility amid drastic return swings and concerns over the May meeting of the Federal Open Market Committee (FOMC) influenced the market, which seemed to lack any clear direction. Stocks continued trending upward in April before reversing sharply in May. June finished up the quarter slightly positive.

After touching its lowest level since November 2005 on June 14, 2006, the S&P 500^® Index bounced sharply to finish the month of June with a 0.1% return. Still, its May sell-off left the S&P 500 Index with a 1.4% loss for the second quarter and 2.7% gain since the start of the year. Smaller stocks were particularly punished when monetary policy uncertainty drove volatility higher in May and June. The Russell 2000 Index lost 5.0% for the three months ended June 30, 2006 though it retained an 8.2% gain year-to-date due to its strong run-up in the first quarter of the year.

Growth stocks did not fare as well as value stocks during the second quarter. The Russell 1000^® Growth Index slipped 3.9% for the quarter, and was down 0.9% for the year as of June 30, 2006. The Russell 1000^® Value Index gained 0.6% for the quarter, and was ahead 6.6% year-to-date as of the end of the second quarter. Style sentiment was similar among small caps, as the Russell 2000^® Growth Index dropped 7.3% for the quarter, while the Russell 2000^® Value Index only declined 2.7% over the same period. As of June 30, 2006 for the year, the Russell 2000 Growth Index had gained 6.1%, while the Russell 2000 Value Index had advanced 10.4%.

What factors contributed to the Fund's performance? Stock selection was positive in the second quarter and the main contributor to relative returns. The Fund's stock selection was most favorable in the electronic equipment and specialty retail industries. Conversely, our stock picks in the biotechnology and food & beverage industries hampered the Fund's progress in the second quarter.

What is your outlook? While data dependency and policy uncertainty suggest little clarity regarding the evolution of short-term interest rates in the second half of 2006, the volatile equity markets in May and June may have already factored in the possibility of additional monetary tightening in the near term. Investors may therefore grow comfortable with a modest rebuilding of equity positions, especially if second quarter earnings reports can create fresh enthusiasm for newly lower share prices. The risks include higher inflation, which might exacerbate concerns that corporate profits growth will eventually fall victim to rising interest rates. In the meantime, reasonable valuations and resilient profits may help equities to repair much of their second-quarter damage.

MassMutual Select Small Cap Value Equity Fund – Portfolio Manager Report (Continued)

MassMutual Select Small Cap Value Equity Fund

Industry Table

(% of Net Assets) on 6/30/06

Banking, Savings & Loans	15.6	%
Financial Services	12.1	%
Electrical Equipment & Electronics	6.4	%
Commercial Services	5.8	%
Insurance	5.7	%
Energy	4.0	%
Chemicals	3.3	%
Apparel, Textiles & Shoes	2.7	%
Automotive & Parts	2.6	%
Broadcasting, Publishing & Printing	2.6	%
Electric Utilities	2.5	%
Prepackaged Software	2.5	%
Pharmaceuticals	2.0	%
Building Materials & Construction	1.8	%
Retail	1.7	%
Communications	1.7	%
Metals & Mining	1.6	%
Forest Products & Paper	1.6	%
Foods	1.6	%
Computers & Information	1.5	%
Medical Supplies	1.4	%
Telephone Utilities	1.3	%
Transportation	1.3	%
Entertainment & Leisure	1.3	%
Machinery & Components	1.2	%
Restaurants	1.1	%
Computer Integrated Systems Design	1.1	%
Lodging	0.8	%
Aerospace & Defense	0.7	%
Home Construction, Furnishings & Appliances	0.7	%
Water Companies	0.7	%
Data Processing & Preparation	0.6	%
Information Retrieval Services	0.6	%
Healthcare	0.5	%
Real Estate	0.5	%
Beverages	0.4	%
Containers	0.4	%
Heavy Machinery	0.4	%
Industrial – Diversified	0.4	%
Oil & Gas	0.3	%
Computer Programming Services	0.2	%
Computer Maintenance & Repair	0.2	%
Computer Related Services	0.2	%
Air Transportation	0.2	%
Household Products	0.1	%
Tobacco	0.1	%
Advertising	0.1	%
Electronics	0.0	%
Environmental Controls	0.0	%
Short-Term Investments and Other Assets and Liabilities	3.9	%
	100.0	%

MassMutual Select

Small Cap Value Equity Fund

Largest Stock Holdings (6/30/06)

Universal Compression Holdings, Inc.

Westar Energy, Inc.

Group 1 Automotive, Inc.

Emcor Group, Inc.

Old National Bancorp

ArvinMeritor, Inc.

Big Lots, Inc.

FelCor Lodging Trust, Inc.

Texas Industries, Inc.

Senior Housing Properties Trust

MassMutual Select Small Cap Value Equity Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Small Cap Value Equity Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class N, Class N (CDSC fees deducted) and the Russell 2000 Value Index.

MassMutual Select Small Cap Value Equity Fund
Total Return

	_{Since Inception}_{3/31/06 - 6/30/06}
Class S		–2.10	%
Class A		–2.20	%
Class A (sales load deducted)*		–7.82	%
Class Y		–2.10	%
Class L		–2.20	%
Class N		–2.30	%
Class N (CDSC fees deducted)*		–3.28	%
Russell 2000 Value Index		–2.40	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

* Class A (sales load deducted) returns include the 5.75% maximum sales charge and Class N (CDSC fees deducted) returns include the 1.00% maximum contingent deferred sales charge.

Investors should note that the Fund is a professionally managed mutual fund, while the Russell 2000 Value Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the fund distributions or the redemption of the fund shares.

MassMutual Select Small Company Value Fund – Portfolio Manager Report

What is the investment objective of the MassMutual Select Small Company Value Fund? The Fund seeks to achieve long-term growth of capital by investing primarily in a diversified portfolio of equity securities of smaller companies.

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned 9.13%, outpacing the 8.21% return of the Russell 2000^® Index, a widely recognized, unmanaged index representative of common stocks of smaller capitalized U.S. companies.

What was the investment background during the period? The U.S. stock market produced solid gains in the first three months of 2006. Despite the specter of rising short-term interest rates, stocks drew support from healthy corporate profit growth (represented by the S&P 500^® Index's 15th consecutive quarter of double-digit earnings growth), better-than-expected economic data, and lively merger activity. Small-cap stocks led the market's advance, with the small-cap Russell 2000 Index enjoying its best quarter in 15 years while mid-cap stocks outpaced large-cap names. Value and growth stocks were mixed during the quarter, but value shares outperformed in most segments of the market.

In an about-face, U.S. stocks fell in the second quarter, erasing much of the market's gains from the first three months of the year. Inflation concerns surfaced as record-high commodity prices filtered through to the retail level, producing surprisingly strong increases in the Consumer Price Index. Consequently, the Federal Reserve indicated that further interest rate increases were likely. The combination of higher inflation and rising interest rates put downward pressure on stocks. Small-cap stocks suffered the largest declines, while larger-company stocks held up the best. Value shares comfortably outpaced growth issues across all market capitalizations.

What factors contributed to the Fund's performance? During the first quarter, sector weightings drove much of the portfolio's outperformance, but stock selection – especially in the energy and health care sectors – also contributed to the Fund's bottom line. Performance was also fueled by stock selection in the financials and consumer discretionary sectors. In both of these sectors, we sold some of our more extended positions, and re-deployed the proceeds into inexpensive stocks with improving fundamentals. Conversely, the portfolio was beset by weakness from certain holdings in its health care and utilities sectors, where some of its investments were impacted by company-specific events.

Turning to the second quarter, stock selection in the consumer staples and utilities sectors boosted performance. In addition, merger and acquisition activity helped to drive the Fund's results. Three companies, Alderwoods Group, Aviall Inc., and NRG Energy, were all bid for at significant premiums to their prior prices. Favorable stock selection in the information technology sector and an overweight in energy stocks also contributed positively to performance relative to the Russell 2000 Index, while poor stock picks among industrial and business services stocks detracted from relative results. Also hampering the Fund's progress were weaker stock picks in the materials and financials sectors. Within materials, speculative activity in the metals and mining industries made for a particularly challenging environment. Consequently, we made adjustments to both of these sectors during the final weeks of the quarter in an effort to addr ess these issues. Finally, hampering the Fund's performance in the second quarter was the portfolio's relative overweight position in homebuilders, where our holdings have been negatively impacted by investor concerns over continued interest rate increases and real estate slowdowns in several geographic markets.

What is your outlook? Despite a recent uptick in the inflation rate, the economy appears to remain on solid footing as we enter the second half of the year. Evidence suggests that the six-year market leadership of small-cap stocks may be coming to an end, and the economic recovery has reached a mature stage where growth-oriented stocks have historically outperformed. As a result, we are cautious about the small-cap value segment of the market going forward. To face these expected challenges, we have positioned the portfolio in a variety of attractively valued stocks with improving fundamentals.

MassMutual Select Small Company Value Fund – Portfolio Manager Report (Continued)

MassMutual Select Small Company Value Fund

Industry Table

(% of Net Assets) on 6/30/06

Financial Services	10.3	%
Commercial Services	10.0	%
Energy	9.8	%
Banking, Savings & Loans	8.9	%
Electrical Equipment & Electronics	6.6	%
Insurance	5.0	%
Transportation	4.4	%
Chemicals	3.3	%
Machinery & Components	3.3	%
Metals & Mining	2.9	%
Retail	2.7	%
Electric Utilities	2.4	%
Apparel, Textiles & Shoes	2.4	%
Healthcare	2.2	%
Prepackaged Software	1.6	%
Restaurants	1.5	%
Computer Related Services	1.4	%
Pharmaceuticals	1.4	%
Home Construction, Furnishings & Appliances	1.4	%
Forest Products & Paper	1.4	%
Building Materials & Construction	1.3	%
Heavy Machinery	1.2	%
Industrial – Diversified	1.2	%
Medical Supplies	1.1	%
Automotive & Parts	1.1	%
Communications	0.8	%
Lodging	0.6	%
Consumer Products	0.6	%
Manufacturing	0.6	%
Foods	0.6	%
Entertainment & Leisure	0.5	%
Broadcasting, Publishing & Printing	0.5	%
Household Products	0.5	%
Aerospace & Defense	0.4	%
Tobacco	0.4	%
Air Transportation	0.4	%
Computer Integrated Systems Design	0.3	%
Heavy Construction	0.3	%
Food Retailers	0.3	%
Data Processing & Preparation	0.2	%
Cosmetics & Personal Care	0.2	%
Telephone Utilities	0.1	%
Containers	0.1	%
Short-Term Investments and Other Assets and Liabilities	3.8	%
	100.0	%

MassMutual Select

Small Company Value Fund

Largest Stock Holdings (6/30/06)

Landstar System, Inc.

Cabot Oil & Gas Corp. Cl. A

Oceaneering International, Inc.

Phillips-Van Heusen Corp.

Dollar Thrifty Automotive Group, Inc.

East West Bancorp, Inc.

Texas Regional Bancshares, Inc.

TETRA Technologies, Inc.

FelCor Lodging Trust, Inc.

First Republic Bank

MassMutual Select Small Company Value Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Small Company Value Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L and the Russell 2000 Index.

MassMutual Select Small Company Value Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/01 - 6/30/06}
Class S		9.13	%		15.81	%		12.65	%
Class A		8.96	%		15.31	%		12.16	%
Class A (sales load deducted)*		2.70	%		8.68	%		10.69	%
Class Y		9.16	%		15.78	%		12.59	%
Class L		9.14	%		15.62	%		12.42	%
Russell 2000 Index		8.21	%		14.57	%		10.25	%

Hypothetical Investments in MassMutual Select Small Company Value Fund Class N, Class N (CDSC fees deducted) and the Russell 2000 Index.

MassMutual Select Small Company Value Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		8.79	%		14.95	%		20.49	%
Class N (CDSC fees deducted)*		7.79	%		13.95	%		20.49	%
Russell 2000 Index		8.21	%		14.57	%		21.49	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

Investors should note that the Fund is a professionally managed mutual fund, while the Russell 2000 Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the fund distributions or the redemption of the fund shares.

MassMutual Select Small Cap Core Equity Fund – Portfolio Manager Report

What is the investment objective of the MassMutual Select Small Cap Core Equity Fund? The Fund seeks long-term growth of capital by investing primarily in small capitalization equity securities.

How did the Fund perform during the three months ended June 30, 2006? Since the Fund's inception on March 31, 2006, its Class S shares returned –4.90%, trailing the –4.71% return of the Russell 2000^® Index, a widely recognized, unmanaged index representative of common stocks of smaller capitalized U.S. companies.

What was the investment background during the period? The second quarter saw a turnaround in the fortunes of the equity markets (on the heels of a strong first quarter), as investor uncertainty, caused in part by global unrest and rising oil prices, led many of the markets lower. In fact, the Dow Jones Industrial Average^SM was the only broad domestic equity benchmark to post a return in positive territory, with its 0.37% advance.

What factors contributed to the Fund's performance? Returns to our investment themes were positive overall. Valuation was the best-performing theme, as inexpensive companies outperformed their more richly valued industry counterparts. Other investment themes, including profitability, management impact, analyst sentiment and momentum also added value, albeit less significantly. Meanwhile, earnings quality was relatively flat for the quarter.

Among sectors, stock selection was positive overall for the period. The Fund's holdings in the consumer discretionary and information technology sectors helped performance. Conversely, holdings in the energy and materials sectors detracted the most from excess returns.

In individual stocks, overweights in Group 1 Automotive, Inc.; Swift Transportation; Applera Corp-Applied Biosystems Group; American Home Mortgage Investment Corp. and Volt Information Sciences, Inc. were among the biggest positive contributors to relative performance. On the downside, overweights in United Industrial; Sunrise Assisted Living, Inc.; Neurocrine Biosciences; Six Flags, Inc. and Bon-Ton Stores, Inc. were among the least successful selections for the period.

What is your outlook? Looking ahead, we believe that less-expensive stocks could outpace more-expensive ones and good momentum could do better than poor momentum stocks. We also prefer companies about which fundamental research analysts are becoming more positive. In addition, we are optimistic about firms that are profitable, have sustainable earnings, and use their capital to enhance shareholder value. As such, we anticipate remaining fully invested and expect that the value we add over time will be due primarily to stock selection as opposed to sector or size allocations.

MassMutual Select Small Cap Core Equity Fund – Portfolio Manager Report (Continued)

MassMutual Select Small Cap Core Equity Fund

Industry Table

(% of Net Assets) on 6/30/06

Financial Services	9.5	%
Commercial Services	8.6	%
Banking, Savings & Loans	7.9	%
Pharmaceuticals	6.0	%
Electrical Equipment & Electronics	5.8	%
Medical Supplies	4.1	%
Insurance	3.7	%
Prepackaged Software	3.4	%
Computer Integrated Systems Design	3.1	%
Apparel, Textiles & Shoes	3.0	%
Chemicals	2.8	%
Foods	2.7	%
Energy	2.6	%
Transportation	2.6	%
Automotive & Parts	2.6	%
Retail	2.3	%
Restaurants	2.2	%
Electric Utilities	2.0	%
Communications	1.9	%
Entertainment & Leisure	1.8	%
Building Materials & Construction	1.8	%
Real Estate	1.7	%
Broadcasting, Publishing & Printing	1.7	%
Metals & Mining	1.6	%
Healthcare	1.6	%
Forest Products & Paper	1.5	%
Telephone Utilities	1.2	%
Data Processing & Preparation	1.2	%
Home Construction, Furnishings & Appliances	1.1	%
Computers & Information	1.1	%
Heavy Machinery	1.0	%
Aerospace & Defense	0.9	%
Lodging	0.7	%
Machinery & Components	0.7	%
Beverages	0.6	%
Computer Related Services	0.6	%
Information Retrieval Services	0.5	%
Computer Programming Services	0.5	%
Internet Software	0.4	%
Manufacturing	0.2	%
Advertising	0.1	%
Industrial – Diversified	0.1	%
Short-Term Investments and Other Assets and Liabilities	0.6	%
	100.0	%

MassMutual Select Small Cap Core

Equity Fund

Largest Stock Holdings (6/30/06)

American Home Mortgage Investment
Corp. REIT

Ikon Office Solutions, Inc.

NACCO Industries, Inc. Cl. A

Fremont General Corp.

Group 1 Automotive, Inc.

Applera Corp. – Applied Biosystems Group

Swift Energy Co.

Alkermes, Inc.

Senior Housing Properties Trust

Scholastic Corp.

MassMutual Select Small Cap Core Equity Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Small Cap Core Equity Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class N, Class N (CDSC fees deducted) and the Russell 2000 Index.

MassMutual Select Small Cap Core Equity Fund
Total Return

	_{Since Inception}_{3/31/06 - 6/30/06}
Class S		–4.90	%
Class A		–5.00	%
Class A (sales load deducted)*		–10.46	%
Class Y		–4.80	%
Class L		–4.90	%
Class N		–5.10	%
Class N (CDSC fees deducted)*		–6.05	%
Russell 2000 Index		–4.71	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

* Class A (sales load deducted) returns include the 5.75% maximum sales charge and Class N (CDSC fees deducted) returns include the 1.00% maximum contingent deferred sales charge.

MassMutual Select Mid Cap Growth Equity Fund – Portfolio Manager Report

What is the investment objective of the MassMutual Select Mid Cap Growth Equity Fund? This Fund seeks long-term capital growth by investing, under normal conditions, at least 80% of its net assets in stocks of companies with market capitalizations, at the time of purchase, that fall within the range of companies in either the S&P MidCap 400^® Index or the Russell MidCap^® Growth Index (as of January 31, 2006, between $468 million and $23.8 billion).

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned 6.42%, moderately outperforming the 6.32% return of the
Russell 2500^TM Index, a widely recognized, unmanaged index representative of common stocks of mid-capitalized U.S. companies.

What factors contributed to the Fund's performance? During the first quarter, the three sectors that contributed the most to portfolio performance were materials, energy and technology. Only two sectors detracted from the Fund's performance relative to the Fund's benchmark, the Russell 2500 Index – consumer discretionary and health care. In terms of how the portfolio was structured at the end of the first quarter, the three sectors where the portfolio held the greatest overweight positions relative to the benchmark were technology, health care, and materials. Conversely, the three sectors where the portfolio was most underweight relative to the benchmark included consumer discretionary, finance, and consumer durables.

During the second quarter, the three sectors that aided the Fund's overall performance the most were the materials, consumer discretionary and durables sectors. Conversely, the transportation, health care and finance sectors hampered relative portfolio performance. Stock selection accounted for nearly 93% of the Fund's relative performance experienced during the quarter. Some of the best-performing stocks included Choice Hotels International and Tenaris S.A. – while stocks such as Broadcom Corp. and Oshkosh Truck Corp. did not perform as expected. As of June 30, 2006, the portfolio was composed, once again, to have the greatest overweight positions in the materials, technology, and health care sectors. Conversely, the Fund's three largest underweight positions were in the consumer discretionary, transportation, and consumer staples sectors.

What is your outlook? In the third quarter, we expect investors to increasingly return to the market as earnings pre-announcement season approaches. While it is widely anticipated that U.S. economic growth peaked in the first quarter, we expect the average stock in the S&P 500^®Index has potential to advance substantially. In addition, forward earnings estimates are still climbing, presenting some exciting opportunities for the portfolio.

MassMutual Select Mid Cap Growth Equity Fund – Portfolio Manager Report (Continued)

MassMutual Select Mid Cap Growth Equity Fund

Industry Table

(% of Net Assets) on 6/30/06

Metals & Mining	13.5	%
Electrical Equipment & Electronics	9.1	%
Commercial Services	7.9	%
Healthcare	7.3	%
Energy	6.3	%
Computers & Information	5.3	%
Financial Services	4.5	%
Medical Supplies	4.2	%
Telephone Utilities	3.8	%
Prepackaged Software	3.5	%
Computer Programming Services	2.5	%
Machinery & Components	2.3	%
Lodging	2.3	%
Banking, Savings & Loans	2.3	%
Heavy Machinery	2.2	%
Foods	2.2	%
Pharmaceuticals	2.2	%
Restaurants	2.1	%
Aerospace & Defense	1.8	%
Communications	1.7	%
Automotive & Parts	1.7	%
Real Estate	1.5	%
Building Materials & Construction	1.3	%
Industrial – Diversified	1.3	%
Beverages	1.3	%
Manufacturing	1.2	%
Containers	1.1	%
Retail	1.1	%
Insurance	1.0	%
Advertising	0.9	%
Short-Term Investments and Other Assets and Liabilities	0.6	%
	100.0	%

MassMutual Select Mid Cap

Growth Equity Fund

Largest Stock Holdings (6/30/06)

Tenaris SA ADR (Argentina)

Intuitive Surgical, Inc.

Allegheny Technologies, Inc.

Chicago Mercantile Exchange Holdings, Inc.

NII Holdings, Inc. Cl. B

MEMC Electronic Materials, Inc.

Joy Global, Inc.

Choice Hotels International, Inc.

Celgene Corp.

Darden Restaurants, Inc.

MassMutual Select Mid Cap Growth Equity Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Mid Cap Growth Equity Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L and the Russell 2500 Index.

MassMutual Select Mid Cap Growth Equity Fund
Total Return

	_{Year to Date}_{1/1/06 -}_6/30/06			_{One Year}_{7/1/05 -}_6/30/06			_{Five Year}_Average_Annual_{7/1/00 -}_6/30/06			_Since_Inception_Average_Annual_{5/3/99 -}_6/30/06
Class S		6.42	%		16.81	%		2.19	%		2.44	%
Class A		6.10	%		16.28	%		1.69	%		1.97	%
Class A (sales load deducted)*		0.00	%		9.59	%		0.50	%		1.13	%
Class Y		6.34	%		16.76	%		2.11	%		2.38	%
Class L		6.20	%		16.45	%		1.96	%		2.23	%
Russell 2500 Index		6.32	%		13.53	%		9.65	%		10.56	%

Hypothetical Investments in MassMutual Select Mid Cap Growth Equity Fund Class N, Class N (CDSC fees deducted) and the Russell 2500 Index.

MassMutual Select Mid Cap Growth Equity Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		5.97	%		15.88	%		17.46	%
Class N (CDSC fees deducted)*		4.97	%		14.88	%		17.46	%
Russell 2500 Index		6.32	%		13.53	%		21.70	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

MassMutual Select Mid Cap Growth Equity II Fund – Portfolio Manager Report

What is the investment objective of the MassMutual Select Mid Cap Growth Equity II Fund? This Fund seeks growth of capital over the long term by investing, under normal conditions, at least 80% of its net assets in a broadly diversified portfolio of common stocks of mid-cap companies whose earnings the Fund's sub-adviser expects to grow at a faster rate than the average company. Mid-cap companies are defined as those whose market capitalizations, at the time of purchase, fall within the range of companies in either the S&P MidCap 400^® Index or the Russell MidCap^® Growth Index (as of January 31, 2006, between $468 million and $23.8 billion).

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned 1.38%, lagging the 4.24% return of the S&P MidCap 400 Index, a widely recognized, unmanaged index representative of common stocks of mid-capitalized U.S. companies.

What was the investment background during the period? During the first six months of 2006, investors seemed to be taking notice of the risks to the market – moderation in economic growth, continued high commodity prices and global interest rate increases – all with a dramatic decline in risk premiums in recent years. As a result, the second quarter witnessed a change in investor psychology from risk-seeking to risk-averse. Traditional growth sectors like consumer discretionary, health care and information technology fared poorly in the second quarter and in the first half of the year.

Cyclical and commodity-oriented stocks led the market in the first quarter and the early part of the second quarter. The continuation of Federal Reserve (Fed) rate increases and the kindling of inflation fears then sent the U.S. equity market tumbling following the Federal Open Market Committee's May 10 meeting. However, the Fed's language from its June 29 meeting – suggesting a near end to its recent tightening campaign – led to a rally at the end of the quarter, with growth stocks participating.

What factors contributed to the Fund's performance? Stock selection in the information technology (IT) sector and in industrials and business services companies detracted the most from the Fund's performance relative to the S&P MidCap 400 Index for the six months ended June 30, 2006. Conversely, our stock choices in the consumer discretionary and energy sectors contributed positively to relative returns during the same period.

In the IT sector, weak stock selection in the electronic equipment and instruments industry, among computers and peripherals companies and in the Internet software and services industry, all weighed on relative performance. Further dampening the sector were investigations by the Securities and Exchange Commission (SEC) and the Department of Justice into the practices of technology companies in granting stock options to executives. The portfolio maintains an overweight position in the sector, driven by a heavier emphasis on IT services, as they have steadier business models than other industries in the sector.

Within the industrials and business services sectors, weak stock selection in the air freight industry and among machinery companies detracted from relative performance. The portfolio maintains a larger exposure to defense stocks, expecting a long-term upward trend in defense spending and a cyclical tilt toward companies with business models leveraged to an improving economy.

The consumer discretionary sector produced the largest boost to relative performance in the period on the strength of stock selection in household durables and media. We are maintaining an underweight position in the consumer discretionary sector, as the portfolio is tilted away from the consumer and toward business. Capital spending has been suppressed since the technology bubble burst, and companies have healthy balance sheets with the need to replace aging technology. Finally, the energy sector added to the Fund's relative performance and was home to one of the portfolio's largest first-half contributors, FMC Technologies, which provides mission-critical technology solutions for the energy, food processing and airline industries. We remain positive on energy, believing long-term demand far outweighs supply. Our sector weighting in the sector is similar to that of the benchmark.

What is your outlook? While the economy may moderate from its rapid pace in recent years, we expect growth to remain solid. Valuations are reasonable and the market's recent weakness provided us with opportunities to upgrade the portfolio. We will continue to make adjustments to the Fund to position the portfolio appropriately for opportunities that arise.

MassMutual Select Mid Cap Growth Equity II Fund – Portfolio Manager Report (Continued)

MassMutual Select Mid Cap Growth Equity II Fund

Industry Table

(% of Net Assets) on 6/30/06

Electrical Equipment & Electronics	10.4	%
Commercial Services	7.3	%
Pharmaceuticals	6.5	%
Energy	5.6	%
Financial Services	5.2	%
Retail	5.1	%
Healthcare	4.9	%
Prepackaged Software	4.5	%
Medical Supplies	4.3	%
Advertising	3.8	%
Communications	3.8	%
Machinery & Components	3.6	%
Computers & Information	2.5	%
Metals & Mining	2.2	%
Aerospace & Defense	2.2	%
Computer Integrated Systems Design	1.9	%
Lodging	1.9	%
Insurance	1.7	%
Transportation	1.7	%
Banking, Savings & Loans	1.7	%
Telephone Utilities	1.5	%
Computer Related Services	1.3	%
Home Construction, Furnishings & Appliances	1.2	%
Air Transportation	1.2	%
Information Retrieval Services	1.2	%
Computer Programming Services	1.1	%
Broadcasting, Publishing & Printing	1.0	%
Industrial – Diversified	0.9	%
Entertainment & Leisure	0.9	%
Restaurants	0.9	%
Manufacturing	0.9	%
Chemicals	0.8	%
Automotive & Parts	0.8	%
Heavy Machinery	0.7	%
Apparel, Textiles & Shoes	0.7	%
Foods	0.4	%
Electric Utilities	0.3	%
Data Processing & Preparation	0.3	%
Industrial – Distribution	0.2	%
Beverages	0.2	%
Retail – Grocery	0.2	%
Building Materials & Construction	0.2	%
Cosmetics & Personal Care	0.1	%
Agribusiness	0.1	%
Containers	0.1	%
Education	0.0	%
Short-Term Investments and Other Assets and Liabilities	2.0	%
	100.0	%

MassMutual Select Mid Cap

Growth Equity II Fund

Largest Stock Holdings (6/30/06)

BJ Services Co.

Crown Castle International Corp.

Smith International, Inc.

Rockwell Collins, Inc.

Roper Industries, Inc.

XTO Energy, Inc.

Lamar Advertising Co.

Murphy Oil Corp.

American Tower Corp. Cl. A

Ametek, Inc.

MassMutual Select Mid Cap Growth Equity II Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Mid Cap Growth Equity II Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L and the S&P MidCap 400 Index.

MassMutual Select Mid Cap Growth Equity II Fund
Total Return

	_{Year to Date}_{1/1/06 -}_6/30/06			_{One Year}_{7/1/05 -}_6/30/06			_{Five Year}_Average_Annual_{7/1/01 -}_6/30/06			_Since_Inception_Average_Annual_{6/1/00 -}_6/30/06
Class S		1.38	%		13.62	%		8.01	%		7.35	%
Class A		1.13	%		13.13	%		7.49	%		6.82	%
Class A (sales load deducted)*		–4.68	%		6.62	%		6.22	%		5.79	%
Class Y		1.31	%		13.52	%		7.93	%		7.26	%
Class L		1.26	%		13.41	%		7.76	%		7.09	%
S&P MidCap 400 Index		4.24	%		12.97	%		9.29	%		9.35	%

Hypothetical Investments in MassMutual Select Mid Cap Growth Equity II Fund Class N, Class N (CDSC fees deducted) and the S&P MidCap 400 Index.

MassMutual Select Mid Cap Growth Equity II Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		1.00	%		12.80	%		18.87	%
Class N (CDSC fees deducted)*		0.00	%		11.80	%		18.87	%
S&P MidCap 400 Index		4.24	%		12.97	%		19.45	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

Investors should note that the Fund is a professionally managed mutual fund, while the S&P MidCap 400 Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the fund distributions or the redemption of the fund shares.

MassMutual Select Small Cap Growth Equity Fund – Portfolio Manager Report

What is the investment objective of the Select Small Cap Growth Equity Fund? This Fund seeks long-term capital appreciation by investing primarily in common stocks and equity securities of smaller companies that the Fund's managers believe offer potential for long-term growth.

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned 4.31%, trailing the 8.21% return of the Russell 2000^® Index, a widely recognized, unmanaged index representative of common stocks of smaller capitalized U.S. companies.

What was the investment background during the period? U.S. equity markets generally moved higher in the first quarter, supported by strength in corporate earnings, a solidifying global economy, and benign inflation. Small-caps outperformed their larger-cap peers for the quarter – and all sectors within the Russell 2000 Index had positive returns. Materials and telecommunication services were the largest gaining sectors, while utilities, consumer discretionary, and financials stocks trailed the index return.

Turning to the second quarter, domestic equity markets moved lower, driven by inflationary fears, higher interest rates, and concerns about a slowing economy. Small-cap stocks underperformed both mid- and large-caps. From a sector perspective, performance within the Russell 2000 Index was tilted in favor of defensively oriented sectors. The energy, utilities, and consumer staples sectors performed best, whereas the information technology, health care, and consumer discretionary sectors lagged the index.

What factors contributed to the Fund's performance? The vast majority of the Fund's underperformance in the first quarter was driven by poor stock selection in the industrials sector. While heavy machinery and general industrial stocks in the index were reaching new highs, our portfolio suffered from across-the-board underperformance in transportation-related stocks. The portfolio's progress was also hampered by unfavorable stock selection in the information technology, telecommunication services, and utilities sectors.

On the upside, although it is normally a minor contributor to our performance, the financials sector excelled in the first quarter, due to our underexposure (relative to the benchmark Russell 2000 Index) to banks and thrifts and our overexposure to investment managers and stock exchanges. Additionally, the portfolio was helped by strong stock selection in the health care and consumer discretionary sectors.

Turning to the second quarter, stock selection in the information technology sector hurt relative performance during the period. On a stock-specific basis, Foundry Networks, Goodman Global, and Cognos all detracted from relative returns.

Conversely, strong stock selection in the consumer discretionary sector contributed to the Fund's second quarter performance, led by specialty retailers DSW, Citi Trends, and Too, fashion brand management company Iconix, and gaming company Pinnacle Entertainment. Favorable stock selection in both industrials and health care also contributed to performance for the period. Additionally, our investment picks in the health care sector fueled the Fund's progress, as health care service providers Genesis Healthcare, Manor Care, and Magellan Health all performed well. Within the energy sector, service provider Tetra Technologies and exploration and production stock OPTI Canada outperformed.

MassMutual Select Small Cap Growth Equity Fund – Portfolio Manager Report (Continued)

What is your outlook? The annual rebalance of the Russell 2000 Index resulted in a 50% contraction in the market capitalization range. While focused first and foremost on investment merit and philosophy, we are working to adjust the portfolio's market capitalization to within historical ranges relative to the index. It is impossible to predict with any certainty whether or not the volatility that the equity markets have experienced in the first six months of 2006 is nearing an end. Numerous forces will continue to influence the direction that the market takes moving forward – such as oil prices, inflation, geopolitical unrest and Federal Reserve policy. We believe, however, that we have positioned the Fund to be ready to handle the wide array of market conditions that investors may face throughout the remainder of the year.

MassMutual Select Small Cap Growth Equity Fund

Industry Table

(% of Net Assets) on 6/30/06

Commercial Services	10.1	%
Prepackaged Software	8.8	%
Healthcare	6.3	%
Energy	6.0	%
Electrical Equipment & Electronics	5.1	%
Financial Services	4.2	%
Transportation	3.8	%
Medical Supplies	3.7	%
Automotive & Parts	3.1	%
Pharmaceuticals	2.9	%
Computer Related Services	2.8	%
Entertainment & Leisure	2.7	%
Retail	2.4	%
Computers & Information	2.3	%
Banking, Savings & Loans	2.2	%
Data Processing & Preparation	2.0	%
Insurance	2.0	%
Foods	1.8	%
Advertising	1.7	%
Chemicals	1.3	%
Apparel, Textiles & Shoes	1.2	%
Communications	1.2	%
Telephone Utilities	1.2	%
Information Retrieval Services	1.1	%
Machinery & Components	1.1	%
Lodging	1.0	%
Computer Integrated Systems Design	1.0	%
Air Transportation	0.9	%
Broadcasting, Publishing & Printing	0.9	%
Heavy Machinery	0.9	%
Building Materials & Construction	0.6	%
Industrial – Diversified	0.5	%
Metals & Mining	0.5	%
Internet Software	0.5	%
Restaurants	0.5	%
Electric Utilities	0.5	%
Computer & Other Data Processing Service	0.4	%
Aerospace & Defense	0.4	%
Home Construction, Furnishings & Appliances	0.3	%
Computer Maintenance & Repair	0.3	%
Cosmetics & Personal Care	0.3	%
Oil & Gas	0.3	%
Household Products	0.2	%
Short-Term Investments and Other Assets and Liabilities	9.0	%
	100.0	%

MassMutual Select Small Cap Growth

Equity Fund

Largest Stock Holdings (6/30/06)

ITT Educational Services, Inc.

Checkfree Corp.

iShares Russell 2000 Growth Index Fund

FactSet Research Systems, Inc.

Blackbaud, Inc.

Kansas City Southern

Healthways, Inc.

The Corporate Executive Board Co.

Scientific Games Corp. Cl. A

J.B. Hunt Transport Services, Inc.

MassMutual Select Small Cap Growth Equity Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Small Cap Growth Equity Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L and the Russell 2000 Index.

MassMutual Select Small Cap Growth Equity Fund
Total Return

	_{Year to Date}_{1/1/06 -}_6/30/06			_{One Year}_{7/1/05 -}_6/30/06			_{Five Year}_Average_Annual_{7/1/01 -}_6/30/06			_Since_Inception_Average_Annual_{5/3/99 -}_6/30/06
Class S		4.31	%		15.07	%		5.61	%		8.19	%
Class A		4.13	%		14.48	%		5.04	%		7.63	%
Class A (sales load deducted)*		–1.85	%		7.89	%		3.81	%		6.74	%
Class Y		4.28	%		14.98	%		5.47	%		8.05	%
Class L		4.20	%		14.76	%		5.31	%		7.89	%
Russell 2000 Index		8.21	%		14.57	%		8.50	%		8.83	%

Hypothetical Investments in MassMutual Select Small Cap Growth Equity Fund Class N, Class N (CDSC fees deducted) and the Russell 2000 Index.

MassMutual Select Small Cap Growth Equity Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		3.87	%		14.08	%		19.36	%
Class N (CDSC fees deducted)*		2.87	%		13.08	%		19.36	%
Russell 2000 Index		8.21	%		14.57	%		21.49	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

MassMutual Select Small Company Growth Fund – Portfolio Manager Report

What is the investment objective of the MassMutual Select Small Company Growth Fund? The Fund seeks long-term capital appreciation by investing primarily in common stocks and equity securities of smaller companies the Fund's sub-advisers believe offer potential for long-term growth.

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned 4.14%, trailing the 8.21% return of the Russell 2000^® Index, a widely recognized, unmanaged index representative of common stocks of smaller capitalized U.S. companies.

What was the investment background during the period? In the first quarter and for the fourth quarter in a row, the U.S. stock market posted positive investment results across all major market capitalization and style segments. Large-cap stocks lagged as they have since 2001, but finally managed to recover to the levels last seen over five years ago. While mid-cap growth and value stocks performed in line with each other, small-cap growth stocks outperformed their value counterparts during the quarter. Meanwhile, the U.S. economy began its fifth year of expansion, as corporate profits proved more than adequate to shoulder the burden of higher oil prices following last year's devastating hurricane season. The Federal Reserve continued its fight against the threat of inflation by twice raising the federal funds target rate by 0.25%, bringing the to tal to 15 increases since June 2004 at the end of the first quarter.

Following four straight quarters of positive returns, domestic equities corrected in the second quarter, with small-cap and growth stocks declining most. Concerns about energy and commodity prices, questions about the widespread practice of options backdating, and the 16th and 17th consecutive increases in the federal funds rate won out over strong fundamental performance and a strong economy. The persistent value bias in the stock market re-emerged in the second quarter after three quarters of outperformance by growth stocks, which remained at historically attractive valuations relative to their value counterparts. Value stocks outperformed their growth counterparts across all market capitalization segments in the second quarter, as commodity prices reached new highs and triggered a growth stock sell-off. The U.S. economy, meanwhile, continued to show strength after posting stronger-than-expected Gross Domestic Product (GDP) growth of 5.6% for the first quarter and low unemployment, which was at a level of 4.6% at quarter-end.

What factors contributed to the Fund's performance? During the first quarter, every major sector finished with positive returns in both the portfolio and the Russell 2000 Index (the Fund's benchmark). Our top-performing sectors were producer durables and materials/processing. Our best picks in producer durables were OYO Geospace, a seismic acquisition company, and wire and cable provider, General Cable. The Fund's strength in the materials/processing sector was driven by aluminum recycler Aleris International and cotton-seed producer Delta & Pine Land. The portfolio also benefited from takeovers of Datastream and Duratek. Conversely, our worst-performing sectors relative to the benchmark were technology and energy, though we had solid absolute returns in both. In technology, we held an underweight position in semiconductors, and our holdings there didn't keep pace with the performance of the sector. We decreased our exposure to the health care sector during the quarter, and held a slightly overweight position in producer durables and technology. We ended the quarter with a slight underweight position in the autos/transportation and financial services sectors.

During the second quarter, our top-performing sectors were industrials and energy. We also had strong relative returns in information technology. The Fund benefited from strong stock selection in the industrials sector, including electrical equipment manufacturer stock General Cable and commercial services stock Corrections Corp. of America. The Fund found strength in the energy sector, driven by energy equipment/services stocks Tetra Technologies and Core Laboratories. In the technology sector, our software and Internet services picks were flat for the period. Our worst-performing sector in the second quarter was health care, where we trailed in health care equipment and biotechnology. We decreased our exposure to the health care sector slightly and held a nearly below-market weight in the

MassMutual Select Small Company Growth Fund – Portfolio Manager Report (Continued)

sector relative to the benchmark. We ended the quarter with slightly overweight stakes in energy and technology – and moderately underweight positions in the industrials and financials sectors.

What is your outlook? Moderate economic growth is expected for the remainder of the year and throughout 2007, and we believe growth in business spending will continue to drive U.S. GDP growth over the next six to eight quarters.

MassMutual Select Small Company Growth Fund

Industry Table

(% of Net Assets) on 6/30/06

Electrical Equipment & Electronics	16.1	%
Pharmaceuticals	8.8	%
Medical Supplies	6.8	%
Commercial Services	6.8	%
Retail	5.9	%
Energy	5.5	%
Communications	4.4	%
Computer Integrated Systems Design	4.3	%
Metals & Mining	3.6	%
Prepackaged Software	3.3	%
Apparel, Textiles & Shoes	3.0	%
Insurance	2.7	%
Financial Services	2.6	%
Healthcare	2.6	%
Banking, Savings & Loans	2.2	%
Advertising	2.0	%
Computers & Information	2.0	%
Heavy Machinery	1.8	%
Restaurants	1.6	%
Machinery & Components	1.6	%
Data Processing & Preparation	1.5	%
Agribusiness	1.2	%
Entertainment & Leisure	1.1	%
Computer Related Services	1.1	%
Home Construction, Furnishings & Appliances	0.9	%
Information Retrieval Services	0.8	%
Broadcasting, Publishing & Printing	0.8	%
Consumer Products	0.7	%
Lodging	0.6	%
Chemicals	0.6	%
Computer & Data Processing Services	0.5	%
Telephone Utilities	0.4	%
Internet Software	0.2	%
Building Materials & Construction	0.1	%
Computer Programming Services	0.0	%
Short-Term Investments and Other Assets and Liabilities	1.9	%
	100.0	%

MassMutual Select Small Company

Growth Fund

Largest Stock Holdings (6/30/06)

Polycom, Inc.

Aleris International, Inc.

Altera Corp.

Cephalon, Inc.

Centene Corp.

Unit Corp.

Lattice Semiconductor Corp.

Cash America International, Inc.

Ansys, Inc.

Delta & Pine Land Co.

MassMutual Select Small Company Growth Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Small Company Growth Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L and the Russell 2000 Index.

MassMutual Select Small Company Growth Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/01 - 6/30/06}
Class S		4.14	%		11.41	%		4.03	%
Class A		3.92	%		10.85	%		3.54	%
Class A (sales load deducted)*		–2.05	%		4.48	%		2.18	%
Class Y		4.15	%		11.32	%		3.97	%
Class L		4.08	%		11.17	%		3.83	%
Russell 2000 Index		8.21	%		14.57	%		10.25	%

Hypothetical Investments in MassMutual Select Small Company Growth Fund Class N, Class N (CDSC fees deducted) and the Russell 2000 Index.

MassMutual Select Small Company Growth Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		3.77	%		10.44	%		15.76	%
Class N (CDSC fees deducted)*		2.77	%		9.44	%		15.76	%
Russell 2000 Index		8.21	%		14.57	%		21.49	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

MassMutual Select Emerging Growth Fund – Portfolio Manager Report

What is the investment objective of the Select Emerging Growth Fund? This Fund seeks capital appreciation by investing primarily in smaller, rapidly growing emerging companies – generally in industry segments experiencing rapid growth, and often including technology and technology-related stocks. The Fund will normally invest at least 80% of its net assets in equity securities (primarily common stocks) of these emerging growth companies in both the U.S. and abroad.

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned 3.45%, trailing the 8.21% return of the Russell 2000^® Index, a widely recognized, unmanaged index representative of common stocks of smaller capitalized U.S. companies.

What was the investment backdrop during the period? For the six months ended June 30, 2006, equities outperformed bonds, against a backdrop of rising inflation, a slowing economy and indications of a slowdown in the real estate market. In the first quarter of 2006, most U.S. stock indexes posted strong gains, as solid growth in corporate profits and signs of an uptick in overall economic activity helped to boost share prices.

What factors contributed to the Fund's performance? During the first quarter, the Fund benefited from favorable stock selection in the energy sector, with Dril-Quip (which provides offshore drilling and production equipment to the oil and gas industry) bringing in strong returns. Hydril and TETRA Technologies, two other energy companies, also provided solid results. We remained nearly market weighted in energy on our belief that elevated commodity prices would continue. Our focus has been on the drilling equipment and services industries.

Our underweight position in metals and mining firms hampered the Fund in the first quarter. These cyclical businesses, which enjoyed superior performance throughout 2005, were selling at very high valuation levels relative to long-term averages. Despite their recent strong performance, we remained underweighted in these cyclical stocks, many of which reside in the materials and processing and producer durables sectors, due to our view that construction slowdowns would ultimately result in declining sales. We have avoided cyclical groups related to real estate for similar reasons.

The portfolio held an overweight position in the technology sector during the first quarter. One of our largest technology contributors during this period was NetLogic Microsystems, which makes processors to control networking speeds.

Turning to the second quarter, our best-performing stocks included Lifecell, which manufactures artificial skin for complex hernia repair and breast reconstruction, and J2 Global, which provides Internet fax services to individuals and small offices. In financial services, one of our better performers was optionsXpress, which provides a discount brokerage business for the market niche of options trading.

Conversely, a number of our worst performers in the second quarter were in the technology sector. For example, Atheros, which makes the semiconductors that enable "wi-fi" networks, performed poorly, though it has a technology lead over its two competitors, Marvel and Broadcom, in what we believe will be a huge market.

As of June 30, we remained significantly underweight in transportation, materials, and producer durables, believing that these areas of the market are vulnerable to increasingly difficult growth

MassMutual Select Emerging Growth Fund – Portfolio Manager Report (Continued)

hurdles. We held overweight positions in technology and health care, due to our belief that these sectors offer more long-term emerging growth opportunities.

What is your outlook? We believe that as the world economy cools due to high energy prices, foreign low-cost competition and higher interest rates, our holdings – which are skewed toward traditional growth industries such as networking, semiconductors, Internet services, low-cost health care services, and medical devices – may provide solid earnings growth.

MassMutual Select Emerging Growth Fund

Industry Table

(% of Net Assets) on 6/30/06

Commercial Services	15.5	%
Electrical Equipment & Electronics	10.6	%
Medical Supplies	10.2	%
Financial Services	6.3	%
Healthcare	4.4	%
Prepackaged Software	4.3	%
Apparel, Textiles & Shoes	3.6	%
Computers & Information	3.6	%
Energy	3.5	%
Telephone Utilities	3.1	%
Retail	2.8	%
Heavy Machinery	2.8	%
Transportation	2.3	%
Advertising	2.1	%
Data Processing & Preparation	1.5	%
Pharmaceuticals	1.5	%
Insurance	1.5	%
Home Construction, Furnishings & Appliances	1.4	%
Banking, Savings & Loans	1.3	%
Communications	1.2	%
Information Retrieval Services	1.2	%
Restaurants	1.0	%
Internet Software	0.9	%
Machinery & Components	0.8	%
Computer Related Services	0.8	%
Computer Integrated Systems Design	0.7	%
Metals & Mining	0.7	%
Foods	0.7	%
Entertainment & Leisure	0.6	%
Telecommunications	0.6	%
Aerospace & Defense	0.6	%
Lodging	0.5	%
Beverages	0.5	%
Consumer Services	0.4	%
Industrial – Distribution	0.3	%
Computer & Other Data Processing Service	0.2	%
Chemicals	0.0	%
Short-Term Investments and Other Assets and Liabilities	6.0	%
	100.0	%

MassMutual Select Emerging Growth Fund

Largest Stock Holdings (6/30/06)

Lifecell Corp.

j2 Global Communications, Inc.

Portfolio Recovery Associates, Inc.

Dril-Quip, Inc.

Hornbeck Offshore Services, Inc.

M-Systems Flash Disk Pioneers Ltd.

Huron Consulting Group, Inc.

Kyphon, Inc.

FTI Consulting, Inc.

Atheros Communications, Inc.

MassMutual Select Emerging Growth Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Emerging Growth Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L and the Russell 2000 Index.

MassMutual Select Emerging Growth Fund
Total Return

	_{Year to Date}_{1/1/06 -}_6/30/06			_{One Year}_{7/1/05 -}_6/30/06			_{Five Year}_Average_Annual_{7/1/01 -}_6/30/06			_Since_Inception_Average_Annual_{5/1/00 -}_6/30/06
Class S		3.45	%		10.14	%		–1.49	%		–7.22	%
Class A		3.22	%		9.53	%		–2.07	%		–7.73	%
Class A (sales load deducted)*		–2.71	%		3.23	%		–3.22	%		–8.61	%
Class Y		3.48	%		10.04	%		–1.64	%		–7.34	%
Class L		3.34	%		9.95	%		–1.78	%		–7.48	%
Russell 2000 Index		8.21	%		14.57	%		8.50	%		7.34	%

Hypothetical Investments in MassMutual Select Emerging Growth Fund Class N, Class N (CDSC fees deducted) and the Russell 2000 Index.

MassMutual Select Emerging Growth Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		2.92	%		9.29	%		16.66	%
Class N (CDSC fees deducted)*		1.92	%		8.29	%		16.66	%
Russell 2000 Index		8.21	%		14.57	%		21.49	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

MassMutual Select Overseas Fund – Portfolio Manager Report

What is the investment objective of the MassMutual Select Overseas Fund? The Fund seeks growth of capital over the long term by investing in both foreign and domestic equity securities. The Fund invests at least 80% of its net assets in stocks of foreign companies – including those in Europe, Latin America and Asia.

How did the Fund perform during the six months ended June 30, 2006? The Fund's Class S shares returned 11.03%, ahead of the 10.16% return of the Morgan Stanley Capital International Europe, Australasia, Far East (MSCI^® EAFE^®) Index, a widely recognized, unmanaged index representative of foreign securities in the major non-U.S. markets of Europe, Australia and the Far East.

The second quarter saw a turnaround in the fortunes of the equity markets, as investor uncertainty (caused in part by global unrest and rising oil prices) led many of the markets lower. In fact, the Dow Jones Industrial Average^SM was the only broad domestic equity benchmark to post a return in positive territory, advancing 0.37%. Even the first quarter's clear winner, foreign stocks, only managed to eke out a 0.70% gain, as measured by the MSCI EAFE Index – aided in part by a weaker U.S. dollar.

What factors contributed to the Fund's performance? The Fund's stock selection was once again strong in the first quarter of 2006. From a regional perspective, the greatest contributors to relative performance were the Fund's positions in Germany and the Netherlands, coupled with an overweight allocation in South Korea. The greatest detractor from performance was the Fund's overweight allocation in Taiwan, relative to the Fund's benchmark, the MSCI EAFE Index. From a sector standpoint, stock selection in the utilities, communications, industrial goods and services, energy, and transportation sectors all fueled the Fund's first quarter progress. Conversely, hampering the Fund's performance were stock choices in the autos, housing, technology, and consumer staples sectors. The Fund's modest cash position also detracted, due to the strong appreciati on of the MSCI EAFE Index during the period.

Turning to the second quarter, regionally speaking, the portfolio's underweight position in Japan was the largest contributor to performance. Other contributions came from positions in the UK and the relative overweight allocations in Taiwan and South Korea. The greatest detractors from relative performance were the portfolio's positions in Germany. On a sector basis, stock selection in the health care, technology, consumer staples, and leisure sectors all fueled the Fund's returns – as did overweight positions in the health care and consumer staples sectors. Conversely, stock selection in the basic materials, utilities and communications sectors hampered the Fund during the second quarter. Underweight positions in the utilities and communications sectors also dragged down the Fund somewhat, as did its modest cash position.

What is your outlook? We remain stock pickers, despite the focus of many investors and commentators on short-term moves in currencies, commodity prices and economic data. We seek to add value through long-term, fundamental research into individual companies, rather than attempting to make broad sector or regional calls. We continue to see a pick-up in corporate activity, including mergers and acquisitions, higher capital spending and share buybacks, which should offer compelling opportunities for investors focused on cash flows. Overall, despite weakened share prices, foreign companies continue to generate profit and cash flow growth, and we believe investment opportunities for long-term value investors have improved. We welcome market instability and weakness because those factors make quality companies selling at low prices more identifiable.

MassMutual Select Overseas Fund – Portfolio Manager Report (Continued)

MassMutual Select Overseas Fund

Country Weightings

(% of Net Assets) on 6/30/06

Banking, Savings & Loans	13.0	%
Pharmaceuticals	9.0	%
Automotive & Parts	6.6	%
Foods	6.5	%
Broadcasting, Publishing & Printing	6.3	%
Electrical Equipment & Electronics	5.6	%
Chemicals	5.2	%
Beverages	4.5	%
Insurance	4.4	%
Communications	3.9	%
Retail	3.7	%
Cosmetics & Personal Care	2.8	%
Financial Services	2.8	%
Energy	2.7	%
Commercial Services	1.9	%
Telecommunications	1.8	%
Advertising	1.6	%
Entertainment & Leisure	1.6	%
Electric Utilities	1.4	%
Household Products	1.4	%
Telephone Utilities	1.1	%
Miscellaneous	1.0	%
Industrial Services	0.9	%
Computers & Information	0.9	%
Electronics	0.8	%
Apparel, Textiles & Shoes	0.8	%
Medical Supplies	0.7	%
Toys, Games	0.7	%
Tobacco	0.5	%
Computer Related Services	0.5	%
Transportation	0.4	%
Building Materials & Construction	0.4	%
Oil & Gas	0.3	%
Industrial – Diversified	0.3	%
Metals & Mining	0.2	%
Real Estate	0.0	%
Short-Term Investments and Other Assets and Liabilities	3.8	%
	100.0	%

MassMutual Select Overseas Fund

Largest Stock Holdings (6/30/06)

Nestle SA

GlaxoSmithKline PLC

Diageo PLC

British Sky Broadcasting Group PLC

NTT DoCoMo, Inc.

DaimlerChrysler AG Registered

Reckitt Benckiser PLC

Bayerische Motoren Werke AG

Schneider Electric SA

Vodafone Group PLC

MassMutual Select Overseas Fund – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Overseas Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L and the MSCI EAFE Index.

MassMutual Select Overseas Fund
Total Return

	_{Year to Date}_{1/1/06 -}_6/30/06			_{One Year}_{7/1/05 -}_6/30/06			_{Five Year}_Average_Annual_{7/1/01 -}_6/30/06			_Since_Inception_Average_Annual_{5/1/01 -}_6/30/06
Class S		11.03	%		24.51	%		8.63	%		6.98	%
Class A		10.78	%		23.94	%		8.15	%		6.51	%
Class A (sales load deducted)*		4.41	%		16.81	%		6.88	%		5.29	%
Class Y		10.96	%		24.39	%		8.56	%		6.91	%
Class L		10.90	%		24.16	%		8.40	%		6.76	%
MSCI EAFE Index		10.16	%		26.55	%		10.02	%		8.04	%

Hypothetical Investments in MassMutual Select Overseas Fund Class N, Class N (CDSC fees deducted) and the MSCI EAFE Index.

MassMutual Select Overseas Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{Average Annual}_{12/31/02 - 6/30/06}
Class N		10.59	%		23.51	%		19.85	%
Class N (CDSC fees deducted)*		9.59	%		22.51	%		19.85	%
MSCI EAFE Index		10.16	%		26.55	%		23.62	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION

Investors should note that the Fund is a professionally managed mutual fund, while the MSCI EAFE Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the fund distributions or the redemption of the fund shares.

MassMutual Select Destination Retirement Series – Portfolio Manager Report

What are the investment objectives of the Funds that comprise the MassMutual Select Destination Retirement Series? • Destination Retirement Income Fund: This Fund seeks to achieve high current income and, as a secondary objective, capital appreciation, by investing in a combination of MassMutual equity, fixed-income and money market funds using an asset allocation strategy designed for investors already in retirement.

• Destination Retirement 2010 / 2020 / 2030 / 2040 Funds: Each of these Funds seeks to achieve as high a total rate of return on an annual basis as is considered consistent with prudent investment risk and the preservation of capital by investing in a combination of MassMutual equity, fixed-income and money market funds. Each Fund uses an asset allocation strategy designed for investors expecting to retire around the year 2010, 2020, 2030, or 2040, respectively.

How did the Fund perform during the six months ended June 30, 2006? For the six months ended June 30, 2006, each Fund's return is shown below. Also shown are the returns of each Fund's custom benchmark; the Lipper Balanced Fund Index, an unmanaged equally weighted index of the 30 largest mutual funds within the Lipper Balanced Category; the Lehman Brothers^® Aggregate Bond Index, an unmanaged index of fixed-rate investment-grade securities with at least one year to maturity combining the Lehman Brothers Government/Credit Index and the Lehman Brothers Mortgage-Backed Securities Index; and the S&P 500^® Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.

Destination Retirement Income Fund			Custom Benchmark			Lipper Balanced Fund Index			Lehman Brothers Aggregate Bond Index			S&P 500 Index
	0.20	%		1.03	%		2.25	%		–0.72	%		2.70	%
Destination Retirement 2010 Fund
	0.75	%		1.37	%		2.25	%		–0.72	%		2.70	%
Destination Retirement 2020 Fund
	0.64	%		0.91	%		2.25	%		–0.72	%		2.70	%
Destination Retirement 2030 Fund
	1.39	%		0.24	%		2.25	%		–0.72	%		2.70	%
Destination Retirement 2040 Fund
	1.95	%		–0.16	%		2.25	%		–0.72	%		2.70	%

The Destination Retirement Income, 2010 and 2020 Funds underperformed their respective custom benchmarks, the Lipper Balanced Fund Index and the S&P 500 Index for the six-month period. The Destination Retirement 2030 and 2040 Funds both outperformed their respective custom benchmarks for the six months ended June 30, 2006 – though they trailed the Lipper Balanced Fund Index and the S&P 500 Index for the period. All of the Destination Retirement Funds outperformed the Lehman Brothers Aggregate Bond Index for the year-to-date timeframe.

Destination Retirement Custom Benchmarks

• The Custom Destination Income Index comprises the MSCI^® EAFE^®, Dow Jones Wilshire 5000 (full cap), Lehman Brothers Aggregate Bond and T-Bill Indexes. The weightings of each Index can vary, depending on the weightings of the underlying mutual funds that comprise the Destination Retirement Income Fund.

• The Custom Destination 2010 Index comprises the MSCI EAFE, Dow Jones Wilshire 5000 (full cap), Lehman Brothers Aggregate Bond and T-Bill Indexes. The weightings of each Index can vary, depending on the weightings of the underlying mutual funds that comprise the Destination Retirement 2010 Fund.

MassMutual Select Destination Retirement Series – Portfolio Manager Report (Continued)

• The Custom Destination 2020 Index comprises the MSCI EAFE, Dow Jones Wilshire 5000 (full cap) and Lehman Brothers Aggregate Bond Indexes. The weightings of each Index can vary, depending on the weightings of the underlying mutual funds that comprise the Destination Retirement 2020 Fund.

• The Custom Destination 2030 Index comprises the MSCI EAFE, Dow Jones Wilshire 5000 (full cap) and Lehman Brothers Aggregate Bond Indexes. The weightings of each Index can vary, depending on the weightings of the underlying mutual funds that comprise the Destination Retirement 2030 Fund.

• The Custom Destination 2040 Index comprises the MSCI EAFE and Dow Jones Wilshire 5000 (full cap) Indexes. The weightings of each Index can vary, depending on the weightings of the underlying mutual funds that comprise the Destination Retirement 2040 Fund.

What was the investment backdrop during the period? The first quarter saw strong market gains. Smaller-capitalization stocks jumped sharply and beat their large-cap competitors once again, real estate investment trusts (REITs) posted more strong gains, and the telecommunications sector surged on the AT&T/BellSouth merger news. During the period, the Lehman Brothers Aggregate Bond Index lost 0.64%, while the Lehman Brothers High Yield Index gained 2.89% and the Lehman Brothers U.S. Treasury Inflation Notes Index returned –2.24%. On the equity side, the S&P 500 Index gained 4.20% and the MSCI EAFE Index, a proxy for foreign stocks, advanced 9.40%. The Russell 2000^® Index, a proxy for small-cap stocks, returned 13.94%, and the Wilshire REIT Index gained 15.79%.

The second quarter saw a reversal of much of the strong market gains of the first quarter, due in large part to investor concerns over rising short-term interest rates and economic growth. Smaller-capitalization stocks fell sharply, while large-cap stocks generally had more muted losses. The Russell 2000 Index had a –5.03% return, while the S&P 500 Index, which is more heavily weighted towards large-cap stocks, posted a –1.44% return. Following over five years of strong returns, REITs posted only modest losses, as the Wilshire REIT Index returned –1.20%. The Lehman Brothers Aggregate Bond Index was slightly negative, with its –0.08% return, while the Lehman Brothers High Yield Index held up well, with a gain of 0.26%. The Lehman Brothers U.S. Treasury Inflation Notes Index returned 0.50%. The MSCI EAFE Index gained 0.70%, due to foreign currency strength.

What factors contributed to the Funds' performance? The performance of each Select Destination Retirement Fund is affected by the results of its underlying funds. In the first quarter, although Premier Inflation-Protected Bond Fund posted returns ahead of its benchmark, our allocation to this area was a drag on performance. Select Aggressive Growth Fund gave back some of last year's gains, posting a –1.65% return. On the plus side, Select Small Company Value and Select Overseas Funds posted gains of 13.00% and 9.58%, respectively.

Turning to the second quarter, key contributors to performance included Select Overseas Fund, which advanced 1.32%, and Premier Inflation-Protected Bond Fund, which gained 0.40%. Select Fundamental Value Fund also added strength, with its 1.10% advance. Hampering Select Destination Retirement Funds' performance in the second quarter were its small-cap and more aggressive options, such as Select Aggressive Growth and Premier Small Company Opportunities Funds, with their respective returns of –7.80% and –6.55%.

What is your outlook? We will continue to manage the Destination Retirement Fund Series with the goal of providing a vehicle for investors to confidently navigate the markets through any weather.

MassMutual Select Destination Retirement Series – Portfolio Manager Report (Continued)

MassMutual Select Destination

Retirement Income Fund

Asset Allocation

(% of Net Assets) on 6/30/06

Mutual Fund	100.0	%
Short-Term Investments and Other Assets and Liabilities	(0.0	)%
	100.0	%

MassMutual Select Destination

Retirement 2010 Fund

Asset Allocation

(% of Net Assets) on 6/30/06

Mutual Fund	100.0	%
Short-Term Investments and Other Assets and Liabilities	(0.0	)%
	100.0	%

MassMutual Select Destination

Retirement 2020 Fund

Asset Allocation

(% of Net Assets) on 6/30/06

Mutual Fund	100.0	%
Short-Term Investments and Other Assets and Liabilities	(0.0	)%
	100.0	%

MassMutual Select Destination

Retirement 2030 Fund

Asset Allocation

(% of Net Assets) on 6/30/06

Mutual Fund	100.0	%
Short-Term Investments and Other Assets and Liabilities	(0.0	)%
	100.0	%

MassMutual Select Destination

Retirement 2040 Fund

Asset Allocation

(% of Net Assets) on 6/30/06

Mutual Fund	100.0	%
Short-Term Investments and Other Assets and Liabilities	(0.0	)%
	100.0	%

MassMutual Select Destination Retirement Series – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Destination Retirement Income Fund Class S, Class A, Class A (sales load deducted), Class Y, the Custom Destination Income Index, the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500 Index.

MassMutual Select Destination Retirement Income Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{12/31/03 - 6/30/06}
Class S		0.20	%		2.01	%		4.05	%
Class A		0.10	%		1.67	%		3.69	%
Class A (sales load deducted)**		–5.66	%		–4.17	%		1.27	%
Class Y		0.29	%		2.08	%		4.07	%
S&P 500 Index		2.70	%		8.62	%		7.46	%
Lipper Balanced Fund Index		2.25	%		7.03	%		6.57	%
Lehman Brothers Aggregate Bond Index		–0.72	%		–0.81	%		2.43	%
Custom Destination Income Index		1.03	%		3.51	%		4.91	%

Hypothetical Investments in MassMutual Select Destination Retirement Income Fund Class L, Class N, Class N (CDSC fees deducted), the Custom Destination Income Index, the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500 Index.

MassMutual Select Destination Retirement Income Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{12/31/03 - 6/30/06}
Class L		0.20	%		1.97	%		3.96	%
Class N		0.00	%		1.42	%		3.38	%
Class N (CDSC fees deducted)**		–1.00	%		0.44	%		3.38	%
S&P 500 Index		2.70	%		8.62	%		7.46	%
Lipper Balanced Fund Index		2.25	%		7.03	%		6.57	%
Lehman Brothers Aggregate Bond Index		–0.72	%		–0.81	%		2.43	%
Custom Destination Income Index		1.03	%		3.51	%		4.91	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION*

* The custom benchmark $10,000 growth chart values commence on 1/1/04.

** Class A (sales load deducted) returns include the 5.75% maximum sales charge and Class N (CDSC fees deducted) returns include the 1.00% maximum contingent deferred sales charge for the first 18 months shown.

Investors should note that the Fund is a professionally managed mutual fund, while the Custom Destination Income Index, the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500 Index are unmanaged and do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the fund distributions or the redemption of the fund shares.

MassMutual Select Destination Retirement Series – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Destination Retirement 2010 Fund Class S, Class A, Class A (sales load deducted), Class Y, the Custom Destination 2010 Index, the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500 Index.

MassMutual Select Destination Retirement 2010 Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{12/31/03 - 6/30/06}
Class S		0.75	%		3.76	%		5.05	%
Class A		0.47	%		3.33	%		4.63	%
Class A (sales load deducted)**		–5.30	%		–2.61	%		2.18	%
Class Y		0.66	%		3.73	%		5.00	%
S&P 500 Index		2.70	%		8.62	%		7.46	%
Lipper Balanced Fund Index		2.25	%		7.03	%		6.57	%
Lehman Brothers Aggregate Bond Index		–0.72	%		–0.81	%		2.43	%
Custom Destination 2010 Index		1.37	%		7.94	%		5.73	%

Hypothetical Investments in MassMutual Select Destination Retirement 2010 Fund Class L, Class N, Class N (CDSC fees deducted), the Custom Destination 2010 Index, the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500 Index.

MassMutual Select Destination Retirement 2010 Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{12/31/03 - 6/30/06}
Class L		0.66	%		3.63	%		4.92	%
Class N		0.38	%		3.03	%		4.32	%
Class N (CDSC fees deducted)**		–0.62	%		2.03	%		4.32	%
S&P 500 Index		2.70	%		8.62	%		7.46	%
Lipper Balanced Fund Index		2.25	%		7.03	%		6.57	%
Lehman Brothers Aggregate Bond Index		–0.72	%		–0.81	%		2.43	%
Custom Destination 2010 Index		1.37	%		7.94	%		5.73	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION*

* The custom benchmark $10,000 growth chart values commence on 1/1/04.

Investors should note that the Fund is a professionally managed mutual fund, while the Custom Destination 2010 Index, the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500 Index are unmanaged and do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the fund distributions or the redemption of the fund shares.

MassMutual Select Destination Retirement Series – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Destination Retirement 2020 Fund Class S, Class A, Class A (sales load deducted), Class Y, the Custom Destination 2020 Index, the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500 Index.

MassMutual Select Destination Retirement 2020 Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{12/31/03 - 6/30/06}
Class S		0.64	%		5.54	%		6.54	%
Class A		0.46	%		5.12	%		6.12	%
Class A (sales load deducted)**		–5.32	%		–0.92	%		3.64	%
Class Y		0.64	%		5.52	%		6.48	%
S&P 500 Index		2.70	%		8.62	%		7.46	%
Lipper Balanced Fund Index		2.25	%		7.03	%		6.57	%
Lehman Brothers Aggregate Bond Index		–0.72	%		–0.81	%		2.43	%
Custom Destination 2020 Index		0.91	%		8.80	%		7.20	%

Hypothetical Investments in MassMutual Select Destination Retirement 2020 Fund Class L, Class N, Class N (CDSC fees deducted), the Custom Destination 2020 Index, the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500 Index.

MassMutual Select Destination Retirement 2020 Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{12/31/03 - 6/30/06}
Class L		0.55	%		5.39	%		6.39	%
Class N		0.27	%		4.79	%		5.81	%
Class N (CDSC fees deducted)**		–0.73	%		3.79	%		5.81	%
S&P 500 Index		2.70	%		8.62	%		7.46	%
Lipper Balanced Fund Index		2.25	%		7.03	%		6.57	%
Lehman Brothers Aggregate Bond Index		–0.72	%		–0.81	%		2.43	%
Custom Destination 2020 Index		0.91	%		8.80	%		7.20	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION*

* The custom benchmark $10,000 growth chart values commence on 1/1/04.

Investors should note that the Fund is a professionally managed mutual fund, while the Custom Destination 2020 Index, the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500 Index are unmanaged and do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the fund distributions or the redemption of the fund shares.

MassMutual Select Destination Retirement Series – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Destination Retirement 2030 Fund Class S, Class A, Class A (sales load deducted), Class Y, the Custom Destination 2030 Index, the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500 Index.

MassMutual Select Destination Retirement 2030 Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{12/31/03 - 6/30/06}
Class S		1.39	%		8.37	%		8.36	%
Class A		1.22	%		7.96	%		7.94	%
Class A (sales load deducted)**		–4.60	%		1.75	%		5.42	%
Class Y		1.39	%		8.35	%		8.31	%
S&P 500 Index		2.70	%		8.62	%		7.46	%
Lipper Balanced Fund Index		2.25	%		7.03	%		6.57	%
Lehman Brothers Aggregate Bond Index		–0.72	%		–0.81	%		2.43	%
Custom Destination 2030 Index		0.24	%		9.64	%		9.17	%

Hypothetical Investments in MassMutual Select Destination Retirement 2030 Fund Class L, Class N, Class N (CDSC fees deducted), the Custom Destination 2030 Index, the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500 Index.

MassMutual Select Destination Retirement 2030 Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{12/31/03 - 6/30/06}
Class L		1.30	%		8.21	%		8.22	%
Class N		1.13	%		7.68	%		7.62	%
Class N (CDSC fees deducted)**		0.13	%		6.68	%		7.62	%
S&P 500 Index		2.70	%		8.62	%		7.46	%
Lipper Balanced Fund Index		2.25	%		7.03	%		6.57	%
Lehman Brothers Aggregate Bond Index		–0.72	%		–0.81	%		2.43	%
Custom Destination 2030 Index		0.24	%		9.64	%		9.17	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION*

* The custom benchmark $10,000 growth chart values commence on 1/1/04.

Investors should note that the Fund is a professionally managed mutual fund, while the Custom Destination 2030 Index, the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500 Index are unmanaged and do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the fund distributions or the redemption of the fund shares.

MassMutual Select Destination Retirement Series – Portfolio Manager Report (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Destination Retirement 2040 Fund Class S, Class A, Class A (sales load deducted), Class Y, the Custom Destination 2040 Index, the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500 Index.

MassMutual Select Destination Retirement 2040 Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{12/31/03 - 6/30/06}
Class S		1.95	%		10.39	%		9.41	%
Class A		1.78	%		9.97	%		8.99	%
Class A (sales load deducted)**		–4.07	%		3.65	%		6.44	%
Class Y		1.95	%		10.28	%		9.36	%
S&P 500 Index		2.70	%		8.62	%		7.46	%
Lipper Balanced Fund Index		2.25	%		7.03	%		6.57	%
Lehman Brothers Aggregate Bond Index		–0.72	%		–0.81	%		2.43	%
Custom Destination 2040 Index		–0.16	%		10.13	%		10.30	%

Hypothetical Investments in MassMutual Select Destination Retirement 2040 Fund Class L, Class N, Class N (CDSC fees deducted), the Custom Destination 2040 Index, the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500 Index.

MassMutual Select Destination Retirement 2040 Fund
Total Return

	_{Year to Date}_{1/1/06 - 6/30/06}			_{One Year}_{7/1/05 - 6/30/06}			_{Since Inception}_{12/31/03 - 6/30/06}
Class L		1.95	%		10.24	%		9.27	%
Class N		1.61	%		9.52	%		8.64	%
Class N (CDSC fees deducted)**		0.61	%		8.52	%		8.64	%
S&P 500 Index		2.70	%		8.62	%		7.46	%
Lipper Balanced Fund Index		2.25	%		7.03	%		6.57	%
Lehman Brothers Aggregate Bond Index		–0.72	%		–0.81	%		2.43	%
Custom Destination 2040 Index		–0.16	%		10.13	%		10.30	%

GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION*

* The custom benchmark $10,000 growth chart values commence on 1/1/04.

Investors should note that the Fund is a professionally managed mutual fund, while the Custom Destination 2040 Index, the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500 Index are unmanaged and do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the fund distributions or the redemption of the fund shares.

MassMutual Select Strategic Bond Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 0.1%
PREFERRED STOCK — 0.1%
Automotive & Parts
General Motors Corp.		5,000	$	87,150
General Motors Corp., Series B		6,100		112,850
TOTAL PREFERRED STOCK (Cost $179,580)				200,000
TOTAL EQUITIES (Cost $179,580)				200,000
	Principal Amount
BONDS & NOTES — 93.1%
CORPORATE DEBT — 19.7%
Aerospace & Defense — 0.0%
DRS Technologies, Inc. 6.625% 02/01/2016	$	55,000		53,212
Apparel, Textiles & Shoes — 0.0%
Oxford Industries, Inc. 8.875% 06/01/2011		25,000		25,000
Automotive & Parts — 0.6%
DaimlerChrysler NA Holding 5.875% 03/15/2011		290,000		285,259
DaimlerChrysler NA Holding 7.200% 09/01/2009		65,000		67,046
DaimlerChrysler NA Holding MTN 5.750% 05/18/2009		250,000		247,602
Ford Motor Co. 6.625% 10/01/2028		40,000		27,600
Ford Motor Co.(a) 7.450% 07/16/2031		190,000		137,275
General Motors Corp.(a) 8.250% 07/15/2023		80,000		63,000
General Motors Corp.(a) 8.375% 07/15/2033		280,000		225,400
General Motors Corp. EUR(b) 8.375% 07/05/2033		40,000		39,539
Visteon Corp. 8.250% 08/01/2010		90,000		84,150
				1,176,871

	Principal Amount		Market Value
Banking, Savings & Loans — 3.7%
Bank of America Corp. 3.875% 01/15/2008	$	645,000	$	628,970
Bank of America Corp. 4.500% 08/01/2010		130,000		124,660
Bank One Corp. 2.625% 06/30/2008		205,000		193,517
Credit Suisse First Boston USA, Inc. 4.875% 08/15/2010		50,000		48,462
Glitnir Banki HF(c) 6.693% 06/15/2016		420,000		417,596
International Finance Corp. 5.125% 05/02/2011		2,000,000		1,976,066
JP Morgan Chase & Co. 5.125% 09/15/2014		1,070,000		1,010,668
KeyBank NA 4.950% 09/15/2015		180,000		166,035
Rabobank Capital Fund II(c) 5.260% 12/31/2049		10,000		9,383
Rabobank Capital Funding Trust(c) 5.254% 12/31/2049		95,000		87,028
Resona Preferred Global Securities(c) 7.191% 12/31/2049		230,000		230,711
Shinsei Finance Cayman Ltd.(c) 6.418% 07/20/2049		300,000		281,755
Wachovia Capital Trust III 5.800% 03/15/2042		230,000		223,192
Wachovia Corp. 5.250% 08/01/2014		990,000		944,221
Wells Fargo & Co. 4.200% 01/15/2010		765,000		731,049
				7,073,313
Broadcasting, Publishing & Printing — 1.0%
Clear Channel Communications, Inc. 4.250% 05/15/2009		50,000		47,414
Clear Channel Communications, Inc. 4.625% 01/15/2008		10,000		9,793
Clear Channel Communications, Inc. 5.500% 09/15/2014		345,000		312,330
Comcast Corp. 6.500% 01/15/2015		835,000		841,545

	Principal Amount		Market Value
Cox Communications, Inc. 3.875% 10/01/2008	$	75,000	$	71,744
CSC Holdings, Inc. 7.625% 07/15/2018		55,000		54,450
Kabel Deutschland GMBH(c) 10.625% 07/01/2014		50,000		52,750
News America, Inc. 6.200% 12/15/2034		170,000		154,273
Rogers Cable, Inc. 6.750% 03/15/2015		40,000		38,100
Shaw Communications, Inc. 7.250% 04/06/2011		20,000		19,950
Time Warner Entertainment Co., LP 8.375% 07/15/2033		210,000		237,578
				1,839,927
Chemicals — 0.0%
Graham Packaging Co.(a) 9.875% 10/15/2014		40,000		39,600
Westlake Chemicals 6.625% 01/15/2016		20,000		18,475
				58,075
Commercial Services — 0.2%
Service Corp. International(c) 8.000% 06/15/2017		30,000		28,050
Waste Management, Inc. 6.375% 11/15/2012		200,000		204,029
Waste Management, Inc. 6.500% 11/15/2008		90,000		91,407
				323,486
Communications — 0.2%
Intelsat Bermuda Ltd.(c) 9.250% 06/15/2016		40,000		41,300
Intelsat Ltd. 7.625% 04/15/2012		45,000		37,125
SBC Communications, Inc. 5.100% 09/15/2014		230,000		213,374
				291,799
Computer Software/Services — 0.0%
UGS Corp. 10.000% 06/01/2012		35,000		37,625
Computers & Office Equipment — 0.2%
Electronic Data Systems Corp. 7.125% 10/15/2009		380,000		392,445

(Continued)

The accompanying notes are an integral part of the financial statements.

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

		Principal Amount		Market Value
Electric Utilities — 1.6%
AES Corp. 7.750% 03/01/2014		$	340,000	$	341,700
AES Corp. 8.875% 02/15/2011			10,000		10,499
Dominion Resources, Inc. 4.750% 12/15/2010			30,000		28,634
Dominion Resources, Inc. 5.700% 09/17/2012			370,000		362,065
Duke Energy Corp. 5.625% 11/30/2012			425,000		419,951
Duke Energy Corp. 6.250% 01/15/2012			50,000		50,861
Exelon Corp. 5.625% 06/15/2035			430,000		377,204
FirstEnergy Corp., Series B 6.450% 11/15/2011			230,000		234,030
FirstEnergy Corp., Series C 7.375% 11/15/2031			735,000		788,545
Oncor Electric Delivery Co. 6.375% 01/15/2015	��		25,000		25,058
Pacific Gas & Electric Co. 6.050% 03/01/2034			260,000		245,392
TXU Corp., Series P 5.550% 11/15/2014			20,000		18,140
TXU Corp., Series R 6.550% 11/15/2034			215,000		188,874
					3,090,953
Energy — 2.3%
Amerada Hess Corp. 7.300% 08/15/2031			745,000		789,481
Chesapeake Energy Corp. 6.500% 08/15/2017			40,000		36,500
Chesapeake Energy Corp. 7.625% 07/15/2013			20,000		20,125
Conoco, Inc. 6.950% 04/15/2029			560,000		609,362
Devon Energy Corp. 7.950% 04/15/2032			435,000		501,240
Dynegy Holdings, Inc. 8.750% 02/15/2012			5,000		5,075
El Paso Corp. MTN(a) 7.750% 01/15/2032			380,000		370,025
El Paso Corp. MTN 7.800% 08/01/2031			52,000		50,505
Kerr - McGee Corp. 7.875% 09/15/2031			680,000		767,539
Kinder Morgan Energy Partners LP 5.000% 12/15/2013			40,000		36,659
Kinder Morgan Energy Partners LP 6.300% 02/01/2009			60,000		60,268

	Principal Amount		Market Value
Kinder Morgan Energy Partners LP 6.750% 03/15/2011	$	60,000	$	61,294
Pemex Project Funding Master Trust(c) 6.625% 06/15/2035		190,000		171,950
Suburban Propane Partners 6.875% 12/15/2013		80,000		74,800
Williams Cos., Inc. 7.750% 06/15/2031		210,000		206,850
Williams Cos., Inc. Series A 7.500% 01/15/2031		315,000		303,975
XTO Energy, Inc. 6.250% 04/15/2013		245,000		245,160
XTO Energy, Inc. 7.500% 04/15/2012		40,000		42,522
				4,353,330
Entertainment & Leisure — 0.4%
AMC Entertainment, Inc. 11.000% 02/01/2016		30,000		32,100
Liberty Media Corp. 7.875% 07/15/2009		750,000		776,458
				808,558
Financial Services — 6.3%
Anadarko Finance Co. 6.750% 05/01/2011		165,000		169,540
Anadarko Finance Co., Series B 7.500% 05/01/2031		180,000		193,393
Apache Finance Canada Corp. 4.375% 05/15/2015		385,000		345,163
Banque Paribas - New York 6.875% 03/01/2009		110,000		113,102
ChevronTexaco Capital Co. 3.500% 09/17/2007		150,000		146,336
Citigroup, Inc. 4.125% 02/22/2010		5,000		4,754
Citigroup, Inc. 5.125% 02/14/2011		860,000		839,808
Deutsche Telekom International Finance BV 5.750% 03/23/2016		200,000		188,762
Ford Motor Credit Co. 4.950% 01/15/2008		110,000		103,549
Ford Motor Credit Co. 7.250% 10/25/2011		80,000		70,966
Ford Motor Credit Co. 7.375% 10/28/2009		1,705,000		1,576,337

	Principal Amount		Market Value
Ford Motor Credit Co. 7.375% 02/01/2011	$	130,000	$	116,404
Ford Motor Credit Co.(c) 10.486% 06/15/2011		298,000		299,022
General Electric Capital Corp. 4.125% 09/01/2009		340,000		325,668
General Electric Capital Corp. 4.250% 01/15/2008		230,000		225,578
General Motors Acceptance Corp. 5.125% 05/09/2008		90,000		86,220
General Motors Acceptance Corp.(a) 5.625% 05/15/2009		780,000		741,905
General Motors Acceptance Corp. 5.850% 01/14/2009		240,000		230,065
General Motors Acceptance Corp. 6.125% 08/28/2007		1,320,000		1,306,195
General Motors Acceptance Corp. 7.750% 01/19/2010		110,000		109,433
General Motors Acceptance Corp. MTN 4.375% 12/10/2007		140,000		134,289
General Motors Acceptance Corp. MTN 6.311% 11/30/2007		50,000		48,176
Goldman Sachs Group, Inc. 4.500% 06/15/2010		150,000		143,410
Goldman Sachs Group, Inc. 5.000% 01/15/2011		100,000		96,707
Household Finance Corp. 4.625% 01/15/2008		560,000		552,000
Household Finance Corp. Series MTN 4.125% 11/16/2009		300,000		285,530
ILFC E-Capital Trust I(c) 5.900% 12/21/2065		100,000		97,480
Kaupthing Bank(c) 0.000% 04/11/2011		690,000		690,240
Kaupthing Bank (Iceland)(c) 7.125% 05/19/2016		150,000		150,045
Lehman Brothers Holdings, Inc. 4.000% 01/22/2008		415,000		404,159
Morgan Stanley 3.625% 04/01/2008		690,000		667,765

(Continued)

The accompanying notes are an integral part of the financial statements.

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
MUFG Capital Finance 1 Ltd. 6.346% 07/29/2049	$	180,000	$	173,626
Pacific Energy Partners, LP/Pacific Energy Finance Corp. 7.125% 06/15/2014		20,000		20,200
Sprint Capital Corp. 6.000% 01/15/2007		755,000		756,012
Sprint Capital Corp. 8.375% 03/15/2012		30,000		33,147
Telecom Italia Capital SA 4.950% 09/30/2014		100,000		89,526
Telecom Italia Capital SA 5.250% 10/01/2015		150,000		135,769
Ventas Realty Corp. REIT 6.500% 06/01/2016		35,000		33,556
Ventas Realty Corp. REIT 7.125% 06/01/2015		20,000		20,000
Verizon Global Funding Corp. 7.375% 09/01/2012		220,000		233,850
				11,957,687
Forest Products & Paper — 0.4%
Weyerhaeuser Co. 6.750% 03/15/2012		670,000		684,513
Healthcare — 0.5%
DaVita, Inc. 7.250% 03/15/2015		110,000		105,600
HCA, Inc. 5.750% 03/15/2014		140,000		125,187
HCA, Inc. 6.250% 02/15/2013		155,000		144,734
HCA, Inc. 6.375% 01/15/2015		170,000		157,513
Tenet Healthcare Corp.(c) 9.500% 02/01/2015		274,000		269,205
Tenet Healthcare Corp. 9.875% 07/01/2014		30,000		30,000
				832,239
Industrial – Diversified — 0.4%
Jacuzzi Brands, Inc. 9.625% 07/01/2010		35,000		36,969
Tyco International Group SA 6.000% 11/15/2013		310,000		307,116
Tyco International Group SA 6.375% 10/15/2011		115,000		117,343
Tyco International Group SA 6.875% 01/15/2029		330,000		340,163

	Principal Amount		Market Value
Tyco International Group SA 7.000% 06/15/2028	$	10,000	$	10,436
				812,027
Insurance — 0.0%
ASIF Global Financing(c) 4.900% 01/17/2013		30,000		28,430
Lodging — 0.1%
Boyd Gaming Corp. 7.125% 02/01/2016		30,000		28,987
Inn of the Mountain Gods Resort & Casino 12.000% 11/15/2010		50,000		53,125
Station Casinos, Inc. 6.625% 03/15/2018		10,000		9,050
				91,162
Media – Broadcasting & Publishing — 0.5%
AOL Time Warner, Inc. 6.875% 05/01/2012		375,000		387,552
AOL Time Warner, Inc. 7.700% 05/01/2032		400,000		434,741
				822,293
Oil & Gas — 0.2%
El Paso Natural Gas Co. 8.375% 06/15/2032		349,000		371,205
Pride International, Inc. 7.375% 07/15/2014		20,000		20,100
Western Oil Sands, Inc. 8.375% 05/01/2012		30,000		31,875
				423,180
Photography Equipment/Supplies — 0.2%
Eastman Kodak Co. 7.250% 11/15/2013		290,000		279,294
Eastman Kodak Co. MTN 3.625% 05/15/2008		120,000		113,483
				392,777
Prepackaged Software — 0.0%
Sungard Data Systems, Inc.(c) 10.250% 08/15/2015		35,000		36,181
Real Estate — 0.0%
Forest City Enterprises, Inc. 7.625% 06/01/2015		35,000		35,263
Retail — 0.1%
Wal-Mart Stores, Inc. 3.375% 10/01/2008		255,000		243,395

	Principal Amount		Market Value
Telephone Utilities — 0.4%
BellSouth Corp. 4.750% 11/15/2012	$	10,000	$	9,272
British Telecom PLC 8.375% 12/15/2010		130,000		142,723
Cincinnati Bell, Inc. 7.000% 02/15/2015		60,000		56,550
Koninklijke KPN NV 8.000% 10/01/2010		270,000		286,383
Koninklijke KPN NV 8.375% 10/01/2030		200,000		214,707
Qwest Communications International, Inc. 8.670% 02/15/2009		15,000		15,281
Windstream Corp.(c) 8.625% 08/01/2016		20,000		20,450
				745,366
Tobacco — 0.3%
Altria Group, Inc. 7.000% 11/04/2013		580,000		611,900
Transportation — 0.1%
OMI Corp. 7.625% 12/01/2013		105,000		104,738
TOTAL CORPORATE DEBT (Cost $38,693,175)				37,345,745
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 21.2%
Collateralized Mortgage Obligations
Financial Services — 21.2%
AAA Trust, Series 2005-2, Class A1(c) 5.423% 11/26/2035		32,976		32,976
American Home Mortgage Investment Trust, Series 2005-4, Class 1A1 5.613% 11/25/2045		723,917		725,298
Banc of America Commercial Mortgage, Inc., Series 2005-5, Class A4 5.115% 09/10/2015		280,000		264,142
Banc of America Commercial Mortgage, Inc., Series 2005-6, Class A4 5.182% 09/10/2047		840,000		799,327

(Continued)

The accompanying notes are an integral part of the financial statements.

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
Bear Stearns Asset Backed Securities, Inc., Series 2005-AQ2, Class A1 5.483% 09/25/2035	$	615,659	$	616,140
Bear Stearns Asset Backed Securities, Inc., Series 2005-AQ2, Class A2 4.470% 09/25/2035		900,000		902,672
Bear Stearns Asset Backed Securities, Inc., Series 2005-AQ2, Class A3 4.560% 09/25/2035		900,000		904,219
Bear Stearns Asset Backed Securities, Inc., Series 2005-SD4, Class 2A1 5.723% 12/25/2042		701,932		705,881
Countrywide Alternative Loan Trust, Series 2005-24, Class 4A1 5.497% 07/20/2035		372,740		373,187
Countrywide Alternative Loan Trust, Series 2005-38, Class A3 5.309% 09/25/2035		241,209		242,006
Countrywide Alternative Loan Trust, Series 2005-44, Class 1A1 5.653% 10/25/2035		686,491		688,088
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1 5.597% 11/20/2035		867,626		868,061
Countrywide Alternative Loan Trust, Series 2005-J12, Class 2A1 5.593% 08/25/2035		739,527		740,585
Countrywide Asset-Backed Certificates, Series 2005-17, Class 1AF1 4.580% 12/27/2035		1,070,224		1,070,951
Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A 5.429% 12/15/2035		546,772		547,883

	Principal Amount		Market Value
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-R3, Class AF(c) 5.723% 09/25/2035	$	1,007,348	$	1,011,236
Credit-Based Asset Servicing and Securitization, Series 2004-CB8, Class AV1 3.901% 12/25/2035		520,280		521,580
Delta Funding Home Equity Loan Trust, Series 1999-1, Class A6F 6.340% 12/15/2028		90,890		90,763
Equifirst Mortgage Loan Trust, Series 2005-1, Class A1 3.150% 04/25/2035		45,903		45,903
First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF10, Class A2 5.723% 12/25/2032		530,703		533,025
First Franklin Mortgage Loan Asset Backed Certificates, Series 2005-FF1, Class A2B 4.411% 12/25/2034		1,200,000		1,201,126
GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4 5.330% 11/10/2045		350,000		337,352
GS Mortgage Securities Corp. II, Series 2005-GG4, Class AABA 4.680% 07/10/2039		200,000		188,072
GSAA Trust, Series 2005-7, Class AV1 3.436% 07/25/2035		250,042		250,120
GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF 5.673% 09/25/2035		678,319		680,189
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3 5.195% 10/25/2035		798,849		783,630
Harborview Mortgage Loan Trust, Series 2006-2, Class 1A 5.450% 04/25/2036		566,369		562,540

	Principal Amount		Market Value
HSI Asset Securitization Corp. Trust, Series 2005-I1, Class 2A4 5.713% 11/25/2035	$	1,400,000	$	1,402,740
Impac Secured Assets Corp., Series 2005-2, Class A1 5.643% 03/25/2036		1,288,964		1,291,707
Indymac Index Mortgage Loan Trust, Series 2004-AR12, Cl. A1 5.713% 12/25/2034		224,309		224,309
Irwin Home Equity, Series 2006-1, Class 2A1(c) 5.473% 09/25/2035		1,275,321		1,279,491
IXIS Real Estate Capital Trust, Series 2006-HE1, Class A1 5.413% 03/25/2036		1,391,742		1,391,959
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4 4.895% 09/12/2037		500,000		464,496
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB13, Class A4 5.290% 01/12/2043		100,000		95,840
Keycorp Student Loan Trust, Series 2005-A, Class 1A1 5.490% 12/27/2019		91,489		91,418
LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5 4.739% 07/15/2030		140,000		128,877
LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class AAB 4.664% 07/15/2030		100,000		93,890
LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A4 4.954% 09/15/2040		100,000		93,460
Lehman XS Trust, Series 2005-5N, Class 1A1 5.623% 11/25/2035		641,611		643,569

(Continued)

The accompanying notes are an integral part of the financial statements.

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
Lehman XS Trust, Series 2006-2N, Class 1A1 5.583% 02/25/2046	$	1,505,759	$	1,508,603
MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1 4.852% 01/25/2036		887,581		865,974
MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F(c) 5.673% 05/25/2035		663,160		664,956
Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4 5.660% 05/12/2039		610,000		601,075
Morgan Stanley Capital I, Series 2005-HQ6, Class A4A 4.989% 08/13/2042		240,000		224,673
Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A3 5.910% 03/25/2036		571,175		569,394
MSDWCC Heloc Trust, Series 2005-1, Class A 5.513% 07/25/2017		39,752		39,814
Origen Manufactured Housing, Series 2005-B, Class A3 5.605% 05/15/2022		3,000,000		2,909,481
Residential Asset Securities Corp., Series 2004-KS5, Class A2B3 4.829% 06/25/2034		1,600,000		1,602,501
Residential Funding Mortgage Securities II, Inc., Series 2005-HSA1, Class AI1 4.499% 12/25/2035		1,094,336		1,094,507
Structured Asset Securities Corp., Series 2002-AL1, Class A3 3.450% 02/25/2032		239,138		218,058
Wachovia Mortgage Loan Trust LLC, Series 2005-WMC1, Class A1 5.433% 10/25/2035		326,934		326,977

	Principal Amount		Market Value
Washington Mutual, Inc., Series 2005-AR11, Class A1A 5.643% 08/25/2045	$	1,201,075	$	1,201,360
Washington Mutual, Inc., Series 2005-AR13, Class A1A1 5.613% 10/25/2045		678,556		678,901
Washington Mutual, Inc., Series 2005-AR15, Class A1A1 5.341% 11/25/2045		845,005		844,903
Washington Mutual, Inc., Series 2005-AR15, Class A1A2 5.603% 11/25/2045		845,005		843,688
Washington Mutual, Inc., Series 2005-AR19, Class A1A1 4.640% 12/25/2045		1,086,733		1,089,448
Washington Mutual, Inc., Series 2005-AR19, Class A1A2 5.613% 12/25/2045		1,358,416		1,359,353
Washington Mutual, Inc., Series 2005-AR8, Class 1A1A 5.593% 07/25/2045		240,932		241,320
Washington Mutual, Inc., Series 2005-AR9, Class A1A 5.643% 07/25/2045		420,427		421,037
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $40,435,024)				40,194,731
SOVEREIGN DEBT OBLIGATIONS — 3.5%
Canada Government CAD(b) 4.000% 12/01/2031		274,905		352,912
Queensland Treasury Corp. AUD(b) 6.000% 06/14/2011		750,000		559,720
Republic of Brazil 8.000% 01/15/2018		700,000		739,900
Republic of Brazil 8.875% 04/15/2024		53,000		58,811
Republic of Brazil 10.125% 05/15/2027		95,000		118,038
Republic of Brazil 11.000% 08/17/2040		452,000		560,480
Republic of Brazil 12.250% 03/06/2030		36,000		52,830

	Principal Amount		Market Value
Republic of Colombia 8.125% 05/21/2024	$	13,000	$	13,163
Republic of Colombia 11.750% 02/25/2020		176,000		231,440
Republic of Panama 7.125% 01/29/2026		223,000		215,195
Republic of Panama 8.875% 09/30/2027		30,000		33,975
Russian Federation 5.000% 03/31/2030		1,645,000		1,750,774
United Mexican States 5.625% 01/15/2017		28,000		26,040
United Mexican States 7.500% 04/08/2033		1,692,000		1,797,750
United Mexican States 8.300% 08/15/2031		100,000		115,500
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $6,801,312)				6,626,528
U.S. GOVERNMENT AGENCY OBLIGATIONS — 42.9%
Federal Home Loan Bank — 0.1%
Federal Home Loan Bank 4.625% 02/18/2011		60,000		58,128
Federal Home Loan Bank 5.125% 06/18/2008		50,000		49,617
				107,745
Federal Home Loan Mortgage Corporation (FHLMC) — 2.7%
Pass-Through Securities
FHLMC 4.125% 10/18/2010		50,000		47,441
FHLMC 4.375% 11/16/2007		220,000		216,803
FHLMC 4.650% 10/10/2013		700,000		656,595
FHLMC 4.750% 01/18/2011		230,000		223,323
FHLMC 5.000% 01/01/2021- 01/01/2036		2,064,422		1,938,936
FHLMC 5.250% 02/24/2011		1,060,000		1,043,938
FHLMC 5.300% 05/12/2020		570,000		529,801
FHLMC 5.625% 11/23/2035		170,000		156,924
FHLMC 6.750% 09/15/2029		50,000		57,173
FHLMC MTN 5.125% 04/18/2011		340,000		334,813
Total Pass-Through Securities				5,205,747

(Continued)

The accompanying notes are an integral part of the financial statements.

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
Federal National Mortgage Association (FNMA) — 34.7%
Pass-Through Securities
FNMA 3.310% 01/26/2007	$	110,000	$	108,597
FNMA 4.492% 03/01/2036		1,553,289		1,576,820
FNMA 4.500% 10/15/2008		120,000		117,663
FNMA 4.610% 10/10/2013		510,000		477,391
FNMA 5.000% 11/01/2020- 03/01/2036		47,811,212		44,736,082
FNMA 5.200% 11/08/2010		440,000		432,320
FNMA 5.500% 06/01/2020- 06/01/2036		11,431,792		11,033,772
FNMA 5.625% 05/19/2011		770,000		766,620
FNMA 6.000% 10/01/2035- 03/01/2036		6,081,859		5,985,879
FNMA 6.500% 12/01/2034		123,338		124,398
FNMA 6.625% 09/15/2009		410,000		423,863
Total Pass-Through Securities				65,783,405
Government National Mortgage Association (GNMA) — 5.4%
Pass-Through Securities
GNMA 4.500% 09/15/2035		185,421		170,167
GNMA 5.000% 08/15/2033- 05/15/2035		5,139,094		4,873,709
GNMA 5.500% 02/15/2035- 02/15/2036		3,012,723		2,920,554
GNMA 6.000% 04/15/2029- 02/15/2036		2,266,346		2,249,320
Total Pass-Through Securities				10,213,750
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $83,925,844)				81,310,647
U.S. TREASURY OBLIGATIONS — 5.8%
U.S. Treasury Bonds — 3.9%
U.S. Treasury Bond(a) 6.250% 08/15/2023		460,000		507,438

	Principal Amount		Market Value
U.S. Treasury Inflation Index 2.000% 01/15/2026	$	1,400,617	$	1,281,565
U.S. Treasury Inflation Index 2.375% 01/15/2025		3,515,957		3,421,466
U.S. Treasury Inflation Index 3.875% 04/15/2029		1,838,055		2,274,593
				7,485,062
U.S. Treasury Notes — 1.8%
U.S. Treasury Inflation Index 2.000% 01/15/2014		1,090,210		1,052,223
U.S. Treasury Inflation Index 2.000% 01/15/2016		1,593,456		1,522,248
U.S. Treasury Note(a) 3.000% 02/15/2008		10,000		9,662
U.S. Treasury Note 3.625% 04/30/2007		110,000		108,505
U.S. Treasury Note 3.750% 05/15/2008		70,000		68,228
U.S. Treasury Note 4.250% 01/15/2011		40,000		38,625
U.S. Treasury Note 4.500% 02/15/2009		140,000		137,791
U.S. Treasury Note(a) 4.500% 02/15/2016		430,000		409,172
				3,346,454
U.S. Treasury Strips — 0.1%
U.S. Treasury Strips 0.000% 11/15/2021		560,000		247,683
TOTAL U.S. TREASURY OBLIGATIONS (Cost $11,590,410)				11,079,199
TOTAL BONDS & NOTES (Cost $181,445,765)				176,556,850
OPTIONS — 0.1%
90 Day Eurodollar Futures, December 2006 Call, Expires 12/18/2006, Strike 94.5		65,000		6,987
90 Day Eurodollar Futures, September 2006 Call, Expires 9/18/2006, Strike 94.5		122,500		7,350

	Principal Amount		Market Value
Eurodollar Future Options, September 2006 Call, Expires 9/18/2006, Strike 96	$	297,500	$	124,950
U.S. Bond Future Options, September 2006 Call, Expires 8/25/2006, Strike 108		5,000		2,969
TOTAL OPTIONS (Cost $345,045)				142,256
TOTAL LONG TERM INVESTMENTS (Cost $181,970,390)				176,899,106
SHORT-TERM INVESTMENTS — 7.3%
Cash Equivalents — 1.3%(e)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006		27,299		27,299
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		27,296		27,296
American Beacon Money Market Fund(d)		27,843		27,843
Bank of America 5.270% 07/14/2006		54,598		54,598
Bank of America 5.310% 03/08/2007		54,598		54,598
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		54,598		54,598
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		54,598		54,598
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		81,897		81,897
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		98,276		98,276
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		54,598		54,598
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		54,598		54,598
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		136,495		136,495
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		70,977		70,977

(Continued)

The accompanying notes are an integral part of the financial statements.

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
Federal Home Loan Bank Discount Note 5.181% 07/19/2006	$	43,459	$	43,459
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006		65,517		65,517
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		54,598		54,598
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		54,598		54,598
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006		54,598		54,598
Freddie Mac Discount Note 5.191% 07/25/2006		32,583		32,583
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		38,218		38,218
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		54,598		54,598
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		191,092		191,092
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		64,819		64,819
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		54,598		54,598
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		54,598		54,598
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		70,977		70,977
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		81,897		81,897
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		183,040		183,040
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		92,816		92,816
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		152,874		152,874

	Principal Amount		Market Value
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006	$	81,897	$	81,897
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006		81,897		81,897
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		54,598		54,598
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		54,598		54,598
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006		27,299		27,299
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		54,598		54,598
				2,497,438
Discount Notes — 0.4%
FNMA 4.960% 09/25/2006		185,000		182,783
FNMA 4.960% 09/25/2006		535,000		528,587
				711,370
Repurchase Agreement — 5.5%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(f)		10,497,362		10,497,362
Sovereign Debt Obligations — 0.1%
Canada T-Bill 4.860% 09/20/2006		230,000		227,454
TOTAL SHORT-TERM INVESTMENTS (Cost $13,933,624)				13,933,624
TOTAL INVESTMENTS — 100.6% (Cost $195,904,014)(g)				190,832,730
Other Assets/ (Liabilities) — (0.6%)				(1,163,174	)
NET ASSETS — 100.0%			$	189,669,556

Notes to Portfolio of Investments

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

MTN - Medium Term Note

REIT - Real Estate Investment Trust

(a) Denotes all or a portion of security on loan. (Note 2).

(b) The principal amount of the security is in foreign currency. The market value is in U.S. dollars.

(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 June 30, 2006, these securities amounted to a value of $5,900,235 or 3.1% of net assets.

(d) Amount represents shares owned of the fund.

(e) Represents investments of security lending collateral. (Note 2).

(f) Maturity value $10,500,643. Collateralized by a U.S. Government Agency obligation with a rate of 4.281%, maturity date of 03/01/2034, and an aggregate market value, including accrued interest, of $11,022,230.

(g) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

MassMutual Select Strategic Balanced Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 58.8%
COMMON STOCK — 58.7%
Advertising — 0.8%
Interpublic Group of Companies, Inc.(a) (b)		200,900	$	1,677,515
Aerospace & Defense — 3.5%
Boeing Co.		23,800		1,949,458
Honeywell International, Inc.		73,300		2,953,990
Raytheon Co.		62,700		2,794,539
				7,697,987
Air Transportation — 1.0%
Southwest Airlines Co.		133,100		2,178,847
US Airways Group, Inc. Aircraft Statutory Trust Certificates of Beneficial Interest 1989		30,000		342
US Airways Group, Inc. Aircraft Statutory Trust Certificates of Beneficial Interest 1993		100,000		43,000
				2,222,189
Automotive & Parts — 0.4%
Lear Corp.(b)		44,600		990,566
Banking, Savings & Loans — 5.2%
Bank of America Corp.		63,520		3,055,312
JP Morgan Chase & Co.		83,240		3,496,080
Mitsubishi Tokyo Financial Group, Inc. JPY		194		2,703,908
State Street Corp.		22,400		1,301,216
Unilever PLC		44,055		981,034
				11,537,550
Beverages — 0.4%
Molson Coors Brewing Co. Cl. B		12,300		834,924
Broadcasting, Publishing & Printing — 2.4%
Pearson PLC		213,600		2,879,889
Time Warner, Inc.		141,000		2,439,300
				5,319,189
Chemicals — 1.5%
Dow Chemical Co.		36,000		1,405,080
Du Pont (E.I.) de Nemours & Co.		47,700		1,984,320
WGI Heavy Minerals, Inc.(a)		41,300		33,453
				3,422,853

	Number of Shares		Market Value
Commercial Services — 0.4%
eBay, Inc.(a)		30,600	$	896,274
Communications — 0.6%
Nokia Oyj Sponsored ADR (Finland)		71,100		1,440,486
Communications Equipment — 0.7%
Motorola, Inc.		76,400		1,539,460
Computer Programming Services — 0.2%
VeriSign, Inc.(a)		15,600		361,452
Computers & Information — 2.1%
Cisco Systems, Inc.(a)		153,600		2,999,808
International Business Machines Corp.		22,100		1,697,722
Wave Systems Corp. Cl. A(a)		28,100		18,827
				4,716,357
Cosmetics & Personal Care — 0.2%
Kimberly-Clark Corp.		9,000		555,300
Electrical Equipment & Electronics — 2.8%
Intel Corp.		19,000		360,050
International DisplayWorks, Inc.(a) (b)		9,200		47,840
Novellus Systems, Inc.(a)		42,500		1,049,750
Samsung Electronics Co. Ltd. GDR (Korea)(c)		5,000		1,589,017
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (Taiwan)		196,471		1,803,601
Texas Instruments, Inc.		43,300		1,311,557
				6,161,815
Energy — 5.2%
Anadarko Petroleum Corp.		26,000		1,239,940
BP PLC, Sponsored ADR (United Kingdom)		3,700		257,557
Chevron Corp.		22,400		1,390,144
ConocoPhillips		10,900		714,277
Exxon Mobil Corp.		17,700		1,085,895
GlobalSantaFe Corp.		31,100		1,796,025
Halliburton Co.		22,000		1,632,620
Murphy Oil Corp.(b)		37,400		2,089,164
The Williams Cos., Inc.		53,000		1,238,080
				11,443,702
Entertainment & Leisure — 3.0%
News Corp., Inc., Cl. B(b)		186,800		3,769,624
The Walt Disney Co.		98,000		2,940,000
				6,709,624

	Number of Shares		Market Value
Financial Services — 2.7%
American Express Co.		43,100	$	2,293,782
Franklin Resources, Inc.		4,700		408,007
The Goldman Sachs Group, Inc.		2,900		436,247
Merrill Lynch & Co., Inc.		41,900		2,914,564
				6,052,600
Foods — 2.2%
Kraft Foods, Inc. Cl. A(b)		45,500		1,405,950
Safeway, Inc.		80,000		2,080,000
Unilever PLC, Sponsored ADR (United Kingdom)(b)		66,780		1,505,221
				4,991,171
Forest Products & Paper — 0.7%
Weyerhaeuser Co.		23,400		1,456,650
Healthcare — 1.4%
Enzo Biochem, Inc.(a) (b)		55,980		844,178
GlaxoSmithKline PLC ADR (United Kingdom)		39,500		2,204,100
				3,048,278
Information Retrieval Services — 0.1%
Yahoo!, Inc.(a)		4,300		141,900
Insurance — 5.0%
American International Group, Inc.		26,600		1,570,730
Chubb Corp.		56,400		2,814,360
The Hartford Financial Services Group, Inc.		24,300		2,055,780
MGIC Investment Corp.		25,300		1,644,500
The PMI Group, Inc.		69,100		3,080,478
				11,165,848
Machinery & Components — 1.8%
Baker Hughes, Inc.		15,700		1,285,045
Caterpillar, Inc.		35,300		2,629,144
				3,914,189
Manufacturing — 0.7%
Applied Materials, Inc.		89,700		1,460,316
Medical Supplies — 0.8%
Agilent Technologies, Inc.(a)		52,600		1,660,056
Medtronic, Inc.		1,400		65,688
				1,725,744

(Continued)

The accompanying notes are an integral part of the financial statements.

MassMutual Select Strategic Balanced Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Metals & Mining — 1.5%
Alcoa, Inc.		67,100	$	2,171,356
RTI International Metals, Inc.(a) (b)		19,310		1,078,270
				3,249,626
Pharmaceuticals — 6.6%
Abbott Laboratories		67,400		2,939,314
Amgen, Inc.(a)		11,600		756,668
Bentley Pharmaceuticals, Inc.(a) (b)		23,800		260,848
Eli Lilly & Co.		25,700		1,420,439
Johnson & Johnson		40,400		2,420,768
Novartis AG ADR (Switzerland)		27,800		1,498,976
Pfizer, Inc.		112,900		2,649,763
Wyeth		63,200		2,806,712
				14,753,488
Prepackaged Software — 1.1%
Microsoft Corp.		103,500		2,411,550
Retail — 2.2%
The Home Depot, Inc.		73,100		2,616,249
Wal-Mart Stores, Inc.		47,300		2,278,441
				4,894,690
Telephone Utilities — 1.2%
Sprint Nextel Corp.		6,400		127,936
Vodafone Group PLC, Sponsored ADR (United Kingdom)		120,700		2,570,910
				2,698,846
Toys, Games — 0.3%
Hasbro, Inc.		43,400		785,974
TOTAL COMMON STOCK (Cost $116,154,296)				130,278,113
PREFERRED STOCK — 0.1%
Automotive & Parts
General Motors Corp., Series B		5,200		96,200
TOTAL PREFERRED STOCK (Cost $94,676)				96,200
TOTAL EQUITIES (Cost $116,248,972)				130,374,313

	Principal Amount		Market Value
BONDS & NOTES — 35.3%
ASSET BACKED SECURITIES — 0.1%
Financial Services
Wachovia Asset Securitization, Inc., Series 2002-HE1, Class A 5.693% 09/27/2032	$	265,744	$	266,325
TOTAL ASSET BACKED SECURITIES (Cost $267,239)				266,325
CORPORATE DEBT — 8.8%
Aerospace & Defense — 0.0%
DRS Technologies, Inc. 6.625% 02/01/2016		20,000		19,350
Automotive & Parts — 0.4%
DaimlerChrysler NA Holding 4.050% 06/04/2008		55,000		53,177
DaimlerChrysler NA Holding 5.875% 03/15/2011		100,000		98,365
DaimlerChrysler NA Holding 7.200% 09/01/2009		80,000		82,518
DaimlerChrysler NA Holding MTN 5.750% 05/18/2009		110,000		108,945
Ford Motor Co. 6.625% 10/01/2028		50,000		34,500
Ford Motor Co.(b) 7.450% 07/16/2031		150,000		108,375
General Motors Corp.(b) 8.375% 07/15/2033		470,000		378,350
General Motors Corp. EUR(d) 8.375% 07/05/2033		90,000		88,962
Visteon Corp. 8.250% 08/01/2010		40,000		37,400
				990,592
Banking, Savings & Loans — 1.3%
Aiful Corp.(c) 5.000% 08/10/2010		100,000		95,089
Bank of America Corp. 3.875% 01/15/2008		145,000		141,396
Bank of America Corp. 4.500% 08/01/2010		210,000		201,374
Bank One Corp. 2.625% 06/30/2008		545,000		514,472
CIT Group, Inc. 5.400% 03/07/2013		110,000		106,411

	Principal Amount		Market Value
Export-Import Bank of Korea(c) 5.250% 02/10/2014	$	5,000	$	4,756
Glitnir Banki HF(c) 6.693% 06/15/2016		140,000		139,199
International Finance Corp. 5.125% 05/02/2011		1,000,000		988,033
KeyBank NA 4.950% 09/15/2015		90,000		83,018
KeyBank NA 5.450% 03/03/2016		40,000		38,241
Rabobank Capital Fund II(c) 5.260% 12/31/2049		10,000		9,383
Rabobank Capital Funding Trust(c) 5.254% 12/31/2049		120,000		109,931
Resona Preferred Global Securities(c) 7.191% 12/31/2049		155,000		155,479
Shinsei Finance Cayman Ltd.(c) 6.418% 07/20/2049		100,000		93,918
SLM Corp. 4.490% 04/01/2009		20,000		19,208
Wachovia Capital Trust III 5.800% 03/15/2042		120,000		116,448
Wells Fargo & Co. 4.200% 01/15/2010		180,000		172,012
				2,988,368
Beverages — 0.1%
Anheuser-Busch Cos., Inc. 4.950% 01/15/2014		195,000		184,994
Broadcasting, Publishing & Printing — 0.4%
Clear Channel Communications, Inc. 4.250% 05/15/2009		50,000		47,414
Clear Channel Communications, Inc. 4.625% 01/15/2008		10,000		9,793
Clear Channel Communications, Inc. 5.500% 09/15/2014		150,000		135,796
Comcast Corp. 6.500% 01/15/2015		395,000		398,096
Cox Communications, Inc. 3.875% 10/01/2008		120,000		114,790
CSC Holdings, Inc. 7.625% 07/15/2018		25,000		24,750
Kabel Deutschland GMBH(c) 10.625% 07/01/2014		25,000		26,375

(Continued)

The accompanying notes are an integral part of the financial statements.

MassMutual Select Strategic Balanced Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
Rogers Cable, Inc. 6.750% 03/15/2015	$	20,000	$	19,050
				776,064
Chemicals — 0.0%
Graham Packaging Co.(b) 9.875% 10/15/2014		15,000		14,850
Westlake Chemicals 6.625% 01/15/2016		10,000		9,237
				24,087
Commercial Services — 0.1%
Service Corp. International(c) 8.000% 06/15/2017		15,000		14,025
Waste Management, Inc. 6.375% 11/15/2012		175,000		178,525
Waste Management, Inc. 6.500% 11/15/2008		110,000		111,719
				304,269
Communications — 0.1%
Intelsat Bermuda Ltd.(c) 9.250% 06/15/2016		15,000		15,487
Intelsat Ltd. 6.500% 11/01/2013		30,000		22,800
SBC Communications, Inc.(b) 5.100% 09/15/2014		120,000		111,326
				149,613
Computer Software/Services — 0.0%
UGS Corp. 10.000% 06/01/2012		15,000		16,125
Computers & Office Equipment — 0.0%
Electronic Data Systems Corp. 7.125% 10/15/2009		10,000		10,327
Electric Utilities — 0.9%
AES Corp. 7.750% 03/01/2014		560,000		562,800
AES Corp. 8.875% 02/15/2011		10,000		10,500
The Cleveland Electric Illuminating Co. 5.650% 12/15/2013		40,000		38,774
Dominion Resources, Inc. 4.750% 12/15/2010		40,000		38,179
Dominion Resources, Inc. 5.700% 09/17/2012		165,000		161,461
Duke Energy Corp. 5.625% 11/30/2012		145,000		143,277
Duke Energy Corp. 6.250% 01/15/2012		80,000		81,378

	Principal Amount		Market Value
Exelon Corp. 5.625% 06/15/2035	$	30,000	$	26,317
FirstEnergy Corp., Series B 6.450% 11/15/2011		60,000		61,051
FirstEnergy Corp., Series C 7.375% 11/15/2031		315,000		337,948
Oncor Electric Delivery Co. 6.375% 01/15/2015		30,000		30,070
Pacific Gas & Electric Co. 6.050% 03/01/2034		210,000		198,201
TXU Corp., Series P(b) 5.550% 11/15/2014		40,000		36,281
TXU Corp., Series R 6.550% 11/15/2034		270,000		237,191
				1,963,428
Energy — 0.9%
Amerada Hess Corp. 7.300% 08/15/2031		330,000		349,703
Chesapeake Energy Corp. 6.500% 08/15/2017		20,000		18,250
Chesapeake Energy Corp. 7.625% 07/15/2013		5,000		5,031
Conoco Funding Co. 6.350% 10/15/2011		40,000		41,153
Conoco, Inc.(b) 6.950% 04/15/2029		185,000		201,307
ConocoPhillips Co. 4.750% 10/15/2012		150,000		142,665
Devon Energy Corp. 7.950% 04/15/2032		190,000		218,932
Dynegy Holdings, Inc. 8.750% 02/15/2012		20,000		20,300
El Paso Corp. MTN(b) 7.750% 01/15/2032		60,000		58,425
El Paso Corp. MTN 7.800% 08/01/2031		136,000		132,090
Kerr - McGee Corp. 7.875% 09/15/2031		280,000		316,046
Kinder Morgan Energy Partners LP 5.000% 12/15/2013		20,000		18,329
Kinder Morgan Energy Partners LP 6.300% 02/01/2009		30,000		30,134
Kinder Morgan Energy Partners LP 6.750% 03/15/2011		40,000		40,863
Pemex Project Funding Master Trust(c) 6.625% 06/15/2035		70,000		63,350
Suburban Propane Partners 6.875% 12/15/2013		35,000		32,725

	Principal Amount		Market Value
Williams Cos., Inc. Series A 7.500% 01/15/2031	$	290,000	$	279,850
XTO Energy, Inc. 6.250% 04/15/2013		30,000		30,020
XTO Energy, Inc. 7.500% 04/15/2012		50,000		53,153
				2,052,326
Entertainment & Leisure — 0.0%
AMC Entertainment, Inc. 11.000% 02/01/2016		15,000		16,050
Financial Services — 2.4%
Anadarko Finance Co. 6.750% 05/01/2011		205,000		210,640
Banque Paribas - New York 6.875% 03/01/2009		170,000		174,795
Citigroup, Inc. 5.125% 02/14/2011		370,000		361,313
Deutsche Telekom International Finance BV 5.750% 03/23/2016		75,000		70,786
Devon Financing Corp. ULC 6.875% 09/30/2011		70,000		72,779
E*TRADE Financial Corp. 7.375% 09/15/2013		20,000		20,000
Ford Motor Credit Co. 7.375% 10/28/2009		610,000		563,968
Ford Motor Credit Co. 7.375% 02/01/2011		120,000		107,450
Ford Motor Credit Co.(c) 10.486% 06/15/2011		551,000		552,890
General Electric Capital Corp. 4.125% 09/01/2009		150,000		143,677
General Electric Capital Corp. 4.250% 01/15/2008		110,000		107,885
General Electric Capital Corp., Series A 5.589% 09/15/2014		380,000		381,785
General Motors Acceptance Corp. 5.125% 05/09/2008		40,000		38,320
General Motors Acceptance Corp.(b) 5.625% 05/15/2009		120,000		114,139
General Motors Acceptance Corp. 5.850% 01/14/2009		130,000		124,619
General Motors Acceptance Corp. 6.125% 08/28/2007		240,000		237,490

(Continued)

The accompanying notes are an integral part of the financial statements.

MassMutual Select Strategic Balanced Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
General Motors Acceptance Corp. 7.750% 01/19/2010	$	140,000	$	139,278
General Motors Acceptance Corp. MTN 4.375% 12/10/2007		90,000		86,329
General Motors Acceptance Corp. MTN 6.311% 11/30/2007		80,000		77,082
Goldman Sachs Group, Inc. 4.500% 06/15/2010		110,000		105,168
Goldman Sachs Group, Inc. 5.000% 01/15/2011		80,000		77,366
Household Finance Corp. Series MTN 4.125% 11/16/2009		375,000		356,912
Kaupthing Bank 0.000% 04/11/2011		320,000		320,111
Kaupthing Bank (Iceland)(c) 7.125% 05/19/2016		100,000		100,030
Lehman Brothers Holdings, Inc. 4.000% 01/22/2008		190,000		185,036
Morgan Stanley 3.625% 04/01/2008		310,000		300,011
MUFG Capital Finance 1 Ltd. 6.346% 07/29/2049		100,000		96,459
Sprint Capital Corp. 8.375% 03/15/2012		50,000		55,245
Telecom Italia Capital SA 4.950% 09/30/2014		120,000		107,431
Ventas Realty Corp. REIT 6.500% 06/01/2016		15,000		14,381
Ventas Realty Corp. REIT 7.125% 06/01/2015		10,000		10,000
Verizon Global Funding Corp. 7.375% 09/01/2012		60,000		63,777
				5,377,152
Forest Products & Paper — 0.2%
Weyerhaeuser Co. 6.750% 03/15/2012		385,000		393,339
Healthcare — 0.5%
DaVita, Inc. 7.250% 03/15/2015		50,000		48,000
HCA, Inc. 6.250% 02/15/2013		190,000		177,416

	Principal Amount		Market Value
HCA, Inc. 6.375% 01/15/2015	$	320,000	$	296,496
HCA, Inc. 7.500% 11/06/2033		20,000		18,280
HCA, Inc. 7.690% 06/15/2025		10,000		9,450
Tenet Healthcare Corp.(c) 9.500% 02/01/2015		526,000		516,795
Tenet Healthcare Corp. 9.875% 07/01/2014		30,000		30,000
				1,096,437
Industrial – Diversified — 0.4%
Jacuzzi Brands, Inc. 9.625% 07/01/2010		15,000		15,844
Tyco International Group SA 6.375% 10/15/2011		180,000		183,668
Tyco International Group SA 6.875% 01/15/2029		550,000		566,939
Tyco International Group SA 7.000% 06/15/2028		10,000		10,436
				776,887
Insurance — 0.0%
ASIF Global Financing(c) 4.900% 01/17/2013		50,000		47,383
Lodging — 0.0%
Boyd Gaming Corp. 7.125% 02/01/2016		15,000		14,494
Inn of the Mountain Gods Resort & Casino 12.000% 11/15/2010		20,000		21,250
Station Casinos, Inc. 6.625% 03/15/2018		10,000		9,050
				44,794
Media – Broadcasting & Publishing — 0.3%
AOL Time Warner, Inc. 6.875% 05/01/2012		355,000		366,882
AOL Time Warner, Inc. 7.700% 05/01/2032		235,000		255,410
				622,292
Metals & Mining — 0.0%
Corporacion Nacional del Cobre(c) 4.750% 10/15/2014		100,000		91,387
Oil & Gas — 0.1%
El Paso Natural Gas Co. 8.375% 06/15/2032		168,000		178,689

	Principal Amount		Market Value
Pride International, Inc. 7.375% 07/15/2014	$	10,000	$	10,050
Western Oil Sands, Inc. 8.375% 05/01/2012		15,000		15,937
				204,676
Photography Equipment/Supplies — 0.2%
Eastman Kodak Co. 7.250% 11/15/2013		240,000		231,140
Eastman Kodak Co. MTN 3.625% 05/15/2008		140,000		132,397
				363,537
Prepackaged Software — 0.0%
Sungard Data Systems, Inc.(c) 10.250% 08/15/2015		15,000		15,506
Real Estate — 0.0%
Forest City Enterprises, Inc. 7.625% 06/01/2015		15,000		15,112
Telephone Utilities — 0.3%
BellSouth Corp. 4.750% 11/15/2012		10,000		9,272
British Telecom PLC 8.375% 12/15/2010		160,000		175,659
Cincinnati Bell, Inc. 7.000% 02/15/2015		25,000		23,562
Koninklijke KPN NV 8.000% 10/01/2010		180,000		190,922
Koninklijke KPN NV 8.375% 10/01/2030		125,000		134,192
Qwest Communications International, Inc. 7.500% 02/15/2014		20,000		19,500
U.S. West Communications, Inc. 5.625% 11/15/2008		30,000		29,250
Windstream Corp.(c) 8.625% 08/01/2016		10,000		10,225
				592,582
Tobacco — 0.2%
Altria Group, Inc. 7.000% 11/04/2013		325,000		342,875
Philip Morris Cos., Inc. 7.750% 01/15/2027		10,000		11,221
				354,096
Transportation — 0.0%
OMI Corp. 7.625% 12/01/2013		50,000		49,875
TOTAL CORPORATE DEBT (Cost $20,002,651)				19,540,648

(Continued)

The accompanying notes are an integral part of the financial statements.

MassMutual Select Strategic Balanced Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.0%
Collateralized Mortgage Obligations
Financial Services — 4.0%
Amresco Residential Securities Mortgage Loan Trust, Series 1997-3, Class M1A 5.878% 09/25/2027	$	64,181	$	64,187
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-4, Class A6 3.513% 06/25/2034		400,000		379,007
Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A 5.429% 12/15/2035		615,119		616,368
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-R3, Class AF(c) 5.723% 09/25/2035		755,511		758,427
CRIIMI MAE Commercial Mortgage Trust, Series 1998-C1, Class A2(c) 7.000% 06/02/2033		127,400		128,023
First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF10, Class A2 5.723% 12/25/2032		597,041		599,653
Greenpoint Mortgage Funding Trust, Series 2005-HE4, Class 2A1A 5.543% 07/25/2030		340,045		340,735
GS Mortgage Securities Corp. II, Series 2005-GG4, Class AABA 4.680% 07/10/2039		300,000		282,108
Harborview Mortgage Loan Trust, Series 2006-2, Class 1A 5.450% 04/25/2036		188,790		187,513
Impac Secured Assets Corp., Series 2005-2, Class A1 5.643% 03/25/2036		736,551		738,118

	Principal Amount		Market Value
Indymac Index Mortgage Loan Trust, Series 2005-AR15, Class A2 5.099% 09/25/2035	$	166,251	$	154,850
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4 4.895% 09/12/2037		600,000		557,396
Keycorp Student Loan Trust, Series 2005-A, Class 1A1 5.490% 12/27/2019		605,236		604,764
LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5 4.739% 07/15/2030		210,000		193,316
LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class AAB 4.664% 07/15/2030		200,000		187,779
LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A4 4.954% 09/15/2040		200,000		186,921
Mach One Trust Commercial Mortgage-Backed, Series 2004-1A, Class X, IO(c) 1.637% 05/28/2040		2,574,927		113,400
MASTR Adjustable Rate Mortgages Trust, Series 2005-1, Class 1A3(c) 7.000% 08/25/2034		348,149		352,935
MLCC Mortgage Investors, Inc., Series 2004-B, Class A3 6.475% 05/25/2029		292,992		296,407
MSDWCC Heloc Trust, Series 2005-1, Class A 5.513% 07/25/2017		658,744		659,773
Mutual Fund Fee Trust, Series 2000-3 9.070% 07/01/2008		663,388		93,597
Option One Mortgage Loan Trust, Series 2003-3, Class A1 5.613% 06/25/2033		377,989		380,115

	Principal Amount		Market Value
Residential Asset Mortgage Products, Inc., Series 2002-RS4, Cl. A11 5.642% 08/25/2032	$	23,908	$	23,919
Residential Asset Mortgage Products, Inc., Series 2004-RP1, Cl. A2A(c) 5.623% 11/25/2042		143,639		143,664
UCFC Home Equity Loan, Series 1998-D, Cl. MF1 6.905% 04/15/2030		118,943		118,600
Wachovia Mortgage Loan Trust LLC, Series 2005-WMC1, Class A1 5.433% 10/25/2035		367,801		367,849
Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2004-RA1, Class 2A 7.000% 03/25/2034		236,349		237,438
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $9,118,219)				8,766,862
SOVEREIGN DEBT OBLIGATIONS — 1.7%
Canada Government CAD(d) 4.000% 12/01/2031		239,006		306,826
Queensland Treasury Corp. AUD(d) 6.000% 06/14/2011		620,000		462,702
Republic of Brazil 8.000% 01/15/2018		310,000		327,670
Republic of Brazil 8.875% 04/15/2024		14,000		15,519
Republic of Brazil 10.125% 05/15/2027		75,000		93,187
Republic of Brazil 11.000% 08/17/2040		217,000		269,080
Republic of Brazil 12.250% 03/06/2030		29,000		42,557
Republic of Colombia 8.125% 05/21/2024		32,000		32,400
Republic of Colombia 11.750% 02/25/2020		64,000		84,160
Republic of Panama 7.125% 01/29/2026		105,000		101,325
Russian Federation 5.000% 03/31/2030		905,000		963,192
United Mexican States 7.500% 04/08/2033		337,000		358,063

(Continued)

The accompanying notes are an integral part of the financial statements.

MassMutual Select Strategic Balanced Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
United Mexican States 8.300% 08/15/2031	$	120,000	$	138,600
United Mexican States 11.500% 05/15/2026		340,000		501,500
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $3,524,844)				3,696,781
U.S. GOVERNMENT AGENCY OBLIGATIONS — 17.9%
Federal Home Loan Bank — 0.1%
Federal Home Loan Bank 4.625% 02/18/2011		120,000		116,256
Federal Home Loan Bank 5.125% 06/18/2008		110,000		109,158
				225,414
Federal Home Loan Mortgage Corporation (FHLMC) — 1.5%
Pass-Through Securities
FHLMC 4.125% 10/18/2010		50,000		47,441
FHLMC 4.650% 10/10/2013		760,000		712,874
FHLMC 4.750% 01/18/2011		130,000		126,226
FHLMC 5.000% 08/01/2020- 10/01/2035		1,953,702		1,865,821
FHLMC 5.250% 02/24/2011		500,000		492,423
FHLMC 5.625% 11/23/2035		140,000		129,232
FHLMC 6.750% 09/15/2029		100,000		114,346
Total Pass-Through Securities				3,488,363
Federal National Mortgage Association (FNMA) — 13.4%
Pass-Through Securities
FNMA 4.500% 09/01/2035		294,748		267,024
FNMA 4.610% 10/10/2013		760,000		711,407
FNMA 5.000% 11/01/2020- 02/01/2036		21,148,650		19,824,837
FNMA 5.200% 11/08/2010		210,000		206,334
FNMA 5.500% 02/01/2021- 09/01/2035		3,587,763		3,507,447
FNMA 5.625% 05/19/2011		340,000		338,507

	Principal Amount		Market Value
FNMA 6.000% 08/01/2031- 01/01/2036	$	3,542,319	$	3,489,997
FNMA 6.162% 11/01/2035		287,772		294,951
FNMA 6.166% 11/01/2035		388,345		398,039
FNMA 6.167% 11/01/2035		192,480		197,289
FNMA 6.500% 12/01/2034		246,676		248,796
FNMA 6.625% 09/15/2009		190,000		196,424
Total Pass-Through Securities				29,681,052
Government National Mortgage Association (GNMA) — 2.9%
Pass-Through Securities
GNMA 5.000% 05/15/2034- 09/15/2035		4,358,348		4,132,196
GNMA 6.000% 01/15/2032- 01/15/2036		2,181,535		2,166,765
GNMA 6.500% 10/15/2032		84,727		86,024
Total Pass-Through Securities				6,384,985
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $41,133,912)				39,779,814
U.S. TREASURY OBLIGATIONS — 2.8%
U.S. Treasury Bonds — 2.0%
U.S. Treasury Bond(b) 6.250% 08/15/2023		190,000		209,594
U.S. Treasury Inflation Index 2.000% 01/15/2026		690,159		631,496
U.S. Treasury Inflation Index 2.375% 01/15/2025		1,581,646		1,539,140
U.S. Treasury Inflation Index 3.875% 04/15/2029		1,691,011		2,092,626
				4,472,856
U.S. Treasury Notes — 0.8%
U.S. Treasury Inflation Index 2.000% 01/15/2014		719,539		694,467
U.S. Treasury Inflation Index 2.000% 01/15/2016		60,896		58,175
U.S. Treasury Note 3.125% 05/15/2007		10,000		9,816
U.S. Treasury Note(b) 4.375% 11/15/2008		60,000		58,973

	Principal Amount		Market Value
U.S. Treasury Note 4.500% 02/15/2009	$	70,000	$	68,895
U.S. Treasury Note(b) 4.500% 02/15/2016		180,000		171,281
U.S. Treasury Note(b) 5.125% 05/15/2016		720,000		719,212
				1,780,819
TOTAL U.S. TREASURY OBLIGATIONS (Cost $6,481,983)				6,253,675
TOTAL BONDS & NOTES (Cost $80,528,848)				78,304,105
OPTIONS — 0.0%
90 Day Eurodollar Futures, December 2006 Call, Expires 12/18/2006, Strike 94.5		70,000		7,525
90 Day Eurodollar Futures, September 2006 Call, Expires 9/18/2006, Strike 94.5		57,500		3,450
Eurodollar Future Options, September 2006 Call, Expires 9/18/2006, Strike 96		130,000		54,600
U.S. Bond Future Options, September 2006 Call, Expires 8/25/2006, Strike 108		2,000		1,188
TOTAL OPTIONS (Cost $187,650)				66,763
TOTAL LONG TERM INVESTMENTS (Cost $196,965,470)				208,745,181
SHORT-TERM INVESTMENTS — 12.2%
Cash Equivalents — 6.4%(f)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006		155,295		155,295
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		155,295		155,295
American Beacon Money Market Fund(e)		158,388		158,388
Bank of America 5.270% 07/14/2006		310,593		310,593
Bank of America 5.310% 03/08/2007		310,593		310,593

(Continued)

The accompanying notes are an integral part of the financial statements.

MassMutual Select Strategic Balanced Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006	$	310,593	$	310,593
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		310,593		310,593
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		465,889		465,889
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		559,067		559,067
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		310,593		310,593
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		310,593		310,593
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		776,482		776,482
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		403,771		403,771
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		247,228		247,228
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006		372,711		372,711
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		310,593		310,593
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		310,593		310,593
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006		310,593		310,593
Freddie Mac Discount Note 5.191% 07/25/2006		185,357		185,357
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		217,415		217,415
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		310,593		310,593
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		1,087,075		1,087,075

	Principal Amount		Market Value
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006	$	368,739	$	368,739
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		310,593		310,593
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		310,593		310,593
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		403,771		403,771
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		465,889		465,889
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		1,041,264		1,041,264
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		528,008		528,008
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		869,660		869,660
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		465,889		465,889
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006		465,889		465,889
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		310,593		310,593
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		310,593		310,593
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006		155,296		155,296
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		310,593		310,593
				14,207,273
Commercial Paper — 0.4%
Toyota Motor Credit Co 5.020% 07/06/2006		900,000		899,246
Discount Notes — 0.1%
FNMA 4.960% 09/25/2006		190,000		187,723

	Principal Amount		Market Value
Repurchase Agreement — 5.1%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(g)	$	11,400,997	$	11,400,996
Time Deposit — 0.1%
Deutshe Bank AG CD 5.37% 07/03/2006		300,000		300,000
Sovereign Debt Obligations — 0.0%
Canada T-Bill 4.860% 09/20/2006		100,000		98,893
TOTAL SHORT-TERM INVESTMENTS (Cost $27,094,131)				27,094,131
TOTAL INVESTMENTS — 106.3% (Cost $224,059,601)(h)				235,839,312
Other Assets/ (Liabilities) — (6.3%)				(14,048,177	)
NET ASSETS — 100.0%			$	221,791,135

Notes to Portfolio of Investments

ADR - American Depository Receipt

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

GDR - Global Depository Receipt

JPY - Japanese Yen

MTN - Medium Term Note

REIT - Real Estate Investment Trust

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. (Note 2).

(d) The principal amount of the security is in foreign currency. The market value is in U.S. dollars.

(e) Amount represents shares owned of the fund.

(f) Represents investments of security lending collateral. (Note 2).

(g) Maturity value of $11,404,559. Collaterized by a U.S. Government Agency obligation with a rate of 4.289%, maturity date of 07/01/2018, and an aggregate market value, including accrued interest, of $11,971,046.

(h) See Note 6 for aggregrate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

MassMutual Select Diversified Value Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 98.6%
COMMON STOCK
Advertising — 0.3%
Interpublic Group of Companies, Inc.(a) (b)		117,700	$	982,795
Aerospace & Defense — 1.7%
Boeing Co.		25,000		2,047,750
Goodrich Corp.		33,900		1,365,831
Northrop Grumman Corp.		50,200		3,215,812
				6,629,393
Apparel, Textiles & Shoes — 0.6%
Jones Apparel Group, Inc.		21,300		677,127
Limited Brands		61,800		1,581,462
				2,258,589
Automotive & Parts — 2.5%
American Axle & Manufacturing Holdings, Inc.(b)		14,591		249,652
Autoliv, Inc.		39,400		2,228,858
BorgWarner, Inc.		27,100		1,764,210
DaimlerChrysler AG(b)		37,600		1,855,936
Lear Corp.(b)		10,650		236,536
Magna International, Inc. Cl. A(b)		25,000		1,799,250
Toyota Motor Corp., Sponsored ADR (Japan)		16,500		1,725,735
				9,860,177
Banking, Savings & Loans — 15.7%
Bank of America Corp.		288,000		13,852,800
Bank of New York Co., Inc. (The)		107,100		3,448,620
Comerica, Inc.		45,000		2,339,550
Fannie Mae		97,000		4,665,700
Freddie Mac		71,100		4,053,411
JP Morgan Chase & Co.		263,488		11,066,496
KeyCorp(b)		43,000		1,534,240
Mellon Financial Corp.		24,500		843,535
National City Corp.		88,800		3,213,672
Regions Financial Corp.		74,100		2,454,192
SunTrust Banks, Inc.		24,500		1,868,370
U.S. Bancorp		74,300		2,294,384
Wachovia Corp.		71,900		3,888,352
Washington Mutual, Inc.		54,500		2,484,110
Wells Fargo & Co.		44,600		2,991,768
				60,999,200

	Number of Shares		Market Value
Beverages — 1.3%
The Coca-Cola Co.		80,600	$	3,467,412
PepsiCo, Inc.		27,200		1,633,088
				5,100,500
Broadcasting, Publishing & Printing — 4.1%
CBS Corp. Cl. B		100,850		2,727,992
Comcast Corp. Cl. A(a) (b)		125,500		4,108,870
Gannett Co., Inc.		9,800		548,114
Liberty Media Holding Corp. Capital Cl. A(a)		2,400		201,048
Liberty Media Holding Corp. Interactive Cl. A(a)		12,000		207,120
Time Warner, Inc.		307,125		5,313,263
Viacom, Inc. Cl. B(a)		81,850		2,933,504
				16,039,911
Building Materials & Construction — 0.2%
Masco Corp.(b)		23,100		684,684
Chemicals — 1.4%
Arkema, Sponsored ADR (France)(a)		445		17,360
Du Pont (E.I.) de Nemours & Co.		29,900		1,243,840
Hercules, Inc.(a)		32,500		495,950
The Lubrizol Corp.		33,400		1,330,990
PPG Industries, Inc.		35,000		2,310,000
				5,398,140
Communications — 1.8%
ADC Telecommunications, Inc.(a)		35,200		593,472
American Tower Corp. Cl. A(a)		31,000		964,720
Crown Castle International Corp.(a)		67,000		2,314,180
Nokia Oyj Sponsored ADR (Finland)		72,600		1,470,876
Tellabs, Inc.(a)		111,800		1,488,058
				6,831,306
Computer Programming Services — 0.3%
Ceridian Corp.(a)		39,500		965,380
Computers & Information — 1.1%
Cisco Systems, Inc.(a)		41,400		808,542
International Business Machines Corp.		22,400		1,720,768
Solectron Corp.(a)		287,375		982,823
Tech Data Corp.(a)		17,200		658,932
				4,171,065

	Number of Shares		Market Value
Computers & Office Equipment — 1.9%
Electronic Data Systems Corp.		90,300	$	2,172,618
Hewlett-Packard Co.		167,152		5,295,375
				7,467,993
Containers — 0.7%
Crown Holdings, Inc.(a)		50,400		784,728
Owens-Illinois, Inc.(a)		64,000		1,072,640
Smurfit-Stone Container Corp.(a)		90,800		993,352
				2,850,720
Cosmetics & Personal Care — 2.5%
Colgate-Palmolive Co.		37,600		2,252,240
Kimberly-Clark Corp.		37,300		2,301,410
The Procter & Gamble Co.		94,900		5,276,440
				9,830,090
Electric Utilities — 3.1%
Alliant Energy Corp.		9,700		332,710
American Electric Power Co., Inc.		81,000		2,774,250
Constellation Energy Group, Inc.		32,300		1,760,996
Dominion Resources, Inc.		42,600		3,186,054
Entergy Corp.		30,700		2,172,025
Northeast Utilities(b)		40,600		839,202
Pinnacle West Capital Corp.		20,700		826,137
				11,891,374
Electrical Equipment & Electronics — 3.5%
Agere Systems, Inc.(a)		71,100		1,045,170
Arrow Electronics, Inc.(a)		34,100		1,098,020
Celestica, Inc.(a)		72,500		691,650
Celestica, Inc.(a)		13,200		125,928
Flextronics International Ltd.(a)		92,200		979,164
General Electric Co.		248,300		8,183,968
Hubbell, Inc. Cl. B		16,300		776,695
Sanmina-SCI Corp.(a)		154,500		710,700
				13,611,295
Energy — 12.1%
BP PLC, Sponsored ADR (United Kingdom)		21,100		1,468,771
Chevron Corp.		86,200		5,349,572
ConocoPhillips		75,300		4,934,409
Diamond Offshore Drilling, Inc.(b)		18,000		1,510,740
ENSCO International, Inc.		26,800		1,233,336

(Continued)

The accompanying notes are an integral part of the financial statements.

MassMutual Select Diversified Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Exxon Mobil Corp.		352,100	$	21,601,335
GlobalSantaFe Corp.		28,400		1,640,100
Marathon Oil Corp.		42,700		3,556,910
Noble Corp.		19,600		1,458,632
Occidental Petroleum Corp.		7,200		738,360
Rowan Companies, Inc.		33,500		1,192,265
Total SA Sponsored ADR (France)		31,400		2,057,328
Xcel Energy, Inc.		19,900		381,682
				47,123,440
Entertainment & Leisure — 0.5%
The Walt Disney Co.		63,700		1,911,000
Financial Services — 8.7%
Ameriprise Financial, Inc.		25,900		1,156,953
Citigroup, Inc.(b)		353,100		17,033,544
Countrywide Financial Corp.		47,600		1,812,608
The Goldman Sachs Group, Inc.		9,100		1,368,913
Huntington Bancshares, Inc.(b)		89,100		2,100,978
Lehman Brothers Holdings, Inc.		24,000		1,563,600
Merrill Lynch & Co., Inc.		83,800		5,829,128
Morgan Stanley		23,900		1,510,719
PNC Financial Services Group, Inc.		10,000		701,700
Waddell & Reed Financial, Inc. Cl. A		40,600		834,736
				33,912,879
Foods — 3.7%
Archer-Daniels-Midland Co.		72,700		3,001,056
Bunge Ltd.(b)		10,500		527,625
ConAgra Foods, Inc.		78,000		1,724,580
Del Monte Foods Co.		47,600		534,548
General Mills, Inc.		47,700		2,464,182
Kellogg Co.		45,500		2,203,565
The Kroger Co.		101,200		2,212,232
Safeway, Inc.(b)		64,800		1,684,800
				14,352,588
Forest Products & Paper — 0.2%
Sonoco Products Co.		27,400		867,210
Healthcare — 0.4%
GlaxoSmithKline PLC ADR (United Kingdom)		18,700		1,043,460
Tenet Healthcare Corp.(a) (b)		76,700		535,366
				1,578,826
Home Construction, Furnishings & Appliances — 0.1%
Leggett & Platt, Inc.		17,600		439,648

	Number of Shares		Market Value
Household Products — 0.9%
The Clorox Co.		31,400	$	1,914,458
Newell Rubbermaid, Inc.		56,700		1,464,561
				3,379,019
Industrial – Diversified — 1.9%
Cooper Industries Ltd. Cl. A		17,200		1,598,224
Eaton Corp.		23,600		1,779,440
SPX Corp.		29,400		1,644,930
Textron, Inc.		21,000		1,935,780
Tyco International Ltd.		17,200		473,000
				7,431,374
Insurance — 9.3%
ACE Ltd.		18,000		910,620
Allstate Corp.		29,400		1,609,062
American International Group, Inc.		144,100		8,509,105
Chubb Corp.		32,400		1,616,760
Genworth Financial, Inc. Cl. A		72,400		2,522,416
The Hartford Financial Services Group, Inc.		36,600		3,096,360
MBIA, Inc.(b)		20,000		1,171,000
Metlife, Inc.(b)		62,975		3,224,950
MGIC Investment Corp.		13,700		890,500
Old Republic International Corp.		53,400		1,141,158
PartnerRe Ltd.(b)		18,100		1,159,305
Prudential Financial, Inc.		18,100		1,406,370
RenaissanceRe Holdings Ltd.		21,000		1,017,660
St. Paul Travelers Cos.		79,424		3,540,722
Torchmark Corp.		17,500		1,062,600
UnumProvident Corp.		78,600		1,425,018
XL Capital Ltd. Cl. A		29,700		1,820,610
				36,124,216
Metals & Mining — 0.9%
Alcoa, Inc.		10,300		333,308
Crane Co.		16,500		686,400
United States Steel Corp.		33,900		2,377,068
				3,396,776
Pharmaceuticals — 5.3%
Abbott Laboratories		4,800		209,328
AmerisourceBergen Corp.		34,700		1,454,624
Eli Lilly & Co.		35,200		1,945,504
Merck & Co., Inc.		139,100		5,067,413
Pfizer, Inc.		472,200		11,082,534
Wyeth		19,300		857,113
				20,616,516
Prepackaged Software — 0.4%
Microsoft Corp.		70,100		1,633,330

	Number of Shares		Market Value
Restaurants — 1.1%
McDonald's Corp.		128,200	$	4,307,520
Retail — 0.8%
Office Depot, Inc.(a)		60,700		2,306,600
Target Corp.		19,700		962,739
				3,269,339
Telephone Utilities — 6.0%
AT&T, Inc.		313,000		8,729,570
BellSouth Corp.		100,310		3,631,222
Embarq Corp.(a)		7,012		287,422
Sprint Nextel Corp.		140,250		2,803,598
Verizon Communications, Inc.		238,900		8,000,761
				23,452,573
Tobacco — 2.2%
Altria Group, Inc.		98,200		7,210,826
UST, Inc.(b)		27,900		1,260,801
				8,471,627
Toys, Games — 0.2%
Mattel, Inc.		47,100		777,621
Transportation — 1.2%
CSX Corp.		30,400		2,141,376
Norfolk Southern Corp.		45,500		2,421,510
				4,562,886
TOTAL EQUITIES (Cost $336,804,117)				383,181,000
	Principal Amount
SHORT-TERM INVESTMENTS — 5.7%
Cash Equivalents — 4.4%(d)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	189,359		189,358
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		189,359		189,359
American Beacon Money Market Fund(c)		193,130		193,130
Bank of America 5.270% 07/14/2006		378,718		378,718
Bank of America 5.310% 03/08/2007		378,718		378,718
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		378,718		378,718
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		378,718		378,718

(Continued)

The accompanying notes are an integral part of the financial statements.

MassMutual Select Diversified Value Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
Barclays Eurodollar Time Deposit 5.150% 08/01/2006	$	568,077	$	568,077
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		681,692		681,692
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		378,718		378,718
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		378,718		378,718
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		946,795		946,795
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		492,333		492,333
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		301,454		301,454
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006		454,461		454,461
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		378,718		378,718
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		378,718		378,718
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006		378,718		378,718
Freddie Mac Discount Note 5.191% 07/25/2006		226,012		226,012
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		265,102		265,102
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		378,718		378,718
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		1,325,513		1,325,513
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		449,618		449,618
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		378,718		378,718

	Principal Amount		Market Value
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006	$	378,718	$	378,718
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		492,333		492,333
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		568,077		568,077
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		1,269,654		1,269,654
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		643,820		643,820
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		1,060,410		1,060,410
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		568,077		568,077
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006		568,077		568,077
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		378,718		378,718
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		378,718		378,718
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006		189,359		189,359
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		378,718		378,718
				17,323,481
Repurchase Agreement — 1.3%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(e)		4,933,773		4,933,773
TOTAL SHORT-TERM INVESTMENTS (Cost $22,257,254)				22,257,254
TOTAL INVESTMENTS — 104.3% (Cost $359,061,371)(f)				405,438,254
Other Assets/ (Liabilities) — (4.3%)				(16,623,545	)
NET ASSETS — 100.0%			$	388,814,709

Notes to Portfolio of Investments

ADR - American Depository Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. (Note 2).

(d) Represents investments of security lending collateral. (Note 2).

(e) Maturity value of $4,935,315. Collateralized by a U.S. Government Agency obligation with a rate of 4.318%, maturity date of 07/01/2033, and aggregate market value, including accrued interest, of $5,180,461.

(f) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

MassMutual Select Fundamental Value Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 99.2%
COMMON STOCK
Aerospace & Defense — 4.5%
General Dynamics Corp.		400,800	$	26,236,368
Goodrich Corp.		261,100		10,519,719
Lockheed Martin Corp.		186,700		13,393,858
				50,149,945
Air Transportation — 2.3%
AMR Corp.(a)		221,900		5,640,698
Southwest Airlines Co.		1,198,900		19,625,993
				25,266,691
Apparel, Textiles & Shoes — 0.9%
Nike, Inc. Cl. B		129,800		10,513,800
Banking, Savings & Loans — 13.4%
Bank of America Corp.		773,100		37,186,110
Golden West Financial Corp.		440,200		32,662,840
JP Morgan Chase & Co.		713,236		29,955,912
National City Corp.		296,300		10,723,097
SunTrust Banks, Inc.		131,300		10,012,938
U.S. Bancorp		323,400		9,986,592
Washington Mutual, Inc.(b)		110,400		5,032,032
Wells Fargo & Co.		228,900		15,354,612
				150,914,133
Beverages — 1.5%
PepsiCo, Inc.		281,500		16,901,260
Broadcasting, Publishing & Printing — 3.3%
Comcast Corp. Cl. A(a) (b)		466,200		15,263,388
Gannett Co., Inc.		103,400		5,783,162
Time Warner, Inc.		893,800		15,462,740
				36,509,290
Chemicals — 2.3%
Dow Chemical Co.		316,300		12,345,189
Du Pont (E.I.) de Nemours & Co.		324,100		13,482,560
				25,827,749
Communications Equipment — 1.0%
Motorola, Inc.		583,200		11,751,480
Computer Integrated Systems Design — 0.9%
Sun Microsystems, Inc.(a)		2,433,700		10,099,855

	Number of Shares		Market Value
Computers & Information — 1.9%
Cisco Systems, Inc.(a)		544,700	$	10,637,991
EMC Corp.(a)		921,500		10,108,855
				20,746,846
Computers & Office Equipment — 1.5%
Hewlett-Packard Co.		211,900		6,712,992
Pitney Bowes, Inc.		245,500		10,139,150
				16,852,142
Cosmetics & Personal Care — 0.9%
Kimberly-Clark Corp.		171,400		10,575,380
Electric Utilities — 5.4%
Dominion Resources, Inc.		167,850		12,553,502
Entergy Corp.		64,600		4,570,450
Exelon Corp.(b)		270,900		15,395,247
FPL Group, Inc.(b)		210,800		8,722,904
SCANA Corp.		235,900		9,101,022
TXU Corp.		171,300		10,242,027
				60,585,152
Electrical Equipment & Electronics — 1.5%
General Electric Co.(b)		506,100		16,681,056
Energy — 11.0%
ConocoPhillips		378,400		24,796,552
Exxon Mobil Corp.		794,500		48,742,575
GlobalSantaFe Corp.		262,500		15,159,375
Occidental Petroleum Corp.		308,900		31,677,695
XTO Energy, Inc.		67,500		2,988,225
				123,364,422
Financial Services — 8.0%
Citigroup, Inc.		849,400		40,975,056
The Goldman Sachs Group, Inc.		183,700		27,633,991
Merrill Lynch & Co., Inc.		141,400		9,835,784
PNC Financial Services Group, Inc.		162,900		11,430,693
				89,875,524
Foods — 3.2%
Campbell Soup Co.		271,400		10,071,654
Kellogg Co.		245,600		11,894,408
Safeway, Inc.(b)		517,900		13,465,400
				35,431,462
Insurance — 8.4%
ACE Ltd.		179,800		9,096,082
Aetna, Inc.		294,600		11,763,378
Allstate Corp.		201,300		11,017,149

	Number of Shares		Market Value
American International Group, Inc.		280,800	$	16,581,240
Chubb Corp.		349,700		17,450,030
WellPoint, Inc.(a)		396,900		28,882,413
				94,790,292
Lodging — 1.8%
Host Hotels & Resorts, Inc.(b)		948,443		20,742,448
Machinery & Components — 1.9%
Caterpillar, Inc.		293,500		21,859,880
Manufacturing — 1.8%
American Standard Cos., Inc.		254,000		10,990,580
Applied Materials, Inc.		575,100		9,362,628
				20,353,208
Medical Supplies — 2.9%
Baxter International, Inc.		358,500		13,178,460
Beckman Coulter, Inc.		144,900		8,049,195
Boston Scientific Corp.(a)		653,000		10,996,520
				32,224,175
Metals & Mining — 3.4%
Alcoa, Inc.		616,800		19,959,648
Cameco Corp.(b)		276,400		11,047,708
Precision Castparts Corp.		129,100		7,715,016
				38,722,372
Pharmaceuticals — 3.9%
Abbott Laboratories(a)		252,100		10,994,081
Pfizer, Inc.		513,620		12,054,661
Wyeth		472,000		20,961,520
				44,010,262
Restaurants — 0.9%
McDonald's Corp.		294,000		9,878,400
Retail — 4.5%
CVS Corp.		1,259,300		38,660,510
Federated Department Stores, Inc.		315,000		11,529,000
				50,189,510
Telephone Utilities — 5.2%
AT&T, Inc.		1,094,128		30,515,230
BellSouth Corp.		377,900		13,679,980
Embarq Corp.(a)		31,500		1,291,185
Sprint Nextel Corp.		647,100		12,935,529
				58,421,924

(Continued)

The accompanying notes are an integral part of the financial statements.

MassMutual Select Fundamental Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Transportation — 1.0%
United Parcel Service, Inc. Cl. B		138,400	$	11,394,472
TOTAL EQUITIES (Cost $954,205,225)				1,114,633,130
	Principal Amount
SHORT-TERM INVESTMENTS — 5.4%
Cash Equivalents — 4.1%(d)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	508,037		508,037
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		508,038		508,038
American Beacon Money Market Fund(c)		518,156		518,156
Bank of America 5.270% 07/14/2006		1,016,077		1,016,077
Bank of America 5.310% 03/08/2007		1,016,077		1,016,077
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		1,016,077		1,016,077
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		1,016,077		1,016,077
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		1,524,115		1,524,115
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		1,828,938		1,828,938
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		1,016,077		1,016,077
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		1,016,077		1,016,077
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		2,540,192		2,540,192
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		1,320,900		1,320,900
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		808,784		808,784

	Principal Amount		Market Value
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006	$	1,219,292	$	1,219,292
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		1,016,077		1,016,077
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		1,016,077		1,016,077
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006		1,016,077		1,016,077
Freddie Mac Discount Note 5.191% 07/25/2006		606,378		606,378
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		711,254		711,254
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		1,016,077		1,016,077
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		3,556,269		3,556,269
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		1,206,298		1,206,298
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		1,016,077		1,016,077
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		1,016,077		1,016,077
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		1,320,900		1,320,900
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		1,524,115		1,524,115
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		3,406,404		3,406,404
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		1,727,331		1,727,331
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		2,845,015		2,845,015
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		1,524,115		1,524,115

	Principal Amount		Market Value
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006	$	1,524,115	$	1,524,115
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		1,016,077		1,016,077
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		1,016,077		1,016,077
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006		508,038		508,038
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		1,016,077		1,016,077
				46,477,839
Repurchase Agreement — 1.3%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(e)		14,022,791		14,022,791
TOTAL SHORT-TERM INVESTMENTS (Cost $60,500,630)				60,500,630
TOTAL INVESTMENTS — 104.6% (Cost $1,014,705,855)(f)				1,175,133,760
Other Assets/ (Liabilities) — (4.6%)				(51,326,324	)
NET ASSETS — 100.0%			$	1,123,807,436

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. (Note 2).

(d) Represents investments of security lending collateral. (Note 2).

(e) Maturity value of $14,027,173. Collateralized by U.S. Government Agency obligations with a rate of 4.42%, and aggregate market value, including accrued interest, of $14,723,930.

(f) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

MassMutual Select Value Equity Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 99.1%
COMMON STOCK
Advertising — 0.2%
Clear Channel Outdoor Holdings, Inc. Cl. A(a)		5,000	$	104,800
Lamar Advertising Co.(a)		2,450		131,957
				236,757
Aerospace & Defense — 5.2%
European Aeronautic Defense and Space Co.(b)		4,100		116,739
General Dynamics Corp.		4,800		314,208
Goodrich Corp.		5,600		225,624
Honeywell International, Inc.		97,100		3,913,130
Raytheon Co.		5,100		227,307
Rockwell Collins, Inc.		3,000		167,610
United Technologies Corp.		3,150		199,773
				5,164,391
Air Transportation — 0.8%
ACE Aviation Holdings, Inc. Cl. A(a)		3,200		89,737
Airtran Holdings, Inc.(a) (b)		11,800		175,348
Grupo Aeroportuario del Pacifico SA de CV ADR (Mexico)		2,600		82,810
JetBlue Airways Corp.(a) (b)		9,050		109,867
Southwest Airlines Co.		11,700		191,529
UAL Corp.(a) (b)		3,700		114,774
				764,065
Apparel, Textiles & Shoes — 0.6%
Casual Male Retail Group, Inc.(a)		5,400		54,270
Deckers Outdoor Corp.(a) (b)		5,150		198,584
Eddie Bauer Holdings, Inc.(a)		3,300		37,950
The Gymboree Corp.(a)		4,200		145,992
Too, Inc.		2,700		103,653
VF Corp.		800		54,336
				594,785
Automotive & Parts — 0.5%
General Motors Corp.(b)		10,800		321,732
Hyundai Motor Co.		1,150		98,084
Renault SA		300		31,941
Tenneco, Inc.(a)		3,000		78,000
				529,757
Banking, Savings & Loans — 9.7%
Bank of America Corp.		42,458		2,042,230
Bank of China Ltd.-H(a)		76,000		34,491

	Number of Shares		Market Value
Capital One Financial Corp.		4,500	$	384,525
Fannie Mae		19,850		954,785
Freddie Mac		5,500		313,555
Golden West Financial Corp.		2,000		148,400
Hudson City Bancorp, Inc.		17,500		233,275
Investors Financial Services Corp.		4,200		188,580
JP Morgan Chase & Co.		56,656		2,379,552
Kookmin Bank Sponsored ADR (Korea)		3,000		249,180
Mizuho Financial Group, Inc.		23		195,379
Standard Chartered PLC		4,100		99,082
State Street Corp.		8,050		467,624
UBS AG		2,600		285,220
UCBH Holdings, Inc.		12,948		214,160
W Holding Co., Inc.(b)		2,385		15,860
Wachovia Corp.		16,357		884,587
Wells Fargo & Co.		6,600		442,728
				9,533,213
Beverages — 0.5%
The Coca-Cola Co.		8,500		365,670
Diageo PLC Sponsored ADR (United Kingdom)		1,650		111,457
				477,127
Broadcasting, Publishing & Printing — 1.6%
CBS Corp. Cl. B		4,239		114,665
Clear Channel Communications, Inc.		7,850		242,957
Comcast Corp. Cl. A(a)		15,200		497,648
Time Warner, Inc.		17,650		305,345
Univision Communications, Inc. Cl. A(a)		9,800		328,300
Viacom, Inc. Cl. B(a)		3,339		119,670
				1,608,585
Building Materials & Construction — 0.8%
Chemed Corp.		2,300		125,419
Interline Brands, Inc.(a)		6,000		140,280
Masco Corp.		18,400		545,376
				811,075
Chemicals — 2.0%
Chemtura Corp.		15,200		141,968
Cytec Industries, Inc.(b)		4,100		220,006
Du Pont (E.I.) de Nemours & Co.		19,000		790,400
Georgia Gulf Corp.		3,750		93,825
Lyondell Chemical Co.		7,805		176,861
Nova Chemicals Corp.		1,700		48,943

	Number of Shares		Market Value
Nova Chemicals Corp. (CAD)(c)		4,050	$	116,891
Praxair, Inc.		7,800		421,200
				2,010,094
Commercial Services — 3.9%
ABB Ltd. Sponsored ADR (Switzerland)		13,800		178,848
Allied Waste Industries, Inc.(a) (b)		9,400		106,784
Apollo Group, Inc. Cl. A(a) (b)		4,400		227,348
The Brink's Co.		5,750		324,357
Cendant Corp.		17,700		288,333
Cintas Corp.		3,600		143,136
Dycom Industries, Inc.(a)		9,900		210,771
eBay, Inc.(a)		3,800		111,302
Ecolab, Inc.(b)		9,100		369,278
Fluor Corp.		5,900		548,287
Jacobs Engineering Group, Inc.(a)		3,050		242,902
MasterCard, Inc. Cl. A(a)		2,100		100,800
Paychex, Inc.		3,200		124,736
PerkinElmer, Inc.		5,400		112,860
Robert Half International, Inc.(b)		9,470		397,740
Service Corp. International		19,900		161,986
Smiths Group PLC		11,600		189,304
				3,838,772
Communications — 1.4%
Alcatel SA Sponsored ADR (France)(a)		14,300		180,323
American Tower Corp. Cl. A(a) (b)		12,750		396,780
L-3 Communications Holdings, Inc.		1,400		105,588
Lucent Technologies, Inc.(a)		51,100		123,662
Nokia Oyj Sponsored ADR (Finland)		17,600		356,576
Nortel Networks Corp.(a)		60,200		134,848
Nortel Networks Corp. CAD(a) (c)		18,200		40,634
				1,338,411
Communications Equipment — 0.1%
Motorola, Inc.		4,200		84,630
Computer Integrated Systems Design — 0.1%
Teradyne, Inc.(a) (b)		8,800		122,584

(Continued)

The accompanying notes are an integral part of the financial statements.

100

MassMutual Select Value Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Computer Programming Services — 0.1%
Infosys Technologies Ltd. Sponsored ADR (India)(b)		1,400	$	106,974
Computers & Information — 0.9%
Comverse Technology, Inc.(a) (b)		2,950		58,321
Jabil Circuit, Inc.		2,700		69,120
Satyam Computer Services Ltd. ADR		1,100		36,454
Seagate Technology(a)		11,650		263,756
Symbol Technologies, Inc.		29,300		316,147
Zebra Technologies Corp. Cl. A(a)		4,050		138,348
				882,146
Computers & Office Equipment — 1.5%
Hewlett-Packard Co.		43,900		1,390,752
Xerox Corp.(a) (b)		7,300		101,543
				1,492,295
Containers — 0.5%
Ball Corp.		2,150		79,636
Owens-Illinois, Inc.(a)		7,400		124,024
Smurfit-Stone Container Corp.(a)		22,725		248,611
				452,271
Cosmetics & Personal Care — 2.3%
Alberto-Culver Co.		2,100		102,312
Avon Products, Inc.		27,750		860,250
Colgate-Palmolive Co.		21,400		1,281,860
				2,244,422
Data Processing & Preparation — 0.4%
First Data Corp.		6,450		290,508
IMS Health, Inc.		3,000		80,550
				371,058
Diversified Financial — 0.3%
Nomura Holdings, Inc.		15,800		296,864
Electric Utilities — 1.6%
AES Corp.(a)		6,250		115,312
CMS Energy Corp.(a)		22,800		295,032
Exelon Corp.		8,500		483,055
Mirant Corp.(a) (b)		11,500		308,200
PPL Corp.		10,800		348,840
				1,550,439
Electrical Equipment & Electronics — 6.5%
Freescale Semiconductor, Inc. Cl. A(a)		7,700		223,300
General Electric Co.(b)		112,600		3,711,296
Hexcel Corp.(a)		23,450		368,399
Intel Corp.		8,300		157,285

	Number of Shares		Market Value
Marvell Technology Group Ltd.(a)		3,447	$	152,806
Micron Technology, Inc.(a)		30,200		454,812
Molex, Inc.		5,400		181,278
Rockwell Automation, Inc.		3,200		230,432
Samsung Electronics Co. Ltd.		185		118,069
Sony Corp. Sponsored ADR (Japan)		12,250		539,490
Spansion LLC Cl. A(a) (b)		1,900		30,286
Vishay Intertechnology, Inc.(a) (b)		12,150		191,119
Xilinx, Inc.		3,000		67,950
				6,426,522
Electronics — 0.1%
Imation Corp.		3,500		143,675
Energy — 11.2%
Anadarko Petroleum Corp.		7,600		362,444
Ashland, Inc.		1,800		120,060
BJ Services Co.		4,228		157,535
Chevron Corp.(b)		14,116		876,039
ConocoPhillips		3,840		251,635
El Paso Corp.(b)		22,650		339,750
EOG Resources, Inc.(b)		3,500		242,690
Exxon Mobil Corp.		40,200		2,466,270
GlobalSantaFe Corp.		7,250		418,687
Halliburton Co.		22,250		1,651,173
Hess Corp.		6,200		327,670
Hugoton Royalty Trust(b)		381		11,316
National Oilwell Varco, Inc.(a)		18,102		1,146,219
Noble Corp.		2,800		208,376
Occidental Petroleum Corp.		3,450		353,798
Quicksilver Resources, Inc.(a) (b)		14,850		546,629
Schlumberger Ltd.(b)		9,900		644,589
Ultra Petroleum Corp.(a)		2,400		142,248
Valero Energy Corp.		8,200		545,464
XTO Energy, Inc.		4,900		216,923
				11,029,515
Entertainment & Leisure — 1.6%
Gaylord Entertainment(a) (b)		4,100		178,924
Leapfrog Enterprises, Inc.(a) (b)		2,400		24,240
Live Nation, Inc.(a)		2,300		46,828
Macrovision Corp.(a)		5,100		109,752
News Corp., Inc. Cl. A		17,982		344,895
The Walt Disney Co.		28,500		855,000
				1,559,639
Financial Services — 3.9%
Annaly Mortgage Management, Inc. REIT(b)		6,200		79,422

	Number of Shares		Market Value
The Bear Stearns Cos., Inc.		800	$	112,064
Citigroup, Inc.		35,700		1,722,168
Doral Financial Corp.(b)		17,800		114,098
Equity Lifestyle Properties, Inc. REIT		2,300		100,809
IntercontinentalExchange, Inc.(a)		100		5,794
Lehman Brothers Holdings, Inc.		5,500		358,325
Merrill Lynch & Co., Inc.		2,500		173,900
Morgan Stanley		16,300		1,030,323
The Charles Schwab Corp.		11,900		190,162
				3,887,065
Foods — 1.6%
Carrefour SA		1,400		81,476
The Kroger Co.		36,750		803,355
McCormick & Co., Inc.		6,700		224,785
Nestle SA		529		164,578
Safeway, Inc.		9,200		239,200
Tyson Foods, Inc. Cl. A		6,500		96,590
				1,609,984
Forest Products & Paper — 0.2%
Packaging Corp. of America		9,300		204,786
Healthcare — 0.1%
HCA, Inc.		800		34,520
UnitedHealth Group, Inc.		1,550		69,409
				103,929
Heavy Machinery — 0.1%
Atlas Copco AB Cl. A		1,800		49,541
Home Construction, Furnishings & Appliances — 0.2%
Whirlpool Corp.		2,100		173,565
Industrial – Diversified — 1.1%
Cooper Industries Ltd. Cl. A		1,700		157,964
Textron, Inc.		2,700		248,886
Tyco International Ltd.		26,150		719,125
				1,125,975
Information Retrieval Services — 0.7%
Google, Inc. Cl. A(a)		1,375		576,579
WebMD Health Corp. Cl. A(a) (b)		2,200		104,060
				680,639
Insurance — 8.2%
ACE Ltd.		20,800		1,052,272
American International Group, Inc.		58,000		3,424,900
Aspen Insurance Holdings Ltd.		7,700		179,333
W.R. Berkley Corp.		17,425		594,715

(Continued)

The accompanying notes are an integral part of the financial statements.

101

MassMutual Select Value Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Endurance Specialty Holdings Ltd.		2,900	$	92,800
The Hartford Financial Services Group, Inc.		12,950		1,095,570
Hilb, Rogal & Hobbs Co.		4,200		156,534
Muenchener Rueckversicherungs AG		1,000		135,556
Navigators Group, Inc.(a)		1,200		52,584
PartnerRe Ltd.(b)		10,000		640,500
Platinum Underwriters Holdings Ltd.		7,500		209,850
Scottish Re Group Ltd.		5,500		91,740
Swiss Reinsurance		1,593		110,245
XL Capital Ltd. Cl. A(b)		4,500		275,850
				8,112,449
Internet Content — 0.2%
BEA Systems, Inc.(a)		14,100		184,569
Internet Software — 0.1%
Covad Communications Group, Inc.(a)		40,000		80,400
Machinery & Components — 1.5%
Chicago Bridge & Iron Co. NV(b)		3,000		72,450
Deere & Co.		4,850		404,927
Flowserve Corp.(a)		2,500		142,250
FMC Technologies, Inc.(a)		4,500		303,570
Smith International, Inc.(b)		10,900		484,723
Watsco, Inc.		1,500		89,730
				1,497,650
Manufacturing — 0.1%
Applied Materials, Inc.		6,200		100,936
Medical Supplies — 3.9%
Agilent Technologies, Inc.(a)		9,250		291,930
Allergan, Inc.		1,050		112,623
Bard (C.R.), Inc.		2,753		201,685
Baxter International, Inc.		33,400		1,227,784
Cooper Cos., Inc.		1,500		66,435
Dionex Corp.(a)		2,450		133,917
Hologic, Inc.(a)		1,100		54,296
Illumina, Inc.(a)		2,600		77,116
Medtronic, Inc.		2,050		96,186
Thermo Electron Corp.(a) (b)		16,650		603,396
Varian Medical Systems, Inc.(a)		2,100		99,435
Varian, Inc.(a)		5,000		207,550
Waters Corp.(a)		15,000		666,000
				3,838,353
Metals & Mining — 2.4%
Alcoa, Inc.		15,600		504,816
Allegheny Technologies, Inc.		700		48,468

	Number of Shares		Market Value
CONSOL Energy, Inc.		5,300	$	247,616
Freeport-McMoRan Copper & Gold, Inc. Cl. B		2,200		121,902
Massey Energy Co.(b)		5,500		198,000
Mittal Steel Co. NV Cl. A ADR (Netherlands)(b)		8,700		265,437
Newmont Mining Corp.		13,350		706,616
Oregon Steel Mills, Inc.(a)		5,800		293,828
				2,386,683
Oil & Gas — 0.5%
Pride International, Inc.(a)		14,900		465,327
Pharmaceuticals — 7.0%
Alkermes, Inc.(a)		1,700		32,164
Alnylam Pharmaceuticals, Inc.(a) (b)		16,000		241,280
Amgen, Inc.(a)		700		45,661
Biogen Idec, Inc.(a)		5,550		257,132
Bristol-Myers Squibb Co.		23,600		610,296
Cephalon, Inc.(a) (b)		14,900		895,490
Inverness Medical Innovations, Inc.(a)		5,300		149,619
Johnson & Johnson		6,650		398,468
Merck & Co., Inc.		41,450		1,510,024
Neurocrine Biosciences, Inc.(a) (b)		4,400		46,640
Pfizer, Inc.		67,400		1,581,878
Schering-Plough Corp.		30,500		580,415
Teva Pharmaceutical Sponsored ADR (Israel)		1,800		56,862
Wyeth		11,000		488,510
				6,894,439
Photography Equipment/Supplies — 1.0%
Eastman Kodak Co.(b)		39,300		934,554
Prepackaged Software — 0.8%
Electronic Arts, Inc.(a)		1,950		83,928
Emdeon Corp.(a)		8,400		104,244
NAVTEQ Corp.(a)		2,450		109,466
Symantec Corp.(a)		26,900		418,026
TradeStation Group, Inc.(a) (b)		7,700		97,559
				813,223
Real Estate — 0.9%
Equity Office Properties Trust		5,600		204,456
Equity Residential REIT		9,950		445,064
General Growth Properties, Inc. REIT		5,330		240,170
				889,690

	Number of Shares		Market Value
Restaurants — 0.5%
McDonald's Corp.		14,200	$	477,120
Retail — 4.0%
99 Cents Only Stores(a)		9,300		97,278
Best Buy Co., Inc.		10,700		586,788
Circuit City Stores, Inc.		5,000		136,100
Coldwater Creek, Inc.(a)		7,800		208,728
CVS Corp.		8,600		264,020
Family Dollar Stores, Inc.		8,100		197,883
Federated Department Stores, Inc.		16,100		589,260
The Home Depot, Inc.		15,550		556,535
Kohl's Corp.(a)		6,600		390,192
Lotte Shopping Co. Ltd. GDR (Korea)(a) (b) (d)		6,800		132,244
OfficeMax, Inc.		1,300		52,975
Saks, Inc.		7,500		121,275
Staples, Inc.		8,500		206,720
The TJX Cos., Inc.		3,800		86,868
Wal-Mart Stores, Inc.		7,700		370,909
				3,997,775
Telephone Utilities — 4.4%
AT&T, Inc.		88,550		2,469,660
Mastec, Inc.(a)		8,500		112,285
Sprint Nextel Corp.		29,566		591,024
TELUS Corp. CAD(c)		4,300		178,186
Verizon Communications, Inc.		30,400		1,018,096
				4,369,251
Tobacco — 1.0%
Altria Group, Inc.		13,500		991,305
Transportation — 0.3%
EGL, Inc.(a)		2,200		110,440
OMI Corp.(b)		8,900		192,685
				303,125
Travel — 0.0%
Expedia, Inc.(a)		2,550		38,174
TOTAL EQUITIES (Cost $90,747,216)				97,880,573
	Principal Amount
SHORT-TERM INVESTMENTS — 15.5%
Cash Equivalents — 13.4%(f)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	144,895		144,895

(Continued)

The accompanying notes are an integral part of the financial statements.

102

MassMutual Select Value Equity Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006	$	144,902	$	144,902
American Beacon Money Market Fund(e)		147,788		147,788
Bank of America 5.270% 07/14/2006		289,805		289,805
Bank of America 5.310% 03/08/2007		289,805		289,805
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		289,805		289,805
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		289,805		289,805
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		434,707		434,707
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		521,648		521,648
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		289,805		289,805
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		289,805		289,805
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		724,511		724,511
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		376,746		376,746
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		230,681		230,681
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006		347,765		347,765
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		289,805		289,805
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		289,805		289,805
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006		289,805		289,805
Freddie Mac Discount Note 5.191% 07/25/2006		172,950		172,950

	Principal Amount		Market Value
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006	$	202,863	$	202,863
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		289,805		289,805
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		1,014,316		1,014,316
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		344,059		344,059
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		289,805		289,805
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		289,805		289,805
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		376,746		376,746
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		434,707		434,707
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		971,571		971,571
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		492,668		492,668
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		811,453		811,453
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		434,707		434,707
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006		434,707		434,707
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		289,805		289,805
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		289,805		289,805
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006		144,902		144,902
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		289,805		289,805
				13,256,367

	Principal Amount		Market Value
Repurchase Agreement — 2.1%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(g)	$	2,098,948	$	2,098,948
TOTAL SHORT-TERM INVESTMENTS (Cost $15,355,315)				15,355,315
TOTAL INVESTMENTS — 114.6% (Cost $106,102,531)(h)				113,235,888
Other Assets/ (Liabilities) — (14.6%)				(14,414,080	)
NET ASSETS — 100.0%			$	98,821,808

Notes to Portfolio of Investments

ADR - American Depository Receipt

CAD - Canadian Dollar

GDR - Global Depository Receipt

REIT - Real Estate Investment Trust

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. (Note 2).

(d) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2006, these securities amounted to a value of $132,244 or 0.1% of net assets.

(e) Amount represents shares owned of the fund.

(f) Represents investments of security lending collateral. (Note 2).

(g) Maturity value of $2,099,604. Collateralized by U.S. Government Agency obligation with a rate of 8.125%, maturity date of 08/25/2026, and an aggregate market value, including accrued interest, of $2,203,896.

(h) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

103

MassMutual Select Large Cap Value Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 97.6%
COMMON STOCK
Advertising — 0.3%
WPP Group PLC Sponsored ADR (United Kingdom)		64,900	$	3,912,821
Automotive & Parts — 1.8%
Harley-Davidson, Inc.		474,800		26,061,772
Banking, Savings & Loans — 14.6%
Commerce Bancorp, Inc.(a)		234,100		8,350,347
Golden West Financial Corp.		692,900		51,413,180
HSBC Holdings PLC		2,596,283		45,448,796
JP Morgan Chase & Co.		1,428,988		60,017,496
Lloyds TSB Group PLC Sponsored ADR (United Kingdom)(a)		260,800		10,293,776
State Street Corp.		47,500		2,759,275
Wells Fargo & Co.		587,700		39,422,916
				217,705,786
Beverages — 2.0%
Diageo PLC Sponsored ADR (United Kingdom)		269,200		18,184,460
Heineken Holding NV Cl. A(a)		327,550		12,000,177
				30,184,637
Broadcasting, Publishing & Printing — 4.6%
Comcast Corp. Special, Cl. A(b)		1,348,500		44,203,830
Gannett Co., Inc.		71,600		4,004,588
Lagardere S.C.A. SA(a)		170,000		12,453,777
Liberty Media Holding Corp. Capital Cl. A(b)		50,320		4,215,306
Liberty Media Holding Corp. Interactive Cl. A(b)		251,600		4,342,616
				69,220,117
Building Materials & Construction — 1.5%
Martin Marietta Materials, Inc.		134,300		12,241,445
Vulcan Materials Co.		133,800		10,436,400
				22,677,845
Commercial Services — 5.0%
Apollo Group, Inc. Cl. A(b)		111,000		5,735,370

	Number of Shares		Market Value
Block (H&R), Inc.(a)		750,000	$	17,895,000
Cosco Pacific Ltd.		2,169,300		4,811,980
Dun & Bradstreet Corp.(b)		143,050		9,967,724
Iron Mountain, Inc.(b)		514,500		19,232,010
Moody's Corp.		323,900		17,639,594
				75,281,678
Communications — 1.3%
Nokia Oyj Sponsored ADR (Finland)		198,000		4,011,480
NTL, Inc.(a)		302,138		7,523,236
SK Telecom Co. Ltd. ADR (South Korea)(a)		350,300		8,204,026
				19,738,742
Computer Related Services — 0.2%
IAC/InterActiveCorp(a) (b)		104,948		2,780,073
Computers & Information — 0.7%
Dell, Inc.(b)		424,400		10,359,604
Computers & Office Equipment — 0.6%
Hewlett-Packard Co.		267,800		8,483,904
Containers — 2.0%
Sealed Air Corp.(a)		570,000		29,685,600
Cosmetics & Personal Care — 1.5%
Avon Products, Inc.		200,300		6,209,300
The Procter & Gamble Co.		285,200		15,857,120
				22,066,420
Energy — 12.1%
BHP Billiton PLC		199,200		3,865,995
ConocoPhillips		944,092		61,866,349
Devon Energy Corp.		535,600		32,355,596
EOG Resources, Inc.		457,100		31,695,314
Occidental Petroleum Corp.		363,200		37,246,160
Transocean, Inc.(b)		169,500		13,614,240
				180,643,654
Entertainment & Leisure — 1.6%
News Corp., Inc. Cl. A		1,263,000		24,224,340
Financial Services — 12.0%
American Express Co.		1,257,500		66,924,150
Ameriprise Financial, Inc.		344,360		15,382,561
Berkshire Hathaway, Inc. Cl. A(b)		594		54,445,446

	Number of Shares		Market Value
Citigroup, Inc.(a)		671,400	$	32,388,336
Morgan Stanley		150,900		9,538,389
				178,678,882
Foods — 0.7%
The Hershey Co.(a)		190,000		10,463,300
Healthcare — 2.8%
Caremark Rx, Inc.		375,700		18,736,159
HCA, Inc.		538,600		23,240,590
				41,976,749
Household Products — 0.2%
Hunter Douglas NV		45,362		3,036,800
Industrial – Diversified — 4.1%
Tyco International Ltd.		2,229,024		61,298,160
Insurance — 10.9%
American International Group, Inc.		989,300		58,418,165
Aon Corp.		301,500		10,498,230
Chubb Corp.		83,400		4,161,660
Loews Corp.		839,700		29,767,365
Markel Corp.(a) (b)		3,000		1,041,000
Principal Financial Group, Inc.		94,100		5,236,665
Progressive Corp.		1,458,800		37,505,748
Sun Life Financial, Inc.		59,800		2,387,814
Transatlantic Holdings, Inc.		255,462		14,280,326
				163,296,973
Metals & Mining — 0.3%
Rio Tinto PLC		70,700		3,677,300
Pharmaceuticals — 0.9%
Cardinal Health, Inc.		218,000		14,023,940
Prepackaged Software — 2.0%
Microsoft Corp.		1,271,400		29,623,620
Retail — 6.7%
Bed Bath & Beyond, Inc.(b)		118,400		3,927,328
Costco Wholesale Corp.		1,157,200		66,110,836
Wal-Mart Stores, Inc.		626,600		30,183,322
				100,221,486
Telephone Utilities — 1.3%
Sprint Nextel Corp.		992,800		19,846,072
Tobacco — 4.4%
Altria Group, Inc.		901,600		66,204,488

(Continued)

The accompanying notes are an integral part of the financial statements.

104

MassMutual Select Large Cap Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Transportation — 1.4%
China Merchants Holdings International Co. Ltd.		2,466,000	$	7,515,619
Kuehne & Nagel International AG		70,750		5,106,943
United Parcel Service, Inc. Cl. B		106,800		8,792,844
				21,415,406
Travel — 0.1%
Expedia, Inc.(b)		108,948		1,630,952
TOTAL EQUITIES (Cost $1,121,817,379)				1,458,421,121
	Principal Amount
SHORT-TERM INVESTMENTS — 5.5%
Cash Equivalents — 4.1%(d)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	670,514		670,514
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		670,514		670,514
American Beacon Money Market Fund(c)		683,868		683,868
Bank of America 5.270% 07/14/2006		1,341,029		1,341,029
Bank of America 5.310% 03/08/2007		1,341,029		1,341,029
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		1,341,029		1,341,029
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		1,341,029		1,341,029
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		2,011,543		2,011,543
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		2,413,851		2,413,851
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		1,341,029		1,341,029
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		1,341,029		1,341,029
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		3,352,571		3,352,571

	Principal Amount		Market Value
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006	$	1,743,337	$	1,743,337
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		1,067,441		1,067,441
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006		1,609,234		1,609,234
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		1,341,029		1,341,029
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		1,341,029		1,341,029
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006		1,341,029		1,341,029
Freddie Mac Discount Note 5.191% 07/25/2006		800,303		800,303
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		938,720		938,720
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		1,341,029		1,341,029
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		4,693,600		4,693,600
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		1,592,085		1,592,085
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		1,341,029		1,341,029
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		1,341,029		1,341,029
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		1,743,337		1,743,337
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		2,011,543		2,011,543
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		4,495,807		4,495,807
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		2,279,748		2,279,748

	Principal Amount		Market Value
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006	$	3,754,880	$	3,754,880
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		2,011,543		2,011,543
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006		2,011,543		2,011,543
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		1,341,022		1,341,022
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		1,341,029		1,341,029
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006		670,514		670,514
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		1,341,029		1,341,029
				61,341,924
Repurchase Agreement — 1.4%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(e)		20,455,756		20,455,756
TOTAL SHORT-TERM INVESTMENTS (Cost $81,797,680)				81,797,680
TOTAL INVESTMENTS — 103.1% (Cost $1,203,615,059)(f)				1,540,218,801
Other Assets/ (Liabilities) — (3.1%)				(46,519,890	)
NET ASSETS — 100.0%			$	1,493,698,911

Notes to Portfolio of Investments

ADR - American Depository Receipt

(a) Denotes all or a portion of security on loan. (Note 2).

(b) Non-income producing security.

(d) Represents investments of security lending collateral. (Note 2).

(e) Maturity value of $20,462,149. Collateralized by a U.S. Government Agency obligation with a rate of 5.599%, maturity date of 06/15/2034, and an aggregate market value, including accrued interest, of $21,478,544.

(f) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

105

MassMutual Select Indexed Equity Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 97.9%
COMMON STOCK
Advertising — 0.2%
Interpublic Group of Companies, Inc.(a) (b)		69,243	$	578,179
Monster Worldwide, Inc.(a)		21,818		930,756
Omnicom Group, Inc.		30,014		2,673,947
				4,182,882
Aerospace & Defense — 2.3%
Boeing Co.		134,840		11,044,744
General Dynamics Corp.		67,708		4,432,166
Goodrich Corp.		21,290		857,774
Honeywell International, Inc.(b)		140,010		5,642,403
Lockheed Martin Corp.		60,407		4,333,598
Northrop Grumman Corp.		59,078		3,784,537
Raytheon Co.		74,600		3,324,922
Rockwell Collins, Inc.		28,832		1,610,844
United Technologies Corp.		171,162		10,855,094
				45,886,082
Air Transportation — 0.1%
Southwest Airlines Co.		122,465		2,004,752
Apparel, Textiles & Shoes — 0.6%
Coach, Inc.(a)		63,800		1,907,620
The Gap, Inc.		96,703		1,682,632
Jones Apparel Group, Inc.		18,189		578,228
Limited Brands		58,259		1,490,848
Liz Claiborne, Inc.		17,292		640,842
Nike, Inc. Cl. B		31,883		2,582,523
Nordstrom, Inc.		37,376		1,364,224
VF Corp.		16,202		1,100,440
				11,347,357
Automotive & Parts — 0.6%
AutoNation, Inc.(a)		28,468		610,354
Cooper Tire & Rubber Co.(b)		12,730		141,812
Ford Motor Co.(b)		314,114		2,176,810
General Motors Corp.(b)		95,245		2,837,349
Genuine Parts Co.		28,112		1,171,146
The Goodyear Tire & Rubber Co.(a) (b)		28,776		319,414
Harley-Davidson, Inc.		45,936		2,521,427
Navistar International Corp.(a)		10,309		253,704

	Number of Shares		Market Value
Paccar, Inc.(b)		28,804	$	2,372,874
				12,404,890
Banking, Savings & Loans — 9.4%
AmSouth Bancorporation		56,694		1,499,556
Bank of America Corp.		769,376		37,006,986
Bank of New York Co., Inc. (The)		130,003		4,186,097
BB&T Corp.(b)		93,216		3,876,853
Capital One Financial Corp.		50,446		4,310,611
Comerica, Inc.		29,576		1,537,656
Commerce Bancorp, Inc.(b)		31,000		1,105,770
Compass Bancshares, Inc.		23,000		1,278,800
Fannie Mae		163,079		7,844,100
Fifth Third Bancorp(b)		97,188		3,591,097
First Horizon National Corp.(b)		23,000		924,600
Freddie Mac		116,428		6,637,560
Golden West Financial Corp.		43,358		3,217,164
JP Morgan Chase & Co.		587,448		24,672,816
KeyCorp(b)		67,168		2,396,554
M&T Bank Corp.		14,400		1,698,048
Marshall and Ilsley Corp.		33,500		1,532,290
Mellon Financial Corp.		68,468		2,357,353
National City Corp.		95,871		3,469,571
North Fork Bancorporation, Inc.		80,200		2,419,634
Northern Trust Corp.		30,893		1,708,383
Regions Financial Corp.		75,642		2,505,263
SLM Corp.		70,331		3,721,917
Sovereign Bancorp, Inc.		61,940		1,257,991
State Street Corp.		55,068		3,198,900
SunTrust Banks, Inc.		61,634		4,700,209
Synovus Financial Corp.		50,199		1,344,329
U.S. Bancorp(b)		303,534		9,373,130
Wachovia Corp.		273,415		14,786,283
Washington Mutual, Inc.		161,999		7,383,914
Wells Fargo & Co.		282,437		18,945,874
Zions Bancorp		16,500		1,286,010
				185,775,319
Beverages — 2.1%
Anheuser-Busch Cos., Inc.		129,696		5,912,841
Brown-Forman Corp. Cl. B		14,942		1,071,192
The Coca-Cola Co.		347,172		14,935,339

	Number of Shares		Market Value
Coca-Cola Enterprises, Inc.(b)		50,343	$	1,025,487
Constellation Brands, Inc. Cl. A(a) (b)		32,500		812,500
Molson Coors Brewing Co. Cl. B		10,265		696,788
The Pepsi Bottling Group, Inc.		25,482		819,246
PepsiCo, Inc.		279,166		16,761,127
				42,034,520
Broadcasting, Publishing & Printing — 2.3%
CBS Corp. Cl. B		130,209		3,522,153
Clear Channel Communications, Inc.		87,721		2,714,965
Comcast Corp. Cl. A(a) (b)		360,396		11,799,365
Dow Jones & Co., Inc.(b)		9,857		345,094
Gannett Co., Inc.		40,471		2,263,543
The McGraw-Hill Companies, Inc.		62,388		3,133,749
Meredith Corp.		5,689		281,833
New York Times Co. Cl. A(b)		23,000		564,420
The Scripps (E.W.) Co. Cl. A		14,400		621,216
Time Warner, Inc.		721,894		12,488,766
Tribune Co.		44,295		1,436,487
Univision Communications, Inc. Cl. A(a)		37,700		1,262,950
Viacom, Inc. Cl. B(a)		130,209		4,666,691
				45,101,232
Building Materials & Construction — 0.2%
Louisiana-Pacific Corp.(b)		18,184		398,230
Masco Corp.(b)		72,992		2,163,483
Vulcan Materials Co.		16,678		1,300,884
				3,862,597
Chemicals — 1.3%
Air Products & Chemicals, Inc.		37,005		2,365,360
Dow Chemical Co.		163,020		6,362,671
Du Pont (E.I.) de Nemours & Co.		155,150		6,454,240
Eastman Chemical Co.		14,135		763,290
Hercules, Inc.(a)		16,489		251,622
International Flavors & Fragrances, Inc.		14,182		499,774
Monsanto Co.		45,424		3,824,246
PPG Industries, Inc.		27,708		1,828,728

(Continued)

The accompanying notes are an integral part of the financial statements.

106

MassMutual Select Indexed Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Praxair, Inc.		53,456	$	2,886,624
Rohm & Haas Co.		24,284		1,217,114
				26,453,669
Commercial Services — 1.5%
Allied Waste Industries, Inc.(a) (b)		36,834		418,434
Apollo Group, Inc. Cl. A(a) (b)		23,900		1,234,913
Block (H&R), Inc.(b)		53,296		1,271,643
Cendant Corp.		169,944		2,768,388
Cintas Corp.(b)		23,900		950,264
Convergys Corp.(a)		20,871		406,984
Donnelley (R.R.) & Sons Co.		34,815		1,112,339
eBay, Inc.(a)		194,400		5,693,976
Ecolab, Inc.		33,258		1,349,610
Equifax, Inc.		23,249		798,371
Fluor Corp.		14,135		1,313,566
Moody's Corp.		42,072		2,291,241
Paychex, Inc.		56,306		2,194,808
PerkinElmer, Inc.		20,474		427,907
Public Storage, Inc.(b)		15,200		1,153,680
Quest Diagnostics, Inc.		27,770		1,663,978
Robert Half International, Inc.(b)		27,900		1,171,800
Ryder System, Inc.(b)		10,705		625,493
Waste Management, Inc.		93,097		3,340,320
				30,187,715
Communications — 1.0%
ADC Telecommunications, Inc.(a)		21,270		358,612
Andrew Corp.(a) (b)		30,142		267,058
Avaya, Inc.(a)		70,875		809,392
Ciena Corp.(a) (b)		98,100		471,861
Citizens Communications Co.		54,100		706,005
L-3 Communications Holdings, Inc.		19,800		1,493,316
Lucent Technologies, Inc.(a)		743,752		1,799,880
Network Appliance, Inc.(a) (b)		63,038		2,225,241
Qualcomm, Inc.		279,118		11,184,258
Tellabs, Inc.(a)		75,923		1,010,535
				20,326,158
Communications Equipment — 0.4%
Motorola, Inc.		421,302		8,489,235
Computer Integrated Systems Design — 0.3%
Autodesk, Inc.(a)		38,912		1,340,908
Computer Sciences Corp.(a)		32,296		1,564,418

	Number of Shares		Market Value
Parametric Technology Corp.(a)		17,475	$	222,107
Sun Microsystems, Inc.(a)		583,304		2,420,712
Teradyne, Inc.(a) (b)		36,406		507,136
Unisys Corp.(a)		54,051		339,440
				6,394,721
Computer Programming Services — 0.0%
VeriSign, Inc.(a)		41,500		961,555
Computers & Information — 3.5%
Apple Computer, Inc.(a)		143,550		8,199,576
Cisco Systems, Inc.(a)		1,036,587		20,244,544
Comverse Technology, Inc.(a) (b)		33,129		654,960
Dell, Inc.(a)		382,948		9,347,761
EMC Corp.(a)		400,533		4,393,847
Gateway, Inc.(a)		48,768		92,659
International Business Machines Corp.		264,102		20,288,316
International Game Technology		58,156		2,206,439
Jabil Circuit, Inc.		29,600		757,760
Lexmark International, Inc.(a)		19,428		1,084,665
SanDisk Corp.(a)		31,100		1,585,478
Solectron Corp.(a)		159,353		544,987
Symbol Technologies, Inc.		41,722		450,180
				69,851,172
Computers & Office Equipment — 1.0%
Electronic Data Systems Corp.		87,423		2,103,397
Hewlett-Packard Co.		470,252		14,897,583
Pitney Bowes, Inc.		37,255		1,538,631
Xerox Corp.(a) (b)		159,977		2,225,280
				20,764,891
Containers — 0.2%
Ball Corp.		17,608		652,200
Bemis Co., Inc.		15,988		489,553
Pactiv Corp.(a) (b)		23,598		584,050
Sealed Air Corp.(b)		13,948		726,412
Temple-Inland, Inc.		18,886		809,643
				3,261,858
Cosmetics & Personal Care — 2.3%
Alberto-Culver Co.		12,847		625,906
Avon Products, Inc.		78,538		2,434,678
Colgate-Palmolive Co.		86,819		5,200,458
The Estee Lauder Cos., Inc. Cl. A		20,400		788,868
Kimberly-Clark Corp.		77,681		4,792,918
The Procter & Gamble Co.		554,323		30,820,359
				44,663,187

	Number of Shares		Market Value
Data Processing & Preparation — 0.7%
Affiliated Computer Services, Inc. Cl. A(a)		20,100	$	1,037,361
Automatic Data Processing, Inc.		96,708		4,385,708
First Data Corp.		129,251		5,821,465
Fiserv, Inc.(a)		33,001		1,496,925
IMS Health, Inc.		36,625		983,381
NCR Corp.(a)		30,436		1,115,175
				14,840,015
Electric Utilities — 3.0%
AES Corp.(a)		108,153		1,995,423
Allegheny Energy, Inc.(a)		26,600		986,062
Ameren Corp.		33,242		1,678,721
American Electric Power Co., Inc.		65,708		2,250,499
CenterPoint Energy, Inc.		51,722		646,525
CMS Energy Corp.(a)		35,854		463,951
Consolidated Edison, Inc.		42,274		1,878,657
Constellation Energy Group, Inc.		29,264		1,595,473
Dominion Resources, Inc.		58,520		4,376,711
DTE Energy Co.		29,052		1,183,578
Duke Energy Corp.		211,668		6,216,689
Edison International		57,087		2,226,393
Entergy Corp.		34,706		2,455,449
Exelon Corp.(b)		112,448		6,390,420
FirstEnergy Corp.		57,987		3,143,475
FPL Group, Inc.(b)		66,230		2,740,597
NiSource, Inc.		43,285		945,344
PG&E Corp.(b)		60,481		2,375,694
Pinnacle West Capital Corp.		15,350		612,618
PPL Corp.		62,410		2,015,843
Progress Energy, Inc.(b)		44,121		1,891,467
Public Service Enterprise Group, Inc.		42,482		2,808,910
Southern Co.(b)		129,046		4,135,924
Teco Energy, Inc.		32,900		491,526
TXU Corp.		77,932		4,659,554
				60,165,503
Electrical Equipment & Electronics — 6.0%
Advanced Micro Devices, Inc.(a)		80,742		1,971,720
Altera Corp.(a)		61,004		1,070,620
American Power Conversion Corp.(b)		28,942		564,080
Analog Devices, Inc.		61,825		1,987,055
Broadcom Corp. Cl. A(a)		74,000		2,223,700
Emerson Electric Co.		69,354		5,812,559
Freescale Semiconductor, Inc. Cl. B(a)		67,309		1,978,885

(Continued)

The accompanying notes are an integral part of the financial statements.

107

MassMutual Select Indexed Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
General Electric Co.(b)		1,756,675	$	57,900,008
Intel Corp.		991,432		18,787,636
JDS Uniphase Corp.(a)		283,576		717,447
Johnson Controls, Inc.		31,902		2,622,982
Kla-Tencor Corp.		33,328		1,385,445
Linear Technology Corp.		51,949		1,739,772
LSI Logic Corp.(a) (b)		63,842		571,386
Maxim Integrated Products, Inc.		53,999		1,733,908
Micron Technology, Inc.(a)		103,380		1,556,903
Molex, Inc.		24,847		834,114
National Semiconductor Corp.		57,324		1,367,177
Novellus Systems, Inc.(a)		25,031		618,266
Nvidia Corp.(a)		58,400		1,243,336
PMC-Sierra, Inc.(a) (b)		33,079		310,943
QLogic Corp.(a)		29,600		510,304
Rockwell Automation, Inc.		30,132		2,169,805
Sanmina-SCI Corp.(a)		97,624		449,070
Texas Instruments, Inc.		269,669		8,168,274
Xilinx, Inc.		58,568		1,326,565
				119,621,960
Energy — 9.9%
Anadarko Petroleum Corp.		77,708		3,705,895
Apache Corp.		55,156		3,764,397
Ashland, Inc.		11,825		788,727
BJ Services Co.(b)		54,600		2,034,396
Chesapeake Energy Corp.(b)		63,000		1,905,750
Chevron Corp.(b)		375,216		23,285,905
ConocoPhillips		278,018		18,218,520
Devon Energy Corp.		74,500		4,500,545
Dynegy, Inc. Cl. A(a)		48,037		262,762
El Paso Corp.(b)		108,935		1,634,025
EOG Resources, Inc.		40,500		2,808,270
Exxon Mobil Corp.		1,019,998		62,576,877
Halliburton Co.		86,984		6,455,083
Hess Corp.(b)		40,080		2,118,228
Kerr-McGee Corp.		37,986		2,634,329
KeySpan Corp.		29,400		1,187,760
Kinder Morgan, Inc.		17,900		1,788,031
Marathon Oil Corp.		61,757		5,144,358
Murphy Oil Corp.(b)		27,300		1,524,978
Nabors Industries Ltd.(a)		51,738		1,748,227
National Oilwell Varco, Inc.(a)		29,500		1,867,940
Nicor, Inc.(b)		5,882		244,103
Noble Corp.		22,800		1,696,776
Occidental Petroleum Corp.		72,551		7,440,105
Peoples Energy Corp.		3,826		137,392

	Number of Shares		Market Value
Rowan Companies, Inc.		18,366	$	653,646
Schlumberger Ltd.		199,210		12,970,563
Sempra Energy		45,761		2,081,210
Sunoco, Inc.		22,612		1,566,785
Transocean, Inc.(a)		54,772		4,399,287
Valero Energy Corp.		105,000		6,984,600
Weatherford International Ltd.(a)		58,800		2,917,656
The Williams Cos., Inc.		98,991		2,312,430
Xcel Energy, Inc.		65,387		1,254,123
XTO Energy, Inc.		61,166		2,707,819
				197,321,498
Entertainment & Leisure — 1.1%
Brunswick Corp.		16,555		550,454
Harrah's Entertainment, Inc.		30,416		2,165,011
News Corp., Inc. Cl. A		404,500		7,758,310
The Walt Disney Co.		371,384		11,141,520
				21,615,295
Financial Services — 6.0%
American Express Co.		208,560		11,099,563
Ameriprise Financial, Inc.		41,692		1,862,382
Apartment Investment & Management Co. Cl. A(b)		18,000		782,100
Archstone-Smith Trust REIT		34,300		1,744,841
The Bear Stearns Cos., Inc.		19,695		2,758,876
CIT Group, Inc.		33,700		1,762,173
Citigroup, Inc.		841,141		40,576,642
Countrywide Financial Corp.		101,598		3,868,852
E*TRADE Financial Corp.(a)		70,400		1,606,528
Federated Investors, Inc. Cl. B		13,400		422,100
Franklin Resources, Inc.		24,830		2,155,492
The Goldman Sachs Group, Inc.		73,500		11,056,605
Huntington Bancshares, Inc.		46,621		1,099,323
Janus Capital Group, Inc.		37,194		665,773
Legg Mason, Inc.		22,300		2,219,296
Lehman Brothers Holdings, Inc.		91,036		5,930,995
Merrill Lynch & Co., Inc.		154,770		10,765,801
Morgan Stanley		180,999		11,440,947
PNC Financial Services Group, Inc.		48,513		3,404,157
The Charles Schwab Corp.		173,905		2,779,002
T. Rowe Price Group, Inc.		44,026		1,664,623
				119,666,071

	Number of Shares		Market Value
Food Retailers — 0.3%
Starbucks Corp.(a)		128,596	$	4,855,785
SuperValu, Inc.		34,841		1,069,619
				5,925,404
Foods — 1.6%
Archer-Daniels-Midland Co.		109,679		4,527,549
Campbell Soup Co.		30,846		1,144,695
ConAgra Foods, Inc.		85,169		1,883,087
Dean Foods Co.(a)		23,100		859,089
General Mills, Inc.		61,751		3,190,057
Heinz (H. J.) Co.		56,422		2,325,715
The Hershey Co.(b)		30,384		1,673,247
Kellogg Co.		43,216		2,092,951
The Kroger Co.		120,475		2,633,584
McCormick & Co., Inc.		21,000		704,550
Safeway, Inc.		78,777		2,048,202
Sara Lee Corp.		129,636		2,076,769
Sysco Corp.		104,378		3,189,792
Tyson Foods, Inc. Cl. A(b)		41,600		618,176
Wrigley (Wm.) Jr. Co.		39,255		1,780,607
				30,748,070
Forest Products & Paper — 0.4%
International Paper Co.		81,251		2,624,407
MeadWestvaco Corp.		30,750		858,848
Plum Creek Timber Co., Inc.		29,500		1,047,250
Weyerhaeuser Co.		41,011		2,552,935
				7,083,440
Healthcare — 1.3%
Caremark Rx, Inc.		75,600		3,770,172
Coventry Health Care, Inc.(a)		26,490		1,455,361
Express Scripts, Inc.(a)		24,700		1,771,978
HCA, Inc.		67,688		2,920,737
Health Management Associates, Inc. Cl. A		40,700		802,197
Humana, Inc.(a)		27,796		1,492,645
Laboratory Corp. of America Holdings(a)		21,800		1,356,614
Manor Care, Inc.(b)		14,481		679,449
Tenet Healthcare Corp.(a) (b)		76,128		531,373
UnitedHealth Group, Inc.		228,596		10,236,529
				25,017,055
Home Construction, Furnishings & Appliances — 0.4%
Centex Corp.(b)		20,810		1,046,743
D.R. Horton, Inc.(b)		45,100		1,074,282
Harman International Industries		11,100		947,607
KB Home		13,070		599,260

(Continued)

The accompanying notes are an integral part of the financial statements.

108

MassMutual Select Indexed Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Leggett & Platt, Inc.		30,747	$	768,060
Lennar Corp. Cl. A(b)		22,600		1,002,762
Pulte Homes, Inc.		35,792		1,030,452
Whirlpool Corp.		12,695		1,049,242
				7,518,408
Household Products — 0.7%
The Black & Decker Corp.		12,950		1,093,757
The Clorox Co.		24,515		1,494,680
Corning, Inc.(a)		261,261		6,319,904
Fortune Brands, Inc.		24,080		1,709,921
Newell Rubbermaid, Inc.		45,971		1,187,431
The Sherwin-Williams Co.		18,989		901,598
Snap-on, Inc.		8,403		339,649
The Stanley Works		13,555		640,067
				13,687,007
Industrial – Distribution — 0.1%
Grainger (W.W.), Inc.		13,766		1,035,616
Industrial – Diversified — 1.6%
3M Co.		127,198		10,273,781
Cooper Industries Ltd. Cl. A		14,965		1,390,548
Danaher Corp.		39,700		2,553,504
Eaton Corp.		25,256		1,904,302
Illinois Tool Works, Inc.(b)		69,066		3,280,635
ITT Industries, Inc.		30,910		1,530,045
Textron, Inc.		21,955		2,023,812
Tyco International Ltd.		339,654		9,340,485
				32,297,112
Information Retrieval Services — 1.2%
Google, Inc. Cl. A(a)		34,746		14,570,040
Juniper Networks, Inc.(a) (b)		95,400		1,525,446
Yahoo!, Inc.(a)		213,220		7,036,260
				23,131,746
Insurance — 5.3%
ACE Ltd.		53,500		2,706,565
Aetna, Inc.		95,596		3,817,148
AFLAC, Inc.		84,638		3,922,971
Allstate Corp.		108,715		5,949,972
Ambac Financial Group, Inc.		18,900		1,532,790
American International Group, Inc.		437,508		25,834,847
Aon Corp.		55,352		1,927,357
Chubb Corp.		65,418		3,264,358
Cigna Corp.		20,388		2,008,422
Cincinnati Financial Corp.		27,885		1,310,874

	Number of Shares		Market Value
Genworth Financial, Inc. Cl. A		62,900	$	2,191,436
The Hartford Financial Services Group, Inc.		50,834		4,300,556
Lincoln National Corp.		48,603		2,743,153
Loews Corp.		70,944		2,514,965
Marsh & McLennan Cos., Inc.		90,952		2,445,699
MBIA, Inc.(b)		23,611		1,382,424
Metlife, Inc.(b)		127,700		6,539,517
MGIC Investment Corp.		15,087		980,655
Principal Financial Group, Inc.		46,100		2,565,465
Progressive Corp.		131,148		3,371,815
Prudential Financial, Inc.		83,400		6,480,180
Safeco Corp.		22,325		1,258,014
St. Paul Travelers Cos.		117,259		5,227,406
Torchmark Corp.		18,026		1,094,539
UnumProvident Corp.(b)		53,425		968,595
WellPoint, Inc.(a)		107,440		7,818,409
XL Capital Ltd. Cl. A		29,400		1,802,220
				105,960,352
Lodging — 0.3%
Hilton Hotels Corp.		57,751		1,633,198
Marriott International, Inc. Cl. A		57,846		2,205,090
Starwood Hotels & Resorts Worldwide, Inc.		36,627		2,210,073
				6,048,361
Machinery & Components — 1.2%
Baker Hughes, Inc.		57,683		4,721,354
Caterpillar, Inc.		113,032		8,418,623
Cummins, Inc.(b)		7,473		913,574
Deere & Co.		39,913		3,332,336
Dover Corp.		32,859		1,624,220
Ingersoll-Rand Co. Cl. A		56,372		2,411,594
Pall Corp.		19,618		549,304
Parker Hannifin Corp.		19,998		1,551,845
				23,522,850
Manufacturing — 0.4%
American Standard Cos., Inc.		31,900		1,380,313
Applied Materials, Inc.		267,452		4,354,119
Avery Dennison Corp.		17,698		1,027,546
Millipore Corp.(a) (b)		8,181		515,321
				7,277,299
Medical Supplies — 2.0%
Agilent Technologies, Inc.(a)		72,205		2,278,790
Allergan, Inc.		25,329		2,716,789
Applera Corp. - Applied Biosystems Group		32,168		1,040,635

	Number of Shares		Market Value
Bard (C.R.), Inc.(b)		17,178	$	1,258,460
Bausch & Lomb, Inc.(b)		8,994		441,066
Baxter International, Inc.		108,426		3,985,740
Becton, Dickinson & Co.		41,946		2,564,159
Biomet, Inc.		42,094		1,317,121
Boston Scientific Corp.(a)		204,840		3,449,506
Fisher Scientific International, Inc.(a)		20,200		1,475,610
Medtronic, Inc.(b)		203,414		9,544,185
Patterson Cos., Inc.(a) (b)		23,300		813,869
St. Jude Medical, Inc.(a)		60,792		1,970,877
Stryker Corp.		49,602		2,088,740
Tektronix, Inc.		14,070		413,939
Thermo Electron Corp.(a) (b)		26,175		948,582
Waters Corp.(a)		17,700		785,880
Zimmer Holdings, Inc.(a)		41,178		2,335,616
				39,429,564
Metals & Mining — 1.0%
Alcoa, Inc.		146,966		4,755,820
Allegheny Technologies, Inc.(b)		14,547		1,007,234
CONSOL Energy, Inc.		16,449		768,497
Freeport-McMoRan Copper & Gold, Inc. Cl. B		30,783		1,705,686
Newmont Mining Corp.		74,897		3,964,298
Nucor Corp.		52,400		2,842,700
Phelps Dodge Corp.		34,078		2,799,848
United States Steel Corp.		18,356		1,287,123
				19,131,206
Pharmaceuticals — 8.1%
Abbott Laboratories		259,337		11,309,687
AmerisourceBergen Corp.		34,032		1,426,621
Amgen, Inc.(a)		198,790		12,967,072
Barr Pharmaceuticals(a)		18,200		867,958
Biogen Idec, Inc.(a) (b)		57,591		2,668,191
Bristol-Myers Squibb Co.		330,184		8,538,558
Cardinal Health, Inc.		71,279		4,585,378
Eli Lilly & Co.		190,395		10,523,132
Forest Laboratories, Inc.(a)		55,300		2,139,557
Genzyme Corp.(a)		43,800		2,673,990
Gilead Sciences, Inc.(a)		77,738		4,598,980
Hospira, Inc.(a)		26,193		1,124,727
Johnson & Johnson		501,600		30,055,872
King Pharmaceuticals, Inc.(a)		42,648		725,016
McKesson Corp.		51,398		2,430,097
Medco Health Solutions, Inc.(a)		51,241		2,935,084

(Continued)

The accompanying notes are an integral part of the financial statements.

109

MassMutual Select Indexed Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
MedImmune, Inc.(a)		42,169	$	1,142,780
Merck & Co., Inc.		368,562		13,426,714
Mylan Laboratories, Inc.		36,500		730,000
Pfizer, Inc.		1,240,021		29,103,293
Schering-Plough Corp.(b)		249,286		4,743,913
Sigma-Aldrich Corp.		12,351		897,177
Watson Pharmaceutical, Inc.(a)		18,371		427,677
Wyeth		226,504		10,059,043
				160,100,517
Photography Equipment/Supplies — 0.1%
Eastman Kodak Co.(b)		48,647		1,156,826
Prepackaged Software — 2.9%
Adobe Systems, Inc.(a)		101,044		3,067,696
BMC Software, Inc.(a)		35,631		851,581
CA, Inc.(b)		77,387		1,590,303
Citrix Systems, Inc.(a)		29,127		1,169,158
Compuware Corp.(a)		69,337		464,558
Electronic Arts, Inc.(a)		50,900		2,190,736
Intuit, Inc.(a)		29,800		1,799,622
Microsoft Corp.		1,479,090		34,462,797
Novell, Inc.(a) (b)		71,082		471,274
Oracle Corp.(a) (b)		656,528		9,513,091
Symantec Corp.(a)		175,782		2,731,652
				58,312,468
Real Estate — 0.7%
Boston Properties, Inc.(b)		15,200		1,374,080
Equity Office Properties Trust(b)		68,600		2,504,586
Equity Residential REIT		47,900		2,142,567
Kimco Realty Corp.(b)		34,100		1,244,309
ProLogis		40,900		2,131,708
Simon Property Group, Inc. REIT		30,800		2,554,552
Vornado Realty Trust(b)		19,800		1,931,490
				13,883,292
Restaurants — 0.6%
Darden Restaurants, Inc.		22,428		883,663
McDonald's Corp.		211,160		7,094,976
Wendy's International, Inc.		19,301		1,125,055
Yum! Brands, Inc.		47,420		2,383,803
				11,487,497
Retail — 4.8%
Amazon.com, Inc.(a) (b)		51,994		2,011,128
AutoZone, Inc.(a)		9,336		823,435
Bed Bath & Beyond, Inc.(a)		47,296		1,568,808
Best Buy Co., Inc.		68,311		3,746,175
Big Lots, Inc.(a)		18,996		324,452
Circuit City Stores, Inc.		27,459		747,434

	Number of Shares		Market Value
Costco Wholesale Corp.(b)		79,689	$	4,552,633
CVS Corp.		136,878		4,202,155
Dillards, Inc. Cl. A		11,365		361,975
Dollar General Corp.		52,431		732,985
Family Dollar Stores, Inc.		25,924		633,323
Federated Department Stores, Inc.		90,962		3,329,209
The Home Depot, Inc.		348,487		12,472,350
J.C. Penney Co., Inc.		39,161		2,643,759
Kohl's Corp.(a)		57,576		3,403,893
Lowe's Companies, Inc.(b)		131,750		7,993,273
Office Depot, Inc.(a)		49,859		1,894,642
OfficeMax, Inc.		13,101		533,866
RadioShack Corp.(b)		23,830		333,620
Sears Holdings Corp.(a) (b)		16,898		2,616,486
Staples, Inc.		122,784		2,986,107
Target Corp.		148,110		7,238,136
Tiffany & Co.		24,156		797,631
The TJX Cos., Inc.		77,860		1,779,880
Walgreen Co.		170,780		7,657,775
Wal-Mart Stores, Inc.		420,973		20,278,269
				95,663,399
Retail – Grocery — 0.1%
Whole Foods Market, Inc.		23,400		1,512,576
Telephone Utilities — 3.2%
Alltel Corp.		64,557		4,120,673
AT&T, Inc.		653,875		18,236,574
BellSouth Corp.		303,023		10,969,433
CenturyTel, Inc.		21,848		811,653
Embarq Corp.(a)		25,005		1,024,955
Qwest Communications International, Inc.(a)		259,121		2,096,289
Sprint Nextel Corp.		500,113		9,997,259
Verizon Communications, Inc.		493,263		16,519,378
				63,776,214
Tobacco — 1.5%
Altria Group, Inc.		351,739		25,828,195
Reynolds American, Inc.(b)		15,100		1,741,030
UST, Inc.(b)		29,387		1,327,999
				28,897,224
Toys, Games — 0.1%
Hasbro, Inc.		28,504		516,207
Mattel, Inc.		65,752		1,085,566
				1,601,773

	Number of Shares		Market Value
Transportation — 2.0%
Burlington Northern Santa Fe Corp.		62,856	$	4,981,338
Carnival Corp.		72,968		3,045,684
CSX Corp.		35,586		2,506,678
FedEx Corp.		51,212		5,984,634
Norfolk Southern Corp.		69,477		3,697,566
Union Pacific Corp.		44,438		4,130,956
United Parcel Service, Inc. Cl. B		184,000		15,148,720
				39,495,576
Travel — 0.0%
Sabre Holdings Corp. Cl. A(b)		23,928		526,416
TOTAL EQUITIES (Cost $1,749,114,839)				1,941,411,402
	Principal Amount
SHORT-TERM INVESTMENTS — 8.8%
Cash Equivalents — 6.7%(d)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	1,450,149		1,450,149
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		1,450,152		1,450,152
American Beacon Money Market Fund(c)		1,479,032		1,479,032
Bank of America 5.270% 07/14/2006		2,900,304		2,900,304
Bank of America 5.310% 03/08/2007		2,900,304		2,900,304
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		2,900,304		2,900,304
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		2,900,304		2,900,304
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		4,350,456		4,350,456
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		5,220,547		5,220,547
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		2,900,304		2,900,304
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		2,900,304		2,900,304

(Continued)

The accompanying notes are an integral part of the financial statements.

110

MassMutual Select Indexed Equity Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006	$	7,250,760	$	7,250,760
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		3,770,395		3,770,395
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		2,308,603		2,308,603
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006		3,480,365		3,480,365
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		2,900,304		2,900,304
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		2,900,304		2,900,304
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006		2,900,304		2,900,304
Freddie Mac Discount Note 5.191% 07/25/2006		1,730,852		1,730,852
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		2,030,213		2,030,213
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		2,900,304		2,900,304
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		10,151,064		10,151,064
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		3,443,274		3,443,274
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		2,900,304		2,900,304
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		2,900,304		2,900,304
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		3,770,395		3,770,395
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		4,350,456		4,350,456
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		9,723,287		9,723,287

	Principal Amount		Market Value
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006	$	4,930,517	$	4,930,517
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		8,120,851		8,120,851
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		4,350,456		4,350,456
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006		4,350,456		4,350,456
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		2,900,304		2,900,304
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		2,900,304		2,900,304
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006		1,450,152		1,450,152
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		2,900,304		2,900,304
				132,666,992
Repurchase Agreement — 2.0%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(e)		39,274,221		39,274,221
U.S. Treasury Bills — 0.1%
U.S. Treasury Bill 4.658% 09/21/2006		3,185,000		3,151,208
TOTAL SHORT-TERM INVESTMENTS (Cost $175,092,421)				175,092,421
TOTAL INVESTMENTS — 106.7% (Cost $1,924,207,260)(f)				2,116,503,823
Other Assets/ (Liabilities) — (6.7%)				(132,208,852	)
NET ASSETS — 100.0%			$	1,984,294,971

Notes to Portfolio of Investments

REIT - Real Estate Investment Trust

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. (Note 2).

(d) Represents investments of security lending collateral. (Note 2).

(e) Maturity value of $39,286,495. Collateralized by a U.S. Government Agency obligation with a rate of 5.55%, maturity date 12/15/2035, and an aggregate market value, including accrued interest, of $41,237,932.

(f) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

111

MassMutual Select Core Opportunities Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 94.4%
COMMON STOCK
Aerospace & Defense — 1.6%
Honeywell International, Inc.		4,700	$	189,410
Banking, Savings & Loans — 4.4%
Bank of America Corp.		6,800		327,080
Capital One Financial Corp.		1,200		102,540
North Fork Bancorporation, Inc.		2,400		72,408
				502,028
Broadcasting, Publishing & Printing — 2.2%
Time Warner, Inc.		14,900		257,770
Chemicals — 1.9%
Celanese Corp. Cl. A		4,073		83,170
PPG Industries, Inc.		2,000		132,000
				215,170
Commercial Services — 4.2%
ABB Ltd. Sponsored ADR (Switzerland)		18,800		243,648
Siemens AG Sponsored ADR (Germany)		2,800		243,096
				486,744
Communications — 2.3%
Nokia Oyj Sponsored ADR (Finland)		5,000		101,300
Research In Motion Ltd.(a)		2,400		167,448
				268,748
Computers & Information — 7.3%
Cisco Systems, Inc.(a)		14,700		287,091
Dell, Inc.(a)		6,900		168,429
International Business Machines Corp.		5,000		384,100
				839,620
Cosmetics & Personal Care — 2.7%
The Procter & Gamble Co.		5,600		311,360
Data Processing & Preparation — 2.5%
First Data Corp.		6,300		283,752
Electrical Equipment & Electronics — 7.3%
General Electric Co.		15,200		500,992
Intel Corp.		17,500		331,625
				832,617
Energy — 10.2%
Canadian Natural Resources Ltd.		300		16,614
Halliburton Co.		6,400		474,944

	Number of Shares		Market Value
Hess Corp.		3,900	$	206,115
Transocean, Inc.(a)		3,200		257,024
Weatherford International Ltd.(a)		4,353		215,996
				1,170,693
Financial Services — 4.0%
American Express Co.		3,200		170,304
Merrill Lynch & Co., Inc.		1,500		104,340
Morgan Stanley		2,900		183,309
				457,953
Foods — 1.8%
General Mills, Inc.		4,083		210,928
Forest Products & Paper — 1.4%
Weyerhaeuser Co.		2,500		155,625
Information Retrieval Services — 2.3%
Yahoo!, Inc.(a)		7,900		260,700
Insurance — 6.0%
Ambac Financial Group, Inc.		1,363		110,539
American International Group, Inc.		4,900		289,345
Cigna Corp.		800		78,808
Genworth Financial, Inc. Cl. A		1,400		48,776
Marsh & McLennan Cos., Inc.		5,800		155,962
				683,430
Machinery & Components — 3.1%
Caterpillar, Inc.		2,700		201,096
Deere & Co.		1,861		155,375
				356,471
Medical Supplies — 2.8%
Medtronic, Inc.		6,800		319,056
Metals & Mining — 2.7%
Alcoa, Inc.		6,100		197,396
Newmont Mining Corp.		2,100		111,153
				308,549
Pharmaceuticals — 8.7%
Amgen, Inc.(a)		7,500		489,225
McKesson Corp.		1,300		61,464
Novartis AG ADR (Switzerland)		3,000		161,760
Pfizer, Inc.		12,400		291,028
				1,003,477
Prepackaged Software — 7.0%
Microsoft Corp.		11,300		263,290
Oracle Corp.(a)		26,200		379,638
Symantec Corp.(a)		10,200		158,508
				801,436

	Number of Shares		Market Value
Real Estate — 0.6%
Equity Office Properties Trust		1,800	$	65,718
Retail — 2.3%
Tiffany & Co.		5,100		168,402
The TJX Cos., Inc.		4,300		98,298
				266,700
Telephone Utilities — 1.3%
Sprint Nextel Corp.		7,600		151,924
Tobacco — 1.6%
UST, Inc.		4,000		180,760
Transportation — 2.2%
United Parcel Service, Inc. Cl. B		3,000		246,990
TOTAL EQUITIES (Cost $11,187,364)				10,827,629
	Principal Amount
SHORT-TERM INVESTMENTS — 7.1%
Repurchase Agreement
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(b)	$	817,245		817,245
TOTAL SHORT-TERM INVESTMENTS (Cost $817,245)				817,245
TOTAL INVESTMENTS — 101.5% (Cost $12,004,609)(c)				11,644,874
Other Assets/ (Liabilities) — (1.5%)				(171,053	)
NET ASSETS — 100.0%			$	11,473,821

Notes to Portfolio of Investments

ADR - American Depository Receipt

(a) Non-income producing security.

(b) Maturity value of $817,500. Collateralized by a U.S. Government Agency obligation with a rate of 7.875%, maturity date of 02/25/2014, and an aggregate market value, including accrued interest, of $858,107.

The accompanying notes are an integral part of the financial statements.

112

MassMutual Select Blue Chip Growth Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 99.3%
COMMON STOCK
Advertising — 0.3%
Monster Worldwide, Inc.(a)		12,900	$	550,314
Omnicom Group, Inc.		6,600		587,994
				1,138,308
Aerospace & Defense — 2.0%
General Dynamics Corp.		49,000		3,207,540
Honeywell International, Inc.		55,600		2,240,680
Rockwell Collins, Inc.		25,400		1,419,098
United Technologies Corp.		19,800		1,255,716
				8,123,034
Banking, Savings & Loans — 5.1%
Mellon Financial Corp.		32,600		1,122,418
Northern Trust Corp.		58,200		3,218,460
SLM Corp.		98,500		5,212,620
State Street Corp.		128,200		7,447,138
Wells Fargo & Co.		53,500		3,588,780
				20,589,416
Beverages — 1.2%
PepsiCo, Inc.		78,200		4,695,128
Broadcasting, Publishing & Printing — 1.7%
Grupo Televisa SA Sponsored ADR (Mexico)		53,400		1,031,154
The McGraw-Hill Companies, Inc.		10,700		537,461
The Scripps (E.W.) Co. Cl. A		13,900		599,646
Time Warner, Inc.		115,300		1,994,690
Viacom, Inc. Cl. B(a)		71,200		2,551,808
				6,714,759
Chemicals — 0.9%
Monsanto Co.		42,800		3,603,332
Commercial Services — 1.4%
Cintas Corp.(b)		9,700		385,672
eBay, Inc.(a)		60,100		1,760,329
Paychex, Inc.		13,500		526,230
Quest Diagnostics, Inc.		48,400		2,900,128
				5,572,359
Communications — 3.1%
America Movil SA de CV Sponsored ADR Series L (Mexico)		84,600		2,813,796
American Tower Corp. Cl. A(a) (b)		114,600		3,566,352

	Number of Shares		Market Value
Nokia Oyj Sponsored ADR (Finland)		211,700	$	4,289,042
Qualcomm, Inc.		23,200		929,624
Rogers Communications, Inc. Cl. B(b)		28,400		1,147,360
				12,746,174
Communications Equipment — 0.3%
Telefonaktiebolaget LM Ericsson Cl. B Sponsored ADR (Sweden)(b)		42,400		1,400,896
Computers & Information — 3.8%
Apple Computer, Inc.(a)		38,200		2,181,984
Cisco Systems, Inc.(a)		285,300		5,571,909
Dell, Inc.(a)		78,500		1,916,185
EMC Corp.(a)		183,700		2,015,189
International Game Technology		96,400		3,657,416
				15,342,683
Cosmetics & Personal Care — 1.4%
The Procter & Gamble Co.		104,300		5,799,080
Data Processing & Preparation — 2.0%
Automatic Data Processing, Inc.		105,900		4,802,565
First Data Corp.		76,800		3,459,072
				8,261,637
Electrical Equipment & Electronics — 10.0%
Analog Devices, Inc.		82,900		2,664,406
Garmin Ltd.(b)		30,100		3,173,744
General Electric Co.(b)		463,100		15,263,776
Intel Corp.		64,600		1,224,170
Linear Technology Corp.(b)		85,200		2,853,348
Marvell Technology Group Ltd.(a) (b)		82,100		3,639,493
Maxim Integrated Products, Inc.		157,600		5,060,536
Texas Instruments, Inc.		103,100		3,122,899
Xilinx, Inc.(b)		152,700		3,458,655
				40,461,027
Energy — 4.6%
EOG Resources, Inc.		6,100		422,974
Exxon Mobil Corp.		78,700		4,828,245
Murphy Oil Corp.(b)		37,100		2,072,406
Schlumberger Ltd.		137,000		8,920,070
Total SA Sponsored ADR (France)		34,300		2,247,336
				18,491,031

	Number of Shares		Market Value
Entertainment & Leisure — 0.8%
Harrah's Entertainment, Inc.		45,900	$	3,267,162
Financial Services — 12.6%
American Express Co.		111,300		5,923,386
Ameriprise Financial, Inc.		15,200		678,984
Chicago Mercantile Exchange Holdings, Inc.		2,400		1,178,760
Citigroup, Inc.		175,300		8,456,472
Countrywide Financial Corp.		31,400		1,195,712
E*TRADE Financial Corp.(a)		131,200		2,993,984
Franklin Resources, Inc.		55,000		4,774,550
The Goldman Sachs Group, Inc.		33,200		4,994,276
Legg Mason, Inc.		44,600		4,438,592
Merrill Lynch & Co., Inc.		67,300		4,681,388
Morgan Stanley		27,800		1,757,238
The Charles Schwab Corp.		207,800		3,320,644
TD Ameritrade Holding Corp.		120,000		1,777,200
UBS AG Registered(a)		44,400		4,815,086
				50,986,272
Foods — 0.4%
Sysco Corp.		55,000		1,680,800
Healthcare — 4.4%
Caremark Rx, Inc.		115,300		5,750,011
GlaxoSmithKline PLC ADR (United Kingdom)		9,600		535,680
Humana, Inc.(a)		50,600		2,717,220
UnitedHealth Group, Inc.		200,900		8,996,302
				17,999,213
Home Construction, Furnishings & Appliances — 0.6%
Harman International Industries		27,300		2,330,601
Household Products — 0.9%
Corning, Inc.(a)		110,400		2,670,576
Fortune Brands, Inc.		14,700		1,043,847
				3,714,423
Industrial – Diversified — 3.3%
Danaher Corp.		155,000		9,969,600
Illinois Tool Works, Inc.		68,600		3,258,500
				13,228,100
Information Retrieval Services — 3.5%
Google, Inc. Cl. A(a)		17,600		7,380,208
Juniper Networks, Inc.(a) (b)		100,900		1,613,391
Yahoo!, Inc.(a)		161,200		5,319,600
				14,313,199

(Continued)

The accompanying notes are an integral part of the financial statements.

113

MassMutual Select Blue Chip Growth Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Insurance — 5.0%
Aetna, Inc.		33,600	$	1,341,648
AFLAC, Inc.		12,900		597,915
American International Group, Inc.		107,800		6,365,590
The Hartford Financial Services Group, Inc.		37,000		3,130,200
Marsh & McLennan Cos., Inc.		52,400		1,409,036
Prudential Financial, Inc.		34,400		2,672,880
WellPoint, Inc.(a)		65,000		4,730,050
				20,247,319
Lodging — 1.5%
Las Vegas Sands Corp.(a)		46,000		3,581,560
Marriott International, Inc. Cl. A		68,200		2,599,784
				6,181,344
Machinery & Components — 3.3%
Baker Hughes, Inc.		66,100		5,410,285
Deere & Co.		19,800		1,653,102
Smith International, Inc.(b)		141,300		6,283,611
				13,346,998
Manufacturing — 0.5%
Applied Materials, Inc.		120,800		1,966,624
Medical Supplies — 2.7%
Allergan, Inc.(b)		14,100		1,512,366
Medtronic, Inc.(b)		103,100		4,837,452
St. Jude Medical, Inc.(a)		61,200		1,984,104
Stryker Corp.		64,200		2,703,462
				11,037,384
Metals & Mining — 0.8%
BHP Billiton Ltd.		68,000		1,465,007
CONSOL Energy, Inc.		37,800		1,766,016
				3,231,023
Pharmaceuticals — 8.6%
Alcon, Inc.(b)		4,500		443,475
Amgen, Inc.(a)		88,700		5,785,901
Cardinal Health, Inc.		23,100		1,486,023
Genentech, Inc.(a)		61,100		4,997,980
Gilead Sciences, Inc.(a)		79,600		4,709,136
Johnson & Johnson		55,300		3,313,576
Medco Health Solutions, Inc.(a)		18,000		1,031,040
Novartis AG		51,800		2,778,108
Pfizer, Inc.		114,300		2,682,621
Roche Holding AG		12,200		1,997,857
Sepracor, Inc.(a) (b)		56,600		3,234,124
Wyeth		56,700		2,518,047
				34,977,888

	Number of Shares		Market Value
Prepackaged Software — 4.4%
Adobe Systems, Inc.(a)		62,200	$	1,888,392
Intuit, Inc.(a)		45,300		2,735,667
Microsoft Corp.		397,600		9,264,080
Oracle Corp.(a) (b)		263,100		3,812,319
				17,700,458
Retail — 6.9%
Amazon.com, Inc.(a) (b)		54,400		2,104,192
Best Buy Co., Inc.		25,200		1,381,968
CVS Corp.		70,800		2,173,560
The Home Depot, Inc.		134,400		4,810,176
Kohl's Corp.(a) (b)		108,900		6,438,168
Target Corp.		88,200		4,310,334
Wal-Mart Stores, Inc.		144,100		6,941,297
				28,159,695
Telephone Utilities — 0.6%
TELUS Corp.		55,000		2,220,900
Transportation — 0.7%
Union Pacific Corp.		14,000		1,301,440
United Parcel Service, Inc. Cl. B		19,700		1,621,901
				2,923,341
TOTAL EQUITIES (Cost $394,405,315)				402,451,608
	Principal Amount
SHORT-TERM INVESTMENTS — 9.7%
Cash Equivalents — 9.1%(d)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	404,158		404,158
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		404,158		404,158
American Beacon Money Market Fund(c)		412,207		412,207
Bank of America 5.270% 07/14/2006		808,316		808,316
Bank of America 5.310% 03/08/2007		808,316		808,316
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		808,316		808,316
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		808,316		808,316
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		1,212,475		1,212,475

	Principal Amount		Market Value
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006	$	1,454,969	$	1,454,969
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		808,316		808,316
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		808,316		808,316
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		2,020,791		2,020,791
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		1,050,811		1,050,811
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		643,409		643,409
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006		969,980		969,980
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		808,316		808,316
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		808,316		808,316
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006		808,316		808,316
Freddie Mac Discount Note 5.191% 07/25/2006		482,390		482,390
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		565,822		565,822
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		808,316		808,316
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		2,829,107		2,829,107
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		959,643		959,643
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		808,316		808,316
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		808,316		808,316

(Continued)

The accompanying notes are an integral part of the financial statements.

114

MassMutual Select Blue Chip Growth Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006	$	1,050,811	$	1,050,811
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		1,212,475		1,212,475
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		2,709,886		2,709,886
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		1,374,138		1,374,138
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		2,263,286		2,263,286
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		1,212,475		1,212,475
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006		1,212,475		1,212,475
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		808,316		808,316
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		808,316		808,316
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006		404,158		404,158
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		808,316		808,316
				36,974,364
Repurchase Agreement — 0.6%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(e)		2,314,640		2,314,640
TOTAL SHORT-TERM INVESTMENTS (Cost $39,289,004)				39,289,004
TOTAL INVESTMENTS — 109.0% (Cost $433,694,319)(f)				441,740,612
Other Assets/ (Liabilities) — (9.0%)				(36,322,552	)
NET ASSETS — 100.0%			$	405,418,060

Notes to Portfolio of Investments

ADR - American Depository Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. (Note 2).

(d) Represents investments of security lending collateral. (Note 2).

(e) Maturity value of $2,315,363. Collaterized by a U.S. Government Agency obligation with a rate of 5.749%, maturity date 03/15/2032, and an aggregate market value, including accrued interest, of $2,430,372.

(f) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

115

MassMutual Select Large Cap Growth Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 98.7%
COMMON STOCK
Aerospace & Defense — 4.2%
Boeing Co.		15,490	$	1,268,786
Rockwell Collins, Inc.		3,600		201,132
				1,469,918
Banking, Savings & Loans — 5.1%
JP Morgan Chase & Co.		19,450		816,900
Northern Trust Corp.		9,490		524,797
UBS AG		4,200		460,740
				1,802,437
Chemicals — 1.6%
Monsanto Co.		6,800		572,492
Commercial Services — 1.8%
eBay, Inc.(a)		22,180		649,652
Communications — 5.9%
America Movil SA de CV Sponsored ADR Series L (Mexico)		9,200		305,992
Network Appliance, Inc.(a)		18,050		637,165
Qualcomm, Inc.		28,150		1,127,970
				2,071,127
Computers & Information — 4.2%
Apple Computer, Inc.(a)		25,750		1,470,840
Cosmetics & Personal Care — 4.0%
The Procter & Gamble Co.		25,600		1,423,360
Electrical Equipment & Electronics — 6.0%
Advanced Micro Devices, Inc.(a)		27,550		672,771
Broadcom Corp. Cl. A(a)		32,445		974,972
Emerson Electric Co.		4,400		368,764
Nvidia Corp.(a)		5,300		112,837
				2,129,344
Energy — 7.7%
GlobalSantaFe Corp.		8,150		470,662
Halliburton Co.		18,850		1,398,858
Nabors Industries Ltd.(a)		17,200		581,188
Schlumberger Ltd.		4,260		277,369
				2,728,077
Financial Services — 10.1%
Franklin Resources, Inc.		7,350		638,054
The Goldman Sachs Group, Inc.		5,160		776,219
Legg Mason, Inc.		11,570		1,151,446

	Number of Shares		Market Value
Merrill Lynch & Co., Inc.		9,450	$	657,342
The Nasdaq Stock Market, Inc.(a)		11,100		331,890
				3,554,951
Foods — 0.5%
Wrigley (Wm.) Jr. Co.		3,875		175,770
Healthcare — 4.9%
Caremark Rx, Inc.		20,400		1,017,348
UnitedHealth Group, Inc.		16,350		732,153
				1,749,501
Household Products — 2.7%
Corning, Inc.(a)		39,550		956,715
Industrial – Diversified — 0.5%
Textron, Inc.		2,100		193,578
Information Retrieval Services — 9.2%
Google, Inc. Cl. A(a)		3,805		1,595,551
Juniper Networks, Inc.(a) (b)		29,830		476,982
Yahoo!, Inc.(a) (b)		36,250		1,196,250
				3,268,783
Insurance — 7.0%
American International Group, Inc.		12,600		744,030
WellPoint, Inc.(a)		23,790		1,731,198
				2,475,228
Lodging — 3.0%
Hilton Hotels Corp.		17,400		492,072
Las Vegas Sands Corp.(a)		2,300		179,078
Marriott International, Inc. Cl. A		5,600		213,472
Starwood Hotels & Resorts Worldwide, Inc.		3,200		193,088
				1,077,710
Machinery & Components — 0.6%
Baker Hughes, Inc.		2,800		229,180
Pharmaceuticals — 13.2%
Alcon, Inc.(b)		10,500		1,034,775
Amgen, Inc.(a)		2,670		174,164
Genentech, Inc.(a) (b)		16,400		1,341,520
Gilead Sciences, Inc.(a)		12,680		750,149
Medco Health Solutions, Inc.(a)		7,950		455,376
Teva Pharmaceutical Sponsored ADR (Israel)		28,500		900,315
				4,656,299

	Number of Shares		Market Value
Prepackaged Software — 0.6%
Microsoft Corp.		8,400	$	195,720
Restaurants — 1.6%
McDonald's Corp.		16,600		557,760
Retail — 4.3%
Lowe's Companies, Inc.		11,970		726,220
Target Corp.		12,300		601,101
Walgreen Co.		4,500		201,780
				1,529,101
TOTAL EQUITIES (Cost $34,274,739)				34,937,543
	Principal Amount
SHORT-TERM INVESTMENTS — 8.2%
Cash Equivalents — 7.7%(d)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	29,594		29,594
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		29,594		29,594
American Beacon Money Market Fund(c)		30,182		30,182
Bank of America 5.270% 07/14/2006		59,186		59,186
Bank of America 5.310% 03/08/2007		59,186		59,186
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		59,185		59,185
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		59,185		59,185
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		88,778		88,778
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		106,534		106,534
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		59,185		59,185
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		59,185		59,185

(Continued)

The accompanying notes are an integral part of the financial statements.

116

MassMutual Select Large Cap Growth Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006	$	147,964	$	147,964
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		76,941		76,941
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		47,111		47,111
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006		71,023		71,023
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		59,185		59,185
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		59,185		59,185
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006		59,185		59,185
Freddie Mac Discount Note 5.191% 07/25/2006		35,321		35,321
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		41,430		41,430
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		59,185		59,185
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		207,149		207,149
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		70,266		70,266
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		59,185		59,185
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		59,185		59,185
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		76,941		76,941
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		88,778		88,778
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		198,420		198,420

	Principal Amount		Market Value
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006	$	100,615	$	100,615
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		165,719		165,719
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		88,778		88,778
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006		88,778		88,778
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		59,185		59,185
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		59,185		59,185
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006		29,593		29,593
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		59,185		59,185
				2,707,286
Repurchase Agreement — 0.5%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(e)		191,168		191,168
TOTAL SHORT-TERM INVESTMENTS (Cost $2,898,454)				2,898,454
TOTAL INVESTMENTS — 106.9% (Cost $37,173,193)(f)				37,835,997
Other Assets/ (Liabilities) — (6.9%)				(2,457,531	)
NET ASSETS — 100.0%			$	35,378,466

Notes to Portfolio of Investments

ADR - American Depository Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. (Note 2).

(d) Represents investments of security lending collateral. (Note 2).

(e) Maturity value of $191,228. Collateralized by U.S. Government Agency obligations with a rate of 7.125%, maturity date of 06/25/2030, and an aggregate market value, including accrued interest, of $200,726.

(f) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

117

MassMutual Select Growth Equity Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 97.4%
COMMON STOCK
Advertising — 0.2%
Monster Worldwide, Inc.(a)		29,700	$	1,267,002
Aerospace & Defense — 1.3%
Boeing Co.		48,000		3,931,680
General Dynamics Corp.		25,200		1,649,592
Goodrich Corp.		52,900		2,131,341
Northrop Grumman Corp.		30,000		1,921,800
United Technologies Corp.		18,200		1,154,244
				10,788,657
Apparel, Textiles & Shoes — 1.0%
Abercrombie & Fitch Co. Cl. A		6,800		376,924
AnnTaylor Stores Corp.(a)		21,500		932,670
bebe stores, Inc.(b)		13,800		212,796
Chico's FAS, Inc.(a)		82,700		2,231,246
Claire's Stores, Inc.		63,400		1,617,334
Liz Claiborne, Inc.		8,400		311,304
Nordstrom, Inc.		65,900		2,405,350
Timberland Co. Cl. A(a)		7,200		187,920
				8,275,544
Automotive & Parts — 0.7%
AutoNation, Inc.(a)		102,000		2,186,880
Harley-Davidson, Inc.		36,000		1,976,040
Paccar, Inc.(b)		17,700		1,458,126
				5,621,046
Banking, Savings & Loans — 1.8%
Fannie Mae		53,000		2,549,300
Golden West Financial Corp.		5,600		415,520
JP Morgan Chase & Co.		157,200		6,602,400
Mellon Financial Corp.		73,000		2,513,390
State Street Corp.		56,300		3,270,467
				15,351,077
Beverages — 1.5%
Anheuser-Busch Cos., Inc.		26,400		1,203,576
Brown-Forman Corp. Cl. B		3,800		272,422
The Coca-Cola Co.		242,000		10,410,840
The Pepsi Bottling Group, Inc.		6,600		212,190
				12,099,028
Broadcasting, Publishing & Printing — 0.1%
Univision Communications, Inc. Cl. A(a)		16,400		549,400

	Number of Shares		Market Value
Building Materials & Construction — 0.4%
Martin Marietta Materials, Inc.		29,500	$	2,688,925
Masco Corp.(b)		29,100		862,524
				3,551,449
Commercial Services — 3.2%
Allied Waste Industries, Inc.(a)		19,400		220,384
Equifax, Inc.		23,900		820,726
Fastenal Co.		53,900		2,171,631
Fluor Corp.		13,900		1,291,727
Global Payments, Inc.		26,300		1,276,865
Iron Mountain, Inc.(a)		7,600		284,088
ITT Educational Services, Inc.(a)		17,000		1,118,770
Jacobs Engineering Group, Inc.(a)		800		63,712
Manpower, Inc.		13,300		859,180
MoneyGram International, Inc.		24,200		821,590
Moody's Corp.		124,400		6,774,824
Paychex, Inc.		71,200		2,775,376
Pharmaceutical Product Development, Inc.		35,200		1,236,224
Quest Diagnostics, Inc.		32,400		1,941,408
Rent-A-Center, Inc.(a)		32,900		817,894
Robert Half International, Inc.(b)		49,300		2,070,600
Ryder System, Inc.		9,800		572,614
Waste Management, Inc.		30,700		1,101,516
Weight Watchers International, Inc.		14,800		605,172
				26,824,301
Communications — 2.5%
Harris Corp.		28,900		1,199,639
Network Appliance, Inc.(a)		9,000		317,700
Qualcomm, Inc.		474,300		19,005,201
Tellabs, Inc.(a)		46,900		624,239
				21,146,779
Communications Equipment — 1.4%
Motorola, Inc.		590,900		11,906,635
Computer Integrated Systems Design — 0.0%
Computer Sciences Corp.(a)		4,800		232,512
Computer Programming Services — 0.1%
Ceridian Corp.(a)		42,700		1,043,588
Computers & Information — 2.0%
CDW Corp.		15,400		841,610

	Number of Shares		Market Value
Dell, Inc.(a) (b)		298,500	$	7,286,385
International Business Machines Corp.		47,500		3,648,950
International Game Technology		78,300		2,970,702
Lexmark International, Inc.(a)		27,800		1,552,074
				16,299,721
Computers & Office Equipment — 1.9%
Hewlett-Packard Co.		471,100		14,924,448
Pitney Bowes, Inc.		20,600		850,780
				15,775,228
Cosmetics & Personal Care — 0.2%
Colgate-Palmolive Co.		32,100		1,922,790
Data Processing & Preparation — 0.8%
Affiliated Computer Services, Inc. Cl. A(a)		26,700		1,377,987
First Data Corp.		81,200		3,657,248
Fiserv, Inc.(a)		19,000		861,840
Total System Services, Inc.(b)		28,600		550,550
				6,447,625
Electrical Equipment & Electronics — 5.6%
American Power Conversion Corp.(b)		11,200		218,288
Avnet, Inc.(a)		11,800		236,236
AVX Corp.(b)		18,000		284,220
Broadcom Corp. Cl. A(a)		166,600		5,006,330
Emerson Electric Co.		93,300		7,819,473
Energizer Holdings, Inc.(a)		5,600		327,992
General Electric Co.		98,900		3,259,744
Intel Corp.		273,800		5,188,510
Intersil Corp. Cl. A		35,400		823,050
Johnson Controls, Inc.		29,800		2,450,156
Lincoln Electric Holdings, Inc.		9,500		595,175
Microchip Technology, Inc.		52,800		1,771,440
Micron Technology, Inc.(a)		56,800		855,408
National Semiconductor Corp.		117,200		2,795,220
Nvidia Corp.(a)		116,400		2,478,156
Rockwell Automation, Inc.		42,100		3,031,621
Texas Instruments, Inc.		289,800		8,778,042
Wesco International, Inc.(a)		13,300		887,908
				46,806,969

(Continued)

The accompanying notes are an integral part of the financial statements.

118

MassMutual Select Growth Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Energy — 4.1%
Anadarko Petroleum Corp.		56,500	$	2,694,485
BJ Services Co.(b)		100,300		3,737,178
ConocoPhillips		54,137		3,547,598
Exxon Mobil Corp.		211,500		12,975,525
Helmerich & Payne, Inc.		700		42,182
Hess Corp.(b)		35,500		1,876,175
Marathon Oil Corp.		43,600		3,631,880
Occidental Petroleum Corp.		22,500		2,307,375
Questar Corp.		3,100		249,519
Sunoco, Inc.		44,000		3,048,760
				34,110,677
Financial Services — 5.1%
The Bear Stearns Cos., Inc.		14,200		1,989,136
Chicago Mercantile Exchange Holdings, Inc.		3,900		1,915,485
E*TRADE Financial Corp.(a)		174,500		3,982,090
Federated Investors, Inc. Cl. B		46,200		1,455,300
Franklin Resources, Inc.		11,200		972,272
The Goldman Sachs Group, Inc.		72,800		10,951,304
Investment Technology Group, Inc.(a)		16,800		854,448
Lehman Brothers Holdings, Inc.		68,000		4,430,200
Merrill Lynch & Co., Inc.		93,200		6,482,992
Raymond James Financial, Inc.		7,200		217,944
The Charles Schwab Corp.		433,300		6,924,134
TD Ameritrade Holding Corp.		149,300		2,211,133
				42,386,438
Food Retailers — 1.6%
Starbucks Corp.(a)		322,000		12,158,720
SuperValu, Inc.		48,100		1,476,670
				13,635,390
Foods — 1.7%
Archer-Daniels-Midland Co.		105,400		4,350,912
Dean Foods Co.(a)		32,300		1,201,237
Heinz (H. J.) Co.		5,700		234,954
The Kroger Co.		267,300		5,843,178
Sara Lee Corp.		53,700		860,274
Sysco Corp.		45,700		1,396,592
				13,887,147
Healthcare — 5.1%
Caremark Rx, Inc.		65,500		3,266,485
Coventry Health Care, Inc.(a)		13,800		758,172
Express Scripts, Inc.(a)		154,700		11,098,178

	Number of Shares		Market Value
HCA, Inc.		5,100	$	220,065
Health Management Associates, Inc. Cl. A		27,300		538,083
Health Net, Inc.(a)		85,000		3,839,450
Humana, Inc.(a)		31,500		1,691,550
IDEXX Laboratories, Inc.(a)		5,700		428,241
Lincare Holdings, Inc.(a)		72,100		2,728,264
UnitedHealth Group, Inc.		398,252		17,833,725
Universal Health Services, Inc. Cl. B		5,200		261,352
				42,663,565
Heavy Machinery — 0.1%
Cameron International Corp.(a)		22,300		1,065,271
Home Construction, Furnishings & Appliances — 0.9%
Centex Corp.		14,800		744,440
Harman International Industries, Inc.		10,800		921,996
HNI Corp.(b)		9,600		435,360
Lennar Corp. Cl. A		18,700		829,719
Mohawk Industries, Inc.(a) (b)		16,400		1,153,740
NVR, Inc.(a)		1,500		736,875
The Ryland Group, Inc.		13,200		575,124
Whirlpool Corp.		25,745		2,127,824
				7,525,078
Household Products — 1.4%
Corning, Inc.(a)		405,600		9,811,464
Newell Rubbermaid, Inc.(b)		59,200		1,529,136
				11,340,600
Industrial – Diversified — 1.0%
Danaher Corp.		45,900		2,952,288
Illinois Tool Works, Inc.		71,800		3,410,500
ITT Industries, Inc.		39,300		1,945,350
				8,308,138
Information Retrieval Services — 1.1%
Google, Inc. Cl. A(a)		22,100		9,267,193
Insurance — 6.6%
Aetna, Inc.		6,400		255,552
AFLAC, Inc.		173,300		8,032,455
Ambac Financial Group, Inc.		14,000		1,135,400
American International Group, Inc.		317,600		18,754,280
Aon Corp.		87,000		3,029,340
W.R. Berkley Corp.		57,400		1,959,062
Brown & Brown, Inc.		30,800		899,976
Chubb Corp.		35,400		1,766,460

	Number of Shares		Market Value
The Hanover Insurance Group, Inc.		4,900	$	232,554
Lincoln National Corp.		19,700		1,111,868
Loews Corp.		82,200		2,913,990
MBIA, Inc.(b)		12,600		737,730
Old Republic International Corp.		12,200		260,714
The PMI Group, Inc.		26,400		1,176,912
Progressive Corp.		269,100		6,918,561
Prudential Financial, Inc.		5,300		411,810
Radian Group, Inc.		9,500		586,910
St. Paul Travelers Cos.		107,100		4,774,518
				54,958,092
Internet Content — 0.3%
BEA Systems, Inc.(a)		177,300		2,320,857
Machinery & Components — 2.8%
Baker Hughes, Inc.		95,600		7,824,860
Caterpillar, Inc.		141,300		10,524,024
Cummins, Inc.(b)		16,900		2,066,025
Flowserve Corp.(a)		20,300		1,155,070
FMC Technologies, Inc.(a)		12,800		863,488
Parker Hannifin Corp.		11,000		853,600
				23,287,067
Manufacturing — 0.8%
American Standard Cos., Inc.		27,800		1,202,906
Applied Materials, Inc.		115,100		1,873,828
Lam Research Corp.(a)		6,000		279,720
Millipore Corp.(a) (b)		15,300		963,747
Terex Corp.(a)		23,600		2,329,320
				6,649,521
Medical Supplies — 3.3%
Agilent Technologies, Inc.(a)		212,400		6,703,344
Allergan, Inc.		65,700		7,046,982
Applera Corp. - Applied Biosystems Group		78,900		2,552,415
Baxter International, Inc.		27,300		1,003,548
Henry Schein, Inc.(a)		20,300		948,619
Medtronic, Inc.		39,300		1,843,956
Mentor Corp.		20,300		883,050
Respironics, Inc.(a)		39,200		1,341,424
Stryker Corp.		21,100		888,521
Techne Corp.(a)		17,800		906,376
Varian Medical Systems, Inc.(a)		63,500		3,006,725
				27,124,960
Metals & Mining — 1.0%
Crane Co.		7,300		303,680
Nucor Corp.		109,600		5,945,800
Reliance Steel & Aluminum Co.		24,700		2,048,865
				8,298,345

(Continued)

The accompanying notes are an integral part of the financial statements.

119

MassMutual Select Growth Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Pharmaceuticals — 14.4%
Abbott Laboratories		59,900	$	2,612,239
AmerisourceBergen Corp.		60,400		2,531,968
Amgen, Inc.(a)		68,100		4,442,163
Barr Pharmaceuticals, Inc.(a)		44,400		2,117,436
Biogen Idec, Inc.(a)		19,700		912,701
Bristol-Myers Squibb Co.		130,300		3,369,558
Cardinal Health, Inc.		73,200		4,708,956
Celgene Corp.(a)		42,400		2,011,032
Endo Pharmaceuticals Holdings, Inc.(a)		35,300		1,164,194
Forest Laboratories, Inc.(a)		223,700		8,654,953
Genentech, Inc.(a)		217,900		17,824,220
Gilead Sciences, Inc.(a)		33,300		1,970,028
Johnson & Johnson		130,400		7,813,568
King Pharmaceuticals, Inc.(a)		52,900		899,300
McKesson Corp.		115,700		5,470,296
Merck & Co., Inc.		749,000		27,286,070
Omnicare, Inc.(b)		34,500		1,635,990
Pfizer, Inc.		906,500		21,275,555
Wyeth		74,400		3,304,104
				120,004,331
Prepackaged Software — 1.1%
BMC Software, Inc.(a)		84,300		2,014,770
Cerner Corp.(a) (b)		30,200		1,120,722
Citrix Systems, Inc.(a)		65,200		2,617,128
DST Systems, Inc.(a) (b)		24,100		1,433,950
Fair Isaac Corp.(b)		30,800		1,118,348
Microsoft Corp.		29,500		687,350
				8,992,268
Restaurants — 0.6%
Applebee's International, Inc.		47,800		918,716
Brinker International, Inc.(b)		29,400		1,067,220
Darden Restaurants, Inc.		37,400		1,473,560
Sonic Corp.(a)		27,450		570,685
Wendy's International, Inc.		23,900		1,393,131
				5,423,312
Retail — 13.6%
Advance Auto Parts, Inc.		72,300		2,089,470
AutoZone, Inc.(a)		23,900		2,107,980
Bed Bath & Beyond, Inc.(a)		103,000		3,416,510
Best Buy Co., Inc.		67,100		3,679,764
BJ's Wholesale Club, Inc.(a)		17,500		496,125
Circuit City Stores, Inc.		57,900		1,576,038
Costco Wholesale Corp.(b)		64,000		3,656,320
Dollar General Corp.(b)		96,100		1,343,478
Dollar Tree Stores, Inc.(a) (b)		42,100		1,115,650
Family Dollar Stores, Inc.		8,200		200,326
The Home Depot, Inc.		850,100		30,425,079

	Number of Shares		Market Value
Lowe's Companies, Inc.		338,400	$	20,530,728
Men's Wearhouse, Inc.		27,600		836,280
Office Depot, Inc.(a)		173,900		6,608,200
O'Reilly Automotive, Inc.(a)		59,600		1,858,924
Staples, Inc.		133,400		3,244,288
Tiffany & Co.		60,400		1,994,408
The TJX Cos., Inc.		66,900		1,529,334
Walgreen Co.		220,700		9,896,188
Wal-Mart Stores, Inc.(b)		343,000		16,522,310
				113,127,400
Telephone Utilities — 0.7%
ADTRAN, Inc.		42,000		942,060
BellSouth Corp.		103,400		3,743,080
CenturyTel, Inc.		8,500		315,775
Qwest Communications International, Inc.(a) (b)		120,700		976,463
				5,977,378
Tobacco — 1.0%
Altria Group, Inc.		108,900		7,996,527
UST, Inc.		9,400		424,786
				8,421,313
Transportation — 4.4%
Burlington Northern Santa Fe Corp.		82,200		6,514,350
Expeditors International of Washington, Inc.		119,800		6,709,998
FedEx Corp.		97,500		11,393,850
Landstar System, Inc.		8,700		410,901
Norfolk Southern Corp.		47,500		2,527,950
Polaris Industries, Inc.		300		12,990
Robinson (C.H.) Worldwide, Inc.		105,500		5,623,150
Thor Industries, Inc.(b)		25,000		1,211,250
Union Pacific Corp.		19,900		1,849,904
				36,254,343
TOTAL EQUITIES (Cost $823,582,801)				810,938,035
RIGHTS — 0.0%
Computers & Information
Seagate Technology(c)		66,000		0
TOTAL RIGHTS (Cost $0)				0
TOTAL LONG TERM INVESTMENTS (Cost $823,582,801)				810,938,035

	Principal Amount		Market Value
SHORT-TERM INVESTMENTS — 5.9%
Cash Equivalents — 3.0%(f)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	266,085	$	266,085
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		266,085		266,085
American Beacon Money Market Fund(d)		271,384		271,384
Bank of America 5.270% 07/14/2006		532,169		532,169
Bank of America 5.310% 03/08/2007		532,169		532,169
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		532,169		532,169
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		532,169		532,169
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		798,255		798,255
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		957,906		957,906
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		532,169		532,169
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		532,169		532,169
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		1,330,424		1,330,424
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		691,821		691,821
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		423,600		423,600
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006		638,604		638,604
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		532,170		532,170
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		532,170		532,170

(Continued)

The accompanying notes are an integral part of the financial statements.

120

MassMutual Select Growth Equity Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006	$	532,170	$	532,170
Freddie Mac Discount Note 5.191% 07/25/2006		317,590		317,590
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		372,519		372,519
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		532,170		532,170
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		1,862,594		1,862,594
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		631,798		631,798
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		532,170		532,170
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		532,169		532,169
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		691,821		691,821
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		798,255		798,255
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		1,784,102		1,784,102
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		904,689		904,689
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		1,490,075		1,490,075
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		798,255		798,255
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006		798,255		798,255
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		532,170		532,170
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		532,170		532,170

	Principal Amount		Market Value
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006	$	266,085	$	266,085
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		532,170		532,170
				24,342,745
Repurchase Agreement — 2.8%
Investors Bank & Trust Company Repurchase Agreement, dated 6/30/2006, 3.75%, due 7/03/2006, 3.75%, due 07/03/2006(g)		23,315,589		23,315,589
U.S. Treasury Bills — 0.1%
U.S. Treasury Bill(e) 4.520% 08/24/2006		1,000,000		993,221
TOTAL SHORT-TERM INVESTMENTS (Cost $48,651,555)				48,651,555
TOTAL INVESTMENTS — 103.3% (Cost $872,234,356)(h)				859,589,590
Other Assets/ (Liabilities) — (3.3%)				(27,264,886	)
NET ASSETS — 100.0%			$	832,324,704

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. (Note 2).

(d) Amount represents shares owned of the fund.

(e) This security is held as collateral for open futures contracts. (Note 2).

(f) Represents investments of security lending collateral. (Note 2).

(g) Maturity value of $23,322,875. Collateralized by a U.S. Government Agency obligation with a rate of 5.549%, maturity date of 05/15/2036, and an aggregate market value, including accrued interest, of $24,481,368.

(h) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

121

MassMutual Select Aggressive Growth Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 99.0%
COMMON STOCK
Chemicals — 0.5%
Praxair, Inc.		55,000	$	2,970,000
Commercial Services — 14.7%
Apollo Group, Inc. Cl. A(a)		504,500		26,067,515
eBay, Inc.(a)		1,198,500		35,104,065
Iron Mountain, Inc.(a)		175,000		6,541,500
Moody's Corp.		383,500		20,885,410
Paychex, Inc.		70,000		2,728,600
Weight Watchers International, Inc.		40,000		1,635,600
				92,962,690
Communications — 6.4%
America Movil SA de CV Sponsored ADR Series L (Mexico)		369,100		12,276,266
Qualcomm, Inc.		650,200		26,053,514
XM Satellite Radio Holdings, Inc. Cl. A(a)		130,000		1,904,500
				40,234,280
Computers & Information — 3.4%
Apple Computer, Inc.(a)		226,700		12,949,104
International Game Technology		77,000		2,921,380
SanDisk Corp.(a)		55,000		2,803,900
Seagate Technology(a)		125,000		2,830,000
				21,504,384
Cosmetics & Personal Care — 0.4%
The Procter & Gamble Co.		50,000		2,780,000
Data Processing & Preparation — 0.5%
First Data Corp.		70,000		3,152,800
Energy — 2.5%
Schlumberger Ltd.		243,600		15,860,796
Financial Services — 6.3%
Chicago Mercantile Exchange Holdings, Inc.		65,200		32,022,980
IntercontinentalExchange, Inc.(a)		130,800		7,578,552
				39,601,532
Food Retailers — 7.9%
Starbucks Corp.(a)		1,318,100		49,771,456
Healthcare — 0.5%
UnitedHealth Group, Inc.		65,000		2,910,700

	Number of Shares		Market Value
Information Retrieval Services — 12.2%
Google, Inc. Cl. A(a)		132,500	$	55,561,225
Yahoo!, Inc.(a)		644,300		21,261,900
				76,823,125
Lodging — 0.4%
MGM Mirage(a)		65,000		2,652,000
Medical Supplies — 14.0%
Allergan, Inc.		244,100		26,182,166
Intuitive Surgical, Inc.(a)		76,400		9,012,908
Medtronic, Inc.		235,100		11,030,892
Patterson Cos., Inc.(a)		211,400		7,384,202
Stryker Corp.		304,700		12,830,917
Varian Medical Systems, Inc.(a)		226,700		10,734,245
Zimmer Holdings, Inc.(a)		191,700		10,873,224
				88,048,554
Pharmaceuticals — 15.1%
Abraxis BioScience, Inc.(a)		237,300		5,657,232
Genentech, Inc.(a)		502,600		41,112,680
Genzyme Corp.(a)		423,900		25,879,095
Teva Pharmaceutical Sponsored ADR (Israel)		720,700		22,766,913
				95,415,920
Prepackaged Software — 2.9%
Intuit, Inc.(a)		50,000		3,019,500
NAVTEQ Corp.(a)		45,000		2,010,600
Red Hat, Inc.(a)		566,200		13,249,080
				18,279,180
Retail — 9.9%
Bed Bath & Beyond, Inc.(a)		327,400		10,859,858
Lowe's Companies, Inc.		379,100		22,999,997
Staples, Inc.		130,000		3,161,600
Walgreen Co.		499,400		22,393,096
Wal-Mart Stores, Inc.		60,000		2,890,200
				62,304,751
Telephone Utilities — 0.4%
Sprint Nextel Corp.		120,000		2,398,800
Transportation — 1.0%
Expeditors International of Washington, Inc.		56,000		3,136,560
United Parcel Service, Inc. Cl. B		40,000		3,293,200
				6,429,760
TOTAL EQUITIES (Cost $578,046,398)				624,100,728

	Principal Amount		Market Value
SHORT-TERM INVESTMENTS — 1.2%
Repurchase Agreement
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, 3.75%, due 07/03/2006(b)	$	7,483,680	$	7,483,680
TOTAL SHORT-TERM INVESTMENTS (Cost $7,483,680)				7,483,680
TOTAL INVESTMENTS — 100.2% (Cost $585,530,078)(c)				631,584,408
Other Assets/ (Liabilities) — (0.2%)				(1,524,795	)
NET ASSETS — 100.0%			$	630,059,613

Notes to Portfolio of Investments

ADR - American Depository Receipt

(a) Non-income producing security.

(b) Maturity value of $7,486,018. Collaterized by a U.S. Government Agency obligation with a rate of 3.75%, maturity date of 06/01/2033, and an aggregate market value, including accrued interest, of $7,857,864.

The accompanying notes are an integral part of the financial statements.

122

MassMutual Select OTC 100 Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 101.3%
COMMON STOCK
Advertising — 0.8%
Lamar Advertising Co.(a)		3,245	$	174,830
Monster Worldwide, Inc.(a)		4,988		212,788
				387,618
Apparel, Textiles & Shoes — 0.5%
Ross Stores, Inc.		5,403		151,554
Urban Outfitters, Inc.(a) (b)		6,758		118,197
				269,751
Automotive & Parts — 1.1%
Paccar, Inc.(b)		7,116		586,216
Broadcasting, Publishing & Printing — 2.7%
Comcast Corp. Cl. A(a) (b)		36,502		1,195,075
Liberty Global, Inc. Cl. A(a)		9,037		194,296
				1,389,371
Commercial Services — 5.5%
Akamai Technologies, Inc.(a)		5,611		203,062
Apollo Group, Inc. Cl. A(a)		6,685		345,414
Cintas Corp.		7,691		305,794
eBay, Inc.(a)		40,153		1,176,081
Fastenal Co.		5,483		220,910
Paychex, Inc.		13,819		538,665
				2,789,926
Communications — 10.7%
EchoStar Communications Corp. Cl. A(a)		8,141		250,824
Millicom International Cellular SA(a) (b)		3,800		172,634
Network Appliance, Inc.(a) (b)		14,923		526,782
NTL, Inc.(b)		11,993		298,626
Qualcomm, Inc.		77,214		3,093,965
Research In Motion Ltd.(a)		7,064		492,855
Sirius Satellite Radio, Inc.(a) (b)		58,075		275,856
Tellabs, Inc.(a)		9,900		131,769
XM Satellite Radio Holdings, Inc. Cl. A(a) (b)		10,281		150,617
				5,393,928
Communications Equipment — 0.3%
Telefonaktiebolaget LM Ericsson Cl. B Sponsored ADR (Sweden)		4,210		139,098

	Number of Shares		Market Value
Computer Integrated Systems Design — 1.5%
Autodesk, Inc.(a)		9,195	$	316,860
Cadence Design Systems, Inc.(a)		11,291		193,641
Sun Microsystems, Inc.(a)		58,194		241,505
				752,006
Computer Programming Services — 1.1%
Cognizant Technology Solutions Corp. Cl. A(a)		5,207		350,796
VeriSign, Inc.(a) (b)		8,781		203,456
				554,252
Computer Related Services — 1.0%
Checkfree Corp.(a) (b)		3,365		166,769
IAC/InterActiveCorp(a) (b)		12,605		333,906
				500,675
Computers & Information — 11.2%
Apple Computer, Inc.(a)		45,351		2,590,449
CDW Corp.		3,129		171,000
Cisco Systems, Inc.(a)		83,336		1,627,552
Comverse Technology, Inc.(a) (b)		8,106		160,256
Dell, Inc.(a)		32,168		785,221
SanDisk Corp.(a) (b)		6,880		350,742
				5,685,220
Data Processing & Preparation — 0.7%
Fiserv, Inc.(a)		8,421		381,977
Electrical Equipment & Electronics — 12.4%
Altera Corp.(a)		19,306		338,820
American Power Conversion Corp.		7,389		144,012
ATI Technologies, Inc.(a) (b)		9,567		139,678
Broadcom Corp. Cl. A(a)		16,278		489,154
Flextronics International Ltd.(a)		23,918		254,009
Garmin Ltd.		3,879		409,002
Intel Corp.		77,827		1,474,822
JDS Uniphase Corp.(a) (b)		74,240		187,827
KLA-Tencor Corp.		9,247		384,398
Linear Technology Corp.		15,494		518,894
Marvell Technology Group Ltd.(a)		10,681		473,489
Maxim Integrated Products, Inc.		17,166		551,200
Microchip Technology, Inc.		6,847		229,717
Nvidia Corp.(a)		13,193		280,879
Xilinx, Inc.		17,379		393,634
				6,269,535

	Number of Shares		Market Value
Energy — 0.4%
Patterson-UTI Energy, Inc.(b)		6,646	$	188,148
Food Retailers — 3.0%
Starbucks Corp.(a)		40,826		1,541,590
Healthcare — 1.0%
Express Scripts, Inc.(a)		4,948		354,970
Lincare Holdings, Inc.(a)		3,576		135,316
				490,286
Information Retrieval Services — 6.3%
Google, Inc. Cl. A(a)		4,971		2,084,489
Juniper Networks, Inc.(a) (b)		14,298		228,625
Yahoo!, Inc.(a)		25,846		852,918
				3,166,032
Internet Content — 0.4%
BEA Systems, Inc.(a)		13,960		182,736
Lodging — 0.6%
Wynn Resorts Ltd.(a) (b)		4,194		307,420
Machinery & Components — 0.5%
Joy Global, Inc.		4,672		243,364
Manufacturing — 1.5%
Applied Materials, Inc.		30,915		503,296
Lam Research Corp.(a)		5,583		260,279
				763,575
Medical Supplies — 1.8%
Biomet, Inc.		12,684		396,882
Dentsply International, Inc.		2,918		176,831
Intuitive Surgical, Inc.(a) (b)		1,371		161,737
Patterson Cos., Inc.(a) (b)		5,126		179,051
				914,501
Pharmaceuticals — 12.1%
Amgen, Inc.(a)		20,951		1,366,634
Amylin Pharmaceuticals, Inc.(a) (b)		4,538		224,041
Biogen Idec, Inc.(a)		14,258		660,573
Celgene Corp.(a)		13,165		624,416
Genzyme Corp.(a)		12,514		763,980
Gilead Sciences, Inc.(a)		17,098		1,011,518
MedImmune, Inc.(a)		10,178		275,824
Sepracor, Inc.(a) (b)		4,082		233,245
Sigma-Aldrich Corp.		2,499		181,527
Teva Pharmaceutical Sponsored ADR (Israel)		24,009		758,444
				6,100,202

(Continued)

The accompanying notes are an integral part of the financial statements.

123

MassMutual Select OTC 100 Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Prepackaged Software — 14.8%
Activision, Inc.(a)		9,480	$	107,882
Adobe Systems, Inc.(a) (b)		22,480		682,493
Check Point Software Technologies Ltd.(a)		9,318		163,810
Citrix Systems, Inc.(a)		8,300		333,162
Electronic Arts, Inc.(a)		11,739		505,247
Intuit, Inc.(a)		8,416		508,242
Microsoft Corp.		134,165		3,126,045
Oracle Corp.(a)		84,995		1,231,578
Red Hat, Inc.(a) (b)		6,893		161,296
Symantec Corp.(a)		41,668		647,521
				7,467,276
Retail — 5.9%
Amazon.com, Inc.(a) (b)		10,601		410,047
Bed Bath & Beyond, Inc.(a)		14,522		481,695
Costco Wholesale Corp.		9,533		544,620
Petsmart, Inc.		5,252		134,451
Sears Holdings Corp.(a) (b)		6,207		961,092
Staples, Inc.		18,719		455,246
				2,987,151
Retail – Grocery — 0.7%
Whole Foods Market, Inc.		5,266		340,394
Telephone Utilities — 0.6%
NII Holdings, Inc. Cl. B(a)		5,715		322,212
Transportation — 1.8%
Discovery Holding Co. Cl. A(a)		9,131		133,587
Expeditors International of Washington, Inc.		7,992		447,632
Robinson (C.H.) Worldwide, Inc.		6,372		339,628
				920,847
Travel — 0.4%
Expedia, Inc.(a)		13,448		201,317
TOTAL EQUITIES (Cost $47,340,370)				51,236,624
	Principal Amount
SHORT-TERM INVESTMENTS — 15.0%
Cash Equivalents — 14.6%(e)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	80,567		80,567
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		80,560		80,560

	Principal Amount		Market Value
American Beacon Money Market Fund(c)	$	82,164	$	82,164
Bank of America 5.270% 07/14/2006		161,119		161,119
Bank of America 5.310% 03/08/2007		161,119		161,119
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		161,119		161,119
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		161,119		161,119
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		241,679		241,679
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		290,015		290,015
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		161,119		161,119
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		161,119		161,119
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		402,799		402,799
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		209,455		209,455
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		128,249		128,249
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006		193,343		193,343
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		161,119		161,119
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		161,119		161,119
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006		161,119		161,119
Freddie Mac Discount Note 5.191% 07/25/2006		96,153		96,153
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		112,784		112,784

	Principal Amount		Market Value
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006	$	161,119	$	161,119
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		563,918		563,918
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		191,283		191,283
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		161,119		161,119
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		161,119		161,119
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		209,455		209,455
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		241,679		241,679
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		540,154		540,154
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		273,903		273,903
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		451,134		451,134
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		241,679		241,679
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006		241,679		241,679
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		161,119		161,119
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		161,119		161,119
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006		80,560		80,560
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		161,119		161,119
				7,369,997

(Continued)

The accompanying notes are an integral part of the financial statements.

124

MassMutual Select OTC 100 Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
U.S. Treasury Bills — 0.4%
U.S. Treasury Bill(d) 4.658% 09/21/2006	$	120,000	$	118,695
U.S. Treasury Bill(d) 4.747% 09/21/2006		80,000		79,135
				197,830
TOTAL SHORT-TERM INVESTMENTS (Cost $7,567,827)				7,567,827
TOTAL INVESTMENTS — 116.3% (Cost $54,908,197)(f)				58,804,451
Other Assets/ (Liabilities) — (16.3%)				(8,223,390	)
NET ASSETS — 100.0%			$	50,581,061

Notes to Portfolio of Investments

ADR - American Depository Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. (Note 2).

(d) This security is held as collateral for open futures contracts. (Note 2).

(e) Represents investments of security lending collateral. (Note 2).

(f) See Note 6 for aggregate cost for Federal tax purposes.

The remainder of this page is intentionally left blank.

The accompanying notes are an integral part of the financial statements.

125

MassMutual Select Focused Value Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 95.7%
COMMON STOCK
Advertising — 1.9%
Catalina Marketing Corp.		413,330	$	11,763,372
Harte-Hanks, Inc.		203,900		5,227,996
				16,991,368
Apparel, Textiles & Shoes — 0.8%
Jones Apparel Group, Inc.		232,850		7,402,301
Automotive & Parts — 1.0%
Federal Signal Corp.		366,700		5,551,838
Superior Industries International, Inc.(a)		164,600		3,010,534
				8,562,372
Banking, Savings & Loans — 8.7%
JP Morgan Chase & Co.		975,000		40,950,000
The South Financial Group, Inc.(a)		171,976		4,541,886
Washington Mutual, Inc.		700,000		31,906,000
				77,397,886
Beverages — 3.2%
The Pepsi Bottling Group, Inc.		800,000		25,720,000
PepsiAmericas, Inc.		109,800		2,427,678
				28,147,678
Broadcasting, Publishing & Printing — 8.3%
Cablevision Systems Corp. Cl. A		1,086,500		23,305,425
Liberty Global, Inc. Cl. A(b)		174,366		3,748,869
Liberty Global, Inc. Cl. C(b)		176,832		3,637,434
Liberty Media Holding Corp. Capital Cl. A(b)		160,000		13,403,200
Liberty Media Holding Corp. Interactive Cl. A(b)		7,625		131,608
Time Warner, Inc.		1,700,000		29,410,000
				73,636,536
Chemicals — 2.1%
Albemarle Corp.(a)		114,200		5,467,896
International Flavors & Fragrances, Inc.		170,900		6,022,516
The Valspar Corp.		279,700		7,386,877
				18,877,289
Commercial Services — 3.4%
ARAMARK Corp. Cl. B		150,200		4,973,122

	Number of Shares		Market Value
G&K Services, Inc. Cl. A		194,150	$	6,659,345
MoneyGram International, Inc.		336,200		11,413,990
Quest Diagnostics, Inc.		75,900		4,547,928
Viad Corp.		78,500		2,457,050
				30,051,435
Computer Integrated Systems Design — 0.8%
Parametric Technology Corp.(b)		559,340		7,109,211
Computers & Information — 3.8%
CDW Corp.		75,900		4,147,935
Dell, Inc.(b)		1,200,000		29,292,000
				33,439,935
Computers & Office Equipment — 4.3%
Hewlett-Packard Co.		1,200,000		38,016,000
Data Processing & Preparation — 0.7%
IMS Health, Inc.		246,500		6,618,525
Electrical Equipment & Electronics — 10.4%
American Power Conversion Corp.(a)		682,600		13,303,874
Entegris, Inc.(b)		1,139,900		10,863,247
Flextronics International Ltd.(b)		450,300		4,782,186
Hubbell, Inc. Cl. B		191,300		9,115,445
Intel Corp.		1,600,000		30,320,000
National Semiconductor Corp.		1,000,000		23,850,000
				92,234,752
Entertainment & Leisure — 0.3%
International Speedway Corp. Cl. A		64,500		2,990,865
Financial Services — 4.4%
CapitalSource, Inc.(a)		302,346		7,093,037
Morgan Stanley		500,000		31,605,000
				38,698,037
Foods — 1.8%
Hain Celestial Group, Inc.(b)		410,000		10,561,600
Pilgrim's Pride Corp.(a)		206,200		5,319,960
				15,881,560
Healthcare — 0.7%
Universal Health Services, Inc. Cl. B		130,400		6,553,904

	Number of Shares		Market Value
Home Construction, Furnishings & Appliances — 2.7%
Lennar Corp. Cl. A(a)		400,000	$	17,748,000
Steelcase, Inc.(a)		379,200		6,237,840
				23,985,840
Industrial – Diversified — 4.5%
Carlisle Cos., Inc.(a)		85,700		6,796,010
Tyco International Ltd.		1,200,000		33,000,000
				39,796,010
Insurance — 2.9%
Ambac Financial Group, Inc.		40,950		3,321,045
Gallagher (Arthur J.) & Co.(a)		223,700		5,668,558
MBIA, Inc.(a)		115,350		6,753,743
UnumProvident Corp.(a)		322,300		5,843,299
White Mountains Insurance Group Ltd.(a)		8,480		4,129,760
				25,716,405
Machinery & Components — 2.3%
Dover Corp.		203,900		10,078,777
Pall Corp.(a)		301,100		8,430,800
Tennant Co.		44,100		2,217,348
				20,726,925
Medical Supplies — 5.3%
Baxter International, Inc.		900,000		33,084,000
Mettler-Toledo International, Inc.(b)		235,200		14,246,064
				47,330,064
Pharmaceuticals — 0.4%
Medco Health Solutions, Inc.(b)		61,700		3,534,176
Restaurants — 9.0%
CBRL Group, Inc.		98,369		3,336,676
McDonald's Corp.		1,150,000		38,640,000
Yum! Brands, Inc.		750,000		37,702,500
				79,679,176
Retail — 6.2%
Big Lots, Inc.(a) (b)		876,700		14,974,036
Dollar General Corp.		116,200		1,624,476
Tiffany & Co.		934,730		30,864,785
Zale Corp.(a) (b)		293,900		7,080,051
				54,543,348
Toys, Games — 0.4%
Hasbro, Inc.		184,900		3,348,539

(Continued)

The accompanying notes are an integral part of the financial statements.

126

MassMutual Select Focused Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Transportation — 5.4%
Carnival Corp.(a)		625,000	$	26,087,500
Discovery Holding Co. Cl. A(a) (b)		1,500,000		21,945,000
				48,032,500
TOTAL EQUITIES (Cost $753,526,023)				849,302,637
	Principal Amount
SHORT-TERM INVESTMENTS — 18.3%
Cash Equivalents — 14.0%(d)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	1,355,638		1,355,638
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		1,355,638		1,355,638
American Beacon Money Market Fund(c)		1,382,635		1,382,635
Bank of America 5.270% 07/14/2006		2,711,275		2,711,275
Bank of America 5.310% 03/08/2007		2,711,275		2,711,275
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		2,711,275		2,711,275
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		2,711,275		2,711,275
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		4,066,913		4,066,913
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		4,880,295		4,880,295
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		2,711,275		2,711,275
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		2,711,275		2,711,275
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		6,778,188		6,778,188
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		3,524,658		3,524,658
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		2,158,139		2,158,139

	Principal Amount		Market Value
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006	$	3,253,530	$	3,253,530
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		2,711,275		2,711,275
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		2,711,275		2,711,275
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006		2,711,275		2,711,275
Freddie Mac Discount Note 5.191% 07/25/2006		1,618,044		1,618,044
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		1,897,893		1,897,893
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		2,711,275		2,711,275
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		9,489,463		9,489,463
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		3,218,858		3,218,858
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		2,711,275		2,711,275
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		2,711,275		2,711,275
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		3,524,658		3,524,658
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		4,066,913		4,066,913
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		9,089,568		9,089,568
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		4,609,168		4,609,168
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		7,591,571		7,591,571
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		4,066,913		4,066,913

	Principal Amount		Market Value
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006	$	4,066,913	$	4,066,913
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		2,711,275		2,711,275
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		2,711,275		2,711,275
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006		1,355,637		1,355,637
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		2,711,275		2,711,275
				124,020,358
Repurchase Agreement — 4.3%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(e)		38,731,587		38,731,587
TOTAL SHORT-TERM INVESTMENTS (Cost $162,751,945)				162,751,945
TOTAL INVESTMENTS — 114.0% (Cost $916,277,968)(f)				1,012,054,582
Other Assets/ (Liabilities) — (14.0%)				(124,573,881	)
NET ASSETS — 100.0%			$	887,480,701

Notes to Portfolio of Investments

(a) Denotes all or a portion of security on loan. (Note 2).

(b) Non-income producing security.

(d) Represents investments of security lending collateral. (Note 2).

(e) Maturity value of $38,743,691. Collateralized by a U.S. Government Agency obligation with a rate of 5.749%, maturity date of 04/15/2023, and an aggregate market value, including accrued interest, of $40,668,167.

(f) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

127

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 96.1%
COMMON STOCK
Advertising — 0.1%
Catalina Marketing Corp.		300	$	8,538
Aerospace & Defense — 0.7%
AAR Corp.(a)		500		11,115
Kaman Corp.		600		10,920
Orbital Sciences Corp.(a)		3,300		53,262
Triumph Group, Inc.(a)		200		9,600
				84,897
Air Transportation — 0.2%
ExpressJet Holdings, Inc.(a)		1,000		6,910
Forward Air Corp.		200		8,146
Republic Airways Holdings, Inc.(a)		100		1,702
SkyWest, Inc.		200		4,960
				21,718
Apparel, Textiles & Shoes — 2.7%
Albany International Corp. Cl. A		900		38,151
Brown Shoe Co., Inc.		1,250		42,600
The Buckle, Inc.		300		12,561
Charming Shoppes, Inc.(a)		2,600		29,224
Payless ShoeSource, Inc.(a)		2,400		65,208
Phillips-Van Heusen Corp.		1,700		64,872
Skechers U.S.A., Inc. Cl. A(a)		600		14,466
Wolverine World Wide, Inc.		1,600		37,328
				304,410
Automotive & Parts — 2.6%
A.O. Smith Corp.		200		9,272
Aftermarket Technology Corp.(a)		2,100		52,185
ArvinMeritor, Inc.		4,100		70,479
Commercial Vehicle Group, Inc.(a)		100		2,068
Federal Signal Corp.		1,600		24,224
Group 1 Automotive, Inc.		1,300		73,242
Modine Manufacturing Co.		900		21,024
Visteon Corp.(a)		5,200		37,492
				289,986
Banking, Savings & Loans — 15.6%
1st Source Corp.		1,400		47,362
Amcore Financial, Inc.		100		2,931
Bancfirst Corp.		700		31,325
Bank of Granite Corp.		2,400		49,992
Banner Corp.		1,500		57,810
Camden National Corp.		100		3,990

	Number of Shares		Market Value
Capitol Bancorp Ltd.		1,100	$	42,845
Chemical Financial Corp.		100		3,060
Citizens Banking Corp.		2,700		65,907
Clifton Savings Bancorp, Inc.		1,000		10,830
Columbia Banking Systems, Inc.		400		14,952
Community Banks, Inc.		420		10,920
Community Trust Bancorp, Inc.		100		3,493
CompuCredit Corp.(a)		1,100		42,284
Corus Bankshares, Inc.		200		5,236
CVB Financial Corp.		200		3,132
Dime Community Bancshares		700		9,499
F.N.B. Corp.		3,100		48,887
Federal Agricultural Mortgage Corp. Cl. C		400		11,080
First Bancorp		6,500		60,450
First Charter Corp.		2,300		56,419
First Commonwealth Financial Corp.		100		1,270
First Indiana Corp.		800		20,824
First Merchants Corp.		700		17,017
First Midwest Bancorp, Inc.		800		29,664
First Niagara Financial Group, Inc.		2,100		29,442
First Place Financial Corp.		1,900		43,719
FirstFed Financial Corp.(a)		100		5,767
FNB Corp., VA		500		18,500
Franklin Bank Corp.(a)		2,500		50,475
Great Southern Bancorp, Inc.		800		24,424
Heartland Financial USA, Inc.		100		2,665
Horizon Financial Corp.		1,200		32,916
Independent Bank Corp.		1,100		28,930
Integra Bank Corp.		2,000		43,500
ITLA Capital Corp.		400		21,032
MAF Bancorp, Inc.		1,400		59,976
MainSource Financial Group, Inc.		600		10,458
MCG Capital Corp.		2,900		46,110
NASB Financial, Inc.		100		3,377
NetBank, Inc.		1,300		8,619
Oceanfirst Financial Corp.		200		4,444
Old National Bancorp		3,600		71,892
Omega Financial Corp.		1,400		43,834
Pacific Capital Bancorp		300		9,336
Partners Trust Financial Group, Inc.		2,200		25,102
Pennfed Financial Services, Inc.		800		14,920
Peoples Bancorp, Inc.		600		17,904

	Number of Shares		Market Value
PFF Bancorp, Inc.		200	$	6,632
Provident Bankshares Corp.		700		25,473
Provident Financial Services, Inc.		3,100		55,645
R&G Financial Corp. Cl. B		2,700		23,193
Renasant Corp.		1,100		44,385
Republic Bancorp, Inc.		1,400		17,346
Sandy Spring Bancorp, Inc.		800		28,848
Santander BanCorp		1,000		24,620
SCBT Financial Corp.		300		10,695
Simmons First National Corp. Cl. A		900		26,109
Sterling Bancshares, Inc.		800		15,000
Susquehanna Bancshares, Inc.		1,700		40,630
TierOne Corp.		100		3,377
Trustmark Corp.		1,100		34,067
Union Bankshares Corp.		400		17,256
United Bankshares, Inc.		1,000		36,630
United Community Financial Corp.		4,700		56,400
WesBanco, Inc.		300		9,297
West Coast Bancorp		500		14,735
WSFS Financial Corp.		100		6,145
				1,765,004
Beverages — 0.4%
Boston Beer Co., Inc. Cl. A(a)		1,300		38,077
M&F Worldwide Corp.(a)		600		9,660
				47,737
Broadcasting, Publishing & Printing — 2.6%
American Greetings Corp. Cl. A		2,800		58,828
Citadel Broadcasting Corp.		3,200		28,480
Cox Radio, Inc. Cl. A(a)		4,100		59,122
Cumulus Media, Inc. Cl. A(a)		300		3,201
Emmis Communications Corp. Cl. A(a)		100		1,564
Entercom Communications Corp.		1,100		28,776
Entravision Communications Corp. Cl. A(a)		2,200		18,854
Gray Television, Inc.		2,100		12,159
Journal Register Co.		1,100		9,856
Lin TV Corp. Cl. A(a)		1,400		10,570
Reader's Digest Association		1,100		15,356
Salem Communications Corp. Cl. A		100		1,301
Scholastic Corp.(a)		1,600		41,552
				289,619

(Continued)

The accompanying notes are an integral part of the financial statements.

128

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Building Materials & Construction — 1.8%
Comfort Systems USA, Inc.		1,600	$	22,864
Emcor Group, Inc.(a)		1,500		73,005
Granite Construction, Inc.		800		36,216
Texas Industries, Inc.		1,300		69,030
				201,115
Chemicals — 3.3%
Georgia Gulf Corp.		100		2,502
H.B. Fuller Co.		1,200		52,284
Hercules, Inc.(a)		4,100		62,566
Innospec, Inc.		2,300		58,466
Olin Corp.		200		3,586
OM Group, Inc.(a)		1,800		55,530
Schulman (A.), Inc.		200		4,578
TETRA Technologies, Inc.(a)		3,100		54,994
UAP Holding Corp.		1,800		39,258
Usec, Inc.		3,000		35,550
				369,314
Commercial Services — 5.8%
Celera Genomics Group - Applera Corp.(a)		200		2,590
Consolidated Graphics, Inc.(a)		400		20,824
Dollar Thrifty Automotive Group, Inc.(a)		100		4,507
Dycom Industries, Inc.(a)		100		2,129
Forrester Research, Inc.(a)		1,600		44,768
FTD Group, Inc.(a)		3,800		51,300
Harris Interactive, Inc.(a)		4,800		27,360
Ipass, Inc.(a)		1,000		5,600
John H. Harland Co.		1,400		60,900
Magellan Health Services, Inc.(a)		900		40,779
Marlin Business Services Corp.(a)		1,000		22,560
Maximus, Inc.		100		2,315
MPS Group, Inc.(a)		2,400		36,144
NCO Group, Inc.(a)		500		13,220
Pegasystems, Inc.		1,500		9,630
PRA International(a)		100		2,227
Regis Corp.		200		7,122
Rent-A-Center, Inc.(a)		200		4,972
SOURCECORP, Inc.(a)		700		17,353
Spherion Corp.(a)		4,400		40,128
Standard Parking Corp.(a)		400		10,832
Stewart Enterprises, Inc. Cl. A		5,100		29,325
The Standard Register Co.		1,600		18,960
Unifirst Corp.		200		6,900
Universal Compression Holdings, Inc.(a)		1,300		81,861
Vertrue, Inc.(a)		300		12,909
Volt Information Sciences, Inc.(a)		1,000		46,600

	Number of Shares		Market Value
Wright Express Corp.(a)		1,000	$	28,740
				652,555
Communications — 1.7%
CT Communications, Inc.		2,500		57,175
Cubic Corp.		800		15,688
Ditech Networks, Inc.(a)		2,700		23,544
McData Corp. Cl. A(a)		1,400		5,712
Polycom, Inc.(a)		1,200		26,304
Standard Microsystems Corp.(a)		100		2,183
Sycamore Networks, Inc.(a)		3,500		14,210
Syniverse Holdings, Inc.(a)		100		1,470
Ulticom, Inc.(a)		3,900		40,833
UTStarcom, Inc.(a)		300		2,337
				189,456
Computer Integrated Systems Design — 1.1%
Adaptec, Inc.(a)		2,700		11,718
Brady Corp. Cl. A		1,400		51,576
Netscout Systems, Inc.(a)		3,600		32,112
Perot Systems Corp. Cl. A(a)		1,400		20,272
RadiSys Corp.(a)		400		8,784
				124,462
Computer Maintenance & Repair — 0.2%
Electronics for Imaging, Inc.(a)		1,200		25,056
Computer Programming Services — 0.2%
Ciber, Inc.(a)		1,200		7,908
Covansys Corp.(a)		500		6,285
RealNetworks, Inc.(a)		1,200		12,840
				27,033
Computer Related Services — 0.2%
Checkpoint Systems, Inc.(a)		500		11,105
RSA Security, Inc.(a)		500		13,595
				24,700
Computers & Information — 1.5%
Black Box Corp.		400		15,332
Cirrus Logic, Inc.(a)		1,200		9,768
Emulex Corp.(a)		1,500		24,405
Extreme Networks, Inc.(a)		2,100		8,736
Foundry Networks, Inc.(a)		1,400		14,924
Global Imaging Systems, Inc.(a)		300		12,384
Palm Inc.(a)		4,000		64,400
ProQuest Co.(a)		1,100		13,519
Quantum Corp.(a)		3,500		9,170
				172,638
Containers — 0.4%
Silgan Holdings, Inc.		1,200		44,412

	Number of Shares		Market Value
Data Processing & Preparation — 0.6%
CSG Systems International, Inc.(a)		2,400	$	59,376
eFunds Corp.(a)		600		13,230
				72,606
Electric Utilities — 2.5%
Avista Corp.		1,200		27,396
Black Hills Corp.		400		13,732
CH Energy Group, Inc.		200		9,600
Cleco Corp.		1,500		34,875
Duquesne Light Holdings, Inc.		3,400		55,896
El Paso Electric Co.(a)		500		10,080
Idacorp, Inc.		700		24,003
NorthWestern Corp.		800		27,480
Portland General Electric Co.		200		4,994
Westar Energy, Inc.		3,600		79,200
				287,256
Electrical Equipment & Electronics — 6.4%
Agilysys, Inc.		2,600		46,800
AMIS Holdings, Inc.(a)		400		4,000
Anaren, Inc.(a)		1,300		26,637
Barnes Group, Inc.		2,200		43,890
Belden CDT, Inc.		1,500		49,575
CTS Corp.		3,700		55,093
Cymer, Inc.(a)		900		41,814
Electro Scientific Industries, Inc.(a)		500		8,995
Exar Corp.(a)		500		6,635
Genesis Microchip, Inc.(a)		700		8,092
Graftech International Ltd.(a)		300		1,740
Kopin Corp.(a)		3,500		12,635
Lattice Semiconductor Corp.(a)		300		1,854
Littelfuse, Inc.(a)		1,700		58,446
Methode Electronics, Inc.		700		7,357
MKS Instruments, Inc.(a)		3,000		60,360
Moog, Inc. Cl. A(a)		1,200		41,064
Newport Corp.(a)		800		12,896
Oplink Communications, Inc.(a)		1,100		20,141
Pericom Semiconductor Corp.(a)		1,200		9,960
Portalplayer, Inc.(a)		900		8,829
RF Micro Devices, Inc.(a)		2,500		14,925
Skyworks Solutions, Inc.(a)		6,700		36,917
Spectrum Brands, Inc.(a)		4,300		55,556
Technitrol, Inc.		900		20,835
Triquint Semiconductor, Inc.(a)		2,700		12,042
TTM Technologies, Inc.(a)		1,400		20,258
Zoran Corp.(a)		1,400		34,076
				721,422

(Continued)

The accompanying notes are an integral part of the financial statements.

129

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Electronics — 0.0%
Imation Corp.		100	$	4,105
Energy — 4.0%
Alon USA Energy, Inc.		700		22,029
Bill Barrett Corp.(a)		1,100		32,571
Callon Petroleum Co.(a)		600		11,604
Giant Industries, Inc.(a)		400		26,620
Harvest Natural Resources, Inc.(a)		3,000		40,620
Houston Exploration Co.(a)		200		12,238
The Laclede Group, Inc.		900		30,924
Newpark Resources, Inc.(a)		1,600		9,840
Nicor, Inc.		300		12,450
Northwest Natural Gas Co.		700		25,921
Penn Virginia Corp.		700		48,916
Peoples Energy Corp.		1,000		35,910
Petrohawk Energy Corp.(a)		100		1,260
Remington Oil & Gas Corp.(a)		100		4,397
South Jersey Industries, Inc.		500		13,695
Southwest Gas Corp.		700		21,938
Stone Energy Corp.(a)		400		18,620
Swift Energy Co.(a)		700		30,051
Transmontaigne, Inc.(a)		600		6,726
Veritas DGC, Inc.(a)		1,000		51,580
				457,910
Entertainment & Leisure — 1.3%
Blockbuster, Inc. Cl. A(a)		900		4,482
JAKKS Pacific, Inc.(a)		600		12,054
Lakes Entertainment, Inc.(a)		1,000		12,090
Leapfrog Enterprises, Inc.(a)		1,500		15,150
Live Nation, Inc.(a)		3,000		61,080
Macrovision Corp.(a)		500		10,760
Multimedia Games, Inc.(a)		900		9,117
Steinway Musical Instruments, Inc.(a)		1,000		24,520
				149,253
Environmental Controls — 0.0%
Input/Output, Inc.(a)		200		1,890
Financial Services — 12.1%
Accredited Home Lenders Holding Co.(a)		500		23,905
American Financial Realty Trust		4,600		44,528
American Home Mortgage Investment Corp. REIT		1,500		55,290
Anthracite Capital, Inc. REIT		4,300		52,288
Anworth Mortgage Asset Corp.		300		2,490
Arbor Realty Trust, Inc. REIT		500		12,525
Capital Lease Funding, Inc. REIT		700		7,987
Capital Trust Cl. A REIT		1,200		42,744

	Number of Shares		Market Value
Chittenden Corp.		800	$	20,680
DiamondRock Hospitality Co. REIT		4,300		63,683
Doral Financial Corp.		1,500		9,615
Education Realty Trust, Inc. REIT		900		14,985
The Enstar Group, Inc.(a)		200		18,438
Equity Inns, Inc. REIT		1,300		21,528
FelCor Lodging Trust, Inc.		3,200		69,568
Fieldstone Investment Corp. REIT		4,500		41,220
First Industrial Realty Trust, Inc.		700		26,558
Friedman Billings Ramsey Group, Inc. Cl. A		4,500		49,365
Glenborough Realty Trust, Inc.		2,800		60,312
Gramercy Capital Corp. REIT		1,700		44,030
Heritage Property Investment Trust REIT		400		13,968
Highland Hospitality Corp. REIT		3,400		47,872
Highwoods Properties, Inc.		1,000		36,180
IMPAC Mortgage Holdings, Inc. REIT		1,500		16,770
Innkeepers USA Trust		1,200		20,736
Kite Realty Group Trust REIT		800		12,472
Knight Capital Group, Inc. Cl. A(a)		1,000		15,230
LaBranche & Co., Inc.(a)		2,700		32,697
LTC Properties, Inc.		500		11,175
Medical Properties Trust, Inc. REIT		5,000		55,200
National Health Investors, Inc. REIT		500		13,445
Nationwide Health Properties, Inc. REIT		500		11,255
Novastar Financial, Inc.		500		15,805
Omega Healthcare Investors, Inc. REIT		100		1,322
Pennsylvania REIT		1,400		56,518
Piper Jaffray Cos.(a)		900		55,089
PS Business Parks, Inc. REIT		900		53,100
Senior Housing Properties Trust		3,800		68,058
Stifel Financial Corp.(a)		100		3,531
Strategic Hotels & Resorts, Inc.		1,600		33,184
SWS Group, Inc.		500		12,060
Trustreet Properties, Inc. REIT		4,100		54,079
Waddell & Reed Financial, Inc. Cl. A		700		14,392
Winston Hotels, Inc. REIT		3,400		41,650
				1,377,527

	Number of Shares		Market Value
Foods — 1.6%
Chiquita Brands International, Inc.		2,000	$	27,560
Flowers Foods, Inc.		100		2,864
Hain Celestial Group, Inc.(a)		500		12,880
J&J Snack Foods Corp.		100		3,307
Pathmark Stores, Inc.(a)		1,000		9,410
Performance Food Group Co.(a)		1,500		45,570
Sensient Technologies Corp.		3,200		66,912
TreeHouse Foods, Inc.(a)		500		11,945
				180,448
Forest Products & Paper — 1.6%
BlueLinx Holdings, Inc.		2,500		32,575
Building Materials Holding Corp.		100		2,787
Greif, Inc. Cl. A		500		37,480
Rock-Tenn Co. Cl. A		3,200		51,040
United Stationers, Inc.(a)		1,200		59,184
				183,066
Healthcare — 0.5%
Alliance Imaging, Inc.(a)		800		5,120
Cross Country Healthcare, Inc.(a)		1,800		32,742
Kindred Healthcare, Inc.(a)		200		5,200
Odyssey Healthcare, Inc.(a)		900		15,813
				58,875
Heavy Machinery — 0.4%
Cascade Corp.		400		15,820
Lawson Products		100		3,942
Lindsay Manufacturing Co.		200		5,424
NACCO Industries, Inc. Cl. A		100		13,741
NN, Inc.		200		2,470
				41,397
Home Construction, Furnishings & Appliances — 0.7%
Furniture Brands International, Inc.		900		18,756
Kimball International, Inc. Cl. B		2,900		57,159
Palm Harbor Homes, Inc.(a)		100		1,759
				77,674
Household Products — 0.1%
Ferro Corp.		800		12,768
Industrial – Diversified — 0.4%
Blyth, Inc.		100		1,846
Nordson Corp.		800		39,344
				41,190

(Continued)

The accompanying notes are an integral part of the financial statements.

130

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Information Retrieval Services — 0.6%
Avocent Corp.(a)		1,500	$	39,375
InfoSpace, Inc.(a)		1,300		29,471
				68,846
Insurance — 5.7%
21st Century Insurance Group		400		5,760
Affirmative Insurance Holdings, Inc.		2,900		45,385
Alfa Corp.		1,000		16,560
American Equity Investment Life Holding Co.		600		6,396
AMERIGROUP Corp.(a)		2,100		65,184
Argonaut Group, Inc.(a)		800		24,032
Clark, Inc.		200		2,640
Delphi Financial Group, Inc. Cl. A		600		21,816
Direct General Corp.		1,600		27,072
FBL Financial Group, Inc. Cl. A		1,700		55,080
Great American Financial Resources, Inc.		100		2,093
Harleysville Group, Inc.		800		25,376
Horace Mann Educators Corp.		800		13,560
NYMAGIC, Inc.		500		14,525
Odyssey Re Holdings Corp.		2,100		55,335
Ohio Casualty Corp.		2,100		62,433
The Phoenix Companies, Inc.		4,300		60,544
Safety Insurance Group, Inc.		1,000		47,550
SeaBright Insurance Holdings(a)		1,600		25,776
State Auto Financial Corp.		500		16,270
Triad Guaranty, Inc.(a)		1,200		58,656
				652,043
Lodging — 0.8%
Ameristar Casinos, Inc.		200		3,890
Great Wolf Resorts Inc.(a)		700		8,407
LaSalle Hotel Properties		400		18,520
Lodgian, Inc.(a)		600		8,550
Vail Resorts, Inc.(a)		1,300		48,230
				87,597
Machinery & Components — 1.2%
Asyst Technologies, Inc.(a)		3,000		22,590
Axcelis Technologies, Inc.(a)		3,300		19,470
Kadant, Inc.(a)		1,300		29,900
Regal-Beloit Corp.		500		22,075
Valmont Industries, Inc.		400		18,596
Woodward Governor Co.		900		27,459
				140,090

	Number of Shares		Market Value
Medical Supplies — 1.4%
Bio-Rad Laboratories, Inc. Cl. A(a)		500	$	32,470
Coherent, Inc.(a)		700		23,611
Excel Technology, Inc.(a)		100		2,992
MTS Systems Corp.		300		11,853
Rofin-Sinar Technologies, Inc.(a)		400		22,988
Varian, Inc.(a)		500		20,755
Vital Signs, Inc.		800		39,624
				154,293
Metals & Mining — 1.6%
Castle (A.M.) & Co.		1,200		38,700
Circor International, Inc.		400		12,196
General Cable Corp.(a)		100		3,500
Gibraltar Industries, Inc.		2,100		60,900
Quanex Corp.		150		6,461
Stillwater Mining Co.(a)		1,400		17,752
Superior Essex, Inc.(a)		1,500		44,895
				184,404
Oil & Gas — 0.3%
WGL Holdings, Inc.		1,100		31,845
Pharmaceuticals — 2.0%
Albany Molecular Research, Inc.(a)		2,900		30,972
Alpharma, Inc. Cl. A		1,700		40,868
Martek Biosciences Corp.(a)		200		5,790
Maxygen, Inc.(a)		200		1,496
Molecular Devices Corp.(a)		1,100		33,616
NBTY, Inc.(a)		1,100		26,301
Perrigo Co.		3,500		56,350
Prestige Brands Holdings, Inc.(a)		2,700		26,919
Savient Pharmaceuticals, Inc.(a)		800		4,200
				226,512
Prepackaged Software — 2.5%
Altiris, Inc.(a)		1,000		18,040
Aspen Technology, Inc.(a)		4,800		62,976
Borland Software Corp.(a)		1,500		7,920
Brocade Communications Systems, Inc.(a)		4,300		26,402
Dendrite International, Inc.(a)		1,600		14,784
EPIQ Systems, Inc.(a)		600		9,984
Internet Security Systems, Inc.(a)		100		1,885
Keane, Inc.(a)		1,500		18,750
Magma Design Automation, Inc.(a)		2,900		21,315
Opnet Technologies, Inc.(a)		3,000		38,880

	Number of Shares		Market Value
SonicWALL, Inc.(a)		6,000	$	53,940
Sybase, Inc.(a)		300		5,820
				280,696
Real Estate — 0.5%
Alderwoods Group, Inc.(a)		2,800		54,488
Restaurants — 1.1%
CEC Entertainment, Inc.(a)		500		16,060
Domino's Pizza, Inc.		700		17,318
Jack in the Box, Inc.(a)		500		19,600
Krispy Kreme Doughnuts, Inc.(a)		1,100		8,954
Landry's Restaurants, Inc.		500		16,225
Papa John's International, Inc.(a)		1,400		46,480
				124,637
Retail — 1.7%
99 Cents Only Stores(a)		2,000		20,920
Big Lots, Inc.(a)		4,100		70,028
Casey's General Stores, Inc.		400		10,004
Cash America International, Inc.		100		3,200
Central Garden & Pet Co.(a)		200		8,610
CSK Auto Corp.(a)		700		8,379
Genesco, Inc.(a)		100		3,387
Longs Drug Stores Corp.		800		36,496
Stride Rite Corp.		300		3,957
Systemax, Inc.(a)		1,600		12,480
Zale Corp.(a)		600		14,454
				191,915
Telephone Utilities — 1.3%
Cincinnati Bell, Inc.(a)		15,900		65,190
Fairpoint Communications, Inc.		200		2,880
General Communication, Inc. Cl. A(a)		3,800		46,816
Golden Telecom, Inc.		500		12,675
Iowa Telecommunications Services, Inc.		200		3,784
Mastec, Inc.(a)		400		5,284
TALK America Holdings, Inc.(a)		2,700		16,713
				153,342
Tobacco — 0.1%
Vector Group Ltd.		700		11,375
Transportation — 1.3%
Arkansas Best Corp.		500		25,105
Heartland Express, Inc.		1,900		33,991
Horizon Lines, Inc. Cl. A		3,200		51,264
SCS Transportation, Inc.(a)		300		8,259
Sirva, Inc.(a)		1,400		9,058

(Continued)

The accompanying notes are an integral part of the financial statements.

131

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Trico Marine Services, Inc.(a)		300	$	10,200
Werner Enterprises, Inc.		700		14,189
				152,066
Water Companies — 0.7%
Pico Holdings, Inc.(a)		1,300		41,925
SJW Corp.		1,400		35,630
				77,555
TOTAL EQUITIES (Cost $11,079,790)				10,901,741
	Principal Amount
SHORT-TERM INVESTMENTS — 7.0%
Repurchase Agreement
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(b)	$	789,765		789,765
TOTAL SHORT-TERM INVESTMENTS (Cost $789,765)				789,765
TOTAL INVESTMENTS — 103.1% (Cost $11,869,555)(c)				11,691,506
Other Assets/ (Liabilities) — (3.1%)				(347,096	)
NET ASSETS — 100.0%			$	11,344,410

Notes to Portfolio of Investments

REIT - Real Estate Investment Trust

(a) Non-income producing security.

(b) Maturity value of 1,931,469. Collateralized by a U.S. Government Agency obligation with a rate of 7.625%, maturity date of 07/25/2025, and an aggregate market value, including accrued interest, of 2,027,409.

The remainder of this page is intentionally left blank.

The accompanying notes are an integral part of the financial statements.

132

MassMutual Select Small Company Value Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 95.6%
COMMON STOCK
Aerospace & Defense — 0.4%
Armor Holdings, Inc.(a)		27,525	$	1,509,196
Orbital Sciences Corp.(a) (b)		113,950		1,839,153
				3,348,349
Air Transportation — 0.4%
Air Methods Corp.(a)		52,350		1,370,523
Continental Airlines, Inc. Cl. B(a) (b)		53,125		1,583,125
				2,953,648
Apparel, Textiles & Shoes — 2.4%
AnnTaylor Stores Corp.(a)		55,575		2,410,843
Brown Shoe Co., Inc.		57,250		1,951,080
Childrens Place(a) (b)		15,425		926,271
Culp, Inc.(a)		52,000		254,280
Guess ?, Inc.(a)		25,625		1,069,844
Hot Topic, Inc.(a) (b)		55,700		641,107
Phillips-Van Heusen Corp.		178,575		6,814,422
Too, Inc.(a)		48,525		1,862,875
Wolverine World Wide, Inc.		93,750		2,187,187
				18,117,909
Automotive & Parts — 1.1%
Accuride Corp.(a)		66,500		829,255
Aftermarket Technology Corp.(a)		56,075		1,393,464
Group 1 Automotive, Inc.		14,000		788,760
Myers Industries, Inc.		106,000		1,822,140
Winnebago Industries, Inc.(b)		112,700		3,498,208
				8,331,827
Banking, Savings & Loans — 8.9%
Advanta Corp. Cl. B		75,025		2,697,149
Astoria Financial Corp.		121,250		3,692,062
Bankunited Financial Corp. Cl. A		85,475		2,608,697
Central Pacific Financial Corp.		44,300		1,714,410
The Colonial BancGroup, Inc.		142,750		3,665,820
Financial Federal Corp.(b)		61,125		1,699,886
First Charter Corp.		51,200		1,255,936
First Midwest Bancorp, Inc.		52,875		1,960,605
First Republic Bank		131,400		6,018,120
Greater Bay Bancorp		72,400		2,081,500
Home Bancshares, Inc.(a) (b)		3,900		88,530

	Number of Shares		Market Value
Nelnet, Inc. Cl. A(a)		21,050	$	853,577
NetBank, Inc.		113,500		752,505
Northwest Bancorp, Inc.		60,300		1,597,950
Oriental Financial Group, Inc.		37,348		476,560
Pacific Capital Bancorp		38,300		1,191,896
PFF Bancorp, Inc.		78,300		2,596,428
Prosperity Bancshares, Inc.		66,050		2,172,384
Provident Bankshares Corp.		46,250		1,683,037
Provident Financial Services, Inc.		116,800		2,096,560
Sterling Bancshares, Inc.		187,875		3,522,656
Sterling Financial Corp.		112,185		3,422,764
Student Loan Corp.		12,600		2,545,200
SVB Financial Group(a) (b)		101,400		4,609,644
Texas Regional Bancshares, Inc.		166,770		6,323,918
TierOne Corp.		62,950		2,125,821
United Bankshares, Inc.		43,000		1,575,090
United Community Banks, Inc.(b)		49,100		1,494,604
West Coast Bancorp		61,225		1,804,301
				68,327,610
Broadcasting, Publishing & Printing — 0.5%
CSS Industries, Inc.		62,400		1,794,000
Journal Register Co.		99,600		892,416
Saga Communications, Inc. Cl. A(a)		113,200		1,025,592
				3,712,008
Building Materials & Construction — 1.3%
Andersons Inc. (The)(b)		18,550		771,865
Eagle Materials, Inc.		32,450		1,541,375
ElkCorp		44,300		1,230,211
Emcor Group, Inc.(a)		57,025		2,775,407
Florida Rock Industries, Inc.(b)		77,000		3,824,590
				10,143,448
Chemicals — 3.3%
Airgas, Inc.		97,800		3,643,050
Arch Chemicals, Inc.		83,900		3,024,595
Church & Dwight, Inc.		43,475		1,583,359
H.B. Fuller Co.		46,425		2,022,737
Innospec, Inc.		75,200		1,911,584
MacDermid, Inc.		93,500		2,692,800
OM Group, Inc.(a)		62,325		1,922,726
Pioneer Cos., Inc.(a)		40,325		1,100,066
The Scotts Miracle-Gro Co.		47,500		2,010,200
Symyx Technologies, Inc.(a)		63,500		1,533,525
The Valspar Corp.		44,300		1,169,963

	Number of Shares		Market Value
West Pharmaceutical Services, Inc.(b)		76,700	$	2,782,676
				25,397,281
Commercial Services — 10.0%
Aaron Rents, Inc.(b)		218,200		5,865,216
Aaron Rents, Inc. Cl. A		4,825		116,813
Administaff, Inc.		31,798		1,138,686
Allied Waste Industries, Inc.(a)		224,900		2,554,864
Asset Acceptance Capital Corp.(a)		52,756		1,044,569
Casella Waste Systems, Inc. Cl. A(a)		145,900		1,909,831
Diversa Corp.(a)		155,300		1,500,198
Dollar Thrifty Automotive Group, Inc.(a)		149,275		6,727,824
Exelixis, Inc.(a)		124,500		1,251,225
FTI Consulting, Inc.(a)		106,500		2,851,005
G&K Services, Inc. Cl. A		74,800		2,565,640
Global Payments, Inc.		81,300		3,947,115
Ipass, Inc.(a)		196,650		1,101,240
Jackson Hewitt Tax Service, Inc.		89,250		2,797,987
Landauer, Inc.		32,900		1,575,910
Macquarie Infrastructure Co. Trust		80,500		2,220,995
McGrath Rentcorp(b)		131,000		3,643,110
Metal Management Inc.		87,200		2,670,064
MoneyGram International, Inc.		84,500		2,868,775
MPS Group, Inc.(a)		258,800		3,897,528
Per-Se Technologies, Inc.(a)		50,025		1,259,629
Pharmaceutical Product Development, Inc.		161,200		5,661,344
Portfolio Recovery Associates, Inc.(a) (b)		24,575		1,123,077
Quanta Services, Inc.(a) (b)		115,925		2,008,980
Rent-A-Center, Inc.(a)		75,975		1,888,738
Startek, Inc.		89,900		1,344,005
Steiner Leisure Ltd.(a)		21,900		865,707
Synagro Technologies, Inc.		92,000		361,560
United Rentals, Inc.(a) (b)		62,050		1,984,359
URS Corp.(a)		97,825		4,108,650
Washington Group International, Inc.		19,625		1,046,797
Waste Connections, Inc.(a)		63,100		2,296,840
Wireless Facilities, Inc.(a) (b)		230,300		633,325
				76,831,606

(Continued)

The accompanying notes are an integral part of the financial statements.

133

MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Communications — 0.8%
American Tower Corp. Cl. A(a) (b)		17,800	$	553,936
Nice Systems Ltd. ADR (Israel)(a)		76,200		2,144,268
Polycom, Inc.(a)		59,075		1,294,924
Premiere Global Services, Inc.(a)		195,800		1,478,290
SeaChange International, Inc.(a) (b)		144,225		1,003,806
				6,475,224
Computer Integrated Systems Design — 0.3%
Websense, Inc.(a)		120,900		2,483,286
Computer Related Services — 1.4%
Carreker Corp.(a)		124,975		893,571
Checkpoint Systems, Inc.(a)		151,948		3,374,765
Electro Rent Corp.(a)		142,100		2,276,442
Neoware Systems, Inc.(a) (b)		78,575		965,687
RSA Security, Inc.(a)		129,900		3,531,981
				11,042,446
Consumer Products — 0.6%
Pool Corp.(b)		100,000		4,363,000
Containers — 0.1%
Chesapeake Corp.		30,100		493,941
Cosmetics & Personal Care — 0.2%
Elizabeth Arden, Inc.(a)		74,490		1,331,881
Data Processing & Preparation — 0.2%
CSG Systems International, Inc.(a)		45,550		1,126,907
eFunds Corp.(a)		13,500		297,675
				1,424,582
Electric Utilities — 2.4%
Allegheny Energy, Inc.(a)		39,650		1,469,825
Avista Corp.		131,675		3,006,140
Black Hills Corp.		79,900		2,742,967
Cleco Corp.		101,650		2,363,362
El Paso Electric Co.(a)		106,600		2,149,056
NRG Energy, Inc.(a)		41,650		2,006,697
Otter Tail Corp.		11,600		317,028
PNM Resources, Inc.		70,900		1,769,664
Reliant Energy, Inc.(a) (b)		102,475		1,227,650
Sierra Pacific Resources(a)		77,175		1,080,450
				18,132,839
Electrical Equipment & Electronics — 6.6%
Acuity Brands, Inc.		37,300		1,451,343
Aeroflex, Inc.(a)		142,275		1,660,349
Analogic Corp.		19,900		927,539

	Number of Shares		Market Value
ATMI, Inc.(a) (b)		60,800	$	1,496,896
Belden CDT, Inc.		104,650		3,458,682
C&D Technologies, Inc.		97,000		729,440
Cymer, Inc.(a) (b)		41,550		1,930,413
EDO Corp.		51,000		1,241,340
Entegris, Inc.(a)		206,032		1,963,485
Fairchild Semiconductor International, Inc.(a) (b)		205,525		3,734,389
FLIR Systems, Inc.(a)		144,800		3,194,288
Franklin Electric Co., Inc.		95,400		4,926,456
Genlyte Group, Inc.(a)		45,600		3,302,808
Hexcel Corp.(a)		119,400		1,875,774
Littelfuse, Inc.(a)		92,500		3,180,150
LSI Logic Corp.(a) (b)		242,550		2,170,823
Methode Electronics, Inc.		56,600		594,866
Moog, Inc. Cl. A(a)		96,123		3,289,329
OmniVision Technologies, Inc.(a) (b)		38,125		805,200
ON Semiconductor Corp.(a) (b)		194,250		1,142,190
Rudolph Technologies, Inc.(a)		58,200		843,900
Sanmina-SCI Corp.(a)		513,600		2,362,560
Semtech Corp.(a)		57,275		827,624
TTM Technologies, Inc.(a)		103,675		1,500,177
Zoran Corp.(a)		88,475		2,153,482
				50,763,503
Energy — 9.8%
Atwood Oceanics, Inc.(a)		49,300		2,445,280
Cabot Oil & Gas Corp. Cl. A		157,375		7,711,375
CARBO Ceramics, Inc.(b)		38,400		1,886,592
Denbury Resources, Inc.(a)		48,500		1,535,995
Encore Acquisition Co.(a)		39,037		1,047,363
Forest Oil Corp.(a) (b)		90,500		3,000,980
Giant Industries, Inc.(a)		20,925		1,392,559
Headwaters, Inc.(a)		85,835		2,193,943
Helmerich & Payne, Inc.		37,425		2,255,231
Houston Exploration Co.(a)		49,300		3,016,667
Mariner Energy, Inc.(a) (b)		72,384		1,329,694
Nicor, Inc.(b)		38,425		1,594,638
Oceaneering International, Inc.(a)		160,000		7,336,000
Oneok, Inc.		114,800		3,907,792
Penn Virginia Corp.		76,500		5,345,820
SEACOR Holdings, Inc.(a)		23,550		1,933,455
Southern Union Co.(b)		82,250		2,225,685
Southwest Gas Corp.		74,300		2,328,562
Swift Energy Co.(a)		60,700		2,605,851
Tesoro Corp.		18,000		1,338,480
TETRA Technologies, Inc.(a)		202,800		6,142,812
Todco Cl. A		89,000		3,635,650
Union Drilling, Inc.(a)		23,900		355,154
Vectren Corp.		52,400		1,427,900
W-H Energy Services, Inc.(a)		53,600		2,724,488

	Number of Shares		Market Value
Whiting Petroleum Corp.(a) (b)		108,025	$	4,523,007
				75,240,973
Entertainment & Leisure — 0.5%
Callaway Golf Co.(b)		122,600		1,592,574
Live Nation, Inc.(a)		42,200		859,192
Macrovision Corp.(a)		29,000		624,080
Multimedia Games, Inc.(a) (b)		73,225		741,769
				3,817,615
Financial Services — 9.7%
Accredited Home Lenders Holding Co.(a)		40,200		1,921,962
Affiliated Managers Group, Inc.(a) (b)		16,150		1,403,274
AG Edwards, Inc.		19,425		1,074,591
Allied Capital Corp.(b)		84,000		2,416,680
American Capital Strategies Ltd.(b)		35,300		1,181,844
AmeriCredit Corp.(a)		29,100		812,472
Annaly Mortgage Management, Inc. REIT		141,800		1,816,458
Boston Private Financial Holdings, Inc.		42,200		1,177,380
Capital Trust Cl. A REIT		22,050		785,421
CBL & Associates Properties, Inc. REIT(b)		33,350		1,298,316
Columbia Equity Trust, Inc. REIT		53,500		821,760
East West Bancorp, Inc.		171,150		6,488,297
Eaton Vance Corp.		111,527		2,783,714
FelCor Lodging Trust, Inc.(b)		281,975		6,130,137
First Potomac Realty Trust REIT		86,200		2,567,898
Glenborough Realty Trust, Inc.(b)		51,100		1,100,694
Home Properties, Inc.(b)		34,250		1,901,218
Innkeepers USA Trust		74,100		1,280,448
Investment Technology Group, Inc.(a)		26,350		1,340,161
Jefferies Group, Inc.		200,525		5,941,556
Kilroy Realty Corp.(b)		82,700		5,975,075
LTC Properties, Inc.		58,225		1,301,329
Mid-America Apartment Communities, Inc. REIT		50,575		2,819,556
NorthStar Realty Finance Corp. REIT		93,475		1,122,635
Ocwen Financial Corp.(a) (b)		110,950		1,410,175
Raymond James Financial, Inc.		127,103		3,847,408

(Continued)

The accompanying notes are an integral part of the financial statements.

134

MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Reckson Associates Realty Corp.		27,825	$	1,151,399
Redwood Trust, Inc.(b)		19,225		938,757
SL Green Realty Corp.		31,500		3,448,305
Strategic Hotels & Resorts, Inc.		177,625		3,683,943
Tanger Factory Outlet Centers, Inc. REIT		53,150		1,720,466
Washington REIT		75,500		2,770,850
				74,434,179
Food Retailers — 0.3%
The Pantry, Inc.(a)		39,050		2,246,937
Foods — 0.6%
Nash Finch Co.(b)		36,000		766,440
Performance Food Group Co.(a) (b)		41,650		1,265,327
Spartan Stores, Inc.		68,600		1,003,618
Wild Oats Markets, Inc.(a) (b)		63,700		1,248,520
				4,283,905
Forest Products & Paper — 1.4%
Building Materials Holding Corp.(b)		53,500		1,491,045
Deltic Timber Corp.		55,500		3,128,535
Potlatch Corp.		64,568		2,437,442
School Specialty, Inc.(a)		50,400		1,605,240
Wausau Paper Corp.		137,000		1,705,650
				10,367,912
Healthcare — 2.2%
Community Health Systems, Inc.(a)		34,600		1,271,550
Covance Inc.(a)		75,200		4,603,744
Healthways, Inc.(a)		72,230		3,802,187
LCA-Vision, Inc.(b)		37,375		1,977,511
Odyssey Healthcare, Inc.(a) (b)		80,900		1,421,413
Sunrise Senior Living, Inc.(a)		80,900		2,236,885
VCA Antech, Inc.(a)		53,500		1,708,255
				17,021,545
Heavy Construction — 0.3%
Hovnanian K. Enterprises, Inc.(a)		81,804		2,460,664
Heavy Machinery — 1.2%
Bucyrus International, Inc. Cl. A		70,050		3,537,525
JLG Industries, Inc.		266,200		5,989,500
				9,527,025

	Number of Shares		Market Value
Home Construction, Furnishings & Appliances — 1.4%
Harman International Industries		41,600	$	3,551,392
Meritage Homes Corp.(a)		50,600		2,390,850
Standard-Pacific Corp.		93,900		2,413,230
Stanley Furniture Co., Inc.		88,700		2,126,139
				10,481,611
Household Products — 0.5%
Lifetime Brands, Inc.(b)		56,900		1,233,023
Snap-on, Inc.		58,700		2,372,654
				3,605,677
Industrial – Diversified — 1.2%
Ameron International Corp.		37,500		2,513,250
Harsco Corp.		40,800		3,180,768
Nordson Corp.		75,000		3,688,500
				9,382,518
Insurance — 5.0%
AMERIGROUP Corp.(a)		94,100		2,920,864
The Commerce Group, Inc.		80,694		2,383,701
Delphi Financial Group, Inc. Cl. A		108,077		3,929,680
FPIC Insurance Group, Inc.(a)		40,000		1,550,000
HCC Insurance Holdings, Inc.		42,450		1,249,728
Markel Corp.(a) (b)		8,900		3,088,300
Max Re Capital Ltd.		99,000		2,162,160
The Midland Co.		63,300		2,404,134
Navigators Group, Inc.(a)		30,350		1,329,937
Ohio Casualty Corp.		44,050		1,309,607
Philadelphia Consolidated Holding Corp.(a)		67,882		2,060,898
ProAssurance Corp.(a)		109,400		5,270,892
Protective Life Corp.		27,600		1,286,712
Scottish Re Group Ltd.		42,100		702,228
SeaBright Insurance Holdings(a)		60,900		981,099
Selective Insurance Group		14,975		836,653
State Auto Financial Corp.		39,000		1,269,060
United America Indemnity Ltd. Cl. A(a)		74,443		1,551,392
United Fire & Casualty Co.		56,500		1,702,345
				37,989,390
Lodging — 0.6%
LaSalle Hotel Properties(b)		82,700		3,829,010
Monarch Casino & Resort, Inc.(a)		38,200		1,074,184
				4,903,194

	Number of Shares		Market Value
Machinery & Components — 3.3%
Brooks Automation, Inc.(a) (b)		262,002	$	3,091,624
Flowserve Corp.(a)		46,125		2,624,513
Gardner Denver, Inc.(a)		38,000		1,463,000
IDEX Corp.		78,450		3,702,840
Insituform Technologies, Inc. Cl. A(a) (b)		140,300		3,211,467
Joy Global, Inc.		23,250		1,211,093
Lone Star Technologies, Inc.(a)		37,500		2,025,750
Timken Co.		93,400		3,129,834
Watsco, Inc.		40,203		2,404,943
Woodward Governor Co.		74,900		2,285,199
				25,150,263
Manufacturing — 0.6%
AptarGroup, Inc.		63,500		3,150,235
Terex Corp.(a)		11,850		1,169,595
				4,319,830
Medical Supplies — 1.1%
Arrow International, Inc.		55,900		1,837,433
Cooper Cos., Inc.		61,500		2,723,835
Owens & Minor, Inc.		132,100		3,778,060
				8,339,328
Metals & Mining — 2.9%
Carpenter Technology		38,800		4,481,400
Commercial Metals Co.		70,800		1,819,560
Gibraltar Industries, Inc.		118,200		3,427,800
Matthews International Corp. Cl. A		114,600		3,950,262
Meridian Gold, Inc.(a)		74,400		2,356,992
NCI Building Systems, Inc.(a)		19,150		1,018,206
NS Group, Inc.(a)		20,900		1,151,172
Quanex Corp.		21,212		913,601
Reliance Steel & Aluminum Co.		25,250		2,094,488
The Shaw Group, Inc.(a) (b)		33,225		923,655
				22,137,136
Pharmaceuticals — 1.4%
Alkermes, Inc.(a) (b)		66,450		1,257,234
Barr Pharmaceuticals(a)		37,100		1,769,299
Molecular Devices Corp.(a)		22,750		695,240
Myriad Genetics, Inc.(a) (b)		121,700		3,072,925
PetMed Express, Inc.(a)		78,200		857,854
Pharmion Corp.(a) (b)		55,400		943,462
Serologicals Corp.(a)		61,900		1,946,136
				10,542,150
Prepackaged Software — 1.6%
Aspen Technology, Inc.(a) (b)		120,625		1,582,600

(Continued)

The accompanying notes are an integral part of the financial statements.

135

MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
MicroStrategy, Inc. Cl. A(a)		13,300	$	1,297,016
Packeteer, Inc.(a)		121,900		1,382,346
Progress Software Corp.(a)		107,600		2,518,916
SonicWALL, Inc.(a)		142,200		1,278,378
SPSS, Inc.(a) (b)		131,875		4,238,463
				12,297,719
Restaurants — 1.5%
Brinker International, Inc.		57,801		2,098,176
CEC Entertainment, Inc.(a)		4,634		148,844
Centerplate, Inc.		23,700		317,580
Domino's Pizza, Inc.		89,500		2,214,230
RARE Hospitality International, Inc.(a)		121,800		3,502,968
Ruby Tuesday, Inc.(b)		57,500		1,403,575
Sonic Corp.(a)		84,950		1,766,111
				11,451,484
Retail — 2.7%
Casey's General Stores, Inc.		113,200		2,831,132
Cash America International, Inc.		42,825		1,370,400
Dollar Tree Stores, Inc.(a)		49,425		1,309,763
Fred's, Inc.(b)		97,500		1,301,625
Gamestop Corp., Cl. A(a) (b)		50,850		2,135,700
Genesco, Inc.(a)		43,375		1,469,111
Hancock Fabrics, Inc.		80,000		267,200
Haverty Furniture Companies, Inc.		150,000		2,353,500
OfficeMax, Inc.		32,300		1,316,225
Stein Mart, Inc.		321,281		4,754,959
ValueVision Media, Inc. Cl. A(a)		128,975		1,422,594
				20,532,209
Telephone Utilities — 0.1%
Brightpoint, Inc.(a)		64,989		879,301
Tobacco — 0.4%
Alliance One International, Inc.		143,300		636,252
Loews Corp. - Carolina Group		48,575		2,495,298
				3,131,550
Transportation — 4.4%
EGL, Inc.(a) (b)		26,650		1,337,830
Freightcar America, Inc.		20,475		1,136,567
Genesee & Wyoming, Inc. Cl. A(a)		121,200		4,298,964
Greenbrier Cos., Inc. (The)(b)		30,500		998,570
Hub Group, Inc. Cl. A(a)		55,100		1,351,603
Kirby Corp.(a)		134,800		5,324,600
Laidlaw International, Inc.		59,575		1,501,290

	Number of Shares		Market Value
Landstar System, Inc.(b)		169,500	$	8,005,485
Pacer International, Inc.		65,350		2,129,103
SCS Transportation, Inc.(a)		64,225		1,768,114
Skyline Corp.		43,200		1,848,096
UTI Worldwide, Inc.		146,000		3,683,580
				33,383,802
TOTAL EQUITIES (Cost $614,459,644)				731,602,305
MUTUAL FUNDS — 0.6%
Financial Services — 0.6%
First Financial Fund(b)		153,531		2,421,184
Government Reserve Investment Fund(a)		500		500
iShares Russell 2000 Index Fund(b)		3,400		243,780
iShares Russell 2000 Value Index Fund(b)		30,400		2,192,752
				4,858,216
TOTAL MUTUAL FUNDS (Cost $4,946,404)				4,858,216
TOTAL LONG TERM INVESTMENTS (Cost $619,406,048)				736,460,521
	Principal Amount
SHORT-TERM INVESTMENTS — 16.8%
Cash Equivalents — 13.4%(d)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	1,116,858	$	1,116,858
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		1,116,858		1,116,858
American Beacon Money Market Fund(c)		1,139,101		1,139,100
Bank of America 5.270% 07/14/2006		2,233,717		2,233,717
Bank of America 5.310% 03/08/2007		2,233,717		2,233,717
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		2,233,717		2,233,717
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		2,233,717		2,233,717
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		3,350,575		3,350,575

	Principal Amount		Market Value
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006	$	4,020,690	$	4,020,690
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		2,233,717		2,233,717
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		2,233,717		2,233,717
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		5,584,292		5,584,292
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		2,903,832		2,903,832
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		1,778,009		1,778,009
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006		2,680,460		2,680,460
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		2,233,717		2,233,717
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		2,233,717		2,233,717
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006		2,233,717		2,233,717
Freddie Mac Discount Note 5.191% 07/25/2006		1,333,044		1,333,044
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		1,563,602		1,563,602
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		2,233,717		2,233,717
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		7,818,009		7,818,008
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		2,651,894		2,651,894
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		2,233,717		2,233,717
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		2,508,816		2,508,815

(Continued)

The accompanying notes are an integral part of the financial statements.

136

MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006	$	2,628,733	$	2,628,733
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		3,350,575		3,350,575
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		7,488,550		7,488,549
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		3,797,318		3,797,318
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		6,254,407		6,254,407
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		3,350,575		3,350,575
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006		3,350,575		3,350,575
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		2,233,717		2,233,717
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		1,116,858		1,116,858
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006		2,233,717		2,233,717
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		2,233,717		2,233,717
				102,175,665
Repurchase Agreement — 3.4%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(e)		26,145,558		26,145,558
TOTAL SHORT-TERM INVESTMENTS (Cost $128,321,223)				128,321,223
TOTAL INVESTMENTS — 113.0% (Cost $747,727,271)(f)				864,781,744
Other Assets/ (Liabilities) — (13.0%)				(99,725,675	)
NET ASSETS — 100.0%			$	765,056,069

Notes to Portfolio of Investments

ADR - American Depository Receipt

REIT - Real Estate Investment Trust

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. (Note 2).

(d) Represents investments of security lending collateral. (Note 2).

(e) Maturity value of $26,153,729. Collateralized by a U.S. Government Agency obligation with a rate of 5.823%, maturity date of 12/25/2033, and an aggregate market value, including accrued interest, of $27,452,836.

(f) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

137

MassMutual Select Small Cap Core Equity Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 99.4%
COMMON STOCK
Advertising — 0.1%
Catalina Marketing Corp.		400	$	11,384
Aerospace & Defense — 0.9%
HEICO Corp.		1,400		39,690
Kaman Corp.		1,400		25,480
Sequa Corp. Cl. A(a)		400		32,600
				97,770
Apparel, Textiles & Shoes — 3.0%
Brown Shoe Co., Inc.		2,100		71,568
Christopher & Banks Corp.		980		28,420
Dress Barn, Inc.(a)		2,100		53,235
Guess ?, Inc.(a)		605		25,259
Hartmarx Corp.(a)		3,800		22,800
Kellwood Co.		2,920		85,468
Skechers U.S.A., Inc. Cl. A(a)		1,200		28,932
				315,682
Automotive & Parts — 2.6%
A.O. Smith Corp.		300		13,908
ArvinMeritor, Inc.		2,400		41,256
Group 1 Automotive, Inc.		1,900		107,046
Myers Industries, Inc.		600		10,314
Rush Enterprises, Inc. Cl. A(a)		600		10,902
Sonic Automotive, Inc.		1,600		35,488
TRW Automotive Holdings Corp.(a)		400		10,912
United Auto Group, Inc.		1,984		42,358
				272,184
Banking, Savings & Loans — 7.9%
Cascade Bancorp		1,000		28,510
Cathay General Bancorp		2,500		90,950
Central Pacific Financial Corp.		1,100		42,570
City National Corp.		1,300		84,617
Columbia Banking Systems, Inc.		700		26,166
CompuCredit Corp.(a)		1,400		53,816
First Community Bancorp		400		23,632
First Indiana Corp.		500		13,015
First Regional Bancorp/ Los Angeles, CA(a)		82		7,216
Greater Bay Bancorp		2,100		60,375
Hanmi Financial Corp.		3,700		71,928
Nara Bancorp, Inc.		2,187		41,006
Partners Trust Financial Group, Inc.		5,900		67,319

	Number of Shares		Market Value
Preferred Bank/ Los Angeles, CA		712	$	38,170
Signature Bank(a)		700		22,666
Southwest Bancorp Inc.		200		5,100
TierOne Corp.		1,500		50,655
TriCo Bancshares		400		10,952
Virginia Commerce Bancorp(a)		900		21,510
Wilshire Bancorp, Inc.		2,436		43,897
World Acceptance Corp.(a)		800		28,416
				832,486
Beverages — 0.6%
Boston Beer Co., Inc. Cl. A(a)		400		11,716
Hansen Natural Corp.(a)		100		19,037
M&F Worldwide Corp.(a)		1,100		17,710
National Beverage Corp.		1,000		14,350
				62,813
Broadcasting, Publishing & Printing — 1.7%
Belo Corp. Cl. A		500		7,800
Cox Radio, Inc. Cl. A(a)		5,100		73,542
Scholastic Corp.(a)		3,700		96,089
				177,431
Building Materials & Construction — 1.8%
Andersons Inc. (The)		502		20,888
Comfort Systems USA, Inc.		3,500		50,015
Emcor Group, Inc.(a)		1,600		77,872
Louisiana-Pacific Corp.		700		15,330
US Concrete, Inc.(a)		1,900		20,995
				185,100
Chemicals — 2.8%
CF Industries Holdings, Inc.		2,240		31,942
Innospec, Inc.		800		20,336
NewMarket Corp.		1,500		73,590
OM Group, Inc.(a)		1,300		40,105
Schulman (A.), Inc.		1,400		32,046
SurModics, Inc.(a)		500		18,055
Terra Industries, Inc.(a)		1,400		8,918
Tronox, Inc. Cl. B		1,800		23,706
Usec, Inc.		4,300		50,955
				299,653
Commercial Services — 8.6%
Ambassadors Group, Inc.		800		23,104
Amerco(a)		200		20,132
American Ecology Corp.		1,000		26,500
American Reprographics Co.(a)		600		21,750
Arbitron, Inc.		1,000		38,330

	Number of Shares		Market Value
BearingPoint, Inc.(a)		1,100	$	9,207
CBIZ, Inc.(a)		5,000		37,050
Dollar Thrifty Automotive Group, Inc.(a)		800		36,056
Exelixis, Inc.(a)		3,683		37,014
Global Payments, Inc.		900		43,695
Ikon Office Solutions, Inc.		8,900		112,140
Kforce, Inc.(a)		2,600		40,274
Luminex Corp.(a)		1,700		29,563
MPS Group, Inc.(a)		4,000		60,240
On Assignment, Inc.(a)		1,700		15,623
PHH Corp.(a)		700		19,278
Portfolio Recovery Associates, Inc.(a)		200		9,140
Service Corp. International		1,500		12,210
Sotheby's(a)		1,200		31,500
SOURCECORP, Inc.(a)		1,679		41,623
Spherion Corp.(a)		6,700		61,104
Startek, Inc.		800		11,960
TeleTech Holdings, Inc.(a)		3,000		37,980
United Rentals, Inc.(a)		1,200		38,376
Universal Compression Holdings, Inc.(a)		1,100		69,267
Volt Information Sciences, Inc.(a)		200		9,320
World Fuel Services Corp.		400		18,276
				910,712
Communications — 1.9%
Broadwing Corp.(a)		1,000		10,350
CT Communications, Inc.		920		21,040
Ditech Networks, Inc.(a)		4,000		34,880
Polycom, Inc.(a)		4,100		89,872
Sycamore Networks, Inc.(a)		5,700		23,142
Syniverse Holdings, Inc.(a)		1,583		23,270
				202,554
Computer Integrated Systems Design — 3.1%
Adaptec, Inc.(a)		2,500		10,850
Ansoft Corp.(a)		3,700		75,776
Digital Insight Corp.(a)		1,200		41,148
Hypercom Corp.(a)		4,100		38,335
JDA Software Group, Inc.(a)		1,600		22,448
Mentor Graphics Corp.(a)		1,600		20,768
SYKES Enterprises, Inc.(a)		2,700		43,632
Synopsys, Inc.(a)		3,000		56,310
Websense, Inc.(a)		1,100		22,594
				331,861
Computer Programming Services — 0.5%
RealNetworks, Inc.(a)		3,500		37,450
Stellent, Inc.		1,200		11,460
				48,910

(Continued)

The accompanying notes are an integral part of the financial statements.

138

MassMutual Select Small Cap Core Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Computer Related Services — 0.6%
EarthLink, Inc.(a)		1,100	$	9,526
eCollege.com, Inc.(a)		1,600		33,824
NetFlix, Inc.(a)		600		16,326
				59,676
Computers & Information — 1.1%
Cirrus Logic, Inc.(a)		9,231		75,140
Redback Networks, Inc.(a)		600		11,004
VeriFone Holdings, Inc.(a)		556		16,947
Western Digital Corp.(a)		600		11,886
				114,977
Data Processing & Preparation — 1.2%
CSG Systems International, Inc.(a)		2,000		49,480
S1 Corp.(a)		3,626		17,405
The TriZetto Group, Inc.(a)		3,800		56,202
				123,087
Electric Utilities — 2.0%
Avista Corp.		2,200		50,226
NorthWestern Corp.		2,000		68,700
Ormat Technologies, Inc.		500		19,075
Pepco Holdings, Inc.		1,100		25,938
Reliant Energy, Inc.(a)		1,200		14,376
UIL Holdings Corp.		400		22,516
WPS Resources Corp.		300		14,880
				215,711
Electrical Equipment & Electronics — 5.8%
Acuity Brands, Inc.		1,281		49,844
Analogic Corp.		600		27,966
Anaren, Inc.(a)		2,500		51,225
Atheros Communications, Inc.(a)		500		9,480
Atmel Corp.(a)		9,900		54,945
Cymer, Inc.(a)		600		27,876
DSP Group, Inc.(a)		500		12,425
Electro Scientific Industries, Inc.(a)		1,700		30,583
Intersil Corp. Cl. A		758		17,624
Kemet Corp.(a)		5,000		46,100
LSI Logic Corp.(a)		1,200		10,740
Oplink Communications, Inc.(a)		600		10,986
OSI Systems, Inc.(a)		700		12,439
Plexus Corp.(a)		1,200		41,052
RF Micro Devices, Inc.(a)		3,300		19,701
Spansion LLC Cl. A(a)		1,800		28,692
Synaptics, Inc.(a)		700		14,980
Sypris Solutions, Inc.		1,700		16,065
Triquint Semiconductor, Inc.(a)		12,485		55,683
TTM Technologies, Inc.(a)		700		10,129

	Number of Shares		Market Value
United Industrial Corp.		1,000	$	45,250
Vicor Corp.		700		11,599
Zoran Corp.(a)		400		9,736
				615,120
Energy — 2.6%
Berry Petroleum Co. Cl. A		400		13,260
Harvest Natural Resources, Inc.(a)		2,536		34,338
KCS Energy, Inc.(a)		600		17,820
Petroleum Development Corp.(a)		600		22,620
Swift Energy Co.(a)		2,400		103,032
TETRA Technologies, Inc.(a)		1		30
Tidewater, Inc.		600		29,520
Todco Cl. A		100		4,085
Unit Corp.(a)		200		11,378
W&T Offshore, Inc.		1,100		42,779
				278,862
Entertainment & Leisure — 1.8%
Bally Total Fitness Holding Corp.(a)		1,400		9,492
Churchill Downs, Inc.		1,000		37,450
DreamWorks Animation SKG, Inc. Cl. A(a)		1,100		25,190
JAKKS Pacific, Inc.(a)		791		15,891
Live Nation, Inc.(a)		1,980		40,313
Six Flags, Inc.(a)		2,914		16,377
Sunterra Corp.(a)		3,900		39,936
World Wrestling Entertainment, Inc.		600		10,134
				194,783
Financial Services — 9.5%
Accredited Home Lenders Holding Co.(a)		900		43,029
Agree Realty Corp. REIT		700		23,779
American Home Mortgage Investment Corp. REIT		3,279		120,864
Anthracite Capital, Inc. REIT		5,000		60,800
Apollo Investment Corp.		1,600		29,568
Arbor Realty Trust, Inc. REIT		3,300		82,665
CentraCore Properties Trust REIT		1,600		39,600
Chittenden Corp.		1,384		35,776
FelCor Lodging Trust, Inc.		2,400		52,176
First Cash Financial Services, Inc.(a)		2,100		41,475
Gramercy Capital Corp. REIT		1,500		38,850
HRPT Properties Trust		900		10,404
iStar Financial, Inc.		400		15,100
JER Investors Trust, Inc. REIT		900		13,995
Morningstar Inc.(a)		400		16,592

	Number of Shares		Market Value
National Health Realty, Inc. REIT		800	$	15,160
New Century Financial Corp. REIT		800		36,600
Newkirk Realty Trust, Inc.		3,423		59,423
optionsXpress Holdings, Inc.		62		1,445
Piper Jaffray Cos.(a)		600		36,726
Senior Housing Properties Trust		5,700		102,087
SWS Group, Inc.		600		14,472
Thomas Weisel Partners Group, Inc.(a)		2,906		55,243
Winston Hotels, Inc. REIT		4,500		55,125
				1,000,954
Foods — 2.7%
Great Atlantic & Pacific Tea Co.		1,548		35,171
Imperial Sugar Co.		600		14,232
Lance, Inc.		1,100		25,322
Performance Food Group Co.(a)		1,600		48,608
Pilgrim's Pride Corp.		1,100		28,380
Premium Standard Farms, Inc.		1,999		32,444
Seaboard Corp.		28		35,840
Smart & Final, Inc.(a)		2,300		38,732
Spartan Stores, Inc.		2,200		32,186
				290,915
Forest Products & Paper — 1.5%
BlueLinx Holdings, Inc.		2,200		28,666
Buckeye Technologies, Inc.(a)		2,200		16,808
Rock-Tenn Co. Cl. A		700		11,165
United Stationers, Inc.(a)		1,300		64,116
Universal Forest Products, Inc.		600		37,638
				158,393
Healthcare — 1.6%
National Healthcare Corp.		200		8,910
Res-Care, Inc.(a)		1,200		24,000
Sierra Health Services, Inc.(a)		1,300		58,539
Sunrise Senior Living, Inc.(a)		2,800		77,420
				168,869
Heavy Machinery — 1.0%
NACCO Industries, Inc. Cl. A		800		109,928
Home Construction, Furnishings & Appliances — 1.1%
Cavco Industries, Inc.(a)		200		8,888
Furniture Brands International, Inc.		4,400		91,696
Kimball International, Inc. Cl. B		800		15,768
				116,352

(Continued)

The accompanying notes are an integral part of the financial statements.

139

MassMutual Select Small Cap Core Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Industrial – Diversified — 0.1%
SPX Corp.		200	$	11,190
Information Retrieval Services — 0.5%
InfoSpace, Inc.(a)		2,300		52,141
Insurance — 3.7%
American Physicians Capital, Inc.(a)		700		36,813
Argonaut Group, Inc.(a)		1,900		57,076
W.R. Berkley Corp.		1,350		46,076
Fremont General Corp.		5,800		107,648
Molina Healthcare, Inc.(a)		300		11,415
Reinsurance Group of America, Inc.		1,000		49,150
Safety Insurance Group, Inc.		200		9,510
SeaBright Insurance Holdings(a)		1,400		22,554
Selective Insurance Group		700		39,109
Tower Group, Inc.		400		12,100
				391,451
Internet Software — 0.4%
webMethods, Inc.(a)		3,900		38,493
Lodging — 0.7%
Marcus Corp.		2,700		56,376
Monarch Casino & Resort, Inc.(a)		400		11,248
Vail Resorts, Inc.(a)		300		11,130
				78,754
Machinery & Components — 0.7%
AGCO Corp.(a)		300		7,897
Axcelis Technologies, Inc.(a)		2,800		16,520
Valmont Industries, Inc.		800		37,192
Woodward Governor Co.		500		15,255
				76,864
Manufacturing — 0.2%
EnPro Industries, Inc.(a)		700		23,520
Medical Supplies — 4.1%
Applera Corp. - Applied Biosystems Group		3,200		103,520
Bruker BioSciences Corp.(a)		517		2,771
Candela Corp.(a)		540		8,564
Coherent, Inc.(a)		500		16,865
Dade Behring Holdings, Inc.		1,000		41,640
Haemonetics Corp.(a)		300		13,953
Illumina, Inc.(a)		1,000		29,660
Immucor, Inc.(a)		900		17,307
Intuitive Surgical, Inc.(a)		200		23,594
MTS Systems Corp.		600		23,706
PSS World Medical, Inc.(a)		2,400		42,360
Tektronix, Inc.		1,000		29,420

	Number of Shares		Market Value
Thoratec Corp.(a)		1,500	$	20,805
Varian, Inc.(a)		500		20,755
Viasys Healthcare, Inc.(a)		700		17,920
Zoll Medical Corp.(a)		700		22,932
				435,772
Metals & Mining — 1.6%
Castle (A.M.) & Co.		400		12,900
Encore Wire Corp.(a)		1,000		35,940
General Cable Corp.(a)		1,900		66,500
Steel Dynamics, Inc.		200		13,148
Steel Technologies, Inc.		1,010		19,634
Superior Essex, Inc.(a)		493		14,756
Wheeling-Pittsburgh Corp.(a)		400		7,956
				170,834
Pharmaceuticals — 6.0%
Albany Molecular Research, Inc.(a)		1,000		10,680
Alkermes, Inc.(a)		5,400		102,168
Alpharma, Inc. Cl. A		2,500		60,100
Arqule, Inc.(a)		6,813		38,425
Caraco Pharmaceutical Laboratories Ltd.(a)		2,000		18,300
Cephalon, Inc.(a)		600		36,060
Diagnostic Products Corp.		200		11,634
Endo Pharmaceuticals Holdings, Inc.(a)		1,200		39,576
Immunogen, Inc.(a)		7,189		22,502
Invitrogen Corp.(a)		300		19,821
Molecular Devices Corp.(a)		600		18,336
Myriad Genetics, Inc.(a)		1,300		32,825
NBTY, Inc.(a)		700		16,737
Neurocrine Biosciences, Inc.(a)		900		9,540
New River Pharmaceuticals, Inc.(a)		2,320		66,120
Pain Therapeutics, Inc.(a)		3,700		30,895
PDL BioPharma, Inc.(a)		400		7,364
Savient Pharmaceuticals, Inc.(a)		5,500		28,875
USANA Health Sciences, Inc.(a)		700		26,530
Watson Pharmaceutical, Inc.(a)		1,700		39,576
				636,064
Prepackaged Software — 3.4%
Advent Software, Inc.(a)		500		18,035
Ansys, Inc.(a)		300		14,346
Blackbaud, Inc.		700		15,890
Brocade Communications Systems, Inc.(a)		3,600		22,104
Internet Security Systems, Inc.(a)		1,900		35,815
Interwoven, Inc.(a)		3,100		26,598
MicroStrategy, Inc. Cl. A(a)		600		58,512
Novell, Inc.(a)		1,500		9,945

	Number of Shares		Market Value
Red Hat, Inc.(a)		2,000	$	46,800
SonicWALL, Inc.(a)		4,400		39,556
SPSS, Inc.(a)		829		26,644
TradeStation Group, Inc.(a)		1,060		13,430
Vignette Corp.(a)		1,900		27,702
				355,377
Real Estate — 1.7%
Alderwoods Group, Inc.(a)		1,500		29,190
California Coastal Communities, Inc.(a)		1,100		35,200
Consolidated-Tomoka Land Co.		300		16,542
Housevalues, Inc.(a)		1,300		9,009
Jones Lang Lasalle, Inc.		1,000		87,550
				177,491
Restaurants — 2.2%
Bob Evans Farms, Inc.		600		18,006
Lone Star Steakhouse & Saloon, Inc.		1,300		34,099
Luby's, Inc.(a)		2,100		21,903
O'Charley's, Inc.(a)		3,500		59,500
Papa John's International, Inc.(a)		1,107		36,752
Ryan's Restaurant Group, Inc.(a)		5,500		65,505
				235,765
Retail — 2.3%
Big Lots, Inc.(a)		1,700		29,036
Bon-Ton Stores (The), Inc.		700		15,316
Borders Group, Inc.		2,000		36,920
Cash America International, Inc.		2,200		70,400
Marvel Entertainment, Inc.(a)		1,556		31,120
Perry Ellis International, Inc.(a)		900		22,779
Stage Stores, Inc.		600		19,800
Trans World Entertainment Corp.(a)		2,100		15,162
				240,533
Telephone Utilities — 1.2%
Brightpoint, Inc.(a)		1,320		17,860
Golden Telecom, Inc.		3,100		78,585
Lightbridge, Inc.(a)		2,400		31,080
				127,525
Transportation — 2.6%
Arctic Cat, Inc.		600		11,706
Covenant Transport, Inc. Cl. A(a)		700		10,654
EGL, Inc.(a)		400		20,080
Frozen Food Express Industries(a)		3,400		37,468

(Continued)

The accompanying notes are an integral part of the financial statements.

140

MassMutual Select Small Cap Core Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Hornbeck Offshore Services, Inc.(a)		1,500	$	53,280
Marten Transport Ltd.(a)		1,400		30,436
Overseas Shipholding Group, Inc.		500		29,575
SCS Transportation, Inc.(a)		1,800		49,554
Trico Marine Services, Inc.(a)		300		10,200
US Xpress Enterprises, Inc. Cl. A(a)		900		24,318
				277,271
TOTAL EQUITIES (Cost $10,713,242)				10,525,212
	Principal Amount
SHORT-TERM INVESTMENTS — 0.6%
Repurchase Agreement
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(b)	$	69,556		69,556
TOTAL SHORT-TERM INVESTMENTS (Cost $69,556)				69,556
TOTAL INVESTMENTS — 100.0% (Cost $10,782,798)(c)				10,594,768
Other Assets/ (Liabilities) — 0.0%				(3,119	)
NET ASSETS — 100.0%			$	10,591,649

Notes to Portfolio of Investments

REIT - Real Estate Investment Trust

(a) Non-income producing security.

(b) Maturity value of $69,578. Collateralized by a U.S. Government Agency obligation with a rate of 4.616%, maturity date of 08/01/2034, and an aggregate marke value, including accrued interest, of 73,034.

The remainder of this page is intentionally left blank.

The accompanying notes are an integral part of the financial statements.

141

MassMutual Select Mid Cap Growth Equity Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 99.4%
COMMON STOCK
Advertising — 0.9%
Monster Worldwide, Inc.(a)		39,000	$	1,663,740
Aerospace & Defense — 1.8%
Rockwell Collins, Inc.		63,075		3,524,000
Automotive & Parts — 1.7%
Oshkosh Truck Corp.		68,100		3,236,112
Banking, Savings & Loans — 2.3%
Cullen/Frost Bankers, Inc.		36,600		2,097,180
Hudson City Bancorp, Inc.		168,300		2,243,439
				4,340,619
Beverages — 1.3%
Brown-Forman Corp. Cl. B		34,475		2,471,513
Building Materials & Construction — 1.3%
Martin Marietta Materials, Inc.		28,125		2,563,594
Commercial Services — 7.9%
Akamai Technologies, Inc.(a) (b)		87,125		3,153,054
The Corporate Executive Board Co.		25,225		2,527,545
Global Payments, Inc.		60,550		2,939,702
Pharmaceutical Product Development, Inc.		90,900		3,192,408
Stericycle, Inc.(a)		53,000		3,450,300
				15,263,009
Communications — 1.7%
American Tower Corp. Cl. A(a) (b)		104,162		3,241,521
Computer Programming Services — 2.5%
Ceridian Corp.(a)		98,925		2,417,727
Cognizant Technology Solutions Corp. Cl. A(a)		36,000		2,425,320
				4,843,047
Computers & Information — 5.3%
Nuance Communications, Inc.(a)		349,125		3,512,197
SanDisk Corp.(a) (b)		60,550		3,086,839
Western Digital Corp.(a)		185,050		3,665,840
				10,264,876

	Number of Shares		Market Value
Containers — 1.1%
Pactiv Corp.(a)		83,000	$	2,054,250
Electrical Equipment & Electronics — 9.1%
Ametek, Inc.		53,875		2,552,597
Broadcom Corp. Cl. A(a)		89,550		2,690,977
LSI Logic Corp.(a) (b)		274,250		2,454,537
MEMC Electronic Materials, Inc.(a) (b)		127,025		4,763,437
National Semiconductor Corp.		101,000		2,408,850
Nvidia Corp.(a)		122,800		2,614,412
				17,484,810
Energy — 6.3%
Berry Petroleum Co. Cl. A		61,700		2,045,355
Denbury Resources, Inc.(a)		70,100		2,220,067
Helmerich & Payne, Inc.		36,300		2,187,438
Peabody Energy Corp.		50,450		2,812,587
Sunoco, Inc.		42,075		2,915,377
				12,180,824
Financial Services — 4.5%
Chicago Mercantile Exchange Holdings, Inc.(b)		10,100		4,960,615
The Nasdaq Stock Market, Inc.(a)		57,175		1,709,533
T. Rowe Price Group, Inc.		54,200		2,049,302
				8,719,450
Foods — 2.2%
Hormel Foods Corp.		55,500		2,061,270
Panera Bread Co. Cl. A(a) (b)		32,675		2,197,067
				4,258,337
Healthcare — 7.3%
Covance Inc.(a) (b)		39,925		2,444,209
DaVita, Inc.(a)		36,300		1,804,110
Express Scripts, Inc.(a)		35,400		2,539,596
Health Net, Inc.(a)		51,725		2,336,418
IDEXX Laboratories, Inc.(a)		29,950		2,250,144
Sierra Health Services, Inc.(a)		58,925		2,653,393
				14,027,870
Heavy Machinery — 2.2%
Cameron International Corp.(a) (b)		48,700		2,326,399
The Toro Co.		42,025		1,962,568
				4,288,967

	Number of Shares		Market Value
Industrial – Diversified — 1.3%
ITT Industries, Inc.		50,450	$	2,497,275
Insurance — 1.0%
Brown & Brown, Inc.		67,150		1,962,123
Lodging — 2.3%
Choice Hotels International, Inc.(b)		74,050		4,487,430
Machinery & Components — 2.3%
Joy Global, Inc.		86,625		4,512,296
Manufacturing — 1.2%
Lam Research Corp.(a) (b)		47,200		2,200,464
Medical Supplies — 4.2%
Intuitive Surgical, Inc.(a) (b)		48,825		5,759,885
Techne Corp.(a)		47,125		2,399,605
				8,159,490
Metals & Mining — 13.5%
Allegheny Technologies, Inc.(b)		78,425		5,430,147
Cameco Corp.(b)		75,675		3,024,730
Glamis Gold Ltd.(a)		89,975		3,406,454
Goldcorp, Inc.		79,850		2,413,067
Precision Castparts Corp.		60,550		3,618,468
Tenaris SA ADR (Argentina)		147,275		5,963,165
Titanium Metals Corp.(a) (b)		63,600		2,186,568
				26,042,599
Pharmaceuticals — 2.2%
Celgene Corp.(a) (b)		87,475		4,148,939
Prepackaged Software — 3.5%
Intuit, Inc.(a)		42,875		2,589,221
Red Hat, Inc.(a) (b)		108,575		2,540,655
Salesforce.com, Inc.(a) (b)		63,525		1,693,577
				6,823,453
Real Estate — 1.5%
CB Richard Ellis Group, Inc. Cl. A(a)		116,150		2,892,135
Restaurants — 2.1%
Darden Restaurants, Inc.		102,625		4,043,425
Retail — 1.1%
MSC Industrial Direct Co. Cl. A		42,650		2,028,861

(Continued)

The accompanying notes are an integral part of the financial statements.

142

MassMutual Select Mid Cap Growth Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Telephone Utilities — 3.8%
NII Holdings, Inc. Cl. B(a)		85,775	$	4,835,995
US Cellular Corp.(a)		42,075		2,549,745
				7,385,740
TOTAL EQUITIES (Cost $160,775,626)				191,610,769
	Principal Amount
SHORT-TERM INVESTMENTS — 21.7%
Cash Equivalents — 20.6%(d)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	434,592		434,592
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		434,594		434,594
American Beacon Money Market Fund(c)		443,249		443,249
Bank of America 5.270% 07/14/2006		869,188		869,188
Bank of America 5.310% 03/08/2007		869,188		869,188
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		869,188		869,188
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		869,188		869,188
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		1,303,782		1,303,782
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		1,564,538		1,564,538
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		869,188		869,188
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		869,188		869,188
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		2,172,970		2,172,970
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		1,129,944		1,129,944
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		691,862		691,862

	Principal Amount		Market Value
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006	$	1,043,025	$	1,043,025
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		869,188		869,188
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		869,188		869,188
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006		869,188		869,188
Freddie Mac Discount Note 5.191% 07/25/2006		518,717		518,717
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		608,432		608,432
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		869,188		869,188
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		3,042,158		3,042,158
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		1,031,910		1,031,910
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		869,188		869,188
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		869,188		869,188
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		1,129,944		1,129,944
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		1,303,782		1,303,782
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		2,913,958		2,913,958
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		1,477,619		1,477,619
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		2,433,726		2,433,726
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		1,303,782		1,303,782

	Principal Amount		Market Value
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006	$	1,303,782	$	1,303,782
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		869,188		869,188
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		869,188		869,188
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006		434,594		434,594
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		869,188		869,188
				39,758,780
Repurchase Agreement — 1.1%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(e)		2,130,563		2,130,563
TOTAL SHORT-TERM INVESTMENTS (Cost $41,889,343)				41,889,343
TOTAL INVESTMENTS — 121.1% (Cost $202,664,969)(f)				233,500,112
Other Assets/ (Liabilities) — (21.1%)				(40,675,861	)
NET ASSETS — 100.0%			$	192,824,251

Notes to Portfolio of Investments

ADR - American Depository Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. (Note 2).

(d) Represents investments of security lending collateral. (Note 2).

(e) Maturity value of $2,131,229. Collateralized by a U.S. Government Agency obligation with a rate of 4.375%, maturity date of 06/20/2023, and an aggregate market value, including accrued interest, of $2,237,091.

(f) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

143

MassMutual Select Mid Cap Growth Equity II Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 97.2%
COMMON STOCK
Advertising — 3.8%
aQuantive, Inc.(a) (b)		159,000	$	4,027,470
Catalina Marketing Corp.		173,000		4,923,580
Clear Channel Outdoor Holdings, Inc. Cl. A(a)		167,700		3,514,992
Getty Images, Inc.(a) (b)		152,300		9,672,573
Harte-Hanks, Inc.		28,400		728,176
Lamar Advertising Co.(a)		234,800		12,646,328
Monster Worldwide, Inc.(a)		223,500		9,534,510
Omnicom Group, Inc.		31,900		2,841,971
WPP Group PLC Sponsored ADR (United Kingdom)		50,600		3,050,674
				50,940,274
Aerospace & Defense — 2.2%
Alliant Techsystems, Inc.(a) (b)		72,000		5,497,200
Empresa Brasileira de Aeronautica SA ADR (Brazil)(b)		63,700		2,323,139
Goodrich Corp.		159,000		6,406,110
Rockwell Collins, Inc.		264,000		14,749,680
				28,976,129
Agribusiness — 0.1%
Delta & Pine Land Co.(b)		35,000		1,029,000
Air Transportation — 1.2%
SkyWest, Inc.		167,500		4,154,000
Southwest Airlines Co.		716,200		11,724,194
				15,878,194
Apparel, Textiles & Shoes — 0.7%
Coach, Inc.(a)		86,600		2,589,340
Ross Stores, Inc.		220,100		6,173,805
				8,763,145
Automotive & Parts — 0.8%
Harley-Davidson, Inc.(b)		55,800		3,062,862
Oshkosh Truck Corp.		149,000		7,080,480
Winnebago Industries, Inc.(b)		22,900		710,816
				10,854,158
Banking, Savings & Loans — 1.7%
City National Corp.		12,100		787,589
First Horizon National Corp.		18,400		739,680

	Number of Shares		Market Value
Investors Financial Services Corp.		175,600	$	7,884,440
Mellon Financial Corp.		51,100		1,759,373
Northern Trust Corp.		46,400		2,565,920
State Street Corp.		38,900		2,259,701
SVB Financial Group(a)		55,700		2,532,122
Synovus Financial Corp.		106,300		2,846,714
UCBH Holdings, Inc.		42,400		701,296
				22,076,835
Beverages — 0.2%
Cott Corp.(a)		195,000		2,546,700
Broadcasting, Publishing & Printing — 1.0%
Citadel Broadcasting Corp.(b)		304,700		2,711,830
The McGraw-Hill Companies, Inc.(b)		21,800		1,095,014
Meredith Corp.		16,900		837,226
Radio One, Inc. Cl. D(a)		115,400		853,960
Salem Communications Corp. Cl. A		54,300		706,443
The Scripps (E.W.) Co. Cl. A		14,600		629,844
Univision Communications, Inc. Cl. A(a)		173,700		5,818,950
				12,653,267
Building Materials & Construction — 0.2%
Kinetic Concepts, Inc.(a)		51,000		2,251,650
Chemicals — 0.8%
Aventine Renewable Energy Holdings, Inc.(a)		21,800		848,020
Monsanto Co.		9,500		799,805
Nalco Holding Co.(a)		229,000		4,037,270
Praxair, Inc.(b)		20,600		1,112,400
Symyx Technologies, Inc.(a)		26,600		642,390
The Valspar Corp.		62,100		1,640,061
VeraSun Energy(a) (b)		69,100		1,813,184
				10,893,130
Commercial Services — 7.3%
Apollo Group, Inc. Cl. A(a)		22,006		1,137,050
Block (H&R), Inc.		45,700		1,090,402
Cintas Corp.		47,500		1,888,600
The Corporate Executive Board Co.		29,600		2,965,920

	Number of Shares		Market Value
Decode Genetics, Inc.(a) (b)		136,700	$	846,173
DeVry, Inc.(a) (b)		37,500		823,875
Dun & Bradstreet Corp.(a)		23,600		1,644,448
Ecolab, Inc.(b)		76,400		3,100,312
Equifax, Inc.		32,500		1,116,050
Fastenal Co.		26,900		1,083,801
Fluor Corp.		45,000		4,181,850
Gen-Probe, Inc.(a)		76,000		4,102,480
Global Payments, Inc.		106,500		5,170,575
Iron Mountain, Inc.(a) (b)		282,950		10,576,671
ITT Educational Services, Inc.(a)		20,000		1,316,200
Laureate Education, Inc.(a)		73,000		3,111,990
LECG Corp.(a)		41,800		772,046
Manpower, Inc.		164,700		10,639,620
MoneyGram International, Inc.		344,700		11,702,565
Moody's Corp.		83,000		4,520,180
Paychex, Inc.		97,000		3,781,060
QIAGEN NV(a) (b)		59,100		810,852
Quest Diagnostics, Inc.(b)		44,600		2,672,432
Resources Connection, Inc.(a)		44,000		1,100,880
Ritchie Bros. Auctioneers, Inc.		38,500		2,047,430
Robert Half International, Inc.		163,100		6,850,200
Stericycle, Inc.(a)		21,000		1,367,100
United Rentals, Inc.(a) (b)		123,000		3,933,540
Universal Technical Institute, Inc.(a) (b)		22,100		486,642
Viad Corp.		65,000		2,034,500
				96,875,444
Communications — 3.8%
American Tower Corp. Cl. A(a) (b)		383,000		11,918,960
Crown Castle International Corp.(a) (b)		456,000		15,750,240
EchoStar Communications Corp. Cl. A(a)		75,000		2,310,750
Harris Corp.		176,000		7,305,760
Rogers Communications, Inc. Cl. B(b)		217,675		8,794,070

(Continued)

The accompanying notes are an integral part of the financial statements.

144

MassMutual Select Mid Cap Growth Equity II Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
SBA Communications Corp. Cl. A(a)		122,100	$	3,191,694
XM Satellite Radio Holdings, Inc. Cl. A(a)		54,700		801,355
				50,072,829
Computer Integrated Systems Design — 1.9%
Avid Technology, Inc.(a) (b)		134,400		4,479,552
Cadence Design Systems, Inc.(a)		44,000		754,600
Cogent, Inc.(a) (b)		273,400		4,120,138
F5 Networks, Inc.(a) (b)		15,300		818,244
FileNET Corp.(a)		39,400		1,061,042
Jack Henry & Associates, Inc.		226,500		4,452,990
National Instruments Corp.		42,600		1,167,240
Synopsys, Inc.(a)		33,100		621,287
Teradyne, Inc.(a) (b)		474,200		6,605,606
Websense, Inc.(a)		49,300		1,012,622
				25,093,321
Computer Programming Services — 1.1%
Cognizant Technology Solutions Corp. Cl. A(a)		56,800		3,826,616
Mercury Interactive Corp.(a)		31,700		1,108,549
VeriSign, Inc.(a) (b)		431,900		10,007,123
				14,942,288
Computer Related Services — 1.3%
CACI International, Inc. Cl. A(a)		89,000		5,191,370
Checkfree Corp.(a) (b)		184,600		9,148,776
CNET Networks, Inc.(a)		384,000		3,064,320
				17,404,466
Computers & Information — 2.5%
CDW Corp.		21,200		1,158,580
Cognos, Inc.(a)		48,600		1,382,670
Comverse Technology, Inc.(a) (b)		101,000		1,996,770
International Game Technology		301,700		11,446,498
Jabil Circuit, Inc.		267,400		6,845,440
Satyam Computer Services Ltd. ADR		54,500		1,806,130
Symbol Technologies, Inc.		657,998		7,099,799
Zebra Technologies Corp. Cl. A(a) (b)		22,000		751,520
				32,487,407

	Number of Shares		Market Value
Containers — 0.1%
Sealed Air Corp.(b)		13,300	$	692,664
Cosmetics & Personal Care — 0.1%
Avon Products, Inc.		52,100		1,615,100
Data Processing & Preparation — 0.3%
FactSet Research Systems, Inc.		28,400		1,343,320
Fiserv, Inc.(a)		25,100		1,138,536
SEI Investments Co.		19,300		943,384
				3,425,240
Education — 0.0%
Career Education Corp.(a) (b)		20,100		600,789
Electric Utilities — 0.3%
AES Corp.(a)		191,100		3,525,795
Electrical Equipment & Electronics — 10.4%
Advanced Micro Devices, Inc.(a)		42,600		1,040,292
Altera Corp.(a)		561,000		9,845,550
American Power Conversion Corp.(b)		55,100		1,073,899
Ametek, Inc.		248,300		11,764,454
Analog Devices, Inc.		134,600		4,326,044
Broadcom Corp. Cl. A(a)		128,400		3,858,420
Cymer, Inc.(a) (b)		20,400		947,784
Dolby Laboratories, Inc. Cl. A(a)		166,400		3,877,120
Flextronics International Ltd.(a)		434,000		4,609,080
FLIR Systems, Inc.(a) (b)		197,800		4,363,468
Garmin Ltd.(b)		67,000		7,064,480
Gentex Corp.(b)		377,600		5,286,400
Integrated Device Technology, Inc.(a)		88,000		1,247,840
Intersil Corp. Cl. A		311,200		7,235,400
KLA-Tencor Corp.		25,000		1,039,250
Linear Technology Corp.(b)		245,400		8,218,446
Marvell Technology Group Ltd.(a)		185,900		8,240,947
Maxim Integrated Products, Inc.		124,100		3,984,851
Microchip Technology, Inc.		300,500		10,081,775
National Semiconductor Corp.(b)		356,400		8,500,140
Novellus Systems, Inc.(a)		178,000		4,396,600
PMC-Sierra, Inc.(a) (b)		272,000		2,556,800
QLogic Corp.(a)		48,000		827,520
Semtech Corp.(a)		145,300		2,099,585

	Number of Shares		Market Value
Silicon Laboratories, Inc.(a) (b)		96,100	$	3,377,915
Spansion LLC Cl. A(a) (b)		193,000		3,076,420
SunPower Corp. Cl. A(a) (b)		62,000		1,737,240
Teleflex, Inc.		48,000		2,592,960
Xilinx, Inc.(b)		470,800		10,663,620
				137,934,300
Energy — 5.6%
Bill Barrett Corp.(a) (b)		139,000		4,115,790
BJ Services Co.		438,000		16,319,880
Compton Petroleum Corp.(a)		183,800		2,121,052
Diamond Offshore Drilling, Inc.(b)		28,000		2,350,040
EOG Resources, Inc.(b)		153,000		10,609,020
Murphy Oil Corp.(b)		220,600		12,322,716
Nabors Industries Ltd.(a) (b)		60,000		2,027,400
Ultra Petroleum Corp.(a)		65,500		3,882,185
Weatherford International Ltd.(a)		83,500		4,143,270
The Williams Cos., Inc.		141,600		3,307,776
XTO Energy, Inc.		307,367		13,607,137
				74,806,266
Entertainment & Leisure — 0.9%
Brunswick Corp.		116,300		3,866,975
DreamWorks Animation SKG, Inc. Cl. A(a) (b)		99,700		2,283,130
Harrah's Entertainment, Inc.		42,800		3,046,504
Shuffle Master, Inc.(a) (b)		58,950		1,932,381
WMS Industries, Inc.(a) (b)		32,300		884,697
				12,013,687
Financial Services — 4.4%
Affiliated Managers Group, Inc.(a) (b)		8,800		764,632
BlackRock, Inc. Cl. A(b)		11,400		1,586,538
CapitalSource, Inc.(b)		51,400		1,205,844
CBOT Holdings Inc. Cl. A(a)		40,800		4,879,272
Chicago Mercantile Exchange Holdings, Inc.		11,000		5,402,650
E*TRADE Financial Corp.(a)		327,300		7,468,986
East West Bancorp, Inc.		21,000		796,110
Eaton Vance Corp.		260,000		6,489,600

(Continued)

The accompanying notes are an integral part of the financial statements.

145

MassMutual Select Mid Cap Growth Equity II Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Federated Investors, Inc. Cl. B		18,000	$	567,000
Fidelity National Information Services, Inc.(b)		187,100		6,623,340
Janus Capital Group, Inc.		72,500		1,297,750
Lazard Ltd. Cl. A(b)		18,700		755,480
Legg Mason, Inc.		73,490		7,313,725
Nuveen Investments, Inc. Cl. A(b)		111,900		4,817,295
optionsXpress Holdings, Inc.		34,700		808,857
The Charles Schwab Corp.(b)		60,200		961,996
TD Ameritrade Holding Corp.		455,700		6,748,917
				58,487,992
Foods — 0.4%
The Hershey Co.(b)		31,000		1,707,170
McCormick & Co., Inc.		47,500		1,593,625
Panera Bread Co. Cl. A(a)		11,700		786,708
Wrigley (Wm.) Jr. Co.		25,875		1,173,690
				5,261,193
Healthcare — 4.9%
Community Health Systems, Inc.(a)		120,000		4,410,000
Coventry Health Care, Inc.(a)		122,400		6,724,656
DaVita, Inc.(a)		92,350		4,589,795
Elan Corp. PLC Sponsored ADR (Ireland)(a) (b)		380,000		6,346,000
Express Scripts, Inc.(a)		30,500		2,188,070
Health Management Associates, Inc. Cl. A		279,500		5,508,945
Healthways, Inc.(a) (b)		24,700		1,300,208
Human Genome Sciences, Inc.(a) (b)		77,000		823,900
Humana, Inc.(a)		159,100		8,543,670
Laboratory Corp. of America Holdings(a)		133,400		8,301,482
LifePoint Hospitals, Inc.(a)		23,000		738,990
Lincare Holdings, Inc.(a)		54,900		2,077,416
Manor Care, Inc.		235,000		11,026,200
Triad Hospitals, Inc.(a)		66,000		2,612,280
				65,191,612
Heavy Machinery — 0.7%
Cameron International Corp.(a)		195,400		9,334,258

	Number of Shares		Market Value
Home Construction, Furnishings & Appliances — 1.2%
Centex Corp.		21,500	$	1,081,450
Harman International Industries, Inc.		105,500		9,006,535
HNI Corp.(b)		21,400		970,490
KB Home		17,800		816,130
Lennar Corp. Cl. A(b)		43,100		1,912,347
Meritage Homes Corp.(a)		15,200		718,200
Pulte Homes, Inc.		27,800		800,362
Toll Brothers, Inc.(a) (b)		34,500		882,165
				16,187,679
Industrial – Distribution — 0.2%
Grainger (W.W.), Inc.		36,000		2,708,280
Industrial – Diversified — 0.9%
Danaher Corp.		103,100		6,631,392
ITT Industries, Inc.		116,800		5,781,600
				12,412,992
Information Retrieval Services — 1.2%
ChoicePoint, Inc.(a) (b)		187,800		7,844,406
Digital River, Inc.(a) (b)		31,500		1,272,285
Juniper Networks, Inc.(a) (b)		374,400		5,986,656
Sina Corp.(a) (b)		27,900		696,942
				15,800,289
Insurance — 1.7%
Ambac Financial Group, Inc.		11,300		916,430
Arch Capital Group Ltd.(a)		27,600		1,641,096
Assurant, Inc.		148,000		7,163,200
Axis Capital Holdings Ltd.		195,700		5,598,977
Brown & Brown, Inc.		31,500		920,430
Markel Corp.(a) (b)		2,560		888,320
Marsh & McLennan Cos., Inc.		33,000		887,370
MBIA, Inc.(b)		11,500		673,325
Principal Financial Group, Inc.		63,000		3,505,950
Willis Group Holdings Ltd.		20,100		645,210
				22,840,308
Lodging — 1.9%
Boyd Gaming Corp.		42,100		1,699,156
Choice Hotels International, Inc.		42,500		2,575,500
Hilton Hotels Corp.		121,000		3,421,880
Las Vegas Sands Corp.(a) (b)		15,800		1,230,188

	Number of Shares		Market Value
Marriott International, Inc. Cl. A		90,000	$	3,430,800
Starwood Hotels & Resorts Worldwide, Inc.		52,600		3,173,884
Station Casinos, Inc.(b)		28,200		1,919,856
Wynn Resorts Ltd.(a) (b)		102,900		7,542,570
				24,993,834
Machinery & Components — 3.6%
FMC Technologies, Inc.(a)		142,000		9,579,320
Graco, Inc.		46,200		2,124,276
Grant Prideco, Inc.(a)		99,400		4,448,150
IDEX Corp.		18,550		875,560
Pall Corp.		26,300		736,400
Roper Industries, Inc.		308,000		14,399,000
Smith International, Inc.(b)		346,300		15,399,961
				47,562,667
Manufacturing — 0.9%
American Standard Cos., Inc.(b)		124,000		5,365,480
Avery Dennison Corp.		13,300		772,198
Lam Research Corp.(a)		19,900		927,738
Millipore Corp.(a) (b)		17,200		1,083,428
Pentair, Inc.		107,000		3,658,330
				11,807,174
Medical Supplies — 4.3%
Allergan, Inc.(b)		39,255		4,210,491
American Medical Systems Holdings, Inc.(a) (b)		45,300		754,245
ArthoCare Corp.(a) (b)		19,900		835,999
Bard (C.R.), Inc.		66,700		4,886,442
Becton, Dickinson & Co.		25,400		1,552,702
Biomet, Inc.		51,400		1,608,306
Dade Behring Holdings, Inc.		26,000		1,082,640
Dentsply International, Inc.		23,100		1,399,860
Edwards Lifesciences Corp.(a)		181,800		8,259,174
Henry Schein, Inc.(a) (b)		28,900		1,350,497
Hologic, Inc.(a)		17,100		844,056
II-VI, Inc.(a)		41,300		755,790
Integra LifeSciences Holdings Corp.(a) (b)		23,600		915,916
Kyphon, Inc.(a) (b)		28,400		1,089,424
Patterson Cos., Inc.(a) (b)		234,000		8,173,620
Resmed, Inc.(a)		40,200		1,887,390
Respironics, Inc.(a)		40,300		1,379,066

(Continued)

The accompanying notes are an integral part of the financial statements.

146

MassMutual Select Mid Cap Growth Equity II Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
St. Jude Medical, Inc.(a)		74,100	$	2,402,322
Techne Corp.(a)		40,700		2,072,444
Thermo Electron Corp.(a) (b)		145,000		5,254,800
Varian Medical Systems, Inc.(a)		42,000		1,988,700
Ventana Medical Systems, Inc.(a)		27,200		1,283,296
Waters Corp.(a)		35,300		1,567,320
Zimmer Holdings, Inc.(a)		13,600		771,392
				56,325,892
Metals & Mining — 2.2%
CONSOL Energy, Inc.		234,000		10,932,480
Foundation Coal Holdings, Inc.		166,300		7,804,459
Newmont Mining Corp.		85,000		4,499,050
Precision Castparts Corp.		55,800		3,334,608
Teck Cominco Ltd. Cl. B(b)		50,000		2,988,000
				29,558,597
Pharmaceuticals — 6.5%
Alkermes, Inc.(a)		207,200		3,920,224
Amylin Pharmaceuticals, Inc.(a) (b)		119,900		5,919,463
Atherogenics, Inc.(a) (b)		45,800		597,690
Barr Pharmaceuticals, Inc.(a)		128,000		6,104,320
Celgene Corp.(a) (b)		74,200		3,519,306
Cephalon, Inc.(a) (b)		191,900		11,533,190
Charles River Laboratories International, Inc.(a)		28,600		1,052,480
Genzyme Corp.(a) (b)		16,200		989,010
Gilead Sciences, Inc.(a)		58,000		3,431,280
Invitrogen Corp.(a)		18,300		1,209,081
Martek Biosciences Corp.(a) (b)		26,500		767,175
Medco Health Solutions, Inc.(a) (b)		45,200		2,589,056
MedImmune, Inc.(a)		361,500		9,796,650
Millennium Pharmaceuticals, Inc.(a) (b)		74,500		742,765
Myogen, Inc.(a) (b)		102,000		2,958,000
Nektar Therapeutics(a) (b)		41,500		761,110
Neurocrine Biosciences, Inc.(a) (b)		106,200		1,125,720
Omnicare, Inc.		87,400		4,144,508
OSI Pharmaceuticals, Inc.(a) (b)		100,500		3,312,480
PDL BioPharma, Inc.(a) (b)		145,100		2,671,291
Sepracor, Inc.(a) (b)		117,500		6,713,950

	Number of Shares		Market Value
Sigma-Aldrich Corp.		11,600	$	842,624
Theravance, Inc.(a)		95,100		2,175,888
Valeant Pharmaceuticals International		215,000		3,637,800
Vertex Pharmaceuticals, Inc.(a) (b)		168,200		6,174,622
				86,689,683
Prepackaged Software — 4.5%
Activision, Inc.(a)		84,810		965,138
Adobe Systems, Inc.(a)		218,900		6,645,804
Check Point Software Technologies Ltd.(a)		64,300		1,130,394
Citrix Systems, Inc.(a)		49,300		1,978,902
DST Systems, Inc.(a) (b)		162,600		9,674,700
Electronic Arts, Inc.(a) (b)		14,700		632,688
Fair Isaac Corp.(b)		25,500		925,905
Hyperion Solutions Corp.(a)		20,700		571,320
Internet Security Systems, Inc.(a)		33,400		629,590
Intuit, Inc.(a)		144,400		8,720,316
McAfee, Inc.(a)		250,100		6,069,927
NAVTEQ Corp.(a)		239,400		10,696,392
Red Hat, Inc.(a) (b)		278,400		6,514,560
Salesforce.com, Inc.(a) (b)		121,600		3,241,856
THQ, Inc.(a) (b)		54,250		1,171,800
				59,569,292
Restaurants — 0.9%
The Cheesecake Factory(a) (b)		166,200		4,479,090
OSI Restaurant Partners, Inc.		29,900		1,034,540
P.F. Chang's China Bistro, Inc.(a)		62,000		2,357,240
Tim Hortons, Inc.(a) (b)		152,900		3,937,175
				11,808,045
Retail — 5.1%
Advance Auto Parts, Inc.		35,300		1,020,170
Amazon.com, Inc.(a)		253,900		9,820,852
Bed Bath & Beyond, Inc.(a)		234,500		7,778,365
Best Buy Co., Inc.		98,000		5,374,320
Carmax, Inc.(a) (b)		106,000		3,758,760
Dick's Sporting Goods, Inc.(a)		51,600		2,043,360
Dollar General Corp.(b)		97,600		1,364,448
Family Dollar Stores, Inc.		50,700		1,238,601
Fred's, Inc.(b)		48,500		647,475
Men's Wearhouse, Inc.		26,900		815,070
Michaels Stores, Inc.		23,400		965,016

	Number of Shares		Market Value
MSC Industrial Direct Co. Cl. A		26,000	$	1,236,820
O'Reilly Automotive, Inc.(a)		227,000		7,080,130
Petsmart, Inc.		340,700		8,721,920
Shoppers Drug Mart Corp.		23,000		838,585
Shoppers Drug Mart Corp. CAD		25,000		911,505
Shoppers Drug Mart Corp. CAD(c)		38,000		1,385,488
Staples, Inc.		70,150		1,706,048
Tiffany & Co.		80,500		2,658,110
The TJX Cos., Inc.		137,700		3,147,822
Williams-Sonoma, Inc.(b)		148,900		5,070,045
				67,582,910
Retail – Grocery — 0.2%
Whole Foods Market, Inc.		38,000		2,456,320
Telephone Utilities — 1.5%
ADTRAN, Inc.		105,000		2,355,150
Amdocs Ltd.(a)		198,000		7,246,800
Level 3 Communications, Inc.(a) (b)		198,000		879,120
NeuStar, Inc. Cl. A(a) (b)		52,300		1,765,125
NII Holdings, Inc. Cl. B(a)		51,000		2,875,380
TELUS Corp.		122,400		5,072,085
TELUS Corp. CAD		7,600		314,933
				20,508,593
Transportation — 1.7%
Discovery Holding Co. Cl. A(a)		271,000		3,964,730
Expeditors International of Washington, Inc.		51,000		2,856,510
Landstar System, Inc.(b)		55,600		2,625,988
Robinson (C.H.) Worldwide, Inc.		50,800		2,707,640
Royal Caribbean Cruises Ltd.		47,400		1,813,050
Thor Industries, Inc.(b)		30,700		1,487,415
UTI Worldwide, Inc.		275,700		6,955,911
				22,411,244
TOTAL EQUITIES (Cost $1,070,874,784)				1,287,850,932
MUTUAL FUND — 0.8%
Financial Services
Government Reserve Investment Fund		11,284,995		11,284,995
TOTAL MUTUAL FUND (Cost $11,284,995)				11,284,995
TOTAL LONG TERM INVESTMENTS (Cost $1,082,159,779)				1,299,135,927

(Continued)

The accompanying notes are an integral part of the financial statements.

147

MassMutual Select Mid Cap Growth Equity II Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
SHORT-TERM INVESTMENTS — 16.4%
Cash Equivalents — 14.0%(e)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	2,024,353	$	2,024,353
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		2,024,348		2,024,348
American Beacon Money Market Fund(d)		2,064,663		2,064,663
Bank of America 5.270% 07/14/2006		4,048,697		4,048,697
Bank of America 5.310% 03/08/2007		4,048,697		4,048,697
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		4,048,697		4,048,697
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		4,048,697		4,048,697
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		6,073,045		6,073,045
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		7,287,654		7,287,654
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		4,048,697		4,048,697
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		4,048,697		4,048,697
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		10,121,742		10,121,742
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		5,263,306		5,263,306
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		3,222,709		3,222,709
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006		4,858,437		4,858,437
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		4,048,697		4,048,697
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		4,048,697		4,048,697

	Principal Amount		Market Value
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006	$	4,048,697	$	4,048,697
Freddie Mac Discount Note 5.191% 07/25/2006		2,416,194		2,416,194
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		2,834,088		2,834,088
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		4,048,697		4,048,697
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		14,170,439		14,170,439
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		4,806,660		4,806,660
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		4,048,697		4,048,697
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		4,048,697		4,048,697
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		5,263,306		5,263,306
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		6,073,045		6,073,045
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		13,573,283		13,573,283
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		6,882,785		6,882,785
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		11,336,352		11,336,352
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		6,073,045		6,073,045
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006		6,073,045		6,073,045
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		4,048,697		4,048,697
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		4,048,697		4,048,697

	Principal Amount		Market Value
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006	$	2,024,348	$	2,024,348
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		4,048,697		4,048,697
				185,197,302
Repurchase Agreement — 2.4%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(f)		31,906,085		31,906,085
TOTAL SHORT-TERM INVESTMENTS (Cost $217,103,387)				217,103,387
TOTAL INVESTMENTS — 114.4% (Cost $1,299,263,166)(g)				1,516,239,314
Other Assets/ (Liabilities) — (14.4%)				(190,761,307	)
NET ASSETS — 100.0%			$	1,325,478,007

Notes to Portfolio of Investments

ADR - American Depository Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. (Note 2).

(d) Amount represents shares owned of the fund.

(e) Represents investments of security lending collateral. (Note 2).

(f) Maturity value of $31,916,056. Collateralized by a U.S. Government Agency obligation with a rate of 5.699%, maturity date of 06/15/2034, and an aggregate market value, including accrued interest, of $33,501,389.

(g) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

148

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 89.2%
COMMON STOCK
Advertising — 1.7%
Catalina Marketing Corp.		92,500	$	2,632,550
Focus Media Holding Limited ADR (China)(a)		22,380		1,458,281
Getty Images, Inc.(a) (b)		110,150		6,995,626
				11,086,457
Aerospace & Defense — 0.4%
Alliant Techsystems, Inc.(a) (b)		26,300		2,008,005
Transdigm Group, Inc.(a)		23,900		572,405
				2,580,410
Air Transportation — 0.9%
Airtran Holdings, Inc.(a) (b)		157,700		2,343,422
Copa Holdings SA Cl. A		42,650		966,022
Gol Linhas Aereas Inteligentes SA ADR (Brazil)(b)		32,580		1,156,590
JetBlue Airways Corp.(a) (b)		147,700		1,793,078
				6,259,112
Apparel, Textiles & Shoes — 1.2%
Citi Trends, Inc.(a) (b)		25,300		1,080,057
DSW, Inc. Cl. A(a) (b)		31,630		1,151,965
Iconix Brand Group, Inc.(a)		67,130		1,096,904
Skechers U.S.A., Inc. Cl. A(a)		127,600		3,076,436
Too, Inc.(a)		43,930		1,686,473
				8,091,835
Automotive & Parts — 3.1%
A.S.V., Inc.(a) (b)		214,900		4,951,296
Aftermarket Technology Corp.(a)		43,140		1,072,029
American Axle & Manufacturing Holdings, Inc.(b)		113,400		1,940,274
LKQ Corp.(a)		419,248		7,965,712
Tenneco, Inc.(a)		108,100		2,810,600
United Auto Group, Inc.		91,400		1,951,390
				20,691,301
Banking, Savings & Loans — 2.2%
Advanta Corp. Cl. B		80,800		2,904,760

	Number of Shares		Market Value
Euronet Worldwide, Inc.(a) (b)		67,800	$	2,601,486
Financial Federal Corp.(b)		203,024		5,646,097
First Community Bancorp		49,180		2,905,554
Signature Bank(a)		22,270		721,103
				14,779,000
Broadcasting, Publishing & Printing — 0.9%
Central European Media Enterprises Ltd.(a) (b)		15,490		978,813
Charter Communications, Inc. Cl. A(a) (b)		891,500		1,007,395
LodgeNet Entertainment Corp.(a)		82,400		1,536,760
TiVo, Inc.(a) (b)		356,900		2,551,835
				6,074,803
Building Materials & Construction — 0.6%
Beacon Roofing Supply, Inc.(a)		110,819		2,439,126
Martin Marietta Materials, Inc.		15,560		1,418,294
				3,857,420
Chemicals — 1.3%
Cytec Industries, Inc.		46,900		2,516,654
Hercules, Inc.(a)		170,600		2,603,356
Minerals Technologies, Inc.		43,700		2,272,400
VeraSun Energy(a) (b)		48,100		1,262,144
				8,654,554
Commercial Services — 10.1%
ADVO, Inc.		81,650		2,009,406
American Reprographics Co.(a)		47,500		1,721,875
Bowne & Co., Inc.		137,100		1,960,530
The Corporate Executive Board Co.		97,990		9,818,598
Corrections Corp. of America(a)		45,970		2,433,652
Ctrip.com International Ltd. ADR (China)(b)		20,250		1,033,763
Exelixis, Inc.(a)		129,300		1,299,465
Harris Interactive, Inc.(a)		258,200		1,471,740
Ikon Office Solutions, Inc.		82,700		1,042,020
Incyte Corp.(a)		212,600		977,960
ITT Educational Services, Inc.(a)		187,000		12,306,470
Lincoln Educational Services Corp.(a) (b)		149,000		2,546,410
Magellan Health Services, Inc.(a)		87,220		3,951,938

	Number of Shares		Market Value
Mobile Mini, Inc.(a)		122,700	$	3,590,202
MoneyGram International, Inc.		57,260		1,943,977
Move, Inc.(a)		220,110		1,206,203
Pharmaceutical Product Development, Inc.		60,110		2,111,063
Resources Connection, Inc.(a)		49,810		1,246,246
Sotheby's(a)		142,800		3,748,500
Stericycle, Inc.(a)		28,130		1,831,263
URS Corp.(a)		22,730		954,660
Valassis Communications, Inc.(a)		83,600		1,972,124
Vertrue, Inc.(a) (b)		66,100		2,844,283
VistaPrint Ltd.(a)		66,180		1,769,653
Washington Group International, Inc.		35,800		1,909,572
				67,701,573
Communications — 1.2%
Crown Castle International Corp.(a)		51,960		1,794,698
Polycom, Inc.(a)		102,900		2,255,568
Powerwave Technologies, Inc.(a) (b)		196,800		1,794,816
SBA Communications Corp. Cl. A(a)		53,620		1,401,627
Syniverse Holdings, Inc.(a)		50,240		738,528
				7,985,237
Computer & Other Data Processing Service — 0.4%
IHS, Inc. Cl. A(a)		55,090		1,632,317
LoopNet, Inc.(a) (b)		72,110		1,341,967
				2,974,284
Computer Integrated Systems Design — 1.0%
Avid Technology, Inc.(a) (b)		90,350		3,011,366
Hypercom Corp.(a)		168,580		1,576,223
Sapient Corp.(a)		344,300		1,824,790
				6,412,379
Computer Maintenance & Repair — 0.3%
Electronics for Imaging, Inc.(a)		88,700		1,852,056
Computer Related Services — 2.8%
Checkfree Corp.(a)		245,649		12,174,364
Ingram Micro, Inc. Cl. A(a)		162,000		2,937,060
NetFlix, Inc.(a) (b)		129,330		3,519,069
				18,630,493

(Continued)

The accompanying notes are an integral part of the financial statements.

149

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Computers & Information — 2.3%
Cognos, Inc.(a)		38,300	$	1,089,635
Foundry Networks, Inc.(a)		91,000		970,060
Redback Networks, Inc.(a) (b)		56,360		1,033,642
Scientific Games Corp. Cl. A(a)		257,100		9,157,902
VeriFone Holdings, Inc.(a) (b)		99,664		3,037,759
				15,288,998
Cosmetics & Personal Care — 0.3%
Nu Skin Enterprises, Inc. Cl. A		118,200		1,755,270
Data Processing & Preparation — 2.0%
FactSet Research Systems, Inc.		250,724		11,859,245
The BISYS Group, Inc.(a)		131,400		1,800,180
				13,659,425
Electric Utilities — 0.5%
El Paso Electric Co.(a)		111,600		2,249,856
Suntech Power Holdings Co. Ltd. ADR (China)(a) (b)		28,200		796,650
				3,046,506
Electrical Equipment & Electronics — 5.1%
Benchmark Electronics, Inc.(a) (b)		82,950		2,000,754
Cree, Inc.(a) (b)		156,590		3,720,578
CSR PLC(a)		29,573		681,929
Cypress Semiconductor Corp.(a) (b)		134,400		1,954,176
Daktronics, Inc.		62,690		1,809,860
Energy Conversion Devices, Inc.(a)		41,400		1,508,202
Evergreen Solar, Inc.(a) (b)		58,390		757,902
FuelCell Energy, Inc.(a) (b)		138,800		1,329,704
Gentex Corp.(b)		236,580		3,312,120
Integrated Device Technology, Inc.(a)		131,760		1,868,357
International Rectifier Corp.(a)		67,450		2,635,946
Newport Corp.(a)		81,500		1,313,780
ON Semiconductor Corp.(a) (b)		216,300		1,271,844
Photon Dynamics, Inc.(a)		98,600		1,234,472
Semtech Corp.(a)		132,700		1,917,515
Silicon-On-Insulator Technologies(a)		36,460		1,044,579
Teledyne Technologies, Inc.(a)		98,230		3,218,015

	Number of Shares		Market Value
TomTom NV(a) (b)		25,040	$	966,105
Trident Microsystems, Inc.(a)		83,200		1,579,136
				34,124,974
Energy — 6.0%
Acergy SA, Sponsored ADR(a)		68,120		1,042,236
Alon USA Energy, Inc.(b)		111,210		3,499,779
Arch Coal, Inc.(b)		33,680		1,427,022
Bill Barrett Corp.(a) (b)		148,200		4,388,202
Cabot Oil & Gas Corp. Cl. A(b)		26,920		1,319,080
Comstock Resources, Inc.(a)		100,800		3,009,888
Denbury Resources, Inc.(a)		33,100		1,048,277
EXCO Resources, Inc.(a)		198,900		2,267,460
Frontier Oil Corp.		37,330		1,209,492
Grey Wolf, Inc.(a) (b)		203,900		1,570,030
Newfield Exploration Co.(a)		166,100		8,128,934
OPTI Canada, Inc. CAD(a) (c)		118,600		2,439,692
Range Resources Corp.		49,525		1,346,585
TETRA Technologies, Inc.(a)		93,600		2,835,144
UGI Corp.		92,500		2,277,350
Whiting Petroleum Corp.(a) (b)		55,500		2,323,785
				40,132,956
Entertainment & Leisure — 2.7%
Churchill Downs, Inc.		41,400		1,550,430
DreamWorks Animation SKG, Inc. Cl. A(a) (b)		97,100		2,223,590
Gaylord Entertainment(a) (b)		161,100		7,030,404
Live Nation, Inc.(a)		36,660		746,398
Pinnacle Entertainment, Inc.(a)		63,810		1,955,777
Shuffle Master, Inc.(a) (b)		146,900		4,815,382
				18,321,981
Financial Services — 2.4%
Affiliated Managers Group, Inc.(a) (b)		32,689		2,840,347
Apollo Investment Corp.		113,600		2,099,328
Investment Technology Group, Inc.(a)		39,100		1,988,626
Jones Soda Co.(a)		54,800		443,880
The Nasdaq Stock Market, Inc.(a)		60,400		1,805,960
National Financial Partners Corp.		19,710		873,350

	Number of Shares		Market Value
Nuveen Investments, Inc. Cl. A(b)		49,890	$	2,147,765
Redwood Trust, Inc.(b)		49,300		2,407,319
Strategic Hotels & Resorts, Inc.		72,000		1,493,280
				16,099,855
Foods — 1.8%
Panera Bread Co. Cl. A(a) (b)		123,300		8,290,692
United Natural Foods, Inc.(a) (b)		120,500		3,978,910
				12,269,602
Healthcare — 6.3%
Allscripts Healthcare Solutions, Inc.(a) (b)		360,800		6,332,040
AmSurg Corp.(a) (b)		342,900		7,800,975
Covance Inc.(a)		16,070		983,805
Genesis HealthCare Corp.(a) (b)		73,300		3,472,221
Healthways, Inc.(a) (b)		201,650		10,614,856
Human Genome Sciences, Inc.(a) (b)		241,000		2,578,700
LifePoint Hospitals, Inc.(a)		118,760		3,815,759
Manor Care, Inc.(b)		77,000		3,612,840
Matria Healthcare, Inc.(a) (b)		68,250		1,461,915
Symbion, Inc.(a) (b)		65,060		1,350,646
				42,023,757
Heavy Machinery — 0.9%
Bucyrus International, Inc. Cl. A(b)		74,595		3,767,048
Goodman Global, Inc.(a)		76,200		1,156,716
Verigy Ltd.(a)		51,100		805,847
				5,729,611
Home Construction, Furnishings & Appliances — 0.3%
Ethan Allen Interiors, Inc.		51,400		1,878,670
Household Products — 0.2%
Ferro Corp.		103,600		1,653,456
Industrial – Diversified — 0.5%
Nordson Corp.		73,800		3,629,484
Information Retrieval Services — 1.1%
Bankrate, Inc.(a) (b)		26,990		1,019,142
CoStar Group, Inc.(a) (b)		109,000		6,521,470
				7,540,612
Insurance — 2.0%
Arch Capital Group Ltd.(a)		37,420		2,224,993
Aspen Insurance Holdings Ltd.		88,300		2,056,507

(Continued)

The accompanying notes are an integral part of the financial statements.

150

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Platinum Underwriters Holdings Ltd.		66,200	$	1,852,276
ProAssurance Corp.(a)		74,750		3,601,455
Reinsurance Group of America, Inc.		40,100		1,970,915
United America Indemnity Ltd. Cl. A(a)		92,600		1,929,784
				13,635,930
Internet Software — 0.5%
Opsware, Inc.(a)		420,400		3,464,096
Lodging — 1.0%
Vail Resorts, Inc.(a) (b)		186,200		6,908,020
Machinery & Components — 1.1%
Axcelis Technologies, Inc.(a)		280,700		1,656,130
Chicago Bridge & Iron Co. NV		236,198		5,704,182
				7,360,312
Medical Supplies — 3.7%
Arrow International, Inc.		68,100		2,238,447
Hologic, Inc.(a)		6,540		322,814
Intralase Corp.(a) (b)		312,700		5,234,598
Intuitive Surgical, Inc.(a)		3,710		437,669
Kensey Nash Corp.(a) (b)		81,300		2,398,350
Kyphon, Inc.(a) (b)		222,220		8,524,359
PSS World Medical, Inc.(a) (b)		303,000		5,347,950
				24,504,187
Metals & Mining — 0.5%
Carpenter Technology		10,400		1,201,200
CommScope, Inc.(a)		44,600		1,401,332
The Shaw Group, Inc.(a) (b)		34,590		961,602
				3,564,134
Oil & Gas — 0.3%
Pride International, Inc.(a)		53,100		1,658,313
Pharmaceuticals — 2.9%
Alkermes, Inc.(a) (b)		141,310		2,673,585
Amylin Pharmaceuticals, Inc.(a) (b)		72,730		3,590,680
Arena Pharmaceuticals, Inc.(a) (b)		33,630		389,435
Atherogenics, Inc.(a) (b)		44,600		582,030
Digene Corp.(a) (b)		66,970		2,594,418
Encysive Pharmaceuticals, Inc.(a)		45,020		311,989
The Medicines Co.(a)		94,720		1,851,776
Mylan Laboratories, Inc.		88,100		1,762,000

	Number of Shares		Market Value
Vertex Pharmaceuticals, Inc.(a) (b)		28,670	$	1,052,476
Visicu Inc.(a) (b)		216,820		3,826,873
Zymogenetics, Inc.(a)		50,100		950,397
				19,585,659
Prepackaged Software — 8.8%
Activision, Inc.(a)		105,750		1,203,435
Ansys, Inc.(a)		38,310		1,831,984
Blackbaud, Inc.		520,100		11,806,270
Blackboard, Inc.(a)		272,600		7,894,496
Cerner Corp.(a) (b)		176,200		6,538,782
Dendrite International, Inc.(a)		311,900		2,881,956
Epicor Software Corp.(a)		165,800		1,745,874
EPIQ Systems, Inc.(a) (b)		145,129		2,414,947
Kenexa Corp.(a)		95,575		3,044,064
MicroStrategy, Inc. Cl. A(a)		51,236		4,996,535
Red Hat, Inc.(a) (b)		184,540		4,318,236
Take-Two Interactive Software, Inc.(a) (b)		439,214		4,682,021
THQ, Inc.(a) (b)		34,735		750,276
Transaction Systems Architects, Inc. Cl. A(a)		46,500		1,938,585
Verint Systems, Inc.(a)		27,770		810,606
Vignette Corp.(a)		143,300		2,089,314
				58,947,381
Restaurants — 0.5%
California Pizza Kitchen, Inc.(a)		58,490		1,607,305
RARE Hospitality International, Inc.(a)		63,200		1,817,632
				3,424,937
Retail — 2.4%
Borders Group, Inc.		89,000		1,642,940
GameStop Corp. Cl. B(a)		25,650		878,513
O'Reilly Automotive, Inc.(a)		227,220		7,086,992
Stamps.com, Inc.(a) (b)		90,300		2,512,146
Zumiez, Inc.(a)		102,000		3,832,140
				15,952,731
Telephone Utilities — 1.2%
Equinix, Inc.(a) (b)		22,070		1,210,760
General Communication, Inc. Cl. A(a)		221,700		2,731,344
NeuStar, Inc. Cl. A(a) (b)		117,310		3,959,213
				7,901,317
Transportation — 3.8%
American Commercial Lines, Inc.(a)		27,960		1,684,590
Con-way, Inc.		31,900		1,847,967
GATX Corp.		45,600		1,938,000

	Number of Shares		Market Value
J.B. Hunt Transport Services, Inc.		361,000	$	8,992,510
Kansas City Southern(a) (b)		405,250		11,225,425
				25,688,492
TOTAL EQUITIES (Cost $484,002,713)				597,381,580
MUTUAL FUND — 1.8%
Financial Services
iShares Russell 2000 Growth Index Fund(b)		161,640		11,882,156
TOTAL MUTUAL FUND (Cost $11,467,894)				11,882,156
TOTAL LONG TERM INVESTMENTS (Cost $495,470,607)				609,263,736
	Principal Amount
SHORT-TERM INVESTMENTS — 35.8%
Cash Equivalents — 26.6%(e)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	1,947,701		1,947,701
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		1,947,701		1,947,701
American Beacon Money Market Fund(d)		1,986,489		1,986,489
Bank of America 5.270% 07/14/2006		3,895,401		3,895,401
Bank of America 5.310% 03/08/2007		3,895,401		3,895,401
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		3,895,401		3,895,401
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		3,895,401		3,895,401
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		5,843,102		5,843,102
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		7,011,721		7,011,721
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		3,895,401		3,895,401

(Continued)

The accompanying notes are an integral part of the financial statements.

151

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006	$	3,895,401	$	3,895,401
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		9,738,500		9,738,500
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		5,064,020		5,064,020
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		3,100,686		3,100,686
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006		4,674,480		4,674,480
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		3,895,400		3,895,400
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		3,895,400		3,895,400
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006		3,895,400		3,895,400
Freddie Mac Discount Note 5.191% 07/25/2006		2,324,709		2,324,709
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		2,726,780		2,726,780
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		3,895,400		3,895,400
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		13,633,902		13,633,902
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		4,624,664		4,624,664
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		3,895,400		3,895,400
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		3,895,400		3,895,400
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		5,064,020		5,064,020
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		5,843,101		5,843,101

	Principal Amount		Market Value
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006	$	13,059,355	$	13,059,355
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		6,622,182		6,622,182
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		10,907,121		10,907,121
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		5,843,101		5,843,101
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006		5,843,101		5,843,101
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		3,895,400		3,895,400
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		3,895,400		3,895,400
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006		1,947,700		1,947,700
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		3,895,400		3,895,400
				178,185,142
Repurchase Agreement — 9.2%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(f)		61,939,292		61,939,292
TOTAL SHORT-TERM INVESTMENTS (Cost $240,124,434)				240,124,434
TOTAL INVESTMENTS — 126.8% (Cost $735,595,041)(g)				849,388,170
Other Assets/ (Liabilities) — (26.8%)				(179,549,502	)
NET ASSETS — 100.0%			$	669,838,668

Notes to Portfolio of Investments

ADR - American Depository Receipt

CAD - Canadian Dollar

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. (Note 2).

(d) Amount represents shares owned of the fund.

(e) Represents investments of security lending collateral. (Note 2).

(f) Maturity value of $61,958,648. Collateralized by a U.S. Government Agency obligation with a rate of 5.673%, maturity date of 05/25/2034, and an aggregate market value, including accrued interest, of $65,036,257.

(g) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

152

MassMutual Select Small Company Growth Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 98.1%
COMMON STOCK
Advertising — 2.0%
AQuantive, Inc.(a) (b)		63,700	$	1,613,521
Jupitermedia Corp.(a) (b)		41,900		544,700
Marchex, Inc. Cl. B(a) (b)		64,000		1,051,520
				3,209,741
Agribusiness — 1.2%
Delta & Pine Land Co.(b)		67,670		1,989,498
Apparel, Textiles & Shoes — 3.0%
Crocs, Inc.(a) (b)		35,700		897,855
Hot Topic, Inc.(a) (b)		78,400		902,384
Quiksilver, Inc.(a) (b)		148,900		1,813,602
Too, Inc.(a)		25,900		994,301
Volcom, Inc.(a)		5,900		188,741
				4,796,883
Banking, Savings & Loans — 2.2%
Bank of the Ozarks, Inc.		4,400		146,520
Cascade Bancorp		3,575		101,923
Euronet Worldwide, Inc.(a) (b)		9,600		368,352
Glacier Bancorp, Inc.		9,535		279,090
Placer Sierra Bancshares		9,700		224,943
SVB Financial Group(a) (b)		35,100		1,595,646
UCBH Holdings, Inc.		12,100		200,134
United PanAm Financial Corp.(a)		13,900		422,560
Vineyard National Bancorp Co.		8,800		236,720
				3,575,888
Broadcasting, Publishing & Printing — 0.8%
Entravision Communications Corp. Cl. A(a)		94,775		812,222
Outdoor Channel Holdings, Inc.(a) (b)		43,300		446,856
				1,259,078
Building Materials & Construction — 0.1%
Comfort Systems USA, Inc.		9,700		138,613
Chemicals — 0.6%
ADA-ES, Inc.(a)		7,700		132,055
Symyx Technologies, Inc.(a)		32,700		789,705
				921,760

	Number of Shares		Market Value
Commercial Services — 6.8%
Affymetrix, Inc.(a)		26,800	$	686,080
Corrections Corp. of America(a)		31,140		1,648,552
Decode Genetics, Inc.(a) (b)		120,020		742,924
Global Payments, Inc.		15,920		772,916
Heartland Payment Systems, Inc.(a) (b)		7,100		197,948
Internet Capital Group, Inc.(a)		50,775		456,975
Lionbridge Technologies, Inc.(a)		88,400		488,852
Move, Inc.(a)		140,300		768,844
Navigant Consulting, Inc.(a)		22,700		514,155
Per-Se Technologies, Inc.(a)		31,015		780,958
Strayer Education, Inc.		3,200		310,784
Waste Connections, Inc.(a)		52,290		1,903,356
Wind River Systems, Inc.(a)		148,900		1,325,210
World Fuel Services Corp.		4,100		187,329
				10,784,883
Communications — 4.4%
Harmonic, Inc.(a)		30,100		134,848
InterDigital Communications Corp.(a)		22,500		785,475
McData Corp. Cl. A(a)		392,450		1,601,196
Polycom, Inc.(a)		177,200		3,884,224
SBA Communications Corp. Cl. A(a)		25,600		669,184
				7,074,927
Computer & Data Processing Services — 0.5%
Digimarc Corp.(a)		117,900		727,443
Computer Integrated Systems Design — 4.3%
Avid Technology, Inc.(a) (b)		33,835		1,127,721
Cogent, Inc.(a) (b)		85,460		1,287,882
Digital Insight Corp.(a)		11,200		384,048
Mentor Graphics Corp.(a)		37,100		481,558
Quality Systems, Inc.		49,825		1,834,557
RadiSys Corp.(a)		80,700		1,772,172
				6,887,938
Computer Programming Services — 0.0%
PDF Solutions, Inc.(a)		5,600		69,496
Computer Related Services — 1.1%
CNET Networks, Inc.(a)		133,000		1,061,340
eCollege.com, Inc.(a)		23,255		491,611
NetFlix, Inc.(a) (b)		7,800		212,238
				1,765,189

	Number of Shares		Market Value
Computers & Information — 2.0%
Immersion Corp.(a)		188,400	$	1,104,024
M-Systems Flash Disk Pioneers Ltd.(a) (b)		37,415		1,108,606
Solectron Corp.(a)		289,200		989,064
				3,201,694
Consumer Products — 0.7%
Pool Corp.(b)		26,505		1,156,413
Data Processing & Preparation — 1.5%
FactSet Research Systems, Inc.		36,455		1,724,322
Netsmart Technologies, Inc.(a)		49,070		635,947
				2,360,269
Electrical Equipment & Electronics — 16.1%
Active Power, Inc.(a)		26,800		90,852
Advanced Energy Industries, Inc.(a)		85,005		1,125,466
Altera Corp.(a)		181,600		3,187,080
ATMI, Inc.(a) (b)		29,405		723,951
Cree, Inc.(a) (b)		37,100		881,496
Cymer, Inc.(a)		11,500		534,290
Dolby Laboratories, Inc. Cl. A(a)		72,785		1,695,891
EMS Technologies, Inc.(a)		35,885		644,853
Integrated Device Technology, Inc.(a)		122,590		1,738,326
International DisplayWorks, Inc.(a) (b)		46,300		240,760
Ixia(a)		79,340		714,060
Lamson & Sessions Co. (The)(a) (b)		5,300		150,308
Lattice Semiconductor Corp.(a)		360,000		2,224,800
Oplink Communications, Inc.(a)		20,085		367,756
Photon Dynamics, Inc.(a)		33,985		425,492
Pixelworks, Inc.(a)		171,500		468,195
PLX Technology, Inc.(a)		86,612		1,058,399
RF Micro Devices, Inc.(a)		274,300		1,637,571
Rudolph Technologies, Inc.(a)		36,000		522,000
Skyworks Solutions, Inc.(a)		180,700		995,657
STATS ChipPAC Ltd. ADR (Singapore)(a) (b)		54,526		341,333
Supertex, Inc.(a)		23,430		935,794
Trident Microsystems, Inc.(a) (b)		61,790		1,172,774

(Continued)

The accompanying notes are an integral part of the financial statements.

153

MassMutual Select Small Company Growth Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Triquint Semiconductor, Inc.(a)		306,600	$	1,367,436
Ultra Clean Holdings(a)		58,400		511,000
Universal Electronics, Inc.(a)		106,593		1,887,762
				25,643,302
Energy — 5.5%
Atwood Oceanics, Inc.(a)		5,300		262,880
Complete Production Services, Inc.(a)		15,300		361,692
Core Laboratories NV(a)		21,075		1,286,418
Hercules Offshore, Inc.(a)		8,000		280,000
Horizon Offshore, Inc.(a) (b)		36,835		772,062
Patterson-UTI Energy, Inc.(b)		45,800		1,296,598
TETRA Technologies, Inc.(a)		60,494		1,832,363
Union Drilling, Inc.(a)		33,100		491,866
Unit Corp.(a)		39,360		2,239,190
				8,823,069
Entertainment & Leisure — 1.1%
Shuffle Master, Inc.(a) (b)		54,555		1,788,313
Financial Services — 2.6%
Accredited Home Lenders Holding Co.(a) (b)		17,100		817,551
Federated Investors, Inc. Cl. B		17,700		557,550
Greenhill & Co., Inc.(b)		15,700		953,932
NorthStar Realty Finance Corp. REIT		25,100		301,451
Saxon Capital, Inc. REIT		54,800		626,912
Thomas Weisel Partners Group, Inc.(a)		48,100		914,381
				4,171,777
Healthcare — 2.6%
Alliance Imaging, Inc.(a)		121,800		779,520
Five Star Quality Care, Inc.(a)		45,100		499,257
Healthways, Inc.(a) (b)		22,630		1,191,243
Horizon Health Corp.(a)		61,220		1,278,274
Matria Healthcare, Inc.(a)		17,215		368,745
				4,117,039
Heavy Machinery — 1.8%
Bucyrus International, Inc. Cl. A		33,865		1,710,183
Hydril(a)		3,200		251,264
Natural Gas Services Group, Inc.(a) (b)		19,800		296,406
Verigy Ltd.(a)		43,900		692,303
				2,950,156

	Number of Shares		Market Value
Home Construction, Furnishings & Appliances — 0.9%
Meritage Homes Corp.(a)		13,600	$	642,600
Miller (Herman), Inc.		32,700		842,679
				1,485,279
Information Retrieval Services — 0.8%
DealerTrack Holdings, Inc.(a)		4,100		90,651
InfoSpace, Inc.(a)		42,500		963,475
Knot (The), Inc.(a)		11,500		240,695
				1,294,821
Insurance — 2.7%
American Safety Insurance Holdings, Ltd.(a)		23,530		388,245
Centene Corp.(a) (b)		97,685		2,298,528
Darwin Professional Underwriters, Inc.(a)		3,200		56,512
Philadelphia Consolidated Holding Corp.(a)		49,555		1,504,490
				4,247,775
Internet Software — 0.2%
Opsware, Inc.(a)		28,900		238,136
Lodging — 0.6%
Vail Resorts, Inc.(a) (b)		26,240		973,504
Machinery & Components — 1.6%
Actuant Corp. Cl. A(b)		23,020		1,149,849
Brooks Automation, Inc.(a) (b)		115,900		1,367,620
				2,517,469
Medical Supplies — 6.8%
American Medical Systems Holdings, Inc.(a) (b)		100,045		1,665,749
Arrow International, Inc.		28,945		951,422
Coherent, Inc.(a) (b)		53,910		1,818,384
Cyberonics, Inc.(a) (b)		53,700		1,144,884
Cynosure, Inc. Cl. A(a)		9,700		138,710
DJ Orthopedics, Inc.(a)		18,275		673,068
Ista Pharmaceuticals, Inc.(a) (b)		66,400		479,408
Oyo Geospace Corp.(a)		27,300		1,559,103
PSS World Medical, Inc.(a) (b)		15,300		270,045
Respironics, Inc.(a)		47,370		1,621,001
Thoratec Corp.(a)		33,570		465,616
				10,787,390
Metals & Mining — 3.6%
Aleris International, Inc.(a)		75,005		3,438,979
Cleveland-Cliffs, Inc.		5,485		434,906
General Cable Corp.(a)		53,990		1,889,650
				5,763,535

	Number of Shares		Market Value
Pharmaceuticals — 8.8%
Alkermes, Inc.(a) (b)		41,900	$	792,748
Arena Pharmaceuticals, Inc.(a) (b)		42,200		488,676
Ariad Pharmaceuticals, Inc.(a)		125,185		564,584
BioScrip, Inc.(a)		51,600		277,092
Cell Genesys, Inc.(a) (b)		112,400		564,248
Cephalon, Inc.(a) (b)		51,900		3,119,190
Cubist Pharmaceuticals, Inc.(a) (b)		57,500		1,447,850
CV Therapeutics, Inc.(a) (b)		51,900		725,043
Dendreon Corp.(a) (b)		54,480		263,683
Endo Pharmaceuticals Holdings, Inc.(a)		29,100		959,718
Medarex, Inc.(a)		190,700		1,832,627
OraSure Technologies, Inc.(a)		81,400		774,928
Par Pharmaceutical Cos., Inc.(a)		24,200		446,732
Taro Pharmaceutical Industries Ltd.(a) (b)		56,000		594,160
Telik, Inc.(a) (b)		56,900		938,850
Tercica, Inc.(a) (b)		46,300		244,927
				14,035,056
Prepackaged Software — 3.3%
Advent Software, Inc.(a)		31,800		1,147,026
Ansys, Inc.(a)		42,815		2,047,413
i2 Technologies, Inc.(a) (b)		11,800		149,506
Kenexa Corp.(a)		13,700		436,345
THQ, Inc.(a) (b)		56,900		1,229,040
TradeStation Group, Inc.(a) (b)		20,900		264,803
				5,274,133
Restaurants — 1.6%
McCormick & Schmick's Seafood Restaurants, Inc.(a)		32,100		763,980
Red Robin Gourmet Burgers, Inc.(a) (b)		43,270		1,841,571
				2,605,551
Retail — 5.9%
Allion Healthcare, Inc.(a)		82,880		720,227
Blue Nile, Inc.(a) (b)		13,000		418,080
Build-A-Bear Workshop, Inc.(a) (b)		39,215		843,515
Cash America International, Inc.		64,775		2,072,800
Gaiam, Inc. Cl. A(a)		29,800		417,796
Genesco, Inc.(a)		53,830		1,823,222
Golf Galaxy, Inc.(a)		21,800		293,210
GSI Commerce, Inc.(a)		23,300		315,249

(Continued)

The accompanying notes are an integral part of the financial statements.

154

MassMutual Select Small Company Growth Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Guitar Center, Inc.(a) (b)		16,240	$	722,193
Knoll, Inc.		40,400		741,744
Marvel Entertainment, Inc.(a) (b)		49,250		985,000
				9,353,036
Telephone Utilities — 0.4%
Mastec, Inc.(a)		42,500		561,425
TOTAL EQUITIES (Cost $153,838,663)				156,550,479
	Principal Amount
SHORT-TERM INVESTMENTS — 28.4%
Cash Equivalents — 26.3%(d)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	459,121		459,121
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		459,120		459,120
American Beacon Money Market Fund(c)		468,265		468,265
Bank of America 5.270% 07/14/2006		918,240		918,240
Bank of America 5.310% 03/08/2007		918,240		918,240
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		918,240		918,240
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		918,240		918,240
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		1,377,361		1,377,361
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		1,652,832		1,652,832
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		918,240		918,240
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		918,240		918,240
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		2,295,600		2,295,600
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		1,193,711		1,193,711

	Principal Amount		Market Value
Federal Home Loan Bank Discount Note 5.181% 07/19/2006	$	730,907	$	730,907
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006		1,101,889		1,101,889
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		918,240		918,240
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		918,239		918,239
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006		918,239		918,239
Freddie Mac Discount Note 5.191% 07/25/2006		547,990		547,990
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		642,767		642,767
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		918,239		918,239
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		3,213,839		3,213,839
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		1,090,144		1,090,144
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		918,239		918,239
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		918,239		918,239
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		1,193,711		1,193,711
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		1,377,360		1,377,360
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		3,078,404		3,078,404
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		1,561,008		1,561,008
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		2,571,071		2,571,071

	Principal Amount		Market Value
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006	$	1,377,360	$	1,377,360
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006		1,377,360		1,377,360
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		918,239		918,239
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		918,239		918,239
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006		459,120		459,120
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		918,239		918,239
				42,002,532
Repurchase Agreement — 2.1%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(e)		3,391,935		3,391,935
TOTAL SHORT-TERM INVESTMENTS (Cost $45,394,467)				45,394,467
TOTAL INVESTMENTS — 126.5% (Cost $199,233,130)(f)				201,944,946
Other Assets/ (Liabilities) — (26.5%)				(42,265,231	)
NET ASSETS — 100.0%			$	159,679,715

Notes to Portfolio of Investments

ADR - American Depository Receipt

REIT - Real Estate Investment Trust

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. (Note 2).

(d) Represents investments of security lending collateral. (Note 2).

(e) Maturity value of $3,392,995. Collateralized by a U.S. Government Agency Obligation with a rate of 8.875%, maturity date of 01/25/2016, and an aggregate market value, including accrued interest, of $3,561,531.

(f) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

155

MassMutual Select Emerging Growth Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 94.0%
COMMON STOCK
Advertising — 2.1%
aQuantive, Inc.(a)		67,220	$	1,702,683
Marchex, Inc. Cl. B(a)		23,810		391,198
Valueclick, Inc.(a)		29,128		447,115
				2,540,996
Aerospace & Defense — 0.6%
Armor Holdings, Inc.(a)		13,550		742,946
Apparel, Textiles & Shoes — 3.6%
Christopher & Banks Corp.		52,560		1,524,240
Iconix Brand Group, Inc.(a)		57,770		943,962
J Crew Group, Inc.(a)		730		20,038
Steven Madden Ltd.		41,640		1,233,377
Volcom, Inc.(a)		21,800		697,382
				4,418,999
Banking, Savings & Loans — 1.3%
PrivateBancorp, Inc.		30,441		1,260,562
SVB Financial Group(a)		6,700		304,582
				1,565,144
Beverages — 0.5%
Peet's Coffee & Tea, Inc.(a)		21,940		662,369
Chemicals — 0.0%
Aventine Renewable Energy Holdings, Inc.(a)		1,110		43,179
Commercial Services — 15.5%
Akamai Technologies, Inc.(a)		34,310		1,241,679
AMN Healthcare Services, Inc.(a)		67,560		1,371,468
Ctrip.com International Ltd. ADR (China)		26,010		1,327,810
FTI Consulting, Inc.(a)		64,120		1,716,492
Heartland Payment Systems, Inc.(a) (b)		49,000		1,366,120
Huron Consulting Group, Inc.(a)		52,942		1,857,735
Keryx Biopharmaceuticals(a)		69,820		991,444
Lifecell Corp.(a) (b)		84,230		2,604,392
Liquidity Services, Inc.(a)		26,910		418,989
Portfolio Recovery Associates, Inc.(a)		48,190		2,202,283
Sotheby's(a)		38,720		1,016,400
Team, Inc.(a)		42,600		1,067,130
THE9 Ltd. ADR (Cayman Islands)(a)		44,100		1,022,679

	Number of Shares		Market Value
VistaPrint Ltd.(a)		34,850	$	931,889
				19,136,510
Communications — 1.2%
AudioCodes Ltd.(a)		119,890		1,306,801
Openwave Systems, Inc.(a)		19,520		225,261
				1,532,062
Computer & Other Data Processing Service — 0.2%
Omniture, Inc.(a)		36,690		267,470
Computer Integrated Systems Design — 0.7%
Eclipsys Corp.(a)		48,900		888,024
Computer Related Services — 0.8%
Neoware Systems, Inc.(a)		18,710		229,946
NetFlix, Inc.(a)		26,630		724,602
				954,548
Computers & Information — 3.6%
M-Systems Flash Disk Pioneers Ltd.(a) (b)		63,310		1,875,875
Netgear, Inc.(a)		16,470		356,575
Rackable Systems, Inc.(a)		22,600		892,474
Redback Networks, Inc.(a)		38,790		711,409
Xyratex Ltd.(a)		21,620		571,849
				4,408,182
Consumer Services — 0.4%
Icon PLC Sponsored ADR (United Kingdom)(a)		7,930		438,529
Data Processing & Preparation — 1.5%
FactSet Research Systems, Inc.		21,070		996,611
The TriZetto Group, Inc.(a)		61,010		902,338
				1,898,949
Electrical Equipment & Electronics — 10.6%
American Science & Engineering, Inc.(a)		17,200		996,224
Atheros Communications, Inc.(a)		90,300		1,712,088
FormFactor, Inc.(a)		32,810		1,464,310
Hittite Microwave Corp.(a)		43,500		1,572,960
Itron, Inc.(a)		7,680		455,117
Ixia(a)		27,380		246,420
Netlogic Microsystems, Inc.(a) (b)		40,810		1,316,122
O2Micro International Ltd. ADR (Cayman Islands)(a)		48,570		373,503
OmniVision Technologies, Inc.(a)		21,040		444,365

	Number of Shares		Market Value
Silicon Image, Inc.(a)		91,780	$	989,388
Silicon Motion Technology Corp. ADR (Taiwan)(a)		66,850		958,629
SiRF Technology Holdings, Inc.(a)		19,780		637,312
Tessera Technologies, Inc.(a)		29,150		801,625
Trident Microsystems, Inc.(a)		21,510		408,260
Vimicro International Corp. ADR (Cayman Islands)(a)		40,300		508,183
Volterra Semiconductor Corp.(a)		17,300		263,998
				13,148,504
Energy — 3.5%
Oceaneering International, Inc.(a)		19,020		872,067
Parallel Petroleum Corp.(a)		57,560		1,422,308
TETRA Technologies, Inc.(a)		37,020		1,121,336
W-H Energy Services, Inc.(a)		18,930		962,212
				4,377,923
Entertainment & Leisure — 0.6%
Pinnacle Entertainment, Inc.(a)		26,120		800,578
Financial Services — 6.3%
Affiliated Managers Group, Inc.(a)		14,370		1,248,609
Boston Private Financial Holdings, Inc.		33,610		937,719
GFI Group, Inc.(a)		19,500		1,052,025
Gmarket, Inc. ADR(a)		2,940		45,188
Greenhill & Co., Inc.		10,400		631,904
IntercontinentalExchange, Inc.(a)		6,070		351,696
International Securities Exchange, Inc.		23,960		912,157
Investment Technology Group, Inc.(a)		28,490		1,449,001
optionsXpress Holdings, Inc.		48,350		1,127,039
				7,755,338
Foods — 0.7%
United Natural Foods, Inc.(a)		25,480		841,350
Healthcare — 4.4%
Allscripts Healthcare Solutions, Inc.(a)		32,390		568,445
Healthways, Inc.(a)		16,670		877,509
LCA-Vision, Inc.		20,650		1,092,592
Matria Healthcare, Inc.(a)		19,635		420,582
Nighthawk Radiology Holdings, Inc.(a)		25,730		461,596

(Continued)

The accompanying notes are an integral part of the financial statements.

156

MassMutual Select Emerging Growth Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Radiation Therapy Services, Inc.(a)		34,380	$	925,166
United Surgical Partners International, Inc.(a)		37,005		1,112,740
				5,458,630
Heavy Machinery — 2.8%
Dril-Quip, Inc.(a)		26,260		2,164,874
Lufkin Industries, Inc.		20,990		1,247,436
				3,412,310
Home Construction, Furnishings & Appliances — 1.4%
Select Comfort Corp.(a) (b)		72,849		1,673,342
Industrial – Distribution — 0.3%
MWI Veterinary Supply, Inc.(a)		11,640		424,045
Information Retrieval Services — 1.2%
Digital River, Inc.(a)		36,470		1,473,023
Insurance — 1.5%
Centene Corp.(a)		26,780		630,133
Navigators Group, Inc.(a)		27,320		1,197,162
				1,827,295
Internet Software — 0.9%
WebEx Communications, Inc.(a)		32,606		1,158,817
Lodging — 0.5%
Four Seasons Hotels, Inc.		10,980		674,611
Machinery & Components — 0.8%
Gardner Denver, Inc.(a)		25,270		972,895
Medical Supplies — 10.2%
Altus Pharmaceuticals, Inc.(a)		31,520		581,544
AngioDynamics, Inc.(a)		24,780		670,299
Eagle Test Systems, Inc.(a)		45,750		641,415
I-Flow Corp.(a) (b)		47,010		508,648
Illumina, Inc.(a)		45,560		1,351,310
Intralase Corp.(a)		31,470		526,808
Intuitive Surgical, Inc.(a)		9,210		1,086,504
IRIS International, Inc.(a)		31,940		420,330
Kyphon, Inc.(a)		46,140		1,769,930
NuVasive, Inc.(a)		43,680		796,286
PolyMedica Corp.		32,310		1,161,868
Resmed, Inc.(a)		18,070		848,387
SonoSite, Inc.(a)		26,570		1,037,293
Vital Images, Inc.(a)		48,280		1,192,516
				12,593,138
Metals & Mining — 0.7%
Dynamic Materials Corp.		25,920		874,282

	Number of Shares		Market Value
Pharmaceuticals — 1.5%
Adolor Corp.(a)		42,430	$	1,061,174
Array Biopharma, Inc.(a)		17,850		153,510
Solexa, Inc.(a) (b)		72,600		617,100
				1,831,784
Prepackaged Software — 4.3%
Altiris, Inc.(a)		37,210		671,268
Informatica Corp.(a)		78,270		1,030,033
Kenexa Corp.(a)		43,050		1,371,143
MicroStrategy, Inc. Cl. A(a)		10,190		993,729
Quest Software, Inc.(a)		28,930		406,177
SPSS, Inc.(a)		10,080		323,971
THQ, Inc.(a)		16,770		362,232
Ultimate Software Group, Inc.(a)		8,330		159,603
				5,318,156
Restaurants — 1.0%
California Pizza Kitchen, Inc.(a)		38,328		1,053,253
Chipotle Mexican Grill, Inc. Cl. A(a)		2,610		159,080
				1,212,333
Retail — 2.8%
Coldwater Creek, Inc.(a)		49,850		1,333,986
GSI Commerce, Inc.(a)		51,413		695,618
Stamps.com, Inc.(a)		20,270		563,911
Zumiez, Inc.(a)		24,730		929,106
				3,522,621
Telecommunications — 0.6%
Time Warner Telecom, Inc. Cl. A(a) (b)		52,940		786,159
Telephone Utilities — 3.1%
Equinix, Inc.(a)		23,850		1,308,411
j2 Global Communications, Inc.(a)		82,502		2,575,712
				3,884,123
Transportation — 2.3%
American Commercial Lines, Inc.(a)		12,400		747,100
Hornbeck Offshore Services, Inc.(a)		59,410		2,110,243
				2,857,343
TOTAL EQUITIES (Cost $109,729,727)				116,376,507

	Principal Amount		Market Value
SHORT-TERM INVESTMENTS — 7.6%
Cash Equivalents — 3.6%(d)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	48,586	$	48,586
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		48,582		48,582
American Beacon Money Market Fund(c)		49,550		49,550
Bank of America 5.270% 07/14/2006		97,164		97,164
Bank of America 5.310% 03/08/2007		97,164		97,164
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		97,164		97,164
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		97,164		97,164
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		145,746		145,746
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		174,895		174,895
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		97,164		97,164
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		97,164		97,164
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		242,910		242,910
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		126,313		126,313
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		77,341		77,341
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006		116,597		116,597
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		97,164		97,164
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006		97,164		97,164

(Continued)

The accompanying notes are an integral part of the financial statements.

157

MassMutual Select Emerging Growth Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006	$	97,164	$	97,164
Freddie Mac Discount Note 5.191% 07/25/2006		57,986		57,986
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		68,015		68,015
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		97,164		97,164
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		340,074		340,074
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		115,354		115,354
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		97,164		97,164
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		97,164		97,164
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		126,313		126,313
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		145,746		145,746
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		325,743		325,743
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		165,179		165,179
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		272,059		272,059
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		145,746		145,746
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006		145,746		145,746
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006		97,164		97,164
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		97,164		97,164

	Principal Amount		Market Value
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006	$	48,582	$	48,582
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		97,164		97,164
				4,444,523
Repurchase Agreement — 4.0%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(e)		5,005,079		5,005,079
TOTAL SHORT-TERM INVESTMENTS (Cost $9,449,602)				9,449,602
TOTAL INVESTMENTS — 101.6% (Cost $119,179,329)(f)				125,826,109
Other Assets/ (Liabilities) — (1.6%)				(1,992,500	)
NET ASSETS — 100.0%			$	123,833,609

Notes to Portfolio of Investments

ADR - American Depository Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. (Note 2).

(d) Represents investments of security lending collateral. (Note 2).

(e) Maturity value of $5,006,643. Collateralized by a U.S. Government Agency obligation with a rate of 8.375%, maturity date of 10/25/2017, and an aggregate market value, including accrued interest, of $5,255,333.

(f) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

158

MassMutual Select Overseas Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
EQUITIES — 96.2%
COMMON STOCK
Advertising — 1.6%
Publicis Groupe(a)		266,000	$	10,200,980
WPP Group PLC		621,390		7,447,240
				17,648,220
Apparel, Textiles & Shoes — 0.8%
Giordano International Ltd.		8,813,000		4,160,802
Next PLC		148,720		4,444,195
				8,604,997
Automotive & Parts — 6.6%
Bayerische Motoren Werke AG		354,000		17,551,561
Bridgestone Corp.		325,000		6,285,056
Compagnie Generale des Etablissements Michelin Cl. B		129,000		7,692,865
DaimlerChrysler AG Registered		391,000		19,169,040
Honda Motor Co. Ltd.		293,000		9,251,023
Toyota Motor Corp.		215,200		11,247,203
				71,196,748
Banking, Savings & Loans — 13.0%
Australia & New Zealand Banking Group Ltd.		409,300		8,109,920
Banco Bilbao Vizcaya Argentaria SA		129,120		2,643,959
Banco Bilbao Vizcaya Argentaria SA (FRA)		392,993		7,957,834
Bangkok Bank PCL		967,190		2,684,237
Bank Central Asia Tbk PT		5,966,000		2,636,396
Bank of Ireland (Ireland)		801,500		14,260,985
BNP Paribas SA		67,800		6,440,796
Chinatrust Financial Holding Co.		19,890,506		16,474,625
Credit Agricole SA		292,744		11,051,843
Credit Suisse Group		258,200		14,301,223
Erste Bank der oesterreichischen Sparkassen AG		77,553		4,332,309
Julius Baer Holding AG		80,638		6,929,901
Kookmin Bank		94,000		7,780,769
Lloyds TSB Group PLC		962,000		9,390,437
Shinsei Bank Ltd.		1,029,000		6,531,548

	Number of Shares		Market Value
Svenska Handelsbanken AB Cl. A		121,100	$	3,086,645
UniCredito Italiano SpA(a)		1,081,869		8,401,766
United Overseas Bank Ltd.		685,000		6,731,227
				139,746,420
Beverages — 4.5%
Diageo PLC		1,501,647		25,014,057
Heineken Holding NV Cl. A		196,250		7,189,848
Lotte Chilsung Beverage Co. Ltd.		5,830		7,079,908
Pernod-Ricard SA(a)		44,590		8,779,634
				48,063,447
Broadcasting, Publishing & Printing — 6.3%
British Sky Broadcasting Group PLC		1,942,000		20,399,509
Gestevision Telecinco SA(a)		288,000		6,855,921
Grupo Televisa SA Sponsored ADR (Mexico)		379,990		7,337,607
Johnston Press PLC		1,412,000		10,710,874
Societe Television Francaise 1		117,000		3,786,974
Trinity Mirror PLC		1,103,000		9,848,638
Vivendi SA		247,400		8,605,053
				67,544,576
Building Materials & Construction — 0.4%
Legrand SA(a)		148,150		4,142,278
Chemicals — 5.2%
Air Liquide SA		74,206		14,346,003
Akzo Nobel, Inc.		174,000		9,334,909
Bayer AG		177,250		8,087,902
Givaudan SA Registered		10,100		7,875,612
Lonza Group AG Registered(a)		98,000		6,656,829
Nitto Denko Corp.		55,600		3,960,675
Syngenta AG(b)		45,000		5,935,945
				56,197,875
Commercial Services — 1.9%
Adecco SA(a)		239,000		14,001,778
Michael Page International PLC		271,800		1,746,507
Smiths Group PLC		257,130		4,196,184
				19,944,469

	Number of Shares		Market Value
Communications — 3.9%
SK Telecom Co. Ltd.		75,830	$	16,355,019
SK Telecom Co. Ltd. ADR (South Korea)(a)		72,500		1,697,950
Telefonaktiebolaget LM Ericsson Cl. B		2,179,530		7,133,781
Vodafone Group PLC		7,990,000		16,851,129
				42,037,879
Computer Related Services — 0.5%
Meitec Corp.(a)		148,700		4,853,230
Computers & Information — 0.9%
Canon, Inc.		190,650		9,314,932
Cosmetics & Personal Care — 2.8%
L'Oreal SA		28,440		2,664,981
Reckitt Benckiser PLC		504,708		18,659,812
Uni-Charm Corp.		155,000		8,576,793
				29,901,586
Electric Utilities — 1.4%
E.ON AG		86,570		9,891,850
Iberdrola SA		162,633		5,561,649
				15,453,499
Electrical Equipment & Electronics — 5.6%
Fanuc Ltd.		30,800		2,776,734
Koninklijke Philips Electronics NV		373,000		11,591,377
Omron Corp.		153,000		3,895,865
Ricoh Co. Ltd.		400,000		7,875,357
Samsung Electronics Co. Ltd.		25,408		16,215,690
Schneider Electric SA		168,604		17,469,335
				59,824,358
Electronics — 0.8%
Rohm Co. Ltd.		97,500		8,745,491
Energy — 2.7%
BG Group PLC		276,428		3,665,845
CNOOC Ltd.		4,641,000		3,725,157
Royal Dutch Shell Plc Class A Shs		231,850		7,736,126
Total SA		205,240		13,380,243
				28,507,371
Entertainment & Leisure — 1.6%
Ladbrokes PLC		779,324		5,814,499
William Hill PLC		948,656		10,877,737
				16,692,236

(Continued)

The accompanying notes are an integral part of the financial statements.

159

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Market Value
Financial Services — 2.8%
Daiwa Securities Group, Inc.		974,000	$	11,673,942
ORIX Corp.		12,710		3,097,918
UBS AG Registered		138,033		14,969,388
				29,741,248
Foods — 6.5%
Cadbury Schweppes PLC		1,427,000		13,621,075
Compass Group PLC		2,420,000		11,634,988
Nestle SA		107,133		33,330,306
Tesco PLC		1,800,907		11,016,817
				69,603,186
Household Products — 1.4%
Henkel KGaA		98,100		10,132,463
Kao Corp.		200,000		5,241,642
				15,374,105
Industrial – Diversified — 0.3%
Enodis PLC		724,400		2,868,596
Industrial Services — 0.9%
Asahi Glass Co. Ltd.(a)		751,000		9,531,440
Insurance — 4.4%
Assicurazioni Generali SpA		206,800		7,475,089
AXA SA		469,347		15,276,894
Hannover Rueckversicherungs AG(a) (b)		217,000		7,535,727
QBE Insurance Group Ltd.		415,702		6,324,213
Swiss Reinsurance(a)		124,819		8,638,242
Willis Group Holdings Ltd.		80,000		2,568,000
				47,818,165
Medical Supplies — 0.7%
Orbotech Ltd.(b)		39,100		896,563
Smith & Nephew PLC		603,068		4,598,712
Synthes, Inc.(a)		19,103		2,282,170
				7,777,445
Metals & Mining — 0.2%
Cia Vale do Rio Doce ADR (Brazil)		110,380		2,653,535
Miscellaneous — 1.0%
LVMH Moet Hennessy Louis Vuitton SA		111,246		10,974,755
Oil & Gas — 0.3%
Tokyo Gas Co. Ltd.(a)		711,000		3,357,994

	Number of Shares		Market Value
Pharmaceuticals — 9.0%
Actelion Ltd.(b)		16,700	$	1,668,675
AstraZeneca PLC		125,495		7,461,599
GlaxoSmithKline PLC		1,176,200		32,558,567
Novartis AG		273,000		14,641,379
Roche Holding AG		101,702		16,654,595
Sanofi-Aventis(a)		169,573		16,448,754
Takeda Pharmaceutical Co. Ltd.		126,000		7,847,975
				97,281,544
Real Estate — 0.0%
United Overseas Land Ltd.		56,100		101,018
Retail — 3.7%
Esprit Holdings Ltd.		662,000		5,421,091
Li & Fung Ltd.		1,786,800		3,625,824
Metro AG		123,000		6,920,719
Signet Group PLC		7,383,000		13,044,983
The Swatch Group AG Cl. B		64,300		10,754,714
				39,767,331
Telecommunications — 1.8%
NTT DoCoMo, Inc.		13,170		19,296,764
Telephone Utilities — 1.1%
Fastweb(a) (b)		30,641		1,322,320
Hutchison Telecommunications International Ltd.(b)		3,049,000		4,923,069
Singapore Telecommunications Ltd.		3,748,000		5,994,876
				12,240,265
Tobacco — 0.5%
KT&G Corp.		100,800		5,878,523
Toys, Games — 0.7%
Nintendo Co. Ltd.		42,700		7,181,121
Transportation — 0.4%
Canadian National Railway Co.		99,980		4,374,125
TOTAL EQUITIES (Cost $897,875,403)				1,034,240,772

	Principal Amount		Market Value
SHORT-TERM INVESTMENTS — 10.8%
Cash Equivalents — 7.4%(d)
Abbey National PLC Eurodollar Time Deposit 5.100% 07/10/2006	$	868,805	$	868,805
ABN Amro Bank NV Certificate of Deposit 5.305% 11/21/2006		868,803		868,803
American Beacon Money Market Fund(c)		886,105		886,105
Bank of America 5.270% 07/14/2006		1,737,605		1,737,605
Bank of America 5.310% 03/08/2007		1,737,605		1,737,605
Bank of Montreal Eurodollar Time Deposit 5.290% 08/03/2006		1,737,605		1,737,605
Bank of Nova Scotia Eurodollar Time Deposit 5.290% 08/08/2006		1,737,605		1,737,605
Barclays Eurodollar Time Deposit 5.150% 08/01/2006		2,606,408		2,606,408
Branch Banker & Trust Eurodollar Time Deposit 5.250% 07/26/2006		3,127,690		3,127,690
Calyon Eurodollar Time Deposit 5.300% 08/08/2006		1,737,605		1,737,605
Canadian Imperial Bank of Commerce Eurodollar Time Deposit 5.310% 07/31/2006		1,737,605		1,737,605
Deutsche Bank Eurodollar Time Deposit 5.250% 07/05/2006		4,344,013		4,344,013
Dexia Group Eurodollar Time Deposit 5.300% 08/09/2006		2,258,887		2,258,887
Federal Home Loan Bank Discount Note 5.181% 07/19/2006		1,383,111		1,383,111
First Tennessee National Corporation Eurodollar Time Deposit 5.270% 07/24/2006		2,085,126		2,085,126
Fortis Bank Eurodollar Time Deposit 5.090% 07/05/2006		1,737,605		1,737,605

(Continued)

The accompanying notes are an integral part of the financial statements.

160

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Principal Amount		Market Value
Fortis Bank Eurodollar Time Deposit 5.250% 07/03/2006	$	1,737,605	$	1,737,605
Fortis Bank Eurodollar Time Deposit 5.250% 07/06/2006		1,737,605		1,737,605
Freddie Mac Discount Note 5.191% 07/25/2006		1,036,973		1,036,973
Harris NA Eurodollar Time Deposit 5.080% 07/05/2006		1,216,324		1,216,324
HBOS Halifax Bank of Scotland Certificate of Deposit 5.110% 07/10/2006		1,737,605		1,737,605
National Australia Bank Eurodollar Time Deposit 5.290% 07/03/2006		6,081,618		6,081,618
National City Corporation Eurodollar Time Deposit 5.220% 07/03/2006		2,062,905		2,062,905
Skandinaviska Enskilda Banken AB Eurodollar Time Deposit 5.130% 07/12/2006		1,737,605		1,737,605
Societe Generale Eurodollar Time Deposit 5.200% 08/08/2006		1,737,605		1,737,605
Societe Generale Eurodollar Time Deposit 5.270% 07/17/2006		2,258,887		2,258,887
Standard Chartered Bank Eurodollar Time Deposit 5.260% 07/07/2006		2,606,408		2,606,408
Svenska Handlesbanken Eurodollar Time Deposit 5.290% 07/03/2006		5,825,333		5,825,333
The Bank of the West Eurodollar Time Deposit 5.250% 08/07/2006		2,953,929		2,953,929
Toronto Dominion Bank Eurodollar Time Deposit 5.300% 07/31/2006		4,865,294		4,865,294
UBS AG Eurodollar Time Deposit 5.250% 07/21/2006		2,606,408		2,606,408
UBS AG Eurodollar Time Deposit 5.250% 08/04/2006		2,606,408		2,606,408

	Principal Amount		Market Value
Wells Fargo Eurodollar Time Deposit 5.160% 07/13/2006	$	1,737,605	$	1,737,605
Wells Fargo Eurodollar Time Deposit 5.170% 07/03/2006		1,737,605		1,737,605
Wells Fargo Eurodollar Time Deposit 5.210% 07/06/2006		868,803		868,803
Wells Fargo Eurodollar Time Deposit 5.250% 07/03/2006		1,737,605		1,737,605
				79,482,313
Repurchase Agreement — 3.4%
Investors Bank & Trust Company Repurchase Agreement, dated 06/30/2006, 3.75%, due 07/03/2006(e)		36,952,158		36,952,158
TOTAL SHORT-TERM INVESTMENTS (Cost $116,434,471)				116,434,471
TOTAL INVESTMENTS — 107.0% (Cost $1,014,309,874)(f)				1,150,675,243
Other Assets/ (Liabilities) — (7.0%)				(75,421,806	)
NET ASSETS — 100.0%			$	1,075,253,437

Notes to Portfolio of Investments

ADR - American Depository Receipt

(a) Denotes all or a portion of security on loan. (Note 2).

(b) Non-income producing security.

(d) Represents investments of security lending collateral. (Note 2).

(e) Maturity value of $36,963,706. Collateralized by a U.S. Government Agency obligation with a rate of 5.549%, maturity date of 12/15/2034, and an aggregate market value, including accrued interest, of $38,799,766.

(f) See Note 6 for aggregate cost for Federal tax purposes.

The accompanying notes are an integral part of the financial statements.

161

MassMutual Select Destination Retirement Income Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
MUTUAL FUNDS — 100.0%
Financial Services
MassMutual Premier Core Bond Fund, Class S		4,390,641	$	46,540,795
MassMutual Premier Diversified Bond Fund, Class S		4,458,125		46,542,821
MassMutual Premier Inflation Protected Bond Fund, Class S		4,918,413		49,282,499
MassMutual Premier Money Market Fund, Class S(a)		12,891,401		12,891,402
MassMutual Premier Short-Duration Bond Fund, Class S		3,821,563		38,712,429
MassMutual Premier Small Company Opportunities Fund, Class S(a)		940,980		15,582,626
MassMutual Select Growth Equity Fund, Class S		2,325,768		18,024,700
MassMutual Select Large Cap Value Fund, Class S		1,541,244		18,047,962
MassMutual Select Overseas Fund, Class S		1,068,943		13,126,623
TOTAL MUTUAL FUNDS (Cost $261,081,683)				258,751,857
TOTAL INVESTMENTS — 100.0%(b)				258,751,857
Other Assets/ (Liabilities) — 0.0%				(83,422	)
NET ASSETS — 100.0%			$	258,668,435

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) See Note 6 for aggregate cost for Federal tax purposes.

The remainder of this page is intentionally left blank.

The accompanying notes are an integral part of the financial statements.

162

MassMutual Select Destination Retirement 2010 Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
MUTUAL FUNDS — 100.0%
Financial Services
MassMutual Premier Core Bond Fund, Class S		2,006,824	$	21,272,339
MassMutual Premier Diversified Bond Fund, Class S		2,037,669		21,273,265
MassMutual Premier Inflation Protected Bond Fund, Class S		2,129,739		21,339,981
MassMutual Premier Money Market Fund, Class S(a)		7,070,693		7,070,693
MassMutual Premier Short-Duration Bond Fund, Class S		1,537,109		15,570,909
MassMutual Premier Small Company Opportunities Fund, Class S(a)		516,112		8,546,822
MassMutual Select Fundamental Value Fund, Class S		589,224		7,070,693
MassMutual Select Growth Equity Fund, Class S		2,004,575		15,535,460
MassMutual Select Large Cap Value Fund, Class S		724,580		8,484,831
MassMutual Select Mid Cap Growth Equity II Fund, Class S(a)		385,588		5,683,570
MassMutual Select Overseas Fund, Class S		820,824		10,079,717
TOTAL MUTUAL FUNDS (Cost $143,223,840)				141,928,280
TOTAL INVESTMENTS — 100.0%(b)				141,928,280
Other Assets/ (Liabilities) — 0.0%				(62,949	)
NET ASSETS — 100.0%			$	141,865,331

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) See Note 6 for aggregate cost for Federal tax purposes.

The remainder of this page is intentionally left blank.

The accompanying notes are an integral part of the financial statements.

163

MassMutual Select Destination Retirement 2020 Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
MUTUAL FUNDS — 100.0%
Financial Services
MassMutual Premier Core Bond Fund, Class S		5,646,991	$	59,858,108
MassMutual Premier Diversified Bond Fund, Class S		5,255,969		54,872,316
MassMutual Premier Inflation Protected Bond Fund, Class S		6,492,221		65,052,057
MassMutual Premier Short-Duration Bond Fund, Class S		2,949,053		29,873,902
MassMutual Premier Small Company Opportunities Fund, Class S		1,512,784		25,051,700
MassMutual Select Aggressive Growth Fund, Class S(a)		6,599,103		39,792,594
MassMutual Select Focused Value Fund, Class S		1,133,049		19,862,344
MassMutual Select Fundamental Value Fund, Class S		3,730,556		44,766,668
MassMutual Select Growth Equity Fund, Class S		5,768,909		44,709,045
MassMutual Select Large Cap Value Fund, Class S		3,822,943		44,766,668
MassMutual Select Mid Cap Growth Equity II Fund, Class S		1,695,313		24,988,909
MassMutual Select Overseas Fund, Class S		3,711,920		45,582,377
				499,176,688
TOTAL MUTUAL FUNDS (Cost $492,047,199)				499,176,688
TOTAL INVESTMENTS — 100.0%(b)				499,176,688
Other Assets/ (Liabilities) — 0.0%				(174,043	)
NET ASSETS — 100.0%			$	499,002,645

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) See Note 6 for aggregate cost for Federal tax purposes.

The remainder of this page is intentionally left blank.

The accompanying notes are an integral part of the financial statements.

164

MassMutual Select Destination Retirement 2030 Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
MUTUAL FUNDS — 100.0%
Financial Services
MassMutual Premier Core Bond Fund, Class S		673,381	$	7,137,834
MassMutual Premier Diversified Bond Fund, Class S		2,393,056		24,983,503
MassMutual Premier Inflation Protected Bond Fund, Class S		2,858,482		28,641,988
MassMutual Select Aggressive Growth Fund, Class S(a)		7,082,232		42,705,858
MassMutual Select Emerging Growth Fund, Class S(a)		2,856,180		17,993,932
MassMutual Select Focused Value Fund, Class S		1,013,333		17,763,724
MassMutual Select Fundamental Value Fund, Class S		3,855,390		46,264,680
MassMutual Select Growth Equity Fund, Class S		5,961,947		46,205,093
MassMutual Select Large Cap Value Fund, Class S		3,646,956		42,705,858
MassMutual Select Mid Cap Growth Equity II Fund, Class S(a)		1,212,956		17,878,969
MassMutual Select Overseas Fund, Class S		3,836,171		47,108,185
MassMutual Select Small Company Value Fund, Class S(a)		1,139,181		17,976,278
				357,365,902
TOTAL MUTUAL FUNDS (Cost $340,655,196)				357,365,902
TOTAL INVESTMENTS — 100.0%(b)				357,365,902
Other Assets/ (Liabilities) — 0.0%				(132,075	)
NET ASSETS — 100.0%			$	357,233,827

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) See Note 6 for aggregate cost for Federal tax purposes.

The remainder of this page is intentionally left blank.

The accompanying notes are an integral part of the financial statements.

165

MassMutual Select Destination Retirement 2040 Fund – Portfolio of Investments

June 30, 2006 (Unaudited)

	Number of Shares		Market Value
MUTUAL FUNDS — 100.0%
Financial Services
MassMutual Premier Inflation Protected Bond Fund, Class S		216,049	$	2,164,812
MassMutual Select Aggressive Growth Fund, Class S(a)		4,996,004		30,125,902
MassMutual Select Emerging Growth Fund, Class S(a)		2,072,407		13,056,162
MassMutual Select Focused Value Fund, Class S		735,256		12,889,044
MassMutual Select Fundamental Value Fund, Class S		2,689,813		32,277,753
MassMutual Select Growth Equity Fund, Class S		4,159,504		32,236,160
MassMutual Select Large Cap Value Fund, Class S		2,756,426		32,277,753
MassMutual Select Mid Cap Growth Equity II Fund, Class S(a)		880,102		12,972,705
MassMutual Select Overseas Fund, Class S		2,676,428		32,866,539
MassMutual Select Small Company Value Fund, Class S(a)		964,337		15,217,238
				216,084,068
TOTAL MUTUAL FUNDS (Cost $204,878,809)				216,084,068
TOTAL INVESTMENTS — 100.0%(b)				216,084,068
Other Assets/ (Liabilities) — 0.0%				(73,045	)
NET ASSETS — 100.0%			$	216,011,023

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) See Note 6 for aggregate cost for Federal tax purposes.

The remainder of this page is intentionally left blank.

The accompanying notes are an integral part of the financial statements.

166

[This page is intentionally left blank.]

MassMutual Select Funds – Financial Statements

Statement of Assets and Liabilities

June 30, 2006 (Unaudited)

	MassMutual Select Strategic Bond Fund			MassMutual Select Strategic Balanced Fund		MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund		MassMutual Select Value Equity Fund		MassMutual Select Large Cap Value Fund			MassMutual Select Indexed Equity Fund
Assets:
Investments, at value (Note 2)(a)	$	176,899,106		$	208,745,181	$	383,181,000	$	1,114,633,130	$	97,880,573	$	1,458,421,121		$	1,941,411,402
Short-term investments, at value (Note 2)(b)		13,933,624			27,094,131		22,257,254		60,500,630		15,355,315		81,797,680			175,092,421
Total investments(c)		190,832,730			235,839,312		405,438,254		1,175,133,760		113,235,888		1,540,218,801			2,116,503,823
Cash		-			-		-		-		80,685		100			-
Foreign currency, at value(d)		-			123,334		-		-		-		-			-
Receivables from:
Investments sold		478,227			219,187		978,068		4,735,676		375,167		783,335			989,937
Investment Adviser (Note 3)		-			4,511		-		-		-		-			-
Fund shares sold		544,211			1,042,953		284,247		2,029,474		309,312		17,539,167			3,381,272
Interest and dividends		1,385,344			990,157		576,141		1,528,378		132,452		2,150,013			2,612,209
Variation margin on open futures contracts (Note 2)		159,859			44,495		-		-		-		-			-
Foreign taxes withheld		-			4,893		640		-		-		13,476			-
Total assets		193,400,371			238,268,842		407,277,350		1,183,427,288		114,133,504		1,560,704,892			2,123,487,241
Liabilities:
Payables for:
Investments purchased		836,046			425,762		-		11,111,513		1,394,465		890,039			73,556
Written options outstanding, at value (Note 2)(e)		102,766			50,572		-		-		-		-			-
Open forward foreign currency contracts (Note 2)		5,918			5,973		-		-		-		-			-
Fund shares repurchased		127,256			1,321,835		875,917		1,027,948		550,548		3,415,616			5,440,923
Variation margin on open futures contracts (Note 2)		-			-		-		-		-		-			113,610
Securities on loan (Note 2)		2,497,438			14,207,273		17,323,481		46,477,839		13,256,367		61,341,924			132,666,992
Open swap agreements, at value		-			260,979		-		-		-		-			-
Directors' fees and expenses (Note 3)		2,818			7,184		8,399		33,918		4,638		52,798			81,359
Affiliates (Note 3):
Investment management fees		84,239			108,375		157,358		577,170		55,961		777,696			161,205
Administration fees		12,761			45,862		43,492		194,096		12,648		254,799			433,270
Service fees		16,517			17,281		25,877		160,250		18,922		227,626			172,288
Distribution fees		132			270		283		1,134		91		1,472			3,026
Accrued expense and other liabilities		44,924			26,341		27,834		35,984		18,056		44,011			46,041
Total liabilities		3,730,815			16,477,707		18,462,641		59,619,852		15,311,696		67,005,981			139,192,270
Net assets	$	189,669,556		$	221,791,135	$	388,814,709	$	1,123,807,436	$	98,821,808	$	1,493,698,911		$	1,984,294,971
Net assets consist of:
Paid-in capital	$	193,629,759		$	207,453,675	$	326,004,686	$	898,897,554	$	83,608,979	$	1,220,436,401		$	1,822,668,226
Undistributed net investment income (distributions in excess of net investment income)		4,007,822			2,586,408		3,040,058		6,097,415		373,510		5,703,405			15,068,410
Accumulated net realized gain (loss) on investments		(2,645,289	)		264,708		13,393,082		58,384,562		7,706,763		(69,045,631	)		(46,374,321	)
Net unrealized appreciation (depreciation) on investments		(5,322,736	)		11,486,344		46,376,883		160,427,905		7,132,556		336,604,736			192,932,656
Net Assets	$	189,669,556		$	221,791,135	$	388,814,709	$	1,123,807,436	$	98,821,808	$	1,493,698,911		$	1,984,294,971

(a) Cost of investments - unaffiliated issuers:	$	181,970,390	$	196,965,470	$	336,804,117	$	954,205,225	$	90,747,216	$	1,121,817,379	$	1,749,114,839
(b) Cost of short-term investments:	$	13,933,624	$	27,094,131	$	22,257,254	$	60,500,630	$	15,355,315	$	81,797,680	$	175,092,421
(c) Securities on loan with market value of:	$	2,428,470	$	13,608,019	$	16,672,372	$	45,105,476	$	12,833,835	$	59,181,583	$	127,742,209
(d) Cost of foreign currency:	$	-	$	120,123	$	-	$	-	$	-	$	-	$	-
(e) Premiums on written options	$	279,313	$	135,747	$	-	$	-	$	-	$	-	$	-

The accompanying notes are an integral part of the financial statements.

168

169

MassMutual Select Funds – Financial Statements (Continued)

Statement of Assets and Liabilities

June 30, 2006 (Unaudited)

	MassMutual Select Strategic Bond Fund		MassMutual Select Strategic Balanced Fund		MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund		MassMutual Select Value Equity Fund		MassMutual Select Large Cap Value Fund		MassMutual Select Indexed Equity Fund
Class A shares:
Net assets	$	29,491,895	$	28,383,949	$	44,086,834	$	261,594,011	$	29,689,697	$	371,383,457	$	270,173,587
Shares outstanding		3,004,024		2,641,384		3,706,586		21,961,476		2,744,378		32,013,960		23,021,395
Net asset value and redemption price per share	$	9.82	$	10.75	$	11.89	$	11.91	$	10.82	$	11.60	$	11.74
Offering price per share (100/[100-maximum sales charge] of net asset value)	$	10.31	$	11.41	$	12.62	$	12.64	$	11.48	$	12.31	$	12.46
Class L shares:
Net assets	$	5,326,414	$	91,418,305	$	41,212,642	$	291,823,269	$	8,905,378	$	344,025,653	$	302,370,776
Shares outstanding		540,929		8,486,131		3,453,538		24,389,809		820,693		29,520,490		25,650,159
Net asset value, offering price and redemption price per share	$	9.85	$	10.77	$	11.93	$	11.96	$	10.85	$	11.65	$	11.79
Class Y shares:
Net assets	$	90,588,779	$	85,809,220	$	107,680,181	$	96,048,150	$	4,602,614	$	192,872,457	$	458,276,885
Shares outstanding		9,199,865		7,957,141		9,023,479		8,009,556		422,012		16,498,178		38,757,235
Net asset value, offering price and redemption price per share	$	9.85	$	10.78	$	11.93	$	11.99	$	10.91	$	11.69	$	11.82
Class S shares:
Net assets	$	62,578,650	$	15,748,827	$	194,790,827	$	473,106,732	$	55,479,929	$	582,991,658	$	639,555,569
Shares outstanding		6,350,807		1,459,508		16,296,208		39,417,184		5,093,049		49,773,758		53,552,153
Net asset value, offering price and redemption price per share	$	9.85	$	10.79	$	11.95	$	12.00	$	10.89	$	11.71	$	11.94
Class Z shares:
Net assets	$	-	$	-	$	-	$	-	$	-	$	-	$	309,070,396
Shares outstanding		-		-		-		-		-		-		25,850,294
Net asset value, offering price and redemption price per share	$	-	$	-	$	-	$	-	$	-	$	-	$	11.96
Class N shares:
Net assets	$	1,683,818	$	430,834	$	1,044,225	$	1,235,274	$	144,190	$	2,425,686	$	4,847,758
Shares outstanding		171,905		40,184		87,740		104,561		13,317		211,379		417,829
Net asset value, offering price and redemption price per share	$	9.80	$	10.72	$	11.90	$	11.81	$	10.83	$	11.48	$	11.60

The accompanying notes are an integral part of the financial statements.

170

171

MassMutual Select Funds – Financial Statements (Continued)

Statement of Assets and Liabilities

June 30, 2006 (Unaudited)

	MassMutual Select Core Opportunities Fund			MassMutual Select Blue Chip Growth Fund			MassMutual Select Large Cap Growth Fund			MassMutual Select Growth Equity Fund			MassMutual Select Aggressive Growth Fund			MassMutual Select OTC 100 Fund			MassMutual Select Focused Value Fund
Assets:
Investments, at value (Note 2)(a)	$	10,827,629		$	402,451,608		$	34,937,543		$	810,938,035		$	624,100,728		$	51,236,624		$	849,302,637
Short-term investments, at value (Note 2)(b)		817,245			39,289,004			2,898,454			48,651,555			7,483,680			7,567,827			162,751,945
Total investments(c)		11,644,874			441,740,612			37,835,997			859,589,590			631,584,408			58,804,451			1,012,054,582
Receivables from:
Investments sold		18,081			699,866			237,704			37,560,918			785,438			694,342			1,247,300
Investment Adviser (Note 3)		4,086			-			-			-			-			-			-
Fund shares sold		10,061			511,446			108,353			-			685,991			112,852			1,271,727
Interest and dividends		9,233			343,203			11,315			841,002			55,201			6,402			1,007,285
Foreign taxes withheld		381			10,286			-			102			-			-			-
Total assets		11,686,716			443,305,413			38,193,369			897,991,612			633,111,038			59,618,047			1,015,580,894
Liabilities:
Payables for:
Investments purchased		193,661			-			46,247			37,968,224			324,816			-			979,591
Fund shares repurchased		-			532,998			7,670			-			2,087,506			1,403,082			2,216,916
Variation margin on open futures contracts (Note 2)		-			-			-			30,400			-			7,471			-
Securities on loan (Note 2)		-			36,974,364			2,707,286			24,342,745			-			7,369,997			124,020,358
Directors' fees and expenses (Note 3)		97			20,375			1,752			38,869			21,314			3,860			34,333
Affiliates (Note 3):
Investment management fees		6,109			194,406			19,307			453,391			368,934			6,433			500,707
Administration fees		737			117,024			6,628			140,775			119,540			23,179			158,320
Service fees		125			23,451			3,270			98,967			77,701			14,984			153,688
Distribution fees		61			1,620			1			431			547			276			1,056
Due to custodian		-			-			-			2,555,548			-			189,893			-
Accrued expense and other liabilities		12,105			23,115			22,742			37,558			51,067			17,811			35,224
Total liabilities		212,895			37,887,353			2,814,903			65,666,908			3,051,425			9,036,986			128,100,193
Net assets	$	11,473,821		$	405,418,060		$	35,378,466		$	832,324,704		$	630,059,613		$	50,581,061		$	887,480,701
Net assets consist of:
Paid-in capital	$	11,886,180		$	459,153,696		$	33,180,514		$	969,621,885		$	649,597,990		$	72,497,969		$	730,303,879
Undistributed net investment income (distributions in excess of net investment income)		11,817			227,426			(63,878	)		2,059,599			(2,281,155	)		(101,838	)		12,341,992
Accumulated net realized gain (loss) on investments		(64,441	)		(62,009,870	)		1,599,026			(126,909,543	)		(63,311,552	)		(25,720,928	)		49,058,216
Net unrealized appreciation (depreciation) on investments		(359,735	)		8,046,808			662,804			(12,447,237	)		46,054,330			3,905,858			95,776,614
Net Assets	$	11,473,821		$	405,418,060		$	35,378,466		$	832,324,704		$	630,059,613		$	50,581,061		$	887,480,701

(a) Cost of investments - unaffiliated issuers:	$	11,187,364	$	394,405,315	$	34,274,739	$	823,582,801	$	578,046,398	$	47,340,370	$	753,526,023
(b) Cost of short-term investments:	$	817,245	$	39,289,004	$	2,898,454	$	48,651,555	$	7,483,680	$	7,567,827	$	162,751,945
(c) Securities on loan with market value of:	$	-	$	35,895,394	$	2,652,015	$	23,520,633	$	-	$	7,096,102	$	119,670,872

The accompanying notes are an integral part of the financial statements.

172

173

MassMutual Select Funds – Financial Statements (Continued)

Statement of Assets and Liabilities

June 30, 2006 (Unaudited)

	MassMutual Select Core Opportunities Fund		MassMutual Select Blue Chip Growth Fund		MassMutual Select Large Cap Growth Fund		MassMutual Select Growth Equity Fund		MassMutual Select Aggressive Growth Fund		MassMutual Select OTC 100 Fund		MassMutual Select Focused Value Fund
Class A shares:
Net assets	$	834,601	$	34,582,124	$	6,281,389	$	146,096,749	$	119,341,595	$	22,040,203	$	240,187,317
Shares outstanding		86,753		3,920,483		659,149		19,299,060		20,406,589		5,605,644		14,076,490
Net asset value and redemption price per share	$	9.62	$	8.82	$	9.53	$	7.57	$	5.85	$	3.93	$	17.06
Offering price per share (100/[100-maximum sales charge] of net asset value)	$	9.62	$	8.97	$	10.11	$	8.03	$	6.21	$	4.17	$	18.10
Class L shares:
Net assets	$	1,198,389	$	267,513,632	$	2,131,656	$	337,185,101	$	223,978,450	$	10,013,842	$	185,284,529
Shares outstanding		124,474		29,978,553		218,498		43,958,057		37,698,634		2,510,710		10,712,396
Net asset value, offering price and redemption price per share	$	9.63	$	8.92	$	9.76	$	7.67	$	5.94	$	3.99	$	17.30
Class Y shares:
Net assets	$	96,419	$	40,710,245	$	9,283,596	$	68,627,480	$	50,439,153	$	1,733,651	$	117,081,081
Shares outstanding		10,010		4,554,501		960,819		8,886,901		8,421,230		432,138		6,720,479
Net asset value, offering price and redemption price per share	$	9.63	$	8.94	$	9.66	$	7.72	$	5.99	$	4.01	$	17.42
Class S shares:
Net assets	$	9,248,164	$	59,488,233	$	17,680,590	$	280,338,250	$	235,431,577	$	16,369,650	$	342,837,942
Shares outstanding		960,010		6,633,082		1,821,733		36,159,393		39,066,888		4,049,987		19,556,037
Net asset value, offering price and redemption price per share	$	9.63	$	8.97	$	9.71	$	7.75	$	6.03	$	4.04	$	17.53
Class N shares:
Net assets	$	96,248	$	3,123,826	$	1,235	$	77,124	$	868,838	$	423,715	$	2,089,832
Shares outstanding		10,010		358,082		130		10,333		150,971		109,313		124,326
Net asset value, offering price and redemption price per share	$	9.62	$	8.72	$	9.52	$	7.46	$	5.75	$	3.88	$	16.81

The accompanying notes are an integral part of the financial statements.

174

175

MassMutual Select Funds – Financial Statements (Continued)

Statement of Assets and Liabilities

June 30, 2006 (Unaudited)

	MassMutual Select Small Cap Value Equity Fund			MassMutual Select Small Company Value Fund		MassMutual Select Small Cap Core Equity Fund			MassMutual Select Mid Cap Growth Equity Fund			MassMutual Select Mid Cap Growth Equity II Fund		MassMutual Select Small Cap Growth Equity Fund			MassMutual Select Small Company Growth Fund
Assets:
Investments, at value (Note 2)(a)	$	10,901,741		$	736,460,521	$	10,525,212		$	191,610,769		$	1,299,135,927	$	609,263,736		$	156,550,479
Short-term investments, at value (Note 2)(b)		789,765			128,321,223		69,556			41,889,343			217,103,387		240,124,434			45,394,467
Total investments(c)		11,691,506			864,781,744		10,594,768			233,500,112			1,516,239,314		849,388,170			201,944,946
Cash		931,099			-		-			-			-		-			-
Foreign currency, at value(d)		-			-		-			-			-		35,722			-
Receivables from:
Investments sold		2,023,304			8,458,606		-			-			4,397,722		6,536,802			2,140,630
Investment Adviser (Note 3)		6,292			-		2,983			-			-		-			-
Fund shares sold		1,809			1,555,743		95			417,321			2,317,837		1,315,972			538,567
Interest and dividends		31,639			697,921		13,674			61,912			805,030		248,394			69,983
Variation margin on open futures contracts (Note 2)		4,698			-		-			-			-		-			-
Total assets		14,690,347			875,494,014		10,611,520			233,979,345			1,523,759,903		857,525,060			204,694,126
Liabilities:
Payables for:
Investments purchased		3,313,387			5,949,202		-			-			9,328,748		5,879,897			2,686,632
Fund shares repurchased		7,575			1,494,118		-			1,202,446			2,342,991		2,910,640			93,306
Securities on loan (Note 2)		-			102,175,665		-			39,758,780			185,197,302		178,185,142			42,002,532
Directors' fees and expenses (Note 3)		97			18,366		97			9,319			40,220		25,189			5,964
Affiliates (Note 3):
Investment management fees		5,921			514,197		6,270			110,933			799,787		444,445			110,654
Administration fees		465			153,683		565			30,578			270,673		129,182			37,482
Service fees		122			94,347		125			25,071			208,614		73,824			44,528
Distribution fees		61			877		61			159			1,201		630			636
Due to custodian		-			-		-			-			55,784		-			-
Accrued expense and other liabilities		18,309			37,490		12,753			17,808			36,576		37,443			32,677
Total liabilities		3,345,937			110,437,945		19,871			41,155,094			198,281,896		187,686,392			45,014,411
Net assets	$	11,344,410		$	765,056,069	$	10,591,649		$	192,824,251		$	1,325,478,007	$	669,838,668		$	159,679,715
Net assets consist of:
Paid-in capital	$	11,545,795		$	612,973,193	$	11,098,572		$	242,193,436		$	1,042,615,612	$	533,097,012		$	149,587,774
Undistributed net investment income (distributions in excess of net investment income)		24,828			1,001,341		5,735			274,444			1,709,074		(1,303,352	)		(759,138	)
Accumulated net realized gain (loss) on investments		(67,993	)		34,027,062		(324,628	)		(80,478,772	)		64,177,033		24,251,175			8,139,263
Net unrealized appreciation (depreciation) on investments		(158,220	)		117,054,473		(188,030	)		30,835,143			216,976,288		113,793,833			2,711,816
Net Assets	$	11,344,410		$	765,056,069	$	10,591,649		$	192,824,251		$	1,325,478,007	$	669,838,668		$	159,679,715

(a) Cost of investments - unaffiliated issuers:	$	11,079,790	$	619,406,048	$	10,713,242	$	160,775,626	$	1,082,159,779	$	495,470,607	$	153,838,663
(b) Cost of short-term investments:	$	789,765	$	128,321,223	$	69,556	$	41,889,343	$	217,103,387	$	240,124,434	$	45,394,467
(c) Securities on loan with market value of:	$	-	$	97,971,431	$	-	$	38,515,165	$	178,464,593	$	170,123,963	$	40,100,312
(d) Cost of foreign currency:	$	-	$	-	$	-	$	-	$	-	$	35,331	$	-

The accompanying notes are an integral part of the financial statements.

176

177

MassMutual Select Funds – Financial Statements (Continued)

Statement of Assets and Liabilities

June 30, 2006 (Unaudited)

	MassMutual Select Small Cap Value Equity Fund		MassMutual Select Small Company Value Fund		MassMutual Select Small Cap Core Equity Fund		MassMutual Select Mid Cap Growth Equity Fund		MassMutual Select Mid Cap Growth Equity II Fund		MassMutual Select Small Cap Growth Equity Fund		MassMutual Select Small Company Growth Fund
Class A shares:
Net assets	$	97,894	$	153,471,305	$	119,340	$	38,804,814	$	325,005,690	$	115,923,542	$	68,306,769
Shares outstanding		10,010		9,863,204		12,559		3,720,496		22,745,044		7,083,477		6,784,224
Net asset value and redemption price per share	$	9.78	$	15.56	$	9.50	$	10.43	$	14.29	$	16.37	$	10.07
Offering price per share (100/[100-maximum sales charge] of net asset value)	$	9.78	$	16.51	$	9.50	$	11.01	$	15.16	$	16.95	$	10.68
Class L shares:
Net assets	$	97,954	$	151,351,777	$	133,724	$	43,536,791	$	549,527,673	$	96,664,326	$	35,247,463
Shares outstanding		10,010		9,673,405		14,062		4,097,642		37,845,933		5,809,812		3,452,803
Net asset value, offering price and redemption price per share	$	9.79	$	15.65	$	9.51	$	10.62	$	14.52	$	16.64	$	10.21
Class Y shares:
Net assets	$	97,992	$	164,345,400	$	1,111,185	$	26,268,960	$	163,620,011	$	133,362,982	$	20,497,347
Shares outstanding		10,010		10,446,940		116,778		2,448,771		11,151,656		7,935,618		1,994,900
Net asset value, offering price and redemption price per share	$	9.79	$	15.73	$	9.52	$	10.73	$	14.67	$	16.81	$	10.27
Class S shares:
Net assets	$	10,952,752	$	294,597,195	$	9,132,358	$	83,964,994	$	284,873,707	$	322,890,548	$	34,861,658
Shares outstanding		1,118,703		18,663,594		960,010		7,797,030		19,323,826		19,045,830		3,383,019
Net asset value, offering price and redemption price per share	$	9.79	$	15.78	$	9.51	$	10.77	$	14.74	$	16.95	$	10.30
Class N shares:
Net assets	$	97,818	$	1,290,392	$	95,042	$	248,692	$	2,450,926	$	997,270	$	766,478
Shares outstanding		10,010		84,052		10,010		24,165		174,006		61,854		77,420
Net asset value, offering price and redemption price per share	$	9.77	$	15.35	$	9.49	$	10.29	$	14.09	$	16.12	$	9.90

The accompanying notes are an integral part of the financial statements.

178

179

MassMutual Select Funds – Financial Statements (Continued)

Statement of Assets and Liabilities

June 30, 2006 (Unaudited)

	MassMutual Select Emerging Growth Fund			MassMutual Select Overseas Fund		MassMutual Select Destination Retirement Income Fund			MassMutual Select Destination Retirement 2010 Fund			MassMutual Select Destination Retirement 2020 Fund			MassMutual Select Destination Retirement 2030 Fund			MassMutual Select Destination Retirement 2040 Fund
Assets:
Investments at value
Unaffiliated issuer(s)(a)	$	116,376,507		$	1,034,240,772	$	-		$	-		$	-		$	-		$	-
Affiliated issuer(s)(b)		-			-		258,751,857			141,928,280			499,176,688			357,365,902			216,084,068
Short-term investments, at value (Note 2)(c)		9,449,602			116,434,471		-			-			-			-			-
Total investments(d)		125,826,109			1,150,675,243		258,751,857			141,928,280			499,176,688			357,365,902			216,084,068
Cash		-			2		-			-			-			-			-
Foreign currency, at value(e)		-			731,322		-			-			-			-			-
Receivables from:
Investments sold		3,217,847			2,088,390		-			-			-			-			-
Investment Adviser (Note 3)		-			-		-			1,575			-			-			-
Fund shares sold		100,519			1,703,409		-			-			-			-			-
Interest and dividends		22,071			2,836,701		-			-			-			-			-
Foreign taxes withheld		-			275,544		-			-			-			-			-
Total assets		129,166,546			1,158,310,611		258,751,857			141,929,855			499,176,688			357,365,902			216,084,068
Liabilities:
Payables for:
Investments purchased		660,550			322,134		-			-			-			-			-
Open forward foreign currency contracts (Note 2)		-			21,989		-			-			-			-			-
Fund shares repurchased		85,154			2,013,622		-			-			-			-			-
Securities on loan (Note 2)		4,444,523			79,482,313		-			-			-			-			-
Directors' fees and expenses (Note 3)		6,909			25,811		6,752			2,350			10,941			7,817			4,540
Affiliates (Note 3):
Investment management fees		79,946			836,079		10,574			5,783			20,107			14,361			8,722
Administration fees		23,071			83,972		21,244			14,209			58,169			42,245			22,224
Service fees		10,698			152,111		28,001			26,361			66,651			50,141			21,147
Distribution fees		111			1,249		68			86			159			107			105
Accrued expense and other liabilities		21,975			117,894		16,783			15,735			18,016			17,404			16,307
Total liabilities		5,332,937			83,057,174		83,422			64,524			174,043			132,075			73,045
Net assets	$	123,833,609		$	1,075,253,437	$	258,668,435		$	141,865,331		$	499,002,645		$	357,233,827		$	216,011,023
Net assets consist of:
Paid-in capital	$	153,173,068		$	861,947,519	$	258,771,231		$	141,593,770		$	481,758,621		$	331,599,940		$	198,464,745
Undistributed net investment income (distributions in excess of net investment income)		(514,862	)		18,108,932		(19,746	)		(51,014	)		(633,025	)		(467,004	)		(253,755	)
Accumulated net realized gain (loss) on investments		(35,471,377	)		58,845,260		2,246,776			1,618,135			10,747,560			9,390,185			6,594,774
Net unrealized appreciation (depreciation) on investments		6,646,780			136,351,726		(2,329,826	)		(1,295,560	)		7,129,489			16,710,706			11,205,259
Net Assets	$	123,833,609		$	1,075,253,437	$	258,668,435		$	141,865,331		$	499,002,645		$	357,233,827		$	216,011,023

(a) Cost of investments - unaffiliated issuers:	$	109,729,727	$	897,875,403	$	-	$	-	$	-	$	-	$	-
(b) Cost of investments - affiliated issuers:	$	-	$	-	$	261,081,683	$	143,223,840	$	492,047,199	$	340,655,196	$	204,878,809
(c) Cost of short-term investments:	$	9,449,602	$	116,434,471	$	-	$	-	$	-	$	-	$	-
(d) Securities on loan with market value of:	$	4,306,711	$	75,090,970	$	-	$	-	$	-	$	-	$	-
(e) Cost of foreign currency:	$	-	$	728,259	$	-	$	-	$	-	$	-	$	-

The accompanying notes are an integral part of the financial statements.

180

181

MassMutual Select Funds – Financial Statements (Continued)

Statement of Assets and Liabilities

June 30, 2006 (Unaudited)

	MassMutual Select Emerging Growth Fund		MassMutual Select Overseas Fund		MassMutual Select Destination Retirement Income Fund		MassMutual Select Destination Retirement 2010 Fund		MassMutual Select Destination Retirement 2020 Fund		MassMutual Select Destination Retirement 2030 Fund		MassMutual Select Destination Retirement 2040 Fund
Class A shares:
Net assets	$	16,270,684	$	247,735,362	$	46,441,009	$	45,897,262	$	114,064,936	$	85,294,999	$	34,806,660
Shares outstanding		2,671,316		20,419,427		4,557,428		4,321,911		10,407,543		7,328,534		2,906,037
Net asset value and redemption price per share	$	6.09	$	12.13	$	10.19	$	10.62	$	10.96	$	11.64	$	11.98
Offering price per share (100/[100-maximum sales charge] of net asset value)	$	6.46	$	12.87	$	10.81	$	11.27	$	11.63	$	12.35	$	12.71
Class L shares:
Net assets	$	51,350,455	$	265,036,367	$	96,322,039	$	37,686,741	$	253,414,750	$	193,762,029	$	123,960,820
Shares outstanding		8,302,380		21,703,570		9,406,184		3,532,374		23,003,310		16,559,149		10,298,654
Net asset value, offering price and redemption price per share	$	6.19	$	12.21	$	10.24	$	10.67	$	11.02	$	11.70	$	12.04
Class Y shares:
Net assets	$	5,057,605	$	186,576,951	$	108,526,717	$	44,811,959	$	81,417,882	$	46,265,674	$	23,688,828
Shares outstanding		809,578		15,230,613		10,592,633		4,196,433		7,391,523		3,954,529		1,967,418
Net asset value, offering price and redemption price per share	$	6.25	$	12.25	$	10.25	$	10.68	$	11.02	$	11.70	$	12.04
Class S shares:
Net assets	$	50,981,619	$	373,996,346	$	7,258,053	$	13,328,515	$	49,848,574	$	31,738,297	$	33,382,272
Shares outstanding		8,096,825		30,468,010		708,488		1,246,989		4,520,267		2,709,658		2,769,758
Net asset value, offering price and redemption price per share	$	6.30	$	12.28	$	10.24	$	10.69	$	11.03	$	11.71	$	12.05
Class N shares:
Net assets	$	173,246	$	1,908,411	$	120,617	$	140,854	$	256,503	$	172,828	$	172,443
Shares outstanding		28,856		158,839		11,818		13,239		23,389		14,836		14,390
Net asset value, offering price and redemption price per share	$	6.00	$	12.01	$	10.21	$	10.64	$	10.97	$	11.65	$	11.98

The accompanying notes are an integral part of the financial statements.

182

183

MassMutual Select Funds – Financial Statements (Continued)

Statement of Operations

For the Six Months Ended June 30, 2006 (Unaudited)

	MassMutual Select Strategic Bond Fund			MassMutual Select Strategic Balanced Fund			MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund		MassMutual Select Value Equity Fund			MassMutual Select Large Cap Value Fund		MassMutual Select Indexed Equity Fund
Investment income (Note 2):
Dividends(a)	$	8,613		$	1,230,206		$	4,125,829	$	10,826,155	$	823,324		$	11,804,974	$	18,527,015
Interest		4,648,010			2,414,629			132,292		255,839		35,596			550,812		607,726
Securities lending income		13,889			25,088			15,744		24,920		19,238			81,570		62,489
Total investment income		4,670,512			3,669,923			4,273,865		11,106,914		878,158			12,437,356		19,197,230
Expenses (Note 3):
Investment management fees (Note 3)		493,035			680,431			896,667		3,430,990		345,388			4,726,551		992,495
Custody fees		27,134			25,601			16,607		44,467		21,548			110,033		90,220
Trustee reporting		2,457			2,458			2,458		2,458		1,346			1,349		1,335
Audit and legal fees		13,600			15,092			14,774		17,914		14,035			19,933		22,733
Proxy fees		453			736			540		673		696			694		536
Shareholder reporting fees		1,953			3,069			4,028		12,704		1,236			17,941		24,704
Directors' fees (Note 3)		3,542			5,202			7,351		23,331		2,262			32,891		45,325
		542,174			732,589			942,425		3,532,537		386,511			4,909,392		1,177,348
Administration fees (Note 3):
Class A		31,083			43,552			59,588		394,002		41,816			580,885		652,076
Class L		6,147			156,906			47,384		407,882		12,784			573,374		700,980
Class Y		43,655			78,100			75,013		73,989		3,192			165,497		786,074
Class S		15,496			9,861			55,238		276,696		21,336			232,347		999,743
Class Z		-			-			-		-		-			-		116,283
Class N		314			810			776		3,666		238			4,345		12,851
Distribution fees (Note 3):
Class N		261			537			527		2,526		181			2,901		6,066
Service fees (Note 3):
Class A		31,083			33,297			48,319		314,799		37,537			447,661		339,835
Class N		261			537			527		2,526		181			2,901		6,066
Total expenses		670,474			1,056,189			1,229,797		5,008,623		503,776			6,919,303		4,797,322
Expenses waived (Note 3)		-			(14,735	)		-		-		-			-		-
Class A Administration fees waived (Note 3)		(18,650	)		-			-		-		-			-		(204,397	)
Class L Administration fees waived (Note 3)		(3,688	)		-			-		-		-			-		(221,597	)
Class N Administration fees waived (Note 3)		(157	)		-			-		-		-			-		(3,650	)
Net expenses		647,979			1,041,454			1,229,797		5,008,623		503,776			6,919,303		4,367,678
Net investment income		4,022,533			2,628,469			3,044,068		6,098,291		374,382			5,518,053		14,829,552
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		(1,340,618	)		549,173			11,931,565		53,401,744		6,741,940			8,953,178		2,174,731
Closed futures contracts		(427,485	)		(388,057	)		-		-		-			-		(686,895	)
Written options		283,949			214,759			-		-		-			-		-
Closed swap contracts		-			(50,616	)		-		-		-			-		-
Foreign currency transactions		41,385			25,689			-		-		2,429			17,652		-
Net realized gain (loss)		(1,442,769	)		350,948			11,931,565		53,401,744		6,744,369			8,970,830		1,487,836
Net change in unrealized appreciation (depreciation) on:
Investments		(4,907,337	)		1,410,279			3,842,066		11,691,321		(3,735,061	)		28,220,009		31,921,374
Open futures contracts		(381,169	)		(10,071	)		-		-		-			-		636,093
Written options		136,144			55,311			-		-		-			-		-
Open swap contracts		-			(31,536	)		-		-		-			-		-
Translation of assets and liabilities in foreign currencies		(61,394	)		(40,611	)		-		-		(801	)		994		-
Net unrealized gain (loss)		(5,213,756	)		1,383,372			3,842,066		11,691,321		(3,735,862	)		28,221,003		32,557,467
Net realized and unrealized gain (loss)		(6,656,525	)		1,734,320			15,773,631		65,093,065		3,008,507			37,191,833		34,045,303
Net increase (decrease) in net assets resulting from operations	$	(2,633,992	)	$	4,362,789		$	18,817,699	$	71,191,356	$	3,382,889		$	42,709,886	$	48,874,855

(a) Net of withholding tax of:

21,235

6,050

3,786

5,751

68,063

The accompanying notes are an integral part of the financial statements.

184

185

MassMutual Select Funds – Financial Statements (Continued)

Statement of Operations

For the Six Months Ended June 30, 2006 (Unaudited)

	MassMutual Select Core Opportunities Fund*			MassMutual Select Blue Chip Growth Fund			MassMutual Select Large Cap Growth Fund			MassMutual Select Growth Equity Fund			MassMutual Select Aggressive Growth Fund			MassMutual Select OTC 100 Fund			MassMutual Select Focused Value Fund
Investment income (Note 2):
Dividends(a)	$	34,046		$	2,008,054		$	131,160		$	5,843,401		$	643,027		$	129,625		$	16,151,799
Interest		2,438			194,315			7,290			424,574			168,561			15,248			658,498
Securities lending income		-			46,845			1,776			16,297			-			10,615			76,238
Total investment income		36,484			2,249,214			140,226			6,284,272			811,588			155,488			16,886,535
Expenses (Note 3):
Investment management fees (Note 3)		18,613			1,320,411			128,988			2,993,594			2,286,458			43,524			3,124,895
Custody fees		3,349			30,120			9,815			51,074			40,309			16,430			44,457
Trustee reporting		800			1,343			2,458			2,458			2,458			1,346			2,458
Audit and legal fees		8,883			15,286			13,604			17,599			16,347			14,304			17,664
Proxy fees		375			695			540			547			757			536			593
Shareholder reporting fees		81			4,765			537			11,347			7,870			780			11,449
Directors' fees (Note 3)		135			8,749			976			20,886			14,399			1,428			20,911
		32,236			1,381,369			156,918			3,097,505			2,368,598			78,348			3,222,427
Administration fees (Note 3):
Class A		78			72,503			7,828			271,646			221,547			76,825			412,319
Class L		633			540,556			4,577			461,404			341,537			38,742			314,502
Class Y		37			14,334			10,336			79,544			53,899			5,552			109,347
Class S		1,186			51,200			18,301			121,981			114,725			34,119			147,991
Class N		86			5,882			2			1,724			1,815			1,513			3,418
Distribution fees (Note 3):
Class N		62			3,207			2			1,240			1,150			561			2,223
Service fees (Note 3):
Class A		65			44,371			5,546			228,274			160,821			30,760			308,252
Class N		62			3,207			2			1,240			1,150			561			2,223
Total expenses		34,445			2,116,629			203,512			4,264,558			3,265,242			266,981			4,522,702
Expenses waived (Note 3)		(9,778	)		(96,722	)		-			-			(125,570	)		-			-
Net expenses		24,667			2,019,907			203,512			4,264,558			3,139,672			266,981			4,522,702
Net investment income (loss)		11,817			229,307			(63,286	)		2,019,714			(2,328,084	)		(111,493	)		12,363,833
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		(64,441	)		20,734,142			3,396,331			27,758,590			12,931,439			1,944,810			43,888,756
Closed futures contracts		-			-			-			(367,183	)		-			(113,654	)		-
Foreign currency transactions		-			(33,579	)		-			-			-			-			-
Net realized gain (loss)		(64,441	)		20,700,563			3,396,331			27,391,407			12,931,439			1,831,156			43,888,756
Net change in unrealized appreciation (depreciation) on:
Investments		(359,735	)		(28,411,570	)		(6,167,039	)		(75,747,996	)		(73,349,286	)		(4,009,508	)		(34,802,643	)
Open futures contracts		-			-			-			504,811			-			9,604			-
Translation of assets and liabilities in foreign currencies		-			1,298			-			6			-			-			-
Net unrealized gain (loss)		(359,735	)		(28,410,272	)		(6,167,039	)		(75,243,179	)		(73,349,286	)		(3,999,904	)		(34,802,643	)
Net realized and unrealized gain (loss)		(424,176	)		(7,709,709	)		(2,770,708	)		(47,851,772	)		(60,417,847	)		(2,168,748	)		9,086,113
Net increase (decrease) in net assets resulting from operations	$	(412,359	)	$	(7,480,402	)	$	(2,833,994	)	$	(45,832,058	)	$	(62,745,931	)	$	(2,280,241	)	$	21,449,946

(a) Net of withholding tax of:

(34

)

46,326

1,591

18,309

1,040

* Fund commenced operations on March 31, 2006.

The accompanying notes are an integral part of the financial statements.

186

187

MassMutual Select Funds – Financial Statements (Continued)

Statement of Operations

For the Six Months Ended June 30, 2006 (Unaudited)

	MassMutual Select Small Cap Value Equity Fund*			MassMutual Select Small Company Value Fund		MassMutual Select Small Cap Core Equity Fund*			MassMutual Select Mid Cap Growth Equity Fund			MassMutual Select Mid Cap Growth Equity II Fund			MassMutual Select Small Cap Growth Equity Fund			MassMutual Select Small Company Growth Fund
Investment income (Note 2):
Dividends(a)	$	40,056		$	3,848,236	$	29,151		$	1,143,684		$	7,838,772		$	1,251,176		$	160,987
Interest		8,766			508,915		995			105,853			728,242			949,993			68,933
Securities lending income		-			133,427		-			11,902			376,951			240,048			131,810
Total investment income		48,822			4,490,578		30,146			1,261,439			8,943,965			2,441,217			361,730
Expenses (Note 3):
Investment management fees (Note 3)		18,661			2,940,469		18,956			702,025			4,958,003			2,687,757			707,921
Custody fees		12,669			65,628		3,660			14,519			98,763			74,199			62,268
Trustee reporting		800			2,458		800			1,346			1,342			2,458			2,486
Audit and legal fees		8,883			16,126		8,883			14,400			19,009			16,227			14,043
Proxy fees		375			778		375			567			547			694			591
Shareholder reporting fees		81			7,783		81			2,283			15,933			7,683			1,898
Directors' fees (Note 3)		135			14,324		135			4,215			29,197			14,131			3,503
		41,604			3,047,566		32,890			739,355			5,122,794			2,803,149			792,710
Administration fees (Note 3):
Class A		74			256,810		78			58,581			530,123			228,564			117,032
Class L		74			258,529		74			74,819			877,417			206,730			63,520
Class Y		37			145,639		149			20,404			142,806			157,415			29,545
Class S		1,193			223,852		1,177			38,352			121,793			187,210			25,802
Class N		86			2,877		86			436			3,701			2,265			2,031
Distribution fees (Note 3):
Class N		62			1,757		61			305			2,471			1,238			1,272
Service fees (Note 3):
Class A		62			178,687		65			47,627			408,541			140,224			83,810
Class N		62			1,757		61			305			2,471			1,238			1,272
Total expenses		43,254			4,117,474		34,641			980,184			7,212,117			3,728,033			1,116,994
Expenses waived (Note 3)		(19,260	)		-		(10,230	)		-			-			-			-
Net expenses		23,994			4,117,474		24,411			980,184			7,212,117			3,728,033			1,116,994
Net investment income (loss)		24,828			373,104		5,735			281,255			1,731,848			(1,286,816	)		(755,264	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		(23,475	)		29,587,442		(324,628	)		11,332,661			57,676,368			45,320,062			7,888,608
Closed futures contracts		(44,518	)		-		-			-			-			-			-
Foreign currency transactions		-			-		-			-			2,313			(11,269	)		-
Net realized gain (loss)		(67,993	)		29,587,442		(324,628	)		11,332,661			57,678,681			45,308,793			7,888,608
Net change in unrealized appreciation (depreciation) on:
Investments		(178,049	)		22,413,357		(188,030	)		(3,041,127	)		(45,636,347	)		(20,291,838	)		(3,266,093	)
Open futures contracts		19,829			-		-			-			-			-			-
Translation of assets and liabilities in foreign currencies		-			-		-			-			69			704			-
Net unrealized gain (loss)		(158,220	)		22,413,357		(188,030	)		(3,041,127	)		(45,636,278	)		(20,291,134	)		(3,266,093	)
Net realized and unrealized gain (loss)		(226,213	)		52,000,799		(512,658	)		8,291,534			12,042,403			25,017,659			4,622,515
Net increase (decrease) in net assets resulting from operations	$	(201,385	)	$	52,373,903	$	(506,923	)	$	8,572,789		$	13,774,251		$	23,730,843		$	3,867,251

(a) Net of withholding tax of:

417

1,928

24,928

6,000

* Fund commenced operations on March 31, 2006.

The accompanying notes are an integral part of the financial statements.

188

189

MassMutual Select Funds – Financial Statements (Continued)

Statement of Operations

For the Six Months Ended June 30, 2006 (Unaudited)

	MassMutual Select Emerging Growth Fund			MassMutual Select Overseas Fund			MassMutual Select Destination Retirement Income Fund			MassMutual Select Destination Retirement 2010 Fund			MassMutual Select Destination Retirement 2020 Fund			MassMutual SelectDestination Retirement 2030 Fund			MassMutual Select Destination Retirement 2040 Fund
Investment income (Note 2):
Dividends(a)	$	49,780		$	23,530,715		$	-		$	-		$	-		$	-		$	-
Dividend from affiliated issuers		-			-			262,907			125,889			-			-			-
Interest		139,625			531,857			-			-			-			-			-
Securities lending income		65,311			440,411			-			-			-			-			-
Total investment income		254,716			24,502,983			262,907			125,889			-			-			-
Expenses (Note 3):
Investment management fees (Note 3)		528,220			4,861,150			63,936			31,710			117,453			83,589			50,705
Custody fees		36,308			558,912			9,314			11,421			12,455			12,513			10,485
Trustee reporting		1,346			2,458			1,347			1,347			1,345			1,347			1,345
Audit and legal fees		14,210			17,514			13,647			12,975			14,375			13,837			13,302
Proxy fees		693			591			526			526			526			526			526
Shareholder reporting fees		1,669			12,554			3,167			1,417			5,553			3,886			2,292
Directors' fees (Note 3)		3,075			20,334			5,803			2,605			10,172			7,134			4,202
		585,521			5,473,513			97,740			62,001			161,879			122,832			82,857
Administration fees (Note 3):
Class A		27,523			276,676			31,337			32,136			88,499			64,664			25,495
Class L		104,430			279,131			70,572			29,921			215,976			163,517			95,235
Class Y		4,828			79,059			24,718			13,873			29,046			15,106			6,256
Class S		20,844			77,000			824			1,338			6,003			3,453			1,910
Class N		341			2,794			105			148			282			188			167
Distribution fees (Note 3):
Class N		223			2,373			133			169			313			211			197
Service fees (Note 3):
Class A		20,576			283,131			53,696			47,371			125,852			93,284			39,441
Class N		222			2,373			133			169			313			211			197
Total expenses		764,508			6,476,050			279,258			187,126			628,163			463,466			251,755
Expenses waived (Note 3)		-			-			-			(11,011	)		-			-			-
Class A Administration fees waived (Note 3)		-			(60,966	)		-			-			-			-			-
Class L Administration fees waived (Note 3)		-			(61,274	)		-			-			-			-			-
Class N Administration fees waived (Note 3)		-			(505	)		-			-			-			-			-
Net expenses		764,508			6,353,305			279,258			176,115			628,163			463,466			251,755
Net investment income (loss)		(509,792	)		18,149,678			(16,351	)		(50,226	)		(628,163	)		(463,466	)		(251,755	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		10,711,845			58,526,825			-			-			-			-			-
Investment transactions with affiliated issuers		-			-			408,403			97,378			2,143,643			2,698,173			2,299,303
Foreign currency transactions		-			(1,475,634	)		-			-			-			-			-
Net realized gain (loss)		10,711,845			57,051,191			408,403			97,378			2,143,643			2,698,173			2,299,303
Net change in unrealized appreciation (depreciation) on:
Investments		(6,043,404	)		20,885,024			103,215			330,408			117,277			955,439			422,023
Translation of assets and liabilities in foreign currencies		-			(13,643	)		-			-			-			-			-
Net unrealized gain (loss)		(6,043,404	)		20,871,381			103,215			330,408			117,277			955,439			422,023
Net realized and unrealized gain (loss)		4,668,441			77,922,572			511,618			427,786			2,260,920			3,653,612			2,721,326
Net increase (decrease) in net assets resulting from operations	$	4,158,649		$	96,072,250		$	495,267		$	377,560		$	1,632,757		$	3,190,146		$	2,469,571

(a) Net of withholding tax of:

1,622,863

The accompanying notes are an integral part of the financial statements.

190

191

MassMutual Select Funds – Financial Statements (Continued)

Statement of Changes in Net Assets

	MassMutual Select Strategic Bond Fund						MassMutual Select Strategic Balanced Fund						MassMutual Select Diversified Value Fund						MassMutual Select Fundamental Value Fund
	Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	4,022,533		$	2,380,986		$	2,628,469		$	4,039,563		$	3,044,068		$	3,771,569		$	6,098,291		$	11,680,878
Net realized gain (loss) on investment transactions		(1,442,769	)		(1,065,142	)		350,948			2,823,256			11,931,565			6,585,611			53,401,744			29,708,134
Net change in unrealized appreciation (depreciation) on investments		(5,213,756	)		(108,980	)		1,383,372			1,319,775			3,842,066			4,579,594			11,691,321			25,619,113
Net increase (decrease) in net assets resulting from operations		(2,633,992	)		1,206,864			4,362,789			8,182,594			18,817,699			14,936,774			71,191,356			67,008,125
Distributions to shareholders (Note 2):
From net investment income:
Class A		-			(342,236	)		-			(430,553	)		-			(311,691	)		-			(2,372,146	)
Class L		-			(68,904	)		-			(2,053,931	)		-			(336,293	)		-			(2,662,089	)
Class Y		-			(1,037,693	)		-			(1,683,636	)		-			(733,054	)		-			(1,043,210	)
Class S		-			(1,081,367	)		-			(342,793	)		-			(2,403,726	)		-			(5,579,634	)
Class Z		-			-			-			-			-			-			-			-
Class N		-			(2,877	)		-			(6,465	)		-			(1,053	)		-			(14,742	)
Total distributions from net investment income		-			(2,533,077	)		-			(4,517,378	)		-			3,785,817			-			(11,671,821	)
From net realized gains:
Class A		-			-			-			(147,178	)		-			(570,517	)		-			(5,791,123	)
Class L		-			-			-			(567,589	)		-			(573,938	)		-			(5,289,113	)
Class Y		-			-			-			(437,120	)		-			(972,003	)		-			(1,939,795	)
Class S		-			-			-			(85,609	)		-			(3,628,119	)		-			(9,498,076	)
Class N		-			-			-			(2,378	)		-			(3,947	)		-			(48,776	)
Total distributions from net realized gains		-			-			-			(1,239,874	)		-			(5,748,524	)		-			(22,566,883	)
Net fund share transactions (Note 5):
Class A		9,182,956			20,867,007			1,670,815			(7,192,905	)		12,211,312			24,553,255			(7,804,639	)		29,648,337
Class L		1,470,613			3,855,702			(11,789,301	)		(4,795,954	)		10,096,386			8,319,449			42,794,841			(13,052,664	)
Class Y		32,519,735			60,098,842			6,101,618			(21,959,573	)		46,743,403			55,782,020			4,324,974			(39,395,750	)
Class S		898,774			13,154,159			431,789			1,728,230			(2,896,504	)		8,666,050			24,359,917			79,996,127
Class Z		-			-			-			-			-			-			-			-
Class N		1,473,130			108,343			5,599			(6,706	)		886,106			(46,321	)		(899,190	)		291,208
Increase (decrease) in net assets from fund share transactions		45,545,208			98,084,053			(3,579,480	)		(32,226,908	)		67,040,703			97,274,453			62,775,903			57,487,258
Total increase (decrease) in net assets		42,911,216			96,757,840			783,309			(29,801,566	)		85,858,402			102,676,886			133,967,259			90,256,679
Net assets:
Beginning of period		146,758,340			50,000,500			221,007,826			250,809,392			302,956,307			200,279,421			989,840,177			899,583,498
End of period	$	189,669,556		$	146,758,340		$	221,791,135		$	221,007,826		$	388,814,709		$	302,956,307		$	1,123,807,436		$	989,840,177
Undistributed net investment income (distributions in excess of net investment income) included in net assets at the end of the year	$	4,007,822		$	(14,711	)	$	2,586,408		$	(42,061	)	$	3,040,058		$	(4,010	)	$	6,097,415		$	(876	)

The accompanying notes are an integral part of the financial statements.

192

193

MassMutual Select Funds – Financial Statements (Continued)

Statement of Changes in Net Assets

	MassMutual Select Value Equity Fund						MassMutual Select Large Cap Value Fund						MassMutual Select Indexed Equity Fund						MassMutual Select Core Opportunities Fund
	Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Period Ended June 30, 2006* (Unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	374,382		$	591,566		$	5,518,053		$	9,506,053		$	14,829,552		$	25,899,195		$	11,817
Net realized gain (loss) on investment transactions		6,744,369			8,977,601			8,970,830			8,151,161			1,487,836			295,182			(64,441	)
Net change in unrealized appreciation (depreciation) on investments		(3,735,862	)		(584,616	)		28,221,003			102,411,217			32,557,467			56,230,335			(359,735	)
Net increase (decrease) in net assets resulting from operations		3,382,889			8,984,551			42,709,886			120,068,431			48,874,855			82,424,712			(412,359	)
Distributions to shareholders (Note 2):
From net investment income:
Class A		-			(93,905	)		-			(1,568,896	)		-			(2,686,882	)		-
Class L		-			(49,122	)		-			(2,452,234	)		-			(3,734,937	)		-
Class Y		-			(28,354	)		-			(1,149,099	)		-			(6,163,443	)		-
Class S		-			(409,121	)		-			(4,828,320	)		-			(8,944,597	)		-
Class Z		-			-			-			-			-			(3,917,901	)		-
Class N		-			(134	)		-			(2,537	)		-			(39,746	)		-
Total distributions from net investment income		-			(580,636	)		-			(10,001,086	)		-			(25,487,506	)		-
From net realized gains:
Class A		-			(2,544,412	)		-			-			-			-			-
Class L		-			(780,846	)		-			-			-			-			-
Class Y		-			(364,717	)		-			-			-			-			-
Class S		-			(4,883,438	)		-			-			-			-			-
Class N		-			(27,613	)		-			-			-			-			-
Total distributions from net realized gains		-			(8,601,026	)		-			-			-			-			-
Net fund share transactions (Note 5):
Class A		(152,711	)		3,339,603			6,680,889			60,927,871			(8,131,001	)		(12,985,153	)		831,556
Class L		(187,493	)		1,310,289			(36,518,578	)		24,532,700			13,538,628			55,546,512			1,254,324
Class Y		333,820			1,260,705			41,129,126			6,624,216			(20,680,227	)		33,790,225			100,100
Class S		(2,282,293	)		4,059,226			19,802,631			67,795,890			(54,607,389	)		(67,371,379	)		9,600,100
Class Z		-			-			-			-			50,750,554			115,208,351			-
Class N		-			(142,815	)		82,426			(846,677	)		(16,391	)		911,459			100,100
Increase (decrease) in net assets from fund share transactions		(2,288,677	)		9,827,008			31,176,494			159,034,000			(19,145,826	)		125,100,015			11,886,180

Total increase (decrease) in net assets

1,094,212

9,629,897

73,886,380

269,101,345

29,729,029

182,037,221

11,473,821

Net assets:

Beginning of period		97,727,596		88,097,699			1,419,812,531		1,150,711,186		1,954,565,942		1,772,528,721		-
End of period	$	98,821,808	$	97,727,596		$	1,493,698,911	$	1,419,812,531	$	1,984,294,971	$	1,954,565,942	$	11,473,821
Undistributed net investment income (distributions in excess of net investment income) included in net assets at the end of the year	$	373,510	$	(872	)	$	5,703,405	$	185,352	$	15,068,410	$	238,858	$	11,817

* Fund commenced operations on March 31, 2006.

The accompanying notes are an integral part of the financial statements.

194

195

MassMutual Select Funds – Financial Statements (Continued)

Statement of Changes in Net Assets

	MassMutual Select Blue Chip Growth Fund						MassMutual Select Large Cap Growth Fund						MassMutual Select Growth Equity Fund						MassMutual Select Aggressive Growth Fund
	Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	229,307		$	267,521		$	(63,286	)	$	(89,608	)	$	2,019,714		$	2,685,574		$	(2,328,084	)	$	(3,673,799	)
Net realized gain (loss) on investment transactions		20,700,563			3,326,881			3,396,331			2,493,286			27,391,407			28,964,576			12,931,439			5,764,566
Net change in unrealized appreciation (depreciation) on investments		(28,410,272	)		8,576,144			(6,167,039	)		1,848,966			(75,243,179	)		1,460,964			(73,349,286	)		47,189,568
Net increase (decrease) in net assets resulting from operations		(7,480,402	)		12,170,546			(2,833,994	)		4,252,644			(45,832,058	)		33,111,114			(62,745,931	)		49,280,335
Distributions to shareholders (Note 2):
From net investment income:
Class A		-			-			-			-			-			(60,482	)		-			-
Class L		-			(64,479	)		-			-			-			(813,516	)		-			-
Class Y		-			(7,874	)		-			-			-			(469,363	)		-			-
Class S		-			(199,883	)		-			-			-			(1,267,551	)		-			-
Total distributions from net investment income		-			(272,236	)		-			-			-			(2,610,912	)		-			-
From net realized gains:
Class A		-			-			-			-			-			-			-			-
Class L		-			-			-			-			-			-			-			-
Class Y		-			-			-			-			-			-			-			-
Class S		-			-			-			-			-			-			-			-
Class N		-			-			-			-			-			-			-			-
Total distributions from net realized gains		-			-			-			-			-			-			-			-
Net fund share transactions (Note 5):
Class A		(1,468,563	)		(1,854,478	)		3,325,148			1,118,727			(75,503,420	)		(3,388,645	)		(5,578,650	)		9,254,957
Class L		3,068,159			(39,940,194	)		1,454,913			(7,945,778	)		63,469,610			4,982,540			50,158,050			25,043,026
Class Y		36,234,911			266,870			(2,143,166	)		1,532,071			(40,839,453	)		(1,196,928	)		14,605,578			6,932,778
Class S		(11,320,854	)		(9,637,642	)		(7,250,190	)		4,755,246			26,284,134			30,287,831			19,591,016			22,455,628
Class N		1,243,915			(290,832	)		-			(4,003	)		(1,161,954	)		(224,315	)		(72,532	)		(154,129	)
Increase (decrease) in net assets from fund share transactions		27,757,568			(51,456,276	)		(4,613,295	)		(543,737	)		(27,751,083	)		30,460,483			78,703,462			63,532,260
Total increase (decrease) in net assets		20,277,166			(39,557,966	)		(7,447,289	)		3,708,907			(73,583,141	)		60,960,685			15,957,531			112,812,595
Net assets:
Beginning of period		385,140,894			424,698,860			42,825,755			39,116,848			905,907,845			844,947,160			614,102,082			501,289,487
End of period	$	405,418,060		$	385,140,894		$	35,378,466		$	42,825,755		$	832,324,704		$	905,907,845		$	630,059,613		$	614,102,082
Undistributed net investment income (distributions in excess of net investment income) included in net assets at the end of the year	$	227,426		$	(1,881	)	$	(63,878	)	$	(592	)	$	2,059,599		$	39,885		$	(2,281,155	)	$	46,929

The accompanying notes are an integral part of the financial statements.

196

197

MassMutual Select Funds – Financial Statements (Continued)

Statement of Changes in Net Assets

	MassMutual Select OTC 100 Fund						MassMutual Select Focused Value Fund						MassMutual Select Mid Cap Growth Equity II Fund						MassMutual Select Small Cap Growth Equity Fund
	Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(111,493	)	$	(172,088	)	$	12,363,833		$	2,536,210		$	1,731,848		$	(4,259,388	)	$	(1,286,816	)	$	(2,378,090	)
Net realized gain (loss) on investment transactions		1,831,156			3,922,576			43,888,756			71,577,426			57,678,681			60,099,532			45,308,793			40,597,886
Net change in unrealized appreciation (depreciation) on investments		(3,999,904	)		(3,763,145	)		(34,802,643	)		(46,054,030	)		(45,636,278	)		74,121,137			(20,291,134	)		18,136,683
Net increase (decrease) in net assets resulting from operations		(2,280,241	)		(12,657	)		21,449,946			28,059,606			13,774,251			129,961,281			23,730,843			56,356,479
Distributions to shareholders (Note 2):
From net investment income:
Class A		-			-			-			(129,217	)		-			(12,815,709	)		-			-
Class L		-			-			-			(546,015	)		-			(20,803,086	)		-			-
Class Y		-			-			-			(501,460	)		-			(5,656,274	)		-			-
Class S		-			-			-			(1,847,519	)		-			(10,961,612	)		-			-
Class N		-			-			-			-			-			(73,587	)		-			-
Total distributions from net investment income		-			-			-			(3,024,211	)		-			(50,310,268	)		-			-
From net realized gains:
Class A		-			-			-			(22,263,955	)		-			-			-			-
Class L		-			-			-			(15,772,380	)		-			-			-			-
Class Y		-			-			-			(9,888,129	)		-			-			-			-
Class S		-			-			-			(30,462,036	)		-			-			-			-
Class N		-			-			-			(180,428	)		-			-			-			-
Total distributions from net realized gains		-			-			-			(78,566,928	)		-			-			-			-
Net fund share transactions (Note 5):
Class A		(3,165,145	)		(5,873,246	)		(17,580,590	)		38,167,464			11,992,115			81,679,580			13,213,603			12,673,439
Class L		(2,485,411	)		(311,897	)		309,971			28,119,866			35,156,773			71,154,725			(16,482,152	)		7,539,532
Class Y		(836,950	)		(1,111,054	)		(2,121,706	)		28,472,905			22,547,561			30,727,568			33,630,671			(7,593,827	)
Class S		(2,344,889	)		(6,374,810	)		(20,666,630	)		49,092,551			7,844,645			50,385,601			22,223,222			20,504,783
Class N		(6,464	)		17,729			234,256			932,351			669,617			556,973			30,792			29,440
Increase (decrease) in net assets from fund share transactions		(8,838,859	)		(13,653,278	)		(39,824,699	)		144,785,137			78,210,711			234,504,447			52,616,136			33,153,367
Total increase (decrease) in net assets		(11,119,100	)		(13,665,935	)		(18,374,753	)		91,253,604			91,984,962			314,155,460			76,346,979			89,509,846
Net assets:
Beginning of period		61,700,161			75,366,096			905,855,454			814,601,850			1,233,493,045			919,337,585			593,491,689			503,981,843
End of period	$	50,581,061		$	61,700,161		$	887,480,701		$	905,855,454		$	1,325,478,007		$	1,233,493,045		$	669,838,668		$	593,491,689
Undistributed net investment income (distributions in excess of net investment income) included in net assets at the end of the year	$	(101,838	)	$	9,655		$	12,341,992		$	(21,841	)	$	1,709,074		$	(22,774	)	$	(1,303,352	)	$	(16,536	)

The accompanying notes are an integral part of the financial statements.

198

199

MassMutual Select Funds – Financial Statements (Continued)

Statement of Changes in Net Assets

	MassMutual Select Small Company Growth Fund						MassMutual Select Small Cap Value Equity Fund			MassMutual Select Small Company Value Fund						MassMutual Select Small Cap Core Equity Fund			MassMutual Select Mid Cap Growth Equity Fund
	Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Period Ended June 30, 2006* (Unaudited)			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Period Ended June 30, 2006* (Unaudited)			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(755,264	)	$	(1,435,439	)	$	24,828		$	373,104		$	217,669		$	5,735		$	281,255		$	(422,710	)
Net realized gain (loss) on investment transactions		7,888,608			2,810,089			(67,993	)		29,587,442			25,737,990			(324,628	)		11,332,661			16,225,009
Net change in unrealized appreciation (depreciation) on investments		(3,266,093	)		5,454,661			(158,220	)		22,413,357			282,773			(188,030	)		(3,041,127	)		2,068,720
Net increase (decrease) in net assets resulting from operations		3,867,251			(4,080,011	)		(201,385	)		52,373,903			26,238,432			(506,923	)		8,572,789			17,871,019
Distributions to shareholders (Note 2):
From net realized gains:
Class A		-			(1,516,455	)		-			-			(5,943,592	)		-			-			-
Class L		-			(664,297	)		-			-			(5,478,825	)		-			-			-
Class Y		-			(657,684	)		-			-			(4,303,502	)		-			-			-
Class S		-			(559,268	)		-			-			(9,472,764	)		-			-			-
Class N		-			(25,785	)		-			-			(55,816	)		-			-			-
Total distributions from net realized gains		-			(3,423,489	)		-			-			(25,254,499	)		-			-			-
Net fund share transactions (Note 5):
Class A		4,160,696			(2,135,735	)		100,100			5,653,334			21,041,121			123,752			2,997,010			855,153
Class L		6,150,148			(12,283,454	)		100,100			14,460,328			8,906,998			136,912			(861,167	)		(1,873,476	)
Class Y		(8,482,360	)		(11,533,610	)		100,100			55,796,777			(2,843,056	)		1,137,708			3,872,719			3,344,355
Class S		9,832,489			(2,224,039	)		11,145,395			53,895,878			32,086,401			9,600,100			9,577,667			13,108,475
Class N		(194,335	)		51,508			100,100			(78,299	)		339,616			100,100			71,540			217
Increase (decrease) in net assets from fund share transactions		11,466,638			(28,125,330	)		11,545,795			129,728,018			59,531,080			11,098,572			15,657,769			15,434,724
Total increase (decrease) in net assets		15,333,889			(35,628,830	)		11,344,410			182,101,921			60,515,013			10,591,649			24,230,558			33,305,743
Net assets:
Beginning of period		144,345,826			179,974,656			-			582,954,148			522,439,135			-			168,593,693			135,287,950
End of period	$	159,679,715		$	144,345,826		$	11,344,410		$	765,056,069		$	582,954,148		$	10,591,649		$	192,824,251		$	168,593,693
Undistributed net investment income (distributions in excess of net investment income) included in net assets at the end of the year	$	(759,138	)	$	(3,874	)	$	24,828		$	1,001,341		$	628,237		$	5,735		$	274,444		$	(6,811	)

* Fund commenced operations on March 31, 2006.

The accompanying notes are an integral part of the financial statements.

200

201

MassMutual Select Funds – Financial Statements (Continued)

Statement of Changes in Net Assets

	MassMutual Select Emerging Growth Fund						MassMutual Select Overseas Fund					MassMutual Select Destination Retirement Income Fund						MassMutual Select Destination Retirement 2010 Fund
	Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Six Months Ended June 30, 2006 (Unaudited)		Year Ended December 31, 2005			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(509,792	)	$	(1,024,800	)	$	18,149,678	$	6,769,490		$	(16,351	)	$	8,159,890		$	(50,226	)	$	2,929,119
Net realized gain (loss) on investment transactions		10,711,845			10,110,141			57,051,191		80,201,610			408,403			3,464,486			97,378			2,331,996
Net change in unrealized appreciation (depreciation) on investments		(6,043,404	)		(8,040,745	)		20,871,381		(5,807,089	)		103,215			(4,647,067	)		330,408			(1,832,592	)
Net increase (decrease) in net assets resulting from operations		4,158,649			1,044,596			96,072,250		81,164,011			495,267			6,977,309			377,560			3,428,523
Distributions to shareholders (Note 2):
From net investment income:
Class A		-			-			-		(2,854,223	)		-			(1,323,726	)		-			(869,889	)
Class L		-			-			-		(3,470,917	)		-			(3,501,979	)		-			(1,056,482	)
Class Y		-			-			-		(2,316,757	)		-			(3,717,136	)		-			(934,223	)
Class S		-			-			-		(5,707,125	)		-			(158,967	)		-			(376,371	)
Class N		-			-			-		(20,367	)		-			(3,141	)		-			(3,424	)
Total distributions from net investment income		-			-			-		(14,369,389	)		-			(8,704,949	)		-			(3,240,389	)
From net realized gains:
Class A		-			-			-		(16,904,250	)		-			(256,810	)		-			(155,411	)
Class L		-			-			-		(17,918,062	)		-			(801,214	)		-			(184,574	)
Class Y		-			-			-		(10,900,232	)		-			(769,250	)		-			(159,464	)
Class S		-			-			-		(26,144,087	)		-			(26,946	)		-			(60,535	)
Class N		-			-			-		(147,404	)		-			(842	)		-			(723	)
Total distributions from net realized gains		-			-			-		(72,014,035	)		-			(1,855,062	)		-			(560,707	)
Net fund share transactions (Note 5):
Class A		941,972			(11,815,637	)		27,893,129		64,637,331			5,985,681			29,313,445			15,495,999			23,208,765
Class L		(14,912,127	)		(2,069,057	)		30,737,190		35,307,207			(6,264,199	)		5,692,816			1,872,873			12,708,691
Class Y		165,053			175,729			39,810,833		37,955,448			2,784,282			26,488,324			14,361,195			24,880,272
Class S		7,228,757			2,115,434			31,306,497		99,096,780			2,823,131			3,347,968			1,189,062			9,928,092
Class N		-			(1	)		45,170		813,739			15,964			1,945			6,386			26,543
Increase (decrease) in net assets from fund share transactions		(6,576,345	)		(11,593,532	)		129,792,819		237,810,505			5,344,859			64,844,498			32,925,515			70,752,363
Total increase (decrease) in net assets		(2,417,696	)		(10,548,936	)		225,865,069		232,591,092			5,840,126			61,261,796			33,303,075			70,379,790
Net assets:
Beginning of period		126,251,305			136,800,241			849,388,368		616,797,276			252,828,309			191,566,513			108,562,256			38,182,466
End of period	$	123,833,609		$	126,251,305		$	1,075,253,437	$	849,388,368		$	258,668,435		$	252,828,309		$	141,865,331		$	108,562,256
Undistributed net investment income (distributions in excess of net investment income) included in net assets at the end of the year	$	(514,862	)	$	(5,070	)	$	18,108,932	$	(40,746	)	$	(19,746	)	$	(3,395	)	$	(51,014	)	$	(788	)

The accompanying notes are an integral part of the financial statements.

202

203

MassMutual Select Funds – Financial Statements (Continued)

Statement of Changes in Net Assets

	MassMutual Select Destination Retirement 2020 Fund						MassMutual Select Destination Retirement 2030 Fund						MassMutual Select Destination Retirement 2040 Fund
	Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005			Six Months Ended June 30, 2006 (Unaudited)			Year Ended December 31, 2005
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(628,163	)	$	9,110,238		$	(463,466	)	$	3,489,479		$	(251,755	)	$	953,136
Net realized gain (loss) on investment transactions		2,143,643			14,151,788			2,698,173			10,559,898			2,299,303			7,059,596
Net change in unrealized appreciation (depreciation) on investments		117,277			(3,036,359	)		955,439			2,961,392			422,023			2,085,182
Net increase (decrease) in net assets resulting from operations		1,632,757			20,225,667			3,190,146			17,010,769			2,469,571			10,097,914
Distributions to shareholders (Note 2):
From net investment income:
Class A		-			(2,127,995	)		-			(956,366	)		-			(253,728	)
Class L		-			(5,891,386	)		-			(2,919,055	)		-			(1,131,929	)
Class Y		-			(1,706,889	)		-			(585,844	)		-			(98,447	)
Class S		-			(931,744	)		-			(322,484	)		-			(329,216	)
Class N		-			(5,049	)		-			(1,962	)		-			(911	)
Total distributions from net investment income		-			(10,663,063	)		-			(4,785,711	)		-			(1,814,231	)
From net realized gains:
Class A		-			(953,611	)		-			(736,225	)		-			(418,704	)
Class L		-			(2,714,789	)		-			(2,391,371	)		-			(1,885,024	)
Class Y		-			(721,793	)		-			(371,980	)		-			(115,830	)
Class S		-			(385,665	)		-			(196,980	)		-			(328,170	)
Class N		-			(2,734	)		-			(2,093	)		-			(2,407	)
Total distributions from net realized gains		-			(4,778,592	)		-			(3,698,649	)		-			(2,750,135	)
Net fund share transactions (Note 5):
Class A		24,500,600			67,225,245			21,773,842			40,172,488			7,559,061			19,572,005
Class L		14,870,953			21,613,892			10,669,478			6,510,573			14,726,388			1,440,119
Class Y		15,507,076			55,083,473			12,150,914			29,947,392			15,310,564			7,539,775
Class S		13,801,409			23,420,403			13,297,641			13,825,455			5,668,782			25,786,914
Class N		17,675			121,627			9,152			43,095			28,719			23,549
Increase (decrease) in net assets from fund share transactions		68,697,713			167,464,640			57,901,027			90,499,003			43,293,514			54,362,362
Total increase (decrease) in net assets		70,330,470			172,248,652			61,091,173			99,025,412			45,763,085			59,895,910
Net assets:
Beginning of period		428,672,175			256,423,523			296,142,654			197,117,242			170,247,938			110,352,028
End of period	$	499,002,645		$	428,672,175		$	357,233,827		$	296,142,654		$	216,011,023		$	170,247,938
Undistributed net investment income (distributions in excess of net investment income) included in net assets at the end of the year	$	(633,025	)	$	(4,862	)	$	(467,004	)	$	(3,538	)	$	(253,755	)	$	(2,000	)

The accompanying notes are an integral part of the financial statements.

204

205

MassMutual Select Strategic Bond Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Period ended 12/31/04+
Net asset value, beginning of period	$	9.97		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income		0.21	***		0.33	***		0.00
Net realized and unrealized loss on investments		(0.36	)		(0.19	)		0.00
Total income (loss) from investment operations		(0.15	)		0.14			0.00
Less distributions to shareholders:
From net investment income		-			(0.17	)		-
Net asset value, end of period	$	9.82		$	9.97		$	10.00
Total Return(a)		(1.50	)% (b)**		1.37	% (b)		0.00	%‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	29,492		$	20,689		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		1.11	% *		1.21	%		-	‡
After expense waiver		0.96	% *#		1.00	% #		N/A‡
Net investment income to average daily net assets		4.25	% *		3.25	%		0.00	%‡
Portfolio turnover rate		137	% **		566	%		N/A
	Class L
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Period ended 12/31/04+
Net asset value, beginning of period	$	9.98		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income		0.22	***		0.39	***		0.00
Net realized and unrealized loss on investments		(0.35	)		(0.23	)		0.00
Total income (loss) from investment operations		(0.13	)		0.16			0.00
Less distributions to shareholders:
From net investment income		-			(0.18	)		-
Net asset value, end of period	$	9.85		$	9.98		$	10.00
Total Return(a)		(1.30	)% **		1.57	%		0.00	%‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	5,326		$	3,933		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		0.85	% *		0.96	%		-	‡
After expense waiver		0.70	% *#		0.75	% #		N/A‡
Net investment income to average daily net assets		4.53	% *		3.82	%		0.00	%‡
Portfolio turnover rate		137	% **		566	%		N/A

* Annualized.

** Percentage represents results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(a) 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 period presented if they reflected these charges.

(b) Total Return excludes a front-end sales charge and would be lower for the period presented if it reflected these charges.

+ The Fund commenced operations on December 31, 2004.

‡ Amounts are de minimus due to the short period of operations.

The accompanying notes are an integral part of the financial statements.

206

MassMutual Select Strategic Bond Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Period ended 12/31/04+
Net asset value, beginning of period	$	9.98		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income		0.22	***		0.37	***		0.00
Net realized and unrealized loss on investments		(0.35	)		(0.21	)		0.00
Total income (loss) from investment operations		(0.13	)		0.16			0.00
Less distributions to shareholders:
From net investment income		-			(0.18	)		-
Net asset value, end of period	$	9.85		$	9.98		$	10.00

Total Return(a)		(1.30	)% **		1.57	%		0.00	%‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	90,589		$	59,396		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		0.71	% *		0.81	%		-	‡
After expense waiver		N/A			0.75	% #		N/A ‡
Net investment income to average daily net assets		4.50	% *		3.64	%		0.00	%‡
Portfolio turnover rate		137	% **		566	%		N/A
	Class S
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Period ended 12/31/04+
Net asset value, beginning of period	$	9.99		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income		0.22	***		0.33	***		0.00
Net realized and unrealized loss on investments		(0.36	)		(0.16	)		0.00
Total income (loss) from investment operations		(0.14	)		0.17			0.00
Less distributions to shareholders:
From net investment income		-			(0.18	)		-
Net asset value, end of period	$	9.85		$	9.99		$	10.00

Total Return(a)		(1.40	)% **		1.65	%		0.00	%‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	62,579		$	62,533		$	49,596
Ratio of expenses to average daily net assets:
Before expense waiver		0.65	% *		0.76	%		-	‡
After expense waiver		N/A			0.70	% #		N/A‡
Net investment income to average daily net assets		4.50	% *		3.23	%		0.00	%‡
Portfolio turnover rate		137	% **		566	%		N/A

* Annualized.

** Percentage represents results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

+ The Fund commenced operations on December 31, 2004.

‡ Amounts are de minimus due to the short period of operations.

The accompanying notes are an integral part of the financial statements.

207

MassMutual Select Strategic Bond Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Period ended 12/31/04+
Net asset value, beginning of period	$	9.96		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income		0.20	***		0.28	***		0.00
Net realized and unrealized gain on investments		(0.36	)		(0.18	)		0.00
Total income from investment operations		(0.16	)		0.10			0.00
Less distributions to shareholders:
From net investment income		-			(0.14	)		-
Net asset value, end of period	$	9.80		$	9.96		$	10.00

Total Return(a)		(1.71	)% (b)**		0.99	% (b)		0.00	%‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	1,684		$	208		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		1.43	% *		1.51	%		-	‡
After expense waiver		1.28	% *#		1.30	% #		N/A‡
Net investment income to average daily net assets		4.10	% *		2.78	%		0.00	%‡
Portfolio turnover rate		137	% **		566	%		N/A

* Annualized.

** Percentage represents results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) Total Return excludes a contingent deferred sales charge and would be lower for the period presented if it reflected these charges.

+ The Fund commenced operations on December 31, 2004.

‡ Amounts are de minimus due to the short period of operations.

The accompanying notes are an integral part of the financial statements.

208

MassMutual Select Strategic Balanced Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Period ended 12/31/03+
Net asset value, beginning of period	$	10.56		$	10.45		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income		0.11	***		0.15	***		0.11	***		-
Net realized and unrealized gain on investments		0.08			0.20			0.42			-
Total income from investment operations		0.19			0.35			0.53			0.00
Less distributions to shareholders:
From net investment income		-			(0.18	)		(0.08	)		-
From net realized gains		-			(0.06	)		-			-
Total distributions		-			(0.24	)		(0.08	)		-
Net asset value, end of period	$	10.75		$	10.56		$	10.45		$	10.00

Total Return(a)		1.80	%(b)**		3.33	% (b)		5.34	% (b)		-	‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	28,384		$	26,267		$	32,987		$	1
Ratio of expenses to average daily net assets:
Before expense waiver		1.22	%*		1.23	%		1.24	%		-	‡
After expense waiver		1.21	%#*		1.21	% #		1.21	% (c)#		-	‡
Net investment income to average daily net assets		2.04	%*		1.40	%		1.10	%		-	‡
Portfolio turnover rate		60	%**		211	%		129	%		N/A
	Class L
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Period ended 12/31/03+
Net asset value, beginning of period	$	10.58		$	10.48		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income		0.12	***		0.18	***		0.13	***		-
Net realized and unrealized gain on investments		0.07			0.20			0.43			-
Total income from investment operations		0.19			0.38			0.56			0.00
Less distributions to shareholders:
From net investment income		-			(0.22	)		(0.08	)		-
From net realized gains		-			(0.06	)		-			-
Total distributions		-			(0.28	)		(0.08	)		-
Net asset value, end of period	$	10.77		$	10.58		$	10.48		$	10.00

Total Return(a)		1.80	%**		3.63	%		5.62	%		-	‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	91,418		$	101,151		$	104,995		$	1
Ratio of expenses to average daily net assets:
Before expense waiver		0.97	%*		0.98	%		0.98	%		-	‡
After expense waiver		0.96	%#*		0.96	% #		0.96	% (c)#		-	‡
Net investment income to average daily net assets		2.26	%*		1.68	%		1.28	%		-	‡
Portfolio turnover rate		60	%**		211	%		129	%		N/A

* Annualized.

** Percentage represents results for the period and are not annualized.

*** Per share amount calculated on the average share method.

† Effective January 1, 2005, brokerage commissions are included with realized gain or loss on investment transactions. Prior to January 1, 2005, these amounts were presented as a reduction of expenses. Prior year amounts have not been restated to reflect this change due to immateriality. (See Note 3).

+ The Fund commenced operations on December 31, 2003.

‡ Amounts are de minimis due to the short period of operations.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) Total Return excludes a front-end sales charge and would be lower for the years presented if it reflected these charges.

(c) The Fund has entered into an agreement with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

The accompanying notes are an integral part of the financial statements.

209

MassMutual Select Strategic Balanced Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Period ended 12/31/03+
Net asset value, beginning of period	$	10.58		$	10.48		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income		0.13	***		0.19	***		0.14	***		-
Net realized and unrealized gain on investments		0.07			0.20			0.43			-
Total income from investment operations		0.20			0.39			0.57			0.00
Less distributions to shareholders:
From net investment income		-			(0.23	)		(0.09	)		-
From net realized gains		-			(0.06	)		-			-
Total distributions		-			(0.29	)		(0.09	)		-
Net asset value, end of period	$	10.78		$	10.58		$	10.48		$	10.00

Total Return(a)		1.89	%**		3.76	%		5.74	%		-	‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	85,809		$	78,145		$	99,246		$	1
Ratio of expenses to average daily net assets:
Before expense waiver		0.82	%*		0.83	%		0.83	%		-	‡
After expense waiver		0.81	%#*		0.81	% #		0.81	% (c)#		-	‡
Net investment income to average daily net assets		2.43	%*		1.82	%		1.41	%		-	‡
Portfolio turnover rate		60	%**		211	%		129	%		N/A
	Class S
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Period ended 12/31/03+
Net asset value, beginning of period	$	10.58		$	10.49		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income		0.13	***		0.20	***		0.12	***		-
Net realized and unrealized gain on investments		0.08			0.19			0.47			-
Total income from investment operations		0.21			0.39			0.59			0.00
Less distributions to shareholders:
From net investment income		-			(0.24	)		(0.10	)		-
From net realized gains		-			(0.06	)		-			-
Total distributions		-			(0.30	)		(0.10	)		-
Net asset value, end of period	$	10.79		$	10.58		$	10.49		$	10.00

Total Return(a)		1.98	%**		3.85	%		5.76	%		-	‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	15,749		$	15,026		$	13,159		$	10,001
Ratio of expenses to average daily net assets:
Before expense waiver		0.77	%*		0.78	%		0.84	%		-	‡
After expense waiver		0.76	%#*		0.76	% #		0.76	% (c)#		-	‡
Net investment income to average daily net assets		2.49	%*		1.90	%		1.18	%		-	‡
Portfolio turnover rate		60	%**		211	%		129	%		N/A

* Annualized.

** Percentage represents results for the period and are not annualized.

*** Per share amount calculated on the average share method.

+ The Fund commenced operations on December 31, 2003.

‡ Amounts are de minimis due to the short period of operations.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(c) The Fund has entered into an agreement with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

The accompanying notes are an integral part of the financial statements.

210

MassMutual Select Strategic Balanced Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Period ended 12/31/03+
Net asset value, beginning of period	$	10.56		$	10.46		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income		0.09	***		0.12	***		0.08	***		-
Net realized and unrealized gain on investments		0.07			0.21			0.42			-
Total income from investment operations		0.16			0.33			0.50			0.00
Less distributions to shareholders:
From net investment income		-			(0.17	)		(0.04	)		-
From net realized gains		-			(0.06	)		-			-
Total distributions		-			(0.23	)		(0.04	)		-
Net asset value, end of period	$	10.72		$	10.56		$	10.46		$	10.00

Total Return(a)		1.61	%(b)**		3.02	% (b)		5.02	% (b)		-	‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	431		$	419		$	422		$	1
Ratio of expenses to average daily net assets:
Before expense waiver		1.52	%*		1.53	%		1.55	%		-	‡
After expense waiver		1.51	%#*		1.51	% #		1.51	% (c)#		-	‡
Net investment income to average daily net assets		1.74	%*		1.13	%		0.78	%		-	‡
Portfolio turnover rate		60	%**		211	%		129	%		N/A

* Annualized.

** Percentage represents results for the period and are not annualized.

*** Per share amount calculated on the average share method.

+ The Fund commenced operations on December 31, 2003.

‡ Amounts are de minimis due to the short period of operations.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) Total Return excludes a contingent deferred sales charge and would be lower for the period presented if it reflected these charges.

(c) The Fund has entered into an agreement with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

The accompanying notes are an integral part of the financial statements.

211

MassMutual Select Diversified Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Period ended 12/31/04†
Net asset value, beginning of period	$	11.26		$	10.93		$	10.00
Income (loss) from investment operations:
Net investment income		0.08	***		0.14	***		0.04	***
Net realized and unrealized gain on investments		0.55			0.54			0.94
Total income from investment operations		0.63			0.68			0.98
Less distributions to shareholders:
From net investment income		-			(0.12	)		(0.04	)
From net realized gains		-			(0.23	)		(0.01	)
Total distributions		-			(0.35	)		(0.05	)
Net asset value, end of period	$	11.89		$	11.26		$	10.93

Total Return(a)		5.60	%(b)**		6.23	% (b)		9.83	% **(b)
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	44,087		$	29,953		$	4,998
Ratio of expenses to average daily net assets:
Before expense waiver		1.08	%*		1.09	%		1.15	% *
After expense waiver		N/A			N/A			1.09	% *#
Net investment income to average daily net assets		1.30	%*		1.27	%		1.99	% *
Portfolio turnover rate		9	%**		16	%		5	% **
	Class L
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Period ended 12/31/04†
Net asset value, beginning of period	$	11.28		$	10.93		$	10.00
Income (loss) from investment operations:
Net investment income		0.09	***		0.17	***		0.05	***
Net realized and unrealized gain on investments		0.56			0.54			0.94
Total income from investment operations		0.65			0.71			0.99
Less distributions to shareholders:
From net investment income		-			(0.13	)		(0.05	)
From net realized gains		-			(0.23	)		(0.01	)
Total distributions		-			(0.36	)		(0.06	)
Net asset value, end of period	$	11.93		$	11.28		$	10.93

Total Return(a)		5.76	%**		6.42	%		9.99	% **
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	41,213		$	29,455		$	20,480
Ratio of expenses to average daily net assets:
Before expense waiver		0.79	%*		0.80	%		0.86	% *
After expense waiver		N/A			N/A			0.80	% *#
Net investment income to average daily net assets		1.59	%*		1.55	%		2.28	% *
Portfolio turnover rate		9	%**		16	%		5	% **

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average share method.

† For the period from October 15, 2004 (commencement of operations) through December 31, 2004.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expense of the Fund.

(b) Total return excludes a front end sales charge for Class A and would be lower for the period presented if they reflected these charges.

The accompanying notes are an integral part of the financial statements.

212

MassMutual Select Diversified Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Period ended 12/31/04†
Net asset value, beginning of period	$	11.27		$	10.93		$	10.00
Income (loss) from investment operations:
Net investment income		0.10	***		0.19	***		0.05	***
Net realized and unrealized gain on investments		0.56			0.53			0.94
Total income from investment operations		0.66			0.72			0.99
Less distributions to shareholders:
From net investment income		-			(0.15	)		(0.05	)
From net realized gains		-			(0.23	)		(0.01	)
Total distributions		-			(0.38	)		(0.06	)
Net asset value, end of period	$	11.93		$	11.27		$	10.93

Total Return(a)		5.86	%**		6.61	%		9.91	% **
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	107,680		$	56,761		$	1,273
Ratio of expenses to average daily net assets:
Before expense waiver		0.68	%*		0.69	%		0.75	% *
After expense waiver		N/A			N/A			0.69	% *#
Net investment income to average daily net assets		1.72	%*		1.70	%		2.39	% *
Portfolio turnover rate		9	%**		16	%		5	% **
	Class S
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Period ended 12/31/04†
Net asset value, beginning of period	$	11.28		$	10.94		$	10.00
Income (loss) from investment operations:
Net investment income		0.11	***		0.19	***		0.06	***
Net realized and unrealized gain on investments		0.56			0.53			0.94
Total income from investment operations		0.67			0.72			1.00
Less distributions to shareholders:
From net investment income		-			(0.15	)		(0.05	)
From net realized gains		-			(0.23	)		(0.01	)
Total distributions		-			(0.38	)		(0.06	)
Net asset value, end of period	$	11.95		$	11.28		$	10.94

Total Return(a)		5.94	%**		6.59	%		10.03	% **
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	194,791		$	186,641		$	173,341
Ratio of expenses to average daily net assets:
Before expense waiver		0.58	%*		0.59	%		0.65	% *
After expense waiver		N/A			N/A			0.59	% *#
Net investment income to average daily net assets		1.79	%*		1.75	%		2.49	% *
Portfolio turnover rate		9	%**		16	%		5	% **

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average share method.

† For the period from October 15, 2004 (commencement of operations) through December 31, 2004.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expense of the Fund.

The accompanying notes are an integral part of the financial statements.

213

MassMutual Select Diversified Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Period ended 12/31/04†
Net asset value, beginning of period	$	11.28		$	10.94		$	10.00
Income (loss) from investment operations:
Net investment income		0.05	***		0.11	***		0.04	***
Net realized and unrealized gain on investments		0.57			0.52			0.94
Total income from investment operations		0.62			0.63			0.98
Less distributions to shareholders:
From net investment income		-			(0.06	)		(0.03	)
From net realized gains		-			(0.23	)		(0.01	)
Total distributions		-			(0.29	)		(0.04	)
Net asset value, end of period	$	11.90		$	11.28		$	10.94

Total Return(a)		5.50	%(b)**		5.77	% (b)		9.84	% **(b)
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	1,044		$	147		$	187
Ratio of expenses to average daily net assets:
Before expense waiver		1.40	%*		1.40	%		1.46	% *
After expense waiver		N/A			N/A			1.40	% *#
Net investment income to average daily net assets		0.93	%*		0.95	%		1.63	% *
Portfolio turnover rate		9	%**		16	%		5	% **

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average share method.

† For the period from October 15, 2004 (commencement of operations) through December 31, 2004.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) Total return excludes a front end sales charge for Class A and a contingent deferred sales charge for Class N and would be lower for the period presented if they reflected these charges.

The accompanying notes are an integral part of the financial statements.

214

MassMutual Select Fundamental Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	11.14		$	10.75		$	10.01		$	7.79		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income		0.05	***		0.11	***		0.10	***		0.10	***		0.08	***		-
Net realized and unrealized gain (loss) on investments		0.72			0.65			0.84			2.19			(2.25	)		-
Total income (loss) from investment operations		0.77			0.76			0.94			2.29			(2.17	)		0.00
Less distributions to shareholders:
From net investment income		-			(0.11	)		(0.09	)		(0.07	)		(0.04	)		-
From net realized gains		-			(0.26	)		(0.11	)		-			-			-
Total distributions		-			(0.37	)		(0.20	)		(0.07	)		(0.04	)		-
Net asset value, end of period	$	11.91		$	11.14		$	10.75		$	10.01		$	7.79		$	10.00
Total Return(a)		6.91	%**(c)		7.08	% (c)		9.34	% (c)		29.43	%		(21.67	)%		-
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	261,594		$	252,362		$	214,886		$	129,552		$	37,973		$	1
Ratio of expenses to average daily net assets:
Before expense waiver		1.23	%*		1.23	%		1.23	%		1.24	%		1.27	%		-
After expense waiver		N/A			N/A			1.22	% (b)#		1.22	% (b)#		1.20	% (b)#		-
Net investment income to average daily net assets		0.88	%*		0.97	%		0.96	%		1.18	%		1.00	%		-
Portfolio turnover rate		14	%**		33	%		31	%		28	%		38	%		N/A
	Class L
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	11.17		$	10.78		$	10.03		$	7.81		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income		0.07	***		0.14	***		0.12	***		0.13	***		0.10	***		-
Net realized and unrealized gain (loss) on investments		0.72			0.64			0.85			2.18			(2.24	)		-
Total income (loss) from investment operations		0.79			0.78			0.97			2.31			(2.14	)		0.00
Less distributions to shareholders:
From net investment income		-			(0.13	)		(0.11	)		(0.09	)		(0.05	)		-
From net realized gains		-			(0.26	)		(0.11	)		-			-			-
Total distributions		-			(0.39	)		(0.22	)		(0.09	)		(0.05	)		-
Net asset value, end of period	$	11.96		$	11.17		$	10.78		$	10.03		$	7.81		$	10.00
Total Return(a)		7.16	%**		7.28	%		9.65	%		29.56	%		(21.40	)%		-
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	291,823		$	231,639		$	236,583		$	133,178		$	44,235		$	1
Ratio of expenses to average daily net assets:
Before expense waiver		0.98	%*		0.98	%		0.98	%		0.99	%		1.02	%		-
After expense waiver		N/A			N/A			0.97	% (b)#		0.97	% (b)#		0.95	% (b)#		-
Net investment income to average daily net assets		1.12	%*		1.23	%		1.21	%		1.44	%		1.24	%		-
Portfolio turnover rate		14	%**		33	%		31	%		28	%		38	%		N/A

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

† Effective January 1, 2005, rebated brokerage commissions are included with realized gain or loss on investment transactions. Prior to January 1, 2005, these amounts were presented as a reduction of expenses. Prior year amounts have not been restated to reflect this change due to immateriality. (see Note 3)

+ The Fund commenced operations on December 31, 2001.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(a) Employee 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.

(b) The Fund has entered into an agreement with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

(c) Total Return excludes a front-end sales charge and would be lower for the periods presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

215

MassMutual Select Fundamental Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03				Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	11.19		$	10.78		$	10.03		$	7.80			$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income		0.07	***		0.15	***		0.14	***		0.14	***			0.12	***		-
Net realized and unrealized gain (loss) on investments		0.73			0.66			0.84			2.19				(2.26	)		-
Total income (loss) from investment operations		0.80			0.81			0.98			2.33				(2.14	)		0.00
Less distributions to shareholders:
From net investment income		-			(0.14	)		(0.12	)		(0.10	)	��		(0.06	)		-
From net realized gains		-			(0.26	)		(0.11	)		-				-			-
Total distributions		-			(0.40	)		(0.23	)		(0.10	)			(0.06	)		-
Net asset value, end of period	$	11.99		$	11.19		$	10.78		$	10.03			$	7.80		$	10.00
Total Return(a)		7.15	%**		7.55	%		9.78	%		29.82	%			(21.41	)%		-
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	96,048		$	85,569		$	120,769		$	82,989			$	40,511		$	1
Ratio of expenses to average daily net assets:
Before expense waiver		0.83	%*		0.83	%		0.83	%		0.84	%			0.87	%		-
After expense waiver		N/A			N/A			0.82	% (b)#		0.82	% (b)#			0.81	% (b)#		-
Net investment income to average daily net assets		1.27	%*		1.35	%		1.35	%		1.60	%			1.44	%		-
Portfolio turnover rate		14	%**		33	%		31	%		28	%			38	%		N/A
	Class S
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03				Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	11.20		$	10.80		$	10.05		$	7.81			$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income		0.08	***		0.16	***		0.14	***		0.14	***			0.12	***		-
Net realized and unrealized gain (loss) on investments		0.72			0.66			0.85			2.20				(2.25	)		-
Total income (loss) from investment operations		0.80			0.82			0.99			2.34				(2.13	)		0.00
Less distributions to shareholders:
From net investment income		-			(0.16	)		(0.13	)		(0.10	)			(0.06	)		-
From net realized gains		-			(0.26	)		(0.11	)		-				-			-
Total distributions		-			(0.42	)		(0.24	)		(0.10	)			(0.06	)		-
Net asset value, end of period	$	12.00		$	11.20		$	10.80		$	10.05			$	7.81		$	10.00
Total Return(a)		7.14	%**		7.57	%		9.80	%		29.97	%			(21.35	)%		-
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	473,107		$	418,271		$	325,701		$	228,535			$	101,228		$	10,001
Ratio of expenses to average daily net assets:
Before expense waiver		0.79	%*		0.79	%		0.79	%		0.80	%			0.83	%		-
After expense waiver		N/A			N/A			0.78	% (b)#		0.78	% (b)#			0.77	% (b)#		-
Net investment income to average daily net assets		1.31	%*		1.41	%		1.40	%		1.63	%			1.36	%		-
Portfolio turnover rate		14	%**		33	%		31	%		28	%			38	%		N/A

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

+ The Fund commenced operations on December 31, 2001.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) The Fund has entered into an agreement with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

The accompanying notes are an integral part of the financial statements.

216

MassMutual Select Fundamental Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02++
Net asset value, beginning of period	$	11.07		$	10.69		$	9.94		$	7.76		$	7.76
Income (loss) from investment operations:
Net investment income (loss)		0.03	***		0.07	***		0.07	***		0.08	***		(0.00	)***††
Net realized and unrealized gain (loss) on investments		0.71			0.65			0.84			2.17			(0.00	)††
Total income (loss) from investment operations		0.74			0.72			0.91			2.25			(0.00	)
Less distributions to shareholders:
From net investment income		-			(0.08	)		(0.05	)		(0.07	)		-
From net realized gains		-			(0.26	)		(0.11	)		-			-
Total distributions		-			(0.34	)		(0.16	)		(0.07	)		-
Net asset value, end of period	$	11.81		$	11.07		$	10.69		$	9.94		$	7.76

Total Return(a)		6.68	%**(c)		6.76	% (c)		9.10	% (c)		29.03	% (c)		-	‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	1,235		$	1,998		$	1,644		$	1,968		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		1.53	%*		1.53	%		1.53	%		1.54	%		-	‡
After expense waiver		N/A			N/A			1.52	% (b)		1.52	% (b)		-	‡
Net investment income to average daily net assets		0.59	%*		0.67	%		0.65	%		0.83	%		-	‡
Portfolio turnover rate		14	%**		33	%		31	%		28	%		38	%

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

†† Net investment loss and net realized and unrealized gain(loss) on investments are less than $0.01 per share.

++ Class N commenced operations on December 31, 2002.

‡ Amounts are de minimis due to the short period of operations.

(b) The Fund has entered into an agreement with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

(c) Total Return excludes contingent deferred sales charge and would be lower for the periods presented if they reflected these charges.

The accompanying notes are an integral part of the financial statements.

217

MassMutual Select Value Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	10.49		$	10.48		$	9.55		$	7.66		$	9.34		$	10.00
Income (loss) from investment operations:
Net investment income		0.03	***		0.04	***		0.07	***		0.08	***		0.07	***		0.04	***
Net realized and unrealized gain (loss) on investments		0.30			1.02			1.16			1.91			(1.68	)		(0.67	)
Total income (loss) from investment operations		0.33			1.06			1.23			1.99			(1.61	)		(0.63	)
Less distributions to shareholders:
From net investment income		-			(0.04	)		(0.07	)		(0.10	)		(0.07	)		(0.03	)
From net realized gains		-			(1.01	)		(0.23	)		-			-			-
Total distributions		-			(1.05	)		(0.30	)		(0.10	)		(0.07	)		(0.03	)
Net asset value, end of period	$	10.82		$	10.49		$	10.48		$	9.55		$	7.66		$	9.34
Total Return(a)		3.15	%(c)**		10.16	% (c)		12.91	% (c)		25.96	%		(17.28	)%		(6.29	)% **
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	29,690		$	28,829		$	25,523		$	21,341		$	15,852		$	8,881
Ratio of expenses to average daily net assets:
Before expense waiver		1.31	%*		1.30	%		1.33	%		1.29	%		1.30	%		1.29	% *
After expense waiver		N/A			N/A			1.29	% (b)#		1.27	% (b)#		1.29	% #		1.29	% *#
Net investment income to average daily net assets		0.47	%*		0.36	%		0.69	%		0.99	%		0.79	%		0.65	% *
Portfolio turnover rate		52	%**		94	%		161	%		66	%		105	%		62	% **
	Class L
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	10.51		$	10.50		$	9.57		$	7.67		$	9.34		$	10.00
Income (loss) from investment operations:
Net investment income		0.04	***		0.06	***		0.09	***		0.10	***		0.09	***		0.05	***
Net realized and unrealized gain (loss) on investments		0.30			1.02			1.17			1.92			(1.67	)		(0.67	)
Total income (loss) from investment operations		0.34			1.08			1.26			2.02			(1.58	)		(0.62	)
Less distributions to shareholders:
From net investment income		-			(0.06	)		(0.10	)		(0.12	)		(0.09	)		(0.04	)
From net realized gains		-			(1.01	)		(0.23	)		-			-			-
Total distributions		-			(1.07	)		(0.33	)		(0.12	)		(0.09	)		(0.04	)
Net asset value, end of period	$	10.85		$	10.51		$	10.50		$	9.57		$	7.67		$	9.34
Total Return(a)		3.24	%**		10.39	%		13.16	%		26.34	%		(16.97	)%		(6.21	)% **
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	8,905		$	8,753		$	7,461		$	6,313		$	4,727		$	2,658
Ratio of expenses to average daily net assets:
Before expense waiver		1.06	%*		1.05	%		1.08	%		1.04	%		1.05	%		1.05	% *
After expense waiver		N/A			N/A			1.04	% (b)#		1.02	% (b)#		1.04	% #		1.04	% *#
Net investment income to average daily net assets		0.72	%*		0.60	%		0.94	%		1.24	%		1.07	%		0.87	% *
Portfolio turnover rate		52	%**		94	%		161	%		66	%		105	%		62	% **

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

+ For the period from May 1, 2001 (commencement of operations) through December 31, 2001.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(a) 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 Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

(b) The Fund has entered into an agreement with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

(c) Total Return excludes a front-end sales charge and would be lower for the periods presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

218

MassMutual Select Value Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	10.55		$	10.54		$	9.59		$	7.68		$	9.35		$	10.00
Income (loss) from investment operations:
Net investment income		0.05	***		0.08	***		0.10	***		0.12	***		0.10	***		0.06	***
Net realized and unrealized gain (loss) on investments		0.31			1.02			1.19			1.91			(1.67	)		(0.67	)
Total income (loss) from investment operations		0.36			1.10			1.29			2.03			(1.57	)		(0.61	)
Less distributions to shareholders:
From net investment income		-			(0.08	)		(0.11	)		(0.12	)		(0.10	)		(0.04	)
From net realized gains		-			(1.01	)		(0.23	)		-			-			-
Total distributions		-			(1.09	)		(0.34	)		(0.12	)		(0.10	)		(0.04	)
Net asset value, end of period	$	10.91		$	10.55		$	10.54		$	9.59		$	7.68		$	9.35
Total Return(a)		3.41	%**		10.49	%		13.47	%		26.40	%		(16.87	)%		(6.12	)% **
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	4,603		$	4,110		$	2,891		$	3,378		$	7,543		$	5,977
Ratio of expenses to average daily net assets:
Before expense waiver		0.91	%*		0.90	%		0.93	%		0.88	%		0.90	%		0.90	% *
After expense waiver		N/A			N/A			0.88	% (b)#		0.86	% (b)#		0.89	% #		0.90	% *#
Net investment income to average daily net assets		0.87	%*		0.75	%		1.06	%		1.42	%		1.18	%		0.93	% *
Portfolio turnover rate		52	%**		94	%		161	%		66	%		105	%		62	% **
	Class S
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	10.54		$	10.52		$	9.59		$	7.68		$	9.35		$	10.00
Income (loss) from investment operations:
Net investment income		0.05	***		0.09	***		0.11	***		0.12	***		0.10	***		0.07	***
Net realized and unrealized gain (loss) on investments		0.30			1.02			1.17			1.92			(1.68	)		(0.68	)
Total income (loss) from investment operations		0.35			1.11			1.28			2.04			(1.58	)		(0.61	)
Less distributions to shareholders:
From net investment income		-			(0.08	)		(0.12	)		(0.13	)		(0.09	)		(0.04	)
From net realized gains		-			(1.01	)		(0.23	)		-			-			-
Total distributions		-			(1.09	)		(0.35	)		(0.13	)		(0.09	)		(0.04	)
Net asset value, end of period	$	10.89		$	10.54		$	10.52		$	9.59		$	7.68		$	9.35
Total Return(a)		3.32	%**		10.66	%		13.31	%		26.63	%		(16.83	)%		(6.09	)% **
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	55,480		$	55,895		$	51,940		$	67,536		$	60,499		$	51,604
Ratio of expenses to average daily net assets:
Before expense waiver		0.86	%*		0.85	%		0.88	%		0.84	%		0.85	%		0.87	% *
After expense waiver		N/A			N/A			0.84	% (b)#		0.82	% (b)#		0.84	% #		0.86	% *#
Net investment income to average daily net assets		0.91	%*		0.81	%		1.12	%		1.45	%		1.22	%		1.05	% *
Portfolio turnover rate		52	%**		94	%		161	%		66	%		105	%		62	% **

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

+ For the period from May 1, 2001 (commencement of operations) through December 31, 2001.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) The Fund has entered into an agreement with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

The accompanying notes are an integral part of the financial statements.

219

MassMutual Select Value Equity Fund – Financial Statements (Continued)

	Class N
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02++
Net asset value, beginning of period	$	10.51		$	10.50		$	9.56		$	7.63		$	7.62
Income (loss) from investment operations:
Net investment income		0.01	***		0.01	***		0.04	***		0.06	***		0.00	***††
Net realized and unrealized gain on investments		0.31			1.01			1.15			1.90			0.01
Total income from investment operations		0.32			1.02			1.19			1.96			0.01
Less distributions to shareholders:
From net investment income		-			(0.00	)†††		(0.02	)		(0.03	)		-
From net realized gains		-			(1.01	)		(0.23	)		-			-
Total distributions		-			(1.01	)		(0.25	)		(0.03	)		-
Net asset value, end of period	$	10.83		$	10.51		$	10.50		$	9.56		$	7.63

Total Return(a)		3.04	%(c)**		9.83	% (c)		12.51	% (c)		25.73	% (c)		-	‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	144		$	140		$	282		$	315		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		1.61	%*		1.59	%		1.63	%		1.58	%		-	‡
After expense waiver		N/A			N/A			1.58	% (b)		1.56	% (b)		-	‡
Net investment income to average daily net assets		0.18	%*		0.06	%		0.39	%		0.70	%		-	‡
Portfolio turnover rate		52	%**		94	%		161	%		66	%		105	%

*** Per share amount calculated on the average shares method.

†† Net investment income is less than $0.01 per share.

††† Distribution from net investment income is less than $0.01 per share.

* Annualized.

** Percentages represent results for the period and are not annualized.

++ Class N commenced operations on December 31, 2002.

‡ Amounts are de minimis due to the short period of operations.

(b) The Fund has entered into an agreement with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

(c) Total Return excludes contingent deferred sales charge and would be lower for the periods presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

220

MassMutual Select Large Cap Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	11.28		$	10.39		$	9.35		$	7.24		$	8.74		$	9.92
Income (loss) from investment operations:
Net investment income		0.03	***		0.05	***		0.04	***		0.04	***		0.02	***		0.01	***
Net realized and unrealized gain (loss) on investments		0.29			0.89			1.04			2.10			(1.49	)		(1.18	)
Total income (loss) from investment operations		0.32			0.94			1.08			2.14			(1.47	)		(1.17	)
Less distributions to shareholders:
From net investment income		-			(0.05	)		(0.04	)		(0.03	)		(0.03	)		(0.01	)
Net asset value, end of period	$	11.60		$	11.28		$	10.39		$	9.35		$	7.24		$	8.74
Total Return(a)		2.84	%**(c)		9.05	% (c)		11.55	% (c)		29.61	%		(16.86	)%		(11.75	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	371,383		$	354,647		$	266,753		$	153,918		$	92,001		$	73,431
Ratio of expenses to average daily net assets:
Before expense waiver		1.25	%*		1.25	%		1.25	%		1.25	%		1.24	%		1.25	%
After expense waiver		N/A			N/A			1.25	% (b)#		1.24	% (b)#		1.23	% (b)#		1.24	% #
Net investment income to average daily net assets		0.46	%*		0.44	%		0.41	%		0.45	%		0.29	%		0.12	%
Portfolio turnover rate		8	%**		7	%		3	%		7	%		25	%		20	%
	Class L
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	11.32		$	10.43		$	9.37		$	7.26		$	8.76		$	9.93
Income (loss) from investment operations:
Net investment income		0.04	***		0.07	***		0.06	***		0.06	***		0.04	***		0.03	***
Net realized and unrealized gain (loss) on investments		0.29			0.90			1.06			2.10			(1.50	)		(1.17	)
Total income (loss) from investment operations		0.33			0.97			1.12			2.16			(1.46	)		(1.14	)
Less distributions to shareholders:
From net investment income		-			(0.08	)		(0.06	)		(0.05	)		(0.04	)		(0.03	)
Net asset value, end of period	$	11.65		$	11.32		$	10.43		$	9.37		$	7.26		$	8.76
Total Return(a)		2.92	%**		9.25	%		11.94	%		29.79	%		(16.64	)%		(11.47	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	344,026		$	369,858		$	316,841		$	207,025		$	114,417		$	105,322
Ratio of expenses to average daily net assets:
Before expense waiver		1.00	%*		1.00	%		1.00	%		1.00	%		1.00	%		1.00	%
After expense waiver		N/A			N/A			1.00	% (b)#		0.99	% (b)#		0.98	% (b)#		0.99	% #
Net investment income to average daily net assets		0.71	%*		0.69	%		0.65	%		0.70	%		0.53	%		0.37	%
Portfolio turnover rate		8	%**		7	%		3	%		7	%		25	%		20	%

* Annualized.

** Percentage represents results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(a) Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth by their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

(b) The Fund has entered into agreements with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

(c) Total Return excludes a front-end sales charge and would be lower for the period presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

221

MassMutual Select Large Cap Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	11.34		$	10.45		$	9.39		$	7.27		$	8.77		$	9.94
Income (loss) from investment operations:
Net investment income		0.05	***		0.09	***		0.08	***		0.07	***		0.05	***		0.05	***
Net realized and unrealized gain (loss) on investments		0.30			0.89			1.05			2.11			(1.50	)		(1.18	)
Total income (loss) from investment operations		0.35			0.98			1.13			2.18			(1.45	)		(1.13	)
Less distributions to shareholders:
From net investment income		-			(0.09	)		(0.07	)		(0.06	)		(0.05	)		(0.04	)
Net asset value, end of period	$	11.69		$	11.34		$	10.45		$	9.39		$	7.27		$	8.77

Total Return(a)		3.09	%**		9.37	%		12.06	%		30.04	%		(16.52	)%		(11.34	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	192,872		$	146,699		$	127,223		$	78,751		$	39,762		$	52,286
Ratio of expenses to average daily net assets:
Before expense waiver		0.85	%*		0.85	%		0.85	%		0.85	%		0.84	%		0.85	%
After expense waiver		N/A			N/A			0.85	% (b)#		0.84	% (b)#		0.83	% (b)#		0.84	% #
Net investment income to average daily net assets		0.86	%*		0.84	%		0.81	%		0.85	%		0.66	%		0.52	%
Portfolio turnover rate		8	%**		7	%		3	%		7	%		25	%		20	%
	Class S
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	11.36		$	10.46		$	9.40		$	7.27		$	8.78		$	9.94
Income (loss) from investment operations:
Net investment income		0.05	***		0.10	***		0.09	***		0.08	***		0.06	***		0.06	***
Net realized and unrealized gain (loss) on investments		0.30			0.90			1.05			2.12			(1.51	)		(1.17	)
Total income (loss) from investment operations		0.35			1.00			1.14			2.20			(1.45	)		(1.11	)
Less distributions to shareholders:
From net investment income		-			(0.10	)		(0.08	)		(0.07	)		(0.06	)		(0.05	)
Net asset value, end of period	$	11.71		$	11.36		$	10.46		$	9.40		$	7.27		$	8.78

Total Return(a)		3.08	%**		9.57	%		12.11	%		30.24	%		(16.53	)%		(11.20	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	582,992		$	546,331		$	436,983		$	339,287		$	233,510		$	277,873
Ratio of expenses to average daily net assets:
Before expense waiver		0.76	%*		0.76	%		0.76	%		0.76	%		0.75	%		0.76	%
After expense waiver		N/A			N/A			0.76	% (b)#		0.75	% (b)#		0.74	% (b)#		0.75	% #
Net investment income to average daily net assets		0.95	%*		0.93	%		0.88	%		0.94	%		0.76	%		0.62	%
Portfolio turnover rate		8	%**		7	%		3	%		7	%		25	%		20	%

* Annualized.

** Percentage represents results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) The Fund has entered into agreements with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

The accompanying notes are an integral part of the financial statements.

222

MassMutual Select Large Cap Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Period ended 12/31/02++
Net asset value, beginning of period	$	11.17		$	10.29		$	9.25		$	7.21		$	7.19
Income (loss) from investment operations:
Net investment income		0.01	***		0.02	***		0.01	***		0.03	***		0.00	***††
Net realized and unrealized gain on investments		0.30			0.87			1.03			2.07			0.02
Total income from investment operations		0.31			0.89			1.04			2.10			0.02
Less distributions to shareholders:
From net investment income		-			(0.01	)		-			(0.06	)		-
Net asset value, end of period	$	11.48		$	11.17		$	10.29		$	9.25		$	7.21

Total Return(a)		2.78	%**(c)		8.65	% (c)		11.24	%(c)		29.18	% (c)		-	‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	2,426		$	2,279		$	2,911		$	2,891		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		1.55	%*		1.55	%		1.55	%		1.57	%		-	‡
After expense waiver		N/A			N/A			1.55	%#		1.56	% (b)#		-	‡
Net investment income to average daily net assets		0.16	%*		0.15	%		0.08	%		0.33	%		-	‡
Portfolio turnover rate		8	%**		7	%		3	%		7	%		25	%

* Annualized.

** Percentage represents results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

†† Net investment income is less than $0.01 per share.

++ Class N commenced operations on December 31, 2002.

‡ Amounts are de minimis due to the short period of operations.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) The Fund has entered into agreements with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

(c) Total Return excludes contingent deferred sales charge and would be lower for the periods presented if they reflected these charges.

The accompanying notes are an integral part of the financial statements.

223

MassMutual Select Indexed Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	11.47		$	11.12		$	10.23		$	8.09		$	10.55		$	12.17
Income (loss) from investment operations:
Net investment income		0.07	***		0.13	***		0.13	***		0.08	***		0.07	***		0.06	***
Net realized and unrealized gain (loss) on investments		0.20			0.33			0.89			2.14			(2.47	)		(1.60	)
Total income (loss) from investment operations		0.27			0.46			1.02			2.22			(2.40	)		(1.54	)
Less distributions to shareholders:
From net investment income		-			(0.11	)		(0.13	)		(0.08	)		(0.06	)		(0.08	)
Net asset value, end of period	$	11.74		$	11.47		$	11.12		$	10.23		$	8.09		$	10.55

Total Return(a)		2.35	%**(b)		4.17	% (b)		10.01	% (b)		27.49	%		(22.74	)%		(12.69	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	270,174		$	271,778		$	275,920		$	160,470		$	70,695		$	81,682
Ratio of expenses to average daily net assets:
Before expense waiver		0.85	%*		0.85	%		0.85	%		0.85	%		0.85	%		0.86	%
After expense waiver		0.70	%*#		0.75	% #		0.78	% #		N/A			N/A			N/A
Net investment income to average daily net assets		1.24	%*		1.13	%		1.32	%		0.94	%		0.78	%		0.52	%
Portfolio turnover rate		3	%**		6	%		3	%		2	%		5	%		4	%
	Class L
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	11.50		$	11.16		$	10.26		$	8.11		$	10.58		$	12.18
Income (loss) from investment operations:
Net investment income		0.09	***		0.15	***		0.16	***		0.11	***		0.10	***		0.08	***
Net realized and unrealized gain (loss) on investments		0.20			0.34			0.89			2.15			(2.48	)		(1.60	)
Total income (loss) from investment operations		0.29			0.49			1.05			2.26			(2.38	)		(1.52	)
Less distributions to shareholders:
From net investment income		-			(0.15	)		(0.15	)		(0.11	)		(0.09	)		(0.08	)
Net asset value, end of period	$	11.79		$	11.50		$	11.16		$	10.26		$	8.11		$	10.58

Total Return(a)		2.52	%**		4.41	%		10.25	%		27.88	%		(22.53	)%		(12.46	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	302,371		$	282,034		$	218,755		$	176,247		$	54,756		$	40,420
Ratio of expenses to average daily net assets:
Before expense waiver		0.60	%*		0.60	%		0.60	%		0.60	%		0.60	%		0.60	%
After expense waiver		0.45	%*#		0.50	% #		0.53	% #		N/A			N/A			N/A
Net investment income to average daily net assets		1.49	%*		1.38	%		1.52	%		1.21	%		1.05	%		0.75	%
Portfolio turnover rate		3	%**		6	%		3	%		2	%		5	%		4	%

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund for the years ended December 31, 2005 and June 30, 2006.

(b) Total Return excludes a front-end sales charge and would be lower for the periods presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

224

MassMutual Select Indexed Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

		Class Y
		Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period		$	11.54		$	11.19		$	10.29		$	8.12		$	10.60		$	12.21
Income (loss) from investment operations:
Net investment income			0.09	***		0.16	***		0.17	***		0.12	***		0.11	***		0.10	***
Net realized and unrealized gain (loss) on investments			0.19			0.34			0.89			2.16			(2.49	)		(1.61	)
Total income (loss) from investment operations			0.28			0.50			1.06			2.28			(2.38	)		(1.51	)
Less distributions to shareholders:
From net investment income			-			(0.15	)		(0.16	)		(0.11	)		(0.10	)		(0.10	)
Net asset value, end of period		$	11.82		$	11.54		$	11.19		$	10.29		$	8.12		$	10.60

Total Return(a)			2.43	%**		4.49	%		10.31	%		28.10	%		(22.47	)%		(12.37	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)		$	458,277		$	467,422		$	419,366		$	299,713		$	198,240		$	172,244
Net expenses to average daily net assets			0.45	%*		0.45	%		0.45	%		0.45	%		0.45	%		0.45	%
Net investment income to average daily net assets			1.49	%*		1.43	%		1.63	%		1.34	%		1.18	%		0.90	%
Portfolio turnover rate			3	%**		6	%		3	%		2	%		5	%		4	%
		Class S
		Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period		$	11.65		$	11.30		$	10.38		$	8.19		$	10.68		$	12.29
Income (loss) from investment operations:
Net investment income			0.09	***		0.16	***		0.17	***		0.12	***		0.11	***		0.11	***
Net realized and unrealized gain (loss) on investments			0.20			0.35			0.91			2.18			(2.50	)		(1.62	)
Total income (loss) from investment operations			0.29			0.51			1.08			2.30			(2.39	)		(1.51	)
Less distributions to shareholders:
From net investment income			-			(0.16	)		(0.16	)		(0.11	)		(0.10	)		(0.10	)
Net asset value, end of period		$	11.94		$	11.65		$	11.30		$	10.38		$	8.19		$	10.68

Total Return(a)			2.49	%**		4.47	%		10.39	%		28.10	%		(22.41	)%		(12.33	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)		$	639,556		$	677,171		$	724,614		$	710,691		$	567,426		$	642,799
Net expenses to average daily net assets			0.42	%*		0.42	%		0.42	%		0.42	%		0.42	%		0.42	%
Net investment income to average daily net assets			1.51	%*		1.45	%		1.62	%		1.37	%		1.20	%		0.92	%
Portfolio turnover rate	��		3	%**		6	%		3	%		2	%		5	%		4	%

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

The accompanying notes are an integral part of the financial statements.

225

MassMutual Select Indexed Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Z
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	11.65		$	11.30		$	10.38		$	8.19		$	10.68		$	11.66
Income (loss) from investment operations:
Net investment income		0.10	***		0.19	***		0.21	***		0.15	***		0.13	***		0.09	***
Net realized and unrealized gain (loss) on investments		0.21			0.34			0.90			2.17			(2.50	)		(0.95	)
Total income (loss) from investment operations		0.31			0.53			1.11			2.32			(2.37	)		(0.86	)
Less distributions to shareholders:
From net investment income		-			(0.18	)		(0.19	)		(0.13	)		(0.12	)		(0.12	)
Net asset value, end of period	$	11.96		$	11.65		$	11.30		$	10.38		$	8.19		$	10.68

Total Return(a)		2.66	%**		4.72	%		10.68	%		28.39	%		(22.23	)%		(7.33	)% **
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	309,070		$	251,403		$	130,164		$	42,906		$	16,821		$	95
Net expenses to average daily net assets		0.20	%*		0.20	%		0.20	%		0.21	%		0.20	%		0.21	% *
Net investment income to average daily net assets		1.73	%*		1.68	%		1.93	%		1.59	%		1.42	%		1.20	% *
Portfolio turnover rate		3	%**		6	%		3	%		2	%		5	%		4	% **

	Class N
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02++
Net asset value, beginning of period	$	11.35		$	11.02		$	10.15		$	8.05		$	8.05
Income (loss) from investment operations:
Net investment income		0.05	***		0.09	***		0.10	***		0.06	***		0.00	†
Net realized and unrealized gain (loss) on investments		0.20			0.34			0.87			2.14			(0.00	)†
Total income (loss) from investment operations		0.25			0.43			0.97			2.20			0.00
Less distributions to shareholders:
From net investment income		-			(0.10	)		(0.10	)		(0.10	)		-
Net asset value, end of period	$	11.60		$	11.35		$	11.02		$	10.15		$	8.05

Total Return(a)		2.20	%**(b)		3.86	% (b)		9.59	% (b)		27.34	% (b)		0.00	% ‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	4,848		$	4,757		$	3,710		$	2,487		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		1.15	%*		1.15	%		1.15	%		1.15	%		-	‡
After expense waiver		1.00	%*#		1.05	% #		1.07	% #		N/A			N/A
Net investment income to average daily net assets		0.94	%*		0.84	%		1.00	%		0.64	%		0.00	% ‡
Portfolio turnover rate		3	%**		6	%		3	%		2	%		5	%

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

† Net investment income and net realized and unrealized loss on investments are less than $0.01 per share.

+ For the period from May 1, 2001 (commencement of operations) through December 31, 2001.

++ Class N commenced operations on December 31, 2002.

‡ Amounts are de minimis due to the short period of operations.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) Total Return excludes contingent deferred sales charge and would be lower for the periods presented if they reflected these charges.

The accompanying notes are an integral part of the financial statements.

226

MassMutual Select Core Opportunities Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A			Class L			Class Y			Class S			Class N
	Period ended 6/30/06 (Unaudited)+			Period ended 6/30/06 (Unaudited)+			Period ended 6/30/06 (Unaudited)+			Period ended 6/30/06 (Unaudited)+			Period ended 6/30/06 (Unaudited)+
Net asset value, beginning of period	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income		0.00	***†		0.01	***		0.01	***		0.01	***		(0.01	) ***
Net realized and unrealized loss on investments		(0.38	)		(0.38	)		(0.38	)		(0.38	)		(0.37	)
Total loss from investment operations		(0.38	)		(0.37	)		(0.37	)		(0.37	)		(0.38	)
Net asset value, end of period	$	9.62		$	9.63		$	9.63		$	9.63		$	9.62

Total Return		(3.80	)% **		(3.70	)% **		(3.70	)% **		(3.70	)% **		(3.80	)% **
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	835		$	1,198		$	96		$	9,248		$	96
Ratio of expenses to average daily net assets:
Before expense waiver		1.88	% *		1.52	% *		1.36	% *		1.26	% *		2.06	% *
After expense waiver		1.35	% *#		1.10	% *#		0.95	% *#		0.90	% *#		1.65	% *#
Net investment income to average daily net assets		0.02	% *		0.55	% *		0.40	% *		0.45	% *		(0.30	)% *
Portfolio turnover rate		33	% **		33	% **		33	% **		33	% **		33	% **

* Annualized.

** Percentage represents results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

† Net investment income is less than $0.01 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

+ The Fund commenced operations on March 31, 2006.

The accompanying notes are an integral part of the financial statements.

227

MassMutual Select Focused Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†††			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	16.70		$	17.78		$	16.92		$	11.94		$	13.41		$	10.51
Income (loss) from investment operations:
Net investment income (loss)		0.21	***		(0.00	)***†		(0.07	)***		(0.06	)***		(0.04	)***		(0.04	)***
Net realized and unrealized gain (loss) on investments		0.15			0.53			1.96			5.45			(1.33	)		3.30
Total income (loss) from investment operations		0.36			0.53			1.89			5.39			(1.37	)		3.26
Less distributions to shareholders:
From net investment income		-			(0.01	)		-			(0.00	)†		-			(0.00	)†
From net realized gains		-			(1.60	)		(1.03	)		(0.41	)		(0.10	)		(0.36	)
Total distributions		-			(1.61	)		(1.03	)		(0.41	)		(0.10	)		(0.36	)
Net asset value, end of period	$	17.06		$	16.70		$	17.78		$	16.92		$	11.94		$	13.41
Total Return(a)		2.09	%(c)**		2.98	% (c)		11.33	% (c)		45.13	%		(10.18	)%		31.08	%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	240,187		$	252,047		$	228,871		$	158,981		$	54,319		$	24,562
Ratio of expenses to average daily net assets:
Before expense waiver		1.30	%*		1.30	%		1.30	%		1.30	%		1.30	%		1.29	%
After expense waiver		N/A			N/A			1.28	% (b)#		1.29	% (b)#		1.30	% (b)#		1.29	% #
Net investment income (loss) to average daily net assets		2.40	%*		(0.01	)%		(0.40	)%		(0.40	)%		(0.33	)%		(0.30	)%
Portfolio turnover rate		20	%**		31	%		32	%		31	%		78	%		53	%
	Class L
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†††			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	16.91		$	17.98		$	17.05		$	12.00		$	13.45		$	10.51
Income (loss) from investment operations:
Net investment income (loss)		0.24	***		0.05	***		(0.03	)***		(0.02	)***		(0.01	)***		0.00	***†
Net realized and unrealized gain (loss) on investments		0.15			0.53			1.99			5.48			(1.34	)		3.31
Total income (loss) from investment operations		0.39			0.58			1.96			5.46			(1.35	)		3.31
Less distributions to shareholders:
From net investment income		-			(0.05	)		-			(0.00	)†		-			(0.01	)
From net realized gains		-			(1.60	)		(1.03	)		(0.41	)		(0.10	)		(0.36	)
Total distributions		-			(1.65	)		(1.03	)		(0.41	)		(0.10	)		(0.37	)
Net asset value, end of period	$	17.30		$	16.91		$	17.98		$	17.05		$	12.00		$	13.45
Total Return(a)		2.25	%**		3.26	%		11.65	%		45.49	%		(10.00	)%		31.50	%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	185,285		$	180,827		$	163,742		$	114,730		$	39,942		$	25,594
Ratio of expenses to average daily net assets:
Before expense waiver		1.05	%*		1.05	%		1.05	%		1.05	%		1.05	%		1.04	%
After expense waiver		N/A			N/A			1.03	% (b)#		1.04	% (b)#		1.05	% (b)#		1.04	% #
Net investment income (loss) to average daily net assets		2.75	%*		0.26	%		(0.16	)%		(0.16	)%		(0.11	)%		0.00	% ††
Portfolio turnover rate		20	%**		31	%		32	%		31	%		78	%		53	%

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

† Net investment income (loss) and distributions from net investment income are less than $0.01 per share.

†† The ratio of net investment income to average daily net assets is less than 0.01%.

††† Effective January 1, 2005, rebated brokerage commissions are included with realized gain or loss on investment transactions. Prior to January 1, 2005, these amounts were presented as a reduction of expenses. Prior year amounts have not been restated to reflect this change due to immateriality. (See Note 3).

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) The Fund has entered into agreements with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expense of the Fund.

(c) Total Return excludes a front-end sales charge and would be lower for the period presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

228

MassMutual Select Focused Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05††			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	17.02		$	18.08		$	17.12		$	12.03		$	13.46		$	10.52
Income (loss) from investment operations:
Net investment income (loss)		0.25	***		0.07	***		(0.00	)***†		(0.00	)***†		0.03	***		0.02	***
Net realized and unrealized gain (loss) on investments		0.15			0.55			1.99			5.50			(1.36	)		3.30
Total income (loss) from investment operations		0.40			0.62			1.99			5.50			(1.33	)		3.32
Less distributions to shareholders:
From net investment income		-			(0.08	)		-			(0.00	)†		-			(0.02	)
From net realized gains		-			(1.60	)		(1.03	)		(0.41	)		(0.10	)		(0.36	)
Total distributions		-			(1.68	)		(1.03	)		(0.41	)		(0.10	)		(0.38	)
Net asset value, end of period	$	17.42		$	17.02		$	18.08		$	17.12		$	12.03		$	13.46
Total Return(a)		2.29	%**		3.44	%		11.78	%		45.71	%		(9.85	)%		31.60	%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	117,081		$	116,392		$	94,538		$	78,549		$	45,302		$	10,137
Ratio of expenses to average daily net assets:
Before expense waiver		0.90	%*		0.90	%		0.90	%		0.89	%		0.90	%		0.89	%
After expense waiver		N/A			N/A			0.88	% (b)#		0.89	% (b)#		0.90	% (b)#		0.89	% #
Net investment income (loss) to average daily net assets		2.86	%*		0.40	%		(0.01	)%		(0.01	)%		0.24	%		0.14	%
Portfolio turnover rate		20	%**		31	%		32	%		31	%		78	%		53	%
	Class S
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05††			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	17.11		$	18.18		$	17.19		$	12.06		$	13.48		$	10.53
Income (loss) from investment operations:
Net investment income		0.26	***		0.09	***		0.01	***		0.01	***		0.02	***		0.03	***
Net realized and unrealized gain (loss) on investments		0.16			0.54			2.01			5.53			(1.34	)		3.31
Total income (loss) from investment operations		0.42			0.63			2.02			5.54			(1.32	)		3.34
Less distributions to shareholders:
From net investment income		-			(0.10	)		-			(0.00	)†		-			(0.03	)
From net realized gains		-			(1.60	)		(1.03	)		(0.41	)		(0.10	)		(0.36	)
Total distributions		-			(1.70	)		(1.03	)		(0.41	)		(0.10	)		(0.39	)
Net asset value, end of period	$	17.53		$	17.11		$	18.18		$	17.19		$	12.06		$	13.48
Total Return(a)		2.39	%**		3.45	%		11.91	%		45.94	%		(9.76	)%		31.70	%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	342,838		$	354,769		$	326,445		$	293,759		$	114,178		$	110,092
Ratio of expenses to average daily net assets:
Before expense waiver		0.80	%*		0.80	%		0.80	%		0.80	%		0.80	%		0.79	%
After expense waiver		N/A			N/A			0.78	% (b)#		0.79	% (b)#		0.80	% (b)#		0.79	% #
Net investment income to average daily net assets		2.91	%*		0.50	%		0.08	%		0.09	%		0.13	%		0.28	%
Portfolio turnover rate		20	%**		31	%		32	%		31	%		78	%		53	%

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

† Net investment loss and distributions from net investment income are less than $0.01 per share.

†† Effective January 1, 2005, rebated brokerage commissions are included with realized gain or loss on investment transactions. Prior to January 1, 2005, these amounts were presented as a reduction of expenses. Prior year amounts have not been restated to reflect this change due to immateriality. (See Note 3).

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) The Fund has entered into agreements with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expense of the Fund.

The accompanying notes are an integral part of the financial statements.

229

MassMutual Select Focused Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05††			Year ended 12/31/04			Year ended 12/31/03			Period ended 12/31/02++
Net asset value, beginning of period	$	16.48		$	17.60		$	16.81		$	11.90		$	11.77
Income (loss) from investment operations:
Net investment loss		0.17	***		(0.05	)***		(0.12	)***		(0.11	)***		(0.00	)***†
Net realized and unrealized gain on investments		0.16			0.53			1.94			5.43			0.13
Total income from investment operations		0.33			0.48			1.82			5.32			0.13
Less distributions to shareholders:
From net investment income		-			-			-			(0.00	)†		-
Tax return of capital		-			-			-			(0.41	)		-
From net realized gains		-			(1.60	)		(1.03	)		-			-
Total distributions		-			(1.60	)		(1.03	)		(0.41	)		-
Net asset value, end of period	$	16.81		$	16.48		$	17.60		$	16.81		$	11.90

Total Return(a)		2.00	%(c)**		2.61	% (c)		11.05	% (c)		44.70	% (c)		-	‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	2,090		$	1,820		$	1,006		$	904		$	102
Ratio of expenses to average daily net assets:
Before expense waiver		1.60	%*		1.60	%		1.60	%		1.61	%		-	‡
After expense waiver		N/A			N/A			1.58	% (b)#		1.60	% (b)#		-	‡
Net investment loss to average daily net assets		2.23	%*		(0.27	)%		(0.72	)%		(0.70	)%		-	‡
Portfolio turnover rate		20	%**		31	%		32	%		31	%		78	%

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

† Net investment loss and distributions from net investment income are less than $0.01 per share.

++ Class N commenced operations on December 31, 2002.

‡ Amounts are de minimis due to the short period of operations.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) The Fund has entered into agreements with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expense of the Fund.

(c) Total Return excludes contingent deferred sales charge and would be lower for the periods presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

230

MassMutual Select OTC 100 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	4.12		$	4.09		$	3.74		$	2.53		$	4.08		$	6.08
Income (loss) from investment operations:
Net investment income (loss)		(0.01	)***		(0.02	)***		0.00	***†		(0.03	)***		(0.03	)***		(0.04	)***
Net realized and unrealized gain (loss) on investments		(0.18	)		0.05			0.35			1.24			(1.52	)		(1.96	)
Total income (loss) from investment operations		(0.19	)		0.03			0.35			1.21			(1.55	)		(2.00	)
Less distributions to shareholders:
From net investment income		-			-			(0.00	)†		-			-			-
Net asset value, end of period	$	3.93		$	4.12		$	4.09		$	3.74		$	2.53		$	4.08
Total Return(a)		(4.61	)% (b)**		0.73	% (b)		9.47	% (b)		47.83	%		(37.99	)%		(33.00	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	22,040		$	26,216		$	32,176		$	30,349		$	11,644		$	12,472
Ratio of expenses to average daily net assets:
Before expense waiver		1.14	% *		1.11	%		1.12	%		1.17	%		1.18	%		1.11	%
After expense waiver		N/A			N/A			N/A			1.12	% #		1.04	% #		1.07	% #
Net investment income (loss) to average daily net assets		(0.61	)% *		(0.50	)%		0.12	%		(0.86	)%		(0.90	)%		(0.90	)%
Portfolio turnover rate		3	% **		17	%		30	%		66	%		65	%		45	%
	Class L
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	4.17		$	4.13		$	3.77		$	2.54		$	4.10		$	6.09
Income (loss) from investment operations:
Net investment income (loss)		(0.01	)***		(0.01	)***		0.01	***		(0.02	)***		(0.02	)***		(0.03	)***
Net realized and unrealized gain (loss) on investments		(0.17	)		0.05			0.36			1.25			(1.54	)		(1.96	)
Total income (loss) from investment operations		(0.18	)		0.04			0.37			1.23			(1.56	)		(1.99	)
Less distributions to shareholders:
From net investment income		-			-			(0.01	)		-			-			-
Net asset value, end of period	$	3.99		$	4.17		$	4.13		$	3.77		$	2.54		$	4.10
Total Return(a)		(4.56	)% **		0.97	%		9.82	%		48.43	%		(38.05	)%		(32.68	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	10,014		$	13,000		$	13,101		$	15,508		$	6,389		$	8,225
Ratio of expenses to average daily net assets:
Before expense waiver		0.89	% *		0.86	%		0.87	%		0.91	%		0.93	%		0.86	%
After expense waiver		N/A			N/A			N/A			0.87	% #		0.79	% #		0.82	% #
Net investment income (loss) to average daily net assets		(0.36	)% *		(0.24	)%		0.26	%		(0.61	)%		(0.65	)%		(0.65	)%
Portfolio turnover rate		3	% **		17	%		30	%		66	%		65	%		45	%

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

† Net investment income and distributions from net investment income are less than $0.01 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) Total Return excludes a front-end sales charge and would be lower for the periods presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

231

MassMutual Select OTC 100 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	4.19		$	4.15		$	3.79		$	2.54		$	4.11		$	6.10
Income (loss) from investment operations:
Net investment income (loss)		0.00	***†		(0.00	)***†		0.02	***		(0.01	)***		(0.01	)***		(0.02	)***
Net realized and unrealized gain (loss) on investments		(0.18	)		0.04			0.36			1.26			(1.56	)		(1.97	)
Total income (loss) from investment operations		(0.18	)		0.04			0.38			1.25			(1.57	)		(1.99	)
Less distributions to shareholders:
From net investment income		-			-			(0.02	)		-			-			-
Net asset value, end of period	$	4.01		$	4.19		$	4.15		$	3.79		$	2.54		$	4.11
Total Return(a)		(4.30	)% **		0.96	%		9.98	%		48.63	%		(37.96	)%		(32.62	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	1,734		$	2,628		$	3,777		$	3,827		$	998		$	350
Ratio of expenses to average daily net assets:
Before expense waiver		0.75	% *		0.71	%		0.72	%		0.77	%		0.78	%		0.71	%
After expense waiver		N/A			N/A			N/A			0.73	% #		0.64	% #		0.67	% #
Net investment income (loss) to average daily net assets		(0.20	)% *		(0.11	)%		0.49	%		(0.45	)%		(0.50	)%		(0.50	)%
Portfolio turnover rate		3	% **		17	%		30	%		66	%		65	%		45	%
	Class S
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	4.22		$	4.17		$	3.81		$	2.56		$	4.12		$	6.10
Income (loss) from investment operations:
Net investment income (loss)		0.00	***†		(0.00	)***†		0.02	***		(0.01	)***		(0.01	)***		(0.02	)***
Net realized and unrealized gain (loss) on investments		(0.18	)		0.05			0.36			1.26			(1.55	)		(1.96	)
Total income (loss) from investment operations		(0.18	)		0.05			0.38			1.25			(1.56	)		(1.98	)
Less distributions to shareholders:
From net investment income		-			-			(0.02	)		-			-			-
Net asset value, end of period	$	4.04		$	4.22		$	4.17		$	3.81		$	2.56		$	4.12
Total Return(a)		(4.27	)% **		1.20	%		10.00	%		48.83	%		(37.71	)%		(32.62	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	16,370		$	19,404		$	25,880		$	26,424		$	7,211		$	19,602
Ratio of expenses to average daily net assets:
Before expense waiver		0.64	% *		0.61	%		0.62	%		0.67	%		0.68	%		0.62	%
After expense waiver		N/A			N/A			N/A			0.63	% #		0.54	% #		0.58	% #
Net investment income (loss) to average daily net assets		(0.11	)% *		(0.01	)%		0.45	%		(0.36	)%		(0.41	)%		(0.39	)%
Portfolio turnover rate		3	% **		17	%		30	%		66	%		65	%		45	%

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

† Net investment income (loss) is less than $0.01 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

The accompanying notes are an integral part of the financial statements.

232

MassMutual Select OTC 100 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05			Year ended 12/31/04			Year ended 12/31/03			Period ended 12/31/02++
Net asset value, beginning of period	$	4.07		$	4.05		$	3.71		$	2.52		$	2.53
Income (loss) from investment operations:
Net investment loss		(0.02	)***		(0.03	)***		0.00	***†		(0.04	)***		(0.00	)***†
Net realized and unrealized gain on investments		(0.17	)		0.05			0.34			1.23			(0.01	)
Total income from investment operations		(0.19	)		0.02			0.34			1.19			(0.01	)
Less distributions to shareholders:
From net investment income		-			-			(0.00	)††		-			-
Net asset value, end of period	$	3.88		$	4.07		$	4.05		$	3.71		$	2.52
Total Return(a)		(4.67	)% (b)**		0.49	% (b)		9.25	% (b)		47.22	% (b)		-	‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	424		$	451		$	432		$	150		$	100
Ratio of expenses to average daily net assets:
Before expense waiver		1.44	% *		1.41	%		1.41	%		1.46	%		-	‡
After expense waiver		N/A			N/A			N/A			1.42	% #		-	‡
Net investment loss to average daily net assets		(0.91	)% *		(0.79	)%		0.11	%		(1.15	)%		-	‡
Portfolio turnover rate		3	% **		17	%		30	%		66	%		65	%

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

† Net investment income (loss) is less than $0.01 per share.

†† Distributions from net investment income are less than $0.01 per share.

++ Class N commenced operations on December 31, 2002.

‡ Amounts are de minimis due to the short period of operations.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) Total Return excludes contingent deferred sales charge and would be lower for the periods presented if they reflected these charges.

The accompanying notes are an integral part of the financial statements.

233

MassMutual Select Aggressive Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05††			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01(d)
Net asset value, beginning of period	$	6.47		$	5.89		$	4.96		$	3.80		$	5.28		$	7.75
Income (loss) from investment operations:
Net investment loss		(0.03	)***		(0.06	)***		(0.04	)***		(0.02	)***		(0.02	)***		(0.02	)***
Net realized and unrealized gain (loss) on investments		(0.59	)		0.64			0.97			1.18			(1.46	)		(2.45	)
Total income (loss) from investment operations		(0.62	)		0.58			0.93			1.16			(1.48	)		(2.47	)
Net asset value, end of period	$	5.85		$	6.47		$	5.89		$	4.96		$	3.80		$	5.28
Total Return(a)		(9.58	)% **(c)		9.85	% (c)		18.75	% (c)		30.53	%		(28.03	)%		(31.87	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	119,342		$	137,756		$	117,232		$	65,012		$	37,203		$	34,747
Ratio of expenses to average daily net assets:
Before expense waiver		1.35	% *		1.35	%		1.36	%		1.37	%		1.37	%		1.36	%
After expense waiver		1.31	% *#		1.27	% #		1.30	% (b)#		1.33	% (b)#		1.34	% (b)#		1.35	% #
Net investment income (loss) to average daily net assets		(1.05	)% *		(1.02	)%		(0.67	)%		(0.56	)%		(0.56	)%		(0.33	)%
Portfolio turnover rate		23	% **		24	%		85	%		93	%		112	%		112	%
	Class L
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05††			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01(d)
Net asset value, beginning of period	$	6.56		$	5.97		$	5.01		$	3.82		$	5.31		$	7.77
Income (loss) from investment operations:
Net investment loss		(0.03	)***		(0.05	)***		(0.02	)***		(0.01	)***		(0.01	)***		(0.00	)***†
Net realized and unrealized gain (loss) on investments		(0.59	)		0.64			0.98			1.20			(1.48	)		(2.46	)
Total income (loss) from investment operations		(0.62	)		0.59			0.96			1.19			(1.49	)		(2.46	)
Net asset value, end of period	$	5.94		$	6.56		$	5.97		$	5.01		$	3.82		$	5.31
Total Return(a)		(9.45	)% **		9.88	%		19.16	%		31.15	%		(28.06	)%		(31.66	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	223,978		$	193,605		$	152,518		$	76,120		$	31,012		$	27,980
Ratio of expenses to average daily net assets:
Before expense waiver		1.10	% *		1.10	%		1.11	%		1.12	%		1.12	%		1.11	%
After expense waiver		1.06	% *#		1.02	% #		1.05	% (b)#		1.08	% (b)#		1.09	% (b)#		1.10	% #
Net investment income (loss) to average daily net assets		(0.81	)% *		(0.77	)%		(0.42	)%		(0.32	)%		(0.31	)%		(0.08	)%
Portfolio turnover rate		23	% **		24	%		85	%		93	%		112	%		112	%

* Annualized.

** Percentage represents results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

† Net investment loss is less than $0.01 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) The Fund has entered into agreements with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

(c) Total Return excludes a front-end sales charge and would be lower for the periods presented if it reflected these charges.

(d) The Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premiums and discounts on debt securities. The effect of this change for the year ended December 31, 2001 was an increase to net investment loss per share of less than $0.01, a decrease to net realized and unrealized gains and losses per share of less than $0.01 and an increase in the ratio of net investment loss to average net assets of 0.02%. Per share data and ratios/supplemental data for periods prior to January 1, 2001 have not been restated to reflect this change in presentation.

The accompanying notes are an integral part of the financial statements.

234

MassMutual Select Aggressive Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05††			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01(c)
Net asset value, beginning of period	$	6.61		$	6.00		$	5.03		$	3.83		$	5.31		$	7.77
Income (loss) from investment operations:
Net investment loss		(0.02	)***		(0.04	)***		(0.01	)***		(0.01	)***		(0.01	)***		(0.00	)***†
Net realized and unrealized gain (loss) on investments		(0.60	)		0.65			0.98			1.21			(1.47	)		(2.46	)
Total income (loss) from investment operations		(0.62	)		0.61			0.97			1.20			(1.48	)		(2.46	)
Net asset value, end of period	$	5.99		$	6.61		$	6.00		$	5.03		$	3.83		$	5.31
Total Return(a)		(9.38	)% **		10.17	%		19.28	%		31.33	%		(27.87	)%		(31.66	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	50,439		$	41,705		$	32,242		$	17,333		$	10,145		$	12,095
Ratio of expenses to average daily net assets:
Before expense waiver		0.95	% *		0.95	%		0.96	%		0.97	%		0.97	%		0.96	%
After expense waiver		0.91	% *#		0.87	% #		0.90	% (b)#		0.93	% (b)#		0.94	% (b)#		0.94	% #
Net investment income (loss) to average daily net assets		(0.65	)% *		(0.62	)%		(0.27	)%		(0.16	)%		(0.16	)%		(0.02	)%
Portfolio turnover rate		23	% **		24	%		85	%		93	%		112	%		112	%
	Class S
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05††			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01(c)
Net asset value, beginning of period	$	6.65		$	6.03		$	5.05		$	3.84		$	5.32		$	7.77
Income (loss) from investment operations:
Net investment income (loss)		(0.02	)***		(0.03	)***		(0.01	)***		(0.00	)***†		(0.01	)***		0.01	***
Net realized and unrealized gain (loss) on investments		(0.60	)		0.65			0.99			1.21			(1.47	)		(2.46	)
Total income (loss) from investment operations		(0.62	)		0.62			0.98			1.21			(1.48	)		(2.45	)
Net asset value, end of period	$	6.03		$	6.65		$	6.03		$	5.05		$	3.84		$	5.32
Total Return(a)		(9.32	)% **		10.28	%		19.41	%		31.51	%		(27.82	)%		(31.53	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	235,432		$	240,002		$	198,154		$	108,281		$	46,026		$	76,724
Ratio of expenses to average daily net assets:
Before expense waiver		0.85	% *		0.85	%		0.86	%		0.87	%		0.87	%		0.86	%
After expense waiver		0.81	% *#		0.77	% #		0.80	% (b)#		0.83	% (b)#		0.84	% (b)#		0.85	% #
Net investment income (loss) to average daily net assets		(0.55	)% *		(0.51	)%		(0.17	)%		(0.06	)%		(0.07	)%		0.17	%
Portfolio turnover rate		23	% **		24	%		85	%		93	%		112	%		112	%

* Annualized.

** Percentage represents results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

† Net investment loss is less than $0.01 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) The Fund has entered into agreements with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

(c) The Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premiums and discounts on debt securities. The effect of this change for the year ended December 31, 2001 was an increase to net investment loss per share of less than $0.01, a decrease to net realized and unrealized gains and losses per share of less than $0.01 and an increase in the ratio of net investment loss to average net assets of 0.02%. Per share data and ratios/supplemental data for periods prior to January 1, 2001 have not been restated to reflect this change in presentation.

The accompanying notes are an integral part of the financial statements.

235

MassMutual Select Aggressive Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05††			Year ended 12/31/04			Year ended 12/31/03			Period ended 12/31/02++
Net asset value, beginning of period	$	6.37		$	5.83		$	4.92		$	3.77		$	3.77
Income (loss) from investment operations:
Net investment income (loss)		(0.04	)***		(0.08	)***		(0.05	)***		(0.04	)***		0.00	***†
Net realized and unrealized gain on investments		(0.58	)		0.62			0.96			1.19			(0.00	)†
Total income from investment operations		(0.62	)		0.54			0.91			1.15			0.00
Net asset value, end of period	$	5.75		$	6.37		$	5.83		$	4.92		$	3.77
Total Return(a)		(9.58	)% **(c)		9.26	% (c)		18.50	% (c)		30.50	% (c)		-	‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	869		$	1,034		$	1,144		$	636		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		1.65	% *		1.65	%		1.66	%		1.68	%		-	‡
After expense waiver		1.61	% *#		1.57	% #		1.59	% (b)#		1.64	% (b)#		-	‡
Net investment loss to average daily net assets		(1.35	)% *		(1.32	)%		(0.99	)%		(0.91	)%		-	‡
Portfolio turnover rate		23	% **		24	%		85	%		93	%		112	%

* Annualized.

** Percentage represents results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

† Net investment income and net realized and unrealized losses on investments are less than $0.01 per share.

++ Class N commenced operations on December 31, 2002.

‡ Amounts are de minimis due to the short period of operations.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) The Fund has entered into agreements with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

(c) Total Return excludes contingent deferred sales charge and would be lower for the periods presented if they reflected these charges.

The accompanying notes are an integral part of the financial statements.

236

MassMutual Select Growth Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	8.00		$	7.74		$	7.40		$	6.04		$	8.39		$	11.24
Income (loss) from investment operations:
Net investment income (loss)		0.01	***		0.00	***††		0.00	***††		(0.02	)***		(0.03	)***		(0.03	)***
Net realized and unrealized gain (loss) on investments		(0.44	)		0.26			0.34			1.38			(2.32	)		(2.82	)
Total income (loss) from investment operations		(0.43	)		0.26			0.34			1.36			(2.35	)		(2.85	)
Less distributions to shareholders:
From net investment income		-			(0.00	)†††		(0.00	)†††		-			-			-
Net asset value, end of period	$	7.57		$	8.00		$	7.74		$	7.40		$	6.04		$	8.39
Total Return(a)		(5.38	)% (c)**		3.39	% (c)		4.60	% (c)		22.52	%		(28.01	)%		(25.36	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	146,097		$	229,120		$	224,998		$	206,097		$	79,267		$	75,186
Ratio of expenses to average daily net assets:
Before expense waiver		1.25	% *		1.25	%		1.26	%		1.26	%		1.26	%		1.27	%
After expense waiver		N/A			N/A			1.24	% (b)#		1.18	% (b)#		1.22	% (b)#		1.24	% #
Net investment income (loss) to average daily net assets		0.16	% *		0.05	%		0.01	%		(0.31	)%		(0.41	)%		(0.36	)%
Portfolio turnover rate		69	% **		92	%		181	%		260	%		224	%		279	%
	Class L
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	8.09		$	7.83		$	7.49		$	6.10		$	8.45		$	11.29
Income (loss) from investment operations:
Net investment income (loss)		0.02	***		0.02	***		0.02	***		(0.00	)***††		(0.01	)***		(0.01	)***
Net realized and unrealized gain (loss) on investments		(0.44	)		0.26			0.34			1.39			(2.34	)		(2.83	)
Total income (loss) from investment operations		(0.42	)		0.28			0.36			1.39			(2.35	)		(2.84	)
Less distributions to shareholders:
From net investment income		-			(0.02	)		(0.02	)		-			-			-
Net asset value, end of period	$	7.67		$	8.09		$	7.83		$	7.49		$	6.10		$	8.45
Total Return(a)		(5.19	)% **		3.61	%		4.82	%		22.79	%		(27.81	)%		(25.15	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	337,185		$	291,037		$	276,387		$	201,623		$	99,882		$	112,901
Ratio of expenses to average daily net assets:
Before expense waiver		1.00	% *		1.00	%		1.01	%		1.01	%		1.01	%		1.02	%
After expense waiver		N/A			N/A			0.99	% (b)#		0.92	% (b)#		0.97	% (b)#		0.99	% #
Net investment income (loss) to average daily net assets		0.42	% *		0.30	%		0.29	%		(0.05	)%		(0.17	)%		(0.11	)%
Portfolio turnover rate		69	% **		92	%		181	%		260	%		224	%		279	%

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

†† Net investment income (loss) is less than $0.01 per share.

††† Distribution from net investment income is less than $0.01 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) The Fund has entered into agreements with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

(c) Total Return excludes a front-end sales charge and would be lower for the periods presented if they reflected these charges.

The accompanying notes are an integral part of the financial statements.

237

MassMutual Select Growth Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	8.14		$	7.88		$	7.54		$	6.12		$	8.47		$	11.31
Income (loss) from investment operations:
Net investment income (loss)		0.02	***		0.04	***		0.03	***		0.01	***		(0.00	)***††		0.00	***††
Net realized and unrealized gain (loss) on investments		(0.44	)		0.25			0.34			1.41			(2.35	)		(2.84	)
Total income (loss) from investment operations		(0.42	)		0.29			0.37			1.42			(2.35	)		(2.84	)
Less distributions to shareholders:
From net investment income		-			(0.03	)		(0.03	)		-			-			-
Net asset value, end of period	$	7.72		$	8.14		$	7.88		$	7.54		$	6.12		$	8.47
Total Return(a)		(5.16	)% **		3.72	%		4.92	%		23.20	%		(27.75	)%		(25.11	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	68,627		$	115,290		$	112,683		$	101,937		$	70,469		$	81,552
Ratio of expenses to average daily net assets:
Before expense waiver		0.85	% *		0.85	%		0.86	%		0.86	%		0.86	%		0.87	%
After expense waiver		N/A			N/A			0.84	% (b)#		0.77	%(b)#		0.82	% (b)#		0.84	% #
Net investment income (loss) to average daily net assets		0.60	% *		0.45	%		0.42	%		0.10	%		(0.03	)%		0.04	%
Portfolio turnover rate		69	% **		92	%		181	%		260	%		224	%		279	%
	Class S
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Year ended 12/31/01
Net asset value, beginning of period	$	8.17		$	7.90		$	7.56		$	6.14		$	8.49		$	11.32
Income (loss) from investment operations:
Net investment income		0.03	***		0.04	***		0.04	***		0.01	***		0.00	***††		0.01	***
Net realized and unrealized gain (loss) on investments		(0.45	)		0.27			0.34			1.41			(2.35	)		(2.84	)
Total income (loss) from investment operations		(0.42	)		0.31			0.38			1.42			(2.35	)		(2.83	)
Less distributions to shareholders:
From net investment income		-			(0.04	)		(0.04	)		-			-			-
Net asset value, end of period	$	7.75		$	8.17		$	7.90		$	7.56		$	6.14		$	8.49
Total Return(a)		(5.14	)% **		3.91	%		4.96	%		23.13	%		(27.68	)%		(25.00	)%
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	280,338		$	269,166		$	229,407		$	217,508		$	130,165		$	174,610
Ratio of expenses to average daily net assets:
Before expense waiver		0.79	% *		0.79	%		0.80	%		0.80	%		0.80	%		0.81	%
After expense waiver		N/A			N/A			0.78	% (b)#		0.71	%(b)#		0.76	% (b)#		0.78	% #
Net investment income (loss) to average daily net assets		0.64	% *		0.51	%		0.48	%		0.16	%		0.04	%		0.10	%
Portfolio turnover rate		69	% **		92	%		181	%		260	%		224	%		279	%

* Annualized

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

†† Net investment income (loss) is less than $0.01 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) The Fund has entered into agreements with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

The accompanying notes are an integral part of the financial statements.

238

MassMutual Select Growth Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†			Year ended 12/31/04			Year ended 12/31/03			Period ended 12/31/02++
Net asset value, beginning of period	$	7.89		$	7.65		$	7.34		$	6.01		$	6.01
Income (loss) from investment operations:
Net investment income		(0.00	)***††		(0.02	)***		(0.02	)***		(0.05	)***		0.00	***††
Net realized and unrealized gain on investments		(0.43	)		0.26			0.33			1.38			(0.00	)††
Total income from investment operations		(0.43	)		0.24			0.31			1.33			0.00
Net asset value, end of period	$	7.46		$	7.89		$	7.65		$	7.34		$	6.01
Total Return(a)		(5.45	)% (c)**		3.14	% (c)		4.22	% (c)		22.13	% (c)		-	‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	77		$	1,294		$	1,472		$	1,661		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		1.55	% *		1.55	%		1.56	%		1.57	%		-	‡
After expense waiver		N/A			N/A			1.54	% (b)#		1.52	% (b)#		-	‡
Net investment income to average daily net assets		(0.11	)% *		(0.25	)%		(0.31	)%		(0.65	)%		-	‡
Portfolio turnover rate		69	% **		92	%		181	%		260	%		224	%

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

†† Net investment income (loss) and net realized and unrealized loss on investments are less then $.01 per share.

‡ Amounts are de minimis due to short period of operations.

(b) The Fund has entered into agreements with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(c) Total Return excludes a contingent deferred sales charge and would be lower for the periods presented if they reflected these charges.

++ Class N commenced operations on December 31,2002.

The accompanying notes are an integral part of the financial statements.

239

MassMutual Select Large Cap Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05††			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	10.29		$	9.03		$	8.48		$	6.97		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment loss		(0.04	)***		(0.06	)***		(0.02	)***		(0.03	)***		(0.04	)***		-
Net realized and unrealized gain (loss) on investments		(0.72	)		1.32			0.57			1.54			(2.99	)		-
Total income (loss) from investment operations		(0.76	)		1.26			0.55			1.51			(3.03	)		0.00
Net asset value, end of period	$	9.53		$	10.29		$	9.03		$	8.48		$	6.97		$	10.00
Total Return(a)		(7.39	)% (c)**		13.95	% (c)		6.49	% (c)		21.66	%		(30.30	)%		-
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	6,281		$	3,452		$	1,997		$	1,374		$	826		$	1
Ratio of expenses to average daily net assets:
Before expense waiver		1.41	% *		1.38	%		1.37	%		1.34	%		1.40	%		-
After expense waiver		N/A			1.35	% #		1.25	% (b)#		1.25	% (b)#		1.22	% (b)#		-
Net investment loss to average daily net assets		(0.70	)% *		(0.65	)%		(0.20	)%		(0.34	)%		(0.48	)%		-
Portfolio turnover rate		46	% **		83	%		68	%		47	%		56	%		-
	Class L
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05††			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	10.53		$	9.09		$	8.52		$	6.99		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income (loss)		(0.02	)***		(0.05	)***		0.00	***†††		(0.01	)***		(0.01	)***		-
Net realized and unrealized gain (loss) on investments		(0.75	)		1.49			0.57			1.54			(3.00	)		-
Total income (loss) from investment operations		(0.77	)		1.44			0.57			1.53			(3.01	)		0.00
Less distributions to shareholders:
From net investment income		-			-			(0.00	)†		-			-			-
Net asset value, end of period	$	9.76		$	10.53		$	9.09		$	8.52		$	6.99		$	10.00
Total Return(a)		(7.31	)% **		15.84	%		6.72	%		21.89	%		(30.10	)%		-
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	2,132		$	1,032		$	9,272		$	7,628		$	3,883		$	1
Ratio of expenses to average daily net assets:
Before expense waiver		1.17	% *		1.09	%		1.12	%		1.09	%		1.15	%		-
After expense waiver		N/A			1.06	% #		1.00	% (b)#		1.00	% (b)#		0.98	% (b)#		-
Net investment income (loss) to average daily net assets		(0.35	)% *		(0.55	)%		0.04	%		(0.08	)%		(0.20	)%		-
Portfolio turnover rate		46	% **		83	%		68	%		47	%		56	%		-

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

† Distributions from net investment income was less than $0.01 per share.

††† Net investment income was less than $0.01 per share.

+ The Fund commenced operations on December 31, 2001.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) The Fund has entered into agreements with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

(c) Total Return excludes a front-end sales charge and would be lower for the period presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

240

MassMutual Select Large Cap Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05††			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	10.42		$	9.10		$	8.53		$	7.00		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income (loss)		(0.01	)***		(0.02	)***		0.02	***		0.01	***		(0.01	)***		-
Net realized and unrealized gain (loss) on investments		(0.75	)		1.34			0.57			1.53			(2.99	)		-
Total income (loss) from investment operations		(0.76	)		1.32			0.59			1.54			(3.00	)		0.00
Less distributions to shareholders:
From net investment income		-			-			(0.02	)		(0.01	)		-			-
Net asset value, end of period	$	9.66		$	10.42		$	9.10		$	8.53		$	7.00		$	10.00
Total Return(a)		(7.29	)% **		14.51	%		6.86	%		22.04	%		(30.00	)%		-
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	9,284		$	12,099		$	9,052		$	7,697		$	78		$	1
Ratio of expenses to average daily net assets:
Before expense waiver		0.99	% *		0.98	%		0.97	%		0.94	%		1.00	%		-
After expense waiver		N/A			0.95	% #		0.85	% (b)#		0.86	% (b)#		0.82	% (b)#		-
Net investment income (loss) to average daily net assets		(0.29	)% *		(0.26	)%		0.19	%		0.08	%		(0.11	)%		-
Portfolio turnover rate		46	% **		83	%		68	%		47	%		56	%		-
	Class S
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05††			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	10.46		$	9.14		$	8.55		$	7.01		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income (loss)		(0.01	)***		(0.02	)***		0.01	***		0.01	***		(0.00	)***†		-
Net realized and unrealized gain (loss) on investments		(0.74	)		1.34			0.59			1.54			(2.99	)		-
Total income (loss) from investment operations		(0.75	)		1.32			0.60			1.55			(2.99	)		0.00
Less distributions to shareholders:
From net investment income		-			-			(0.01	)		(0.01	)		-			-
Net asset value, end of period	$	9.71		$	10.46		$	9.14		$	8.55		$	7.01		$	10.00
Total Return(a)		(7.17	)% **		14.44	%		7.08	%		22.05	%		(29.90	)%		-
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	17,681		$	26,241		$	18,791		$	33,787		$	28,029		$	10,001
Ratio of expenses to average daily net assets:
Before expense waiver		0.95	% *		0.94	%		0.93	%		0.90	%		0.96	%		-
After expense waiver		N/A			0.91	% #		0.81	% (b)#		0.81	% (b)#		0.77	% (b)#		-
Net investment income (loss) to average daily net assets		(0.25	)% *		(0.21	)%		0.16	%		0.11	%		(0.05	)%		-
Portfolio turnover rate		46	% **		83	%		68	%		47	%		56	%		-

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

† Net investment loss is less than $0.01 per share.

+ The Fund commenced operations on December 31, 2001.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) The Fund has entered into agreements with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

The accompanying notes are an integral part of the financial statements.

241

MassMutual Select Large Cap Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05††			Year ended 12/31/04			Year ended 12/31/03			Period ended 12/31/02++
Net asset value, beginning of period	$	10.31		$	9.07		$	8.42		$	6.94		$	6.95
Income (loss) from investment operations:
Net investment income		(0.05	)***		(0.09	)***		(0.07	)***		(0.05	)***		(0.00	)***†
Net realized and unrealized gain on investments		(0.74	)		1.33			0.72			1.53			(0.01	)
Total income from investment operations		(0.79	)		1.24			0.65			1.48			(0.01	)
Net asset value, end of period	$	9.52		$	10.31		$	9.07		$	8.42		$	6.94
Total Return(a)		(7.57	)% (c)**		13.67	% (c)		7.72	% (c)		21.33	% (c)		-	‡
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	1		$	1		$	5		$	125		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		1.70	% *		1.66	%		1.67	%		1.64	%		-	‡
After expense waiver		N/A			1.63	% #		1.56	% (b)#		1.55	% (b)#		-	‡
Net investment income to average daily net assets		(0.91	)% *		(0.94	)%		(0.83	)%		(0.63	)%		-	‡
Portfolio turnover rate		46	% **		83	%		68	%		47	%		56	%

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

† Net investment loss is less than $0.01 per share.

++ Class N commenced operations on December 31, 2002.

‡ Amounts are de minimis due to the short period of operations.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) The Fund has entered into agreements with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

(c) Total Return excludes contingent deferred sales charge and would be lower for the periods presented if they reflected these charges.

The accompanying notes are an integral part of the financial statements.

242

MassMutual Select Blue Chip Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†††			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	9.01		$	8.74		$	8.33		$	6.72		$	9.07		$	10.00
Income (loss) from investment operations:
Net investment income (loss)		(0.01	)***		(0.02	)***		0.03	***		(0.01	)***		(0.01	)***		(0.02	)***
Net realized and unrealized gain (loss) on investments		(0.18	)		0.29			0.41			1.63			(2.34	)		(0.91	)
Total income (loss) from investment operations		(0.19	)		0.27			0.44			1.62			(2.35	)		(0.93	)
Less distributions to shareholders:
From net investment income		-			-			(0.03	)		(0.01	)		(0.00	)††		-
Net asset value, end of period	$	8.82		$	9.01		$	8.74		$	8.33		$	6.72		$	9.07
Total Return(a)		(2.11	)% (c)**		3.09	% (c)		5.32	% (c)		24.09	%		(25.91	)%		(9.30	)% **
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	34,582		$	36,742		$	37,377		$	26,955		$	4,914		$	1,006
Ratio of expenses to average daily net assets:
Before expense waiver		1.39	% *		1.39	%		1.38	%		1.39	%		1.38	%		1.39	% *
After expense waiver		1.34	% *#		N/A			1.38	% (b)#		1.38	% (b)#		1.38	% #		1.39	% *#
Net investment income (loss) to average daily net assets		(0.16	)% *		(0.20	)%		0.37	%		(0.13	)%		(0.20	)%		(0.39	)% *
Portfolio turnover rate		77	% **		28	%		22	%		23	%		30	%		27	% **
	Class L
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†††			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	9.10		$	8.81		$	8.39		$	6.76		$	9.09		$	10.00
Income (loss) from investment operations:
Net investment income (loss)		0.00	***†		0.00	***†		0.05	***		0.01	***		(0.00	)***†		(0.01	)***
Net realized and unrealized gain (loss) on investments		(0.18	)		0.29			0.42			1.63			(2.33	)		(0.90	)
Total income (loss) from investment operations		(0.18	)		0.29			0.47			1.64			(2.33	)		(0.91	)
Less distributions to shareholders:
From net investment income		-			-			(0.05	)		(0.01	)		-			-
Net asset value, end of period	$	8.92		$	9.10		$	8.81		$	8.39		$	6.76		$	9.09
Total Return(a)		(1.98	)% **		3.32	%		5.58	%		24.25	%		(25.63	)%		(9.10	)% **
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	267,514		$	270,082		$	301,734		$	302,292		$	217,427		$	314,290
Ratio of expenses to average daily net assets:
Before expense waiver		1.14	% *		1.14	%		1.13	%		1.13	%		1.13	%		1.14	% *
After expense waiver		1.09	% *#		N/A			1.13	% (b)#		1.12	% (b)#		1.13	% #		1.14	% *#
Net investment income (loss) to average daily net assets		0.10	% *		0.05	%		0.54	%		0.14	%		(0.05	)%		(0.18	)% *
Portfolio turnover rate		77	% **		28	%		22	%		23	%		30	%		27	% **

* Annualized.

** Percentages represent results for the period and are not annualized.

*** Per share amount calculated on the average shares method.

† Net investment income (loss) is less than $0.01 per share.

†† Distributions from net investment income is less than $0.01 per share.

††† Effective January 1, 2005, brokerage commissions are included with realized gain or loss on investment transactions. Prior to January 1, 2005, these amounts were presented as a reduction of expenses. Prior year amounts have not been restated to reflect this change due to immateriality. (See Note 3).

+ For the period from June 1, 2001 (commencement of operations) through December 31, 2001.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

(b) The Fund has entered into agreements with certain brokers to rebate a portion of brokerage commissions. The rebated commissions are used to reduce operating expenses of the Fund.

(c) Total Return excludes a front-end sales charge and would be lower for the periods presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

243

MassMutual Select Blue Chip Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†††			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	9.11		$	8.82		$	8.39		$	6.77		$	9.10		$	10.00
Income (loss) from investment operations:
Net investment income (loss)		0.02	***		0.01	***		0.06	***		0.02	***		0.01	***		(0.00	)**†
Net realized and unrealized gain (loss) on investments		(0.19	)		0.30			0.43			1.62			(2.34	)		(0.90	)
Total income (loss) from investment operations		(0.17	)		0.31			0.49			1.64			(2.33	)		(0.90	)
Less distributions to shareholders:
From net investment income		-			(0.02	)		(0.06	)		(0.02	)		(0.00	)††		-
Net asset value, end of period	$	8.94		$	9.11		$	8.82		$	8.39		$	6.77		$	9.10
Total Return(a)		(1.87	)% **		3.46	%		5.83	%		24.26	%		(25.56	)%		(9.00	)% **
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	40,710		$	4,732		$	4,331		$	3,626		$	827		$	617
Ratio of expenses to average daily net assets:
Before expense waiver		1.00	% *		1.02	%		1.01	%		1.01	%		1.01	%		1.02	% *
After expense waiver		0.95	% *#		N/A			1.01	% (b)#		1.01	% (b)#		1.01	% #		1.01	% *#
Net investment income (loss) to average daily net assets		0.37	% *		0.17	%		0.68	%		0.26	%		0.12	%		(0.02	)% *
Portfolio turnover rate		77	% **		28	%		22	%		23	%		30	%		27	% **
	Class S
	Six months ended 6/30/06 (Unaudited)			Year ended 12/31/05†††			Year ended 12/31/04			Year ended 12/31/03			Year ended 12/31/02			Period ended 12/31/01+
Net asset value, beginning of period	$	9.14		$	8.84		$	8.42		$	6.78		$	9.10		$	10.00
Income (loss) from investment operations:
Net investment income		0.02	***		0.03	***		0.07	***		0.03	***		0.02	***		0.00	***†
Net realized and unrealized gain (loss) on investments		(0.19	)		0.30			0.42			1.64			(2.33	)		(0.90	)
Total income (loss) from investment operations		(0.17	)		0.33			0.49			1.67			(2.31	)		(0.90	)
Less distributions to shareholders:
From net investment income		-			(0.03	)		(0.07	)		(0.03	)		(0.01	)		-
Net asset value, end of period	$	8.97		$	9.14		$	8.84		$	8.42		$	6.78		$	9.10
Total Return(a)		(1.86	)% **		3.68	%		5.80	%		24.58	%		(25.43	)%		(9.00	)% **
Ratios / Supplemental Data:
Net assets, end of period (000's)	$	59,488		$	71,627		$	79,072		$	91,674		$	72,210		$	113,011
Ratio of expenses to average daily net assets:
Before expense waiver		0.89	% *		0.88	%		0.88	%		0.88	%		0.88	%		0.89	% *
After expense waiver		0.84	% *#		N/A			0.87	% (b)#		0.87	% (b)#		0.88	% #		0.89	% *#
Net investment income to average daily net assets		0.33	% *		0.30	%		0.77	%		0.39	%		0.20	%		0.07	% *
Portfolio turnover rate		77	% **		28	%		22	%		23	%		30	%		27	% **