MassMutual Equity Opports I (MFVZX) N-CSRS Certified semi-annual shareholder report (management investment company)

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)

Eric Wietsma

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: 12/31/2011

Date of reporting period: 6/30/2011

Item 1. Reports to Stockholders.

Table of Contents

President’s Letter to Shareholders	1
Portfolio Summaries	3
Portfolio of Investments
MassMutual Select PIMCO Total Return Fund	27
MassMutual Select Strategic Bond Fund	35
MassMutual Select Strategic Balanced Fund	47
MassMutual Select BlackRock Global Allocation Fund	58
MassMutual Select Diversified Value Fund	74
MassMutual Select Fundamental Value Fund	79
MassMutual Select Value Equity Fund	81
MassMutual Select Large Cap Value Fund	83
MassMutual Select Indexed Equity Fund	86
MassMutual Select Core Opportunities Fund	93
MassMutual Select Blue Chip Growth Fund	96
MassMutual Select Large Cap Growth Fund	99
MassMutual Select Growth Opportunities Fund	102
MassMutual Select NASDAQ-100® Fund	104
MassMutual Select Focused Value Fund	106
MassMutual Select Mid-Cap Value Fund	107
MassMutual Select Small Cap Value Equity Fund	110
MassMutual Select Small Company Value Fund	113
MassMutual Select Mid Cap Growth Equity Fund	119
MassMutual Select Mid Cap Growth Equity II Fund	123
MassMutual Select Small Cap Growth Equity Fund	127
MassMutual Select Small Company Growth Fund	131
MassMutual Select Diversified International Fund	135
MassMutual Select Overseas Fund	137
Statements of Assets and Liabilities	142
Statements of Operations	158
Statements of Changes in Net Assets	166
Financial Highlights	178
Notes to Financial Statements	247
Other Information
Proxy Voting	328
Quarterly Reporting	328
Trustees’ Approval of Investment Advisory Contracts	328
Fund Expenses	333

This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MassMutual Select Funds. Investors should consider a Fund’s investment objective, risks and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.

MassMutual Select Funds – President’s Letter to Shareholders

To Our Shareholders

Eric Wietsma

“The financial markets don’t always do what seems most logical. That’s why trying to predict market behavior can be so unwise. Maintaining a long-term outlook despite short-term market gyrations is not always easy, especially in this world of real-time, full-time access to investment information. With 2011 half over, now may be an appropriate time to consult with your financial professional and review your overall retirement investing strategy – particularly your risk tolerance, time horizon, and anticipated spending needs – to make sure you are giving yourself the best opportunity to reach your financial goals.”

June 30, 2011

Welcome to the MassMutual Select Funds Semiannual Report covering the six months ended June 30, 2011. Domestic stock markets advanced for the first half of the year, despite losing significant ground in May and June when fresh concerns surfaced about the sustainability of the U.S. economic recovery and Greece’s fiscal woes once again took center stage. On the economic front, unemployment levels began to moderate in the first quarter, but climbed to a level of 9.1% in the second. The housing market continued to suffer from persistent weakness, and new home prices hit their lowest levels since mid-2000. Furthermore, numerous problems, including debt concerns in Europe, continued unrest in the Middle East, and the earthquake-triggered tragedies in Japan, caused significant investor anxiety – which prompted commodity prices (particularly oil and gold) to rise steadily in the first quarter, only to pull back somewhat in the second. Against this backdrop, the U.S. dollar lost significant traction against most other major world currencies except the Japanese yen.

Key events that defined the period

During the first six months of 2011, the U.S. government’s long-term fiscal situation garnered increasingly frequent headlines focused on the budget and the ongoing discussion over where to cut spending – and whether or not to raise taxes. Key areas of debate included Medicare, Medicaid, the 2010 Affordable Care Act, Social Security, defense spending, and farm subsidies. In the investment markets, many pundits believed that the Federal Reserve’s (the “Fed”) November 2010 decision to engage in another round of quantitative easing – known as QE2 – was the main driver of the equity markets in late 2010 and early 2011. However, as the second quarter came to a close, so did QE2.

On the international stage, ongoing unrest in Egypt and Libya contributed to continued volatility in oil prices. Commodity prices (including oil) declined somewhat starting in June, however, and drivers got some relief toward the end of the month when President Obama announced the release of millions of barrels of oil from the U.S. Strategic Petroleum Reserve, which helped drive gasoline prices lower. In Japan, the one-two-three punch of an earthquake, tsunami, and nuclear accident resulted in widespread loss of life and property destruction, which had a devastating impact on the Japanese economy – and reverberating effects (although to a much lesser degree) on numerous economies throughout the world.

During the last week of June, Greece implemented a €78 billion (euro) package of austerity measures, which qualified the struggling country to receive the next portion of bailout funds from the European Union and avoid the euro area’s first member default. Investors breathed a sigh of relief, and equity markets surged.

Domestic stock indexes turned in positive returns for the six months ended June 30, 2011. The Dow Jones Industrial Average^SM, a measure of blue-chip domestic stock performance, advanced the most, with its 7.23% return. Similarly, the S&P 500^® Index, an indicator of large-cap stock performance, gained 6.02%, while the technology-focused NASDAQ Composite^® Index returned 4.55%. The Russell 2000^® Index, which tracks the progress of small-cap stocks, gained 6.21% for the six months. Finally, the MSCI^® EAFE^® Index, an indicator of foreign developed-market stocks, posted a 4.98% return. Fixed-income investments made a bit of progress during the period, but mainly trailed stocks, as the Barclays Capital U.S. Aggregate Bond Index advanced 2.72%.*

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

(Continued)

1

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

Unemployment, housing, and gross domestic product

One of the most challenging economic issues of the past few years has been the high rate of unemployment in the U.S. Some reasons for optimism with respect to this key economic measure emerged during the six months, but problems remained. For example, in March, American companies added 216,000 jobs, more than the 190,000 that had been projected by a number of leading economists. Nevertheless, in June, it was reported that the U.S. unemployment rate had risen to 9.1% after the creation of only 54,000 jobs in May. The market had been expecting an easing of the unemployment rate to 8.9% and the creation of 160,000 jobs. Initial claims for unemployment benefits by U.S. workers remained above 400,000 throughout the month – a weekly figure below 400,000 is generally seen as an indicator that the economy is adding more jobs than it is losing.

Despite the challenges, there were some reasons for optimism as June came to a close. Indeed, the Fed kept its commitment to low interest rates for an extended period of time following its late June meeting, and Fed Chairman Ben Bernanke announced the end of QE2. Additionally, the release of first quarter 2011 gross domestic product (“GDP”) figures showed the economy still growing, although at a slower pace than during the fourth quarter of 2010.

Keeping it in perspective

Unsettling news on the economy, the end of QE2, and more problems from the euro zone present a challenging backdrop for stock prices. Yet, the S&P 500 Index closed the second quarter above 1,320, down less than 4% from its recent highs. The financial markets don’t always do what seems most logical. That’s why trying to predict market behavior can be so unwise. Maintaining a long-term outlook despite short-term market gyrations is not always easy, especially in this world of real-time, full-time access to investment information. With 2011 half over, now may be an appropriate time to consult with your financial professional and review your overall retirement investing strategy – particularly your risk tolerance, time horizon, and anticipated spending needs – to make sure you are giving yourself the best opportunity to reach your financial goals.

Thank you for your continued confidence in MassMutual. Our goal is to help you weather the short-term uncertainties in the financial markets today – so you can help yourself achieve a more secure financial future.

Sincerely,

Eric Wietsma

President

The information provided is the opinion of MassMutual Retirement Services Investment Services as of 7/1/11 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.

2

MassMutual Select Funds – Portfolio Summaries

What is the investment approach of MassMutual Select PIMCO Total Return Fund, and who is the Fund’s subadviser?

The Fund seeks maximum total return, consistent with preservation of capital and prudent investment management by investing, under normal circumstances, at least 65% of its total assets in a diversified portfolio of fixed income securities and other debt instruments of domestic and foreign entities. The Fund’s subadviser is Pacific Investment Management Company LLC (PIMCO).

MassMutual Select PIMCO Total Return Fund Quality Structure (% of Net Assets) on 6/30/11 (Unaudited)
U.S. Government, Aaa/AAA	26.6	%
Aa/AA	17.3	%
A/A	14.9	%
Baa/BBB	13.0	%
Ba/BB	4.9	%
B and Below	4.4	%
Equities	1.5	%
Purchased Options	0.0	%
Total Long-Term Investments	82.6	%
Short-Term Investments and Other Assets and Liabilities	17.4	%
Net Assets	100.0	%
Securities Sold Short	(0.8	)%

MassMutual Select PIMCO Total Return Fund Country Weightings (% of Net Assets) on 6/30/11 (Unaudited)
United States	46.1	%
United Kingdom	10.6	%
France	3.9	%
Ireland	3.0	%
Spain	2.5	%
Australia	2.2	%
Cayman Islands	2.1	%
Netherlands	1.8	%
Canada	1.8	%
Mexico	1.7	%
Luxembourg	1.5	%
Italy	1.1	%
Russia	0.9	%
Switzerland	0.8	%
Japan	0.5	%
United Arab Emirates	0.4	%
India	0.4	%
Germany	0.4	%
Brazil	0.4	%
Bermuda	0.2	%
Qatar	0.1	%
Chile	0.1	%
Republic of Korea	0.1	%
Sweden	0.0	%
Total Long-Term Investments	82.6	%
Short-Term Investments and Other Assets and Liabilities	17.4	%
Net Assets	100.0	%

3

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Strategic Bond Fund, and who are the Fund’s subadvisers?

The Fund seeks a superior total rate of return by investing in fixed income instruments. Under normal circumstances, the Fund invests at least 80% of its net assets in U.S. dollar-denominated fixed income securities and other debt instruments of domestic and foreign entities, including corporate bonds, securities issued or guaranteed as to principal or interest by the U.S. government or its agencies or instrumentalities, mortgage-backed or asset-backed securities and money market instruments. The Fund’s subadvisers are Western Asset Management Company (Western Asset) and its affiliate, Western Asset Management Company Limited (Western Asset Limited). Western Asset Limited manages the non-U.S. dollar denominated investments of the Fund.

MassMutual Select Strategic Bond Fund Quality Structure (% of Net Assets) on 6/30/11 (Unaudited)
U.S. Government, Aaa/AAA	66.3	%
Aa/AA	6.2	%
A/A	13.4	%
Baa/BBB	9.0	%
Ba/BB	2.4	%
B and Below	2.1	%
Equities	0.2	%
Purchased Options	0.0	%
Warrants	0.0	%
Total Long-Term Investments	99.6	%
Short-Term Investments and Other Assets and Liabilities	0.4	%
Net Assets	100.0	%

4

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Strategic Balanced Fund, and who are the Fund’s subadvisers?

The Fund seeks long-term capital growth, consistent with preservation of capital and balanced by current income by investing in a mix of equity securities and fixed income securities pursuant to a multi-managed approach under which two subadvisers independently manage different portions of the Fund’s assets. J.P. Morgan Investment Management Inc. (J.P. Morgan) manages the equity component and Western Asset Management Company (Western Asset) and its affiliate, Western Asset Management Company Limited (Western Asset Limited), manage the fixed income component. Western Asset Limited manages the non-U.S. dollar denominated investments of Western Asset’s portion of the Fund. The Fund’s target allocation is 65% to equity securities and 35% to fixed income securities; however, the allocation may fluctuate based on cash-flow activity and market conditions, among other factors. As of June 30, 2011, the Fund’s portfolio comprised 67% equity securities and 33% fixed income securities.

MassMutual Select Strategic Balanced Fund Asset Allocation (% of Net Assets) on 6/30/11 (Unaudited)
Equities	67.7	%
Bonds & Notes	31.1	%
Purchased Options	0.0	%
Warrants	0.0	%
Total Long-Term Investments	98.8	%
Short-Term Investments and Other Assets and Liabilities	1.2	%
Net Assets	100.0	%

MassMutual Select Strategic Balanced Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Apple, Inc.	1.9	%
Pool #9104 Government National Mortgage Association TBA 4.500% 7/01/39	1.7	%
U.S. Treasury Note 3.625% 2/15/21	1.5	%
Pool #1207 Government National Mortgage Association TBA 4.500% 3/01/40	1.5	%
Pool #15801 Federal National Mortgage Association TBA 4.500% 3/01/39	1.5	%
Time Warner, Inc.	1.4	%
Schlumberger Ltd.	1.3	%
Exxon Mobil Corp.	1.2	%
Pool #AD1593 Federal National Mortgage Association 4.500% 2/01/40	1.1	%
Chevron Corp.	1.1	%
	14.2	%

MassMutual Select
Strategic Balanced Fund
Country Weightings
(% of Net Assets) on 6/30/11
(Unaudited)

United States	72.4	%
United Kingdom	6.1	%
Japan	3.9	%
France	2.5	%
Germany	2.0	%
Switzerland	2.0	%
Netherlands Antilles	1.3	%
Netherlands	1.1	%
Ireland	0.7	%
Italy	0.7	%
Cayman Islands	0.7	%
Bermuda	0.5	%
Canada	0.5	%
Panama	0.5	%
Hong Kong	0.4	%
Belgium	0.4	%
Spain	0.3	%
Israel	0.3	%
Australia	0.3	%
Sweden	0.3	%
Finland	0.3	%
Republic of Korea	0.2	%
Channel Islands	0.2	%
Norway	0.2	%
Taiwan	0.2	%
Denmark	0.2	%
Indonesia	0.2	%
Austria	0.1	%
Mexico	0.1	%
Singapore	0.1	%
Russia	0.1	%
Iceland	0.0	%
China	0.0	%
Total Long-Term Investments	98.8	%
Short-Term Investments and Other Assets and Liabilities	1.2	%
Net Assets	100.0	%

5

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select BlackRock Global Allocation Fund, and who is the Fund’s subadviser?

The Fund seeks long-term total return by investing in both equity and debt securities, including money market securities and other short-term debt obligations, of issuers located around the world, including emerging markets, without limitation on the percentage of assets the Fund can invest in a particular type of security. The Fund’s subadviser is BlackRock Investment Management, LLC (BlackRock). Effective April 1, 2011, the name of this Fund changed from MassMutual Select Global Allocation Fund to MassMutual Select BlackRock Global Allocation Fund. The Fund’s investment approach remains the same.

MassMutual Select BlackRock Global Allocation Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Market Vectors – Gold Miners ETF	2.2	%
U.S. Treasury Note 3.500% 5/15/20	1.7	%
U.S. Treasury Note 2.625% 8/15/20	1.3	%
Exxon Mobil Corp.	1.2	%
Republic of Germany 4.250% 7/04/17	1.1	%
United Kingdom Gilt 4.750% 3/07/20	1.1	%
U.S. Treasury Note 2.250% 1/31/15	1.0	%
Apple, Inc.	1.0	%
U.S. Treasury Note 2.250% 3/31/16	1.0	%
U.S. Treasury Note 2.500% 3/31/15	0.9	%
	12.5	%

MassMutual Select BlackRock Global Allocation Fund Asset Allocation (% of Net Assets) on 6/30/11 (Unaudited)
Equities	64.5	%
Bonds & Notes	26.8	%
Mutual Funds	3.2	%
Purchased Options	0.2	%
Structured Options (Over The Counter Traded)	0.0	%
Warrants	0.0	%
Total Long-Term Investments	94.7	%
Short-Term Investments and Other Assets and Liabilities	5.3	%
Net Assets	100.0	%

MassMutual Select BlackRock Global Allocation Fund Country Weightings (% of Net Assets) on 6/30/11 (Unaudited)
United States	48.0	%
Japan	6.5	%
United Kingdom	4.9	%
Germany	4.2	%
Brazil	3.9	%
Canada	3.0	%
Singapore	2.1	%
Malaysia	1.7	%
Australia	1.6	%
Switzerland	1.6	%
Hong Kong	1.6	%
Republic of Korea	1.5	%
France	1.4	%
India	1.3	%
Russia	1.2	%
Mexico	1.0	%
Taiwan	1.0	%
Cayman Islands	0.9	%
China	0.9	%
Bermuda	0.7	%
Turkey	0.7	%
Netherlands	0.5	%
Spain	0.4	%
Luxembourg	0.4	%
Netherlands Antilles	0.4	%
Ireland	0.4	%
Italy	0.4	%
Thailand	0.3	%
South Africa	0.2	%
Chile	0.2	%
Israel	0.2	%
Norway	0.2	%
Poland	0.2	%
Kazakhstan	0.1	%
Finland	0.1	%
Indonesia	0.1	%
Channel Islands	0.1	%
Panama	0.1	%
Argentina	0.1	%
Belgium	0.1	%
Ukraine	0.1	%
Czech Republic	0.1	%
Bahamas	0.1	%
Egypt	0.1	%
New Zealand	0.1	%
Philippines	0.0	%
Vietnam	0.0	%
Trinidad And Tobago	0.0	%
Portugal	0.0	%
Austria	0.0	%
Cyprus	0.0	%
Total Long-Term Investments	94.7	%
Short-Term Investments and Other Assets and Liabilities	5.3	%
Net Assets	100.0	%

6

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Diversified Value Fund, and who are the Fund’s subadvisers?

The Fund seeks to achieve long-term growth of capital and income by investing primarily in a diversified portfolio of equity securities of larger, well-established companies. The Fund normally invests at least 80% of its net assets in stocks, securities convertible into stocks, and other securities, such as warrants and stock rights, whose value is based on stock prices. The Fund’s subadvisers are Brandywine Global Investment Management, LLC (Brandywine Global), which managed approximately 46% of the Fund’s portfolio; and Loomis, Sayles & Company, L.P. (Loomis Sayles), which was responsible for approximately 54% of the Fund’s portfolio, as of June 30, 2011.

MassMutual Select Diversified Value Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
General Electric Co.	3.2	%
Chevron Corp.	3.0	%
JP Morgan Chase & Co.	2.9	%
AT&T, Inc.	2.7	%
Pfizer, Inc.	2.2	%
Wells Fargo & Co.	1.9	%
Comcast Corp. Class A	1.8	%
UnitedHealth Group, Inc.	1.6	%
International Business Machines Corp.	1.5	%
Exxon Mobil Corp.	1.4	%
	22.2	%

MassMutual Select Diversified Value Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Consumer, Non-cyclical	21.1	%
Financial	19.3	%
Communications	12.9	%
Industrial	12.2	%
Energy	11.7	%
Consumer, Cyclical	7.4	%
Technology	5.8	%
Utilities	4.6	%
Basic Materials	2.9	%
Mutual Funds	0.5	%
Diversified	0.1	%
Total Long-Term Investments	98.5	%
Short-Term Investments and Other Assets and Liabilities	1.5	%
Net Assets	100.0	%

7

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Fundamental Value Fund, and who is the Fund’s subadviser?

The Fund seeks long-term total return by investing primarily in equity securities of issuers that the Fund’s subadviser believes are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in equity securities, with a focus on companies with large market capitalizations (generally, above $2 billion). The Fund’s subadviser is Wellington Management Company, LLP (Wellington Management).

MassMutual Select Fundamental Value Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Chevron Corp.	3.1	%
Wells Fargo & Co.	3.1	%
AT&T, Inc.	3.1	%
JP Morgan Chase & Co.	3.0	%
Pfizer, Inc.	2.5	%
Occidental Petroleum Corp.	2.2	%
General Electric Co.	2.2	%
ACE Ltd.	2.0	%
Comcast Corp. Class A	2.0	%
PNC Financial Services Group, Inc.	1.9	%
	25.1	%

MassMutual Select Fundamental Value Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Financial	23.3	%
Consumer, Non-cyclical	19.6	%
Energy	12.9	%
Industrial	12.6	%
Consumer, Cyclical	7.9	%
Technology	6.8	%
Communications	6.7	%
Basic Materials	5.9	%
Utilities	3.1	%
Total Long-Term Investments	98.8	%
Short-Term Investments and Other Assets and Liabilities	1.2	%
Net Assets	100.0	%

MassMutual Select Fundamental Value Fund Country Weightings (% of Net Assets) on 6/30/11 (Unaudited)
United States	87.6	%
Switzerland	5.2	%
Ireland	3.0	%
United Kingdom	1.5	%
Israel	1.2	%
Finland	0.3	%
Total Long-Term Investments	98.8	%
Short-Term Investments and Other Assets and Liabilities	1.2	%
Net Assets	100.0	%

8

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Value Equity Fund, and who is the Fund’s subadviser?

The Fund seeks long-term growth of capital by investing primarily in equity securities of companies that the Fund’s subadviser believes are undervalued in the marketplace in relation to factors such as the company’s assets, sales, earnings, growth potential and cash flow, or in relation to securities of other companies in the same industry. Under normal circumstances, the Fund will invest at least 80% of its net assets in equity securities. The Fund’s subadviser is Pyramis Global Advisors, LLC (Pyramis).

MassMutual Select Value Equity Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Chevron Corp.	4.4	%
Pfizer, Inc.	3.7	%
JP Morgan Chase & Co.	3.6	%
Wells Fargo & Co.	3.3	%
Berkshire Hathaway, Inc. Class B	3.0	%
The Procter & Gamble Co.	2.9	%
CenturyLink, Inc.	2.9	%
Citigroup, Inc.	2.2	%
The Walt Disney Co.	2.1	%
CVS Caremark Corp.	1.9	%
	30.0	%

MassMutual Select Value Equity Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Financial	24.8	%
Consumer, Non-cyclical	16.1	%
Energy	13.9	%
Communications	11.3	%
Consumer, Cyclical	10.4	%
Industrial	9.5	%
Technology	6.5	%
Utilities	5.0	%
Basic Materials	2.2	%
Total Long-Term Investments	99.7	%
Short-Term Investments and Other Assets and Liabilities	0.3	%
Net Assets	100.0	%

9

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Large Cap Value Fund, and who is the Fund’s subadviser?

The Fund seeks both capital growth and income by investing primarily in large-capitalization companies that the Fund’s subadviser believes are undervalued. Under normal circumstances, the Fund will invest at least 80% of its net assets in common stocks of companies with market capitalizations at the time of purchase of at least $5 billion. The Fund’s subadviser is Davis Selected Advisers, L.P. (Davis).

MassMutual Select Large Cap Value Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Costco Wholesale Corp.	5.0	%
American Express Co.	5.0	%
Wells Fargo & Co.	4.3	%
CVS Caremark Corp.	4.2	%
EOG Resources, Inc.	3.9	%
Bank of New York Mellon Corp.	3.6	%
Loews Corp.	3.3	%
Occidental Petroleum Corp.	3.2	%
Devon Energy Corp.	3.1	%
Merck & Co., Inc.	3.1	%
	38.7	%

MassMutual Select Large Cap Value Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Financial	28.3	%
Consumer, Non-cyclical	21.2	%
Energy	15.3	%
Consumer, Cyclical	13.3	%
Industrial	5.3	%
Communications	4.0	%
Basic Materials	4.0	%
Technology	4.0	%
Diversified	1.3	%
Total Long-Term Investments	96.7	%
Short-Term Investments and Other Assets and Liabilities	3.3	%
Net Assets	100.0	%

MassMutual Select Large Cap Value Fund Country Weightings (% of Net Assets) on 6/30/11 (Unaudited)
United States	76.2	%
Switzerland	5.5	%
Canada	4.9	%
United Kingdom	2.9	%
Hong Kong	2.3	%
Netherlands	1.8	%
China	1.0	%
Brazil	0.9	%
Mexico	0.6	%
Netherlands Antilles	0.5	%
Bermuda	0.1	%
Total Long-Term Investments	96.7	%
Short-Term Investments and Other Assets and Liabilities	3.3	%
Net Assets	100.0	%

10

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Indexed Equity Fund, and who is the Fund’s subadviser?

The Fund seeks to approximate as closely as practicable (before fees and expenses) the capitalization-weighted total rate of return of that portion of the U.S. market for publicly traded common stocks composed of larger-capitalized companies. Under normal circumstances, the Fund invests at least 80% (and, typically, substantially all) of its net assets in the equity securities of companies included within the S&P 500^® Index. The Fund’s subadviser is Northern Trust Investments, Inc. (NTI).

“Standard & Poor’s^®,” “S&P^®,” “Standard & Poor’s 500,” “500” and “S&P 500^®” are trademarks of The McGraw-Hill Companies and have been licensed for use by the Fund. The Fund is not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the Fund.

MassMutual Select Indexed Equity Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Exxon Mobil Corp.	3.3	%
Apple, Inc.	2.5	%
International Business Machines Corp.	1.7	%
Chevron Corp.	1.7	%
General Electric Co.	1.6	%
Microsoft Corp.	1.6	%
AT&T, Inc.	1.5	%
Johnson & Johnson	1.5	%
The Procter & Gamble Co.	1.4	%
Pfizer, Inc.	1.3	%
	18.1	%

MassMutual Select Indexed Equity Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Consumer, Non-cyclical	20.8	%
Financial	14.5	%
Energy	12.5	%
Technology	12.4	%
Communications	11.1	%
Industrial	11.1	%
Consumer, Cyclical	8.2	%
Basic Materials	3.6	%
Utilities	3.2	%
Diversified	0.1	%
Total Long-Term Investments	97.5	%
Short-Term Investments and Other Assets and Liabilities	2.5	%
Net Assets	100.0	%

11

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Core Opportunities Fund, and who are the Fund’s subadvisers?

The Fund seeks long-term growth of capital. Under normal circumstances, the Fund invests at least 80% of its net assets in equity securities issued by large, established companies. The Fund’s subadvisers are Victory Capital Management Inc. (Victory), which managed approximately 48% of the Fund’s portfolio; and The Boston Company Asset Management, LLC (The Boston Company), which was responsible for approximately 52% of the Fund’s portfolio, as of June 30, 2011.

MassMutual Select Core Opportunities Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Pfizer, Inc.	2.8	%
Google, Inc. Class A	2.3	%
Microsoft Corp.	2.1	%
JP Morgan Chase & Co.	2.1	%
MetLife, Inc.	2.0	%
Oracle Corp.	2.0	%
Schlumberger Ltd.	1.9	%
Apple, Inc.	1.9	%
Halliburton Co.	1.8	%
International Business Machines Corp.	1.7	%
	20.6	%

MassMutual Select Core Opportunities Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Consumer, Non-cyclical	23.8	%
Technology	13.8	%
Energy	12.9	%
Financial	12.4	%
Communications	10.3	%
Industrial	9.9	%
Consumer, Cyclical	8.6	%
Basic Materials	4.3	%
Utilities	2.5	%
Mutual Funds	0.2	%
Total Long-Term Investments	98.7	%
Short-Term Investments and Other Assets and Liabilities	1.3	%
Net Assets	100.0	%

12

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Blue Chip Growth Fund, and who is the Fund’s subadviser?

The Fund seeks growth of capital over the long term by investing, under normal circumstances, at least 80% of its net assets in the common stocks of large- and medium-sized blue chip growth companies. The Fund’s subadviser is T. Rowe Price Associates, Inc. (T. Rowe Price).

MassMutual Select Blue Chip Growth Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Apple, Inc.	7.0	%
Amazon.com, Inc.	4.6	%
Google, Inc. Class A	4.2	%
Danaher Corp.	3.5	%
Schlumberger Ltd.	2.6	%
Qualcomm, Inc.	2.5	%
Franklin Resources, Inc.	2.5	%
Praxair, Inc.	2.3	%
Baidu, Inc. Sponsored ADR (Cayman Islands)	2.3	%
MasterCard, Inc. Class A	2.0	%
	33.5	%

MassMutual Select Blue Chip Growth Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Communications	23.9	%
Industrial	15.8	%
Consumer, Cyclical	14.3	%
Technology	12.3	%
Consumer, Non-cyclical	11.5	%
Financial	9.3	%
Energy	8.6	%
Basic Materials	4.1	%
Mutual Funds	0.0	%
Total Long-Term Investments	99.8	%
Short-Term Investments and Other Assets and Liabilities	0.2	%
Net Assets	100.0	%

13

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Large Cap Growth Fund, and who is the Fund’s subadviser?

The Fund seeks long-term growth of capital and future income by investing primarily in large-capitalization companies that the Fund’s subadviser believes offer the potential for long-term growth. Under normal circumstances, the Fund invests at least 80% of its net assets in the common stocks of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 1000^® Growth Index. The Fund’s subadviser is Rainier Investment Management, Inc. (Rainier).

MassMutual Select Large Cap Growth Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Apple, Inc.	4.5	%
CSX Corp.	2.6	%
Oracle Corp.	2.2	%
Chevron Corp.	2.2	%
Baker Hughes, Inc.	2.0	%
Precision Castparts Corp.	1.9	%
Schlumberger Ltd.	1.8	%
EMC Corp.	1.8	%
Amazon.com, Inc.	1.7	%
Rockwell Automation, Inc.	1.7	%
	22.4	%

MassMutual Select Large Cap Growth Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Consumer, Non-cyclical	18.3	%
Technology	15.0	%
Industrial	14.2	%
Consumer, Cyclical	12.1	%
Energy	11.8	%
Communications	10.4	%
Financial	9.0	%
Basic Materials	4.9	%
Utilities	0.8	%
Total Long-Term Investments	96.5	%
Short-Term Investments and Other Assets and Liabilities	3.5	%
Net Assets	100.0	%

14

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Growth Opportunities Fund, and who are the Fund’s subadvisers?

The Fund seeks long-term capital appreciation by investing primarily in equity securities of U.S. companies. Under normal market conditions, the Fund invests at least 80% of its net assets in equity securities. The Fund’s subadvisers are Sands Capital Management, LLC (Sands Capital), which managed approximately 52% of the Fund’s portfolio; and Delaware Management Company (DMC), which was responsible for approximately 48% of the Fund’s portfolio, as of June 30, 2011. Effective April 1, 2011, the name of this Fund changed from MassMutual Select Aggressive Growth Fund to MassMutual Select Growth Opportunities Fund. The Fund’s investment approach remains the same.

MassMutual Select Growth Opportunities Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Apple, Inc.	6.0	%
Qualcomm, Inc.	5.8	%
Visa, Inc. Class A	5.7	%
Allergan, Inc.	4.2	%
Salesforce.com, Inc.	3.9	%
Amazon.com, Inc.	3.8	%
Google, Inc. Class A	3.8	%
IntercontinentalExchange, Inc.	3.2	%
Priceline.com, Inc.	3.2	%
Nike, Inc. Class B	3.0	%
	42.6	%

MassMutual Select Growth Opportunities Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Communications	26.4	%
Consumer, Non-cyclical	25.3	%
Technology	15.2	%
Consumer, Cyclical	10.8	%
Energy	8.8	%
Financial	7.1	%
Basic Materials	2.4	%
Industrial	2.2	%
Total Long-Term Investments	98.2	%
Short-Term Investments and Other Assets and Liabilities	1.8	%
Net Assets	100.0	%

15

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select NASDAQ-100^® Fund, and who is the Fund’s subadviser?

The Fund seeks to approximate as closely as practicable (before fees and expenses) the total return of the NASDAQ-100 Index^®. Under normal circumstances, the Fund invests at least 80% (and, typically, substantially all) of its net assets in the equity securities of companies included in the NASDAQ-100 Index. The Fund’s subadviser is Northern Trust Investments, Inc. (NTI).

NASDAQ^®, NASDAQ-100^® and NASDAQ-100 Index^® are trademarks of The NASDAQ Stock Market, Inc. (together with its affiliates, “NASDAQ”) and are licensed for use by the Fund. The Fund has not been passed on by NASDAQ as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by NASDAQ. NASDAQ MAKES NO WARRANTIES AND BEARS NO LIABILITY WITH RESPECT TO THE FUND.

MassMutual Select NASDAQ-100 Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Apple, Inc.	12.1	%
Microsoft Corp.	8.5	%
Oracle Corp.	6.5	%
Google, Inc. Class A	5.0	%
Intel Corp.	4.6	%
Qualcomm, Inc.	3.7	%
Amazon.com, Inc.	3.6	%
Cisco Systems, Inc.	3.3	%
Amgen, Inc.	2.1	%
Comcast Corp. Class A	2.1	%
	51.5	%

MassMutual Select NASDAQ-100 Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Technology	45.8	%
Communications	29.7	%
Consumer, Non-cyclical	14.2	%
Consumer, Cyclical	7.3	%
Industrial	2.3	%
Energy	0.4	%
Basic Materials	0.3	%
Total Long-Term Investments	100.0	%
Short-Term Investments and Other Assets and Liabilities	0.0	%
Net Assets	100.0	%

16

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Focused Value Fund, and who is the Fund’s subadviser?

The Fund seeks growth of capital over the long-term by investing primarily in equity securities of U.S. companies that the Fund’s subadviser believes are undervalued. The Fund’s subadviser is Harris Associates L.P. (Harris).

MassMutual Select Focused Value Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Intel Corp.	6.8	%
Visa, Inc. Class A	6.0	%
Franklin Resources, Inc.	5.6	%
The Boeing Co.	5.4	%
Wells Fargo & Co.	5.3	%
Calpine Corp.	5.2	%
Carnival Corp.	5.2	%
Illinois Tool Works, Inc.	5.1	%
Range Resources Corp.	5.0	%
Penn National Gaming, Inc.	4.9	%
	54.5	%

MassMutual Select Focused Value Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Energy	20.8	%
Consumer, Cyclical	17.1	%
Technology	16.1	%
Financial	12.7	%
Industrial	11.4	%
Consumer, Non-cyclical	10.6	%
Utilities	5.2	%
Total Long-Term Investments	93.9	%
Short-Term Investments and Other Assets and Liabilities	6.1	%
Net Assets	100.0	%

MassMutual Select Focused Value Fund Country Weightings (% of Net Assets) on 6/30/11 (Unaudited)
United States	81.3	%
Panama	5.2	%
Canada	4.7	%
Switzerland	2.7	%
Total Long-Term Investments	93.9	%
Short-Term Investments and Other Assets and Liabilities	6.1	%
Net Assets	100.0	%

17

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Mid-Cap Value Fund, and who are the Fund’s subadvisers?

The Fund seeks growth of capital over the long-term by investing primarily in equity securities of mid-capitalization companies that the subadvisers believe are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in the stocks of mid-cap companies. The Fund’s subadvisers are NFJ Investment Group LLC (NFJ), which managed approximately 31% of the Fund’s portfolio; and Systematic Financial Management, L.P. (Systematic), which was responsible for approximately 69% of the Fund’s portfolio, as of June 30, 2011.

MassMutual Select Mid-Cap Value Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Lear Corp.	2.3	%
American Water Works Co., Inc.	1.8	%
NiSource, Inc.	1.8	%
Macy’s, Inc.	1.7	%
Xerox Corp.	1.6	%
Discover Financial Services	1.6	%
Fifth Third Bancorp	1.4	%
SLM Corp.	1.4	%
Marsh & McLennan Cos., Inc.	1.4	%
KeyCorp	1.4	%
	16.4	%

MassMutual Select Mid-Cap Value Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Financial	24.3	%
Consumer, Non-cyclical	16.3	%
Consumer, Cyclical	12.5	%
Industrial	10.3	%
Utilities	10.3	%
Energy	7.9	%
Basic Materials	6.0	%
Technology	5.9	%
Communications	4.8	%
Total Long-Term Investments	98.3	%
Short-Term Investments and Other Assets and Liabilities	1.7	%
Net Assets	100.0	%

18

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Small Cap Value Equity Fund, and who are the Fund’s subadvisers?

The Fund seeks to maximize total return through investment primarily in small capitalization equity securities that the Fund’s subadvisers believe are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in equity securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000^® Index or the S&P SmallCap 600 Index. The Fund’s subadvisers are Wellington Management Company, LLP (Wellington Management), which managed approximately 56% of the Fund’s portfolio; and Barrow, Hanley, Mewhinney & Strauss, LLC (Barrow Hanley), which was responsible for approximately 44% of the Fund’s portfolio, as of June 30, 2011.

MassMutual Select Small Cap Value Equity Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
MAXIMUS, Inc.	2.4	%
Carlisle Cos., Inc.	1.9	%
Vishay Intertechnology, Inc.	1.7	%
Belden, Inc.	1.4	%
Prosperity Bancshares, Inc.	1.4	%
The Men’s Wearhouse, Inc.	1.4	%
Mentor Graphics Corp.	1.4	%
Fiserv, Inc.	1.4	%
Plexus Corp.	1.4	%
Terex Corp.	1.4	%
	15.8	%

MassMutual Select Small Cap Value Equity Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Industrial	28.7	%
Consumer, Cyclical	19.3	%
Financial	17.1	%
Consumer, Non-cyclical	15.1	%
Technology	6.6	%
Utilities	3.4	%
Energy	2.8	%
Basic Materials	2.4	%
Communications	1.3	%
Total Long-Term Investments	96.7	%
Short-Term Investments and Other Assets and Liabilities	3.3	%
Net Assets	100.0	%

19

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Small Company Value Fund, and who are the Fund’s subadvisers?

The Fund seeks to achieve long-term growth of capital by investing primarily in a diversified portfolio of equity securities of smaller companies that the Fund’s subadvisers consider to be undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in the securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000^® Index or the S&P SmallCap 600 Index. The Fund’s subadvisers are Federated Clover Investment Advisors (Federated Clover), which managed approximately 39% of the Fund’s portfolio; T. Rowe Price Associates, Inc. (T. Rowe Price), which was responsible for approximately 50% of the Fund’s portfolio; and EARNEST Partners, LLC (Earnest Partners), which oversaw approximately 11% of the Fund’s portfolio, as of June 30, 2011.

MassMutual Select Small Company Value Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Aaron’s, Inc.	1.3	%
ProAssurance Corp.	1.3	%
El Paso Electric Co.	1.0	%
Nordson Corp.	1.0	%
Landstar System, Inc.	0.9	%
SVB Financial Group	0.9	%
Genesee & Wyoming, Inc. Class A	0.9	%
Owens & Minor, Inc.	0.8	%
Kirby Corp.	0.8	%
First Potomac Realty Trust	0.8	%
	9.7	%

MassMutual Select Small Company Value Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Financial	24.4	%
Industrial	21.6	%
Consumer, Non-cyclical	11.7	%
Consumer, Cyclical	10.9	%
Energy	7.9	%
Basic Materials	6.8	%
Utilities	5.6	%
Technology	4.0	%
Communications	3.5	%
Mutual Funds	0.4	%
Total Long-Term Investments	96.8	%
Short-Term Investments and Other Assets and Liabilities	3.2	%
Net Assets	100.0	%

20

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Mid Cap Growth Equity Fund, and who are the Fund’s subadvisers?

The Fund seeks long-term capital growth by investing primarily in equity securities of mid-capitalization companies that the Fund’s subadvisers believe offer the potential for long-term growth. Under normal circumstances, the Fund invests at least 80% of its net assets in stocks of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in either the S&P MidCap 400 Index or the Russell Midcap^® Growth Index. The Fund’s subadvisers are Wellington Management Company, LLP (Wellington Management), which managed approximately 52% of the Fund’s portfolio; and Turner Investment Partners, Inc. (Turner), which was responsible for approximately 48% of the Fund’s portfolio, as of June 30, 2011.

MassMutual Select Mid Cap Growth Equity Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Green Mountain Coffee Roasters, Inc.	2.9	%
F5 Networks, Inc.	1.5	%
Tempur-Pedic International, Inc.	1.3	%
Coach, Inc.	1.2	%
Cypress Semiconductor Corp.	1.2	%
Abercrombie & Fitch Co. Class A	1.1	%
Western Union Co.	1.1	%
Owens Corning, Inc.	1.1	%
TIBCO Software, Inc.	1.1	%
Acme Packet, Inc.	1.1	%
	13.6	%

MassMutual Select Mid Cap Growth Equity Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Consumer, Non-cyclical	25.7	%
Consumer, Cyclical	16.3	%
Technology	15.5	%
Industrial	14.3	%
Communications	11.7	%
Energy	8.5	%
Basic Materials	3.7	%
Financial	3.2	%
Diversified	0.4	%
Total Long-Term Investments	99.3	%
Short-Term Investments and Other Assets and Liabilities	0.7	%
Net Assets	100.0	%

21

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Mid Cap Growth Equity II Fund, and who are the Fund’s subadvisers?

The Fund seeks growth of capital over the long-term by investing primarily in equity securities of mid-capitalization companies that the Fund’s subadvisers believe offer the potential for long-term growth. Under normal circumstances, the Fund invests at least 80% of its net assets in a broadly diversified portfolio of common stocks of mid-cap companies whose earnings the Fund’s subadvisers expect to grow at a faster rate than the average company. The Fund’s subadvisers are T. Rowe Price Associates, Inc. (T. Rowe Price), which oversaw approximately 79% of the Fund’s portfolio; and Frontier Capital Management Company, LLC (Frontier), which was responsible for approximately 21% of the Fund’s portfolio, as of June 30, 2011.

MassMutual Select Mid Cap Growth Equity II Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
AMETEK, Inc.	1.9	%
IHS, Inc. Class A	1.4	%
Nuance Communications, Inc.	1.2	%
Dollar General Corp.	1.1	%
Rovi Corp.	1.1	%
Roper Industries, Inc.	1.1	%
McDermott International, Inc.	1.1	%
Gardner Denver, Inc.	1.1	%
O’Reilly Automotive, Inc.	1.1	%
Fastenal Co.	1.0	%
	12.1	%

MassMutual Select Mid Cap Growth Equity II Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Consumer, Non-cyclical	23.2	%
Technology	16.6	%
Industrial	15.8	%
Consumer, Cyclical	13.4	%
Energy	8.5	%
Communications	7.9	%
Financial	7.4	%
Basic Materials	2.9	%
Utilities	1.0	%
Mutual Funds	0.7	%
Total Long-Term Investments	97.4	%
Short-Term Investments and Other Assets and Liabilities	2.6	%
Net Assets	100.0	%

MassMutual Select Mid Cap Growth Equity II Fund Country Weightings (% of Net Assets) on 6/30/11 (Unaudited)
United States	86.7	%
Canada	5.7	%
Ireland	1.4	%
Panama	1.1	%
Netherlands	0.6	%
British Virgin Islands	0.5	%
Bermuda	0.5	%
United Kingdom	0.3	%
Singapore	0.2	%
Israel	0.2	%
Switzerland	0.1	%
Puerto Rico	0.1	%
Total Long-Term Investments	97.4	%
Short-Term Investments and Other Assets and Liabilities	2.6	%
Net Assets	100.0	%

22

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Small Cap Growth Equity Fund, and who are the Fund’s subadvisers?

The Fund seeks long-term capital appreciation by investing primarily in equity securities of smaller companies that the Fund’s subadvisers believe offer potential for long-term growth. Under normal circumstances, the Fund invests at least 80% of its net assets in the securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000^® Index or the S&P SmallCap 600 Index. The Fund’s subadvisers are Wellington Management Company, LLP (Wellington Management), which managed approximately 49% of the Fund’s portfolio; and Waddell & Reed Investment Management Company (Waddell & Reed), which was responsible for approximately 51% of the Fund’s portfolio, as of June 30, 2011.

MassMutual Select Small Cap Growth Equity Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Tempur-Pedic International, Inc.	2.5	%
Wabtec Corp.	2.2	%
Portfolio Recovery Associates, Inc.	2.2	%
NuVasive, Inc.	2.2	%
Volcano Corp.	2.1	%
Under Armour, Inc. Class A	2.1	%
MICROS Systems, Inc.	2.0	%
General Cable Corp.	1.9	%
Dresser-Rand Group, Inc.	1.8	%
Zoll Medical Corp.	1.8	%
	20.8	%

MassMutual Select Small Cap Growth Equity Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Consumer, Non-cyclical	22.1	%
Consumer, Cyclical	18.2	%
Industrial	17.2	%
Technology	14.3	%
Communications	10.5	%
Financial	6.9	%
Energy	6.5	%
Basic Materials	1.2	%
Mutual Funds	0.7	%
Utilities	0.5	%
Diversified	0.2	%
Total Long-Term Investments	98.3	%
Short-Term Investments and Other Assets and Liabilities	1.7	%
Net Assets	100.0	%

23

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Small Company Growth Fund, and who are the Fund’s subadvisers?

The Fund seeks long-term capital appreciation by investing primarily in equity securities of smaller companies that the Fund’s subadvisers believe offer potential for long-term growth. Under normal circumstances, the Fund invests at least 80% of its net assets in the securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000^® Index or the S&P SmallCap 600 Index. The Fund’s subadvisers are The Boston Company Asset Management, LLC (The Boston Company), which managed approximately 35% of the Fund’s portfolio; and Eagle Asset Management, Inc. (Eagle), which was responsible for approximately 65% of the Fund’s portfolio, as of June 30, 2011.

MassMutual Select Small Company Growth Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Genesco, Inc.	2.5	%
Lufkin Industries, Inc.	2.4	%
Vitamin Shoppe, Inc.	2.1	%
Cash America International, Inc.	1.6	%
WABCO Holdings, Inc.	1.6	%
iShares Russell 2000 Growth Index Fund	1.5	%
GrafTech International Ltd.	1.4	%
Quality Systems, Inc.	1.4	%
Sapient Corp.	1.3	%
Oasis Petroleum, Inc.	1.3	%
	17.1	%

MassMutual Select Small Company Growth Fund Sector Table (% of Net Assets) on 6/30/11 (Unaudited)
Consumer, Non-cyclical	22.9	%
Consumer, Cyclical	20.9	%
Industrial	16.1	%
Technology	15.6	%
Communications	7.4	%
Energy	6.3	%
Basic Materials	5.5	%
Financial	3.2	%
Mutual Funds	2.3	%
Total Long-Term Investments	100.2	%
Short-Term Investments and Other Assets and Liabilities	(0.2	)%
Net Assets	100.0	%

24

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Diversified International Fund, and who is the Fund’s subadviser?

The Fund seeks growth of capital over the long-term by investing primarily in equity securities from developed countries included in the Morgan Stanley Capital International (MSCI^®) Europe, Australasia, Far East (EAFE^®) Value Index. The Fund may invest up to 15% of its total assets in equity securities of issuers in emerging markets countries and typically does not invest in U.S. companies. Effective June 6, 2011, J.P. Morgan Investment Management Inc. (J.P. Morgan) replaced AllianceBernstein L.P. (AllianceBernstein) as subadviser to the Fund.

MassMutual Select Diversified International Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Royal Dutch Shell PLC Class A	4.1	%
Vodafone Group PLC	3.0	%
Sanofi	2.7	%
GlaxoSmithKline PLC	2.5	%
BASF SE	2.3	%
ING Groep NV	2.1	%
Volkswagen AG, 1.510%	2.1	%
Bayer AG	2.0	%
BP PLC	2.0	%
BNP Paribas	1.9	%
	24.7	%

MassMutual Select Diversified International Fund Country Weightings (% of Net Assets) on 6/30/11 (Unaudited)
United Kingdom	24.5	%
Japan	19.3	%
Germany	14.4	%
France	11.1	%
Netherlands	4.1	%
Switzerland	3.8	%
Italy	3.5	%
Spain	2.5	%
Belgium	2.4	%
Sweden	1.9	%
Finland	1.2	%
Republic of Korea	1.2	%
Norway	1.0	%
Singapore	1.0	%
Canada	1.0	%
Australia	0.9	%
Austria	0.9	%
Taiwan	0.8	%
Cayman Islands	0.7	%
South Africa	0.7	%
Total Long-Term Investments	96.9	%
Short-Term Investments and Other Assets and Liabilities	3.1	%
Net Assets	100.0	%

25

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Overseas Fund, and who are the Fund’s subadvisers?

The Fund seeks growth of capital over the long-term by investing in foreign equity securities. Under normal circumstances, the Fund invests at least 80% of its net assets in stocks of foreign companies, including companies located in Europe, Latin America and Asia. The Fund may invest in equity securities of issuers in emerging markets. The Fund’s subadvisers are J.P. Morgan Investment Management Inc. (J.P. Morgan), which managed approximately 21% of the Fund’s portfolio; Massachusetts Financial Services Company (MFS), which was responsible for approximately 50% of the Fund’s portfolio; and Harris Associates L.P. (Harris), which oversaw approximately 29% of the Fund’s portfolio, as of June 30, 2011. Effective June 6, 2011, J.P. Morgan Investment Management Inc. (J.P. Morgan) replaced AllianceBernstein L.P. (AllianceBernstein) as co-subadviser to the Fund.

MassMutual Select Overseas Fund Largest Holdings (% of Net Assets) on 6/30/11 (Unaudited)
Nestle SA	2.3	%
Linde AG	2.0	%
UBS AG	1.8	%
Diageo PLC	1.7	%
Schneider Electric SA	1.7	%
Canon, Inc.	1.7	%
Royal Dutch Shell PLC Class A	1.7	%
ING Groep NV	1.6	%
Roche Holding AG	1.6	%
Heineken NV	1.6	%
	17.7	%

MassMutual Select Overseas Fund Country Weightings (% of Net Assets) on 6/30/11 (Unaudited)
United Kingdom	18.0	%
Japan	17.3	%
Switzerland	13.7	%
France	11.0	%
Germany	10.5	%
Netherlands	6.9	%
Australia	2.9	%
Spain	2.3	%
Sweden	1.8	%
Canada	1.8	%
Italy	1.6	%
Republic of Korea	1.5	%
Taiwan	1.3	%
India	1.3	%
Hong Kong	1.1	%
Bermuda	1.0	%
South Africa	0.7	%
Singapore	0.6	%
Belgium	0.5	%
Austria	0.5	%
Mexico	0.4	%
Czech Republic	0.4	%
Luxembourg	0.3	%
United States	0.3	%
Brazil	0.3	%
Finland	0.3	%
Norway	0.2	%
Cayman Islands	0.1	%
Ireland	0.1	%
Israel	0.1	%
Total Long-Term Investments	98.8	%
Short-Term Investments and Other Assets and Liabilities	1.2	%
Net Assets	100.0	%

26

MassMutual Select PIMCO Total Return Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 1.5%
PREFERRED STOCK — 1.5%
Electric — 1.5%
PPL Corp. 9.500%		400,000	$	22,360,000
TOTAL PREFERRED STOCK (Cost $21,450,000)				22,360,000
TOTAL EQUITIES (Cost $21,450,000)				22,360,000
	Principal Amount
BONDS & NOTES — 81.1%
CORPORATE DEBT — 47.7%
Agriculture — 0.8%
Reynolds American, Inc. 7.625% 6/01/16	$	10,000,000		11,994,200
Auto Manufacturers — 0.2%
Volkswagen International Finance NV FRN (a) 0.696% 10/01/12		3,100,000		3,108,128
Banks — 15.1%
Abbey National Treasury Services PLC FRN 1.854% 4/25/14		2,100,000		2,087,467
American Express Bank FSB 5.500% 4/16/13		10,800,000		11,553,797
Australia & New Zealand Banking Group Ltd. FRN 1.118% 5/08/13		2,100,000		2,104,704
Australia & New Zealand Banking Group Ltd. (a) 2.125% 1/10/14		2,400,000		2,419,654
Banco Santander Brasil SA (a) 4.250% 1/14/16		1,400,000		1,403,500
Banco Santander Brazil SA FRN (a) 2.347% 3/18/14		1,200,000		1,206,108
Banco Santander Chile FRN (a) 1.875% 1/19/16		1,000,000		955,000
Bank of America Corp. FRN 0.750% 9/11/12		2,200,000		2,196,594
Bank of India (b) 6.250% 2/16/21		3,700,000		3,793,480
Bank of Nova Scotia 1.650% 10/29/15		900,000		884,578
Barclays Bank PLC 2.375% 1/13/14		1,000,000		1,011,876
Barclays Bank PLC (a) 10.179% 6/12/21		11,700,000		14,679,639

	Principal Amount		Value
BBVA Bancomer SA (a) 4.500% 3/10/16	$	500,000	$	508,750
BBVA Bancomer SA (a) 6.500% 3/10/21		4,900,000		4,998,000
BBVA US Senior SA FRN 2.386% 5/16/14		6,000,000		5,962,926
BNP Paribas 5.000% 1/15/21		1,800,000		1,809,733
BNP Paribas SA FRN 1.190% 1/10/14		3,700,000		3,672,672
Credit Suisse New York 2.200% 1/14/14		800,000		810,428
Dexia Credit Local SA (a) 2.750% 4/29/14		47,645,000		48,292,972
Export-Import Bank of Korea 4.000% 1/29/21		400,000		368,210
First Horizon National Corp. 4.500% 5/15/13		1,100,000		1,134,581
GMAC, Inc. 6.875% 9/15/11		2,500,000		2,518,750
GMAC, Inc. 7.500% 12/31/13		5,000,000		5,343,750
Groupe BPCE (a) 2.375% 10/04/13		400,000		406,499
HSBC Bank PLC (a) 2.000% 1/19/14		800,000		804,318
ICICI Bank Ltd (a) 4.750% 11/25/16		6,400,000		6,385,555
ICICI Bank Ltd. 5.500% 3/25/15		2,200,000		2,310,295
ING Bank NV FRN (a) 1.297% 3/15/13		7,000,000		7,012,586
ING Bank NV (a) 2.500% 1/14/16		500,000		491,224
Intesa Sanpaolo SpA FRN (a) 2.658% 2/24/14		1,800,000		1,795,594
JP Morgan Chase Bank NA 6.000% 10/01/17		11,700,000		13,001,882
Korea Development Bank 8.000% 1/23/14		1,000,000		1,138,207
LBG Capital No.2 PLC GBP (c) 9.125% 7/15/20		3,000,000		4,769,112
National Australia Bank Ltd. FRN (a) 1.010% 4/11/14		7,800,000		7,791,553
Nordea Bank AB (a) 2.125% 1/14/14		400,000		402,796
Regions Financial Corp. 6.375% 5/15/12		10,000,000		10,216,680
Resona Bank Ltd. VRN (a) 5.850% 9/29/49		6,200,000		6,187,371
The Royal Bank of Scotland PLC EUR (c) 3.625% 5/17/13		800,000		1,154,546

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

27

MassMutual Select PIMCO Total Return Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
The Royal Bank of Scotland PLC 4.375% 3/16/16	$	5,200,000	$	5,245,412
The Royal Bank of Scotland PLC (a) 4.875% 8/25/14		10,000,000		10,407,650
The Royal Bank of Scotland PLC EUR (c) 5.500% 3/23/20		7,200,000		10,177,816
Santander UK PLC FRN EUR (c) 1.530% 10/10/17		4,900,000		6,557,270
Sumitomo Mitsui Banking Corp. (a) 1.950% 1/14/14		1,000,000		1,007,627
UBS AG FRN 1.273% 1/28/14		2,100,000		2,109,051
Wachovia Corp. 5.625% 10/15/16		11,700,000		12,701,321
				231,791,534
Building Materials — 0.2%
Corporacion GEO SAB de CV (a) 9.250% 6/30/20		3,000,000		3,210,000
Chemicals — 0.5%
Braskem Finance Ltd. (a) 5.750% 4/15/21		2,000,000		2,012,600
Braskem Finance Ltd. (a) 7.000% 5/07/20		5,100,000		5,559,000
				7,571,600
Coal — 0.3%
Arch Western Finance LLC 6.750% 7/01/13		3,800,000		3,804,750
Computers — 0.4%
Hewlett-Packard Co. FRN 0.534% 5/24/13		6,000,000		6,013,602
Diversified Financial — 12.2%
Ally Financial, Inc. FRN 3.647% 6/20/14		21,600,000		21,117,693
Ally Financial, Inc. 4.500% 2/11/14		5,700,000		5,700,000
BM&F Bovespa SA (a) 5.500% 7/16/20		3,300,000		3,417,150
CIT Group, Inc. 7.000% 5/01/15		2,600,000		2,603,250
Citigroup, Inc. FRN 1.111% 2/15/13		1,300,000		1,294,926
Citigroup, Inc. FRN 1.733% 1/13/14		2,200,000		2,214,170
Citigroup, Inc. 5.000% 9/15/14		11,700,000		12,261,109
Credit Agricole Home Loan FRN (a) 1.024% 7/21/14		5,400,000		5,401,685
FCE Bank PLC EUR (c) 7.125% 1/16/12		10,000,000		14,740,771
FIA Card Services NA (a) 7.125% 11/15/12		10,700,000		11,421,608

	Principal Amount		Value
General Electric Capital Services, Inc. 7.500% 8/21/35	$	11,700,000	$	13,855,526
The Goldman Sachs Group, Inc. 6.750% 10/01/37		11,700,000		11,699,801
HSBC Holdings PLC 5.100% 4/05/21		12,700,000		13,014,757
International Lease Finance Corp. 5.400% 2/15/12		5,000,000		5,062,500
International Lease Finance Corp. (a) 6.750% 9/01/16		700,000		745,500
Macquarie Bank Ltd. (a) 2.600% 1/20/12		11,730,000		11,875,405
Macquarie Bank Ltd. (a) 6.625% 4/07/21		2,400,000		2,414,563
Merrill Lynch & Co., Inc. 5.450% 2/05/13		900,000		954,713
Morgan Stanley FRN 2.761% 5/14/13		1,300,000		1,334,736
SLM Corp. 6.250% 1/25/16		100,000		103,750
SLM Corp. 8.000% 3/25/20		8,200,000		8,805,193
SLM Corp. 8.450% 6/15/18		10,000,000		10,976,130
Sydney Airport Finance (a) 5.125% 2/22/21		300,000		301,498
TNK-BP Finance SA (a) 7.250% 2/02/20		5,000,000		5,525,000
TNK-BP Finance SA (b) 7.250% 2/02/20		4,500,000		4,972,500
TNK-BP Finance SA (b) 7.500% 3/13/13		5,000,000		5,412,500
UBS AG/Stamford CT FRN 1.359% 2/23/12		9,600,000		9,660,595
				186,887,029
Electric — 1.0%
Comision Federal de Electricidad (Acquired 5/26/11, Cost $8,730,656) (a) (d) 4.875% 5/26/21		8,800,000		8,787,680
Majapahit Holding BV (a) 7.750% 1/20/20		5,300,000		6,201,000
				14,988,680
Foods — 0.0%
Kraft Foods, Inc. 5.625% 11/01/11		459,000		466,347
Holding Company – Diversified — 0.2%
Noble Group Ltd. (a) 4.875% 8/05/15		1,000,000		1,045,000
Noble Group Ltd. (b) 6.625% 8/05/20		1,400,000		1,431,500
				2,476,500

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

28

MassMutual Select PIMCO Total Return Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Insurance — 4.9%
American International Group, Inc. 4.950% 3/20/12	$	19,900,000	$	20,258,200
American International Group, Inc. 5.050% 10/01/15		12,500,000		13,047,125
American International Group, Inc. 6.250% 5/01/36		5,000,000		5,082,520
American International Group, Inc. 6.400% 12/15/20		8,400,000		9,041,634
Cincinnati Financial Corp. 6.920% 5/15/28		26,742,000		28,365,159
				75,794,638
Iron & Steel — 1.0%
CSN Islands XI Corp. (a) 6.875% 9/21/19		2,000,000		2,182,500
Gerdau Holdings, Inc. (b) 7.000% 1/20/20		10,000,000		11,100,000
GTL Trade Finance, Inc. (a) 7.250% 10/20/17		1,600,000		1,792,000
				15,074,500
Oil & Gas — 2.8%
BP Capital Markets PLC 3.125% 3/10/12		10,000,000		10,173,430
Gazprom OAO Via Morgan Stanley Bank AG (b) 9.625% 3/01/13		2,500,000		2,795,000
Gazprom Via Gaz Capital SA (b) 9.250% 4/23/19		5,000,000		6,243,750
Novatek Finance Ltd. (a) 5.326% 2/03/16		400,000		412,000
Petrobras International Finance Co. 7.875% 3/15/19		2,300,000		2,785,102
Petroleos Mexicanos 5.500% 1/21/21		2,800,000		2,935,800
Petroleos Mexicanos (Acquired 6/2/11, Cost $4,964,100) (a) (d) 6.500% 6/02/41		5,000,000		5,073,235
Ras Laffan LNG 3 (b) 5.500% 9/30/14		1,800,000		1,968,840
Reliance Holdings USA, Inc. (a) 4.500% 10/19/20		6,600,000		6,166,512
Transocean, Inc., Series C, Convertible 1.500% 12/15/37		4,500,000		4,410,000
				42,963,669
Retail — 0.0%
CVS Pass-Through Trust 6.943% 1/10/30		92,589		104,139
Savings & Loans — 4.2%
AK Transneft OJSC Via TransCapitalInvest Ltd. (b) 7.700% 8/07/13		15,000,000		16,651,170

	Principal Amount		Value
Fibria Overseas Finance Ltd. (a) 7.500% 5/04/20	$	2,000,000	$	2,177,600
LBG Capital No.1 PLC GBP (c) 7.588% 5/12/20		5,415,000		7,973,818
LBG Capital No.1 PLC GBP (c) 7.867% 12/17/19		4,887,000		7,235,532
LBG Capital No.1 PLC GBP (c) 7.869% 8/25/20		2,906,000		4,244,322
Odebrecht Drilling Norbe VIII/IX Ltd. (a) 6.350% 6/30/21		400,000		422,000
RZD Capital Ltd. 5.739% 4/03/17		3,100,000		3,293,750
SSIF Nevada LP FRN (a) 0.981% 4/14/14		12,500,000		12,500,075
Vnesheconombank Via VEB Finance Ltd. (a) 5.450% 11/22/17		400,000		408,000
Vnesheconombank Via VEB Finance Ltd. (a) 6.902% 7/09/20		9,500,000		10,132,700
				65,038,967
Telecommunications — 2.8%
AT&T, Inc. 5.500% 2/01/18		10,500,000		11,710,933
BellSouth Corp. (a) 4.463% 4/26/21		18,300,000		18,837,562
Deutsche Telekom International Finance BV GBP (c) 6.500% 4/08/22		3,300,000		5,845,304
Indosat Palapa Co. BV (a) 7.375% 7/29/20		5,000,000		5,550,000
Qtel International Finance Ltd. (a) 4.750% 2/16/21		200,000		195,000
Qwest Corp. FRN 3.497% 6/15/13		1,300,000		1,329,250
				43,468,049
Transportation — 1.1%
Asciano Finance (a) 5.000% 4/07/18		9,000,000		9,238,365
DP World Sukuk Ltd. (a) 6.250% 7/02/17		7,000,000		7,218,750
				16,457,115
TOTAL CORPORATE DEBT (Cost $706,879,600)				731,213,447
BANK LOANS — 0.2%
Auto Manufacturers — 0.1%
Ford Motor Co. Term Loan B2 FRN 2.950% 12/15/13		2,454,618		2,451,427

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

29

MassMutual Select PIMCO Total Return Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Diversified Financial — 0.1%
Petroleum Export Term Loan B FRN 3.319% 12/20/12	$	1,112,400	$	1,102,166
				3,553,593
TOTAL BANK LOANS (Cost $3,556,168)				3,553,593
MUNICIPAL OBLIGATIONS — 3.5%
Bay Area Toll Authority BAB 6.918% 4/01/40		6,300,000		6,862,968
Bay Area Toll Authority BAB 7.043% 4/01/50		10,500,000		11,496,660
Denver Public Schools BAB 6.220% 12/15/26		4,300,000		4,542,520
Irvine Ranch Water District BAB 6.622% 5/01/40		6,700,000		7,907,139
Los Angeles Community College District BAB 6.750% 8/01/49		3,000,000		3,417,270
New York City Municipal Water Finance Authority BAB 6.124% 6/15/42		10,000,000		10,150,400
New York State Dormitory Authority 5.051% 9/15/27		600,000		598,104
San Diego County Regional Airport Authority BAB 6.628% 7/01/40		5,000,000		5,011,450
State of California BAB 5.700% 11/01/21		3,500,000		3,683,190
Texas State Transportation Commission BAB 5.178% 4/01/30		400,000		409,680
				54,079,381
TOTAL MUNICIPAL OBLIGATIONS (Cost $51,088,096)				54,079,381
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 12.9%
Commercial MBS — 6.5%
Banc of America Large Loan, Inc., Series 2009-UB2, Class A4AA VRN (a) 5.805% 2/24/51		6,500,000		7,002,180
BCRR Trust, Series 2009-1, Class 2A2 VRN (a) 5.858% 7/17/40		31,036,000		30,449,500
Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3 VRN 6.413% 2/15/41		2,800,000		3,017,216

	Principal Amount		Value
European Loan Conduit, Series 25A, Class A FRN (a) 1.570% 5/15/19	$	5,870,719	$	7,718,530
European Loan Conduit, Series 25X, Class A FRN EUR (b) (c) 1.570% 5/15/19		138,135		181,613
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4 5.700% 9/12/49		3,500,000		3,752,407
Morgan Stanley Reremic Trust, Series 2010-GG10, Class A4A VRN (a) 5.992% 8/15/45		25,000,000		27,108,958
Real Estate Capital PLC, Series 4, Class A1 FRN GBP (b) (c) 1.069% 10/20/14		8,550,000		12,985,123
Titan Europe PLC, Series 2007-3X, Class A1 FRN GBP (b) (c) 1.099% 10/23/16		5,691,944		7,430,950
				99,646,477
Credit Card ABS — 1.5%
Chester Asset Receivables Dealings, Series 2008-A1, Class A FRN EUR (b) (c) 2.220% 1/15/14		5,200,000		7,540,778
Citibank Omni Master Trust, Series 2009-A8, Class A8 FRN (a) 2.287% 5/16/16		15,200,000		15,371,689
				22,912,467
Other ABS — 0.4%
Dryden Leveraged Loan CDO 2002-II, Series 2003-5A, Class A FRN (a) 0.787% 12/22/15		1,381,255		1,366,590
Hillmark Funding, Series 2006-1A, Class A1 FRN (a) 0.509% 5/21/21		3,800,000		3,570,507
Penta CLO SA, Series 2007-1X, Class A1 FRN EUR (b) (c) 1.934% 6/04/24		968,307		1,246,219
				6,183,316
WL Collateral CMO — 4.5%
Arran Residential Mortgages Funding PLC, Series 2010-1A, Class A1B FRN EUR (a) (c) 2.620% 5/16/47		876,958		1,271,697
Arran Residential Mortgages Funding PLC, Series 2011-1A, Class A1B FRN EUR (a) (c) 2.624% 11/19/47		13,500,000		19,568,886

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

30

MassMutual Select PIMCO Total Return Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Arran Residential Mortgages Funding PLC, Series 2010-1A, Class A2B FRN EUR (a) (c) 2.820% 5/16/47	$	1,900,000	$	2,753,242
Chase Mortgage Finance Corp., Series 2006-A1, Class 4A1 FRN 6.019% 9/25/36		478,239		439,796
Granite Master Issuer PLC, Series 2005-2, Class A6 FRN 0.446% 12/20/54		2,623,872		2,488,269
Granite Master Issuer PLC, Series 2006-3, Class A5 FRN 1.399% 12/20/54		6,242,995		8,585,003
Granite Master Issuer PLC, Series 2006-4, Class A7 FRN EUR (b) (c) 1.399% 12/20/54		3,187,704		4,383,563
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1 FRN 2.794% 9/25/35		6,250,061		5,729,628
Holmes Master Issuer PLC, Series 2011-1A, Class A3 EUR (a) (c) 2.677% 10/15/54		1,000,000		1,451,138
Indymac Index Mortgage Loan Trust, Series 2006-AR13, Class A3 VRN 5.434% 7/25/36		12,343,224		10,605,309
JP Morgan Mortgage Trust, Series 2005-A5, Class 1A2 FRN 5.199% 8/25/35		4,275,000		3,865,793
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class IIA1 VRN 2.756% 10/25/35		2,711,353		2,430,415
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-2, Class 1A1 5.000% 3/25/36		6,332,340		6,212,192
				69,784,931
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $190,319,984)				198,527,191
SOVEREIGN DEBT OBLIGATIONS — 5.2%
Bundesrepublik Deutschland EUR (c) 3.250% 7/04/21		2,200,000		3,250,467
Canada Government Bond CAD (c) 1.500% 12/01/12		1,300,000		1,349,320
Canada Government Bond CAD (c) 1.750% 3/01/13		1,500,000		1,561,636
Canada Government Bond CAD (c) 2.000% 8/01/13		1,900,000		1,986,189

	Principal Amount		Value
Canada Government Bond CAD (c) 2.250% 8/01/14	$	1,000,000	$	1,047,872
Canada Government Bond CAD (c) 2.500% 9/01/13		3,000,000		3,167,536
Canada Government Bond CAD (c) 3.000% 12/01/15		400,000		428,099
Canada Housing Trust No. 1 CAD (a) (c) 2.750% 12/15/15		300,000		315,052
Canada Housing Trust No. 1 CAD (a) (c) 3.350% 12/15/20		4,100,000		4,229,787
Canada Housing Trust No. 1 CAD (a) (c) 3.950% 12/15/11		400,000		419,970
Canada Housing Trust No. 1 CAD (a) (c) 4.000% 6/15/12		2,100,000		2,232,147
Canada Housing Trust No. 1 CAD (a) (c) 4.550% 12/15/12		3,000,000		3,245,860
Canada Housing Trust No. 1 CAD (a) (c) 4.800% 6/15/12		1,500,000		1,606,040
ENN Energy Holdings Ltd. (a) 6.000% 5/13/21		300,000		294,770
Italy Buoni Poliennali Del Tesoro EUR (c) 2.100% 9/15/16		308,781		443,480
Italy Buoni Poliennali Del Tesoro EUR (c) 2.100% 9/15/21		10,312,335		13,982,391
Korea Housing Finance Corp. (a) 4.125% 12/15/15		400,000		413,239
Mexican Bonos MXN (c) 6.000% 6/18/15		9,900,000		844,923
Province of Ontario Canada 1.375% 1/27/14		1,900,000		1,911,223
Province of Ontario Canada CAD (c) 4.200% 3/08/18		100,000		109,900
Province of Ontario Canada CAD (c) 4.300% 3/08/17		700,000		778,539
Province of Ontario Canada CAD (c) 4.400% 6/02/19		1,300,000		1,430,142
Province of Ontario Canada CAD (c) 4.600% 6/02/39		700,000		754,493
Province of Ontario Canada CAD (c) 5.500% 6/02/18		300,000		353,008
Province of Quebec Canada CAD (c) 4.500% 12/01/16		100,000		112,163
Russian Foreign Bond (b) 3.625% 4/29/15		200,000		205,500

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

31

MassMutual Select PIMCO Total Return Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Spain Government Bond EUR (c) 4.650% 7/30/25	$	25,200,000	$	32,754,182
				79,227,928
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $78,407,447)				79,227,928
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 6.7%
Pass-Through Securities — 6.7%
Federal Home Loan Mortgage Corp. TBA
Pool #5159 4.500% 4/01/39 (e)		2,000,000		2,059,609
Federal National Mortgage Association Pool #AE0828 3.500% 2/01/41		5,918,547		5,670,708
Pool #889304 4.000% 4/01/23		40,914		42,892
Pool #995703 4.000% 5/01/24		144,922		151,568
Pool #AD3975 4.000% 6/01/25		228,884		238,880
Pool #AD9130 4.000% 8/01/25		225,344		235,044
Pool #AI2022 4.000% 4/01/26		540,159		563,242
Pool #AE0949 4.000% 2/01/41		5,980,336		5,989,914
Pool #983629 4.500% 5/01/23		36,773		39,111
Pool #931412 4.500% 6/01/24		815,252		865,313
Pool #AD1654 4.500% 3/01/40		1,364,243		1,419,986
Pool #AE3151 4.500% 9/01/40		302,329		313,218
Pool #AE8864 4.500% 11/01/40		995,414		1,031,265
Pool #725205 5.000% 3/01/34		956,779		1,021,586
Pool #735288 5.000% 3/01/35		4,230,156		4,513,378
Pool #256714 5.500% 5/01/27		289,610		315,042
Pool #257325 5.500% 8/01/28		792,881		861,019
Pool #256597 5.500% 2/01/37		89,275		96,745
Pool #888129 5.500% 2/01/37		481,582		521,877

	Principal Amount		Value
Pool #912872 5.500% 2/01/37	$	37,690	$	40,843
Pool #256673 5.500% 4/01/37		459,420		497,861
Pool #914803 5.500% 4/01/37		26,535		28,755
Pool #918069 5.500% 5/01/37		74,436		80,594
Pool #937466 5.500% 6/01/37		158,866		172,010
Pool #967740 5.500% 7/01/37		254,373		275,418
Pool #984277 5.500% 6/01/38		742,469		803,897
Pool #995258 5.500% 1/01/39		93,315		101,035
Pool #995502 5.500% 2/01/39		11,432		12,389
Pool #995845 5.500% 4/01/39		193,671		209,694
Pool #AD4567 5.500% 4/01/40		38,279		41,398
Federal National Mortgage Association TBA
Pool #11606 4.500% 3/01/21 (e)		3,800,000		4,028,594
Pool #15801 4.500% 3/01/39 (e)		48,700,000		50,385,478
Pool #28654 5.000% 8/01/36 (e)		7,000,000		7,436,407
Pool #45746 5.500% 4/01/35 (e)		4,100,000		4,434,727
Pool #52960 6.000% 9/01/35 (e)		7,000,000		7,692,343
				102,191,840
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $102,178,782)				102,191,840
U.S. TREASURY OBLIGATIONS — 4.9%
U.S. Treasury Bonds & Notes — 4.9%
U.S. Treasury Inflation Index (f) 2.000% 1/15/26		3,738,603		4,095,873
U.S. Treasury Inflation Index (g) 2.375% 1/15/25		1,431,480		1,649,012
U.S. Treasury Inflation Index (f) 2.375% 1/15/27		2,118,519		2,417,753

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

32

MassMutual Select PIMCO Total Return Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
U.S. Treasury Note (f) 0.750% 6/15/14	$	67,100,000	$	67,023,989
				75,186,627
TOTAL U.S. TREASURY OBLIGATIONS (Cost $75,016,328)				75,186,627
TOTAL BONDS & NOTES (Cost $1,207,446,405)				1,243,980,007
	Units
PURCHASED OPTIONS — 0.0%
Options on Interest Rate Swaps — 0.0%
Interest Rate Swaption USD 1 Year Call, Strike 1.25		21,100,000		108,579
Interest Rate Swaption USD 1 Year Call, Strike 1.25		55,600,000		286,112
				394,691
TOTAL PURCHASED OPTIONS (Cost $291,071)				394,691
TOTAL LONG-TERM INVESTMENTS (Cost $1,229,187,476)				1,266,734,698
	Principal Amount
SHORT-TERM INVESTMENTS — 22.1%
Certificate of Deposit — 0.1%
Bank of Nova Scotia 0.518% 8/09/12	$	1,100,000		1,099,756
Commercial Paper — 1.4%
Kells Funding LLC (a) 0.260% 12/02/11		22,400,000		22,375,086
Discount Notes — 3.7%
Federal Home Loan Bank 0.050% 7/13/11		38,100,000		38,099,365
Federal National Mortgage Association 0.060% 7/21/11		18,900,000		18,899,370
				56,998,735
Repurchase Agreements — 16.6%
Bank of America Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (h)		31,100,000		31,100,000
Barclays Capital Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (i)		2,500,000		2,500,000

	Principal Amount		Value
Barclays Capital Repurchase Agreement, dated 6/30/11, 0.050%, due 7/05/11 (j)	$	36,300,000	$	36,300,000
Barclays Capital Repurchase Agreement, dated 6/30/11, 0.080%, due 7/08/11 (k)		33,000,000		33,000,000
Barclays Capital Repurchase Agreement, dated 6/30/11, 0.100%, due 7/14/11 (l)		28,000,000		28,000,000
Greenwich Repurchase Agreement, dated 6/30/11, 0.030%, due 7/01/11 (m)		80,000,000		80,000,000
JP Morgan Chase Bank Repurchase Agreement, dated 6/30/11, 0.040%, due 7/01/11 (n)		7,500,000		7,500,000
Morgan Stanley Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (o)		28,400,000		28,400,000
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (p)		8,116,832		8,116,832
				254,916,832
U.S. Treasury Bills — 0.3%
U.S. Treasury Bill (g) 0.010% 8/25/11		410,000		409,994
U.S. Treasury Bill (g) 0.050% 9/15/11		1,418,000		1,417,892
U.S. Treasury Bill (g) 0.070% 9/15/11		814,000		813,926
U.S. Treasury Bill (g) 0.175% 8/18/11		1,322,000		1,321,914
U.S. Treasury Bill (g) 0.298% 7/28/11		220,000		219,973
				4,183,699
TOTAL SHORT-TERM INVESTMENTS (Cost $339,574,108)				339,574,108
TOTAL INVESTMENTS — 104.7% (Cost $1,568,761,584) (q)				1,606,308,806
Other Assets/(Liabilities) — (4.7)%				(72,301,631	)
NET ASSETS — 100.0%			$	1,534,007,175

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

33

MassMutual Select PIMCO Total Return Fund – Portfolio of Investments (Continued)

	Principal Amount			Value
SECURITIES SOLD SHORT — (0.8)%
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES SOLD SHORT — (0.8)%
Pass-Through Securities — (0.8)%
Federal National Mortgage Association TBA
Pool #1127 3.500% 7/01/40 (e)	$	(6,000,000	)	$	(5,738,906	)
Pool #6447 4.000% 11/01/39 (e)		(6,000,000	)		(6,000,000	)
					(11,738,906	)
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES SOLD SHORT (Cost $(11,766,563))					(11,738,906	)
TOTAL SECURITIES SOLD SHORT — (0.8)% (Cost $(11,766,563))					(11,738,906	)

Notes to Portfolio of Investments

ABS Asset-Backed Security

BAB Build America Bonds

CAD Canadian Dollar

CDO Collateralized Debt Obligation

CLO Collateralized Loan Obligation

CMO Collateralized Mortgage Obligation

EUR Euro

FRN Floating Rate Note

GBP British Pound

MBS Mortgage-Backed Security

MXN Mexican Peso

TBA To Be Announced

VRN Variable Rate Note

WL Whole Loan

(a) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2011, these securities amounted to a value of $423,253,380 or 27.59% of net assets.

(b) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At June 30, 2011, these securities amounted to a value of $88,342,486 or 5.76% of net assets.

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

(d) Restricted security. Certain securities are restricted as to resale. At June 30, 2011, these securities amounted to a value of $13,860,915 or 0.90% of net assets. The Funds generally bear the costs, if any, associated with the disposition of restricted securities.

(e) A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2).

(f) A portion of this security is held as collateral for open futures contracts. (Note 2).

(g) A portion of this security is held as collateral for open swap agreements and written options (Note 2).

(h) Maturity value of $31,100,009. Collateralized by U.S. Government Agency obligations with a rate of 1.375%, maturity date of 09/15/12, and an aggregate market value, including accrued interest, of $31,856,521.

(i) Maturity value of $2,500,001. Collateralized by U.S. Government Agency obligations with a rate of 1.875%, maturity date of 7/15/15, and an aggregate market value, including accrued interest, of $2,563,242.

(j) Maturity value of $36,300,353. Collateralized by U.S. Government Agency obligations with a rate of 4.500%, maturity date of 1/01/25 , and an aggregate market value, including accrued interest, of $37,503,908.

(k) Maturity value of $33,001,540. Collateralized by U.S. Government Agency obligations with a rate ranging from 6.000%, maturity date ranging from 6/20/40, and an aggregate market value, including accrued interest, of $34,056,809.

(l) Maturity value of $28,001,633. Collateralized by U.S. Government Agency obligations with a rate of 0.135%, maturity date of 5/06/13, and an aggregate market value, including accrued interest, of $28,559,948.

(m) Maturity value of $80,000,067. Collateralized by U.S. Government Agency obligations with a rate ranging from 2.750%, maturity date ranging from 11/30/16, and an aggregate market value, including accrued interest, of $81,991,776.

(n) Maturity value of $7,500,008. Collateralized by U.S. Government Agency obligations with a rate of 2.270%, maturity date of 12/24/13, and an aggregate market value, including accrued interest, of $7,663,948.

(o) Maturity value of $28,400,008. Collateralized by U.S. Government Agency obligations with a rate of 1.500%, maturity date ranging from 06/28/12 – 06/30/16, and an aggregate market value, including accrued interest, of $29,155,576.

(p) Maturity value of $8,116,834. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 12/25/38, and an aggregate market value, including accrued interest, of $8,279,288.

(q) See Note 6 for aggregate cost for federal tax purposes.

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

34

MassMutual Select Strategic Bond Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 0.2%
COMMON STOCK — 0.0%
Pipelines — 0.0%
SemGroup Corp. Class A (a)		245	$	6,289
TOTAL COMMON STOCK (Cost $7,576)				6,289
PREFERRED STOCK — 0.2%
Diversified Financial — 0.2%
Citigroup Capital XII 8.500%		9,125		235,608
Citigroup Capital XIII 7.875%		1,800		50,004
				285,612
U.S. Government Agencies — 0.0%
Federal Home Loan Mortgage Corp. 8.375% (a)		850		2,507
Federal National Mortgage Association 0.000% (a)		1,300		4,680
Federal National Mortgage Association 8.250% (a)		5,125		11,019
				18,206
TOTAL PREFERRED STOCK (Cost $494,676)				303,818
TOTAL EQUITIES (Cost $502,252)				310,107
	Principal Amount
BONDS & NOTES — 99.4%
CORPORATE DEBT — 28.7%
Aerospace & Defense — 0.2%
The Boeing Co. 4.875% 2/15/20	$	100,000		108,223
The Boeing Co. 6.000% 3/15/19		130,000		150,905
Raytheon Co. 3.125% 10/15/20		120,000		112,655
				371,783
Agriculture — 0.5%
Altria Group, Inc. 4.750% 5/05/21		390,000		389,733
Altria Group, Inc. 9.250% 8/06/19		180,000		234,710
Reynolds American, Inc. 6.750% 6/15/17		175,000		202,051
Reynolds American, Inc. 7.250% 6/01/12		60,000		63,378
				889,872

	Principal Amount		Value
Airlines — 0.2%
Continental Airlines, Inc. (b) 6.750% 9/15/15	$	20,000	$	20,100
Delta Air Lines, Inc. Series 2007-1 Class A (b) 6.821% 2/10/24		274,714		282,956
United Air Lines, Inc. 9.750% 1/15/17		129,199		146,641
				449,697
Banks — 5.2%
BAC Capital Trust XIV VRN 5.630% 9/29/49		30,000		22,313
Bank of America Corp. 4.500% 4/01/15		20,000		20,910
Bank of America Corp. 4.875% 9/15/12		10,000		10,422
Bank of America Corp. 5.000% 5/13/21		460,000		454,410
Bank of America Corp. 5.625% 7/01/20		190,000		196,177
Bank of America Corp. 7.625% 6/01/19		170,000		196,927
Bank of Tokyo-Mitsubishi UFJ Ltd. (b) 3.850% 1/22/15		110,000		115,897
Barclays Bank PLC (b) 6.050% 12/04/17		130,000		137,643
BBVA US Senior SAU 3.250% 5/16/14		400,000		395,572
Commonwealth Bank of Australia (b) 3.750% 10/15/14		200,000		210,128
Commonwealth Bank of Australia (b) 5.000% 10/15/19		110,000		114,467
Credit Agricole SA VRN (b) 8.375% 10/29/49		620,000		647,900
Glitnir Banki HF (Acquired 6/15/06, Cost $ 310,000) VRN (b) (c) (d) 6.693% 6/15/16		420,000		4
Glitnir Banki HF (Acquired 7/28/06, Cost $290,000) (b) (c) (d) 6.330% 7/28/11		290,000		80,475
Glitnir Banki HF (Acquired 9/20/07, Cost $98,989) VRN (b) (c) (d) 1.000% 9/14/16		100,000		1
Glitnir Banki HF (Acquired 9/25/07, Cost $389,126) (b) (c) (d) 6.375% 9/25/12		390,000		108,225
ICICI Bank Ltd. VRN (b) 6.375% 4/30/22		148,000		144,300
ICICI Bank Ltd. VRN (e) 6.375% 4/30/22		180,000		175,500

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

35

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

	Principal Amount		Value
Intesa Sanpaolo SPA (b) 3.625% 8/12/15	$	140,000	$	136,391
Landsbanki Islands HF (Acquired 8/25/06, Cost $669,826) (b) (c) (d) 6.100% 8/25/11		670,000		46,900
Lloyds TSB Bank PLC (b) 5.800% 1/13/20		90,000		90,130
Lloyds TSB Bank PLC 6.375% 1/21/21		260,000		270,674
Nordea Bank AB (b) 3.700% 11/13/14		280,000		292,943
Nordea Bank AB (b) 4.875% 5/13/21		390,000		374,545
Rabobank Nederland 11.000% 6/29/49		210,000		267,960
Royal Bank of Scotland Group PLC 3.950% 9/21/15		20,000		20,094
Royal Bank of Scotland Group PLC 5.000% 11/12/13		70,000		70,686
Royal Bank of Scotland Group PLC 5.000% 10/01/14		220,000		217,147
Royal Bank of Scotland Group PLC 5.050% 1/08/15		80,000		79,551
Royal Bank of Scotland Group PLC 6.400% 10/21/19		380,000		390,322
Royal Bank of Scotland Group PLC VRN 7.640% 3/29/49		200,000		155,500
Royal Bank of Scotland Group PLC VRN 7.648% 8/29/49		40,000		36,000
RSHB Capital SA for OJSC Russian Agricultural Bank (b) 6.299% 5/15/17		190,000		201,875
Santander US Debt SA Unipersonal (b) 2.485% 1/18/13		200,000		198,038
Santander US Debt SA Unipersonal (b) 3.724% 1/20/15		400,000		387,186
State Street Corp. 4.956% 3/15/18		310,000		328,745
Sumitomo Mitsui Banking Corp. (b) 3.100% 1/14/16		200,000		202,642
Sumitomo Mitsui Banking Corp. (b) 3.150% 7/22/15		260,000		265,987
UBS AG 3.875% 1/15/15		310,000		323,581
Wachovia Capital Trust III VRN 5.570% 3/29/49		340,000		311,100
Wachovia Corp. 5.250% 8/01/14		790,000		846,773
Wachovia Corp. 5.625% 10/15/16		330,000		358,242
Wells Fargo & Co. 3.676% 6/15/16		170,000		174,648

	Principal Amount		Value
Wells Fargo & Co. 5.300% 8/26/11	$	180,000	$	181,218
Wells Fargo Capital 5.950% 12/15/36		310,000		303,265
				9,563,414
Beverages — 0.4%
Anheuser-Busch InBev Worldwide, Inc. 5.000% 4/15/20		100,000		107,418
Anheuser-Busch InBev Worldwide, Inc. 5.375% 1/15/20		260,000		286,415
Diageo Capital PLC 4.828% 7/15/20		300,000		314,994
				708,827
Chemicals — 0.0%
Potash Corp. of Saskatchewan, Inc. 4.875% 3/30/20		50,000		52,863
Coal — 0.2%
Arch Coal, Inc. (b) 7.000% 6/15/19		250,000		249,375
Consol Energy, Inc. (b) 6.375% 3/01/21		160,000		159,200
				408,575
Commercial Services — 0.1%
Service Corp. International 7.500% 4/01/27		135,000		128,925
Service Corp. International 7.625% 10/01/18		10,000		10,975
				139,900
Diversified Financial — 7.9%
American Express Co. VRN 6.800% 9/01/66		230,000		236,325
Boeing Capital Corp. 4.700% 10/27/19		150,000		160,771
Citigroup, Inc. 3.953% 6/15/16		240,000		245,690
Citigroup, Inc. 5.375% 8/09/20		750,000		782,672
Citigroup, Inc. 5.500% 10/15/14		80,000		86,999
Citigroup, Inc. 6.010% 1/15/15		290,000		319,127
Citigroup, Inc. 6.375% 8/12/14		30,000		33,172
Citigroup, Inc. 6.875% 3/05/38		660,000		734,479
Countrywide Financial Corp. 6.250% 5/15/16		360,000		379,377
Credit Suisse Guernsey Ltd. VRN 5.860% 5/29/49		170,000		162,435

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

36

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

	Principal Amount		Value
Federal Agricultural Mortgage Corp. 3.875% 8/19/11	$	410,000	$	411,469
Federal Home Loan Mortgage Corp. 0.875% 10/28/13		330,000		331,264
Federal National Mortgage Association 0.010% 10/09/19		2,500,000		1,750,075
Federal National Mortgage Association 4.625% 5/01/13		950,000		1,014,055
FIA Card Services NA (b) 7.125% 11/15/12		450,000		480,348
Financing Corp. Fico Strip 0.010% 6/06/13		240,000		236,485
General Electric Capital Corp. VRN 6.375% 11/15/67		990,000		1,014,750
General Electric Capital Corp. 6.875% 1/10/39		190,000		215,083
The Goldman Sachs Group, Inc. 3.625% 8/01/12		60,000		61,752
The Goldman Sachs Group, Inc. 4.750% 7/15/13		10,000		10,556
The Goldman Sachs Group, Inc. 5.250% 10/15/13		80,000		85,835
The Goldman Sachs Group, Inc. 5.300% 2/14/12		20,000		20,516
The Goldman Sachs Group, Inc. 5.375% 3/15/20		310,000		320,120
The Goldman Sachs Group, Inc. 5.450% 11/01/12		150,000		158,532
The Goldman Sachs Group, Inc. 6.000% 6/15/20		240,000		258,237
The Goldman Sachs Group, Inc. 6.250% 2/01/41		470,000		473,840
HSBC Finance Corp. (b) 6.676% 1/15/21		410,000		420,665
International Lease Finance Corp. (b) 6.750% 9/01/16		720,000		766,800
JPMorgan Chase & Co. 5.125% 9/15/14		820,000		886,131
JPMorgan Chase & Co. 5.150% 10/01/15		600,000		648,027
Kaupthing Bank (Acquired 10/06/06, Cost $99,469) (b) (c) (d) 5.750% 10/04/11		100,000		24,750
Kaupthing Bank HF (Acquired 2/28/08, Cost $1,507,428) (b) (c) (d) 7.625% 2/28/15		1,800,000		445,500
Kaupthing Bank HF (Acquired 5/19/06, Cost $149,208) (b) (c) (d) 7.125% 5/19/16		375,000		4
Lehman Brothers Holdings Capital Trust VII VRN (c) 5.857% 11/29/49		310,000		31

	Principal Amount		Value
Lehman Brothers Holdings, Inc. (c) 6.500% 7/19/17	$	440,000	$	220
Lehman Brothers Holdings, Inc. Series I (c) 6.750% 12/28/17		1,320,000		660
MBNA Capital A Series A 8.278% 12/01/26		110,000		112,475
Merrill Lynch & Co., Inc. 6.875% 4/25/18		110,000		121,706
Morgan Stanley Series F 5.550% 4/27/17		200,000		212,009
Morgan Stanley Series F 5.625% 1/09/12		460,000		471,225
MUFG Capital Finance 1 Ltd. FRN 6.346% 7/29/49		180,000		182,931
SLM Corp. 5.000% 4/15/15		20,000		20,100
SLM Corp. 5.050% 11/14/14		120,000		119,991
SLM Corp. 5.625% 8/01/33		90,000		75,579
				14,492,768
Electric — 1.6%
The Cleveland Electric Illuminating Co. 5.650% 12/15/13		190,000		207,657
The Cleveland Electric Illuminating Co. 5.700% 4/01/17		20,000		21,868
Dominion Resources, Inc. 5.700% 9/17/12		510,000		539,110
Duke Energy Corp. 5.625% 11/30/12		595,000		633,632
Energy Future Intermediate Holding Co. LLC / EFIH Finance, Inc. 10.000% 12/01/20		495,000		527,898
Exelon Corp. 5.625% 6/15/35		290,000		275,594
FirstEnergy Corp. Series B 6.450% 11/15/11		8,000		8,150
FirstEnergy Corp. Series C 7.375% 11/15/31		480,000		546,544
Pacific Gas & Electric Co. 5.800% 3/01/37		130,000		133,524
Pacific Gas & Electric Co. 6.050% 3/01/34		90,000		95,166
Pacific Gas & Electric Co. 8.250% 10/15/18		20,000		25,670
				3,014,813
Environmental Controls — 0.2%
Waste Management, Inc. 6.375% 11/15/12		300,000		321,226

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

37

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

	Principal Amount		Value
Foods — 0.4%
Kraft Foods, Inc. 5.375% 2/10/20	$	530,000	$	579,395
The Kroger Co. 6.400% 8/15/17		30,000		35,143
Safeway, Inc. 3.950% 8/15/20		90,000		87,525
				702,063
Health Care – Services — 0.4%
Roche Holdings, Inc. (b) 6.000% 3/01/19		220,000		253,475
UnitedHealth Group, Inc. 5.700% 10/15/40		120,000		118,707
UnitedHealth Group, Inc. 5.800% 3/15/36		70,000		70,646
UnitedHealth Group, Inc. 6.000% 2/15/18		110,000		124,727
WellPoint, Inc. 5.875% 6/15/17		20,000		22,866
WellPoint, Inc. 7.000% 2/15/19		150,000		179,162
				769,583
Household Products — 0.2%
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC (b) 6.875% 2/15/21		350,000		341,250
Insurance — 0.8%
American International Group, Inc. (b) 3.750% 11/30/13		100,000		102,317
American International Group, Inc. 6.250% 3/15/37		570,000		518,700
American International Group, Inc. 6.400% 12/15/20		70,000		75,347
ING Capital Funding Trust III VRN 3.846% 12/29/49		10,000		9,444
MetLife Capital Trust IV (b) 7.875% 12/15/37		200,000		208,941
MetLife, Inc. 6.400% 12/15/36		260,000		253,500
Teachers Insurance & Annuity Association of America (b) 6.850% 12/16/39		260,000		295,851
				1,464,100
Iron & Steel — 0.1%
Steel Dynamics, Inc. 6.750% 4/01/15		140,000		142,800
Steel Dynamics, Inc. 7.625% 3/15/20		40,000		42,300
				185,100

	Principal Amount		Value
Lodging — 0.1%
Inn of the Mountain Gods Resort & Casino (b) 8.750% 11/30/20	$	14,000	$	13,720
MGM Mirage 7.625% 1/15/17		50,000		48,125
MGM Resorts International 10.375% 5/15/14		10,000		11,350
MGM Resorts International 11.125% 11/15/17		20,000		22,850
Station Casinos, Inc. (c) 7.750% 12/31/49		200,000		20
				96,065
Machinery – Construction & Mining — 0.1%
Caterpillar, Inc. 3.900% 5/27/21		150,000		150,020
Manufacturing — 0.1%
Tyco International Group SA 6.000% 11/15/13		230,000		254,257
Media — 1.9%
CCO Holdings LLC / CCO Holdings Capital Corp. 6.500% 4/30/21		270,000		266,288
Comcast Corp. 6.500% 1/15/15		1,195,000		1,367,178
Echostar DBS Corp. 7.000% 10/01/13		95,000		102,006
News America, Inc. 6.200% 12/15/34		20,000		20,425
News America, Inc. 6.650% 11/15/37		30,000		32,151
Reed Elsevier Capital, Inc. 8.625% 1/15/19		250,000		317,811
Time Warner Cable, Inc. 5.875% 11/15/40		190,000		187,523
Time Warner Cable, Inc. 6.200% 7/01/13		250,000		274,227
Time Warner Cable, Inc. 6.750% 6/15/39		180,000		196,905
Time Warner Cable, Inc. 8.250% 4/01/19		260,000		324,272
Time Warner Entertainment Co. LP 8.375% 7/15/33		20,000		25,562
Time Warner, Inc. 4.750% 3/29/21		220,000		223,796
Time Warner, Inc. 6.250% 3/29/41		20,000		20,776
TL Acquisitions, Inc. (b) 10.500% 1/15/15		20,000		18,100
United Business Media Ltd. (b) 5.750% 11/03/20		130,000		129,165
				3,506,185

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

38

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

	Principal Amount		Value
Mining — 1.4%
Barrick Gold Corp. 6.950% 4/01/19	$	140,000	$	166,435
Barrick NA Finance LLC (b) 4.400% 5/30/21		160,000		159,258
BHP Billiton Finance USA Ltd. 6.500% 4/01/19		410,000		490,614
Freeport-McMoRan Copper & Gold, Inc. 8.375% 4/01/17		270,000		294,975
Rio Tinto Finance USA Ltd. 1.875% 11/02/15		20,000		19,711
Rio Tinto Finance USA Ltd. 2.500% 5/20/16		100,000		100,195
Rio Tinto Finance USA Ltd. 3.500% 11/02/20		350,000		334,952
Rio Tinto Finance USA Ltd. 4.125% 5/20/21		80,000		79,465
Rio Tinto Finance USA Ltd. 6.500% 7/15/18		220,000		256,940
Teck Resources Ltd. 9.750% 5/15/14		8,000		9,684
Teck Resources Ltd. 10.250% 5/15/16		9,000		10,755
Vale Overseas Ltd. 6.875% 11/21/36		361,000		391,969
Vedanta Resources PLC (b) 8.750% 1/15/14		190,000		203,775
				2,518,728
Oil & Gas — 2.7%
Anadarko Petroleum Corp. 6.375% 9/15/17		40,000		45,853
Apache Corp. 5.100% 9/01/40		360,000		345,787
BP Capital Markets PLC 3.125% 10/01/15		480,000		492,814
Concho Resources, Inc. /Midland TX 6.500% 1/15/22		98,000		98,245
Conoco, Inc. 6.950% 4/15/29		155,000		188,259
ConocoPhillips 6.500% 2/01/39		120,000		140,177
Hess Corp. 7.300% 8/15/31		155,000		185,299
Hess Corp. 7.875% 10/01/29		90,000		113,005
Hess Corp. 8.125% 2/15/19		180,000		227,753
Kerr-McGee Corp. 6.950% 7/01/24		290,000		330,458
Kerr-McGee Corp. 7.875% 9/15/31		360,000		432,669

	Principal Amount		Value
Noble Energy, Inc. 8.250% 3/01/19	$	300,000	$	383,590
Pemex Project Funding Master Trust 6.625% 6/15/35		623,000		656,657
Petrobras International Finance Co. 5.375% 1/27/21		340,000		349,115
Petrobras International Finance Co. 5.750% 1/20/20		142,000		151,479
Petrobras International Finance Co. 6.125% 10/06/16		166,000		184,811
QEP Resources, Inc. 6.875% 3/01/21		180,000		189,900
Shell International Finance BV 4.375% 3/25/20		330,000		346,757
Total Capital SA 4.450% 6/24/20		40,000		41,749
				4,904,377
Oil & Gas Services — 0.2%
Cie Generale de Geophysique - Veritas (b) 6.500% 6/01/21		230,000		221,950
Key Energy Services, Inc. 6.750% 3/01/21		140,000		140,000
				361,950
Pharmaceuticals — 0.3%
Giant Funding Corp. (b) 8.250% 2/01/18		50,000		52,125
Pfizer, Inc. 6.200% 3/15/19		370,000		432,808
Wyeth 5.950% 4/01/37		20,000		21,463
				506,396
Pipelines — 0.8%
El Paso Natural Gas Co. 8.375% 6/15/32		289,000		365,375
Kinder Morgan Energy Partners LP 5.000% 12/15/13		100,000		108,436
Kinder Morgan Energy Partners LP 5.850% 9/15/12		20,000		21,075
Kinder Morgan Energy Partners LP 6.000% 2/01/17		200,000		225,544
Regency Energy Partners LP / Regency Energy Finance Corp. 6.500% 7/15/21		128,000		129,600
Southern Natural Gas Co. 8.000% 3/01/32		5,000		6,265
Tennessee Gas Pipeline Co. 7.625% 4/01/37		50,000		60,284
Williams Cos., Inc. 7.750% 6/15/31		126,000		147,067
Williams Cos., Inc. Series A 7.500% 1/15/31		388,000		443,736
				1,507,382

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

39

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

	Principal Amount		Value
Retail — 0.4%
CVS Caremark Corp. 6.600% 3/15/19	$	100,000	$	116,070
CVS Caremark Corp. (b) 9.350% 1/10/23		240,000		261,434
CVS Pass-Through Trust (b) 5.298% 1/11/27		13,321		13,081
CVS Pass-Through Trust 5.880% 1/10/28		137,422		141,373
CVS Pass-Through Trust 6.036% 12/10/28		115,260		122,326
CVS Pass-Through Trust 6.943% 1/10/30		92,589		104,139
Wal-Mart Stores, Inc. 6.200% 4/15/38		50,000		55,404
				813,827
Savings & Loans — 0.4%
ASIF Global Financing XIX (b) 4.900% 1/17/13		20,000		20,800
The Goldman Sachs Capital II VRN 5.793% 6/01/43		390,000		312,000
ILFC E-Capital Trust II VRN (b) 6.250% 12/21/65		10,000		8,500
Resona Preferred Global Securities Cayman Ltd. VRN (b) 7.191% 12/29/49		385,000		385,610
				726,910
Semiconductors — 0.0%
National Semiconductor Corp. 6.600% 6/15/17		30,000		35,308
Telecommunications — 1.8%
America Movil SAB de CV 5.000% 3/30/20		100,000		104,320
America Movil SAB de CV 5.625% 11/15/17		160,000		179,544
AT&T, Inc. 5.500% 2/01/18		410,000		457,284
AT&T, Inc. 6.550% 2/15/39		90,000		98,715
Cellco Partnership/Verizon Wireless Capital LLC 8.500% 11/15/18		50,000		64,928
Deutsche Telekom International Finance BV 5.750% 3/23/16		315,000		356,245
Intelsat Jackson Holdings SA (b) 7.250% 10/15/20		180,000		179,100
Intelsat Jackson Holdings SA 8.500% 11/01/19		65,000		68,900
Intelsat Jackson Holdings SA 9.500% 6/15/16		30,000		31,462

	Principal Amount		Value
Qwest Corp. 6.875% 9/15/33	$	100,000	$	96,375
Qwest Corp. 7.500% 10/01/14		55,000		61,669
Rogers Communications, Inc. 6.800% 8/15/18		120,000		141,596
SBC Communications, Inc. 5.100% 9/15/14		230,000		252,757
Telefonica Emisiones SAU 5.134% 4/27/20		130,000		128,865
Verizon Communications, Inc. 4.600% 4/01/21		360,000		371,446
Verizon Communications, Inc. 6.000% 4/01/41		320,000		334,158
Verizon Communications, Inc. 6.100% 4/15/18		240,000		275,027
Verizon Global Funding Corp. 7.375% 9/01/12		190,000		204,337
				3,406,728
Transportation — 0.1%
Kansas City Southern de Mexico SA de CV 12.500% 4/01/16		98,000		116,620
TOTAL CORPORATE DEBT (Cost $55,562,514)				52,780,587
MUNICIPAL OBLIGATIONS — 1.1%
Birmingham Commercial Development Authority 5.500% 4/01/41		20,000		20,244
City of Chicago IL 5.500% 1/01/31		50,000		51,149
City of Chicago IL 5.625% 1/01/35		20,000		20,450
County of Clark NV 5.250% 7/01/39		30,000		29,610
Los Angeles Department of Airports 5.000% 5/15/35		40,000		39,832
Los Angeles Department of Airports 5.250% 5/15/39		30,000		30,676
Los Angeles Department of Water & Power 6.574% 7/01/45		120,000		134,518
Municipal Electric Authority of Georgia 6.637% 4/01/57		130,000		124,626
Municipal Electric Authority of Georgia 6.655% 4/01/57		80,000		75,421
New York Liberty Development Corp. 5.250% 10/01/35		100,000		99,044
San Mateo County Community College District 5.000% 9/01/38		60,000		60,239

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

40

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

	Principal Amount		Value
State of California 7.300% 10/01/39	$	230,000	$	255,010
State of Illinois 5.665% 3/01/18		180,000		186,717
State of Illinois 5.877% 3/01/19		180,000		185,016
Student Loan Funding Corp. 0.228% 9/01/47		500,000		500,000
Tennessee Valley Authority 5.250% 9/15/39		210,000		222,266
				2,034,818
TOTAL MUNICIPAL OBLIGATIONS (Cost $1,920,453)				2,034,818
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS —14.4%
Agency Collateral CMO — 0.4%
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K006, Class AX1 VRN 1.230% 1/25/20		634,173		41,689
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K007, Class X1 VRN 1.413% 4/25/20		1,377,163		102,741
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K702, Class X1 VRN 1.569% 2/25/18		3,270,000		263,518
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K009, Class X1 VRN 1.685% 8/25/20		785,960		71,718
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K008, Class X1 VRN 1.842% 6/25/20		1,680,134		173,464
Federal National Mortgage Association Interest Strip, Series 407, Class C10 5.000% 1/25/38		195,001		41,341
NCUA Guaranteed Notes, Series 2010-C1, Class A2 2.900% 10/29/20		20,000		19,975
				714,446

	Principal Amount		Value
Automobile ABS — 0.3%
Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class A (b) 3.150% 3/20/17	$	60,000	$	61,441
Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A (b) 4.640% 5/20/16		180,000		195,308
Hertz Vehicle Financing LLC, Series 2009-2A, Class A2 (b) 5.290% 3/25/16		300,000		332,817
				589,566
Commercial MBS — 2.2%
Banc of America Commercial Mortgage, Inc., Series 2005-6, Class A4 VRN 5.367% 9/10/47		650,000		705,826
Banc of America Commercial Mortgage, Inc., Series 2006-2, Class A4 VRN 5.924% 5/10/45		190,000		209,948
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4 VRN 6.078% 7/10/38		310,000		342,285
GS Mortgage Securities Corp. II, Series 2005-GG4, Class AABA 4.680% 7/10/39		146,771		149,186
LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class AAB 4.664% 7/15/30		72,064		74,686
LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5 4.739% 7/15/30		1,500,000		1,596,406
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4 VRN 5.485% 3/12/51		30,000		31,957
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-8, Class A3 VRN 6.164% 8/12/49		10,000		10,808
Morgan Stanley Capital I, Series 2007-IQ14, Class A4 VRN 5.692% 4/15/49		900,000		959,694
				4,080,796
Home Equity ABS — 2.1%
ACE Securities Corp., Series 2006-SD2, Class A FRN 0.486% 12/25/45		395,550		366,844
ACE Securities Corp., Series 2002-HE3, Class M1 FRN 1.986% 10/25/32		1,084,809		880,046
Bear Stearns Asset Back Securities Trust, Series 2005-SD4, Class 2A1 FRN 0.586% 12/25/42		155,102		132,819

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

41

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

	Principal Amount		Value
Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A FRN 0.417% 12/15/35	$	140,459	$	76,881
Delta Funding Home Equity Loan Trust, Series 1999-1, Class A6F 6.340% 12/15/28		1,095		1,083
Greenpoint Mortgage Funding Trust, Series 2005-HE4, Class 2A1A FRN 0.406% 7/25/30		343,987		295,961
GSAA Home Equity Trust, Series 2006-19, Class A3A FRN 0.426% 12/25/36		1,463,593		761,461
HSI Asset Securitization Corp. Series 2005-II, Class 2A4 VRN STEP 0.576% 11/25/35		2,400,000		1,053,429
Lehman XS Trust, Series 2005-5N, Class 1A1 FRN 0.486% 11/25/35		165,948		118,540
Structured Asset Securities Corp., Series 2002-AL1, Class A3 3.450% 2/25/32		117,190		110,199
				3,797,263
Manufactured Housing ABS — 2.1%
Greenpoint Manufactured Housing, Series 2000-6, Class A3 FRN 2.195% 11/22/31		150,000		127,175
Greenpoint Manufactured Housing, Series 1999-2, Class A2 FRN 3.109% 3/18/29		200,000		167,920
Greenpoint Manufactured Housing, Series 2000-7, Class A2 FRN 3.686% 11/17/31		275,000		229,194
Greenpoint Manufactured Housing, Series 2001-2, Class IIA2 FRN 3.689% 3/13/32		200,000		168,698
Greenpoint Manufactured Housing, Series 2001-2, Class IA2 FRN 3.690% 2/20/32		150,000		125,233
Greenpoint Manufactured Housing, Series 1999-4, Class A2 FRN 3.695% 2/20/30		75,000		61,918
Greenpoint Manufactured Housing, Series 1999-3, Class 2A2 FRN 3.696% 6/19/29		75,000		61,988
Origen Manufactured Housing, Series 2005-B, Class A3 5.605% 5/15/22		3,000,000		3,017,737
				3,959,863
Other ABS — 0.1%
Amortizing Residential Collateral Trust, Series 2004-1, Class A5 FRN 0.686% 10/25/34		287,635		247,887

	Principal Amount		Value
Student Loans ABS — 1.3%
Brazos Higher Education Authority, Series 2011-1, Class A3 FRN 1.307% 11/25/33	$	400,000	$	375,619
Illinois Student Assistance Commission, Series 2010-1, Class A3 FRN 1.174% 7/25/45		700,000		677,751
Keycorp Student Loan Trust, Series 2003-A, Class 1A2 FRN 0.534% 10/25/32		185,248		173,805
SLM Student Loan Trust, Series 2003-11, Class A6 FRN (b) 0.537% 12/15/25		300,000		285,017
SLM Student Loan Trust, Series 2001-4, Class B FRN 0.774% 1/25/21		600,000		568,628
SLM Student Loan Trust, Series 2003-4, Class A5E FRN (b) 0.997% 3/15/33		287,237		282,898
				2,363,718
WL Collateral CMO — 5.9%
Bear Stearns Alt-A Trust, Series 2004-11, Class IIA6A VRN 5.121% 11/25/34		583,670		521,761
Countrywide Alternative Loan Trust, Series 2005-44, Class 1A1 FRN 0.516% 10/25/35		217,578		125,240
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1 FRN 0.526% 11/20/35		408,812		246,160
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-R3, Class AF FRN (b) 0.586% 9/25/35		365,648		322,011
Deutsche Mortgage Securities, Inc., Series 2005-WF1, Class 1A3 VRN (b) 5.225% 6/26/35		970,000		929,244
GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF FRN 0.536% 9/25/35		343,462		280,020
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3 VRN 2.914% 10/25/35		397,238		309,319
Harborview Mortgage Loan Trust, Series 2006-2, Class 1A VRN 2.822% 2/25/36		193,839		129,191
Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1 FRN 0.576% 12/25/34		35,787		20,137
MASTR Adjustable Rate Mortgages Trust, Series 2003-3, Class 3A4 VRN 2.438% 9/25/33		1,037,470		887,739
MASTR Adjustable Rate Mortgages Trust, Series 2007-R5, Class A1 VRN 2.694% 11/25/35		1,397,289		841,943

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

42

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

	Principal Amount		Value
MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1 VRN 2.952% 1/25/36	$	348,739	$	275,366
MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F FRN (b) 0.536% 5/25/35		341,077		282,660
Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A3 VRN 2.672% 3/25/36		284,602		157,313
Prime Mortgage Trust, Series 2006-DR1, Class 1A1 (b) 5.500% 5/25/35		461,496		444,552
Prime Mortgage Trust, Series 2006-DR1, Class 1A2 (b) 6.000% 5/25/35		184,351		179,886
Prime Mortgage Trust, Series 2006-DR1, Class 2A2 (b) 6.000% 5/25/35		1,484,798		1,354,328
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 4A1 FRN 2.428% 3/25/46		1,134,869		632,674
WaMu Mortgage Pass Through Certificates, Series 2005-AR15, Class A1A1 FRN 0.446% 11/25/45		298,959		235,740
WaMu Mortgage Pass Through Certificates, Series 2005-AR8, Class 1A1A FRN 0.456% 7/25/45		60,853		48,983
WaMu Mortgage Pass Through Certificates, Series 2005-AR13, Class A1A1 FRN 0.476% 10/25/45		230,678		184,343
WaMu Mortgage Pass Through Certificates, Series 2006-AR13, Class 1A FRN 1.158% 10/25/46		1,562,673		937,456
WaMu Mortgage Pass Through Certificates, Series 2006-AR14, Class 2A3 VRN 5.561% 11/25/36		1,940,000		1,428,438
				10,774,504
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $28,299,985)				26,528,043
SOVEREIGN DEBT OBLIGATIONS — 1.5%
Malaysia Government Bond MYR 3.835% 8/12/15		1,410,000		474,691
Malaysia Government Bond MYR 4.262% 9/15/16		395,000		135,255

	Principal Amount		Value
Mexican Bonos MXN 8.000% 6/11/20	$	9,760,000	$	892,223
Province of Ontario Canada 2.700% 6/16/15		660,000		684,817
Province of Ontario Canada 4.400% 4/14/20		310,000		328,786
United Mexican States 6.750% 9/27/34		155,000		180,188
				2,695,960
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $2,654,707)				2,695,960
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 34.3%
Collateralized Mortgage Obligations — 2.0%
Federal Home Loan Mortgage Corp.
Series 3738, Class BP 4.000% 12/15/38		400,000		399,972
Series 3871, Class BP 5.500% 6/15/41		400,000		433,765
Federal National Mortgage Association
Series 2011-59, Class NZ 5.500% 7/25/41		500,000		526,704
Series 2011-63, Class SW 6.482% 7/25/41		700,000		110,901
Government National Mortgage Association
Series 2010-H28, Class FE 0.610% 12/20/60		380,440		379,111
Series 2011-H08, Class FG 0.690% 3/20/61		298,521		297,155
Series 2011-H09, Class AF 0.710% 3/20/61		198,521		197,956
Series 2010-14, Class SC 4.609% 8/20/35		499,964		70,448
Series 2011-81, Class SW 5.205% 6/20/41		400,000		62,008
Series 2010-120, Class SG 5.214% 9/20/40		190,633		28,088
Series 2010-117, Class PS 5.814% 10/20/39		916,740		151,697
Series 2011-32, Class S 5.815% 3/16/41		97,618		16,774
Series 2010-113, Class SM 5.864% 9/20/40		240,306		41,940
Series 2010-151, Class SA 5.864% 11/20/40		729,985		125,443
Series 2009-87, Class TS 5.914% 7/20/35		276,023		40,171
Series 2010-146, Class GS 5.914% 6/20/39		290,798		49,947
Series 2011-40, Class SA 5.945% 2/16/36		1,076,851		163,321

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

43

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

	Principal Amount		Value
Series 2005-81, Class SD 6.114% 12/20/34	$	255,280	$	30,691
Series 2009-35, Class SP 6.215% 5/16/37		552,107		70,921
Series 2010-31, Class GS 6.314% 3/20/39		180,012		30,374
Series 2010-160, Class SW 6.364% 10/20/38		292,414		53,601
Series 2010-39, Class SP 6.364% 11/20/38		100,000		17,209
Series 2010-3, Class MS 6.364% 11/20/38		633,246		107,450
Series 2010-91, Class SI 6.384% 7/20/40		360,050		66,360
Class 2010-68, Class SD 6.394% 6/20/40		3,914		670
Series 2010-85, Class HS 6.464% 1/20/40		430,297		80,337
Class 2009-61, Class SA 6.514% 8/20/39		499,052		84,386
Series 2011-70, Class BS 6.515% 12/16/36		298,600		56,194
Series 2009-68, Class SL 6.565% 4/16/39		119,953		16,247
Series 2005-13, Class SD 6.614% 2/20/35		186,928		31,911
				3,741,752
Pass-Through Securities — 32.3%
Federal Home Loan Mortgage Corp.
Pool #1N1640 4.979% 1/01/37		250,751		259,455
Pool #1N1637 5.206% 1/01/37		556,167		585,745
Pool #1N2654 5.625% 11/23/35 (f)		170,000		179,446
Pool #1J1368 5.632% 10/01/36		165,635		176,608
Federal Home Loan Mortgage Corp. TBA Pool #2961 4.000% 11/01/39 (g)		100,000		99,906
Federal National Mortgage Association
Pool #993117 4.500% 1/01/39		136,753		141,764
Pool #AA0856 4.500% 1/01/39		301,927		313,084
Pool #AA2450 4.500% 2/01/39		110,750		114,808
Pool #AA3495 4.500% 2/01/39		426,915		442,558
Pool #935520 4.500% 8/01/39		355,282		368,189

	Principal Amount		Value
Pool #AD5481 4.500% 5/01/40	$	5,091,562	$	5,274,937
Pool #AD6914 4.500% 6/01/40		524,107		542,983
Pool #AD8685 4.500% 8/01/40		770,791		798,552
Pool #974965 5.000% 4/01/38		3,088,864		3,284,572
Pool #AE2266 5.000% 3/01/40		691,202		734,780
Pool #709406 5.500% 7/01/33		3,261,057		3,547,164
Pool #937948 5.500% 6/01/37		54,294		58,888
Pool #995072 5.500% 8/01/38		294,996		320,693
Pool #AL0484 5.500% 5/01/40		4,700,000		5,088,852
Pool #950385 5.778% 8/01/37		54,255		56,762
Pool #481473 6.000% 2/01/29		422		466
Pool #867557 6.000% 2/01/36		13,565		14,979
Pool #AE0469 6.000% 12/01/39		2,708,429		2,977,157
Federal National Mortgage Association TBA
Pool #2409 3.500% 9/01/25 (g)		200,000		203,625
Pool #6990 4.000% 4/01/24 (g)		300,000		312,398
Pool #15801 4.500% 3/01/39 (g)		4,500,000		4,655,742
Pool #28654 5.000% 8/01/36 (g)		1,700,000		1,805,984
Pool #45746 5.500% 4/01/35 (g)		1,700,000		1,838,789
Pool #52960 6.000% 9/01/35 (g)		700,000		769,234
Government National Mortgage Association
Pool #487588 6.000% 4/15/29		11,894		13,263
Pool #595077 6.000% 10/15/32		1,917		2,138
Pool #596620 6.000% 10/15/32		1,833		2,045
Pool #598000 6.000% 12/15/32		83		93
Pool #604706 6.000% 10/15/33		268,960		301,088

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

44

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

	Principal Amount		Value
Pool #636251 6.000% 3/15/35	$	28,258	$	31,563
Pool #782034 6.000% 1/15/36		297,097		331,843
Pool #658029 6.000% 7/15/36		247,086		275,675
Government National Mortgage Association TBA
Pool #3736 4.000% 5/01/40 (g)		200,000		203,781
Pool #2897 5.500% 7/01/36 (g)		200,000		219,859
Pool #9104 4.500% 7/01/39 (g)		9,800,000		10,342,828
Pool #1207 4.500% 3/01/40 (g)		8,700,000		9,153,352
Pool #1486 5.000% 4/01/39 (g)		2,400,000		2,603,250
Residual Funding Principal Strip 0.010% 10/15/19		1,280,000		993,671
				59,442,569
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $62,603,084)				63,184,321
U.S. TREASURY OBLIGATIONS — 19.4%
U.S. Treasury Bonds & Notes — 19.4%
U.S. Treasury Bond 4.375% 11/15/39		540,000		540,304
U.S. Treasury Bond 4.375% 5/15/40		480,000		479,764
U.S. Treasury Bond 4.375% 5/15/41		825,000		823,904
U.S. Treasury Bond 4.750% 2/15/41		3,040,000		3,231,147
U.S. Treasury Inflation Index 2.125% 2/15/40		592,994		647,567
U.S. Treasury Inflation Index 2.375% 1/15/27 (f)		958,909		1,094,351
U.S. Treasury Inflation Index 3.875% 4/15/29		2,106,427		2,890,611
U.S. Treasury Note 0.500% 5/31/13		20,000		20,021
U.S. Treasury Note 0.500% 11/15/13		30,000		29,931
U.S. Treasury Note 1.375% 2/15/13		70,000		71,120
U.S. Treasury Note 1.500% 6/30/16		170,000		167,935
U.S. Treasury Note 1.750% 5/31/16		8,180,000		8,193,101

	Principal Amount		Value
U.S. Treasury Note 2.375% 5/31/18	$	7,250,000	$	7,211,484
U.S. Treasury Note 2.625% 4/30/18		700,000		708,832
U.S. Treasury Note 2.625% 11/15/20		110,000		105,942
U.S. Treasury Note 3.125% 5/15/21		2,200,000		2,193,984
U.S. Treasury Note 3.625% 2/15/21		3,280,000		3,420,466
United States Treasury Strip Principal 0.010% 11/15/24		830,000		486,798
United States Treasury Strip Principal 0.010% 2/15/25		2,660,000		1,537,799
United States Treasury Strip Principal 0.010% 11/15/27		3,920,000		1,940,790
				35,795,851
TOTAL U.S. TREASURY OBLIGATIONS (Cost $35,198,855)				35,795,851
TOTAL BONDS & NOTES (Cost $186,239,598)				183,019,580
	Units
PURCHASED OPTIONS — 0.0%
Options on Futures — 0.0%
Eurodollar Put, Expires 7/15/11, Strike 98.875		45		563
Eurodollar Put, Expires 7/15/11, Strike 99.125		45		4,781
Eurodollar Put, Expires 8/12/11, Strike 97.500		23		1,869
Eurodollar Put, Expires 8/12/11, Strike 98.000		23		7,475
U.S. Treasury Note 10 Year Call, Expires 8/26/11, Strike 129.000		22		1,031
U.S. Treasury Note 10 Year Put, Expires 8/26/11, Strike 115.000		22		2,750
U.S. Treasury Note 30 Year Put, Expires 8/26/11, Strike 104.000		22		344
U.S. Treasury Note 30 Year Put, Expires 8/26/11, Strike 110.000		45		2,812
				21,625
TOTAL PURCHASED OPTIONS (Cost $21,322)				21,625

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

45

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

	Number of Shares		Value
WARRANTS — 0.0%
Pipelines — 0.0%
SemGroup Corp., Expires 11/30/14, Strike 25.00 (a)		258	$	1,742
TOTAL WARRANTS (Cost $0)				1,742
TOTAL LONG-TERM INVESTMENTS (Cost $186,763,172)				183,353,054
	Principal Amount
SHORT-TERM INVESTMENTS — 17.0%
Discount Notes — 16.0%
Federal Home Loan Mortgage Corp. 0.010% 9/12/11	$	4,000,000		3,999,027
Federal Home Loan Mortgage Corp. (f) 0.010% 1/10/12		553,000		552,660
Federal National Mortgage Association 0.010% 8/22/11		900,000		899,864
Federal National Mortgage Association (f) 0.010% 1/10/12		39,000		38,979
U.S. Treasury Bill 0.010% 10/27/11		9,000,000		8,997,079
U.S. Treasury Bill 0.010% 11/10/11		15,000,000		14,996,287
				29,483,896
Repurchase Agreement — 1.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (h)		1,770,952		1,770,952
TOTAL SHORT-TERM INVESTMENTS (Cost $31,254,848)				31,254,848
TOTAL INVESTMENTS — 116.6% (Cost $218,018,020) (i)				214,607,902
Other Assets/(Liabilities) — (16.6)%				(30,589,807	)
NET ASSETS — 100.0%			$	184,018,095

Notes to Portfolio of Investments

ABS Asset-Backed Security

CMO Collateralized Mortgage Obligation

FRN Floating Rate Note

MBS Mortgage-Backed Security

MXN Mexican Peso

MYR Malaysian Ringgit

STEP Step Up Bond

TBA To Be Announced

VRN Variable Rate Note

WL Whole Loan

(a) Non-income producing security.

(b) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2011, these securities amounted to a value of $14,143,989 or 7.69% of net assets.

(c) Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At June 30, 2011, these securities amounted to a value of $706,790 or 0.38% of net assets.

(d) Restricted security. Certain securities are restricted as to resale. At June 30, 2011, these securities amounted to a value of $705,859 or 0.38% of net assets. The Funds generally bear the costs, if any, associated with the disposition of restricted securities.

(e) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At June 30, 2011, these securities amounted to a value of $175,500 or 0.10% of net assets.

(f) A portion of this security is held as collateral for open futures contracts and written options outstanding. (Note 2).

(g) A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2).

(h) Maturity value of $1,770,953. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% - 4.000%, maturity dates ranging from 12/15/17 - 11/15/40, and an aggregate market value, including accrued interest, of $1,810,097.

(i) See Note 6 for aggregate cost for federal tax purposes.

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

46

MassMutual Select Strategic Balanced Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 67.7%
COMMON STOCK — 67.2%
Aerospace & Defense — 0.8%
United Technologies Corp.		5,748	$	508,756
Agriculture — 0.7%
British American Tobacco PLC		6,639		291,010
Japan Tobacco, Inc.		41		158,228
				449,238
Apparel — 0.2%
Adidas AG		1,632		129,450
Auto Manufacturers — 1.8%
Daimler AG		2,165		162,940
General Motors Co. (a)		14,139		429,260
Nissan Motor Co. Ltd.		17,000		178,454
Paccar, Inc.		7,345		375,256
				1,145,910
Automotive & Parts — 1.0%
Bridgestone Corp.		3,800		87,455
Johnson Controls, Inc.		12,889		536,956
				624,411
Banks — 4.1%
Banco Bilbao Vizcaya Argentaria SA		10,624		124,521
Bank of America Corp.		31,635		346,720
BNP Paribas		3,232		249,270
DnB NOR ASA		9,514		132,617
Erste Group Bank AG		1,556		81,502
Fifth Third Bancorp		5,036		64,209
Huntington Bancshares, Inc.		1,949		12,785
KBC Groep NV		2,655		104,291
Lloyds Banking Group PLC (a)		184,710		145,138
Standard Chartered PLC		7,662		201,339
State Street Corp.		2,360		106,412
Sumitomo Mitsui Financial Group, Inc.		4,518		139,046
SVB Financial Group (a)		306		18,271
U.S. Bancorp		5,097		130,025
UniCredit SpA		35,795		75,711
Wells Fargo & Co.		23,978		672,823
Zions Bancorp		606		14,550
				2,619,230
Beverages — 1.9%
Carlsberg A/S Class B		878		95,538
The Coca-Cola Co.		8,308		559,045
Dr. Pepper Snapple Group, Inc.		200		8,386
PepsiCo, Inc.		4,935		347,572
Pernod-Ricard SA		1,668		164,419
				1,174,960

	Number of Shares		Value
Biotechnology — 1.1%
Biogen Idec, Inc. (a)		3,263	$	348,880
Celgene Corp. (a)		4,078		245,985
Dendreon Corp. (a)		2,084		82,193
Intercell AG (a)		2,070		8,515
				685,573
Building Materials — 0.4%
JS Group Corp.		3,800		97,921
Nippon Sheet Glass Co. Ltd.		53,000		164,547
				262,468
Chemicals — 1.7%
Air Products & Chemicals, Inc.		1,781		170,228
The Dow Chemical Co.		4,155		149,580
E.I. du Pont de Nemours & Co.		6,884		372,080
Georgia Gulf Corp. (a)		2,451		59,167
Huabao International Holdings Ltd.		56,000		51,058
Lanxess AG		997		81,737
Solvay SA Class A		1,061		163,941
				1,047,791
Commercial Services — 0.7%
Experian PLC		10,212		130,058
Genpact Ltd. (a)		995		17,154
ITT Educational Services, Inc. (a)		800		62,592
MasterCard, Inc. Class A		455		137,110
McKesson Corp.		678		56,715
Visa, Inc. Class A		483		40,697
				444,326
Computers — 3.4%
Accenture PLC Class A		2,050		123,861
Apple, Inc. (a)		3,648		1,224,524
Cognizant Technology Solutions Corp. Class A (a)		2,072		151,961
EMC Corp. (a)		1,548		42,647
Fujitsu LTD		20,000		114,308
Hewlett-Packard Co.		4,192		152,589
International Business Machines Corp.		1,800		308,790
				2,118,680
Cosmetics & Personal Care — 1.5%
Colgate-Palmolive Co.		2,593		226,654
L’Oreal		1,213		157,550
The Procter & Gamble Co.		9,094		578,105
				962,309
Distribution & Wholesale — 0.5%
Marubeni Corp.		15,000		99,693
Mitsui & Co. Ltd.		10,900		188,495
				288,188

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

47

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

	Number of Shares		Value
Diversified Financial — 3.0%
American Express Co.		2,519	$	130,232
Citigroup, Inc.		11,618		483,774
CME Group, Inc.		334		97,391
Credit Suisse Group (a)		5,233		203,398
Deutsche Boerse AG		1,309		99,345
The Goldman Sachs Group, Inc.		2,626		349,494
IntercontinentalExchange, Inc. (a)		510		63,602
Invesco Ltd.		3,313		77,524
Morgan Stanley		10,120		232,861
ORIX Corp.		970		94,362
TD Ameritrade Holding Corp.		2,042		39,839
				1,871,822
Electric — 1.3%
CenterPoint Energy, Inc.		3,040		58,824
Constellation Energy Group, Inc.		1,277		48,475
Enel SpA		27,417		179,082
FirstEnergy Corp.		1,990		87,858
NextEra Energy, Inc.		4,662		267,879
Northeast Utilities		3,092		108,746
NV Energy, Inc.		3,704		56,856
				807,720
Electrical Components & Equipment — 0.9%
Emerson Electric Co.		2,905		163,406
Mitsubishi Electric Corp.		15,000		174,205
Schneider Electric SA		1,378		230,225
				567,836
Electronics — 0.5%
HON HAI Precision Industry Co. Ltd. GDR (Taiwan) (b)		15,981		109,150
Premier Farnell PLC		18,341		73,301
TE Connectivity Ltd.		3,932		144,540
				326,991
Engineering & Construction — 0.7%
ABB Ltd. (a)		7,781		201,772
Bouygues SA		1,656		72,804
Fluor Corp.		2,810		181,695
				456,271
Food Services — 0.3%
Sodexo		2,228		174,568
Foods — 1.1%
Campbell Soup Co.		3,959		136,784
General Mills, Inc.		3,852		143,371
Sysco Corp.		4,284		133,575
Unilever NV		8,579		281,049
				694,779
Forest Products & Paper — 0.3%
Stora Enso Oyj Class R		6,366		66,792
UPM-Kymmene OYJ		5,566		101,783
				168,575

	Number of Shares		Value
Gas — 1.0%
AGL Resources, Inc.		730	$	29,718
Centrica PLC		36,275		188,233
Perusahaan Gas Negara PT		202,000		95,023
Sempra Energy		2,337		123,581
Snam Rete Gas SpA		28,286		167,454
				604,009
Health Care – Products — 1.8%
Becton, Dickinson & Co.		1,866		160,793
Covidien PLC		5,290		281,587
Hengan International Group Co. Ltd.		9,000		81,208
Johnson & Johnson		6,681		444,420
St. Jude Medical, Inc.		3,540		168,787
				1,136,795
Health Care – Services — 0.7%
DaVita, Inc. (a)		545		47,203
Humana, Inc.		1,334		107,440
Thermo Fisher Scientific, Inc. (a)		715		46,039
UnitedHealth Group, Inc.		3,190		164,540
WellPoint, Inc.		1,065		83,890
				449,112
Home Builders — 0.2%
Lennar Corp. Class A		2,952		53,579
NVR, Inc. (a)		129		93,587
				147,166
Insurance — 2.6%
ACE Ltd.		2,318		152,571
Aflac, Inc.		2,497		116,560
Allianz SE		1,014		141,673
Axis Capital Holdings Ltd.		899		27,833
Berkshire Hathaway, Inc. Class B (a)		1,434		110,977
The Dai-ichi Life Insurance Co. Ltd.		63		88,211
Everest Re Group Ltd.		321		26,242
ING Groep NV (a)		15,883		195,921
MetLife, Inc.		6,346		278,399
Prudential Financial, Inc.		4,099		260,655
Prudential PLC		10,849		125,377
RenaissanceRe Holdings Ltd.		1,129		78,974
XL Group PLC		2,598		57,104
				1,660,497
Internet — 0.9%
Amazon.com, Inc. (a)		1,913		391,189
Google, Inc. Class A (a)		350		177,233
				568,422
Investment Companies — 0.2%
Man Group PLC		28,323		107,620
Iron & Steel — 0.1%
JFE Holdings, Inc.		2,200		60,537

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

48

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

	Number of Shares		Value
Leisure Time — 0.5%
Carnival Corp.		7,847	$	295,283
Lodging — 0.4%
Genting Singapore PLC (a)		37,000		58,386
Intercontinental Hotels Group PLC		8,609		176,177
Starwood Hotels & Resorts Worldwide, Inc.		763		42,758
				277,321
Machinery – Construction & Mining — 0.5%
Rio Tinto PLC		4,583		330,935
Machinery – Diversified — 0.2%
Mitsubishi Heavy Industries Ltd.		30,000		141,357
Manufacturing — 1.8%
3M Co.		2,900		275,065
Cookson Group PLC		7,962		85,943
FUJIFILM Holdings Corp.		5,600		174,550
General Electric Co.		8,629		162,743
Honeywell International, Inc.		5,065		301,823
Tyco International Ltd.		2,706		133,758
				1,133,882
Media — 2.4%
CBS Corp. Class B		2,250		64,103
Comcast Corp. Class A		8,063		204,316
Gannett Co., Inc.		5,082		72,774
Pearson PLC		5,953		112,765
Time Warner, Inc.		24,064		875,208
The Walt Disney Co.		4,486		175,133
				1,504,299
Mining — 1.0%
Alcoa, Inc.		8,645		137,110
First Quantum Minerals Ltd.		1,133		165,195
Freeport-McMoRan Copper & Gold, Inc.		3,707		196,100
Glencore International PLC (a)		7,800		61,466
Kinross Gold Corp.		5,868		92,664
				652,535
Oil & Gas — 6.5%
Apache Corp.		1,655		204,211
BG Group PLC		11,283		256,074
BP PLC		13,930		102,636
Cairn Energy PLC (a)		10,104		67,270
Chevron Corp.		6,698		688,822
ConocoPhillips		2,618		196,847
Devon Energy Corp.		1,977		155,807
EOG Resources, Inc.		3,679		384,640
Exxon Mobil Corp.		9,263		753,823
JX Holdings, Inc.		21,300		143,836
Noble Energy, Inc.		252		22,587
Occidental Petroleum Corp.		4,986		518,743
Royal Dutch Shell PLC Class A		12,731		451,946

	Number of Shares		Value
Southwestern Energy Co. (a)		1,498	$	64,234
Tullow Oil PLC		4,096		81,522
				4,092,998
Oil & Gas Services — 1.6%
Baker Hughes, Inc.		892		64,723
Cameron International Corp. (a)		1,264		63,567
Halliburton Co.		1,235		62,985
National Oilwell Varco, Inc.		394		30,815
Schlumberger Ltd.		9,406		812,678
				1,034,768
Pharmaceuticals — 4.8%
Abbott Laboratories		9,368		492,944
Bayer AG		3,108		249,871
Cardinal Health, Inc.		5,688		258,349
GlaxoSmithKline PLC		11,338		242,754
Merck & Co., Inc.		17,663		623,327
Novartis AG		3,625		222,059
Pfizer, Inc.		16,593		341,816
Sanofi		3,294		264,752
Shire Ltd.		4,401		137,389
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		4,108		198,088
				3,031,349
Pipelines — 0.1%
SemGroup Corp. Class A (a)		77		1,977
The Williams Cos., Inc.		3,001		90,780
				92,757
Real Estate — 0.6%
China Overseas Land & Investment Ltd.		54,000		116,978
China Resources Land Ltd.		46,000		83,055
Hang Lung Properties Ltd.		18,000		74,789
Sun Hung Kai Properties Ltd.		6,000		87,332
				362,154
Real Estate Investment Trusts (REITS) — 0.0%
ProLogis, Inc.		400		14,336
Regency Centers Corp.		343		15,082
				29,418
Retail — 1.8%
AutoZone, Inc. (a)		174		51,304
Cie Financiere Richemont SA		2,349		153,819
CVS Caremark Corp.		3,508		131,831
Darden Restaurants, Inc.		580		28,861
The Home Depot, Inc.		4,833		175,051
Kohl’s Corp.		1,294		64,713
Lowe’s Cos., Inc.		3,532		82,331
PPR		876		156,007
Target Corp.		2,221		104,187
Yum! Brands, Inc. (a)		3,860		213,226
				1,161,330

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

49

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

	Number of Shares		Value
Semiconductors — 2.0%
Analog Devices, Inc.		1,879	$	73,544
ASML Holding NV		1,432		52,759
Broadcom Corp. Class A (a)		6,241		209,947
Freescale Semiconductor Holdings I Ltd. (a)		3,290		60,503
Infineon Technologies AG		13,160		147,670
KLA-Tencor Corp.		1,423		57,603
Lam Research Corp. (a)		6,438		285,075
Novellus Systems, Inc. (a)		600		21,684
Samsung Electronics Co., Ltd.		196		152,339
Xilinx, Inc.		5,935		216,449
				1,277,573
Software — 1.9%
Adobe Systems, Inc. (a)		2,113		66,454
Citrix Systems, Inc. (a)		414		33,120
Microsoft Corp.		25,433		661,258
Oracle Corp.		10,680		351,479
VeriFone Systems, Inc. (a)		1,558		69,097
				1,181,408
Telecommunications — 4.4%
American Tower Corp. Class A (a)		824		43,120
AT&T, Inc.		10,306		323,711
Cisco Systems, Inc.		22,273		347,682
Juniper Networks, Inc. (a)		6,738		212,247
KDDI Corp.		18		129,512
Koninklijke KPN NV		9,976		145,012
Motorola Mobility Holdings, Inc. (a)		1,481		32,641
Nippon Telegraph & Telephone Corp.		2,600		126,426
Qualcomm, Inc.		5,129		291,276
Sprint Nextel Corp. (a)		44,447		239,569
Telefonaktiebolaget LM Ericsson Class B		12,372		177,941
Verizon Communications, Inc.		11,339		422,151
Vodafone Group PLC		114,181		303,451
ZTE Corp. Class H		2,400		8,704
				2,803,443
Transportation — 1.1%
East Japan Railway		2,200		126,421
Norfolk Southern Corp.		6,716		503,230
Union Pacific Corp.		681		71,096
				700,747
Water — 0.2%
Suez Environnement Co.		4,983		99,315
TOTAL COMMON STOCK (Cost $37,257,726)				42,466,882

	Number of Shares		Value
PREFERRED STOCK — 0.5%
Auto Manufacturers — 0.4%
Volkswagen AG 1.510%		1,196	$	246,585
Diversified Financial — 0.1%
Citigroup Capital XII 8.500%		900		23,238
Citigroup Capital XIII 7.875%		700		19,446
				42,684
U.S. Government Agencies — 0.0%
Federal National Mortgage Association 0.000% (a)		400		1,440
Federal National Mortgage Association 8.250% (a)		1,200		2,580
				4,020
TOTAL PREFERRED STOCK (Cost $201,567)				293,289
TOTAL EQUITIES (Cost $37,459,293)				42,760,171
	Principal Amount
BONDS & NOTES — 31.1%
CORPORATE DEBT — 9.4%
Aerospace & Defense — 0.1%
The Boeing Co. 4.875% 2/15/20	$	40,000		43,289
Raytheon Co. 3.125% 10/15/20		10,000		9,388
				52,677
Agriculture — 0.2%
Altria Group, Inc. 4.750% 5/05/21		30,000		29,979
Altria Group, Inc. 9.250% 8/06/19		30,000		39,118
Reynolds American, Inc. 7.625% 6/01/16		30,000		35,983
				105,080
Airlines — 0.3%
Continental Airlines 2007- 1 Class A 5.983% 10/19/23		47,351		48,710
Delta Air Lines, Inc. Series 2007-1 Class A (c) 6.821% 2/10/24		39,245		40,422
Northwest Airlines, Inc. 7.575% 9/01/20		59,178		63,836
United Air Lines, Inc. 9.750% 1/15/17		9,229		10,474
				163,442

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

50

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

	Principal Amount		Value
Banks — 1.2%
Bank of America Corp. 4.500% 4/01/15	$	120,000	$	125,460
Bank of America Corp. 5.000% 5/13/21		30,000		29,635
Bank of America Corp. 7.625% 6/01/19		60,000		69,504
Export-Import Bank of Korea (c) 5.250% 2/10/14		5,000		5,370
Glitnir Banki HF (Acquired 6/15/06, Cost $140,000) VRN (c) (d) (e) 6.693% 6/15/16		140,000		1
Glitnir Banki HF (Acquired 7/28/06, Cost $160,000) (c) (d) (e) 6.330% 7/28/11		160,000		44,400
Glitnir Banki HF (Acquired 9/25/07, Cost $99,776) (c) (d) (e) 6.375% 9/25/12		100,000		27,750
Landsbanki Islands HF (Acquired 8/25/06, Cost $279,927) (c) (d) (e) 6.100% 8/25/11		280,000		19,600
Lloyds TSB Bank PLC 6.375% 1/21/21		40,000		41,642
Royal Bank of Scotland Group PLC 3.950% 9/21/15		110,000		110,517
Santander US Debt SA Unipersonal (c) 3.781% 10/07/15		100,000		96,426
State Street Corp. 4.956% 3/15/18		50,000		53,023
UBS AG/Stamford CT 4.875% 8/04/20		40,000		40,458
Wachovia Capital Trust III VRN 5.570% 3/29/49		50,000		45,750
Wachovia Corp. 5.750% 2/01/18		50,000		55,289
Wells Fargo & Co. 3.676% 6/15/16		20,000		20,547
				785,372
Beverages — 0.2%
Anheuser-Busch InBev Worldwide, Inc. 5.375% 1/15/20		50,000		55,080
Diageo Capital PLC 4.828% 7/15/20		40,000		41,999
PepsiCo, Inc. 7.900% 11/01/18		4,000		5,155
				102,234
Coal — 0.1%
Arch Coal, Inc. (c) 7.000% 6/15/19		20,000		19,950
Consol Energy, Inc. (c) 6.375% 3/01/21		20,000		19,900
				39,850

	Principal Amount		Value
Diversified Financial — 2.7%
American Express Co. 8.125% 5/20/19	$	60,000	$	76,067
Citigroup, Inc. 3.953% 6/15/16		30,000		30,711
Citigroup, Inc. 5.375% 8/09/20		50,000		52,178
Citigroup, Inc. 6.010% 1/15/15		70,000		77,031
Citigroup, Inc. 8.125% 7/15/39		60,000		75,082
Federal Agricultural Mortgage Corp. 3.875% 8/19/11		90,000		90,322
Federal Home Loan Mortgage Corp. 0.875% 10/28/13		50,000		50,192
Federal National Mortgage Association 0.000% 10/09/19		420,000		294,013
Federal National Mortgage Association 4.625% 5/01/13		160,000		170,788
General Electric Capital Corp. 2.250% 11/09/15		110,000		108,129
General Electric Capital Corp. 4.375% 9/16/20		10,000		9,885
General Electric Capital Corp. 4.625% 1/07/21		70,000		70,412
General Electric Capital Corp. 6.875% 1/10/39		40,000		45,281
The Goldman Sachs Group, Inc. 5.375% 3/15/20		70,000		72,285
The Goldman Sachs Group, Inc. 6.000% 6/15/20		90,000		96,839
The Goldman Sachs Group, Inc. 6.250% 2/01/41		50,000		50,409
International Lease Finance Corp. (c) 6.500% 9/01/14		20,000		21,200
International Lease Finance Corp. (c) 6.750% 9/01/16		10,000		10,650
JPMorgan Chase & Co. 3.400% 6/24/15		80,000		82,132
JPMorgan Chase & Co. 4.250% 10/15/20		20,000		19,567
Kaupthing Bank HF (Acquired 2/25/08, Cost $368,482) (c) (d) (e) 7.625% 2/28/15		440,000		108,900
Kaupthing Bank HF (Acquired 5/19/06, Cost $99,472) (c) (d) (e) 7.125% 5/19/16		100,000		1
Lehman Brothers Holdings Capital Trust VII VRN (e) 5.857% 11/29/49		130,000		13
Lehman Brothers Holdings, Inc. (e) 6.500% 7/19/17		30,000		15

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

51

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

	Principal Amount		Value
Lehman Brothers Holdings, Inc. Series I (e) 6.750% 12/28/17	$	290,000	$	145
MUFG Capital Finance 1 Ltd. FRN 6.346% 7/29/49		100,000		101,628
				1,713,875
Electric — 0.3%
Dominion Resources, Inc. 5.200% 8/15/19		60,000		65,340
Energy Future Intermediate Holding Co. LLC / EFIH Finance, Inc. 10.000% 12/01/20		21,000		22,396
FirstEnergy Corp. Series C 7.375% 11/15/31		70,000		79,704
Pacific Gas & Electric Co. 5.800% 3/01/37		30,000		30,813
				198,253
Foods — 0.1%
Kraft Foods, Inc. 5.375% 2/10/20		60,000		65,592
Health Care – Services — 0.2%
HCA, Inc. 7.500% 11/15/95		50,000		40,500
HCA, Inc. 7.690% 6/15/25		10,000		9,350
Roche Holdings, Inc. (c) 6.000% 3/01/19		20,000		23,043
UnitedHealth Group, Inc. 3.875% 10/15/20		20,000		19,567
UnitedHealth Group, Inc. 5.700% 10/15/40		10,000		9,892
UnitedHealth Group, Inc. 5.800% 3/15/36		20,000		20,185
WellPoint, Inc. 7.000% 2/15/19		30,000		35,833
				158,370
Household Products — 0.1%
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC (c) 6.875% 2/15/21		100,000		97,500
Insurance — 0.2%
MetLife, Inc. 4.750% 2/08/21		20,000		20,388
MetLife, Inc. 5.875% 2/06/41		40,000		40,199
Teachers Insurance & Annuity Association of America (c) 6.850% 12/16/39		40,000		45,516
				106,103

	Principal Amount		Value
Lodging — 0.1%
Inn of the Mountain Gods Resort & Casino (c) 8.750% 11/30/20	$	6,000	$	5,880
MGM Mirage 6.625% 7/15/15		5,000		4,688
MGM Resorts International 10.375% 5/15/14		5,000		5,675
MGM Resorts International 11.125% 11/15/17		15,000		17,137
Station Casinos, Inc. (e) 7.750% 12/31/49		55,000		6
				33,386
Machinery – Construction & Mining — 0.0%
Caterpillar, Inc. 3.900% 5/27/21		20,000		20,003
Media — 0.5%
CCO Holdings LLC / CCO Holdings Capital Corp. 6.500% 4/30/21		30,000		29,587
Comcast Corp. 5.150% 3/01/20		100,000		107,669
Comcast Corp. 6.950% 8/15/37		10,000		11,289
Reed Elsevier Capital, Inc. 8.625% 1/15/19		30,000		38,137
Time Warner Cable, Inc. 4.125% 2/15/21		10,000		9,666
Time Warner Cable, Inc. 6.750% 6/15/39		20,000		21,878
Time Warner Cable, Inc. 8.250% 4/01/19		80,000		99,776
Time Warner, Inc. 4.700% 1/15/21		10,000		10,132
United Business Media Ltd. (c) 5.750% 11/03/20		20,000		19,872
				348,006
Mining — 0.6%
Barrick Gold Corp. 6.950% 4/01/19		30,000		35,665
BHP Billiton Finance USA Ltd. 6.500% 4/01/19		50,000		59,831
Freeport-McMoRan Copper & Gold, Inc. 8.375% 4/01/17		40,000		43,700
Rio Tinto Finance USA Ltd. 6.500% 7/15/18		10,000		11,679
Rio Tinto Finance USA Ltd. 9.000% 5/01/19		90,000		119,254
Teck Resources Ltd. 9.750% 5/15/14		2,000		2,421

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

52

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

	Principal Amount		Value
Teck Resources Ltd. 10.250% 5/15/16	$	3,000	$	3,585
Vale Overseas Ltd. 6.875% 11/21/36		70,000		76,005
				352,140
Oil & Gas — 1.0%
Anadarko Finance Co. Series B 7.500% 5/01/31		10,000		11,551
Anadarko Petroleum Corp. 6.375% 9/15/17		20,000		22,927
Apache Corp. 5.100% 9/01/40		40,000		38,421
BP Capital Markets PLC 3.125% 10/01/15		60,000		61,602
Chesapeake Energy Corp. 6.625% 8/15/20		30,000		31,575
Concho Resources, Inc. 6.500% 1/15/22		11,000		11,027
ConocoPhillips 6.500% 2/01/39		20,000		23,363
Devon Energy Corp. 7.950% 4/15/32		30,000		38,946
Hess Corp. 6.000% 1/15/40		30,000		31,049
Hess Corp. 8.125% 2/15/19		10,000		12,653
Kerr-McGee Corp. 6.950% 7/01/24		40,000		45,580
Kerr-McGee Corp. 7.875% 9/15/31		10,000		12,018
Pemex Project Funding Master Trust 6.625% 6/15/35		111,000		116,997
Petrobras International Finance Co. 5.375% 1/27/21		20,000		20,536
Petrobras International Finance Co. 5.750% 1/20/20		22,000		23,469
Petrobras International Finance Co. 6.125% 10/06/16		26,000		28,946
QEP Resources, Inc. 6.875% 3/01/21		20,000		21,100
Shell International Finance BV 6.375% 12/15/38		40,000		46,380
Total Capital SA 4.450% 6/24/20		10,000		10,437
				608,577
Oil & Gas Services — 0.1%
Cie Generale de Geophysique-Veritas 7.750% 5/15/17		10,000		10,300
Key Energy Services, Inc. 6.750% 3/01/21		30,000		30,000
				40,300

	Principal Amount		Value
Pharmaceuticals — 0.1%
Giant Funding Corp. (c) 8.250% 2/01/18	$	10,000	$	10,425
Pfizer, Inc. 6.200% 3/15/19		40,000		46,790
				57,215
Pipelines — 0.3%
Enterprise Products Operating LLC 6.500% 1/31/19		50,000		57,274
Kinder Morgan Energy Partners LP 6.850% 2/15/20		40,000		46,249
Regency Energy Partners LP / Regency Energy Finance Corp. 6.500% 7/15/21		11,000		11,138
Southern Natural Gas Co. 8.000% 3/01/32		30,000		37,591
Williams Cos., Inc. 7.875% 9/01/21		40,000		49,578
Williams Partners LP 5.250% 3/15/20		10,000		10,528
				212,358
Retail — 0.3%
CVS Caremark Corp. 6.600% 3/15/19		50,000		58,035
CVS Caremark Corp. (c) 9.350% 1/10/23		90,000		98,038
CVS Pass-Through Trust 5.880% 1/10/28		28,343		29,158
				185,231
Savings & Loans — 0.3%
El Paso Performance-Linked Trust (c) 7.750% 7/15/11		40,000		40,024
ILFC E-Capital Trust II VRN (c) 6.250% 12/21/65		190,000		161,500
				201,524
Telecommunications — 0.4%
America Movil SAB de CV 5.625% 11/15/17		30,000		33,664
AT&T, Inc. 5.800% 2/15/19		80,000		90,268
Cellco Partnership/Verizon Wireless Capital LLC 8.500% 11/15/18		40,000		51,943
Qwest Corp. 6.875% 9/15/33		10,000		9,637
Verizon Communications, Inc. 4.600% 4/01/21		40,000		41,272
Verizon Communications, Inc. 6.000% 4/01/41		40,000		41,770
				268,554

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

53

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

	Principal Amount		Value
Transportation — 0.0%
Kansas City Southern de Mexico SA de CV 12.500% 4/01/16	$	16,000	$	19,040
TOTAL CORPORATE DEBT (Cost $7,303,834)				5,934,682
MUNICIPAL OBLIGATIONS — 0.2%
City of Chicago IL 5.500% 1/01/31		10,000		10,230
Los Angeles Department of Airports 5.250% 5/15/39		20,000		20,451
New York Liberty Development Corp. 5.250% 10/01/35		10,000		9,904
San Mateo County Community College District 5.000% 9/01/38		10,000		10,040
State of Illinois 5.665% 3/01/18		20,000		20,746
State of Illinois 5.877% 3/01/19		20,000		20,557
Tennessee Valley Authority 5.250% 9/15/39		40,000		42,337
				134,265
TOTAL MUNICIPAL OBLIGATIONS (Cost $126,695)				134,265
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.5%
Agency Collateral CMO — 0.1%
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K007, Class X1 VRN 1.413% 4/25/20		198,153		14,783
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K009, Class X1 VRN 1.685% 8/25/20		99,489		9,078
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K008, Class X1 VRN 1.842% 6/25/20		198,832		20,528
				44,389
Commercial MBS — 0.6%
Extended Stay America Trust, Series 2010-ESHA, Class A (c) 2.951% 11/05/27		98,919		98,101
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4 VRN 6.078% 7/10/38		25,000		27,604

	Principal Amount		Value
GS Mortgage Securities Corp. II, Series 2011-GC3, Class X (c) 1.342% 3/10/44	$	399,293	$	23,685
GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4 VRN 5.992% 8/10/45		60,000		63,831
LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class A4 5.372% 9/15/39		60,000		65,428
LB-UBS Commercial Mortgage Trust, Series 2006-C3, Class A4 VRN 5.661% 3/15/39		30,000		32,748
Mach One Trust Commercial Mortgage-Backed, Series 2004-1A, Class X (Acquired 7/28/04, Cost $180,089) VRN (c) (d) 0.983% 5/28/40		1,306,681		14,696
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4 VRN 5.485% 3/12/51		60,000		63,914
Morgan Stanley Capital I, Series 2006-IQ11, Class A4 VRN 5.897% 10/15/42		25,000		27,717
Mutual Fund Fee Trust, Series 2000-3 (c) (e) (f) 9.070% 7/01/08		655,398		7
				417,731
Home Equity ABS — 0.8%
Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A1 FRN 1.086% 10/25/47		50,937		34,712
MASTR Asset Backed Securities Trust, Series 2005-AB1, Class A5A STEP 5.712% 11/25/35		660,000		261,415
Morgan Stanley Capital Inc., Series 2003-NC9, Class M FRN 1.311% 9/25/33		279,228		215,503
				511,630
Manufactured Housing ABS — 0.2%
Greenpoint Manufactured Housing, Series 2000-7, Class A2 FRN 3.686% 11/17/31		75,000		62,508
Greenpoint Manufactured Housing, Series 2001-2, Class IIA2 FRN 3.689% 3/13/32		25,000		21,087
Greenpoint Manufactured Housing, Series 2001-2, Class IA2 FRN 3.690% 2/20/32		25,000		20,872
				104,467

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

54

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

	Principal Amount		Value
Other ABS — 0.0%
Residential Asset Mortgage Products, Inc., Series 2002-RS4, Class AII FRN 0.826% 8/25/32	$	2,756	$	2,423
WL Collateral CMO — 1.8%
Banc of America Funding Corp., Series 2004-B, Class 6A1 FRN 3.221% 12/20/34		114,656		65,053
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-R2, Class 2A1 (c) 7.000% 6/25/35		119,233		123,707
MASTR Reperforming Loan Trust, Series 2006-2, Class 1A1 VRN (c) 5.371% 5/25/36		222,545		194,884
MASTR Reperforming Loan Trust, Series 2005-1, Class 1A1 (c) 6.000% 8/25/34		37,303		35,203
MLCC Mortgage Investors, Inc., Series 2004-B, Class A3 FRN 2.077% 5/25/29		69,423		61,756
Prime Mortgage Trust, Series 2006-DR1, Class 1A2 (c) 6.000% 5/25/35		73,740		71,955
Structured Asset Securities Corp., Series 2005-RF1, Class A FRN (c) 0.536% 3/25/35		413,316		350,322
Structured Asset Securities Corp., Series 2005-RF3, Class 1A FRN (c) 0.536% 6/25/35		119,767		96,205
WaMu Mortgage Pass Through Certificates, Series 2004-AR12, Class A2A FRN 0.578% 10/25/44		47,995		37,371
WaMu Mortgage Pass Through Certificates, Series 2004-AR11, Class A VRN 2.701% 10/25/34		68,998		61,225
Washington Mutual, Inc., Series 2004-AR14, Class A1 VRN 2.578% 1/25/35		44,826		42,172
				1,139,853
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $2,589,668)				2,220,493
SOVEREIGN DEBT OBLIGATIONS — 0.1%
Mexico Government International Bond 6.050% 1/11/40		10,000		10,640
Russia Government International Bond STEP (b) (c) 7.500% 3/31/30		34,600		40,785

	Principal Amount		Value
United Mexican States 6.750% 9/27/34	$	17,000	$	19,762
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $64,014)				71,187
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 12.0%
Collateralized Mortgage Obligations — 1.6%
Federal Home Loan Mortgage Corp., Series 3738, Class BP 4.000% 12/15/38		100,000		99,993
Federal National Mortgage Association, Series 2011-59, Class NZ 5.500% 7/25/41		100,000		105,341
Government National Mortgage Association Series 2010-H20, Class AF 0.540% 10/20/60		138,046		136,320
Series 2010-H26, Class LF 0.560% 8/20/58		98,074		97,073
Series 2011-H11, Class FB 0.710% 4/20/61		197,098		196,979
Series 2010-113, Class SM 5.864% 9/20/40		91,716		16,007
Series 2010-151, Class SA 5.864% 11/20/40		161,153		27,693
Series 2011-4, Class PS 5.994% 9/20/40		96,355		15,984
Series 2010-39, Class SP 6.364% 11/20/38		100,000		17,208
Series 2010-3, Class MS 6.364% 11/20/38		139,185		23,617
Series 2010-91, Class SI 6.384% 7/20/40		89,121		16,426
Series 2010-85, Class HS 6.464% 1/20/40		94,779		17,695
Series 2005-26, Class SC 6.564% 10/20/33		882,752		101,384
				871,720
Pass-Through Securities — 10.4%
Federal Home Loan Mortgage Corp. (g) Pool #1N2654 5.625% 11/23/35		140,000		147,779
Federal Home Loan Mortgage Corp. TBA Pool #292 3.500% 9/01/40 (h)		100,000		95,492
Federal National Mortgage Association Pool #Al0520 5.500% 7/01/41		100,000		108,148
Pool #974701 4.500% 4/01/38		187,584		194,691

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

55

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

	Principal Amount		Value
Pool #AD1593 4.500% 2/01/40	$	674,664	$	698,962
Pool #AL0484 5.500% 5/01/40		500,000		541,367
Pool #944103 5.561% 7/01/37		136,490		145,363
Pool #595775 6.000% 8/01/31		6,432		7,117
Pool #896048 6.000% 6/01/36		192,285		212,025
Pool #831669 6.000% 7/01/36		142,136		156,616
Pool #AE0469 6.000% 12/01/39		309,535		340,246
Pool #902990 6.500% 11/01/36		14,216		16,089
Federal National Mortgage Association Principal Strip 0.000%2/01/19		30,000		21,794
Federal National Mortgage Association TBA
Pool #2409 3.500% 9/01/25 (h)		100,000		101,813
Pool #15801 4.500% 3/01/39 (h)		900,000		931,148
Government National Mortgage Association Pool #4978 4.500% 3/20/41		99,381		104,948
Pool #783050 5.000% 7/20/40		92,249		100,173
Pool #4772 5.000% 8/20/40		92,976		100,962
Pool #575499 6.000% 1/15/32		44,680		49,822
Pool #579631 6.000% 2/15/32		23,411		26,105
Pool #582351 6.500% 10/15/32		30,817		35,024
Government National Mortgage Association TBA Pool #9104 4.500% 7/01/39 (h)		1,000,000		1,055,391
Pool #1207 4.500% 3/01/40 (h)		900,000		946,898
Pool #1486 5.000% 4/01/39 (h)		400,000		433,875
Residual Funding Principal Strip 0.010% 10/15/19		180,000		139,735
				6,711,583
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $7,508,677)				7,583,303

	Principal Amount		Value
U.S. TREASURY OBLIGATIONS — 5.9%
U.S. Treasury Bonds & Notes — 5.9%
U.S. Treasury Bond 4.375% 11/15/39	$	490,000	$	490,276
U.S. Treasury Bond 4.375% 5/15/40		70,000		69,966
U.S. Treasury Bond 4.375% 5/15/41		100,000		99,867
U.S. Treasury Bond 4.750% 2/15/41		400,000		425,151
U.S. Treasury Inflation Index 2.125% 2/15/40		72,824		79,526
U.S. Treasury Inflation Index 2.375% 1/15/27		11,150		12,725
U.S. Treasury Inflation Index (g) 2.500% 1/15/29		356,085		414,417
U.S. Treasury Inflation Index 3.875% 4/15/29		13,678		18,770
U.S. Treasury Note 1.500% 6/30/16		20,000		19,757
U.S. Treasury Note 1.750% 5/31/16		610,000		610,977
U.S. Treasury Note 2.375% 5/31/18		210,000		208,884
U.S. Treasury Note 2.625% 4/30/18		80,000		81,009
U.S. Treasury Note 3.125% 5/15/21		220,000		219,398
U.S. Treasury Note 3.625% 2/15/21		920,000		959,399
				3,710,122
TOTAL U.S. TREASURY OBLIGATIONS (Cost $3,658,968)				3,710,122
TOTAL BONDS & NOTES (Cost $21,251,856)				19,654,052
	Number of Shares
PURCHASED OPTIONS — 0.0%
Options on Futures — 0.0%
Eurodollar Put, Expires 07/15/11, Strike 98.875		5		62
Eurodollar Put, Expires 07/15/11, Strike 99.125		5		531
Eurodollar Put, Expires 08/12/11, Strike 97.500		3		244
Eurodollar Put, Expires 08/12/11, Strike 98.000		3		975

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

56

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

	Number of Shares		Value
U.S. Treasury Note 10 Year Call, Expires 08/26/11, Strike 129.000		2	$	94
U.S. Treasury Note 10 Year Put, Expires 08/26/11, Strike 115.000		2		250
U.S. Treasury Note 30 Year Put, Expires 08/26/11, Strike 104.000		3		47
U.S. Treasury Note 30 Year Put, Expires 08/26/11, Strike 110.000		6		375
				2,578
TOTAL PURCHASED OPTIONS (Cost $2,566)				2,578
WARRANTS — 0.0%
Pipelines — 0.0%
SemGroup Corp., Expires 11/30/14, Strike 25.00 (a)		81		547
TOTAL WARRANTS (Cost $0)				547
TOTAL LONG-TERM INVESTMENTS (Cost $58,713,715)				62,417,348
	Principal Amount
SHORT-TERM INVESTMENTS — 8.1%
Discount Notes — 0.1%
Federal Home Loan Mortgage Corp. 0.010% 12/01/11	$	90,000		89,912
Repurchase Agreement — 8.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (i)		5,048,227		5,048,227
TOTAL SHORT-TERM INVESTMENTS (Cost $5,138,139)				5,138,139
TOTAL INVESTMENTS — 106.9% (Cost $63,851,854) (j)				67,555,487
Other Assets/(Liabilities) — (6.9)%				(4,353,416	)
NET ASSETS — 100.0%			$	63,202,071

Notes to Portfolio of Investments

ABS Asset-Backed Security

ADR American Depositary Receipt

CMO Collateralized Mortgage Obligation

FRN Floating Rate Note

GDR Global Depositary Receipt

MBS Mortgage-Backed Security

STEP Step Up Bond

TBA To Be Announced

VRN Variable Rate Note

WL Whole Loan

(a) Non-income producing security.

(b) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At June 30, 2011, these securities amounted to a value of $149,935 or 0.24% of net assets.

(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, 2011, these securities amounted to a value of $1,965,918 or 3.11% of net assets.

(d) Restricted security. Certain securities are restricted as to resale. At June 30, 2011, these securities amounted to a value of $215,348 or 0.34% of net assets. The Funds generally bear the costs, if any, associated with the disposition of restricted securities.

(e) Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At June 30, 2011, these securities amounted to a value of $200,838 or 0.32% of net assets.

(f) This security is valued in good faith under procedures established by the Board of Trustees.

(g) A portion of this security is held as collateral for open futures contracts and written options outstanding. (Note 2).

(h) A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2).

(i) Maturity value of $5,048,229. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity dates ranging from 12/15/17 – 8/15/39, and an aggregate market value, including accrued interest, of $5,159,663.

(j) See Note 6 for aggregate cost for federal tax purposes.

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

57

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 64.5%
COMMON STOCK — 63.0%
Aerospace & Defense — 0.9%
The Boeing Co.		16,374	$	1,210,531
General Dynamics Corp.		6,100		454,572
L-3 Communications Holdings, Inc.		800		69,960
Lockheed Martin Corp.		11,600		939,252
Northrop Grumman Corp.		8,490		588,781
Raytheon Co.		7,930		395,311
Spirit AeroSystems Holdings, Inc. Class A (a)		27,951		614,922
United Technologies Corp.		13,333		1,180,104
				5,453,433
Agriculture — 0.7%
Altria Group, Inc.		22,770		601,356
British American Tobacco Malaysia		13,600		210,290
British American Tobacco PLC		8,223		360,442
Chaoda Modern Agriculture Holdings Ltd.		982,839		424,216
Cresud SA Sponsored ADR (Argentina)		6,000		97,440
IOI Corp.		62,200		109,214
KT&G Corp.		8,005		497,845
Lorillard, Inc.		2,632		286,546
Philip Morris International, Inc.		16,145		1,078,001
SLC Agricola SA		40,600		481,014
				4,146,364
Airlines — 0.0%
Southwest Airlines Co.		3,600		41,112
Apparel — 0.0%
China Dongxiang Group Co.		298,448		95,224
Auto Manufacturers — 1.4%
Bayerische Motoren Werke AG		3,140		312,890
Daihatsu Motor Co. Ltd.		19,950		339,984
Daimler AG		11,470		863,242
Dongfeng Motor Group Co. Ltd. Class H		101,500		194,002
Ford Motor Co. (a)		59,700		823,263
Fuji Heavy Industries Ltd.		102,030		792,770
General Motors Co. (a)		32,300		980,628
Guangzhou Automobile Group Co. Ltd.		244,283		299,149
Honda Motor Co. Ltd.		24,560		946,630
Hyundai Motor Co.		2,100		468,952
Paccar, Inc.		3,500		178,815
Suzuki Motor Corp.		55,237		1,244,784
Toyota Motor Corp.		14,310		602,491
Yulon Motor Co. Ltd.		157,000		386,153
				8,433,753

	Number of Shares		Value
Automotive & Parts — 0.6%
Aisin Seiki Co. Ltd.		10,140	$	392,644
Autoliv, Inc.		800		62,760
BorgWarner, Inc. (a)		4,500		363,555
Bridgestone Corp.		16,500		379,741
Cheng Shin Rubber Industry Co. Ltd.		84,750		244,086
Denso Corp.		13,370		496,410
Futaba Industrial Co. Ltd.		21,910		159,974
Magna International, Inc. Class A		1,300		70,252
Mando Corp.		600		124,990
Sumitomo Electric Industries Ltd.		22,500		328,345
Toyota Industries Corp.		26,221		863,761
TRW Automotive Holdings Corp. (a)		1,300		76,739
				3,563,257
Banks — 3.0%
Banco do Brasil SA		5,200		93,294
Banco Macro SA Class B Sponsored ADR (Argentina)		2,200		83,028
Banco Santander Brasil SA		19,500		228,655
Banco Santander SA		64,767		747,311
Bank of America Corp.		157,478		1,725,959
The Bank of Kyoto Ltd.		19,090		175,837
Bank of New York Mellon Corp.		42,469		1,088,056
BNP Paribas		5,940		458,125
Capital One Financial Corp.		3,500		180,845
DBS Group Holdings Ltd.		24,000		287,271
Deutsche Bank AG		7,020		414,801
DnB NOR ASA		26,970		375,939
HSBC Holdings PLC		30,000		298,356
HSBC Holdings PLC		126,376		1,253,717
Intesa Sanpaolo		121,486		323,078
Lloyds Banking Group PLC (a)		490,900		385,731
Mitsubishi UFJ Financial Group, Inc.		107,110		521,441
Oversea-Chinese Banking Corp. Ltd.		100,900		769,966
Sberbank of Russian Federation		449,100		1,656,676
Siam Commercial Bank PCL		134,116		485,053
Siam Commercial Bank PCL		100		361
Standard Chartered PLC		13,750		361,317
State Bank of India		11,380		610,541
State Street Corp.		12,818		577,964
Sumitomo Mitsui Financial Group, Inc.		12,130		373,312
SunTrust Banks, Inc.		6,300		162,540
Turkiye Garanti Bankasi AS		94,636		429,305
U.S. Bancorp		47,287		1,206,291
United Overseas Bank Ltd.		13,300		213,684
Wells Fargo & Co.		63,831		1,791,098
				17,279,552
Beverages — 0.6%
China Huiyuan Juice Group Ltd.		57,400		29,416
The Coca-Cola Co.		6,891		463,695

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

58

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Coca-Cola Enterprises, Inc.		2,600	$	75,868
Constellation Brands, Inc. Class A (a)		8,199		170,703
Diageo PLC Sponsored ADR (United Kingdom)		16,604		1,359,370
Dr. Pepper Snapple Group, Inc.		4,700		197,071
Fomento Economico Mexicano SAB de CV Series B Sponsored ADR (Mexico)		3,300		219,417
Fraser and Neave Ltd.		110,900		523,555
Kirin Holdings Co. Ltd.		40,700		569,035
Mikuni Coca-Cola Bottling Co. Ltd.		800		6,994
Molson Coors Brewing Co. Class B		1,400		62,636
				3,677,760
Biotechnology — 0.4%
Amgen, Inc. (a)		11,218		654,570
Biogen Idec, Inc. (a)		1,000		106,920
Celgene Corp. (a)		5,300		319,696
CSL Ltd.		18,121		642,299
Life Technologies Corp. (a)		11,305		588,652
				2,312,137
Building Materials — 0.1%
Rinnai Corp.		4,700		339,972
Yuanda China Holdings Ltd. (a)		1,442,000		270,547
				610,519
Chemicals — 2.0%
Albemarle Corp.		1,200		83,040
Asahi Kasei Corp.		35,900		242,411
BASF SE		12,940		1,266,312
Bayer AG Sponsored ADR (Germany)		400		32,224
China BlueChemical Ltd.		342,500		284,109
The Dow Chemical Co.		26,161		941,796
Eastman Chemical Co.		800		81,656
EI du Pont de Nemours & Co.		18,056		975,927
FMC Corp.		19,119		1,644,616
Formosa Chemicals & Fibre Corp.		58,000		216,745
Hitachi Chemical Co. Ltd.		16,900		336,306
JSR Corp.		8,500		164,917
Lanxess AG		3,260		267,263
The Lubrizol Corp.		700		93,989
LyondellBasell Industries NV Class A		1,800		69,336
Nan Ya Plastics Corp.		69,000		184,996
Potash Corporation of Saskatchewan, Inc.		6,200		353,338
PPG Industries, Inc.		800		72,632
Praxair, Inc.		3,195		346,306
PTT Chemical PCL		151,492		727,127
Samsung Fine Chemicals Co. Ltd.		4,200		270,644
Shin-Etsu Chemical Co. Ltd.		22,788		1,222,331
Sociedad Quimica y Minera de Chile SA Sponsored ADR (Chile)		5,000		323,600

	Number of Shares		Value
Sumitomo Chemical Co. Ltd.		243,770	$	1,217,522
Ube Industries Ltd.		131,400		395,772
Uralkali GDR (Russia) (a) (b)		1,000		45,000
				11,859,915
Coal — 0.7%
Alliance Resource Partners LP		4,360		337,682
Bumi Resources Tbk PT		1,611,600		556,185
China Shenhua Energy Co. Ltd.		73,138		352,124
CONSOL Energy, Inc.		47,120		2,284,378
Kuzbassrazrezugol (a)		552,700		200,906
Mongolian Mining Corp. (a)		149,400		184,399
				3,915,674
Commercial Services — 0.4%
Jiangsu Expressway Co. Ltd.		96,300		88,498
MasterCard, Inc. Class A		1,100		331,474
McKesson Corp.		8,822		737,960
PLUS Expressways		334,481		500,713
Qualicorp SA (a)		38,600		368,526
Visa, Inc. Class A		5,600		471,856
Western Union Co.		3,300		66,099
Xiamen International Port Co. Ltd.		458,800		82,091
				2,647,217
Computers — 2.8%
Accenture PLC Class A		1,349		81,507
Apple, Inc. (a)		17,587		5,903,428
Asustek Computer (a)		13,700		136,433
Atos Origin SA		2,900		163,869
Cognizant Technology Solutions Corp. Class A (a)		2,700		198,018
Compal Electronics, Inc.		34,282		42,121
Computer Sciences Corp.		2,330		88,447
Dell, Inc. (a)		46,432		774,021
EMC Corp. (a)		30,100		829,255
Hewlett-Packard Co.		44,468		1,618,635
HTC Corp.		36,100		1,233,192
International Business Machines Corp.		25,648		4,399,914
Lexmark International, Inc. Class A (a)		4,275		125,087
SanDisk Corp. (a)		11,315		469,573
TDK Corp.		6,280		345,840
Teradata Corp. (a)		2,078		125,096
Western Digital Corp. (a)		3,379		122,928
				16,657,364
Cosmetics & Personal Care — 0.5%
Beiersdorf AG		1,170		75,924
Colgate-Palmolive Co.		11,023		963,520
The Procter & Gamble Co.		31,114		1,977,917
				3,017,361

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

59

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Distribution & Wholesale — 0.7%
Adani Enterprises Ltd.		40,700	$	652,167
Marubeni Corp.		53,000		352,248
Mitsubishi Corp.		64,520		1,616,545
Mitsui & Co. Ltd.		75,452		1,304,799
				3,925,759
Diversified Financial — 1.3%
Ameriprise Financial, Inc.		1,200		69,216
Citigroup, Inc.		46,827		1,949,876
The Goldman Sachs Group, Inc.		9,307		1,238,669
Guinness Peat Group (a) (c)		451,870		296,657
Housing Development Finance Corp. Ltd.		64,370		1,015,258
JPMorgan Chase & Co.		47,162		1,930,812
Morgan Stanley		29,089		669,338
UBS AG (a)		26,100		475,936
				7,945,762
Electric — 2.3%
Adani Power Ltd. (a)		183,000		450,738
The AES Corp. (a)		28,973		369,116
American Electric Power Co., Inc.		7,394		278,606
CEZ AS		8,300		427,061
China Resources Power Holdings Co. Ltd.		86,000		168,300
Cia Energetica de Minas Gerais Sponsored ADR (Brazil)		12,020		248,093
CMS Energy Corp.		17,906		352,569
Consolidated Edison, Inc.		6,700		356,708
Dominion Resources, Inc.		6,400		308,928
E-CL SA		117,500		330,363
Edison International		1,700		65,875
Enel SpA		90,500		591,127
Entergy Corp.		6,167		421,083
Exelon Corp.		11,006		471,497
Federal Hydrogeneration (a)		5,397		258
Fortum OYJ		25,720		744,873
Huaneng Power International, Inc.		200,100		105,730
International Power PLC		127,400		657,812
ITC Holdings Corp.		3,400		244,018
National Grid PLC		109,300		1,075,589
NextEra Energy, Inc.		17,921		1,029,741
NRG Energy, Inc. (a)		6,100		149,938
Pampa Energia SA Sponsored ADR (Argentina)		7,200		110,448
PG&E Corp.		8,019		337,039
PPL Corp.		22,965		639,116
RusHydro		2,052,400		96,463
RusHydro		1,425		6,847
RusHydro Sponsored ADR (Russia)		223,700		1,074,878
Scottish & Southern Energy PLC		32,500		726,931

	Number of Shares		Value
The Southern Co.		25,775	$	1,040,794
Tenaga Nasional		10,375		23,284
Wisconsin Energy Corp.		5,630		176,501
YTL Power International Bhd		853,705		622,254
				13,702,578
Electrical Components & Equipment — 0.4%
Bharat Heavy Electricals Ltd.		20,990		963,219
Delta Electronics, Inc.		156,000		575,475
Dongfang Electric Corp. Ltd.		75,100		278,641
Hitachi Ltd.		47,700		281,968
				2,099,303
Electronics — 1.0%
Agilent Technologies, Inc. (a)		15,100		771,761
Arrow Electronics, Inc. (a)		1,700		70,550
Fanuc Ltd.		2,450		408,541
Garmin Ltd.		2,200		72,666
Hana Microelectronics PCL		127,299		96,536
Hon Hai Precision Industry Co. Ltd.		71,280		245,874
Hoya Corp.		28,920		641,013
Koninklijke Philips Electronics NV		26,882		689,907
Koninklijke Philips Electronics NV Sponsored ADR (Netherlands)		2,076		53,312
LG Display Co. Ltd.		5,600		155,816
Mettler-Toledo, Inc. (a)		2,083		351,339
Murata Manufacturing Co. Ltd.		8,170		545,766
NGK Insulators Ltd.		19,700		367,289
Nippon Electric Glass Co. Ltd.		21,990		281,699
PerkinElmer, Inc.		9,100		244,881
TE Connectivity Ltd.		4,300		158,068
Waters Corp. (a)		6,443		616,853
				5,771,871
Engineering & Construction — 0.5%
Fluor Corp.		1,200		77,592
JGC Corp.		29,530		808,723
KBR, Inc.		16,185		610,013
Kinden Corp.		22,440		191,877
Larsen & Toubro Ltd.		8,200		337,145
McDermott International, Inc. (a)		30,303		600,302
Okumura Corp.		78,230		286,041
Toda Corp.		74,200		268,959
				3,180,652
Entertainment — 0.1%
International Game Technology		21,432		376,775
Toho Co. Ltd.		12,850		213,801
				590,576
Foods — 1.2%
BIM Birlesik Magazalar AS		10,500		341,362
ConAgra Foods, Inc.		6,800		175,508

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

60

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Cosan Ltd. Class A		39,200	$	481,768
General Mills, Inc.		21,000		781,620
H.J. Heinz Co.		4,882		260,113
Kraft Foods, Inc. Class A		35,794		1,261,023
The Kroger Co.		3,100		76,880
Nestle SA		29,257		1,818,301
Safeway, Inc.		1,496		34,961
Sara Lee Corp.		52,747		1,001,665
Unilever NV		11,950		391,483
Unilever NV NY Shares		4,500		147,825
Unilever PLC		7,900		254,939
Unilever PLC Sponsored ADR (United Kingdom)		5,000		161,950
				7,189,398
Forest Products & Paper — 0.1%
International Paper Co.		6,526		194,605
MeadWestvaco Corp.		2,400		79,944
Sino-Forest Corp. (a)		26,440		87,727
				362,276
Gas — 0.6%
Beijing Enterprises Holdings Ltd.		223,822		1,170,876
China Resources Gas Group Ltd.		162,000		227,089
Gaz De France		35,900		1,313,828
Sempra Energy		3,700		195,656
Tokyo Gas Co. Ltd.		136,988		619,686
				3,527,135
Health Care – Products — 1.3%
Baxter International, Inc.		1,200		71,628
Becton, Dickinson & Co.		900		77,553
Cie Generale d’Optique Essilor International SA		14,217		1,153,140
Covidien PLC		7,349		391,187
Hologic, Inc. (a)		33,497		675,635
Johnson & Johnson		54,240		3,608,045
Kinetic Concepts, Inc. (a)		1,200		69,156
Medtronic, Inc.		29,500		1,136,635
Mindray Medical International Ltd. ADR (Cayman Islands)		2,900		81,345
Terumo Corp.		5,640		304,776
				7,569,100
Health Care – Services — 1.4%
Aetna, Inc.		28,238		1,245,013
CIGNA Corp.		11,005		565,987
Coventry Health Care, Inc. (a)		2,000		72,940
DaVita, Inc. (a)		7,000		606,270
HCA Holdings, Inc. (a)		9,000		297,000
HealthSouth Corp. (a)		13,834		363,143
Humana, Inc.		10,122		815,226
Life Healthcare Group Holdings Ltd.		100,600		261,609

	Number of Shares		Value
Raffles Medical Group Ltd.		97,400	$	185,558
Thermo Fisher Scientific, Inc. (a)		11,445		736,944
UnitedHealth Group, Inc.		17,900		923,282
Vanguard Health Systems, Inc. (a)		14,600		250,682
WellPoint, Inc.		20,555		1,619,117
				7,942,771
Holding Company – Diversified — 0.7%
Hutchison Whampoa Ltd.		49,600		537,763
Keppel Corp. Ltd.		94,512		855,170
Leucadia National Corp.		2,000		68,200
LG Corp.		4,600		347,951
LVMH Moet Hennessy Louis Vuitton SA		4,580		824,298
Noble Group Ltd.		84,954		136,773
Tianjin Development Holdings (a)		951,403		593,818
Wharf Holdings Ltd.		73,610		514,196
				3,878,169
Home Builders — 0.3%
Daiwa House Industry Co. Ltd.		21,880		275,477
MRV Engenharia e Participacoes SA		59,000		489,950
Pulte Group, Inc. (a)		59,500		455,770
Sekisui House Ltd.		62,490		581,113
				1,802,310
Household Products — 0.2%
Hypermarcas SA		123,400		1,162,323
Insurance — 2.5%
ACE Ltd.		21,836		1,437,246
Aflac, Inc.		2,500		116,700
AIA Group Ltd. (a)		69,800		243,381
Allianz SE		2,810		392,605
Allstate Corp.		5,923		180,829
Amlin PLC		17,900		116,672
Arch Capital Group Ltd. (a)		10,701		341,576
Assicurazioni Generali SpA		11,620		245,048
Axis Capital Holdings Ltd.		1,878		58,143
China Life Insurance Co. Ltd.		80,000		275,711
China Life Insurance Co. Ltd. Sponsored ADR (China)		5,599		290,252
The Chubb Corp.		9,800		613,578
CNA Financial Corp.		1,600		46,480
Endurance Specialty Holdings Ltd.		9,596		396,603
Fidelity National Financial, Inc. Class A		43,302		681,573
ING Groep NV (a)		18,910		233,261
Lincoln National Corp.		2,400		68,376
MetLife, Inc.		5,088		223,211
Millea Holdings, Inc.		55,275		1,552,907
Mitsui Sumitomo Insurance Group Holdings, Inc.		36,866		864,724

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

61

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Muenchener Rueckversicherungs AG		1,530	$	233,578
NKSJ Holdings, Inc.		99,690		657,740
PartnerRe Ltd.		2,057		141,624
Ping An Insurance Group Co. of China Ltd.		23,581		246,067
Platinum Underwriters Holdings Ltd.		4,371		145,292
Powszechny Zaklad Ubezpieczen SA		800		109,317
Principal Financial Group, Inc.		5,444		165,606
The Progressive Corp.		12,769		273,001
Prudential PLC		8,800		101,698
Reinsurance Group of America, Inc. Class A		1,200		73,032
RenaissanceRe Holdings Ltd.		4,394		307,360
Sony Financial Holdings, Inc.		13,600		245,913
Swiss Re Ltd. (a)		1,000		56,152
Torchmark Corp.		1,100		70,554
The Travelers Cos., Inc.		21,285		1,242,618
Unum Group		1,531		39,010
Validus Holdings Ltd.		6,584		203,775
Xl Group PLC		62,742		1,379,069
Zurich Financial Services AG (a)		1,719		434,471
				14,504,753
Internet — 0.7%
Check Point Software Technologies Ltd. (a)		1,600		90,960
eBay, Inc. (a)		13,247		427,481
Expedia, Inc.		1,796		52,066
Google, Inc. Class A (a)		4,890		2,476,198
Symantec Corp. (a)		34,218		674,779
VeriSign, Inc.		2,100		70,266
Yahoo! Japan Corp.		500		172,128
				3,963,878
Investment Companies — 0.1%
Cheung Kong Infrastructure Holdings Ltd.		52,900		274,844
RHJ International (a)		52,900		381,332
RHJ International Deposit Shares (d)		11,800		85,027
				741,203
Iron & Steel — 0.2%
Magnitogorsk Iron & Steel Works Sponsored GDR (Russia) (b)		23,900		271,985
Magnitogorsk Iron & Steel Works GDR (Russia) (b)		17,900		203,702
POSCO		800		347,487
POSCO ADR (Republic of Korea)		3,600		391,032
Shougang Concord International Enterprises Co. Ltd.		441,800		43,318
				1,257,524
Lodging — 0.0%
Wyndham Worldwide Corp.		1,600		53,840

	Number of Shares		Value
Machinery – Construction & Mining — 0.1%
Ingersoll-Rand PLC		1,000	$	45,410
Komatsu Ltd.		12,900		401,361
Tadano Ltd.		4,900		29,682
				476,453
Machinery – Diversified — 0.2%
CNH Global NV (a)		1,800		69,570
Eaton Corp.		1,300		66,885
Kubota Corp.		97,020		863,854
Shanghai Electric Group Co. Ltd.		389,900		206,679
				1,206,988
Manufacturing — 1.1%
3M Co.		9,265		878,785
Cheil Industries, Inc.		3,300		396,183
General Electric Co.		192,073		3,622,497
Pall Corp.		3,600		202,428
Parker Hannifin Corp.		800		71,792
Siemens AG		8,770		1,204,164
Tyco International Ltd.		4,200		207,606
				6,583,455
Media — 1.2%
Charter Communications, Inc. Class A (a)		100		5,426
Comcast Corp. Class A		69,406		1,758,748
DISH Network Corp. Class A (a)		7,515		230,485
Kabel Deutschland Holding AG (a)		9,440		580,416
Liberty Global, Inc. Class A (a)		1,800		81,072
The McGraw-Hill Cos., Inc.		1,900		79,629
News Corp. Class A		26,700		472,590
Rogers Communications, Inc. Class B		11,700		462,384
Singapore Press Holdings Ltd.		59,090		187,814
Time Warner Cable, Inc.		3,504		273,452
Time Warner, Inc.		7,028		255,608
Viacom, Inc. Class B		17,396		887,196
Vivendi		28,160		783,089
The Walt Disney Co.		17,500		683,200
Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA		33,600		155,909
				6,897,018
Metal Fabricate & Hardware — 0.2%
Catcher Technology Co. Ltd.		29,000		184,055
Precision Castparts Corp.		4,485		738,455
Tenaris SA Sponsored ADR (Luxembourg)		1,465		66,995
				989,505
Mining — 4.0%
Alamos Gold, Inc.		33,450		553,887
Alcoa, Inc.		56,300		892,918
Anglo American PLC		16,200		802,835

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

62

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Anglo Platinum Ltd.		1,004	$	93,378
AngloGold Ashanti Ltd. Sponsored ADR (South Africa)		2,600		109,434
Antofagasta PLC		40,100		897,253
Barrick Gold Corp.		42,750		1,936,147
BHP Billiton Ltd.		57,418		2,713,764
Eldorado Gold Corp.		72,287		1,066,560
Freeport-McMoRan Copper & Gold, Inc.		15,886		840,369
Glencore International PLC (a)		40,100		316,000
Goldcorp, Inc.		43,015		2,076,334
Harmony Gold Mining Co. Ltd. Sponsored ADR (South Africa)		49,700		657,034
Hecla Mining Co. (a)		23,600		181,484
IAMGOLD Corp.		40,892		767,134
IAMGOLD Corp.		23,633		444,505
Impala Platinum Holdings Ltd.		3,600		97,182
Katanga Mining Ltd. (a)		67,840		117,469
Kinross Gold Corp.		23,053		364,237
Kinross Gold Corp.		82,944		1,309,801
MMC Norilsk Nickel Sponsored ADR (Russia) (a)		14,400		377,288
Newcrest Mining Ltd.		43,130		1,750,671
Newmont Mining Corp.		24,090		1,300,137
Petropavlovsk PLC		6,600		77,333
Polyus Gold Co. Sponsored ADR (Russia)		29,300		919,997
Randgold Resources Ltd. ADR (Channel Islands)		7,200		605,160
Rio Tinto Ltd.		16,422		1,468,231
Silver Wheaton Corp.		26,200		864,600
Teck Resources Ltd. Class B		1,240		62,918
				23,664,060
Office Equipment/Supplies — 0.3%
Canon, Inc.		20,655		984,972
Xerox Corp.		63,667		662,773
				1,647,745
Oil & Gas — 7.9%
Anadarko Petroleum Corp.		12,440		954,894
Apache Corp.		10,800		1,332,612
BG Group PLC		83,000		1,883,731
BP PLC		104,698		771,414
BP PLC Sponsored ADR (United Kingdom)		21,500		952,235
Canadian Natural Resources Ltd.		18,400		770,224
Cenovus Energy, Inc.		3,800		143,419
Cenovus Energy, Inc.		500		18,830
Chevron Corp.		39,163		4,027,523
Cimarex Energy Co.		800		71,936
ConocoPhillips		29,931		2,250,512
Daylight Energy Ltd.		56,420		546,972
Devon Energy Corp.		14,301		1,127,062

	Number of Shares		Value
Eni SpA		30,420	$	721,151
ENSCO PLC Sponsored ADR (United Kingdom)		1,330		70,889
EOG Resources, Inc.		6,100		637,755
Exxon Mobil Corp.		86,434		7,033,999
Gazprom OAO Sponsored ADR (Russia) (a)		49,400		723,540
Helmerich & Payne, Inc.		1,200		79,344
Hess Corp.		10,622		794,101
Inpex Corp.		167		1,232,916
KazMunaiGas Exploration Production GDR (Kazakhstan) (b)		40,300		802,045
Marathon Oil Corp.		20,181		1,063,135
Murphy Oil Corp.		900		59,094
Noble Corp.		1,500		59,115
Occidental Petroleum Corp.		24,338		2,532,126
OGX Petroleo e Gas Participacoes SA (a)		24,600		229,977
Petroleo Brasileiro SA Sponsored ADR (Brazil)		134,027		4,111,948
PTT PCL		38,749		423,819
PTT Public Co. Ltd.		100		1,090
QEP Resources, Inc.		18,800		786,404
Quicksilver Resources, Inc. (a)		61,900		913,644
Reliance Industries Ltd.		32,020		643,067
Repsol YPF SA		14,800		513,838
Rosneft Oil Co. GDR (Russia) (b)		81,200		683,704
Royal Dutch Shell PLC ADR (United Kingdom)		8,624		613,425
Sasol Ltd.		1,800		94,873
SM Energy Co.		14,084		1,034,892
Statoil ASA		19,570		495,525
Suncor Energy, Inc.		10,905		427,403
Talisman Energy, Inc.		12,100		248,537
Total SA		18,061		1,044,577
Total SA Sponsored ADR (France)		18,400		1,064,256
Tupras Turkiye Petrol Rafine		13,000		318,977
Valero Energy Corp.		23,235		594,119
Vallares PLC (a)		35,100		566,155
Whiting Petroleum Corp. (a)		4,900		278,859
Woodside Petroleum Ltd.		6,500		286,727
				46,036,390
Oil & Gas Services — 1.2%
Complete Production Services, Inc. (a)		12,025		401,154
Global Industries Ltd. (a)		54,843		300,540
Halliburton Co.		26,200		1,336,200
National Oilwell Varco, Inc.		20,300		1,587,663
Oceaneering International, Inc.		1,600		64,800
Schlumberger Ltd.		27,005		2,333,232
Technip SA		1,670		178,888
Transocean Ltd.		7,800		503,568
Weatherford International Ltd. (a)		21,645		405,844
				7,111,889

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

63

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Packaging & Containers — 0.1%
Ball Corp.		2,000	$	76,920
Crown Holdings, Inc. (a)		7,500		291,150
				368,070
Pharmaceuticals — 3.8%
Abbott Laboratories		23,550		1,239,201
Allergan, Inc.		3,100		258,075
AmerisourceBergen Corp.		13,402		554,843
Astellas Pharma, Inc.		7,270		281,111
AstraZeneca PLC Sponsored ADR (United Kingdom)		1,200		60,084
Bayer AG		8,780		705,877
Bristol-Myers Squibb Co.		126,824		3,672,823
Cardinal Health, Inc.		1,677		76,169
Cephalon, Inc. (a)		4,900		391,510
Eli Lilly & Co.		11,100		416,583
Forest Laboratories, Inc. (a)		3,355		131,986
Gilead Sciences, Inc. (a)		16,182		670,097
GlaxoSmithKline PLC Sponsored ADR (United Kingdom)		1,900		81,510
Kyowa Hakko Kirin Co. Ltd.		31,610		301,517
Mead Johnson Nutrition Co. Class A		16,032		1,082,962
Medco Health Solutions, Inc. (a)		16,635		940,210
Merck & Co., Inc.		59,396		2,096,085
Mitsubishi Tanabe Pharma Corp.		15,100		253,351
Mylan, Inc. (a)		30,130		743,307
Novartis AG		14,070		861,892
Perrigo Co.		6,300		553,581
Pfizer, Inc.		150,368		3,097,581
Roche Holding AG		4,220		706,002
Sanofi		11,220		901,797
Sanofi ADR (France)		1,700		68,289
Shionogi & Co. Ltd.		17,160		281,115
Sinopharm Group Co.		188,400		634,439
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		22,285		1,074,583
Valeant Pharmaceuticals International, Inc.		6,100		316,956
				22,453,536
Pipelines — 0.4%
El Paso Corp.		112,746		2,277,469
The Williams Cos., Inc.		2,000		60,500
				2,337,969
Real Estate — 0.7%
AFI Development PLC, Class B (a)		23,000		22,095
Capitaland Ltd.		92,200		219,270
Cheung Kong Holdings		28,300		416,187
Cyrela Brazil Realty SA		50,300		479,262
Global Logistic Properties Ltd. (a)		123,900		208,119
IRSA Inversiones y Representaciones SA Sponsored ADR (Argentina)		6,900		94,944

	Number of Shares		Value
LSR Group GDR (Russia) (d)		78,100	$	539,515
Mitsui Fudosan Co. Ltd.		12,900		222,402
NTT Urban Development Corp.		100		85,976
The St. Joe Co. (a)		81,600		1,700,544
				3,988,314
Real Estate Investment Trusts (REITS) — 0.3%
Japan Real Estate Investment Corp.		9		88,409
Japan Retail Fund Investment Corp.		20		30,873
The Link REIT		290,633		994,133
Nippon Building Fund, Inc.		12		117,122
Simon Property Group, Inc.		3,200		371,936
				1,602,473
Retail — 1.0%
American Eagle Outfitters, Inc.		44,800		571,200
Coach, Inc.		1,300		83,109
CVS Caremark Corp.		24,612		924,919
Limited Brands, Inc.		2,442		93,895
Macy’s, Inc.		2,000		58,480
McDonald’s Corp.		7,654		645,385
Polo Ralph Lauren Corp.		600		79,566
Ross Stores, Inc.		700		56,084
Seven & I Holdings Co. Ltd.		13,914		374,313
Shanghai Pharmaceuticals Holding Co. Ltd. (a)		138,400		372,602
Urban Outfitters, Inc. (a)		1,800		50,670
Wal-Mart Stores, Inc.		33,752		1,793,581
Yamada Denki Co. Ltd.		3,700		301,837
Zhongsheng Group Holdings Ltd.		173,500		379,645
				5,785,286
Semiconductors — 1.2%
Advanced Micro Devices, Inc. (a)		5,300		37,047
Altera Corp.		1,900		88,065
Analog Devices, Inc.		1,800		70,452
ASML Holding NV		7,300		268,950
Broadcom Corp. Class A (a)		8,932		300,473
Freescale Semiconductor Holdings I Ltd. (a)		37,400		687,786
Infineon Technologies AG		31,580		354,364
Intel Corp.		63,928		1,416,645
KLA-Tencor Corp.		1,500		60,720
Lam Research Corp. (a)		1,300		57,564
Marvell Technology Group Ltd. (a)		18,200		268,723
MediaTek, Inc.		19,027		207,431
Micron Technology, Inc. (a)		5,100		38,148
Rohm Co. Ltd.		5,860		335,758
Samsung Electronics Co. Ltd.		1,500		1,165,859
Taiwan Semiconductor Manufacturing Co. Ltd.		328,000		830,193
Texas Instruments, Inc.		28,734		943,337
				7,131,515

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

64

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Shipbuilding — 0.1%
Huntington Ingalls Industries, Inc. (a)		1,415	$	48,817
SembCorp Marine Ltd.		57,230		247,958
				296,775
Software — 1.7%
Activision Blizzard, Inc.		72,000		840,960
Adobe Systems, Inc. (a)		5,800		182,410
Autodesk, Inc. (a)		1,700		65,620
BMC Software, Inc. (a)		1,700		92,990
CA, Inc.		45,049		1,028,919
Electronic Arts, Inc. (a)		24,713		583,227
Fidelity National Information Services, Inc.		1,396		42,983
Intuit, Inc. (a)		1,500		77,790
Microsoft Corp. (e)		189,971		4,939,246
Oracle Corp.		59,741		1,966,076
				9,820,221
Telecommunications — 6.3%
Amdocs Ltd. (a)		2,357		71,629
America Movil SAB de C.V. Sponsored ADR (Mexico)		13,900		748,932
American Tower Corp. Class A (a)		11,329		592,847
AT&T, Inc. (e)		114,134		3,584,949
Axiata Group		668,412		1,109,721
BCE, Inc.		1,500		58,935
BT Group PLC		224,400		727,875
CenturyTel, Inc.		25,119		1,015,561
China Mobile Ltd.		145,700		1,357,622
China Telecom Corp. Ltd. Class H		370,300		241,035
China Unicom Ltd.		144,400		292,777
Chunghwa Telecom Co. Ltd.		115,708		398,108
Chunghwa Telecom Co. Ltd. Sponsored ADR (Taiwan)		22,704		784,423
Cisco Systems, Inc.		127,062		1,983,438
Comverse Technology, Inc. (a)		30,567		236,894
Corning, Inc.		74,808		1,357,765
Deutsche Telekom AG Sponsored ADR (Germany)		3,000		46,890
Far EasTone Telecommunications Co. Ltd.		190,000		303,239
France Telecom SA		18,487		393,280
Harris Corp.		1,200		54,072
KDDI Corp.		152		1,093,656
Koninklijke KPN NV		28,954		420,877
KT Corp.		2,000		76,259
KT Corp. Sponsored ADR (Republic of Korea)		27,660		537,710
MetroPCS Communications, Inc. (a)		13,400		230,614
Millicom International Cellular SA		1,600		166,935
MobileOne Ltd.		126,200		260,031
Motorola Mobility Holdings, Inc. (a)		17,300		381,292
Motorola Solutions, Inc. (a)		7,757		357,132

	Number of Shares		Value
NII Holdings, Inc. (a)		1,300	$	55,094
Nippon Telegraph & Telephone Corp.		15,770		766,823
NTT DoCoMo, Inc.		1,126		2,008,720
Philippine Long Distance Telephone Co. Sponsored ADR (Philippines)		4,200		226,968
Polycom, Inc. (a)		12,925		831,078
Qualcomm, Inc.		47,345		2,688,723
Rogers Communications, Inc. Class B		1,700		67,316
Singapore Telecommunications Ltd.		268,528		691,550
SK Telecom Co. Ltd.		3,230		487,858
Swisscom AG		1,020		467,455
Telecom Argentina SA Sponsored ADR (Argentina)		2,200		57,332
Telecom Egypt		127,924		324,772
Telecom Italia SpA		155,180		215,930
Telecomunicacoes de Sao Paulo SA Sponsored ADR (Brazil)		51,460		1,528,362
Telefonica SA		46,160		1,128,794
Telefonica SA Sponsored ADR (Spain)		7,700		188,573
Telekom Austria AG		10,240		130,616
Telekom Malaysia		468,124		612,755
Telekomunikasi Indonesia Tbk PT		193,300		166,012
Telenor ASA		11,570		189,478
Telstra Corp. Ltd.		91,016		282,625
TELUS Corp.		4,300		236,746
Turk Telekomunikasyon AS		70,120		370,626
Turkcell Iletisim Hizmetleri AS (a)		31,754		171,320
Verizon Communications, Inc.		51,309		1,910,234
VimpelCom Ltd. Sponsored ADR (Bermuda)		32,500		414,700
Vodafone Group PLC		351,900		935,221
Vodafone Group PLC Sponsored ADR (United Kingdom)		23,800		635,936
				36,676,115
Textiles — 0.1%
Kuraray Co. Ltd.		27,910		409,656
Toys, Games & Hobbies — 0.1%
Mattel, Inc.		17,827		490,064
Nintendo Co. Ltd.		930		175,139
				665,203
Transportation — 1.2%
All America Latina Logistica SA		26,000		218,742
Asciano Group		67,000		118,595
Canadian Pacific Railway Ltd.		7,702		479,989
Canadian Pacific Railway Ltd.		8,062		502,971
China South Locomotive and Rolling Stock Corp.		111,900		105,185
Container Corp. of India Ltd.		3,660		84,986
East Japan Railway		21,513		1,236,225
Guangshen Railway Co. Ltd.		450,400		189,378

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

65

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Mitsui O.S.K. Lines Ltd.		38,050	$	204,761
Novorossiysk Commercial Sea Port GDR (Russia) (b)		40,079		359,909
Ryder System, Inc.		1,300		73,905
Tianjin Port Development Holdings Ltd.		1,458,800		278,687
Union Pacific Corp.		23,102		2,411,849
Viterra, Inc.		12,900		140,175
West Japan Railway Co.		11,000		430,633
				6,835,990
Water — 0.1%
American Water Works Co., Inc.		11,477		337,998
TOTAL COMMON STOCK (Cost $328,643,177)				367,904,447
CONVERTIBLE PREFERRED STOCK — 0.2%
Agriculture — 0.0%
Bunge Ltd. 4.875%		1,100		110,385
Insurance — 0.0%
XL Group PLC 10.750%		3,400		101,184
Oil & Gas — 0.1%
SandRidge Energy, Inc. 7.000% (d)		2,500		409,687
Savings & Loans — 0.1%
Omnicare Capital Trust II 4.000%		4,900		235,690
TOTAL CONVERTIBLE PREFERRED STOCK (Cost $605,236)				856,946
PREFERRED STOCK — 1.3%
Auto Manufacturers — 0.4%
General Motors Co. 4.750%		17,600		857,824
Volkswagen AG 1.580%		6,818		1,405,702
				2,263,526
Banks — 0.2%
HSBC Holdings PLC 8.000%		15,000		407,850
Itau Unibanco Holding SA 3.000%		22,600		527,838
UBS AG 9.375%		15,650		418,950
				1,354,638
Diversified Financial — 0.1%
Citigroup Capital XIII 7.875%		10,733		298,163
Electric — 0.1%
PPL Corp. 8.750%		7,300		400,843
Foods — 0.2%
Cia Brasileira de Distribuicao Grupo Pao de Acucar Class A 1.070%		24,944		1,153,180
Iron & Steel — 0.0%
Usinas Siderurgicas de Minas Gerais SA Class A 4.940%		11,600		101,829

	Number of Shares		Value
Mining — 0.1%
Vale SA Class A 3.220%		38,000	$	1,086,932
Real Estate Investment Trusts (REITS) — 0.1%
Health Care REIT, Inc. 6.500%		7,500		388,875
Savings & Loans — 0.1%
GMAC Capital Trust I 8.125%		30,000		768,000
TOTAL PREFERRED STOCK (Cost $6,717,699)				7,815,986
TOTAL EQUITIES (Cost $335,966,112)				376,577,379
	Principal Amount
BONDS & NOTES — 26.8%
CORPORATE DEBT — 9.3%
Agriculture — 0.1%
Wilmar International Ltd., Convertible 0.000% 12/18/12	$	400,000		509,400
Auto Manufacturers — 0.2%
Chrysler Group LLC/CG Co-Issuer, Inc. (d) 8.000% 6/15/19		536,000		526,620
Chrysler Group LLC/CG Co-Issuer, Inc. (d) 8.250% 6/15/21		536,000		525,280
Hyundai Motor Manufacturing Czech (d) 4.500% 4/15/15		153,000		159,642
				1,211,542
Banks — 1.1%
BBVA Bancomer SA/Texas (d) 6.500% 3/10/21		536,000		546,720
Export-Import Bank of Korea 4.125% 9/09/15		1,000,000		1,041,130
Hana Bank (d) 4.500% 10/30/15		137,000		143,182
Korea Development Bank 4.375% 8/10/15		519,000		544,754
Kreditanstalt fuer Wiederaufbau, Convertible EUR (f) 3.250% 6/27/13		900,000		1,364,518
Lloyds TSB Bank PLC STEP GBP (f) 13.000% 1/29/49		565,000		1,156,167
The Mie Bank Ltd., Convertible JPY (f) 1.000% 10/31/11		5,000,000		61,991
Swedish Export Credit TRY (f) 10.500% 9/29/15		410,600		258,175
UBS AG/Stamford CT 4.875% 8/04/20		1,339,000		1,354,327
				6,470,964

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

66

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Biotechnology — 0.3%
Amylin Pharmaceuticals, Inc., Convertible 3.000% 6/15/14	$	579,000	$	523,995
Gilead Sciences, Inc., Convertible 0.625% 5/01/13		671,000		795,973
Gilead Sciences, Inc., Convertible (d) 1.625% 5/01/16		153,000		177,289
				1,497,257
Building Materials — 0.1%
Building Materials Corp. of America (d) 6.875% 8/15/18		114,000		116,280
Texas Industries, Inc. 9.250% 8/15/20		303,000		293,153
				409,433
Chemicals — 0.0%
CF Industries, Inc. 7.125% 5/01/20		167,000		194,346
Phibro Animal Health Corp. (d) 9.250% 7/01/18		54,000		56,970
				251,316
Coal — 0.2%
Bumi Investment Pte Ltd. (d) 10.750% 10/06/17		251,000		285,186
Consol Energy, Inc. 8.000% 4/01/17		775,000		844,750
				1,129,936
Commercial Services — 0.0%
Hertz Corp. (d) 7.500% 10/15/18		85,000		87,550
Computers — 0.2%
SanDisk Corp., Convertible 1.000% 5/15/13		1,126,000		1,087,998
SunGard Data Systems, Inc. 7.375% 11/15/18		222,000		222,000
				1,309,998
Cosmetics & Personal Care — 0.0%
Alberto-Culver Co. 5.150% 6/01/20		90,000		97,973
Diversified Financial — 0.6%
Ally Financial, Inc. 4.500% 2/11/14		947,000		947,000
Credit Suisse Group Guernsey I Ltd. (b) 7.875% 2/24/41		310,000		318,525
Credit Suisse/Nassau IDR (f) 10.250% 7/17/22		2,514,870,000		338,718
Ford Motor Credit Co. LLC 5.750% 2/01/21		312,000		311,616
Ford Motor Credit Co. LLC 6.625% 8/15/17		116,000		123,313

	Principal Amount		Value
Ford Motor Credit Co. LLC 7.000% 4/15/15	$	100,000	$	108,016
Ford Motor Credit Co. LLC 8.000% 12/15/16		200,000		224,897
HSBC Finance Corp. (d) 6.676% 1/15/21		110,000		112,861
Hyundai Capital Services, Inc. (d) 4.375% 7/27/16		200,000		205,085
Morgan Stanley 3.800% 4/29/16		181,000		178,898
TNK-BP Finance SA (d) 6.625% 3/20/17		486,000		526,629
TNK-BP Finance SA (d) 7.500% 7/18/16		200,000		227,500
				3,623,058
Electric — 0.2%
Calpine Corp. (d) 7.500% 2/15/21		80,000		81,600
Calpine Corp. (d) 7.875% 7/31/20		184,000		192,280
Empresa Distribuidora Y Comercializadora Norte (d) 9.750% 10/25/22		80,000		80,600
Korea Electric Power Corp. (b) 5.125% 4/23/34		508,000		536,238
Korea Electric Power Corp. STEP 7.950% 4/01/96		409,000		291,027
NRG Energy, Inc. 8.250% 9/01/20		109,000		111,180
				1,292,925
Electrical Components & Equipment — 0.3%
Suzlon Energy Ltd., Convertible 0.000% 6/12/12		325,000		438,750
Suzlon Energy Ltd., Convertible 0.000% 10/11/12		498,000		577,680
Suzlon Energy Ltd., Convertible (Acquired 12/02/09, Cost $427,800) (g) 0.000% 7/25/14		465,000		409,200
				1,425,630
Electronics — 0.0%
Thermo Fisher Scientific, Inc. 3.200% 5/01/15		167,000		173,599
Foods — 0.3%
Kraft Foods, Inc. 4.125% 2/09/16		398,000		425,580
Olam International Ltd., Convertible 6.000% 10/15/16		800,000		1,026,000
				1,451,580
Forest Products & Paper — 0.2%
Sino Forest Corp., Convertible (b) 5.000% 8/01/13		47,000		22,090

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

67

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Sino-Forest Corp., Convertible (Acquired 12/02/19, Cost $782,690), Convertible (d) (g) 5.000% 8/01/13	$	664,000	$	312,080
TFS Corp. Ltd. (d) 11.000% 7/15/18		600,000		592,326
				926,496
Health Care – Products — 0.4%
DJO Finance LLC / DJO Finance Corp. (d) 9.750% 10/15/17		48,000		48,720
Fresenius Finance Jersey Ltd. EUR (f) 5.625% 8/14/11		500,000		1,049,908
Hologic, Inc. Convertible STEP 2.000% 12/15/37		1,023,000		1,168,777
Kinetic Concepts, Inc., Convertible (d) 3.250% 4/15/15		110,000		140,388
SonoSite, Inc., Convertible 3.750% 7/15/14		114,000		130,815
				2,538,608
Health Care – Services — 0.1%
DaVita, Inc. 6.375% 11/01/18		169,000		171,113
DaVita, Inc. 6.625% 11/01/20		150,000		152,625
				323,738
Holding Company – Diversified — 0.3%
Hutchison Whampoa International Ltd. (d) 4.625% 9/11/15		365,000		387,876
Hutchison Whampoa International Ltd. (b) 4.625% 9/11/15		565,000		602,211
Hutchison Whampoa International Ltd. (b) 6.250% 1/24/14		165,000		182,191
REI Agro Ltd., Convertible (Acquired 12/02/09, Cost $614,910) (d) (g) 5.500% 11/13/14		618,000		636,540
				1,808,818
Investment Companies — 0.0%
Hongkong Land CB Ltd., Convertible (b) 2.750% 12/21/12		100,000		184,500
Iron & Steel — 0.1%
Evraz Group SA (b) 8.250% 11/10/15		100,000		111,438
Evraz Group SA (d) 9.500% 4/24/18		200,000		230,500
Tata Steel Ltd., Convertible 1.000% 9/05/12		300,000		360,000
				701,938
Media — 0.0%
Ono Finance II PLC (d) 10.875% 7/15/19		153,000		162,945

	Principal Amount		Value
Mining — 0.0%
Anglo American PLC, Convertible (b) 4.000% 5/07/14	$	100,000	$	183,225
Multi-National — 0.1%
European Investment Bank EUR (f) 3.625% 10/15/11		187,000		272,884
European Investment Bank EUR (f) 4.375% 4/15/13		333,000		503,196
				776,080
Oil & Gas — 1.2%
BP Capital Markets PLC 3.125% 10/01/15		209,000		214,579
Chesapeake Energy Corp., Convertible 2.500% 5/15/37		674,000		709,385
China Petroleum & Chemical Corp., Convertible HKD (f) 0.000% 4/24/14		5,300,000		781,545
Daylight Energy Ltd., Convertible CAD (f) 6.250% 12/31/14		232,000		250,775
Essar Energy PLC, Convertible 4.250% 2/01/16		500,000		460,400
Linn Energy LLC/Linn Energy Finance Corp. (d) 7.750% 2/01/21		339,000		352,560
McMoRan Exploration Co., Convertible (d) 5.250% 10/06/11		83,000		97,318
McMoRan Exploration Co., Convertible 5.250% 10/06/11		146,000		171,185
OGX Petroleo e Gas Participacoes SA (d) 8.500% 6/01/18		850,000		874,225
Pemex Project Funding Master Trust 6.625% 6/15/35		376,000		396,313
PetroBakken Energy Ltd., Convertible (b) 3.125% 2/08/16		900,000		850,500
Petroleos Mexicanos 6.000% 3/05/20		621,000		681,548
Petroleum Co. of Trinidad & Tobago Ltd. (d) 9.750% 8/14/19		130,000		156,975
Reliance Holdings USA, Inc. (d) 4.500% 10/19/20		323,000		301,785
SM Energy Co., Convertible 3.500% 4/01/27		292,000		411,720
				6,710,813
Oil & Gas Services — 0.0%
Acergy SA, Convertible 2.250% 10/11/13		100,000		122,050
Packaging & Containers — 0.0%
Crown Cork & Seal Co., Inc. 7.500% 12/15/96		77,000		61,215

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

68

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Pharmaceuticals — 0.3%
Hypermarcas SA (d) 6.500% 4/20/21	$	213,000	$	212,734
Mylan, Inc. /PA, Convertible 3.750% 9/15/15		229,000		450,271
Mylan, Inc., Convertible 1.250% 3/15/12		419,000		466,138
Omnicare, Inc., Convertible 3.750% 12/15/25		554,000		738,897
Valeant Pharmaceuticals International (d) 6.750% 10/01/17		113,000		110,740
				1,978,780
Real Estate — 1.0%
CapitaLand Ltd., Convertible SGD (f) 2.100% 11/15/16		750,000		604,443
CapitaLand Ltd., Convertible SGD (f) 2.950% 6/20/22		1,750,000		1,355,278
CapitaLand Ltd., Convertible SGD (f) 3.125% 3/05/18		1,750,000		1,500,719
Keppel Land Ltd., Convertible SGD (f) 2.500% 6/23/13		200,000		163,051
Pyrus Ltd., Convertible, (Acquired 12/20/10, Cost $500,000) (b) (d) (g) 7.500% 12/20/15		500,000		522,000
Yanlord Land Group Ltd. (d) 9.500% 5/04/17		377,000		384,540
Yanlord Land Group Ltd., Convertible SGD (f) 5.850% 7/13/14		750,000		617,978
Ying Li International Real Estate Ltd., Convertible SGD (f) 4.000% 3/03/15		750,000		537,328
				5,685,337
Savings & Loans — 0.9%
Aldar Funding Ltd., Convertible 5.767% 11/10/11		223,000		224,044
Dana Gas Sukuk Ltd., Convertible 7.500% 10/31/12		2,780,000		2,495,050
IOI Capital Bhd, Convertible 0.000% 12/18/11		449,000		587,965
Odebrecht Drilling Norbe VIII/IX Ltd. (d) 6.350% 6/30/21		440,000		464,200
Paka Capital Ltd., Convertible 0.000% 3/12/13		300,000		297,750
Zeus Cayman, Convertible JPY (f) 0.000% 8/19/13		106,000,000		1,329,691
				5,398,700
Semiconductors — 0.5%
Advanced Micro Devices, Inc. 8.125% 12/15/17		142,000		148,390
Advanced Micro Devices, Inc., Convertible 6.000% 5/01/15		1,123,000		1,138,441
Intel Corp., Convertible 2.950% 12/15/35		435,000		449,681

	Principal Amount		Value
Intel Corp., Convertible (d) 3.250% 8/01/39	$	889,000	$	1,084,580
Lam Research Corp., Convertible (d) 1.250% 5/15/18		86,000		85,355
				2,906,447
Telecommunications — 0.4%
EH Holding Corp. (d) 6.500% 6/15/19		56,000		56,980
EH Holding Corp. (d) 7.625% 6/15/21		103,000		105,060
Intelsat Jackson Holdings SA (d) 7.500% 4/01/21		442,000		439,237
Reliance Communications Ltd., Convertible 0.000% 3/01/12		800,000		936,000
SBA Communications Corp., Convertible 1.875% 5/01/13		281,000		308,749
SBA Communications Corp., Convertible 4.000% 10/01/14		233,000		326,783
				2,172,809
Transportation — 0.2%
Inversiones Alsacia SA (d) 8.000% 8/18/18		566,000		532,674
Nagoya Railroad Co. Ltd., Convertible JPY (f) 0.000% 3/30/12		2,000,000		24,731
Viterra, Inc. (d) 5.950% 8/01/20		382,000		388,455
				945,860
TOTAL CORPORATE DEBT (Cost $51,442,131)				54,530,520
BANK LOANS — 0.5%
Diversified Financial — 0.0%
Capsugel Unsecured Bridge Term Loan FRN 1.000% 4/05/12		310,000		-
Mining — 0.1%
PT Multi Daerah Bersaing Term Loan FRN 7.308% 4/13/12		366,106		367,204
Oil & Gas — 0.3%
Globalspace Energy Corp. Term Loan FRN 1.000% 12/01/15		462,000		462,000
Obsidian Natural Gas Trust Term Loan FRN (Acquired 3/14/11, Cost $1,412,369) (g) 7.000% 11/02/15		1,308,990		1,322,079
				1,784,079
Telecommunications — 0.1%
Vodafone Americas Finance 2, Inc. Term Loan FRN 1.000% 8/11/15		440,000		453,200
TOTAL BANK LOANS (Cost $2,560,189)				2,604,483

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

69

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.2%
Commercial MBS — 0.2%
Banc of America Large Loan, Inc., Series 2010-HLTN, Class HLTN FRN (d) 1.937% 11/15/15	$	1,396,449	$	1,295,542
Other ABS — 0.0%
Latitude CLO Ltd., Series 2005-1I, Class SUB 12/15/17		100,000		56,000
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $1,239,800)				1,351,542
SOVEREIGN DEBT OBLIGATIONS — 9.1%
Australia Government Bond AUD (f) 5.500% 12/15/13		1,600,000		1,746,694
Bank Negara Malaysia Monetary Notes MYR (f) 0.010% 9/15/11		5,438,000		1,791,078
Brazil Notas do Tesouro Nacional Serie B BRL (f) 6.000% 5/15/15		1,187,000		1,524,626
Brazil Notas do Tesouro Nacional Serie F BRL (f) 10.000% 1/01/21		4,815,000		2,545,926
Bundesrepublik Deutschland EUR (f) 3.500% 7/04/19		3,354,000		5,105,533
Canadian Government Bond CAD (f) 3.500% 6/01/20		792,000		851,923
Canadian Government Bond CAD (f) 4.000% 6/01/16		645,000		720,592
Deutsche Bundesrepublik Inflation Linked EUR (f) 1.500% 4/15/16		386,627		583,094
Federal Republic of Germany (d) 1.500% 9/21/12		1,581,000		1,604,484
Federal Republic of Germany (b) 1.500% 9/21/12		50,000		50,743
Hong Kong Government Bond HKD (f) 1.670% 3/24/14		1,800,000		238,548
Hong Kong Government Bond HKD (f) 2.030% 3/18/13		11,800,000		1,561,143
Hong Kong Government Bond HKD (f) 4.130% 2/22/13		3,700,000		505,724
Korea Development Bank 4.000% 9/09/16		596,000		609,489
Malaysia Government Bond MYR (f) 2.509% 8/27/12		7,145,000		2,355,474
Malaysia Government Bond MYR (f) 3.461% 7/31/13		4,116,000		1,371,467
Malaysia Government Bond MYR (f) 3.833% 9/28/11		908,000		301,815

	Principal Amount		Value
Mexico Cetes MXN (f) 0.010% 9/08/11	$	9,129,900	$	773,191
Mexico Cetes MXN (f) 0.010% 9/22/11		13,360,060		1,129,212
Mexico Cetes MXN (f) 4.459% 8/11/11		9,348,440		794,377
Mexico Cetes MXN (f) 9.785% 8/11/11		9,378,280		796,919
Mexico Cetes MXN (f) 9.791% 8/11/11		4,674,220		397,199
Netherlands Government Bond EUR (f) 3.750% 7/15/14		312,000		475,702
New Zealand Government Bond NZD (f) 6.492% 2/15/16		226,000		301,851
Poland Government Bond PLN (f) 3.000% 8/24/16		2,310,896		871,599
Republic of Brazil BRL (f) 10.000% 1/01/17		8,742,000		5,078,359
Republic of Germany EUR (f) 4.250% 7/04/17		4,216,000		6,702,593
Socialist Republic of Vietnam (b) 6.750% 1/29/20		100,000		104,000
Turkey Government Bond TRY (f) 4.000% 4/01/20		578,000		390,497
Turkey Government Bond TRY (f) 10.000% 1/09/13		277,000		173,232
Turkey Government Bond TRY (f) 10.500% 1/15/20		2,218,000		1,452,701
Ukraine Government Bond (d) 6.875% 9/23/15		113,000		116,673
Ukraine Government Bond (d) 7.750% 9/23/20		301,000		312,288
United Kingdom Gilt GBP (f) 4.000% 9/07/16		1,765,000		3,080,065
United Kingdom Gilt GBP (f) 4.750% 3/07/20		3,691,170		6,596,715
Vietnam Government International Bond (b) 6.750% 1/29/20		100,000		104,000
				53,119,526
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $51,985,320)				53,119,526
U.S. TREASURY OBLIGATIONS — 7.7%
U.S. Treasury Bonds & Notes — 7.7%
U.S. Treasury Inflation Index 2.375% 1/15/27		1,011,537		1,154,414
U.S. Treasury Note 2.250% 1/31/15		5,766,000		6,000,469
U.S. Treasury Note 2.250% 3/31/16		5,705,300		5,867,322

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

70

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
U.S. Treasury Note 2.375% 2/28/15	$	4,325,000	$	4,518,611
U.S. Treasury Note 2.500% 3/31/15		4,993,000		5,238,554
U.S. Treasury Note 2.625% 12/31/14		4,417,700		4,657,222
U.S. Treasury Note 2.625% 8/15/20		7,804,000		7,554,942
U.S. Treasury Note (h) 3.500% 5/15/20		9,462,600		9,879,916
				44,871,450
TOTAL U.S. TREASURY OBLIGATIONS (Cost $44,265,931)				44,871,450
TOTAL BONDS & NOTES (Cost $151,493,371)				156,477,521
	Number of Shares
MUTUAL FUNDS — 3.2%
Diversified Financial — 3.2%
BlackRock Liquidity Funds TempFund Portfolio		240,527		240,527
Consumer Staples Select Sector SPDR Fund		16,801		524,695
Dragon Capital - Vietnam Enterprise Investments Ltd. (a)		36,880		79,292
Energy Select Sector SPDR Fund		42,951		3,236,358
Health Care Select Sector SPDR Fund		17,420		618,758
iShares Dow Jones US Telecommunications Sector Index Fund		9,117		227,013
Market Vectors - Gold Miners ETF		230,905		12,605,104
Technology Select Sector SPDR Fund		27,700		711,890
Utilities Select Sector SPDR Fund		2,000		66,960
Vanguard Telecommunication Services ETF		300		21,378
Vinaland Ltd. (a)		190,740		148,286
				18,480,261
TOTAL MUTUAL FUNDS (Cost $16,455,680)				18,480,261
	Units
PURCHASED OPTIONS — 0.2%
Diversified Financial — 0.2%
JP Morgan Chase & Co., Call, Expires 8/20/11, Strike 43.00		14,100		8,601

	Units		Value
Market Vectors ETF TR Flex, Put, Expires 8/18/11, Strike 52.00		20,000	$	26,211
Market Vectors Gold Miners, Put, Expires 7/16/11, Strike 48.00		12,000		600
Market Vectors Gold Miners, Put, Expires 9/17/11, Strike 50.00		21,000		25,620
Market Vectors Gold Miners, Put, Expires 9/17/11, Strike 56.00		23,000		81,650
Market Vectors Gold Miners, Put, Expires 1/21/12, Strike 50.00		37,000		112,850
Market Vectors Gold Miners, Put, Expires 12/17/11, Strike 50.00		20,000		50,800
MXEUG Index, Call, Expires 6/15/12, Strike 102.9		6,006		40,949
MXEUG Index, Call, Expires 6/15/12, Strike 104.71		12,845		71,290
S&P 500 Index, Put, Expires 7/16/11, Strike 1,260.00		20,500		51,250
S&P 500 Index, Put, Expires 8/20/11, Strike 1,260.00		13,000		169,650
S&P 500 Index, Put, Expires 8/20/11, Strike 1,275.00		4,300		66,650
S&P 500 Index, Put, Expires 9/17/11, Strike 1,250.00		16,500		297,000
Taiwan TWSE Index, Call, Expires 3/20/13, Strike 8,818.93		1,830		42,758
Taiwan TWSE Index, Call, Expires 6/19/13, Strike 8,807.55		1,845		40,709
Taiwan TWSE Index, Call, Expires 9/18/13, Strike 8,646.24		1,564		29,384
Taiwan TWSE Index, Call, Expires 9/18/13, Strike 8,807.55		922		18,400
Taiwan TWSE Index, Call, Expires 9/19/12, Strike 9,041.74		1,837		21,934
Taiwan TWSE Index, Call, Expires 9/19/12, Strike 9,047.46		2,692		38,310
Taiwan TWSE Index, Call, Expires 12/18/13, Strike 8,646.11		3,125		62,645
USD Call Euro Put, Call, Expires 9/30/11, Strike 1.34		5,673,000		37,555
Wells Fargo & Co., Call, Expires 10/22/11 Strike 28.00		22,000		38,280
				1,333,096
Foods — 0.0%
General Mills, Inc., Call, Expires 07/16/11, Strike 38.00		7,200		720
TOTAL PURCHASED OPTIONS (Cost $2,747,041)				1,333,816
STRUCTURED OPTIONS (OVER THE COUNTER TRADED) — 0.0%
Diversified Financial — 0.0%
Brazil Bovespa, Expires 10/13/11, Broker Goldman Sachs (i)		22		42,060
DJ Euro Stoxx 50, Expires 4/04/12, Broker Credit Suisse International (j)		640		(26,069	)

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

71

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Units		Value
DJ Euro Stoxx 50, Expires 6/15/12, Broker JP Morgan Chase Bank NA (k)		292	$	(29,732	)
DJ Euro Stoxx 50, Expires 7/07/11, Broker Credit Suisse International (l)		390		1,032
DJ Euro Stoxx 50, Expires 12/16/11, Broker UBS AG (m)		293		149
iShares Russell 2000 Index, Expires 10/12/11, Broker Goldman Sachs (n)		13,390		4,419
S&P 500 Index, Expires 3/16/12, Broker JP Morgan Chase Bank NA (o)		1,461		16,292
S&P 500 Index, Expires 10/10/11, Broker Citibank NA (p)		442		4,827
Taiwan Taiex Index , Expires 12/21/11, Broker Citibank NA (q)		2,765		(25,969	)
Taiwan Taiex Index, Expires 12/19/11, Broker Citibank NA (r)		1,731		3,171
Taiwan Taiex Index, Expires 12/19/12, Broker Citibank NA (s)		1,945		(3,955	)
				(13,775	)
TOTAL STRUCTURED OPTIONS (OVER THE COUNTER TRADED) (Cost $(11,481))				(13,775	)
WARRANTS — 0.0%
Auto Manufacturers — 0.0%
Ford Motor Co., Expires 1/01/13, Strike 9.20 (a)		44,770		234,595
Banks — 0.0%
Bank of America Corp., Expires 1/16/19, Strike 13.30 (a)		22,509		124,700
Insurance — 0.0%
Citigroup, Inc., Expires 10/18/28, Strike 0.19 (a)		17,173		1,975
Mining — 0.0%
Kinross Gold Corp., Expires 9/03/13, Strike 32.00 (a)		7,400		8,747
TOTAL WARRANTS (Cost $449,638)				370,017
TOTAL LONG-TERM INVESTMENTS (Cost $507,100,361)				553,225,219
	Principal Amount
SHORT-TERM INVESTMENTS — 5.3%
U.S. Treasury Bills — 5.3%
U.S. Treasury Bill 0.010% 8/25/11	$	1,000,000		999,949

	Principal Amount		Value
U.S. Treasury Bill 0.010% 9/01/11	$	13,760,000	$	13,758,614
U.S. Treasury Bill 0.010% 9/08/11		10,625,000		10,624,267
U.S. Treasury Bill 0.010% 9/15/11		820,000		819,942
U.S. Treasury Bill 0.010% 9/22/11		3,500,000		3,499,637
U.S. Treasury Bill 0.010% 9/29/11		1,160,000		1,159,955
				30,862,364
TOTAL SHORT-TERM INVESTMENTS (Cost $30,862,364)				30,862,364
TOTAL INVESTMENTS — 100.0% (Cost $537,962,725) (t)				584,087,583
Other Assets/(Liabilities) — 0.0%				36,326
NET ASSETS — 100.0%			$	584,123,909

Notes to Portfolio of Investments

ABS Asset-Backed Security

ADR American Depositary Receipt

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

CLO Collateralized Loan Obligation

EUR Euro

FRN Floating Rate Note

GBP British Pound

GDR Global Depositary Receipt

HKD Hong Kong Dollar

IDR Indonesian Rupiah

JPY Japanese Yen

MBS Mortgage-Backed Security

MXN Mexican Peso

MYR Malaysian Ringgit

NZD New Zealand Dollar

PLN Polish Zloty

SGD Singapore Dollar

STEP Step Up Bond

TRY New Turkish Lira

(a) Non-income producing security.

(b) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At June 30, 2011, these securities amounted to a value of $6,138,006 or 1.05% of net assets.

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

72

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments (Continued)

(c) This security is valued in good faith under procedures established by the Board of Trustees.

(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, 2011, these securities amounted to a value of $17,095,283 or 2.93% of net assets.

(e) These securities are held as collateral for written options. (Note 2).

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

(g) Restricted security. Certain securities are restricted as to resale. At June 30, 2011, these securities amounted to a value of $3,201,899 or 0.55% of net assets. The Funds generally bear the costs, if any, associated with the disposition of restricted securities.

(h) A portion of this security is held as collateral for open futures contracts. (Note 2).

(i) Goldman Sachs Bovespa Structured Option is issued in units. Each unit represents a structure based on the Bovespa Index. Each unit contains (a) one written put option on the index at a strike price of 53,246, (b) one written call option on the index with a strike of 75,043 and (c) one put option on the index at a strike price of 63,229. The Fund holds 22 units of the structure. On June 30, 2011, the Bovespa Index was 62,127. At this time, the value of the structured option was $42,060 based on a price of $1,911.80 per unit. The option expires on October 13, 2011.

(j) CSFB DJ EuroStoxx Structured Option is issued in units. Each unit represents a structure based on the DJ EuroStoxx 50 Index, with an initial reference strike of 2,958.17. Each unit contains (a) one written put on the index at a strike price of 2,662.353, (b) one written call on the index at a strike price of 3,401.89 and (c) one call on the index at a strike price of 2,958.17. The Fund holds 640 units of the structure. On June 30, 2011, the EuroStoxx 50 Index was 2,848.53. At this time, the value of the structured option was $(26,069) based on a price of $(40.73) per unit. The option expires on April 4, 2012.

(k) JP Morgan DJ EuroStoxx Structured Option is issued in units. Each unit represents a structure based on the DJ EuroStoxx 50 Index, with an initial reference strike of 3,011.25. Each unit contains (a) one written put on the index at a strike price of 2,747.77 and (b) one call on the index at a strike price of 3,011.25. The Fund holds 292 units of the structure. On June 30, 2011, the EuroStoxx 50 Index was 2,848.53. At this time, the value of the structured option was $(29,732) based on a price of $(101.82) per unit. The option expires on June 15, 2012.

(l) CSFB DJ EuroStoxx Structured Option is issued in units. Each unit represents a structure based on the DJ EuroStoxx 50 Index, with an initial reference strike of 2,803.75. Each unit contains (a) one written put on the index at a strike price of 2,523.37 and (b) one call option on the index with a strike of 2,943.93. The Fund holds 390 units of the structure. On June 30, 2011, the EuroStoxx 50 Index was 2,848.53. At this time, the value of the structured option was $1,032 based on a price of $2.65 per unit. The option expires on July 7, 2011

(m) UBS DJ EuroStoxx Structured Option is issued in units. Each unit represents a structure based on the DJ EuroStoxx 50 Index, with an initial reference strike of 2,901.28. Each unit contains (a) one written put on the index at a strike price of 2,437.08 and (b) one call option on the index with a strike of

3,069.55. The Fund holds 293 units of the structure. On June 30, 2011, the EuroStoxx 50 Index was 2,848.53. At this time, the value of the structured option was $149 based on a price of $0.51 per unit. The option expires on December 16, 2011.

(n) Goldman Sachs iShares Russell 2000 Index Fund Structured Option is issued in units. Each unit represents a structure based on the iShares Russell 2000 Index Fund. Each unit contains (a) one written put option on the index at a strike price of 65.72, (b) one written call option on the index with a strike of 87.28 and (c) one put option on the index at a strike price of 78.04. The Fund holds 13,390 units of the structure. On June 30, 2011, the iShares Russell 2000 Index Fund price was 82.80. At this time, the value of the structured option was $4,419 based on a price of $0.33 per unit. The option expires on October 12, 2011.

(o) JP Morgan S&P 500 Structured Option is issued in units. Each unit represents a structure based on the S&P 500 Index, with an initial reference strike of 1,300.35. Each unit contains (a) one written put on the index at a strike price of 1,131.30 and (b) one call option on the index with a strike of 1,379.67. The Fund holds 1,461 units of the structure. On June 30, 2011, the S&P 500 Index was 1,320.64. At this time, the value of the structured option was $16,292 based on a price of $ 11.15 per unit. The option expires on March 16, 2012.

(p) Citigroup S&P 500 Structured Option is issued in units. Each unit represents a structure based on the S&P 500 Index. Each unit contains (a) one written put on the index at a strike price of 1,130.08, (b) one written call option on the index with a strike of 1,403.95 and (c) one put on the index at a strike price of 1,263.03. The Fund holds 442 units of the structure. On June 30, 2011, the S&P 500 Index was 1,320.64. At this time, the value of the structured option was $4,827 based on a price of $ 10.92 per unit. The option expires on October 10, 2011.

(q) Citigroup Taiwan Taiex Structured Option is issued in units. Each unit represents a structure based on the Taiex Index. Each unit contains (a) one written put on the index at a strike price of 8,400 and (b) 1.35 call options on the index with a strike of 9,000. The Fund holds 2,765 units of the structure. On June 30, 2011, the Taiex Index was 8,652.59. At this time, the value of the structured option was $(25,969) based on a price of $(9.39) per unit. The option expires on December 21, 2011.

(r) Citigroup Taiwan Taiex Structured Option is issued in units. Each unit represents a structure based on the Taiex Index. Each unit contains (a) one written put on the index at a strike price of 243.40 and (b) 1.35 call options on the index with a strike of 290.80. The Fund holds 1,731 units of the structure. On June 30, 2011, the Taiex Index was 8,652.59. At this time, the value of the structured option was $3,171 based on a price of $1.83 per unit. The option expires on December 19, 2012.

(s) Citigroup Taiwan Taiex Structured Option is issued in units. Each unit represents a structure based on the Taiex Index. Each unit contains (a) one written put on the index at a strike price of 7,345.41 and (b) 1.45 call options on the index with a strike of 8,775.88. The Fund holds 1,945 units of the structure. On June 30, 2011, the Taiex Index was 8,652.59. At this time, the value of the structured option was $(3,955) based on a price of $(2.03) per unit. The option expires on December 19, 2012.

(t) See Note 6 for aggregate cost for federal tax purposes.

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

73

MassMutual Select Diversified Value Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.0%
COMMON STOCK — 98.0%
Advertising — 0.7%
Omnicom Group, Inc.		44,229	$	2,130,069
Aerospace & Defense — 2.6%
General Dynamics Corp.		10,800		804,816
L-3 Communications Holdings, Inc.		2,300		201,135
Lockheed Martin Corp.		7,700		623,469
Northrop Grumman Corp.		48,073		3,333,862
Raytheon Co.		7,900		393,815
Spirit AeroSystems Holdings, Inc. Class A (a)		3,900		85,800
United Technologies Corp.		27,800		2,460,578
				7,903,475
Agriculture — 1.6%
Altria Group, Inc.		47,100		1,243,911
Lorillard, Inc.		4,500		489,915
Philip Morris International, Inc.		37,700		2,517,229
Reynolds American, Inc.		16,600		615,030
				4,866,085
Apparel — 0.1%
VF Corp.		3,400		369,104
Auto Manufacturers — 0.5%
General Motors Co. (a)		50,910		1,545,628
Automotive & Parts — 0.8%
The Goodyear Tire & Rubber Co. (a)		52,694		883,678
Johnson Controls, Inc.		39,959		1,664,692
				2,548,370
Banks — 7.2%
Bank of America Corp.		189,017		2,071,626
Bank of New York Mellon Corp.		61,542		1,576,706
BB&T Corp.		16,500		442,860
BOK Financial Corp.		1,700		93,109
Capital One Financial Corp.		11,000		568,370
Commerce Bancshares, Inc.		2,100		90,300
Fifth Third Bancorp		147,851		1,885,100
PNC Financial Services Group, Inc.		55,323		3,297,804
State Street Corp.		66,295		2,989,242
U.S. Bancorp		116,051		2,960,461
Wells Fargo & Co.		205,468		5,765,432
				21,741,010
Beverages — 1.9%
Coca-Cola Enterprises, Inc.		80,946		2,362,004
Constellation Brands, Inc. Class A (a)		6,000		124,920
Dr. Pepper Snapple Group, Inc.		4,900		205,457
PepsiCo, Inc.		40,899		2,880,517
				5,572,898

	Number of Shares		Value
Biotechnology — 1.0%
Amgen, Inc. (a)		49,093	$	2,864,576
Building Materials — 0.0%
Owens Corning, Inc. (a)		2,800		104,580
Chemicals — 1.3%
Air Products & Chemicals, Inc.		19,210		1,836,092
Albemarle Corp.		2,000		138,400
Ashland, Inc.		1,700		109,854
E.I. du Pont de Nemours & Co.		17,000		918,850
Eastman Chemical Co.		1,700		173,519
FMC Corp.		2,600		223,652
PPG Industries, Inc.		3,500		317,765
RPM International, Inc.		5,200		119,704
The Valspar Corp.		2,700		97,362
				3,935,198
Coal — 0.4%
CONSOL Energy, Inc.		24,139		1,170,259
Commercial Services — 0.6%
Alliance Data Systems Corp. (a)		1,300		122,291
DeVry, Inc.		1,500		88,695
Donnelley (R.R.) & Sons Co.		4,600		90,206
H&R Block, Inc.		6,800		109,072
McKesson Corp.		12,000		1,003,800
Quanta Services, Inc. (a)		4,500		90,900
Western Union Co.		13,900		278,417
				1,783,381
Computers — 1.8%
Dell, Inc. (a)		41,000		683,470
International Business Machines Corp.		26,900		4,614,695
Seagate Technology PLC		5,500		88,880
				5,387,045
Distribution & Wholesale — 0.1%
Genuine Parts Co.		1,900		103,360
Ingram Micro, Inc. Class A (a)		5,600		101,584
				204,944
Diversified Financial — 7.3%
American Express Co.		25,300		1,308,010
Ameriprise Financial, Inc.		45,580		2,629,055
BlackRock, Inc.		1,800		345,258
CIT Group, Inc. (a)		4,800		212,448
Citigroup, Inc.		67,999		2,831,478
Discover Financial Services		101,816		2,723,578
Franklin Resources, Inc.		4,900		643,321
JP Morgan Chase & Co.		214,133		8,766,605
Legg Mason, Inc.		61,458		2,013,364
The NASDAQ OMX Group, Inc. (a)		4,500		113,850
Raymond James Financial, Inc.		5,100		163,965
				21,750,932

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

74

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

	Number of Shares		Value
Electric — 4.3%
The AES Corp. (a)		17,200	$	219,128
Alliant Energy Corp.		2,800		113,848
Ameren Corp.		5,100		147,084
American Electric Power Co., Inc.		10,100		380,568
Calpine Corp. (a)		138,362		2,231,779
Consolidated Edison, Inc.		6,700		356,708
Dominion Resources, Inc.		13,200		637,164
DTE Energy Co.		6,000		300,120
Duke Energy Corp.		33,500		630,805
Edison International		54,846		2,125,282
Integrys Energy Group, Inc.		2,000		103,680
MDU Resources Group, Inc.		4,200		94,500
NextEra Energy, Inc.		8,100		465,426
NRG Energy, Inc. (a)		5,300		130,274
NV Energy, Inc.		9,600		147,360
OGE Energy Corp.		2,900		145,928
Pepco Holdings, Inc.		4,800		94,224
PPL Corp.		86,785		2,415,227
Public Service Enterprise Group, Inc.		52,771		1,722,445
SCANA Corp.		2,700		106,299
TECO Energy, Inc.		5,800		109,562
Westar Energy, Inc.		3,200		86,112
Wisconsin Energy Corp.		5,200		163,020
				12,926,543
Electrical Components & Equipment — 0.1%
Energizer Holdings, Inc. (a)		1,600		115,776
Hubbell, Inc. Class B		1,300		84,435
Molex, Inc.		3,600		92,772
				292,983
Electronics — 0.1%
Arrow Electronics, Inc. (a)		4,800		199,200
Avnet, Inc. (a)		6,100		194,468
				393,668
Engineering & Construction — 1.1%
ABB Ltd. Sponsored ADR (Switzerland) (a)		70,236		1,822,624
Foster Wheeler AG (a)		40,047		1,216,628
KBR, Inc.		3,500		131,915
URS Corp. (a)		1,700		76,058
				3,247,225
Environmental Controls — 0.0%
Nalco Holding Co.		3,000		83,430
Foods — 2.3%
ConAgra Foods, Inc.		9,100		234,871
Corn Products International, Inc.		2,500		138,200
General Mills, Inc.		15,100		562,022
Hormel Foods Corp.		7,300		217,613
The J.M. Smucker Co.		3,200		244,608
Kellogg Co.		45,519		2,518,111

	Number of Shares		Value
The Kroger Co.		14,200	$	352,160
Safeway, Inc.		7,700		179,949
Sara Lee Corp.		89,172		1,693,376
Smithfield Foods, Inc. (a)		3,700		80,919
Sysco Corp.		13,000		405,340
Tyson Foods, Inc. Class A		8,500		165,070
				6,792,239
Forest Products & Paper — 1.1%
AbitibiBowater, Inc. (a)		34,782		706,075
Domtar Corp.		1,200		113,664
International Paper Co.		9,800		292,236
MeadWestvaco Corp.		6,800		226,508
Weyerhaeuser Co.		86,627		1,893,666
				3,232,149
Gas — 0.2%
Atmos Energy Corp.		2,700		89,775
Energen Corp.		2,800		158,200
NiSource, Inc.		6,200		125,550
Sempra Energy		5,000		264,400
UGI Corp.		2,400		76,536
				714,461
Hand & Machine Tools — 0.6%
Kennametal, Inc.		1,600		67,536
Stanley Black & Decker, Inc.		22,596		1,628,042
				1,695,578
Health Care – Products — 4.0%
Alere, Inc. (a)		33,206		1,216,004
Baxter International, Inc.		12,600		752,094
Becton, Dickinson & Co.		5,400		465,318
Boston Scientific Corp. (a)		34,300		237,013
Covidien PLC		58,602		3,119,384
Johnson & Johnson		34,300		2,281,636
Kinetic Concepts, Inc. (a)		2,100		121,023
Medtronic, Inc.		71,071		2,738,366
St. Jude Medical, Inc.		7,300		348,064
Zimmer Holdings, Inc. (a)		9,200		581,440
				11,860,342
Health Care – Services — 3.3%
Aetna, Inc.		12,100		533,489
AMERIGROUP Corp. (a)		1,100		77,517
CIGNA Corp.		8,100		416,583
Coventry Health Care, Inc. (a)		4,100		149,527
HCA Holdings, Inc. (a)		49,995		1,649,835
Health Net, Inc. (a)		2,700		86,643
Humana, Inc.		5,000		402,700
Laboratory Corporation of America Holdings (a)		3,300		319,407
Lincare Holdings, Inc.		1,400		40,978
MEDNAX, Inc. (a)		600		43,314
Quest Diagnostics, Inc.		3,800		224,580

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

75

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

	Number of Shares		Value
UnitedHealth Group, Inc.		91,501	$	4,719,622
WellPoint, Inc.		17,300		1,362,721
				10,026,916
Holding Company – Diversified — 0.1%
Leucadia National Corp.		5,900		201,190
Home Builders — 0.1%
D.R. Horton, Inc.		7,400		85,248
Lennar Corp. Class A		3,700		67,155
Toll Brothers, Inc. (a)		4,300		89,182
				241,585
Household Products — 0.1%
Avery Dennison Corp.		2,300		88,849
The Scotts Miracle-Gro Co. Class A		1,400		71,834
Tupperware Brands Corp.		1,700		114,665
				275,348
Housewares — 0.5%
Newell Rubbermaid, Inc.		86,083		1,358,390
Insurance — 4.8%
ACE Ltd.		8,100		533,142
Alleghany Corp. (a)		200		66,622
American Financial Group, Inc.		6,200		221,278
Arch Capital Group Ltd. (a)		10,200		325,584
The Chubb Corp.		18,000		1,126,980
Everest Re Group Ltd.		1,400		114,450
The Hartford Financial Services Group, Inc.		10,600		279,522
HCC Insurance Holdings, Inc.		3,900		122,850
Loews Corp.		25,900		1,090,131
Markel Corp. (a)		500		198,405
MetLife, Inc.		56,434		2,475,760
Principal Financial Group, Inc.		7,600		231,192
The Progressive Corp.		38,100		814,578
Reinsurance Group of America, Inc. Class A		2,300		139,978
RenaissanceRe Holdings Ltd.		3,300		230,835
Torchmark Corp.		4,600		295,044
The Travelers Cos., Inc.		49,558		2,893,196
Unum Group		104,022		2,650,480
Validus Holdings Ltd.		2,400		74,280
W.R. Berkley Corp.		5,000		162,200
XL Group PLC		10,700		235,186
				14,281,693
Internet — 1.2%
AOL, Inc. (a)		59,359		1,178,869
eBay, Inc. (a)		66,840		2,156,927
IAC/InterActiveCorp (a)		5,700		217,569
				3,553,365
Iron & Steel — 0.1%
Reliance Steel & Aluminum Co.		2,100		104,265

	Number of Shares		Value
Steel Dynamics, Inc.		4,700	$	76,375
				180,640
Leisure Time — 0.4%
Carnival Corp.		29,900		1,125,137
Royal Caribbean Cruises Ltd. (a)		5,800		218,312
				1,343,449
Lodging — 0.2%
Hyatt Hotels Corp. Class A (a)		3,800		155,116
Wyndham Worldwide Corp.		13,900		467,735
				622,851
Machinery – Construction & Mining — 0.0%
Terex Corp. (a)		2,200		62,590
Machinery – Diversified — 0.5%
AGCO Corp. (a)		2,500		123,400
Cummins, Inc.		4,400		455,356
Deere & Co.		9,300		766,785
Flowserve Corp.		1,700		186,813
				1,532,354
Manufacturing — 5.9%
3M Co.		15,800		1,498,630
General Electric Co.		515,652		9,725,197
Harsco Corp.		36,065		1,175,719
Honeywell International, Inc.		38,394		2,287,899
Illinois Tool Works, Inc.		6,000		338,940
ITT Corp.		5,000		294,650
Parker Hannifin Corp.		3,600		323,064
Siemens AG Sponsored ADR (Germany)		11,865		1,631,793
Tyco International Ltd.		10,400		514,072
				17,789,964
Media — 5.5%
CBS Corp. Class B		115,267		3,283,957
Comcast Corp. Class A		213,119		5,400,435
DIRECTV Class A (a)		30,244		1,537,000
DISH Network Corp. Class A (a)		9,400		288,298
Gannett Co., Inc.		5,200		74,464
News Corp. Class A		60,800		1,076,160
Time Warner, Inc.		40,800		1,483,896
Viacom, Inc. Class B		64,359		3,282,309
The Washington Post Co. Class B		200		83,790
				16,510,309
Metal Fabricate & Hardware — 0.0%
The Timken Co.		2,000		100,800
Mining — 0.4%
Vulcan Materials Co.		34,402		1,325,509
Office Equipment/Supplies — 0.0%
Pitney Bowes, Inc.		4,300		98,857
Oil & Gas — 9.0%
Chesapeake Energy Corp.		14,400		427,536

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

76

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

	Number of Shares		Value
Chevron Corp.		87,569	$	9,005,596
ConocoPhillips		44,000		3,308,360
Devon Energy Corp.		9,400		740,814
Exxon Mobil Corp.		53,165		4,326,568
Hess Corp.		47,740		3,569,042
Marathon Oil Corp.		15,700		827,076
Murphy Oil Corp.		3,900		256,074
Nabors Industries Ltd. (a)		6,300		155,232
Newfield Exploration Co. (a)		2,900		197,258
Occidental Petroleum Corp.		16,300		1,695,852
Patterson-UTI Energy, Inc.		3,200		101,152
Plains Exploration & Production Co. (a)		3,000		114,360
SM Energy Co.		24,033		1,765,945
Sunoco, Inc.		2,400		100,104
Valero Energy Corp.		12,600		322,182
				26,913,151
Oil & Gas Services — 1.3%
Schlumberger Ltd.		40,979		3,540,586
Tidewater, Inc.		1,100		59,191
Weatherford International Ltd. (a)		16,600		311,250
				3,911,027
Packaging & Containers — 0.3%
Ball Corp.		8,100		311,526
Bemis Co., Inc.		2,300		77,694
Crown Holdings, Inc. (a)		4,100		159,162
Sealed Air Corp.		6,400		152,256
Sonoco Products Co.		2,600		92,404
				793,042
Pharmaceuticals — 6.4%
Abbott Laboratories		25,300		1,331,286
Bristol-Myers Squibb Co.		118,943		3,444,589
Eli Lilly & Co.		23,000		863,190
Endo Pharmaceuticals Holdings, Inc. (a)		4,700		188,799
Forest Laboratories, Inc. (a)		12,800		503,552
Gilead Sciences, Inc. (a)		17,300		716,393
Merck & Co., Inc.		79,043		2,789,428
Omnicare, Inc.		2,500		79,725
Pfizer, Inc.		316,514		6,520,188
Sanofi ADR (France)		67,432		2,708,744
Warner Chilcott PLC Class A		5,400		130,302
				19,276,196
Pipelines — 1.1%
El Paso Corp.		157,830		3,188,166
Retail — 4.5%
Advance Auto Parts, Inc.		1,700		99,433
AutoZone, Inc. (a)		1,000		294,850
Big Lots, Inc. (a)		1,600		53,040
CVS Caremark Corp.		92,661		3,482,200

	Number of Shares		Value
Darden Restaurants, Inc.		3,900	$	194,064
Foot Locker, Inc.		3,300		78,408
GameStop Corp. Class A (a)		3,300		88,011
The Gap, Inc.		74,549		1,349,337
Guess?, Inc.		2,100		88,326
J.C. Penney Co., Inc.		5,000		172,700
Kohl’s Corp.		6,800		340,068
Lowe’s Cos., Inc.		68,328		1,592,726
Macy’s, Inc.		22,700		663,748
Nordstrom, Inc.		4,900		230,006
Ross Stores, Inc.		3,300		264,396
Sears Holdings Corp. (a)		1,300		92,872
Signet Jewelers Ltd. (a)		2,000		93,620
The TJX Cos., Inc.		11,900		625,107
Wal-Mart Stores, Inc.		70,800		3,762,312
				13,565,224
Semiconductors — 2.2%
Analog Devices, Inc.		6,700		262,238
Applied Materials, Inc.		173,223		2,253,631
Intel Corp.		118,600		2,628,176
KLA-Tencor Corp.		3,800		153,824
Lam Research Corp. (a)		2,800		123,984
Texas Instruments, Inc.		26,500		869,995
Xilinx, Inc.		5,900		215,173
				6,507,021
Software — 1.8%
CA, Inc.		21,800		497,912
Dun & Bradstreet Corp.		1,100		83,094
Fidelity National Information Services, Inc.		6,700		206,293
Fiserv, Inc. (a)		3,400		212,942
Microsoft Corp.		62,821		1,633,346
Oracle Corp.		85,523		2,814,562
				5,448,149
Telecommunications — 5.5%
Alcatel-Lucent Sponsored ADR (France) (a)		219,212		1,264,853
AT&T, Inc.		253,490		7,962,121
CenturyLink, Inc.		56,547		2,286,195
Cisco Systems, Inc.		97,724		1,525,472
Corning, Inc.		44,500		807,675
Harris Corp.		3,500		157,710
Telephone & Data Systems, Inc.		1,000		31,080
Vodafone Group PLC Sponsored ADR (United Kingdom)		91,340		2,440,605
				16,475,711
Textiles — 0.1%
Mohawk Industries, Inc. (a)		2,700		161,973
Toys, Games & Hobbies — 0.1%
Mattel, Inc.		8,100		222,669

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

77

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

	Number of Shares		Value
Transportation — 0.9%
Norfolk Southern Corp.		35,364	$	2,649,824
Water — 0.0%
American Water Works Co., Inc.		4,000		117,800
TOTAL COMMON STOCK (Cost $256,309,064)				293,851,935
TOTAL EQUITIES (Cost $256,309,064)				293,851,935
MUTUAL FUNDS — 0.5%
Diversified Financial — 0.5%
iShares Russell 1000 Value Index Fund		22,100		1,508,988
TOTAL MUTUAL FUNDS (Cost $1,536,638)				1,508,988
TOTAL LONG-TERM INVESTMENTS (Cost $257,845,702)				295,360,923
	Principal Amount
SHORT-TERM INVESTMENTS — 1.4%
Repurchase Agreement — 1.4%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (b)	$	4,278,200		4,278,200
TOTAL SHORT-TERM INVESTMENTS (Cost $4,278,200)				4,278,200
TOTAL INVESTMENTS — 99.9% (Cost $262,123,902) (c)				299,639,123
Other Assets/(Liabilities) — 0.1%				364,221
NET ASSETS — 100.0%			$	300,003,344

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $4,278,201. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% - 4.000%, maturity dates ranging from 8/15/39 – 11/15/40, and an aggregate market value, including accrued interest, of $4,365,644.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

78

MassMutual Select Fundamental Value Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.8%
COMMON STOCK — 98.8%
Aerospace & Defense — 1.0%
The Boeing Co.		164,500	$	12,161,485
Agriculture — 1.2%
Philip Morris International, Inc.		215,900		14,415,643
Auto Manufacturers — 1.5%
General Motors Co. (a)		180,700		5,486,052
Paccar, Inc.		224,900		11,490,141
				16,976,193
Automotive & Parts — 0.6%
The Goodyear Tire & Rubber Co. (a)		390,500		6,548,685
Banks — 8.2%
Bank of America Corp.		1,854,000		20,319,840
PNC Financial Services Group, Inc.		381,000		22,711,410
U.S. Bancorp		645,400		16,464,154
Wells Fargo & Co.		1,287,400		36,124,444
				95,619,848
Beverages — 2.1%
Molson Coors Brewing Co. Class B		250,400		11,202,896
PepsiCo, Inc.		187,900		13,233,797
				24,436,693
Biotechnology — 1.1%
Amgen, Inc. (a)		210,400		12,276,840
Chemicals — 4.3%
CF Industries Holdings, Inc.		66,000		9,350,220
The Dow Chemical Co.		438,900		15,800,400
E.I. du Pont de Nemours & Co.		222,300		12,015,315
The Mosaic Co.		196,400		13,302,172
				50,468,107
Computers — 0.9%
Hewlett-Packard Co.		272,700		9,926,280
Diversified Financial — 7.4%
Ameriprise Financial, Inc.		155,900		8,992,312
BlackRock, Inc.		89,200		17,109,452
Credit Suisse Group Sponsored ADR (Switzerland)		267,100		10,422,242
The Goldman Sachs Group, Inc.		113,800		15,145,642
JP Morgan Chase & Co.		859,036		35,168,934
				86,838,582
Electric — 3.1%
Edison International		245,600		9,517,000
Entergy Corp.		149,100		10,180,548
NextEra Energy, Inc.		96,000		5,516,160
Northeast Utilities		297,000		10,445,490
				35,659,198

	Number of Shares		Value
Environmental Controls — 0.7%
Republic Services, Inc.		268,500	$	8,283,225
Foods — 2.5%
General Mills, Inc.		238,300		8,869,526
Kraft Foods, Inc. Class A		407,500		14,356,225
Sysco Corp.		203,500		6,345,130
				29,570,881
Hand & Machine Tools — 1.8%
Stanley Black & Decker, Inc.		290,300		20,916,115
Health Care – Products — 4.0%
Baxter International, Inc.		196,600		11,735,054
Covidien PLC		279,600		14,883,108
Johnson & Johnson		181,800		12,093,336
Zimmer Holdings, Inc. (a)		120,200		7,596,640
				46,308,138
Health Care – Services — 2.7%
HCA Holdings, Inc. (a)		431,160		14,228,280
UnitedHealth Group, Inc.		337,700		17,418,566
				31,646,846
Insurance — 7.7%
ACE Ltd.		362,000		23,826,840
The Chubb Corp.		226,700		14,193,687
Marsh & McLennan Cos., Inc.		600,300		18,723,357
Principal Financial Group, Inc.		339,448		10,326,008
Swiss Re Ltd. (a)		158,674		8,909,901
Unum Group		554,400		14,126,112
				90,105,905
Iron & Steel — 1.6%
Nucor Corp.		140,600		5,795,532
Steel Dynamics, Inc.		777,900		12,640,875
				18,436,407
Machinery – Construction & Mining — 1.7%
Ingersoll-Rand PLC		435,700		19,785,137
Manufacturing — 6.7%
3M Co.		115,600		10,964,660
General Electric Co.		1,344,000		25,347,840
Illinois Tool Works, Inc.		251,700		14,218,533
Textron, Inc.		427,600		10,095,636
Tyco International Ltd.		365,900		18,086,437
				78,713,106
Media — 2.5%
CBS Corp. Class B		212,900		6,065,521
Comcast Corp. Class A		911,150		23,088,541
				29,154,062
Oil & Gas — 11.6%
Apache Corp.		100,000		12,339,000
Chevron Corp.		353,600		36,364,224

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

79

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

	Number of Shares		Value
EOG Resources, Inc.		73,800	$	7,715,790
Exxon Mobil Corp.		199,600		16,243,448
Marathon Oil Corp.		303,800		16,004,184
Occidental Petroleum Corp.		251,800		26,197,272
Royal Dutch Shell PLC B Shares Sponsored ADR (United Kingdom)		157,300		11,286,275
Southwestern Energy Co. (a)		211,400		9,064,832
				135,215,025
Oil & Gas Services — 1.3%
Baker Hughes, Inc.		217,000		15,745,520
Packaging & Containers — 0.6%
Rexam PLC Sponsored ADR (United Kingdom)		211,000		6,646,500
Pharmaceuticals — 6.0%
Abbott Laboratories		187,700		9,876,774
Merck & Co., Inc.		476,600		16,819,214
Pfizer, Inc.		1,424,000		29,334,400
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		287,000		13,839,140
				69,869,528
Retail — 4.8%
CVS Caremark Corp.		364,100		13,682,878
The Home Depot, Inc.		383,200		13,879,504
Kohl’s Corp.		254,900		12,747,549
Nordstrom, Inc.		213,100		10,002,914
Staples, Inc.		374,800		5,921,840
				56,234,685
Semiconductors — 4.7%
Analog Devices, Inc.		323,800		12,673,532
Intel Corp.		755,100		16,733,016
Maxim Integrated Products, Inc.		335,600		8,577,936
Xilinx, Inc.		450,000		16,411,500
				54,395,984
Software — 1.3%
Microsoft Corp.		583,400		15,168,400
Telecommunications — 4.2%
AT&T, Inc.		1,135,656		35,670,955
Cisco Systems, Inc.		590,600		9,219,266
Nokia Corp. Sponsored ADR (Finland)		626,000		4,018,920
				48,909,141

	Number of Shares		Value
Toys, Games & Hobbies — 1.0%
Mattel, Inc.		436,000	$	11,985,640
TOTAL COMMON STOCK (Cost $963,084,416)				1,152,417,799
TOTAL EQUITIES (Cost $963,084,416)				1,152,417,799
TOTAL LONG-TERM INVESTMENTS (Cost $963,084,416)				1,152,417,799
	Principal Amount
SHORT-TERM INVESTMENTS — 1.6%
Repurchase Agreement — 1.6%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (b)	$	19,353,329		19,353,329
TOTAL SHORT-TERM INVESTMENTS (Cost $19,353,329)				19,353,329
TOTAL INVESTMENTS — 100.4% (Cost $982,437,745) (c)				1,171,771,128
Other Assets/(Liabilities) — (0.4)%				(4,906,525	)
NET ASSETS — 100.0%			$	1,166,864,603

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $19,353,334. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 11/15/40, and an aggregate market value, including accrued interest, of $19,742,911.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

80

MassMutual Select Value Equity Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.7%
COMMON STOCK — 99.7%
Advertising — 0.5%
The Interpublic Group of Companies, Inc.		11,610	$	145,125
Aerospace & Defense — 2.1%
The Boeing Co.		4,420		326,770
United Technologies Corp.		3,670		324,832
				651,602
Auto Manufacturers — 1.7%
Ford Motor Co. (a)		18,300		252,357
Navistar International Corp. (a)		5,100		287,946
				540,303
Automotive & Parts — 0.7%
Tenneco, Inc. (a)		4,850		213,740
Banks — 5.4%
Bank of America Corp.		15,930		174,593
Comerica, Inc.		6,600		228,162
Regions Financial Corp.		38,200		236,840
Wells Fargo & Co.		36,370		1,020,542
				1,660,137
Beverages — 0.6%
Dr. Pepper Snapple Group, Inc.		4,370		183,234
Biotechnology — 1.6%
Biogen Idec, Inc. (a)		4,500		481,140
Chemicals — 1.5%
Ashland, Inc.		7,040		454,925
Coal — 0.7%
Alpha Natural Resources, Inc. (a)		4,780		217,203
Commercial Services — 1.6%
McKesson Corp.		3,540		296,121
Visa, Inc. Class A		2,520		212,335
				508,456
Computers — 4.9%
Apple, Inc. (a)		920		308,816
Dell, Inc. (a)		9,970		166,200
Hewlett-Packard Co.		15,050		547,820
SanDisk Corp. (a)		6,100		253,150
Western Digital Corp. (a)		6,070		220,827
				1,496,813
Cosmetics & Personal Care — 2.9%
The Procter & Gamble Co.		14,130		898,244
Distribution & Wholesale — 0.7%
WESCO International, Inc. (a)		3,890		210,410

	Number of Shares		Value
Diversified Financial — 12.9%
Citigroup, Inc.		16,352	$	680,897
CME Group, Inc.		990		288,674
The Goldman Sachs Group, Inc.		3,830		509,735
Interactive Brokers Group, Inc. Class A		11,480		179,662
Invesco Ltd.		13,800		322,920
JP Morgan Chase & Co.		27,360		1,120,118
MF Global (Holdings) Ltd. (a)		31,380		242,881
Morgan Stanley		15,070		346,761
TD Ameritrade Holding Corp.		14,480		282,505
				3,974,153
Electric — 5.0%
American Electric Power Co., Inc.		10,520		396,393
GenOn Energy, Inc. (a)		43,830		169,184
NRG Energy, Inc. (a)		10,070		247,521
PG&E Corp.		7,200		302,616
PPL Corp.		14,870		413,832
				1,529,546
Electronics — 0.4%
Garmin Ltd.		4,020		132,781
Engineering & Construction — 1.0%
EMCOR Group, Inc. (a)		2,830		82,947
Foster Wheeler AG (a)		7,930		240,914
				323,861
Entertainment — 0.7%
DreamWorks Animation SKG, Inc. Class A (a)		11,090		222,909
Health Care – Services — 2.3%
Thermo Fisher Scientific, Inc. (a)		6,300		405,657
WellPoint, Inc.		3,880		305,628
				711,285
Insurance — 5.5%
Berkshire Hathaway, Inc. Class B (a)		11,920		922,489
Genworth Financial, Inc. Class A (a)		13,770		141,555
Lincoln National Corp.		6,470		184,330
Prudential Financial, Inc.		6,930		440,679
				1,689,053
Internet — 1.2%
Google, Inc. Class A (a)		720		364,594
Lodging — 1.0%
Wyndham Worldwide Corp.		9,350		314,627
Machinery – Construction & Mining — 0.4%
Joy Global, Inc.		1,300		123,812

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

81

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

	Number of Shares		Value
Machinery – Diversified — 2.5%
Cummins, Inc.		3,970	$	410,855
Flowserve Corp.		3,220		353,846
				764,701
Manufacturing — 0.8%
General Electric Co.		13,550		255,553
Media — 2.1%
The Walt Disney Co.		16,500		644,160
Metal Fabricate & Hardware — 0.9%
Precision Castparts Corp.		1,700		279,905
Mining — 0.7%
Freeport-McMoRan Copper & Gold, Inc.		4,020		212,658
Oil & Gas — 12.5%
Chevron Corp.		13,260		1,363,658
Denbury Resources, Inc. (a)		13,110		262,200
Ensco PLC Sponsored ADR (United Kingdom)		3,200		170,560
Hess Corp.		5,110		382,024
Marathon Oil Corp.		10,950		576,846
Occidental Petroleum Corp.		5,100		530,604
Rowan Companies, Inc. (a)		4,180		162,226
Valero Energy Corp.		16,390		419,092
				3,867,210
Oil & Gas Services — 0.7%
Oil States International, Inc. (a)		2,650		211,762
Pharmaceuticals — 8.4%
Express Scripts, Inc. (a)		4,730		255,325
Hospira, Inc. (a)		3,930		222,674
Mead Johnson Nutrition Co.		2,700		182,385
Merck & Co., Inc.		8,310		293,260
Pfizer, Inc.		55,140		1,135,884
Roche Holding AG Sponsored ADR (Switzerland)		11,800		495,128
				2,584,656
Real Estate Investment Trusts (REITS) — 1.2%
Boston Properties, Inc.		2,140		227,182
Douglas Emmett, Inc.		6,810		135,451
				362,633
Retail — 4.8%
Best Buy Co., Inc.		10,250		321,953
CVS Caremark Corp.		15,600		586,248
Target Corp.		5,740		269,263
The TJX Cos., Inc.		5,630		295,744
				1,473,208
Semiconductors — 0.6%
Broadcom Corp. Class A (a)		5,630		189,393

	Number of Shares		Value
Software — 1.0%
Microsoft Corp.		12,250	$	318,500
Telecommunications — 7.5%
American Tower Corp. Class A (a)		5,800		303,514
AT&T, Inc.		9,540		299,651
CenturyLink, Inc.		21,861		883,840
NII Holdings, Inc. (a)		12,380		524,665
Qualcomm, Inc.		5,490		311,777
				2,323,447
Toys, Games & Hobbies — 0.7%
Hasbro, Inc.		5,200		228,436
TOTAL COMMON STOCK (Cost $27,869,410)				30,764,175
TOTAL EQUITIES (Cost $27,869,410)				30,764,175
TOTAL LONG-TERM INVESTMENTS (Cost $27,869,410)				30,764,175
	Principal Amount
SHORT-TERM INVESTMENTS — 0.4%
Repurchase Agreement — 0.4%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (b)	$	106,286		106,286
TOTAL SHORT-TERM INVESTMENTS (Cost $106,286)				106,286
TOTAL INVESTMENTS — 100.1% (Cost $27,975,696) (c)				30,870,461
Other Assets/(Liabilities) — (0.1)%				(21,171	)
NET ASSETS — 100.0%			$	30,849,290

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $106,286. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 11/25/40, and an aggregate market value, including accrued interest, of $113,141.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

82

MassMutual Select Large Cap Value Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.6%
COMMON STOCK — 96.6%
Aerospace & Defense — 0.8%
Lockheed Martin Corp.		62,160	$	5,033,095
Agriculture — 1.2%
Philip Morris International, Inc.		112,600		7,518,302
Banks — 10.0%
Bank of New York Mellon Corp.		923,100		23,649,822
GAM Holding Ltd. (a)		42,960		704,915
Julius Baer Group Ltd. (a)		312,300		12,890,640
Wells Fargo & Co.		1,000,776		28,081,774
				65,327,151
Beverages — 4.2%
The Coca-Cola Co.		131,200		8,828,448
Diageo PLC Sponsored ADR (United Kingdom)		117,100		9,586,977
Heineken Holding NV Class A		175,564		8,984,163
				27,399,588
Building Materials — 0.8%
Martin Marietta Materials, Inc.		69,000		5,517,930
Chemicals — 2.3%
Air Products & Chemicals, Inc.		36,810		3,518,300
Monsanto Co.		101,650		7,373,691
Potash Corp. of Saskatchewan, Inc.		42,360		2,414,096
Praxair, Inc.		14,800		1,604,172
				14,910,259
Coal — 0.8%
China Coal Energy Co. Class H		3,672,200		4,978,154
Commercial Services — 2.7%
Iron Mountain, Inc.		456,016		15,545,585
PortX Operacoes Portuarias SA (a)		92,600		203,516
Visa, Inc. Class A		25,210		2,124,195
				17,873,296
Computers — 0.7%
Hewlett-Packard Co.		125,300		4,560,920
Cosmetics & Personal Care — 0.4%
Natura Cosmeticos SA		48,000		1,199,500
The Procter & Gamble Co.		25,730		1,635,656
				2,835,156
Diversified Financial — 6.7%
American Express Co.		634,764		32,817,299
Ameriprise Financial, Inc.		122,660		7,075,029
The Charles Schwab Corp.		22,100		363,545
The Goldman Sachs Group, Inc.		24,270		3,230,094
JP Morgan Chase & Co.		16,588		679,113
				44,165,080

	Number of Shares		Value
Electronics — 0.5%
Agilent Technologies, Inc. (a)		65,860	$	3,366,105
Foods — 1.4%
Kraft Foods, Inc. Class A		158,200		5,573,386
Nestle SA		13,320		827,828
Unilever NV NY Shares		83,900		2,756,115
				9,157,329
Forest Products & Paper — 0.2%
Sino-Forest Corp. (a)		422,320		1,401,238
Sino-Forest Corp. (a) (b) (c)		12,800		42,470
				1,443,708
Health Care – Products — 4.5%
Baxter International, Inc.		78,000		4,655,820
Becton, Dickinson & Co.		82,800		7,134,876
Johnson & Johnson		266,100		17,700,972
				29,491,668
Holding Company – Diversified — 1.3%
China Merchants Holdings International Co. Ltd.		2,200,764		8,558,504
Housewares — 0.3%
Hunter Douglas NV		36,548		1,789,305
Insurance — 9.8%
ACE Ltd.		54,240		3,570,077
Aon Corp.		17,420		893,646
Berkshire Hathaway, Inc. Class A (a)		77		8,940,085
Everest Re Group Ltd.		9,660		789,705
Fairfax Financial Holdings Ltd.		7,380		2,960,413
Fairfax Financial Holdings Ltd. (Subordinate Voting Shares)		3,440		1,376,785
Loews Corp.		510,600		21,491,154
Markel Corp. (a)		1,910		757,907
The Progressive Corp.		785,800		16,800,404
Transatlantic Holdings, Inc.		137,734		6,750,343
				64,330,519
Internet — 2.8%
Expedia, Inc.		97,380		2,823,046
Google, Inc. Class A (a)		25,700		13,013,966
Liberty Media Corp. - Interactive Class A (a)		154,300		2,587,611
				18,424,623
Leisure Time — 1.2%
Harley-Davidson, Inc.		189,700		7,772,009
Machinery – Construction & Mining — 1.4%
BHP Billiton PLC		116,900		4,581,951
Rio Tinto PLC		64,187		4,634,901
				9,216,852

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

83

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

	Number of Shares		Value
Media — 0.9%
Grupo Televisa SA Sponsored ADR (Mexico)		68,550	$	1,686,330
Liberty Media Corp. - Starz Series A (a)		12,350		929,214
The Walt Disney Co.		82,090		3,204,794
				5,820,338
Oil & Gas — 13.6%
Canadian Natural Resources Ltd.		439,200		18,384,912
Devon Energy Corp.		255,400		20,128,074
EOG Resources, Inc.		245,650		25,682,707
Occidental Petroleum Corp.		199,200		20,724,768
OGX Petroleo e Gas Participacoes SA (a)		430,000		4,019,928
				88,940,389
Oil & Gas Services — 0.9%
Schlumberger Ltd.		17,200		1,486,080
Transocean Ltd.		71,515		4,617,008
				6,103,088
Packaging & Containers — 1.9%
Sealed Air Corp.		523,772		12,460,536
Pharmaceuticals — 6.9%
Express Scripts, Inc. (a)		209,200		11,292,616
Merck & Co., Inc.		566,912		20,006,324
Pfizer, Inc.		328,230		6,761,538
Roche Holding AG		41,700		6,976,370
				45,036,848
Real Estate — 1.7%
Brookfield Asset Management, Inc. Class A		153,400		5,088,278
Hang Lung Properties Ltd.		980,000		6,258,761
				11,347,039
Retail — 11.8%
Bed Bath & Beyond, Inc. (a)		223,600		13,051,532
CarMax, Inc. (a)		121,700		4,024,619
Costco Wholesale Corp.		404,100		32,829,084
CVS Caremark Corp.		738,061		27,736,332
				77,641,567
Semiconductors — 2.0%
Intel Corp.		69,180		1,533,029
Texas Instruments, Inc.		344,300		11,303,369
				12,836,398
Software — 1.3%
Activision Blizzard, Inc.		315,600		3,686,208
Dun & Bradstreet Corp.		1,050		79,317
Microsoft Corp.		191,600		4,981,600
				8,747,125

	Number of Shares		Value
Telecommunications — 0.3%
America Movil SAB de CV Series L ADR (Mexico)		41,600	$	2,241,408
Transportation — 1.3%
China Shipping Development Co. Ltd. Class H		1,719,000		1,582,872
Kuehne & Nagel International AG		44,350		6,731,290
LLX Logistica SA (a)		92,600		284,804
				8,598,966
TOTAL COMMON STOCK (Cost $457,332,889)				633,443,255
TOTAL EQUITIES (Cost $457,332,889)				633,443,255
	Principal Amount
BONDS & NOTES — 0.1%
CORPORATE DEBT — 0.1%
Forest Products & Paper — 0.1%
Sino-Forest Corp., Convertible (Acquired 07/23/08, Cost $1,565,682) (b) (d) 5.000% 8/01/13	$	1,604,000		753,880
TOTAL CORPORATE DEBT (Cost $1,565,682)				753,880
TOTAL BONDS & NOTES (Cost $1,565,682)				753,880
TOTAL LONG-TERM INVESTMENTS (Cost $458,898,571)				634,197,135
SHORT-TERM INVESTMENTS — 3.2%
Repurchase Agreement — 3.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (e)		20,909,704		20,909,704
TOTAL SHORT-TERM INVESTMENTS (Cost $20,909,704)				20,909,704
TOTAL INVESTMENTS — 99.9% (Cost $479,808,275) (f)				655,106,839
Other Assets/(Liabilities) — 0.1%				664,122
NET ASSETS — 100.0%			$	655,770,961

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

84

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

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2011, these securities amounted to a value of $796,350 or 0.12% of net assets.

(c) This security is valued in good faith under procedures established by the Board of Trustees.

(d) Restricted security. Certain securities are restricted as to resale. At June 30, 2011, these securities amounted to a value of $753,880 or 0.11% of net assets. The Funds generally bear the costs, if any, associated with the disposition of restricted securities.

(e) Maturity value of $20,909,710. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 11/15/40, and an aggregate market value, including accrued interest, of $21,330,437.

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

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

85

MassMutual Select Indexed Equity Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.5%
COMMON STOCK — 97.5%
Advertising — 0.2%
The Interpublic Group of Companies, Inc.		88,170	$	1,102,125
Omnicom Group, Inc.		48,341		2,328,103
				3,430,228
Aerospace & Defense — 2.1%
The Boeing Co.		128,042		9,466,145
General Dynamics Corp.		64,798		4,828,747
Goodrich Corp.		21,071		2,012,281
L-3 Communications Holdings, Inc.		18,220		1,593,339
Lockheed Martin Corp.		49,151		3,979,756
Northrop Grumman Corp.		50,608		3,509,665
Raytheon Co.		61,605		3,071,009
Rockwell Collins, Inc.		26,452		1,631,824
United Technologies Corp.		157,648		13,953,424
				44,046,190
Agriculture — 1.8%
Altria Group, Inc.		362,606		9,576,424
Archer-Daniels-Midland Co.		117,407		3,539,821
Lorillard, Inc.		24,449		2,661,763
Philip Morris International, Inc.		307,160		20,509,073
Reynolds American, Inc.		59,598		2,208,106
				38,495,187
Airlines — 0.1%
Southwest Airlines Co.		133,318		1,522,492
Apparel — 0.4%
Nike, Inc. Class B		65,241		5,870,385
VF Corp.		15,644		1,698,313
				��
				7,568,698
Auto Manufacturers — 0.6%
Ford Motor Co. (a)		660,683		9,110,819
Paccar, Inc.		63,792		3,259,133
				12,369,952
Automotive & Parts — 0.3%
The Goodyear Tire & Rubber Co. (a)		40,793		684,098
Johnson Controls, Inc.		117,251		4,884,677
				5,568,775
Banks — 4.2%
Bank of America Corp.		1,754,601		19,230,427
Bank of New York Mellon Corp.		214,518		5,495,951
BB&T Corp.		119,923		3,218,733
Capital One Financial Corp.		79,712		4,118,719
Comerica, Inc.		31,977		1,105,445
Fifth Third Bancorp		156,204		1,991,601
First Horizon National Corp.		49,320		470,513
Huntington Bancshares, Inc.		146,977		964,169
KeyCorp		159,582		1,329,318

	Number of Shares		Value
M&T Bank Corp.		21,711	$	1,909,482
Marshall & Ilsley Corp.		89,611		714,200
Northern Trust Corp.		40,393		1,856,462
PNC Financial Services Group, Inc.		91,103		5,430,650
Regions Financial Corp.		216,244		1,340,713
State Street Corp.		87,461		3,943,617
SunTrust Banks, Inc.		93,626		2,415,551
U.S. Bancorp		331,376		8,453,402
Wells Fargo & Co.		914,858		25,670,915
Zions Bancorp		33,508		804,527
				90,464,395
Beverages — 2.4%
Brown-Forman Corp. Class B		18,072		1,349,798
The Coca-Cola Co.		394,780		26,564,746
Coca-Cola Enterprises, Inc.		54,933		1,602,945
Constellation Brands, Inc. Class A (a)		32,641		679,586
Dr. Pepper Snapple Group, Inc.		38,364		1,608,602
Molson Coors Brewing Co. Class B		27,516		1,231,066
PepsiCo, Inc.		273,098		19,234,292
				52,271,035
Biotechnology — 1.0%
Amgen, Inc. (a)		161,113		9,400,944
Biogen Idec, Inc. (a)		41,557		4,443,274
Celgene Corp. (a)		80,875		4,878,380
Life Technologies Corp. (a)		31,602		1,645,516
				20,368,114
Building Materials — 0.0%
Masco Corp.		60,857		732,110
Chemicals — 2.1%
Air Products & Chemicals, Inc.		36,856		3,522,697
Airgas, Inc.		12,218		855,749
CF Industries Holdings, Inc.		12,521		1,773,850
The Dow Chemical Co.		202,017		7,272,612
E.I. du Pont de Nemours & Co.		159,427		8,617,029
Eastman Chemical Co.		12,159		1,241,069
Ecolab, Inc.		41,179		2,321,672
FMC Corp.		12,224		1,051,509
International Flavors & Fragrances, Inc.		13,318		855,548
Monsanto Co.		92,758		6,728,665
PPG Industries, Inc.		27,303		2,478,839
Praxair, Inc.		52,695		5,711,611
The Sherwin-Williams Co.		15,362		1,288,411
Sigma-Aldrich Corp.		21,909		1,607,683
				45,326,944
Coal — 0.3%
Alpha Natural Resources, Inc. (a)		39,047		1,774,296
CONSOL Energy, Inc.		39,107		1,895,907
Peabody Energy Corp.		46,287		2,726,767
				6,396,970

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

86

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

	Number of Shares		Value
Commercial Services — 1.6%
Apollo Group, Inc. Class A (a)		20,527	$	896,619
Automatic Data Processing, Inc.		85,509		4,504,614
DeVry, Inc.		10,305		609,335
Donnelley (R.R.) & Sons Co.		33,811		663,034
Equifax, Inc.		21,165		734,849
H&R Block, Inc.		55,463		889,627
Iron Mountain, Inc.		34,916		1,190,286
MasterCard, Inc. Class A		16,418		4,947,400
McKesson Corp.		43,833		3,666,630
Monster Worldwide, Inc. (a)		21,336		312,786
Moody’s Corp.		33,543		1,286,374
Paychex, Inc.		56,858		1,746,678
Quanta Services, Inc. (a)		39,411		796,102
Robert Half International, Inc.		25,374		685,859
SAIC, Inc. (a)		50,652		851,967
Total System Services, Inc.		25,992		482,931
Visa, Inc. Class A		82,884		6,983,806
Western Union Co.		109,196		2,187,196
				33,436,093
Computers — 6.1%
Apple, Inc. (a)		159,790		53,636,709
Cognizant Technology Solutions Corp. Class A (a)		52,884		3,878,512
Computer Sciences Corp.		27,628		1,048,759
Dell, Inc. (a)		283,779		4,730,596
EMC Corp. (a)		357,235		9,841,824
Hewlett-Packard Co.		358,293		13,041,865
International Business Machines Corp.		208,914		35,839,197
Lexmark International, Inc. Class A (a)		12,961		379,239
NetApp, Inc. (a)		63,692		3,361,664
SanDisk Corp. (a)		40,180		1,667,470
Teradata Corp. (a)		29,887		1,799,197
Western Digital Corp. (a)		39,270		1,428,643
				130,653,675
Cosmetics & Personal Care — 2.0%
Avon Products, Inc.		75,715		2,120,020
Colgate-Palmolive Co.		84,797		7,412,106
The Estee Lauder Cos., Inc. Class A		19,495		2,050,679
The Procter & Gamble Co.		481,935		30,636,608
				42,219,413
Distribution & Wholesale — 0.2%
Fastenal Co.		50,506		1,817,711
Genuine Parts Co.		26,629		1,448,618
W.W. Grainger, Inc.		9,844		1,512,530
				4,778,859
Diversified Financial — 5.0%
American Express Co.		180,626		9,338,364
Ameriprise Financial, Inc.		42,527		2,452,957

	Number of Shares		Value
BlackRock, Inc.		16,469	$	3,158,919
The Charles Schwab Corp.		170,774		2,809,232
Citigroup, Inc.		505,211		21,036,986
CME Group, Inc.		11,521		3,359,408
Discover Financial Services		95,621		2,557,862
E*TRADE Financial Corp. (a)		44,129		608,980
Federated Investors, Inc. Class B		14,852		354,072
Franklin Resources, Inc.		24,692		3,241,813
The Goldman Sachs Group, Inc.		89,726		11,941,633
IntercontinentalExchange, Inc. (a)		13,004		1,621,729
Invesco Ltd.		81,660		1,910,844
Janus Capital Group, Inc.		31,664		298,908
JP Morgan Chase & Co.		686,375		28,100,193
Legg Mason, Inc.		26,737		875,904
Morgan Stanley		266,725		6,137,342
The NASDAQ OMX Group, Inc. (a)		25,428		643,329
NYSE Euronext		45,019		1,542,801
SLM Corp.		89,685		1,507,605
T. Rowe Price Group, Inc.		44,282		2,671,976
				106,170,857
Electric — 3.1%
The AES Corp. (a)		110,450		1,407,133
Ameren Corp.		41,211		1,188,525
American Electric Power Co., Inc.		83,969		3,163,952
CenterPoint Energy, Inc.		71,698		1,387,356
CMS Energy Corp.		43,692		860,295
Consolidated Edison, Inc.		50,980		2,714,175
Constellation Energy Group, Inc.		35,849		1,360,828
Dominion Resources, Inc.		99,483		4,802,044
DTE Energy Co.		29,304		1,465,786
Duke Energy Corp.		227,856		4,290,529
Edison International		57,278		2,219,523
Entergy Corp.		30,016		2,049,493
Exelon Corp.		113,701		4,870,951
FirstEnergy Corp.		72,525		3,201,979
Integrys Energy Group, Inc.		12,932		670,395
NextEra Energy, Inc.		73,531		4,225,091
Northeast Utilities		30,287		1,065,194
NRG Energy, Inc. (a)		40,251		989,370
Pepco Holdings, Inc.		41,451		813,683
PG&E Corp.		68,751		2,889,605
Pinnacle West Capital Corp.		19,307		860,706
PPL Corp.		100,945		2,809,299
Progress Energy, Inc.		50,348		2,417,208
Public Service Enterprise Group, Inc.		87,756		2,864,356
SCANA Corp.		20,895		822,636
The Southern Co.		146,529		5,916,841
TECO Energy, Inc.		37,269		704,011
Wisconsin Energy Corp.		39,812		1,248,106
Xcel Energy, Inc.		82,881		2,014,008
				65,293,078

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

87

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

	Number of Shares		Value
Electrical Components & Equipment — 0.4%
Emerson Electric Co.		130,212	$	7,324,425
Molex, Inc.		23,184		597,452
				7,921,877
Electronics — 0.4%
Agilent Technologies, Inc. (a)		60,621		3,098,339
Amphenol Corp. Class A		30,704		1,657,709
FLIR Systems, Inc.		28,779		970,140
Jabil Circuit, Inc.		31,415		634,583
PerkinElmer, Inc.		20,079		540,326
Waters Corp. (a)		15,357		1,470,279
				8,371,376
Energy – Alternate Sources — 0.1%
First Solar, Inc. (a)		9,258		1,224,556
Engineering & Construction — 0.1%
Fluor Corp.		30,114		1,947,171
Jacobs Engineering Group, Inc. (a)		22,818		986,879
				2,934,050
Entertainment — 0.0%
International Game Technology		49,360		867,749
Environmental Controls — 0.3%
Republic Services, Inc.		51,149		1,577,947
Stericycle, Inc. (a)		14,369		1,280,565
Waste Management, Inc.		82,660		3,080,738
				5,939,250
Foods — 1.9%
Campbell Soup Co.		31,248		1,079,618
ConAgra Foods, Inc.		70,448		1,818,263
Dean Foods Co. (a)		30,209		370,664
General Mills, Inc.		109,206		4,064,647
H.J. Heinz Co.		54,967		2,928,642
The Hershey Co.		27,368		1,555,871
Hormel Foods Corp.		24,032		716,394
The J.M. Smucker Co.		19,894		1,520,697
Kellogg Co.		43,566		2,410,071
Kraft Foods, Inc. Class A		304,639		10,732,432
The Kroger Co.		103,737		2,572,678
McCormick & Co., Inc.		22,621		1,121,323
Safeway, Inc.		61,138		1,428,795
Sara Lee Corp.		99,199		1,883,789
SUPERVALU, Inc.		36,009		338,845
Sysco Corp.		102,104		3,183,603
Tyson Foods, Inc. Class A		53,279		1,034,678
Whole Foods Market, Inc.		25,306		1,605,666
				40,366,676
Forest Products & Paper — 0.3%
International Paper Co.		76,722		2,287,850
MeadWestvaco Corp.		30,419		1,013,257
Plum Creek Timber Co., Inc.		27,433		1,112,134
Weyerhaeuser Co.		93,416		2,042,073
				6,455,314

	Number of Shares		Value
Gas — 0.2%
Nicor, Inc.		7,862	$	430,366
NiSource, Inc.		46,359		938,770
Sempra Energy		41,667		2,203,351
				3,572,487
Hand & Machine Tools — 0.1%
Snap-on, Inc.		10,043		627,487
Stanley Black & Decker, Inc.		29,479		2,123,962
				2,751,449
Health Care – Products — 3.3%
Baxter International, Inc.		99,189		5,920,591
Becton, Dickinson & Co.		38,032		3,277,217
Boston Scientific Corp. (a)		268,412		1,854,727
C.R. Bard, Inc.		14,474		1,590,114
CareFusion Corp. (a)		37,999		1,032,433
Covidien PLC		85,360		4,543,713
Edwards Lifesciences Corp. (a)		19,784		1,724,769
Intuitive Surgical, Inc. (a)		6,780		2,522,906
Johnson & Johnson		473,248		31,480,457
Medtronic, Inc.		184,994		7,127,819
St. Jude Medical, Inc.		57,428		2,738,167
Stryker Corp.		58,128		3,411,532
Varian Medical Systems, Inc. (a)		20,923		1,465,028
Zimmer Holdings, Inc. (a)		32,584		2,059,309
				70,748,782
Health Care – Services — 1.5%
Aetna, Inc.		65,522		2,888,865
CIGNA Corp.		47,202		2,427,599
Coventry Health Care, Inc. (a)		24,743		902,377
DaVita, Inc. (a)		16,414		1,421,617
Humana, Inc.		29,895		2,407,743
Laboratory Corporation of America Holdings (a)		17,425		1,686,566
Quest Diagnostics, Inc.		26,899		1,589,731
Tenet Healthcare Corp. (a)		79,274		494,670
Thermo Fisher Scientific, Inc. (a)		65,758		4,234,158
UnitedHealth Group, Inc.		187,018		9,646,388
WellPoint, Inc.		63,186		4,977,161
				32,676,875
Holding Company – Diversified — 0.1%
Leucadia National Corp.		34,787		1,186,237
Home Builders — 0.1%
D.R. Horton, Inc.		45,970		529,574
Lennar Corp. Class A		27,503		499,180
Pulte Group, Inc. (a)		53,055		406,401
				1,435,155
Home Furnishing — 0.1%
Harman International Industries, Inc.		11,461		522,278
Whirlpool Corp.		13,782		1,120,752
				1,643,030

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

88

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

	Number of Shares		Value
Household Products — 0.4%
Avery Dennison Corp.		18,538	$	716,123
The Clorox Co.		23,419		1,579,377
Fortune Brands, Inc.		27,018		1,722,938
Kimberly-Clark Corp.		66,977		4,457,989
				8,476,427
Housewares — 0.0%
Newell Rubbermaid, Inc.		52,440		827,503
Insurance — 3.7%
ACE Ltd.		57,994		3,817,165
Aflac, Inc.		81,981		3,826,873
The Allstate Corp.		90,395		2,759,759
American International Group, Inc. (a)		75,108		2,202,167
Aon Corp.		58,031		2,976,990
Assurant, Inc.		17,112		620,652
Berkshire Hathaway, Inc. Class B (a)		299,502		23,178,460
The Chubb Corp.		50,299		3,149,220
Cincinnati Financial Corp.		27,466		801,458
Genworth Financial, Inc. Class A (a)		80,890		831,549
The Hartford Financial Services Group, Inc.		75,871		2,000,718
Lincoln National Corp.		54,541		1,553,873
Loews Corp.		52,549		2,211,788
Marsh & McLennan Cos., Inc.		93,105		2,903,945
MetLife, Inc.		182,414		8,002,502
Principal Financial Group, Inc.		56,783		1,727,339
The Progressive Corp.		114,161		2,440,762
Prudential Financial, Inc.		84,240		5,356,822
Torchmark Corp.		12,400		795,336
The Travelers Cos., Inc.		72,229		4,216,729
Unum Group		55,519		1,414,624
XL Group PLC		52,851		1,161,665
				77,950,396
Internet — 2.7%
Akamai Technologies, Inc. (a)		31,325		985,798
Amazon.com, Inc. (a)		61,490		12,574,090
eBay, Inc. (a)		196,783		6,350,187
Expedia, Inc.		35,309		1,023,608
F5 Networks, Inc. (a)		13,781		1,519,355
Google, Inc. Class A (a)		43,431		21,992,590
Netflix, Inc. (a)		7,391		1,941,542
Priceline.com, Inc. (a)		8,651		4,428,706
Symantec Corp. (a)		128,723		2,538,418
VeriSign, Inc.		29,311		980,746
Yahoo!, Inc. (a)		226,728		3,409,989
				57,745,029
Iron & Steel — 0.3%
AK Steel Holding Corp.		17,897		282,057
Allegheny Technologies, Inc.		18,923		1,201,043
Cliffs Natural Resources, Inc.		24,887		2,300,803

	Number of Shares		Value
Nucor Corp.		54,977	$	2,266,152
United States Steel Corp.		24,809		1,142,206
				7,192,261
Leisure Time — 0.2%
Carnival Corp.		73,562		2,768,138
Harley-Davidson, Inc.		41,908		1,716,971
				4,485,109
Lodging — 0.3%
Marriott International, Inc. Class A		48,353		1,716,048
Starwood Hotels & Resorts Worldwide, Inc.		33,516		1,878,237
Wyndham Worldwide Corp.		29,437		990,555
Wynn Resorts Ltd.		13,556		1,945,828
				6,530,668
Machinery – Construction & Mining — 0.8%
Caterpillar, Inc.		111,490		11,869,226
Ingersoll-Rand PLC		57,432		2,607,987
Joy Global, Inc.		17,576		1,673,938
				16,151,151
Machinery – Diversified — 0.8%
Cummins, Inc.		33,655		3,482,956
Deere & Co.		73,154		6,031,547
Eaton Corp.		59,944		3,084,119
Flowserve Corp.		9,295		1,021,428
Rockwell Automation, Inc.		24,868		2,157,548
Roper Industries, Inc.		16,428		1,368,452
				17,146,050
Manufacturing — 3.6%
3M Co.		122,325		11,602,526
Danaher Corp.		93,908		4,976,185
Dover Corp.		32,685		2,216,043
General Electric Co.		1,830,911		34,530,982
Honeywell International, Inc.		135,178		8,055,257
Illinois Tool Works, Inc.		85,771		4,845,204
ITT Corp.		32,485		1,914,341
Leggett & Platt, Inc.		24,917		607,476
Pall Corp.		19,720		1,108,856
Parker Hannifin Corp.		28,307		2,540,270
Textron, Inc.		49,561		1,170,135
Tyco International Ltd.		81,956		4,051,085
				77,618,360
Media — 3.1%
Cablevision Systems Corp. Class A		40,906		1,481,206
CBS Corp. Class B		114,033		3,248,800
Comcast Corp. Class A		479,599		12,153,039
DIRECTV Class A (a)		132,009		6,708,698
Discovery Communications, Inc. Series A (a)		49,292		2,019,000
Gannett Co., Inc.		39,373		563,821
The McGraw-Hill Cos., Inc.		52,525		2,201,323

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

89

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

	Number of Shares		Value
News Corp. Class A		397,227	$	7,030,918
Scripps Networks Interactive Class A		15,189		742,438
Time Warner Cable, Inc.		58,547		4,569,008
Time Warner, Inc.		184,489		6,709,865
Viacom, Inc. Class B		101,945		5,199,195
The Walt Disney Co.		325,807		12,719,505
The Washington Post Co. Class B		783		328,038
				65,674,854
Metal Fabricate & Hardware — 0.2%
Precision Castparts Corp.		24,823		4,087,107
Mining — 0.8%
Alcoa, Inc.		184,799		2,930,912
Freeport-McMoRan Copper & Gold, Inc.		163,087		8,627,302
Newmont Mining Corp.		85,534		4,616,270
Titanium Metals Corp.		13,316		243,949
Vulcan Materials Co.		22,048		849,510
				17,267,943
Office Equipment/Supplies — 0.2%
Pitney Bowes, Inc.		34,507		793,316
Xerox Corp.		246,277		2,563,743
				3,357,059
Oil & Gas — 9.6%
Anadarko Petroleum Corp.		86,414		6,633,139
Apache Corp.		66,269		8,176,932
Cabot Oil & Gas Corp.		17,276		1,145,572
Chesapeake Energy Corp.		113,368		3,365,896
Chevron Corp.		347,053		35,690,930
ConocoPhillips		244,096		18,353,578
Denbury Resources, Inc. (a)		70,651		1,413,020
Devon Energy Corp.		73,899		5,823,980
Diamond Offshore Drilling, Inc.		11,619		818,094
EOG Resources, Inc.		46,151		4,825,087
EQT Corp.		26,821		1,408,639
Exxon Mobil Corp.		851,219		69,272,202
Helmerich & Payne, Inc.		19,047		1,259,388
Hess Corp.		53,007		3,962,803
Marathon Oil Corp.		122,773		6,467,682
Murphy Oil Corp.		33,474		2,197,903
Nabors Industries Ltd. (a)		51,297		1,263,958
Newfield Exploration Co. (a)		22,816		1,551,944
Noble Corp.		43,560		1,716,700
Noble Energy, Inc.		29,865		2,676,800
Occidental Petroleum Corp.		140,850		14,654,034
Pioneer Natural Resources Co.		20,479		1,834,304
QEP Resources, Inc.		31,666		1,324,589
Range Resources Corp.		26,917		1,493,893
Rowan Companies, Inc. (a)		21,395		830,340
Southwestern Energy Co. (a)		59,240		2,540,211
Sunoco, Inc.		21,864		911,947
Tesoro Corp. (a)		23,136		530,046

	Number of Shares		Value
Valero Energy Corp.		99,190	$	2,536,288
				204,679,899
Oil & Gas Services — 2.0%
Baker Hughes, Inc.		75,016		5,443,161
Cameron International Corp. (a)		42,491		2,136,872
FMC Technologies, Inc. (a)		42,719		1,913,384
Halliburton Co.		157,743		8,044,893
National Oilwell Varco, Inc.		72,680		5,684,303
Schlumberger Ltd.		234,536		20,263,910
				43,486,523
Packaging & Containers — 0.1%
Ball Corp.		28,379		1,091,456
Bemis Co., Inc.		18,226		615,674
Owens-IIlinois, Inc. (a)		27,885		719,712
Sealed Air Corp.		26,365		627,224
				3,054,066
Pharmaceuticals — 5.2%
Abbott Laboratories		268,763		14,142,309
Allergan, Inc.		52,078		4,335,494
AmerisourceBergen Corp.		48,338		2,001,193
Bristol-Myers Squibb Co.		293,260		8,492,810
Cardinal Health, Inc.		60,441		2,745,230
Cephalon, Inc. (a)		12,793		1,022,161
DENTSPLY International, Inc.		25,163		958,207
Eli Lilly & Co.		175,079		6,570,715
Express Scripts, Inc. (a)		91,387		4,933,070
Forest Laboratories, Inc. (a)		50,577		1,989,699
Gilead Sciences, Inc. (a)		136,310		5,644,597
Hospira, Inc. (a)		29,167		1,652,602
Mead Johnson Nutrition Co.		35,807		2,418,763
Medco Health Solutions, Inc. (a)		69,861		3,948,544
Merck & Co., Inc.		533,900		18,841,331
Mylan, Inc. (a)		74,606		1,840,530
Patterson Cos., Inc.		15,761		518,379
Pfizer, Inc.		1,365,157		28,122,234
Watson Pharmaceuticals, Inc. (a)		21,433		1,473,090
				111,650,958
Pipelines — 0.5%
El Paso Corp.		131,889		2,664,158
ONEOK, Inc.		18,998		1,406,042
Spectra Energy Corp.		110,508		3,029,024
The Williams Cos., Inc.		101,658		3,075,154
				10,174,378
Real Estate — 0.1%
CB Richard Ellis Group, Inc. Class A (a)		50,806		1,275,739
Real Estate Investment Trusts (REITS) — 1.5%
Apartment Investment & Management Co. Class A		19,713		503,273
AvalonBay Communities, Inc.		15,006		1,926,770

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

90

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

	Number of Shares		Value
Boston Properties, Inc.		25,649	$	2,722,898
Equity Residential		51,407		3,084,420
HCP, Inc.		69,089		2,534,876
Health Care REIT, Inc.		30,921		1,621,188
Host Hotels & Resorts, Inc.		118,644		2,011,016
Kimco Realty Corp.		68,239		1,271,975
ProLogis, Inc.		78,506		2,813,655
Public Storage		24,637		2,808,864
Simon Property Group, Inc.		50,340		5,851,018
Ventas, Inc.		27,807		1,465,707
Vornado Realty Trust		28,856		2,688,802
				31,304,462
Retail — 5.8%
Abercrombie & Fitch Co. Class A		14,650		980,378
AutoNation, Inc. (a)		11,083		405,749
AutoZone, Inc. (a)		4,520		1,332,722
Bed Bath & Beyond, Inc. (a)		42,579		2,485,336
Best Buy Co., Inc.		55,555		1,744,983
Big Lots, Inc. (a)		13,736		455,348
CarMax, Inc. (a)		37,582		1,242,837
Chipotle Mexican Grill, Inc. (a)		5,348		1,648,200
Coach, Inc.		50,416		3,223,095
Costco Wholesale Corp.		75,503		6,133,864
CVS Caremark Corp.		233,225		8,764,595
Darden Restaurants, Inc.		24,136		1,201,007
Family Dollar Stores, Inc.		21,501		1,130,093
GameStop Corp. Class A (a)		23,754		633,519
The Gap, Inc.		68,878		1,246,692
The Home Depot, Inc.		275,461		9,977,197
J.C. Penney Co., Inc.		37,224		1,285,717
Kohl’s Corp.		47,762		2,388,578
Limited Brands, Inc.		42,340		1,627,973
Lowe’s Cos., Inc.		225,736		5,261,906
Macy’s, Inc.		72,437		2,118,058
McDonald’s Corp.		179,790		15,159,893
Nordstrom, Inc.		28,697		1,347,037
O’Reilly Automotive, Inc. (a)		24,620		1,612,856
Polo Ralph Lauren Corp.		10,999		1,458,577
Ross Stores, Inc.		20,668		1,655,920
Sears Holdings Corp. (a)		7,970		569,377
Staples, Inc.		123,570		1,952,406
Starbucks Corp.		129,276		5,105,109
Target Corp.		118,926		5,578,819
Tiffany & Co.		22,144		1,738,747
The TJX Cos., Inc.		66,958		3,517,304
Urban Outfitters, Inc. (a)		21,610		608,321
Wal-Mart Stores, Inc.		330,240		17,548,954
Walgreen Co.		158,188		6,716,662
Yum! Brands, Inc. (a)		79,737		4,404,672
				124,262,501
Savings & Loans — 0.1%
Hudson City Bancorp, Inc.		90,752		743,259

	Number of Shares		Value
People’s United Financial, Inc.		61,903	$	831,976
				1,575,235
Semiconductors — 2.3%
Advanced Micro Devices, Inc. (a)		93,498		653,551
Altera Corp.		55,351		2,565,519
Analog Devices, Inc.		52,556		2,057,042
Applied Materials, Inc.		226,613		2,948,235
Broadcom Corp. Class A (a)		81,995		2,758,312
Intel Corp.		916,105		20,300,887
KLA-Tencor Corp.		30,219		1,223,265
Linear Technology Corp.		40,385		1,333,513
LSI Corp. (a)		110,067		783,677
MEMC Electronic Materials, Inc. (a)		37,281		318,007
Microchip Technology, Inc.		33,852		1,283,329
Micron Technology, Inc. (a)		152,107		1,137,760
National Semiconductor Corp.		42,532		1,046,712
Novellus Systems, Inc. (a)		16,197		585,359
NVIDIA Corp. (a)		101,774		1,621,769
Teradyne, Inc. (a)		30,417		450,172
Texas Instruments, Inc.		199,453		6,548,042
Xilinx, Inc.		46,296		1,688,415
				49,303,566
Software — 3.7%
Adobe Systems, Inc. (a)		85,572		2,691,239
Autodesk, Inc. (a)		40,835		1,576,231
BMC Software, Inc. (a)		30,144		1,648,877
CA, Inc.		65,759		1,501,935
Cerner Corp. (a)		25,382		1,551,094
Citrix Systems, Inc. (a)		32,552		2,604,160
Compuware Corp. (a)		40,285		393,182
Dun & Bradstreet Corp.		8,020		605,831
Electronic Arts, Inc. (a)		59,343		1,400,495
Fidelity National Information Services, Inc.		46,701		1,437,924
Fiserv, Inc. (a)		25,318		1,585,666
Intuit, Inc. (a)		47,014		2,438,146
Microsoft Corp.		1,281,395		33,316,270
Oracle Corp.		674,249		22,189,535
Red Hat, Inc. (a)		33,615		1,542,928
Salesforce.com, Inc. (a)		21,192		3,157,184
				79,640,697
Telecommunications — 5.1%
American Tower Corp. Class A (a)		67,696		3,542,532
AT&T, Inc.		1,023,258		32,140,534
CenturyLink, Inc.		104,078		4,207,874
Cisco Systems, Inc.		953,161		14,878,843
Corning, Inc.		270,656		4,912,406
Frontier Communications Corp.		168,476		1,359,601
Harris Corp.		21,747		979,920
JDS Uniphase Corp. (a)		37,430		623,584
Juniper Networks, Inc. (a)		92,599		2,916,869

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

91

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

	Number of Shares		Value
MetroPCS Communications, Inc. (a)		48,506	$	834,788
Motorola Mobility Holdings, Inc. (a)		50,612		1,115,488
Motorola Solutions, Inc. (a)		57,842		2,663,046
Qualcomm, Inc.		288,680		16,394,137
Sprint Nextel Corp. (a)		509,810		2,747,876
Tellabs, Inc.		66,098		304,712
Verizon Communications, Inc.		488,404		18,183,281
Windstream Corp.		91,542		1,186,384
				108,991,875
Textiles — 0.0%
Cintas Corp.		21,924		724,150
Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		23,277		1,022,559
Mattel, Inc.		58,917		1,619,628
				2,642,187
Transportation — 1.9%
C.H. Robinson Worldwide, Inc.		27,777		2,189,939
CSX Corp.		192,816		5,055,636
Expeditors International of Washington, Inc.		37,285		1,908,619
FedEx Corp.		54,311		5,151,398
Norfolk Southern Corp.		60,942		4,566,384
Ryder System, Inc.		8,537		485,328
Union Pacific Corp.		85,125		8,887,050
United Parcel Service, Inc. Class B		171,093		12,477,813
				40,722,167
TOTAL COMMON STOCK (Cost $1,762,121,373)				2,077,206,248
TOTAL EQUITIES (Cost $1,762,121,373)				2,077,206,248
TOTAL LONG-TERM INVESTMENTS (Cost $1,762,121,373)				2,077,206,248
	Principal Amount
SHORT-TERM INVESTMENTS — 2.7%
Repurchase Agreement — 2.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (b)	$	52,446,711		52,446,711

	Principal Amount		Value
U.S. Treasury Bills — 0.2%
U.S. Treasury Bill 0.051% 11/17/11 (c)	$	4,715,000	$	4,714,081
TOTAL SHORT-TERM INVESTMENTS (Cost $57,160,792)				57,160,792
TOTAL INVESTMENTS — 100.2% (Cost $1,819,282,165) (d)				2,134,367,040
Other Assets/(Liabilities) — (0.2)%				(5,188,256	)
NET ASSETS —- 100.0%			$	2,129,178,784

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $52,446,726. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 9/25/39, and an aggregate market value, including accrued interest, of $53,498,503.

(c) A portion of this security is held as collateral for open futures contracts. (Note 2).

(d) See Note 6 for aggregate cost for federal tax purposes.

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

92

MassMutual Select Core Opportunities Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.5%
COMMON STOCK — 98.5%
Advertising — 0.9%
Omnicom Group, Inc.		11,980	$	576,957
Aerospace & Defense — 1.7%
The Boeing Co.		14,100		1,042,413
Airlines — 0.4%
Southwest Airlines Co.		22,800		260,376
Auto Manufacturers — 1.6%
Ford Motor Co. (a)		43,600		601,244
Paccar, Inc.		6,900		352,521
				953,765
Automotive & Parts — 1.0%
Johnson Controls, Inc.		14,000		583,240
Banks — 3.2%
Bank of America Corp.		49,660		544,274
Capital One Financial Corp.		11,750		607,122
Wells Fargo & Co.		27,920		783,435
				1,934,831
Beverages — 4.6%
Anheuser-Busch InBev NV Sponsored ADR (Belgium)		12,800		742,528
Coca-Cola Enterprises, Inc.		12,030		351,035
Dr. Pepper Snapple Group, Inc.		17,700		742,161
PepsiCo, Inc.		14,230		1,002,219
				2,837,943
Biotechnology — 1.3%
Dendreon Corp. (a)		3,540		139,618
Human Genome Sciences, Inc. (a)		11,750		288,345
Vertex Pharmaceuticals, Inc. (a)		6,800		353,532
				781,495
Building Materials — 0.3%
Owens Corning, Inc. (a)		4,420		165,087
Chemicals — 2.7%
CF Industries Holdings, Inc.		1,070		151,587
E.I. du Pont de Nemours & Co.		6,970		376,728
Ecolab, Inc.		4,600		259,348
Monsanto Co.		11,798		855,827
				1,643,490
Commercial Services — 2.1%
Automatic Data Processing, Inc.		5,960		313,973
Iron Mountain, Inc.		4,900		167,041
McKesson Corp.		6,120		511,938
Paychex, Inc.		8,458		259,830
Western Union Co.		2,074		41,542
				1,294,324

	Number of Shares		Value
Computers — 5.1%
Apple, Inc. (a)		3,420	$	1,147,991
EMC Corp. (a)		11,800		325,090
International Business Machines Corp.		6,160		1,056,748
NetApp, Inc. (a)		6,170		325,653
Teradata Corp. (a)		4,218		253,924
				3,109,406
Diversified Financial — 5.5%
American Express Co.		7,350		379,995
The Charles Schwab Corp.		40,691		669,367
Citigroup, Inc.		15,286		636,509
JP Morgan Chase & Co.		30,730		1,258,086
Morgan Stanley		19,000		437,190
				3,381,147
Electric — 2.5%
NextEra Energy, Inc.		17,690		1,016,467
PPL Corp.		19,360		538,789
				1,555,256
Electrical Components & Equipment — 0.3%
Energizer Holdings, Inc. (a)		2,140		154,850
Electronics — 0.3%
Thomas & Betts Corp. (a)		3,380		182,013
Engineering & Construction — 0.8%
ABB Ltd. Sponsored ADR (Switzerland) (a)		19,800		513,810
Environmental Controls — 0.3%
Waste Management, Inc.		5,400		201,258
Foods — 3.6%
ConAgra Foods, Inc.		9,200		237,452
Kraft Foods, Inc. Class A		18,570		654,221
Nestle SA Sponsored ADR (Switzerland)		7,865		490,619
Unilever PLC Sponsored ADR (United Kingdom)		25,020		810,398
				2,192,690
Forest Products & Paper — 0.8%
International Paper Co.		17,100		509,922
Health Care – Products — 4.2%
Baxter International, Inc.		8,410		501,993
Boston Scientific Corp. (a)		41,300		285,383
Covidien PLC		5,920		315,122
Medtronic, Inc.		19,300		743,629
St. Jude Medical, Inc.		6,280		299,430
Zimmer Holdings, Inc. (a)		6,150		388,680
				2,534,237
Health Care – Services — 1.5%
CIGNA Corp.		8,830		454,127

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

93

MassMutual Select Core Opportunities Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
HCA Holdings, Inc. (a)		14,570	$	480,810
				934,937
Home Builders — 0.3%
Toll Brothers, Inc. (a)		9,498		196,989
Household Products — 0.4%
Kimberly-Clark Corp.		3,570		237,619
Housewares — 0.9%
Newell Rubbermaid, Inc.		33,480		528,314
Insurance — 3.7%
Aflac, Inc.		4,050		189,054
The Chubb Corp.		2,500		156,525
The Hartford Financial Services Group, Inc.		11,930		314,594
Lincoln National Corp.		14,050		400,285
MetLife, Inc.		27,944		1,225,903
				2,286,361
Internet — 2.9%
Amazon.com, Inc. (a)		1,030		210,624
eBay, Inc. (a)		5,100		164,577
Google, Inc. Class A (a)		2,760		1,397,609
				1,772,810
Iron & Steel — 0.8%
Nucor Corp.		11,937		492,043
Leisure Time — 0.4%
Carnival Corp.		6,560		246,853
Machinery – Construction & Mining — 2.1%
Caterpillar, Inc.		3,140		334,285
Ingersoll-Rand PLC		20,620		936,354
				1,270,639
Machinery – Diversified — 0.5%
Cummins, Inc.		2,850		294,946
Manufacturing — 2.1%
Dover Corp.		5,040		341,712
General Electric Co.		39,930		753,080
Tyco International Ltd.		4,190		207,111
				1,301,903
Media — 1.6%
CBS Corp. Class B		9,440		268,946
DIRECTV Class A (a)		8,750		444,675
News Corp. Class A		13,140		232,578
				946,199
Oil & Gas — 8.5%
Anadarko Petroleum Corp.		12,778		980,839
Apache Corp.		6,470		798,333
Chevron Corp.		8,560		880,311
Ensco PLC Sponsored ADR (United Kingdom)		8,460		450,918
Exxon Mobil Corp.		10,300		838,214

	Number of Shares		Value
Hess Corp.		5,500	$	411,180
Occidental Petroleum Corp.		6,030		627,361
Valero Energy Corp.		9,030		230,897
				5,218,053
Oil & Gas Services — 4.4%
Halliburton Co.		21,317		1,087,167
National Oilwell Varco, Inc.		5,380		420,770
Schlumberger Ltd.		13,412		1,158,797
				2,666,734
Pharmaceuticals — 6.0%
Gilead Sciences, Inc. (a)		5,710		236,451
Medco Health Solutions, Inc. (a)		5,100		288,252
Merck & Co., Inc.		21,200		748,148
Pfizer, Inc.		82,330		1,695,998
Sanofi ADR (France)		8,960		359,923
Warner Chilcott PLC Class A		13,860		334,442
				3,663,214
Retail — 3.5%
Lowe’s Cos., Inc.		24,800		578,088
Target Corp.		16,691		782,975
Walgreen Co.		17,770		754,514
				2,115,577
Semiconductors — 2.4%
Advanced Micro Devices, Inc. (a)		34,700		242,553
Freescale Semiconductor Holdings I Ltd. (a)		6,200		114,018
Intel Corp.		39,900		884,184
Microchip Technology, Inc.		6,170		233,905
				1,474,660
Software — 6.2%
Autodesk, Inc. (a)		9,100		351,260
BMC Software, Inc. (a)		8,900		486,830
Electronic Arts, Inc. (a)		8,340		196,824
Informatica Corp. (a)		5,100		297,993
Microsoft Corp.		48,727		1,266,902
Oracle Corp.		36,889		1,214,017
				3,813,826
Telecommunications — 4.9%
Alcatel-Lucent Sponsored ADR (France) (a)		26,250		151,462
American Tower Corp. Class A (a)		7,300		382,009
AT&T, Inc.		26,260		824,827
Cisco Systems, Inc.		49,400		771,134
Qualcomm, Inc.		15,130		859,233
				2,988,665
Toys, Games & Hobbies — 0.7%
Mattel, Inc.		14,420		396,406

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

94

MassMutual Select Core Opportunities Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Transportation — 1.5%
Norfolk Southern Corp.		4,180	$	313,207
United Parcel Service, Inc. Class B		8,300		605,319
				918,526
TOTAL COMMON STOCK (Cost $54,522,169)				60,173,784
TOTAL EQUITIES (Cost $54,522,169)				60,173,784
MUTUAL FUNDS — 0.2%
Diversified Financial — 0.2%
S&P 500 SPDR ETF Trust		870		114,814
TOTAL MUTUAL FUNDS (Cost $116,718)				114,814
TOTAL LONG-TERM INVESTMENTS (Cost $54,638,887)				60,288,598
	Principal Amount
SHORT-TERM INVESTMENTS — 1.4%
Repurchase Agreement — 1.4%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (b)	$	831,266		831,266
TOTAL SHORT-TERM INVESTMENTS (Cost $831,266)				831,266
TOTAL INVESTMENTS — 100.1% (Cost $55,470,153) (c)				61,119,864
Other Assets/(Liabilities) — (0.1)%				(52,801	)
NET ASSETS — 100.0%			$	61,067,063

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $831,266. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% - 4.000%, maturity dates ranging from 5/15/39 - 11/15/40, and an aggregate market value, including accrued interest, of $852,321.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

95

MassMutual Select Blue Chip Growth Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.8%
COMMON STOCK — 99.8%
Advertising — 0.4%
Omnicom Group, Inc.		50,500	$	2,432,080
Aerospace & Defense — 1.6%
The Boeing Co.		15,500		1,145,915
United Technologies Corp.		91,200		8,072,112
				9,218,027
Apparel — 1.0%
Nike, Inc. Class B		61,600		5,542,768
Auto Manufacturers — 0.0%
General Motors Co. (a)		4,600		139,656
Automotive & Parts — 0.8%
Johnson Controls, Inc.		106,900		4,453,454
Banks — 0.9%
Northern Trust Corp.		14,400		661,824
PNC Financial Services Group, Inc.		1,800		107,298
State Street Corp.		31,700		1,429,353
U.S. Bancorp		70,800		1,806,108
Wells Fargo & Co.		41,400		1,161,684
				5,166,267
Beverages — 0.1%
The Coca-Cola Co.		4,800		322,992
InBev NV		1,500		86,978
PepsiCo, Inc.		2,500		176,075
				586,045
Biotechnology — 1.7%
Alexion Pharmaceuticals, Inc. (a)		9,400		442,082
Amgen, Inc. (a)		7,400		431,790
Biogen Idec, Inc. (a)		18,000		1,924,560
Celgene Corp. (a)		98,300		5,929,456
Vertex Pharmaceuticals, Inc. (a)		17,200		894,228
				9,622,116
Chemicals — 4.0%
Air Products & Chemicals, Inc.		48,600		4,645,188
Monsanto Co.		17,500		1,269,450
The Mosaic Co.		900		60,957
Potash Corp. of Saskatchewan, Inc.		60,900		3,470,691
Praxair, Inc.		121,400		13,158,546
The Sherwin-Williams Co.		1,400		117,418
				22,722,250
Coal — 0.8%
Peabody Energy Corp.		81,000		4,771,710
Commercial Services — 5.1%
Automatic Data Processing, Inc.		4,500		237,060
MasterCard, Inc. Class A		37,400		11,270,116
McKesson Corp.		117,100		9,795,415

	Number of Shares		Value
Visa, Inc. Class A		79,900	$	6,732,374
Western Union Co.		58,700		1,175,761
				29,210,726
Computers — 9.9%
Accenture PLC Class A		111,700		6,748,914
Apple, Inc. (a)		118,600		39,810,462
EMC Corp. (a)		222,200		6,121,610
Hewlett-Packard Co.		4,000		145,600
International Business Machines Corp.		16,000		2,744,800
NetApp, Inc. (a)		8,200		432,796
				56,004,182
Cosmetics & Personal Care — 0.0%
The Procter & Gamble Co.		1,200		76,284
Distribution & Wholesale — 2.2%
Fastenal Co.		186,200		6,701,338
Fossil, Inc. (a)		17,400		2,048,328
W.W. Grainger, Inc.		22,300		3,426,395
				12,176,061
Diversified Financial — 7.3%
American Express Co.		128,800		6,658,960
Ameriprise Financial, Inc.		42,200		2,434,096
The Charles Schwab Corp.		58,000		954,100
CME Group, Inc.		600		174,954
Credit Suisse Group (a)		2,400		93,284
Franklin Resources, Inc.		106,300		13,956,127
The Goldman Sachs Group, Inc.		10,600		1,410,754
IntercontinentalExchange, Inc. (a)		38,600		4,813,806
Invesco Ltd.		190,500		4,457,700
JP Morgan Chase & Co.		113,000		4,626,220
NYSE Euronext		26,100		894,447
TD Ameritrade Holding Corp.		36,700		716,017
				41,190,465
Electrical Components & Equipment — 0.7%
Emerson Electric Co.		71,600		4,027,500
Engineering & Construction — 0.1%
McDermott International, Inc. (a)		33,300		659,673
Foods — 0.2%
Whole Foods Market, Inc.		20,500		1,300,725
Hand & Machine Tools — 0.3%
Stanley Black & Decker, Inc.		25,500		1,837,275
Health Care – Products — 1.2%
Baxter International, Inc.		6,000		358,140
Edwards Lifesciences Corp. (a)		14,200		1,237,956
Intuitive Surgical, Inc. (a)		100		37,211
Stryker Corp.		84,600		4,965,174
				6,598,481

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

96

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

	Number of Shares		Value
Health Care – Services — 0.7%
Thermo Fisher Scientific, Inc. (a)		39,000	$	2,511,210
UnitedHealth Group, Inc.		27,200		1,402,976
				3,914,186
Insurance — 0.7%
Marsh & McLennan Cos., Inc.		17,900		558,301
Prudential Financial, Inc.		48,900		3,109,551
				3,667,852
Internet — 15.8%
Amazon.com, Inc. (a)		127,400		26,052,026
Baidu, Inc. Sponsored ADR (Cayman Islands) (a)		92,700		12,990,051
eBay, Inc. (a)		161,000		5,195,470
Facebook, Inc. (a) (b)		89,629		2,540,561
Google, Inc. Class A (a)		46,600		23,597,308
Liberty Media Corp. - Interactive Class A (a)		190,000		3,186,300
Netflix, Inc. (a)		1,100		288,959
Priceline.com, Inc. (a)		17,600		9,009,968
Tencent Holdings Ltd.		240,600		6,604,894
				89,465,537
Leisure Time — 1.1%
Carnival Corp.		169,900		6,393,337
Lodging — 2.9%
Las Vegas Sands Corp. (a)		97,800		4,128,138
Marriott International, Inc. Class A		186,590		6,622,079
Starwood Hotels & Resorts Worldwide, Inc.		78,600		4,404,744
Wynn Resorts Ltd.		9,500		1,363,630
				16,518,591
Machinery – Construction & Mining — 0.6%
Caterpillar, Inc.		14,800		1,575,608
Joy Global, Inc.		21,100		2,009,564
				3,585,172
Machinery – Diversified — 0.9%
Cummins, Inc.		4,800		496,752
Deere & Co.		27,500		2,267,375
Eaton Corp.		22,200		1,142,190
Roper Industries, Inc.		15,700		1,307,810
				5,214,127
Manufacturing — 6.0%
3M Co.		86,400		8,195,040
Danaher Corp.		377,800		20,019,622
Honeywell International, Inc.		88,500		5,273,715
Illinois Tool Works, Inc.		8,200		463,218
				33,951,595

	Number of Shares		Value
Media — 1.6%
Discovery Communications, Inc. Series C (a)		91,300	$	3,337,015
Time Warner, Inc.		10,233		372,174
The Walt Disney Co.		130,200		5,083,008
				8,792,197
Metal Fabricate & Hardware — 1.5%
Precision Castparts Corp.		51,700		8,512,405
Mining — 0.1%
Freeport-McMoRan Copper & Gold, Inc.		15,000		793,500
Oil & Gas — 2.9%
Cimarex Energy Co.		14,600		1,312,832
Concho Resources, Inc. (a)		22,700		2,084,995
EOG Resources, Inc.		49,700		5,196,135
EQT Corp.		24,100		1,265,732
Exxon Mobil Corp.		1,100		89,518
Occidental Petroleum Corp.		34,900		3,630,996
Range Resources Corp.		40,100		2,225,550
Suncor Energy, Inc.		21,900		856,290
				16,662,048
Oil & Gas Services — 4.8%
Baker Hughes, Inc.		26,400		1,915,584
Cameron International Corp. (a)		45,700		2,298,253
FMC Technologies, Inc. (a)		66,400		2,974,056
Halliburton Co.		103,500		5,278,500
Schlumberger Ltd.		174,000		15,033,600
				27,499,993
Pharmaceuticals — 2.9%
Allergan, Inc.		53,900		4,487,175
Cardinal Health, Inc.		83,200		3,778,944
Express Scripts, Inc. (a)		139,200		7,514,016
Shire PLC Sponsored ADR (United Kingdom)		6,800		640,628
				16,420,763
Real Estate — 0.5%
CB Richard Ellis Group, Inc. Class A (a)		115,900		2,910,249
Retail — 6.4%
Bed Bath & Beyond, Inc. (a)		78,300		4,570,371
CarMax, Inc. (a)		1,600		52,912
Chipotle Mexican Grill, Inc. (a)		8,300		2,557,977
Coach, Inc.		55,100		3,522,543
Costco Wholesale Corp.		100		8,124
Dollar Tree, Inc. (a)		6,100		406,382
Kohl’s Corp.		1,100		55,011
McDonald’s Corp.		64,900		5,472,368
O’Reilly Automotive, Inc. (a)		72,900		4,775,679
Polo Ralph Lauren Corp.		25,600		3,394,816

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

97

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

	Number of Shares		Value
Starbucks Corp.		247,400	$	9,769,826
Tiffany & Co.		20,000		1,570,400
Walgreen Co.		100		4,246
				36,160,655
Semiconductors — 1.9%
Altera Corp.		35,500		1,645,425
Broadcom Corp. Class A (a)		133,200		4,480,848
Marvell Technology Group Ltd. (a)		3,200		47,248
Xilinx, Inc.		118,200		4,310,754
				10,484,275
Software — 0.6%
Autodesk, Inc. (a)		13,900		536,540
Cerner Corp. (a)		200		12,222
Fiserv, Inc. (a)		9,100		569,933
Intuit, Inc. (a)		22,100		1,146,106
Microsoft Corp.		8,500		221,000
Salesforce.com, Inc. (a)		6,700		998,166
				3,483,967
Telecommunications — 6.1%
American Tower Corp. Class A (a)		194,900		10,199,117
Corning, Inc.		267,600		4,856,940
Juniper Networks, Inc. (a)		178,000		5,607,000
Qualcomm, Inc.		247,300		14,044,167
				34,707,224
Toys, Games & Hobbies — 0.0%
Hasbro, Inc.		1,200		52,716
Mattel, Inc.		100		2,749
				55,465
Transportation — 3.5%
Expeditors International of Washington, Inc.		60,900		3,117,471
FedEx Corp.		89,300		8,470,105
Norfolk Southern Corp.		3,200		239,776
Union Pacific Corp.		78,500		8,195,400
				20,022,752
TOTAL COMMON STOCK (Cost $436,324,737)				566,951,635
TOTAL EQUITIES (Cost $436,324,737)				566,951,635

	Number of Shares		Value
MUTUAL FUNDS — 0.0%
Diversified Financial — 0.0%
T. Rowe Price Reserve Investment Fund		1,601	$	1,601
TOTAL MUTUAL FUNDS (Cost $1,601)				1,601
TOTAL LONG-TERM INVESTMENTS (Cost $436,326,338)				566,953,236
	Principal Amount
SHORT-TERM INVESTMENTS — 0.8%
Repurchase Agreement — 0.8%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (c)	$	4,568,842		4,568,842
TOTAL SHORT-TERM INVESTMENTS (Cost $4,568,842)				4,568,842
TOTAL INVESTMENTS — 100.6% (Cost $440,895,180) (d)				571,522,078
Other Assets/(Liabilities) — (0.6)%				(3,561,429	)
NET ASSETS — 100.0%			$	567,960,649

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) This security is valued in good faith under procedures established by the Board of Trustees.

(c) Maturity value of $4,568,843. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 11/15/40, and an aggregate market value, including accrued interest, of $4,661,910.

(d) See Note 6 for aggregate cost for federal tax purposes.

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

98

MassMutual Select Large Cap Growth Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.5%
COMMON STOCK — 96.5%
Aerospace & Defense — 1.1%
Goodrich Corp.		7,910	$	755,405
Apparel — 1.3%
Nike, Inc. Class B		9,670		870,107
Auto Manufacturers — 2.1%
Ford Motor Co. (a)		53,060		731,697
Paccar, Inc.		13,520		690,737
				1,422,434
Automotive & Parts — 0.8%
TRW Automotive Holdings Corp. (a)		4,680		276,260
WABCO Holdings, Inc. (a)		3,330		229,970
				506,230
Beverages — 3.9%
Anheuser-Busch InBev NV Sponsored ADR (Belgium)		7,860		455,958
The Coca-Cola Co.		16,480		1,108,939
Coca-Cola Enterprises, Inc.		13,970		407,645
Hansen Natural Corp. (a)		8,020		649,219
				2,621,761
Biotechnology — 1.3%
Alexion Pharmaceuticals, Inc. (a)		2,720		127,922
Biogen Idec, Inc. (a)		4,800		513,216
Celgene Corp. (a)		3,550		214,136
				855,274
Chemicals — 3.9%
Albemarle Corp.		6,480		448,416
E.I. du Pont de Nemours & Co.		16,480		890,744
FMC Corp.		3,070		264,081
International Flavors & Fragrances, Inc.		4,360		280,086
Potash Corp. of Saskatchewan, Inc.		11,830		674,192
				2,557,519
Commercial Services — 3.8%
Manpower, Inc.		5,660		303,659
MasterCard, Inc. Class A		3,680		1,108,931
McKesson Corp.		5,310		444,182
Visa, Inc. Class A		8,220		692,617
				2,549,389
Computers — 7.3%
Accenture PLC Class A		1,880		113,590
Apple, Inc. (a)		8,880		2,980,749
Cognizant Technology Solutions Corp. Class A (a)		4,540		332,964
EMC Corp. (a)		43,090		1,187,129
NetApp, Inc. (a)		4,940		260,733
				4,875,165

	Number of Shares		Value
Cosmetics & Personal Care — 0.2%
The Estee Lauder Cos., Inc. Class A		1,000	$	105,190
Diversified Financial — 6.9%
American Express Co.		20,630		1,066,571
Ameriprise Financial, Inc.		13,110		756,185
The Charles Schwab Corp.		14,410		237,044
Franklin Resources, Inc.		6,380		837,630
IntercontinentalExchange, Inc. (a)		5,960		743,272
JP Morgan Chase & Co.		22,850		935,479
				4,576,181
Electric — 0.8%
The AES Corp. (a)		43,290		551,515
Electrical Components & Equipment — 0.4%
AMETEK, Inc.		6,190		277,931
Electronics — 2.1%
Agilent Technologies, Inc. (a)		21,760		1,112,154
Trimble Navigation Ltd. (a)		6,280		248,939
				1,361,093
Health Care – Products — 0.9%
Intuitive Surgical, Inc. (a)		1,660		617,703
Health Care – Services — 2.1%
CIGNA Corp.		10,980		564,701
HCA Holdings, Inc. (a)		7,440		245,520
WellPoint, Inc.		7,710		607,317
				1,417,538
Insurance — 0.6%
MetLife, Inc.		9,200		403,604
Internet — 4.6%
Amazon.com, Inc. (a)		5,680		1,161,503
Check Point Software Technologies Ltd. (a)		12,640		718,584
F5 Networks, Inc. (a)		2,060		227,115
Google, Inc. Class A (a)		1,160		587,401
Priceline.com, Inc. (a)		650		332,754
				3,027,357
Iron & Steel — 0.8%
Allegheny Technologies, Inc.		8,090		513,472
Lodging — 1.8%
Las Vegas Sands Corp. (a)		5,970		251,994
Marriott International, Inc. Class A		25,570		907,479
				1,159,473
Machinery – Construction & Mining — 0.6%
Joy Global, Inc.		4,020		382,865
Machinery – Diversified — 4.2%
Cummins, Inc.		5,880		608,521
Deere & Co.		10,510		866,549

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

99

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

	Number of Shares		Value
Eaton Corp.		3,790	$	194,996
Rockwell Automation, Inc.		12,920		1,120,939
				2,791,005
Media — 1.9%
CBS Corp. Class B		13,300		378,917
The Walt Disney Co.		22,080		862,003
				1,240,920
Metal Fabricate & Hardware — 1.9%
Precision Castparts Corp.		7,520		1,238,168
Mining — 0.3%
Yamana Gold, Inc.		16,270		189,220
Oil & Gas — 6.5%
Chevron Corp.		14,340		1,474,726
Concho Resources, Inc. (a)		5,210		478,538
Ensco PLC Sponsored ADR (United Kingdom)		9,920		528,736
Noble Energy, Inc.		5,060		453,528
Pioneer Natural Resources Co.		9,800		877,786
SM Energy Co.		7,260		533,465
				4,346,779
Oil & Gas Services — 5.2%
Baker Hughes, Inc.		18,150		1,316,964
Halliburton Co.		18,990		968,490
Schlumberger Ltd.		13,840		1,195,776
				3,481,230
Pharmaceuticals — 6.0%
Allergan, Inc.		11,890		989,843
AmerisourceBergen Corp.		7,970		329,958
Express Scripts, Inc. (a)		13,460		726,571
Merck & Co., Inc.		7,660		270,321
Perrigo Co.		7,420		651,995
Shire PLC Sponsored ADR (United Kingdom)		6,150		579,392
SXC Health Solutions Corp. (a)		3,380		199,150
Valeant Pharmaceuticals International, Inc.		4,990		259,280
				4,006,510
Real Estate — 0.9%
CB Richard Ellis Group, Inc. Class A (a)		19,230		482,865
Jones Lang LaSalle, Inc.		1,420		133,906
				616,771
Real Estate Investment Trusts (REITS) — 0.6%
Host Hotels & Resorts, Inc.		21,230		359,849
Retail — 6.1%
Abercrombie & Fitch Co. Class A		7,800		521,976
Costco Wholesale Corp.		7,370		598,739
Dick’s Sporting Goods, Inc. (a)		6,400		246,080
Kohl’s Corp.		3,640		182,036

	Number of Shares		Value
Limited Brands, Inc.		14,300	$	549,835
McDonald’s Corp.		3,330		280,786
Polo Ralph Lauren Corp.		5,090		674,985
Tiffany & Co.		7,700		604,604
Walgreen Co.		9,520		404,219
				4,063,260
Semiconductors — 1.7%
Avago Technologies Ltd.		10,690		406,220
Broadcom Corp. Class A (a)		17,710		595,765
Rovi Corp. (a)		2,620		150,283
				1,152,268
Software — 4.9%
Autodesk, Inc. (a)		17,860		689,396
Citrix Systems, Inc. (a)		3,860		308,800
Intuit, Inc. (a)		11,220		581,869
Oracle Corp.		45,150		1,485,887
Salesforce.com, Inc. (a)		1,380		205,592
				3,271,544
Telecommunications — 5.1%
American Tower Corp. Class A (a)		18,650		975,954
Corning, Inc.		28,490		517,094
Juniper Networks, Inc. (a)		17,640		555,660
Polycom, Inc. (a)		4,490		288,707
Qualcomm, Inc.		18,690		1,061,405
				3,398,820
Transportation — 3.9%
CSX Corp.		65,470		1,716,624
Expeditors International of Washington, Inc.		17,580		899,920
				2,616,544
TOTAL COMMON STOCK (Cost $54,158,702)				64,180,094
TOTAL EQUITIES (Cost $54,158,702)				64,180,094
TOTAL LONG-TERM INVESTMENTS (Cost $54,158,702)				64,180,094

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

100

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

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 3.8%
Repurchase Agreement — 3.8%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (b)	$	2,534,162	$	2,534,162
TOTAL SHORT-TERM INVESTMENTS (Cost $2,534,162)				2,534,162
TOTAL INVESTMENTS — 100.3% (Cost $56,692,864) (c)				66,714,256
Other Assets/(Liabilities) — (0.3)%				(170,789	)
NET ASSETS — 100.0%			$	66,543,467

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $2,534,163. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 8/15/39, and an aggregate market value, including accrued interest, of $2,585,736.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

101

MassMutual Select Growth Opportunities Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.2%
COMMON STOCK — 98.2%
Apparel — 3.0%
Nike, Inc. Class B		118,200	$	10,635,636
Banks — 1.1%
Bank of New York Mellon Corp.		156,000		3,996,720
Biotechnology — 3.6%
Alexion Pharmaceuticals, Inc. (a)		100,300		4,717,109
Illumina, Inc. (a)		108,000		8,116,200
				12,833,309
Chemicals — 2.4%
Praxair, Inc.		32,300		3,500,997
Syngenta AG Sponsored ADR (Switzerland)		75,300		5,087,268
				8,588,265
Commercial Services — 9.7%
Apollo Group, Inc. Class A (a)		133,100		5,813,808
MasterCard, Inc. Class A		27,800		8,377,252
Visa, Inc. Class A		244,500		20,601,570
				34,792,630
Computers — 7.3%
Apple, Inc. (a)		64,400		21,617,148
Teradata Corp. (a)		79,200		4,767,840
				26,384,988
Distribution & Wholesale — 1.3%
W.W. Grainger, Inc.		30,200		4,640,230
Diversified Financial — 6.0%
The Charles Schwab Corp.		295,100		4,854,395
CME Group, Inc.		17,900		5,219,461
IntercontinentalExchange, Inc. (a)		92,260		11,505,745
				21,579,601
Health Care – Products — 3.2%
Intuitive Surgical, Inc. (a)		20,900		7,777,099
Varian Medical Systems, Inc. (a)		55,800		3,907,116
				11,684,215
Internet — 17.5%
Amazon.com, Inc. (a)		66,900		13,680,381
Ctrip.com International Ltd. ADR (Cayman Islands) (a)		100,200		4,316,616
F5 Networks, Inc. (a)		56,300		6,207,075
Google, Inc. Class A (a)		27,000		13,672,260

	Number of Shares		Value
Netflix, Inc. (a)		23,600	$	6,199,484
OpenTable, Inc. (a)		27,400		2,277,488
Priceline.com, Inc. (a)		22,400		11,467,232
VeriSign, Inc.		150,000		5,019,000
				62,839,536
Lodging — 1.2%
Las Vegas Sands Corp. (a)		104,300		4,402,503
Oil & Gas — 3.2%
EOG Resources, Inc.		75,800		7,924,890
Southwestern Energy Co. (a)		79,700		3,417,536
				11,342,426
Oil & Gas Services — 5.7%
FMC Technologies, Inc. (a)		114,200		5,115,018
National Oilwell Varco, Inc.		98,600		7,711,506
Schlumberger Ltd.		88,300		7,629,120
				20,455,644
Pharmaceuticals — 8.8%
Allergan, Inc.		180,600		15,034,950
Medco Health Solutions, Inc. (a)		137,700		7,782,804
Novo Nordisk A/S Sponsored ADR (Denmark)		41,600		5,211,648
Perrigo Co.		41,400		3,637,818
				31,667,220
Retail — 5.3%
Lowe’s Cos., Inc.		181,900		4,240,089
Staples, Inc.		216,900		3,427,020
Starbucks Corp.		144,300		5,698,407
Walgreen Co.		137,600		5,842,496
				19,208,012
Semiconductors — 0.9%
ASML Holding NV		91,300		3,374,448
Software — 6.9%
Adobe Systems, Inc. (a)		161,000		5,063,450
Intuit, Inc. (a)		111,800		5,797,948
Salesforce.com, Inc. (a)		94,300		14,048,814
				24,910,212
Telecommunications — 8.9%
Crown Castle International Corp. (a)		176,700		7,207,593
Polycom, Inc. (a)		59,500		3,825,850
Qualcomm, Inc.		366,700		20,824,893
				31,858,336

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

102

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

	Number of Shares		Value
Transportation — 2.2%
C.H. Robinson Worldwide, Inc.		43,500	$	3,429,540
Expeditors International of Washington, Inc.		90,400		4,627,576
				8,057,116
TOTAL COMMON STOCK (Cost $250,961,986)				353,251,047
TOTAL EQUITIES (Cost $250,961,986)				353,251,047
TOTAL LONG-TERM INVESTMENTS (Cost $250,961,986)				353,251,047
	Principal Amount
SHORT-TERM INVESTMENTS — 1.8%
Repurchase Agreement — 1.8%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (b)	$	6,379,322		6,379,322
TOTAL SHORT-TERM INVESTMENTS (Cost $6,379,322)				6,379,322
TOTAL INVESTMENTS — 100.0% (Cost $257,341,308) (c)				359,630,369
Other Assets/(Liabilities) — 0.0%				9,087
NET ASSETS — 100.0%			$	359,639,456

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $6,379,324. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% - 4.000%, maturity dates ranging from 8/15/39 - 11/15/40, and an aggregate market value, including accrued interest, of $6,509,577.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

103

MassMutual Select NASDAQ-100 Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 100.0%
COMMON STOCK — 100.0%
Auto Manufacturers — 0.7%
Paccar, Inc.		7,021	$	358,703
Beverages — 0.5%
Green Mountain Coffee Roasters, Inc. (a)		2,931		261,621
Biotechnology — 5.7%
Alexion Pharmaceuticals, Inc. (a)		3,526		165,828
Amgen, Inc. (a)		17,797		1,038,455
Biogen Idec, Inc. (a)		4,638		495,895
Celgene Corp. (a)		8,859		534,375
Illumina, Inc. (a)		2,357		177,129
Life Technologies Corp. (a)		3,444		179,329
Vertex Pharmaceuticals, Inc. (a)		3,959		205,828
				2,796,839
Chemicals — 0.4%
Sigma-Aldrich Corp.		2,343		171,929
Commercial Services — 1.7%
Apollo Group, Inc. Class A (a)		2,721		118,853
Automatic Data Processing, Inc.		9,570		504,148
Paychex, Inc.		6,927		212,797
				835,798
Computers — 16.2%
Apple, Inc. (a)		17,725		5,949,750
Cognizant Technology Solutions Corp. Class A (a)		5,825		427,206
Dell, Inc. (a)		36,182		603,154
NetApp, Inc. (a)		7,053		372,257
Research In Motion Ltd. (a)		10,051		289,971
SanDisk Corp. (a)		4,578		189,987
Seagate Technology PLC		8,259		133,466
				7,965,791
Distribution & Wholesale — 0.4%
Fastenal Co.		5,686		204,639
Electronics — 0.7%
Flextronics International Ltd. (a)		14,379		92,313
FLIR Systems, Inc.		3,067		103,388
Garmin Ltd.		3,958		130,733
				326,434
Energy – Alternate Sources — 0.4%
First Solar, Inc. (a)		1,645		217,584
Environmental Controls — 0.3%
Stericycle, Inc. (a)		1,635		145,711
Foods — 0.4%
Whole Foods Market, Inc.		3,368		213,700

	Number of Shares		Value
Health Care – Products — 1.0%
Henry Schein, Inc. (a)		1,784	$	127,716
Intuitive Surgical, Inc. (a)		752		279,827
QIAGEN NV (a)		4,501		85,609
				493,152
Internet — 16.8%
Akamai Technologies, Inc. (a)		3,611		113,638
Amazon.com, Inc. (a)		8,665		1,771,906
Baidu, Inc. Sponsored ADR (Cayman Islands) (a)		5,193		727,695
Check Point Software Technologies Ltd. (a)		3,986		226,604
Ctrip.com International Ltd. ADR (Cayman Islands) (a)		2,834		122,089
eBay, Inc. (a)		24,868		802,490
Expedia, Inc.		4,737		137,326
F5 Networks, Inc. (a)		1,552		171,108
Google, Inc. Class A (a)		4,849		2,455,437
Liberty Media Corp. - Interactive Class A (a)		11,033		185,023
Netflix, Inc. (a)		1,004		263,741
Priceline.com, Inc. (a)		952		487,357
Symantec Corp. (a)		14,495		285,841
VeriSign, Inc.		3,227		107,975
Yahoo!, Inc. (a)		24,913		374,692
				8,232,922
Lodging — 0.7%
Wynn Resorts Ltd.		2,383		342,056
Machinery – Construction & Mining — 0.4%
Joy Global, Inc.		1,997		190,194
Media — 4.8%
Comcast Corp. Class A		39,967		1,012,764
DIRECTV Class A (a)		14,725		748,325
News Corp. Class A		34,989		619,305
				2,380,394
Pharmaceuticals — 4.8%
Cephalon, Inc. (a)		1,469		117,373
DENTSPLY International, Inc.		2,715		103,387
Express Scripts, Inc. (a)		10,161		548,491
Gilead Sciences, Inc. (a)		15,070		624,049
Mylan, Inc. (a)		8,376		206,636
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		13,477		649,861
Warner Chilcott PLC Class A		4,847		116,958
				2,366,755
Retail — 5.1%
Bed Bath & Beyond, Inc. (a)		4,776		278,775
Costco Wholesale Corp.		8,359		679,085
Dollar Tree, Inc. (a)		2,344		156,157

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

104

MassMutual Select NASDAQ-100 Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
O’Reilly Automotive, Inc. (a)		2,638	$	172,816
Ross Stores, Inc.		2,256		180,751
Sears Holdings Corp. (a)		2,055		146,809
Staples, Inc.		13,666		215,923
Starbucks Corp.		14,374		567,629
Urban Outfitters, Inc. (a)		3,091		87,012
				2,484,957
Semiconductors — 9.2%
Altera Corp.		6,147		284,914
Applied Materials, Inc.		25,227		328,203
Broadcom Corp. Class A (a)		9,257		311,406
Intel Corp.		101,609		2,251,655
KLA-Tencor Corp.		3,239		131,115
Lam Research Corp. (a)		2,364		104,678
Linear Technology Corp.		4,361		144,000
Marvell Technology Group Ltd. (a)		11,733		173,238
Maxim Integrated Products, Inc.		5,674		145,027
Microchip Technology, Inc.		3,670		139,130
Micron Technology, Inc. (a)		19,269		144,132
NVIDIA Corp. (a)		11,521		183,587
Xilinx, Inc.		5,096		185,851
				4,526,936
Software — 19.9%
Activision Blizzard, Inc.		21,924		256,072
Adobe Systems, Inc. (a)		9,679		304,404
Autodesk, Inc. (a)		4,388		169,377
BMC Software, Inc. (a)		3,403		186,144
CA, Inc.		9,657		220,566
Cerner Corp. (a)		3,226		197,141
Citrix Systems, Inc. (a)		3,590		287,200
Electronic Arts, Inc. (a)		6,416		151,418
Fiserv, Inc. (a)		2,755		172,546
Infosys Ltd. Sponsored ADR (India)		1,934		126,155
Intuit, Inc. (a)		5,800		300,788
Microsoft Corp.		161,618		4,202,068
Oracle Corp.		96,999		3,192,237
				9,766,116
Telecommunications — 8.6%
Cisco Systems, Inc.		105,421		1,645,622
NII Holdings, Inc. (a)		3,249		137,693
Qualcomm, Inc.		32,008		1,817,734
Virgin Media, Inc.		6,076		181,855
Vodafone Group PLC Sponsored ADR (United Kingdom)		16,631		444,380
				4,227,284
Toys, Games & Hobbies — 0.4%
Mattel, Inc.		6,704		184,293

	Number of Shares		Value
Transportation — 0.9%
C.H. Robinson Worldwide, Inc.		3,174	$	250,238
Expeditors International of Washington, Inc.		4,054		207,524
				457,762
TOTAL COMMON STOCK (Cost $41,238,148)				49,151,570
TOTAL EQUITIES (Cost $41,238,148)				49,151,570
TOTAL LONG-TERM INVESTMENTS (Cost $41,238,148)				49,151,570
	Principal Amount
SHORT-TERM INVESTMENTS — 0.4%
Discount Notes — 0.2%
U.S. Treasury Bill (b) 0.051% 11/17/11	$	60,000		59,988
U.S. Treasury Bill (b) 0.065% 11/17/11		30,000		29,992
U.S. Treasury Bill (b) 0.095% 11/17/11		15,000		14,995
				104,975
Repurchase Agreement — 0.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (c)		108,067		108,067
TOTAL SHORT-TERM INVESTMENTS (Cost $213,042)				213,042
TOTAL INVESTMENTS — 100.4% (Cost $41,451,190) (d)				49,364,612
Other Assets/(Liabilities) — (0.4)%				(195,079	)
NET ASSETS — 100.0%			$	49,169,533

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) A portion of this security is held as collateral for open futures contracts. (Note 2).

(c) Maturity value of $108,067. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 8/15/39, and an aggregate market value, including accrued interest, of $111,176.

(d) See Note 6 for aggregate cost for federal tax purposes.

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

105

MassMutual Select Focused Value Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 93.9%
COMMON STOCK — 93.9%
Aerospace & Defense — 5.4%
The Boeing Co.		480,000	$	35,486,400
Banks — 5.3%
Wells Fargo & Co.		1,229,300		34,494,158
Commercial Services — 10.6%
Robert Half International, Inc.		1,100,000		29,733,000
Visa, Inc. Class A		466,000		39,265,160
				68,998,160
Computers — 4.4%
Diebold, Inc.		920,000		28,529,200
Diversified Financial — 7.4%
Discover Financial Services		424,500		11,355,375
Franklin Resources, Inc.		280,000		36,761,200
				48,116,575
Electric — 5.2%
Calpine Corp. (a)		2,100,000		33,873,000
Entertainment — 4.9%
Penn National Gaming, Inc. (a)		800,000		32,272,000
Leisure Time — 5.2%
Carnival Corp.		900,000		33,867,000
Lodging — 3.1%
Starwood Hotels & Resorts Worldwide, Inc.		360,000		20,174,400
Machinery – Construction & Mining — 0.9%
Caterpillar, Inc.		56,000		5,961,760
Manufacturing — 5.1%
Illinois Tool Works, Inc.		586,500		33,131,385
Oil & Gas — 13.4%
Apache Corp.		200,000		24,678,000
Range Resources Corp.		581,700		32,284,350
Ultra Petroleum Corp. (a)		667,600		30,576,080
				87,538,430
Oil & Gas Services — 7.5%
National Oilwell Varco, Inc.		400,000		31,284,000
Transocean Ltd.		270,000		17,431,200
				48,715,200
Retail — 3.8%
Cabela’s, Inc. (a)		453,113		12,302,018
Tiffany & Co.		163,600		12,845,872
				25,147,890

	Number of Shares		Value
Semiconductors — 11.7%
Applied Materials, Inc.		2,450,000	$	31,874,500
Intel Corp.		2,000,000		44,320,000
				76,194,500
TOTAL COMMON STOCK (Cost $484,794,638)				612,500,058
TOTAL EQUITIES (Cost $484,794,638)				612,500,058
TOTAL LONG-TERM INVESTMENTS (Cost $484,794,638)				612,500,058
	Principal Amount
SHORT-TERM INVESTMENTS — 5.5%
Repurchase Agreement — 5.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (b)	$	35,902,301		35,902,301
TOTAL SHORT-TERM INVESTMENTS (Cost $35,902,301)				35,902,301
TOTAL INVESTMENTS — 99.4% (Cost $520,696,939) (c)				648,402,359
Other Assets/(Liabilities) — 0.6%				3,638,692
NET ASSETS — 100.0%			$	652,041,051

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $35,902,311. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 8/15/39, and an aggregate market value, including accrued interest, of $36,623,493.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

106

MassMutual Select Mid-Cap Value Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.3%
COMMON STOCK — 98.3%
Aerospace & Defense — 1.5%
L-3 Communications Holdings, Inc.		14,100	$	1,233,045
Triumph Group, Inc.		11,455		1,140,689
				2,373,734
Agriculture — 1.2%
Reynolds American, Inc.		51,775		1,918,264
Apparel — 0.4%
VF Corp.		5,600		607,936
Automotive & Parts — 2.3%
Lear Corp.		68,600		3,668,728
Banks — 4.8%
Cullen/Frost Bankers, Inc.		19,900		1,131,315
Fifth Third Bancorp		175,725		2,240,494
Huntington Bancshares, Inc.		287,775		1,887,804
KeyCorp		262,525		2,186,833
				7,446,446
Beverages — 0.3%
Constellation Brands, Inc. Class A (a)		23,875		497,078
Building Materials — 0.7%
Owens Corning, Inc. (a)		29,150		1,088,753
Chemicals — 1.6%
Agrium, Inc.		10,125		888,570
Huntsman Corp.		85,040		1,603,004
				2,491,574
Coal — 1.0%
Walter Energy, Inc.		13,700		1,586,460
Commercial Services — 2.1%
Hertz Global Holdings, Inc. (a)		65,050		1,032,994
McKesson Corp.		14,700		1,229,655
Weight Watchers International, Inc.		12,625		952,809
				3,215,458
Computers — 0.7%
Western Digital Corp. (a)		29,550		1,075,029
Distribution & Wholesale — 0.3%
United Stationers, Inc.		14,875		527,021
Diversified Financial — 5.9%
Discover Financial Services		91,200		2,439,600
Federated Investors, Inc. Class B		45,800		1,091,872
Invesco Ltd.		71,475		1,672,515
NYSE Euronext		16,300		558,601
Raymond James Financial, Inc.		40,300		1,295,645
SLM Corp.		132,650		2,229,846
				9,288,079

	Number of Shares		Value
Electric — 4.2%
CMS Energy Corp.		109,725	$	2,160,485
Edison International		29,200		1,131,500
FirstEnergy Corp.		48,425		2,137,964
SCANA Corp.		28,300		1,114,171
				6,544,120
Electronics — 0.8%
Jabil Circuit, Inc.		58,400		1,179,680
Engineering & Construction — 1.3%
KBR, Inc.		53,070		2,000,208
Foods — 4.6%
ConAgra Foods, Inc.		46,300		1,195,003
Corn Products International, Inc.		24,000		1,326,720
The Kroger Co.		24,700		612,560
Smithfield Foods, Inc. (a)		61,350		1,341,724
Sysco Corp.		33,525		1,045,310
The Hain Celestial Group, Inc. (a)		48,850		1,629,636
				7,150,953
Forest Products & Paper — 1.7%
International Paper Co.		41,000		1,222,620
MeadWestvaco Corp.		43,275		1,441,490
				2,664,110
Gas — 4.3%
AGL Resources, Inc.		29,300		1,192,803
Atmos Energy Corp.		34,600		1,150,450
Energen Corp.		27,075		1,529,737
NiSource, Inc.		137,700		2,788,425
				6,661,415
Health Care – Products — 2.0%
C.R. Bard, Inc.		11,900		1,307,334
Zimmer Holdings, Inc. (a)		28,775		1,818,580
				3,125,914
Health Care – Services — 4.2%
CIGNA Corp.		32,150		1,653,475
Health Management Associates, Inc. Class A (a)		186,875		2,014,512
Health Net, Inc. (a)		55,425		1,778,588
Quest Diagnostics, Inc.		19,600		1,158,360
				6,604,935
Household Products — 0.7%
Avery Dennison Corp.		30,100		1,162,763
Insurance — 6.8%
The Hartford Financial Services Group, Inc.		62,600		1,650,762
Lincoln National Corp.		59,450		1,693,731
Marsh & McLennan Cos., Inc.		70,775		2,207,472

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

107

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

	Number of Shares		Value
Mercury General Corp.		26,900	$	1,062,281
Reinsurance Group of America, Inc. Class A		18,700		1,138,082
Unum Group		44,600		1,136,408
XL Group PLC		80,950		1,779,281
				10,668,017
Internet — 1.8%
Symantec Corp. (a)		101,775		2,007,003
ValueClick, Inc. (a)		50,325		835,395
				2,842,398
Iron & Steel — 0.7%
Reliance Steel & Aluminum Co.		22,600		1,122,090
Leisure Time — 0.8%
Harley-Davidson, Inc.		30,725		1,258,803
Lodging — 0.7%
Wyndham Worldwide Corp.		34,125		1,148,306
Machinery – Diversified — 1.0%
Eaton Corp.		29,550		1,520,348
Manufacturing — 1.1%
Pentair, Inc.		40,800		1,646,688
Media — 0.5%
CBS Corp. Class B		30,025		855,412
Metal Fabricate & Hardware — 1.1%
The Timken Co.		32,625		1,644,300
Mining — 1.9%
Alcoa, Inc.		119,500		1,895,270
Yamana Gold, Inc.		97,200		1,130,436
				3,025,706
Office Equipment/Supplies — 1.6%
Xerox Corp.		236,400		2,460,924
Oil & Gas — 5.3%
Chesapeake Energy Corp.		37,100		1,101,499
Denbury Resources, Inc. (a)		104,400		2,088,000
Murphy Oil Corp.		17,000		1,116,220
Nexen, Inc.		53,900		1,212,750
SM Energy Co.		7,925		582,329
Western Refining, Inc. (a)		117,025		2,114,642
				8,215,440
Oil & Gas Services — 2.4%
Oil States International, Inc. (a)		18,575		1,484,328
Superior Energy Services, Inc. (a)		30,375		1,128,128
Tidewater, Inc.		22,000		1,183,820
				3,796,276
Packaging & Containers — 0.8%
Sonoco Products Co.		33,500		1,190,590

	Number of Shares		Value
Pharmaceuticals — 1.2%
Cardinal Health, Inc.		40,975	$	1,861,085
Real Estate Investment Trusts (REITS) — 5.5%
Annaly Capital Management, Inc.		31,500		568,260
BioMed Realty Trust, Inc.		28,400		546,416
CBL & Associates Properties, Inc.		107,800		1,954,414
Duke Realty Corp.		84,000		1,176,840
DuPont Fabros Technology, Inc.		33,025		832,230
Home Properties, Inc.		21,900		1,333,272
Hospitality Properties Trust		47,700		1,156,725
Vornado Realty Trust		11,575		1,078,558
				8,646,715
Retail — 7.1%
The Gap, Inc.		58,200		1,053,420
Kohl’s Corp.		22,800		1,140,228
Limited Brands, Inc.		17,300		665,185
Macy’s, Inc.		91,450		2,673,998
Nu Skin Enterprises, Inc. Class A		17,200		645,860
Phillips-Van Heusen Corp.		22,910		1,499,917
Pier 1 Imports, Inc. (a)		96,675		1,118,530
Signet Jewelers Ltd. (a)		37,575		1,758,886
Williams-Sonoma, Inc.		14,725		537,315
				11,093,339
Savings & Loans — 1.1%
First Niagara Financial Group, Inc.		135,750		1,791,900
Semiconductors — 2.1%
Atmel Corp. (a)		139,250		1,959,248
KLA-Tencor Corp.		14,000		566,720
Xilinx, Inc.		19,400		707,518
				3,233,486
Software — 1.6%
CA, Inc.		48,100		1,098,604
Progress Software Corp. (a)		58,187		1,404,052
				2,502,656
Telecommunications — 2.5%
Alcatel-Lucent Sponsored ADR (France) (a)		237,575		1,370,808
CenturyLink, Inc.		28,501		1,152,295
MetroPCS Communications, Inc. (a)		76,075		1,309,251
				3,832,354
Toys, Games & Hobbies — 0.8%
Mattel, Inc.		43,800		1,204,062
Transportation — 1.5%
Atlas Air Worldwide Holdings, Inc. (a)		8,600		511,786
Ryder System, Inc.		31,125		1,769,456
				2,281,242

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

108

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

	Number of Shares		Value
Water — 1.8%
American Water Works Co., Inc.		97,200	$	2,862,540
TOTAL COMMON STOCK (Cost $138,509,008)				153,583,335
TOTAL EQUITIES (Cost $138,509,008)				153,583,335
TOTAL LONG-TERM INVESTMENTS (Cost $138,509,008)				153,583,335
	Principal Amount
SHORT-TERM INVESTMENTS — 2.0%
Repurchase Agreement — 2.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (b)	$	3,157,017		3,157,017
TOTAL SHORT-TERM INVESTMENTS (Cost $3,157,017)				3,157,017
TOTAL INVESTMENTS — 100.3% (Cost $141,666,025) (c)				156,740,352
Other Assets/(Liabilities) — (0.3)%				(471,813	)
NET ASSETS — 100.0%			$	156,268,539

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $3,157,018. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% - 4.000%, maturity dates ranging from 5/15/39 - 11/15/40, and an aggregate market value, including accrued interest, of $3,224,113.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

109

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.7%
COMMON STOCK — 96.7%
Apparel — 1.2%
Ascena Retail Group, Inc. (a)		27,100	$	922,755
Skechers U.S.A., Inc. Class A (a)		27,500		398,200
				1,320,955
Auto Manufacturers — 0.8%
Oshkosh Corp. (a)		29,100		842,154
Automotive & Parts — 1.2%
American Axle & Manufacturing Holdings, Inc. (a)		119,000		1,354,220
Banks — 6.8%
Center Financial Corp. (a)		10,600		67,310
First Midwest Bancorp, Inc.		70,000		860,300
Hancock Holding Co.		14,800		458,504
International Bancshares Corp.		45,300		757,869
MB Financial, Inc.		28,900		556,036
Nara Bancorp, Inc. (a)		5,200		42,276
Northwest Bancshares, Inc.		76,700		964,886
Prosperity Bancshares, Inc.		35,800		1,568,756
Synovus Financial Corp.		491,200		1,021,696
Webster Financial Corp.		44,800		941,696
Westamerica Bancorp.		5,900		290,575
				7,529,904
Biotechnology — 0.9%
Charles River Laboratories International, Inc. (a)		25,000		1,016,250
Building Materials — 2.4%
Comfort Systems USA, Inc.		56,500		599,465
Gibraltar Industries, Inc. (a)		43,906		497,016
Simpson Manufacturing Co., Inc.		37,900		1,132,073
Trex Co., Inc. (a)		18,300		447,984
				2,676,538
Chemicals — 1.8%
Kraton Performance Polymers, Inc. (a)		12,200		477,874
PolyOne Corp.		96,700		1,495,949
				1,973,823
Commercial Services — 9.2%
Aaron’s, Inc.		26,950		761,607
Arbitron, Inc.		33,100		1,368,023
Insperity, Inc.		22,200		657,342
Korn/Ferry International (a)		60,600		1,332,594
MAXIMUS, Inc.		32,700		2,705,271
RSC Holdings, Inc. (a)		117,600		1,406,496
Towers Watson & Co. Class A		9,500		624,245
Valassis Communications, Inc. (a)		42,100		1,275,630
				10,131,208

	Number of Shares		Value
Computers — 3.0%
Diebold, Inc.		26,900	$	834,169
Electronics for Imaging, Inc. (a)		9,723		167,430
Mentor Graphics Corp. (a)		120,200		1,539,762
Mercury Computer Systems, Inc. (a)		40,800		762,144
				3,303,505
Distribution & Wholesale — 1.2%
United Stationers, Inc.		38,000		1,346,340
Diversified Financial — 1.0%
Federated Investors, Inc. Class B		18,700		445,808
Janus Capital Group, Inc.		70,200		662,688
				1,108,496
Electric — 1.3%
Unisource Energy Corp.		23,400		873,522
Westar Energy, Inc.		21,300		573,183
				1,446,705
Electrical Components & Equipment — 2.5%
Belden, Inc.		45,900		1,600,074
Littelfuse, Inc.		20,300		1,192,016
				2,792,090
Electronics — 6.3%
Coherent, Inc. (a)		7,800		431,106
Faro Technologies, Inc. (a)		16,900		740,220
Gentex Corp.		45,900		1,387,557
Park Electrochemical Corp.		33,000		922,350
Plexus Corp. (a)		43,400		1,510,754
Vishay Intertechnology, Inc. (a)		121,700		1,830,368
Vishay Precision Group, Inc. (a)		6,850		115,628
				6,937,983
Engineering & Construction — 0.8%
Insituform Technologies, Inc. Class A (a)		44,300		928,971
Entertainment — 0.4%
Bally Technologies, Inc. (a)		12,000		488,160
Foods — 0.8%
Ralcorp Holdings, Inc. (a)		10,700		926,406
Forest Products & Paper — 0.6%
Deltic Timber Corp.		13,000		697,970
Gas — 2.1%
Atmos Energy Corp.		17,500		581,875
New Jersey Resources Corp.		10,300		459,483
UGI Corp.		25,900		825,951
WGL Holdings, Inc.		11,700		450,333
				2,317,642
Hand & Machine Tools — 1.1%
Regal-Beloit Corp.		18,800		1,255,276

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

110

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

	Number of Shares		Value
Health Care – Products — 0.3%
Haemonetics Corp. (a)		5,000	$	321,850
Health Care – Services — 3.3%
AmSurg Corp. (a)		34,100		891,033
HEALTHSOUTH Corp. (a)		56,100		1,472,625
ICON PLC Sponsored ADR (Ireland) (a)		54,800		1,291,088
				3,654,746
Home Furnishing — 1.3%
Whirlpool Corp.		17,000		1,382,440
Household Products — 0.5%
Acco Brands Corp. (a)		77,200		606,020
Insurance — 6.9%
Alleghany Corp. (a)		1,458		485,674
Assured Guaranty Ltd.		31,400		512,134
Delphi Financial Group, Inc. Class A		41,200		1,203,452
Platinum Underwriters Holdings Ltd.		20,700		688,068
Primerica, Inc.		28,800		632,736
ProAssurance Corp. (a)		15,000		1,050,000
Reinsurance Group of America, Inc. Class A		20,500		1,247,630
Torchmark Corp.		18,800		1,205,832
White Mountains Insurance Group Ltd.		1,400		588,224
				7,613,750
Internet — 0.8%
Websense, Inc. (a)		32,800		851,816
Investment Companies — 0.8%
Ares Capital Corp.		55,300		888,671
Leisure Time — 1.0%
Brunswick Corp.		51,700		1,054,680
Lodging — 0.5%
Choice Hotels International, Inc.		16,700		557,112
Machinery – Construction & Mining — 1.4%
Terex Corp. (a)		53,100		1,510,695
Machinery – Diversified — 3.7%
Albany International Corp. Class A		41,200		1,087,268
Cognex Corp.		42,500		1,505,775
Flowserve Corp.		6,600		725,274
Zebra Technologies Corp. Class A (a)		18,000		759,060
				4,077,377
Manufacturing — 4.4%
Acuity Brands, Inc.		9,100		507,598
AptarGroup, Inc.		15,100		790,334
Carlisle Cos., Inc.		42,000		2,067,660
ESCO Technologies, Inc.		21,500		791,200
Matthews International Corp. Class A		18,200		730,730
				4,887,522

	Number of Shares		Value
Media — 0.6%
John Wiley & Sons, Inc. Class A		12,100	$	629,321
Metal Fabricate & Hardware — 1.0%
Mueller Industries, Inc.		29,200		1,106,972
Office Furnishings — 1.1%
Herman Miller, Inc.		46,400		1,263,008
Oil & Gas — 2.1%
GeoResources, Inc. (a)		25,000		562,250
Penn Virginia Corp.		36,800		486,128
Plains Exploration & Production Co. (a)		19,000		724,280
Whiting Petroleum Corp. (a)		10,000		569,100
				2,341,758
Oil & Gas Services — 0.7%
SEACOR Holdings, Inc.		7,600		759,696
Packaging & Containers — 0.4%
Greif, Inc. Class A		7,100		461,713
Real Estate Investment Trusts (REITS) — 1.0%
DiamondRock Hospitality Co.		35,334		379,134
Mack-Cali Realty Corp.		10,800		355,752
Ventas, Inc.		7,500		395,325
				1,130,211
Retail — 7.5%
Cabela’s, Inc. (a)		55,200		1,498,680
Casey’s General Stores, Inc.		17,700		778,800
The Cato Corp. Class A		46,000		1,324,800
CEC Entertainment, Inc.		17,821		714,800
Fred’s, Inc. Class A		40,300		581,529
The Men’s Wearhouse, Inc.		45,900		1,546,830
Sonic Corp. (a)		62,100		660,123
Stage Stores, Inc.		68,600		1,152,480
				8,258,042
Savings & Loans — 0.5%
First Niagara Financial Group, Inc.		40,960		540,672
Semiconductors — 2.3%
Brooks Automation, Inc. (a)		123,100		1,336,866
Maxim Integrated Products, Inc.		46,400		1,185,984
				2,522,850
Software — 1.4%
Fiserv, Inc. (a)		24,300		1,521,909
Storage & Warehousing — 1.2%
Mobile Mini, Inc. (a)		63,200		1,339,208
Textiles — 0.5%
G&K Services, Inc. Class A		16,800		568,848
Toys, Games & Hobbies — 1.4%
Mattel, Inc.		54,800		1,506,452

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

111

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

	Number of Shares		Value
Transportation — 3.9%
Bristow Group, Inc.		12,100	$	617,342
Forward Air Corp.		42,000		1,419,180
Genesee & Wyoming, Inc. Class A (a)		19,000		1,114,160
Kirby Corp. (a)		19,500		1,105,065
				4,255,747
Trucking & Leasing — 0.8%
GATX Corp.		24,800		920,576
TOTAL COMMON STOCK (Cost $87,043,677)				106,928,258
TOTAL EQUITIES (Cost $87,043,677)				106,928,258
TOTAL LONG-TERM INVESTMENTS (Cost $87,043,677)				106,928,258
	Principal Amount
SHORT-TERM INVESTMENTS — 3.4%
Repurchase Agreement — 3.4%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (b)	$	3,731,288		3,731,288
TOTAL SHORT-TERM INVESTMENTS (Cost $3,731,288)				3,731,288
TOTAL INVESTMENTS — 100.1% (Cost $90,774,965) (c)				110,659,546
Other Assets/(Liabilities) — (0.1)%				(120,575	)
NET ASSETS — 100.0%			$	110,538,971

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $3,731,289. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% - 4.000%, maturity dates ranging from 5/15/39 - 11/15/40, and an aggregate market value, including accrued interest, of $3,810,510.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

112

MassMutual Select Small Company Value Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.4%
COMMON STOCK — 95.9%
Aerospace & Defense — 2.0%
AAR Corp.		32,000	$	866,880
Curtiss-Wright Corp.		31,500		1,019,655
Ducommun, Inc.		46,600		958,562
Esterline Technologies Corp. (a)		14,450		1,103,980
Kaman Corp.		44,900		1,592,603
Kratos Defense & Security Solutions, Inc. (a)		211,800		2,575,488
Moog, Inc. Class A (a)		24,048		1,046,569
Teledyne Technologies, Inc. (a)		17,000		856,120
Triumph Group, Inc.		14,700		1,463,826
				11,483,683
Agriculture — 0.2%
Alliance One International, Inc. (a)		414,350		1,338,351
Airlines — 0.8%
Alaska Air Group, Inc. (a)		54,500		3,731,070
JetBlue Airways Corp. (a)		138,845		846,954
				4,578,024
Apparel — 0.5%
K-Swiss, Inc. Class A (a)		109,700		1,166,111
The Timberland Co. Class A (a)		32,475		1,395,451
				2,561,562
Automotive & Parts — 0.8%
Cooper Tire & Rubber Co.		116,525		2,306,030
Spartan Motors, Inc.		116,225		627,615
Tenneco, Inc. (a)		35,775		1,576,604
				4,510,249
Banks — 6.7%
City Holding Co.		35,235		1,163,812
Columbia Banking System, Inc.		46,500		800,730
East West Bancorp, Inc.		179,975		3,637,295
F.N.B. Corp.		165,900		1,717,065
FirstMerit Corp.		94,987		1,568,235
Glacier Bancorp, Inc.		125,000		1,685,000
Home Bancshares, Inc.		82,900		1,959,756
IBERIABANK Corp.		19,990		1,152,224
Independent Bank Corp.		55,885		1,466,981
National Penn Bancshares, Inc.		193,575		1,535,050
Northwest Bancshares, Inc.		89,000		1,119,620
Old National Bancorp		145,100		1,567,080
Prosperity Bancshares, Inc.		29,435		1,289,842
Sandy Spring Bancorp, Inc.		27,700		498,323
Signature Bank (a)		34,000		1,944,800
Susquehanna Bancshares, Inc.		164,525		1,316,200
SVB Financial Group (a)		84,000		5,015,640
Trustmark Corp.		96,263		2,253,517
Umpqua Holdings Corp.		200,075		2,314,868

	Number of Shares		Value
United Bankshares, Inc.		29,500	$	722,160
Webster Financial Corp.		52,525		1,104,075
Wintrust Financial Corp.		69,000		2,220,420
				38,052,693
Biotechnology — 0.2%
Exelixis, Inc. (a)		153,600		1,376,256
Building Materials — 1.1%
Comfort Systems USA, Inc.		87,300		926,253
Drew Industries, Inc.		86,500		2,138,280
Gibraltar Industries, Inc. (a)		104,000		1,177,280
Interline Brands, Inc. (a)		55,230		1,014,575
Universal Forest Products, Inc.		47,500		1,138,100
				6,394,488
Chemicals — 2.2%
American Vanguard Corp.		87,100		1,129,687
Arch Chemicals, Inc.		61,300		2,111,172
Georgia Gulf Corp. (a)		43,950		1,060,953
Innospec, Inc. (a)		100,000		3,361,000
Minerals Technologies, Inc.		39,350		2,608,512
OM Group, Inc. (a)		26,980		1,096,467
The Valspar Corp.		35,400		1,276,524
				12,644,315
Coal — 0.3%
Cloud Peak Energy, Inc. (a)		67,900		1,446,270
Commercial Services — 5.4%
Aaron’s, Inc.		268,800		7,596,288
Deluxe Corp.		59,650		1,473,952
Electro Rent Corp.		125,400		2,146,848
Exponent, Inc. (a)		19,925		866,937
FTI Consulting, Inc. (a)		37,000		1,403,780
Global Payments, Inc.		30,700		1,565,700
Healthspring, Inc. (a)		29,075		1,340,648
Kforce, Inc. (a)		84,425		1,104,279
Landauer, Inc.		22,700		1,398,093
McGrath Rentcorp		112,500		3,159,000
Navigant Consulting, Inc. (a)		117,200		1,229,428
On Assignment, Inc. (a)		162,000		1,592,460
Pharmaceutical Product Development, Inc.		44,200		1,186,328
PHH Corp. (a)		64,925		1,332,261
Rent-A-Center, Inc.		55,850		1,706,776
Service Corp. International		96,700		1,129,456
Startek, Inc. (a)		87,036		300,274
				30,532,508
Computers — 0.3%
MTS Systems Corp.		24,400		1,020,652
Xyratex Ltd. (a)		63,000		646,380
				1,667,032

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

113

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

	Number of Shares		Value
Distribution & Wholesale — 2.0%
Beacon Roofing Supply, Inc. (a)		186,100	$	4,246,802
Owens & Minor, Inc.		135,500		4,673,395
Pool Corp.		72,000		2,146,320
				11,066,517
Diversified Financial — 2.6%
E*TRADE Financial Corp. (a)		77,530		1,069,914
Eaton Vance Corp.		36,827		1,113,280
GFI Group, Inc.		342,500		1,572,075
Jefferies Group, Inc.		44,400		905,760
JMP Group, Inc.		62,300		437,969
Knight Capital Group, Inc. Class A (a)		154,850		1,706,447
Lazard Ltd. Class A		24,850		921,935
Piper Jaffray Cos., Inc. (a)		42,150		1,214,342
Raymond James Financial, Inc.		47,103		1,514,361
Stifel Financial Corp. (a)		111,825		4,010,045
				14,466,128
Electric — 3.8%
Avista Corp.		76,050		1,953,725
Black Hills Corp.		36,700		1,104,303
Cleco Corp.		76,550		2,667,767
El Paso Electric Co.		174,850		5,647,655
The Empire District Electric Co.		22,800		439,128
IDACORP, Inc.		40,975		1,618,513
MGE Energy, Inc.		20,200		818,706
NorthWestern Corp.		46,200		1,529,682
Pike Electric Corp. (a)		113,375		1,002,235
Portland General Electric Co.		110,975		2,805,448
TECO Energy, Inc.		110,850		2,093,956
				21,681,118
Electrical Components & Equipment — 1.4%
Advanced Energy Industries, Inc. (a)		103,400		1,529,286
Belden, Inc.		64,400		2,244,984
EnerSys (a)		7,900		271,918
GrafTech International Ltd. (a)		50,010		1,013,703
Littelfuse, Inc.		46,300		2,718,736
				7,778,627
Electronics — 2.4%
Analogic Corp.		22,900		1,204,311
Checkpoint Systems, Inc. (a)		43,498		777,744
CTS Corp.		57,115		552,302
Cymer, Inc. (a)		42,300		2,094,273
Electro Scientific Industries, Inc. (a)		50,500		974,650
Itron, Inc. (a)		16,600		799,456
Methode Electronics, Inc.		48,800		566,568
Multi-Fineline Electronix, Inc. (a)		31,525		681,255
Newport Corp. (a)		78,000		1,417,260
Pulse Electronics Corp.		147,870		653,585
Thomas & Betts Corp. (a)		22,050		1,187,393

	Number of Shares		Value
Woodward, Inc.		75,300	$	2,624,958
				13,533,755
Engineering & Construction — 0.6%
Insituform Technologies, Inc. Class A (a)		100,200		2,101,194
Sterling Construction Co., Inc. (a)		28,600		393,822
URS Corp. (a)		24,200		1,082,708
				3,577,724
Entertainment — 0.3%
Ascent Media Corp. Series A (a)		31,100		1,647,367
Environmental Controls — 1.0%
Calgon Carbon Corp. (a)		87,425		1,486,225
Mine Safety Appliances Co.		39,900		1,489,866
Waste Connections, Inc.		85,750		2,720,847
				5,696,938
Foods — 0.7%
Nash Finch Co.		45,300		1,622,193
Spartan Stores, Inc.		36,040		703,861
TreeHouse Foods, Inc. (a)		32,055		1,750,524
				4,076,578
Forest Products & Paper — 1.5%
Clearwater Paper Corp. (a)		29,400		2,007,432
Deltic Timber Corp.		38,000		2,040,220
KapStone Paper and Packaging Corp. (a)		54,700		906,379
Potlatch Corp.		74,000		2,609,980
Wausau Paper Corp.		121,000		815,540
				8,379,551
Gas — 1.7%
AGL Resources, Inc.		31,970		1,301,499
South Jersey Industries, Inc.		24,597		1,335,863
Southern Union Co.		37,250		1,495,587
Southwest Gas Corp.		51,200		1,976,832
UGI Corp.		48,375		1,542,679
Vectren Corp.		37,000		1,030,820
WGL Holdings, Inc.		31,084		1,196,423
				9,879,703
Hand & Machine Tools — 0.4%
Franklin Electric Co., Inc.		24,200		1,136,190
Snap-on, Inc.		19,400		1,212,112
				2,348,302
Health Care – Products — 1.3%
Alere, Inc. (a)		25,075		918,247
AngioDynamics, Inc. (a)		66,000		939,180
Cantel Medical Corp.		19,900		535,509
Merit Medical Systems, Inc. (a)		36,031		647,477
PSS World Medical, Inc. (a)		22,700		635,827
Quidel Corp. (a)		67,700		1,025,655

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

114

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

	Number of Shares		Value
West Pharmaceutical Services, Inc.		54,100	$	2,367,416
				7,069,311
Health Care – Services — 2.6%
Amedisys, Inc. (a)		23,900		636,457
AMERIGROUP Corp. (a)		46,825		3,299,758
Covance, Inc. (a)		29,575		1,755,868
Coventry Health Care, Inc. (a)		36,675		1,337,537
Healthways, Inc. (a)		36,430		553,007
ICON PLC Sponsored ADR (Ireland) (a)		50,650		1,193,314
Magellan Health Services, Inc. (a)		23,535		1,288,306
MEDNAX, Inc. (a)		19,999		1,443,728
National Healthcare Corp.		39,900		1,977,843
Triple-S Management Corp. Class B (a)		62,000		1,347,260
				14,833,078
Home Builders — 0.7%
M/I Homes, Inc. (a)		47,400		581,124
Meritage Home Corp. (a)		107,600		2,427,456
Winnebago Industries, Inc. (a)		111,200		1,074,192
				4,082,772
Home Furnishing — 0.4%
Ethan Allen Interiors, Inc.		34,600		736,634
La-Z-Boy, Inc. (a)		100,425		991,195
Stanley Furniture Co., Inc. (a)		66,800		279,892
				2,007,721
Household Products — 0.6%
CSS Industries, Inc.		51,900		1,086,267
Helen of Troy Ltd. (a)		32,100		1,108,413
The Scotts Miracle-Gro Co. Class A		23,200		1,190,392
				3,385,072
Insurance — 5.4%
Alterra Capital Holdings Ltd.		164,050		3,658,315
Argo Group International Holdings Ltd.		80,378		2,388,834
CNO Financial Group, Inc. (a)		169,425		1,340,152
Delphi Financial Group, Inc. Class A		75,477		2,204,683
Employers Holdings, Inc.		95,450		1,600,696
Fortegra Financial Corp. (a)		26,200		205,408
Maiden Holdings Ltd.		145,950		1,328,145
Markel Corp. (a)		4,100		1,626,921
MGIC Investment Corp. (a)		83,175		494,891
National Interstate Corp.		76,700		1,756,430
Platinum Underwriters Holdings Ltd.		45,715		1,519,567
ProAssurance Corp. (a)		103,425		7,239,750
Protective Life Corp.		46,600		1,077,858
Radian Group, Inc.		320,000		1,353,600
Reinsurance Group of America, Inc. Class A		25,500		1,551,930
State Auto Financial Corp. Class A		25,500		444,465

	Number of Shares		Value
United Fire & Casualty Co.		23,800	$	413,406
				30,205,051
Internet — 0.9%
Digital River, Inc. (a)		30,800		990,528
j2 Global Communications, Inc. (a)		43,480		1,227,440
Safeguard Scientifics, Inc. (a)		45,400		857,152
Websense, Inc. (a)		75,700		1,965,929
				5,041,049
Investment Companies — 0.5%
American Capital Ltd. (a)		118,250		1,174,223
Apollo Investment Corp.		71,825		733,333
Ares Capital Corp.		46,500		747,255
				2,654,811
Iron & Steel — 0.7%
Carpenter Technology Corp.		56,000		3,230,080
Schnitzer Steel Industries, Inc. Class A		11,700		673,920
				3,904,000
Leisure Time — 0.3%
Brunswick Corp.		35,300		720,120
LIFE TIME FITNESS, Inc. (a)		31,200		1,245,192
				1,965,312
Lodging — 0.3%
Orient-Express Hotels Ltd. (a)		168,200		1,808,150
Machinery – Construction & Mining — 0.2%
Astec Industries, Inc. (a)		30,400		1,124,192
Machinery – Diversified — 2.6%
Cascade Corp.		30,700		1,460,399
Cognex Corp.		25,100		889,293
IDEX Corp.		67,725		3,105,191
Nordson Corp.		102,800		5,638,580
Robbins & Myers, Inc.		68,400		3,614,940
				14,708,403
Manufacturing — 4.0%
Ameron International Corp.		27,900		1,832,472
AptarGroup, Inc.		78,900		4,129,626
Barnes Group, Inc.		69,300		1,719,333
Ceradyne, Inc. (a)		53,935		2,102,926
EnPro Industries, Inc. (a)		33,225		1,597,126
FreightCar America, Inc. (a)		45,225		1,146,001
Harsco Corp.		27,000		880,200
Hexcel Corp. (a)		64,400		1,409,716
Koppers Holdings, Inc.		30,375		1,152,124
Matthews International Corp. Class A		72,900		2,926,935
Myers Industries, Inc.		257,020		2,642,165
Tredegar Corp.		60,400		1,108,340
				22,646,964
Media — 0.5%
The Dolan Co. (a)		66,000		559,020

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

115

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

	Number of Shares		Value
Saga Communications, Inc. Class A (a)		27,800	$	1,028,600
World Wrestling Entertainment, Inc. Class A		135,975		1,295,842
				2,883,462
Metal Fabricate & Hardware — 1.0%
Ampco-Pittsburgh Corp.		34,185		801,638
Circor International, Inc.		41,200		1,764,596
Sims Group Ltd. Sponsored ADR (Australia)		64,400		1,222,956
The Timken Co.		35,700		1,799,280
				5,588,470
Mining — 2.4%
AMCOL International Corp.		58,200		2,220,912
Franco-Nevada Corp.		52,900		1,974,597
Globe Specialty Metals, Inc.		77,700		1,742,034
Hecla Mining Co. (a)		81,600		627,504
Materion Corp. (a)		35,325		1,305,965
Molycorp, Inc. (a)		24,274		1,482,171
North American Palladium Ltd. (a)		136,000		557,600
Royal Gold, Inc.		36,000		2,108,520
Thompson Creek Metals Co., Inc. (a)		152,000		1,516,960
				13,536,263
Oil & Gas — 4.2%
Atwood Oceanics, Inc. (a)		31,100		1,372,443
Berry Petroleum Co. Class A		33,875		1,799,779
Cabot Oil & Gas Corp.		43,100		2,857,961
Energy XXI (Bermuda) Ltd. (a)		66,800		2,219,096
Forest Oil Corp. (a)		49,500		1,322,145
Frontier Oil Corp.		23,425		756,862
Hercules Offshore, Inc. (a)		101,200		557,612
Northern Oil and Gas, Inc. (a)		100,000		2,215,000
Oasis Petroleum, Inc. (a)		100,000		2,968,000
Penn Virginia Corp.		128,400		1,696,164
Rosetta Resources, Inc. (a)		23,775		1,225,363
SandRidge Energy, Inc. (a)		162,175		1,728,785
Stone Energy Corp. (a)		56,600		1,720,074
Swift Energy Co. (a)		31,600		1,177,732
				23,617,016
Oil & Gas Services — 3.2%
CARBO Ceramics, Inc.		23,100		3,764,145
Core Laboratories NV		19,000		2,119,260
Dresser-Rand Group, Inc. (a)		18,600		999,750
Gulf Island Fabrication, Inc.		28,075		906,261
Key Energy Services, Inc. (a)		125,725		2,263,050
Lufkin Industries, Inc.		24,232		2,085,164
Oil States International, Inc. (a)		23,775		1,899,860
Tesco Corp. (a)		89,075		1,728,946
TETRA Technologies, Inc. (a)		139,600		1,777,108

	Number of Shares		Value
Union Drilling, Inc. (a)		50,000	$	514,500
				18,058,044
Pharmaceuticals — 0.7%
Alkermes, Inc. (a)		69,450		1,291,770
Medicis Pharmaceutical Corp. Class A		32,375		1,235,754
Par Pharmaceutical Cos., Inc. (a)		23,435		772,886
ViroPharma, Inc. (a)		47,330		875,605
				4,176,015
Pipelines — 0.3%
ONEOK, Inc.		21,400		1,583,814
Real Estate Investment Trusts (REITS) — 7.4%
Acadia Realty Trust		87,200		1,772,776
American Campus Communities, Inc.		51,595		1,832,654
American Capital Agency Corp.		39,550		1,151,301
CBL & Associates Properties, Inc.		220,800		4,003,104
Cedar Shopping Centers, Inc.		101,600		523,240
DuPont Fabros Technology, Inc.		47,150		1,188,180
First Potomac Realty Trust		291,300		4,459,803
Hersha Hospitality Trust		172,300		959,711
Kilroy Realty Corp.		77,700		3,068,373
LaSalle Hotel Properties		91,800		2,418,012
Lexington Realty Trust		164,450		1,501,428
LTC Properties, Inc.		70,345		1,956,998
Medical Properties Trust, Inc.		99,300		1,141,950
MFA Financial, Inc.		263,525		2,118,741
National Retail Properties, Inc.		67,605		1,656,999
Pebblebrook Hotel Trust		93,900		1,895,841
Saul Centers, Inc.		14,100		555,117
Starwood Property Trust, Inc.		79,175		1,623,879
Summit Hotel Properties, Inc.		212,850		2,415,847
Sun Communities, Inc.		52,820		1,970,714
Sunstone Hotel Investors, Inc. (a)		98,950		917,267
Washington Real Estate Investment Trust		75,100		2,442,252
				41,574,187
Retail — 4.5%
Asbury Automotive Group, Inc. (a)		86,590		1,604,513
Bebe Stores, Inc.		119,900		732,589
Build-A-Bear Workshop, Inc. (a)		83,460		543,325
Cash America International, Inc.		47,911		2,772,610
Dillard’s, Inc. Class A		22,400		1,167,936
The Finish Line, Inc. Class A		77,675		1,662,245
Fred’s, Inc. Class A		85,100		1,227,993
Haverty Furniture Cos., Inc.		101,300		1,165,963
Hot Topic, Inc.		218,800		1,627,872
Insight Enterprises, Inc. (a)		87,085		1,542,275
MarineMax, Inc. (a)		87,100		762,996
The Men’s Wearhouse, Inc.		70,100		2,362,370
The Pantry, Inc. (a)		102,300		1,922,217

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

116

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

	Number of Shares			Value
Phillips-Van Heusen Corp.		26,100		$	1,708,767
PriceSmart, Inc.		2,700			138,321
RadioShack Corp.		70,675			940,684
School Specialty, Inc. (a)		39,510			568,549
Stein Mart, Inc.		160,400			1,546,256
The Wet Seal, Inc. Class A (a)		281,735			1,259,355
					25,256,836
Savings & Loans — 1.4%
Astoria Financial Corp.		66,450			849,896
Brookline Bancorp, Inc.		126,250			1,170,337
Dime Community Bancshares, Inc.		70,935			1,031,395
First Niagara Financial Group, Inc.		104,760			1,382,832
Flushing Financial Corp.		133,910			1,740,830
Washington Federal, Inc.		91,445			1,502,441
					7,677,731
Semiconductors — 1.8%
ATMI, Inc. (a)		48,800			996,984
Brooks Automation, Inc. (a)		98,800			1,072,968
Cabot Microelectronics Corp. (a)		47,295			2,197,799
Fairchild Semiconductor International, Inc. (a)		79,050			1,320,925
International Rectifier Corp. (a)		24,200			676,874
Intersil Corp. Class A		60,950			783,208
Teradyne, Inc. (a)		123,900			1,833,720
Tessera Technologies, Inc. (a)		75,950			1,301,783
					10,184,261
Software — 1.7%
Accelrys, Inc. (a)		67,884			482,655
Blackboard, Inc. (a)		18,600			807,054
CSG Systems International, Inc. (a)		37,495			692,908
Progress Software Corp. (a)		126,050			3,041,586
SYNNEX Corp. (a)		61,700	��		1,955,890
Take-Two Interactive Software, Inc. (a)		84,000			1,283,520
Verint Systems, Inc. (a)		31,575			1,169,538
					9,433,151
Telecommunications — 2.1%
Anixter International, Inc.		17,575			1,148,350
Arris Group, Inc. (a)		88,100			1,022,841
Black Box Corp.		42,680			1,334,604
Finisar Corp. (a)		66,749			1,203,484
Ixia (a)		135,500			1,734,400
Oclaro, Inc. (a)		82,015			551,141
Premiere Global Services, Inc. (a)		146,000			1,165,080
SBA Communications Corp. Class A (a)		23,900			912,741
Sonus Networks, Inc. (a)		332,900			1,078,596
Symmetricom, Inc. (a)		86,430			503,887
ViaSat, Inc. (a)		28,825			1,247,258
					11,902,382

	Number of Shares		Value
Textiles — 0.5%
Culp, Inc. (a)		57,200	$	537,108
G&K Services, Inc. Class A		60,300		2,041,758
				2,578,866
Toys, Games & Hobbies — 0.2%
JAKKS Pacific, Inc. (a)		53,315		981,529
Transportation — 4.6%
Air Transport Services Group, Inc. (a)		168,325		1,153,026
Bristow Group, Inc.		20,400		1,040,808
Eagle Bulk Shipping, Inc. (a)		207,975		515,778
Genesee & Wyoming, Inc. Class A (a)		82,700		4,849,528
Hub Group, Inc. Class A (a)		47,965		1,806,362
Kirby Corp. (a)		80,800		4,578,936
Knight Transportation, Inc.		66,200		1,124,738
Landstar System, Inc.		113,300		5,266,184
Overseas Shipholding Group, Inc.		19,700		530,718
RailAmerica, Inc. (a)		75,125		1,126,875
Seaspan Corp.		105,725		1,544,642
UTI Worldwide, Inc.		110,500		2,175,745
				25,713,340
TOTAL COMMON STOCK (Cost $455,249,281)				540,898,992
CONVERTIBLE PREFERRED STOCK — 0.5%
Banks — 0.3%
East West Bancorp, Inc., Series A 8.000%		1,183		1,638,455
Insurance — 0.2%
Assured Guaranty Ltd. 8.500%		19,700		1,306,799
TOTAL CONVERTIBLE PREFERRED STOCK (Cost $2,169,531)				2,945,254
TOTAL EQUITIES (Cost $457,418,812)				543,844,246
MUTUAL FUNDS — 0.4%
Diversified Financial — 0.4%
iShares Russell 2000 Value Index Fund		19,000		1,394,790
T. Rowe Price Reserve Investment Fund		576,332		576,332
				1,971,122
TOTAL MUTUAL FUNDS (Cost $1,800,311)				1,971,122
TOTAL LONG-TERM INVESTMENTS (Cost $459,219,123)				545,815,368

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

117

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

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 3.5%
Repurchase Agreement — 3.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (b)	$	19,917,046	$	19,917,046
TOTAL SHORT-TERM INVESTMENTS (Cost $19,917,046)				19,917,046
TOTAL INVESTMENTS — 100.3% (Cost $479,136,169) (c)				565,732,414
Other Assets/(Liabilities) — (0.3)%				(1,714,636	)
NET ASSETS — 100.0%			$	564,017,778

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $19,917,052. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity dates ranging from 5/15/39 - 9/25/39, and an aggregate market value, including accrued interest, of $20,325,092.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

118

MassMutual Select Mid Cap Growth Equity Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.3%
COMMON STOCK — 99.3%
Advertising — 0.5%
The Interpublic Group of Companies, Inc.		16,700	$	208,750
Aerospace & Defense — 0.6%
Goodrich Corp.		2,660		254,030
Apparel — 0.8%
Under Armour, Inc. Class A (a)		4,520		349,441
Auto Manufacturers — 0.4%
Navistar International Corp. (a)		3,300		186,318
Automotive & Parts — 0.7%
BorgWarner, Inc. (a)		2,040		164,812
TRW Automotive Holdings Corp. (a)		2,540		149,936
				314,748
Banks — 0.5%
M&T Bank Corp.		2,560		225,152
Beverages — 3.2%
Green Mountain Coffee Roasters, Inc. (a)		13,550		1,209,473
Hansen Natural Corp. (a)		1,670		135,186
				1,344,659
Biotechnology — 1.1%
Alexion Pharmaceuticals, Inc. (a)		5,030		236,561
Illumina, Inc. (a)		2,330		175,099
Regeneron Pharmaceuticals, Inc. (a)		1,200		68,052
				479,712
Building Materials — 1.1%
Owens Corning, Inc. (a)		12,420		463,887
Chemicals — 2.4%
Albemarle Corp.		2,830		195,836
CF Industries Holdings, Inc.		2,610		369,759
Methanex Corp.		6,100		191,418
The Mosaic Co.		1,130		76,535
PPG Industries, Inc.		1,890		171,593
				1,005,141
Coal — 2.4%
Alpha Natural Resources, Inc. (a)		7,960		361,702
Bumi PLC (a)		7,564		140,783
CONSOL Energy, Inc.		3,620		175,498
Peabody Energy Corp.		2,570		151,399
Walter Energy, Inc.		1,640		189,912
				1,019,294
Commercial Services — 8.0%
Anhanguera Educacional Participacoes SA		8,300		176,674

	Number of Shares		Value
Corrections Corporation of America (a)		5,320	$	115,178
Estacio Participacoes SA		15,100		193,509
Gartner, Inc. (a)		5,900		237,711
Genpact Ltd. (a)		9,000		155,160
The Geo Group, Inc. (a)		4,800		110,544
Great American Group, Inc. (a)		42,600		12,780
Localiza Rent a Car SA		12,000		214,526
Manpower, Inc.		4,590		246,253
Moody’s Corp.		2,930		112,366
PAREXEL International Corp. (a)		8,100		190,836
Pharmaceutical Product Development, Inc.		7,700		206,668
SuccessFactors, Inc. (a)		7,160		210,504
United Rentals, Inc. (a)		10,370		263,398
Weight Watchers International, Inc.		4,100		309,427
Western Union Co.		23,520		471,106
Xueda Education Group Sponsored ADR (Cayman Islands) (a)		14,600		116,800
				3,343,440
Computers — 3.0%
Cadence Design Systems, Inc. (a)		34,900		368,544
Fortinet, Inc. (a)		5,010		136,723
Riverbed Technology, Inc. (a)		3,970		157,172
SanDisk Corp. (a)		4,840		200,860
Teradata Corp. (a)		6,480		390,096
				1,253,395
Distribution & Wholesale — 0.8%
Fossil, Inc. (a)		1,170		137,733
LKQ Corp. (a)		1,000		26,090
WESCO International, Inc. (a)		2,890		156,320
				320,143
Diversified Financial — 1.3%
Affiliated Managers Group, Inc. (a)		1,780		180,581
Discover Financial Services		7,200		192,600
IntercontinentalExchange, Inc. (a)		1,330		165,864
				539,045
Electrical Components & Equipment — 0.6%
Universal Display Corp. (a)		6,930		243,174
Electronics — 2.5%
Agilent Technologies, Inc. (a)		5,350		273,438
Cymer, Inc. (a)		3,600		178,236
Gentex Corp.		5,400		163,242
Jabil Circuit, Inc.		11,020		222,604
Waters Corp. (a)		2,100		201,054
				1,038,574
Engineering & Construction — 1.7%
Aecom Technology Corp. (a)		9,900		270,666
Fluor Corp.		1,700		109,922

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

119

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

	Number of Shares		Value
Foster Wheeler AG (a)		6,100	$	185,318
McDermott International, Inc. (a)		7,820		154,914
				720,820
Entertainment — 0.3%
Penn National Gaming, Inc. (a)		2,910		117,389
Foods — 1.8%
The Fresh Market, Inc. (a)		2,900		112,172
Smithfield Foods, Inc. (a)		10,000		218,700
Whole Foods Market, Inc.		6,550		415,598
				746,470
Forest Products & Paper — 0.4%
Temple-Inland, Inc.		6,130		182,306
Hand & Machine Tools — 0.4%
Stanley Black & Decker, Inc.		2,280		164,274
Health Care – Products — 3.7%
The Cooper Cos., Inc.		1,170		92,711
Edwards Lifesciences Corp. (a)		4,800		418,464
Gen-Probe, Inc. (a)		6,060		419,049
HeartWare International, Inc. (a)		2,800		207,424
Hologic, Inc. (a)		12,100		244,057
Intuitive Surgical, Inc. (a)		430		160,007
				1,541,712
Health Care – Services — 1.5%
AMERIGROUP Corp. (a)		3,000		211,410
Laboratory Corporation of America Holdings (a)		1,810		175,190
Universal Health Services, Inc. Class B		4,530		233,431
				620,031
Holding Company – Diversified — 0.4%
Justice Holdings Ltd. (a)		9,767		153,626
Home Builders — 0.3%
Thor Industries, Inc.		4,400		126,896
Home Furnishing — 1.3%
Tempur-Pedic International, Inc. (a)		8,200		556,124
Household Products — 0.5%
Jarden Corp.		6,320		218,103
Insurance — 0.7%
Aon Corp.		5,430		278,559
Internet — 6.6%
Ariba, Inc. (a)		5,700		196,479
BroadSoft, Inc. (a)		3,800		144,894
F5 Networks, Inc. (a)		5,720		630,630
MercadoLibre, Inc.		1,360		107,902
Netflix, Inc. (a)		1,100		288,959
OpenTable, Inc. (a)		2,250		187,020
Priceline.com, Inc. (a)		780		399,305
Shutterfly, Inc. (a)		3,300		189,486

	Number of Shares		Value
SINA Corp. (a)		1,345	$	140,015
TIBCO Software, Inc. (a)		15,910		461,708
				2,746,398
Iron & Steel — 0.7%
Cliffs Natural Resources, Inc.		3,130		289,369
Leisure Time — 1.0%
Brunswick Corp.		12,800		261,120
Harley-Davidson, Inc.		3,740		153,228
				414,348
Lodging — 2.8%
Marriott International, Inc. Class A		6,100		216,489
MGM Resorts International (a)		29,190		385,600
Starwood Hotels & Resorts Worldwide, Inc.		5,740		321,669
Wynn Resorts Ltd.		1,800		258,372
				1,182,130
Machinery – Construction & Mining — 0.9%
Joy Global, Inc.		3,840		365,722
Machinery – Diversified — 1.5%
AGCO Corp. (a)		3,450		170,292
FLSmidth & Co. A/S		3,072		261,245
Rockwell Automation, Inc.		2,320		201,283
				632,820
Manufacturing — 1.1%
Parker Hannifin Corp.		2,370		212,684
Textron, Inc.		9,900		233,739
				446,423
Mining — 0.6%
Molycorp, Inc. (a)		4,370		266,832
Oil & Gas — 5.3%
Cabot Oil & Gas Corp.		3,420		226,780
Cimarex Energy Co.		2,530		227,498
Cobalt International Energy, Inc. (a)		3,300		44,979
Concho Resources, Inc. (a)		2,740		251,669
Ensco PLC Sponsored ADR (United Kingdom)		2,900		154,570
Karoon Gas Australia Ltd. (a)		11,233		63,321
Pioneer Natural Resources Co.		2,150		192,575
QEP Resources, Inc.		6,020		251,817
Southwestern Energy Co. (a)		4,200		180,096
Ultra Petroleum Corp. (a)		3,600		164,880
Vallares PLC (a)		16,305		262,996
Whiting Petroleum Corp. (a)		3,120		177,559
				2,198,740
Oil & Gas Services — 1.3%
Cameron International Corp. (a)		6,760		339,960
Tidewater, Inc.		3,500		188,335
				528,295

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

120

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

	Number of Shares		Value
Packaging & Containers — 0.5%
Ball Corp.		5,600	$	215,376
Pharmaceuticals — 6.0%
AmerisourceBergen Corp.		6,210		257,094
Amylin Pharmaceuticals, Inc. (a)		2,600		34,736
Auxilium Pharmaceuticals, Inc. (a)		4,200		82,320
Cardinal Health, Inc.		3,700		168,054
Catalyst Health Solutions, Inc. (a)		4,000		223,280
Mead Johnson Nutrition Co.		2,490		168,200
Medicis Pharmaceutical Corp. Class A		3,130		119,472
Onyx Pharmaceuticals, Inc. (a)		4,020		141,906
Perrigo Co.		2,130		187,163
Salix Pharmaceuticals Ltd. (a)		2,800		111,524
SXC Health Solutions Corp. (a)		3,910		230,377
United Therapeutics Corp. (a)		2,340		128,934
Valeant Pharmaceuticals International, Inc.		6,230		323,711
Watson Pharmaceuticals, Inc. (a)		4,610		316,845
				2,493,616
Real Estate — 0.7%
CB Richard Ellis Group, Inc. Class A (a)		11,150		279,977
Retail — 7.8%
Abercrombie & Fitch Co. Class A		7,040		471,117
The Cheesecake Factory, Inc. (a)		5,070		159,046
Coach, Inc.		8,150		521,029
Columbia Sportswear Co.		2,700		171,180
Dick’s Sporting Goods, Inc. (a)		2,600		99,970
Domino’s Pizza UK & IRL PLC		45,718		296,226
Express, Inc.		10,200		222,360
Hanesbrands, Inc. (a)		8,300		236,965
Lululemon Athletica, Inc. (a)		2,590		289,614
Nordstrom, Inc.		6,520		306,049
Ross Stores, Inc.		2,700		216,324
SA SA International Holdings Ltd.		46,000		29,585
Ulta Salon Cosmetics & Fragrance, Inc. (a)		4,050		261,549
				3,281,014
Semiconductors — 7.6%
Aeroflex Holding Corp. (a)		7,160		129,954
Altera Corp.		3,640		168,714
ASML Holding NV		7,070		261,307
Broadcom Corp. Class A (a)		10,180		342,455
Cavium, Inc. (a)		4,700		204,873
Cree, Inc. (a)		4,700		157,873
Cypress Semiconductor Corp. (a)		24,180		511,165
Freescale Semiconductor Holdings I Ltd. (a)		6,110		112,363
Lam Research Corp. (a)		3,070		135,940
Netlogic Microsystems, Inc. (a)		7,170		289,812
NVIDIA Corp. (a)		9,900		157,757

	Number of Shares		Value
NXP Semiconductor NV (a)		11,140	$	297,772
OmniVision Technologies, Inc. (a)		4,440		154,556
Skyworks Solutions, Inc. (a)		10,900		250,482
				3,175,023
Software — 4.4%
Allscripts Healthcare Solutions, Inc. (a)		13,200		256,344
Citrix Systems, Inc. (a)		2,600		208,000
Concur Technologies, Inc. (a)		5,000		250,350
Informatica Corp. (a)		3,000		175,290
QLIK Technologies, Inc. (a)		4,000		136,240
Salesforce.com, Inc. (a)		2,690		400,756
SEI Investments Co.		8,900		200,339
VeriFone Systems, Inc. (a)		4,720		209,332
				1,836,651
Telecommunications — 5.3%
AAC Acoustic Technologies Holdings, Inc.		40,000		94,314
Acme Packet, Inc. (a)		6,510		456,546
ADTRAN, Inc.		4,600		178,066
Aruba Networks, Inc. (a)		14,580		430,839
Ciena Corp. (a)		2,830		52,015
DigitalGlobe, Inc. (a)		11,300		287,133
Juniper Networks, Inc. (a)		5,000		157,500
MetroPCS Communications, Inc. (a)		3,400		58,514
NII Holdings, Inc. (a)		3,610		152,992
Polycom, Inc. (a)		5,400		347,220
				2,215,139
Transportation — 2.3%
Con-way, Inc.		4,200		163,002
Expeditors International of Washington, Inc.		3,460		177,117
J.B. Hunt Transport Services, Inc.		3,700		174,233
Ryder System, Inc.		2,210		125,639
Swift Transportation Co. (a)		9,900		134,145
United Continental Holdings, Inc. (a)		8,324		188,372
				962,508
TOTAL COMMON STOCK (Cost $35,328,920)				41,545,594
TOTAL EQUITIES (Cost $35,328,920)				41,545,594
TOTAL LONG-TERM INVESTMENTS (Cost $35,328,920)				41,545,594

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

121

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

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 0.5%
Repurchase Agreement — 0.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (b)	$	188,902	$	188,902
TOTAL SHORT-TERM INVESTMENTS (Cost $188,902)				188,902
TOTAL INVESTMENTS — 99.8% (Cost $35,517,822) (c)				41,734,496
Other Assets/(Liabilities) — 0.2%				86,498
NET ASSETS — 100.0%			$	41,820,994

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $188,902. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 5/15/39, and an aggregate market value, including accrued interest, of $195,747.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

122

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

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.6%
COMMON STOCK — 96.3%
Advertising — 0.6%
Lamar Advertising Co. Class A (a)		362,000	$	9,907,940
Aerospace & Defense — 1.6%
BE Aerospace, Inc. (a)		192,600		7,860,006
Goodrich Corp.		90,000		8,595,000
Rockwell Collins, Inc.		167,000		10,302,230
				26,757,236
Airlines — 0.3%
Alaska Air Group, Inc. (a)		76,300		5,223,498
Apparel — 0.2%
The Warnaco Group, Inc. (a)		47,600		2,487,100
Auto Manufacturers — 0.2%
Navistar International Corp. (a)		61,500		3,472,290
Automotive & Parts — 0.9%
Tenneco, Inc. (a)		67,800		2,987,946
WABCO Holdings, Inc. (a)		165,000		11,394,900
				14,382,846
Banks — 0.8%
Fifth Third Bancorp		264,000		3,366,000
Popular, Inc. (a)		364,000		1,004,640
SunTrust Banks, Inc.		119,000		3,070,200
TCF Financial Corp.		449,000		6,196,200
				13,637,040
Beverages — 0.7%
Hansen Natural Corp. (a)		148,500		12,021,075
Biotechnology — 2.4%
Alexion Pharmaceuticals, Inc. (a)		165,000		7,759,950
Human Genome Sciences, Inc. (a)		320,000		7,852,800
Illumina, Inc. (a)		126,800		9,529,020
Regeneron Pharmaceuticals, Inc. (a)		168,000		9,527,280
Vertex Pharmaceuticals, Inc. (a)		112,000		5,822,880
				40,491,930
Chemicals — 0.7%
FMC Corp.		35,500		3,053,710
Rockwood Holdings, Inc. (a)		165,000		9,122,850
				12,176,560
Coal — 1.0%
CONSOL Energy, Inc.		261,000		12,653,280
Peabody Energy Corp.		81,000		4,771,710
				17,424,990
Commercial Services — 6.5%
Alliance Data Systems Corp. (a)		73,800		6,942,366
Gartner, Inc. (a)		393,100		15,837,999
Global Payments, Inc.		340,000		17,340,000
Hertz Global Holdings, Inc. (a)		727,000		11,544,760

	Number of Shares		Value
Manpower, Inc.		208,000	$	11,159,200
Moody’s Corp.		136,900		5,250,115
Quanta Services, Inc. (a)		730,000		14,746,000
Robert Half International, Inc.		231,000		6,243,930
Verisk Analytics, Inc. Class A (a)		199,000		6,889,380
Western Union Co.		705,000		14,121,150
				110,074,900
Computers — 2.5%
IHS, Inc. Class A (a)		279,100		23,282,522
MICROS Systems, Inc. (a)		204,200		10,150,782
NetApp, Inc. (a)		66,800		3,525,704
Teradata Corp. (a)		75,900		4,569,180
				41,528,188
Distribution & Wholesale — 1.6%
Fastenal Co.		484,000		17,419,160
LKQ Corp. (a)		251,600		6,564,244
WESCO International, Inc. (a)		51,100		2,763,999
				26,747,403
Diversified Financial — 3.1%
Air Lease Corp. (a)		274,000		6,655,460
Apollo Global Management LLC Class A		3,600		61,920
CBOE Holdings, Inc.		218,000		5,362,800
Eaton Vance Corp.		224,000		6,771,520
Interactive Brokers Group, Inc. Class A		128,000		2,003,200
IntercontinentalExchange, Inc. (a)		74,000		9,228,540
Raymond James Financial, Inc.		173,400		5,574,810
T. Rowe Price Group, Inc.		50,000		3,017,000
TD Ameritrade Holding Corp.		661,900		12,913,669
				51,588,919
Electric — 1.0%
Calpine Corp. (a)		1,014,000		16,355,820
Electrical Components & Equipment — 2.7%
A123 Systems, Inc. (a)		158,000		840,560
AMETEK, Inc.		709,600		31,861,040
The Babcock & Wilcox Co. (a)		463,000		12,829,730
				45,531,330
Electronics — 3.4%
Agilent Technologies, Inc. (a)		112,600		5,754,986
Amphenol Corp. Class A		70,000		3,779,300
Dolby Laboratories, Inc. Class A (a)		256,000		10,869,760
FLIR Systems, Inc.		331,000		11,158,010
Jabil Circuit, Inc.		155,200		3,135,040
Trimble Navigation Ltd. (a)		331,000		13,120,840
Waters Corp. (a)		99,000		9,478,260
				57,296,196

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

123

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

	Number of Shares		Value
Energy – Alternate Sources — 0.4%
First Solar, Inc. (a)		36,000	$	4,761,720
GT Solar International, Inc. (a)		151,200		2,449,440
				7,211,160
Engineering & Construction — 1.5%
Chicago Bridge & Iron Co. NV		95,800		3,726,620
Foster Wheeler AG (a)		66,090		2,007,814
McDermott International, Inc. (a)		943,300		18,686,773
				24,421,207
Entertainment — 0.1%
The Madison Square Garden Co. Class A (a)		86,000		2,367,580
Environmental Controls — 0.2%
Waste Connections, Inc.		110,700		3,512,511
Foods — 0.6%
Whole Foods Market, Inc.		160,000		10,152,000
Health Care – Products — 5.0%
Bruker Corp. (a)		438,000		8,917,680
C.R. Bard, Inc.		130,000		14,281,800
CareFusion Corp. (a)		430,000		11,683,100
The Cooper Cos., Inc.		95,000		7,527,800
Edwards Lifesciences Corp. (a)		116,300		10,139,034
Henry Schein, Inc. (a)		210,000		15,033,900
IDEXX Laboratories, Inc. (a)		132,000		10,237,920
QIAGEN NV (a)		369,000		7,018,380
				84,839,614
Health Care – Services — 2.5%
Community Health Systems, Inc. (a)		265,000		6,805,200
Covance, Inc. (a)		260,000		15,436,200
DaVita, Inc. (a)		56,900		4,928,109
Laboratory Corporation of America Holdings (a)		80,000		7,743,200
MEDNAX, Inc. (a)		110,000		7,940,900
				42,853,609
Home Furnishing — 0.2%
Harman International Industries, Inc.		53,900		2,456,223
Insurance — 2.5%
Aon Corp.		224,000		11,491,200
HCC Insurance Holdings, Inc.		230,000		7,245,000
Principal Financial Group, Inc.		298,000		9,065,160
W.R. Berkley Corp.		231,000		7,493,640
Willis Group Holdings PLC		160,000		6,577,600
				41,872,600
Internet — 2.4%
Ariba, Inc. (a)		232,100		8,000,487
Check Point Software Technologies Ltd. (a)		61,600		3,501,960
Equinix, Inc. (a)		58,000		5,859,160
Liberty Media Corp. - Interactive Class A (a)		577,000		9,676,290

	Number of Shares		Value
LinkedIn Corp. (a)		17,000	$	1,531,530
Rackspace Hosting, Inc. (a)		115,000		4,915,100
TIBCO Software, Inc. (a)		165,000		4,788,300
WebMD Health Corp. (a)		64,000		2,917,120
				41,189,947
Iron & Steel — 0.2%
Allegheny Technologies, Inc.		52,500		3,332,175
Leisure Time — 0.2%
Harley-Davidson, Inc.		92,300		3,781,531
Lodging — 1.4%
Choice Hotels International, Inc.		155,000		5,170,800
Marriott International, Inc. Class A		397,000		14,089,530
Starwood Hotels & Resorts Worldwide, Inc.		77,000		4,315,080
				23,575,410
Machinery – Construction & Mining — 0.3%
Ingersoll-Rand PLC		113,000		5,131,330
Machinery – Diversified — 3.0%
Gardner Denver, Inc.		220,000		18,491,000
IDEX Corp.		292,000		13,388,200
Roper Industries, Inc.		226,000		18,825,800
				50,705,000
Manufacturing — 2.0%
Acuity Brands, Inc.		89,000		4,964,420
Cooper Industries PLC		91,700		5,471,739
Crane Co.		96,000		4,743,360
Pall Corp.		84,700		4,762,681
Textron, Inc.		595,000		14,047,950
				33,990,150
Media — 2.5%
Discovery Communications, Inc. Series A (a)		329,500		13,496,320
Discovery Communications, Inc. Series C (a)		226,000		8,260,300
FactSet Research Systems, Inc.		96,000		9,822,720
Liberty Media Corp. - Starz Series A (a)		96,500		7,260,660
Scripps Networks Interactive Class A		82,200		4,017,936
				42,857,936
Mining — 2.0%
Agnico-Eagle Mines Ltd.		198,000		12,499,740
Franco-Nevada Corp.		256,000		9,555,705
HudBay Minerals, Inc.		319,000		4,775,430
Osisko Mining Corp. (a)		399,500		6,209,244
				33,040,119
Oil & Gas — 5.8%
Cabot Oil & Gas Corp.		53,900		3,574,109
Carrizo Oil & Gas, Inc. (a)		47,800		1,995,650
Concho Resources, Inc. (a)		92,000		8,450,200

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

124

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

	Number of Shares		Value
Continental Resources, Inc. (a)		184,400	$	11,969,404
EQT Corp.		264,000		13,865,280
InterOil Corp. (a)		69,700		4,078,147
QEP Resources, Inc.		265,000		11,084,950
Quicksilver Resources, Inc. (a)		463,000		6,833,880
Range Resources Corp.		298,000		16,539,000
SM Energy Co.		128,000		9,405,440
Ultra Petroleum Corp. (a)		224,000		10,259,200
				98,055,260
Oil & Gas Services — 1.3%
FMC Technologies, Inc. (a)		193,000		8,644,470
Superior Energy Services, Inc. (a)		92,000		3,416,880
Trican Well Service Ltd.		320,400		7,527,880
Trican Well Service Ltd. (b)		70,600		1,658,765
				21,247,995
Packaging & Containers — 0.2%
Crown Holdings, Inc. (a)		92,400		3,586,968
Pharmaceuticals — 5.5%
AmerisourceBergen Corp.		92,000		3,808,800
BioMarin Pharmaceutical, Inc. (a)		116,000		3,156,360
Catalyst Health Solutions, Inc. (a)		56,500		3,153,830
Cephalon, Inc. (a)		152,000		12,144,800
DENTSPLY International, Inc.		331,000		12,604,480
Elan Corp. PLC Sponsored ADR (Ireland) (a)		496,000		5,639,520
Hospira, Inc. (a)		64,200		3,637,572
Perrigo Co.		38,500		3,382,995
Shire PLC Sponsored ADR (United Kingdom)		55,500		5,228,655
SXC Health Solutions Corp. (a)		116,000		6,834,720
Theravance, Inc. (a)		198,000		4,397,580
United Therapeutics Corp. (a)		30,300		1,669,530
Valeant Pharmaceuticals International, Inc.		333,900		17,349,444
Watson Pharmaceuticals, Inc. (a)		144,200		9,910,866
				92,919,152
Real Estate — 0.8%
CB Richard Ellis Group, Inc. Class A (a)		239,700		6,018,867
Jones Lang LaSalle, Inc.		76,000		7,166,800
				13,185,667
Retail — 8.4%
Bed Bath & Beyond, Inc. (a)		207,600		12,117,612
CarMax, Inc. (a)		458,000		15,146,060
Chico’s FAS, Inc.		237,500		3,617,125
Chipotle Mexican Grill, Inc. (a)		32,000		9,862,080
Coach, Inc.		20,000		1,278,600
Dick’s Sporting Goods, Inc. (a)		55,100		2,118,595
Dollar General Corp. (a)		562,000		19,046,180
Dollar Tree, Inc. (a)		72,300		4,816,626

	Number of Shares		Value
MSC Industrial Direct Co., Inc. Class A		151,000	$	10,012,810
O’Reilly Automotive, Inc. (a)		278,700		18,257,637
Panera Bread Co. Class A (a)		51,000		6,408,660
Shoppers Drug Mart Corp. (b)		38,000		1,564,208
Shoppers Drug Mart Corp.		333,000		13,707,398
Starbucks Corp.		266,700		10,531,983
Tiffany & Co.		38,500		3,023,020
Tim Hortons, Inc.		146,000		7,126,260
Tractor Supply Co.		38,500		2,574,880
				141,209,734
Savings & Loans — 0.2%
BankUnited, Inc.		146,000		3,874,840
Semiconductors — 8.1%
Altera Corp.		165,000		7,647,750
Analog Devices, Inc.		69,300		2,712,402
Atmel Corp. (a)		529,000		7,443,030
Avago Technologies Ltd.		93,240		3,543,120
Cree, Inc. (a)		161,000		5,407,990
Fairchild Semiconductor International, Inc. (a)		171,100		2,859,081
Intersil Corp. Class A		529,000		6,797,650
Marvell Technology Group Ltd. (a)		529,000		7,810,685
MEMC Electronic Materials, Inc. (a)		545,000		4,648,850
Microchip Technology, Inc.		199,000		7,544,090
National Semiconductor Corp.		577,000		14,199,970
NVIDIA Corp. (a)		595,000		9,481,325
ON Semiconductor Corp. (a)		236,000		2,470,920
PMC-Sierra, Inc. (a)		276,000		2,089,320
Rovi Corp. (a)		331,600		19,020,576
Silicon Laboratories, Inc. (a)		193,100		7,967,306
Skyworks Solutions, Inc. (a)		122,800		2,821,944
TriQuint Semiconductor, Inc. (a)		328,500		3,347,415
Varian Semiconductor Equipment Associates, Inc. (a)		73,000		4,485,120
Xilinx, Inc.		384,000		14,004,480
				136,303,024
Software — 5.4%
Allscripts Healthcare Solutions, Inc. (a)		263,000		5,107,460
Autodesk, Inc. (a)		53,900		2,080,540
Cerner Corp. (a)		31,800		1,943,298
Citrix Systems, Inc. (a)		30,500		2,440,000
Concur Technologies, Inc. (a)		162,000		8,111,340
Fiserv, Inc. (a)		230,000		14,404,900
Intuit, Inc. (a)		71,100		3,687,246
MSCI, Inc. Class A (a)		372,000		14,016,960
Nuance Communications, Inc. (a)		939,000		20,160,330
Red Hat, Inc. (a)		292,000		13,402,800
VeriFone Systems, Inc. (a)		115,900		5,140,165
				90,495,039

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

125

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

	Number of Shares		Value
Telecommunications — 2.6%
ADTRAN, Inc.		101,300	$	3,921,323
Crown Castle International Corp. (a)		92,400		3,768,996
JDS Uniphase Corp. (a)		970,000		16,160,200
Juniper Networks, Inc. (a)		165,000		5,197,500
Motorola Mobility Holdings, Inc. (a)		496,000		10,931,840
NII Holdings, Inc. (a)		105,300		4,462,614
				44,442,473
Transportation — 0.8%
Hub Group, Inc. Class A (a)		123,300		4,643,478
UTI Worldwide, Inc.		459,600		9,049,524
				13,693,002
TOTAL COMMON STOCK (Cost $1,189,789,939)				1,623,408,517
PREFERRED STOCK — 0.3%
Internet — 0.3%
Coupons.com (a) (c)		251,868		2,767,198
Hungry Machine, Inc. Series E (a) (c)		586,650		3,315,159
				6,082,357
TOTAL PREFERRED STOCK (Cost $6,082,357)				6,082,357
TOTAL EQUITIES (Cost $1,195,872,296)				1,629,490,874
	Principal Amount
BONDS & NOTES — 0.1%
CORPORATE DEBT — 0.1%
Electrical Components & Equipment — 0.1%
A123 Systems, Inc., Convertible 3.750% 4/15/16	$	1,085,000		977,856
TOTAL CORPORATE DEBT (Cost $1,085,000)				977,856
TOTAL BONDS & NOTES (Cost $1,085,000)				977,856

	Number of Shares		Value
MUTUAL FUNDS — 0.7%
Diversified Financial — 0.7%
T. Rowe Price Government Reserve Investment Fund		11,815,949	$	11,815,948
TOTAL MUTUAL FUNDS (Cost $11,815,948)				11,815,948
TOTAL LONG-TERM INVESTMENTS (Cost $1,208,773,244)				1,642,284,678
	Principal Amount
SHORT-TERM INVESTMENTS — 3.1%
Repurchase Agreement — 3.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (d)	$	51,987,411		51,987,411
TOTAL SHORT-TERM INVESTMENTS (Cost $51,987,411)				51,987,411
TOTAL INVESTMENTS — 100.5% (Cost $1,260,760,655) (e)				1,694,272,089
Other Assets/(Liabilities) — (0.5)%				(8,608,620	)
NET ASSETS — 100.0%			$	1,685,663,469

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2011, these securities amounted to a value of $3,222,973 or 0.19% of net assets.

(c) This security is valued in good faith under procedures established by the Board of Trustees.

(d) Maturity value of $51,987,425. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% - 4.000%, maturity dates ranging from 8/15/39 - 11/15/40, and an aggregate market value, including accrued interest, of $53,033,414.

(e) See Note 6 for aggregate cost for federal tax purposes.

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

126

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.6%
COMMON STOCK — 97.6%
Advertising — 0.2%
APAC Customer Services, Inc. (a)		408,460	$	2,177,092
Aerospace & Defense — 0.8%
Aerovironment, Inc. (a)		45,600		1,611,960
Moog, Inc. Class A (a)		35,220		1,532,774
Orbital Sciences Corp. (a)		115,840		1,951,904
Teledyne Technologies, Inc. (a)		51,450		2,591,022
				7,687,660
Airlines — 0.6%
Copa Holdings SA Class A		50,620		3,378,379
JetBlue Airways Corp. (a)		364,700		2,224,670
				5,603,049
Apparel — 3.4%
Steven Madden Ltd. (a)		59,725		2,240,285
Under Armour, Inc. Class A (a)		244,981		18,939,481
The Warnaco Group, Inc. (a)		195,000		10,188,750
				31,368,516
Automotive & Parts — 0.6%
Commercial Vehicle Group, Inc. (a)		78,200		1,109,658
Meritor, Inc. (a)		274,130		4,397,045
				5,506,703
Banks — 1.3%
Boston Private Financial Holdings, Inc.		329,990		2,171,334
CVB Financial Corp.		243,750		2,254,687
International Bancshares Corp.		117,270		1,961,927
MB Financial, Inc.		92,294		1,775,737
PacWest Bancorp		98,000		2,015,860
Signature Bank (a)		29,120		1,665,664
				11,845,209
Beverages — 1.8%
Boston Beer Co., Inc. Class A (a)		91,554		8,203,239
Cott Corp. (a)		208,000		1,749,280
Green Mountain Coffee Roasters, Inc. (a)		69,140		6,171,436
				16,123,955
Biotechnology — 1.5%
Exelixis, Inc. (a)		196,840		1,763,686
Immunogen, Inc. (a)		64,900		791,131
Incyte Corp. (a)		183,010		3,466,209
Regeneron Pharmaceuticals, Inc. (a)		25,350		1,437,599
Seattle Genetics, Inc. (a)		212,010		4,350,445
WuXi PharmaTech Cayman, Inc. Sponsored ADR (Cayman Islands) (a)		84,000		1,475,040
				13,284,110

	Number of Shares		Value
Building Materials — 0.6%
Eagle Materials, Inc.		50,600	$	1,410,222
Lennox International, Inc.		55,890		2,407,182
Trex Co., Inc. (a)		67,259		1,646,501
				5,463,905
Chemicals — 1.0%
Ferro Corp. (a)		154,350		2,074,464
Methanex Corp.		169,485		5,318,439
Olin Corp.		84,780		1,921,115
				9,314,018
Coal — 0.2%
James River Coal Co. (a)		107,220		2,232,320
Commercial Services — 4.9%
The Advisory Board Co. (a)		65,930		3,816,028
AerCap Holdings NV (a)		147,940		1,924,699
Convergys Corp. (a)		186,020		2,537,313
Corrections Corporation of America (a)		127,635		2,763,298
CoStar Group, Inc. (a)		74,430		4,412,211
Estacio Participacoes SA		152,140		1,949,701
Forrester Research, Inc.		66,700		2,198,432
The Geo Group, Inc. (a)		107,970		2,486,549
Green Dot Corp. Class A (a)		15,280		519,214
Healthspring, Inc. (a)		37,720		1,739,269
Huron Consulting Group, Inc. (a)		92,960		2,808,322
Localiza Rent a Car SA		104,970		1,876,566
PAREXEL International Corp. (a)		88,670		2,089,065
Pharmaceutical Product Development, Inc.		101,690		2,729,360
RSC Holdings, Inc. (a)		49,580		592,977
TrueBlue, Inc. (a)		183,105		2,651,360
United Rentals, Inc. (a)		150,640		3,826,256
Weight Watchers International, Inc.		47,130		3,556,901
				44,477,521
Computers — 6.7%
Cadence Design Systems, Inc. (a)		380,200		4,014,912
Fortinet, Inc. (a)		51,600		1,408,164
LivePerson, Inc. (a)		114,170		1,614,364
LogMeIn, Inc. (a)		275,455		10,624,299
Magma Design Automation, Inc. (a)		133,425		1,066,066
MICROS Systems, Inc. (a)		368,921		18,339,063
Quantum Corp. (a)		545,200		1,799,160
RealD, Inc. (a)		182,940		4,278,967
Stratasys, Inc. (a)		319,594		10,770,318
SYKES Enterprises, Inc. (a)		218,787		4,710,484
Syntel, Inc.		36,770		2,173,842
				60,799,639
Distribution & Wholesale — 1.3%
Beacon Roofing Supply, Inc. (a)		149,230		3,405,429

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

127

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

	Number of Shares		Value
LKQ Corp. (a)		314,722	$	8,211,097
				11,616,526
Diversified Financial — 4.4%
Evercore Partners, Inc. Class A		45,840		1,527,389
Financial Engines, Inc. (a)		77,600		2,011,392
Greenhill & Co., Inc.		267,577		14,400,994
National Financial Partners Corp. (a)		141,200		1,629,448
Netspend Holdings, Inc. (a)		40,400		404,000
Portfolio Recovery Associates, Inc. (a)		235,436		19,962,618
				39,935,841
Electric — 0.5%
IDACORP, Inc.		58,240		2,300,480
ITC Holdings Corp.		29,240		2,098,555
				4,399,035
Electrical Components & Equipment — 3.6%
A123 Systems, Inc. (a)		243,500		1,295,420
General Cable Corp. (a)		401,910		17,113,328
GrafTech International Ltd. (a)		588,400		11,926,868
SunPower Corp. Class B (a)		93,787		1,559,678
Universal Display Corp. (a)		27,910		979,362
				32,874,656
Electronics — 2.1%
Celestica, Inc. (a)		253,920		2,224,339
Cymer, Inc. (a)		38,658		1,913,958
Faro Technologies, Inc. (a)		94,627		4,144,663
Jabil Circuit, Inc.		328,720		6,640,144
PerkinElmer, Inc.		94,420		2,540,842
Stoneridge, Inc. (a)		128,210		1,889,815
				19,353,761
Engineering & Construction — 0.2%
Aecom Technology Corp. (a)		57,100		1,561,114
Entertainment — 1.3%
Bally Technologies, Inc. (a)		58,370		2,374,492
Churchill Downs, Inc.		53,640		2,418,091
Cinemark Holdings, Inc.		209,540		4,339,573
DreamWorks Animation SKG, Inc. Class A (a)		112,640		2,264,064
				11,396,220
Environmental Controls — 0.9%
Waste Connections, Inc.		263,400		8,357,682
Foods — 0.3%
Diamond Foods, Inc.		6,515		497,355
The Fresh Market, Inc. (a)		68,680		2,656,543
				3,153,898
Health Care – Products — 10.6%
Cyberonics, Inc. (a)		355,200		9,927,840
Dexcom, Inc. (a)		710,200		10,290,798

	Number of Shares		Value
Gen-Probe, Inc. (a)		41,150	$	2,845,522
HeartWare International, Inc. (a)		24,190		1,791,995
Insulet Corp. (a)		140,090		3,105,795
Masimo Corp.		314,987		9,348,814
NuVasive, Inc. (a)		596,378		19,608,909
Orthofix International NV (a)		17,900		760,213
Stereotaxis, Inc. (a)		351,674		1,234,376
Tornier BV (a)		45,100		1,215,445
Volcano Corp. (a)		606,115		19,571,453
Zoll Medical Corp. (a)		290,172		16,441,146
				96,142,306
Health Care – Services — 1.2%
Health Management Associates, Inc. Class A (a)		245,350		2,644,873
Kindred Healthcare, Inc. (a)		118,580		2,545,912
Vanguard Health Systems, Inc. (a)		39,700		681,649
WellCare Health Plans, Inc. (a)		97,580		5,016,588
				10,889,022
Holding Company – Diversified — 0.2%
Justice Holdings Ltd. (a)		104,180		1,638,659
Home Builders — 0.7%
KB Home		123,700		1,209,786
Meritage Home Corp. (a)		81,540		1,839,543
Thor Industries, Inc.		129,330		3,729,877
				6,779,206
Home Furnishing — 2.9%
Tempur-Pedic International, Inc. (a)		333,030		22,586,094
TiVo, Inc. (a)		399,030		4,106,019
				26,692,113
Insurance — 0.3%
eHealth, Inc. (a)		136,000		1,816,960
Platinum Underwriters Holdings Ltd.		18,900		628,236
				2,445,196
Internet — 5.2%
Ancestry.com, Inc. (a)		60,510		2,504,509
Ariba, Inc. (a)		4,800		165,456
BroadSoft, Inc. (a)		64,410		2,455,953
Constant Contact, Inc. (a)		366,865		9,311,034
DealerTrack Holdings, Inc. (a)		543,756		12,479,200
Dice Holdings, Inc. (a)		500,450		6,766,084
IAC/InterActiveCorp (a)		82,610		3,153,224
Liquidity Services, Inc. (a)		18,400		434,424
QuinStreet, Inc. (a)		43,730		567,615
S1 Corp. (a)		223,400		1,671,032
Sapient Corp. (a)		209,990		3,156,150
Shutterfly, Inc. (a)		45,290		2,600,552
ValueClick, Inc. (a)		130,160		2,160,656
				47,425,889

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

128

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

	Number of Shares		Value
Leisure Time — 0.3%
Brunswick Corp.		115,830	$	2,362,932
Machinery – Diversified — 3.5%
Gardner Denver, Inc.		80,100		6,732,405
The Manitowoc Co., Inc.		260,300		4,383,452
Sauer-Danfoss, Inc. (a)		10,951		551,821
Wabtec Corp.		310,277		20,391,404
				32,059,082
Manufacturing — 1.5%
Acuity Brands, Inc.		219,500		12,243,710
FreightCar America, Inc. (a)		63,334		1,604,884
				13,848,594
Media — 1.5%
Demand Media, Inc. (a)		119,207		1,615,255
FactSet Research Systems, Inc.		119,444		12,221,510
				13,836,765
Mining — 0.2%
Detour Gold Corp. (a)		55,920		1,620,575
Office Furnishings — 0.5%
Interface, Inc. Class A		143,980		2,788,892
Knoll, Inc.		102,040		2,047,943
				4,836,835
Oil & Gas — 1.0%
Comstock Resources, Inc. (a)		107,390		3,091,758
Petroleum Development Corp. (a)		13,237		395,919
Rosetta Resources, Inc. (a)		104,580		5,390,053
				8,877,730
Oil & Gas Services — 5.6%
Core Laboratories NV		78,183		8,720,532
Dresser-Rand Group, Inc. (a)		308,200		16,565,750
Dril-Quip, Inc. (a)		210,489		14,277,469
Global Industries Ltd. (a)		329,640		1,806,427
Helix Energy Solutions Group, Inc. (a)		125,470		2,077,783
Hornbeck Offshore Services, Inc. (a)		39,860		1,096,150
ION Geophysical Corp. (a)		405,750		3,838,395
Tidewater, Inc.		45,900		2,469,879
				50,852,385
Packaging & Containers — 0.6%
Graphic Packaging Holding Co. (a)		440,350		2,395,504
Silgan Holdings, Inc.		70,410		2,884,698
				5,280,202
Pharmaceuticals — 1.9%
Alkermes, Inc. (a)		46,100		857,460
Amylin Pharmaceuticals, Inc. (a)		76,800		1,026,048
Ardea Biosciences, Inc. (a)		38,680		984,793
Cadence Pharmaceuticals, Inc. (a)		151,547		1,394,232
Catalyst Health Solutions, Inc. (a)		51,280		2,862,450

	Number of Shares		Value
Ironwood Pharmaceuticals, Inc. (a)		100,000	$	1,572,000
Onyx Pharmaceuticals, Inc. (a)		38,780		1,368,934
Salix Pharmaceuticals Ltd. (a)		80,540		3,207,908
SXC Health Solutions Corp. (a)		50,200		2,957,784
Targacept, Inc. (a)		49,600		1,045,072
				17,276,681
Real Estate Investment Trusts (REITS) — 1.0%
American Assets Trust, Inc.		64,929		1,457,656
Associated Estates Realty Corp.		69,280		1,125,800
MFA Financial, Inc.		231,200		1,858,848
Redwood Trust, Inc.		162,810		2,461,687
Sabra Health Care REIT, Inc.		113,750		1,900,763
				8,804,754
Retail — 6.0%
AFC Enterprises, Inc (a)		69,462		1,142,650
The Cheesecake Factory, Inc. (a)		97,589		3,061,367
Columbia Sportswear Co.		191,955		12,169,947
Denny’s Corp. (a)		480,600		1,864,728
Domino’s Pizza UK & IRL PLC		324,285		2,101,181
Express, Inc.		151,920		3,311,856
GNC Holdings, Inc. (a)		60,610		1,321,904
Hanesbrands, Inc. (a)		112,688		3,217,242
Liz Claiborne, Inc. (a)		409,500		2,190,825
Lumber Liquidators Holdings, Inc. (a)		228,470		5,803,138
Nu Skin Enterprises, Inc. Class A		76,860		2,886,093
Rue21, Inc. (a)		7,800		253,500
Ulta Salon Cosmetics & Fragrance, Inc. (a)		42,625		2,752,722
Vera Bradley, Inc. (a)		123,600		4,721,520
Zumiez, Inc. (a)		310,246		7,746,843
				54,545,516
Semiconductors — 3.4%
Applied Micro Circuits Corp. (a)		209,970		1,860,334
Cavium, Inc. (a)		51,070		2,226,141
Fairchild Semiconductor International, Inc. (a)		122,250		2,042,798
Microsemi Corp. (a)		107,390		2,201,495
Mindspeed Technologies, Inc. (a)		138,600		1,108,800
Nanometrics, Inc. (a)		125,590		2,384,954
Netlogic Microsystems, Inc. (a)		111,980		4,526,232
ON Semiconductor Corp. (a)		262,990		2,753,505
QLogic Corp. (a)		116,860		1,860,411
Semtech Corp. (a)		212,140		5,799,908
Skyworks Solutions, Inc. (a)		125,280		2,878,934
TriQuint Semiconductor, Inc. (a)		140,730		1,434,039
				31,077,551
Software — 4.2%
Allscripts Healthcare Solutions, Inc. (a)		105,090		2,040,848
CommVault Systems, Inc. (a)		220,452		9,799,091

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

129

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

	Number of Shares		Value
Concur Technologies, Inc. (a)		128,025	$	6,410,212
Emdeon, Inc. Class A (a)		153,460		2,013,395
Parametric Technology Corp. (a)		53,470		1,226,067
QLIK Technologies, Inc. (a)		39,900		1,358,994
RealPage, Inc. (a)		67,370		1,783,284
RightNow Technologies, Inc. (a)		66,540		2,155,896
SolarWinds, Inc. (a)		72,910		1,905,867
Synchronoss Technologies, Inc. (a)		239,000		7,583,470
Velti PLC (a)		140,061		2,368,432
				38,645,556
Storage & Warehousing — 0.5%
Mobile Mini, Inc. (a)		231,224		4,899,637
Telecommunications — 3.5%
Acme Packet, Inc. (a)		36,940		2,590,602
ADTRAN, Inc.		39,050		1,511,625
Aruba Networks, Inc. (a)		309,920		9,158,136
DigitalGlobe, Inc. (a)		106,208		2,698,745
Finisar Corp. (a)		255,600		4,608,468
Ixia (a)		35,730		457,344
Leap Wireless International, Inc. (a)		84,620		1,373,383
PAETEC Holding Corp. (a)		252,000		1,207,080
Polycom, Inc. (a)		35,810		2,302,583
tw telecom, Inc. (a)		149,320		3,065,540
Vonage Holdings Corp. (a)		753,910		3,324,743
				32,298,249
Transportation — 3.1%
Con-way, Inc.		121,580		4,718,520
Genesee & Wyoming, Inc. Class A (a)		28,370		1,663,617
GulfMark Offshore, Inc. Class A (a)		123,850		5,472,931
J.B. Hunt Transport Services, Inc.		168,805		7,949,027
Old Dominion Freight Line, Inc. (a)		76,525		2,854,382
Swift Transporation Co. (a)		186,870		2,532,089
Vitran Corp., Inc. (a)		69,100		877,570
Werner Enterprises, Inc.		82,770		2,073,389
				28,141,525
TOTAL COMMON STOCK (Cost $748,669,815)				889,809,390
TOTAL EQUITIES (Cost $748,669,815)				889,809,390
MUTUAL FUNDS — 0.7%
Diversified Financial — 0.7%
iShares Russell 2000 Index Fund		76,161		6,306,131
TOTAL MUTUAL FUNDS (Cost $6,236,439)				6,306,131
TOTAL LONG-TERM INVESTMENTS (Cost $754,906,254)				896,115,521

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 2.1%
Repurchase Agreement — 2.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (b)	$	19,264,711	$	19,264,711
TOTAL SHORT-TERM INVESTMENTS (Cost $19,264,711)				19,264,711
TOTAL INVESTMENTS — 100.4% (Cost $774,170,965) (c)				915,380,232
Other Assets/(Liabilities) — (0.4)%				(3,927,981	)
NET ASSETS — 100.0%			$	911,452,251

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $19,264,717. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% - 4.000%, maturity dates ranging from 5/15/39 - 11/15/40, and an aggregate market value, including accrued interest, of $19,655,798.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

130

MassMutual Select Small Company Growth Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.9%
COMMON STOCK — 97.9%
Aerospace & Defense — 1.3%
Teledyne Technologies, Inc. (a)		4,763	$	239,865
Triumph Group, Inc.		6,751		672,264
				912,129
Airlines — 0.6%
JetBlue Airways Corp. (a)		69,415		423,431
Apparel — 1.0%
Oxford Industries, Inc.		5,060		170,826
Steven Madden Ltd. (a)		13,705		514,074
				684,900
Automotive & Parts — 2.7%
American Axle & Manufacturing Holdings, Inc. (a)		20,379		231,913
Meritor, Inc. (a)		33,805		542,232
WABCO Holdings, Inc. (a)		15,936		1,100,540
				1,874,685
Banks — 0.6%
Prosperity Bancshares, Inc.		4,270		187,111
UMB Financial Corp.		5,585		233,900
				421,011
Beverages — 0.2%
Primo Water Corp. (a)		10,070		144,907
Biotechnology — 1.9%
Alexion Pharmaceuticals, Inc. (a)		5,100		239,853
Amarin Corp. PLC Sponsored ADR (United Kingdom) (a)		10,430		150,922
Exact Sciences Corp. (a)		11,800		101,480
NPS Pharmaceuticals, Inc. (a)		13,190		124,646
Regeneron Pharmaceuticals, Inc. (a)		5,920		335,723
Seattle Genetics, Inc. (a)		17,215		353,252
				1,305,876
Building Materials — 1.1%
Interline Brands, Inc. (a)		6,070		111,506
Texas Industries, Inc.		15,877		660,959
				772,465
Chemicals — 2.6%
Arch Chemicals, Inc.		6,860		236,259
Huntsman Corp.		34,681		653,737
Intrepid Potash, Inc. (a)		20,398		662,935
Quaker Chemical Corp.		7,035		302,575
				1,855,506
Coal — 0.3%
Cloud Peak Energy, Inc. (a)		9,594		204,352
Commercial Services — 5.0%
Aaron’s, Inc.		9,610		271,579

	Number of Shares		Value
Chemed Corp.		3,650	$	239,148
The Corporate Executive Board Co.		8,637		377,005
Exponent, Inc. (a)		4,700		204,497
The Geo Group, Inc. (a)		31,195		718,421
MAXIMUS, Inc.		3,440		284,591
Monster Worldwide, Inc. (a)		3,150		46,179
PAREXEL International Corp. (a)		10,705		252,210
Sotheby’s		11,975		520,912
SuccessFactors, Inc. (a)		14,377		422,684
VistaPrint NV (a)		3,930		188,050
				3,525,276
Computers — 3.6%
CACI International, Inc. Class A (a)		3,020		190,502
Fortinet, Inc. (a)		31,876		869,896
Netscout Systems, Inc. (a)		9,750		203,677
Radiant Systems, Inc. (a)		30,570		638,913
Riverbed Technology, Inc. (a)		12,180		482,206
Syntel, Inc.		2,090		123,561
				2,508,755
Cosmetics & Personal Care — 0.3%
Inter Parfums, Inc.		7,650		176,180
Diversified Financial — 1.9%
Duff & Phelps Corp. Class A		15,417		197,800
Encore Capital Group, Inc. (a)		5,370		164,967
MarketAxess Holdings, Inc.		13,100		328,286
optionsXpress Holdings, Inc.		10,765		179,560
Portfolio Recovery Associates, Inc. (a)		4,100		347,639
World Acceptance Corp. (a)		1,890		123,927
				1,342,179
Electrical Components & Equipment — 2.3%
Advanced Energy Industries, Inc. (a)		9,920		146,717
EnerSys (a)		8,790		302,552
GrafTech International Ltd. (a)		48,835		989,885
Universal Display Corp. (a)		5,753		201,873
				1,641,027
Electronics — 4.1%
Analogic Corp.		5,900		310,281
Coherent, Inc. (a)		12,676		700,603
FEI Co. (a)		3,350		127,937
Gentex Corp.		19,571		591,631
Kemet Corp. (a)		13,260		189,485
Oyo Geospace Corp. (a)		7,145		714,500
PerkinElmer, Inc.		8,540		229,811
				2,864,248
Energy – Alternate Sources — 0.2%
Solazyme, Inc. (a)		5,580		128,173
Engineering & Construction — 0.3%
EMCOR Group, Inc. (a)		8,270		242,394

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

131

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

	Number of Shares		Value
Entertainment — 3.0%
Bally Technologies, Inc. (a)		15,814	$	643,314
Lions Gate Entertainment Corp. (a)		32,410		214,554
Pinnacle Entertainment, Inc. (a)		46,580		694,042
Shuffle Master, Inc. (a)		63,163		590,890
				2,142,800
Environmental Controls — 1.2%
Darling International, Inc. (a)		10,350		183,195
Waste Connections, Inc.		21,052		667,980
				851,175
Foods — 1.1%
The Fresh Market, Inc. (a)		13,141		508,294
Ruddick Corp.		3,590		156,309
United Natural Foods, Inc. (a)		2,660		113,502
				778,105
Forest Products & Paper — 0.4%
Potlatch Corp.		8,490		299,442
Hand & Machine Tools — 0.8%
Regal-Beloit Corp.		8,453		564,407
Health Care – Products — 5.6%
ArthroCare Corp. (a)		17,070		571,333
Bruker Corp. (a)		29,607		602,799
Cepheid, Inc. (a)		23,112		800,600
The Cooper Cos., Inc.		5,330		422,349
Delcath Systems, Inc. (a)		19,380		100,001
Masimo Corp.		8,080		239,814
NuVasive, Inc. (a)		7,670		252,190
Thoratec Corp. (a)		22,592		741,469
Volcano Corp. (a)		7,094		229,065
				3,959,620
Health Care – Services — 2.1%
Air Methods Corp. (a)		1,720		128,553
Centene Corp. (a)		20,965		744,886
ICON PLC Sponsored ADR (Ireland) (a)		16,277		383,486
Thermo Fisher Scientific, Inc. (a)		3,200		206,048
				1,462,973
Home Furnishing — 1.9%
DTS, Inc. (a)		20,147		816,961
Universal Electronics, Inc. (a)		20,558		519,295
				1,336,256
Household Products — 0.2%
Jarden Corp.		4,580		158,056
Internet — 3.8%
Constant Contact, Inc. (a)		9,830		249,485
Pandora Media, Inc. (a)		11,145		210,752
Sapient Corp. (a)		61,665		926,825
TIBCO Software, Inc. (a)		29,225		848,110
Vocus, Inc. (a)		6,600		202,026

	Number of Shares		Value
Websense, Inc. (a)		10,160	$	263,855
				2,701,053
Lodging — 0.5%
Orient-Express Hotels Ltd. (a)		30,980		333,035
Machinery – Diversified — 0.8%
Columbus McKinnon Corp. (a)		5,900		105,964
Intermec, Inc. (a)		10,640		117,466
The Middleby Corp. (a)		1,930		181,497
Robbins & Myers, Inc.		2,460		130,011
				534,938
Manufacturing — 0.8%
Crane Co.		5,160		254,956
EnPro Industries, Inc. (a)		2,590		124,501
Hexcel Corp. (a)		8,880		194,383
				573,840
Media — 0.7%
Acacia Research - Acacia Technologies (a)		13,422		492,453
Metal Fabricate & Hardware — 0.7%
Mueller Industries, Inc.		3,210		121,691
Northwest Pipe Co. (a)		13,611		354,703
				476,394
Mining — 2.4%
AMCOL International Corp.		3,380		128,981
Kaiser Aluminum Corp.		5,040		275,285
RTI International Metals, Inc. (a)		21,507		825,223
Titanium Metals Corp.		25,618		469,322
				1,698,811
Office Furnishings — 0.4%
Interface, Inc. Class A		13,100		253,747
Oil & Gas — 3.0%
Bill Barrett Corp. (a)		8,020		371,727
Brigham Exploration Co. (a)		3,780		113,135
Carrizo Oil & Gas, Inc. (a)		4,140		172,845
Gulfport Energy Corp. (a)		10,610		315,011
Oasis Petroleum, Inc. (a)		30,154		894,971
Pioneer Drilling Co. (a)		8,610		131,216
Resolute Energy Corp. (a)		7,000		113,120
				2,112,025
Oil & Gas Services — 2.8%
Lufkin Industries, Inc.		19,683		1,693,722
Oil States International, Inc. (a)		3,310		264,502
				1,958,224
Pharmaceuticals — 7.1%
Achillion Pharmaceuticals, Inc. (a)		16,350		121,644
BioMarin Pharmaceutical, Inc. (a)		17,007		462,761
Catalyst Health Solutions, Inc. (a)		15,694		876,039
Cubist Pharmaceuticals, Inc. (a)		7,760		279,282

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

132

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

	Number of Shares		Value
Herbalife Ltd.		7,010	$	404,057
MAP Pharmaceuticals, Inc. (a)		8,620		137,661
Medicis Pharmaceutical Corp. Class A		6,660		254,212
Pharmasset, Inc. (a)		2,150		241,230
Questcor Pharmaceuticals, Inc. (a)		5,210		125,561
Salix Pharmaceuticals Ltd. (a)		18,530		738,050
Sirona Dental Systems, Inc. (a)		12,764		677,769
SXC Health Solutions Corp. (a)		5,500		324,060
Theravance, Inc. (a)		6,430		142,810
ViroPharma, Inc. (a)		9,480		175,380
				4,960,516
Real Estate Investment Trusts (REITS) — 0.5%
Redwood Trust, Inc.		24,223		366,252
Retail — 10.9%
BJ’s Restaurants, Inc. (a)		15,319		802,103
Buffalo Wild Wings, Inc. (a)		9,865		654,148
Casey’s General Stores, Inc.		4,500		198,000
Cash America International, Inc.		19,901		1,151,671
The Cheesecake Factory, Inc. (a)		6,120		191,984
Chico’s FAS, Inc.		15,897		242,111
EZCORP, Inc. Class A (a)		3,780		134,474
First Cash Financial Services, Inc. (a)		3,000		125,970
Genesco, Inc. (a)		33,810		1,761,501
Papa John’s International, Inc. (a)		5,350		177,941
Select Comfort Corp. (a)		14,750		265,205
Stage Stores, Inc.		9,910		166,488
Tractor Supply Co.		2,080		139,110
Ulta Salon Cosmetics & Fragrance, Inc. (a)		3,040		196,323
Vitamin Shoppe, Inc. (a)		32,027		1,465,556
				7,672,585
Savings & Loans — 0.2%
Dime Community Bancshares, Inc.		10,660		154,996
Semiconductors — 3.7%
Mellanox Technologies Ltd. (a)		6,710		200,025
Netlogic Microsystems, Inc. (a)		19,555		790,413
OmniVision Technologies, Inc. (a)		7,730		269,081
Photronics, Inc. (a)		29,690		251,474
Teradyne, Inc. (a)		27,225		402,930
TriQuint Semiconductor, Inc. (a)		2,440		24,864
Ultratech, Inc. (a)		5,680		172,559
Veeco Instruments, Inc. (a)		9,880		478,291
				2,589,637
Software — 8.3%
Allscripts Healthcare Solutions, Inc. (a)		32,993		640,724
American Reprographics Co. (a)		12,480		88,234
ANSYS, Inc. (a)		11,530		630,345
Bottomline Technologies, Inc. (a)		9,350		231,038

	Number of Shares		Value
Compuware Corp. (a)		53,678	$	523,897
Fair Isaac Corp.		10,040		303,208
Informatica Corp. (a)		13,785		805,458
MedAssets, Inc. (a)		22,102		295,283
Medidata Solutions, Inc. (a)		1,493		35,638
Progress Software Corp. (a)		16,925		408,400
QLIK Technologies, Inc. (a)		15,304		521,254
Quality Systems, Inc.		11,199		977,673
SolarWinds, Inc. (a)		5,480		143,247
Taleo Corp. Class A (a)		7,100		262,913
				5,867,312
Telecommunications — 2.9%
EMS Technologies, Inc. (a)		13,568		447,337
Harmonic, Inc. (a)		42,100		304,383
Ixia (a)		12,500		160,000
NETGEAR, Inc. (a)		7,960		348,011
NICE Systems Ltd. Sponsored ADR (Israel) (a)		15,636		568,525
ShoreTel, Inc. (a)		19,830		202,266
				2,030,522
Transportation — 2.1%
Atlas Air Worldwide Holdings, Inc. (a)		10,566		628,783
Forward Air Corp.		5,590		188,886
Landstar System, Inc.		9,350		434,588
Old Dominion Freight Line, Inc. (a)		6,530		243,569
				1,495,826
TOTAL COMMON STOCK (Cost $52,015,339)				68,852,494
TOTAL EQUITIES (Cost $52,015,339)				68,852,494
MUTUAL FUNDS — 2.3%
Diversified Financial — 2.3%
iShares Russell 2000 Growth Index Fund		11,350		1,076,547
iShares Russell 2000 Index Fund		6,490		537,372
				1,613,919
TOTAL MUTUAL FUNDS (Cost $1,558,356)				1,613,919
TOTAL LONG-TERM INVESTMENTS (Cost $53,573,695)				70,466,413

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

133

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

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 2.8%
Repurchase Agreement — 2.8%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (b)	$	1,976,512	$	1,976,512
TOTAL SHORT-TERM INVESTMENTS (Cost $1,976,512)				1,976,512
TOTAL INVESTMENTS — 103.0% (Cost $55,550,207) (c)				72,442,925
Other Assets/(Liabilities) — (3.0)%				(2,141,442	)
NET ASSETS — 100.0%			$	70,301,483

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $1,976,512. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% - 4.000%, maturity dates ranging from 8/15/39 -11/15/40, and an aggregate market value, including accrued interest, of $2,018,932.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

134

MassMutual Select Diversified International Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.9%
COMMON STOCK — 94.8%
Agriculture — 2.7%
British American Tobacco PLC		51,174	$	2,243,127
Japan Tobacco, Inc.		472		1,821,556
				4,064,683
Auto Manufacturers — 4.2%
Daimler AG		29,910		2,251,053
Nissan Motor Co. Ltd.		184,100		1,932,547
Toyota Motor Corp.		55,000		2,315,654
				6,499,254
Automotive & Parts — 0.9%
Bridgestone Corp.		57,700		1,327,942
Banks — 14.1%
Banco Bilbao Vizcaya Argentaria SA		187,388		2,196,317
Barclays PLC		384,961		1,584,579
BNP Paribas		38,258		2,950,666
Commerzbank AG (a)		507,432		2,182,012
DnB NOR ASA		110,212		1,536,262
Erste Group Bank AG		25,976		1,360,609
HSBC Holdings PLC		96,110		953,462
KBC Groep NV		41,995		1,649,608
Lloyds Banking Group PLC (a)		1,348,382		1,059,509
Nordea Bank AB		106,278		1,142,025
Standard Chartered PLC		43,084		1,132,146
Sumitomo Mitsui Financial Group, Inc.		92,600		2,849,853
UniCredit SpA		461,868		976,911
				21,573,959
Building Materials — 1.1%
Holcim Ltd. (a)		22,696		1,712,855
Chemicals — 4.1%
BASF SE		36,300		3,552,329
Lanxess AG		9,048		741,777
Solvay SA Class A		12,816		1,980,276
				6,274,382
Commercial Services — 1.1%
Experian PLC		77,293		984,393
Hamburger Hafen und Logistik AG		16,389		711,773
				1,696,166
Computers — 1.0%
Fujitsu LTD		259,000		1,480,286
Distribution & Wholesale — 3.4%
Marubeni Corp.		171,000		1,136,498
Mitsui & Co. Ltd.		103,100		1,782,918
Sumitomo Corp.		171,100		2,332,104
				5,251,520

	Number of Shares		Value
Diversified Financial — 2.8%
African Bank Investments Ltd.		206,626	$	1,052,896
Credit Suisse Group (a)		51,764		2,011,978
Deutsche Boerse AG		15,126		1,147,963
				4,212,837
Electric — 2.3%
Enel SpA		340,682		2,225,264
International Power PLC		242,730		1,253,302
				3,478,566
Electrical Components & Equipment — 3.1%
Mitsubishi Electric Corp.		183,000		2,125,300
Schneider Electric SA		15,397		2,572,407
				4,697,707
Electronics — 0.8%
Hon Hai Precision Industry Co. Ltd.		346,000		1,193,495
Engineering & Construction — 0.6%
Bouygues SA		22,364		983,213
Food Services — 1.0%
Sodexo		19,804		1,551,683
Foods — 1.0%
Unilever NV		47,391		1,552,531
Forest Products & Paper — 1.2%
UPM-Kymmene OYJ		104,388		1,908,891
Gas — 4.1%
Centrica PLC		364,788		1,892,909
Gaz De France		59,235		2,167,815
Snam Rete Gas SpA		369,847		2,189,501
				6,250,225
Insurance — 6.4%
Allianz SE		19,626		2,742,090
ING Groep NV (a)		264,411		3,261,588
Prudential PLC		202,516		2,340,384
QBE Insurance Group Ltd.		75,259		1,397,186
				9,741,248
Investment Companies — 0.6%
Man Group PLC		231,155		878,325
Lodging — 0.9%
Intercontinental Hotels Group PLC		69,388		1,419,978
Machinery – Diversified — 0.7%
Amada Co. Ltd.		129,000		992,378
Manufacturing — 1.5%
FUJIFILM Holdings Corp.		47,200		1,471,209
Siemens AG		6,375		875,319
				2,346,528
Mining — 1.6%
First Quantum Minerals Ltd.		10,164		1,481,945

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

135

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

	Number of Shares		Value
Glencore International PLC (a)		70,062	$	552,110
Petropavlovsk PLC		34,864		408,506
				2,442,561
Oil & Gas — 9.7%
BP PLC		409,581		3,017,791
Cairn Energy PLC (a)		188,119		1,252,451
JX Holdings, Inc.		300,000		2,025,855
Repsol YPF SA		46,411		1,611,334
Royal Dutch Shell PLC Class A		177,870		6,337,912
Tullow Oil PLC		33,858		673,871
				14,919,214
Pharmaceuticals — 8.5%
Bayer AG		37,566		3,020,158
GlaxoSmithKline PLC		175,552		3,758,685
Novartis AG		34,788		2,131,025
Sanofi		51,008		4,099,718
				13,009,586
Real Estate — 0.7%
China Resources Land Ltd.		590,000		1,065,269
Retail — 1.0%
PPR		8,716		1,552,229
Semiconductors — 1.2%
Samsung Electronics Co., Ltd.		2,408		1,871,592
Telecommunications — 10.9%
BT Group PLC		392,631		1,273,557
Deutsche Telekom AG		99,013		1,553,028
KDDI Corp.		402		2,892,431
Koninklijke KPN NV		98,601		1,433,271
Nippon Telegraph & Telephone Corp.		34,500		1,677,578
Singapore Telecommunications Ltd.		587,000		1,509,709
Telefonaktiebolaget LM Ericsson Class B		122,265		1,758,481
Vodafone Group PLC		1,737,818		4,618,480
				16,716,535
Transportation — 0.9%
East Japan Railway		23,100		1,327,420
Water — 0.7%
Suez Environnement Co.		55,281		1,101,791
TOTAL COMMON STOCK (Cost $144,464,539)				145,094,849
PREFERRED STOCK — 2.1%
Auto Manufacturers — 2.1%
Volkswagen AG, 1.510%		15,549		3,205,817
TOTAL PREFERRED STOCK (Cost $2,810,332)				3,205,817

			Value
TOTAL EQUITIES (Cost $147,274,871)			$	148,300,666
TOTAL LONG-TERM INVESTMENTS (Cost $147,274,871)				148,300,666
	Principal Amount
SHORT-TERM INVESTMENTS — 2.5%
Repurchase Agreement — 2.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (b)	$	3,869,204		3,869,204
TOTAL SHORT-TERM INVESTMENTS (Cost $3,869,204)				3,869,204
TOTAL INVESTMENTS — 99.4% (Cost $151,144,075) (c)				152,169,870
Other Assets/(Liabilities) — 0.6%				931,534
NET ASSETS — 100.0%			$	153,101,404

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $3,869,205. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 11/15/40, and an aggregate market value, including accrued interest, of $3,948,452.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

136

MassMutual Select Overseas Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.8%
COMMON STOCK — 98.4%
Advertising — 0.7%
Publicis Groupe		80,100	$	4,471,435
Aerospace & Defense — 0.1%
BAE Systems PLC		157,600		805,660
Agriculture — 0.9%
British American Tobacco PLC		42,235		1,851,302
Japan Tobacco, Inc.		999		3,855,370
				5,706,672
Apparel — 0.4%
Burberry Group PLC		101,687		2,364,223
Auto Manufacturers — 3.3%
Daimler AG		51,385		3,867,281
Honda Motor Co. Ltd.		192,900		7,435,058
Nissan Motor Co. Ltd.		146,100		1,533,651
Toyota Motor Corp.		170,200		7,165,897
				20,001,887
Automotive & Parts — 0.8%
Bridgestone Corp.		45,700		1,051,767
Denso Corp.		98,200		3,646,035
				4,697,802
Banks — 12.3%
Banco Bilbao Vizcaya Argentaria SA		154,653		1,812,641
Banco Santander SA		651,281		7,514,776
Bank of Ireland (a)		4,154,150		692,131
Barclays PLC		731,235		3,009,915
BNP Paribas		99,675		7,687,481
Commerzbank AG (a)		418,751		1,800,674
DnB NOR ASA		90,959		1,267,892
Erste Group Bank AG		55,852		2,925,497
HSBC Holdings PLC		934,631		9,272,034
ICICI Bank Ltd. Sponsored ADR (India)		98,270		4,844,711
Intesa Sanpaolo		1,914,814		5,092,235
Julius Baer Group Ltd. (a)		135,389		5,588,379
KBC Groep NV		34,659		1,361,442
Komercni Banka AS		10,030		2,444,780
Lloyds Banking Group PLC (a)		1,112,829		874,420
Nordea Bank AB		87,712		942,522
Standard Chartered PLC		243,138		6,389,091
Sumitomo Mitsui Financial Group, Inc.		182,700		5,622,766
UniCredit SpA		381,183		806,252
Westpac Banking Corp.		181,350		4,350,254
				74,299,893
Beverages — 4.9%
Diageo PLC		508,564		10,391,045

	Number of Shares		Value
Fomento Economico Mexicano SAB de CV, Series B Sponsored ADR (Mexico)		13,900	$	924,211
Foster’s Group Ltd.		252,200		1,396,159
Heineken Holding NV Class A		44,800		2,292,557
Heineken NV		156,284		9,400,009
Pernod-Ricard SA		46,503		4,583,907
Treasury Wine Estates Ltd. (a)		84,066		306,561
				29,294,449
Building Materials — 0.9%
Geberit AG Registered (a)		5,600		1,326,870
Holcim Ltd. (a)		57,431		4,334,286
				5,661,156
Chemicals — 7.3%
Air Liquide		42,127		6,038,555
Akzo Nobel NV		126,235		7,963,246
BASF SE		29,958		2,931,699
Givaudan SA Registered (a)		6,679		7,066,324
Lanxess AG		7,177		588,387
Linde AG		69,081		12,111,725
Shin-Etsu Chemical Co. Ltd.		107,700		5,776,946
Solvay SA Class A		10,577		1,634,315
				44,111,197
Commercial Services — 3.8%
Adecco SA (a)		75,000		4,808,519
Brambles Ltd.		166,600		1,294,302
Experian PLC		157,411		2,004,764
G4S PLC		775,100		3,480,847
Hamburger Hafen und Logistik AG		13,001		564,633
Hays PLC		864,018		1,428,380
Meitec Corp.		67,900		1,485,130
Randstad Holding NV		85,527		3,952,722
Secom Co. Ltd.		79,800		3,832,348
				22,851,645
Computers — 0.2%
Fujitsu LTD		205,000		1,171,655
Cosmetics & Personal Care — 0.8%
Beiersdorf AG		78,209		5,075,148
Distribution & Wholesale — 1.4%
Li & Fung Ltd.		1,257,600		2,529,317
Marubeni Corp.		136,000		903,881
Mitsui & Co. Ltd.		81,800		1,414,575
Sumitomo Corp.		135,700		1,849,600
Wolseley PLC		47,100		1,536,155
				8,233,528
Diversified Financial — 5.7%
African Bank Investments Ltd.		163,914		835,250
BM&F Bovespa SA		248,200		1,642,845
Credit Suisse Group (a)		192,821		7,494,623

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

137

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Daiwa Securities Group, Inc.		1,430,120	$	6,300,387
Deutsche Boerse AG		62,558		4,747,738
Nomura Holdings, Inc.		348,400		1,723,750
Schroders PLC		14,700		364,995
UBS AG (a)		598,577		10,915,115
				34,024,703
Electric — 0.7%
Enel SpA		281,167		1,836,525
International Power PLC		200,326		1,034,355
Red Electrica Corp. SA		20,391		1,232,172
				4,103,052
Electrical Components & Equipment — 2.7%
Legrand SA		96,999		4,085,150
Mitsubishi Electric Corp.		145,000		1,683,981
Schneider Electric SA		61,271		10,236,665
				16,005,796
Electronics — 2.7%
Fanuc Ltd.		21,200		3,535,135
Hon Hai Precision Industry Co. Ltd.		975,000		3,363,173
Hoya Corp.		176,500		3,912,127
Koninklijke Philips Electronics NV		78,900		2,024,911
Omron Corp.		116,600		3,240,900
Orbotech Ltd. (a)		33,200		423,300
				16,499,546
Engineering & Construction — 0.1%
Bouygues SA		18,457		811,445
Food Services — 1.1%
Compass Group PLC		418,550		4,037,449
Sodexo		33,245		2,604,811
				6,642,260
Foods — 5.0%
Danone SA		97,027		7,239,609
Koninlijke Ahold NV		163,600		2,198,380
Nestle SA		226,210		14,058,782
Tesco PLC		779,003		5,031,178
Unilever NV		39,108		1,281,180
				29,809,129
Forest Products & Paper — 0.4%
Svenska Cellulosa AB Class B		79,005		1,112,455
UPM-Kymmene OYJ		86,152		1,575,418
				2,687,873
Gas — 0.9%
Centrica PLC		301,062		1,562,230
Gaz De France		48,887		1,789,111
Snam Rete Gas SpA		305,237		1,807,009
				5,158,350
Health Care – Products — 0.6%
Sonova Holding AG (a)		16,654		1,558,898

	Number of Shares		Value
Synthes, Inc.		11,155	$	1,964,297
				3,523,195
Holding Company – Diversified — 1.5%
Keppel Corp Ltd.		108,500		981,737
LVMH Moet Hennessy Louis Vuitton SA		43,373		7,806,169
				8,787,906
Household Products — 1.3%
Reckitt Benckiser Group PLC		140,366		7,750,069
Insurance — 4.4%
AIA Group Ltd. (a)		637,200		2,221,814
Allianz SE		50,097		6,999,414
ING Groep NV (a)		768,616		9,481,107
Prudential PLC		167,137		1,931,525
QBE Insurance Group Ltd.		195,811		3,635,237
Swiss Re Ltd. (a)		38,404		2,156,471
				26,425,568
Investment Companies — 0.1%
Man Group PLC		190,774		724,889
Iron & Steel — 0.3%
ArcelorMittal		59,100		2,056,517
Lodging — 0.2%
Intercontinental Hotels Group PLC		57,267		1,171,930
Machinery – Construction & Mining — 0.6%
Rio Tinto PLC		49,600		3,581,583
Machinery – Diversified — 0.3%
Amada Co. Ltd.		102,000		784,671
MAN SE		9,717		1,294,676
				2,079,347
Manufacturing — 1.5%
FUJIFILM Holdings Corp.		37,400		1,165,746
Olympus Corp.		114,800		3,869,277
Siemens AG		5,057		694,351
Smiths Group PLC		161,776		3,118,463
				8,847,837
Media — 2.5%
Grupo Televisa SA Sponsored ADR (Mexico)		64,500		1,586,700
Reed Elsevier PLC		365,100		3,320,364
Societe Television Francaise 1		131,600		2,395,803
Thomson Reuters Corp.		37,500		1,407,927
Wolters Kluwer NV		76,131		1,687,017
WPP PLC		347,847		4,354,850
				14,752,661
Metal Fabricate & Hardware — 0.9%
Assa Abloy AB Series B		176,700		4,749,166
Vallourec SA		4,650		566,239
				5,315,405

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

138

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Mining — 0.7%
First Quantum Minerals Ltd.		8,387	$	1,222,852
Glencore International PLC (a)		55,579		437,980
Orica Ltd.		75,300		2,183,781
Petropavlovsk PLC		27,657		324,061
				4,168,674
Office Equipment/Supplies — 1.7%
Canon, Inc.		214,250		10,216,904
Oil & Gas — 4.5%
BG Group PLC		118,583		2,691,306
BP PLC		338,030		2,490,604
Cairn Energy PLC (a)		155,255		1,033,651
CNOOC Ltd.		745,000		1,754,075
Inpex Corp.		774		5,714,233
JX Holdings, Inc.		238,000		1,607,178
Repsol YPF SA		38,303		1,329,834
Royal Dutch Shell PLC Class A		279,450		9,957,438
Tullow Oil PLC		27,943		556,145
				27,134,464
Packaging & Containers — 0.8%
Amcor Ltd.		586,000		4,534,735
Pharmaceuticals — 5.8%
Bayer AG		96,438		7,753,235
GlaxoSmithKline PLC		247,785		5,305,242
Merck KGaA		34,276		3,724,742
Novartis AG		83,711		5,127,924
Roche Holding AG		56,356		9,428,304
Sanofi		42,097		3,383,505
				34,722,952
Real Estate — 0.1%
China Resources Land Ltd.		468,000		844,993
Retail — 2.7%
Cie Financiere Richemont SA		64,636		4,232,552
Esprit Holdings Ltd.		494,100		1,539,148
Hennes & Mauritz AB Class B		83,130		2,864,988
Lawson, Inc.		76,200		4,002,035
PPR		7,193		1,280,998
Signet Jewelers Ltd. (a)		45,300		2,120,493
				16,040,214
Semiconductors — 3.1%
Rohm Co. Ltd.		85,100		4,875,946
Samsung Electronics Co., Ltd.		11,927		9,270,132
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (Taiwan)		372,817		4,701,222
				18,847,300
Software — 2.1%
Amadeus IT Holding SA (a)		107,718		2,240,804
Dassault Systemes SA		2,662		226,649

	Number of Shares		Value
Infosys Ltd. Sponsored ADR (India)		48,930	$	3,191,704
SAP AG		112,984		6,833,511
				12,492,668
Telecommunications — 3.4%
BT Group PLC		324,041		1,051,075
China Unicom Ltd.		1,202,000		2,437,104
Deutsche Telekom AG		81,715		1,281,707
KDDI Corp.		319		2,295,238
Koninklijke KPN NV		81,376		1,182,887
MTN Group Ltd.		150,210		3,200,551
Nippon Telegraph & Telephone Corp.		27,400		1,332,337
Singapore Telecommunications Ltd.		498,500		1,283,805
Singapore Telecommunications Ltd.		488,000		1,255,090
Telefonaktiebolaget LM Ericsson Class B		100,897		1,451,156
Vodafone Group PLC		1,434,233		3,811,663
				20,582,613
Transportation — 2.0%
Canadian National Railway Co.		100,980		8,068,302
East Japan Railway		18,300		1,051,593
Kuehne & Nagel International AG		19,900		3,020,353
				12,140,248
Water — 0.2%
Suez Environnement Co.		45,624		909,320
TOTAL COMMON STOCK (Cost $526,045,697)				592,140,496
PREFERRED STOCK — 0.4%
Auto Manufacturers — 0.4%
Volkswagen AG, 1.510%		12,833		2,645,845
TOTAL PREFERRED STOCK (Cost $2,330,920)				2,645,845
TOTAL EQUITIES (Cost $528,376,617)				594,786,341
TOTAL LONG-TERM INVESTMENTS (Cost $528,376,617)				594,786,341
	Principal Amount
SHORT-TERM INVESTMENTS — 1.8%
Repurchase Agreement — 1.8%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/11, 0.010%, due 7/01/11 (b)	$	10,720,565		10,720,565

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

139

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Value
TOTAL SHORT-TERM INVESTMENTS (Cost $10,720,565)	$	10,720,565
TOTAL INVESTMENTS — 100.6% (Cost $539,097,182) (c)		605,506,906
Other Assets/(Liabilities) — (0.6)%		(3,662,331	)
NET ASSETS — 100.0%	$	601,844,575

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $10,720,568. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% - 4.000%, maturity dates ranging from 8/15/39 - 11/15/40, and an aggregate market value, including accrued interest, of $10,942,160.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

140

THIS PAGE INTENTIONALLY LEFT BLANK

MassMutual Select Funds – Financial Statements

Statements of Assets and Liabilities

June 30, 2011 (Unaudited)

	MassMutual Select PIMCO Total Return Fund			MassMutual Select Strategic Bond Fund
Assets:
Investments, at value (Note 2) (a)	$	1,266,734,698		$	183,353,054
Short-term investments, at value (Note 2) (b)		84,657,276			29,483,896
Repurchase agreements, at value (Note 2) (c)		254,916,832			1,770,952
Total investments		1,606,308,806			214,607,902
Cash		138,750			-
Foreign currency, at value (d)		1,141,047			153,609
Receivables from:
Investments sold		-			15,451
Cash collateral on deposit at broker		-			30,003
Investments sold on a when-issued basis (Note 2)		13,845,703			10,488
Open forward foreign currency contracts (Note 2)		7,348,273			51,381
Investment adviser (Note 3)		-			-
Fund shares sold		426,013			431,335
Collateral held for open futures contracts (Note 2)		68,000			-
Collateral held for open swap agreements (Note 2)		-			400,000
Variation margin on open futures contracts (Note 2)		534,534			211,547
Foreign taxes withheld		-			-
Interest and dividends		12,863,775			1,201,174
Open swap agreements, at value (Note 2)		3,021,303			42,118
Total assets		1,645,696,204			217,155,008
Liabilities:
Payables for:
Investments purchased		-			-
Investments purchased on a when-issued basis (Note 2)		78,272,434			32,309,113
Closed swap agreements, at value		-			-
Written options outstanding, at value (Note 2) (e)		2,741,826			12,747
Payable for securities sold short, at value (Note 2) (f)		11,738,906			-
Reverse repurchase agreements (Note 2)		2,586,000			-
Open forward foreign currency contracts (Note 2)		2,614,187			18,944
Fund shares repurchased		2,338,195			130,149
Variation margin on open futures contracts (Note 2)		-			-
Open swap agreements, at value (Note 2)		5,126,297			436,829
Trustees’ fees and expenses (Note 3)		73,303			44,853
Collateral held for open swap agreements (Note 2)		4,520,000			-
Collateral held for when-issued securities (Note 2)		325,000			-
Affiliates (Note 3):
Investment management fees		434,026			84,715
Administration fees		264,593			24,630
Service fees		461,919			33,223
Distribution fees		10,716			517
Due to custodian		-			-
Accrued expense and other liabilities		181,627			41,193
Total liabilities		111,689,029			33,136,913
Net assets	$	1,534,007,175		$	184,018,095
Net assets consist of:
Paid-in capital	$	1,485,374,784		$	193,307,086
Undistributed (accumulated) net investment income (loss)		20,180,510			2,188,188
Accumulated net realized gain (loss) on investments and foreign currency transactions		(14,197,138	)		(7,494,635	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		42,649,019			(3,982,544	)
Net assets	$	1,534,007,175		$	184,018,095
(a)        Cost of investments:	$	1,229,187,476		$	186,763,172
(b)        Cost of short-term investments:	$	84,657,276		$	29,483,896
(c)        Cost of repurchase agreements:	$	254,916,832		$	1,770,952
(d)        Cost of foreign currency:	$	1,113,296		$	153,356
(e)        Premiums on written options:	$	4,185,829		$	11,334
(f)         Proceeds from securities sold short:	$	(11,766,563	)	$	-

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

142

MassMutual Select Strategic Balanced Fund			MassMutual Select BlackRock Global Allocation Fund		MassMutual Select Diversified Value Fund			MassMutual Select Fundamental Value Fund			MassMutual Select Value Equity Fund
$	62,417,348		$	553,225,219	$	295,360,923		$	1,152,417,799		$	30,764,175
	89,912			30,862,364		-			-			-
	5,048,227			-		4,278,200			19,353,329			106,286
	67,555,487			584,087,583		299,639,123			1,171,771,128			30,870,461
	-			-		-			-			-
	88,835			178,284		-			-			-
	337,738			1,172,928		7,536,673			-			-
	45,325			-		-			-			-
	6,699			-		-			-			-
	68,258			321,934		-			-			-
	-			38,862		-			-			-
	25,091			101,729		17,597			219,255			5,828
	16,000			-		-			-			-
	-			-		-			-			-
	-			-		-			-			-
	18,891			92,313		27,812			72,464			-
	190,810			2,896,052		532,645			1,720,935			35,518
	22,817			44,327		-			-			-
	68,375,951			588,934,012		307,753,850			1,173,783,782			30,911,807
	222,360			2,171,569		7,154,717			-			-
	3,684,999			-		-			-			-
	1,584			-		-			-			-
	1,591			1,419,850		-			-			-
	-			-		-			-			-
	-			-		-			-			-
	36,136			351,642		-			-			-
	1,057,911			122,218		315,778			5,644,506			-
	20,233			117,924		-			-			-
	19,413			39,714		-			-			-
	26,728			31,558		76,767			210,505			12,629
	-			-		-			-			-
	-			-		-			-			-
	31,225			378,691		120,451			470,724			17,800
	14,152			25,632		27,929			324,486			4,268
	5,087			1,328		19,902			199,008			7,605
	305			-		166			1,318			66
	-			6,594		-			-			-
	52,156			143,383		34,796			68,632			20,149
	5,173,880			4,810,103		7,750,506			6,919,179			62,517
$	63,202,071		$	584,123,909	$	300,003,344		$	1,166,864,603		$	30,849,290
$	62,406,265		$	525,192,564	$	395,229,472		$	1,016,716,705		$	48,842,978
	957,534			4,201,518		3,369,292			19,851,225			317,086
	(3,879,997	)		8,993,454		(136,110,641	)		(59,036,710	)		(21,205,539	)
	3,718,269			45,736,373		37,515,221			189,333,383			2,894,765
$	63,202,071		$	584,123,909	$	300,003,344		$	1,166,864,603		$	30,849,290
$	58,713,715		$	507,100,361	$	257,845,702		$	963,084,416		$	27,869,410
$	89,912		$	30,862,364	$	-		$	-		$	-
$	5,048,227		$	-	$	4,278,200		$	19,353,329		$	106,286
$	88,442		$	175,109	$	-		$	-		$	-
$	1,413		$	1,675,272	$	-		$	-		$	-
$	-		$	-	$	-		$	-		$	-

143

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2011 (Unaudited)

	MassMutual Select PIMCO Total Return Fund		MassMutual Select Strategic Bond Fund
Class A shares:
Net assets	$	722,574,046	$	51,701,342
Shares outstanding (a)		69,636,142		5,267,338
Net asset value and redemption price per share	$	10.38	$	9.82
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	10.90	$	10.31
Class L shares:
Net assets	$	15,939,650	$	24,278,733
Shares outstanding (a)		1,537,464		2,466,233
Net asset value, offering price and redemption price per share	$	10.37	$	9.84
Class Y shares:
Net assets	$	482,513,361	$	30,471,654
Shares outstanding (a)		46,459,046		3,084,371
Net asset value, offering price and redemption price per share	$	10.39	$	9.88
Class S shares:
Net assets	$	22,197,469	$	76,740,115
Shares outstanding (a)		2,138,263		7,770,970
Net asset value, offering price and redemption price per share	$	10.38	$	9.88
Class N shares:
Net assets	$	18,230,929	$	826,251
Shares outstanding (a)		1,759,717		84,420
Net asset value, offering price and redemption price per share	$	10.36	$	9.79
Class Z shares:
Net assets	$	272,551,720	$	-
Shares outstanding (a)		26,218,045		-
Net asset value, offering price and redemption price per share	$	10.40	$	-

(a) Authorized unlimited number of shares with no par value.

* Net asset value calculations reflect fractional share and dollar amounts.

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

144

MassMutual Select Strategic Balanced Fund		MassMutual Select BlackRock Global Allocation Fund			MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund		MassMutual Select Value Equity Fund
$	7,604,929	$	1,553,105		$	30,360,404	$	313,260,053	$	12,077,994
	710,715		140,128			3,194,501		29,064,420		1,565,301
$	10.70	$	11.08		$	9.50	$	10.78	$	7.72
$	11.35	$	11.76		$	10.08	$	11.44	$	8.19
$	32,716,636	$	112		$	10,951,606	$	107,383,662	$	474,345
	3,055,812		10			1,148,250		9,862,752		61,223
$	10.71	$	11.12	*	$	9.54	$	10.89	$	7.75
$	18,188,362	$	1,369,266		$	33,394,048	$	157,860,396	$	3,029,254
	1,698,933		123,067			3,499,313		14,468,827		387,951
$	10.71	$	11.13		$	9.54	$	10.91	$	7.81
$	4,188,362	$	581,201,426		$	225,030,952	$	489,890,525	$	15,162,738
	392,722		52,166,727			23,567,966		44,801,441		1,946,517
$	10.66	$	11.14		$	9.55	$	10.93	$	7.79
$	503,782	$	-		$	266,334	$	2,089,544	$	104,959
	47,398		-			27,934		196,091		13,645
$	10.63	$	-		$	9.53	$	10.66	$	7.69
$	-	$	-		$	-	$	96,380,423	$	-
	-		-			-		8,810,338		-
$	-	$	-		$	-	$	10.94	$	-

145

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2011 (Unaudited)

	MassMutual Select Large Cap Value Fund			MassMutual Select Indexed Equity Fund
Assets:
Investments, at value (Note 2) (a)	$	634,197,135		$	2,077,206,248
Short-term investments, at value (Note 2) (b)		-			4,714,081
Repurchase agreements, at value (Note 2) (c)		20,909,704			52,446,711
Total investments		655,106,839			2,134,367,040
Cash		-			-
Foreign currency, at value (d)		78,831			-
Receivables from:
Investments sold		3,115,334			278,759
Investment adviser (Note 3)		-			88,941
Fund shares sold		4,668			314,071
Variation margin on open futures contracts (Note 2)		-			409,406
Foreign taxes withheld		231,509			-
Interest and dividends		1,104,310			2,641,160
Total assets		659,641,491			2,138,099,377
Liabilities:
Payables for:
Investments purchased		1,552,300			-
Fund shares repurchased		1,514,111			7,548,358
Trustees’ fees and expenses (Note 3)		203,246			399,987
Affiliates (Note 3):
Investment management fees		348,032			169,455
Administration fees		92,278			465,972
Service fees		90,332			206,985
Distribution fees		483			2,031
Accrued expense and other liabilities		69,748			127,805
Total liabilities		3,870,530			8,920,593
Net assets	$	655,770,961		$	2,129,178,784
Net assets consist of:
Paid-in capital	$	520,218,745		$	1,877,987,650
Undistributed (accumulated) net investment income (loss)		462,397			23,791,492
Accumulated net realized gain (loss) on investments and foreign currency transactions		(40,249,178	)		(88,936,959	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		175,338,997			316,336,601
Net assets	$	655,770,961		$	2,129,178,784
(a)        Cost of investments:	$	458,898,571		$	1,762,121,373
(b)        Cost of short-term investments:	$	-		$	4,714,081
(c)        Cost of repurchase agreements:	$	20,909,704		$	52,446,711
(d)        Cost of foreign currency:	$	78,778		$	-

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

146

MassMutual Select Core Opportunities Fund			MassMutual Select Blue Chip Growth Fund			MassMutual Select Large Cap Growth Fund			MassMutual Select Growth Opportunities Fund			MassMutual Select NASDAQ-100 Fund
$	60,288,598		$	566,953,236		$	64,180,094		$	353,251,047		$	49,151,570
	-			-			-			-			104,975
	831,266			4,568,842			2,534,162			6,379,322			108,067
	61,119,864			571,522,078			66,714,256			359,630,369			49,364,612
	-			-			19			-			-
	-			-			-			-			-
	413,827			1,889,324			1,161,923			-			-
	75			48,360			-			-			-
	6,333			135,811			5,693			736,202			4,678
	-			-			-			-			2,006
	13,328			18,294			-			27,576			-
	67,843			372,059			54,957			93,797			22,192
	61,621,270			573,985,926			67,936,848			360,487,944			49,393,488
	355,776			3,089,401			1,012,215			-			-
	103,003			2,242,997			297,273			438,065			149,283
	8,757			159,725			11,110			80,340			11,201
	35,857			293,671			35,501			208,144			5,949
	10,441			139,907			11,296			48,941			20,276
	15,785			44,274			1,346			34,896			12,498
	86			221			-			14			222
	24,502			55,081			24,640			38,088			24,526
	554,207			6,025,277			1,393,381			848,488			223,955
$	61,067,063		$	567,960,649		$	66,543,467		$	359,639,456		$	49,169,533
$	65,522,942		$	560,285,840		$	50,376,473		$	288,348,994		$	53,059,026
	641,095			(400,753	)		(22,041	)		(367,813	)		(15,381	)
	(10,746,685	)		(122,555,999	)		6,167,643			(30,630,786	)		(11,794,798	)
	5,649,711			130,631,561			10,021,392			102,289,061			7,920,686
$	61,067,063		$	567,960,649		$	66,543,467		$	359,639,456		$	49,169,533
$	54,638,887		$	436,326,338		$	54,158,702		$	250,961,986		$	41,238,148
$	-		$	-		$	-		$	-		$	104,975
$	831,266		$	4,568,842		$	2,534,162		$	6,379,322		$	108,067
$	-		$	-		$	-		$	-		$	-

147

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2011 (Unaudited)

	MassMutual Select Large Cap Value Fund		MassMutual Select Indexed Equity Fund
Class A shares:
Net assets	$	136,607,521	$	347,589,315
Shares outstanding (a)		12,677,381		28,555,116
Net asset value and redemption price per share	$	10.78	$	12.17
Offering price per share (100/[100-maximum sales charge] of net asset value)	$	11.44	$	12.91
Class L shares:
Net assets	$	64,120,371	$	223,484,705
Shares outstanding (a)		5,925,099		18,245,411
Net asset value, offering price and redemption price per share	$	10.82	$	12.25
Class Y shares:
Net assets	$	81,715,667	$	312,491,463
Shares outstanding (a)		7,530,371		25,497,126
Net asset value, offering price and redemption price per share	$	10.85	$	12.26
Class S shares:
Net assets	$	372,569,901	$	481,312,157
Shares outstanding (a)		34,292,332		38,852,701
Net asset value, offering price and redemption price per share	$	10.86	$	12.39
Class N shares:
Net assets	$	757,501	$	3,307,434
Shares outstanding (a)		71,067		274,480
Net asset value, offering price and redemption price per share	$	10.66	$	12.05
Class Z shares:
Net assets	$	-	$	760,993,710
Shares outstanding (a)		-		61,439,864
Net asset value, offering price and redemption price per share	$	-	$	12.39

(a) Authorized unlimited number of shares with no par value.

* Net asset value calculations reflect fractional share and dollar amounts.

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

148

MassMutual Select Core Opportunities Fund		MassMutual Select Blue Chip Growth Fund		MassMutual Select Large Cap Growth Fund			MassMutual Select Growth Opportunities Fund		MassMutual Select NASDAQ-100 Fund
$	24,262,196	$	70,543,772	$	2,095,859		$	56,691,511	$	18,931,208
	2,532,992		6,401,746		222,909			7,885,694		3,318,394
$	9.58	$	11.02	$	9.40		$	7.19	$	5.70
$	10.16	$	11.69	$	9.97		$	7.63	$	6.05
$	1,573,172	$	224,038,717	$	66,902		$	23,954,429	$	6,707,119
	163,728		19,920,450		6,924			3,233,926		1,145,537
$	9.61	$	11.25	$	9.66		$	7.41	$	5.86
$	5,359,877	$	54,831,898	$	149		$	29,437,871	$	1,803,096
	554,336		4,851,672		15			3,911,349		303,518
$	9.67	$	11.30	$	9.67	*	$	7.53	$	5.94
$	29,731,425	$	218,186,115	$	64,380,557		$	249,533,674	$	21,387,173
	3,061,393		19,228,169		6,667,760			32,770,329		3,557,362
$	9.71	$	11.35	$	9.66		$	7.61	$	6.01
$	140,393	$	360,147	$	-		$	21,971	$	340,937
	14,629		33,564		-			3,162		61,648
$	9.60	$	10.73	$	-		$	6.95	$	5.53
$	-	$	-	$	-		$	-	$	-
	-		-		-			-		-
$	-	$	-	$	-		$	-	$	-

149

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2011 (Unaudited)

	MassMutual Select Focused Value Fund		MassMutual Select Mid-Cap Value Fund
Assets:
Investments, at value (Note 2) (a)	$	612,500,058	$	153,583,335
Repurchase agreements, at value (Note 2) (b)		35,902,301		3,157,017
Total investments		648,402,359		156,740,352
Cash		-		-
Foreign currency, at value (c)		-		-
Receivables from:
Investments sold		6,106,846		1,753,206
Fund shares sold		272,885		180,278
Foreign taxes withheld		-		-
Interest and dividends		339,484		216,596
Total assets		655,121,574		158,890,432
Liabilities:
Payables for:
Investments purchased		467,343		2,059,982
Fund shares repurchased		1,852,707		407,370
Trustees’ fees and expenses (Note 3)		139,030		23,426
Affiliates (Note 3):
Investment management fees		308,816		86,524
Administration fees		152,780		13,783
Service fees		111,576		3,769
Distribution fees		1,118		42
Due to custodian		-		-
Accrued expense and other liabilities		47,153		26,997
Total liabilities		3,080,523		2,621,893
Net assets	$	652,041,051	$	156,268,539
Net assets consist of:
Paid-in capital	$	517,825,208	$	189,736,757
Undistributed (accumulated) net investment income (loss)		3,676,831		694,868
Distributions in excess of net investment income		-		-
Accumulated net realized gain (loss) on investments and foreign currency transactions		2,833,592		(49,237,441	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		127,705,420		15,074,355
Net assets	$	652,041,051	$	156,268,539
(a)        Cost of investments:	$	484,794,638	$	138,509,008
(b)        Cost of repurchase agreements:	$	35,902,301	$	3,157,017
(c)        Cost of foreign currency:	$	-	$	-

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

150

MassMutual Select Small Cap Value Equity Fund			MassMutual Select Small Company Value Fund			MassMutual Select Mid Cap Growth Equity Fund			MassMutual Select Mid Cap Growth Equity II Fund			MassMutual Select Small Cap Growth Equity Fund
$	106,928,258		$	545,815,368		$	41,545,594		$	1,642,284,678		$	896,115,521
	3,731,288			19,917,046			188,902			51,987,411			19,264,711
	110,659,546			565,732,414			41,734,496			1,694,272,089			915,380,232
	-			1,175			-			5,539			10,724
	-			-			646			7,537			-
	208,948			7,049,682			2,045,364			11,733,721			5,409,642
	23,903			73,737			2,245			687,613			1,068,281
	-			-			1,211			-			-
	71,832			539,266			8,481			453,179			95,215
	110,964,229			573,396,274			43,792,443			1,707,159,678			921,964,094
	60,557			5,522,420			215,340			10,671,678			7,422,948
	242,318			3,142,262			411,864			8,893,059			2,103,863
	18,811			107,708			24,743			259,507			126,721
	65,316			344,678			29,726			880,971			553,633
	9,198			138,019			6,993			429,846			168,054
	5,021			78,104			5,647			258,218			62,290
	14			463			129			1,634			326
	-			-			1,244,097			-			-
	24,023			44,842			32,910			101,296			74,008
	425,258			9,378,496			1,971,449			21,496,209			10,511,843
$	110,538,971		$	564,017,778		$	41,820,994		$	1,685,663,469		$	911,452,251
$	138,402,712		$	471,291,479		$	70,362,522		$	1,195,042,951		$	684,510,838
	72,674			-			(225,865	)		(7,657,975	)		(3,029,486	)
	-			(355,354	)		-			-			-
	(47,820,996	)		6,485,408			(34,532,470	)		64,765,479			88,761,632
	19,884,581			86,596,245			6,216,807			433,513,014			141,209,267
$	110,538,971		$	564,017,778		$	41,820,994		$	1,685,663,469		$	911,452,251
$	87,043,677		$	459,219,123		$	35,328,920		$	1,208,773,244		$	754,906,254
$	3,731,288		$	19,917,046		$	188,902		$	51,987,411		$	19,264,711
$	-		$	-		$	644		$	7,537		$	-

151

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2011 (Unaudited)

	MassMutual Select Focused Value Fund		MassMutual Select Mid-Cap Value Fund
Class A shares:
Net assets	$	174,232,419	$	5,856,893
			��
Shares outstanding (a)		9,776,961		543,203
Net asset value and redemption price per share	$	17.82	$	10.78
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	18.91	$	11.44
Class L shares:
Net assets	$	66,440,185	$	4,201,945
Shares outstanding (a)		3,652,150		389,293
Net asset value, offering price and redemption price per share	$	18.19	$	10.79
Class Y shares:
Net assets	$	76,880,453	$	1,533,346
Shares outstanding (a)		4,182,224		141,449
Net asset value, offering price and redemption price per share	$	18.38	$	10.84
Class S shares:
Net assets	$	294,114,351	$	144,609,055
Shares outstanding (a)		15,858,139		13,370,303
Net asset value, offering price and redemption price per share	$	18.55	$	10.82
Class N shares:
Net assets	$	1,763,763	$	67,300
Shares outstanding (a)		101,428		6,259
Net asset value, offering price and redemption price per share	$	17.39	$	10.75
Class Z shares:
Net assets	$	38,609,880	$	-
Shares outstanding (a)		2,080,262		-
Net asset value, offering price and redemption price per share	$	18.56	$	-

(a) Authorized unlimited number of shares with no par value.

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

152

MassMutual Select Small Cap Value Equity Fund		MassMutual Select Small Company Value Fund		MassMutual Select Mid Cap Growth Equity Fund		MassMutual Select Mid Cap Growth Equity II Fund		MassMutual Select Small Cap Growth Equity Fund
$	7,790,856	$	121,736,954	$	3,878,699	$	403,848,187	$	97,844,710
	785,196		8,628,354		342,330		25,202,466		5,537,030
$	9.92	$	14.11	$	11.33	$	16.02	$	17.67
$	10.53	$	14.97	$	12.02	$	17.00	$	18.75
$	1,504,956	$	42,764,319	$	361,592	$	442,301,303	$	57,072,870
	151,569		2,986,721		31,083		26,837,909		3,133,922
$	9.93	$	14.32	$	11.63	$	16.48	$	18.21
$	3,815,773	$	67,545,381	$	753,278	$	223,287,811	$	96,262,326
	383,419		4,679,312		63,591		13,314,069		5,192,263
$	9.95	$	14.43	$	11.85	$	16.77	$	18.54
$	97,410,211	$	297,739,018	$	36,628,740	$	530,360,092	$	622,726,774
	9,783,861		20,549,443		3,074,278		31,340,892		33,066,593
$	9.96	$	14.49	$	11.91	$	16.92	$	18.83
$	17,175	$	732,681	$	198,685	$	2,608,447	$	513,670
	1,730		53,454		18,009		167,538		29,964
$	9.93	$	13.71	$	11.03	$	15.57	$	17.14
$	-	$	33,499,425	$	-	$	83,257,629	$	37,031,901
	-		2,312,775		-		4,915,527		1,964,568
$	-	$	14.48	$	-	$	16.94	$	18.85

153

MassMutual Select Funds - Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2011 (Unaudited)

	MassMutual Select Small Company Growth Fund
Assets:
Investments, at value (Note 2) (a)	$	70,466,413
Repurchase agreements, at value (Note 2) (b)		1,976,512
Total investments		72,442,925
Cash		-
Foreign currency, at value (c)		-
Receivables from:
Investments sold		797,012
Open forward foreign currency contracts (Note 2)		-
Investment adviser (Note 3)		-
Fund shares sold		36,373
Interest and dividends		15,577
Foreign taxes withheld		-
Total assets		73,291,887
Liabilities:
Payables for:
Investments purchased		1,562,772
Open forward foreign currency contracts (Note 2)		-
Fund shares repurchased		1,315,282
Trustees’ fees and expenses (Note 3)		19,069
Affiliates (Note 3):
Investment management fees		46,906
Administration fees		13,053
Service fees		8,396
Distribution fees		181
Accrued expense and other liabilities		24,745
Total liabilities		2,990,404
Net assets	$	70,301,483
Net assets consist of:
Paid-in capital	$	71,447,697
Undistributed (accumulated) net investment income (loss)		(331,594	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		(17,707,338	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		16,892,718
Net assets	$	70,301,483
(a)        Cost of investments:	$	53,573,695
(b)        Cost of repurchase agreements:	$	1,976,512
(c)        Cost of foreign currency:	$	-

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

154

MassMutual Select Diversified International Fund			MassMutual Select Overseas Fund
$	148,300,666		$	594,786,341
	3,869,204			10,720,565
	152,169,870			605,506,906
	-			87,847
	571,565			773,747
	1,096,555			3,246,426
	2,269,377			1,870,000
	15,386			-
	433			103,871
	378,701			1,332,320
	167,305			2,870,316
	156,669,192			615,791,433
	1,047,763			7,324,235
	1,940,960			4,834,906
	360,282			947,698
	28,111			146,592
	110,165			331,147
	11,947			164,184
	856			38,085
	44			167
	67,660			159,844
	3,567,788			13,946,858
$	153,101,404		$	601,844,575
$	223,172,167		$	652,489,652
	1,390,982			15,736,281
	(72,833,551	)		(130,414,582	)
	1,371,806			64,033,224
$	153,101,404		$	601,844,575
$	147,274,871		$	528,376,617
$	3,869,204		$	10,720,565
$	570,367		$	772,209

155

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2011 (Unaudited)

	MassMutual Select Small Company Growth Fund
Class A shares:
Net assets	$	11,660,779
Shares outstanding (a)		1,095,818
Net asset value and redemption price per share	$	10.64
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	11.29
Class L shares:
Net assets	$	5,798,257
Shares outstanding (a)		530,973
Net asset value, offering price and redemption price per share	$	10.92
Class Y shares:
Net assets	$	3,160,922
Shares outstanding (a)		285,115
Net asset value, offering price and redemption price per share	$	11.09
Class S shares:
Net assets	$	49,367,353
Shares outstanding (a)		4,433,414
Net asset value, offering price and redemption price per share	$	11.14
Class N shares:
Net assets	$	314,172
Shares outstanding (a)		30,361
Net asset value, offering price and redemption price per share	$	10.35
Class Z shares:
Net assets	$	-
Shares outstanding (a)		-
Net asset value, offering price and redemption price per share	$	-

(a) Authorized unlimited number of shares with no par value.

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

156

MassMutual Select Diversified International Fund		MassMutual Select Overseas Fund
$	1,250,696	$	60,726,360
	175,235		8,031,534
$	7.14	$	7.56
$	7.58	$	8.02
$	2,159,107	$	64,895,136
	301,872		8,507,924
$	7.15	$	7.63
$	7,582,317	$	86,996,611
	1,058,173		11,351,644
$	7.17	$	7.66
$	142,038,339	$	169,399,055
	19,775,478		21,996,558
$	7.18	$	7.70
$	70,945	$	272,568
	10,000		36,499
$	7.09	$	7.47
$	-	$	219,554,845
	-		28,482,551
$	-	$	7.71

157

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended June 30, 2011 (Unaudited)

	MassMutual Select PIMCO Total Return Fund			MassMutual Select Strategic Bond Fund
Investment income (Note 2):
Dividends (a)	$	950,000		$	13,400
Interest		23,241,323			3,437,580
Total investment income		24,191,323			3,450,980
Expenses (Note 3):
Investment management fees		2,420,997			492,980
Custody fees		102,863			29,921
Audit fees		43,876			20,663
Legal fees		32,522			1,094
Proxy fees		474			474
Shareholder reporting fees		26,713			4,667
Trustees’ fees		56,216			7,322
Short sale dividend and loan expense		-			-
		2,683,661			557,121
Administration fees:
Class A		788,930			65,747
Class L		60,236			56,430
Class Y		700,432			14,833
Class S		30,663			12,747
Class N		15,857			1,306
Class Z		10,011			-
Distribution fees:
Class N		18,019			1,089
Service fees:
Class A		896,511			65,747
Class N		18,019			1,089
Total expenses		5,222,339			776,109
Expenses waived (Note 3):
Class A fees waived by adviser		-			-
Class L fees waived by adviser		-			-
Class Y fees waived by adviser		-			-
Class S fees waived by adviser		-			-
Class A management fees waived		-			-
Class L management fees waived		-			-
Class Y management fees waived		-			-
Class S management fees waived		-			-
Class N management fees waived		-			-
Class Z management fees waived		-			-
Net expenses		5,222,339			776,109
Net investment income (loss)		18,968,984			2,674,871
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		(594,769	)		55,842
Futures contracts		358,845			(610,905	)
Written options		933,208			69,968
Swap agreements		1,162,939			65,316
Foreign currency transactions		(2,361,566	)		(342,975	)
Net realized gain (loss)		(501,343	)		(762,754	)
Net change in unrealized appreciation (depreciation) on:
Investment transactions		18,163,400			3,367,837
Futures contracts		5,595,672			(312,945	)
Written options		2,712,987			(7,216	)
Securities sold short		27,657			-
Swap agreements		(7,372,165	)		(130,567	)
Translation of assets and liabilities in foreign currencies		2,325,932			65,972
Net change in unrealized appreciation (depreciation)		21,453,483			2,983,081
Net realized gain (loss) and change in unrealized appreciation (depreciation)		20,952,140			2,220,327
Net increase (decrease) in net assets resulting from operations	$	39,921,124		$	4,895,198
(a)        Net of withholding tax of:	$	-		$	-

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

158

MassMutual Select Strategic Balanced Fund			MassMutual Select BlackRock Global Allocation Fund			MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund			MassMutual Select Value Equity Fund
$	555,047		$	4,842,286		$	3,421,351	$	13,396,449		$	271,915
	366,989			3,037,564			200		892			13
	922,036			7,879,850			3,421,551		13,397,341			271,928
	195,011			2,303,440			750,670		3,727,337			112,742
	55,827			109,266			18,047		42,684			4,235
	21,287			45,841			15,691		15,770			15,816
	410			46,849			1,742		6,446			192
	474			474			474		474			474
	2,493			12,458			7,068		23,421			1,839
	2,723			23,713			12,369		45,256			1,356
	-			2,158			-		-			-
	278,225			2,544,199			806,061		3,861,388			136,654
	12,549			3,341			50,092		699,031			16,623
	56,676			15,198			50,619		342,029			2,549
	15,919			1,077			27,147		226,063			1,921
	2,663			140,516			56,982		689,716			6,024
	910			-			486		5,303			172
	-			-			-		2,575			-
	603			-			330		2,642			131
	9,594			2,784			40,619		386,673			14,922
	603			-			330		2,642			131
	377,742			2,707,115			1,032,666		6,218,062			179,127
	-			(810	)		-		-			-
	-			(3,595	)		-		-			-
	-			(523	)		-		-			-
	-			(205,585	)		-		-			-
	-			-			-		(215,074	)		-
	-			-			-		(104,117	)		-
	-			-			-		(104,268	)		-
	-			-			-		(365,425	)		-
	-			-			-		(1,467	)		-
	-			-			-		(6,642	)		-
	377,742			2,496,602			1,032,666		5,421,069			179,127
	544,294			5,383,248			2,388,885		7,976,272			92,801
	2,926,946			4,707,832			5,452,494		18,407,723			3,411,756
	5,315			1,143,624			-		-			-
	8,564			141,843			-		-			-
	7,353			208,770			-		-			-
	115,569			3,143,535			-		49,697			-
	3,063,747			9,345,604			5,452,494		18,457,420			3,411,756
	(1,107,279	)		4,604,146			12,462,558		19,512,896			(2,044,596	)
	(86,161	)		(643,514	)		-		-			-
	(848	)		582,669			-		-			-
	-			-			-		-			-
	1,917			(48,144	)		-		-			-
	(85,270	)		(828,724	)		-		-			-
	(1,277,641	)		3,666,433			12,462,558		19,512,896			(2,044,596	)
	1,786,106			13,012,037			17,915,052		37,970,316			1,367,160
$	2,330,400		$	18,395,285		$	20,303,937	$	45,946,588		$	1,459,961
$	25,905		$	295,548		$	41,212	$	68,958		$	-

159

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended June 30, 2011 (Unaudited)

	MassMutual Select Large Cap Value Fund			MassMutual Select Indexed Equity Fund
Investment income (Note 2):
Dividends (a)	$	6,550,271		$	20,240,196
Interest		40,950			32,940
Total investment income		6,591,221			20,273,136
Expenses (Note 3):
Investment management fees		2,224,548			1,037,281
Custody fees		52,033			75,654
Audit fees		15,963			16,711
Legal fees		4,058			11,600
Proxy fees		474			474
Shareholder reporting fees		14,888			40,065
Trustees’ fees		28,704			82,498
		2,340,668			1,264,283
Administration fees:
Class A		239,272			774,886
Class L		124,276			518,537
Class Y		71,685			512,560
Class S		159,251			726,835
Class N		1,424			8,396
Class Z		-			314,709
Distribution fees:
Class N		951			3,963
Service fees:
Class A		184,396			403,839
Class N		951			3,963
Total expenses		3,122,874			4,531,971
Expenses waived (Note 3):
Class A fees waived by adviser		-			-
Class L fees waived by adviser		-			-
Class Y fees waived by adviser		-			-
Class S fees waived by adviser		-			-
Class N fees waived by adviser		-			-
Class A administrative fees waived		-			(323,071	)
Class L administrative fees waived		-			(216,192	)
Class N administrative fees waived		-			(3,170	)
Net expenses		3,122,874			3,989,538
Net investment income (loss)		3,468,347			16,283,598
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		30,740,194			2,903,109
Futures contracts		-			709,205
Foreign currency transactions		7,714			-
Net realized gain (loss)		30,747,908			3,612,314
Net change in unrealized appreciation (depreciation) on:
Investment transactions		(17,507,934	)		94,711,494
Futures contracts		-			688,920
Translation of assets and liabilities in foreign currencies		21,264			-
Net change in unrealized appreciation (depreciation)		(17,486,670	)		95,400,414
Net realized gain (loss) and change in unrealized appreciation (depreciation)		13,261,238			99,012,728
Net increase (decrease) in net assets resulting from operations	$	16,729,585		$	115,296,326
(a)        Net of withholding tax of:	$	155,400		$	-

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

160

MassMutual Select Core Opportunities Fund			MassMutual Select Blue Chip Growth Fund			MassMutual Select Large Cap Growth Fund			MassMutual Select Growth Opportunities Fund			MassMutual Select NASDAQ-100 Fund
$	617,758		$	2,275,711		$	324,633		$	1,442,684		$	205,245
	22			258			56			163			138
	617,780			2,275,969			324,689			1,442,847			205,383
	238,108			1,781,805			224,191			1,294,409			39,056
	15,040			34,382			12,254			16,998			5,613
	16,289			15,929			15,546			15,884			16,285
	401			3,201			408			2,067			292
	474			474			474			474			474
	2,542			11,898			2,568			8,021			2,220
	2,858			22,509			2,886			14,441			2,072
	275,712			1,870,198			258,327			1,352,294			66,012
	37,930			142,100			3,942			95,877			62,368
	28,442			518,725			33,031			92,028			21,983
	3,979			66,437			-			23,667			4,669
	4,585			141,303			39,118			104,377			42,562
	240			810			-			50			1,185
	-			-			-			-			-
	172			442			-			32			439
	31,608			86,965			2,793			69,597			24,971
	172			442			-			32			439
	382,840			2,827,422			337,211			1,737,954			224,628
	-			(52,443	)		-			-			-
	-			(140,611	)		-			-			-
	-			(34,713	)		-			-			-
	-			(71,998	)		-			-			-
	-			(231	)		-			-			-
	-			-			-			-			-
	-			-			-			-			-
	-			-			-			-			-
	382,840			2,527,426			337,211			1,737,954			224,628
	234,940			(251,457	)		(12,522	)		(295,107	)		(19,245	)
	3,471,294			30,253,343			5,733,070			10,160,846			7,140,179
	-			-			-			-			76,730
	-			1,496			-			-			-
	3,471,294			30,254,839			5,733,070			10,160,846			7,216,909
	(1,477,647	)		3,538,335			(2,908,719	)		16,427,787			(4,796,967	)
	-			-			-			-			6,152
	-			1,830			-			-			-
	(1,477,647	)		3,540,165			(2,908,719	)		16,427,787			(4,790,815	)
	1,993,647			33,795,004			2,824,351			26,588,633			2,426,094
$	2,228,587		$	33,543,547		$	2,811,829		$	26,293,526		$	2,406,849
$	11,738		$	1,860		$	3,152		$	20,963		$	458

161

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended June 30, 2011 (Unaudited)

	MassMutual Select Focused Value Fund			MassMutual Select Mid-Cap Value Fund
Investment income (Note 2):
Dividends (a)	$	4,540,094		$	1,361,172
Interest		2,250			166
Total investment income		4,542,344			1,361,338
Expenses (Note 3):
Investment management fees		2,317,055			513,685
Custody fees		27,335			2,159
Audit fees		15,954			15,840
Legal fees		3,930			816
Proxy fees		474			474
Shareholder reporting fees		14,650			3,932
Trustees’ fees		27,335			5,806
		2,406,733			542,712
Administration fees:
Class A		385,921			8,921
Class L		195,341			61,127
Class Y		111,814			955
Class S		295,655			24,682
Class N		4,504			115
Class Z		993			-
Distribution fees:
Class N		2,325			82
Service fees:
Class A		222,100			7,435
Class N		2,325			82
Total expenses		3,627,711			646,111
Expenses waived (Note 3):
Class A management fees waived		(88,852	)		-
Class L management fees waived		(44,802	)		-
Class Y management fees waived		(39,325	)		-
Class S management fees waived		(160,169	)		-
Class N management fees waived		(929	)		-
Class Z management fees waived		(1,729	)		-
Net expenses		3,291,905			646,111
Net investment income (loss)		1,250,439			715,227
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		36,119,828			12,201,717
Foreign currency transactions		-			30
Net realized gain (loss)		36,119,828			12,201,747
Net change in unrealized appreciation (depreciation) on:
Investment transactions		(5,700,316	)		(2,890,066	)
Translation of assets and liabilities in foreign currencies		-			(10	)
Net change in unrealized appreciation (depreciation)		(5,700,316	)		(2,890,076	)
Net realized gain (loss) and change in unrealized appreciation (depreciation)		30,419,512			9,311,671
Net increase (decrease) in net assets resulting from operations	$	31,669,951		$	10,026,898
(a)        Net of withholding tax of:	$	-		$	1,599

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

162

MassMutual Select Small Cap Value Equity Fund		MassMutual Select Small Company Value Fund			MassMutual Select Mid Cap Growth Equity Fund			MassMutual Select Mid Cap Growth Equity II Fund			MassMutual Select Small Cap Growth Equity Fund
$	585,881	$	3,521,902		$	164,889		$	3,707,982		$	1,746,719
	963		12,085			79			20,683			770
	586,844		3,533,987			164,968			3,728,665			1,747,489
	397,784		2,364,376			231,520			6,246,467			3,580,822
	949		25,689			32,649			76,585			67,445
	16,404		15,652			15,824			16,159			15,991
	596		3,257			388			9,521			4,927
	474		474			474			474			474
	3,185		12,350			2,501			33,881			18,035
	4,244		22,774			2,735			66,425			34,846
	423,636		2,444,572			286,091			6,449,512			3,722,540
	12,099		268,405			15,448			858,308			219,065
	30,033		111,306			28,260			983,350			147,719
	3,212		98,679			1,637			303,583			143,800
	18,421		389,353			15,505			520,554			516,463
	37		1,890			362			6,133			1,276
	-		631			-			2,817			814
	26		966			253			3,232			629
	10,082		152,746			12,559			505,601			119,708
	26		966			253			3,232			629
	497,572		3,469,514			360,368			9,636,322			4,872,643
	-		(48,882	)		-			(202,232	)		(23,937	)
	-		(20,196	)		-			(231,411	)		(16,089	)
	-		(27,283	)		-			(110,655	)		(23,385	)
	-		(124,843	)		-			(282,058	)		(154,101	)
	-		(309	)		-			(1,293	)		(126	)
	-		(1,016	)		-			(5,214	)		(706	)
	497,572		3,246,985			360,368			8,803,459			4,654,299
	89,272		287,002			(195,400	)		(5,074,794	)		(2,906,810	)
	3,772,623		19,461,186			14,490,425			104,730,207			75,216,810
	-		(86	)		(16,830	)		(4,263	)		(81,541	)
	3,772,623		19,461,100			14,473,595			104,725,944			75,135,269
	1,504,857		8,842,977			(8,798,427	)		13,812,356			666,472
	-		-			896			1,236			11,631
	1,504,857		8,842,977			(8,797,531	)		13,813,592			678,103
	5,277,480		28,304,077			5,676,064			118,539,536			75,813,372
$	5,366,752	$	28,591,079		$	5,480,664		$	113,464,742		$	72,906,562
$	-	$	3,709		$	4,318		$	61,118		$	14,920

163

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended June 30, 2011 (Unaudited)

	MassMutual Select Small Company Growth Fund
Investment income (Note 2):
Dividends (a)	$	98,894
Interest		44
Total investment income		98,938
Expenses (Note 3):
Investment management fees		276,883
Custody fees		16,554
Audit fees		15,544
Legal fees		365
Proxy fees		474
Shareholder reporting fees		2,417
Trustees’ fees		2,594
		314,831
Administration fees:
Class A		22,818
Class L		29,057
Class Y		2,877
Class S		25,666
Class N		549
Class Z		-
Distribution fees:
Class N		344
Service fees:
Class A		16,341
Class N		344
Total expenses		412,827
Expenses waived (Note 3):
Class A fees waived by adviser		-
Class L fees waived by adviser		-
Class Y fees waived by adviser		-
Class S fees waived by adviser		-
Class N fees waived by adviser		-
Class A management fees waived		-
Class L management fees waived		-
Class Y management fees waived		-
Class S management fees waived		-
Class N management fees waived		-
Class Z management fees waived		-
Net expenses		412,827
Net investment income (loss)		(313,889	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		6,666,111
Futures contracts		-
Foreign currency transactions		-
Net realized gain (loss)		6,666,111
Net change in unrealized appreciation (depreciation) on:
Investment transactions		574,450
Futures contracts		-
Translation of assets and liabilities in foreign currencies		-
Net change in unrealized appreciation (depreciation)		574,450
Net realized gain (loss) and change in unrealized appreciation (depreciation)		7,240,561
Net increase (decrease) in net assets resulting from operations	$	6,926,672
(a)        Net of withholding tax of:	$	-

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

164

MassMutual Select Diversified International Fund			MassMutual Select Overseas Fund
$	3,100,269		$	10,773,447
	201			407
	3,100,470			10,773,854
	675,155			2,918,262
	95,717			270,295
	17,383			17,249
	836			3,399
	474			474
	4,014			12,976
	5,995			23,934
	799,574			3,246,589
	1,965			132,665
	49,438			327,095
	5,676			171,799
	27,032			453,505
	124			632
	-			7,080
	89			321
	1,638			75,237
	89			321
	885,625			4,415,244
	(1,283	)		-
	(32,364	)		-
	(4,763	)		-
	(67,953	)		-
	(70	)		-
	-			(89,240	)
	-			(217,655	)
	-			(130,158	)
	-			(391,941	)
	-			(382	)
	-			(36,375	)
	779,192			3,549,493
	2,321,278			7,224,361
	6,845,152			23,679,651
	96,995			36,408
	126,914			(2,124,289	)
	7,069,061			21,591,770
	(6,934,401	)		(576,703	)
	24,991			(7,560	)
	(349,862	)		(478,335	)
	(7,259,272	)		(1,062,598	)
	(190,211	)		20,529,172
$	2,131,067		$	27,753,533
$	360,922		$	1,170,026

165

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select PIMCO Total Return Fund
	Six Months Ended June 30, 2011 (Unaudited)			Period Ended December 31, 2010*
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	18,968,984		$	15,405,904
Net realized gain (loss) on investment transactions		(501,343	)		(2,134,826	)
Net change in unrealized appreciation (depreciation) on investments		21,453,483			21,195,536
Net increase (decrease) in net assets resulting from operations		39,921,124			34,466,614
Distributions to shareholders (Note 2):
From net investment income:
Class A		-			(8,009,037	)
Class L		-			(337,579	)
Class Y		-			(6,314,703	)
Class S		-			(361,588	)
Class N		-			(96,585	)
Class Z		-			(48,662	)
Total distributions from net investment income		-			(15,168,154	)
From net realized gains:
Class A		-			(5,802,744	)
Class L		-			(220,819	)
Class Y		-			(4,237,514	)
Class S		-			(225,626	)
Class N		-			(75,867	)
Class Z		-			(29,202	)
Total distributions from net realized gains		-			(10,591,772	)
Net fund share transactions (Note 5):
Class A		(6,060,061	)		702,444,383
Class L		(12,900,969	)		28,706,078
Class Y		(48,044,826	)		511,700,007
Class S		(8,252,454	)		29,889,731
Class N		8,022,492			9,840,998
Class Z		266,287,991			3,745,993
Increase (decrease) in net assets from fund share transactions		199,052,173			1,286,327,190
Total increase (decrease) in net assets		238,973,297			1,295,033,878
Net assets
Beginning of period		1,295,033,878			-
End of period	$	1,534,007,175		$	1,295,033,878
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	20,180,510		$	1,211,526
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-

* Fund commenced operations on July 6, 2010.

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

166

MassMutual Select Strategic Bond Fund						MassMutual Select Strategic Balanced Fund						MassMutual Select BlackRock Global Allocation Fund
Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010			Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010			Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
$	2,674,871		$	7,982,588		$	544,294		$	1,427,234		$	5,383,248		$	7,566,739
	(762,754	)		3,768,119			3,063,747			7,965,259			9,345,604			(3,527,465	)
	2,983,081			8,597,403			(1,277,641	)		(1,368,360	)		3,666,433			46,145,587
	4,895,198			20,348,110			2,330,400			8,024,133			18,395,285			50,184,861
	-			(2,603,914	)		-			(113,111	)		-			(10,566	)
	-			(2,117,201	)		-			(586,440	)		-			(74,272	)
	-			(1,550,402	)		-			(377,596	)		-			(13,865	)
	-			(2,541,242	)		-			(81,256	)		-			(5,155,251	)
	-			(43,794	)		-			(5,377	)		-			-
	-			-			-			-			-			-
	-			(8,856,553	)		-			(1,163,780	)		-			(5,253,954	)
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	(3,726,508	)		(11,327,824	)		(387,189	)		(1,971,430	)		(947,980	)		2,223,938
	(18,845,163	)		3,989,276			(3,759,845	)		(5,414,537	)		(10,919,316	)		278,774
	1,020,102			(32,826,007	)		(821,841	)		(9,282,310	)		(201,043	)		1,333,553
	27,229,659			(3,634,476	)		(144,037	)		(526,100	)		6,249,325			50,380,360
	(158,008	)		109,366			14,550			(94,468	)		-			-
	-			-			-			-			-			-
	5,520,082			(43,689,665	)		(5,098,362	)		(17,288,845	)		(5,819,014	)		54,216,625
	10,415,280			(32,198,108	)		(2,767,962	)		(10,428,492	)		12,576,271			99,147,532
	173,602,815			205,800,923			65,970,033			76,398,525			571,547,638			472,400,106
$	184,018,095		$	173,602,815		$	63,202,071		$	65,970,033		$	584,123,909		$	571,547,638
$	2,188,188		$	-		$	957,534		$	413,240		$	4,201,518		$	-
$	-		$	(483,683	)	$	-		$	-		$	-		$	(1,181,730	)

167

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Diversified Value Fund
	Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	2,388,885		$	5,210,330
Net realized gain (loss) on investment transactions		5,452,494			12,504,222
Net change in unrealized appreciation (depreciation) on investments		12,462,558			17,771,906
Net increase (decrease) in net assets resulting from operations		20,303,937			35,486,458
Distributions to shareholders (Note 2):
From net investment income:
Class A		-			(462,360	)
Class L		-			(650,600	)
Class Y		-			(586,947	)
Class S		-			(3,557,591	)
Class N		-			(2,031	)
Total distributions from net investment income		-			(5,259,529	)
Net fund share transactions (Note 5):
Class A		(4,692,611	)		(16,131,883	)
Class L		(31,104,302	)		(6,110,281	)
Class Y		(2,066,879	)		(1,940,051	)
Class S		24,369,157			(33,046,044	)
Class N		(5,535	)		(320,906	)
Class Z		-			-
Increase (decrease) in net assets from fund share transactions		(13,500,170	)		(57,549,165	)
Total increase (decrease) in net assets		6,803,767			(27,322,236	)
Net assets
Beginning of period		293,199,577			320,521,813
End of period	$	300,003,344		$	293,199,577
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	3,369,292		$	980,407
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-

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

168

MassMutual Select Fundamental Value Fund						MassMutual Select Value Equity Fund						MassMutual Select Large Cap Value Fund
Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010			Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010			Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
$	7,976,272		$	11,956,117		$	92,801		$	238,034		$	3,468,347		$	5,080,841
	18,457,420			51,382,855			3,411,756			3,220,707			30,747,908			35,746,690
	19,512,896			71,136,836			(2,044,596	)		701,616			(17,486,670	)		39,786,230
	45,946,588			134,475,808			1,459,961			4,160,357			16,729,585			80,613,761
	-			(2,815,435	)		-			(153,424	)		-			(1,299,284	)
	-			(1,808,580	)		-			(28,041	)		-			(912,333	)
	-			(1,845,693	)		-			(42,377	)		-			(1,001,918	)
	-			(6,318,016	)		-			(260,835	)		-			(4,689,207	)
	-			(10,701	)		-			(1,063	)		-			(3,982	)
	-			(12,798,425	)		-			(485,740	)		-			(7,906,724	)
	8,231,511			20,790,026			(9,067	)		(709,262	)		(22,143,147	)		(33,392,444	)
	(60,131,556	)		(26,267,783	)		(1,557,139	)		72,649			(16,222,066	)		(41,235,451	)
	18,175,974			(11,619,789	)		221,138			(276,405	)		(2,050,485	)		(8,626,454	)
	(30,781,308	)		(1,094,491	)		(2,017,261	)		(2,788,826	)		(14,303,454	)		(26,808,035	)
	(42,754	)		(575,037	)		(1,958	)		(2,621	)		7,136			(271,843	)
	93,545,146			100,100			-			-			-			-
	28,997,013			(18,666,974	)		(3,364,287	)		(3,704,465	)		(54,712,016	)		(110,334,227	)
	74,943,601			103,010,409			(1,904,326	)		(29,848	)		(37,982,431	)		(37,627,190	)
	1,091,921,002			988,910,593			32,753,616			32,783,464			693,753,392			731,380,582
$	1,166,864,603		$	1,091,921,002		$	30,849,290		$	32,753,616		$	655,770,961		$	693,753,392
$	19,851,225		$	11,874,953		$	317,086		$	224,285		$	462,397		$	-
$	-		$	-		$	-		$	-		$	-		$	(3,005,950	)

169

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Indexed Equity Fund
	Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	16,283,598		$	29,258,523
Net realized gain (loss) on investment transactions		3,612,314			103,481
Net change in unrealized appreciation (depreciation) on investments		95,400,414			220,609,025
Net increase (decrease) in net assets resulting from operations		115,296,326			249,971,029
Distributions to shareholders (Note 2):
From net investment income:
Class A		-			(3,766,005	)
Class L		-			(2,965,321	)
Class Y		-			(4,361,501	)
Class S		-			(6,798,157	)
Class N		-			(29,012	)
Class Z		-			(11,372,634	)
Total distributions from net investment income		-			(29,292,630	)
Net fund share transactions (Note 5):
Class A		27,383,772			28,149,995
Class L		8,471,377			24,507,864
Class Y		(3,588,897	)		(44,723,205	)
Class S		(16,145,616	)		(7,886,501	)
Class N		159,261			(560,301	)
Class Z		25,878,099			88,041,768
Increase (decrease) in net assets from fund share transactions		42,157,996			87,529,620
Total increase (decrease) in net assets		157,454,322			308,208,019
Net assets
Beginning of period		1,971,724,462			1,663,516,443
End of period	$	2,129,178,784		$	1,971,724,462
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	23,791,492		$	7,507,894
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-

† Amount is less than $0.50.

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

170

MassMutual Select Core Opportunities Fund						MassMutual Select Blue Chip Growth Fund						MassMutual Select Large Cap Growth Fund
Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010			Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010			Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
$	234,940		$	412,217		$	(251,457	)	$	(495,637	)	$	(12,522	)	$	207,075
	3,471,294			3,424,745			30,254,839			36,775,254			5,733,070			8,760,814
	(1,477,647	)		2,529,046			3,540,165			38,057,605			(2,908,719	)		1,561,676
	2,228,587			6,366,008			33,543,547			74,337,222			2,811,829			10,529,565
	-			(32,209	)		-			-			-			(1,530	)
	-			(95,654	)		-			-			-			(57,357	)
	-			(17,570	)		-			(38,237	)		-			(0	)†
	-			(95,062	)		-			(119,015	)		-			(210,278	)
	-			-			-			-			-			(1	)
	-			-			-			-			-			-
	-			(240,495	)		-			(157,252	)		-			(269,166	)
	(1,677,180	)		706,096			(36,999	)		(11,986,284	)		(454,266	)		(1,777,439	)
	(19,837,951	)		15,038,670			(47,803,612	)		(61,115,730	)		(19,669,046	)		2,621,470
	(4,336	)		(1,882,555	)		9,518,682			(3,037,856	)		-			(12,320,632	)
	10,683,814			14,627,631			42,348,591			(29,982,051	)		14,527,004			(13,651,904	)
	3,799			8,667			(5,067	)		(484,011	)		(1,335	)		1
	-			-			-			-			-			-
	(10,831,854	)		28,498,509			4,021,595			(106,605,932	)		(5,597,643	)		(25,128,504	)
	(8,603,267	)		34,624,022			37,565,142			(32,425,962	)		(2,785,814	)		(14,868,105	)
	69,670,330			35,046,308			530,395,507			562,821,469			69,329,281			84,197,386
$	61,067,063		$	69,670,330		$	567,960,649		$	530,395,507		$	66,543,467		$	69,329,281
$	641,095		$	406,155		$	(400,753	)	$	(149,296	)	$	(22,041	)	$	-
$	-		$	-		$	-		$	-		$	-		$	(9,519	)

171

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Growth Opportunities Fund
	Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(295,107	)	$	(625,569	)
Net realized gain (loss) on investment transactions		10,160,846			14,126,238
Net change in unrealized appreciation (depreciation) on investments		16,427,787			38,731,532
Net increase (decrease) in net assets resulting from operations		26,293,526			52,232,201
Distributions to shareholders (Note 2):
From net investment income:
Class A		-			-
Class L		-			-
Class Y		-			-
Class S		-			-
Class N		-			-
Total distributions from net investment income		-			-
Net fund share transactions (Note 5):
Class A		(935,116	)		(16,272,430	)
Class L		(33,008,470	)		(16,886,180	)
Class Y		5,387,038			(3,600,429	)
Class S		20,605,887			16,272,210
Class N		(7,895	)		(67,077	)
Class Z		-			-
Increase (decrease) in net assets from fund share transactions		(7,958,556	)		(20,553,906	)
Total increase (decrease) in net assets		18,334,970			31,678,295
Net assets
Beginning of period		341,304,486			309,626,191
End of period	$	359,639,456		$	341,304,486
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	(367,813	)	$	(72,706	)
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-

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

172

MassMutual Select NASDAQ-100 Fund						MassMutual Select Focused Value Fund						MassMutual Select Mid-Cap Value Fund
Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010			Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010			Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
$	(19,245	)	$	5,782		$	1,250,439		$	2,535,032		$	715,227		$	1,553,879
	7,216,909			2,759,023			36,119,828			60,824,925			12,201,747			16,736,608
	(4,790,815	)		5,252,865			(5,700,316	)		47,595,902			(2,890,076	)		8,184,000
	2,406,849			8,017,670			31,669,951			110,955,859			10,026,898			26,474,487
	-			-			-			(533,664	)		-			(40,096	)
	-			-			-			(447,614	)		-			(420,368	)
	-			-			-			(408,713	)		-			(12,268	)
	-			-			-			(1,826,976	)		-			(1,121,561	)
	-			-			-			-			-			(362	)
	-			-			-			(3,216,967	)		-			(1,594,655	)
	(1,679,859	)		(2,009,898	)		(4,963,794	)		(20,413,988	)		(288,376	)		(1,594,656	)
	(268,861	)		(1,104,878	)		(28,008,727	)		(26,139,153	)		(38,937,201	)		(2,815,411	)
	76,580			(1,369,324	)		2,447,924			(5,380,544	)		382,847			444,550
	(837,112	)		(2,424,765	)		(27,968,777	)		(2,613,634	)		44,077,402			4,877,630
	(12,855	)		(35,828	)		(208,323	)		(1,143,746	)		(629	)		7,280
	-			-			36,543,078			100,100			-			-
	(2,722,107	)		(6,944,693	)		(22,158,619	)		(55,590,965	)		5,234,043			919,393
	(315,258	)		1,072,977			9,511,332			52,147,927			15,260,941			25,799,225
	49,484,791			48,411,814			642,529,719			590,381,792			141,007,598			115,208,373
$	49,169,533		$	49,484,791		$	652,041,051		$	642,529,719		$	156,268,539		$	141,007,598
$	(15,381	)	$	3,864		$	3,676,831		$	2,426,392		$	694,868		$	-
$	-		$	-		$	-		$	-		$	-		$	(20,359	)

173

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Small Cap Value Equity Fund
	Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	89,272		$	500,788
Net realized gain (loss) on investment transactions		3,772,623			6,686,949
Net change in unrealized appreciation (depreciation) on investments		1,504,857			14,640,844
Net increase (decrease) in net assets resulting from operations		5,366,752			21,828,581
Distributions to shareholders (Note 2):
From net investment income:
Class A		-			(12,182	)
Class L		-			(79,629	)
Class Y		-			(22,330	)
Class S		-			(427,443	)
Class N		-			(2	)
Class Z		-			-
Total distributions from net investment income		-			(541,586	)
Net fund share transactions (Note 5):
Class A		(444,219	)		(1,838,365	)
Class L		(20,222,608	)		(8,938,608	)
Class Y		(1,148,603	)		(806,206	)
Class S		24,936,430			(7,019,207	)
Class N		(3,585	)		785
Class Z		-			-
Increase (decrease) in net assets from fund share transactions		3,117,415			(18,601,601	)
Total increase (decrease) in net assets		8,484,167			2,685,394
Net assets
Beginning of period		102,054,804			99,369,410
End of period	$	110,538,971		$	102,054,804
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	72,674		$	-
Distributions in excess of net investment income included in net assets at end of period	$	-		$	(16,598	)

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

174

MassMutual Select Small Company Value Fund						MassMutual Select Mid Cap Growth Equity Fund						MassMutual Select Mid Cap Growth Equity II Fund
Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010			Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010			Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
$	287,002		$	1,786,488		$	(195,400	)	$	(261,908	)	$	(5,074,794	)	$	(6,278,382	)
	19,461,100			24,420,431			14,473,595			14,230,684			104,725,944			107,321,094
	8,842,977			75,654,097			(8,797,531	)		507,144			13,813,592			231,194,153
	28,591,079			101,861,016			5,480,664			14,475,920			113,464,742			332,236,865
	-			(407,093	)		-			-			-			-
	-			(283,149	)		-			-			-			-
	-			(427,264	)		-			-			-			-
	-			(2,189,361	)		-			-			-			-
	-			(377	)		-			-			-			-
	-			(883	)		-			-			-			-
	-			(3,308,127	)		-			-			-			-
	(3,399,421	)		5,534,381			(7,878,930	)		(4,531,074	)		(4,788,821	)		(7,177,495	)
	(11,846,537	)		(10,467,053	)		(20,329,803	)		(1,704,817	)		(38,576,032	)		(10,418,766	)
	(3,514,624	)		(24,114,814	)		(1,476,197	)		(27,473	)		627,660			1,155,788
	(24,598,414	)		21,495,362			(261,851	)		(17,997,421	)		(44,274,074	)		63,360,626
	(123,807	)		(991,356	)		(9,803	)		(95,248	)		(4,047	)		(193,827	)
	31,849,157			100,101			-			-			80,826,234			100,100
	(11,633,646	)		(8,443,379	)		(29,956,584	)		(24,356,033	)		(6,189,080	)		46,826,426
	16,957,433			90,109,510			(24,475,920	)		(9,880,113	)		107,275,662			379,063,291
	547,060,345			456,950,835			66,296,914			76,177,027			1,578,387,807			1,199,324,516
$	564,017,778		$	547,060,345		$	41,820,994		$	66,296,914		$	1,685,663,469		$	1,578,387,807
$	-		$	-		$	(225,865	)	$	(30,465	)	$	(7,657,975	)	$	(2,583,181	)
$	(355,354	)	$	(642,356	)	$	-		$	-		$	-		$	-

175

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Small Cap Growth Equity Fund
	Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(2,906,810	)	$	(3,569,627	)
Net realized gain (loss) on investment transactions		75,135,269			76,727,056
Net change in unrealized appreciation (depreciation) on investments		678,103			72,499,099
Net increase (decrease) in net assets resulting from operations		72,906,562			145,656,528
Distributions to shareholders (Note 2):
From net investment income:
Class A		-			-
Class L		-			-
Class Y		-			-
Class S		-			-
Class N		-			-
Total distributions from net investment income		-			-
From net realized gains:
Class A		-			(818,370	)
Class L		-			(529,753	)
Class Y		-			(698,464	)
Class S		-			(4,770,852	)
Class N		-			(4,165	)
Class Z		-			(893	)
Total distributions from net realized gains		-			(6,822,497	)
Net fund share transactions (Note 5):
Class A		(1,508,869	)		222,564
Class L		(9,117,374	)		(9,609,360	)
Class Y		5,748,145			(20,277,882	)
Class S		(3,849,280	)		217,526,492
Class N		7,417			(131,731	)
Class Z		34,972,945			100,101
Increase (decrease) in net assets from fund share transactions		26,252,984			187,830,184
Total increase (decrease) in net assets		99,159,546			326,664,215
Net assets
Beginning of period		812,292,705			485,628,490
End of period	$	911,452,251		$	812,292,705
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	(3,029,486	)	$	(122,676	)
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-

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

176

MassMutual Select Small Company Growth Fund						MassMutual Select Diversified International Fund						MassMutual Select Overseas Fund
Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010			Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010			Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
$	(313,889	)	$	(424,405	)	$	2,321,278		$	1,992,817		$	7,224,361		$	5,872,435
	6,666,111			8,130,953			7,069,061			1,246,091			21,591,770			12,170,839
	574,450			8,202,776			(7,259,272	)		4,498,203			(1,062,598	)		39,340,394
	6,926,672			15,909,324			2,131,067			7,737,111			27,753,533			57,383,668
	-			-			-			(34,777	)		-			(635,208	)
	-			-			-			(974,079	)		-			(1,970,244	)
	-			-			-			(227,471	)		-			(1,300,895	)
	-			-			-			(3,194,917	)		-			(3,676,942	)
	-			-			-			(1,801	)		-			-
	-			-			-			(4,433,045	)		-			(7,583,289	)
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	(2,819,361	)		(3,575,503	)		(59,096	)		(442,174	)		(1,601,329	)		(9,526,008	)
	(12,464,956	)		2,657,883			(30,052,383	)		(249,076	)		(88,409,716	)		(15,346,826	)
	187,240			(2,476,635	)		6,860			294,028			(570,819	)		(23,218,194	)
	14,593,805			1,616,328			36,272,115			7,259,667			(117,892,268	)		(3,780,126	)
	36,941			34,320			(78	)		(1,130	)		23,427			(755,384	)
	-			-			-			-			213,896,243			100,100
	(466,331	)		(1,743,607	)		6,167,418			6,861,315			5,445,538			(52,526,438	)
	6,460,341			14,165,717			8,298,485			10,165,381			33,199,071			(2,726,059	)
	63,841,142			49,675,425			144,802,919			134,637,538			568,645,504			571,371,563
$	70,301,483		$	63,841,142		$	153,101,404		$	144,802,919		$	601,844,575		$	568,645,504
$	(331,594	)	$	(17,705	)	$	1,390,982		$	-		$	15,736,281		$	8,511,920
$	-		$	-		$	-		$	(930,296	)	$	-		$	-

177

MassMutual Select PIMCO Total Return Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A						Class L
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +			Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.09		$	10.00		$	10.07		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.13			0.12			0.14			0.13
Net realized and unrealized gain (loss) on investments		0.16			0.16			0.16			0.15
Total income (loss) from investment operations		0.29			0.28			0.30			0.28
Less distributions to shareholders:
From net investment income		-			(0.11	)		-			(0.13	)
From net realized gains		-			(0.08	)		-			(0.08	)
Total distributions		-			(0.19	)		-			(0.21	)
Net asset value, end of period	$	10.38		$	10.09		$	10.37		$	10.07
Total Return ^		2.87%	**^^		2.89%	**^^		2.98%	**		2.81%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	722,574		$	708,198		$	15,940		$	27,909
Ratio of expenses to average daily net assets		0.86%	*		0.87%	*		0.76%	*		0.77%	*
Net investment income (loss) to average daily net assets		2.64%	*		2.34%	*		2.71%	*		2.57%	*
Portfolio turnover rate		147%	**		299%	**		147%	**		299%	**
	Class Y						Class S
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +			Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.09		$	10.00		$	10.07		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.14			0.13			0.15			0.14
Net realized and unrealized gain (loss) on investments		0.16			0.16			0.16			0.14
Total income (loss) from investment operations		0.30			0.29			0.31			0.28
Less distributions to shareholders:
From net investment income		-			(0.12	)		-			(0.13	)
From net realized gains		-			(0.08	)		-			(0.08	)
Total distributions		-			(0.20	)		-			(0.21	)
Net asset value, end of period	$	10.39		$	10.09		$	10.38		$	10.07
Total Return ^		2.97%	**		2.98%	**		3.08%	**		2.88%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	482,513		$	516,171		$	22,197		$	29,273
Ratio of expenses to average daily net assets		0.68%	*		0.69%	*		0.56%	*		0.57%	*
Net investment income (loss) to average daily net assets		2.81%	*		2.51%	*		2.88%	*		2.77%	*
Portfolio turnover rate		147%	**		299%	**		147%	**		299%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

+ For the period July 6, 2010 (commencement of operations) through December 31, 2010.

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

178

MassMutual Select PIMCO Total Return Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N						Class Z
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +			Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.08		$	10.00		$	10.09		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.12			0.11			0.16			0.16
Net realized and unrealized gain (loss) on investments		0.16			0.15			0.15			0.15
Total income (loss) from investment operations		0.28			0.26			0.31			0.31
Less distributions to shareholders:
From net investment income		-			(0.10	)		-			(0.14	)
From net realized gains		-			(0.08	)		-			(0.08	)
Total distributions		-			(0.18	)		-			(0.22	)
Net asset value, end of period	$	10.36		$	10.08		$	10.40		$	10.09
Total Return ^		2.78%	**^^		2.70%	**^^		3.07%	**		3.13%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	18,231		$	9,825		$	272,552		$	3,658
Ratio of expenses to average daily net assets		1.11%	*		1.12%	*		0.41%	*		0.42%	*
Net investment income (loss) to average daily net assets		2.41%	*		2.12%	*		3.16%	*		3.15%	*
Portfolio turnover rate		147%	**		299%	**		147%	**		299%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

+ For the period July 6, 2010 (commencement of operations) through December 31, 2010.

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

179

MassMutual Select Strategic Bond Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.56		$	9.14		$	8.37		$	10.00		$	9.99		$	9.97
Income (loss) from investment operations:
Net investment income (loss) ***		0.13			0.36			0.45			0.51			0.46			0.43
Net realized and unrealized gain (loss) on investments		0.13			0.54			1.09			(1.39	)		(0.08	)		(0.03	)
Total income (loss) from investment operations		0.26			0.90			1.54			(0.88	)		0.38			0.40
Less distributions to shareholders:
From net investment income		-			(0.48	)		(0.77	)		(0.49	)		(0.37	)		(0.38	)
From net realized gains		-			-			-			(0.26	)		-			-
Total distributions		-			(0.48	)		(0.77	)		(0.75	)		(0.37	)		(0.38	)
Net asset value, end of period	$	9.82		$	9.56		$	9.14		$	8.37		$	10.00		$	9.99
Total Return ^,^^		2.61%	**		10.00%			18.39%			(8.60%	)		3.95%			3.99%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	51,701		$	54,043		$	62,233		$	67,723		$	82,172		$	39,420
Ratio of expenses to average daily net assets:
Before expense waiver		1.12%	*		1.11%			1.11%			1.10%			1.09%			1.11%
After expense waiver		N/A			N/A			N/A			1.07%	#		1.00%	#		0.96%	#
Net investment income (loss) to average daily net assets		2.73%	*		3.68%			5.02%			5.25%			4.59%			4.28%
Portfolio turnover rate		368%	**		267%			66%			74%			248%			162%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.58		$	9.16		$	8.39		$	10.03		$	10.01		$	9.98
Income (loss) from investment operations:
Net investment income (loss) ***		0.14			0.38			0.47			0.55			0.49			0.46
Net realized and unrealized gain (loss) on investments		0.12			0.55			1.10			(1.41	)		(0.08	)		(0.03	)
Total income (loss) from investment operations		0.26			0.93			1.57			(0.86	)		0.41			0.43
Less distributions to shareholders:
From net investment income		-			(0.51	)		(0.80	)		(0.52	)		(0.39	)		(0.40	)
From net realized gains		-			-			-			(0.26	)		-			-
Total distributions		-			(0.51	)		(0.80	)		(0.78	)		(0.39	)		(0.40	)
Net asset value, end of period	$	9.84		$	9.58		$	9.16		$	8.39		$	10.03		$	10.01
Total Return ^		2.61%	**		10.34%			18.70%			(8.42%	)		4.23%			4.31%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	24,279		$	41,764		$	36,382		$	20,994		$	29,782		$	17,942
Ratio of expenses to average daily net assets:
Before expense waiver		0.87%	*		0.86%			0.86%			0.85%			0.84%			0.86%
After expense waiver		N/A			N/A			N/A			0.82%	#		0.75%	#		0.71%	#
Net investment income (loss) to average daily net assets		2.94%	*		3.88%			5.06%			5.68%			4.83%			4.53%
Portfolio turnover rate		368%	**		267%			66%			74%			248%			162%

* Annualized.

** Percentage represents the results for the period and is 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.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

180

MassMutual Select Strategic Bond Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.61		$	9.18		$	8.40		$	10.04		$	10.02		$	9.98
Income (loss) from investment operations:
Net investment income (loss) ***		0.15			0.40			0.49			0.56			0.49			0.46
Net realized and unrealized gain (loss) on investments		0.12			0.54			1.10			(1.41	)		(0.08	)		(0.03	)
Total income (loss) from investment operations		0.27			0.94			1.59			(0.85	)		0.41			0.43
Less distributions to shareholders:
From net investment income		-			(0.51	)		(0.81	)		(0.53	)		(0.39	)		(0.39	)
From net realized gains		-			-			-			(0.26	)		-			-
Total distributions		-			(0.51	)		(0.81	)		(0.79	)		(0.39	)		(0.39	)
Net asset value, end of period	$	9.88		$	9.61		$	9.18		$	8.40		$	10.04		$	10.02
Total Return ^		2.70%	**		10.46%			18.90%			(8.30%	)		4.26%			4.38%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	30,472		$	28,610		$	56,838		$	63,385		$	150,260		$	109,603
Ratio of expenses to average daily net assets		0.72%	*		0.71%			0.71%			0.70%			0.69%			0.70%
Net investment income (loss) to average daily net assets		3.13%	*		4.12%			5.41%			5.73%			4.87%			4.53%
Portfolio turnover rate		368%	**		267%			66%			74%			248%			162%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.60		$	9.18		$	8.40		$	10.04		$	10.02		$	9.99
Income (loss) from investment operations:
Net investment income (loss) ***		0.16			0.40			0.50			0.56			0.50			0.46
Net realized and unrealized gain (loss) on investments		0.12			0.55			1.09			(1.40	)		(0.08	)		(0.03	)
Total income (loss) from investment operations		0.28			0.95			1.59			(0.84	)		0.42			0.43
Less distributions to shareholders:
From net investment income		-			(0.53	)		(0.81	)		(0.54	)		(0.40	)		(0.40	)
From net realized gains		-			-			-			(0.26	)		-			-
Total distributions		-			(0.53	)		(0.81	)		(0.80	)		(0.40	)		(0.40	)
Net asset value, end of period	$	9.88		$	9.60		$	9.18		$	8.40		$	10.04		$	10.02
Total Return ^		2.81%	**		10.51%			18.95%			(8.19%	)		4.32%			4.31%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	76,740		$	48,222		$	49,528		$	53,079		$	104,158		$	71,375
Ratio of expenses to average daily net assets		0.67%	*		0.66%			0.66%			0.65%			0.64%			0.65%
Net investment income (loss) to average daily net assets		3.21%	*		4.10%			5.54%			5.78%			4.93%			4.56%
Portfolio turnover rate		368%	**		267%			66%			74%			248%			162%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

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

181

MassMutual Select Strategic Bond Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.55		$	9.14		$	8.37		$	9.96		$	9.96		$	9.96
Income (loss) from investment operations:
Net investment income (loss) ***		0.12			0.32			0.42			0.46			0.43			0.40
Net realized and unrealized gain (loss) on investments		0.12			0.55			1.09			(1.37	)		(0.08	)		(0.03	)
Total income (loss) from investment operations		0.24			0.87			1.51			(0.91	)		0.35			0.37
Less distributions to shareholders:
From net investment income		-			(0.46	)		(0.74	)		(0.42	)		(0.35	)		(0.37	)
From net realized gains		-			-			-			(0.26	)		-			-
Total distributions		-			(0.46	)		(0.74	)		(0.68	)		(0.35	)		(0.37	)
Net asset value, end of period	$	9.79		$	9.55		$	9.14		$	8.37		$	9.96		$	9.96
Total Return ^,^^		2.41%	**		9.70%			17.95%			(8.86%	)		3.62%			3.73%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	826		$	963		$	820		$	758		$	3,560		$	2,040
Ratio of expenses to average daily net assets:
Before expense waiver		1.42%	*		1.41%			1.41%			1.40%			1.39%			1.41%
After expense waiver		N/A			N/A			N/A			1.35%	#		1.30%	#		1.26%	#
Net investment income (loss) to average daily net assets		2.42%	*		3.33%			4.70%			4.72%			4.28%			3.99%
Portfolio turnover rate		368%	**		267%			66%			74%			248%			162%

* Annualized.

** Percentage represents the results for the period and is 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.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

182

MassMutual Select Strategic Balanced Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.35		$	9.41		$	7.46		$	10.86		$	11.42		$	10.56
Income (loss) from investment operations:
Net investment income (loss) ***		0.07			0.17			0.20			0.27			0.26			0.24
Net realized and unrealized gain (loss) on investments		0.28			0.91			1.95			(3.15	)		(0.01	)		0.97
Total income (loss) from investment operations		0.35			1.08			2.15			(2.88	)		0.25			1.21
Less distributions to shareholders:
From net investment income		-			(0.14	)		(0.20	)		(0.48	)		(0.25	)		(0.24	)
From net realized gains		-			-			-			(0.04	)		(0.56	)		(0.11	)
Tax return of capital		-			-			-			(0.00	) †		-			-
Total distributions		-			(0.14	)		(0.20	)		(0.52	)		(0.81	)		(0.35	)
Net asset value, end of period	$	10.70		$	10.35		$	9.41		$	7.46		$	10.86		$	11.42
Total Return ^,^^		3.38%	**		11.78%			28.52%			(26.48%	)		2.20%			11.54%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	7,605		$	7,732		$	8,924		$	13,400		$	27,308		$	32,130
Ratio of expenses to average daily net assets:
Before expense waiver		1.43%	*		1.41%			1.36%			1.28%			1.24%			1.23%
After expense waiver		N/A			N/A			N/A			N/A			1.24%	##		1.21%	#
Net investment income (loss) to average daily net assets		1.40%	*		1.75%			2.50%			2.70%			2.25%			2.16%
Portfolio turnover rate		139%	**		281%			89%			111%			113%			85%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.34		$	9.40		$	7.47		$	10.88		$	11.45		$	10.58
Income (loss) from investment operations:
Net investment income (loss) ***		0.09			0.19			0.22			0.31			0.29			0.26
Net realized and unrealized gain (loss) on investments		0.28			0.92			1.94			(3.17	)		(0.02	)		0.98
Total income (loss) from investment operations		0.37			1.11			2.16			(2.86	)		0.27			1.24
Less distributions to shareholders:
From net investment income		-			(0.17	)		(0.23	)		(0.51	)		(0.28	)		(0.26	)
From net realized gains		-			-			-			(0.04	)		(0.56	)		(0.11	)
Tax return of capital		-			-			-			(0.00	) †		-			-
Total distributions		-			(0.17	)		(0.23	)		(0.55	)		(0.84	)		(0.37	)
Net asset value, end of period	$	10.71		$	10.34		$	9.40		$	7.47		$	10.88		$	11.45
Total Return ^		3.58%	**		11.97%			28.77%			(26.17%	)		2.42%			11.73%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	32,717		$	35,220		$	37,320		$	41,913		$	78,846		$	94,872
Ratio of expenses to average daily net assets:
Before expense waiver		1.18%	*		1.16%			1.11%			1.03%			0.99%			0.98%
After expense waiver		N/A			N/A			N/A			N/A			0.99%	##		0.96%	#
Net investment income (loss) to average daily net assets		1.65%	*		1.99%			2.71%			3.19%			2.50%			2.39%
Portfolio turnover rate		139%	**		281%			89%			111%			113%			85%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

183

MassMutual Select Strategic Balanced Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.33		$	9.39		$	7.46		$	10.86		$	11.45		$	10.58
Income (loss) from investment operations:
Net investment income (loss) ***		0.10			0.21			0.24			0.33			0.31			0.28
Net realized and unrealized gain (loss) on investments		0.28			0.91			1.93			(3.17	)		(0.02	)		0.98
Total income (loss) from investment operations		0.38			1.12			2.17			(2.84	)		0.29			1.26
Less distributions to shareholders:
From net investment income		-			(0.18	)		(0.24	)		(0.52	)		(0.32	)		(0.28	)
From net realized gains		-			-			-			(0.04	)		(0.56	)		(0.11	)
Tax return of capital		-			-			-			(0.00	) †		-			-
Total distributions		-			(0.18	)		(0.24	)		(0.56	)		(0.88	)		(0.39	)
Net asset value, end of period	$	10.71		$	10.33		$	9.39		$	7.46		$	10.86		$	11.45
Total Return ^		3.68%	**		12.09%			29.15%			(26.19%	)		2.68%			11.90%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	18,188		$	18,362		$	25,323		$	28,906		$	78,883		$	95,028
Ratio of expenses to average daily net assets:
Before expense waiver		1.03%	*		1.01%			0.96%			0.88%			0.84%			0.83%
After expense waiver		N/A			N/A			N/A			N/A			0.84%	##		0.81%	#
Net investment income (loss) to average daily net assets		1.81%	*		2.15%			2.90%			3.29%			2.64%			2.54%
Portfolio turnover rate		139%	**		281%			89%			111%			113%			85%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.29		$	9.35		$	7.44		$	10.85		$	11.45		$	10.58
Income (loss) from investment operations:
Net investment income (loss) ***		0.10			0.20			0.24			0.33			0.32			0.29
Net realized and unrealized gain (loss) on investments		0.27			0.93			1.92			(3.16	)		(0.02	)		0.98
Total income (loss) from investment operations		0.37			1.13			2.16			(2.83	)		0.30			1.27
Less distributions to shareholders:
From net investment income		-			(0.19	)		(0.25	)		(0.53	)		(0.34	)		(0.29	)
From net realized gains		-			-			-			(0.04	)		(0.56	)		(0.11	)
Tax return of capital		-			-			-			(0.01	)		-			-
Total distributions		-			(0.19	)		(0.25	)		(0.58	)		(0.90	)		(0.40	)
Net asset value, end of period	$	10.66		$	10.29		$	9.35		$	7.44		$	10.85		$	11.45
Total Return ^		3.60%	**		12.13%			29.20%			(26.12%	)		2.69%			11.97%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	4,188		$	4,182		$	4,309		$	11,176		$	29,026		$	23,044
Ratio of expenses to average daily net assets:
Before expense waiver		0.98%	*		0.96%			0.91%			0.83%			0.79%			0.78%
After expense waiver		N/A			N/A			N/A			N/A			0.79%	##		0.76%	#
Net investment income (loss) to average daily net assets		1.86%	*		2.06%			2.84%			3.35%			2.74%			2.60%
Portfolio turnover rate		139%	**		281%			89%			111%			113%			85%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

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

184

MassMutual Select Strategic Balanced Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.29		$	9.36		$	7.45		$	10.82		$	11.41		$	10.56
Income (loss) from investment operations:
Net investment income (loss) ***		0.06			0.14			0.18			0.23			0.23			0.20
Net realized and unrealized gain (loss) on investments		0.28			0.91			1.92			(3.11	)		(0.02	)		0.97
Total income (loss) from investment operations		0.34			1.05			2.10			(2.88	)		0.21			1.17
Less distributions to shareholders:
From net investment income		-			(0.12	)		(0.19	)		(0.45	)		(0.24	)		(0.21	)
From net realized gains		-			-			-			(0.04	)		(0.56	)		(0.11	)
Tax return of capital		-			-			-			(0.00	) †		-			-
Total distributions		-			(0.12	)		(0.19	)		(0.49	)		(0.80	)		(0.32	)
Net asset value, end of period	$	10.63		$	10.29		$	9.36		$	7.45		$	10.82		$	11.41
Total Return ^,^^		3.30%	**		11.33%			28.15%			(26.67%	)		1.87%			11.21%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	504		$	474		$	522		$	424		$	894		$	572
Ratio of expenses to average daily net assets:
Before expense waiver		1.73%	*		1.71%			1.66%			1.58%			1.54%			1.53%
After expense waiver		N/A			N/A			N/A			N/A			1.54%	##		1.51%	#
Net investment income (loss) to average daily net assets		1.11%	*		1.44%			2.15%			2.37%			1.99%			1.83%
Portfolio turnover rate		139%	**		281%			89%			111%			113%			85%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

185

MassMutual Select BlackRock Global Allocation Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Period Ended 12/31/09 +
Net asset value, beginning of period	$	10.77		$	9.90		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.07			0.11			0.00	†
Net realized and unrealized gain (loss) on investments		0.24			0.84			(0.10	)
Total income (loss) from investment operations		0.31			0.95			(0.10	)
Less distributions to shareholders:
From net investment income		-			(0.08	)		-
Total distributions		-			(0.08	)		-
Net asset value, end of period	$	11.08		$	10.77		$	9.90
Total Return ^,^^		2.97%	**		9.46%			(1.00%	) **
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	1,553		$	2,432		$	99
Ratio of expenses to average daily net assets:
Before expense waiver ‡‡		1.43%	*		1.45%			1.83%	*
After expense waiver ‡‡		1.36%	*#		1.36%	#		1.36%	*#
Short sale dividend and loan expense to average daily net assets ‡‡‡		0.00%	††		0.00%	††		N/A
Ratio of expenses to average daily net assets:
Before expense waiver ##		1.43%	*		1.45%			N/A
After expense waiver ##		1.36%	*#		1.36%	#		N/A
Net investment income (loss) to average daily net assets		1.31%	*		1.10%			0.08%	*
Portfolio turnover rate		18%	**		46%			21%	**!
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Period Ended 12/31/09 +
Net asset value, beginning of period	$	10.79		$	9.90		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.08			0.13			0.01
Net realized and unrealized gain (loss) on investments		0.25			0.83			(0.11	)
Total income (loss) from investment operations		0.33			0.96			(0.10	)
Less distributions to shareholders:
From net investment income		-			(0.07	)		-
Tax return of capital		-			-			(0.00	) †
Total distributions		-			(0.07	)		(0.00	) †
Net asset value, end of period	$	11.12		$	10.79		$	9.90
Total Return ^		3.15%	**		9.66%			(0.98%	) **
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	0	†††	$	10,852		$	9,702
Ratio of expenses to average daily net assets:
Before expense waiver ‡‡		1.17%	*		1.20%			1.58%	*
After expense waiver ‡‡		1.10%	*#		1.11%	#		1.11%	*#
Short sale dividend and loan expense to average daily net assets ‡‡‡		0.00%	††		0.00%	††		N/A
Ratio of expenses to average daily net assets:
Before expense waiver ##		1.17%	*		1.20%			N/A
After expense waiver ##		1.10%	*#		1.11%	#		N/A
Net investment income (loss) to average daily net assets		1.49%	*		1.29%			0.64%	*
Portfolio turnover rate		18%	**		46%			21%	**!

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

†† Amount is less than 0.005%.

††† Amount is less than $500.

+ For the period December 1, 2009 (commencement of operations) through December 31, 2009.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

## Includes short sale dividend and loan expense.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

! Portfolio turnover excludes securities received from subscriptions in-kind. Amount would be 3% including securities received from subscriptions in-kind.

‡‡ Excludes short sale dividend and loan expense.

‡‡‡ Short sale dividend and loan expense incurred as a result of entering into short sales is included in the Fund’s net expenses in the Statement of Operations.

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

186

MassMutual Select BlackRock Global Allocation Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Period Ended 12/31/09 +
Net asset value, beginning of period	$	10.78		$	9.90		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.09			0.16			0.00	†
Net realized and unrealized gain (loss) on investments		0.26			0.82			(0.10	)
Total income (loss) from investment operations		0.35			0.98			(0.10	)
Less distributions to shareholders:
From net investment income		-			(0.10	)		-
Tax return of capital		-			-			(0.00	) †
Total distributions		-			(0.10	)		(0.00	) †
Net asset value, end of period	$	11.13		$	10.78		$	9.90
Total Return ^		3.25%	**		9.93%			(0.97%	) **
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	1,369		$	1,524		$	99
Ratio of expenses to average daily net assets:
Before expense waiver ‡‡		1.03%	*		1.05%			1.43%	*
After expense waiver ‡‡		0.96%	*#		0.96%	#		0.96%	*#
Short sale dividend and loan expense to average daily net assets ‡‡‡		0.00%	††		0.00%	††		N/A
Ratio of expenses to average daily net assets:
Before expense waiver ##		1.03%	*		1.05%			N/A
After expense waiver ##		0.96%	*#		0.96%	#		N/A
Net investment income (loss) to average daily net assets		1.73%	*		1.52%			0.49%	*
Portfolio turnover rate		18%	**		46%			21%	**!
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Period Ended 12/31/09 +
Net asset value, beginning of period	$	10.79		$	9.90		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.10			0.16			0.01
Net realized and unrealized gain (loss) on investments		0.25			0.83			(0.11	)
Total income (loss) from investment operations		0.35			0.99			(0.10	)
Less distributions to shareholders:
From net investment income		-			(0.10	)		-
Tax return of capital		-			-			(0.00	) †
Total distributions		-			(0.10	)		(0.00	) †
Net asset value, end of period	$	11.14		$	10.79		$	9.90
Total Return ^		3.24%	**		10.03%			(0.96%	) **
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	581,201		$	556,739		$	462,500
Ratio of expenses to average daily net assets:
Before expense waiver ‡‡		0.93%	*		0.95%			1.33%	*
After expense waiver ‡‡		0.86%	*#		0.86%	#		0.86%	*#
Short sale dividend and loan expense to average daily net assets ‡‡‡		0.00%	††		0.00%	††		N/A
Ratio of expenses to average daily net assets:
Before expense waiver ##		0.93%	*		0.95%			N/A
After expense waiver ##		0.86%	*#		0.86%	#		N/A
Net investment income (loss) to average daily net assets		1.88%	*		1.54%			0.84%	*
Portfolio turnover rate		18%	**		46%			21%	**!

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

†† Amount is less than 0.005%.

+ For the period December 1, 2009 (commencement of operations) through December 31, 2009.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

## Includes short sale dividend and loan expense.

^ 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.

! Portfolio turnover excludes securities received from subscriptions in-kind. Amount would be 3% including securities received from subscriptions in-kind.

‡‡ Excludes short sale dividend and loan expense.

‡‡‡ Short sale dividend and loan expense incurred as a result of entering into short sales is included in the Fund’s net expenses in the Statement of Operations.

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

187

MassMutual Select Diversified Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	8.90		$	8.06		$	6.83		$	12.02		$	13.08		$	11.26
Income (loss) from investment operations:
Net investment income (loss) ***		0.05			0.11			0.12			0.21			0.22			0.20
Net realized and unrealized gain (loss) on investments		0.55			0.85			1.22			(5.15	)		(0.59	)		2.20
Total income (loss) from investment operations		0.60			0.96			1.34			(4.94	)		(0.37	)		2.40
Less distributions to shareholders:
From net investment income		-			(0.12	)		(0.11	)		(0.23	)		(0.21	)		(0.17	)
From net realized gains		-			-			-			(0.02	)		(0.48	)		(0.41	)
Tax return of capital		-			-			-			(0.00	) †		-			-
Total distributions		-			(0.12	)		(0.11	)		(0.25	)		(0.69	)		(0.58	)
Net asset value, end of period	$	9.50		$	8.90		$	8.06		$	6.83		$	12.02		$	13.08
Total Return ^,^^		6.74%	**		11.96%			19.57%			(41.03%	)		(2.90%	)		21.41%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	30,360		$	32,870		$	45,592		$	52,940		$	108,293		$	82,361
Ratio of expenses to average daily net assets		1.10%	*		1.10%			1.10%			1.09%			1.08%			1.08%
Net investment income (loss) to average daily net assets		1.17%	*		1.34%			1.73%			2.12%			1.64%			1.58%
Portfolio turnover rate		20%	**		130%			68%			17%			17%			15%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	8.92		$	8.08		$	6.85		$	12.07		$	13.13		$	11.28
Income (loss) from investment operations:
Net investment income (loss) ***		0.07			0.13			0.14			0.24			0.26			0.23
Net realized and unrealized gain (loss) on investments		0.55			0.86			1.22			(5.17	)		(0.61	)		2.22
Total income (loss) from investment operations		0.62			0.99			1.36			(4.93	)		(0.35	)		2.45
Less distributions to shareholders:
From net investment income		-			(0.15	)		(0.13	)		(0.27	)		(0.23	)		(0.19	)
From net realized gains		-			-			-			(0.02	)		(0.48	)		(0.41	)
Tax return of capital		-			-			-			(0.00	) †		-			-
Total distributions		-			(0.15	)		(0.13	)		(0.29	)		(0.71	)		(0.60	)
Net asset value, end of period	$	9.54		$	8.92		$	8.08		$	6.85		$	12.07		$	13.13
Total Return ^		6.95%	**		12.35%			19.85%			(40.83%	)		(2.67%	)		21.82%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	10,952		$	40,298		$	42,209		$	44,160		$	86,154		$	57,853
Ratio of expenses to average daily net assets		0.81%	*		0.81%			0.81%			0.80%			0.79%			0.79%
Net investment income (loss) to average daily net assets		1.47%	*		1.63%			2.06%			2.41%			1.93%			1.84%
Portfolio turnover rate		20%	**		130%			68%			17%			17%			15%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

188

MassMutual Select Diversified Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	8.92		$	8.08		$	6.85		$	12.07		$	13.12		$	11.27
Income (loss) from investment operations:
Net investment income (loss) ***		0.07			0.15			0.15			0.25			0.27			0.24
Net realized and unrealized gain (loss) on investments		0.55			0.85			1.21			(5.17	)		(0.59	)		2.22
Total income (loss) from investment operations		0.62			1.00			1.36			(4.92	)		(0.32	)		2.46
Less distributions to shareholders:
From net investment income		-			(0.16	)		(0.13	)		(0.28	)		(0.25	)		(0.20	)
From net realized gains		-			-			-			(0.02	)		(0.48	)		(0.41	)
Tax return of capital		-			-			-			(0.00	) †		-			-
Total distributions		-			(0.16	)		(0.13	)		(0.30	)		(0.73	)		(0.61	)
Net asset value, end of period	$	9.54		$	8.92		$	8.08		$	6.85		$	12.07		$	13.12
Total Return ^		6.95%	**		12.45%			19.92%			(40.74%	)		(2.51%	)		21.92%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	33,394		$	33,138		$	31,928		$	54,181		$	132,425		$	142,836
Ratio of expenses to average daily net assets		0.70%	*		0.70%			0.70%			0.69%			0.68%			0.68%
Net investment income (loss) to average daily net assets		1.58%	*		1.78%			2.26%			2.49%			2.01%			1.95%
Portfolio turnover rate		20%	**		130%			68%			17%			17%			15%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	8.92		$	8.08		$	6.85		$	12.09		$	13.14		$	11.28
Income (loss) from investment operations:
Net investment income (loss) ***		0.08			0.15			0.15			0.26			0.28			0.25
Net realized and unrealized gain (loss) on investments		0.55			0.86			1.23			(5.19	)		(0.59	)		2.23
Total income (loss) from investment operations		0.63			1.01			1.38			(4.93	)		(0.31	)		2.48
Less distributions to shareholders:
From net investment income		-			(0.17	)		(0.15	)		(0.29	)		(0.26	)		(0.21	)
From net realized gains		-			-			-			(0.02	)		(0.48	)		(0.41	)
Tax return of capital		-			-			-			(0.00	) †		-			-
Total distributions		-			(0.17	)		(0.15	)		(0.31	)		(0.74	)		(0.62	)
Net asset value, end of period	$	9.55		$	8.92		$	8.08		$	6.85		$	12.09		$	13.14
Total Return ^		7.06%	**		12.56%			20.10%			(40.73%	)		(2.39%	)		22.08%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	225,031		$	186,639		$	200,237		$	153,801		$	316,945		$	246,598
Ratio of expenses to average daily net assets		0.60%	*		0.60%			0.60%			0.59%			0.58%			0.58%
Net investment income (loss) to average daily net assets		1.69%	*		1.86%			2.20%			2.61%			2.12%			2.02%
Portfolio turnover rate		20%	**		130%			68%			17%			17%			15%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

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

189

MassMutual Select Diversified Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	8.94		$	8.08		$	6.85		$	12.02		$	13.09		$	11.28
Income (loss) from investment operations:
Net investment income (loss) ***		0.04			0.08			0.10			0.18			0.18			0.16
Net realized and unrealized gain (loss) on investments		0.55			0.85			1.21			(5.14	)		(0.60	)		2.21
Total income (loss) from investment operations		0.59			0.93			1.31			(4.96	)		(0.42	)		2.37
Less distributions to shareholders:
From net investment income		-			(0.07	)		(0.08	)		(0.19	)		(0.17	)		(0.15	)
From net realized gains		-			-			-			(0.02	)		(0.48	)		(0.41	)
Tax return of capital		-			-			-			(0.00	) †		-			-
Total distributions		-			(0.07	)		(0.08	)		(0.21	)		(0.65	)		(0.56	)
Net asset value, end of period	$	9.53		$	8.94		$	8.08		$	6.85		$	12.02		$	13.09
Total Return ^,^^		6.71%	**		11.63%			19.07%			(41.28%	)		(3.15%	)		21.11%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	266		$	255		$	556		$	620		$	2,486		$	1,547
Ratio of expenses to average daily net assets		1.41%	*		1.41%			1.41%			1.40%			1.39%			1.39%
Net investment income (loss) to average daily net assets		0.88%	*		0.93%			1.41%			1.78%			1.33%			1.30%
Portfolio turnover rate		20%	**		130%			68%			17%			17%			15%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

190

MassMutual Select Fundamental Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.36		$	9.24		$	7.48		$	11.76		$	12.28		$	11.14
Income (loss) from investment operations:
Net investment income (loss) ***		0.06			0.09			0.10			0.14			0.12			0.11
Net realized and unrealized gain (loss) on investments		0.36			1.13			1.66			(4.14	)		0.84			2.16
Total income (loss) from investment operations		0.42			1.22			1.76			(4.00	)		0.96			2.27
Less distributions to shareholders:
From net investment income		-			(0.10	)		(0.00	) †		(0.15	)		(0.11	)		(0.11	)
From net realized gains		-			-			-			(0.13	)		(1.37	)		(1.02	)
Total distributions		-			(0.10	)		(0.00	) †		(0.28	)		(1.48	)		(1.13	)
Net asset value, end of period	$	10.78		$	10.36		$	9.24		$	7.48		$	11.76		$	12.28
Total Return ^,^^		4.05%	**		13.46%			23.53%			(34.22%	)		7.93%			20.54%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	313,260		$	293,195		$	241,206		$	176,524		$	283,159		$	310,438
Ratio of expenses to average daily net assets:
Before expense waiver		1.38%	*		1.25%			1.24%			1.24%			1.23%			1.23%
After expense waiver		1.24%	*#		1.24%	#		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		1.10%	*		0.91%			1.24%			1.44%			0.94%			0.92%
Portfolio turnover rate		9%	**		30%			47%			53%			37%			43%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.45		$	9.31		$	7.52		$	11.82		$	12.33		$	11.17
Income (loss) from investment operations:
Net investment income (loss) ***		0.07			0.11			0.12			0.17			0.15			0.14
Net realized and unrealized gain (loss) on investments		0.37			1.14			1.67			(4.17	)		0.85			2.18
Total income (loss) from investment operations		0.44			1.25			1.79			(4.00	)		1.00			2.32
Less distributions to shareholders:
From net investment income		-			(0.11	)		(0.00	) †		(0.17	)		(0.14	)		(0.14	)
From net realized gains		-			-			-			(0.13	)		(1.37	)		(1.02	)
Total distributions		-			(0.11	)		(0.00	) †		(0.30	)		(1.51	)		(1.16	)
Net asset value, end of period	$	10.89		$	10.45		$	9.31		$	7.52		$	11.82		$	12.33
Total Return ^		4.21%	**		13.71%			23.81%			(34.04%	)		8.22%			20.90%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	107,384		$	162,055		$	168,790		$	141,302		$	264,796		$	298,276
Ratio of expenses to average daily net assets:
Before expense waiver		1.12%	*		1.00%			0.99%			0.99%			0.98%			0.98%
After expense waiver		0.99%	*#		0.99%	#		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		1.32%	*		1.15%			1.50%			1.68%			1.18%			1.18%
Portfolio turnover rate		9%	**		30%			47%			53%			37%			43%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

191

MassMutual Select Fundamental Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.46		$	9.33		$	7.52		$	11.84		$	12.34		$	11.19
Income (loss) from investment operations:
Net investment income (loss) ***		0.08			0.12			0.13			0.18			0.17			0.16
Net realized and unrealized gain (loss) on investments		0.37			1.14			1.68			(4.18	)		0.86			2.17
Total income (loss) from investment operations		0.45			1.26			1.81			(4.00	)		1.03			2.33
Less distributions to shareholders:
From net investment income		-			(0.13	)		(0.00	) †		(0.19	)		(0.16	)		(0.16	)
From net realized gains		-			-			-			(0.13	)		(1.37	)		(1.02	)
Total distributions		-			(0.13	)		(0.00	) †		(0.32	)		(1.53	)		(1.18	)
Net asset value, end of period	$	10.91		$	10.46		$	9.33		$	7.52		$	11.84		$	12.34
Total Return ^		4.30%	**		13.81%			24.07%			(33.97%	)		8.37%			21.05%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	157,860		$	133,797		$	129,536		$	92,098		$	135,962		$	134,485
Ratio of expenses to average daily net assets:
Before expense waiver		0.98%	*		0.85%			0.84%			0.84%			0.83%			0.83%
After expense waiver		0.84%	*#		0.84%	#		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		1.51%	*		1.30%			1.63%			1.85%			1.33%			1.32%
Portfolio turnover rate		9%	**		30%			47%			53%			37%			43%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.49		$	9.35		$	7.53		$	11.85		$	12.36		$	11.20
Income (loss) from investment operations:
Net investment income (loss) ***		0.08			0.13			0.13			0.19			0.18			0.17
Net realized and unrealized gain (loss) on investments		0.36			1.14			1.69			(4.18	)		0.85			2.17
Total income (loss) from investment operations		0.44			1.27			1.82			(3.99	)		1.03			2.34
Less distributions to shareholders:
From net investment income		-			(0.13	)		(0.00	) †		(0.20	)		(0.17	)		(0.16	)
From net realized gains		-			-			-			(0.13	)		(1.37	)		(1.02	)
Total distributions		-			(0.13	)		(0.00	) †		(0.33	)		(1.54	)		(1.18	)
Net asset value, end of period	$	10.93		$	10.49		$	9.35		$	7.53		$	11.85		$	12.36
Total Return ^		4.19%	**		13.91%			24.17%			(33.98%	)		8.50%			21.06%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	489,891		$	500,716		$	446,975		$	357,433		$	560,524		$	540,185
Ratio of expenses to average daily net assets:
Before expense waiver		0.94%	*		0.81%			0.80%			0.80%			0.79%			0.79%
After expense waiver		0.80%	*#		0.80%	#		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		1.53%	*		1.35%			1.68%			1.88%			1.38%			1.37%
Portfolio turnover rate		9%	**		30%			47%			53%			37%			43%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

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

192

MassMutual Select Fundamental Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.25		$	9.13		$	7.41		$	11.66		$	12.20		$	11.07
Income (loss) from investment operations:
Net investment income (loss) ***		0.04			0.06			0.07			0.11			0.08			0.07
Net realized and unrealized gain (loss) on investments		0.37			1.11			1.65			(4.10	)		0.85			2.14
Total income (loss) from investment operations		0.41			1.17			1.72			(3.99	)		0.93			2.21
Less distributions to shareholders:
From net investment income		-			(0.05	)		(0.00	) †		(0.13	)		(0.10	)		(0.06	)
From net realized gains		-			-			-			(0.13	)		(1.37	)		(1.02	)
Total distributions		-			(0.05	)		(0.00	) †		(0.26	)		(1.47	)		(1.08	)
Net asset value, end of period	$	10.66		$	10.25		$	9.13		$	7.41		$	11.66		$	12.20
Total Return ^,^^		4.00%	**		12.97%			23.21%			(34.42%	)		7.68%			20.09%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	2,090		$	2,051		$	2,403		$	2,063		$	2,807		$	1,667
Ratio of expenses to average daily net assets:
Before expense waiver		1.67%	*		1.55%			1.54%			1.54%			1.53%			1.53%
After expense waiver		1.54%	*#		1.54%	#		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		0.80%	*		0.60%			0.95%			1.15%			0.65%			0.62%
Portfolio turnover rate		9%	**		30%			47%			53%			37%			43%
	Class Z
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.48		$	9.82
Income (loss) from investment operations:
Net investment income (loss) ***		0.14			0.03
Net realized and unrealized gain (loss) on investments		0.32			0.63
Total income (loss) from investment operations		0.46			0.66
Net asset value, end of period	$	10.94			10.48
Total Return ^		4.39%	**		6.72%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	96,380		$	107
Ratio of expenses to average daily net assets:
Before expense waiver		0.78%	*		0.75%	*
After expense waiver		0.60%	*#		0.65%	*#
Net investment income (loss) to average daily net assets		2.62%	*		1.98%	*
Portfolio turnover rate		9%	**		30%	~

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period November 15, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

~ The portfolio turnover rate results are for the Fund.

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

193

MassMutual Select Value Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	7.38		$	6.58		$	5.39	$	9.08		$	10.07		$	10.49
Income (loss) from investment operations:
Net investment income (loss) ***		0.01			0.03			0.06		0.10			0.08			0.07
Net realized and unrealized gain (loss) on investments		0.33			0.86			1.13		(3.59	)		0.26			1.25
Total income (loss) from investment operations		0.34			0.89			1.19		(3.49	)		0.34			1.32
Less distributions to shareholders:
From net investment income		-			(0.09	)		-		(0.10	)		(0.08	)		(0.06	)
From net realized gains		-			-			-		(0.10	)		(1.25	)		(1.68	)
Tax return of capital		-			-			-		(0.00	) †		-			-
Total distributions		-			(0.09	)		-		(0.20	)		(1.33	)		(1.74	)
Net asset value, end of period	$	7.72		$	7.38		$	6.58	$	5.39		$	9.08		$	10.07
Total Return ^,^^		4.61%	**		13.87%			22.08%		(38.67%	)		3.45%			12.83%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	12,078		$	11,553		$	10,965	$	9,563		$	19,179		$	28,143
Ratio of expenses to average daily net assets		1.38%	*		1.39%			1.41%		1.34%			1.31%			1.31%
Net investment income (loss) to average daily net assets		0.31%	*		0.50%			1.04%		1.30%			0.76%			0.65%
Portfolio turnover rate		57%	**		76%			142%		194%			145%			177%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	7.40		$	6.60		$	5.39	$	9.08		$	10.08		$	10.51
Income (loss) from investment operations:
Net investment income (loss) ***		0.02			0.05			0.07		0.11			0.11			0.10
Net realized and unrealized gain (loss) on investments		0.33			0.85			1.14		(3.58	)		0.25			1.25
Total income (loss) from investment operations		0.35			0.90			1.21		(3.47	)		0.36			1.35
Less distributions to shareholders:
From net investment income		-			(0.10	)		-		(0.12	)		(0.11	)		(0.10	)
From net realized gains		-			-			-		(0.10	)		(1.25	)		(1.68	)
Tax return of capital		-			-			-		(0.00	) †		-			-
Total distributions		-			(0.10	)		-		(0.22	)		(1.36	)		(1.78	)
Net asset value, end of period	$	7.75		$	7.40		$	6.60	$	5.39		$	9.08		$	10.08
Total Return ^		4.73%	**		14.01%			22.45%		(38.48%	)		3.70%			13.06%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	474		$	1,991		$	1,689	$	7,309		$	12,234		$	12,075
Ratio of expenses to average daily net assets		1.13%	*		1.14%			1.15%		1.09%			1.06%			1.06%
Net investment income (loss) to average daily net assets		0.52%	*		0.75%			1.31%		1.53%			1.04%			0.93%
Portfolio turnover rate		57%	**		76%			142%		194%			145%			177%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

194

MassMutual Select Value Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	7.45		$	6.64		$	5.42	$	9.15		$	10.14		$	10.55
Income (loss) from investment operations:
Net investment income (loss) ***		0.03			0.06			0.08		0.13			0.12			0.12
Net realized and unrealized gain (loss) on Investments		0.33			0.87			1.14		(3.62	)		0.26			1.26
Total income (loss) from investment operations		0.36			0.93			1.22		(3.49	)		0.38			1.38
Less distributions to shareholders:
From net investment income		-			(0.12	)		-		(0.14	)		(0.12	)		(0.11	)
From net realized gains		-			-			-		(0.10	)		(1.25	)		(1.68	)
Tax return of capital		-			-			-		(0.00	) †		-			-
Total distributions		-			(0.12	)		-		(0.24	)		(1.37	)		(1.79	)
Net asset value, end of period	$	7.81		$	7.45		$	6.64	$	5.42		$	9.15		$	10.14
Total Return ^		4.83%	**		14.34%			22.51%		(38.45%	)		3.87%			13.33%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	3,029		$	2,673		$	2,664	$	2,000		$	2,913		$	5,136
Ratio of expenses to average daily net assets		0.98%	*		0.99%			1.01%		0.94%			0.90%			0.91%
Net investment income (loss) to average daily net assets		0.73%	*		0.89%			1.46%		1.73%			1.14%			1.06%
Portfolio turnover rate		57%	**		76%			142%		194%			145%			177%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	7.43		$	6.62		$	5.41	$	9.12		$	10.12		$	10.54
Income (loss) from investment operations:
Net investment income (loss) ***		0.03			0.06			0.08		0.13			0.13			0.12
Net realized and unrealized gain (loss) on investments		0.33			0.87			1.13		(3.60	)		0.25			1.26
Total income (loss) from investment operations		0.36			0.93			1.21		(3.47	)		0.38			1.38
Less distributions to shareholders:
From net investment income		-			(0.12	)		-		(0.14	)		(0.13	)		(0.12	)
From net realized gains		-			-			-		(0.10	)		(1.25	)		(1.68	)
Tax return of capital		-			-			-		(0.00	) †		-			-
Total distributions		-			(0.12	)		-		(0.24	)		(1.38	)		(1.80	)
Net asset value, end of period	$	7.79		$	7.43		$	6.62	$	5.41		$	9.12		$	10.12
Total Return ^		4.85%	**		14.38%			22.37%		(38.33%	)		3.80%			13.40%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	15,163		$	16,434		$	17,371	$	26,225		$	48,593		$	52,627
Ratio of expenses to average daily net assets		0.93%	*		0.94%			0.95%		0.89%			0.86%			0.86%
Net investment income (loss) to average daily net assets		0.76%	*		0.94%			1.54%		1.76%			1.23%			1.11%
Portfolio turnover rate		57%	**		76%			142%		194%			145%			177%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

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

195

MassMutual Select Value Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	7.36		$	6.57		$	5.40	$	9.09		$	10.09		$	10.51
Income (loss) from investment operations:
Net investment income (loss) ***		0.00	†		0.01			0.04		0.07			0.05			0.04
Net realized and unrealized gain (loss) on investments		0.33			0.86			1.13		(3.58	)		0.25			1.26
Total income (loss) from investment operations		0.33			0.87			1.17		(3.51	)		0.30			1.30
Less distributions to shareholders:
From net investment income		-			(0.08	)		-		(0.08	)		(0.05	)		(0.04	)
From net realized gains		-			-			-		(0.10	)		(1.25	)		(1.68	)
Tax return of capital		-			-			-		(0.00	) †		-			-
Total distributions		-			(0.08	)		-		(0.18	)		(1.30	)		(1.72	)
Net asset value, end of period	$	7.69		$	7.36		$	6.57	$	5.40		$	9.09		$	10.09
Total Return ^,^^		4.48%	**		13.43%			21.67%		(38.86%	)		3.10%			12.59%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	105		$	102		$	94	$	77		$	130		$	142
Ratio of expenses to average daily net assets		1.68%	*		1.69%			1.71%		1.64%			1.61%			1.61%
Net investment income (loss) to average daily net assets		0.01%	*		0.20%			0.75%		1.02%			0.48%			0.36%
Portfolio turnover rate		57%	**		76%			142%		194%			145%			177%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

196

MassMutual Select Large Cap Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.54		$	9.45		$	7.25		$	12.53		$	12.84		$	11.28
Income (loss) from investment operations:
Net investment income (loss) ***		0.04			0.04			0.04			0.06			0.08			0.04
Net realized and unrealized gain (loss) on investments		0.20			1.14			2.19			(5.04	)		0.43			1.56
Total income (loss) from investment operations		0.24			1.18			2.23			(4.98	)		0.51			1.60
Less distributions to shareholders:
From net investment income		-			(0.09	)		(0.03	)		(0.07	)		(0.09	)		(0.04	)
From net realized gains		-			-			-			(0.23	)		(0.73	)		-
Tax return of capital		-			-			-			(0.00	) †		-			-
Total distributions		-			(0.09	)		(0.03	)		(0.30	)		(0.82	)		(0.04	)
Net asset value, end of period	$	10.78		$	10.54		$	9.45		$	7.25		$	12.53		$	12.84
Total Return ^,^^		2.28%	**		12.48%			30.82%			(39.96%	)		4.04%			14.21%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	136,608		$	155,189		$	172,363		$	193,387		$	382,049		$	401,790
Ratio of expenses to average daily net assets		1.26%	*		1.26%			1.27%			1.26%			1.25%			1.25%
Net investment income (loss) to average daily net assets		0.66%	*		0.42%			0.46%			0.53%			0.63%			0.37%
Portfolio turnover rate		5%	**		10%			12%			17%			8%			18%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.57		$	9.47		$	7.27		$	12.59		$	12.88		$	11.32
Income (loss) from investment operations:
Net investment income (loss) ***		0.05			0.06			0.05			0.08			0.12			0.07
Net realized and unrealized gain (loss) on investments		0.20			1.15			2.21			(5.08	)		0.44			1.56
Total income (loss) from investment operations		0.25			1.21			2.26			(5.00	)		0.56			1.63
Less distributions to shareholders:
From net investment income		-			(0.11	)		(0.06	)		(0.09	)		(0.12	)		(0.07	)
From net realized gains		-			-			-			(0.23	)		(0.73	)		-
Tax return of capital		-			-			-			(0.00	) †		-			-
Total distributions		-			(0.11	)		(0.06	)		(0.32	)		(0.85	)		(0.07	)
Net asset value, end of period	$	10.82		$	10.57		$	9.47		$	7.27		$	12.59		$	12.88
Total Return ^		2.37%	**		12.81%			31.12%			(39.85%	)		4.39%			14.42%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	64,120		$	78,893		$	110,367		$	119,982		$	230,678		$	397,105
Ratio of expenses to average daily net assets		1.01%	*		1.01%			1.02%			1.01%			1.00%			1.00%
Net investment income (loss) to average daily net assets		0.91%	*		0.65%			0.70%			0.78%			0.89%			0.63%
Portfolio turnover rate		5%	**		10%			12%			17%			8%			18%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

197

MassMutual Select Large Cap Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.60		$	9.50		$	7.29		$	12.62		$	12.91		$	11.34
Income (loss) from investment operations:
Net investment income (loss) ***		0.06			0.08			0.06			0.10			0.14			0.09
Net realized and unrealized gain (loss) on investments		0.19			1.15			2.23			(5.09	)		0.44			1.57
Total income (loss) from investment operations		0.25			1.23			2.29			(4.99	)		0.58			1.66
Less distributions to shareholders:
From net investment income		-			(0.13	)		(0.08	)		(0.10	)		(0.14	)		(0.09	)
From net realized gains		-			-			-			(0.23	)		(0.73	)		-
Tax return of capital		-			-			-			(0.01	)		-			-
Total distributions		-			(0.13	)		(0.08	)		(0.34	)		(0.87	)		(0.09	)
Net asset value, end of period	$	10.85		$	10.60		$	9.50		$	7.29		$	12.62		$	12.91
Total Return ^		2.36%	**		12.98%			31.39%			(39.72%	)		4.53%			14.65%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	81,716		$	81,805		$	82,157		$	61,599		$	136,253		$	218,268
Ratio of expenses to average daily net assets		0.86%	*		0.86%			0.87%			0.86%			0.85%			0.85%
Net investment income (loss) to average daily net assets		1.07%	*		0.82%			0.82%			0.93%			1.05%			0.78%
Portfolio turnover rate		5%	**		10%			12%			17%			8%			18%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.60		$	9.50		$	7.29		$	12.64		$	12.93		$	11.36
Income (loss) from investment operations:
Net investment income (loss) ***		0.06			0.09			0.07			0.11			0.15			0.10
Net realized and unrealized gain (loss) on investments		0.20			1.15			2.22			(5.11	)		0.45			1.57
Total income (loss) from investment operations		0.26			1.24			2.29			(5.00	)		0.60			1.67
Less distributions to shareholders:
From net investment income		-			(0.14	)		(0.08	)		(0.11	)		(0.16	)		(0.10	)
From net realized gains		-			-			-			(0.23	)		(0.73	)		-
Tax return of capital		-			-			-			(0.01	)		-			-
Total distributions		-			(0.14	)		(0.08	)		(0.35	)		(0.89	)		(0.10	)
Net asset value, end of period	$	10.86		$	10.60		$	9.50		$	7.29		$	12.64		$	12.93
Total Return ^		2.45%	**		13.08%			31.48%			(39.73%	)		4.68%			14.71%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	372,570		$	377,131		$	365,567		$	334,045		$	655,609		$	615,354
Ratio of expenses to average daily net assets		0.77%	*		0.77%			0.78%			0.77%			0.76%			0.76%
Net investment income (loss) to average daily net assets		1.16%	*		0.91%			0.92%			1.02%			1.11%			0.86%
Portfolio turnover rate		5%	**		10%			12%			17%			8%			18%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

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

198

MassMutual Select Large Cap Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.44		$	9.36		$	7.20		$	12.47		$	12.71		$	11.17
Income (loss) from investment operations:
Net investment income (loss) ***		0.02			0.01			0.01			0.03			0.06			0.01
Net realized and unrealized gain (loss) on investments		0.20			1.13			2.18			(5.02	)		0.43			1.54
Total income (loss) from investment operations		0.22			1.14			2.19			(4.99	)		0.49			1.55
Less distributions to shareholders:
From net investment income		-			(0.06	)		(0.03	)		(0.05	)		-			(0.01	)
From net realized gains		-			-			-			(0.23	)		(0.73	)		-
Tax return of capital		-			-			-			(0.00	) †		-			-
Total distributions		-			(0.06	)		(0.03	)		(0.28	)		(0.73	)		(0.01	)
Net asset value, end of period	$	10.66		$	10.44		$	9.36		$	7.20		$	12.47		$	12.71
Total Return ^,^^		2.11%	**		12.20%			30.36%			(40.18%	)		3.90%			13.87%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	758		$	735		$	926		$	573		$	569		$	2,596
Ratio of expenses to average daily net assets		1.56%	*		1.56%			1.57%			1.56%			1.55%			1.55%
Net investment income (loss) to average daily net assets		0.38%	*		0.12%			0.10%			0.25%			0.46%			0.08%
Portfolio turnover rate		5%	**		10%			12%			17%			8%			18%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

199

MassMutual Select Indexed Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	11.52		$	10.22		$	8.21		$	13.49		$	13.03		$	11.47
Income (loss) from investment operations:
Net investment income (loss) ***		0.08			0.15			0.14			0.19			0.18			0.16
Net realized and unrealized gain (loss) on investments		0.57			1.30			1.98			(5.24	)		0.45			1.55
Total income (loss) from investment operations		0.65			1.45			2.12			(5.05	)		0.63			1.71
Less distributions to shareholders:
From net investment income		-			(0.15	)		(0.11	)		(0.19	)		(0.17	)		(0.15	)
From net realized gains		-			-			-			(0.04	)		-			-
Tax return of capital		-			-			-			-			-			(0.00	) †
Total distributions		-			(0.15	)		(0.11	)		(0.23	)		(0.17	)		(0.15	)
Net asset value, end of period	$	12.17		$	11.52		$	10.22		$	8.21		$	13.49		$	13.03
Total Return ^,^^		5.64%	**		14.29%			25.83%			(37.44%	)		4.82%			14.95%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	347,589		$	302,470		$	241,090		$	183,342		$	311,185		$	297,468
Ratio of expenses to average daily net assets:
Before expense waiver		0.85%	*		0.86%			0.86%			0.86%			0.85%			0.85%
After expense waiver		0.65%	*#		0.66%	#		0.66%	#		0.66%	#		0.65%	#		0.67%	#
Net investment income (loss) to average daily net assets		1.30%	*		1.39%			1.65%			1.66%			1.34%			1.30%
Portfolio turnover rate		1%	**		5%			10%			5%			7%			4%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	11.58		$	10.26		$	8.23		$	13.54		$	13.07		$	11.50
Income (loss) from investment operations:
Net investment income (loss) ***		0.09			0.17			0.17			0.22			0.22			0.19
Net realized and unrealized gain (loss) on investments		0.58			1.33			1.98			(5.27	)		0.45			1.57
Total income (loss) from investment operations		0.67			1.50			2.15			(5.05	)		0.67			1.76
Less distributions to shareholders:
From net investment income		-			(0.18	)		(0.12	)		(0.22	)		(0.20	)		(0.19	)
From net realized gains		-			-			-			(0.04	)		-			-
Tax return of capital		-			-			-			-			-			(0.00	) †
Total distributions		-			(0.18	)		(0.12	)		(0.26	)		(0.20	)		(0.19	)
Net asset value, end of period	$	12.25		$	11.58		$	10.26		$	8.23		$	13.54		$	13.07
Total Return ^		5.79%	**		14.69%			26.09%			(37.33%	)		5.14%			15.28%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	223,485		$	203,160		$	156,894		$	200,048		$	351,221		$	337,639
Ratio of expenses to average daily net assets:
Before expense waiver		0.60%	*		0.61%			0.61%			0.61%			0.60%			0.60%
After expense waiver		0.40%	*#		0.41%	#		0.41%	#		0.41%	#		0.40%	#		0.42%	#
Net investment income (loss) to average daily net assets		1.55%	*		1.65%			1.92%			1.91%			1.59%			1.56%
Portfolio turnover rate		1%	**		5%			10%			5%			7%			4%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

200

MassMutual Select Indexed Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	11.59		$	10.27		$	8.25		$	13.56		$	13.12		$	11.54
Income (loss) from investment operations:
Net investment income (loss) ***		0.09			0.17			0.16			0.21			0.21			0.19
Net realized and unrealized gain (loss) on investments		0.58			1.31			1.99			(5.26	)		0.45			1.57
Total income (loss) from investment operations		0.67			1.48			2.15			(5.05	)		0.66			1.76
Less distributions to shareholders:
From net investment income		-			(0.16	)		(0.13	)		(0.22	)		(0.22	)		(0.18	)
From net realized gains		-			-			-			(0.04	)		-			-
Tax return of capital		-			-			-			-			-			(0.00	) †
Total distributions		-			(0.16	)		(0.13	)		(0.26	)		(0.22	)		(0.18	)
Net asset value, end of period	$	12.26		$	11.59		$	10.27		$	8.25		$	13.56		$	13.12
Total Return ^		5.78%	**		14.56%			26.03%			(37.31%	)		5.01%			15.27%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	312,491		$	298,754		$	307,391		$	251,184		$	431,199		$	494,849
Ratio of expenses to average daily net assets		0.45%	*		0.46%			0.46%			0.46%			0.45%			0.45%
Net investment income (loss) to average daily net assets		1.50%	*		1.58%			1.85%			1.86%			1.53%			1.53%
Portfolio turnover rate		1%	**		5%			10%			5%			7%			4%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	11.71		$	10.38		$	8.33		$	13.69		$	13.25		$	11.65
Income (loss) from investment operations:
Net investment income (loss) ***		0.09			0.17			0.17			0.22			0.22			0.19
Net realized and unrealized gain (loss) on investments		0.59			1.33			2.01			(5.32	)		0.44			1.60
Total income (loss) from investment operations		0.68			1.50			2.18			(5.10	)		0.66			1.79
Less distributions to shareholders:
From net investment income		-			(0.17	)		(0.13	)		(0.22	)		(0.22	)		(0.19	)
From net realized gains		-			-			-			(0.04	)		-			(0.00	) †
Total distributions		-			(0.17	)		(0.13	)		(0.26	)		(0.22	)		(0.19	)
Net asset value, end of period	$	12.39		$	11.71		$	10.38		$	8.33		$	13.69		$	13.25
Total Return ^		5.81%	**		14.57%			26.16%			(37.31%	)		5.00%			15.35%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	481,312		$	470,762		$	425,981		$	367,765		$	710,278		$	751,170
Ratio of expenses to average daily net assets		0.42%	*		0.43%			0.43%			0.43%			0.42%			0.42%
Net investment income (loss) to average daily net assets		1.53%	*		1.62%			1.88%			1.88%			1.56%			1.56%
Portfolio turnover rate		1%	**		5%			10%			5%			7%			4%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

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

201

MassMutual Select Indexed Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	11.42		$	10.13		$	8.14		$	13.35		$	12.90		$	11.35
Income (loss) from investment operations:
Net investment income (loss) ***		0.06			0.11			0.12			0.15			0.14			0.12
Net realized and unrealized gain (loss) on investments		0.57			1.29			1.95			(5.17	)		0.44			1.54
Total income (loss) from investment operations		0.63			1.40			2.07			(5.02	)		0.58			1.66
Less distributions to shareholders:
From net investment income		-			(0.11	)		(0.08	)		(0.15	)		(0.13	)		(0.11	)
From net realized gains		-			-			-			(0.04	)		-			-
Total distributions		-			(0.11	)		(0.08	)		(0.19	)		(0.13	)		(0.11	)
Net asset value, end of period	$	12.05		$	11.42		$	10.13		$	8.14		$	13.35		$	12.90
Total Return ^,^^		5.52%	**		13.94%			25.46%			(37.64%	)		4.53%			14.67%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	3,307		$	2,982		$	3,172		$	2,540		$	5,193		$	5,079
Ratio of expenses to average daily net assets:
Before expense waiver		1.15%	*		1.16%			1.16%			1.16%			1.15%			1.15%
After expense waiver		0.95%	*#		0.96%	#		0.96%	#		0.96%	#		0.95%	#		0.97%	#
Net investment income (loss) to average daily net assets		1.00%	*		1.09%			1.35%			1.33%			1.03%			1.00%
Portfolio turnover rate		1%	**		5%			10%			5%			7%			4%
	Class Z
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	11.70		$	10.36		$	8.32		$	13.69		$	13.25		$	11.65
Income (loss) from investment operations:
Net investment income (loss) ***		0.11			0.20			0.19			0.24			0.25			0.22
Net realized and unrealized gain (loss) on investments		0.58			1.33			2.00			(5.32	)		0.45			1.59
Total income (loss) from investment operations		0.69			1.53			2.19			(5.08	)		0.70			1.81
Less distributions to shareholders:
From net investment income		-			(0.19	)		(0.15	)		(0.25	)		(0.26	)		(0.21	)
From net realized gains		-			-			-			(0.04	)		-			(0.00	) †
Total distributions		-			(0.19	)		(0.15	)		(0.29	)		(0.26	)		(0.21	)
Net asset value, end of period	$	12.39		$	11.70		$	10.36		$	8.32		$	13.69		$	13.25
Total Return ^		5.90%	**		14.93%			26.31%			(37.17%	)		5.27%			15.59%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	760,994		$	693,596		$	528,989		$	404,065		$	543,206		$	373,069
Ratio of expenses to average daily net assets		0.21%	*		0.21%			0.22%			0.21%			0.20%			0.20%
Net investment income (loss) to average daily net assets		1.75%	*		1.84%			2.10%			2.13%			1.79%			1.78%
Portfolio turnover rate		1%	**		5%			10%			5%			7%			4%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

202

MassMutual Select Core Opportunities Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	9.28		$	8.23		$	6.48		$	10.85		$	10.72		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.02			0.04			0.04			0.06			0.06			0.01
Net realized and unrealized gain (loss) on investments		0.28			1.02			1.71			(4.20	)		0.95			0.74
Total income (loss) from investment operations		0.30			1.06			1.75			(4.14	)		1.01			0.75
Less distributions to shareholders:
From net investment income		-			(0.01	)		-			(0.06	)		(0.06	)		(0.01	)
From net realized gains		-			-			-			(0.16	)		(0.82	)		(0.02	)
Tax return of capital		-			-			-			(0.01	)		-			-
Total distributions		-			(0.01	)		-			(0.23	)		(0.88	)		(0.03	)
Net asset value, end of period	$	9.58		$	9.28		$	8.23		$	6.48		$	10.85		$	10.72
Total Return ^,^^		3.23%	**		12.92%			27.01%			(38.61%	)		9.52%			7.55%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	24,262		$	25,116		$	21,391		$	18,000		$	26,462		$	9,179
Ratio of expenses to average daily net assets:
Before expense waiver		1.36%	*		1.37%			1.41%			1.38%			1.37%			1.67%	*
After expense waiver		N/A			N/A			1.39%	#		1.35%	#		1.35%	#		1.35%	*#
Net investment income (loss) to average daily net assets		0.46%	*		0.47%			0.59%			0.63%			0.52%			0.13%	*
Portfolio turnover rate		37%	**		103%			88%			141%			100%			79%	**
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	9.30		$	8.25		$	6.49		$	10.87		$	10.73		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.03			0.06			0.06			0.08			0.09			0.03
Net realized and unrealized gain (loss) on investments		0.28			1.03			1.70			(4.21	)		0.95			0.74
Total income (loss) from investment operations		0.31			1.09			1.76			(4.13	)		1.04			0.77
Less distributions to shareholders:
From net investment income		-			(0.04	)		-			(0.08	)		(0.08	)		(0.02	)
From net realized gains		-			-			-			(0.16	)		(0.82	)		(0.02	)
Tax return of capital		-			-			-			(0.01	)		-			-
Total distributions		-			(0.04	)		-			(0.25	)		(0.90	)		(0.04	)
Net asset value, end of period	$	9.61		$	9.30		$	8.25		$	6.49		$	10.87		$	10.73
Total Return ^		3.33%	**		13.28%			27.12%			(38.43%	)		9.75%			7.76%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	1,573		$	21,363		$	5,055		$	6,482		$	9,123		$	8,000
Ratio of expenses to average daily net assets:
Before expense waiver		1.11%	*		1.12%			1.16%			1.13%			1.12%			1.42%	*
After expense waiver		N/A			N/A			1.14%	#		1.10%	#		1.10%	#		1.10%	*#
Net investment income (loss) to average daily net assets		0.72%	*		0.77%			0.89%			0.89%			0.78%			0.43%	*
Portfolio turnover rate		37%	**		103%			88%			141%			100%			79%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

+ For the period March 31, 2006 (commencement of operations) through December 31, 2006.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

203

MassMutual Select Core Opportunities Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	9.35		$	8.27		$	6.49		$	10.88		$	10.74		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.04			0.07			0.07			0.10			0.10			(0.01	)
Net realized and unrealized gain (loss) on investments		0.28			1.04			1.71			(4.22	)		0.95			0.79
Total income (loss) from investment operations		0.32			1.11			1.78			(4.12	)		1.05			0.78
Less distributions to shareholders:
From net investment income		-			(0.03	)		-			(0.10	)		(0.09	)		(0.02	)
From net realized gains		-			-			-			(0.16	)		(0.82	)		(0.02	)
Tax return of capital		-			-			-			(0.01	)		-			-
Total distributions		-			(0.03	)		-			(0.27	)		(0.91	)		(0.04	)
Net asset value, end of period	$	9.67		$	9.35		$	8.27		$	6.49		$	10.88		$	10.74
Total Return ^		3.42%	**		13.53%			27.43%			(38.36%	)		9.89%			7.86%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	5,360		$	5,186		$	6,431		$	4,998		$	7,490		$	4,436
Ratio of expenses to average daily net assets:
Before expense waiver		0.96%	*		0.97%			1.01%			0.98%			0.97%			1.27%	*
After expense waiver		N/A			N/A			0.99%	#		0.95%	#		0.95%	#		0.95%	*#
Net investment income (loss) to average daily net assets		0.86%	*		0.87%			0.99%			1.03%			0.92%			(0.08%	) *
Portfolio turnover rate		37%	**		103%			88%			141%			100%			79%	**
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	9.38		$	8.31		$	6.52		$	10.89		$	10.74		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.04			0.09			0.08			0.10			0.11			0.04
Net realized and unrealized gain (loss) on investments		0.29			1.02			1.71			(4.21	)		0.96			0.75
Total income (loss) from investment operations		0.33			1.11			1.79			(4.11	)		1.07			0.79
Less distributions to shareholders:
From net investment income		-			(0.04	)		-			(0.09	)		(0.10	)		(0.03	)
From net realized gains		-			-			-			(0.16	)		(0.82	)		(0.02	)
Tax return of capital		-			-			-			(0.01	)		-			-
Total distributions		-			(0.04	)		-			(0.26	)		(0.92	)		(0.05	)
Net asset value, end of period	$	9.71		$	9.38		$	8.31		$	6.52		$	10.89		$	10.74
Total Return ^		3.52%	**		13.52%			27.45%			(38.24%	)		10.05%			7.90%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	29,731		$	17,873		$	2,061		$	1,333		$	11,069		$	10,349
Ratio of expenses to average daily net assets:
Before expense waiver		0.86%	*		0.87%			0.91%			0.88%			0.87%			1.17%	*
After expense waiver		N/A			N/A			0.90%	#		N/A			N/A			0.90%	*#
Net investment income (loss) to average daily net assets		0.93%	*		1.01%			1.06%			1.03%			1.01%			0.53%	*
Portfolio turnover rate		37%	**		103%			88%			141%			100%			79%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

+ For the period March 31, 2006 (commencement of operations) through December 31, 2006.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

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

204

MassMutual Select Core Opportunities Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10		Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	9.31		$	8.27	$	6.53		$	10.85		$	10.71		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.01			0.01		0.02			0.04			0.03			(0.02	)
Net realized and unrealized gain (loss) on investments		0.28			1.03		1.72			(4.20	)		0.94			0.75
Total income (loss) from investment operations		0.29			1.04		1.74			(4.16	)		0.97			0.73
Less distributions to shareholders:
From net investment income		-			-		-			(0.00	) †		(0.01	)		-
From net realized gains		-			-		-			(0.16	)		(0.82	)		(0.02	)
Tax return of capital		-			-		-			(0.00	) †		-			-
Total distributions		-			-		-			(0.16	)		(0.83	)		(0.02	)
Net asset value, end of period	$	9.60		$	9.31	$	8.27		$	6.53		$	10.85		$	10.71
Total Return ^,^^		3.11%	**		12.58%		26.65%			(38.81%	)		9.16%			7.33%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	140		$	133	$	109		$	79		$	109		$	107
Ratio of expenses to average daily net assets:
Before expense waiver		1.66%	*		1.67%		1.71%			1.68%			1.67%			1.97%	*
After expense waiver		N/A			N/A		1.69%	#		1.65%	#		1.65%	#		1.65%	*#
Net investment income (loss) to average daily net assets		0.16%	*		0.17%		0.29%			0.45%			0.23%			(0.22%	) *
Portfolio turnover rate		37%	**		103%		88%			141%			100%			79%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period March 31, 2006 (commencement of operations) through December 31, 2006.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

205

MassMutual Select Blue Chip Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.36		$	8.93		$	6.26		$	10.94		$	9.75		$	9.01
Income (loss) from investment operations:
Net investment income (loss) ***		(0.02	)		(0.03	)		(0.02	)		(0.02	)		(0.00	) †		(0.01	)
Net realized and unrealized gain (loss) on investments		0.68			1.46			2.69			(4.66	)		1.19			0.75
Total income (loss) from investment operations		0.66			1.43			2.67			(4.68	)		1.19			0.74
Less distributions to shareholders:
From net investment income		-			-			(0.00	) †		(0.00	) †		(0.00	) †		-
Total distributions		-			-			(0.00	) †		(0.00	) †		(0.00	) †		-
Net asset value, end of period	$	11.02		$	10.36		$	8.93		$	6.26		$	10.94		$	9.75
Total Return ^,^^		6.37%	**		16.01%			42.68%			(42.77%	)		12.23%			8.21%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	70,544		$	66,401		$	69,307		$	49,345		$	99,385		$	39,055
Ratio of expenses to average daily net assets:
Before expense waiver		1.34%	*		1.34%			1.35%			1.34%			1.40%			1.39%
After expense waiver		1.19%	*#		1.19%	#		1.19%	#		1.19%	#		1.30%	#		1.31%	#
Net investment income (loss) to average daily net assets		(0.36%	) *		(0.36%	)		(0.24%	)		(0.18%	)		(0.04%	)		(0.12%	)
Portfolio turnover rate		24%	**		53%			62%			53%			43%			98%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.57		$	9.08		$	6.36		$	11.08		$	9.87		$	9.10
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		(0.01	)		(0.00	) †		0.00	†		0.02			0.01
Net realized and unrealized gain (loss) on investments		0.69			1.50			2.72			(4.72	)		1.21			0.77
Total income (loss) from investment operations		0.68			1.49			2.72			(4.72	)		1.23			0.78
Less distributions to shareholders:
From net investment income		-			-			(0.00	) †		(0.00	) †		(0.02	)		(0.01	)
Total distributions		-			-			(0.00	) †		(0.00	) †		(0.02	)		(0.01	)
Net asset value, end of period	$	11.25		$	10.57		$	9.08		$	6.36		$	11.08		$	9.87
Total Return ^		6.53%	**		16.30%			42.79%			(42.59%	)		12.46%			8.52%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	224,039		$	257,545		$	281,168		$	222,053		$	455,542		$	280,094
Ratio of expenses to average daily net assets:
Before expense waiver		1.09%	*		1.09%			1.10%			1.09%			1.15%			1.14%
After expense waiver		0.98%	*#		0.98%	#		0.98%	#		0.98%	#		1.06%	#		1.06%	#
Net investment income (loss) to average daily net assets		(0.16%	) *		(0.15%	)		(0.03%	)		0.03%			0.20%			0.13%
Portfolio turnover rate		24%	**		53%			62%			53%			43%			98%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

206

MassMutual Select Blue Chip Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.61		$	9.12		$	6.37		$	11.10		$	9.87		$	9.11
Income (loss) from investment operations:
Net investment income (loss) ***		0.00	†		0.00	†		0.01			0.02			0.04			0.03
Net realized and unrealized gain (loss) on investments		0.69			1.50			2.74			(4.74	)		1.21			0.76
Total income (loss) from investment operations		0.69			1.50			2.75			(4.72	)		1.25			0.79
Less distributions to shareholders:
From net investment income		-			(0.01	)		(0.00	) †		(0.01	)		(0.02	)		(0.03	)
Total distributions		-			(0.01	)		(0.00	) †		(0.01	)		(0.02	)		(0.03	)
Net asset value, end of period	$	11.30		$	10.61		$	9.12		$	6.37		$	11.10		$	9.87
Total Return ^		6.50%	**		16.45%			43.20%			(42.53%	)		12.62%			8.64%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	54,832		$	42,443		$	39,094		$	25,876		$	53,150		$	44,656
Ratio of expenses to average daily net assets:
Before expense waiver		0.97%	*		0.97%			0.98%			0.97%			1.03%			1.00%
After expense waiver		0.82%	*#		0.82%	#		0.82%	#		0.82%	#		0.93%	#		0.93%	#
Net investment income (loss) to average daily net assets		0.02%	*		0.01%			0.12%			0.19%			0.36%			0.29%
Portfolio turnover rate		24%	**		53%			62%			53%			43%			98%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.65		$	9.14		$	6.39		$	11.13		$	9.91		$	9.14
Income (loss) from investment operations:
Net investment income (loss) ***		0.00	†		0.01			0.01			0.02			0.05			0.03
Net realized and unrealized gain (loss) on investments		0.70			1.51			2.74			(4.74	)		1.22			0.77
Total income (loss) from investment operations		0.70			1.52			2.75			(4.72	)		1.27			0.80
Less distributions to shareholders:
From net investment income		-			(0.01	)		(0.00	) †		(0.02	)		(0.05	)		(0.03	)
Total distributions		-			(0.01	)		(0.00	) †		(0.02	)		(0.05	)		(0.03	)
Net asset value, end of period	$	11.35		$	10.65		$	9.14		$	6.39		$	11.13		$	9.91
Total Return ^		6.57%	**		16.64%			43.06%			(42.45%	)		12.77%			8.74%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	218,186		$	163,662		$	172,449		$	138,538		$	225,943		$	66,864
Ratio of expenses to average daily net assets:
Before expense waiver		0.84%	*		0.84%			0.85%			0.84%			0.90%			0.89%
After expense waiver		0.76%	*#		0.76%	#		0.76%	#		0.76%	#		0.81%	#		0.82%	#
Net investment income (loss) to average daily net assets		0.08%	*		0.08%			0.20%			0.26%			0.44%			0.37%
Portfolio turnover rate		24%	**		53%			62%			53%			43%			98%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

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

207

MassMutual Select Blue Chip Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.11		$	8.74		$	6.15		$	10.77		$	9.63		$	8.92
Income (loss) from investment operations:
Net investment income (loss) ***		(0.04	)		(0.06	)		(0.04	)		(0.05	)		(0.04	)		(0.04	)
Net realized and unrealized gain (loss) on investments		0.66			1.43			2.63			(4.57	)		1.18			0.75
Total income (loss) from investment operations		0.62			1.37			2.59			(4.62	)		1.14			0.71
Less distributions to shareholders:
From net investment income		-			-			(0.00	) †		(0.00	) †		-			-
Total distributions		-			-			(0.00	) †		(0.00	) †		-			-
Net asset value, end of period	$	10.73		$	10.11		$	8.74		$	6.15		$	10.77		$	9.63
Total Return ^,^^		6.13%	**		15.68%			42.14%			(42.89%	)		11.84%			7.96%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	360		$	344		$	803		$	597		$	3,112		$	3,509
Ratio of expenses to average daily net assets:
Before expense waiver		1.64%	*		1.64%			1.65%			1.64%			1.70%			1.69%
After expense waiver		1.51%	*#		1.51%	#		1.51%	#		1.51%	#		1.61%	#		1.61%	#
Net investment income (loss) to average daily net assets		(0.69%	) *		(0.69%	)		(0.55%	)		(0.51%	)		(0.35%	)		(0.41%	)
Portfolio turnover rate		24%	**		53%			62%			53%			43%			98%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

208

MassMutual Select Large Cap Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.03		$	7.78		$	6.07		$	10.34		$	9.88		$	10.29
Income (loss) from investment operations:
Net investment income (loss) ***		(0.02	)		(0.01	)		(0.00	) †		(0.02	)		(0.05	)		(0.05	)
Net realized and unrealized gain (loss) on investments		0.39			1.26			1.71			(4.25	)		1.32			0.05
Total income (loss) from investment operations		0.37			1.25			1.71			(4.27	)		1.27			0.00
Less distributions to shareholders:
From net investment income		-			(0.00	) †		-			-			-			-
From net realized gains		-			-			-			-			(0.80	)		(0.41	)
Tax return of capital		-			-			-			-			(0.01	)		-
Total distributions		-			(0.00	) †		-			-			(0.81	)		(0.41	)
Net asset value, end of period	$	9.40		$	9.03		$	7.78		$	6.07		$	10.34		$	9.88
Total Return ^,^^		4.10%	**		16.14%			28.17%			(41.30%	)		12.95%			(0.02%	)
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	2,096		$	2,446		$	3,835		$	3,626		$	7,159		$	8,278
Ratio of expenses to average daily net assets		1.35%	*		1.35%			1.38%			1.40%			1.36%			1.39%
Net investment income (loss) to average daily net assets		(0.43%	) *		(0.08%	)		(0.02%	)		(0.29%	)		(0.48%	)		(0.55%	)
Portfolio turnover rate		47%	**		83%			130%			93%			93%			98%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.27		$	7.98		$	6.24		$	10.62		$	10.14		$	10.53
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.01			0.01			(0.00	) †		(0.03	)		(0.03	)
Net realized and unrealized gain (loss) on investments		0.40			1.31			1.75			(4.38	)		1.35			0.05
Total income (loss) from investment operations		0.39			1.32			1.76			(4.38	)		1.32			0.02
Less distributions to shareholders:
From net investment income		-			(0.03	)		(0.02	)		-			-			-
From net realized gains		-			-			-			-			(0.83	)		(0.41	)
Tax return of capital		-			-			-			-			(0.01	)		-
Total distributions		-			(0.03	)		(0.02	)		-			(0.84	)		(0.41	)
Net asset value, end of period	$	9.66		$	9.27		$	7.98		$	6.24		$	10.62		$	10.14
Total Return ^		4.21%	**		16.51%			28.18%			(41.24%	)		13.16%			0.17%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	67		$	20,012		$	14,855		$	160		$	1,572		$	1,630
Ratio of expenses to average daily net assets		1.09%	*		1.10%			1.13%			1.15%			1.11%			1.15%
Net investment income (loss) to average daily net assets		(0.14%	) *		0.17%			0.17%			(0.04%	)		(0.24%	)		(0.30%	)
Portfolio turnover rate		47%	**		83%			130%			93%			93%			98%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

209

MassMutual Select Large Cap Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.27		$	7.92		$	6.17		$	10.52		$	10.05		$	10.42
Income (loss) from investment operations:
Net investment income (loss) ***		0.00	†		0.03			0.02			0.01			(0.01	)		(0.02	)
Net realized and unrealized gain (loss) on investments		0.40			1.32			1.74			(4.33	)		1.34			0.06
Total income (loss) from investment operations		0.40			1.35			1.76			(4.32	)		1.33			0.04
Less distributions to shareholders:
From net investment income		-			(0.00	) †		(0.01	)		(0.01	)		-			-
From net realized gains		-			-			-			-			(0.85	)		(0.41	)
Tax return of capital		-			-			-			(0.02	)		(0.01	)		-
Total distributions		-			(0.00	) †		(0.01	)		(0.03	)		(0.86	)		(0.41	)
Net asset value, end of period	$	9.67		$	9.27		$	7.92		$	6.17		$	10.52		$	10.05
Total Return ^		4.31%	*		17.11%			28.57%			(41.08%	)		13.36%			0.37%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	0	†††	$	0	†††	$	11,942		$	8,585		$	13,237		$	10,043
Ratio of expenses to average daily net assets		0.92%	*		0.93%			0.98%			1.00%			0.96%			0.98%
Net investment income (loss) to average daily net assets		0.06%	*		0.37%			0.38%			0.13%			(0.08%	)		(0.19%	)
Portfolio turnover rate		47%	**		83%			130%			93%			93%			98%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.25		$	7.97		$	6.21		$	10.57		$	10.09		$	10.46
Income (loss) from investment operations:
Net investment income (loss) ***		0.00	†		0.03			0.03			0.01			(0.00	) †		(0.02	)
Net realized and unrealized gain (loss) on investments		0.41			1.29			1.75			(4.34	)		1.34			0.06
Total income (loss) from investment operations		0.41			1.32			1.78			(4.33	)		1.34			0.04
Less distributions to shareholders:
From net investment income		-			(0.04	)		(0.02	)		(0.01	)		-			-
From net realized gains		-			-			-			-			(0.85	)		(0.41	)
Tax return of capital		-			-			-			(0.02	)		(0.01	)		-
Total distributions		-			(0.04	)		(0.02	)		(0.03	)		(0.86	)		(0.41	)
Net asset value, end of period	$	9.66		$	9.25		$	7.97		$	6.21		$	10.57		$	10.09
Total Return ^		4.43%	*		16.60%			28.63%			(41.00%	)		13.45%			0.36%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	64,381		$	46,870		$	53,565		$	10,390		$	23,465		$	20,909
Ratio of expenses to average daily net assets		0.92%	*		0.91%			0.94%			0.96%			0.92%			0.94%
Net investment income (loss) to average daily net assets		0.02%	*		0.36%			0.43%			0.15%			(0.04%	)		(0.15%	)
Portfolio turnover rate		47%	**		83%			130%			93%			93%			98%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

††† Amount is less than $500.

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

210

MassMutual Select Growth Opportunities Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	6.68		$	5.58		$	3.58		$	7.12		$	6.06		$	6.47
Income (loss) from investment operations:
Net investment income (loss) ***		(0.02	)		(0.03	)		(0.03	)		(0.05	)		(0.05	)		(0.06	)
Net realized and unrealized gain (loss) on investments		0.53			1.13			2.03			(3.29	)		1.11			(0.35	)
Total income (loss) from investment operations		0.51			1.10			2.00			(3.34	)		1.06			(0.41	)
Less distributions to shareholders:
From net realized gains		-			-			(0.00	) †		(0.20	)		-			-
Total distributions		-			-			(0.00	) †		(0.20	)		-			-
Net asset value, end of period	$	7.19		$	6.68		$	5.58		$	3.58		$	7.12		$	6.06
Total Return ^,^^		7.63%	**		19.50%			56.17%			(46.67%	)		17.49%			(6.34%	)
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	56,692		$	53,610		$	60,935		$	45,137		$	127,729		$	114,139
Ratio of expenses to average daily net assets:
Before expense waiver		1.36%	*		1.37%			1.37%			1.36%			1.36%			1.35%
After expense waiver		N/A			N/A			N/A			N/A			N/A			1.33%	#
Net investment income (loss) to average daily net assets		(0.54%	) *		(0.60%	)		(0.65%	)		(0.86%	)		(0.83%	)		(1.01%	)
Portfolio turnover rate		9%	**		40%			33%			32%			34%			49%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	6.87		$	5.73		$	3.66		$	7.26		$	6.17		$	6.56
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		(0.02	)		(0.02	)		(0.03	)		(0.04	)		(0.05	)
Net realized and unrealized gain (loss) on investments		0.55			1.16			2.09			(3.37	)		1.13			(0.34	)
Total income (loss) from investment operations		0.54			1.14			2.07			(3.40	)		1.09			(0.39	)
Less distributions to shareholders:
From net realized gains		-			-			(0.00	) †		(0.20	)		-			-
Total distributions		-			-			(0.00	) †		(0.20	)		-			-
Net asset value, end of period	$	7.41		$	6.87		$	5.73		$	3.66		$	7.26		$	6.17
Total Return ^		7.86%	**		19.90%			56.58%			(46.60%	)		17.67%			(5.95%	)
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	23,954		$	54,658		$	61,774		$	61,240		$	135,033		$	192,839
Ratio of expenses to average daily net assets:
Before expense waiver		1.11%	*		1.12%			1.12%			1.11%			1.11%			1.10%
After expense waiver		N/A			N/A			N/A			N/A			N/A			1.08%	#
Net investment income (loss) to average daily net assets		(0.28%	) *		(0.35%	)		(0.41%	)		(0.60%	)		(0.60%	)		(0.76%	)
Portfolio turnover rate		9%	**		40%			33%			32%			34%			49%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

211

MassMutual Select Growth Opportunities Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	6.98		$	5.81		$	3.71		$	7.34		$	6.22		$	6.61
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		(0.01	)		(0.01	)		(0.03	)		(0.03	)		(0.04	)
Net realized and unrealized gain (loss) on investments		0.56			1.18			2.11			(3.40	)		1.15			(0.35	)
Total income (loss) from investment operations		0.55			1.17			2.10			(3.43	)		1.12			(0.39	)
Less distributions to shareholders:
From net realized gains		-			-			(0.00	) †		(0.20	)		-			-
Total distributions		-			-			(0.00	) †		(0.20	)		-			-
Net asset value, end of period	$	7.53		$	6.98		$	5.81		$	3.71		$	7.34		$	6.22
Total Return ^		7.88%	**		20.14%			56.63%			(46.49%	)		18.01%			(5.90%	)
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	29,438		$	22,037		$	21,830		$	16,755		$	48,600		$	53,940
Ratio of expenses to average daily net assets:
Before expense waiver		0.96%	*		0.97%			0.97%			0.96%			0.96%			0.95%
After expense waiver		N/A			N/A			N/A			N/A			N/A			0.93%	#
Net investment income (loss) to average daily net assets		(0.15%	) *		(0.19%	)		(0.27%	)		(0.46%	)		(0.44%	)		(0.61%	)
Portfolio turnover rate		9%	**		40%			33%			32%			34%			49%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	7.06		$	5.87		$	3.74		$	7.40		$	6.26		$	6.65
Income (loss) from investment operations:
Net investment income (loss) ***		(0.00	) †		(0.00	) †		(0.01	)		(0.02	)		(0.02	)		(0.03	)
Net realized and unrealized gain (loss) on investments		0.55			1.19			2.14			(3.44	)		1.16			(0.36	)
Total income (loss) from investment operations		0.55			1.19			2.13			(3.46	)		1.14			(0.39	)
Less distributions to shareholders:
From net realized gains		-			-			(0.00	) †		(0.20	)		-			-
Total distributions		-			-			(0.00	) †		(0.20	)		-			-
Net asset value, end of period	$	7.61		$	7.06		$	5.87		$	3.74		$	7.40		$	6.26
Total Return ^		7.79%	**		20.27%			56.97%			(46.53%	)		18.21%			(5.86%	)
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	249,534		$	210,972		$	164,994		$	112,415		$	284,106		$	239,162
Ratio of expenses to average daily net assets:
Before expense waiver		0.86%	*		0.87%			0.87%			0.86%			0.86%			0.85%
After expense waiver		N/A			N/A			N/A			N/A			N/A			0.83%	#
Net investment income (loss) to average daily net assets		(0.05%	) *		(0.06%	)		(0.15%	)		(0.36%	)		(0.32%	)		(0.51%	)
Portfolio turnover rate		9%	**		40%			33%			32%			34%			49%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

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

212

MassMutual Select Growth Opportunities Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	6.47		$	5.43		$	3.49		$	6.98		$	5.96		$	6.37
Income (loss) from investment operations:
Net investment income (loss) ***		(0.03	)		(0.05	)		(0.04	)		(0.07	)		(0.07	)		(0.08	)
Net realized and unrealized gain (loss) on investments		0.51			1.09			1.98			(3.22	)		1.09			(0.33	)
Total income (loss) from investment operations		0.48			1.04			1.94			(3.29	)		1.02			(0.41	)
Less distributions to shareholders:
From net realized gains		-			-			(0.00	) †		(0.20	)		-			-
Total distributions		-			-			(0.00	) †		(0.20	)		-			-
Net asset value, end of period	$	6.95		$	6.47		$	5.43		$	3.49		$	6.98		$	5.96
Total Return ^,^^		7.42%	**		19.37%			55.32%			(46.88%	)		17.11%			(6.44%	)
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	22		$	28		$	93		$	84		$	944		$	1,203
Ratio of expenses to average daily net assets:
Before expense waiver		1.66%	*		1.67%			1.67%			1.66%			1.66%			1.65%
After expense waiver		N/A			N/A			N/A			N/A			N/A			1.63%	#
Net investment income (loss) to average daily net assets		(0.90%	) *		(0.95%	)		(0.96%	)		(1.22%	)		(1.13%	)		(1.31%	)
Portfolio turnover rate		9%	**		40%			33%			32%			34%			49%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

213

MassMutual Select NASDAQ-100 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	5.44		$	4.54		$	2.97		$	5.16		$	4.37		$	4.12
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		(0.01	)		(0.02	)		(0.02	)		(0.03	)		(0.02	)
Net realized and unrealized gain (loss) on investments		0.27			0.91			1.59			(2.17	)		0.82			0.27
Total income (loss) from investment operations		0.26			0.90			1.57			(2.19	)		0.79			0.25
Net asset value, end of period	$	5.70		$	5.44		$	4.54		$	2.97		$	5.16		$	4.37
Total Return ^,^^		4.78%	**		19.82%			52.86%			(42.44%	)		17.81%			6.31%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	18,931		$	19,690		$	18,508		$	12,506		$	22,454		$	21,627
Ratio of expenses to average daily net assets		1.13%	*		1.15%			1.20%			1.17%			1.16%			1.15%
Net investment income (loss) to average daily net assets		(0.34%	) *		(0.24%	)		(0.45%	)		(0.57%	)		(0.57%	)		(0.50%	)
Portfolio turnover rate		31%	**		8%			22%			10%			29%			7%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	5.58		$	4.65		$	3.03		$	5.25		$	4.44		$	4.17
Income (loss) from investment operations:
Net investment income (loss) ***		(0.00	) †		0.00	†		(0.01	)		(0.01	)		(0.02	)		(0.01	)
Net realized and unrealized gain (loss) on investments		0.28			0.93			1.63			(2.21	)		0.83			0.28
Total income (loss) from investment operations		0.28			0.93			1.62			(2.22	)		0.81			0.27
Net asset value, end of period	$	5.86		$	5.58		$	4.65		$	3.03		$	5.25		$	4.44
Total Return ^		4.84%	**		20.00%			53.47%			(42.29%	)		18.24%			6.47%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	6,707		$	6,658		$	6,620		$	4,363		$	10,335		$	9,960
Ratio of expenses to average daily net assets		0.88%	*		0.90%			0.95%			0.92%			0.91%			0.90%
Net investment income (loss) to average daily net assets		(0.09%	) *		0.01%			(0.19%	)		(0.32%	)		(0.32%	)		(0.26%	)
Portfolio turnover rate		31%	**		8%			22%			10%			29%			7%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

214

MassMutual Select NASDAQ-100 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10		Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	5.66		$	4.70	$	3.07		$	5.30		$	4.47		$	4.19
Income (loss) from investment operations:
Net investment income (loss) ***		0.00	†		0.01		(0.00	) †		(0.01	)		(0.01	)		(0.01	)
Net realized and unrealized gain (loss) on investments		0.28			0.95		1.63			(2.22	)		0.84			0.29
Total income (loss) from investment operations		0.28			0.96		1.63			(2.23	)		0.83			0.28
Net asset value, end of period	$	5.94		$	5.66	$	4.70		$	3.07		$	5.30		$	4.47
Total Return ^		4.95%	**		20.43%		53.09%			(42.08%	)		18.57%			6.68%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	1,803		$	1,633	$	2,737		$	1,922		$	3,160		$	1,495
Ratio of expenses to average daily net assets		0.73%	*		0.75%		0.80%			0.77%			0.77%			0.75%
Net investment income (loss) to average daily net assets		0.06%	*		0.13%		(0.04%	)		(0.17%	)		(0.18%	)		(0.12%	)
Portfolio turnover rate		31%	**		8%		22%			10%			29%			7%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10		Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	5.72		$	4.75	$	3.09		$	5.35		$	4.51		$	4.22
Income (loss) from investment operations:
Net investment income (loss) ***		0.00	†		0.01		0.00	†		(0.00	) †		(0.00	) †		(0.00	) †
Net realized and unrealized gain (loss) on investments		0.29			0.96		1.66			(2.26	)		0.84			0.29
Total income (loss) from investment operations		0.29			0.97		1.66			(2.26	)		0.84			0.29
Net asset value, end of period	$	6.01		$	5.72	$	4.75		$	3.09		$	5.35		$	4.51
Total Return ^		5.07%	**		20.42%		53.72%			(42.24%	)		18.63%			6.87%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	21,387		$	21,169	$	20,229		$	10,781		$	21,630		$	16,179
Ratio of expenses to average daily net assets		0.63%	*		0.65%		0.70%			0.67%			0.66%			0.65%
Net investment income (loss) to average daily net assets		0.16%	*		0.25%		0.06%			(0.08%	)		(0.07%	)		(0.00%	) ††
Portfolio turnover rate		31%	**		8%		22%			10%			29%			7%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

†† Amount is less than 0.005%.

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

215

MassMutual Select NASDAQ-100 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	5.28		$	4.43		$	2.91		$	5.07		$	4.31		$	4.07
Income (loss) from investment operations:
Net investment income (loss) ***		(0.02	)		(0.03	)		(0.03	)		(0.04	)		(0.04	)		(0.03	)
Net realized and unrealized gain (loss) on investments		0.27			0.88			1.55			(2.12	)		0.80			0.27
Total income (loss) from investment operations		0.25			0.85			1.52			(2.16	)		0.76			0.24
Net asset value, end of period	$	5.53		$	5.28		$	4.43		$	2.91		$	5.07		$	4.31
Total Return ^,^^		4.73%	**		19.19%			52.23%			(42.60%	)		17.63%			5.90%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	341		$	336		$	317		$	120		$	494		$	445
Ratio of expenses to average daily net assets		1.43%	*		1.45%			1.50%			1.47%			1.46%			1.45%
Net investment income (loss) to average daily net assets		(0.65%	) *		(0.55%	)		(0.74%	)		(0.85%	)		(0.87%	)		(0.79%	)
Portfolio turnover rate		31%	**		8%			22%			10%			29%			7%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

216

MassMutual Select Focused Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	16.99		$	14.06		$	8.66	$	16.09		$	18.08		$	16.70
Income (loss) from investment operations:
Net investment income (loss) ***		0.00	†		0.02			0.04		0.10			0.05			0.25
Net realized and unrealized gain (loss) on investments		0.83			2.96			5.36		(6.86	)		0.25			3.02
Total income (loss) from investment operations		0.83			2.98			5.40		(6.76	)		0.30			3.27
Less distributions to shareholders:
From net investment income		-			(0.05	)		-		(0.12	)		(0.03	)		(0.26	)
From net realized gains		-			-			-		(0.55	)		(2.26	)		(1.63	)
Tax return of capital		-			-			-		(0.00	) †		-			-
Total distributions		-			(0.05	)		-		(0.67	)		(2.29	)		(1.89	)
Net asset value, end of period	$	17.82		$	16.99		$	14.06	$	8.66		$	16.09		$	18.08
Total Return ^,^^		4.89%	**		21.29%			62.36%		(43.10%	)		1.52%			19.65%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	174,232		$	170,895		$	161,884	$	107,233		$	224,393		$	275,925
Ratio of expenses to average daily net assets:
Before expense waiver		1.40%	*		1.32%			1.31%		1.31%			1.30%			1.29%
After expense waiver		1.30%	*#		1.30%	#		N/A		N/A			N/A			N/A
Net investment income (loss) to average daily net assets		0.05%	*		0.12%			0.38%		0.80%			0.29%			1.39%
Portfolio turnover rate		16%	**		32%			43%		43%			44%			36%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	17.32		$	14.33		$	8.80	$	16.36		$	18.34		$	16.91
Income (loss) from investment operations:
Net investment income (loss) ***		0.03			0.05			0.07		0.14			0.08			0.30
Net realized and unrealized gain (loss) on investments		0.84			3.01			5.46		(7.00	)		0.27			3.06
Total income (loss) from investment operations		0.87			3.06			5.53		(6.86	)		0.35			3.36
Less distributions to shareholders:
From net investment income		-			(0.07	)		-		(0.15	)		(0.07	)		(0.30	)
From net realized gains		-			-			-		(0.55	)		(2.26	)		(1.63	)
Tax return of capital		-			-			-		(0.00	) †		-			-
Total distributions		-			(0.07	)		-		(0.70	)		(2.33	)		(1.93	)
Net asset value, end of period	$	18.19		$	17.32		$	14.33	$	8.80		$	16.36		$	18.34
Total Return ^		5.02%	**		21.54%			62.84%		(42.98%	)		1.79%			19.94%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	66,440		$	91,044		$	98,934	$	69,539		$	159,281		$	203,635
Ratio of expenses to average daily net assets:
Before expense waiver		1.15%	*		1.07%			1.06%		1.06%			1.05%			1.04%
After expense waiver		1.05%	*#		1.05%	#		N/A		N/A			N/A			N/A
Net investment income (loss) to average daily net assets		0.30%	*		0.36%			0.62%		1.05%			0.39%			1.66%
Portfolio turnover rate		16%	**		32%			43%		43%			44%			36%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

217

MassMutual Select Focused Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	17.49		$	14.47		$	8.87	$	16.49		$	18.47		$	17.02
Income (loss) from investment operations:
Net investment income (loss) ***		0.04			0.08			0.09		0.16			0.09			0.32
Net realized and unrealized gain (loss) on investments		0.85			3.04			5.51		(7.06	)		0.29			3.09
Total income (loss) from investment operations		0.89			3.12			5.60		(6.90	)		0.38			3.41
Less distributions to shareholders:
From net investment income		-			(0.10	)		-		(0.17	)		(0.10	)		(0.33	)
From net realized gains		-			-			-		(0.55	)		(2.26	)		(1.63	)
Tax return of capital		-			-			-		(0.00	) †		-			-
Total distributions		-			(0.10	)		-		(0.72	)		(2.36	)		(1.96	)
Net asset value, end of period	$	18.38		$	17.49		$	14.47	$	8.87		$	16.49		$	18.47
Total Return ^		5.09%	**		21.73%			63.13%		(42.89%	)		1.92%			20.12%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	76,880		$	70,955		$	64,121	$	56,399		$	131,434		$	144,555
Ratio of expenses to average daily net assets:
Before expense waiver		1.00%	*		0.92%			0.91%		0.91%			0.90%			0.89%
After expense waiver		0.90%	*#		0.90%	#		N/A		N/A			N/A			N/A
Net investment income (loss) to average daily net assets		0.46%	*		0.52%			0.78%		1.17%			0.49%			1.79%
Portfolio turnover rate		16%	**		32%			43%		43%			44%			36%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	17.63		$	14.59		$	8.94	$	16.62		$	18.59		$	17.11
Income (loss) from investment operations:
Net investment income (loss) ***		0.05			0.10			0.10		0.17			0.13			0.34
Net realized and unrealized gain (loss) on investments		0.87			3.05			5.55		(7.11	)		0.28			3.12
Total income (loss) from investment operations		0.92			3.15			5.65		(6.94	)		0.41			3.46
Less distributions to shareholders:
From net investment income		-			(0.11	)		-		(0.19	)		(0.12	)		(0.35	)
From net realized gains		-			-			-		(0.55	)		(2.26	)		(1.63	)
Tax return of capital		-			-			-		(0.00	) †		-			-
Total distributions		-			(0.11	)		-		(0.74	)		(2.38	)		(1.98	)
Net asset value, end of period	$	18.55		$	17.63		$	14.59	$	8.94		$	16.62		$	18.59
Total Return ^		5.22%	**		21.81%			63.20%		(42.82%	)		2.07%			20.28%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	294,114		$	307,649		$	262,825	$	142,372		$	349,391		$	348,859
Ratio of expenses to average daily net assets:
Before expense waiver		0.90%	*		0.82%			0.81%		0.81%			0.80%			0.79%
After expense waiver		0.80%	*#		0.80%	#		N/A		N/A			N/A			N/A
Net investment income (loss) to average daily net assets		0.55%	*		0.62%			0.89%		1.27%			0.67%			1.89%
Portfolio turnover rate		16%	**		32%			43%		43%			44%			36%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

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

218

MassMutual Select Focused Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	16.60		$	13.73		$	8.48	$	15.77		$	17.79		$	16.48
Income (loss) from investment operations:
Net investment income (loss) ***		(0.02	)		(0.03	)		0.01		0.07			(0.02	)		0.18
Net realized and unrealized gain (loss) on investments		0.81			2.90			5.24		(6.72	)		0.26			2.99
Total income (loss) from investment operations		0.79			2.87			5.25		(6.65	)		0.24			3.17
Less distributions to shareholders:
From net investment income		-			-			-		(0.09	)		-			(0.23	)
From net realized gains		-			-			-		(0.55	)		(2.26	)		(1.63	)
Tax return of capital		-			-			-		(0.00	) †		-			-
Total distributions		-			-			-		(0.64	)		(2.26	)		(1.86	)
Net asset value, end of period	$	17.39		$	16.60		$	13.73	$	8.48		$	15.77		$	17.79
Total Return ^,^^		4.76%	**		20.90%			61.91%		(43.29%	)		1.21%			19.35%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	1,764		$	1,882		$	2,617	$	1,522		$	2,723		$	2,567
Ratio of expenses to average daily net assets:
Before expense waiver		1.70%	*		1.62%			1.61%		1.60%			1.60%			1.60%
After expense waiver		1.60%	*#		1.60%	#		N/A		N/A			N/A			N/A
Net investment income (loss) to average daily net assets		(0.26%	) *		(0.19%	)		0.07%		0.54%			(0.08%	)		1.03%
Portfolio turnover rate		16%	**		32%			43%		43%			44%			36%
	Class Z
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	17.64		$	16.92
Income (loss) from investment operations:
Net investment income (loss) ***		0.06			0.02
Net realized and unrealized gain (loss) on investments		0.86			0.70
Total income (loss) from investment operations		0.92			0.72
Net asset value, end of period	$	18.56		$	17.64
Total Return ^		5.22%	**		4.26%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	38,610		$	104
Ratio of expenses to average daily net assets:
Before expense waiver		0.81%	*		0.79%	*
After expense waiver		0.69%	*#		0.69%	*#
Net investment income (loss) to average daily net assets		0.72%	*		0.77%	*
Portfolio turnover rate		16%	**		32%	~

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ Period from November 15, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

~ The portfolio turnover rate results are for the Fund.

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

219

MassMutual Select Mid-Cap Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	10.08		$	8.27		$	6.43		$	9.72		$	11.40		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.03			0.07			0.05			0.05			0.09			0.02
Net realized and unrealized gain (loss) on investments		0.67			1.81			1.84			(3.25	)		(1.10	)		1.41
Total income (loss) from investment operations		0.70			1.88			1.89			(3.20	)		(1.01	)		1.43
Less distributions to shareholders:
From net investment income		-			(0.07	)		(0.05	)		(0.08	)		(0.04	)		(0.02	)
From net realized gains		-			-			-			(0.00	) †		(0.63	)		(0.01	)
Tax return of capital		-			-			-			(0.01	)		-			-
Total distributions		-			(0.07	)		(0.05	)		(0.09	)		(0.67	)		(0.03	)
Net asset value, end of period	$	10.78		$	10.08		$	8.27		$	6.43		$	9.72		$	11.40
Total Return ^,^^		6.94%	**		22.77%			29.40%			(32.94%	)		(8.97%	)		14.27%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	5,857		$	5,748		$	6,145		$	4,444		$	9,490		$	497
Ratio of expenses to average daily net assets:
Before expense waiver		1.29%	*		1.32%			1.33%			1.30%			1.30%			2.02%	*
After expense waiver		N/A			N/A			N/A			N/A			N/A			1.38%	*#
Net investment income (loss) to average daily net assets		0.56%	*		0.82%			0.74%			0.56%			0.82%			0.45%	*
Portfolio turnover rate		50%	**		143%			66%			34%			49%			7%	**
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	10.10		$	8.29		$	6.44		$	9.75		$	11.42		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.04			0.10			0.07			0.07			0.11			0.05
Net realized and unrealized gain (loss) on investments		0.65			1.81			1.84			(3.27	)		(1.10	)		1.39
Total income (loss) from investment operations		0.69			1.91			1.91			(3.20	)		(0.99	)		1.44
Less distributions to shareholders:
From net investment income		-			(0.10	)		(0.06	)		(0.09	)		(0.05	)		(0.01	)
From net realized gains		-			-			-			(0.00	) †		(0.63	)		(0.01	)
Tax return of capital		-			-			-			(0.02	)		-			-
Total distributions		-			(0.10	)		(0.06	)		(0.11	)		(0.68	)		(0.02	)
Net asset value, end of period	$	10.79		$	10.10		$	8.29		$	6.44		$	9.75		$	11.42
Total Return ^		6.83%	**		23.10%			29.70%			(32.77%	)		(8.74%	)		14.47%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	4,202		$	42,178		$	37,197		$	32,488		$	74,131		$	1,628
Ratio of expenses to average daily net assets:
Before expense waiver		1.04%	*		1.07%			1.08%			1.05%			1.05%			1.77%	*
After expense waiver		N/A			N/A			N/A			N/A			N/A			1.13%	*#
Net investment income (loss) to average daily net assets		0.75%	*		1.09%			0.96%			0.81%			0.95%			1.31%	*
Portfolio turnover rate		50%	**		143%			66%			34%			49%			7%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period August 29, 2006 (commencement of operations) through December 31, 2006.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

220

MassMutual Select Mid-Cap Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	10.12		$	8.30		$	6.43		$	9.75		$	11.43		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.05			0.12			0.07			0.09			0.17			0.03
Net realized and unrealized gain (loss) on investments		0.67			1.82			1.85			(3.28	)		(1.15	)		1.40
Total income (loss) from investment operations		0.72			1.94			1.92			(3.19	)		(0.98	)		1.43
Less distributions to shareholders:
From net investment income		-			(0.12	)		(0.05	)		(0.11	)		(0.07	)		-
From net realized gains		-			-			-			(0.00	) †		(0.63	)		-
Tax return of capital		-			-			-			(0.02	)		-			-
Total distributions		-			(0.12	)		(0.05	)		(0.13	)		(0.70	)		-
Net asset value, end of period	$	10.84		$	10.12		$	8.30		$	6.43		$	9.75		$	11.43
Total Return ^		7.11%	**		23.42%			29.94%			(32.67%	)		(8.66%	)		14.42%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	1,533		$	1,061		$	470		$	2,174		$	1,163		$	0	†††
Ratio of expenses to average daily net assets:
Before expense waiver		0.89%	*		0.92%			0.93%			0.90%			0.90%			1.62%	*
After expense waiver		N/A			N/A			N/A			N/A			N/A			0.98%	*#
Net investment income (loss) to average daily net assets		1.00%	*		1.31%			1.12%			1.14%			1.45%			0.68%	*
Portfolio turnover rate		50%	**		143%			66%			34%			49%			7%	**
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	10.09		$	8.28		$	6.43		$	9.75		$	11.42		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.06			0.12			0.08			0.09			0.14			0.06
Net realized and unrealized gain (loss) on investments		0.67			1.82			1.85			(3.27	)		(1.10	)		1.39
Total income (loss) from investment operations		0.73			1.94			1.93			(3.18	)		(0.96	)		1.45
Less distributions to shareholders:
From net investment income		-			(0.13	)		(0.08	)		(0.12	)		(0.08	)		(0.02	)
From net realized gains		-			-			-			(0.00	) †		(0.63	)		(0.01	)
Tax return of capital		-			-			-			(0.02	)		-			-
Total distributions		-			(0.13	)		(0.08	)		(0.14	)		(0.71	)		(0.03	)
Net asset value, end of period	$	10.82		$	10.09		$	8.28		$	6.43		$	9.75		$	11.42
Total Return ^		7.23%	**		23.43%			30.02%			(32.61%	)		(8.53%	)		14.50%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	144,609		$	91,957		$	71,351		$	60,858		$	123,216		$	60,708
Ratio of expenses to average daily net assets:
Before expense waiver		0.79%	*		0.82%			0.83%			0.80%			0.80%			1.52%	*
After expense waiver		N/A			N/A			N/A			N/A			N/A			0.88%	*#
Net investment income (loss) to average daily net assets		1.09%	*		1.36%			1.22%			1.07%			1.19%			1.51%	*
Portfolio turnover rate		50%	**		143%			66%			34%			49%			7%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

††† Amount is less than $500.

+ For the period August 29, 2006 (commencement of operations) through December 31, 2006.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

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

221

MassMutual Select Mid-Cap Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	10.07		$	8.27		$	6.44		$	9.75		$	11.41		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.01			0.05			0.03			0.03			(0.00	) †		(0.00	) †
Net realized and unrealized gain (loss) on investments		0.67			1.81			1.83			(3.26	)		(1.03	)		1.41
Total income (loss) from investment operations		0.68			1.86			1.86			(3.23	)		(1.03	)		1.41
Less distributions to shareholders:
From net investment income		-			(0.06	)		(0.03	)		(0.07	)		-			-
From net realized gains		-			-			-			(0.00	) †		(0.63	)		-
Tax return of capital		-			-			-			(0.01	)		-			-
Total distributions		-			(0.06	)		(0.03	)		(0.08	)		(0.63	)		-
Net asset value, end of period	$	10.75		$	10.07		$	8.27		$	6.44		$	9.75		$	11.41
Total Return ^,^^		6.75%	**		22.49%			29.06%			(33.23%	)		(9.13%	)		14.22%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	67		$	64		$	46		$	31		$	38		$	0	†††
Ratio of expenses to average daily net assets:
Before expense waiver		1.59%	*		1.62%			1.63%			1.60%			1.60%			2.32%	*
After expense waiver		N/A			N/A			N/A			N/A			N/A			1.68%	*#
Net investment income (loss) to average daily net assets		0.26%	*		0.58%			0.43%			0.32%			(0.00%	) ††		(0.02%	) *
Portfolio turnover rate		50%	**		143%			66%			34%			49%			7%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

†† Amount is less than 0.005%.

††† Amount is less than $500.

+ For the period August 29, 2006 (commencement of operations) through December 31, 2006.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

222

MassMutual Select Small Cap Value Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	9.44		$	7.40		$	6.14		$	9.34		$	10.90		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.01			0.03			0.09			0.18			0.10
Net realized and unrealized gain (loss) on investments		0.49			2.04			1.27			(3.21	)		(1.53	)		0.84
Total income (loss) from investment operations		0.48			2.05			1.30			(3.12	)		(1.35	)		0.94
Less distributions to shareholders:
From net investment income		-			(0.01	)		(0.04	)		(0.08	)		(0.13	)		(0.04	)
From net realized gains		-			-			-			(0.00	) †		(0.08	)		-
Tax return of capital		-			-			-			(0.00	) †		-			-
Total distributions		-			(0.01	)		(0.04	)		(0.08	)		(0.21	)		(0.04	)
Net asset value, end of period	$	9.92		$	9.44		$	7.40		$	6.14		$	9.34		$	10.90
Total Return ^,^^		5.08%	**		27.77%			21.11%			(33.30%	)		(12.35%	)		9.32%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	7,791		$	7,837		$	7,833		$	7,950		$	15,737		$	3,653
Ratio of expenses to average daily net assets:
Before expense waiver		1.35%	*		1.37%			1.39%			1.37%			1.35%			1.72%	*
After expense waiver		N/A			N/A			N/A			N/A			N/A			1.40%	*#
Net investment income (loss) to average daily net assets		(0.24%	) *		0.14%			0.56%			1.07%			1.74%			1.23%	*
Portfolio turnover rate		15%	**		39%			175%			110%			68%			63%	**
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	9.45		$	7.40		$	6.14		$	9.36		$	10.91		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.00	†		0.03			0.05			0.11			0.20			0.13
Net realized and unrealized gain (loss) on investments		0.48			2.06			1.26			(3.22	)		(1.53	)		0.83
Total income (loss) from investment operations		0.48			2.09			1.31			(3.11	)		(1.33	)		0.96
Less distributions to shareholders:
From net investment income		-			(0.04	)		(0.05	)		(0.11	)		(0.14	)		(0.05	)
From net realized gains		-			-			-			(0.00	) †		(0.08	)		-
Tax return of capital		-			-			-			(0.00	) †		-			-
Total distributions		-			(0.04	)		(0.05	)		(0.11	)		(0.22	)		(0.05	)
Net asset value, end of period	$	9.93		$	9.45		$	7.40		$	6.14		$	9.36		$	10.91
Total Return ^		5.08%	**		28.19%			21.39%			(33.12%	)		(12.22%	)		9.61%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	1,505		$	21,552		$	24,629		$	24,811		$	42,168		$	1,041
Ratio of expenses to average daily net assets:
Before expense waiver		1.10%	*		1.12%			1.14%			1.12%			1.10%			1.47%	*
After expense waiver		N/A			N/A			N/A			N/A			N/A			1.15%	*#
Net investment income (loss) to average daily net assets		0.04%	*		0.36%			0.81%			1.36%			1.91%			1.69%	*
Portfolio turnover rate		15%	**		39%			175%			110%			68%			63%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period March 31, 2006 (commencement of operations) through December 31, 2006.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

223

MassMutual Select Small Cap Value Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	9.45		$	7.40		$	6.14		$	9.36		$	10.91		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.01			0.04			0.06			0.12			0.24			0.10
Net realized and unrealized gain (loss) on investments		0.49			2.06			1.26			(3.22	)		(1.56	)		0.86
Total income (loss) from investment operations		0.50			2.10			1.32			(3.10	)		(1.32	)		0.96
Less distributions to shareholders:
From net investment income		-			(0.05	)		(0.06	)		(0.12	)		(0.15	)		(0.05	)
From net realized gains		-			-			-			(0.00	) †		(0.08	)		-
Tax return of capital		-			-			-			(0.00	) †		-			-
Total distributions		-			(0.05	)		(0.06	)		(0.12	)		(0.23	)		(0.05	)
Net asset value, end of period	$	9.95		$	9.45		$	7.40		$	6.14		$	9.36		$	10.91
Total Return ^		5.29%	**		28.35%			21.54%			(33.01%	)		(12.06%	)		9.61%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	3,816		$	4,734		$	4,496		$	4,679		$	9,343		$	2,402
Ratio of expenses to average daily net assets:
Before expense waiver		0.95%	*		0.97%			0.99%			0.97%			0.95%			1.32%	*
After expense waiver		N/A			N/A			N/A			N/A			N/A			1.00%	*#
Net investment income (loss) to average daily net assets		0.14%	*		0.49%			0.96%			1.47%			2.27%			1.34%	*
Portfolio turnover rate		15%	**		39%			175%			110%			68%			63%	**
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	9.45		$	7.41		$	6.14		$	9.37		$	10.91		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.01			0.06			0.06			0.13			0.24			0.11
Net realized and unrealized gain (loss) on investments		0.50			2.04			1.28			(3.23	)		(1.54	)		0.85
Total income (loss) from investment operations		0.51			2.10			1.34			(3.10	)		(1.30	)		0.96
Less distributions to shareholders:
From net investment income		-			(0.06	)		(0.07	)		(0.13	)		(0.16	)		(0.05	)
From net realized gains		-			-			-			(0.00	) †		(0.08	)		-
Tax return of capital		-			-			-			(0.00	) †		-			-
Total distributions		-			(0.06	)		(0.07	)		(0.13	)		(0.24	)		(0.05	)
Net asset value, end of period	$	9.96		$	9.45		$	7.41		$	6.14		$	9.37		$	10.91
Total Return ^		5.40%	**		28.36%			21.83%			(32.97%	)		(12.02%	)		9.74%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	97,410		$	67,913		$	62,397		$	55,899		$	90,057		$	29,939
Ratio of expenses to average daily net assets:
Before expense waiver		0.85%	*		0.87%			0.89%			0.87%			0.85%			1.22%	*
After expense waiver		N/A			N/A			N/A			N/A			N/A			0.95%	*#
Net investment income (loss) to average daily net assets		0.25%	*		0.73%			1.06%			1.58%			2.21%			1.40%	*
Portfolio turnover rate		15%	**		39%			175%			110%			68%			63%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period March 31, 2006 (commencement of operations) through December 31, 2006.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

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

224

MassMutual Select Small Cap Value Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	9.46		$	7.43		$	6.16	$	9.34		$	10.91		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.03	)		(0.01	)		0.02		0.06			0.16			0.04
Net realized and unrealized gain (loss) on investments		0.50			2.04			1.25		(3.18	)		(1.54	)		0.87
Total income (loss) from investment operations		0.47			2.03			1.27		(3.12	)		(1.38	)		0.91
Less distributions to shareholders:
From net investment income		-			(0.00	) †		-		(0.06	)		(0.11	)		-
From net realized gains		-			-			-		(0.00	) †		(0.08	)		-
Tax return of capital		-			-			-		(0.00	) †		-			-
Total distributions		-			(0.00	) †		-		(0.06	)		(0.19	)		-
Net asset value, end of period	$	9.93		$	9.46		$	7.43	$	6.16		$	9.34		$	10.91
Total Return ^,^^		4.97%	**		27.34%			20.81%		(33.49%	)		(12.64%	)		9.10%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	17		$	20		$	15	$	197		$	284		$	109
Ratio of expenses to average daily net assets:
Before expense waiver		1.65%	*		1.67%			1.69%		1.67%			1.65%			2.02%	*
After expense waiver		N/A			N/A			N/A		N/A			N/A			1.70%	*#
Net investment income (loss) to average daily net assets		(0.53%	) *		(0.09%	)		0.28%		0.76%			1.52%			0.50%	*
Portfolio turnover rate		15%	**		39%			175%		110%			68%			63%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period March 31, 2006 (commencement of operations) through December 31, 2006.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

225

MassMutual Select Small Company Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	13.41		$	10.97		$	8.67		$	12.59		$	15.32		$	14.28
Income (loss) from investment operations:
Net investment income (loss) ***		(0.02	)		0.00	†		0.02			0.02			0.02			(0.03	)
Net realized and unrealized gain (loss) on investments		0.72			2.49			2.31			(3.53	)		(0.36	)		2.07
Total income (loss) from investment operations		0.70			2.49			2.33			(3.51	)		(0.34	)		2.04
Less distributions to shareholders:
From net investment income		-			(0.05	)		(0.03	)		-			-			-
From net realized gains		-			-			-			(0.41	)		(2.39	)		(1.00	)
Total distributions		-			(0.05	)		(0.03	)		(0.41	)		(2.39	)		(1.00	)
Net asset value, end of period	$	14.11		$	13.41		$	10.97		$	8.67		$	12.59		$	15.32
Total Return ^,^^		5.22%	**		22.68%			26.90%			(27.94%	)		(2.09%	)		14.46%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	121,737		$	119,084		$	92,728		$	84,721		$	132,697		$	174,732
Ratio of expenses to average daily net assets:
Before expense waiver		1.57%	*		1.50%			1.50%			1.49%			1.49%			1.49%
After expense waiver		1.49%	*#		1.49%	#		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		(0.22%	) *		0.04%			0.19%			0.14%			0.11%			(0.18%	)
Portfolio turnover rate		16%	**		43%			30%			37%			39%			50%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	13.60		$	11.11		$	8.78		$	12.70		$	15.43		$	14.34
Income (loss) from investment operations:
Net investment income (loss) ***		0.00	†		0.03			0.04			0.04			0.05			0.01
Net realized and unrealized gain (loss) on investments		0.72			2.53			2.34			(3.55	)		(0.36	)		2.08
Total income (loss) from investment operations		0.72			2.56			2.38			(3.51	)		(0.31	)		2.09
Less distributions to shareholders:
From net investment income		-			(0.07	)		(0.05	)		-			(0.03	)		-
From net realized gains		-			-			-			(0.41	)		(2.39	)		(1.00	)
Total distributions		-			(0.07	)		(0.05	)		(0.41	)		(2.42	)		(1.00	)
Net asset value, end of period	$	14.32		$	13.60		$	11.11		$	8.78		$	12.70		$	15.43
Total Return ^		5.29%	**		23.08%			27.17%			(27.70%	)		(1.89%	)		14.75%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	42,764		$	52,437		$	52,856		$	46,039		$	103,887		$	163,441
Ratio of expenses to average daily net assets:
Before expense waiver		1.32%	*		1.25%			1.25%			1.24%			1.24%			1.24%
After expense waiver		1.24%	*#		1.24%	#		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		0.02%	*		0.27%			0.45%			0.36%			0.32%			0.07%
Portfolio turnover rate		16%	**		43%			30%			37%			39%			50%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

226

MassMutual Select Small Company Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	13.70		$	11.19		$	8.83		$	12.80		$	15.53		$	14.41
Income (loss) from investment operations:
Net investment income (loss) ***		0.01			0.05			0.06			0.06			0.07			0.04
Net realized and unrealized gain (loss) on investments		0.72			2.55			2.37			(3.60	)		(0.36	)		2.09
Total income (loss) from investment operations		0.73			2.60			2.43			(3.54	)		(0.29	)		2.13
Less distributions to shareholders:
From net investment income		-			(0.09	)		(0.07	)		(0.02	)		(0.05	)		(0.01	)
From net realized gains		-			-			-			(0.41	)		(2.39	)		(1.00	)
Total distributions		-			(0.09	)		(0.07	)		(0.43	)		(2.44	)		(1.01	)
Net asset value, end of period	$	14.43		$	13.70		$	11.19		$	8.83		$	12.80		$	15.53
Total Return ^		5.33%	**		23.23%			27.52%			(27.72%	)		(1.72%	)		14.93%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	67,545		$	67,430		$	77,398		$	73,216		$	100,730		$	174,630
Ratio of expenses to average daily net assets:
Before expense waiver		1.17%	*		1.10%			1.10%			1.09%			1.09%			1.09%
After expense waiver		1.09%	*#		1.09%	#		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		0.18%	*		0.42%			0.60%			0.55%			0.47%			0.22%
Portfolio turnover rate		16%	**		43%			30%			37%			39%			50%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	13.74		$	11.23		$	8.87		$	12.84		$	15.58		$	14.46
Income (loss) from investment operations:
Net investment income (loss) ***		0.02			0.06			0.06			0.07			0.09			0.04
Net realized and unrealized gain (loss) on investments		0.73			2.55			2.37			(3.61	)		(0.38	)		2.09
Total income (loss) from investment operations		0.75			2.61			2.43			(3.54	)		(0.29	)		2.13
Less distributions to shareholders:
From net investment income		-			(0.10	)		(0.07	)		(0.02	)		(0.06	)		(0.01	)
From net realized gains		-			-			-			(0.41	)		(2.39	)		(1.00	)
Total distributions		-			(0.10	)		(0.07	)		(0.43	)		(2.45	)		(1.01	)
Net asset value, end of period	$	14.49		$	13.74		$	11.23		$	8.87		$	12.84		$	15.58
Total Return ^		5.46%	**		23.25%			27.45%			(27.65%	)		(1.68%	)		14.97%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	297,739		$	307,184		$	232,379		$	186,899		$	241,742		$	288,826
Ratio of expenses to average daily net assets:
Before expense waiver		1.13%	*		1.06%			1.06%			1.05%			1.05%			1.05%
After expense waiver		1.05%	*#		1.05%	#		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		0.22%	*		0.48%			0.63%			0.59%			0.58%			0.26%
Portfolio turnover rate		16%	**		43%			30%			37%			39%			50%

* Annualized.

** Percentage represents the results for the period and is 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.

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

227

MassMutual Select Small Company Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	13.05		$	10.67		$	8.44		$	12.31		$	15.08		$	14.11
Income (loss) from investment operations:
Net investment income (loss) ***		(0.04	)		(0.04	)		(0.01	)		(0.02	)		(0.02	)		(0.07	)
Net realized and unrealized gain (loss) on investments		0.70			2.43			2.25			(3.44	)		(0.36	)		2.04
Total income (loss) from investment operations		0.66			2.39			2.24			(3.46	)		(0.38	)		1.97
Less distributions to shareholders:
From net investment income		-			(0.01	)		(0.01	)		-			-			-
From net realized gains		-			-			-			(0.41	)		(2.39	)		(1.00	)
Total distributions		-			(0.01	)		(0.01	)		(0.41	)		(2.39	)		(1.00	)
Net asset value, end of period	$	13.71		$	13.05		$	10.67		$	8.44		$	12.31		$	15.08
Total Return ^,^^		5.06%	**		22.38%			26.49%			(28.18%	)		(2.40%	)		14.14%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	733		$	817		$	1,590		$	1,101		$	1,633		$	1,398
Ratio of expenses to average daily net assets:
Before expense waiver		1.87%	*		1.80%			1.80%			1.79%			1.79%			1.79%
After expense waiver		1.79%	*#		1.79%	#		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		(0.53%	) *		(0.34%	)		(0.10%	)		(0.16%	)		(0.13%	)		(0.48%	)
Portfolio turnover rate		16%	**		43%			30%			37%			39%			50%
	Class Z
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	13.72		$	12.74
Income (loss) from investment operations:
Net investment income (loss) ***		0.11			0.02
Net realized and unrealized gain (loss) on investments		0.65			1.07
Total income (loss) from investment operations		0.76			1.09
Less distributions to shareholders:
From net investment income		-			(0.11	)
Total distributions		-			(0.11	)
Net asset value, end of period	$	14.48		$	13.72
Total Return ^		5.54%	**		8.59%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	33,499		$	108
Ratio of expenses to average daily net assets:
Before expense waiver		0.96%	*		0.95%	*
After expense waiver		0.86%	*#		0.87%	*#
Net investment income (loss) to average daily net assets		1.62%	*		1.03%	*
Portfolio turnover rate		16%	**		43%	~

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

+ For the period November 15, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

~ The portfolio turnover rate results are for the Fund.

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

228

MassMutual Select Mid Cap Growth Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.35		$	8.33		$	6.00		$	11.35		$	10.35		$	9.82
Income (loss) from investment operations:
Net investment income (loss) ***		(0.05	)		(0.06	)		(0.04	)		(0.06	)		(0.08	)		0.02
Net realized and unrealized gain (loss) on investments		1.03			2.08			2.37			(5.29	)		1.08			0.53
Total income (loss) from investment operations		0.98			2.02			2.33			(5.35	)		1.00			0.55
Less distributions to shareholders:
From net investment income		-			-			-			-			-			(0.02	)
Total distributions		-			-			-			-			-			(0.02	)
Net asset value, end of period	$	11.33		$	10.35		$	8.33		$	6.00		$	11.35		$	10.35
Total Return ^,^^		9.47%	**		24.25%			38.83%			(47.14%	)		9.66%			5.47%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	3,879		$	10,899		$	13,208		$	10,726		$	27,120		$	30,406
Ratio of expenses to average daily net assets		1.42%	*		1.38%			1.37%			1.35%			1.30%			1.31%
Net investment income (loss) to average daily net assets		(0.94%	) *		(0.72%	)		(0.65%	)		(0.69%	)		(0.72%	)		0.18%
Portfolio turnover rate		56%	**		109%			143%			151%			193%			130%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.64		$	8.54		$	6.14		$	11.58		$	10.53		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.04	)		(0.04	)		(0.03	)		(0.04	)		(0.05	)		0.05
Net realized and unrealized gain (loss) on investments		1.03			2.14			2.43			(5.40	)		1.10			0.52
Total income (loss) from investment operations		0.99			2.10			2.40			(5.44	)		1.05			0.57
Less distributions to shareholders:
From net investment income		-			-			-			-			-			(0.04	)
Total distributions		-			-			-			-			-			(0.04	)
Net asset value, end of period	$	11.63		$	10.64		$	8.54		$	6.14		$	11.58		$	10.53
Total Return ^		9.40%	**		24.59%			39.09%			(46.98%	)		9.97%			5.74%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	362		$	19,805		$	17,502		$	16,919		$	38,904		$	33,742
Ratio of expenses to average daily net assets		1.17%	*		1.13%			1.12%			1.10%			1.05%			1.06%
Net investment income (loss) to average daily net assets		(0.67%	) *		(0.45%	)		(0.40%	)		(0.44%	)		(0.48%	)		0.43%
Portfolio turnover rate		56%	**		109%			143%			151%			193%			130%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

229

MassMutual Select Mid Cap Growth Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.80		$	8.66		$	6.21		$	11.70		$	10.62		$	10.08
Income (loss) from investment operations:
Net investment income (loss) ***		(0.03	)		(0.03	)		(0.02	)		(0.03	)		(0.03	)		0.06
Net realized and unrealized gain (loss) on investments		1.08			2.17			2.47			(5.46	)		1.11			0.54
Total income (loss) from investment operations		1.05			2.14			2.45			(5.49	)		1.08			0.60
Less distributions to shareholders:
From net investment income		-			-			-			-			-			(0.06	)
Total distributions		-			-			-			-			-			(0.06	)
Net asset value, end of period	$	11.85		$	10.80		$	8.66		$	6.21		$	11.70		$	10.62
Total Return ^		9.72%	**		24.71%			39.45%			(46.92%	)		10.17%			5.90%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	753		$	2,078		$	1,705		$	3,326		$	5,944		$	19,475
Ratio of expenses to average daily net assets		1.02%	*		0.98%			0.98%			0.95%			0.90%			0.91%
Net investment income (loss) to average daily net assets		(0.53%	) *		(0.29%	)		(0.25%	)		(0.28%	)		(0.30%	)		0.55%
Portfolio turnover rate		56%	**		109%			143%			151%			193%			130%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.86		$	8.70		$	6.24		$	11.74		$	10.65		$	10.12
Income (loss) from investment operations:
Net investment income (loss) ***		(0.03	)		(0.02	)		(0.01	)		(0.02	)		(0.03	)		0.06
Net realized and unrealized gain (loss) on investments		1.08			2.18			2.47			(5.48	)		1.12			0.54
Total income (loss) from investment operations		1.05			2.16			2.46			(5.50	)		1.09			0.60
Less distributions to shareholders:
From net investment income		-			-			-			-			-			(0.07	)
Total distributions		-			-			-			-			-			(0.07	)
Net asset value, end of period	$	11.91		$	10.86		$	8.70		$	6.24		$	11.74		$	10.65
Total Return ^		9.67%	**		24.83%			39.42%			(46.85%	)		10.23%			5.97%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	36,629		$	33,324		$	43,513		$	41,539		$	86,268		$	68,251
Ratio of expenses to average daily net assets		0.95%	*		0.91%			0.90%			0.88%			0.83%			0.84%
Net investment income (loss) to average daily net assets		(0.45%	) *		(0.26%	)		(0.18%	)		(0.23%	)		(0.26%	)		0.59%
Portfolio turnover rate		56%	**		109%			143%			151%			193%			130%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

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

230

MassMutual Select Mid Cap Growth Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.09		$	8.15		$	5.89		$	11.17		$	10.21		$	9.71
Income (loss) from investment operations:
Net investment income (loss) ***		(0.07	)		(0.09	)		(0.06	)		(0.09	)		(0.11	)		(0.00	) †
Net realized and unrealized gain (loss) on investments		1.01			2.03			2.32			(5.19	)		1.07			0.50
Total income (loss) from investment operations		0.94			1.94			2.26			(5.28	)		0.96			0.50
Net asset value, end of period	$	11.03		$	10.09		$	8.15		$	5.89		$	11.17		$	10.21
Total Return ^,^^		9.32%	**		23.80%			38.37%			(47.27%	)		9.40%			5.15%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	199		$	191		$	250		$	185		$	336		$	246
Ratio of expenses to average daily net assets		1.72%	*		1.68%			1.67%			1.65%			1.60%			1.61%
Net investment income (loss) to average daily net assets		(1.22%	) *		(1.01%	)		(0.95%	)		(0.98%	)		(1.02%	)		(0.01%	)
Portfolio turnover rate		56%	**		109%			143%			151%			193%			130%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

231

MassMutual Select Mid Cap Growth Equity II Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	14.96		$	11.74		$	8.14		$	14.75		$	14.05		$	14.13
Income (loss) from investment operations:
Net investment income (loss) ***		(0.07	)		(0.10	)		(0.07	)		(0.08	)		(0.07	)		(0.04	)
Net realized and unrealized gain (loss) on investments		1.13			3.32			3.67			(5.92	)		2.26			1.01
Total income (loss) from investment operations		1.06			3.22			3.60			(6.00	)		2.19			0.97
Less distributions to shareholders:
From net realized gains		-			-			-			(0.61	)		(1.49	)		(1.05	)
Total distributions		-			-			-			(0.61	)		(1.49	)		(1.05	)
Net asset value, end of period	$	16.02		$	14.96		$	11.74		$	8.14		$	14.75		$	14.05
Total Return ^,^^		7.09%	**		27.43%			44.23%			(41.26%	)		15.74%			6.97%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	403,848		$	381,775		$	308,326		$	211,358		$	397,924		$	318,260
Ratio of expenses to average daily net assets:
Before expense waiver		1.45%	*		1.37%			1.36%			1.35%			1.34%			1.35%
After expense waiver		1.35%	*#		1.35%	#		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		(0.90%	) *		(0.77%	)		(0.75%	)		(0.67%	)		(0.47%	)		(0.29%	)
Portfolio turnover rate		21%	**		52%			55%			33%			41%			42%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	15.37		$	12.03		$	8.32		$	15.02		$	14.28		$	14.34
Income (loss) from investment operations:
Net investment income (loss) ***		(0.05	)		(0.07	)		(0.05	)		(0.05	)		(0.03	)		(0.01	)
Net realized and unrealized gain (loss) on investments		1.16			3.41			3.76			(6.04	)		2.29			1.04
Total income (loss) from investment operations		1.11			3.34			3.71			(6.09	)		2.26			1.03
Less distributions to shareholders:
From net realized gains		-			-			-			(0.61	)		(1.52	)		(1.09	)
Total distributions		-			-			-			(0.61	)		(1.52	)		(1.09	)
Net asset value, end of period	$	16.48		$	15.37		$	12.03		$	8.32		$	15.02		$	14.28
Total Return ^		7.22%	**		27.76%			44.59%			(41.12%	)		15.99%			7.28%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	442,301		$	450,117		$	362,500		$	258,165		$	546,924		$	531,194
Ratio of expenses to average daily net assets:
Before expense waiver		1.20%	*		1.12%			1.11%			1.10%			1.09%			1.10%
After expense waiver		1.10%	*#		1.10%	#		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		(0.65%	) *		(0.51%	)		(0.50%	)		(0.43%	)		(0.21%	)		(0.05%	)
Portfolio turnover rate		21%	**		52%			55%			33%			41%			42%

* Annualized.

** Percentage represents the results for the period and is 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.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

232

MassMutual Select Mid Cap Growth Equity II Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	15.63		$	12.22		$	8.43		$	15.19		$	14.43		$	14.48
Income (loss) from investment operations:
Net investment income (loss) ***		(0.04	)		(0.05	)		(0.03	)		(0.04	)		(0.01	)		0.01
Net realized and unrealized gain (loss) on investments		1.18			3.46			3.82			(6.11	)		2.32			1.06
Total income (loss) from investment operations		1.14			3.41			3.79			(6.15	)		2.31			1.07
Less distributions to shareholders:
From net realized gains		-			-			-			(0.61	)		(1.55	)		(1.12	)
Total distributions		-			-			-			(0.61	)		(1.55	)		(1.12	)
Net asset value, end of period	$	16.77		$	15.63		$	12.22		$	8.43		$	15.19		$	14.43
Total Return ^		7.29%	**		27.91%			44.96%			(41.05%	)		16.15%			7.45%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	223,288		$	207,536		$	161,421		$	105,886		$	229,983		$	178,542
Ratio of expenses to average daily net assets:
Before expense waiver		1.05%	*		0.97%			0.96%			0.95%			0.94%			0.95%
After expense waiver		0.95%	*#		0.95%	#		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		(0.50%	) *		(0.36%	)		(0.34%	)		(0.28%	)		(0.07%	)		0.10%
Portfolio turnover rate		21%	**		52%			55%			33%			41%			42%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	15.76		$	12.31		$	8.49		$	15.28		$	14.50		$	14.54
Income (loss) from investment operations:
Net investment income (loss) ***		(0.03	)		(0.04	)		(0.03	)		(0.02	)		(0.00	) †		0.03
Net realized and unrealized gain (loss) on investments		1.19			3.49			3.85			(6.16	)		2.34			1.05
Total income (loss) from investment operations		1.16			3.45			3.82			(6.18	)		2.34			1.08
Less distributions to shareholders:
From net investment income		-			-			(0.00	) †		-			-			-
From net realized gains		-			-			-			(0.61	)		(1.56	)		(1.12	)
Total distributions		-			-			(0.00	) †		(0.61	)		(1.56	)		(1.12	)
Net asset value, end of period	$	16.92		$	15.76		$	12.31		$	8.49		$	15.28		$	14.50
Total Return ^		7.36%	**		28.03%			45.00%			(41.00%	)		16.32%			7.55%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	530,360		$	536,407		$	364,961		$	221,677		$	398,427		$	229,547
Ratio of expenses to average daily net assets:
Before expense waiver		0.96%	*		0.88%			0.87%			0.86%			0.86%			0.86%
After expense waiver		0.86%	*#		0.86%	#		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		(0.41%	) *		(0.26%	)		(0.26%	)		(0.18%	)		(0.03%	)		0.21%
Portfolio turnover rate		21%	**		52%			55%			33%			41%			42%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

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

233

MassMutual Select Mid Cap Growth Equity II Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	14.56		$	11.46		$	7.97		$	14.50		$	13.84		$	13.95
Income (loss) from investment operations:
Net investment income (loss) ***		(0.09	)		(0.13	)		(0.10	)		(0.12	)		(0.12	)		(0.09	)
Net realized and unrealized gain (loss) on investments		1.10			3.23			3.59			(5.80	)		2.22			1.01
Total income (loss) from investment operations		1.01			3.10			3.49			(5.92	)		2.10			0.92
Less distributions to shareholders:
From net realized gains		-			-			-			(0.61	)		(1.44	)		(1.03	)
Total distributions		-			-			-			(0.61	)		(1.44	)		(1.03	)
Net asset value, end of period	$	15.57		$	14.56		$	11.46		$	7.97		$	14.50		$	13.84
Total Return ^,^^		6.94%	**		27.05%			43.79%			(41.42%	)		15.36%			6.68%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	2,608		$	2,446		$	2,117		$	1,207		$	3,923		$	2,674
Ratio of expenses to average daily net assets:
Before expense waiver		1.75%	*		1.67%			1.66%			1.65%			1.65%			1.65%
After expense waiver		1.65%	*#		1.65%	#		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		(1.20%	) *		(1.07%	)		(1.05%	)		(0.97%	)		(0.79%	)		(0.63%	)
Portfolio turnover rate		21%	**		52%			55%			33%			41%			42%
	Class Z
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	15.76		$	14.67
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		(0.00	) †
Net realized and unrealized gain (loss) on investments		1.19			1.09
Total income (loss) from investment operations		1.18			1.09
Net asset value, end of period	$	16.94		$	15.76
Total Return ^		7.49%	**		7.43%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	83,258		$	108
Ratio of expenses to average daily net assets:
Before expense waiver		0.85%	*		0.85%	*
After expense waiver		0.73%	*#		0.75%	*#
Net investment income (loss) to average daily net assets		(0.11%	) *		(0.02%	) *
Portfolio turnover rate		21%	**		52%	~

* Annualized.

** Percentage represents results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period November 15, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

~ The portfolio turnover rate results are for the Fund.

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

234

MassMutual Select Small Cap Growth Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	16.23		$	13.38		$	9.65		$	16.09		$	15.98		$	15.72
Income (loss) from investment operations:
Net investment income (loss) ***		(0.10	)		(0.15	)		(0.11	)		(0.06	)		(0.14	)		(0.13	)
Net realized and unrealized gain (loss) on investments		1.54			3.14			3.84			(6.38	)		1.63			1.53
Total income (loss) from investment operations		1.44			2.99			3.73			(6.44	)		1.49			1.40
Less distributions to shareholders:
From net realized gains		-			(0.14	)		-			-			(1.38	)		(1.14	)
Tax return of capital		-			-			-			-			(0.00	) †		-
Total distributions		-			(0.14	)		-			-			(1.38	)		(1.14	)
Net asset value, end of period	$	17.67		$	16.23		$	13.38		$	9.65		$	16.09		$	15.98
Total Return ^,^^		8.87%	**		22.39%			38.65%			(40.02%	)		9.58%			8.91%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	97,845		$	91,525		$	75,428		$	60,323		$	112,757		$	114,136
Ratio of expenses to average daily net assets:
Before expense waiver		1.56%	*		1.52%			1.53%			1.52%			1.51%			1.51%
After expense waiver		1.51%	*#		1.52%	##		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		(1.11%	) *		(1.02%	)		(1.05%	)		(0.42%	)		(0.81%	)		(0.80%	)
Portfolio turnover rate		45%	**		99%			91%			92%			70%			84%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	16.71		$	13.73		$	9.88		$	16.43		$	16.29		$	15.97
Income (loss) from investment operations:
Net investment income (loss) ***		(0.08	)		(0.11	)		(0.09	)		(0.02	)		(0.10	)		(0.09	)
Net realized and unrealized gain (loss) on investments		1.58			3.23			3.94			(6.53	)		1.67			1.55
Total income (loss) from investment operations		1.50			3.12			3.85			(6.55	)		1.57			1.46
Less distributions to shareholders:
From net realized gains		-			(0.14	)		-			-			(1.43	)		(1.14	)
Tax return of capital		-			-			-			-			(0.00	) †		-
Total distributions		-			(0.14	)		-			-			(1.43	)		(1.14	)
Net asset value, end of period	$	18.21		$	16.71		$	13.73		$	9.88		$	16.43		$	16.29
Total Return ^		8.98%	**		22.77%			38.97%			(39.90%	)		9.90%			9.15%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	57,073		$	61,655		$	59,458		$	60,124		$	111,010		$	92,914
Ratio of expenses to average daily net assets:
Before expense waiver		1.31%	*		1.27%			1.28%			1.27%			1.26%			1.26%
After expense waiver		1.26%	*#		1.27%	##		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		(0.86%	) *		(0.78%	)		(0.80%	)		(0.16%	)		(0.55%	)		(0.55%	)
Portfolio turnover rate		45%	**		99%			91%			92%			70%			84%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

235

MassMutual Select Small Cap Growth Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	17.00		$	13.94		$	10.02		$	16.64		$	16.48		$	16.11
Income (loss) from investment operations:
Net investment income (loss) ***		(0.06	)		(0.09	)		(0.07	)		(0.00	) †		(0.07	)		(0.07	)
Net realized and unrealized gain (loss) on investments		1.60			3.29			3.99			(6.62	)		1.68			1.58
Total income (loss) from investment operations		1.54			3.20			3.92			(6.62	)		1.61			1.51
Less distributions to shareholders:
From net realized gains		-			(0.14	)		-			-			(1.45	)		(1.14	)
Tax return of capital		-			-			-			-			(0.00	) †		-
Total distributions		-			(0.14	)		-			-			(1.45	)		(1.14	)
Net asset value, end of period	$	18.54		$	17.00		$	13.94		$	10.02		$	16.64		$	16.48
Total Return ^		9.06%	**		23.00%			39.12%			(39.78%	)		9.99%			9.32%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	96,262		$	82,815		$	86,922		$	69,313		$	121,462		$	133,777
Ratio of expenses to average daily net assets:
Before expense waiver		1.16%	*		1.12%			1.13%			1.12%			1.11%			1.11%
After expense waiver		1.11%	*#		1.12%	##		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		(0.71%	) *		(0.64%	)		(0.65%	)		(0.03%	)		(0.41%	)		(0.41%	)
Portfolio turnover rate		45%	**		99%			91%			92%			70%			84%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	17.25		$	14.13		$	10.14		$	16.82		$	16.64		$	16.24
Income (loss) from investment operations:
Net investment income (loss) ***		(0.05	)		(0.07	)		(0.06	)		0.01			(0.05	)		(0.04	)
Net realized and unrealized gain (loss) on investments		1.63			3.33			4.05			(6.69	)		1.71			1.58
Total income (loss) from investment operations		1.58			3.26			3.99			(6.68	)		1.66			1.54
Less distributions to shareholders:
From net realized gains		-			(0.14	)		-			-			(1.48	)		(1.14	)
Tax return of capital		-			-			-			-			(0.00	) †		-
Total distributions		-			(0.14	)		-			-			(1.48	)		(1.14	)
Net asset value, end of period	$	18.83		$	17.25		$	14.13		$	10.14		$	16.82		$	16.64
Total Return ^		9.16%	**		23.11%			39.35%			(39.71%	)		10.14%			9.49%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	622,727		$	575,724		$	263,305		$	178,508		$	341,265		$	284,413
Ratio of expenses to average daily net assets:
Before expense waiver		1.02%	*		0.98%			0.99%			0.98%			0.97%			0.97%
After expense waiver		0.97%	*#		0.98%	##		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		(0.57%	) *		(0.45%	)		(0.51%	)		0.10%			(0.26%	)		(0.26%	)
Portfolio turnover rate		45%	**		99%			91%			92%			70%			84%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

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

236

MassMutual Select Small Cap Growth Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	15.77		$	13.04		$	9.43		$	15.78		$	15.70		$	15.51
Income (loss) from investment operations:
Net investment income (loss) ***		(0.12	)		(0.18	)		(0.15	)		(0.11	)		(0.19	)		(0.18	)
Net realized and unrealized gain (loss) on investments		1.49			3.05			3.76			(6.24	)		1.61			1.51
Total income (loss) from investment operations		1.37			2.87			3.61			(6.35	)		1.42			1.33
Less distributions to shareholders:
From net realized gains		-			(0.14	)		-			-			(1.34	)		(1.14	)
Tax return of capital		-			-			-			-			(0.00	) †		-
Total distributions		-			(0.14	)		-			-			(1.34	)		(1.14	)
Net asset value, end of period	$	17.14		$	15.77		$	13.04		$	9.43		$	15.78		$	15.70
Total Return ^,^^		8.69%	**		22.05%			38.28%			(40.24%	)		9.28%			8.51%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	514		$	466		$	515		$	317		$	1,105		$	990
Ratio of expenses to average daily net assets:
Before expense waiver		1.86%	*		1.82%			1.83%			1.82%			1.81%			1.81%
After expense waiver		1.81%	*#		1.82%	##		N/A			N/A			N/A			N/A
Net investment income (loss) to average daily net assets		(1.41%	) *		(1.33%	)		(1.36%	)		(0.82%	)		(1.11%	)		(1.11%	)
Portfolio turnover rate		45%	**		99%			91%			92%			70%			84%
	Class Z
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	17.26		$	16.06
Income (loss) from investment operations:
Net investment income (loss) ***		(0.04	)		0.00	†
Net realized and unrealized gain (loss) on investments		1.63			1.34
Total income (loss) from investment operations		1.59			1.34
Less distributions to shareholders:
From net realized gains		-			(0.14	)
Total distributions		-			(0.14	)
Net asset value, end of period	$	18.85		$	17.26
Total Return ^		9.21%	**		8.38%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	37,032		$	108
Ratio of expenses to average daily net assets:
Before expense waiver		0.93%	*		0.94%	*
After expense waiver		0.87%	*#		0.89%	*#
Net investment income (loss) to average daily net assets		(0.45%	) *		0.11%	*
Portfolio turnover rate		45%	**		99%	~

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period November 15, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

## Amount had no impact on the ratio of expenses to average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

~ The portfolio turnover rate results are for the Fund.

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

237

MassMutual Select Small Company Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.58		$	7.21		$	5.51		$	9.78		$	10.40		$	9.69
Income (loss) from investment operations:
Net investment income (loss) ***		(0.06	)		(0.08	)		(0.04	)		(0.07	)		(0.11	)		(0.12	)
Net realized and unrealized gain (loss) on investments		1.12			2.45			1.74			(4.14	)		0.52			1.54
Total income (loss) from investment operations		1.06			2.37			1.70			(4.21	)		0.41			1.42
Less distributions to shareholders:
From net realized gains		-			-			-			(0.06	)		(1.03	)		(0.71	)
Total distributions		-			-			-			(0.06	)		(1.03	)		(0.71	)
Net asset value, end of period	$	10.64		$	9.58		$	7.21		$	5.51		$	9.78		$	10.40
Total Return ^,^^		11.06%	**		32.87%			30.85%			(43.26%	)		4.09%			14.95%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	11,661		$	13,123		$	13,340		$	13,367		$	49,662		$	69,380
Ratio of expenses to average daily net assets		1.57%	*		1.57%			1.61%			1.56%			1.53%			1.55%
Net investment income (loss) to average daily net assets		(1.26%	) *		(1.08%	)		(0.69%	)		(0.91%	)		(1.04%	)		(1.15%	)
Portfolio turnover rate		49%	**		98%			120%			129%			82%			102%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.83		$	7.38		$	5.63		$	9.96		$	10.57		$	9.81
Income (loss) from investment operations:
Net investment income (loss) ***		(0.05	)		(0.06	)		(0.03	)		(0.05	)		(0.09	)		(0.09	)
Net realized and unrealized gain (loss) on investments		1.14			2.51			1.78			(4.22	)		0.54			1.56
Total income (loss) from investment operations		1.09			2.45			1.75			(4.27	)		0.45			1.47
Less distributions to shareholders:
From net realized gains		-			-			-			(0.06	)		(1.06	)		(0.71	)
Total distributions		-			-			-			(0.06	)		(1.06	)		(0.71	)
Net asset value, end of period	$	10.92		$	9.83		$	7.38		$	5.63		$	9.96		$	10.57
Total Return ^		11.09%	**		33.20%			31.08%			(43.08%	)		4.39%			15.28%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	5,798		$	17,323		$	10,178		$	8,625		$	36,372		$	31,256
Ratio of expenses to average daily net assets		1.32%	*		1.32%			1.36%			1.31%			1.28%			1.30%
Net investment income (loss) to average daily net assets		(1.02%	) *		(0.78%	)		(0.43%	)		(0.64%	)		(0.78%	)		(0.89%	)
Portfolio turnover rate		49%	**		98%			120%			129%			82%			102%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

238

MassMutual Select Small Company Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.96		$	7.46		$	5.68		$	10.05		$	10.65		$	9.87
Income (loss) from investment operations:
Net investment income (loss) ***		(0.05	)		(0.06	)		(0.04	)		(0.04	)		(0.07	)		(0.08	)
Net realized and unrealized gain (loss) on investments		1.18			2.56			1.82			(4.27	)		0.54			1.57
Total income (loss) from investment operations		1.13			2.50			1.78			(4.31	)		0.47			1.49
Less distributions to shareholders:
From net realized gains		-			-			-			(0.06	)		(1.07	)		(0.71	)
Total distributions		-			-			-			(0.06	)		(1.07	)		(0.71	)
Net asset value, end of period	$	11.09		$	9.96		$	7.46		$	5.68		$	10.05		$	10.65
Total Return ^		11.35%	**		33.51%			31.34%			(43.10%	)		4.55%			15.39%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	3,161		$	2,659		$	4,130		$	10,027		$	9,779		$	20,226
Ratio of expenses to average daily net assets		1.17%	*		1.17%			1.21%			1.16%			1.13%			1.15%
Net investment income (loss) to average daily net assets		(0.86%	) *		(0.73%	)		(0.58%	)		(0.53%	)		(0.65%	)		(0.73%	)
Portfolio turnover rate		49%	**		98%			120%			129%			82%			102%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.01		$	7.49		$	5.70		$	10.07		$	10.69		$	9.90
Income (loss) from investment operations:
Net investment income (loss) ***		(0.04	)		(0.05	)		(0.02	)		(0.04	)		(0.07	)		(0.07	)
Net realized and unrealized gain (loss) on investments		1.17			2.57			1.81			(4.27	)		0.54			1.57
Total income (loss) from investment operations		1.13			2.52			1.79			(4.31	)		0.47			1.50
Less distributions to shareholders:
From net realized gains		-			-			-			(0.06	)		(1.09	)		(0.71	)
Total distributions		-			-			-			(0.06	)		(1.09	)		(0.71	)
Net asset value, end of period	$	11.14		$	10.01		$	7.49		$	5.70		$	10.07		$	10.69
Total Return ^		11.29%	**		33.64%			31.40%			(43.07%	)		4.60%			15.44%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	49,367		$	30,487		$	21,869		$	21,210		$	49,168		$	39,194
Ratio of expenses to average daily net assets		1.13%	*		1.13%			1.17%			1.12%			1.09%			1.11%
Net investment income (loss) to average daily net assets		(0.82%	) *		(0.60%	)		(0.25%	)		(0.48%	)		(0.60%	)		(0.70%	)
Portfolio turnover rate		49%	**		98%			120%			129%			82%			102%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

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

239

MassMutual Select Small Company Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.33		$	7.04		$	5.40		$	9.61		$	10.20		$	9.54
Income (loss) from investment operations:
Net investment income (loss) ***		(0.08	)		(0.10	)		(0.06	)		(0.09	)		(0.14	)		(0.15	)
Net realized and unrealized gain (loss) on investments		1.10			2.39			1.70			(4.06	)		0.51			1.52
Total income (loss) from investment operations		1.02			2.29			1.64			(4.15	)		0.37			1.37
Less distributions to shareholders:
From net realized gains		-			-			-			(0.06	)		(0.96	)		(0.71	)
Total distributions		-			-			-			(0.06	)		(0.96	)		(0.71	)
Net asset value, end of period	$	10.35		$	9.33		$	7.04		$	5.40		$	9.61		$	10.20
Total Return ^,^^		10.93%	**		32.53%			30.37%			(43.46%	)		3.85%			14.66%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	314		$	249		$	159		$	154		$	391		$	786
Ratio of expenses to average daily net assets		1.87%	*		1.87%			1.91%			1.86%			1.83%			1.85%
Net investment income (loss) to average daily net assets		(1.56%	) *		(1.33%	)		(0.98%	)		(1.21%	)		(1.34%	)		(1.44%	)
Portfolio turnover rate		49%	**		98%			120%			129%			82%			102%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

240

MassMutual Select Diversified International Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	7.05		$	6.91		$	4.95		$	10.48		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.10			0.08			0.11			0.24			0.14			0.00	†
Net realized and unrealized gain (loss) on investments		(0.01	)		0.25			1.85			(5.77	)		0.70			0.07
Total income (loss) from investment operations		0.09			0.33			1.96			(5.53	)		0.84			0.07
Less distributions to shareholders:
From net investment income		-			(0.19	)		-			-			(0.21	)		(0.01	)
From net realized gains		-			-			-			-			(0.21	)		-
Total distributions		-			(0.19	)		-			-			(0.42	)		(0.01	)
Net asset value, end of period	$	7.14		$	7.05		$	6.91		$	4.95		$	10.48		$	10.06
Total Return ^,^^		1.28%	**		4.90%			39.60%			(52.77%	)		8.38%			0.68%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	1,251		$	1,296		$	1,721		$	40,897		$	394		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		1.62%	*		1.61%			1.60%			1.56%			1.59%			8.81%	*
After expense waiver		1.42%	*#		1.42%	#		1.42%	#		1.42%	#		1.42%	#		1.42%	*#
Net investment income (loss) to average daily net assets		2.71%	*		1.17%			2.10%			3.00%			1.30%			0.97%	*
Portfolio turnover rate		103%	**		65%			61%			34%			18%			0%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	7.06		$	6.93		$	4.97		$	10.50		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.11			0.09			0.11			0.23			0.20			0.01
Net realized and unrealized gain (loss) on investments		(0.02	)		0.26			1.90			(5.76	)		0.66			0.06
Total income (loss) from investment operations		0.09			0.35			2.01			(5.53	)		0.86			0.07
Less distributions to shareholders:
From net investment income		-			(0.22	)		(0.05	)		-			(0.21	)		(0.01	)
From net realized gains		-			-			-			-			(0.21	)		-
Total distributions		-			(0.22	)		(0.05	)		-			(0.42	)		(0.01	)
Net asset value, end of period	$	7.15		$	7.06		$	6.93		$	4.97		$	10.50		$	10.06
Total Return ^		1.27%	**		5.06%			40.55%			(52.67%	)		8.66%			0.70%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	2,159		$	33,000		$	32,559		$	23,604		$	48,459		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		1.37%	*		1.36%			1.35%			1.31%			1.34%			8.56%	*
After expense waiver		1.17%	*#		1.17%	#		1.17%	#		1.17%	#		1.17%	#		1.17%	*#
Net investment income (loss) to average daily net assets		3.01%	*		1.38%			1.98%			2.76%			1.88%			1.23%	*
Portfolio turnover rate		103%	**		65%			61%			34%			18%			0%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period December 14, 2006 (commencement of operations) through December 31, 2006.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

241

MassMutual Select Diversified International Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	7.06		$	6.93		$	4.97		$	10.49		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.11			0.10			0.11			0.12			0.15			0.01
Net realized and unrealized gain (loss) on investments		0.00	†		0.25			1.91			(5.64	)		0.72			0.06
Total income (loss) from investment operations		0.11			0.35			2.02			(5.52	)		0.87			0.07
Less distributions to shareholders:
From net investment income		-			(0.22	)		(0.06	)		-			(0.23	)		(0.01	)
From net realized gains		-			-			-			-			(0.21	)		-
Total distributions		-			(0.22	)		(0.06	)		-			(0.44	)		(0.01	)
Net asset value, end of period	$	7.17		$	7.06		$	6.93		$	4.97		$	10.49		$	10.06
Total Return ^		1.42%	**		5.15%			40.65%			(52.62%	)		8.73%			0.70%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	7,582		$	7,467		$	7,034		$	5,478		$	846		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		1.22%	*		1.21%			1.20%			1.16%			1.19%			8.41%	*
After expense waiver		1.09%	*#		1.09%	#		1.09%	#		1.09%	#		1.09%	#		1.09%	*#
Net investment income (loss) to average daily net assets		3.03%	*		1.46%			1.93%			1.83%			1.37%			1.32%	*
Portfolio turnover rate		103%	**		65%			61%			34%			18%			0%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	7.08		$	6.94		$	4.98		$	10.50		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.11			0.10			0.11			0.25			0.21			0.01
Net realized and unrealized gain (loss) on investments		(0.01	)		0.27			1.92			(5.77	)		0.67			0.06
Total income (loss) from investment operations		0.10			0.37			2.03			(5.52	)		0.88			0.07
Less distributions to shareholders:
From net investment income		-			(0.23	)		(0.07	)		-			(0.23	)		(0.01	)
From net realized gains		-			-			-			-			(0.21	)		-
Total distributions		-			(0.23	)		(0.07	)		-			(0.44	)		(0.01	)
Net asset value, end of period	$	7.18		$	7.08		$	6.94		$	4.98		$	10.50		$	10.06
Total Return ^		1.41%	**		5.39%			40.70%			(52.57%	)		8.86%			0.70%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	142,038		$	102,970		$	93,253		$	60,987		$	114,090		$	11,404
Ratio of expenses to average daily net assets:
Before expense waiver		1.12%	*		1.11%			1.10%			1.06%			1.09%			8.30%	*
After expense waiver		0.99%	*#		0.99%	#		0.99%	#		0.99%	#		0.99%	#		0.99%	*#
Net investment income (loss) to average daily net assets		3.13%	*		1.57%			2.00%			3.02%			1.94%			1.40%	*
Portfolio turnover rate		103%	**		65%			61%			34%			18%			0%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period December 14, 2006 (commencement of operations) through December 31, 2006.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

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

242

MassMutual Select Diversified International Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Period Ended 12/31/06 +
Net asset value, beginning of period	$	7.01		$	6.89		$	4.94		$	10.50		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.09			0.06			0.07			0.18			0.14			0.00	†
Net realized and unrealized gain (loss) on investments		(0.01	)		0.24			1.90			(5.74	)		0.66			0.07
Total income (loss) from investment operations		0.08			0.30			1.97			(5.56	)		0.80			0.07
Less distributions to shareholders:
From net investment income		-			(0.18	)		(0.02	)		-			(0.15	)		(0.01	)
From net realized gains		-			-			-			-			(0.21	)		-
Total distributions		-			(0.18	)		(0.02	)		-			(0.36	)		(0.01	)
Net asset value, end of period	$	7.09		$	7.01		$	6.89		$	4.94		$	10.50		$	10.06
Total Return ^,^^		1.14%	**		4.41%			39.98%			(52.95%	)		8.03%			0.67%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	71		$	70		$	70		$	50		$	105		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		1.92%	*		1.91%			1.90%			1.86%			1.89%			9.11%	*
After expense waiver		1.72%	*#		1.72%	#		1.72%	#		1.72%	#		1.72%	#		1.72%	*#
Net investment income (loss) to average daily net assets		2.40%	*		0.86%			1.28%			2.23%			1.28%			0.67%	*
Portfolio turnover rate		103%	**		65%			61%			34%			18%			0%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period December 14, 2006 (commencement of operations) through December 31, 2006.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

243

MassMutual Select Overseas Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	7.23		$	6.61		$	4.68		$	11.33		$	12.80		$	10.95
Income (loss) from investment operations:
Net investment income (loss) ***		0.08			0.05			0.05			0.15			0.17			0.21
Net realized and unrealized gain (loss) on investments		0.25			0.65			1.88			(4.52	)		0.31			2.78
Total income (loss) from investment operations		0.33			0.70			1.93			(4.37	)		0.48			2.99
Less distributions to shareholders:
From net investment income		-			(0.08	)		-			(0.53	)		(0.05	)		(0.19	)
From net realized gains		-			-			-			(0.34	)		(1.90	)		(0.95	)
Tax return of capital		-			-			-			(1.41	)		-			-
Total distributions		-			(0.08	)		-			(2.28	)		(1.95	)		(1.14	)
Net asset value, end of period	$	7.56		$	7.23		$	6.61		$	4.68		$	11.33		$	12.80
Total Return ^,^^		4.56%	**		10.75%			41.24%			(39.25%	)		3.71%			27.38%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	60,726		$	59,596		$	63,979		$	48,153		$	261,364		$	299,546
Ratio of expenses to average daily net assets:
Before expense waiver		1.80%	*		1.63%			1.62%			1.60%			1.60%			1.61%
After expense waiver		1.51%	*#		1.51%	#		1.52%	#		1.50%	#		1.50%	#		1.53%	#
Net investment income (loss) to average daily net assets		2.17%	*		0.81%			1.03%			1.57%			1.27%			1.66%
Portfolio turnover rate		35%	**		40%			61%			63%			44%			36%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	7.28		$	6.66		$	4.70		$	11.42		$	12.88		$	11.00
Income (loss) from investment operations:
Net investment income (loss) ***		0.09			0.07			0.07			0.21			0.20			0.24
Net realized and unrealized gain (loss) on investments		0.26			0.64			1.89			(4.61	)		0.33			2.80
Total income (loss) from investment operations		0.35			0.71			1.96			(4.40	)		0.53			3.04
Less distributions to shareholders:
From net investment income		-			(0.09	)		-			(0.55	)		(0.09	)		(0.21	)
From net realized gains		-			-			-			(0.34	)		(1.90	)		(0.95	)
Tax return of capital		-			-			-			(1.43	)		-			-
Total distributions		-			(0.09	)		-			(2.32	)		(1.99	)		(1.16	)
Net asset value, end of period	$	7.63		$	7.28		$	6.66		$	4.70		$	11.42		$	12.88
Total Return ^		4.81%	**		10.95%			41.70%			(39.21%	)		4.05%			27.66%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	64,895		$	149,245		$	151,443		$	149,950		$	328,071		$	283,387
Ratio of expenses to average daily net assets:
Before expense waiver		1.55%	*		1.38%			1.37%			1.35%			1.35%			1.36%
After expense waiver		1.26%	*#		1.26%	#		1.27%	#		1.25%	#		1.25%	#		1.28%	#
Net investment income (loss) to average daily net assets		2.43%	*		1.04%			1.41%			2.22%			1.47%			1.90%
Portfolio turnover rate		35%	**		40%			61%			63%			44%			36%

* Annualized.

** Percentage represents the results for the period and is 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.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

244

MassMutual Select Overseas Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	7.31		$	6.69		$	4.72	$	11.45		$	12.91		$	11.03
Income (loss) from investment operations:
Net investment income (loss) ***		0.09			0.07			0.07		0.22			0.24			0.24
Net realized and unrealized gain (loss) on investments		0.26			0.65			1.90		(4.63	)		0.30			2.81
Total income (loss) from investment operations		0.35			0.72			1.97		(4.41	)		0.54			3.05
Less distributions to shareholders:
From net investment income		-			(0.10	)		-		(0.54	)		(0.10	)		(0.22	)
From net realized gains		-			-			-		(0.34	)		(1.90	)		(0.95	)
Tax return of capital		-			-			-		(1.44	)		-			-
Total distributions		-			(0.10	)		-		(2.32	)		(2.00	)		(1.17	)
Net asset value, end of period	$	7.66		$	7.31		$	6.69	$	4.72		$	11.45		$	12.91
Total Return ^		4.79%	**		10.97%			41.74%		(39.15%	)		4.14%			27.67%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	86,997		$	83,409		$	97,912	$	68,982		$	163,726		$	248,042
Ratio of expenses to average daily net assets:
Before expense waiver		1.50%	*		1.24%			1.22%		1.20%			1.20%			1.21%
After expense waiver		1.21%	*#		1.21%	#		N/A		N/A			N/A			N/A
Net investment income (loss) to average daily net assets		2.50%	*		1.10%			1.28%		2.33%			1.76%			1.95%
Portfolio turnover rate		35%	**		40%			61%		63%			44%			36%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	7.34		$	6.72		$	4.74	$	11.48		$	12.94		$	11.05
Income (loss) from investment operations:
Net investment income (loss) ***		0.10			0.08			0.08		0.22			0.20			0.26
Net realized and unrealized gain (loss) on investments		0.26			0.64			1.90		(4.63	)		0.35			2.81
Total income (loss) from investment operations		0.36			0.72			1.98		(4.41	)		0.55			3.07
Less distributions to shareholders:
From net investment income		-			(0.10	)		-		(0.55	)		(0.11	)		(0.23	)
From net realized gains		-			-			-		(0.34	)		(1.90	)		(0.95	)
Tax return of capital		-			-			-		(1.44	)		-			-
Total distributions		-			(0.10	)		-		(2.33	)		(2.01	)		(1.18	)
Net asset value, end of period	$	7.70		$	7.34		$	6.72	$	4.74		$	11.48		$	12.94
Total Return ^		4.90%	**		10.97%			41.77%		(39.09%	)		4.21%			27.77%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	169,399		$	276,053		$	257,075	$	206,904		$	505,917		$	458,067
Ratio of expenses to average daily net assets:
Before expense waiver		1.45%	*		1.19%			1.17%		1.15%			1.15%			1.16%
After expense waiver		1.16%	*#		1.16%	#		N/A		N/A			N/A			N/A
Net investment income (loss) to average daily net assets		2.56%	*		1.15%			1.40%		2.33%			1.50%			2.05%
Portfolio turnover rate		35%	**		40%			61%		63%			44%			36%

* Annualized.

** Percentage represents the results for the period and is 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.

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

245

MassMutual Select Overseas Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	7.15		$	6.48		$	4.60		$	11.19		$	12.67		$	10.86
Income (loss) from investment operations:
Net investment income (loss) ***		0.07			0.02			0.04			0.15			0.12			0.17
Net realized and unrealized gain (loss) on investments		0.25			0.65			1.84			(4.49	)		0.33			2.74
Total income (loss) from investment operations		0.32			0.67			1.88			(4.34	)		0.45			2.91
Less distributions to shareholders:
From net investment income		-			-			-			(0.52	)		(0.03	)		(0.15	)
From net realized gains		-			-			-			(0.34	)		(1.90	)		(0.95	)
Tax return of capital		-			-			-			(1.39	)		-			-
Total distributions		-			-			-			(2.25	)		(1.93	)		(1.10	)
Net asset value, end of period	$	7.47		$	7.15		$	6.48		$	4.60		$	11.19		$	12.67
Total Return ^,^^		4.48%	**		10.34%			40.87%			(39.45%	)		3.47%			26.91%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	273		$	238		$	963		$	892		$	3,122		$	2,462
Ratio of expenses to average daily net assets:
Before expense waiver		2.10%	*		1.92%			1.92%			1.90%			1.90%			1.91%
After expense waiver		1.81%	*#		1.81%	#		1.82%	#		1.80%	#		1.80%	#		1.83%	#
Net investment income (loss) to average daily net assets		1.93%	*		0.37%			0.79%			1.58%			0.91%			1.40%
Portfolio turnover rate		35%	**		40%			61%			63%			44%			36%
	Class Z
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	7.34		$	7.13
Income (loss) from investment operations:
Net investment income (loss) ***		0.09			(0.00	) †
Net realized and unrealized gain (loss) on investments		0.28			0.21
Total income (loss) from investment operations		0.37			0.21
Net asset value, end of period	$	7.71		$	7.34
Total Return ^		5.04%	**		2.95%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	219,555		$	103
Ratio of expenses to average daily net assets:
Before expense waiver		1.25%	*		1.20%	*
After expense waiver		0.89%	*#		0.95%	*#
Net investment income (loss) to average daily net assets		2.52%	*		(0.04%	)
Portfolio turnover rate		35%	**		40%	~

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period November 15, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

~ The portfolio turnover rate results are for the Fund.

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

246

Notes to Financial Statements (Unaudited)

1. The Fund

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended. The following are twenty four series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”): MassMutual Select PIMCO Total Return Fund (“PIMCO Total Return Fund”), MassMutual Select Strategic Bond Fund (“Strategic Bond Fund”), MassMutual Select Strategic Balanced Fund (“Strategic Balanced Fund”), MassMutual Select BlackRock Global Allocation Fund (formerly known as MassMutual Select Global Allocation Fund) (“BlackRock Global Allocation Fund”), MassMutual Select Diversified Value Fund (“Diversified Value Fund”), MassMutual Select Fundamental Value Fund (“Fundamental Value Fund”), MassMutual Select Value Equity Fund (“Value Equity Fund”), MassMutual Select Large Cap Value Fund (“Large Cap Value Fund”), MassMutual Select Indexed Equity Fund (“Indexed Equity Fund”), MassMutual Select Core Opportunities Fund (“Core Opportunities Fund”), MassMutual Select Blue Chip Growth Fund (“Blue Chip Growth Fund”), MassMutual Select Large Cap Growth Fund (“Large Cap Growth Fund”), MassMutual Select Growth Opportunities Fund (formerly known as MassMutual Select Aggressive Growth Fund) (“Growth Opportunities Fund”), MassMutual Select NASDAQ-100^® Fund (“NASDAQ-100 Fund”), MassMutual Select Focused Value Fund (“Focused Value Fund”), MassMutual Select Mid-Cap Value Fund (“Mid-Cap Value Fund”), MassMutual Select Small Cap Value Equity Fund (“Small Cap Value Equity Fund”), MassMutual Select Small Company Value Fund (“Small Company Value Fund”), MassMutual Select Mid Cap Growth Equity Fund (“Mid Cap Growth Equity Fund”), MassMutual Select Mid Cap Growth Equity II Fund (“Mid Cap Growth Equity II Fund”), MassMutual Select Small Cap Growth Equity Fund (“Small Cap Growth Equity Fund”), MassMutual Select Small Company Growth Fund (“Small Company Growth Fund”), MassMutual Select Diversified International Fund (“Diversified International Fund”), and MassMutual Select Overseas Fund (“Overseas Fund”).

The PIMCO Total Return Fund commenced operations on July 6, 2010.

Each Fund other than the BlackRock Global Allocation Fund and Large Cap Growth Fund has the following five classes of shares: Class A, Class L, Class Y, Class S, and Class N. Additionally, the PIMCO Total Return Fund, Fundamental Value Fund, Indexed Equity Fund, Focused Value Fund, Small Company Value Fund, Mid Cap Growth Equity II Fund, Small Cap Growth Equity Fund, and Overseas Fund have a sixth class of shares: Class Z. Class Z commenced operations on November 15, 2010 for Fundamental Value Fund, Focused Value Fund, Small Company Value Fund, Mid Cap Growth Equity II Fund, Small Cap Growth Equity Fund, and Overseas Fund. The BlackRock Global Allocation Fund and Large Cap Growth Fund do not offer Class N shares. Class N shares of the BlackRock Global Allocation Fund and Large Cap Growth Fund were eliminated as of February 8, 2011. Each share class represents an interest in the same portfolio of assets. The principal economic difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Investment Valuation

The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange, on each day the New York Stock Exchange is open for trading. The New York Stock Exchange normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days.

Equity securities are valued on the basis of information furnished by a pricing service, which provides the last reported sale price for securities listed on a national securities exchange or the official closing price on the NASDAQ National Market System, or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ

247

Notes to Financial Statements (Unaudited) (Continued)

System, the last reported bid price. Debt securities (other than short-term obligations) are valued on the basis of valuations furnished by a pricing service, which determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Short-term debt securities are valued at either amortized cost or at original cost plus accrued interest, whichever approximates current market value. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day. Investments are marked to market daily based on values provided by third-party vendors or market makers to the extent available or based on model prices. Valuations provided by third-party vendors and representative bids provided by market makers may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates.

Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined by the Funds’ Valuation Committee in accordance with procedures approved by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon such asset’s sale.

Portfolio securities traded on more than one national securities exchange are valued at the last price on the business day at the close of the exchange representing the principal market for such securities. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.

The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next day the New York Stock Exchange is open. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party fair valuation vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market that exceeds a specific threshold established by the Funds’ Valuation Committee pursuant to procedures established by the Trustees, and under the general oversight of the Trustees.

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.

Level 1 – quoted prices (unadjusted) in active markets for identical investments

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

248

Notes to Financial Statements (Unaudited) (Continued)

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement.

Fair Value Measurements

A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis follows.

Equity securities. Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, valuation adjustments are not applied and they are categorized in Level 1 of the fair value hierarchy. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as depositary receipts, futures, exchange-traded funds (“ETFs”), and the movement of certain indexes of securities based on a statistical analysis of the historical relationship and are categorized in Level 2 of the fair value hierarchy.

Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.

Asset-backed securities and mortgage-backed securities. The fair value of asset-backed securities and mortgage-backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, otherwise they would be categorized as Level 3.

U.S. Government and agency securities. U.S. government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. government and agency securities are normally categorized in Level 2 of the fair value hierarchy.

Derivative contracts. Derivative contracts that are actively traded on an exchange are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. OTC derivative contracts include forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices. Depending on the contract and the terms of the transaction, the fair value of the OTC derivative contracts can be modeled using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted

249

Notes to Financial Statements (Unaudited) (Continued)

markets, as is the case of interest rate swap and option contracts. A majority of OTC derivative contracts valued by the Funds using pricing models fall into this category and are categorized within Level 2 of the fair value hierarchy.

Restricted securities. Restricted securities are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety; otherwise they may be categorized as Level 3. Any illiquid Rule 144A securities or restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently and, therefore, the inputs are unobservable.

The Diversified Value Fund, Indexed Equity Fund, Large Cap Growth Fund, Growth Opportunities Fund, NASDAQ-100 Fund, Focused Value Fund, Mid-Cap Value Fund, Small Cap Value Equity Fund, and Small Company Growth Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of June 30, 2011. The PIMCO Total Return Fund characterized all securities sold short at Level 2, as of June 30, 2011. For each Fund noted above, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.

The following is the aggregate value by input level as of June 30, 2011, for the remaining Funds’ investments and the PIMCO Total Return Fund’s other investments:

Asset Valuation Inputs

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
PIMCO Total Return Fund
Equities
Preferred Stock
Utilities	$	22,360,000	$	-	$	-	$	22,360,000
Total Preferred Stock		22,360,000		-		-		22,360,000
Total Equities		22,360,000		-		-		22,360,000
Bonds & Notes
Total Corporate Debt		-		717,352,532		13,860,915		731,213,447
Total Bank Loans		-		3,553,593		-		3,553,593
Total Municipal Obligations		-		54,079,381		-		54,079,381
Non-U.S. Government Agency Obligations
Commercial MBS		-		99,646,477		-		99,646,477
Credit Card ABS		-		22,912,467		-		22,912,467
Other ABS		-		6,183,316		-		6,183,316
WL Collateral CMO		-		69,784,931		-		69,784,931
Total Non-U.S. Government Agency Obligations		-		198,527,191		-		198,527,191
Total Sovereign Debt Obligations		-		79,227,928		-		79,227,928
U.S. Government Agency Obligations and Instrumentalities
Pass-through Securities		-		102,191,840		-		102,191,840
Total U.S. Government Agency Obligations and Instrumentalities		-		102,191,840		-		102,191,840
U.S. Treasury Obligations
U.S. Treasury Bonds & Notes		-		75,186,627		-		75,186,627
Total U.S. Treasury Obligations		-		75,186,627		-		75,186,627
Total Bonds & Notes		-		1,230,119,092		13,860,915		1,243,980,007

250

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
PIMCO Total Return Fund (Continued)
Purchased Options
Options on Interest Rate Swaps	$	-	$	394,691	$	-	$	394,691
Total Purchased Options		-		394,691		-		394,691
Total Long-Term Investments		22,360,000		1,230,513,783		13,860,915		1,266,734,698
Total Short-Term Investments		-		339,574,108		-		339,574,108
Total Investments	$	22,360,000	$	1,570,087,891	$	13,860,915	$	1,606,308,806
Strategic Bond Fund
Equities
Common Stock
Energy	$	6,289	$	-	$	-	$	6,289
Total Common Stock		6,289		-		-		6,289
Preferred Stock
Financial		285,612		-		-		285,612
Government		-		18,206		-		18,206
Total Preferred Stock		285,612		18,206		-		303,818
Total Equities		291,901		18,206		-		310,107
Bonds & Notes
Total Corporate Debt		-		52,074,728		705,859		52,780,587
Total Municipal Obligations		-		2,034,818		-		2,034,818
Non-U.S. Government Agency Obligations
Agency Collateral CMO		-		714,446		-		714,446
Automobile ABS		-		589,566		-		589,566
Commercial MBS		-		4,080,796		-		4,080,796
Home Equity ABS		-		3,797,263		-		3,797,263
Manufactured Housing ABS		-		3,959,863		-		3,959,863
Other ABS		-		247,887		-		247,887
Student Loans ABS		-		2,363,718		-		2,363,718
WL Collateral CMO		-		10,774,504		-		10,774,504
Total Non-U.S. Government Agency Obligations		-		26,528,043		-		26,528,043
Total Sovereign Debt Obligations		-		2,695,960		-		2,695,960
U.S. Government Agency Obligations and Instrumentalities
Collateralized Mortgage Obligations		-		3,741,752		-		3,741,752
Pass-through Securities		-		59,442,569		-		59,442,569
Total U.S. Government Agency Obligations and Instrumentalities		-		63,184,321		-		63,184,321
U.S. Treasury Obligations
U.S. Treasury Bonds & Notes		-		35,795,851		-		35,795,851
Total U.S. Treasury Obligations		-		35,795,851		-		35,795,851
Total Bonds & Notes		-		182,313,721		705,859		183,019,580

251

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Strategic Bond Fund (Continued)
Purchased Options
Options on Futures	$	21,625	$	-	$	-	$	21,625
Total Purchased Options		21,625		-		-		21,625
Warrants
Energy		1,742		-		-		1,742
Total Warrants		1,742		-		-		1,742
Total Long-Term Investments		315,268		182,331,927		705,859		183,353,054
Total Short-Term Investments		-		31,254,848		-		31,254,848
Total Investments	$	315,268	$	213,586,775	$	705,859	$	214,607,902
Strategic Balanced Fund
Equities
Common Stock
Basic Materials	$	1,342,124	$	1,168,120	$	-	$	2,510,244
Communications		3,872,353		1,003,811		-		4,876,164
Consumer, Cyclical		2,678,183		1,565,443		-		4,243,626
Consumer, Non-cyclical		6,498,004		2,234,528		-		8,732,532
Energy		4,117,239		1,103,284		-		5,220,523
Financial		3,979,245		2,671,496		-		6,650,741
Industrial		2,492,151		1,652,196		-		4,144,347
Technology		4,110,585		467,076		-		4,577,661
Utilities		781,937		729,107		-		1,511,044
Total Common Stock		29,871,821		12,595,061		-		42,466,882
Preferred Stock
Consumer, Cyclical		-		246,585		-		246,585
Financial		42,684		-		-		42,684
Government		-		4,020		-		4,020
Total Preferred Stock		42,684		250,605		-		293,289
Total Equities		29,914,505		12,845,666		-		42,760,171
Bonds & Notes
Total Corporate Debt		-		5,734,030		200,652		5,934,682
Total Municipal Obligations		-		134,265		-		134,265
Non-U.S. Government Agency Obligations
Agency Collateral CMO		-		44,389		-		44,389
Commercial MBS		-		403,028		14,703		417,731
Home Equity ABS		-		511,630		-		511,630
Manufactured Housing ABS		-		104,467		-		104,467
Other ABS		-		2,423		-		2,423
WL Collateral CMO		-		1,139,853		-		1,139,853
Total Non-U.S. Government Agency Obligations		-		2,205,790		14,703		2,220,493
Total Sovereign Debt Obligations		-		71,187		-		71,187

252

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Strategic Balanced Fund (Continued)
U.S. Government Agency Obligations and Instrumentalities
Collateralized Mortgage Obligations	$	-	$	871,720	$	-	$	871,720
Pass-Through Securities		-		6,711,583		-		6,711,583
Total U.S. Government Agency Obligations and Instrumentalities		-		7,583,303		-		7,583,303
U.S. Treasury Obligations
U.S. Treasury Bonds & Notes		-		3,710,122		-		3,710,122
Total U.S. Treasury Obligations		-		3,710,122		-		3,710,122
Total Bonds & Notes		-		19,438,697		215,355		19,654,052
Purchased Options
Options on Futures		2,578		-		-		2,578
Total Purchased Options		2,578		-		-		2,578
Warrants
Energy		547		-		-		547
Total Warrants		547		-		-		547
Total Long-Term Investments		29,917,630		32,284,363		215,355		62,417,348
Total Short-Term Investments		-		5,138,139		-		5,138,139
Total Investments	$	29,917,630	$	37,422,502	$	215,355	$	67,555,487
BlackRock Global Allocation Fund
Equities
Common Stock
Basic Materials	$	20,093,375	$	17,756,278	$	-	$	37,849,653
Communications		29,490,941		17,955,111		-		47,446,052
Consumer, Cyclical		8,330,462		17,035,773		-		25,366,235
Consumer, Non-cyclical		45,610,358		15,064,789		-		60,675,147
Diversified		68,200		3,809,969		-		3,878,169
Energy		47,376,903		12,025,018		-		59,401,921
Financial		23,421,651		22,340,406		-		45,762,057
Industrial		20,173,821		14,436,136		-		34,609,957
Technology		29,278,822		6,068,982		-		35,347,804
Utilities		7,230,186		10,337,266		-		17,567,452
Total Common Stock		231,074,719		136,829,728		-		367,904,447
Convertible Preferred Stock
Consumer, Non-cyclical		-		110,385		-		110,385
Energy		-		409,687		-		409,687
Financial		336,874		-		-		336,874
Total Convertible Preferred Stock		336,874		520,072		-		856,946
Preferred Stock
Basic Materials		-		1,188,761		-		1,188,761
Consumer, Cyclical		857,824		1,405,702		-		2,263,526
Consumer, Non-cyclical		-		1,153,180		-		1,153,180

253

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs			Level 3 — Significant Unobservable Inputs		Total
BlackRock Global Allocation Fund (Continued)
Financial	$	1,862,888	$	946,788		$	-	$	2,809,676
Utilities		400,843		-			-		400,843
Total Preferred Stock		3,121,555		4,694,431			-		7,815,986
Total Equities		234,533,148		142,044,231			-		376,577,379
Bonds & Notes
Total Corporate Debt		-		52,650,700			1,879,820		54,530,520
Total Bank Loans		-		1,282,404			1,322,079		2,604,483
Non-U.S. Government Agency Obligations
Commercial MBS		-		1,295,542			-		1,295,542
Other ABS		-		56,000			-		56,000
Total Non-U.S. Government Agency Obligations		-		1,351,542			-		1,351,542
Total Sovereign Debt Obligations		-		53,119,526			-		53,119,526
U.S. Treasury Obligations
U.S. Treasury Bonds & Notes		-		44,871,450			-		44,871,450
Total U.S. Treasury Obligations		-		44,871,450			-		44,871,450
Total Bonds & Notes		-		153,275,622			3,201,899		156,477,521
Total Mutual Funds		18,331,975		148,286			-		18,480,261
Purchased Options
Consumer, Non-cyclical		720		-			-		720
Financial		902,951		430,145			-		1,333,096
Total Purchased Options		903,671		430,145			-		1,333,816
Structured Options (Over The Counter Traded)
Financial		-		(13,775	)		-		(13,775	)
Total Structured Options (Over The Counter Traded)		-		(13,775	)		-		(13,775	)
Warrants
Basic Materials		8,747		-			-		8,747
Consumer, Cyclical		234,595		-			-		234,595
Financial		126,675		-			-		126,675
Total Warrants		370,017		-			-		370,017
Total Long-Term Investments		254,138,811		295,884,509			3,201,899		553,225,219
Total Short-Term Investments		-		30,862,364			-		30,862,364
Total Investments	$	254,138,811	$	326,746,873		$	3,201,899	$	584,087,583
Fundamental Value Fund
Equities
Common Stock
Basic Materials	$	68,904,514	$	-		$	-	$	68,904,514
Communications		78,063,203		-			-		78,063,203
Consumer, Cyclical		91,745,203		-			-		91,745,203
Consumer, Non-cyclical		228,524,569		-			-		228,524,569
Energy		150,960,545		-			-		150,960,545
Financial		263,654,434		8,909,901			-		272,564,335

254

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Fundamental Value Fund (Continued)
Industrial	$	139,859,068	$	6,646,500	$	-	$	146,505,568
Technology		79,490,664		-		-		79,490,664
Utilities		35,659,198		-		-		35,659,198
Total Common Stock		1,136,861,398		15,556,401		-		1,152,417,799
Total Equities		1,136,861,398		15,556,401		-		1,152,417,799
Total Long-Term Investments		1,136,861,398		15,556,401		-		1,152,417,799
Total Short-Term Investments		-		19,353,329		-		19,353,329
Total Investments	$	1,136,861,398	$	34,909,730	$	-	$	1,171,771,128
Value Equity Fund
Equities
Common Stock
Basic Materials	$	667,583	$	-	$	-	$	667,583
Communications		3,477,326		-		-		3,477,326
Consumer, Cyclical		3,203,633		-		-		3,203,633
Consumer, Non-cyclical		4,466,230		495,128		-		4,961,358
Energy		4,296,175		-		-		4,296,175
Financial		7,685,977		-		-		7,685,977
Industrial		2,937,871		-		-		2,937,871
Technology		2,004,706		-		-		2,004,706
Utilities		1,529,546		-		-		1,529,546
Total Common Stock		30,269,047		495,128		-		30,764,175
Total Equities		30,269,047		495,128		-		30,764,175
Total Long-Term Investments		30,269,047		495,128		-		30,764,175
Total Short-Term Investments		-		106,286		-		106,286
Total Investments	$	30,269,047	$	601,414	$	-	$	30,870,461
Large Cap Value Fund
Equities
Common Stock
Basic Materials	$	16,311,497	$	9,259,322	$	-	$	25,570,819
Communications		26,486,369		-		-		26,486,369
Consumer, Cyclical		85,413,576		1,789,305		-		87,202,881
Consumer, Non-cyclical		121,120,811		18,191,377		-		139,312,188
Diversified		-		8,558,504		-		8,558,504
Energy		91,023,549		8,998,082		-		100,021,631
Financial		162,355,061		22,814,728		-		185,169,789
Industrial		26,377,666		8,598,965		-		34,976,631
Technology		26,144,443		-		-		26,144,443
Total Common Stock		555,232,972		78,210,283		-		633,443,255
Total Equities		555,232,972		78,210,283		-		633,443,255

255

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Large Cap Value Fund (Continued)
Bonds & Notes
Corporate Debt	$	-	$	-	$	753,880	$	753,880
Total Bonds & Notes		-		-		753,880		753,880
Total Long-Term Investments		555,232,972		78,210,283		753,880		634,197,135
Total Short-Term Investments		-		20,909,704		-		20,909,704
Total Investments	$	555,232,972	$	99,119,987	$	753,880	$	655,106,839
Core Opportunities Fund
Equities
Common Stock
Basic Materials	$	2,645,456	$	-	$	-	$	2,645,456
Communications		6,284,631		-		-		6,284,631
Consumer, Cyclical		5,281,520		-		-		5,281,520
Consumer, Non-cyclical		13,985,839		490,619		-		14,476,458
Energy		7,884,787		-		-		7,884,787
Financial		7,602,339		-		-		7,602,339
Industrial		6,045,446		-		-		6,045,446
Technology		8,397,891		-		-		8,397,891
Utilities		1,555,256		-		-		1,555,256
Total Common Stock		59,683,165		490,619		-		60,173,784
Total Equities		59,683,165		490,619		-		60,173,784
Total Mutual Funds		114,814		-		-		114,814
Total Long-Term Investments		59,797,979		490,619		-		60,288,598
Total Short-Term Investments		-		831,266		-		831,266
Total Investments	$	59,797,979	$	1,321,885	$	-	$	61,119,864
Blue Chip Growth Fund
Equities
Common Stock
Basic Materials	$	23,515,750	$	-	$	-	$	23,515,750
Communications		126,251,583		6,604,894		2,540,561		135,397,038
Consumer, Cyclical		81,439,987		-		-		81,439,987
Consumer, Non-cyclical		65,131,138		86,978		-		65,218,116
Energy		48,933,751		-		-		48,933,751
Financial		52,841,549		93,284		-		52,934,833
Industrial		89,539,736		-		-		89,539,736
Technology		69,972,424		-		-		69,972,424
Total Common Stock		557,625,918		6,785,156		2,540,561		566,951,635
Total Equities		557,625,918		6,785,156		2,540,561		566,951,635
Total Mutual Funds		1,601		-		-		1,601
Total Long-Term Investments		557,627,519		6,785,156		2,540,561		566,953,236
Total Short-Term Investments		-		4,568,842		-		4,568,842
Total Investments	$	557,627,519	$	11,353,998	$	2,540,561	$	571,522,078

256

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Small Company Value Fund
Equities
Common Stock
Basic Materials	$	38,464,128	$	-	$	-	$	38,464,128
Communications		19,826,893		-		-		19,826,893
Consumer, Cyclical		61,502,630		-		-		61,502,630
Consumer, Non-cyclical		65,920,231		-		-		65,920,231
Energy		44,705,144		-		-		44,705,144
Financial		134,630,601		-		-		134,630,601
Industrial		121,461,825		-		-		121,461,825
Technology		22,826,719		-		-		22,826,719
Utilities		31,560,821		-		-		31,560,821
Total Common Stock		540,898,992		-		-		540,898,992
Convertible Preferred Stock
Financial		-		2,945,254		-		2,945,254
Total Convertible Preferred Stock		-		2,945,254		-		2,945,254
Total Equities		540,898,992		2,945,254		-		543,844,246
Total Mutual Funds		1,971,122		-		-		1,971,122
Total Long-Term Investments		542,870,114		2,945,254		-		545,815,368
Total Short-Term Investments		-		19,917,046		-		19,917,046
Total Investments	$	542,870,114	$	22,862,300	$	-	$	565,732,414
Mid Cap Growth Equity Fund
Equities
Common Stock
Basic Materials	$	1,561,341	$	-	$	-	$	1,561,341
Communications		4,879,495		-		-		4,879,495
Consumer, Cyclical		6,522,740		325,811		-		6,848,551
Consumer, Non-cyclical		10,190,254		597,489		-		10,787,743
Diversified		-		153,626		-		153,626
Energy		3,090,894		467,100		-		3,557,994
Financial		1,322,733		-		-		1,322,733
Industrial		5,617,004		355,559		-		5,972,563
Technology		6,461,548		-		-		6,461,548
Total Common Stock		39,646,009		1,899,585		-		41,545,594
Total Equities		39,646,009		1,899,585		-		41,545,594
Total Long-Term Investments		39,646,009		1,899,585		-		41,545,594
Total Short-Term Investments		-		188,902		-		188,902
Total Investments	$	39,646,009	$	2,088,487	$	-	$	41,734,496
Mid Cap Growth Equity II Fund
Equities
Common Stock
Basic Materials	$	48,548,854	$	-	$	-	$	48,548,854
Communications		126,895,849		-		-		126,895,849

257

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Mid Cap Growth Equity II Fund (Continued)
Consumer, Cyclical	$	225,703,615	$	-	$	-	$	225,703,615
Consumer, Non-cyclical		393,352,280		-		-		393,352,280
Energy		143,939,405		-		-		143,939,405
Financial		124,159,066		-		-		124,159,066
Industrial		264,624,930		-		-		264,624,930
Technology		279,828,698		-		-		279,828,698
Utilities		16,355,820		-		-		16,355,820
Total Common Stock		1,623,408,517		-		-		1,623,408,517
Preferred Stock
Technology		-		-		6,082,357		6,082,357
Total Preferred Stock		-		-		6,082,357		6,082,357
Total Equities		1,623,408,517		-		6,082,357		1,629,490,874
Bonds & Notes
Corporate Debt		-		977,856		-		977,856
Total Bonds & Notes		-		977,856		-		977,856
Total Mutual Funds		11,815,948		-		-		11,815,948
Total Long-Term Investments		1,635,224,465		977,856		6,082,357		1,642,284,678
Total Short-Term Investments		-		51,987,411		-		51,987,411
Total Investments	$	1,635,224,465	$	52,965,267	$	6,082,357	$	1,694,272,089
Small Cap Growth Equity Fund
Equities
Common Stock
Basic Materials	$	10,934,594	$	-	$	-	$	10,934,594
Communications		95,572,539		-		-		95,572,539
Consumer, Cyclical		163,506,072		2,101,181		-		165,607,253
Consumer, Non-cyclical		197,521,226		3,826,267		-		201,347,493
Diversified		-		1,638,659		-		1,638,659
Energy		59,492,556		-		-		59,492,556
Financial		63,031,000		-		-		63,031,000
Industrial		157,098,059		-		-		157,098,059
Technology		130,688,202		-		-		130,688,202
Utilities		4,399,035		-		-		4,399,035
Total Common Stock		882,243,283		7,566,107		-		889,809,390
Total Equities		882,243,283		7,566,107		-		889,809,390
Total Mutual Funds		6,306,131		-		-		6,306,131
Total Long-Term Investments		888,549,414		7,566,107		-		896,115,521
Total Short-Term Investments		-		19,264,711		-		19,264,711
Total Investments	$	888,549,414	$	26,830,818	$	-	$	915,380,232

258

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices			Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Diversified International Fund
Equities
Common Stock
Basic Materials	$	1,481,945		$	12,164,047	$	-	$	13,645,992
Communications		-			16,716,535		-		16,716,535
Consumer, Cyclical		-			17,602,605		-		17,602,605
Consumer, Non-cyclical		-			17,302,809		-		17,302,809
Energy		-			14,919,214		-		14,919,214
Financial		-			37,471,638		-		37,471,638
Industrial		-			13,253,596		-		13,253,596
Technology		-			3,351,878		-		3,351,878
Utilities		-			10,830,582		-		10,830,582
Total Common Stock		1,481,945			143,612,904		-		145,094,849
Preferred Stock
Consumer, Cyclical		-			3,205,817		-		3,205,817
Total Preferred Stock		-			3,205,817		-		3,205,817
Total Equities		1,481,945			146,818,721		-		148,300,666
Total Long-Term Investments		1,481,945			146,818,721		-		148,300,666
Total Short-Term Investments		-			3,869,204		-		3,869,204
Total Investments	$	1,481,945	��	$	150,687,925	$	-	$	152,169,870
Overseas Fund
Equities
Common Stock
Basic Materials	$	1,222,852		$	63,136,228	$	-	$	64,359,080
Communications		2,994,627			36,812,081		-		39,806,708
Consumer, Cyclical		2,120,493			57,031,351		-		59,151,844
Consumer, Non-cyclical		924,211			130,055,814		-		130,980,025
Diversified		-			8,787,906		-		8,787,906
Energy		-			27,134,464		-		27,134,464
Financial		4,844,711			131,475,334		-		136,320,045
Industrial		8,491,602			64,209,574		-		72,701,176
Technology		7,892,926			34,835,601		-		42,728,527
Utilities		-			10,170,721		-		10,170,721
Total Common Stock		28,491,422			563,649,074		-		592,140,496
Preferred Stock
Consumer, Cyclical		-			2,645,845		-		2,645,845
Total Preferred Stock		-			2,645,845		-		2,645,845
Total Equities		28,491,422			566,294,919		-		594,786,341
Total Long-Term Investments		28,491,422			566,294,919		-		594,786,341
Total Short-Term Investments		-			10,720,565		-		10,720,565
Total Investments	$	28,491,422		$	577,015,484	$	-	$	605,506,906

259

Notes to Financial Statements (Unaudited) (Continued)

The following is the aggregate value by input level as of June 30, 2011, for the Funds’ other financial instruments:

Asset Valuation Inputs

		Other Financial Instruments
		Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
PIMCO Total Return Fund
Forward Contracts
Foreign Exchange Risk		$	-	$	7,348,273	$	-	$	7,348,273
Futures Contracts
Interest Rate Risk			6,347,372		-		-		6,347,372
Swap Agreements
Credit Risk			-		2,397,714		-		2,397,714
Interest Rate Risk			-		623,589		-		623,589
Strategic Bond Fund
Forward Contracts
Foreign Exchange Risk			-		51,381		-		51,381
Futures Contracts
Interest Rate Risk			168,743		-		-		168,743
Swap Agreements
Credit Risk			-		35,314		-		35,314
Interest Rate Risk			-		6,804		-		6,804
Strategic Balanced Fund
Forward Contracts
Foreign Exchange Risk			-		68,258		-		68,258
Futures Contracts
Equity Risk			4,856		-		-		4,856
Interest Rate Risk			5,623						5,623
Swap Agreements
Credit Risk			-		20,682		-		20,682
Interest Rate Risk			-		2,135		-		2,135
BlackRock Global Allocation Fund
Forward Contracts
Foreign Exchange Risk			-		321,934		-		321,934
Futures Contracts
Equity Risk			2,930		-		-		2,930
Swap Agreements
Equity Risk			-		32,376		-		32,376
Foreign Exchange Risk			-		2,841		-		2,841
Interest Rate Risk			-		9,110		-		9,110
Indexed Equity Fund	��
Futures Contracts
Equity Risk			1,251,726		-		-		1,251,726
NASDAQ-100 Fund
Futures Contracts
Equity Risk			7,264		-		-		7,264
Diversified International Fund
Forward Contracts
Foreign Exchange Risk			-		2,269,377		-		2,269,377
Overseas Fund
Forward Contracts
Foreign Exchange Risk			-		1,870,000		-		1,870,000

260

Notes to Financial Statements (Unaudited) (Continued)

Liability Valuation Inputs

	Other Financial Instruments
	Level 1 — Quoted Prices			Level 2 — Other Significant Observable Inputs			Level 3 — Significant Unobservable Inputs		Total
PIMCO Total Return Fund
Forward Contracts
Foreign Exchange Risk	$	-		$	(2,614,187	)	$	-	$	(2,614,187	)
Futures Contracts
Interest Rate Risk		(505,576	)		-			-		(505,576	)
Swap Agreements
Credit Risk		-			(1,209,505	)		-		(1,209,505	)
Interest Rate Risk		-			(3,916,792	)		-		(3,916,792	)
Written Options
Interest Rate Risk		(195,258	)		(2,546,568	)		-		(2,741,826	)
Strategic Bond Fund
Forward Contracts
Foreign Exchange Risk		-			(18,944	)		-		(18,944	)
Futures Contracts
Interest Rate Risk		(379,592	)		-			-		(379,592	)
Swap Agreements
Credit Risk		-			(7,468	)		-		(7,468	)
Interest Rate Risk		-			(429,361	)		-		(429,361	)
Written Options
Interest Rate Risk		(12,747	)		-			-		(12,747	)
Strategic Balanced Fund
Forward Contracts
Foreign Exchange Risk		-			(36,136	)		-		(36,136	)
Futures Contracts
Interest Rate Risk		(33,124	)		-			-		(33,124	)
Swap Agreements
Credit Risk		-			(19,291	)		-		(19,291	)
Interest Rate Risk		-			(122	)		-		(122	)
Written Options
Interest Rate Risk		(1,591	)		-			-		(1,591	)
BlackRock Global Allocation Fund
Forward Contracts
Foreign Exchange Risk		-			(351,642	)		-		(351,642	)
Futures Contracts
Equity Risk		(642,213	)		-			-		(642,213	)
Swap Agreements
Equity Risk		-			(39,714	)		-		(39,714	)
Written Options
Equity Risk		(1,378,664	)		-			-		(1,378,664	)
Foreign Exchange Risk		(41,186	)		-			-		(41,186	)
Diversified International Fund
Forward Contracts
Foreign Exchange Risk		-			(1,940,960	)		-		(1,940,960	)
Overseas Fund
Forward Contracts
Foreign Exchange Risk		-			(4,834,906	)		-		(4,834,906	)

261

Notes to Financial Statements (Unaudited) (Continued)

The Funds had no transfers between Level 1 and Level 2 of the fair value hierarchy during the period ended June 30, 2011. The Funds recognize transfers between the Levels as of the beginning of the year.

Following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining value:

Asset Valuation Inputs

	Investments in Securities
	Balance as of 12/31/10			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		(Sales)			Transfers into Level 3*			Transfers (out) of Level 3*			Balance as of 6/30/11		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of 6/30/11
PIMCO Total Return Fund
Long-Term Investments
Bonds & Notes
Corporate Debt	$	886,709		$	-	$	-		$	166,159		$	16,090,076	$	-		$	-		$	(3,282,029	)**	$	13,860,915	$	166,159
Bank Loans		2,000,000			-		-			-			-		-			-			(2,000,000	)***		-		-
Non-U.S. Government
Agency Obligations
Other ABS		-			-		-			-			3,543,500		-			-			(3,543,500	)**		-		-
	$	2,886,709		$	-	$	-		$	166,159		$	19,633,576	$	-		$	-		$	(8,825,529	)	$	13,860,915	$	166,159
Strategic Bond Fund
Long-Term Investments
Bonds & Notes
Corporate Debt	$	784,734		$	-	$	4,304		$	(78,875	)	$	-	$	(4,304	)	$	-		$	-		$	705,859	$	(78,400	)
Warrants
Energy		-	****		-		-			-			-		-			-			-	***		-		-
	$	784,734		$	-	$	4,304		$	(78,875	)	$	-	$	(4,304	)	$	-		$	-		$	705,859	$	(78,400	)
Strategic Balanced Fund
Long-Term Investments
Bonds & Notes
Corporate Debt	$	226,002		$	-	$	1,359		$	(25,350	)	$	-	$	(1,359	)	$	-		$	-		$	200,652	$	(25,200	)
Non-U.S. Government
Agency Obligations
Commercial MBS		17,374			-		(10,506	)		7,835			-		-			-			-			14,703		7,835
Warrants
Energy		-	****		-		-			-			-		-			-			-	***		-		-
	$	243,376		$	-	$	(9,147	)	$	(17,515	)	$	-	$	(1,359	)	$	-		$	-		$	215,355	$	(17,365	)
BlackRock Global Allocation Fund
Long-Term Investments
Bonds & Notes
Corporate Debt	$	2,312,748		$	-	$	(177,312	)	$	(642,276	)	$	-	$	(122,090	)	$	508,750	**	$	-		$	1,879,820	$	(642,276	)
Bank Loans		1,519,238			-		1,757			(3,709	)		2,876,161		(3,071,368	)		-			-			1,322,079		(3,709	)
	$	3,831,986		$	-	$	(175,555	)	$	(645,985	)	$	2,876,161	$	(3,193,458	)	$	508,750		$	-		$	3,201,899	$	(645,985	)
Large Cap Value Fund
Long-Term Investments
Bonds & Notes
Corporate Debt	$	2,151,365		$	-	$	-		$	(1,397,485	)	$	-	$	-		$	-		$	-		$	753,880	$	(1,397,485	)
Blue Chip Growth Fund
Long-Term Investments
Equities
Common Stock
Communications	$	-		$	-	$	-		$	299,293		$	2,241,268	$	-		$	-		$	-		$	2,540,561	$	299,293

262

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Balance as of 12/31/10		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Purchases		(Sales)		Transfers into Level 3*		Transfers (out) of Level 3*		Balance as of 6/30/11		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of 6/30/11
Mid Cap Growth Equity II Fund
Long-Term Investments
Equities
Preferred Stock
Technology	$	-	$	-	$	-	$	-	$	6,082,357	$	-	$	-	$	-	$	6,082,357	$	-

* The Fund(s) recognize transfers between the Levels as of the beginning of the year.

** Transfers occurred between Levels as a result of changes in liquidity.

*** Transfers occurred between Levels as a result of securities receiving a price directly from a pricing service rather than being fair valued.

**** Represents security at $0 value as of December 31, 2010.

Derivative Instruments

Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. A Fund may not be able to close out a derivative transaction at a favorable time or price. For those Funds that held derivatives during the period ended June 30, 2011, the following table shows how the Fund used these derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).

Type of Derivative and Objective for Use	PIMCO Total Return Fund	Strategic Bond Fund	Strategic Balanced Fund	BlackRock Global Allocation Fund	Indexed Equity Fund	NASDAQ-100 Fund	Small Cap Growth Equity Fund	Diversified International Fund	Overseas Fund
Foreign Currency Exchange Transactions*
Hedging/Risk Management	A	A	A	A			A	A	A
Directional Exposures to Currencies	A	A	A	A				A	A
Futures Contracts**
Hedging/Risk Management	A	A	A	A				A	A
Duration/Credit Quality Management	A	A	A	M
Substitution for Direct Investment	A	A	A	A	A	A		A	A
Interest Rate Swaps***
Hedging/Risk Management	A	A		M
Duration Management	A	A		A
Substitution for Direct Investment	A			M

263

Notes to Financial Statements (Unaudited) (Continued)

Type of Derivative and Objective for Use	PIMCO Total Return Fund	Strategic Bond Fund	Strategic Balanced Fund	BlackRock Global Allocation Fund	Indexed Equity Fund	NASDAQ-100 Fund	Small Cap Growth Equity Fund	Diversified International Fund	Overseas Fund
Total Return Swaps****
Hedging/Risk Management		A	A	A
Substitution for Direct Investment		A	A	A
Duration/Credit Quality Management		A	A	M
Market Access		A	A	A
Credit Default Swaps (Protection Buyer)
Hedging/Risk Management		A	A
Duration/Credit Quality Management		A	A
Credit Default Swaps (Protection Seller)
Duration/Credit Quality Management	A	A	A
Income		A	A
Substitution for Direct Investments	A	A	A
Options (Purchased)
Hedging/Risk Management	A	A	A	A
Duration/Credit Quality Management	A	A	A	M
Substitution for Direct Investment	A			M
Directional Investment				A
Options (Sold)
Hedging/Risk Management		A	A	A
Duration/Credit Quality Management	A	A	A
Income	A	A	A	A
Directional Investment		A	A	A
Structured Options
Hedging/Risk Management				A
Directional Investment				A

264

Notes to Financial Statements (Unaudited) (Continued)

Type of Derivative and Objective for Use	PIMCO Total Return Fund	Strategic Bond Fund	Strategic Balanced Fund	BlackRock Global Allocation Fund	Indexed Equity Fund	NASDAQ-100 Fund	Small Cap Growth Equity Fund	Diversified International Fund	Overseas Fund
Rights and Warrants
Hedging/Risk Management				M
Duration/Credit Quality Management				M
Directional Investment		A	A	A					A
Result of a Corporate Action			A	A	A			A	A

* Includes any options purchased or written, futures contracts, forward contracts, and swap agreements, if applicable.

** Includes any options purchased or written on futures contracts, if applicable.

*** Includes any caps, floors, and collars, and related purchased or written options, if applicable.

**** Includes any index swaps, if applicable.

At June 30, 2011, and during the period then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:

	Credit Risk			Equity Risk		Foreign Exchange Risk			Interest Rate Risk			Total
PIMCO Total Return Fund
Asset Derivatives
Forward Contracts*	$	-		$	-	$	7,348,273		$	-		$	7,348,273
Futures Contracts^^		-			-		-			6,347,372			6,347,372
Swap Agreements*		2,397,714			-		-			623,589			3,021,303
Purchased Options*		-			-		-			394,691			394,691
Total Value	$	2,397,714		$	-	$	7,348,273		$	7,365,652		$	17,111,639
Liability Derivatives
Forward Contracts^	$	-		$	-	$	(2,614,187	)	$	-		$	(2,614,187	)
Futures Contracts^^		-			-		-			(505,576	)		(505,576	)
Swap Agreements^		(1,209,505	)		-		-			(3,916,792	)		(5,126,297	)
Written Options^		-			-		-			(2,741,826	)		(2,741,826	)
Total Value	$	(1,209,505	)	$	-	$	(2,614,187	)	$	(7,164,194	)	$	(10,987,886	)
Realized Gain (Loss)#
Forward Contracts	$	-		$	-	$	(2,063,241	)	$	-		$	(2,063,241	)
Futures Contracts		-			-		-			358,845			358,845
Swap Agreements		1,506,872			-		-			(343,933	)		1,162,939
Written Options		-			-		-			933,208			933,208
Total Realized Gain (Loss)	$	1,506,872		$	-	$	(2,063,241	)	$	948,120		$	391,751
Change in Appreciation (Depreciation)##
Forward Contracts	$	-		$	-	$	2,354,263		$	-		$	2,354,263
Futures Contracts		-			-		-			5,595,672			5,595,672
Swap Agreements		(737,577	)		-		-			(6,634,588	)		(7,372,165	)
Purchased Options		-			-		-			103,620			103,620
Written Options		-			-		-			2,712,987			2,712,987
Total Change in Appreciation (Depreciation)	$	(737,577	)	$	-	$	2,354,263		$	1,777,691		$	3,394,377

265

Notes to Financial Statements (Unaudited) (Continued)

	Credit Risk			Equity Risk		Foreign Exchange Risk			Interest Rate Risk			Total
PIMCO Total Return Fund (Continued)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-		$	-	$	333,770,440		$	-		$	333,770,440
Futures Contracts		-			-		-			7,636			7,636
Swap Agreements	$	117,983,333		$	-	$	-		$	195,783,333		$	313,766,666
Purchased Options		-			-		-			76,700,000			76,700,000
Written Options		-			-		-			491,034,487			491,034,487
Strategic Bond Fund
Asset Derivatives
Forward Contracts*	$	-		$	-	$	51,381		$	-		$	51,381
Futures Contracts^^		-			-		-			168,743			168,743
Swap Agreements*		35,314			-		-			6,804			42,118
Warrants*		-			1,742		-			-			1,742
Purchased Options*		-			-		-			21,625			21,625
Total Value	$	35,314		$	1,742	$	51,381		$	197,172		$	285,609
Liability Derivatives
Forward Contracts^	$	-		$	-	$	(18,944	)	$	-		$	(18,944	)
Futures Contracts^^		-			-		-			(379,592	)		(379,592	)
Swap Agreements^		(7,468	)		-		-			(429,361	)		(436,829	)
Written Options^		-			-		-			(12,747	)		(12,747	)
Total Value	$	(7,468	)	$	-	$	(18,944	)	$	(821,700	)	$	(848,112	)
Realized Gain (Loss)#
Forward Contracts	$	-		$	-	$	(349,393	)	$	-		$	(349,393	)
Futures Contracts		-			-		-			(610,905	)		(610,905	)
Swap Agreements		79,674			-		-			(14,358	)		65,316
Purchased Options		-			-		-			(15,381	)		(15,381	)
Written Options		-			-		-			69,968			69,968
Total Realized Gain (Loss)	$	79,674		$	-	$	(349,393	)	$	(570,676	)	$	(840,395	)
Change in Appreciation (Depreciation)##
Forward Contracts	$	-		$	-	$	67,761		$	-		$	67,761
Futures Contracts		-			-		-			(312,945	)		(312,945	)
Swap Agreements		(40,078	)		-		-			(90,489	)		(130,567	)
Warrants		-			1,742		-			-			1,742
Purchased Options		-			-		-			2,144			2,144
Written Options		-			-		-			(7,216	)		(7,216	)
Total Change in Appreciation (Depreciation)	$	(40,078	)	$	1,742	$	67,761		$	(408,506	)	$	(379,081	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-		$	-	$	5,306,948		$	-		$	5,306,948
Futures Contracts		-			550		-			-			550
Swap Agreements	$	3,565,000		$	-	$	-		$	7,234,972		$	10,799,972
Warrants		-			258		-			-			258
Purchased Options		-			-		-			146			146
Written Options		-			-		-			80			80

266

Notes to Financial Statements (Unaudited) (Continued)

	Credit Risk			Equity Risk		Foreign Exchange Risk			Interest Rate Risk			Total
Strategic Balanced Fund
Asset Derivatives
Forward Contracts*	$	-		$	-	$	68,258		$	-		$	68,258
Futures Contracts^^		-			4,856		-			5,623			10,479
Swap Agreements*		20,682			-		-			2,135			22,817
Purchased Options*		-			-		-			2,578			2,578
Warrants*		-			547		-			-			547
Total Value	$	20,682		$	5,403	$	68,258		$	10,336		$	104,679
Liability Derivatives
Forward Contracts^	$	-		$	-	$	(36,136	)	$	-		$	(36,136	)
Futures Contracts^^		-			-		-			(33,124	)		(33,124	)
Swap Agreements^		(19,291	)		-		-			(122	)		(19,413	)
Written Options^		-			-		-			(1,591	)		(1,591	)
Total Value	$	(19,291	)	$	-	$	(36,136	)	$	(34,837	)	$	(90,264	)
Realized Gain (Loss)#
Forward Contracts	$	-		$	-	$	117,408		$	-		$	117,408
Futures Contracts		-			18,787		-			(13,472	)		5,315
Swap Agreements		6,423			-		-			930			7,353
Purchased Options		-			-		-			(1,324	)		(1,324	)
Written Options		-			-		-			8,564			8,564
Total Realized Gain (Loss)	$	6,423		$	18,787	$	117,408		$	(5,302	)	$	137,316
Change in Appreciation (Depreciation)##
Forward Contracts	$	-		$	-	$	(86,642	)	$	-		$	(86,642	)
Futures Contracts		-			4,856		-			(91,017	)		(86,161	)
Swap Agreements		(35	)		-		-			1,952			1,917
Purchased Options		-			-		-			165			165
Written Options		-			-		-			(848	)		(848	)
Warrants		-			547		-			-			547
Total Change in Appreciation (Depreciation)	$	(35	)	$	5,403	$	(86,642	)	$	(89,748	)	$	(171,022	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-		$	-	$	8,984,021		$	-		$	8,984,021
Futures Contracts		-			2		-			38			40
Swap Agreements	$	264,500		$	-	$	-		$	87,555		$	352,055
Purchased Options		-			-		-			16			16
Written Options		-			-		-			10			10
Rights		-			10,723		-			-			10,723
Warrants		-			81		-			-			81
BlackRock Global Allocation Fund
Asset Derivatives
Forward Contracts*	$	-		$	-	$	321,934		$	-		$	321,934
Futures Contracts^^		-			2,930		-			-			2,930
Swap Agreements*		-			32,376		2,841			9,110			44,327
Purchased Options*		-			1,296,261		37,555			-			1,333,816
Structured Options*		-			71,950		-			-			71,950
Warrants*					370,017		-			-			370,017
Total Value	$	-		$	1,773,534	$	362,330		$	9,110		$	2,144,974

267

Notes to Financial Statements (Unaudited) (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
BlackRock Global Allocation Fund (Continued)
Liability Derivatives
Forward Contracts^	$	-	$	-		$	(351,642	)	$	-	$	(351,642	)
Futures Contracts^^		-		(642,213	)		-			-		(642,213	)
Swap Agreements^		-		(39,714	)		-			-		(39,714	)
Structured Options*		-		(85,725	)		-			-		(85,725	)
Written Options^		-		(1,378,664	)		(41,186	)		-		(1,419,850	)
Total Value	$	-	$	(2,146,316	)	$	(392,828	)	$	-	$	(2,539,144	)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	3,183,982		$	-	$	3,183,982
Futures Contracts		-		1,143,624			-			-		1,143,624
Swap Agreements		-		208,770			-			-		208,770
Written Options		-		141,843			-			-		141,843
Purchased Options		-		(24,750	)		-			-		(24,750	)
Structured Options		-		550,442			-			-		550,442
Rights		-		28			-			-		28
Warrants		-		(494	)		-			-		(494	)
Total Realized Gain (Loss)	$	-	$	2,019,463		$	3,183,982		$	-	$	5,203,445
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	(854,688	)	$	-	$	(854,688	)
Futures Contracts		-		(643,514	)		-			-		(643,514	)
Swap Agreements		-		(60,095	)		2,841			9,110		(48,144	)
Written Options		-		582,669			-			-		582,669
Purchased Options		-		(1,412,057	)		(13,502	)		-		(1,425,559	)
Structured Options		-		(263,243	)		-			-		(263,243	)
Warrants		-		(176,330	)		-			-		(176,330	)
Total Change in Appreciation (Depreciation)	$	-	$	(1,972,570	)	$	(865,349	)	$	9,110	$	(2,828,809	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-	$	-		$	61,503,948		$	-	$	61,503,948
Futures Contracts		-		115			-			-		115
Swap Agreements	$	-	$	2,138,300		$	356,000		$	2,860,000	$	5,354,300
Written Options		-		109,321,187			5,673,000			-		114,994,187
Purchased Options		-		12,865			5,673,000			-		5,685,865
Structured Options		-		35,352			-			-		35,352
Rights		-		36,488			-			-		36,488
Warrants		-		94,791			-			-		94,791
Indexed Equity Fund
Asset Derivatives
Futures Contracts^^	$	-	$	1,251,726		$	-		$	-	$	1,251,726
Realized Gain (Loss)#
Futures Contracts	$	-	$	709,205		$	-		$	-	$	709,205
Warrants		-		(15,276	)		-			-		(15,276	)
Total Realized Gain (Loss)	$	-	$	693,929		$	-		$	-	$	693,929
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	688,920		$	-		$	-	$	688,920

268

Notes to Financial Statements (Unaudited) (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
Indexed Equity Fund (Continued)
Number of Contracts, Notional Amounts or Shares/Units†
Futures Contracts		-		152			-			-		152
Warrants		-		13,022			-			-		13,022
NASDAQ-100 Fund
Asset Derivatives
Futures Contracts^^	$	-	$	7,264		$	-		$	-	$	7,264
Realized Gain (Loss)#
Futures Contracts	$	-	$	76,730		$	-		$	-	$	76,730
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	6,152		$	-		$	-	$	6,152
Number of Contracts, Notional Amounts or Shares/Units†
Futures Contracts		-		18			-			-		18
Small Cap Growth Equity Fund
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	(11,901	)	$	-	$	(11,901	)
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	11,901		$	-	$	11,901
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-	$	-		$	1,511,014		$	-	$	1,511,014
Diversified International Fund
Asset Derivatives
Forward Contracts*	$	-	$	-		$	2,269,377		$	-	$	2,269,377
Liability Derivatives
Forward Contracts^	$	-	$	-		$	(1,940,960	)	$	-	$	(1,940,960	)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	166,320		$	-	$	166,320
Futures Contracts		-		96,995			-			-		96,995
Rights		-		4			-			-		4
Total Realized Gain (Loss)	$	-	$	96,999		$	166,320		$	-	$	263,319
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	(409,823	)	$	-	$	(409,823	)
Futures Contracts		-		24,991			-			-		24,991
Rights		-		(2,013	)		-			-		(2,013	)
Total Change in Appreciation (Depreciation)	$	-	$	22,978		$	(409,823	)	$	-	$	(386,845	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-	$	-		$	144,185,230		$	-	$	144,185,230
Futures Contracts		-		28			-			-		28
Rights		-		14,920			-			-		14,920

269

Notes to Financial Statements (Unaudited) (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
Overseas Fund
Asset Derivatives
Forward Contracts*	$	-	$	-		$	1,870,000		$	-	$	1,870,000
Liability Derivatives
Forward Contracts*	$	-	$	-		$	(4,834,906	)	$	-	$	(4,834,906	)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	(1,988,349	)	$	-	$	(1,988,349	)
Futures Contracts		-		36,408			-			-		36,408
Rights		-		4			-			-		4
Warrants		-		17,724			-			-		17,724
Total Realized Gain (Loss)	$	-	$	54,136		$	(1,988,349	)	$	-	$	(1,934,213	)
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	(761,394	)	$	-	$	(761,394	)
Futures Contracts		-		(7,560	)		-			-		(7,560	)
Rights		-		(1,764	)		-			-		(1,764	)
Warrants		-		(110,534	)		-			-		(110,534	)
Total Change in Appreciation (Depreciation)	$	-	$	(119,858	)	$	(761,394	)	$	-	$	(881,252	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-	$	-		$	176,025,619		$	-	$	176,025,619
Futures Contracts		-		14			-			-		14
Rights		-		696,285			-			-		696,285
Warrants		-		40,200			-			-		40,200

* Statements of Assets and Liabilities location: Investments, at value, Receivables from: open forward foreign currency contracts, or open swap agreements, at value, as applicable.

^ Statements of Assets and Liabilities location: Payables for: written options outstanding, open forward foreign currency contracts, or open swap agreements, at value, as applicable.

^^ Cumulative appreciation (depreciation) on futures contracts is reported in “Futures Contracts” below. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities.

# Statements of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, futures contracts, written options, swap agreements, or foreign currency transactions, as applicable.

## Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, futures contracts, written options, swap agreements, or translation of assets and liabilities in foreign currencies, as applicable.

† Amount(s) disclosed represent the average number of contracts for futures contracts, notional amounts for forward contracts and swap agreements, or shares/units outstanding for written options, purchased options, structured options, rights, and warrants, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the period ended June 30, 2011.

The Strategic Balanced Fund had no realized gain (loss) on rights during the period ended June 30, 2011.

270

Notes to Financial Statements (Unaudited) (Continued)

Further details regarding the derivatives and other investments held by the Funds during the period ended June 30, 2011, are discussed below.

Foreign Currency Exchange Transactions

A Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.

A Fund may use foreign currency exchange transactions for hedging purposes to protect against two principal risks. First, if a Fund has assets or liabilities denominated in foreign (non-U.S. dollar) currencies, the Fund is exposed to the risk that the values of those assets or liabilities in U.S. dollars may fall or rise due to changes in currency exchange rates. Second, if the Fund agrees, or expects, to receive or deliver an asset denominated in a foreign currency, it is exposed to currency exchange risk until the date of receipt or delivery. In order to reduce those risks, a Fund may enter into foreign currency forward contracts, which call for the Fund to purchase or sell a foreign currency at a time in the future at a price determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin.

Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.

Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered.

A Fund may also enter into currency swaps, as an alternative to the transactions described above. Currency swaps involve the individually negotiated exchange by a Fund with another party of a series of payments in specified currencies in amounts determined pursuant to the terms of the swap agreement. See “Swap Agreements,” below, for a description of risks associated with swap transactions and the accounting treatment.

The Fund(s) listed in the following table had open forward foreign currency contracts at June 30, 2011. A Fund’s current exposure to a counterparty is typically the fair value of the contract.

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund
BUYS
	Barclays Bank PLC		361,000	British Pound		9/13/11	$	583,735	$	578,892	$	(4,843	)
	Barclays Bank PLC		13,141,000	Euro		7/18/11		18,622,155		19,049,524		427,369
	Barclays Bank PLC		247,129,500	Indian Rupee		8/12/11		5,349,758		5,492,929		143,171
	Barclays Bank PLC		1,800,000	Malaysian Ringgit		8/11/11		582,575		594,474		11,899

271

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund (Continued)
BUYS (Continued)
	Barclays Bank PLC		152,057,854	Mexican Peso		7/07/11	$	12,448,453	$	12,984,709	$	536,256
	Barclays Bank PLC		205,744,037	Mexican Peso		11/18/11		17,155,344		17,353,325		197,981
	Barclays Bank PLC		48,234,887	Philippine Peso		11/15/11		1,091,546		1,100,825		9,279
	Barclays Bank PLC		23,176,000	Russian Ruble		7/01/11		821,422		829,916		8,494
	Barclays Bank PLC		833,040	Singapore Dollar		9/09/11		651,538		678,251		26,713
	Barclays Bank PLC		6,272,550	South African Rand		7/28/11		918,186		924,601		6,415
								58,224,712		59,587,446		1,362,734
	Goldman Sachs & Co.		15,403,500	Philippine Peso		11/15/11		350,000		351,541		1,541
	Goldman Sachs & Co.		1,000,000	Singapore Dollar		9/09/11		812,222		814,188		1,966
	Goldman Sachs & Co.		1,127,300,000	South Korean Won		8/12/11		1,000,000		1,053,405		53,405
								2,162,222		2,219,134		56,912
	JP Morgan Chase Bank		15,843,000	Canadian Dollar		9/19/11		16,015,471		16,395,898		380,427
	JP Morgan Chase Bank		20,250,750	Chinese Yuan Renminbi		11/15/11		3,100,000		3,143,915		43,915
	JP Morgan Chase Bank		600,000	Euro		7/18/11		858,485		869,775		11,290
	JP Morgan Chase Bank		28,352,500,000	Indonesian Rupiah		7/27/11		3,060,410		3,295,313		234,903
	JP Morgan Chase Bank		23,382,600,000	Indonesian Rupiah		1/31/12		2,626,373		2,639,042		12,669
	JP Morgan Chase Bank		3,777,900	Malaysian Ringgit		8/11/11		1,227,130		1,247,700		20,570
	JP Morgan Chase Bank		25,534,173	Mexican Peso		7/07/11		2,100,000		2,180,445		80,445
	JP Morgan Chase Bank		8,064,352	New Turkish Lira		7/27/11		5,131,033		4,945,002		(186,031	)
	JP Morgan Chase Bank		8,064,352	New Turkish Lira		10/27/11		4,796,783		4,860,876		64,093
	JP Morgan Chase Bank		46,029,000	Philippine Peso		11/15/11		1,050,000		1,050,483		483
	JP Morgan Chase Bank		215,627,500	Philippine Peso		3/15/12		4,957,824		4,883,572		(74,252	)
	JP Morgan Chase Bank		3,299,818	Singapore Dollar		9/09/11		2,677,817		2,686,672		8,855
	JP Morgan Chase Bank		24,906,490	South African Rand		7/28/11		3,640,767		3,671,326		30,559

272

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund (Continued)
BUYS (Continued)
	JP Morgan Chase Bank		11,992,915,181	South Korean Won		8/12/11	$	10,921,017	$	11,206,777	$	285,760
								62,163,110		63,076,796		913,686
	Royal Bank of Scotland PLC		38,474,060	Brazilian Real		7/05/11		22,540,313		24,652,587		2,112,274
	Royal Bank of Scotland PLC		6,411,000	Chinese Yuan Renminbi		6/01/12		1,000,000		1,004,490		4,490
	Royal Bank of Scotland PLC		1,100,000	Singapore Dollar		9/09/11		882,302		895,607		13,305
								24,422,615		26,552,684		2,130,069
	UBS AG		38,474,060	Brazilian Real		9/02/11		23,335,998		24,329,498		993,500
	UBS AG		37,240,800	Chinese Yuan Renminbi		2/01/13		5,900,000		5,918,146		18,146
	UBS AG		28,152,010	Mexican Peso		7/07/11		2,300,000		2,403,991		103,991
	UBS AG		38,211,200	Mexican Peso		11/18/11		3,200,000		3,222,895		22,895
	UBS AG		1,200,000	Singapore Dollar		9/09/11		976,978		977,026		48
								35,712,976		36,851,556		1,138,580
							$	182,685,635	$	188,287,616	$	5,601,981
SELLS
	Barclays Bank PLC		212,000	Canadian Dollar		9/19/11	$	217,511	$	219,399	$	(1,888	)
	Barclays Bank PLC		10,201,000	Euro		7/18/11		14,590,559		14,787,626		(197,067	)
	Barclays Bank PLC		68,000,000	Japanese Yen		7/14/11		803,571		844,705		(41,134	)
	Barclays Bank PLC		205,744,037	Mexican Peso		7/07/11		17,369,695		17,569,145		(199,450	)
	Barclays Bank PLC		11,588,000	Russian Ruble		7/01/11		837,357		829,916		7,441
								33,818,693		34,250,791		(432,098	)
	JP Morgan Chase Bank		2,212,000	British Pound		9/13/11		3,529,766		3,547,115		(17,349	)
	JP Morgan Chase Bank		2,437,000	Canadian Dollar		9/19/11		2,468,662		2,522,048		(53,386	)
	JP Morgan Chase Bank		84,267,000	Euro		7/18/11		121,416,072		122,155,568		(739,496	)
	JP Morgan Chase Bank		8,064,352	New Turkish Lira		7/27/11		4,880,092		4,945,003		(64,911	)
								132,294,592		133,169,734		(875,142	)
	Royal Bank of Scotland PLC		16,564,000	Euro		7/18/11		24,197,634		24,011,591		186,043

273

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund (Continued)
SELLS (Continued)
	UBS AG		38,474,060	Brazilian Real		7/05/11	$	23,618,207	$	24,652,587	$	(1,034,380	)
	UBS AG		31,923,000	British Pound		9/13/11		52,417,985		51,191,023		1,226,962
	UBS AG		13,510,000	Euro		7/18/11		19,645,157		19,584,437		60,720
								95,681,349		95,428,047		253,302
							$	285,992,268	$	286,860,163	$	(867,895	)
Strategic Bond Fund
BUYS
	JP Morgan Chase Bank		1,525,935	Brazilian Real		8/15/11	$	924,000	$	968,594	$	44,594
SELLS
	Citibank N.A.		2,210,853	Euro		8/18/11	$	3,183,183	$	3,202,127	$	(18,944	)
	Citibank N.A.		89,300,000	Japanese Yen		8/18/11		1,113,946		1,109,496		4,450
								4,297,129		4,311,623		(14,494	)
	Morgan Stanley & Co.		1,270,000	Euro		8/18/11		1,840,973		1,839,426		1,547
	UBS AG		466,893	Euro		8/18/11		677,023		676,233		790
							$	6,815,125	$	6,827,282	$	(12,157	)
Strategic Balanced Fund
BUYS
	Barclays Bank PLC		255,766	Hong Kong Dollar		8/23/11	$	32,916	$	32,877	$	(39	)
	Citibank N.A.		43,847	British Pound		8/23/11		70,732		70,329		(403	)
	Citibank N.A.		27,436	Canadian Dollar		8/23/11		28,421		28,413		(8	)
	Citibank N.A.		17,675	Euro		8/18/11		25,121		25,600		479
	Citibank N.A.		503,880	Hong Kong Dollar		8/23/11		64,705		64,771		66
	Citibank N.A.		2,324,758	Japanese Yen		8/18/11		28,999		28,884		(115	)
								217,978		217,997		19
	Deutsche Bank AG		1,191,204	Australian Dollar		8/23/11		1,253,440		1,269,744		16,304
	Deutsche Bank AG		21,317,428	Japanese Yen		8/23/11		260,379		264,863		4,484
	Deutsche Bank AG		204,209	Singapore Dollar		8/23/11		164,755		166,260		1,505
	Deutsche Bank AG		2,034,823	Swedish Krona		8/23/11		320,684		320,789		105
	Deutsche Bank AG		600,399	Swiss Franc		8/23/11		680,103		714,332		34,229
								2,679,361		2,735,988		56,627
	JP Morgan Chase Bank		306,575	Canadian Dollar		8/18/11		316,562		317,527		965
	Royal Bank of Canada		791,486	Hong Kong Dollar		8/23/11		101,808		101,741		(67	)
	State Street Bank and Trust Co.		42,990	British Pound		8/23/11		69,713		68,955		(758	)

274

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Strategic Balanced Fund (Continued)
BUYS (Continued)
	Westpac Banking Corp.		222,584	Euro		8/23/11	$	321,185	$	322,338	$	1,153
							$	3,739,523	$	3,797,423	$	57,900
SELLS
	Citibank N.A.		17,304	British Pound		8/23/11	$	28,282	$	27,755	$	527
	Citibank N.A.		282,700	Euro		8/18/11		408,384		409,453		(1,069	)
								436,666		437,208		(542	)
	Credit Suisse Securities LLC		356,652	Canadian Dollar		8/18/11		368,568		369,393		(825	)
	Credit Suisse Securities LLC		19,402	Euro		8/23/11		27,639		28,097		(458	)
								396,207		397,490		(1,283	)
	Deutsche Bank AG		313,348	British Pound		8/23/11		506,343		502,606		3,737
	Deutsche Bank AG		821,915	Euro		8/23/11		1,166,735		1,190,267		(23,532	)
	Deutsche Bank AG		2,904,020	Hong Kong Dollar		8/23/11		373,762		373,296		466
	Deutsche Bank AG		14,820,332	Japanese Yen		8/23/11		182,659		184,138		(1,479	)
								2,229,499		2,250,307		(20,808	)
	HSBC Bank PLC		28,466	Euro		8/23/11		40,558		41,224		(666	)
	JP Morgan Chase Bank		13,188,280	Japanese Yen		8/18/11		164,068		163,856		212
	Morgan Stanley & Co.		114,925	Euro		8/18/11		166,594		166,454		140
	Royal Bank of Canada		228,000	Canadian Dollar		8/23/11		234,135		236,116		(1,981	)
	State Street Bank and Trust Co.		29,362	Swiss Franc		8/23/11		35,374		34,934		440
	UBS AG		69,537	Euro		8/18/11		100,833		100,716		117
	Westpac Banking Corp.		35,109	Australian Dollar		8/23/11		36,775		37,424		(649	)
	Westpac Banking Corp.		59,490	British Pound		8/23/11		96,277		95,422		855
	Westpac Banking Corp.		301,157	Swiss Franc		8/23/11		356,926		358,306		(1,380	)��
								489,978		491,152		(1,174	)
							$	4,293,912	$	4,319,457	$	(25,545	)
Cross Currency Forwards
	Toronto Dominion Bank		44,497	USD/British Pound		8/23/11	$	72,430	$	71,372	$	(1,058	)
			69,282	Australian Dollar/USD		8/23/11		72,430		73,851		(1,421	)
									$	145,223	$	(2,479	)

275

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Strategic Balanced Fund (Continued)
Cross Currency Forwards (Continued)
	Westpac Banking Corp.		38,902	USD/Euro		8/23/11	$	55,389	$	56,336	$	947
			4,450,311	Japanese Yen/USD		8/23/11		55,389		55,294		95
									$	111,630	$	1,042
	Westpac Banking Corp.		4,273,300	USD/Japanese Yen		8/23/11	$	53,323	$	53,095	$	(228	)
			329,156	Swedish Krona/USD		8/23/11		53,323		51,891		1,432
									$	104,986	$	1,204
BlackRock Global Allocation Fund
BUYS
	Bank of America N.A.		1,592,130	Euro		7/29/11	$	2,285,184	$	2,307,286	$	22,102
	Bank of America N.A.		800,790	Euro		8/05/11		1,153,458		1,160,264		6,806
								3,438,642		3,467,550		28,908
	Barclays Bank PLC		800,790	Euro		7/01/11		1,153,138		1,161,265		8,127
	Brown Brothers Harriman & Co.		512,041	Brazilian Real		7/01/11		326,182		328,094		1,912
	Credit Suisse Securities LLC		296,155	British Pound		7/15/11		484,509		475,256		(9,253	)
	Credit Suisse Securities LLC		602,607	Canadian Dollar		7/15/11		614,717		624,663		9,946
	Credit Suisse Securities LLC		7,691,700	Chinese Yuan Renminbi		3/12/12		1,200,000		1,200,867		867
	Credit Suisse Securities LLC		798,600	Euro		7/01/11		1,151,581		1,158,090		6,509
	Credit Suisse Securities LLC		1,506,790	Euro		7/22/11		2,149,737		2,184,038		34,301
	Credit Suisse Securities LLC		1,208,680	Euro		7/28/11		1,739,291		1,751,646		12,355
	Credit Suisse Securities LLC		92,600	Euro		8/05/11		133,344		134,168		824
								7,473,179		7,528,728		55,549
	Deutsche Bank AG		1,204,799	Canadian Dollar		7/15/11		1,231,398		1,248,895		17,497
	Deutsche Bank AG		443,176	Euro		7/14/11		650,273		642,511		(7,762	)
	Deutsche Bank AG		881,083	Euro		7/22/11		1,256,424		1,277,098		20,674
	Deutsche Bank AG		804,010	Euro		7/28/11		1,157,799		1,165,189		7,390
	Deutsche Bank AG		1,006,491	Euro		7/29/11		1,451,360		1,458,589		7,229
	Deutsche Bank AG		32,076,825	Japanese Yen		7/01/11		396,892		398,445		1,553
	Deutsche Bank AG		32,076,825	Japanese Yen		8/05/11		396,922		398,505		1,583
	Deutsche Bank AG		6,459,325	Norwegian Krone		7/15/11		1,199,833		1,196,515		(3,318	)
	Deutsche Bank AG		1,278,905,000	South Korean Won		7/07/11		1,182,857		1,197,721		14,864
	Deutsche Bank AG		1,278,905,000	South Korean Won		8/08/11		1,195,127		1,195,359		232
								10,118,885		10,178,827		59,942

276

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
BlackRock Global Allocation Fund (Continued)
BUYS (Continued)
	JP Morgan Chase Bank		2,447,580	Singapore Dollar		11/16/11	$	1,968,014	$	1,993,335	$	25,321
	JP Morgan Chase Bank		2,213,493	Swiss Franc		7/01/11		2,633,700		2,632,760		(940	)
	JP Morgan Chase Bank		1,689,837	Swiss Franc		7/14/11		2,016,404		2,010,021		(6,383	)
	JP Morgan Chase Bank		2,296,993	Swiss Franc		8/04/11		2,752,506		2,732,548		(19,958	)
								9,370,624		9,368,664		(1,960	)
	UBS AG		5,734,933	Chinese Yuan Renminbi		4/11/12		897,030		890,697		(6,333	)
	UBS AG		4,473,000	Chinese Yuan Renminbi		4/11/12		700,000		694,706		(5,294	)
	UBS AG		1,605,020	Euro		7/14/11		2,356,169		2,326,936		(29,233	)
	UBS AG		1,619,722	Euro		7/22/11		2,311,619		2,347,729		36,110
	UBS AG		970,480	Euro		8/04/11		1,392,328		1,406,167		13,839
	UBS AG		115,805,079	Japanese Yen		7/01/11		1,433,231		1,438,483		5,252
	UBS AG		115,805,079	Japanese Yen		8/05/11		1,433,160		1,438,698		5,538
	UBS AG		6,654,635	Norwegian Krone		7/15/11		1,234,993		1,232,694		(2,299	)
	UBS AG		684,030,000	South Korean Won		7/07/11		632,775		640,608		7,833
	UBS AG		684,030,000	South Korean Won		8/08/11		638,683		639,345		662
								13,029,988		13,056,063		26,075
							$	44,910,638	$	45,089,191	$	178,553
SELLS
	Bank of America N.A.		800,790	Euro		7/01/11	$	1,154,515	$	1,161,265	$	(6,750	)
	Bank of America N.A.		2,876,341	South African Rand		7/29/11		419,359		423,925		(4,566	)
								1,573,874		1,585,190		(11,316	)
	Credit Suisse Securities LLC		798,600	Euro		7/01/11		1,135,301		1,158,090		(22,789	)
	Credit Suisse Securities LLC		296,155	British Pound		7/15/11		473,738		475,256		(1,518	)
	Credit Suisse Securities LLC		9,129,900	Mexican Peso		9/08/11		746,529		775,307		(28,778	)
	Credit Suisse Securities LLC		8,897,880	Mexican Peso		9/22/11		731,012		754,635		(23,623	)
								3,086,580		3,163,288		(76,708	)
	Deutsche Bank AG		32,076,825	Japanese Yen		7/01/11		396,843		398,445		(1,602	)
	Deutsche Bank AG		1,278,905,000	South Korean Won		7/07/11		1,196,356		1,197,721		(1,365	)
								1,593,199		1,596,166		(2,967	)

277

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
BlackRock Global Allocation Fund (Continued)
SELLS (Continued)
	HSBC Bank PLC		5,438,000	Malaysian Ringgit		9/15/11	$	1,790,229	$	1,791,367	$	(1,138	)
	HSBC Bank PLC		925,402	Malaysian Ringgit		9/28/11		303,819		304,557		(738	)
								2,094,048		2,095,924		(1,876	)
	JP Morgan Chase Bank		2,213,493	Swiss Franc		7/01/11		2,651,843		2,632,761		19,082
	JP Morgan Chase Bank		424,228	Swiss Franc		7/14/11		500,000		504,608		(4,608	)
								3,151,843		3,137,369		14,474
	UBS AG		115,805,079	Japanese Yen		7/01/11		1,432,877		1,438,483		(5,606	)
	UBS AG		684,030,000	South Korean Won		7/07/11		639,878		640,608		(730	)
	UBS AG		1,045,300	Euro		7/14/11		1,489,553		1,515,462		(25,909	)
	UBS AG		23,400,940	Mexican Peso		8/11/11		1,901,757		1,992,194		(90,437	)
	UBS AG		4,462,180	Mexican Peso		9/22/11		363,497		378,440		(14,943	)
								5,827,562		5,965,187		(137,625	)
							$	17,327,106	$	17,543,124	$	(216,018	)
Cross Currency Forwards
	Credit Suisse Securities LLC		1,130,998	USD/Swiss Franc		7/08/11	$	1,352,868	$	1,345,248	$	(7,620	)
			925,530	Euro/USD		7/08/11		1,352,868		1,342,045		10,823
									$	2,687,293	$	3,203
	UBS AG		1,683,011	USD/Swiss Franc		7/08/11	$	2,013,171	$	2,001,832	$	(11,339	)
			1,376,910	Euro/USD		7/08/11		2,013,171		1,996,559		16,612
									$	3,998,391	$	5,273
	UBS AG		1,421,307	USD/Swiss Franc		7/21/11	$	1,697,488	$	1,690,678	$	(6,810	)
			1,166,880	Euro/USD		7/21/11		1,697,488		1,691,397		6,091
									$	3,382,075	$	(719	)
Diversified International Fund
BUYS
	Citibank N.A.		363,107	British Pound		7/13/11	$	580,919	$	582,712	$	1,793
	Citibank N.A.		3,827,000	British Pound		7/15/11		6,302,483		6,141,393		(161,090	)
	Citibank N.A.		306,985	Euro		7/13/11		438,309		445,075		6,766
	Citibank N.A.		18,762,710	Japanese Yen		7/13/11		231,917		233,072		1,155
								7,553,628		7,402,252		(151,376	)
	Credit Suisse Securities LLC		31,919,850	Japanese Yen		7/13/11		394,974		396,511		1,537
	Deutsche Bank AG		5,072,000	British Pound		7/15/11		8,348,842		8,139,313		(209,529	)
	Deutsche Bank AG		6,490,000	Canadian Dollar		7/15/11		6,695,208		6,727,536		32,328

278

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Diversified International Fund (Continued)
BUYS (Continued)
	Deutsche Bank AG		6,680,000	Swiss Franc		7/15/11	$	7,573,267	$	7,945,744	$	372,477
								22,617,317		22,812,593		195,276
	Goldman Sachs & Co.		1,760,000	Australian Dollar		7/15/11		1,854,459		1,885,298		30,839
	Goldman Sachs & Co.		1,176,000	New Zealand Dollar		7/15/11		912,294		973,658		61,364
								2,766,753		2,858,956		92,203
	Royal Bank of Canada		43,845,000	Norwegian Krone		7/15/11		8,040,145		8,121,776		81,631
	Royal Bank of Canada		29,001,000	Swedish Krona		7/15/11		4,636,985		4,582,350		(54,635	)
								12,677,130		12,704,126		26,996
	Royal Bank of Scotland PLC		8,019,000	Euro		7/15/11		11,583,525		11,625,515		41,990
	Royal Bank of Scotland PLC		1,148,000	New Zealand Dollar		7/15/11		890,423		950,476		60,053
								12,473,948		12,575,991		102,043
	Standard Chartered Bank		413,120,000	Japanese Yen		7/15/11		5,064,824		5,131,855		67,031
	State Street Bank and Trust Co.		1,844,000	British Pound		7/15/11		3,002,094		2,959,166		(42,928	)
	State Street Bank and Trust Co.		5,321,000	Canadian Dollar		7/15/11		5,436,915		5,515,750		78,835
	State Street Bank and Trust Co.		367,058,000	Japanese Yen		7/15/11		4,499,032		4,559,664		60,632
	State Street Bank and Trust Co.		2,859,000	Swiss Franc		7/15/11		3,164,571		3,400,731		236,160
								16,102,612		16,435,311		332,699
	UBS AG		17,999,783	Hong Kong Dollar		7/13/11		2,312,655		2,313,189		534
	UBS AG		131,029,000	Japanese Yen		7/15/11		1,606,387		1,627,667		21,280
	UBS AG		3,011,000	New Zealand Dollar		7/15/11		2,367,700		2,492,930		125,230
	UBS AG		19,541,000	Swedish Krona		7/15/11		3,123,322		3,087,608		(35,714	)
	UBS AG		1,157,000	Swiss Franc		7/15/11		1,307,503		1,376,231		68,728
								10,717,567		10,897,625		180,058
	Westpac Banking Corp.		7,608,000	Australian Dollar		7/15/11		7,910,545		8,149,630		239,085
	Westpac Banking Corp.		1,362,895	Euro		7/13/11		1,952,377		1,975,961		23,584
								9,862,922		10,125,591		262,669
							$	100,231,675	$	101,340,811	$	1,109,136

279

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Diversified International Fund (Continued)
SELLS
	Barclays Bank PLC		804,543	Euro		7/13/11	$	1,142,851	$	1,166,447	$	(23,596	)
	Citibank N.A.		3,827,000	British Pound		7/15/11		6,221,940		6,141,394		80,546
	Citibank N.A.		242,422	Euro		7/13/11		343,418		351,470		(8,052	)
								6,565,358		6,492,864		72,494
	Credit Suisse Securities LLC		710,733	Euro		7/13/11		1,007,201		1,030,440		(23,239	)
	Deutsche Bank AG		5,072,000	British Pound		7/15/11		8,221,560		8,139,313		82,247
	Deutsche Bank AG		11,183,000	Canadian Dollar		7/15/11		11,589,682		11,592,302		(2,620	)
	Deutsche Bank AG		2,571,000	Swiss Franc		7/15/11		3,014,068		3,058,160		(44,092	)
								22,825,310		22,789,775		35,535
	Goldman Sachs & Co.		1,760,000	Australian Dollar		7/15/11		1,868,865		1,885,298		(16,433	)
	Goldman Sachs & Co.		1,176,000	New Zealand Dollar		7/15/11		966,566		973,658		(7,092	)
								2,835,431		2,858,956		(23,525	)
	Royal Bank of Canada		722,521	Euro		7/13/11		1,041,950		1,047,530		(5,580	)
	Royal Bank of Canada		41,537,000	Norwegian Krone		7/15/11		7,691,752		7,694,246		(2,494	)
	Royal Bank of Canada		29,001,000	Swedish Krona		7/15/11		4,688,167		4,582,350		105,817
								13,421,869		13,324,126		97,743
	Royal Bank of Scotland PLC		1,449,000	Euro		7/15/11		2,087,024		2,100,682		(13,658	)
	Royal Bank of Scotland PLC		1,148,000	New Zealand Dollar		7/15/11		944,000		950,476		(6,476	)
	Royal Bank of Scotland PLC		6,968,000	Swiss Franc		7/15/11		7,770,975		8,288,315		(517,340	)
								10,801,999		11,339,473		(537,474	)
	Standard Chartered Bank		413,120,000	Japanese Yen		7/15/11		4,917,124		5,131,855		(214,731	)
	State Street Bank and Trust Co.		1,844,000	British Pound		7/15/11		2,964,267		2,959,167		5,100
	State Street Bank and Trust Co.		628,000	Canadian Dollar		7/15/11		643,245		650,985		(7,740	)
	State Street Bank and Trust Co.		5,487,000	Euro		7/15/11		7,770,305		7,954,757		(184,452	)
	State Street Bank and Trust Co.		367,058,000	Japanese Yen		7/15/11		4,426,866		4,559,664		(132,798	)
	State Street Bank and Trust Co.		2,308,000	Norwegian Krone		7/15/11		412,055		427,530		(15,475	)
								16,216,738		16,552,103		(335,365	)

280

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Diversified International Fund (Continued)
SELLS (Continued)
	UBS AG		1,083,000	Euro		7/15/11	$	1,534,134	$	1,570,075	$	(35,941	)
	UBS AG		131,029,000	Japanese Yen		7/15/11		1,589,647		1,627,667		(38,020	)
	UBS AG		3,011,000	New Zealand Dollar		7/15/11		2,473,817		2,492,930		(19,113	)
	UBS AG		19,541,000	Swedish Krona		7/15/11		3,157,762		3,087,608		70,154
	UBS AG		1,157,000	Swiss Franc		7/15/11		1,356,701		1,376,232		(19,531	)
								10,112,061		10,154,512		(42,451	)
	Westpac Banking Corp.		7,608,000	Australian Dollar		7/15/11		8,074,827		8,149,630		(74,803	)
							$	97,920,769	$	98,990,181	$	(1,069,412	)
Cross Currency Forwards
	UBS AG		10,502,520	USD/Australian Dollar		7/13/11	$	11,134,775	$	11,253,067	$	118,292
			6,830,685	British Pound/USD		7/13/11		11,134,775		10,961,839		172,936
									$	22,214,906	$	291,228
	UBS AG		8,512,687	USD/Hong Kong Dollar		7/13/11	$	1,093,375	$	1,093,983	$	608
			1,059,523	Canadian Dollar/USD		7/13/11		1,093,375		1,098,357		(4,982	)
									$	2,192,340	$	(4,374	)
	UBS AG		1,413,699	USD/Singapore Dollar		7/13/11	$	1,144,001	$	1,150,945	$	6,944
			794,164	Euro/USD		7/13/11		1,144,001		1,151,400		(7,399	)
									$	2,302,345	$	(455	)
	UBS AG		1,986,470	USD/Swiss Franc		7/13/11	$	2,372,471	$	2,362,844	$	(9,627	)
			1,629,055	Euro/USD		7/13/11		2,372,471		2,361,848		10,623
									$	4,724,692	$	996
	UBS AG		367,405	USD/Swiss Franc		7/13/11	$	438,797	$	437,017	$	(1,780	)
			35,076,214	Japanese Yen/USD		7/13/11		438,797		435,719		3,078
									$	872,736	$	1,298
Overseas Fund
BUYS
	Barclays Bank PLC		1,016,775	Euro		7/13/11	$	1,459,099	$	1,474,148	$	15,049
	Barclays Bank PLC		92,122,099	Japanese Yen		7/13/11		1,150,260		1,144,347		(5,913	)
								2,609,359		2,618,495		9,136
	BNP Paribas SA		996,000	New Zealand Dollar		7/15/11		772,836		824,629		51,793

281

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Overseas Fund (Continued)
BUYS (Continued)
	Citibank N.A.		281,217	British Pound		7/13/11	$	449,906	$	451,294	$	1,388
	Citibank N.A.		3,371,000	British Pound		7/15/11		5,551,521		5,409,626		(141,895	)
	Citibank N.A.		333,686	Euro		7/13/11		476,432		483,787		7,355
								6,477,859		6,344,707		(133,152	)
	Credit Suisse Securities LLC		210,938	British Pound		7/13/11		341,551		338,512		(3,039	)
	Deutsche Bank AG		4,236,000	British Pound		7/15/11		6,972,731		6,797,738		(174,993	)
	Deutsche Bank AG		5,651,000	Canadian Dollar		7/15/11		5,829,680		5,857,829		28,149
	Deutsche Bank AG		5,712,000	Swiss Franc		7/15/11		6,475,823		6,794,325		318,502
								19,278,234		19,449,892		171,658
	Goldman Sachs & Co.		1,502,000	Australian Dollar		7/15/11		1,582,612		1,608,931		26,319
	Royal Bank of Canada		34,229,000	Norwegian Krone		7/15/11		6,276,796		6,340,524		63,728
	Royal Bank of Canada		23,403,000	Swedish Krona		7/15/11		3,741,918		3,697,829		(44,089	)
								10,018,714		10,038,353		19,639
	Royal Bank of Scotland PLC		6,149,000	Euro		7/15/11		8,882,292		8,914,489		32,197
	Royal Bank of Scotland PLC		1,075,000	New Zealand Dollar		7/15/11		833,802		890,036		56,234
								9,716,094		9,804,525		88,431
	Societe Generale		187,617	British Pound		7/13/11		301,996		301,087		(909	)
	Standard Chartered Bank		297,866,000	Japanese Yen		7/15/11		3,651,818		3,700,148		48,330
	State Street Bank and Trust Co.		1,788,000	British Pound		7/15/11		2,911,117		2,869,300		(41,817	)
	State Street Bank and Trust Co.		4,225,000	Canadian Dollar		7/15/11		4,317,040		4,379,637		62,597
	State Street Bank and Trust Co.		92,000,000	Japanese Yen		7/01/11		1,136,462		1,142,786		6,324
	State Street Bank and Trust Co.		197,863,000	Japanese Yen		7/15/11		2,425,208		2,457,891		32,683
	State Street Bank and Trust Co.		700,000	Norwegian Krone		7/15/11		128,449		129,667		1,218
	State Street Bank and Trust Co.		2,800,000	Swiss Franc		7/06/11		3,343,443		3,330,379		(13,064	)
	State Street Bank and Trust Co.		2,609,000	Swiss Franc		7/15/11		2,887,851		3,103,360		215,509
								17,149,570		17,413,020		263,450

282

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Overseas Fund (Continued)
BUYS (Continued)
	Toronto Dominion Bank		245,566	Euro		7/13/11	$	352,525	$	356,028	$	3,503
	UBS AG		532,421	Euro		7/13/11		760,585		771,919		11,334
	UBS AG		232,802,000	Japanese Yen		7/15/11		2,854,102		2,891,910		37,808
	UBS AG		2,015,000	New Zealand Dollar		7/15/11		1,584,495		1,668,301		83,806
	UBS AG		16,039,000	Swedish Krona		7/15/11		2,563,582		2,534,268		(29,314	)
	UBS AG		1,942,829	Swiss Franc		7/13/11		2,304,934		2,310,934		6,000
	UBS AG		751,000	Swiss Franc		7/15/11		848,690		893,301		44,611
								10,916,388		11,070,633		154,245
	Westpac Banking Corp.		5,829,000	Australian Dollar		7/15/11		6,059,851		6,243,979		184,128
							$	89,229,407	$	90,112,939	$	883,532
SELLS
	Barclays Bank PLC		638,166	Euro		7/13/11	$	906,514	$	925,230	$	(18,716	)
	BNP Paribas SA		996,000	New Zealand Dollar		7/15/11		818,523		824,629		(6,106	)
	Citibank N.A.		3,371,000	British Pound		7/15/11		5,481,776		5,409,626		72,150
	Credit Suisse Securities LLC		562,410	Euro		7/13/11		797,008		815,397		(18,389	)
	Deutsche Bank AG		4,236,000	British Pound		7/15/11		6,866,429		6,797,738		68,691
	Deutsche Bank AG		8,599,000	Canadian Dollar		7/15/11		8,911,712		8,913,727		(2,015	)
	Deutsche Bank AG		2,627,000	Swiss Franc		7/15/11		3,079,719		3,124,771		(45,052	)
								18,857,860		18,836,236		21,624
	Goldman Sachs & Co.		1,502,000	Australian Dollar		7/15/11		1,594,906		1,608,932		(14,026	)
	Royal Bank of Canada		573,066	Euro		7/13/11		826,420		830,846		(4,426	)
	Royal Bank of Canada		34,229,000	Norwegian Krone		7/15/11		6,338,469		6,340,524		(2,055	)
	Royal Bank of Canada		23,403,000	Swedish Krona		7/15/11		3,783,220		3,697,829		85,391
								10,948,109		10,869,199		78,910
	Royal Bank of Scotland PLC		678,000	Euro		7/15/11		976,022		982,928		(6,906	)
	Royal Bank of Scotland PLC		1,075,000	New Zealand Dollar		7/15/11		883,973		890,036		(6,063	)
	Royal Bank of Scotland PLC		5,694,000	Swiss Franc		7/15/11		6,350,163		6,772,914		(422,751	)
								8,210,158		8,645,878		(435,720	)
	Standard Chartered Bank		297,866,000	Japanese Yen		7/15/11		3,545,323		3,700,148		(154,825	)

283

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Overseas Fund (Continued)
SELLS (Continued)
	State Street Bank and Trust Co.		615,000	Australian Dollar		8/12/11	$	534,312	$	656,457	$	(122,145	)
	State Street Bank and Trust Co.		400,000	Australian Dollar		9/12/11		351,268		425,306		(74,038	)
	State Street Bank and Trust Co.		1,013,000	Australian Dollar		9/16/11		939,276		1,076,552		(137,276	)
	State Street Bank and Trust Co.		4,202,000	Australian Dollar		9/21/11		4,253,203		4,462,843		(209,640	)
	State Street Bank and Trust Co.		1,788,000	British Pound		7/15/11		2,874,246		2,869,300		4,946
	State Street Bank and Trust Co.		1,277,000	Canadian Dollar		7/15/11		1,308,000		1,323,739		(15,739	)
	State Street Bank and Trust Co.		4,476,000	Euro		7/15/11		6,338,598		6,489,064		(150,466	)
	State Street Bank and Trust Co.		7,090,000	Euro		3/21/12		10,162,310		10,199,164		(36,854	)
	State Street Bank and Trust Co.		92,000,000	Japanese Yen		7/01/11		1,046,394		1,142,786		(96,392	)
	State Street Bank and Trust Co.		197,863,000	Japanese Yen		7/15/11		2,386,307		2,457,891		(71,584	)
	State Street Bank and Trust Co.		173,000,000	Japanese Yen		7/20/11		1,991,229		2,149,091		(157,862	)
	State Street Bank and Trust Co.		155,000,000	Japanese Yen		8/03/11		1,798,499		1,925,616		(127,117	)
	State Street Bank and Trust Co.		201,000,000	Japanese Yen		8/15/11		2,366,098		2,497,255		(131,157	)
	State Street Bank and Trust Co.		396,000,000	Japanese Yen		9/07/11		4,723,001		4,920,613		(197,612	)
	State Street Bank and Trust Co.		157,000,000	Japanese Yen		9/16/11		1,919,738		1,950,973		(31,235	)
	State Street Bank and Trust Co.		751,000,000	Japanese Yen		9/21/11		9,303,283		9,332,691		(29,408	)
	State Street Bank and Trust Co.		700,000	Norwegian Krone		7/15/11		124,973		129,667		(4,694	)
	State Street Bank and Trust Co.		10,465,000	Swedish Krona		12/21/11		1,635,712		1,638,212		(2,500	)
	State Street Bank and Trust Co.		2,800,000	Swiss Franc		7/06/11		2,651,264		3,330,379		(679,115	)
	State Street Bank and Trust Co.		2,080,000	Swiss Franc		7/19/11		2,006,966		2,474,181		(467,215	)
	State Street Bank and Trust Co.		1,900,000	Swiss Franc		8/03/11		1,827,661		2,260,264		(432,603	)
	State Street Bank and Trust Co.		20,785,000	Swiss Franc		3/21/12		24,525,913		24,780,327		(254,414	)
								85,068,251		88,492,371		(3,424,120	)
	UBS AG		995,000	Euro		7/15/11		1,409,477		1,442,497		(33,020	)
	UBS AG		232,802,000	Japanese Yen		7/15/11		2,781,207		2,891,910		(110,703	)

284

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Overseas Fund (Continued)
SELLS (Continued)
	UBS AG		2,015,000	New Zealand Dollar		7/15/11	$	1,655,510	$	1,668,301	$	(12,791	)
	UBS AG		16,039,000	Swedish Krona		7/15/11		2,591,850		2,534,268		57,582
	UBS AG		751,000	Swiss Franc		7/15/11		880,624		893,301		(12,677	)
								9,318,668		9,430,277		(111,609	)
	Westpac Banking Corp.		5,829,000	Australian Dollar		7/15/11		6,186,667		6,243,979		(57,312	)
							$	151,733,763	$	155,801,902	$	(4,068,139	)
Cross Currency Forwards
	UBS AG		8,412,430	USD/Australian Dollar		7/13/11	$	8,918,860	$	9,013,611	$	94,751
			5,471,321	British Pound/USD		7/13/11		8,918,860		8,780,340		138,520
									$	17,793,951	$	233,271
	UBS AG		243,162	USD/British Pound		7/13/11	$	392,634	$	390,225	$	(2,409	)
			275,666	Euro/USD		7/13/11		392,634		399,668		(7,034	)
									$	789,893	$	(9,443	)
	UBS AG		915,558	USD/Hong Kong Dollar		7/13/11	$	117,595	$	117,660	$	65
			71,802	British Pound/USD		7/13/11		117,595		115,227		2,368
									$	232,887	$	2,433
	UBS AG		6,716,448	USD/Hong Kong Dollar		7/13/11	$	862,665	$	863,144	$	479
			835,956	Canadian Dollar/ USD		7/13/11		862,665		866,596		(3,930	)
									$	1,729,740	$	(3,451	)
	UBS AG		11,463,759	USD/Hong Kong Dollar		7/13/11	$	1,472,412	$	1,473,231	$	819
			1,018,083	Euro/USD		7/13/11		1,472,412		1,476,044		(3,632	)
									$	2,949,275	$	(2,813	)
	UBS AG		911,413	USD/Hong Kong Dollar		7/13/11	$	117,062	$	117,128	$	66
			9,423,236	Japanese Yen/USD		7/13/11		117,062		117,056		6
									$	234,184	$	72

285

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Overseas Fund (Continued)
Cross Currency Forwards (Continued)
	UBS AG		1,140,523	USD/Singapore Dollar		7/13/11	$	922,940	$	928,541	$	5,601
			640,703	Euro/USD		7/13/11		922,940		928,909		(5,969	)
									$	1,857,450	$	(368	)

Futures Contracts

A Fund may seek to manage a variety of different risks through the use of futures contracts and related options, such as interest rate risk, equity price risk, and currency risk. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed-income security, during a specified future period at a specified price. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.

Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When the Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.

If a Fund buys an option on a futures contract, it will have the right to assume a futures contract at a particular price during the course of the option. Its potential loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a futures contract, it is subject generally to the same risks as if it had entered into a futures contract underlying the option itself.

When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See “Options, Rights, and Warrants,” below, for information regarding the accounting treatment of options.

The Fund(s) listed in the following table had open futures contracts at June 30, 2011:

Number of Contracts	Type	Expiration Date		Notional Contract Value		Net Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund
BUYS
17	German Euro Bund		9/8/11	$	3,093,401	$	(15,914	)
245	90 Day Eurodollar		9/19/11		61,038,688		21,031
139	U.S. Treasury Note 2 Year		9/30/11		30,488,781		67,143

286

Notes to Financial Statements (Unaudited) (Continued)

Number of Contracts	Type	Expiration Date		Notional Contract Value		Net Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund (continued)
549	90 Day Eurodollar		12/19/11	$	136,673,550	$	100,655
2,861	90 Day Eurodollar		3/19/12		711,781,037		2,942,115
43	3 Month EURIBOR		6/18/12		15,269,532		28,992
3,067	90 Day Eurodollar		6/18/12		762,034,487		2,902,568
43	3 Month EURIBOR		9/17/12		15,257,061		36,134
1,074	90 Day Eurodollar		9/17/12		266,298,300		169,398
43	3 Month EURIBOR		12/17/12		15,239,913		39,269
342	90 Day Eurodollar		12/17/12		84,585,150		(81,486	)
43	3 Month EURIBOR		3/18/13		15,225,883		40,067
530	90 Day Eurodollar		3/18/13		130,751,000		(139,596	)
141	90 Day Eurodollar		6/17/13		34,691,288		(88,923	)
120	90 Day Eurodollar		9/16/13		29,446,500		(56,833	)
62	90 Day Eurodollar		12/16/13		15,172,175		(28,346	)
104	90 Day Eurodollar		3/17/14		25,383,800		(55,643	)
20	90 Day Eurodollar		6/16/14		4,868,500		(9,597	)
						$	5,871,034
SELLS
22	U.S. Treasury Note 10 Year		9/21/11	$	2,691,219	$	(29,238	)
Strategic Bond Fund
BUYS
34	3 Month EURIBOR		9/19/11	$	12,113,027	$	14,501
146	Ultra Long U.S. Treasury Bond		9/21/11		18,432,500		(168,227	)
4	3 Month EURIBOR		3/19/12		1,421,582		6,671
						$	(147,055	)
SELLS
108	U.S. Treasury Bond 30 Year		9/21/11	$	13,287,375	$	99,672
277	U.S. Treasury Note 10 Year		9/21/11		33,884,891		(188,178	)
52	U.S. Treasury Note 2 Year		9/30/11		11,405,875		(23,187	)
67	U.S. Treasury Note 5 Year		9/30/11		7,986,086		47,899
						$	(63,794	)
Strategic Balanced Fund
BUYS
3	DJ Euro Stoxx 50 Index		9/16/11	$	123,901	$	2,914
1	FTSE 100 Index		9/16/11		94,732		1,942
4	3 Month EURIBOR		9/19/11		1,425,062		1,305
5	Ultra Long U.S. Treasury Bond		9/21/11		631,250		(7,430	)
						$	(1,269	)
SELLS
28	U.S. Treasury Note 10 Year		9/21/11	$	3,425,188	$	(23,100	)
6	U.S. Treasury Note 2 Year		9/30/11		1,316,062		(2,594	)
11	U.S. Treasury Note 5 Year		9/30/11		1,311,148		4,318
						$	(21,376	)

287

Notes to Financial Statements (Unaudited) (Continued)

Number of Contracts	Type	Expiration Date		Notional Contract Value		Net Unrealized Appreciation (Depreciation)
BlackRock Global Allocation Fund
BUYS
8	MSCI Taiwan Index		7/28/11	$	236,960	$	2,930
SELLS
20	S&P 500 Index		9/15/11	$	6,577,500	$	(221,790	)
5	DJ Euro Stoxx 50 Index		9/16/11		206,501		(7,152	)
94	Russell 2000 Mini Index		9/16/11		7,758,760		(413,271	)
						$	(642,213	)
Indexed Equity Fund
BUYS
184	S&P 500 Index		9/15/11	$	60,513,000	$	1,251,726
NASDAQ-100 Fund
BUYS
5	NASDAQ-100 E Mini Index		9/16/11	$	232,100	$	7,264

Swap Agreements

Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).

When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.

A Fund may enter into total return swaps. In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions).

A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an

288

Notes to Financial Statements (Unaudited) (Continued)

upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If a Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.

During the period when a credit default swap is open, the transaction is marked to market in accordance with the terms of the agreement. Changes in the values of credit default swap agreements are recorded as unrealized gains or losses and periodic cash settlements are recorded as realized gains or losses.

Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.

A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. See “Options, Rights, and Warrants,” below, for information regarding the accounting treatment of options.

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.

289

Notes to Financial Statements (Unaudited) (Continued)

The Fund(s) listed in the following table had open swap agreements at June 30, 2011. A Fund’s current exposure to a counterparty is typically the fair value of the agreement.

Notional Amount		Currency	Expiration Date		Counterparty	Buy/Sell Protection	Receive (Pay) Fixed Rate		Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
	PIMCO Total Return Fund*
	Credit Default Swaps
	1,500,000	USD		6/20/15	Barclays Bank PLC	Sell††		5.000%	CDX.NA.EM.13 (PIMCO Rating: BA+)**	$	(4,556	)	$	165,700		$	161,144
	1,000,000	USD		6/20/15	Barclays Bank PLC	Sell††		5.000%	CDX.EM.13 (PIMCO Rating: BA+)**		(5,572	)		113,000			107,428
	15,100,000	USD		12/20/15	Barclays Bank PLC	Sell††		5.000%	CDX.EM.14 (PIMCO Rating: BA+)**		(175,103	)		1,932,800			1,757,697
	6,900,000	USD		3/20/16	Barclays Bank PLC	Sell††		1.000%	People’s Republic of China (PIMCO Rating: AA-)**		(35,041	)		83,717			48,676
	1,000,000	USD		3/20/16	Barclays Bank PLC	Sell††		1.000%	People’s Republic of China (PIMCO Rating: AA-)**		(4,895	)		11,950			7,055
	10,600,000	USD		3/20/16	Barclays Bank PLC	Sell††		1.000%	United Mexican States (PIMCO Rating: BAA+)**		15,376			(51,149	)		(35,773	)
	20,700,000	USD		3/20/16	Barclays Bank PLC	Sell††		1.000%	Federative Republic of Brazil (PIMCO Rating: BAA)**		(7,167	)		(90,235	)		(97,402	)
	800,000	USD		3/20/16	Barclays Bank PLC	Sell††		1.000%	Republic of Italy (PIMCO Rating: AA)**		4,821			(31,136	)		(26,315	)
	11,600,000	USD		6/20/16	Barclays Bank PLC	Sell††		1.000%	People’s Republic of China (PIMCO Rating: AA-)**		(80,901	)		150,653			69,752
	7,400,000	USD		6/20/16	Barclays Bank PLC	Sell††		5.000%	CDX.NA.HY.16 (PIMCO Rating: B)**		81,305			(27,750	)		53,555
											(211,733	)		2,257,550			2,045,817
	14,800,000	USD		6/20/16	Credit Suisse Securities LLC	Sell††		1.000%	CDX.NA.IG.16 (PIMCO Rating: BAA+)**		(38,113	)		70,770			32,657
	6,100,000	USD		6/20/16	Credit Suisse Securities LLC	Sell††		1.000%	Federative Republic of Brazil (PIMCO Rating: BAA)**		(30,384	)		(8,878	)		(39,262	)
											(68,497	)		61,892			(6,605	)
	1,000,000	USD		12/20/15	Goldman Sachs & Co.	Sell††		1.000%	United Kingdom of Great Britain and Northern Ireland (PIMCO Rating: AAA)**		(5,160	)		23,194			18,034
	1,000,000	USD		12/20/15	Goldman Sachs & Co.	Sell††		1.000%	United Kingdom of Great Britain and Northern Ireland (PIMCO Rating: AAA)**		(4,981	)		23,015			18,034
	300,000	USD		12/20/15	Goldman Sachs & Co.	Sell††		0.250%	French Republic (PIMCO Rating: AAA)**		(729	)		(5,883	)		(6,612	)
	5,200,000	USD		3/20/16	Goldman Sachs & Co.	Sell††		0.250%	French Republic (PIMCO Rating: AAA)**		67,016			(195,801	)		(128,785	)
	200,000	USD		3/20/16	Goldman Sachs & Co.	Sell††		1.000%	Republic of Italy (PIMCO Rating: AA)**		1,116			(7,694	)		(6,578	)
	400,000	USD		3/20/16	Goldman Sachs & Co.	Sell††		1.000%	Kingdom of Spain (PIMCO Rating: AA)**		(2,804	)		(26,582	)		(29,386	)
	2,600,000	USD		3/20/16	Goldman Sachs & Co.	Sell††		1.000%	Republic of Italy (PIMCO Rating: AA)**		8,700			(94,224	)		(85,524	)
	3,000,000	USD		3/20/16	Goldman Sachs & Co.	Sell††		1.000%	Kingdom of Spain (PIMCO Rating: AA)**		(38,177	)		(182,213	)		(220,390	)
	1,000,000	USD		6/20/16	Goldman Sachs & Co.	Sell††		1.000%	Kingdom of Spain (PIMCO Rating: AA)**		(17,109	)		(60,347	)		(77,456	)
	1,000,000	USD		6/20/16	Goldman Sachs & Co.	Sell††		1.000%	Republic of Italy (PIMCO Rating: AA)**		(15,914	)		(19,704	)		(35,618	)
	3,700,000	USD		6/20/16	Goldman Sachs & Co.	Sell††		0.250%	French Republic (PIMCO Rating: AAA)**		(5,108	)		(96,633	)		(101,741	)
	1,600,000	USD		6/20/16	Goldman Sachs & Co.	Sell††		1.000%	Japan Government (PIMCO Rating: AA)**		(9,014	)		16,292			7,278
											(22,164	)		(626,580	)		(648,744	)

290

Notes to Financial Statements (Unaudited) (Continued)

Notional Amount		Currency	Expiration Date		Counterparty	Buy/Sell Protection	Receive (Pay) Fixed Rate		Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
	PIMCO Total Return Fund (continued)*
	Credit Default Swaps (continued)
	200,000	USD		12/20/15	JP Morgan Chase Bank	Sell††		5.000%	CDX.EM.14 (PIMCO Rating: BA+)**	$	(3,119	)	$	26,400		$	23,281
	6,600,000	USD		3/20/16	JP Morgan Chase Bank	Sell††		1.000%	MetLife, Inc. (PIMCO Rating: A-)**		(7,175	)		(159,291	)		(166,466	)
											(10,294	)		(132,891	)		(143,185	)
	700,000	USD		12/20/15	Royal Bank of Scotland PLC	Sell††		0.250%	French Republic (PIMCO Rating: AAA)**		(1,531	)		(13,898	)		(15,429	)
	1,000,000	USD		3/20/16	Royal Bank of Scotland PLC	Sell††		0.250%	French Republic (PIMCO Rating: AAA)**		8,820			(33,587	)		(24,767	)
											7,289			(47,485	)		(40,196	)
	1,000,000	USD		9/20/15	UBS AG	Sell††		1.000%	United Mexican States (PIMCO Rating: BAA+)**		13,200			(14,147	)		(947	)
	800,000	USD		12/20/15	UBS AG	Sell††		5.000%	CDX.EM.14 (PIMCO Rating: BA+)**		(17,927	)		111,050			93,123
	14,300,000	USD		6/20/16	UBS AG	Sell††		0.250%	Federal Republic of Germany (PIMCO Rating: AAA)**		29,874			(140,928	)		(111,054	)
											25,147			(44,025	)		(18,878	)

Notional Amount		Currency	Expiration Date		Counterparty	Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)	Premium Received (Paid)			Value
	Interest Rate Swaps
	62,400,000	BRL		1/02/12	Barclays Bank PLC	Floating Rate BRL-CDI	Fixed 10.835%	$190,086	$	202,781		$	392,867
	60,600,000	EUR		9/21/21	Barclays Bank PLC	6-Month EUR-EURIBOR	Fixed 3.500%	(692,013)		824,286			132,273
	4,500,000	USD		6/15/41	Barclays Bank PLC	Fixed 4.250%	3-Month USD-LIBOR	(185,376)		38,214			(147,162	)
								(687,303)		1,065,281			377,978
	2,300,000	EUR		9/21/21	Credit Suisse Securities LLC	6-Month EUR-EURIBOR	Fixed 3.500%	10,456		(5,436	)		5,020
	1,900,000	USD		12/21/41	Credit Suisse Securities LLC	Fixed 4.000%	3-Month USD-LIBOR-BBA	33,703		23,275			56,978
								44,159		17,839			61,998
	16,700,000	EUR		9/21/21	Goldman Sachs & Co.	6-Month EUR-EURIBOR	Fixed 3.500%	269,788		(233,337	)		36,451
	1,900,000	USD		6/15/41	Goldman Sachs & Co.	Fixed 4.250%	3-Month USD-LIBOR-BBA	(116,336)		54,200			(62,136	)
								153,452		(179,137	)		(25,685	)
	200,000	USD		6/15/21	JP Morgan Chase Bank	Fixed 3.500%	3-Month USD-LIBOR-BBA	(3,428)		(948	)		(4,376	)
	10,400,000	USD		6/15/41	JP Morgan Chase Bank	Fixed 4.250%	3-Month USD-LIBOR-BBA	(160,936)		(179,178	)		(340,114	)
								(164,364)		(180,126	)		(344,490	)
	93,300,000	USD		6/15/41	Royal Bank of Scotland PLC	Fixed 4.250%	3-Month USD-LIBOR-BBA	(5,532,457)		2,481,240			(3,051,217	)
	200,000	USD		6/15/21	UBS AG	Fixed 3.500%	3-Month USD-LIBOR-BBA	(4,290)		(86	)		(4,376	)
	9,400,000	USD		6/15/41	UBS AG	Fixed 4.250%	3-Month USD-LIBOR-BBA	(520,511)		213,100			(307,411	)
								(524,801)		213,014			(311,787	)

291

Notes to Financial Statements (Unaudited) (Continued)

Notional Amount		Currency	Expiration Date		Counterparty	Buy/Sell Protection	Receive (Pay) Fixed Rate		Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid		Value
	Strategic Bond Fund***
	Credit Default Swaps
	1,000,000	USD		6/20/12	Barclays Bank PLC	Sell***		1.870%	The AES Corp. (Moody’s Rating: B1; S&P Rating: BB-)	$	6,196		$	-	$	6,196
	1,000,000	USD		6/20/12	Barclays Bank PLC	Sell***		2.620%	HCA Inc. (Moody’s Rating: B3; S&P Rating: B-)		14,389			-		14,389
											20,585			-		20,585
	100,000	USD		9/20/12	Goldman Sachs & Co.	Sell***		3.240%	Energy Future Holdings Corp. (Moody’s Rating: Ca2; S&P Rating: D)		(7,468	)		-		(7,468	)
	1,000,000	USD		6/20/12	Morgan Stanley & Co.	Sell***		2.920%	Ford Motor Credit Co. (Moody’s Rating: Ba2; S&P Rating: BB-)		14,729			-		14,729

Notional Amount		Currency	Expiration Date		Counterparty	Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
	Interest Rate Swaps
	2,460,000	USD		2/15/25	Morgan Stanley & Co.	Notional amount at expiration date	Floating notional amount + compounded 3-Month USD-LIBOR-BBA at expiration date		$(183,714)		$	-		$	(183,714	)
	3,740,000	USD		11/15/27	Morgan Stanley & Co.	Notional amount at expiration date	Floating notional amount + compounded 3-Month USD-LIBOR-BBA at expiration date		(244,111)			-			(244,111	)
									(427,825)			-			(427,825	)
	Total Return Swaps
	200,000	USD		1/01/12	Morgan Stanley & Co.	Absolute value of TRXCMBS Index if negative	Absolute value of TRXCMBS Index if positive		(976	)		-			(976	)
	110,000	USD		1/01/12	Morgan Stanley & Co.	Absolute value of TRXCMBS Index if negative	Absolute value of TRXCMBS Index if positive		(537	)		-			(537	)
	10,000	USD		10/01/11	Morgan Stanley & Co.	Absolute value of TRXCMBS Index if negative	Absolute Value of TRXCMBS Index if positive		(23	)		-			(23	)
	766,213	USD		1/12/39	Morgan Stanley & Co.	1-Month USD- LIBOR-BBA	IOS.FN30.550.08		4,456			(2,491	)		1,965
	624,503	USD		1/12/41	Morgan Stanley & Co.	1-Month USD- LIBOR-BBA	IOS.FN30.500.10		5,924			(1,085	)		4,839
									8,844			(3,576	)		5,268

Notional Amount		Currency	Expiration Date		Counterparty	Buy/Sell Protection	Receive (Pay) Fixed Rate		Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
	Strategic Balanced Fund
	Credit Default Swaps
	13,000	USD		10/12/52	Bank of America Securities LLC	Sell		0.100%	CMBX 1 2006-1 AAA (Moody’s Rating: Aaa; S&P Rating: AA+)	$	14		$	(487	)	$	(473	)
	30,000	USD		2/17/51	Barclays Bank PLC	Buy		(0.500)%	CMBX.NA.AM.4		1,416			3,150			4,566
	50,000	USD		12/13/49	Credit Suisse Securities LLC	Sell		0.500%	CMBX.NA.AM.3 (Moody’s Rating: A1; S&P Rating: BBB)		(1,895	)		(4,625	)		(6,520	)

292

Notes to Financial Statements (Unaudited) (Continued)

Notional Amount		Currency	Expiration Date		Counterparty	Buy/Sell Protection	Receive (Pay) Fixed Rate		Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
	Strategic Balanced Fund (continued)
	Credit Default Swaps (continued)
	80,000	USD		10/12/52	Credit Suisse Securities LLC	Sell		0.500%	CMBX.NA.AM.1 (Moody’s Rating: Aa1; S&P Rating: A+)	$	(1,722	)	$	(3,550	)	$	(5,272	)
	18,000	USD		10/12/52	Credit Suisse Securities LLC	Sell		0.100%	CMBX 1 2006-1 AAA (Moody’s Rating: Aaa; S&P Rating: AA+)		155			(810	)		(655	)
	50,000	USD		10/12/52	Credit Suisse Securities LLC	Sell		0.500%	CMBX.NA.AM.1 (Moody’s Rating: Aa1; S&P Rating: A+)		2,236			(5,531	)		(3,295	)
	50,000	USD		3/15/49	Credit Suisse Securities LLC	Buy		(0.070)%	CMBX 2 2006-2 AAA		185			2,125			2,310
	51,000	USD		3/15/49	Credit Suisse Securities LLC	Buy		(0.070)%	CMBX 2 2006-2 AAA		14			2,343			2,357
	30,000	USD		12/13/49	Credit Suisse Securities LLC	Buy		(0.080)%	CMBX 3 2007-1 AAA		167			1,593			1,760
											(860	)		(8,455	)		(9,315	)
	40,000	USD		6/20/18	Deutsche Bank	Sell		1.000%	MetLife, Inc. (Moody’s Rating: A3; S&P Rating: A-)		(290	)		(1,695	)		(1,985	)
	30,000	USD		2/17/51	Deutsche Bank	Buy		(0.500)%	CMBX.NA.AM.4		(1,659	)		6,225			4,566
											(1,949	)		4,530			2,581
	45,000	USD		3/15/49	Goldman Sachs & Co.	Buy		(0.070)%	CMBX 2 2006-2 AAA		54			2,025			2,079
	20,000	USD		2/17/51	Morgan Stanley & Co.	Buy		(0.500)%	CMBX.NA.AM.4		994			2,050			3,044
	30,000	USD		10/12/52	Morgan Stanley & Co.	Sell		0.100%	CMBX 1 2006-1 AAA (Moody’s Rating: Aa1; S&P Rating: AA+)		296			(1,387	)		(1,091	)
											1,290			663			1,953

Notional Amount		Currency	Expiration Date		Counterparty	Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)			Premium Received (Paid)			Value
	Total Return Swaps
	42,567	USD		1/12/39	Barclays Bank PLC	1-Month USD LIBOR BBA	IOS.FN30.550.08	$	234		$	(125	)	$	109
	89,215	USD		1/12/41	Barclays Bank PLC	1-Month USD LIBOR-BBA	IOS.FN30.500.10		837			(145	)		692
									1,071			(270	)		801
	90,956	USD		1/12/41	Deutsche Bank	1-Month USD LIBOR-BBA	IOS.FN30.450.10		1,079			(442	)		637
	78,135	USD		1/12/39	Goldman Sachs & Co.	1-Month USD LIBOR-BBA	IOS.FN30.600.08		(323	)		911			588
	25,000	USD		1/01/12	Morgan Stanley & Co.	Absolute value of TRXCMBS Index if negative	Absolute value of TRXCMBS Index if positive		(122	)		-			(122	)
	42,567	USD		1/12/39	Morgan Stanley & Co.	1-Month USD LIBOR-BBA	IOS.FN30.550.08		247			(138	)		109
									125			(138	)		(13	)

293

Notes to Financial Statements (Unaudited) (Continued)

Notional Amount		Currency	Expiration Date		Counterparty	Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)			Premium Received (Paid)		Value
	BlackRock Global Allocation Fund
	Total Return Swaps
	1,815	USD		1/11/12	BNP Paribas SA	3 Month USD Libor + 0.380%	MSCI Daily Total Returns Net Emerging Markets Index (NDUEEGF)	$	(39,714	)	$	-	$	(39,714	)
	6,364	USD		9/16/11	BNP Paribas SA	3 Month USD LIBOR - 0.080%	MSCI AC Worlds Net US Index (NDUEACWZ)		32,376			-		32,376
									(7,338	)		-		(7,338	)
	Interest Rate Swaps
	2,860,000	USD		5/16/14	Morgan Stanley & Co.	3-Month USD-LIBOR-BBA	Fixed 2.190%		9,110			-		9,110

Deliver

Receive

Expiration Date

Counterparty

(Buy)/Sell

Fixed Rate

Variable Rate

Unrealized Appreciation (Depreciation)

Premium Received (Paid)

Value

Currency Swaps

356,000

USD

3,039,528,000

IDR

6/03/18

Credit Suisse Securities LLC

(Buy)

8.250%

6-Month USD-LIBOR- BBA

$

2,841

$

-

$

2,841

BRL Brazilian Real

EUR Euro

IDR Indonesian Rupiah

USD U.S. Dollar

* Collateral for swap agreements received from Barclays Bank PLC and UBS AG amounted to $3,380,000 and $1,140,000 in cash, respectively, at June 30, 2011; and collateral for swap agreements held by Credit Suisse LLC, Goldman Sachs & Co., JP Morgan Chase Bank, and Royal Bank of Scotland PLC amounted to $270,998, $1,149,992, $460,317, and $2,662,950 in securities, respectively, at June 30, 2011.

** Rating is determined by Pacific Investment Management Company LLC and represents a weighted average rating of all securities in the underlying index for credit default swaps. The source of the ratings for the underlying securities are Moody’s Investors Service, Inc., Standard & Poor’s Ratings Group, and/or Fitch Ratings. All ratings are as of the report date and do not reflect subsequent changes.

*** Collateral for swap agreements held by Morgan Stanley & Co. amounted to $400,000 in cash at June 30, 2011.

†† For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent Moody’s Investors Service, Inc., Standard & Poor’s Ratings Group, or Pacific Investment Management Company LLC’s rating category. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection.

Options, Rights, and Warrants

A Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.

A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise.

294

Notes to Financial Statements (Unaudited) (Continued)

Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written.

A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.

When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.

A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.

When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.

Options purchased or sold by a Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited.

OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration.

Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.

295

Notes to Financial Statements (Unaudited) (Continued)

A Fund may purchase or sell “structured options,��� which may comprise multiple option exposures within a single security. The risk and return characteristics of a structured option will vary depending on the nature of the underlying option exposures. A Fund may use such options for hedging purposes or as a substitute for direct investments in options or securities. A Fund’s use of structured options may create investment leverage.

A Fund may invest in rights and warrants to purchase securities. Rights or warrants generally give the holder the right to receive, upon exercise, a security at a stated price. Funds typically use rights and warrants in a manner similar to their use of options on securities, as described above. Risks associated with the use of rights or warrants are generally similar to risks associated with the use of options.

The Fund(s) listed in the following table had open written option contracts at June 30, 2011. A Fund’s current exposure to a counterparty is typically the fair value of the contract.

Notional Amount		Expiration Date		Description	Premiums Received		Value
PIMCO Total Return Fund
$	657,500		9/19/11	Eurodollar Futures Put, Strike 99.38	$	163,812	$	19,725
	355,000		3/19/12	Eurodollar Futures Put, Strike 99.00		116,039		19,525
	8,200,000		10/11/11	Interest Rate Swaption Straddle USD 1 Year Call, Strike TBD*		41,656		53,072
	28,900,000		10/11/11	Interest Rate Swaption Straddle USD 1 Year Call, Strike TBD**		152,598		187,045
	17,700,000		11/14/11	Interest Rate Swaption USD 1 Year Put, Strike 0.65**		36,285		14,964
	111,200,000		4/30/12	Interest Rate Swaption USD 1 Year Put, Strike 2.00**		166,800		49,921
	42,200,000		4/30/12	Interest Rate Swaption USD 1 Year Put, Strike 2.00***		84,400		18,945
	20,300,000		11/19/12	Interest Rate Swaption USD 1 Year Put, Strike 1.00**		115,817		110,862
	22,600,000		11/19/12	Interest Rate Swaption USD 1 Year Put, Strike 1.75***		85,315		65,146
	26,400,000		8/24/11	Interest Rate Swaption USD 10 Year Call, Strike 3.00****		146,400		81,796
	65,200,000		10/11/11	Interest Rate Swaption USD 10 Year Call, Strike 3.00***		338,499		359,481
	28,400,000		11/14/11	Interest Rate Swaption USD 10 Year Call, Strike 3.00***		235,720		192,487
	26,400,000		8/24/11	Interest Rate Swaption USD 10 Year Put, Strike 3.75****		146,400		75,394
	65,200,000		10/11/11	Interest Rate Swaption USD 10 Year Put, Strike 4.25***		410,760		128,750
	28,400,000		11/14/11	Interest Rate Swaption USD 10 Year Put, Strike 3.75***		393,340		339,145
	70,100,000		9/24/12	Interest Rate Swaption USD 2 Year Put, Strike 2.25***		546,745		358,968
	20,600,000		9/24/12	Interest Rate Swaption USD 2 Year Put, Strike 2.25**		122,227		105,488
	16,600,000		6/18/12	Interest Rate Swaption USD 3 Year Put, Strike 3.00***		104,476		59,307
	23,100,000		6/18/12	Interest Rate Swaption USD 3 Year Put, Strike 3.00*****		209,330		82,530
	49,100,000		9/12/11	Interest Rate Swaption USD 5 Year Call, Strike 1.80**		114,567		93,175
	1,300,000		11/14/11	Interest Rate Swaption USD 5 Year Call, Strike 1.75****		3,738		2,573
	49,100,000		9/12/11	Interest Rate Swaption USD 5 Year Put, Strike 2.50**		225,042		161,322
	1,300,000		11/14/11	Interest Rate Swaption USD 5 Year Put, Strike 2.75****		6,500		6,197
	4,000,000		8/04/11	U.S. Government Agency TBA Call, Strike 104.53		10,000		4,082
	4,000,000		8/04/11	U.S. Government Agency TBA Put, Strike 102.53		12,500		13,621
	309,000		7/22/11	U.S. Treasury Notes 5 Year Future Put, Strike 118.00		93,923		65,180
	309,000		7/22/11	U.S. Treasury Notes 5 Year Future Call, Strike 120.00		98,098		70,008
	21,000		8/26/11	U.S. Treasury Notes 5 Year Future Call, Strike 121.50		4,842		3,117
					$	4,185,829	$	2,741,826
Strategic Bond Fund
$	225,000		7/15/11	Eurodollar Put, Strike 99.00	$	4,207	$	3,937
	115,000		8/12/11	Eurodollar Put, Strike 97.75		3,876		7,763
	67,000		8/26/11	U.S. Treasury 30 Year Put, Strike 106.00		3,251		1,047
					$	11,334	$	12,747

296

Notes to Financial Statements (Unaudited) (Continued)

Notional Amount		Expiration Date		Description	Premiums Received		Value
Strategic Balanced Fund
$	25,000		7/15/11	Eurodollar Futures Put, Strike 99.00	$	467	$	437
	15,000		8/12/11	Eurodollar Futures Put, Strike 97.75		506		1,013
	9,000		8/26/11	U.S. Treasury Note 30 Year Futures Put, Strike 106.00		440		141
					$	1,413	$	1,591
BlackRock Global Allocation Fund
$	13,725		3/16/12	American Eagle Outfitters, Put, Strike 11.75	$	13,782	$	16,755
	34,363		3/16/12	American Eagle Outfitters, Put, Strike 12.00		31,710		46,270
	2,981		1/20/12	Beiersdorf AG, Call, Strike 38.00		10,309		2,429
	5,217		12/16/11	Beiersdorf AG, Put, Strike 38.00		16,915		3,228
	5,100		8/20/11	Broadcom Corp. Class A, Put, Strike 35.00		11,576		12,495
	2,600		1/21/12	Cephalon, Inc., Call, Strike 65.00		12,986		39,000
	15,200		1/21/12	Cisco Systems, Inc. Call, Strike 17.50		27,661		8,512
	14,200		1/19/13	Cisco Systems, Inc. Call, Strike 20.00		15,616		12,070
	48,372		9/28/11	China Unicom Hong Kong Ltd., Call, Strike 17.24		3,769		3,185
	48,372		10/28/11	China Unicom Hong Kong Ltd., Call, Strike 17.56		3,570		3,559
	14,100		8/20/11	Dell, Inc., Call, Strike 16.00		8,602		15,792
	9,200		1/21/12	Dell, Inc., Call, Strike 15.00		11,050		23,552
	334		9/16/11	DJ Euro Stoxx 50 Index Put, Strike 2,761.62		49,999		24,792
	3,200		1/21/12	EOG Resources, Inc., Call, Strike 100.00		23,103		38,080
	7,200		7/16/11	General Mills, Inc., Put, Strike 34.00		8,470		72
	14,100		8/20/11	JP Morgan Chase Bank Co., Put, Strike 38.00		12,405		9,306
	218,417,000		4/30/13	Japanese Yen LIBOR Rate BBA Swaption 10 Year, Put, Strike 3.15		19,687		6,504
	1,400		9/17/11	KBR, Inc., Put, Strike 36.00		4,260		2,310
	17,000		1/21/12	Kraft Foods, Inc. Class A, Call, Strike 35.00		16,661		26,520
	18,697		1/20/12	Kraft Foods, Inc., Call, Strike 34.00		18,727		37,528
	46,000		9/17/11	Market Vectors Gold Miners, Put, Strike 48.00		79,113		39,560
	32,000		1/21/12	Market Vectors Gold Miners, Put, Strike 40.00		65,288		26,240
	18,200		1/21/12	Marvell Technology Group Ltd, Call, Strike 17.50		32,393		11,830
	1,100		10/22/11	Mastercard, Inc. Class A, Put, Strike 220.00		6,843		1,705
	1,100		10/22/11	Mastercard, Inc. Class A, Put, Strike 285.00		16,301		29,645
	5,700		10/22/11	Motorola Mobility Holdings I, Put, Strike 24.00		12,937		15,390
	12,845		6/15/12	MXEUG Index, Put, Strike 99.84		98,907		94,796
	6,006		6/15/12	MXEUG Index, Put, Strike 98.12		47,586		42,797
	114		11/18/11	Nikkei 225 Index, Call, Strike 10,996.49		11,799		10,566
	3,100		1/21/12	Plycom, Inc., Call, Strike 32.50		16,495		23,715
	21,400		1/19/13	Pultegroup, Inc., Call, Strike 10.00		27,174		21,614
	3,404		7/22/11	QEP Resources, Inc., Put, Strike 39.50		3,983		1,279
	4,300		8/20/11	S&P 500 Index, Put, Strike 1,200.00		75,870		24,080
	16,500		9/17/11	S&P 500 Index, Put, Strike 1,150.00		258,001		103,950
	6,800		10/22/11	Sandisk Corp., Call, Strike 46.00		35,834		13,668
	52,700		1/21/12	Sara Lee Corp., Call, Strike 19.00		51,106		60,605
	2,300		8/20/11	SM Energy Co., Call, Strike 65.00		11,430		19,320
	19,900		1/21/12	Symantec Corp., Call, Strike 17.50		32,663		62,685
	1,837		9/19/12	Taiwan TWSE Index Put, Strike 7,608.62		34,528		40,524
	2,692		9/19/12	Taiwan TWSE Index Put, Strike 7,758.20		56,108		68,886
	1,845		6/19/13	Taiwan TWSE Index Put, Strike 7,574.49		56,974		44,438
	922		9/18/13	Taiwan TWSE Index Put, Strike 6,957.96		25,115		18,202
	1,830		3/20/13	Taiwan Index, Put, Strike 7,557.82		47,030		52,202
	948		9/18/13	Taiwan Taiex Index, Put, Strike 7,176.38		29,388		29,388

297

Notes to Financial Statements (Unaudited) (Continued)

Notional Amount		Expiration Date		Description	Premiums Received		Value
BlackRock Global Allocation Fund (continued)
$	1,894		12/18/13	Taiwan Taiex Index, Put, Strike 7,180.59	$	62,647	$	62,647
	6,900		1/21/12	United Technologies Corp., Call, Strike 80.00		35,452		74,727
	1,800		1/20/12	Urban Outfitters, Inc., Call, Strike 34.00		5,177		1,428
	10,800		9/17/11	Urban Outfitters, Inc., Put, Strike 27.00		17,017		14,040
	5,673,000		9/30/11	USD Put Euro Call, Strike 1.51		52,050		41,186
	3,100		1/21/12	Valeant Pharmaceuticals Inc., Call, Strike 50.00		20,211		23,250
	4,100		7/16/11	Visa, Inc. Class A Shares, Put, Strike 70.00		4,799		328
	22,000		10/22/11	Wells Fargo & Co., Put, Strike 24.00		24,195		13,200
					$	1,675,272	$	1,419,850

* OTC traded option counterparty JP Morgan Chase Bank.

** OTC traded option counterparty Goldman Sachs & Co.

*** OTC traded option counterparty Royal Bank of Scotland PLC.

**** OTC traded option counterparty Credit Suisse Securities LLC.

***** OTC traded option counterparty Barclays Bank PLC.

Transactions in written option contracts during the period ended June 30, 2011, were as follows:

	Number of Contracts			Premiums Received
PIMCO Total Return Fund
Options outstanding at December 31, 2010		228,100,363		$	1,758,022
Options written		555,402,932			3,549,371
Options terminated in closing purchase transactions		(53,202,560	)		(1,121,564	)
Options outstanding at June 30, 2011		730,300,735		$	4,185,829
Strategic Bond Fund
Options outstanding at December 31, 2010		102		$	61,834
Options written		330			53,637
Options terminated in closing purchase transactions		(149	)		(72,216	)
Options expired		(80	)		(31,921	)
Options outstanding at June 30, 2011		203		$	11,334
Strategic Balanced Fund
Options outstanding at December 31, 2010		13		$	7,939
Options written		38			5,367
Options terminated in closing purchase transactions		(16	)		(7,694	)
Options exercised		(10	)		(4,199	)
Options outstanding at June 30, 2011		25		$	1,413
BlackRock Global Allocation Fund
Options outstanding at December 31, 2010		34,100		$	346,934
Options written		224,383,915			1,866,122
Options terminated in closing purchase transactions		(41,937	)		(360,505	)
Options expired		(73,861	)		(44,411	)
Options exercised		(206	)		(132,868	)
Options outstanding at June 30, 2011		224,302,011		$	1,675,272

When-Issued, Delayed-Delivery, and Forward Commitment Transactions

A Fund may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-

298

Notes to Financial Statements (Unaudited) (Continued)

delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although a Fund does not typically pay for the securities until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

Prior to settlement of these transactions, the value of the subject securities will fluctuate. In addition, because the Fund is not required to make payment under these transactions until the delivery date, they may result in a form of leverage.

These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a when-issued, delayed-delivery, or forward commitment transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

Dollar Roll Transactions

A Fund may enter into dollar roll transactions, in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to purchase substantially similar securities on a specified future date from the same party. A Fund may invest in dollar rolls in order to benefit from anticipated changes in pricing for the mortgage-backed securities during the term of the transaction, or for the purpose of creating investment leverage. In a dollar roll, the securities that are to be purchased will be of the same type as the securities sold, but will be supported by different pools of mortgages.

A Fund that engages in a dollar roll forgoes principal and interest paid on the sold securities during the roll period, but is compensated by the difference between the current sales price and the lower forward price for the future purchase. In addition, a Fund may benefit by investing the transaction proceeds during the roll period. Dollar roll transactions may have the effect of creating leverage in a Fund’s portfolio. Dollar rolls involve the risk that the Fund’s counterparty will be unable to deliver the mortgage-backed securities underlying the dollar roll at the fixed time. If the counterparty files for bankruptcy or becomes insolvent, the counterparty or its representative may ask for and receive an extension of time to decide whether to enforce the Fund’s repurchase obligation. A Fund’s use of the transaction proceeds may be restricted pending such decision. It is possible that the Fund will incur a loss on a dollar roll transaction (either because its counterparty fails to perform or because the value of the mortgages subject to the transaction declines) and on the investments made by the Fund with the proceeds of the dollar roll transaction.

A Fund accounts for a dollar roll transaction as a purchase and sale whereby the difference in the sales price and purchase price of the security sold is recorded as a realized gain (loss). If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sales price and the future purchase price is recorded as an adjustment to interest income.

The PIMCO Total Return Fund, Strategic Bond Fund, and Strategic Balanced Fund had dollar roll transactions during the period ended June 30, 2011, which were accounted for as purchase and sale transactions.

Inflation-Indexed Bonds

The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income.

Inflation-indexed securities issued by the U.S. Treasury have maturities of five, ten, twenty, or thirty years, although it is possible that securities with other maturities will be issued in the future. The U.S. Treasury securities pay interest on a semi-annual basis, equal to a fixed percentage of the inflation-adjusted principal amount.

299

Notes to Financial Statements (Unaudited) (Continued)

If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal.

The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if inflation were to rise at a faster rate than nominal interest rates, real interest rates might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds.

While the values of these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in value. If interest rates rise due to reasons other than inflation (for example, due to changes in currency exchange rates), investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.

The periodic adjustment of U.S. Treasury inflation-indexed bonds is tied to the Consumer Price Index for Urban Consumers (“CPI-U”), which is calculated monthly by the U.S. Bureau of Labor Statistics. The CPI-U is a measurement of changes in the cost of living, made up of components such as housing, food, transportation, and energy. Inflation-indexed bonds issued by a foreign government are generally adjusted to reflect a comparable inflation index, calculated by that government. There can be no assurance that the CPI-U or any foreign inflation index will accurately measure the real rate of inflation in the prices of goods and services. Moreover, there can be no assurance that the rate of inflation in a foreign country will be correlated to the rate of inflation in the United States.

Bank Loans

Certain of the Funds may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. A Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by a Fund. A Fund may also invest in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, a Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.

Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.

At June 30, 2011, the Funds had no unfunded loan commitments.

300

Notes to Financial Statements (Unaudited) (Continued)

Short Sales

A short sale is a transaction in which a Fund sells a security it does not own in anticipation that the market price of that security will decline. When a Fund makes a short sale on a security, it must borrow the security sold short and deliver it to a broker dealer through which it made the short sale as collateral for its obligation to deliver the security upon the conclusion of the sale. A Fund may have to pay a fee to borrow particular securities and is often obligated to pay over any accrued interest and dividends on such borrowed securities. If the price of the security sold short increases between the time of the short sale and the time a Fund replaces the borrowed security, a Fund will incur a loss, which could be unlimited, in cases where a Fund is unable for whatever reason to close out its short position; conversely, if the price declines, a Fund will realize a capital gain. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely impacted by imperfect correlation between movements in the price of the security sold short and the securities being hedged.

Repurchase Agreements

Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral. Collateral for certain tri-party repurchase agreements is held at the Fund’s custodian or sub-custodian in a segregated account for the benefit of the Fund and the counterparty.

Reverse Repurchase Agreements

Each Fund may enter into reverse repurchase agreements with banks and broker-dealers to enhance return. Reverse repurchase agreements involve sales by a Fund of portfolio securities concurrently with an agreement by the Fund to repurchase the same securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on the securities and also has the opportunity to earn a return on the collateral furnished by the counterparty to secure its obligation to redeliver the securities. A reverse repurchase agreement generally creates investment leverage. If the counterparty in a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to enforce the Fund’s obligation to repurchase the securities.

The Fund(s) listed in the following table had open reverse repurchase agreements at June 30, 2011:

Description	Value
PIMCO Total Return Fund
Agreement with Greenwich, dated 6/16/11, 0.400%, to be repurchased on demand until 12/31/20 at value plus accrued interest.	$	2,586,000
Average balance outstanding	$	106,274
Average interest rate		(0.41	)%
Maximum balance outstanding	$	2,586,000
Weighted average maturity		15 days

Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund had entered into reverse repurchase agreements.

Accounting for Investment Transactions

Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from

301

Notes to Financial Statements (Unaudited) (Continued)

litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and dividend expense are recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions.

Foreign Currency Translation

The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.

Allocation of Operating Activity

In maintaining the records for the Funds, the income and expense accounts are allocated to each class of shares. Investment income, unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of the Fund not directly attributable to the operations of any class of shares or Fund are prorated among the Funds and classes to which the expense relates based on the relative net assets of each.

Foreign Securities

The PIMCO Total Return Fund and BlackRock Global Allocation Fund invests a significant amount of its assets and each of the Diversified International Fund and Overseas Fund invests substantially all of its assets in foreign securities. The other Funds may also invest in foreign securities. Foreign securities, including ADRs, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political and economic instability, and greater volatility in currency exchange rates.

Credit Risk

The Funds may invest a portion of their assets, directly or indirectly, in securities backed by mortgage loans, credit card receivables, and automotive loans. The values and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on such securities have resulted in increased volatility of market price and periods of decreased market activity that have adversely impacted the valuation and liquidity of such securities.

Federal Income Tax

It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Funds would not be subject to

302

Notes to Financial Statements (Unaudited) (Continued)

federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.

Dividends and Distributions to Shareholders

Dividends from net investment income of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements. Distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.

3. Management Fees and Other Transactions

Investment Management Fees

Under agreements between Massachusetts Mutual Life Insurance Company (“MassMutual”) and the Trust on behalf of each Fund, MassMutual is responsible for providing investment management services for each Fund. In return for these services, MassMutual receives advisory fees, based upon each Fund’s average daily net assets, at the following annual rates:

PIMCO Total Return Fund	0.35%
Strategic Bond Fund*	0.55% of the first $200 million,
	0.45% of any excess over $200 million
Strategic Balanced Fund	0.60%
BlackRock Global Allocation Fund	0.80%
Diversified Value Fund*	0.50% of the first $500 million,
	0.45% of any excess over $500 million
Fundamental Value Fund*	0.65% of the first $1.25 billion,
	0.625% of the next $250 million,
	0.60% of any excess over $1.5 billion
Value Equity Fund	0.70%
Large Cap Value Fund*	0.65% of the first $750 million,
	0.60% of any excess over $750 million,
Indexed Equity Fund*	0.10% of the first $2.5 billion,
	0.08% of the next $2.5 billion,
	0.05% of any excess over $5 billion
Core Opportunities Fund	0.70%
Blue Chip Growth Fund*	0.65% of the first $750 million,
	0.60% of any excess over $750 million
Large Cap Growth Fund	0.65%
Growth Opportunities Fund	0.73%
NASDAQ-100 Fund	0.15%
Focused Value Fund*	0.69% of the first $1 billion,
	0.64% of any excess over $1 billion
Mid-Cap Value Fund	0.70%
Small Cap Value Equity Fund	0.75%
Small Company Value Fund	0.85%
Mid Cap Growth Equity Fund	0.70%
Mid Cap Growth Equity II Fund*	0.75% of the first $2 billion,
	0.70% of any excess over $2 billion

303

Notes to Financial Statements (Unaudited) (Continued)

Small Cap Growth Equity Fund	0.82%
Small Company Growth Fund	0.85%
Diversified International Fund	0.90%
Overseas Fund*	1.00% of the first $750 million,
	0.975% of the next $500 million,
	0.95% of any excess over $1.25 billion

* Prior to June 1, 2011, the investment management fees were as follows:

Strategic Bond Fund	0.55%
Diversified Value Fund	0.50%
Fundamental Value Fund	0.65%
Large Cap Value Fund	0.65% of the first $1.5 billion,
	0.60% of any excess over $1.5 billion
Indexed Equity Fund	0.10%
Blue Chip Growth Fund	0.65%
Focused Value Fund	0.69%
Mid Cap Growth Equity II Fund	0.75%
Overseas Fund	1.00%

MassMutual has also entered into investment subadvisory agreements with the following unaffiliated investment subadvisers: Barrow, Hanley, Mewhinney & Strauss, LLC for a portion of the Small Cap Value Equity Fund; BlackRock Investment Management, LLC for the BlackRock Global Allocation Fund; Brandywine Global Investment Management, LLC for a portion of the Diversified Value Fund; Davis Selected Advisers, L.P. for the Large Cap Value Fund; Delaware Management Company for a portion of the Growth Opportunities Fund; Eagle Asset Management, Inc. for a portion of the Small Company Growth Fund; EARNEST Partners, LLC for a portion of the Small Company Value Fund; Federated Clover Investment Advisors for a portion of the Small Company Value Fund; Frontier Capital Management Company, LLC for a portion of the Mid Cap Growth Equity II Fund; Harris Associates L.P. for the Focused Value Fund and a portion of the Overseas Fund; J.P. Morgan Investment Management Inc. for the Diversified International Fund, a portion of the Strategic Balanced Fund, and a portion of the Overseas Fund; Loomis, Sayles & Company, L.P. for a portion of the Diversified Value Fund; Massachusetts Financial Services Company for a portion of the Overseas Fund; NFJ Investment Group LLC for a portion of the Mid-Cap Value Fund; Northern Trust Investments, Inc. for the Indexed Equity Fund and NASDAQ-100 Fund; Pacific Investment Management Company LLC for the PIMCO Total Return Fund; Pyramis Global Advisors, LLC for the Value Equity Fund; Rainier Investment Management, Inc. for the Large Cap Growth Fund; Sands Capital Management, LLC for a portion of the Growth Opportunities Fund; Systematic Financial Management, L.P. for a portion of the Mid-Cap Value Fund; T. Rowe Price Associates, Inc. for the Blue Chip Growth Fund, a portion of the Mid Cap Growth Equity II Fund, and a portion of the Small Company Value Fund; The Boston Company Asset Management, LLC for a portion of the Core Opportunities Fund and a portion of the Small Company Growth Fund; Turner Investment Partners, Inc. for a portion of the Mid Cap Growth Equity Fund; Victory Capital Management Inc. for a portion of the Core Opportunities Fund; Waddell & Reed Investment Management Company for a portion of the Small Cap Growth Equity Fund; Wellington Management Company, LLP for the Fundamental Value Fund, a portion of the Mid Cap Growth Equity Fund, a portion of the Small Cap Value Equity Fund, and a portion of the Small Cap Growth Equity Fund; Western Asset Management Company for a portion of the Strategic Bond Fund and a portion of the Strategic Balanced Fund; and Western Asset Management Company Limited for a portion of the Strategic Bond Fund and a portion of the Strategic Balanced Fund. Effective June 6, 2011, J.P. Morgan Investment Management Inc. replaced AllianceBernstein L.P. as the investment subadviser for the Diversified International Fund and a portion of the Overseas Fund. MassMutual pays a subadvisory fee to each of these subadvisers based upon the aggregate net assets under management which include (1) the average daily net assets of the specified Fund which it manages, and, if applicable, (2) the average daily net assets of all other funds or accounts of MassMutual or its affiliates for which the subadviser provides subadvisory services and which have substantially the same investment objective, policies and investment strategies.

The Funds’ subadvisory fees are paid by MassMutual out of the management fees previously disclosed above.

304

Notes to Financial Statements (Unaudited) (Continued)

Administration Fees

Under separate administrative and shareholder services agreements between each Fund and MassMutual, MassMutual provides certain administrative and shareholder services and bears some class specific administrative expenses. In return for these services, MassMutual receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:

	Class A		Class L		Class Y		Class S		Class N		Class Z
PIMCO Total Return Fund		0.2200%		0.3700%		0.2900%		0.1700%		0.2200%		0.0200%
Strategic Bond Fund		0.2500%		0.2500%		0.1000%		0.0500%		0.3000%		N/A
Strategic Balanced Fund		0.3270%		0.3270%		0.1770%		0.1270%		0.3770%		N/A
BlackRock Global Allocation Fund		0.3000%		0.3000%		0.1500%		0.0500%		N/A		N/A
Diversified Value Fund		0.3083%		0.2683%		0.1583%		0.0583%		0.3683%		N/A
Fundamental Value Fund*		0.4629%		0.4629%		0.3129%		0.2729%		0.5129%		0.0700%
Value Equity Fund		0.2785%		0.2785%		0.1285%		0.0785%		0.3285%		N/A
Large Cap Value Fund		0.3244%		0.3244%		0.1744%		0.0844%		0.3744%		N/A
Indexed Equity Fund		0.4797%		0.4797%		0.3297%		0.2997%		0.5297%		0.0855%
Core Opportunities Fund		0.3000%		0.3000%		0.1500%		0.0500%		0.3500%		N/A
Blue Chip Growth Fund		0.4085%		0.4085%		0.2885%		0.1585%		0.4585%		N/A
Large Cap Growth Fund		0.3529%		0.3529%		0.2029%		0.1629%		N/A		N/A
Growth Opportunities Fund		0.3444%		0.3444%		0.1944%		0.0944%		0.3944%		N/A
NASDAQ-100 Fund		0.6244%		0.6244%		0.4744%		0.3744%		0.6744%		N/A
Focused Value Fund		0.4344%		0.4344%		0.2844%		0.1844%		0.4844%		0.0700%
Mid-Cap Value Fund		0.3000%		0.3000%		0.1500%		0.0500%		0.3500%		N/A
Small Cap Value Equity Fund		0.3000%		0.3000%		0.1500%		0.0500%		0.3500%		N/A
Small Company Value Fund		0.4393%		0.4393%		0.2893%		0.2493%		0.4893%		0.0600%
Mid Cap Growth Equity Fund		0.3075%		0.3075%		0.1575%		0.0875%		0.3575%		N/A
Mid Cap Growth Equity II Fund		0.4244%		0.4244%		0.2744%		0.1844%		0.4744%		0.0600%
Small Cap Growth Equity Fund		0.4575%		0.4575%		0.3075%		0.1675%		0.5075%		0.0700%
Small Company Growth Fund		0.3491%		0.3491%		0.1991%		0.1591%		0.3991%		N/A
Diversified International Fund		0.3000%		0.3000%		0.1500%		0.0500%		0.3500%		N/A
Overseas Fund*		0.4543%		0.4543%		0.4043%		0.3543%		0.5043%		0.0700%

* Prior to February 11, 2011, the administration fees per share class were as follows:

	Class A		Class L		Class Y		Class S		Class N		Class Z
Fundamental Value Fund		0.4129%		0.4129%		0.2629%		0.2229%		0.4629%		0.0700%
Overseas Fund		0.3943%		0.3943%		0.3443%		0.2943%		0.4443%		0.0700%

Distribution and Service Fees

MML Distributors, LLC (the “Distributor”) acts as distributor to each Fund. Pursuant to separate 12b-1 Plans adopted by the Funds, Class A shares of each Fund pay an annual fee of 0.25% of the average daily net asset value of Class A shares to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Class A shares of the Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Class A shareholders. Pursuant to separate 12b-1 Plans adopted by the Funds, Class N shares of each Fund pay an annual fee of 0.50% of the average daily net asset value of Class N shares as follows: 0.25% of the average daily net asset value of Class N shares to the Distributor for services provided and expenses incurred by it in connection with the distribution of Class N shares of the Fund; and 0.25% of the average daily net asset value of Class N shares to MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Class N shareholders. The Distribution fee may be spent by the Distributor on any activities or expenses primarily intended to result in the sale of Class A or Class N shares of the

305

Notes to Financial Statements (Unaudited) (Continued)

Fund. The Servicing Fee may be spent by MassMutual on personal services rendered to Class A or Class N shareholders of a Fund and/or maintenance of Class A or Class N shareholder accounts. The Distributor is a majority-owned subsidiary of MassMutual. In addition, OppenheimerFunds Distributor, Inc. (the “Sub-Distributor”) acts as a sub-distributor to each Fund. The Sub-Distributor is an affiliate of the Distributor and an indirect majority-owned subsidiary of MassMutual.

Expense Caps and Waivers

MassMutual agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund fees and expenses^#, or other non-recurring or unusual expenses such as, for example, organizational expenses and shareholder meeting expenses) based upon the average daily net assets of the applicable class of shares of the Funds, as follows:

	Class A		Class L		Class Y		Class S		Class N
BlackRock Global Allocation Fund*^		1.36%		1.11%		0.96%		0.86%		N/A
Blue Chip Growth Fund*		1.19%		0.98%		0.82%		0.76%		1.51%
Diversified International Fund*		1.42%		1.17%		1.09%		0.99%		1.72%

# Acquired Fund fees and expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles.

* Expense caps in effect through April 1, 2012.

^ Expense caps also exclude short sale dividend and loan expense.

MassMutual has agreed to waive, through April 1, 2012, 0.20% of the administrative and shareholder service fee for Classes A, L, and N of the Indexed Equity Fund, based upon the average daily net assets of the applicable class of shares of the Fund. MassMutual has agreed to waive, through April 1, 2012, 0.10% of the management fee for each class of the Focused Value Fund and Mid Cap Growth Equity II Fund, 0.08% of the management fee for each class of the Small Company Value Fund, and 0.05% of the management fee for each class of the Small Cap Growth Equity Fund, based upon each class’s average daily net assets. For the period, January 1, 2010 through February 10, 2011, MassMutual agreed to waive 0.10% of the management fee for each class of the Fundamental Value Fund and 0.25% of the management fee for each class of the Overseas Fund, based upon each class’s average daily net assets. Effective February 11, 2011, MassMutual has agreed to waive, through April 1, 2012, 0.15% of the management fee for each class of the Fundamental Value Fund and 0.31% of the management fee for each class of the Overseas Fund, based upon each class’s average daily net assets.

Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.

Rebated Brokerage Commissions

The Funds listed below have entered into agreements with certain brokers whereby the brokers will rebate to the Funds, in cash, a portion of brokerage commissions. Rebated brokerage commissions are amounts earned by the Funds and are included with realized gain or loss on investment transactions presented in the Statements of Operations. For the period ended June 30, 2011, brokerage commissions rebated under these agreements were as follows:

	Rebated Commissions
Strategic Balanced Fund	$	453
Diversified Value Fund		14,953
Fundamental Value Fund		2,329
Large Cap Value Fund		5,677
Core Opportunities Fund		4,677
Blue Chip Growth Fund		4,470
Large Cap Growth Fund		927
Growth Opportunities Fund		1,202

306

Notes to Financial Statements (Unaudited) (Continued)

	Rebated Commissions
Mid-Cap Value Fund	$	22,480
Small Cap Value Equity Fund		619
Small Company Value Fund		632
Mid Cap Growth Equity Fund		4,401
Mid Cap Growth Equity II Fund		41,884
Small Cap Growth Equity Fund		120,601
Small Company Growth Fund		3,294
Diversified International Fund		97

Deferred Compensation

Trustees of the Funds who are not employees of MassMutual or its subsidiaries may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.

Other

Certain officers and trustees of the Funds are also employees of MassMutual. The compensation of each trustee who is not an employee of MassMutual is borne by the Funds.

The following table shows beneficial ownership of Funds’ shares by affiliated parties at June 30, 2011:

	Total% of Ownership by Related Party
PIMCO Total Return Fund		85.3%
Strategic Bond Fund		88.4%
Strategic Balanced Fund		91.7%
BlackRock Global Allocation Fund		3.2%
Diversified Value Fund		66.2%
Fundamental Value Fund		83.6%
Value Equity Fund		98.6%
Large Cap Value Fund		86.9%
Indexed Equity Fund		69.3%
Core Opportunities Fund		88.0%
Blue Chip Growth Fund		94.7%
Large Cap Growth Fund		99.8%
Growth Opportunities Fund		90.4%
NASDAQ-100 Fund		90.9%
Focused Value Fund		85.6%
Mid-Cap Value Fund		90.6%
Small Cap Value Equity Fund		79.4%
Small Company Value Fund		81.8%
Mid Cap Growth Equity Fund		97.8%
Mid Cap Growth Equity II Fund		77.7%
Small Cap Growth Equity Fund		66.2%
Small Company Growth Fund		84.7%
Diversified International Fund		56.8%
Overseas Fund		92.1%

307

Notes to Financial Statements (Unaudited) (Continued)

4. Purchases and Sales of Investments

Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the period ended June 30, 2011, were as follows:

		Purchases				Sales
		Long-Term U.S. Government Securities		Other Long-Term Securities		Long-Term U.S. Government Securities		Other Long-Term Securities
PIMCO Total Return Fund		$	1,395,631,914	$	437,825,506	$	2,084,138,615	$	56,625,274
Strategic Bond Fund			642,764,739		16,220,876		622,901,105		24,560,337
Strategic Balanced Fund			72,499,212		17,134,575		73,012,450		21,925,850
BlackRock Global Allocation Fund	��		9,834,403		112,845,653		12,458,223		83,828,636
Diversified Value Fund			-		58,808,974		-		69,715,536
Fundamental Value Fund			-		135,216,322		-		102,771,659
Value Equity Fund			-		18,354,902		-		21,463,460
Large Cap Value Fund			-		32,912,197		-		92,339,431
Indexed Equity Fund			-		54,234,217		-		20,317,655
Core Opportunities Fund			-		25,390,182		-		36,136,995
Blue Chip Growth Fund			-		137,233,776		-		134,167,011
Large Cap Growth Fund			-		32,663,987		-		40,118,887
Growth Opportunities Fund			-		31,385,607		-		44,001,163
NASDAQ-100 Fund			-		15,918,447		-		17,335,637
Focused Value Fund			-		102,769,817		-		119,142,808
Mid-Cap Value Fund			-		79,974,427		-		72,913,151
Small Cap Value Equity Fund			-		18,634,140		-		15,749,876
Small Company Value Fund			-		87,247,879		-		103,356,112
Mid Cap Growth Equity Fund			-		35,515,294		-		64,559,111
Mid Cap Growth Equity II Fund			-		341,777,353		-		346,748,935
Small Cap Growth Equity Fund			-		403,450,928		-		391,810,570
Small Company Growth Fund			-		32,481,681		-		32,451,030
Diversified International Fund			-		163,074,409		-		153,819,110
Overseas Fund			-		207,407,497		-		203,223,194

5. Capital Share Transactions

Changes in shares outstanding for each Fund were as follows:

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
PIMCO Total Return Fund Class A*
Sold		7,975,774		$	81,484,286			75,269,569		$	754,712,984
Issued as reinvestment of dividends		-			-			1,392,317			13,811,781
Redeemed		(8,556,461	)		(87,544,347	)		(6,445,057	)		(66,080,382	)
Net increase (decrease)		(580,687	)	$	(6,060,061	)		70,216,829		$	702,444,383
PIMCO Total Return Fund Class L*
Sold		1,856,626		$	19,098,833			2,840,887		$	29,446,964
Issued as reinvestment of dividends		-			-			56,347			558,398
Redeemed		(3,089,652	)		(31,999,802	)		(126,744	)		(1,299,284	)
Net increase (decrease)		(1,233,026	)	$	(12,900,969	)		2,770,490		$	28,706,078

308

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
PIMCO Total Return Fund Class Y*
Sold		5,748,763		$	59,042,768			55,366,121		$	555,266,635
Issued as reinvestment of dividends		-			-			1,063,732			10,552,217
Redeemed		(10,468,023	)		(107,087,594	)		(5,251,547	)		(54,118,845	)
Net increase (decrease)		(4,719,260	)	$	(48,044,826	)		51,178,306		$	511,700,007
PIMCO Total Return Fund Class S*
Sold		2,110,220		$	21,626,137			3,017,866		$	31,089,624
Issued as reinvestment of dividends		-			-			59,255			587,214
Redeemed		(2,877,711	)		(29,878,591	)		(171,367	)		(1,787,107	)
Net increase (decrease)		(767,491	)	$	(8,252,454	)		2,905,754		$	29,889,731
PIMCO Total Return Fund Class N*
Sold		899,285		$	9,191,290			1,033,956		$	10,460,455
Issued as reinvestment of dividends		-			-			17,384			172,452
Redeemed		(114,079	)		(1,168,798	)		(76,829	)		(791,909	)
Net increase (decrease)		785,206		$	8,022,492			974,511		$	9,840,998
PIMCO Total Return Fund Class Z*
Sold		26,707,986		$	275,136,883			355,040		$	3,670,322
Issued as reinvestment of dividends		-			-			7,627			75,671
Redeemed		(852,608	)		(8,848,892	)		-			-
Net increase (decrease)		25,855,378		$	266,287,991			362,667		$	3,745,993
Strategic Bond Fund Class A
Sold		198,976		$	1,932,356			1,015,250		$	9,849,654
Issued as reinvestment of dividends		-			-			275,473			2,603,914
Redeemed		(582,947	)		(5,658,864	)		(2,446,721	)		(23,781,392	)
Net increase (decrease)		(383,971	)	$	(3,726,508	)		(1,155,998	)	$	(11,327,824	)
Strategic Bond Fund Class L
Sold		1,201,035		$	11,671,319			1,199,576		$	11,887,046
Issued as reinvestment of dividends		-			-			223,861			2,117,201
Redeemed		(3,094,965	)		(30,516,482	)		(1,034,094	)		(10,014,971	)
Net increase (decrease)		(1,893,930	)	$	(18,845,163	)		389,343		$	3,989,276
Strategic Bond Fund Class Y
Sold		337,409		$	3,270,180			1,092,571		$	10,640,182
Issued as reinvestment of dividends		-			-			162,958			1,550,402
Redeemed		(231,407	)		(2,250,078	)		(4,469,172	)		(45,016,591	)
Net increase (decrease)		106,002		$	1,020,102			(3,213,643	)	$	(32,826,007	)
Strategic Bond Fund Class S
Sold		3,492,719		$	34,515,772			1,484,768		$	14,648,241
Issued as reinvestment of dividends		-			-			268,036			2,541,242
Redeemed		(744,720	)		(7,286,113	)		(2,124,843	)		(20,823,959	)
Net increase (decrease)		2,747,999		$	27,229,659			(372,039	)	$	(3,634,476	)
Strategic Bond Fund Class N
Sold		12,925		$	125,174			24,703		$	238,047
Issued as reinvestment of dividends		-			-			4,639			43,794
Redeemed		(29,327	)		(283,182	)		(18,214	)		(172,475	)
Net increase (decrease)		(16,402	)	$	(158,008	)		11,128		$	109,366

309

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
Strategic Balanced Fund Class A
Sold		15,400		$	163,886			63,202		$	615,301
Issued as reinvestment of dividends		-			-			11,955			113,111
Redeemed		(51,911	)		(551,075	)		(276,649	)		(2,699,842	)
Net increase (decrease)		(36,511	)	$	(387,189	)		(201,492	)	$	(1,971,430	)
Strategic Balanced Fund Class L
Sold		91,209		$	964,682			192,099		$	1,870,655
Issued as reinvestment of dividends		-			-			61,196			586,440
Redeemed		(441,384	)		(4,724,527	)		(816,972	)		(7,871,632	)
Net increase (decrease)		(350,175	)	$	(3,759,845	)		(563,677	)	$	(5,414,537	)
Strategic Balanced Fund Class Y
Sold		45,340		$	481,757			312,742		$	3,027,889
Issued as reinvestment of dividends		-			-			39,569			377,596
Redeemed		(123,557	)		(1,303,598	)		(1,272,542	)		(12,687,795	)
Net increase (decrease)		(78,217	)	$	(821,841	)		(920,231	)	$	(9,282,310	)
Strategic Balanced Fund Class S
Sold		14,140		$	149,410			47,788		$	467,096
Issued as reinvestment of dividends		-			-			8,480			81,256
Redeemed		(27,838	)		(293,447	)		(110,917	)		(1,074,452	)
Net increase (decrease)		(13,698	)	$	(144,037	)		(54,649	)	$	(526,100	)
Strategic Balanced Fund Class N
Sold		2,005		$	21,022			1,311		$	12,641
Issued as reinvestment of dividends		-			-			454			4,209
Redeemed		(618	)		(6,472	)		(11,546	)		(111,318	)
Net increase (decrease)		1,387		$	14,550			(9,781	)	$	(94,468	)
BlackRock Global Allocation Fund Class A
Sold		34,114		$	376,191			231,088		$	2,382,681
Issued as reinvestment of dividends		-			-			1,000			10,566
Redeemed		(119,917	)		(1,324,171	)		(16,167	)		(169,309	)
Net increase (decrease)		(85,803	)	$	(947,980	)		215,921		$	2,223,938
BlackRock Global Allocation Fund Class L
Sold		101,245		$	1,118,838			167,969		$	1,706,742
Issued as reinvestment of dividends		-			-			7,013			74,272
Redeemed		(1,107,147	)		(12,038,154	)		(149,193	)		(1,502,240	)
Net increase (decrease)		(1,005,902	)	$	(10,919,316	)		25,789		$	278,774
BlackRock Global Allocation Fund Class Y
Sold		5,372		$	59,147			194,604		$	2,011,889
Issued as reinvestment of dividends		-			-			1,309			13,865
Redeemed		(23,633	)		(260,190	)		(64,598	)		(692,201	)
Net increase (decrease)		(18,261	)	$	(201,043	)		131,315		$	1,333,553
BlackRock Global Allocation Fund Class S
Sold		2,284,577		$	25,008,497			10,591,318		$	107,499,873
Issued as reinvestment of dividends		-			-			475,082			5,031,123
Redeemed		(1,698,654	)		(18,759,172	)		(6,188,752	)		(62,150,636	)
Net increase (decrease)		585,923		$	6,249,325			4,877,648		$	50,380,360

310

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
Diversified Value Fund Class A
Sold		193,313		$	1,818,133			335,599		$	2,760,891
Issued as reinvestment of dividends		-			-			55,790			462,360
Redeemed		(691,372	)		(6,510,744	)		(2,357,484	)		(19,355,134	)��
Net increase (decrease)		(498,059	)	$	(4,692,611	)		(1,966,095	)	$	(16,131,883	)
Diversified Value Fund Class L
Sold		339,356		$	3,179,041			1,118,931		$	9,202,361
Issued as reinvestment of dividends		-			-			77,080			650,600
Redeemed		(3,711,093	)		(34,283,343	)		(1,902,515	)		(15,963,242	)
Net increase (decrease)		(3,371,737	)	$	(31,104,302	)		(706,504	)	$	(6,110,281	)
Diversified Value Fund Class Y
Sold		309,744		$	2,882,839			407,850		$	3,444,178
Issued as reinvestment of dividends		-			-			69,609			586,947
Redeemed		(525,333	)		(4,949,718	)		(714,583	)		(5,971,176	)
Net increase (decrease)		(215,589	)	$	(2,066,879	)		(237,124	)	$	(1,940,051	)
Diversified Value Fund Class S
Sold		4,290,047		$	39,834,938			2,740,343		$	22,709,999
Issued as reinvestment of dividends		-			-			420,735			3,557,591
Redeemed		(1,644,908	)		(15,465,781	)		(7,023,059	)		(59,313,634	)
Net increase (decrease)		2,645,139		$	24,369,157			(3,861,981	)	$	(33,046,044	)
Diversified Value Fund Class N
Sold		774		$	7,286			3,505		$	28,934
Issued as reinvestment of dividends		-			-			137			1,115
Redeemed		(1,355	)		(12,821	)		(43,937	)		(350,955	)
Net increase (decrease)		(581	)	$	(5,535	)		(40,295	)	$	(320,906	)
Fundamental Value Fund Class A
Sold		2,692,538		$	29,056,053			5,546,926		$	52,071,886
Issued as reinvestment of dividends		-			-			324,733			2,815,433
Redeemed		(1,936,895	)		(20,824,542	)		(3,660,795	)		(34,097,293	)
Net increase (decrease)		755,643		$	8,231,511			2,210,864		$	20,790,026
Fundamental Value Fund Class L
Sold		1,411,998		$	15,353,308			3,207,564		$	30,247,862
Issued as reinvestment of dividends		-			-			206,931			1,808,580
Redeemed		(7,059,436	)		(75,484,864	)		(6,032,217	)		(58,324,225	)
Net increase (decrease)		(5,647,438	)	$	(60,131,556	)		(2,617,722	)	$	(26,267,783	)
Fundamental Value Fund Class Y
Sold		2,551,982		$	27,637,914			3,057,477		$	29,056,281
Issued as reinvestment of dividends		-			-			210,936			1,845,693
Redeemed		(870,697	)		(9,461,940	)		(4,364,765	)		(42,521,763	)
Net increase (decrease)		1,681,285		$	18,175,974			(1,096,352	)	$	(11,619,789	)
Fundamental Value Fund Class S
Sold		4,348,004		$	47,691,758			9,008,850		$	87,466,285
Issued as reinvestment of dividends		-			-			720,412			6,318,016
Redeemed		(7,302,044	)		(78,473,066	)		(9,796,916	)		(94,878,792	)
Net increase (decrease)		(2,954,040	)	$	(30,781,308	)		(67,654	)	$	(1,094,491	)

311

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
Fundamental Value Fund Class N
Sold		8,095		$	86,641			13,504		$	124,742
Issued as reinvestment of dividends		-			-			1,244			10,701
Redeemed		(12,009	)		(129,395	)		(78,062	)		(710,480	)
Net increase (decrease)		(3,914	)	$	(42,754	)		(63,314	)	$	(575,037	)
Fundamental Value Fund Class Z**
Sold		9,013,676		$	95,840,643			10,193		$	100,100
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(213,531	)		(2,295,497	)		-			-
Net increase (decrease)		8,800,145		$	93,545,146			10,193		$	100,100
Value Equity Fund Class A
Sold		63,998		$	490,708			170,268		$	1,167,293
Issued as reinvestment of dividends		-			-			25,177			153,077
Redeemed		(64,880	)		(499,775	)		(295,689	)		(2,029,632	)
Net increase (decrease)		(882	)	$	(9,067	)		(100,244	)	$	(709,262	)
Value Equity Fund Class L
Sold		16,699		$	130,315			43,762		$	290,763
Issued as reinvestment of dividends		-			-			4,604			28,041
Redeemed		(224,532	)		(1,687,454	)		(35,425	)		(246,155	)
Net increase (decrease)		(207,833	)	$	(1,557,139	)		12,941		$	72,649
Value Equity Fund Class Y
Sold		93,459		$	722,984			135,199		$	922,854
Issued as reinvestment of dividends		-			-			6,913			42,377
Redeemed		(64,353	)		(501,846	)		(184,277	)		(1,241,636	)
Net increase (decrease)		29,106		$	221,138			(42,165	)	$	(276,405	)
Value Equity Fund Class S
Sold		130,158		$	1,003,513			190,689		$	1,286,280
Issued as reinvestment of dividends		-			-			42,690			260,835
Redeemed		(395,421	)		(3,020,774	)		(644,376	)		(4,335,941	)
Net increase (decrease)		(265,263	)	$	(2,017,261	)		(410,997	)	$	(2,788,826	)
Value Equity Fund Class N
Sold		-		$	-			-		$	-
Issued as reinvestment of dividends		-			-			9			57
Redeemed		(250	)		(1,958	)		(411	)		(2,678	)
Net increase (decrease)		(250	)	$	(1,958	)		(402	)	$	(2,621	)
Large Cap Value Fund Class A
Sold		578,894		$	6,201,868			681,455		$	6,518,012
Issued as reinvestment of dividends		-			-			129,400			1,299,284
Redeemed		(2,620,471	)		(28,345,015	)		(4,333,721	)		(41,209,740	)
Net increase (decrease)		(2,041,577	)	$	(22,143,147	)		(3,522,866	)	$	(33,392,444	)
Large Cap Value Fund Class L
Sold		595,164		$	6,541,646			1,216,068		$	11,644,743
Issued as reinvestment of dividends		-			-			90,108			912,333
Redeemed		(2,130,869	)		(22,763,712	)		(5,495,787	)		(53,792,527	)
Net increase (decrease)		(1,535,705	)	$	(16,222,066	)		(4,189,611	)	$	(41,235,451	)

312

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011							Year Ended December 31, 2010
	Shares			Amount				Shares			Amount
Large Cap Value Fund Class Y
Sold		363,980		$	3,966,087				1,900,606		$	18,483,250
Issued as reinvestment of dividends		-			-				98,328			1,001,918
Redeemed		(553,855	)		(6,016,572	)			(2,930,789	)		(28,111,622	)
Net increase (decrease)		(189,875	)	$	(2,050,485	)			(931,855	)	$	(8,626,454	)
Large Cap Value Fund Class S
Sold		2,380,060		$	25,393,429				3,957,877		$	39,183,176
Issued as reinvestment of dividends		-			-				458,445			4,689,207
Redeemed		(3,652,382	)		(39,696,883	)			(7,323,106	)		(70,680,418	)
Net increase (decrease)		(1,272,322	)	$	(14,303,454	)			(2,906,784	)	$	(26,808,035	)
Large Cap Value Fund Class N
Sold		5,804		$	62,223		��		11,434		$	108,593
Issued as reinvestment of dividends		-			-				405			3,982
Redeemed		(5,135	)		(55,087	)			(40,362	)		(384,418	)
Net increase (decrease)		669		$	7,136				(28,523	)	$	(271,843	)
Indexed Equity Fund Class A
Sold		4,110,098		$	49,358,783				5,835,160		$	61,185,126
Issued as reinvestment of dividends		-			-				349,451			3,765,999
Redeemed		(1,813,313	)		(21,975,011	)			(3,525,063	)		(36,801,130	)
Net increase (decrease)		2,296,785		$	27,383,772				2,659,548		$	28,149,995
Indexed Equity Fund Class L
Sold		1,947,449		$	23,534,299				4,367,978		$	46,101,070
Issued as reinvestment of dividends		-			-				271,456			2,965,321
Redeemed		(1,251,003	)		(15,062,922	)			(2,375,718	)		(24,558,527	)
Net increase (decrease)		696,446		$	8,471,377				2,263,716		$	24,507,864
Indexed Equity Fund Class Y
Sold		1,463,131		$	17,687,534				3,698,322		$	39,015,389
Issued as reinvestment of dividends		-			-				402,377			4,361,501
Redeemed		(1,751,094	)		(21,276,431	)			(8,252,527	)		(88,100,095	)
Net increase (decrease)		(287,963	)	$	(3,588,897	)			(4,151,828	)	$	(44,723,205	)
Indexed Equity Fund Class S
Sold		2,791,728		$	34,285,404				6,790,420		$	73,188,491
Issued as reinvestment of dividends		-			-				617,687			6,798,157
Redeemed		(4,142,426	)		(50,431,020	)			(8,252,902	)		(87,873,149	)
Net increase (decrease)		(1,350,698	)	$	(16,145,616	)			(844,795	)	$	(7,886,501	)
Indexed Equity Fund Class N
Sold		22,982		$	274,182				50,896		$	524,679
Issued as reinvestment of dividends		-			-				2,771			29,012
Redeemed		(9,633	)		(114,921	)			(105,749	)		(1,113,992	)
Net increase (decrease)		13,349		$	159,261				(52,082	)	$	(560,301	)
Indexed Equity Fund Class Z
Sold		5,478,147		$	67,075,560				12,824,270		$	136,369,557
Issued as reinvestment of dividends		-			-				1,028,562			11,372,634
Redeemed		(3,344,797	)		(41,197,461	)			(5,586,246	)		(59,700,423	)
Net increase (decrease)		2,133,350		$	25,878,099				8,266,586		$	88,041,768

313

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
Core Opportunities Fund Class A
Sold		108,222		$	1,040,281			648,026		$	5,196,556
Issued as reinvestment of dividends		-			-			4,194			32,209
Redeemed		(282,349	)		(2,717,461	)		(545,747	)		(4,522,669	)
Net increase (decrease)		(174,127	)	$	(1,677,180	)		106,473		$	706,096
Core Opportunities Fund Class L
Sold		161,072		$	1,556,029			2,519,161		$	21,937,292
Issued as reinvestment of dividends		-			-			12,439			95,654
Redeemed		(2,293,404	)		(21,393,980	)		(847,920	)		(6,994,276	)
Net increase (decrease)		(2,132,332	)	$	(19,837,951	)		1,683,680		$	15,038,670
Core Opportunities Fund Class Y
Sold		9,648		$	93,611			30,097		$	255,355
Issued as reinvestment of dividends		-			-			2,276			17,570
Redeemed		(10,128	)		(97,947	)		(254,797	)		(2,155,480	)
Net increase (decrease)		(480	)	$	(4,336	)		(222,424	)	$	(1,882,555	)
Core Opportunities Fund Class S
Sold		1,690,382		$	15,785,129			2,116,266		$	18,563,240
Issued as reinvestment of dividends		-			-			12,266			95,062
Redeemed		(534,161	)		(5,101,315	)		(471,314	)		(4,030,671	)
Net increase (decrease)		1,156,221		$	10,683,814			1,657,218		$	14,627,631
Core Opportunities Fund Class N
Sold		829		$	8,014			2,151		$	18,029
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(436	)		(4,215	)		(1,134	)		(9,362	)
Net increase (decrease)		393		$	3,799			1,017		$	8,667
Blue Chip Growth Fund Class A
Sold		818,808		$	8,818,422			749,930		$	6,694,538
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(824,825	)		(8,855,421	)		(2,104,137	)		(18,680,822	)
Net increase (decrease)		(6,017	)	$	(36,999	)		(1,354,207	)	$	(11,986,284	)
Blue Chip Growth Fund Class L
Sold		2,147,186		$	23,662,854			2,254,610		$	21,383,018
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(6,603,895	)		(71,466,466	)		(8,827,322	)		(82,498,748	)
Net increase (decrease)		(4,456,709	)	$	(47,803,612	)		(6,572,712	)	$	(61,115,730	)
Blue Chip Growth Fund Class Y
Sold		1,410,334		$	15,779,306			1,380,933		$	13,206,336
Issued as reinvestment of dividends		-			-			4,493			38,237
Redeemed		(559,206	)		(6,260,624	)		(1,672,603	)		(16,282,429	)
Net increase (decrease)		851,128		$	9,518,682			(287,177	)	$	(3,037,856	)
Blue Chip Growth Fund Class S
Sold		5,260,747		$	57,800,795			6,179,028		$	61,300,145
Issued as reinvestment of dividends		-			-			13,936			119,015
Redeemed		(1,403,577	)		(15,452,204	)		(9,681,034	)		(91,401,211	)
Net increase (decrease)		3,857,170		$	42,348,591			(3,488,070	)	$	(29,982,051	)

314

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
Blue Chip Growth Fund Class N
Sold		883		$	9,225			2,750		$	24,389
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(1,349	)		(14,292	)		(60,627	)		(508,400	)
Net increase (decrease)		(466	)	$	(5,067	)		(57,877	)	$	(484,011	)
Large Cap Growth Fund Class A
Sold		23,819		$	222,122			54,229		$	424,514
Issued as reinvestment of dividends		-			-			210			1,530
Redeemed		(71,888	)		(676,388	)		(276,310	)		(2,203,483	)
Net increase (decrease)		(48,069	)	$	(454,266	)		(221,871	)	$	(1,777,439	)
Large Cap Growth Fund Class L
Sold		643,704		$	6,144,547			1,067,823		$	8,973,304
Issued as reinvestment of dividends		-			-			6,522			57,357
Redeemed		(2,796,655	)		(25,813,593	)		(774,959	)		(6,409,191	)
Net increase (decrease)		(2,152,951	)	$	(19,669,046	)		299,386		$	2,621,470
Large Cap Growth Fund Class Y
Sold		-		$	-			-		$	-
Issued as reinvestment of dividends		-			-			-			-
Redeemed		-			-			(1,507,011	)		(12,320,632	)
Net increase (decrease)		-		$	-			(1,507,011	)	$	(12,320,632	)
Large Cap Growth Fund Class S
Sold		2,727,774		$	25,139,984			804,456		$	6,652,780
Issued as reinvestment of dividends		-			-			23,635			210,278
Redeemed		(1,126,603	)		(10,612,980	)		(2,483,468	)		(20,514,962	)
Net increase (decrease)		1,601,171		$	14,527,004			(1,655,377	)	$	(13,651,904	)
Large Cap Growth Fund Class N
Sold		-		$	-			-		$	-
Issued as reinvestment of dividends		-			-			0	+		1
Redeemed		(146	)		(1,335	)		-			-
Net increase (decrease)		(146	)	$	(1,335	)		0	+	$	1
Growth Opportunities Fund Class A
Sold		614,530		$	4,306,334			637,008		$	3,800,630
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(749,798	)		(5,241,450	)		(3,527,847	)		(20,073,060	)
Net increase (decrease)		(135,268	)	$	(935,116	)		(2,890,839	)	$	(16,272,430	)
Growth Opportunities Fund Class L
Sold		715,584		$	5,122,274			1,496,553		$	8,914,314
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(5,432,132	)		(38,130,744	)		(4,326,706	)		(25,800,494	)
Net increase (decrease)		(4,716,548	)	$	(33,008,470	)		(2,830,153	)	$	(16,886,180	)
Growth Opportunities Fund Class Y
Sold		1,198,764		$	8,624,797			484,862		$	2,885,050
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(442,755	)		(3,237,759	)		(1,085,126	)		(6,485,479	)
Net increase (decrease)		756,009		$	5,387,038			(600,264	)	$	(3,600,429	)

315

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
Growth Opportunities Fund Class S
Sold		5,336,954		$	38,586,170			7,973,678		$	53,130,389
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(2,441,267	)		(17,980,283	)		(6,202,896	)		(36,858,179	)
Net increase (decrease)		2,895,687		$	20,605,887			1,770,782		$	16,272,210
Growth Opportunities Fund Class N
Sold		100		$	669			140		$	769
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(1,254	)		(8,564	)		(12,900	)		(67,846	)
Net increase (decrease)		(1,154	)	$	(7,895	)		(12,760	)	$	(67,077	)
NASDAQ-100 Fund Class A
Sold		705,463		$	3,972,988			1,778,103		$	8,649,784
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(1,004,746	)		(5,652,847	)		(2,232,671	)		(10,659,682	)
Net increase (decrease)		(299,283	)	$	(1,679,859	)		(454,568	)	$	(2,009,898	)
NASDAQ-100 Fund Class L
Sold		168,414		$	979,736			243,379		$	1,207,656
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(216,287	)		(1,248,597	)		(474,514	)		(2,312,534	)
Net increase (decrease)		(47,873	)	$	(268,861	)		(231,135	)	$	(1,104,878	)
NASDAQ-100 Fund Class Y
Sold		128,864		$	756,564			68,531		$	343,983
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(114,060	)		(679,984	)		(361,969	)		(1,713,307	)
Net increase (decrease)		14,804		$	76,580			(293,438	)	$	(1,369,324	)
NASDAQ-100 Fund Class S
Sold		1,116,988		$	6,695,861			1,448,450		$	7,280,450
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(1,259,742	)		(7,532,973	)		(2,003,794	)		(9,705,215	)
Net increase (decrease)		(142,754	)	$	(837,112	)		(555,344	)	$	(2,424,765	)
NASDAQ-100 Fund Class N
Sold		12,650		$	68,425			24,697		$	112,704
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(14,531	)		(81,280	)		(32,808	)		(148,532	)
Net increase (decrease)		(1,881	)	$	(12,855	)		(8,111	)	$	(35,828	)
Focused Value Fund Class A
Sold		692,403		$	12,275,264			1,028,867		$	15,615,190
Issued as reinvestment of dividends		-			-			40,307			533,664
Redeemed		(976,287	)		(17,239,058	)		(2,519,950	)		(36,562,842	)
Net increase (decrease)		(283,884	)	$	(4,963,794	)		(1,450,776	)	$	(20,413,988	)
Focused Value Fund Class L
Sold		507,721		$	9,138,820			1,255,207		$	19,148,888
Issued as reinvestment of dividends		-			-			33,181			447,614
Redeemed		(2,112,360	)		(37,147,547	)		(2,936,175	)		(45,735,655	)
Net increase (decrease)		(1,604,639	)	$	(28,008,727	)		(1,647,787	)	$	(26,139,153	)

316

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
Focused Value Fund Class Y
Sold		806,065		$	14,786,944			1,344,268		$	21,061,429
Issued as reinvestment of dividends		-			-			30,030			408,713
Redeemed		(681,403	)		(12,339,020	)		(1,748,976	)		(26,850,686	)
Net increase (decrease)		124,662		$	2,447,924			(374,678	)	$	(5,380,544	)
Focused Value Fund Class S
Sold		1,411,521		$	26,121,099			4,110,181		$	67,521,917
Issued as reinvestment of dividends		-			-		��	133,162			1,826,976
Redeemed		(2,999,361	)		(54,089,876	)		(4,813,178	)		(71,962,527	)
Net increase (decrease)		(1,587,840	)	$	(27,968,777	)		(569,835	)	$	(2,613,634	)
Focused Value Fund Class N
Sold		3,486		$	60,194			15,378		$	220,345
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(15,451	)		(268,517	)		(92,519	)		(1,364,091	)
Net increase (decrease)		(11,965	)	$	(208,323	)		(77,141	)	$	(1,143,746	)
Focused Value Fund Class Z**
Sold		2,267,012		$	39,961,121			5,916		$	100,100
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(192,666	)		(3,418,043	)		-			-
Net increase (decrease)		2,074,346		$	36,543,078			5,916		$	100,100
Mid-Cap Value Fund Class A
Sold		53,384		$	562,229			164,986		$	1,459,496
Issued as reinvestment of dividends		-			-			4,102			40,096
Redeemed		(80,120	)		(850,605	)		(342,463	)		(3,094,248	)
Net increase (decrease)		(26,736	)	$	(288,376	)		(173,375	)	$	(1,594,656	)
Mid-Cap Value Fund Class L
Sold		683,518		$	7,213,047			686,521		$	6,097,539
Issued as reinvestment of dividends		-			-			42,848			420,368
Redeemed		(4,470,351	)		(46,150,248	)		(1,042,681	)		(9,333,318	)
Net increase (decrease)		(3,786,833	)	$	(38,937,201	)		(313,312	)	$	(2,815,411	)
Mid-Cap Value Fund Class Y
Sold		66,968		$	707,980			60,032		$	553,697
Issued as reinvestment of dividends		-			-			1,249			12,268
Redeemed		(30,345	)		(325,133	)		(13,061	)		(121,415	)
Net increase (decrease)		36,623		$	382,847			48,220		$	444,550
Mid-Cap Value Fund Class S
Sold		5,262,581		$	54,622,845			2,275,348		$	20,478,287
Issued as reinvestment of dividends		-			-			114,385			1,121,561
Redeemed		(1,004,511	)		(10,545,443	)		(1,896,981	)		(16,722,218	)
Net increase (decrease)		4,258,070		$	44,077,402			492,752		$	4,877,630
Mid-Cap Value Fund Class N
Sold		345		$	3,621			1,247		$	11,017
Issued as reinvestment of dividends		-			-			37			362
Redeemed		(407	)		(4,250	)		(470	)		(4,099	)
Net increase (decrease)		(62	)	$	(629	)		814		$	7,280

317

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
Small Cap Value Equity Fund Class A
Sold		88,041		$	864,405			266,522		$	2,187,502
Issued as reinvestment of dividends		-			-			1,338			12,182
Redeemed		(132,815	)		(1,308,624	)		(496,337	)		(4,038,049	)
Net increase (decrease)		(44,774	)	$	(444,219	)		(228,477	)	$	(1,838,365	)
Small Cap Value Equity Fund Class L
Sold		244,192		$	2,403,404			306,848		$	2,482,033
Issued as reinvestment of dividends		-			-			8,632			79,629
Redeemed		(2,373,633	)		(22,626,012	)		(1,361,643	)		(11,500,270	)
Net increase (decrease)		(2,129,441	)	$	(20,222,608	)		(1,046,163	)	$	(8,938,608	)
Small Cap Value Equity Fund Class Y
Sold		77,080		$	764,472			376,322		$	3,137,158
Issued as reinvestment of dividends		-			-			2,421			22,330
Redeemed		(194,504	)		(1,913,075	)		(485,101	)		(3,965,694	)
Net increase (decrease)		(117,424	)	$	(1,148,603	)		(106,358	)	$	(806,206	)
Small Cap Value Equity Fund Class S
Sold		3,064,612		$	29,493,107			4,137,253		$	34,682,482
Issued as reinvestment of dividends		-			-			46,158			427,443
Redeemed		(467,463	)		(4,556,677	)		(5,421,683	)		(42,129,132	)
Net increase (decrease)		2,597,149		$	24,936,430			(1,238,272	)	$	(7,019,207	)
Small Cap Value Equity Fund Class N
Sold		202		$	2,020			267		$	2,144
Issued as reinvestment of dividends		-			-			-			2
Redeemed		(582	)		(5,605	)		(164	)		(1,361	)
Net increase (decrease)		(380	)	$	(3,585	)		103		$	785
Small Company Value Fund Class A
Sold		597,475		$	8,377,070			1,664,409		$	19,734,411
Issued as reinvestment of dividends		-			-			31,986			407,050
Redeemed		(847,891	)		(11,776,491	)		(1,273,996	)		(14,607,080	)
Net increase (decrease)		(250,416	)	$	(3,399,421	)		422,399		$	5,534,381
Small Company Value Fund Class L
Sold		577,991		$	8,131,113			1,098,698		$	13,315,423
Issued as reinvestment of dividends		-			-			21,740			283,149
Redeemed		(1,448,218	)		(19,977,650	)		(2,021,860	)		(24,065,625	)
Net increase (decrease)		(870,227	)	$	(11,846,537	)		(901,422	)	$	(10,467,053	)
Small Company Value Fund Class Y
Sold		292,918		$	4,177,878			1,202,873		$	14,646,122
Issued as reinvestment of dividends		-			-			32,471			427,264
Redeemed		(537,250	)		(7,692,502	)		(3,231,434	)		(39,188,200	)
Net increase (decrease)		(244,332	)	$	(3,514,624	)		(1,996,090	)	$	(24,114,814	)
Small Company Value Fund Class S
Sold		1,349,734		$	19,587,796			6,526,560		$	80,089,434
Issued as reinvestment of dividends		-			-			165,286			2,189,361
Redeemed		(3,151,818	)		(44,186,210	)		(5,035,034	)		(60,783,433	)
Net increase (decrease)		(1,802,084	)	$	(24,598,414	)		1,656,812		$	21,495,362

318

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
Small Company Value Fund Class N
Sold		780		$	10,408			4,217		$	46,423
Issued as reinvestment of dividends		-			-			37			377
Redeemed		(9,933	)		(134,215	)		(90,655	)		(1,038,156	)
Net increase (decrease)		(9,153	)	$	(123,807	)		(86,401	)	$	(991,356	)
Small Company Value Fund Class Z**
Sold		2,369,589		$	32,761,644			7,857		$	100,100
Issued as reinvestment of dividends		-			-			-	+		1
Redeemed		(64,671	)		(912,487	)		-			-
Net increase (decrease)		2,304,918		$	31,849,157			7,857		$	100,101
Mid Cap Growth Equity Fund Class A
Sold		176,553		$	1,973,445			308,914		$	2,834,813
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(887,059	)		(9,852,375	)		(841,418	)		(7,365,887	)
Net increase (decrease)		(710,506	)	$	(7,878,930	)		(532,504	)	$	(4,531,074	)
Mid Cap Growth Equity Fund Class L
Sold		155,085		$	1,765,851			595,713		$	5,450,647
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(1,985,850	)		(22,095,654	)		(783,402	)		(7,155,464	)
Net increase (decrease)		(1,830,765	)	$	(20,329,803	)		(187,689	)	$	(1,704,817	)
Mid Cap Growth Equity Fund Class Y
Sold		78,790		$	914,196			52,743		$	498,574
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(207,602	)		(2,390,393	)		(57,273	)		(526,047	)
Net increase (decrease)		(128,812	)	$	(1,476,197	)		(4,530	)	$	(27,473	)
Mid Cap Growth Equity Fund Class S
Sold		1,696,629		$	19,116,268			817,359		$	7,772,126
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(1,690,985	)		(19,378,119	)		(2,750,699	)		(25,769,547	)
Net increase (decrease)		5,644		$	(261,851	)		(1,933,340	)	$	(17,997,421	)
Mid Cap Growth Equity Fund Class N
Sold		202		$	2,179			1,521		$	12,949
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(1,107	)		(11,982	)		(13,235	)		(108,197	)
Net increase (decrease)		(905	)	$	(9,803	)		(11,714	)	$	(95,248	)
Mid Cap Growth Equity II Fund Class A
Sold		1,943,242		$	30,835,338			3,325,295		$	43,174,309
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(2,259,809	)		(35,624,159	)		(4,061,634	)		(50,351,804	)
Net increase (decrease)		(316,567	)	$	(4,788,821	)		(736,339	)	$	(7,177,495	)
Mid Cap Growth Equity II Fund Class L
Sold		1,734,053		$	28,235,723			4,630,509		$	61,920,391
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(4,186,610	)		(66,811,755	)		(5,466,059	)		(72,339,157	)
Net increase (decrease)		(2,452,557	)	$	(38,576,032	)		(835,550	)	$	(10,418,766	)

319

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
Mid Cap Growth Equity II Fund Class Y
Sold		1,202,341		$	19,779,073			3,169,645		$	42,893,874
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(1,169,168	)		(19,151,413	)		(3,101,342	)		(41,738,086	)
Net increase (decrease)		33,173		$	627,660			68,303		$	1,155,788
Mid Cap Growth Equity II Fund Class S
Sold		2,703,383		$	45,214,419			8,860,969		$	122,754,396
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(5,396,009	)		(89,488,493	)		(4,471,917	)		(59,393,770	)
Net increase (decrease)		(2,692,626	)	$	(44,274,074	)		4,389,052		$	63,360,626
Mid Cap Growth Equity II Fund Class N
Sold		15,019		$	231,679			44,930		$	551,044
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(15,472	)		(235,726	)		(61,605	)		(744,871	)
Net increase (decrease)		(453	)	$	(4,047	)		(16,675	)	$	(193,827	)
Mid Cap Growth Equity II Fund Class Z**
Sold		5,051,649		$	83,201,066			6,823		$	100,100
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(142,945	)		(2,374,832	)		-			-
Net increase (decrease)		4,908,704		$	80,826,234			6,823		$	100,100
Small Cap Growth Equity Fund Class A
Sold		584,171		$	10,250,162			1,184,857		$	16,900,205
Issued as reinvestment of dividends		-			-			51,212			818,370
Redeemed		(685,762	)		(11,759,031	)		(1,236,444	)		(17,496,011	)
Net increase (decrease)		(101,591	)	$	(1,508,869	)		(375	)	$	222,564
Small Cap Growth Equity Fund Class L
Sold		827,354		$	14,779,006			645,367		$	9,502,251
Issued as reinvestment of dividends		-			-			32,224			529,753
Redeemed		(1,383,755	)		(23,896,380	)		(1,317,682	)		(19,641,364	)
Net increase (decrease)		(556,401	)	$	(9,117,374	)		(640,091	)	$	(9,609,360	)
Small Cap Growth Equity Fund Class Y
Sold		821,265		$	14,885,302			822,125		$	12,324,283
Issued as reinvestment of dividends		-			-			41,749			698,464
Redeemed		(501,680	)		(9,137,157	)		(2,224,435	)		(33,300,629	)
Net increase (decrease)		319,585		$	5,748,145			(1,360,561	)	$	(20,277,882	)
Small Cap Growth Equity Fund Class S
Sold		2,922,622		$	54,461,278			18,772,611		$	277,949,633
Issued as reinvestment of dividends		-			-			280,969			4,770,852
Redeemed		(3,226,617	)		(58,310,558	)		(4,312,669	)		(65,193,993	)
Net increase (decrease)		(303,995	)	$	(3,849,280	)		14,740,911		$	217,526,492
Small Cap Growth Equity Fund Class N
Sold		1,671		$	28,578			6,191		$	87,411
Issued as reinvestment of dividends		-			-			194			3,015
Redeemed		(1,288	)		(21,161	)		(16,270	)		(222,157	)
Net increase (decrease)		383		$	7,417			(9,885	)	$	(131,731	)

320

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
Small Cap Growth Equity Fund Class Z**
Sold		2,219,504		$	39,828,115			6,233		$	100,100
Issued as reinvestment of dividends		-			-			0	+		1
Redeemed		(261,169	)		(4,855,170	)		-			-
Net increase (decrease)		1,958,335		$	34,972,945			6,233		$	100,101
Small Company Growth Fund Class A
Sold		93,409		$	949,683			257,156		$	2,071,939
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(367,001	)		(3,769,044	)		(738,058	)		(5,647,442	)
Net increase (decrease)		(273,592	)	$	(2,819,361	)		(480,902	)	$	(3,575,503	)
Small Company Growth Fund Class L
Sold		381,224		$	3,977,236			1,359,752		$	11,036,989
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(1,612,493	)		(16,442,192	)		(977,086	)		(8,379,106	)
Net increase (decrease)		(1,231,269	)	$	(12,464,956	)		382,666		$	2,657,883
Small Company Growth Fund Class Y
Sold		34,837		$	358,116			110,410		$	924,179
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(16,614	)		(170,876	)		(397,194	)		(3,400,814	)
Net increase (decrease)		18,223		$	187,240			(286,784	)	$	(2,476,635	)
Small Company Growth Fund Class S
Sold		2,243,588		$	23,662,238			1,496,764		$	12,825,554
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(857,321	)		(9,068,433	)		(1,367,749	)		(11,209,226	)
Net increase (decrease)		1,386,267		$	14,593,805			129,015		$	1,616,328
Small Company Growth Fund Class N
Sold		4,050		$	40,928			5,937		$	46,585
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(404	)		(3,987	)		(1,752	)		(12,265	)
Net increase (decrease)		3,646		$	36,941			4,185		$	34,320
Diversified International Fund Class A
Sold		15,671		$	113,396			26,038		$	176,026
Issued as reinvestment of dividends		-			-			5,043			34,772
Redeemed		(24,365	)		(172,492	)		(96,158	)		(652,972	)
Net increase (decrease)		(8,694	)	$	(59,096	)		(65,077	)	$	(442,174	)
Diversified International Fund Class L
Sold		821,673		$	5,885,090			993,067		$	6,501,627
Issued as reinvestment of dividends		-			-			140,851			974,079
Redeemed		(5,192,232	)		(35,937,473	)		(1,159,004	)		(7,724,782	)
Net increase (decrease)		(4,370,559	)	$	(30,052,383	)		(25,086	)	$	(249,076	)
Diversified International Fund Class Y
Sold		944		$	6,860			9,527		$	66,557
Issued as reinvestment of dividends		-			-			32,890			227,471
Redeemed		-			-			-			-
Net increase (decrease)		944		$	6,860			42,417		$	294,028

321

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
Diversified International Fund Class S
Sold		6,356,716		$	44,404,821			3,587,759		$	23,877,844
Issued as reinvestment of dividends		-			-			461,290			3,194,917
Redeemed		(1,134,133	)		(8,132,706	)		(2,926,672	)		(19,813,094	)
Net increase (decrease)		5,222,583		$	36,272,115			1,122,377		$	7,259,667
Diversified International Fund Class N
Sold		-		$	-			138		$	895
Issued as reinvestment of dividends		-			-			0	+		1
Redeemed		(11	)		(78	)		(348	)		(2,026	)
Net increase (decrease)		(11	)	$	(78	)		(210	)	$	(1,130	)
Overseas Fund Class A
Sold		349,261		$	2,585,936			869,779		$	5,670,854
Issued as reinvestment of dividends		-			-			104,968			635,055
Redeemed		(565,884	)		(4,187,265	)		(2,407,418	)		(15,831,917	)
Net increase (decrease)		(216,623	)	$	(1,601,329	)		(1,432,671	)	$	(9,526,008	)
Overseas Fund Class L
Sold		3,386,437		$	25,296,614			3,666,637		$	23,984,361
Issued as reinvestment of dividends		-			-			323,520			1,970,244
Redeemed		(15,379,106	)		(113,706,330	)		(6,234,444	)		(41,301,431	)
Net increase (decrease)		(11,992,669	)	$	(88,409,716	)		(2,244,287	)	$	(15,346,826	)
Overseas Fund Class Y
Sold		869,678		$	6,531,847			1,024,497		$	6,895,552
Issued as reinvestment of dividends		-			-			212,912			1,300,895
Redeemed		(924,153	)		(7,102,666	)		(4,471,193	)		(31,414,641	)
Net increase (decrease)		(54,475	)	$	(570,819	)		(3,233,784	)	$	(23,218,194	)
Overseas Fund Class S
Sold		2,338,131		$	17,765,362			8,929,306		$	60,355,232
Issued as reinvestment of dividends		-			-			598,851			3,676,942
Redeemed		(17,928,231	)		(135,657,630	)		(10,212,769	)		(67,812,300	)
Net increase (decrease)		(15,590,100	)	$	(117,892,268	)		(684,612	)	$	(3,780,126	)
Overseas Fund Class N
Sold		4,430		$	32,652			11,782		$	77,862
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(1,247	)		(9,225	)		(127,195	)		(833,246	)
Net increase (decrease)		3,183		$	23,427			(115,413	)	$	(755,384	)
Overseas Fund Class Z**
Sold		29,176,512		$	219,247,189			14,039		$	100,100
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(708,000	)		(5,350,946	)		-			-
Net increase (decrease)		28,468,512		$	213,896,243			14,039		$	100,100

* Fund commenced operations on July 6, 2010.

** Class Z shares commenced operations on November 15, 2010.

+ Amount rounds to less than 0.5 share.

322

Notes to Financial Statements (Unaudited) (Continued)

Purchases of Class A shares are subject to a front-end sales charge of up to 5.75% of the amount purchased. A portion of the front-end sales charge may be retained by the Distributor. For the period ended June 30, 2011, no material amounts have been retained by the Distributor.

Redemptions or exchanges of Class A shares made within eighteen months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1% of the amount redeemed. Redemptions or exchanges of Class N shares made within eighteen months of purchase are subject to a contingent deferred sales charge of 1% of the amount redeemed. The Distributor receives all contingent deferred sales charges. Any contingent deferred sales charges imposed during the period ended June 30, 2011, were waived for any redemptions or exchanges subject to such a charge.

6. Federal Income Tax Information

At June 30, 2011, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Funds, as computed on a federal income tax basis, were as follows:

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund	$	1,568,761,584	$	41,850,004	$	(4,302,782	)	$	37,547,222
Strategic Bond Fund		218,018,020		5,648,947		(9,059,065	)		(3,410,118	)
Strategic Balanced Fund		63,851,854		6,703,570		(2,999,937	)		3,703,633
BlackRock Global Allocation Fund		537,962,725		63,092,381		(16,967,523	)		46,124,858
Diversified Value Fund		262,123,902		43,277,454		(5,762,233	)		37,515,221
Fundamental Value Fund		982,437,745		224,822,240		(35,488,857	)		189,333,383
Value Equity Fund		27,975,696		3,580,700		(685,935	)		2,894,765
Large Cap Value Fund		479,808,275		200,522,273		(25,223,709	)		175,298,564
Indexed Equity Fund		1,819,282,165		565,684,922		(250,600,047	)		315,084,875
Core Opportunities Fund		55,470,153		7,117,510		(1,467,799	)		5,649,711
Blue Chip Growth Fund		440,895,180		135,040,644		(4,413,746	)		130,626,898
Large Cap Growth Fund		56,692,864		10,563,656		(542,264	)		10,021,392
Growth Opportunities Fund		257,341,308		104,982,132		(2,693,071	)		102,289,061
NASDAQ-100 Fund		41,451,190		9,845,817		(1,932,395	)		7,913,422
Focused Value Fund		520,696,939		137,547,608		(9,842,188	)		127,705,420
Mid-Cap Value Fund		141,666,025		17,078,017		(2,003,690	)		15,074,327
Small Cap Value Equity Fund		90,774,965		21,552,030		(1,667,449	)		19,884,581
Small Company Value Fund		479,136,169		121,676,823		(35,080,578	)		86,596,245
Mid Cap Growth Equity Fund		35,517,822		7,237,328		(1,020,654	)		6,216,674
Mid Cap Growth Equity II Fund		1,260,760,655		449,851,238		(16,339,804	)		433,511,434
Small Cap Growth Equity Fund		774,170,965		168,632,415		(27,423,148	)		141,209,267
Small Company Growth Fund		55,550,207		17,966,174		(1,073,456	)		16,892,718
Diversified International Fund		151,144,075		5,750,012		(4,724,217	)		1,025,795
Overseas Fund		539,097,182		85,816,312		(19,406,588	)		66,409,724

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

323

Notes to Financial Statements (Unaudited) (Continued)

At December 31, 2010, the following Fund(s) had available, for federal income tax purposes, unused capital losses:

	Expiring 2011		Expiring 2012		Expiring 2015		Expiring 2016		Expiring 2017		Expiring 2018
Strategic Bond Fund	$	-	$	-	$	-	$	-	$	6,057,011	$	-
Strategic Balanced Fund		-		-		-		3,356,976		3,431,181		-
Diversified Value Fund		-		-		-		7,166,651		131,211,479		-
Fundamental Value Fund		-		-		-		-		73,416,570		-
Value Equity Fund		-		-		-		8,941,378		13,667,493		-
Large Cap Value Fund		-		-		-		-		70,924,454		-
Indexed Equity Fund		-		-		-		26,764,292		25,573,790		-
Core Opportunities Fund		-		-		-		4,458,351		9,336,944		-
Blue Chip Growth Fund		-		2,228,360		4,896,088		61,454,994		80,616,905		-
Growth Opportunities Fund		-		-		-		-		33,344,493		-
NASDAQ-100 Fund		9,465,641		7,702,832		-		-		1,004,147		-
Focused Value Fund		-		-		-		-		33,286,236		-
Mid-Cap Value Fund		-		-		-		20,010,546		41,375,263		-
Small Cap Value Equity Fund		-		-		-		20,262,070		31,271,443		-
Small Company Value Fund		-		-		-		-		7,770,030		-
Mid Cap Growth Equity Fund		976,172		-		-		25,389,210		22,139,351		-
Mid Cap Growth Equity II Fund		-		-		-		-		27,094,132		-
Small Company Growth Fund		-		-		-		11,433,135		12,246,542		-
Diversified International Fund		-		-		-		12,970,723		62,822,946		511,296
Overseas Fund		-		-		-		9,247,430		133,288,552		-

Net capital loss carryforwards for the Funds shown in the above table are from pre-enactment years and are, therefore, subject to the eight-year carryforward period and possible expiration.

The following Fund(s) elected to defer to the fiscal year beginning January 1, 2011, post-October capital losses:

	Amount
PIMCO Total Return Fund	$	11,347,844
Diversified Value Fund		643,710
Value Equity Fund		479,263
Diversified International Fund		555,718

The following Fund(s) elected to defer to the fiscal year beginning January 1, 2011, post-October currency losses:

	Amount
Blue Chip Growth Fund	$	1,733
Small Company Value Fund		20
Mid Cap Growth Equity Fund		9,777
Mid Cap Growth Equity II Fund		269
Small Cap Growth Equity Fund		28,332

The following Fund(s) elected to defer to the fiscal year beginning January 1, 2011, post-October passive foreign investment company losses:

	Amount
Large Cap Value Fund	$	469,028
Small Company Value Fund		60,805

324

Notes to Financial Statements (Unaudited) (Continued)

Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2010, was as follows:

	Ordinary Income		Long Term Capital Gain		Return of Capital
PIMCO Total Return Fund	$	25,081,784	$	678,142	$	-
Strategic Bond Fund		8,856,553		-		-
Strategic Balanced Fund		1,163,780		-		-
BlackRock Global Allocation Fund		5,253,954		-		-
Diversified Value Fund		5,259,529		-		-
Fundamental Value Fund		12,798,425		-		-
Value Equity Fund		485,740		-		-
Large Cap Value Fund		7,906,724		-		-
Indexed Equity Fund		29,292,630		-		-
Core Opportunities Fund		240,495		-		-
Blue Chip Growth Fund		157,252		-		-
Large Cap Growth Fund		269,166		-		-
Focused Value Fund		3,216,967		-		-
Mid-Cap Value Fund		1,594,655		-		-
Small Cap Value Equity Fund		541,586		-		-
Small Company Value Fund		3,308,127		-		-
Small Cap Growth Equity Fund		-		6,822,497		-
Diversified International Fund		4,433,045		-		-
Overseas Fund		7,583,289		-		-

The following Fund(s) have elected to pass through the foreign tax credit for the year ended December 31, 2010:

	Amount
Diversified International Fund	$	404,502
Overseas Fund		975,533

Capital accounts within financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At December 31, 2010, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, swap agreements, passive foreign investment companies, the deferral of wash sale losses, and deferred Trustee compensation.

325

Notes to Financial Statements (Unaudited) (Continued)

At December 31, 2010, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long Term Capital Gain (Capital Loss Carryover)			Other Temporary Differences			Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund	$	3,874,836	$	-		$	(11,252,804	)	$	16,089,235
Strategic Bond Fund		163,083		(6,057,011	)		(15,065	)		(8,275,196	)
Strategic Balanced Fund		747,397		(6,788,157	)		(25,232	)		4,531,398
BlackRock Global Allocation Fund		895,890		26,180			(19,185	)		39,633,175
Diversified Value Fund		1,050,408		(138,378,130	)		(713,711	)		22,511,368
Fundamental Value Fund		11,861,142		(73,416,570	)		(186,410	)		165,943,148
Value Equity Fund		236,178		(22,608,871	)		(491,156	)		3,410,200
Large Cap Value Fund		-		(70,924,454	)		(656,624	)		190,403,709
Indexed Equity Fund		7,616,239		(52,338,082	)		(356,461	)		180,973,112
Core Opportunities Fund		411,577		(13,795,295	)		(7,296	)		6,706,548
Blue Chip Growth Fund		-		(149,196,347	)		(149,296	)		123,476,905
Large Cap Growth Fund		545,631		-			(9,519	)		12,819,053
Growth Opportunities Fund		-		(33,344,493	)		(72,706	)		78,414,135
NASDAQ-100 Fund		7,003		(18,172,620	)		(10,112	)		11,879,387
Focused Value Fund		2,550,800		(33,286,236	)		(124,408	)		133,405,736
Mid-Cap Value Fund		-		(61,385,809	)		(20,360	)		17,911,053
Small Cap Value Equity Fund		-		(51,533,513	)		(16,598	)		18,319,618
Small Company Value Fund		-		(7,770,030	)		(156,351	)		72,061,601
Mid Cap Growth Equity Fund		-		(48,504,733	)		(33,010	)		14,515,551
Mid Cap Growth Equity II Fund		-		(27,094,132	)		(225,091	)		404,474,999
Small Cap Growth Equity Fund		2,500,849		14,262,379			(137,458	)		137,409,081
Small Company Growth Fund		-		(23,679,677	)		(17,705	)		15,624,496
Diversified International Fund		254,968		(76,304,965	)		(580,681	)		4,428,848
Overseas Fund		9,126,846		(142,535,982	)		(133,813	)		55,144,339

The Funds did not have any unrecognized tax benefits at June 30, 2011, nor were there any increases or decreases in unrecognized tax benefits for the period then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the period ended June 30, 2011, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years, or the returns filed to date for Funds in existence less than three years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.

7. Indemnifications

Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

8. Legal Proceedings

On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11

326

Notes to Financial Statements (Unaudited) (Continued)

bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds.

The potential amounts sought to be recovered from the Diversified Value Fund and Indexed Equity Fund, plus interest and the Official Committee’s court costs, are approximately $1,621,800 and $1,186,430, respectively.

In addition, on June 2, 2011, the Diversified Value Fund and Indexed Equity Fund were named as defendants in a closely related, parallel adversary proceeding brought in connection with the Tribune Company’s LBO by Deutsche Bank Trust Company Americas, in its capacity as successor indenture trustee for a certain series of Senior Notes, Law Debenture Trust Company of New York, in its capacity as successor indenture trustee for a certain series of Senior Notes, and Wilmington Trust Company, in its capacity as successor indenture trustee for the PHONES Notes (together, the “Plaintiffs”), in the United States District Court for the District of Massachusetts. The Plaintiffs also seek to recover payments of the Proceeds.

The Funds cannot predict the outcome of these proceedings. If the proceedings were to be decided in a manner adverse to the Funds, or if the Funds were to enter into a settlement agreement with the Official Committee or the Plaintiffs, the payment of such judgment or settlement could have a material adverse effect on the Funds’ net asset values.

9. Subsequent Events

Management has evaluated the events and transactions subsequent to June 30, 2011, through the date when the financial statements were issued, and determined that there are no material events or transactions that would require adjustments to or disclosures in the Funds’ financial statements other than those disclosed below.

Effective August 5, 2011 (the “Termination Date”), the Mid Cap Growth Equity Fund was dissolved pursuant to a Plan of Liquidation and Termination approved by the Trustees. Shareholders of the various classes of shares of the Fund received proceeds in proportion to the number of shares of such class held by each of them on the Termination Date.

In addition, on August 5, 2011, Standard & Poor’s Ratings Services (“S&P”) lowered its long-term sovereign credit rating for the United States of America to “AA+” from “AAA.” The financial statements do not reflect the effect of such downgrade because it occurred after the period end. While the long-term impact of the downgrade is uncertain, it may lead to increased volatility, particularly in the short-term. For Funds that invest in U.S. government obligations, the value of the Funds’ shares may be adversely affected by S&P’s downgrade or any future downgrades of the United States’ credit ratings.

327

Other Information (Unaudited)

Proxy Voting

A description of the policies and procedures that each Fund’s investment adviser and subadvisers use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s website at http://www.sec.gov.

Quarterly Reporting

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.

Trustees’ Approval of Investment Advisory Contracts

At their meetings in April and May 2011, the Contract Committee (the “Committee”) and the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust, MassMutual, or subadvisers (the “Independent Trustees”), re-approved the existing advisory and subadvisory agreements (collectively, the “Contracts”) for each of the Strategic Bond Fund, Strategic Balanced Fund, BlackRock Global Allocation Fund, Diversified Value Fund, Fundamental Value Fund, Value Equity Fund, Large Cap Value Fund, Indexed Equity Fund, Core Opportunities Fund, Blue Chip Growth Fund, Large Cap Growth Fund, Growth Opportunities Fund, NASDAQ-100 Fund, Focused Value Fund, Mid-Cap Value Fund, Small Cap Value Equity Fund, Small Company Value Fund, Mid Cap Growth Equity Fund, Mid Cap Growth Equity II Fund, Small Cap Growth Equity Fund, Small Company Growth Fund, Diversified International Fund, and Overseas Fund. In preparation for the meetings, the Trustees requested, and MassMutual and the subadvisers provided in advance, certain materials relevant to the consideration of the Contracts (the “Meeting Materials”).

In all of their deliberations, the Trustees were advised by independent counsel. The Committee received in advance of the meetings (i) a memorandum from MassMutual discussing the nature and quality of the services it provides as investment manager to the Funds; (ii) a profitability analysis prepared by MassMutual; and (iii) a fee and performance study report (the “Third-Party Report”) with respect to each Fund prepared by an independent third-party vendor (the “Third-Party”). The Third-Party Report provided detailed comparative management fee, total expense, and performance information for each Fund to assist the Committee in its evaluation of the Contracts. The Committee also considered information presented to it throughout the year regarding MassMutual and each of the subadvisers.

The Committee considered the nature, scope, and quality of services MassMutual provides to the Funds, including: (i) the financial condition, stability, and business strategy of MassMutual; (ii) the capabilities of MassMutual with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the Funds; (iii) MassMutual’s ability to provide investment oversight and administrative and shareholder services to the Funds; and (iv) the experience and qualifications of the personnel of MassMutual that perform, or oversee the performance of, the services provided to the Funds and the needs of the Funds for administrative and shareholder services.

The Committee then reviewed and considered, for each Fund separately, the detailed information presented in the Third-Party Report regarding: (i) Fund expenses, including, among other things, both the Fund’s advisory fee and total net expense ratio against peer funds; and (ii) the Fund’s relative performance (over various time periods against peer funds and a benchmark index). In connection with the Committee’s review, MassMutual provided commentary and analysis regarding each Fund’s performance and expenses. The Committee also noted that it had received in the Meeting Materials or during the course of the past year: (i) detailed information regarding MassMutual’s ability to provide investment oversight and administrative and shareholder services to the Funds; and (ii) a wide range of information about each subadviser and its personnel with responsibilities for providing services to the respective Fund and the fees payable to each subadviser by MassMutual. MassMutual reviewed with the

328

Other Information (Unaudited) (Continued)

Committee in detail the work MassMutual does in its oversight, administrative, and shareholder servicing roles, the expertise it brings to these roles, the size of its teams, and the financial commitment it has made to providing those services. Throughout the discussion, MassMutual responded to Committee members’ questions and provided additional information concerning each Fund.

The Committee reviewed the expense and performance information for each Fund. (References to any one-year or three-year period below are to periods ended December 31, 2010. The three-year period does not apply for any Fund that does not yet have a three-year performance history.)

The Committee considered that, in the case of a number of Funds, expense information showed the Funds to be in the first or second quartile of their peer groups (favorable), and performance information showed the Funds to have had first or second quartile investment performance in their performance categories for the most recent one- and three-year periods. These Funds included the Strategic Bond Fund, Fundamental Value Fund, Focused Value Fund, Growth Opportunities Fund, Blue Chip Growth Fund, Mid Cap Growth Equity II Fund, and Overseas Fund. The Committee also considered that the Mid-Cap Value Fund’s expenses were in the first quartile of its peer group, and that its performance for the three-year period had been very favorable, although its performance was slightly below the median of its performance category (51^st percentile) for the one-year period. The Committee reviewed this information with MassMutual, and determined that further inquiry was not required at this time.

The Committee also considered that, in the case of a number of other Funds, expense information showed the Funds to be in the first or second quartile of their peer groups, and performance information showed the Funds to have had first or second quartile investment performance in their performance categories for the one-year period, showing an improvement from a third- or fourth-quartile performance ranking for the three-year period. These Funds included the Value Equity Fund, Large Cap Growth Fund, Small Cap Value Equity Fund, and Small Company Growth Fund. For each of these Funds, the Committee reviewed with MassMutual the factors that had led to the improvement in performance and considered factors that may have contributed to the less favorable three-year performance numbers, including subadviser changes in a number of the Funds. The Committee determined that further inquiry was not required at this time. MassMutual also noted in the course of the discussion that, in light of the Value Equity Fund’s long-term performance record, MassMutual was considering the possibility of future strategic changes for that Fund.

The Committee considered the expenses and performance of the Indexed Equity Fund and NASDAQ-100 Fund. The Committee considered MassMutual’s statement that each of the Funds was performing within a quite favorable tracking error of its benchmark index and in accordance with expectations. MassMutual explained that expense information is difficult to analyze for these Funds, because, among other things, a number of the other funds in the comparison groups tend to be ultra-low priced retail index funds that skew the data. MassMutual noted that the Third-Party Report showed the Indexed Equity Fund to have very low expenses relative to its peers (first percentile), but to have underperformed its peers for the one- and three-year periods; and the NASDAQ-100 Fund to have relatively high expenses, but to have outperformed its peers for the one- and three-year periods. The Committee considered MassMutual’s statement that the NASDAQ-100 Fund’s expense numbers appear relatively high in large part due to the very small group of peer funds available for comparison with the Fund, but undertook to go back and review the expense levels of the Fund to determine whether any action as to the Fund’s expenses might be appropriate. The Committee considered MassMutual’s statements to the effect that MassMutual was satisfied with the performance of both Funds, and that the Funds were performing the role in the Select Fund family that they were intended to fulfill.

The Committee considered information regarding Funds that had underperformed in recent periods compared to their peers, and that had recently experienced changes in subadvisory relationships. The Committee considered that each of the Funds had relatively favorable expenses, but had achieved unfavorable relative performance.

• Strategic Balanced Fund – The Committee considered MassMutual’s statement that one of the Fund’s subadvisers had been replaced in October 2008 with J.P. Morgan Investment Management Inc. (“J.P. Morgan”), and that the Fund had added an international sleeve at that time. MassMutual reported that it considered the restructuring of the Fund to be sound, and that the Fund had a first-quartile performance record for the three-year period, and slightly below median performance (59^th percentile) for the one-year period.

• Diversified Value Fund – The Committee considered MassMutual’s statement that both of the Fund’s current subadvisers, Brandywine Global Investment Management, LLC and Loomis, Sayles & Company, L.P., had been appointed in January 2010. The Committee also considered MassMutual’s statement that the Fund had returned to the desired risk profile since that time,

329

Other Information (Unaudited) (Continued)

and had experienced favorable relative performance in the second half of 2010 and in the first quarter of 2011 following one-year and three-year performance records in the third and fourth quartiles, respectively.

• Core Opportunities Fund – The Committee considered MassMutual’s statement that, although the Fund had experienced third-quartile performance for the one- and three-year periods, The Boston Company Asset Management, LLC (“The Boston Company”) had been added as a subadviser in March 2010, which provided favorable relative performance in 2010 for the portion of the Fund it manages. The Committee considered MassMutual’s statement that the portion of the Fund managed by Victory Capital Management Inc. underperformed for that period, but that MassMutual has long-term confidence in the combination of managers. The Committee also considered MassMutual’s statement that, although the Fund is categorized by the Third-Party as a “growth” fund, MassMutual views the Fund as more appropriately in the “blend” category (against which its performance might be expected to appear more favorable) and believes that the appointment of The Boston Company will help to highlight that difference over time.

The Committee considered MassMutual’s confidence in the investment program of each of those Funds in light of the recent changes.

The Committee discussed with MassMutual the Select Large Cap Value Fund, subadvised by Davis Selected Advisers, L.P. (“Davis”), noting that the Fund had experienced third-quartile performance for the one- and three-year periods. MassMutual noted that stocks in which Davis specializes  —  undervalued, large-capitalization stocks with a relatively low-risk profile and historically including exposure to the financial sector  —  have been out of favor in recent years, and that Davis’s approach might be expected to perform more favorably as the current economic recovery moderates. MassMutual discussed with the Committee the fact that Davis remains very popular with investors, and that the firm’s investment style has served it well over the long term. The Committee considered that the Fund’s expense ratio is in the first quartile.

The Committee discussed with Management the Small Company Value Fund. The Committee considered that, although the Fund had experienced third-quartile relative performance for the one-year period, the Fund’s three-year performance was at the 30^th percentile, and that MassMutual continued to have high conviction in the mix of managers and strategies for the Fund. The Committee also considered that the Fund’s expense ratio placed the Fund in the first quartile relative to its peers.

The Committee discussed with MassMutual the Small Cap Growth Equity Fund, noting that the Fund had experienced fourth-quartile performance for the one-year period. MassMutual affirmed that it had high conviction in the Fund’s two subadvisers, Wellington Management Company, LLP and Waddell & Reed Investment Management Company, based on the long-term performance record of the Fund’s portfolio managers. MassMutual noted that the Fund had performed in the second quartile in each of the preceding two years, and in the third quartile for the three-year period, and that the Fund’s expenses were in the second quartile. The Committee considered that the Fund had experienced substantially improved performance in the first quarter of 2011.

The Committee also discussed with MassMutual the Diversified International Fund, noting that the Fund had experienced low third-quartile performance for the one-year period and fourth-quartile performance for the three-year period. MassMutual noted that, although the subadviser, AllianceBernstein L.P. (“AllianceBernstein”), had a favorable performance record using the same strategy for the long term through 2007, MassMutual had less conviction in its execution, and was in the process of recommending a subadviser change. The Committee considered that the Fund’s expense ratio is in the first quartile.

The Committee then discussed the BlackRock Global Allocation Fund. The Committee considered MassMutual’s statement that, although the Fund’s performance for the one-year period was in the third quartile, the Fund is newly organized, and that MassMutual continues to have confidence in the subadviser, BlackRock Investment Management, LLC. The Committee considered that the Fund’s expense ratio is in the first quartile.

MassMutual then reminded the Committee that the Mid Cap Growth Equity Fund was scheduled to be liquidated in August of 2011, and recommended continuation of the Fund’s contractual arrangements to allow for the orderly liquidation of the Fund.

With respect to the Strategic Bond Fund, Fundamental Value Fund, Diversified Value Fund, Large Cap Value Fund, Focused Value Fund, Indexed Equity Fund, Blue Chip Growth Fund, Mid Cap Growth Equity II Fund, and Overseas Fund, the Committee considered, in addition to the other factors noted above, the fact that MassMutual was proposing a revised advisory fee schedule reflecting new breakpoints for each of the Funds.

330

Other Information (Unaudited) (Continued)

In conjunction with its review of the Third-Party Report, the Committee also reviewed and considered information included in the Meeting Materials, or discussed at the meeting, concerning economies of scale and the profitability of MassMutual’s advisory relationship with the various Funds, including: (i) a description of the revenue (including management fees and administrative service fees, as applicable) and expense allocation methodology employed by MassMutual; and (ii) profitability information for the Funds and each individual Fund, which included a sensitivity analysis of the expected level of profitability assuming increased Fund assets at specified levels. The discussions included consideration of the intangible benefits derived by MassMutual and its affiliates resulting from their relationships with the Funds and the so-called “fallout benefits” to MassMutual, such as any reputational value derived from serving as investment adviser to the Funds, and benefits accruing to subadvisers due to so-called “soft-dollar arrangements.”

Prior to the votes being taken to approve the Contracts, the Committee met separately in executive session to discuss the appropriateness of such contracts. The Committee weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Committee did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

As to each of the Funds, the Committee concluded that: (i) overall, it was satisfied with the nature, extent, and quality of services provided, and expected to be provided in the future, under the Contracts, including the level of MassMutual’s oversight of each Fund and the subadvisory process; (ii) MassMutual’s levels of profitability from its relationship with the various Funds were not excessive and the advisory fees payable under the Contracts and each Fund’s total net expenses are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of the subadvisers generally appear well suited to the Funds, given their investment objectives and policies; (iv) either the relative or absolute performance of a Fund (in each case, taking into account the applicable investment strategy and risk profile of the Fund), or the steps MassMutual has proposed in respect of the underperformance of a Fund, are sufficient to warrant continuation of the Contract for each of the Funds; and (v) the terms of the Contracts were fair and reasonable with respect to each Fund and were in the best interest of each Fund’s shareholders.

At their meeting in May 2010, the Trustees, including the Independent Trustees, also approved (i) the termination of the subadvisory agreement (“Prior Subadvisory Agreement”) with AllianceBernstein and the approval of a new subadvisory agreement (“New Subadvisory Agreement”) with J.P. Morgan as subadviser for the Diversified International Fund; and (ii) the termination of the Prior Subadvisory Agreement with AllianceBernstein and the approval of a New Subadvisory Agreement with J.P. Morgan as co-subadviser for the Overseas Fund. In all of their deliberations, the Trustees were advised by independent counsel.

With respect to the Diversified International Fund, after arriving at the decision to replace AllianceBernstein as subadviser of the Fund, the Trustees determined that it would be appropriate to find another subadviser that would maintain the foreign large value style mandate and have a diversified strategy capable of delivering competitive performance in diverse market environments. After careful consideration, the Trustees determined that J.P. Morgan’s International Value strategy, which has a diversified, value style that makes it capable of being offered as either a stand alone international mandate or as a complement in plan sponsor investment menus, provided the best opportunity for the Diversified International Fund.

With respect to the Overseas Fund, after arriving at the decision to replace AllianceBernstein as co-subadviser of the Fund, along with Harris Associates L.P. (“Harris”) and Massachusetts Financial Services Company, the Trustees determined that it would be appropriate to find another subadviser that would maintain the foreign large value style mandate and have a diversified strategy capable of delivering competitive performance in diverse market environments. After careful consideration, the Trustees determined that J.P. Morgan’s International Value strategy, which has a diversified, value style that makes it a strong complement to Harris as part of the value component of the Overseas Fund, provided the best opportunity for the Overseas Fund.

In reviewing the New Subadvisory Agreements, the Trustees discussed with MassMutual and considered a wide range of information about, among other things: (i) J.P. Morgan and its personnel with responsibilities for providing services to the Funds; (ii) the terms of the New Subadvisory Agreements; (iii) the scope and quality of services that J.P. Morgan will provide under the New Subadvisory Agreements; (iv) the historical investment performance track record of J.P. Morgan; and (v) the fees payable to J. P. Morgan by MassMutual and the effect of such fees on the profitability of MassMutual.

331

Other Information (Unaudited) (Continued)

Prior to the vote being taken to approve the New Subadvisory Agreements, the Independent Trustees met separately in executive session to discuss the appropriateness of the contracts. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

Based on the foregoing, the Trustees concluded that: (i) overall, they were satisfied with the nature, extent, and quality of services expected to be provided under the New Subadvisory Agreements; (ii) MassMutual’s projected levels of profitability from its relationship to the Funds was not excessive and the subadvisory fee amounts under the New Subadvisory Agreements are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of J.P. Morgan appear well suited to the Funds, given their investment objectives and policies; and (iv) the terms of the New Subadvisory Agreements are fair and reasonable with respect to each of the Funds and were in the best interest of each such Fund’s shareholders.

The New Subadvisory Agreements for the Diversified International Fund and the Overseas Fund each became effective on June 6, 2011.

332

Other Information (Unaudited) (Continued)

Fund Expenses June 30, 2011

Expense Examples:

The following information is in regards to expenses for the six months ended June 30, 2011:

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended June 30, 2011.

Actual Expenses:

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes:

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
PIMCO Total Return Fund
Class A	$	1,000		0.86	%	$	1,028.70	$	4.33	$	1,020.50	$	4.31
Class L		1,000		0.76	%		1,029.80		3.82		1,021.00		3.81
Class Y		1,000		0.68	%		1,029.70		3.42		1,021.40		3.41
Class S		1,000		0.56	%		1,030.80		2.82		1,022.00		2.81
Class N		1,000		1.11	%		1,027.80		5.58		1,019.30		5.56
Class Z		1,000		0.41	%		1,030.70		2.06		1,022.80		2.06
Strategic Bond Fund
Class A		1,000		1.12	%		1,026.10		5.63		1,019.20		5.61
Class L		1,000		0.87	%		1,026.10		4.37		1,020.50		4.36
Class Y		1,000		0.72	%		1,027.00		3.62		1,021.20		3.61
Class S		1,000		0.67	%		1,028.10		3.37		1,021.50		3.36
Class N		1,000		1.42	%		1,024.10		7.13		1,017.80		7.10

333

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Strategic Balanced Fund
Class A	$	1,000		1.43	%	$	1,033.80	$	7.21	$	1,017.70	$	7.15
Class L		1,000		1.18	%		1,035.80		5.96		1,018.90		5.91
Class Y		1,000		1.03	%		1,036.80		5.20		1,019.70		5.16
Class S		1,000		0.98	%		1,036.00		4.95		1,019.90		4.91
Class N		1,000		1.73	%		1,033.00		8.72		1,016.20		8.65
BlackRock Global Allocation Fund
Class A		1,000		1.36	%		1,029.70		6.84		1,018.10		6.81
Class L		1,000		1.10	%		1,031.50		5.54		1,019.30		5.51
Class Y		1,000		0.96	%		1,032.50		4.84		1,020.00		4.81
Class S		1,000		0.86	%		1,032.40		4.33		1,020.50		4.31
Diversified Value Fund
Class A		1,000		1.10	%		1,067.40		5.64		1,019.30		5.51
Class L		1,000		0.81	%		1,069.50		4.16		1,020.80		4.06
Class Y		1,000		0.70	%		1,069.50		3.59		1,021.30		3.51
Class S		1,000		0.60	%		1,070.60		3.08		1,021.80		3.01
Class N		1,000		1.41	%		1,067.10		7.23		1,017.80		7.05
Fundamental Value Fund
Class A		1,000		1.24	%		1,040.50		6.27		1,018.60		6.21
Class L		1,000		0.99	%		1,042.10		5.01		1,019.90		4.96
Class Y		1,000		0.84	%		1,043.00		4.26		1,020.60		4.21
Class S		1,000		0.80	%		1,041.90		4.05		1,020.80		4.01
Class N		1,000		1.54	%		1,040.00		7.79		1,017.20		7.70
Class Z		1,000		0.60	%		1,043.90		3.04		1,021.80		3.01
Value Equity Fund
Class A		1,000		1.38	%		1,046.10		7.00		1,018.00		6.90
Class L		1,000		1.13	%		1,047.30		5.74		1,019.20		5.66
Class Y		1,000		0.98	%		1,048.30		4.98		1,019.90		4.91
Class S		1,000		0.93	%		1,048.50		4.72		1,020.20		4.66
Class N		1,000		1.68	%		1,044.80		8.52		1,016.50		8.40
Large Cap Value Fund
Class A		1,000		1.26	%		1,022.80		6.32		1,018.50		6.31
Class L		1,000		1.01	%		1,023.70		5.07		1,019.80		5.06
Class Y		1,000		0.86	%		1,023.60		4.31		1,020.50		4.31
Class S		1,000		0.77	%		1,024.50		3.87		1,021.00		3.86
Class N		1,000		1.56	%		1,021.10		7.82		1,017.10		7.80
Indexed Equity Fund
Class A		1,000		0.65	%		1,056.40		3.31		1,021.60		3.26
Class L		1,000		0.40	%		1,057.90		2.04		1,022.80		2.01
Class Y		1,000		0.45	%		1,057.80		2.30		1,022.60		2.26
Class S		1,000		0.42	%		1,058.10		2.14		1,022.70		2.11
Class N		1,000		0.95	%		1,055.20		4.84		1,020.10		4.76
Class Z		1,000		0.21	%		1,059.00		1.07		1,023.80		1.05
Core Opportunities Fund
Class A		1,000		1.36	%		1,032.30		6.85		1,018.10		6.81
Class L		1,000		1.11	%		1,033.30		5.60		1,019.30		5.56
Class Y		1,000		0.96	%		1,034.20		4.84		1,020.00		4.81
Class S		1,000		0.86	%		1,035.20		4.34		1,020.50		4.31
Class N		1,000		1.66	%		1,031.10		8.36		1,016.60		8.30

334

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Blue Chip Growth Fund
Class A	$	1,000		1.19	%	$	1,063.70	$	6.09	$	1,018.90	$	5.96
Class L		1,000		0.98	%		1,065.30		5.02		1,019.90		4.91
Class Y		1,000		0.82	%		1,065.00		4.20		1,020.70		4.11
Class S		1,000		0.76	%		1,065.70		3.89		1,021.00		3.81
Class N		1,000		1.51	%		1,061.30		7.72		1,017.30		7.55
Large Cap Growth Fund
Class A		1,000		1.35	%		1,041.00		6.83		1,018.10		6.76
Class L		1,000		1.09	%		1,042.10		5.52		1,019.40		5.46
Class Y		1,000		0.92	%		1,043.10		4.66		1,020.20		4.61
Class S		1,000		0.92	%		1,044.30		4.66		1,020.20		4.61
Growth Opportunities Fund
Class A		1,000		1.36	%		1,076.30		7.00		1,018.10		6.81
Class L		1,000		1.11	%		1,078.60		5.72		1,019.30		5.56
Class Y		1,000		0.96	%		1,078.80		4.95		1,020.00		4.81
Class S		1,000		0.86	%		1,077.90		4.43		1,020.50		4.31
Class N		1,000		1.66	%		1,074.20		8.54		1,016.60		8.30
NASDAQ-100 Fund
Class A		1,000		1.13	%		1,047.80		5.74		1,019.20		5.66
Class L		1,000		0.88	%		1,048.40		4.47		1,020.40		4.41
Class Y		1,000		0.73	%		1,049.50		3.71		1,021.20		3.66
Class S		1,000		0.63	%		1,050.70		3.20		1,021.70		3.16
Class N		1,000		1.43	%		1,047.30		7.26		1,017.70		7.15
Focused Value Fund
Class A		1,000		1.30	%		1,048.90		6.60		1,018.30		6.51
Class L		1,000		1.05	%		1,050.20		5.34		1,019.60		5.26
Class Y		1,000		0.90	%		1,050.90		4.58		1,020.30		4.51
Class S		1,000		0.80	%		1,052.20		4.07		1,020.80		4.01
Class N		1,000		1.60	%		1,047.60		8.12		1,016.90		8.00
Class Z		1,000		0.69	%		1,052.20		3.51		1,021.40		3.46
Mid-Cap Value Fund
Class A		1,000		1.29	%		1,069.40		6.62		1,018.40		6.46
Class L		1,000		1.04	%		1,068.30		5.33		1,019.60		5.21
Class Y		1,000		0.89	%		1,071.10		4.57		1,020.40		4.46
Class S		1,000		0.79	%		1,072.30		4.06		1,020.90		3.96
Class N		1,000		1.59	%		1,067.50		8.15		1,016.90		7.95
Small Cap Value Equity Fund
Class A		1,000		1.35	%		1,050.80		6.86		1,018.10		6.76
Class L		1,000		1.10	%		1,050.80		5.59		1,019.30		5.51
Class Y		1,000		0.95	%		1,052.90		4.84		1,020.10		4.76
Class S		1,000		0.85	%		1,054.00		4.33		1,020.60		4.26
Class N		1,000		1.65	%		1,049.70		8.39		1,016.60		8.25
Small Company Value Fund
Class A		1,000		1.49	%		1,052.20		7.58		1,017.40		7.45
Class L		1,000		1.24	%		1,052.90		6.31		1,018.60		6.21
Class Y		1,000		1.09	%		1,053.30		5.55		1,019.40		5.46
Class S		1,000		1.05	%		1,054.60		5.35		1,019.60		5.26
Class N		1,000		1.79	%		1,050.60		9.10		1,015.90		8.95
Class Z		1,000		0.86	%		1,055.40		4.38		1,020.50		4.31

335

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Mid Cap Growth Equity Fund
Class A	$	1,000		1.42	%	$	1,094.70	$	7.38	$	1,017.80	$	7.10
Class L		1,000		1.17	%		1,094.00		6.07		1,019.00		5.86
Class Y		1,000		1.02	%		1,097.20		5.30		1,019.70		5.11
Class S		1,000		0.95	%		1,096.70		4.94		1,020.10		4.76
Class N		1,000		1.72	%		1,093.20		8.93		1,016.30		8.60
Mid Cap Growth Equity II Fund
Class A		1,000		1.35	%		1,070.90		6.93		1,018.10		6.76
Class L		1,000		1.10	%		1,072.20		5.65		1,019.30		5.51
Class Y		1,000		0.95	%		1,072.90		4.88		1,020.10		4.76
Class S		1,000		0.86	%		1,073.60		4.42		1,020.50		4.31
Class N		1,000		1.65	%		1,069.40		8.47		1,016.60		8.25
Class Z		1,000		0.73	%		1,074.90		3.76		1,021.20		3.66
Small Cap Growth Equity Fund
Class A		1,000		1.51	%		1,088.70		7.82		1,017.30		7.55
Class L		1,000		1.26	%		1,089.80		6.53		1,018.50		6.31
Class Y		1,000		1.11	%		1,090.60		5.75		1,019.30		5.56
Class S		1,000		0.97	%		1,091.60		5.03		1,020.00		4.86
Class N		1,000		1.81	%		1,086.90		9.37		1,015.80		9.05
Class Z		1,000		0.87	%		1,092.10		4.51		1,020.50		4.36
Small Company Growth Fund
Class A		1,000		1.57	%		1,110.60		8.22		1,017.00		7.85
Class L		1,000		1.32	%		1,110.90		6.91		1,018.20		6.61
Class Y		1,000		1.17	%		1,113.50		6.13		1,019.00		5.86
Class S		1,000		1.13	%		1,112.90		5.92		1,019.20		5.66
Class N		1,000		1.87	%		1,109.30		9.78		1,015.50		9.35
Diversified International Fund
Class A		1,000		1.42	%		1,012.80		7.09		1,017.80		7.10
Class L		1,000		1.17	%		1,012.70		5.84		1,019.00		5.86
Class Y		1,000		1.09	%		1,014.20		5.44		1,019.40		5.46
Class S		1,000		0.99	%		1,014.10		4.94		1,019.90		4.96
Class N		1,000		1.72	%		1,011.40		8.58		1,016.30		8.60
Overseas Fund
Class A		1,000		1.51	%		1,045.60		7.66		1,017.30		7.55
Class L		1,000		1.26	%		1,048.10		6.40		1,018.50		6.31
Class Y		1,000		1.21	%		1,047.90		6.14		1,018.80		6.06
Class S		1,000		1.16	%		1,049.00		5.89		1,019.00		5.81
Class N		1,000		1.81	%		1,044.80		9.18		1,015.80		9.05
Class Z		1,000		0.89	%		1,050.40		4.52		1,020.40		4.46

* Expenses are calculated using the annualized expense ratio for the six months ended June 30, 2011, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year, unless stated otherwise.

336

Distributor:

MML Distributors, LLC

1295 State Street

Springfield, MA 01111-0001

August 29, 2011

^©2011 Massachusetts Mutual Life Insurance Company, Springfield, MA. All rights reserved. www.massmutual.com. MassMutual
Financial Group is a marketing name for Massachusetts Mutual Life Insurance Company (MassMutual) [of which Retirement Services is a division] and its affiliated companies and sales representatives. L4543    0811 C:05477-04

Table of Contents

President’s Letter to Shareholders	1
Portfolio Summaries	3
Portfolio of Investments
MassMutual RetireSMARTSM Conservative Fund	7
MassMutual RetireSMARTSM Moderate Fund	8
MassMutual RetireSMARTSM Moderate Growth Fund	9
MassMutual RetireSMARTSM Growth Fund	10
MassMutual RetireSMARTSM In Retirement Fund	11
MassMutual RetireSMARTSM 2010 Fund	12
MassMutual RetireSMARTSM 2015 Fund	13
MassMutual RetireSMARTSM 2020 Fund	14
MassMutual RetireSMARTSM 2025 Fund	15
MassMutual RetireSMARTSM 2030 Fund	16
MassMutual RetireSMARTSM 2035 Fund	17
MassMutual RetireSMARTSM 2040 Fund	18
MassMutual RetireSMARTSM 2045 Fund	19
MassMutual RetireSMARTSM 2050 Fund	20
Statements of Assets and Liabilities	22
Statements of Operations	30
Statements of Changes in Net Assets	34
Financial Highlights	42
Notes to Financial Statements	72
Other Information
Proxy Voting	102
Quarterly Reporting	102
Trustees’ Approval of Investment Advisory Contracts	102
Fund Expenses	105

This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the RetireSMART^SM Series of the MassMutual Select Funds. Investors should consider a Fund’s investment objective, risks and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.

MassMutual RetireSMART^SM Funds – President’s Letter to Shareholders

To Our Shareholders

Eric Wietsma

“The financial markets don’t always do what seems most logical. That’s why trying to predict market behavior can be so unwise. Maintaining a long-term outlook despite short-term market gyrations is not always easy, especially in this world of real-time, full-time access to investment information. With 2011 half over, now may be an appropriate time to consult with your financial professional and review your overall retirement investing strategy – particularly your risk tolerance, time horizon, and anticipated spending needs – to make sure you are giving yourself the best opportunity to reach your financial goals.”

June 30, 2011

Welcome to the Semiannual Report for the RetireSMART^SM Series of the MassMutual Select Funds covering the six months ended June 30, 2011. Domestic stock markets advanced for the first half of the year, despite losing significant ground in May and June when fresh concerns surfaced about the sustainability of the U.S. economic recovery and Greece’s fiscal woes once again took center stage. On the economic front, unemployment levels began to moderate in the first quarter, but climbed to a level of 9.1% in the second. The housing market continued to suffer from persistent weakness, and new home prices hit their lowest levels since mid-2000. Furthermore, numerous problems, including debt concerns in Europe, continued unrest in the Middle East, and the earthquake-triggered tragedies in Japan, caused significant investor anxiety – which prompted commodity prices (particularly oil and gold) to rise steadily in the first quarter, only to pull back somewhat in the second. Against this backdrop, the U.S. dollar lost significant traction against most other major world currencies except the Japanese yen.

Key events that defined the period

During the first six months of 2011, the U.S. government’s long-term fiscal situation garnered increasingly frequent headlines focused on the budget and the ongoing discussion over where to cut spending – and whether or not to raise taxes. Key areas of debate included Medicare, Medicaid, the 2010 Affordable Care Act, Social Security, defense spending, and farm subsidies. In the investment markets, many pundits believed that the Federal Reserve’s (the “Fed”) November 2010 decision to engage in another round of quantitative easing – known as QE2 – was the main driver of the equity markets in late 2010 and early 2011. However, as the second quarter came to a close, so did QE2.

On the international stage, ongoing unrest in Egypt and Libya contributed to continued volatility in oil prices. Commodity prices (including oil) declined somewhat starting in June, however, and drivers got some relief toward the end of the month when President Obama announced the release of millions of barrels of oil from the U.S. Strategic Petroleum Reserve, which helped drive gasoline prices lower. In Japan, the one-two-three punch of an earthquake, tsunami, and nuclear accident resulted in widespread loss of life and property destruction, which had a devastating impact on the Japanese economy – and reverberating effects (although to a much lesser degree) on numerous economies throughout the world.

During the last week of June, Greece implemented a €78 billion (euro) package of austerity measures, which qualified the struggling country to receive the next portion of bailout funds from the European Union and avoid the euro area’s first member default. Investors breathed a sigh of relief, and equity markets surged.

Domestic stock indexes turned in positive returns for the six months ended June 30, 2011. The Dow Jones Industrial Average^SM, a measure of blue-chip domestic stock performance, advanced the most, with its 7.23% return. Similarly, the S&P 500^® Index, an indicator of large-cap stock performance, gained 6.02%, while the technology-focused NASDAQ Composite^® Index returned 4.55%. The Russell 2000^® Index, which tracks the progress of small-cap stocks, gained 6.21% for the six months. Finally, the MSCI^® EAFE^® Index, an indicator of foreign developed-market stocks, posted a 4.98% return. Fixed-income investments made a bit of progress during the period, but mainly trailed stocks, as the Barclays Capital U.S. Aggregate Bond Index advanced 2.72%.*

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

(Continued)

1

MassMutual RetireSMART^SM Funds – President’s Letter to Shareholders (Continued)

Unemployment, housing, and gross domestic product

One of the most challenging economic issues of the past few years has been the high rate of unemployment in the U.S. Some reasons for optimism with respect to this key economic measure emerged during the six months, but problems remained. For example, in March, American companies added 216,000 jobs, more than the 190,000 that had been projected by a number of leading economists. Nevertheless, in June, it was reported that the U.S. unemployment rate had risen to 9.1% after the creation of only 54,000 jobs in May. The market had been expecting an easing of the unemployment rate to 8.9% and the creation of 160,000 jobs. Initial claims for unemployment benefits by U.S. workers remained above 400,000 throughout the month – a weekly figure below 400,000 is generally seen as an indicator that the economy is adding more jobs than it is losing.

Despite the challenges, there were some reasons for optimism as June came to a close. Indeed, the Fed kept its commitment to low interest rates for an extended period of time following its late June meeting, and Fed Chairman Ben Bernanke announced the end of QE2. Additionally, the release of first quarter 2011 gross domestic product (“GDP”) figures showed the economy still growing, although at a slower pace than during the fourth quarter of 2010.

Keeping it in perspective

Unsettling news on the economy, the end of QE2, and more problems from the euro zone present a challenging backdrop for stock prices. Yet, the S&P 500 Index closed the second quarter above 1,320, down less than 4% from its recent highs. The financial markets don’t always do what seems most logical. That’s why trying to predict market behavior can be so unwise. Maintaining a long-term outlook despite short-term market gyrations is not always easy, especially in this world of real-time, full-time access to investment information. With 2011 half over, now may be an appropriate time to consult with your financial professional and review your overall retirement investing strategy – particularly your risk tolerance, time horizon, and anticipated spending needs – to make sure you are giving yourself the best opportunity to reach your financial goals.

Thank you for your continued confidence in MassMutual. Our goal is to help you weather the short-term uncertainties in the financial markets today – so you can help yourself achieve a more secure financial future.

Sincerely,

Eric Wietsma

President

The information provided is the opinion of MassMutual Retirement Services Investment Services as of 7/1/11 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.

2

MassMutual RetireSMART^SM (risk-based) Funds – Portfolio Summaries

What are the investment approaches of the Funds that constitute the MassMutual RetireSMART^SM (risk-based) Series, and who is the Series’ investment adviser?

The MassMutual RetireSMART (risk-based) Series (“the Series”) comprises four Funds – each of which has a “fund of funds” structure. The four Funds are RetireSMART Conservative Fund, RetireSMART Moderate Fund, RetireSMART Moderate Growth Fund, and RetireSMART Growth Fund. All Funds in the Series seek 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.

Each Fund seeks to achieve its investment objective by investing in a combination of domestic and international mutual funds sponsored by MassMutual or its affiliates (“Underlying Funds”). Underlying Funds may invest in various asset classes, including equity securities, fixed income securities, and money market instruments. Underlying Funds may also invest some or all of their assets directly or indirectly in one or more commodities or commodities-related investments or may themselves invest using an asset allocation strategy among equity, fixed income, money market, commodity, and other investments. Underlying Funds can include MassMutual Select Funds and MassMutual Premier Funds, which are advised by Massachusetts Mutual Life Insurance Company (MassMutual), and OppenheimerFunds, which are advised by OppenheimerFunds, Inc. (OFI). The Series’ investment adviser is MassMutual.

Each Fund’s assets are allocated among its Underlying Funds according to an asset allocation strategy, as follows:

• RetireSMART Conservative Fund: Assets are allocated among Underlying Funds using a conservative asset allocation strategy (relative to the other risk-based MassMutual RetireSMART Funds), with approximately 30% of its assets invested in equity and similar funds and approximately 70% invested in fixed income funds, including money market funds.

• RetireSMART Moderate Fund: Assets are allocated among Underlying Funds using a moderate asset allocation strategy (relative to the other risk-based MassMutual RetireSMART Funds), with approximately 60% of its assets invested in equity and similar funds and approximately 40% invested in fixed income funds, including money market funds.

• RetireSMART Moderate Growth Fund: Assets are allocated among Underlying Funds using an asset allocation strategy that emphasizes the potential for moderate growth (relative to the other risk-based MassMutual RetireSMART Funds), with approximately 85% of its assets invested in equity and similar funds and approximately 15% invested in fixed income funds, including money market funds.

• RetireSMART Growth Fund: Assets are allocated among Underlying Funds using an asset allocation strategy that emphasizes the potential for growth (relative to the other risk-based MassMutual RetireSMART Funds), with approximately 97% of its assets invested in equity and similar funds and approximately 3% invested in fixed income funds, including money market funds.

MassMutual RetireSMART Conservative Fund Asset Allocation (% of Net Assets) on 6/30/11 (Unaudited)
Fixed Income Funds	68.6	%
Equity Funds	31.4	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

MassMutual RetireSMART Moderate Fund Asset Allocation (% of Net Assets) on 6/30/11 (Unaudited)
Equity Funds	61.3	%
Fixed Income Funds	38.7	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

MassMutual RetireSMART Moderate Growth Fund Asset Allocation (% of Net Assets) on 6/30/11 (Unaudited)
Equity Funds	86.7	%
Fixed Income Funds	13.3	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

MassMutual RetireSMART Growth Fund Asset Allocation (% of Net Assets) on 6/30/11 (Unaudited)
Equity Funds	97.7	%
Fixed Income Funds	2.3	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

3

MassMutual RetireSMART^SM (target-date) Funds – Portfolio Summaries (Continued)

What are the investment approaches of the Funds that constitute the MassMutual RetireSMART^SM (target-date) Series, and who is the Series’ investment adviser?

The MassMutual RetireSMART (target-date) Series comprises 10 Funds – each of which has a “fund of funds” structure. The 10 Funds are RetireSMART In Retirement Fund, RetireSMART 2010 Fund, RetireSMART 2015 Fund, RetireSMART 2020 Fund, RetireSMART 2025 Fund, RetireSMART 2030 Fund, RetireSMART 2035 Fund, RetireSMART 2040 Fund, RetireSMART 2045 Fund and RetireSMART 2050 Fund. Effective June 10, 2011, the name of the Series changed from MassMutual Select Destination Retirement to MassMutual RetireSMART, with the names of the Funds in the series changing as follows: Select Destination Retirement Income, 2010, 2015, 2020, 2025, 2030, 2035, 2040, 2045 and 2050 Funds became RetireSMART In Retirement, 2010, 2015, 2020, 2025, 2030, 2035, 2040, 2045 and 2050 Funds, respectively. The investment approach of the Funds in the series remains the same.

RetireSMART In Retirement Fund seeks to achieve high current income and, as a secondary approach, capital appreciation. All other Funds in the Series seek 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.

Each Fund invests in a combination of domestic and international mutual funds sponsored by MassMutual or its affiliates (“Underlying Funds”). The Underlying Funds may invest in various asset classes, including equity securities, fixed income securities, and money market instruments, as well as commodity-related strategies, using a specific asset allocation strategy, which varies by Fund, as described below. Underlying Funds can include MassMutual Select Funds and MassMutual Premier Funds, which are advised by Massachusetts Mutual Life Insurance Company (MassMutual), and OppenheimerFunds, which are advised by OppenheimerFunds, Inc. (OFI). The Series’ investment adviser is MassMutual.

Each Fund’s assets are allocated among its Underlying Funds according to an asset allocation strategy, as follows:

• RetireSMART In Retirement Fund: Assets are allocated among Underlying Funds according to a target asset allocation strategy that emphasizes fixed income and money market funds, but also includes a smaller allocation to equity and certain other funds.

• RetireSMART 2010/2015/2020/2025/2030/2035/2040/2045/2050 Funds: For each Fund, assets are allocated among Underlying Funds according to an asset allocation strategy that becomes increasingly conservative until it reaches approximately 35% in equity funds and similar funds and 65% in fixed income funds, including money market funds (approximately 15 years after the target retirement date).

MassMutual RetireSMART In Retirement Fund Asset Allocation (% of Net Assets) on 6/30/11 (Unaudited)
Fixed Income Funds	64.7	%
Equity Funds	35.4	%
Total Long-Term Investments	100.1	%
Other Assets and Liabilities	(0.1	)%
Net Assets	100.0	%

4

MassMutual RetireSMART Funds – Portfolio Summaries (Continued)

MassMutual RetireSMART 2010 Fund Asset Allocation (% of Net Assets) on 6/30/11 (Unaudited)
Equity Funds	50.4	%
Fixed Income Funds	49.7	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2020 Fund Asset Allocation (% of Net Assets) on 6/30/11 (Unaudited)
Equity Funds	76.0	%
Fixed Income Funds	24.1	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2030 Fund Asset Allocation (% of Net Assets) on 6/30/11 (Unaudited)
Equity Funds	87.5	%
Fixed Income Funds	12.6	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2015 Fund Asset Allocation (% of Net Assets) on 6/30/11 (Unaudited)
Equity Funds	65.7	%
Fixed Income Funds	35.3	%
Total Long-Term Investments	101.0	%
Other Assets & Liabilities	(1.0	)%
Net Assets	100.0	%

MassMutual RetireSMART 2025 Fund Asset Allocation (% of Net Assets) on 6/30/11 (Unaudited)
Equity Funds		84.0	%
Fixed Income Funds		17.1	%
	��
Total Long-Term Investments		101.1	%
Other Assets & Liabilities		(1.1	)%
Net Assets		100.0	%

MassMutual RetireSMART 2035 Fund Asset Allocation (% of Net Assets) on 6/30/11 (Unaudited)
Equity Funds	90.0	%
Fixed Income Funds	11.1	%
Total Long-Term Investments	101.1	%
Other Assets & Liabilities	(1.1	)%
Net Assets	100.0	%

5

MassMutual RetireSMART Funds – Portfolio Summaries (Continued)

MassMutual RetireSMART 2040 Fund Asset Allocation (% of Net Assets) on 6/30/11 (Unaudited)
Equity Funds	91.3	%
Fixed Income Funds	8.8	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2045 Fund Asset Allocation (% of Net Assets) on 6/30/11 (Unaudited)
Equity Funds	97.1	%
Fixed Income Funds	4.2	%
Total Long-Term Investments	101.3	%
Other Assets & Liabilities	(1.3	)%
Net Assets	100.0	%

MassMutual RetireSMART 2050 Fund Asset Allocation (% of Net Assets) on 6/30/11 (Unaudited)
Equity Funds	96.0	%
Fixed Income Funds	4.1	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

6

MassMutual RetireSMART Conservative Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Diversified Financial — 100.0%
MassMutual Premier Core Bond Fund, Class Z (a)		4,835,695	$	54,643,352
MassMutual Premier Disciplined Growth Fund, Class S (a)		804,755		8,079,744
MassMutual Premier Disciplined Value Fund, Class S (a)		811,477		8,585,431
MassMutual Premier Diversified Bond Fund, Class Z (a)		2,468,848		26,712,940
MassMutual Premier Focused International Fund, Class Z (a)		98,081		1,205,418
MassMutual Premier High Yield Fund, Class Z (a)		338,400		3,103,130
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		1,898,520		21,244,439
MassMutual Premier International Bond Fund, Class S (a)		713,295		7,539,529
MassMutual Premier International Equity Fund, Class S (a)		170,751		2,648,344
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		90,672		1,041,823
MassMutual Premier Money Market Fund, Class S (a)		4,665,021		4,665,021
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		4,201,291		45,247,903
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		444,677		7,288,257
MassMutual Premier Value Fund, Class S (a)		16,504		253,660
MassMutual Select Blue Chip Growth Fund, Class S (a)		132,520		1,504,098
MassMutual Select Core Opportunities Fund, Class S (a)		285,427		2,771,493
MassMutual Select Diversified International Fund, Class S (a)		389,735		2,798,298
MassMutual Select Diversified Value Fund, Class S (a)		170,524		1,628,505
MassMutual Select Focused Value Fund, Class Z (a)		199,535		3,703,377
MassMutual Select Fundamental Value Fund, Class Z (a)		244,096		2,670,408
MassMutual Select BlackRock Global Allocation Fund, Class S (a)		120,110		1,338,023
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		162,851		1,239,293
MassMutual Select Large Cap Growth Fund, Class S (a)		200,861		1,940,315
MassMutual Select Large Cap Value Fund, Class S (a)		49,749		540,277

	Number of Shares		Value
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		197,196	$	3,340,502
MassMutual Select Mid-Cap Value Fund, Class S (a)		306,309		3,314,259
MassMutual Select Overseas Fund, Class Z (a)		993,321		7,658,506
MassMutual Select PIMCO Total Return Fund, Class Z (a)		683,340		7,106,740
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		108,810		2,051,078
MassMutual Select Small Cap Value Equity Fund, Class S (a)		163,378		1,627,241
MassMutual Select Small Company Growth Fund, Class S (a) (b)		84,040		936,211
MassMutual Select Small Company Value Fund, Class Z (a)		117,485		1,701,188
MassMutual Select Strategic Bond Fund, Class S (a)		921,289		9,102,339
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		1,250,280		4,676,046
Oppenheimer Developing Markets Fund, Class Y (a)		36,746		1,308,524
Oppenheimer Real Estate Fund, Class Y (a)		289,514		6,059,532
				261,275,244
TOTAL MUTUAL FUNDS (Cost $258,705,910)				261,275,244
TOTAL LONG-TERM INVESTMENTS (Cost $258,705,910)				261,275,244
TOTAL INVESTMENTS — 100.0% (Cost $258,705,910) (c)				261,275,244
Other Assets/(Liabilities) — (0.0)%				(29,801	)
NET ASSETS — 100.0%			$	261,245,443

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

7

MassMutual RetireSMART Moderate Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Diversified Financial — 100.0%
MassMutual Premier Core Bond Fund, Class Z (a)		7,283,651	$	82,305,251
MassMutual Premier Disciplined Growth Fund, Class S (a)		3,256,778		32,698,049
MassMutual Premier Disciplined Value Fund, Class S (a)		2,926,445		30,961,786
MassMutual Premier Diversified Bond Fund, Class Z (a)		3,349,828		36,245,134
MassMutual Premier Focused International Fund, Class Z (a)		424,368		5,215,488
MassMutual Premier High Yield Fund, Class Z (a)		329,879		3,024,994
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		2,318,053		25,939,017
MassMutual Premier International Bond Fund, Class S (a)		841,153		8,890,982
MassMutual Premier International Equity Fund, Class S (a)		847,097		13,138,480
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		1,180,230		13,560,839
MassMutual Premier Money Market Fund, Class S (a)		1,084,154		1,084,154
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		3,435,857		37,004,184
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		1,396,450		22,887,819
MassMutual Premier Value Fund, Class S (a)		69,576		1,069,383
MassMutual Select BlackRock Global Allocation Fund, Class S (a)		482,591		5,376,067
MassMutual Select Blue Chip Growth Fund, Class S (a)		868,906		9,862,086
MassMutual Select Core Opportunities Fund, Class S (a)		653,799		6,348,389
MassMutual Select Diversified International Fund, Class S (a)		1,444,035		10,368,172
MassMutual Select Diversified Value Fund, Class S (a)		943,694		9,012,274
MassMutual Select Focused Value Fund, Class Z (a)		476,423		8,842,405
MassMutual Select Fundamental Value Fund, Class Z (a)		1,479,830		16,189,337
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		1,265,144		9,627,750
MassMutual Select Large Cap Growth Fund, Class S (a)		687,346		6,639,762
MassMutual Select Large Cap Value Fund, Class S (a)		330,740		3,591,840

	Number of Shares		Value
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		749,276	$	8,923,873
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		610,755		10,346,183
MassMutual Select Mid-Cap Value Fund, Class S (a)		1,764,677		19,093,800
MassMutual Select Overseas Fund, Class Z (a)		5,288,721		40,776,037
MassMutual Select PIMCO Total Return Fund, Class Z (a)		1,238,472		12,880,111
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		310,164		5,846,591
MassMutual Select Small Cap Value Equity Fund, Class S (a)		801,602		7,983,957
MassMutual Select Small Company Value Fund, Class Z (a)		261,371		3,784,656
MassMutual Select Small Company Growth Fund, Class S (a) (b)		434,345		4,838,599
MassMutual Select Strategic Bond Fund, Class S (a)		1,202,375		11,879,465
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		4,714,866		17,633,598
Oppenheimer Developing Markets Fund, Class Y (a)		79,091		2,816,427
Oppenheimer Real Estate Fund, Class Y (a)		972,126		20,346,593
				567,033,532
TOTAL MUTUAL FUNDS (Cost $554,304,377)				567,033,532
TOTAL LONG-TERM INVESTMENTS (Cost $554,304,377)				567,033,532
TOTAL INVESTMENTS — 100.0% (Cost $554,304,377) (c)				567,033,532
Other Assets/(Liabilities) — (0.0)%				(66,093	)
NET ASSETS — 100.0%			$	566,967,439

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

8

MassMutual RetireSMART Moderate Growth Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Diversified Financial — 100.0%
MassMutual Premier Core Bond Fund, Class Z (a)		2,384,556	$	26,945,484
MassMutual Premier Disciplined Growth Fund, Class S (a)		3,608,124		36,225,569
MassMutual Premier Disciplined Value Fund, Class S (a)		2,920,010		30,893,702
MassMutual Premier Diversified Bond Fund, Class Z (a)		244,542		2,645,939
MassMutual Premier Focused International Fund, Class Z (a)		405,279		4,980,877
MassMutual Premier High Yield Fund, Class Z (a)		144,338		1,323,576
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		443,182		4,959,207
MassMutual Premier International Bond Fund, Class S (a)		469,685		4,964,566
MassMutual Premier International Equity Fund, Class S (a)		918,668		14,248,544
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		1,139,228		13,089,728
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		653,124		7,034,142
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		1,293,094		21,193,810
MassMutual Premier Value Fund, Class S (a)		114,028		1,752,610
MassMutual Select BlackRock Global Allocation Fund, Class S (a)		353,792		3,941,246
MassMutual Select Blue Chip Growth Fund, Class S (a)		1,170,844		13,289,077
MassMutual Select Core Opportunities Fund, Class S (a)		470,025		4,563,940
MassMutual Select Diversified International Fund, Class S (a)		2,334,645		16,762,751
MassMutual Select Diversified Value Fund, Class S (a)		1,432,646		13,681,769
MassMutual Select Focused Value Fund, Class Z (a)		351,018		6,514,891
MassMutual Select Fundamental Value Fund, Class Z (a)		1,943,138		21,257,931
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		1,760,758		13,399,370
MassMutual Select Large Cap Growth Fund, Class S (a)		939,811		9,078,575
MassMutual Select Large Cap Value Fund, Class S (a)		463,119		5,029,467
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		369,108		4,396,072

	Number of Shares		Value
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		782,620	$	13,257,591
MassMutual Select Mid-Cap Value Fund, Class S (a)		1,589,557		17,199,006
MassMutual Select Overseas Fund, Class Z (a)		5,407,657		41,693,034
MassMutual Select PIMCO Total Return Fund, Class Z (a)		515,294		5,359,063
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		421,477		7,944,850
MassMutual Select Small Cap Value Equity Fund, Class S (a)		940,183		9,364,224
MassMutual Select Small Company Growth Fund, Class S (a) (b)		573,043		6,383,695
MassMutual Select Small Company Value Fund, Class Z (a)		435,417		6,304,842
MassMutual Select Strategic Bond Fund, Class S (a)		365,780		3,613,909
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		4,207,769		15,737,056
Oppenheimer Developing Markets Fund, Class Y (a)		59,105		2,104,732
Oppenheimer Real Estate Fund, Class Y (a)		774,036		16,200,570
				427,335,415
TOTAL MUTUAL FUNDS (Cost $412,994,698)				427,335,415
TOTAL LONG-TERM INVESTMENTS (Cost $412,994,698)				427,335,415
TOTAL INVESTMENTS — 100.0% (Cost $412,994,698) (c)				427,335,415
Other Assets/(Liabilities) — (0.0)%				(49,338	)
NET ASSETS — 100.0%			$	427,286,077

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

9

MassMutual RetireSMART Growth Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Diversified Financial — 100.0%
MassMutual Premier Core Bond Fund, Class Z (a)		41,223	$	465,819
MassMutual Premier Disciplined Growth Fund, Class S (a)		655,674		6,582,965
MassMutual Premier Disciplined Value Fund, Class S (a)		473,509		5,009,727
MassMutual Premier Diversified Bond Fund, Class Z (a)		2,319		25,091
MassMutual Premier Focused International Fund, Class Z (a)		81,622		1,003,133
MassMutual Premier High Yield Fund, Class Z (a)		6,928		63,532
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		18,426		206,182
MassMutual Premier International Bond Fund, Class S (a)		12,389		130,955
MassMutual Premier International Equity Fund, Class S (a)		159,363		2,471,713
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		125,940		1,447,052
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		15,870		170,923
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		259,118		4,246,951
MassMutual Premier Value Fund, Class S (a)		29,815		458,254
MassMutual Select BlackRock Global Allocation Fund, Class S (a)		8,533		95,061
MassMutual Select Blue Chip Growth Fund, Class S (a)		258,866		2,938,131
MassMutual Select Core Opportunities Fund, Class S (a)		83,345		809,279
MassMutual Select Diversified International Fund, Class S (a)		492,660		3,537,296
MassMutual Select Diversified Value Fund, Class S (a)		317,666		3,033,712
MassMutual Select Focused Value Fund, Class Z (a)		61,418		1,139,912
MassMutual Select Fundamental Value Fund Class Z (a)		425,123		4,650,844
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		354,582		2,698,371
MassMutual Select Large Cap Growth Fund, Class S (a)		213,371		2,061,166
MassMutual Select Large Cap Value Fund, Class S (a)		105,847		1,149,498
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		121,790		1,450,513
MassMutual Select Mid Cap Growth Equity II Fund Class Z (a) (b)		122,903		2,081,974

	Number of Shares		Value
MassMutual Select Mid-Cap Value Fund, Class S (a)		314,844	$	3,406,611
MassMutual Select Overseas Fund, Class Z (a)		959,501		7,397,755
MassMutual Select PIMCO Total Return Fund, Class Z (a)		23,397		243,334
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		83,633		1,576,490
MassMutual Select Small Cap Value Equity Fund, Class S (a)		165,661		1,649,983
MassMutual Select Small Company Growth Fund, Class S (a) (b)		117,042		1,303,849
MassMutual Select Small Company Value Fund, Class Z (a)		90,339		1,308,103
MassMutual Select Strategic Bond Fund, Class S (a)		32,791		323,980
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		792,011		2,962,121
Oppenheimer Developing Markets Fund, Class Y (a)		5,860		208,658
Oppenheimer Real Estate Fund, Class Y (a)		137,498		2,877,834
				71,186,772
TOTAL MUTUAL FUNDS (Cost $68,418,641)				71,186,772
TOTAL LONG-TERM INVESTMENTS (Cost $68,418,641)				71,186,772
TOTAL INVESTMENTS — 100.00% (Cost $68,418,641) (c)				71,186,772
Other Assets/(Liabilities) — (0.0)%				(7,693	)
NET ASSETS — 100.0%			$	71,179,079

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

10

MassMutual RetireSMART In Retirement Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		1,569,260	$	17,732,635
MassMutual Premier Disciplined Growth Fund, Class S (a)		396,838		3,984,255
MassMutual Premier Disciplined Value Fund, Class S (a)		386,595		4,090,171
MassMutual Premier Focused International Fund, Class Z (a)		38,222		469,750
MassMutual Premier High Yield Fund, Class Z (a)		184,305		1,690,078
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		1,145,406		12,817,091
MassMutual Premier International Bond Fund, Class S (a)		437,706		4,626,548
MassMutual Premier International Equity Fund, Class S (a)		76,887		1,192,520
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		5,101		58,609
MassMutual Premier Money Market Fund, Class S (a)		2,374,730		2,374,730
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		1,630,208		17,557,338
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		186,874		3,062,862
MassMutual Premier Value Fund, Class S (a)		8,542		131,288
MassMutual Select Blue Chip Growth Fund, Class S (a)		51,625		585,948
MassMutual Select Core Opportunities Fund, Class S (a)		109,495		1,063,196
MassMutual Select Diversified International Fund, Class S (a)		168,390		1,209,043
MassMutual Select Diversified Value Fund, Class S (a)		69,799		666,580
MassMutual Select Focused Value Fund, Class Z (a)		81,556		1,513,677
MassMutual Select Fundamental Value Fund, Class Z (a)		99,184		1,085,077
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		62,429		475,088
MassMutual Select Large Cap Growth Fund, Class S (a)		83,628		807,849
MassMutual Select Large Cap Value Fund, Class S (a)		15,424		167,510
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		32,041		381,606
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		63,434		1,074,579
MassMutual Select Mid-Cap Value Fund, Class S (a)		138,384		1,497,314

	Number of Shares		Value
MassMutual Select Overseas Fund, Class Z (a)		442,522	$	3,411,848
MassMutual Select PIMCO Total Return Fund, Class Z (a)		395,265		4,110,756
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		43,154		813,461
MassMutual Select Small Cap Value Equity Fund, Class S (a)		76,410		761,045
MassMutual Select Small Company Growth Fund, Class S (a) (b)		46,452		517,480
MassMutual Select Small Company Value Fund, Class Z (a)		47,684		690,466
MassMutual Select Strategic Bond Fund, Class S (a)		359,340		3,550,284
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		582,160		2,177,276
Oppenheimer Developing Markets Fund, Class Y (a)		13,965		497,289
Oppenheimer Real Estate Fund, Class Y (a)		140,329		2,937,093
				99,782,340
TOTAL MUTUAL FUNDS (Cost $93,340,512)				99,782,340
TOTAL LONG-TERM INVESTMENTS (Cost $93,340,512)				99,782,340
TOTAL INVESTMENTS — 100.1% (Cost $93,340,512) (c)				99,782,340
Other Assets/(Liabilities) — (0.1)%				(95,934	)
NET ASSETS — 100.0%			$	99,686,406

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

11

MassMutual RetireSMART 2010 Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		1,532,698	$	17,319,487
MassMutual Premier Disciplined Growth Fund, Class S (a)		605,142		6,075,624
MassMutual Premier Disciplined Value Fund, Class S (a)		573,653		6,069,249
MassMutual Premier Focused International Fund, Class Z (a)		71,305		876,343
MassMutual Premier High Yield Fund, Class Z (a)		188,417		1,727,784
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		933,531		10,446,217
MassMutual Premier International Bond Fund, Class S (a)		337,481		3,567,176
MassMutual Premier International Equity Fund, Class S (a)		140,019		2,171,697
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		26,447		303,878
MassMutual Premier Money Market Fund, Class S (a)		1,566,412		1,566,412
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		1,142,996		12,310,064
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		246,969		4,047,829
MassMutual Premier Value Fund, Class S (a)		19,736		303,344
MassMutual Select Blue Chip Growth Fund, Class S (a)		90,429		1,026,368
MassMutual Select Core Opportunities Fund, Class S (a)		122,645		1,190,883
MassMutual Select Diversified International Fund, Class S (a)		320,490		2,301,116
MassMutual Select Diversified Value Fund, Class S (a)		122,232		1,167,313
MassMutual Select Focused Value Fund, Class Z (a)		91,293		1,694,395
MassMutual Select Fundamental Value Fund, Class Z (a)		160,191		1,752,485
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		109,242		831,335
MassMutual Select Large Cap Growth Fund, Class S (a)		145,773		1,408,166
MassMutual Select Large Cap Value Fund, Class S (a)		26,466		287,423
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		71,414		850,536

	Number of Shares		Value
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		128,891	$	2,183,418
MassMutual Select Mid-Cap Value Fund, Class S (a)		280,370		3,033,604
MassMutual Select Overseas Fund, Class Z (a)		788,139		6,076,552
MassMutual Select PIMCO Total Return Fund, Class Z (a)		422,969		4,398,878
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		72,228		1,361,505
MassMutual Select Small Cap Value Equity Fund, Class S (a)		137,523		1,369,732
MassMutual Select Small Company Growth Fund, Class S (a) (b)		81,245		905,069
MassMutual Select Small Company Value Fund, Class Z (a)		79,495		1,151,091
MassMutual Select Strategic Bond Fund, Class S (a)		311,088		3,073,550
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		723,280		2,705,067
Oppenheimer Developing Markets Fund, Class Y (a)		15,285		544,285
Oppenheimer Real Estate Fund, Class Y (a)		168,673		3,530,336
				109,628,211
TOTAL MUTUAL FUNDS (Cost $101,464,700)				109,628,211
TOTAL LONG-TERM INVESTMENTS (Cost $101,464,700)				109,628,211
TOTAL INVESTMENTS — 100.1% (Cost $101,464,700) (c)				109,628,211
Other Assets/(Liabilities) — (0.1)%				(89,898	)
NET ASSETS — 100.0%			$	109,538,313

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

12

MassMutual RetireSMART 2015 Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 101.0%
Diversified Financial — 101.0%
MassMutual Premier Core Bond Fund, Class Z (a)		15,241	$	172,221
MassMutual Premier Disciplined Growth Fund, Class S (a)		10,438		104,798
MassMutual Premier Disciplined Value Fund, Class S (a)		9,624		101,818
MassMutual Premier Focused International Fund, Class Z (a)		1,598		19,644
MassMutual Premier High Yield Fund, Class Z (a)		4,336		39,763
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		11,962		133,855
MassMutual Premier International Bond Fund, Class S (a)		5,475		57,874
MassMutual Premier International Equity Fund, Class S (a)		2,804		43,494
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		1,040		11,945
MassMutual Premier Money Market Fund, Class S (a)		1,625		1,625
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		9,606		103,456
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		4,405		72,203
MassMutual Premier Value Fund, Class S (a)		407		6,263
MassMutual Select Blue Chip Growth Fund, Class S (a)		2,527		28,686
MassMutual Select Core Opportunities Fund, Class S (a)		2,044		19,845
MassMutual Select Diversified International Fund, Class S (a)		7,111		51,059
MassMutual Select Diversified Value Fund, Class S (a)		3,325		31,757
MassMutual Select Focused Value Fund, Class Z (a)		1,455		27,003
MassMutual Select Fundamental Value Fund, Class Z (a)		4,705		51,468
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		3,132		23,834
MassMutual Select Large Cap Growth Fund, Class S (a)		3,769		36,404
MassMutual Select Large Cap Value Fund, Class S (a)		851		9,243
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		1,431		17,041
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		2,574		43,606
MassMutual Select Mid-Cap Value Fund, Class S (a)		5,488		59,383

	Number of Shares		Value
MassMutual Select Overseas Fund, Class Z (a)		16,188	$	124,810
MassMutual Select PIMCO Total Return Fund, Class Z (a)		5,115		53,200
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		1,697		31,997
MassMutual Select Small Cap Value Equity Fund, Class S (a)		2,902		28,906
MassMutual Select Small Company Growth Fund, Class S (a) (b)		2,142		23,865
MassMutual Select Small Company Value Fund, Class Z (a)		1,789		25,901
MassMutual Select Strategic Bond Fund, Class S (a)		3,967		39,193
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		12,547		46,927
Oppenheimer Developing Markets Fund, Class Y (a)		238		8,471
Oppenheimer Real Estate Fund, Class Y (a)		3,275		68,553
				1,720,111
TOTAL MUTUAL FUNDS (Cost $1,633,483)				1,720,111
TOTAL LONG-TERM INVESTMENTS (Cost $1,633,483)				1,720,111
TOTAL INVESTMENTS — 101.0% (Cost $1,633,483) (c)				1,720,111
Other Assets/(Liabilities) — (1.0)%				(17,092	)
NET ASSETS — 100.0%			$	1,703,019

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

13

MassMutual RetireSMART 2020 Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		2,226,001	$	25,153,806
MassMutual Premier Disciplined Growth Fund, Class S (a)		2,909,704		29,213,431
MassMutual Premier Disciplined Value Fund, Class S (a)		2,546,018		26,936,873
MassMutual Premier Focused International Fund, Class Z (a)		391,987		4,817,519
MassMutual Premier High Yield Fund, Class Z (a)		1,046,993		9,600,925
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		1,486,880		16,638,185
MassMutual Premier International Bond Fund, Class S (a)		1,201,344		12,698,203
MassMutual Premier International Equity Fund, Class S (a)		784,355		12,165,353
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		1,326,228		15,238,360
MassMutual Premier Money Market Fund, Class S (a)		48,122		48,122
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		1,500,211		16,157,272
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		1,109,680		18,187,656
MassMutual Premier Value Fund, Class S (a)		93,623		1,438,979
MassMutual Select Blue Chip Growth Fund, Class S (a)		720,115		8,173,304
MassMutual Select Core Opportunities Fund, Class S (a)		445,391		4,324,749
MassMutual Select Diversified International Fund, Class S (a)		1,771,818		12,721,653
MassMutual Select Diversified Value Fund, Class S (a)		1,009,585		9,641,537
MassMutual Select Focused Value Fund, Class Z (a)		346,617		6,433,205
MassMutual Select Fundamental Value Fund, Class Z (a)		1,341,674		14,677,918
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		939,479		7,149,435
MassMutual Select Large Cap Growth Fund, Class S (a)		1,128,521		10,901,515
MassMutual Select Large Cap Value Fund, Class S (a)		236,847		2,572,161
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		444,386		5,292,635
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		562,442		9,527,770

	Number of Shares		Value
MassMutual Select Mid-Cap Value Fund, Class S (a)		1,369,279	$	14,815,604
MassMutual Select Overseas Fund, Class Z (a)		4,480,883		34,547,608
MassMutual Select PIMCO Total Return Fund, Class Z (a)		863,716		8,982,643
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		196,017		3,694,923
MassMutual Select Small Cap Value Equity Fund, Class S (a)		428,897		4,271,814
MassMutual Select Small Company Growth Fund, Class S (a) (b)		379,692		4,229,769
MassMutual Select Small Company Value Fund, Class Z (a)		308,453		4,466,394
MassMutual Select Strategic Bond Fund, Class S (a)		484,431		4,786,179
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		3,095,490		11,577,131
Oppenheimer Developing Markets Fund, Class Y (a)		53,922		1,920,177
Oppenheimer Real Estate Fund, Class Y (a)		809,036		16,933,122
				389,935,930
TOTAL MUTUAL FUNDS (Cost $347,854,688)				389,935,930
TOTAL LONG-TERM INVESTMENTS (Cost $347,854,688)				389,935,930
TOTAL INVESTMENTS — 100.1% (Cost $347,854,688) (c)				389,935,930
Other Assets/(Liabilities) — (0.1)%				(241,837	)
NET ASSETS — 100.0%			$	389,694,093

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

14

MassMutual RetireSMART 2025 Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 101.1%
Diversified Financial — 101.1%
MassMutual Premier Core Bond Fund, Class Z (a)		4,865	$	54,973
MassMutual Premier Disciplined Growth Fund, Class S (a)		11,245		112,899
MassMutual Premier Disciplined Value Fund, Class S (a)		10,131		107,185
MassMutual Premier Focused International Fund, Class Z (a)		1,903		23,382
MassMutual Premier High Yield Fund, Class Z (a)		5,006		45,906
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		3,385		37,880
MassMutual Premier International Bond Fund, Class S (a)		4,897		51,761
MassMutual Premier International Equity Fund, Class S (a)		3,423		53,094
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		1,139		13,093
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		3,626		39,047
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		4,724		77,432
MassMutual Premier Value Fund, Class S (a)		488		7,500
MassMutual Select Blue Chip Growth Fund, Class S (a)		3,509		39,822
MassMutual Select Core Opportunities Fund, Class S (a)		1,763		17,116
MassMutual Select Diversified International Fund, Class S (a)		8,105		58,193
MassMutual Select Diversified Value Fund, Class S (a)		4,716		45,040
MassMutual Select Focused Value Fund, Class Z (a)		1,328		24,644
MassMutual Select Fundamental Value Fund, Class Z (a)		6,526		71,392
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		4,574		34,805
MassMutual Select Large Cap Growth Fund, Class S (a)		5,428		52,430
MassMutual Select Large Cap Value Fund, Class S (a)		1,322		14,353
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		1,786		21,272
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		2,621		44,395
MassMutual Select Mid-Cap Value Fund, Class S (a)		5,797		62,722
MassMutual Select Overseas Fund, Class Z (a)		20,168		155,492

	Number of Shares		Value
MassMutual Select PIMCO Total Return Fund, Class Z (a)		1,907	$	19,833
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		1,944		36,648
MassMutual Select Small Cap Value Equity Fund, Class S (a)		3,381		33,678
MassMutual Select Small Company Growth Fund, Class S (a) (b)		2,446		27,245
MassMutual Select Small Company Value Fund, Class Z (a)		2,029		29,380
MassMutual Select Strategic Bond Fund, Class S (a)		1,282		12,669
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		14,150		52,921
Oppenheimer Developing Markets Fund, Class Y (a)		212		7,564
Oppenheimer Real Estate Fund, Class Y (a)		3,239		67,788
				1,553,554
TOTAL MUTUAL FUNDS (Cost $1,453,513)				1,553,554
TOTAL LONG-TERM INVESTMENTS (Cost $1,453,513)				1,553,554
TOTAL INVESTMENTS — 101.1% (Cost $1,453,513) (c)				1,553,554
Other Assets/(Liabilities) — (1.1)%				(17,424	)
NET ASSETS — 100.0%			$	1,536,130

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

15

MassMutual RetireSMART 2030 Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		720,337	$	8,139,811
MassMutual Premier Disciplined Growth Fund, Class S (a)		2,172,336		21,810,249
MassMutual Premier Disciplined Value Fund, Class S (a)		1,872,586		19,811,962
MassMutual Premier Focused International Fund, Class Z (a)		404,451		4,970,702
MassMutual Premier High Yield Fund, Class Z (a)		707,991		6,492,283
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		510,556		5,713,125
MassMutual Premier International Bond Fund, Class S (a)		751,069		7,938,795
MassMutual Premier International Equity Fund, Class S (a)		748,653		11,611,615
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		864,661		9,934,949
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		625,855		6,740,456
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		1,018,222		16,688,665
MassMutual Premier Value Fund, Class S (a)		84,184		1,293,912
MassMutual Select Blue Chip Growth Fund, Class S (a)		831,206		9,434,181
MassMutual Select Core Opportunities Fund, Class S (a)		358,972	��	3,485,617
MassMutual Select Diversified International Fund, Class S (a)		1,756,970		12,615,043
MassMutual Select Diversified Value Fund, Class S (a)		1,180,898		11,277,578
MassMutual Select Focused Value Fund, Class Z (a)		268,977		4,992,209
MassMutual Select Fundamental Value Fund, Class Z (a)		1,575,632		17,237,413
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		1,112,860		8,468,868
MassMutual Select Large Cap Growth Fund, Class S (a)		1,315,975		12,712,321
MassMutual Select Large Cap Value Fund, Class S (a)		287,127		3,118,196
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		500,430		5,960,126
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		478,758		8,110,153
MassMutual Select Mid-Cap Value Fund, Class S (a)		1,251,815		13,544,641

	Number of Shares		Value
MassMutual Select Overseas Fund, Class Z (a)		4,369,270	$	33,687,068
MassMutual Select PIMCO Total Return Fund, Class Z (a)		311,466		3,239,246
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		305,473		5,758,167
MassMutual Select Small Cap Value Equity Fund, Class S (a)		559,780		5,575,409
MassMutual Select Small Company Growth Fund, Class S (a) (b)		349,000		3,887,855
MassMutual Select Small Company Value Fund, Class Z (a)		352,903		5,110,038
MassMutual Select Strategic Bond Fund, Class S (a)		183,819		1,816,129
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		2,851,271		10,663,752
Oppenheimer Developing Markets Fund, Class Y (a)		43,758		1,558,227
Oppenheimer Real Estate Fund, Class Y (a)		682,334		14,281,255
				317,680,016
TOTAL MUTUAL FUNDS (Cost $278,115,845)				317,680,016
TOTAL LONG-TERM INVESTMENTS (Cost $278,115,845)				317,680,016
TOTAL INVESTMENTS — 100.1% (Cost $278,115,845) (c)				317,680,016
Other Assets/(Liabilities) — (0.1)%				(192,409	)
NET ASSETS — 100.0%			$	317,487,607

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

16

MassMutual RetireSMART 2035 Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 101.1%
Diversified Financial — 101.1%
MassMutual Premier Core Bond Fund, Class Z (a)		3,828	$	43,255
MassMutual Premier Disciplined Growth Fund, Class S (a)		11,190		112,346
MassMutual Premier Disciplined Value Fund, Class S (a)		9,913		104,880
MassMutual Premier Focused International Fund, Class Z (a)		2,163		26,586
MassMutual Premier High Yield Fund, Class Z (a)		2,188		20,068
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		1,854		20,745
MassMutual Premier International Bond Fund, Class S (a)		4,284		45,283
MassMutual Premier International Equity Fund, Class S (a)		3,774		58,532
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		723		8,312
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		2,347		25,274
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		5,385		88,259
MassMutual Premier Value Fund, Class S (a)		572		8,792
MassMutual Select Blue Chip Growth Fund, Class S (a)		4,286		48,649
MassMutual Select Core Opportunities Fund, Class S (a)		1,801		17,491
MassMutual Select Diversified International Fund, Class S (a)		9,408		67,551
MassMutual Select Diversified Value Fund, Class S (a)		5,823		55,607
MassMutual Select Focused Value Fund, Class Z (a)		1,357		25,180
MassMutual Select Fundamental Value Fund, Class Z (a)		7,995		87,470
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		5,680		43,228
MassMutual Select Large Cap Growth Fund, Class S (a)		6,659		64,326
MassMutual Select Large Cap Value Fund, Class S (a)		1,642		17,834
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		1,911		22,755
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		2,867		48,568
MassMutual Select Mid-Cap Value Fund, Class S (a)		6,447		69,757
MassMutual Select Overseas Fund, Class Z (a)		23,259		179,328

	Number of Shares		Value
MassMutual Select PIMCO Total Return Fund, Class Z (a)		1,079	$	11,219
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		2,266		42,706
MassMutual Select Small Cap Value Equity Fund, Class S (a)		3,932		39,166
MassMutual Select Small Company Growth Fund, Class S (a) (b)		2,676		29,815
MassMutual Select Small Company Value Fund, Class Z (a)		2,207		31,960
MassMutual Select Strategic Bond Fund, Class S (a)		1,085		10,723
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		14,863		55,588
Oppenheimer Developing Markets Fund, Class Y (a)		221		7,866
Oppenheimer Real Estate Fund, Class Y (a)		3,521		73,700
				1,612,819
TOTAL MUTUAL FUNDS (Cost $1,507,556)				1,612,819
TOTAL LONG-TERM INVESTMENTS (Cost $1,507,556)				1,612,819
TOTAL INVESTMENTS — 101.1% (Cost $1,507,556) (c)				1,612,819
Other Assets/(Liabilities) — (1.1)%				(17,007	)
NET ASSETS — 100.0%			$	1,595,812

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

17

MassMutual RetireSMART 2040 Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		440,610	$	4,978,891
MassMutual Premier Disciplined Growth Fund, Class S (a)		1,328,303		13,336,160
MassMutual Premier Disciplined Value Fund, Class S (a)		1,095,034		11,585,464
MassMutual Premier Focused International Fund, Class Z (a)		258,155		3,172,725
MassMutual Premier High Yield Fund, Class Z (a)		119,724		1,097,867
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		175,170		1,960,149
MassMutual Premier International Bond Fund, Class S (a)		386,598		4,086,336
MassMutual Premier International Equity Fund, Class S (a)		484,409		7,513,189
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		486,338		5,588,023
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		230,306		2,480,400
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		659,264		10,805,331
MassMutual Premier Value Fund, Class S (a)		71,214		1,094,556
MassMutual Select Blue Chip Growth Fund, Class S (a)		552,647		6,272,546
MassMutual Select Core Opportunities Fund, Class S (a)		218,641		2,123,002
MassMutual Select Diversified International Fund, Class S (a)		1,126,848		8,090,771
MassMutual Select Diversified Value Fund, Class S (a)		772,286		7,375,330
MassMutual Select Focused Value Fund, Class Z (a)		164,207		3,047,678
MassMutual Select Fundamental Value Fund, Class Z (a)		1,052,994		11,519,755
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		752,555		5,726,947
MassMutual Select Large Cap Growth Fund, Class S (a)		848,101		8,192,655
MassMutual Select Large Cap Value Fund, Class S (a)		197,496		2,144,806
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		327,553		3,901,153
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		316,309		5,358,268
MassMutual Select Mid-Cap Value Fund, Class S (a)		818,585		8,857,094

	Number of Shares		Value
MassMutual Select Overseas Fund, Class Z (a)		2,804,140	$	21,619,922
MassMutual Select PIMCO Total Return Fund, Class Z (a)		138,149		1,436,753
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		190,756		3,595,753
MassMutual Select Small Cap Value Equity Fund, Class S (a)		355,049		3,536,289
MassMutual Select Small Company Growth Fund, Class S (a) (b)		263,996		2,940,913
MassMutual Select Small Company Value Fund, Class Z (a)		250,665		3,629,629
MassMutual Select Strategic Bond Fund, Class S (a)		96,684		955,242
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		1,790,670		6,697,105
Oppenheimer Developing Markets Fund, Class Y (a)		26,735		952,020
Oppenheimer Real Estate Fund, Class Y (a)		411,582		8,614,420
				194,287,142
TOTAL MUTUAL FUNDS (Cost $168,214,589)				194,287,142
TOTAL LONG-TERM INVESTMENTS (Cost $168,214,589)				194,287,142
TOTAL INVESTMENTS — 100.1% (Cost $168,214,589) (c)				194,287,142
Other Assets/(Liabilities) — (0.1)%				(121,606	)
NET ASSETS — 100.0%			$	194,165,536

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

18

MassMutual RetireSMART 2045 Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 101.3%
Diversified Financial — 101.3%
MassMutual Premier Core Bond Fund, Class Z (a)		1,453	$	16,421
MassMutual Premier Disciplined Growth Fund, Class S (a)		9,155		91,913
MassMutual Premier Disciplined Value Fund, Class S (a)		7,850		83,053
MassMutual Premier Focused International Fund, Class Z (a)		1,848		22,716
MassMutual Premier High Yield Fund, Class Z (a)		392		3,593
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		469		5,249
MassMutual Premier International Bond Fund, Class S (a)		1,881		19,878
MassMutual Premier International Equity Fund, Class S (a)		3,281		50,882
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		1,523		17,505
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		300		3,233
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		4,627		75,833
MassMutual Premier Value Fund, Class S (a)		606		9,317
MassMutual Select Blue Chip Growth Fund, Class S (a)		3,943		44,748
MassMutual Select Core Opportunities Fund, Class S (a)		1,442		14,006
MassMutual Select Diversified International Fund, Class S (a)		8,043		57,746
MassMutual Select Diversified Value Fund, Class S (a)		5,329		50,888
MassMutual Select Focused Value Fund, Class Z (a)		1,157		21,477
MassMutual Select Fundamental Value Fund, Class Z (a)		7,289		79,739
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		5,086		38,706
MassMutual Select Large Cap Growth Fund, Class S (a)		6,014		58,094
MassMutual Select Large Cap Value Fund, Class S (a)		1,465		15,909
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		1,761		20,977
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		2,552		43,233
MassMutual Select Mid-Cap Value Fund, Class S (a)		5,769		62,425
MassMutual Select Overseas Fund, Class Z (a)		19,608		151,176

	Number of Shares		Value
MassMutual Select PIMCO Total Return Fund, Class Z (a)		220	$	2,292
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		1,838		34,637
MassMutual Select Small Cap Value Equity Fund, Class S (a)		3,194		31,810
MassMutual Select Small Company Growth Fund, Class S (a) (b)		2,193		24,433
MassMutual Select Small Company Value Fund, Class Z (a)		1,768		25,594
MassMutual Select Strategic Bond Fund, Class S (a)		308		3,042
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		12,274		45,904
Oppenheimer Developing Markets Fund, Class Y (a)		105		3,731
Oppenheimer Real Estate Fund, Class Y (a)		2,827		59,165
				1,289,325
TOTAL MUTUAL FUNDS (Cost $1,180,798)				1,289,325
TOTAL LONG-TERM INVESTMENTS (Cost $1,180,798)				1,289,325
TOTAL INVESTMENTS — 101.3% (Cost $1,180,798) (c)				1,289,325
Other Assets/(Liabilities) — (1.3)%				(16,924	)
NET ASSETS — 100.0%			$	1,272,401

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

19

MassMutual RetireSMART 2050 Fund – Portfolio of Investments

June 30, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		32,196	$	363,813
MassMutual Premier Disciplined Growth Fund, Class S (a)		224,744		2,256,428
MassMutual Premier Disciplined Value Fund, Class S (a)		188,296		1,992,177
MassMutual Premier Focused International Fund, Class Z (a)		44,834		551,011
MassMutual Premier High Yield Fund, Class Z (a)		11,923		109,332
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		7,759		86,822
MassMutual Premier International Bond Fund, Class S (a)		37,867		400,255
MassMutual Premier International Equity Fund, Class S (a)		82,842		1,284,880
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		62,555		718,762
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		15,394		165,795
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		110,165		1,805,598
MassMutual Premier Value Fund, Class S (a)		11,671		179,376
MassMutual Select Blue Chip Growth Fund, Class S (a)		95,039		1,078,698
MassMutual Select Core Opportunities Fund, Class S (a)		36,742		356,769
MassMutual Select Diversified International Fund, Class S (a)		188,791		1,355,520
MassMutual Select Diversified Value Fund, Class S (a)		132,179		1,262,306
MassMutual Select Focused Value Fund, Class Z (a)		28,007		519,814
MassMutual Select Fundamental Value Fund, Class Z (a)		180,135		1,970,672
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		128,278		976,192
MassMutual Select Large Cap Growth Fund, Class S (a)		142,767		1,379,129
MassMutual Select Large Cap Value Fund, Class S (a)		37,128		403,213
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		55,184		657,243
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		52,591		890,885
MassMutual Select Mid-Cap Value Fund, Class S (a)		135,284		1,463,769
MassMutual Select Overseas Fund, Class Z (a)		472,966		3,646,564

	Number of Shares		Value
MassMutual Select PIMCO Total Return Fund, Class Z (a)		7,948	$	82,659
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		33,242		626,617
MassMutual Select Small Cap Value Equity Fund, Class S (a)		64,098		638,414
MassMutual Select Small Company Growth Fund, Class S (a) (b)		54,449		606,567
MassMutual Select Small Company Value Fund, Class Z (a)		43,374		628,057
MassMutual Select Strategic Bond Fund, Class S (a)		5,986		59,140
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		279,138		1,043,977
Oppenheimer Developing Markets Fund, Class Y (a)		2,673		95,202
Oppenheimer Real Estate Fund, Class Y (a)		64,853		1,357,377
				31,013,033
TOTAL MUTUAL FUNDS (Cost $28,404,851)				31,013,033
TOTAL LONG-TERM INVESTMENTS (Cost $28,404,851)				31,013,033
TOTAL INVESTMENTS — 100.1% (Cost $28,404,851) (c)				31,013,033
Other Assets/(Liabilities) — (0.1)%				(26,507	)
NET ASSETS — 100.0%			$	30,986,526

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 6 for aggregate cost for federal tax purposes.

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

20

[THIS PAGE INTENTIONALLY LEFT BLANK]

MassMutual RetireSMART Funds – Financial Statements

Statements of Assets and Liabilities

June 30, 2011 (Unaudited)

	MassMutual RetireSMART Conservative Fund			MassMutual RetireSMART Moderate Fund
Assets:
Investments, at value — affiliated issuers (Note 7) (a)	$	261,275,244		$	567,033,532
Total investments		261,275,244			567,033,532
Receivables from:
Investments sold		71,407			1,916,399
Investment adviser (Note 3)		-			-
Fund shares sold		6,041			66,020
Total assets		261,352,692			569,015,951
Liabilities:
Payables for:
Investments purchased		-			-
Fund shares repurchased		77,449			1,982,419
Trustees’ fees and expenses (Note 3)		312			695
Affiliates (Note 3):
Investment management fees		3,560			7,534
Administration fees		11,385			26,081
Service fees		11,037			27,165
Distribution fees		-			-
Accrued expense and other liabilities		3,506			4,618
Total liabilities		107,249			2,048,512
Net assets	$	261,245,443		$	566,967,439
Net assets consist of:
Paid-in capital	$	258,695,419		$	554,214,274
Undistributed (accumulated) net investment income (loss)		(13,509	)		(11,207	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		(5,801	)		35,217
Net unrealized appreciation (depreciation) on investments and foreign currency translations		2,569,334			12,729,155
Net assets	$	261,245,443		$	566,967,439
(a)        Cost of investments — affiliated issuers:	$	258,705,910		$	554,304,377

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

22

MassMutual RetireSMART Moderate Growth Fund			MassMutual RetireSMART Growth Fund		MassMutual RetireSMART In Retirement Fund			MassMutual RetireSMART 2010 Fund			MassMutual RetireSMART 2015 Fund
$	427,335,415		$	71,186,772	$	99,782,340		$	109,628,211		$	1,720,111
	427,335,415			71,186,772		99,782,340			109,628,211			1,720,111
	1,746,352			68,565		12,028			82,033			-
	-			2,390		-			-			5,010
	172,612			-		15,927			19,430			266
	429,254,379			71,257,727		99,810,295			109,729,674			1,725,387
	-			-		1,598			1,125			260
	1,918,964			68,565		25,959			99,911			-
	533			92		34,050			29,406			66
	5,738			947		4,172			4,483			70
	19,503			3,218		11,059			10,032			95
	19,412			2,957		20,577			19,776			196
	-			-		68			423			-
	4,152			2,869		26,406			26,205			21,681
	1,968,302			78,648		123,889			191,361			22,368
$	427,286,077		$	71,179,079	$	99,686,406		$	109,538,313		$	1,703,019
$	412,893,460		$	68,408,758	$	123,801,567		$	140,395,462		$	1,551,608
	(5,596	)		49		2,453,409			2,188,350			(553	)
	57,496			2,141		(33,010,398	)		(41,209,010	)		65,336
	14,340,717			2,768,131		6,441,828			8,163,511			86,628
$	427,286,077		$	71,179,079	$	99,686,406		$	109,538,313		$	1,703,019
$	412,994,698		$	68,418,641	$	93,340,512		$	101,464,700		$	1,633,483

23

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2011 (Unaudited)

	MassMutual RetireSMART Conservative Fund		MassMutual RetireSMART Moderate Fund
Class A shares:
Net assets	$	162,051,623	$	402,712,328
Shares outstanding (a)		16,047,431		39,369,901
Net asset value and redemption price per share	$	10.10	$	10.23
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	10.72	$	10.85
Class L shares:
Net assets	$	98,991,634	$	164,050,309
Shares outstanding (a)		9,802,141		16,036,762
Net asset value, offering price and redemption price per share	$	10.10	$	10.23
Class Y shares:
Net assets	$	101,092	$	102,400
Shares outstanding (a)		10,010		10,010
Net asset value, offering price and redemption price per share	$	10.10	$	10.23
Class S shares:
Net assets	$	101,094	$	102,402
Shares outstanding (a)		10,010		10,010
Net asset value, offering price and redemption price per share	$	10.10	$	10.23
Class N shares:
Net assets	$	-	$	-
Shares outstanding (a)		-		-
Net asset value, offering price and redemption price per share	$	-	$	-

(a) Authorized unlimited number of shares with no par value.

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

24

MassMutual RetireSMART Moderate Growth Fund		MassMutual RetireSMART Growth Fund		MassMutual RetireSMART In Retirement Fund		MassMutual RetireSMART 2010 Fund		MassMutual RetireSMART 2015 Fund
$	290,255,568	$	44,384,541	$	32,414,571	$	30,477,212	$	321,756
	28,053,196		4,265,942		3,189,817		2,918,733		28,676
$	10.35	$	10.40	$	10.16	$	10.44	$	11.22
$	10.98	$	11.03	$	10.78	$	11.08	$	11.90
$	136,823,351	$	26,586,221	$	33,134,990	$	13,067,942	$	114,872
	13,223,121		2,555,112		3,230,069		1,242,145		10,209
$	10.35	$	10.41	$	10.26	$	10.52	$	11.25
$	103,578	$	104,158	$	21,084,262	$	29,086,992	$	258,687
	10,010		10,010		2,051,965		2,761,173		22,980
$	10.35	$	10.41	$	10.28	$	10.53	$	11.26
$	103,580	$	104,159	$	12,943,550	$	36,218,461	$	1,007,704
	10,010		10,010		1,261,380		3,433,631		89,477
$	10.35	$	10.41	$	10.26	$	10.55	$	11.26
$	-	$	-	$	109,033	$	687,706	$	-
	-		-		10,732		65,966		-
$	-	$	-	$	10.16	$	10.43	$	-

25

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2011 (Unaudited)

	MassMutual RetireSMART 2020 Fund			MassMutual RetireSMART 2025 Fund
Assets:
Investments, at value — affiliated issuers (Note 7) (a)	$	389,935,930		$	1,553,554
Total investments		389,935,930			1,553,554
Receivables from:
Investments sold		1,112,685			-
Investment adviser (Note 3)		-			5,277
Fund shares sold		124,420			510
Total assets		391,173,035			1,559,341
Liabilities:
Payables for:
Investments purchased		6,420			504
Fund shares repurchased		1,229,187			-
Trustees’ fees and expenses (Note 3)		89,115			61
Affiliates (Note 3):
Investment management fees		15,723			62
Administration fees		41,248			104
Service fees		60,872			295
Distribution fees		390			-
Accrued expense and other liabilities		35,987			22,185
Total liabilities		1,478,942			23,211
Net assets	$	389,694,093		$	1,536,130
Net assets consist of:
Paid-in capital	$	471,955,611		$	1,377,840
Undistributed (accumulated) net investment income (loss)		5,771,853			(616	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		(130,114,613	)		58,865
Net unrealized appreciation (depreciation) on investments and foreign currency translations		42,081,242			100,041
Net assets	$	389,694,093		$	1,536,130
(a)        Cost of investments — affiliated issuers:	$	347,854,688		$	1,453,513

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

26

MassMutual RetireSMART 2030 Fund			MassMutual RetireSMART 2035 Fund			MassMutual RetireSMART 2040 Fund			MassMutual RetireSMART 2045 Fund			MassMutual RetireSMART 2050 Fund
$	317,680,016		$	1,612,819		$	194,287,142		$	1,289,325		$	31,013,033
	317,680,016			1,612,819			194,287,142			1,289,325			31,013,033
	1,043,107			-			807,202			-			1,588,581
	-			5,228			-			5,227			4,459
	46,145			1,087			54,667			630			42,722
	318,769,268			1,619,134			195,149,011			1,295,182			32,648,795
	1,574			1,081			962			625			367
	1,086,467			-			860,162			-			1,630,820
	67,923			60			40,115			58			2,538
	12,760			64			7,807			51			1,242
	32,566			108			17,390			64			1,554
	46,980			263			27,959			123			2,727
	209			-			180			-			61
	33,182			21,746			28,900			21,860			22,960
	1,281,661			23,322			983,475			22,781			1,662,269
$	317,487,607		$	1,595,812		$	194,165,536		$	1,272,401		$	30,986,526
$	383,791,066		$	1,438,292		$	231,083,282		$	1,112,821		$	28,123,347
	3,538,483			(438	)		1,868,679			(81	)		(5,773	)
	(109,406,113	)		52,695			(64,858,978	)		51,134			260,770
	39,564,171			105,263			26,072,553			108,527			2,608,182
$	317,487,607		$	1,595,812		$	194,165,536		$	1,272,401		$	30,986,526
$	278,115,845		$	1,507,556		$	168,214,589		$	1,180,798		$	28,404,851

27

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2011 (Unaudited)

	MassMutual RetireSMART 2020 Fund		MassMutual RetireSMART 2025 Fund
Class A shares:
Net assets	$	96,721,950	$	481,858
Shares outstanding (a)		9,511,302		42,331
Net asset value and redemption price per share	$	10.17	$	11.38
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	10.79	$	12.07
Class L shares:
Net assets	$	101,936,601	$	121,049
Shares outstanding (a)		9,929,921		10,610
Net asset value, offering price and redemption price per share	$	10.27	$	11.41
Class Y shares:
Net assets	$	69,966,428	$	119,802
Shares outstanding (a)		6,818,890		10,494
Net asset value, offering price and redemption price per share	$	10.26	$	11.42
Class S shares:
Net assets	$	120,417,526	$	813,421
Shares outstanding (a)		11,713,207		71,234
Net asset value, offering price and redemption price per share	$	10.28	$	11.42
Class N shares:
Net assets	$	651,588	$	-
Shares outstanding (a)		64,365		-
Net asset value, offering price and redemption price per share	$	10.12	$	-

(a) Authorized unlimited number of shares with no par value.

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

28

MassMutual RetireSMART 2030 Fund		MassMutual RetireSMART 2035 Fund		MassMutual RetireSMART 2040 Fund		MassMutual RetireSMART 2045 Fund		MassMutual RetireSMART 2050 Fund
$	74,934,455	$	456,488	$	44,276,333	$	200,373	$	4,297,863
	7,337,956		39,904		4,323,387		17,390		472,536
$	10.21	$	11.44	$	10.24	$	11.52	$	9.10
$	10.83	$	12.14	$	10.86	$	12.22	$	9.66
$	83,354,766	$	148,029	$	51,050,229	$	124,465	$	2,207,963
	8,081,189		12,917		4,931,269		10,783		242,220
$	10.31	$	11.46	$	10.35	$	11.54	$	9.12
$	62,318,702	$	166,020	$	28,975,541	$	126,465	$	6,024,038
	6,046,698		14,479		2,799,396		10,949		660,227
$	10.31	$	11.47	$	10.35	$	11.55	$	9.12
$	96,567,411	$	825,275	$	69,577,021	$	821,098	$	18,358,917
	9,350,427		71,957		6,711,729		71,071		2,010,875
$	10.33	$	11.47	$	10.37	$	11.55	$	9.13
$	312,273	$	-	$	286,412	$	-	$	97,745
	30,655		-		28,021		-		10,731
$	10.19	$	-	$	10.22	$	-	$	9.11

29

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended June 30, 2011 (Unaudited)

	MassMutual RetireSMART Conservative Fund *			MassMutual RetireSMART Moderate Fund *
Investment income (Note 2):
Dividends — affiliated issuers (Note 7)	$	16,292		$	54,886
Total investment income		16,292			54,886
Expenses (Note 3):
Investment management fees		3,560			7,534
Custody fees		908			908
Audit fees		1,695			1,702
Legal fees		127			282
Proxy fees		-			-
Shareholder reporting fees		442			977
Trustees’ fees		648			1,444
		7,380			12,847
Administration fees:
Class A		7,063			18,472
Class L		4,318			7,604
Class Y		2			3
Class S		1			2
Class N		-			-
Distribution fees:
Class N		-			-
Service fees:
Class A		11,037			27,165
Class N		-			-
Total expenses		29,801			66,093
Expenses waived (Note 3):
Class A fees waived by adviser		-			-
Class L fees waived by adviser		-			-
Class Y fees waived by adviser		-			-
Class S fees waived by adviser		-			-
Net expenses		29,801			66,093
Net investment income (loss)		(13,509	)		(11,207	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions — affiliated issuers (Note 7)		(5,801	)		35,217
Net realized gain (loss)		(5,801	)		35,217
Net change in unrealized appreciation (depreciation) on:
Investment transactions — affiliated issuers		2,569,334			12,729,155
Net change in unrealized appreciation (depreciation)		2,569,334			12,729,155
Net realized gain (loss) and change in unrealized appreciation (depreciation)		2,563,533			12,764,372
Net increase (decrease) in net assets resulting from operations	$	2,550,024		$	12,753,165

* Fund commenced operations on June 20, 2011.

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

30

MassMutual RetireSMART Moderate Growth Fund *			MassMutual RetireSMART Growth Fund *			MassMutual RetireSMART In Retirement Fund			MassMutual RetireSMART 2010 Fund			MassMutual RetireSMART 2015 Fund
$	43,742		$	7,742		$	14,665		$	17,405		$	324
	43,742			7,742			14,665			17,405			324
	5,738			948			25,600			27,322			403
	908			908			13,211			13,153			12,369
	1,699			1,691			14,536			14,536			14,513
	217			37			703			697			8
	-			-			474			474			474
	752			133			3,274			3,294			1,225
	1,109			190			4,384			4,424			58
	10,423			3,907			62,182			63,900			29,050
	13,200			2,011			24,805			27,285			247
	6,298			1,203			26,939			11,411			94
	3			3			5,042			10,392			88
	2			2			1,357			3,551			46
	-			-			107			687			-
	-			-			133			765			-
	19,412			2,957			41,231			39,199			375
	-			-			133			765			-
	49,338			10,083			161,929			157,955			29,900
	-			(1,491	)		-			-			(5,277	)
	-			(893	)		-			-			(2,014	)
	-			(3	)		-			-			(4,777	)
	-			(3	)		-			-			(16,273	)
	49,338			7,693			161,929			157,955			1,559
	(5,596	)		49			(147,264	)		(140,550	)		(1,235	)
	57,496			2,141			9,859,057			9,570,978			57,600
	57,496			2,141			9,859,057			9,570,978			57,600
	14,340,717			2,768,131			(5,727,851	)		(4,827,214	)		14,975
	14,340,717			2,768,131			(5,727,851	)		(4,827,214	)		14,975
	14,398,213			2,770,272			4,131,206			4,743,764			72,575
$	14,392,617		$	2,770,321		$	3,983,942		$	4,603,214		$	71,340

31

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended June 30, 2011 (Unaudited)

	MassMutual RetireSMART 2020 Fund			MassMutual RetireSMART 2025 Fund
Investment income (Note 2):
Dividends — affiliated issuers (Note 7)	$	79,118		$	308
Total investment income		79,118			308
Expenses (Note 3):
Investment management fees		95,371			355
Custody fees		12,713			13,470
Audit fees		14,595			14,513
Legal fees		2,443			8
Proxy fees		474			474
Shareholder reporting fees		8,536			1,225
Trustees’ fees		15,569			53
		149,701			30,098
Administration fees:
Class A		86,157			327
Class L		95,442			95
Class Y		26,563			37
Class S		14,630			40
Class N		696			-
Distribution fees:
Class N		754			-
Service fees:
Class A		119,417			494
Class N		754			-
Total expenses		494,114			31,091
Expenses waived (Note 3):
Class A fees waived by adviser		-			(8,206	)
Class L fees waived by adviser		-			(2,402	)
Class Y fees waived by adviser		-			(2,382	)
Class S fees waived by adviser		-			(16,486	)
Class N fees waived by adviser		-			-
Net expenses		494,114			1,615
Net investment income (loss)		(414,996	)		(1,307	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions — affiliated issuers (Note 7)		25,106,232			52,033
Net realized gain (loss)		25,106,232			52,033
Net change in unrealized appreciation (depreciation) on:
Investment transactions — affiliated issuers		(6,177,541	)		17,858
Net change in unrealized appreciation (depreciation)		(6,177,541	)		17,858
Net realized gain (loss) and change in unrealized appreciation (depreciation)		18,928,691			69,891
Net increase (decrease) in net assets resulting from operations	$	18,513,695		$	68,584

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

32

MassMutual RetireSMART 2030 Fund			MassMutual RetireSMART 2035 Fund			MassMutual RetireSMART 2040 Fund			MassMutual RetireSMART 2045 Fund			MassMutual RetireSMART 2050 Fund
$	67,151		$	337		$	40,599		$	273		$	6,037
	67,151			337			40,599			273			6,037
	76,808			349			47,180			304			7,061
	12,606			12,287			12,593			12,636			12,494
	14,578			14,513			14,553			14,513			14,517
	1,953			8			1,193			8			158
	474			474			474			474			474
	7,067			1,224			4,786			1,224			1,686
	12,437			51			7,617			49			1,032
	125,923			28,906			88,396			29,208			37,422
	65,855			262			36,587			146			3,108
	72,788			109			42,385			96			1,597
	23,090			47			9,177			39			1,805
	10,690			40			3,808			40			844
	392			-			306			-			103
	431			-			354			-			120
	92,572			394			55,050			221			4,706
	431			-			354			-			120
	392,172			29,758			236,417			29,750			49,825
	-			(6,400	)		-			(4,173	)		(3,390	)
	-			(2,678	)		-			(2,758	)		(1,742	)
	-			(2,954	)		-			(2,831	)		(5,013	)
	-			(16,263	)		-			(18,908	)		(14,760	)
	-			-			-			-			(86	)
	392,172			1,463			236,417			1,080			24,834
	(325,021	)		(1,126	)		(195,818	)		(807	)		(18,797	)
	21,863,086			46,647			15,741,481			46,207			2,899,620
	21,863,086			46,647			15,741,481			46,207			2,899,620
	(6,215,089	)		20,028			(6,050,632	)		16,421			(1,449,130	)
	(6,215,089	)		20,028			(6,050,632	)		16,421			(1,449,130	)
	15,647,997			66,675			9,690,849			62,628			1,450,490
$	15,322,976		$	65,549		$	9,495,031		$	61,821		$	1,431,693

33

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART Conservative Fund
	Period Ended June 30, 2011 (Unaudited) *
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(13,509	)
Net realized gain (loss) on investment transactions		(5,801	)
Net change in unrealized appreciation (depreciation) on investments		2,569,334
Net increase (decrease) in net assets resulting from operations		2,550,024
Net fund share transactions (Note 5):
Class A		160,473,663
Class L		98,021,556
Class Y		100,100
Class S		100,100
Increase (decrease) in net assets from fund share transactions		258,695,419
Total increase (decrease) in net assets		261,245,443
Net assets
Beginning of period		-
End of period	$	261,245,443
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	(13,509	)

* Fund commenced operations on June 20, 2011.

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

34

MassMutual RetireSMART Moderate Fund			MassMutual RetireSMART Moderate Growth Fund			MassMutual RetireSMART Growth Fund
Period Ended June 30, 2011 (Unaudited) *			Period Ended June 30, 2011 (Unaudited) *			Period Ended June 30, 2011 (Unaudited) *
$	(11,207	)	$	(5,596	)	$	49
	35,217			57,496			2,141
	12,729,155			14,340,717			2,768,131
	12,753,165			14,392,617			2,770,321
	393,692,509			280,527,093			42,657,835
	160,321,565			132,166,167			25,550,723
	100,100			100,100			100,100
	100,100			100,100			100,100
	554,214,274			412,893,460			68,408,758
	566,967,439			427,286,077			71,179,079
	-			-			-
$	566,967,439		$	427,286,077		$	71,179,079
$	(11,207	)	$	(5,596	)	$	49

35

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART In Retirement Fund
	Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(147,264	)	$	2,261,441
Net realized gain (loss) on investment transactions		9,859,057			4,883,343
Net change in unrealized appreciation (depreciation) on investments		(5,727,851	)		2,886,643
Net increase (decrease) in net assets resulting from operations		3,983,942			10,031,427
Distributions to shareholders (Note 2):
From net investment income:
Class A		-			(816,134	)
Class L		-			(967,462	)
Class Y		-			(472,100	)
Class S		-			(494,115	)
Class N		-			(2,226	)
Total distributions from net investment income		-			(2,752,037	)
From net realized gains:
Class A		-			-
Class L		-			-
Class Y		-			-
Class S		-			-
Total distributions from net realized gains		-			-
Net fund share transactions (Note 5):
Class A		(3,978,063	)		(1,362,043	)
Class L		(5,930,770	)		(3,303,097	)
Class Y		1,190,135			(481,104	)
Class S		(1,046,274	)		(2,577,218	)
Class N		1,169			(7,588	)
Increase (decrease) in net assets from fund share transactions		(9,763,803	)		(7,731,050	)
Total increase (decrease) in net assets		(5,779,861	)		(451,660	)
Net assets
Beginning of period		105,466,267			105,917,927
End of period	$	99,686,406		$	105,466,267
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	2,453,409		$	2,600,673

** Fund commenced operations on April 1, 2010.

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

36

MassMutual RetireSMART 2010 Fund						MassMutual RetireSMART 2015 Fund
Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010			Six Months Ended June 30, 2011 (Unaudited)			Period Ended December 31, 2010 **
$	(140,550	)	$	1,966,149		$	(1,235	)	$	22,430
	9,570,978			3,468,064			57,600			12,336
	(4,827,214	)		7,077,446			14,975			71,653
	4,603,214			12,511,659			71,340			106,419
	-			(658,517	)		-			(5,450	)
	-			(291,793	)		-			(2,057	)
	-			(573,167	)		-			(2,770	)
	-			(1,167,060	)		-			(15,020	)
	-			(7,683	)		-			-
	-			(2,698,220	)		-			(25,297	)
	-			-			-			(254	)
	-			-			-			(93	)
	-			-			-			(120	)
	-			-			-			(645	)
	-			-			-			(1,112	)
	(3,071,692	)		(6,241,649	)		6,407			287,131
	(592,371	)		(1,737,480	)		(1,309	)		103,439
	50,509			(1,605,809	)		105,646			136,350
	1,402,245			(14,036,845	)		198,240			715,765
	151,364			(86,096	)		-			-
	(2,059,945	)		(23,707,879	)		308,984			1,242,685
	2,543,269			(13,894,440	)		380,324			1,322,695
	106,995,044			120,889,484			1,322,695			-
$	109,538,313		$	106,995,044		$	1,703,019		$	1,322,695
$	2,188,350		$	2,328,900		$	(553	)	$	682

37

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART 2020 Fund
	Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(414,996	)	$	5,388,528
Net realized gain (loss) on investment transactions		25,106,232			(15,557,289	)
Net change in unrealized appreciation (depreciation) on investments		(6,177,541	)		57,131,186
Net increase (decrease) in net assets resulting from operations		18,513,695			46,962,425
Distributions to shareholders (Note 2):
From net investment income:
Class A		-			(1,302,287	)
Class L		-			(1,698,876	)
Class Y		-			(1,027,178	)
Class S		-			(2,018,294	)
Class N		-			(6,443	)
Total distributions from net investment income		-			(6,053,078	)
Net fund share transactions (Note 5):
Class A		(1,975,265	)		(10,293,218	)
Class L		(12,786,665	)		(17,049,686	)
Class Y		(787,335	)		(3,351,807	)
Class S		10,365,138			(7,430,243	)
Class N		36,972			(37,244	)
Increase (decrease) in net assets from fund share transactions		(5,147,155	)		(38,162,198	)
Total increase (decrease) in net assets		13,366,540			2,747,149
Net assets
Beginning of period		376,327,553			373,580,404
End of period	$	389,694,093		$	376,327,553
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	5,771,853		$	6,186,849

** Fund commenced operations on April 1, 2010.

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

38

MassMutual RetireSMART 2025 Fund						MassMutual RetireSMART 2030 Fund						MassMutual RetireSMART 2035 Fund
Six Months Ended June 30, 2011 (Unaudited)			Period Ended December 31, 2010 **			Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010			Six Months Ended June 30, 2011 (Unaudited)			Period Ended December 31, 2010 **
$	(1,307	)	$	17,351		$	(325,021	)	$	3,430,269		$	(1,126	)	$	14,289
	52,033			9,191			21,863,086			(18,358,397	)		46,647			7,924
	17,858			82,183			(6,215,089	)		54,803,754			20,028			85,235
	68,584			108,725			15,322,976			39,875,626			65,549			107,448
	-			(3,549	)		-			(754,308	)		-			(1,690	)
	-			(1,633	)		-			(1,059,854	)		-			(1,461	)
	-			(1,706	)		-			(681,875	)		-			(1,517	)
	-			(12,191	)		-			(1,287,892	)		-			(10,869	)
	-			-			-			(2,895	)		-			-
	-			(19,079	)		-			(3,786,824	)		-			(15,537	)
	216,404			235,831			(2,644,976	)		(6,518,808	)		298,139			134,441
	4,840			101,898			(3,805,929	)		(19,246,964	)		30,122			102,832
	3,728			101,806			2,460,483			(4,446,442	)		49,471			101,672
	1,102			712,291			5,401,315			190,997			10,706			710,969
	-			-			(88,266	)		(51,273	)		-			-
	226,074			1,151,826			1,322,627			(30,072,490	)		388,438			1,049,914
	294,658			1,241,472			16,645,603			6,016,312			453,987			1,141,825
	1,241,472			-			300,842,004			294,825,692			1,141,825			-
$	1,536,130		$	1,241,472		$	317,487,607		$	300,842,004		$	1,595,812		$	1,141,825
$	(616	)	$	691		$	3,538,483		$	3,863,504		$	(438	)	$	688

39

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART 2040 Fund
	Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(195,818	)	$	1,803,398
Net realized gain (loss) on investment transactions		15,741,481			(8,254,232	)
Net change in unrealized appreciation (depreciation) on investments		(6,050,632	)		30,926,074
Net increase (decrease) in net assets resulting from operations		9,495,031			24,475,240
Distributions to shareholders (Note 2):
From net investment income:
Class A		-			(364,298	)
Class L		-			(527,823	)
Class Y		-			(257,023	)
Class S		-			(708,747	)
Class N		-			(1,721	)
Total distributions from net investment income		-			(1,859,612	)
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		(2,203,517	)		(2,001,283	)
Class L		(3,570,338	)		(10,993,955	)
Class Y		1,712,416			(1,294,305	)
Class S		4,453,473			3,945,165
Class N		(13,572	)		(6,636	)
Increase (decrease) in net assets from fund share transactions		378,462			(10,351,014	)
Total increase (decrease) in net assets		9,873,493			12,264,614
Net assets
Beginning of period		184,292,043			172,027,429
End of period	$	194,165,536		$	184,292,043
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	1,868,679		$	2,064,497

** Fund commenced operations on April 1, 2010.

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

40

MassMutual RetireSMART 2045 Fund						MassMutual RetireSMART 2050 Fund
Six Months Ended June 30, 2011 (Unaudited)			Period Ended December 31, 2010**			Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
$	(807	)	$	12,489		$	(18,797	)	$	244,050
	46,207			6,299			2,899,620			1,460,746
	16,421			92,106			(1,449,130	)		1,470,411
	61,821			110,894			1,431,693			3,175,207
	-			(1,346	)		-			(23,790	)
	-			(1,222	)		-			(18,739	)
	-			(1,297	)		-			(51,244	)
	-			(9,330	)		-			(164,298	)
	-			-			-			(465	)
	-			(13,195	)		-			(258,536	)
	-			-			-			(44,530	)
	-			-			-			(29,199	)
	-			-			-			(74,281	)
	-			-			-			(230,303	)
	-			-			-			(1,468	)
	-			-			-			(379,781	)
	53,679			127,907			1,254,800			1,111,958
	7,509			101,322			253,826			391,293
	9,238			101,397			933,355			1,314,020
	2,399			709,430			2,493,511			1,909,493
	-			-			-			1,933
	72,825			1,040,056			4,935,492			4,728,697
	134,646			1,137,755			6,367,185			7,265,587
	1,137,755			-			24,619,341			17,353,754
$	1,272,401		$	1,137,755		$	30,986,526		$	24,619,341
$	(81	)	$	726		$	(5,773	)	$	13,024

41

MassMutual RetireSMART Conservative Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A			Class L			Class Y			Class S
	Period Ended 06/30/11 (Unaudited) +			Period Ended 06/30/11 (Unaudited) +			Period Ended 06/30/11 (Unaudited) +			Period Ended 06/30/11 (Unaudited) +
Net asset value, beginning of period	$	10.00		$	10.00		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.00	) †		(0.00	) †		0.00	†		0.00	†
Net realized and unrealized gain (loss) on investments		0.10			0.10			0.10			0.10
Total income (loss) from investment operations		0.10			0.10			0.10			0.10
Net asset value, end of period	$	10.10		$	10.10		$	10.10		$	10.10
Total Return ^		1.00%	**,^^		1.00%	**		1.00%	**		1.00%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	162,052		$	98,992		$	101		$	101
Ratio of expenses to average daily net assets		0.51%	*		0.26%	*		0.18%	*		0.14%	*
Net investment income (loss) to average daily net assets		(0.28%	) *		(0.03%	) *		0.00%	*††		0.07%	*
Portfolio turnover rate		2%	**		2%	**		2%	**		2%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

+ For the period June 20, 2011 (commencement of operations) through June 30, 2011.

† Amount is less than $0.005 per share.

†† Amount is less than 0.005% of average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

42

MassMutual RetireSMART Moderate Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A			Class L			Class Y			Class S
	Period Ended 06/30/11 (Unaudited) +			Period Ended 06/30/11 (Unaudited) +			Period Ended 06/30/11 (Unaudited) +			Period Ended 06/30/11 (Unaudited) +
Net asset value, beginning of period	$	10.00		$	10.00		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.00	) †		0.00	†		0.00	†		0.00	†
Net realized and unrealized gain (loss) on investments		0.23			0.23			0.23			0.23
Total income (loss) from investment operations		0.23			0.23			0.23			0.23
Net asset value, end of period	$	10.23		$	10.23		$	10.23		$	10.23
Total Return ^		2.30%	**,^^		2.30%	**		2.30%	**		2.30%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	402,712		$	164,050		$	102		$	102
Ratio of expenses to average daily net assets		0.50%	*		0.25%	*		0.17%	*		0.13%	*
Net investment income (loss) to average daily net assets		(0.15%	) *		0.10%	*		0.15%	*		0.19%	*
Portfolio turnover rate		1%	**		1%	**		1%	**		1%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period June 20, 2011 (commencement of operations) through June 30, 2011.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

43

MassMutual RetireSMART Moderate Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A			Class L			Class Y			Class S
	Period Ended 06/30/11 (Unaudited) +			Period Ended 06/30/11 (Unaudited) +			Period Ended 06/30/11 (Unaudited) +			Period Ended 06/30/11 (Unaudited) +
Net asset value, beginning of period	$	10.00		$	10.00		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.00	) †		0.00	†		0.00	†		0.00	†
Net realized and unrealized gain (loss) on investments		0.35			0.35			0.35			0.35
Total income (loss) from investment operations		0.35			0.35			0.35			0.35
Net asset value, end of period	$	10.35		$	10.35		$	10.35		$	10.35
Total Return ^		3.50%	**,^^		3.50%	**		3.50%	**		3.50%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	290,256		$	136,823		$	104		$	104
Ratio of expenses to average daily net assets		0.51%	*		0.26%	*		0.18%	*		0.14%	*
Net investment income (loss) to average daily net assets		(0.13%	) *		0.12%	*		0.16%	*		0.20%	*
Portfolio turnover rate		1%	**		1%	**		1%	**		1%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period June 20, 2011 (commencement of operations) through June 30, 2011.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

44

MassMutual RetireSMART Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A			Class L			Class Y			Class S
	Period Ended 06/30/11 (Unaudited) +			Period Ended 06/30/11 (Unaudited) +			Period Ended 06/30/11 (Unaudited) +			Period Ended 06/30/11 (Unaudited) +
Net asset value, beginning of period	$	10.00		$	10.00		$	10.00		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.00	) †		0.00	†		0.00	†		0.00	†
Net realized and unrealized gain (loss) on investments		0.40			0.41			0.41			0.41
Total income (loss) from investment operations		0.40			0.41			0.41			0.41
Net asset value, end of period	$	10.40		$	10.41		$	10.41		$	10.41
Total Return ^		4.00%	**,^^		4.10%	**		4.10%	**		4.10%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	44,385		$	26,586		$	104		$	104
Ratio of expenses to average daily net assets
Before expense waiver		0.63%	*		0.38%	*		0.30%	*		0.26%	*
After expense waiver		0.50%	*#		0.25%	*#		0.19%	*#		0.15%	*#
Net investment income (loss) to average daily net assets		(0.09%	) *		0.16%	*		0.19%	*		0.23%	*
Portfolio turnover rate		1%	**		1%	**		1%	**		1%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

+ For the period June 20, 2011 (commencement of operations) through June 30, 2011.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

45

MassMutual RetireSMART In Retirement Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.79		$	9.15		$	7.65	$	9.95		$	10.23		$	10.18
Income (loss) from investment operations:
Net investment income (loss) ***		(0.02	)		0.19			0.16		0.39			0.34			0.33
Net realized and unrealized gain (loss) on investments		0.39			0.68			1.34		(2.01	)		0.18			0.20
Total income (loss) from investment operations		0.37			0.87			1.50		(1.62	)		0.52			0.53
Less distributions to shareholders:
From net investment income		-			(0.23	)		-		(0.40	)		(0.41	)		(0.33	)
From net realized gains		-			-			-		(0.22	)		(0.39	)		(0.15	)
Tax return of capital		-			-			-		(0.06	)		-			-
Total distributions		-			(0.23	)		-		(0.68	)		(0.80	)		(0.48	)
Net asset value, end of period	$	10.16		$	9.79		$	9.15	$	7.65		$	9.95		$	10.23
Total Return ^,^^		3.78%	**		9.67%			19.61%		(16.46%	)		5.10%			5.14%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	32,415		$	35,125		$	34,104	$	43,223		$	52,667		$	51,843
Ratio of expenses to average daily net assets		0.52%	*		0.52%			0.52%		0.49%			0.48%			0.47%
Net investment income (loss) to average daily net assets		(0.49%	) *		1.99%			1.94%		4.27%			3.24%			3.22%
Portfolio turnover rate		89%	**		32%			36%		35%			42%			27%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.87		$	9.22		$	7.69	$	9.99		$	10.27		$	10.22
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.21			0.17		0.34			0.36			0.32
Net realized and unrealized gain (loss) on investments		0.40			0.69			1.36		(1.95	)		0.19			0.23
Total income (loss) from investment operations		0.39			0.90			1.53		(1.61	)		0.55			0.55
Less distributions to shareholders:
From net investment income		-			(0.25	)		-		(0.41	)		(0.44	)		(0.35	)
From net realized gains		-			-			-		(0.22	)		(0.39	)		(0.15	)
Tax return of capital		-			-			-		(0.06	)		-			-
Total distributions		-			(0.25	)		-		(0.69	)		(0.83	)		(0.50	)
Net asset value, end of period	$	10.26		$	9.87		$	9.22	$	7.69		$	9.99		$	10.27
Total Return ^		3.95%	**		9.98%			19.90%		(16.29%	)		5.43%			5.34%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	33,135		$	37,663		$	38,375	$	55,874		$	88,901		$	94,347
Ratio of expenses to average daily net assets		0.27%	*		0.27%			0.27%		0.24%			0.23%			0.22%
Net investment income (loss) to average daily net assets		(0.24%	) *		2.21%			2.05%		3.61%			3.45%			3.13%
Portfolio turnover rate		89%	**		32%			36%		35%			42%			27%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

46

MassMutual RetireSMART In Retirement Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.88		$	9.23		$	7.68	$	9.99		$	10.27		$	10.22
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.24			0.16		0.37			0.31			0.38
Net realized and unrealized gain (loss) on investments		0.41			0.67			1.39		(1.97	)		0.25			0.18
Total income (loss) from investment operations		0.40			0.91			1.55		(1.60	)		0.56			0.56
Less distributions to shareholders:
From net investment income		-			(0.26	)		-		(0.42	)		(0.45	)		(0.36	)
From net realized gains		-			-			-		(0.22	)		(0.39	)		(0.15	)
Tax return of capital		-			-			-		(0.07	)		-			-
Total distributions		-			(0.26	)		-		(0.71	)		(0.84	)		(0.51	)
Net asset value, end of period	$	10.28		$	9.88		$	9.23	$	7.68		$	9.99		$	10.27
Total Return ^		4.05%	**		10.09%			20.18%		(16.20%	)		5.47%			5.45%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	21,084		$	19,112		$	18,370	$	58,457		$	94,210		$	125,831
Ratio of expenses to average daily net assets		0.17%	*		0.17%			0.17%		0.14%			0.14%			0.12%
Net investment income (loss) to average daily net assets		(0.14%	) *		2.51%			1.98%		3.94%			2.92%			3.62%
Portfolio turnover rate		89%	**		32%			36%		35%			42%			27%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.86		$	9.22		$	7.68	$	9.98		$	10.27		$	10.22
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.18			0.18		0.36			0.40			0.35
Net realized and unrealized gain (loss) on investments		0.41			0.73			1.36		(1.95	)		0.16			0.21
Total income (loss) from investment operations		0.40			0.91			1.54		(1.59	)		0.56			0.56
Less distributions to shareholders:
From net investment income		-			(0.27	)		-		(0.42	)		(0.46	)		(0.36	)
From net realized gains		-			-			-		(0.22	)		(0.39	)		(0.15	)
Tax return of capital		-			-			-		(0.07	)		-			-
Total distributions		-			(0.27	)		-		(0.71	)		(0.85	)		(0.51	)
Net asset value, end of period	$	10.26		$	9.86		$	9.22	$	7.68		$	9.98		$	10.27
Total Return ^		4.06%	**		10.04%			20.05%		(16.17%	)		5.55%			5.47%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	12,944		$	13,462		$	14,963	$	16,279		$	10,579		$	8,773
Ratio of expenses to average daily net assets		0.14%	*		0.15%			0.15%		0.12%			0.11%			0.10%
Net investment income (loss) to average daily net assets		(0.11%	) *		1.92%			2.17%		3.86%			3.79%			3.41%
Portfolio turnover rate		89%	**		32%			36%		35%			42%			27%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

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

47

MassMutual RetireSMART In Retirement Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.80		$	9.16		$	7.68	$	9.98		$	10.26		$	10.21
Income (loss) from investment operations:
Net investment income (loss) ***		(0.04	)		0.16			0.16		0.32			0.31			0.30
Net realized and unrealized gain (loss) on investments		0.40			0.69			1.32		(1.98	)		0.18			0.20
Total income (loss) from investment operations		0.36			0.85			1.48		(1.66	)		0.49			0.50
Less distributions to shareholders:
From net investment income		-			(0.21	)		-		(0.36	)		(0.38	)		(0.30	)
From net realized gains		-			-			-		(0.22	)		(0.39	)		(0.15	)
Tax return of capital		-			-			-		(0.06	)		-			-
Total distributions		-			(0.21	)		-		(0.64	)		(0.77	)		(0.45	)
Net asset value, end of period	$	10.16		$	9.80		$	9.16	$	7.68		$	9.98		$	10.26
Total Return ^,^^		3.67%	**		9.40%			19.27%		(16.76%	)		4.78%			4.83%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	109		$	104		$	105	$	89		$	124		$	121
Ratio of expenses to average daily net assets		0.82%	*		0.82%			0.82%		0.79%			0.78%			0.77%
Net investment income (loss) to average daily net assets		(0.79%	) *		1.66%			1.98%		3.42%			3.01%			2.95%
Portfolio turnover rate		89%	**		32%			36%		35%			42%			27%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

48

MassMutual RetireSMART 2010 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.02		$	9.18		$	7.37	$	10.64		$	10.77		$	10.57
Income (loss) from investment operations:
Net investment income (loss) ***		(0.03	)		0.15			0.12		0.23			0.31			0.33
Net realized and unrealized gain (loss) on investments		0.45			0.88			1.69		(2.86	)		0.27			0.34
Total income (loss) from investment operations		0.42			1.03			1.81		(2.63	)		0.58			0.67
Less distributions to shareholders:
From net investment income		-			(0.19	)		-		(0.30	)		(0.38	)		(0.31	)
From net realized gains		-			-			-		(0.24	)		(0.33	)		(0.16	)
Tax return of capital		-			-			-		(0.10	)		-			-
Total distributions		-			(0.19	)		-		(0.64	)		(0.71	)		(0.47	)
Net asset value, end of period	$	10.44		$	10.02		$	9.18	$	7.37		$	10.64		$	10.77
Total Return ^,^^		4.19%	**		11.45%			24.56%		(25.05%	)		5.51%			6.39%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	30,477		$	32,254		$	35,657	$	38,451		$	72,786		$	54,312
Ratio of expenses to average daily net assets:
Before expense waiver		0.54%	*		0.54%			0.54%		0.52%			0.51%			0.52%
After expense waiver		N/A			N/A			N/A		N/A			0.51%	##		0.50%	#
Net investment income (loss) to average daily net assets		(0.51%	) *		1.57%			1.55%		2.40%			2.77%			3.10%
Portfolio turnover rate		89%	**		38%			39%		35%			43%			34%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.09		$	9.24		$	7.39	$	10.69		$	10.82		$	10.60
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.18			0.11		0.26			0.34			0.36
Net realized and unrealized gain (loss) on investments		0.44			0.88			1.74		(2.89	)		0.27			0.35
Total income (loss) from investment operations		0.43			1.06			1.85		(2.63	)		0.61			0.71
Less distributions to shareholders:
From net investment income		-			(0.21	)		-		(0.32	)		(0.41	)		(0.33	)
From net realized gains		-			-			-		(0.24	)		(0.33	)		(0.16	)
Tax return of capital		-			-			-		(0.11	)		-			-
Total distributions		-			(0.21	)		-		(0.67	)		(0.74	)		(0.49	)
Net asset value, end of period	$	10.52		$	10.09		$	9.24	$	7.39		$	10.69		$	10.82
Total Return ^		4.26%	**		11.74%			25.03%		(24.95%	)		5.82%			6.69%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	13,068		$	13,103		$	13,710	$	35,333		$	59,582		$	47,387
Ratio of expenses to average daily net assets:
Before expense waiver		0.29%	*		0.29%			0.29%		0.27%			0.26%			0.27%
After expense waiver		N/A			N/A			N/A		N/A			0.26%	##		0.25%	#
Net investment income (loss) to average daily net assets		(0.26%	) *		1.84%			1.39%		2.68%			3.02%			3.35%
Portfolio turnover rate		89%	**		38%			39%		35%			43%			34%

* Annualized.

** Percentage represents the results for the period and is 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.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

49

MassMutual RetireSMART 2010 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.10		$	9.25		$	7.39	$	10.69		$	10.82		$	10.61
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.20			0.13		0.27			0.36			0.39
Net realized and unrealized gain (loss) on investments		0.44			0.88			1.73		(2.89	)		0.26			0.32
Total income (loss) from investment operations		0.43			1.08			1.86		(2.62	)		0.62			0.71
Less distributions to shareholders:
From net investment income		-			(0.23	)		-		(0.33	)		(0.42	)		(0.34	)
From net realized gains		-			-			-		(0.24	)		(0.33	)		(0.16	)
Tax return of capital		-			-			-		(0.11	)		-			-
Total distributions		-			(0.23	)		-		(0.68	)		(0.75	)		(0.50	)
Net asset value, end of period	$	10.53		$	10.10		$	9.25	$	7.39		$	10.69		$	10.82
Total Return ^		4.26%	**		11.89%			25.17%		(24.84%	)		5.84%			6.77%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	29,087		$	27,844		$	27,126	$	39,901		$	79,314		$	57,929
Ratio of expenses to average daily net assets:
Before expense waiver		0.19%	*		0.19%			0.19%		0.17%			0.16%			0.17%
After expense waiver		N/A			N/A			N/A		N/A			0.16%	##		0.15%	#
Net investment income (loss) to average daily net assets		(0.16%	) *		2.14%			1.69%		2.78%			3.23%			3.62%
Portfolio turnover rate		89%	**		38%			39%		35%			43%			34%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.11		$	9.26		$	7.40	$	10.70		$	10.83		$	10.61
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.14			0.17		0.29			0.42			0.40
Net realized and unrealized gain (loss) on investments		0.45			0.94			1.69		(2.90	)		0.21			0.33
Total income (loss) from investment operations		0.44			1.08			1.86		(2.61	)		0.63			0.73
Less distributions to shareholders:
From net investment income		-			(0.23	)		-		(0.34	)		(0.43	)		(0.35	)
From net realized gains		-			-			-		(0.24	)		(0.33	)		(0.16	)
Tax return of capital		-			-			-		(0.11	)		-			-
Total distributions		-			(0.23	)		-		(0.69	)		(0.76	)		(0.51	)
Net asset value, end of period	$	10.55		$	10.11		$	9.26	$	7.40		$	10.70		$	10.83
Total Return ^		4.35%	**		11.95%			25.14%		(24.75%	)		5.92%			6.90%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	36,218		$	33,281		$	43,844	$	32,208		$	38,230		$	17,935
Ratio of expenses to average daily net assets:
Before expense waiver		0.14%	*		0.14%			0.14%		0.12%			0.11%			0.12%
After expense waiver		N/A			N/A			N/A		N/A			0.11%	##		0.10%	#
Net investment income (loss) to average daily net assets		(0.10%	) *		1.52%			2.07%		2.98%			3.73%			3.66%
Portfolio turnover rate		89%	**		38%			39%		35%			43%			34%

* Annualized.

** Percentage represents the results for the period and is 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.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

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

50

MassMutual RetireSMART 2010 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	10.02		$	9.18		$	7.38	$	10.64		$	10.80		$	10.60
Income (loss) from investment operations:
Net investment income (loss) ***		(0.04	)		0.12			0.10		0.20			0.43			0.32
Net realized and unrealized gain (loss) on investments		0.45			0.88			1.70		(2.85	)		0.12			0.32
Total income (loss) from investment operations		0.41			1.00			1.80		(2.65	)		0.55			0.64
Less distributions to shareholders:
From net investment income		-			(0.16	)		-		(0.28	)		(0.38	)		(0.28	)
From net realized gains		-			-			-		(0.24	)		(0.33	)		(0.16	)
Tax return of capital		-			-			-		(0.09	)		-			-
Total distributions		-			(0.16	)		-		(0.61	)		(0.71	)		(0.44	)
Net asset value, end of period	$	10.43		$	10.02		$	9.18	$	7.38		$	10.64		$	10.80
Total Return ^,^^		4.09%	**		11.03%			24.39%		(25.30%	)		5.14%			6.14%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	688		$	513		$	553	$	499		$	859		$	249
Ratio of expenses to average daily net assets:
Before expense waiver		0.84%	*		0.84%			0.84%		0.82%			0.81%			0.82%
After expense waiver		N/A			N/A			N/A		N/A			0.81%	##		0.80%	#
Net investment income (loss) to average daily net assets		(0.81%	) *		1.29%			1.29%		2.07%			3.89%			3.00%
Portfolio turnover rate		89%	**		38%			39%		35%			43%			34%

* Annualized.

** Percentage represents the results for the period and is 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.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

51

MassMutual RetireSMART 2015 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.71		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.03	)		0.31
Net realized and unrealized gain (loss) on investments		0.54			0.61
Total income (loss) from investment operations		0.51			0.92
Less distributions to shareholders:
From net investment income		-			(0.20	)
From net realized gains		-			(0.01	)
Total distributions		-			(0.21	)
Net asset value, end of period	$	11.22		$	10.71
Total Return ^,^^		4.76%	**		9.17%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	322		$	302
Ratio of expenses to average daily net assets:
Before expense waiver		4.02%	*		5.22%	*
After expense waiver		0.50%	*#		0.50%	*#
Net investment income (loss) to average daily net assets		(0.46%	) *		4.01%	*
Portfolio turnover rate		79%	**		12%	**
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.73		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.19
Net realized and unrealized gain (loss) on investments		0.53			0.75
Total income (loss) from investment operations		0.52			0.94
Less distributions to shareholders:
From net investment income		-			(0.20	)
From net realized gains		-			(0.01	)
Total distributions		-			(0.21	)
Net asset value, end of period	$	11.25		$	10.73
Total Return ^		4.85%	**		9.43%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	115		$	111
Ratio of expenses to average daily net assets:
Before expense waiver		3.77%	*		4.97%	*
After expense waiver		0.25%	*#		0.25%	*#
Net investment income (loss) to average daily net assets		(0.21%	) *		2.47%	*
Portfolio turnover rate		79%	**		12%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

+ For the period April 1, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

52

MassMutual RetireSMART 2015 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.73		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.19
Net realized and unrealized gain (loss) on investments		0.54			0.76
Total income (loss) from investment operations		0.53			0.95
Less distributions to shareholders:
From net investment income		-			(0.21	)
From net realized gains		-			(0.01	)
Total distributions		-			(0.22	)
Net asset value, end of period	$	11.26		$	10.73
Total Return ^		4.94%	**		9.52%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	259		$	143
Ratio of expenses to average daily net assets:
Before expense waiver		3.67%	*		4.87%	*
After expense waiver		0.15%	*#		0.15%	*#
Net investment income (loss) to average daily net assets		(0.11%	) *		2.53%	*
Portfolio turnover rate		79%	**		12%	**
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.73		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.00	) †		0.20
Net realized and unrealized gain (loss) on investments		0.53			0.75
Total income (loss) from investment operations		0.53			0.95
Less distributions to shareholders:
From net investment income		-			(0.21	)
From net realized gains		-			(0.01	)
Total distributions		-			(0.22	)
Net asset value, end of period	$	11.26		$	10.73
Total Return ^		4.94%	**		9.54%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	1,008		$	767
Ratio of expenses to average daily net assets:
Before expense waiver		3.62%	*		4.82%	*
After expense waiver		0.10%	*#		0.10%	*#
Net investment income (loss) to average daily net assets		(0.06%	) *		2.60%	*
Portfolio turnover rate		79%	**		12%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

+ For the period April 1, 2010 (commencement of operations) through December 31, 2010.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

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

53

MassMutual RetireSMART 2020 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.70		$	8.67		$	6.65	$	10.77		$	11.20		$	10.91
Income (loss) from investment operations:
Net investment income (loss) ***		(0.02	)		0.11			0.07		0.17			0.19			0.26
Net realized and unrealized gain (loss) on investments		0.49			1.05			1.95		(3.60	)		0.37			0.57
Total income (loss) from investment operations		0.47			1.16			2.02		(3.43	)		0.56			0.83
Less distributions to shareholders:
From net investment income		-			(0.13	)		-		(0.21	)		(0.31	)		(0.25	)
From net realized gains		-			-			-		(0.36	)		(0.68	)		(0.29	)
Tax return of capital		-			-			-		(0.12	)		-			-
Total distributions		-			(0.13	)		-		(0.69	)		(0.99	)		(0.54	)
Net asset value, end of period	$	10.17		$	9.70		$	8.67	$	6.65		$	10.77		$	11.20
Total Return ^,^^		4.85%	**		13.61%			30.38%		(32.66%	)		5.14%			7.72%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	96,722		$	94,230		$	94,170	$	88,113		$	173,715		$	144,228
Ratio of expenses to average daily net assets		0.51%	*		0.51%			0.51%		0.50%			0.50%			0.50%
Net investment income (loss) to average daily net assets		(0.47%	) *		1.25%			0.96%		1.80%			1.63%			2.32%
Portfolio turnover rate		64%	**		32%			30%		32%			49%			32%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.78		$	8.74		$	6.68	$	10.83		$	11.25		$	10.96
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.13			0.08		0.19			0.20			0.25
Net realized and unrealized gain (loss) on investments		0.50			1.06			1.98		(3.62	)		0.40			0.60
Total income (loss) from investment operations		0.49			1.19			2.06		(3.43	)		0.60			0.85
Less distributions to shareholders:
From net investment income		-			(0.15	)		-		(0.24	)		(0.34	)		(0.27	)
From net realized gains		-			-			-		(0.36	)		(0.68	)		(0.29	)
Tax return of capital		-			-			-		(0.12	)		-			-
Total distributions		-			(0.15	)		-		(0.72	)		(1.02	)		(0.56	)
Net asset value, end of period	$	10.27		$	9.78		$	8.74	$	6.68		$	10.83		$	11.25
Total Return ^		5.01%	**		13.86%			30.84%		(32.52%	)		5.43%			7.87%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	101,937		$	109,419		$	114,640	$	137,142		$	266,837		$	273,584
Ratio of expenses to average daily net assets		0.26%	*		0.26%			0.26%		0.25%			0.25%			0.24%
Net investment income (loss) to average daily net assets		(0.22%	) *		1.46%			1.09%		2.00%			1.71%			2.19%
Portfolio turnover rate		64%	**		32%			30%		32%			49%			32%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

54

MassMutual RetireSMART 2020 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.77		$	8.73		$	6.67	$	10.82		$	11.25		$	10.95
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.15			0.09		0.21			0.23			0.30
Net realized and unrealized gain (loss) on investments		0.50			1.05			1.97		(3.63	)		0.37			0.58
Total income (loss) from investment operations		0.49			1.20			2.06		(3.42	)		0.60			0.88
Less distributions to shareholders:
From net investment income		-			(0.16	)		-		(0.24	)		(0.35	)		(0.29	)
From net realized gains		-			-			-		(0.36	)		(0.68	)		(0.29	)
Tax return of capital		-			-			-		(0.13	)		-			-
Total distributions		-			(0.16	)		-		(0.73	)		(1.03	)		(0.58	)
Net asset value, end of period	$	10.26		$	9.77		$	8.73	$	6.67		$	10.82		$	11.25
Total Return ^		5.02%	**		14.01%			30.88%		(32.43%	)		5.45%			8.08%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	69,966		$	67,560		$	63,845	$	77,838		$	135,650		$	105,565
Ratio of expenses to average daily net assets		0.16%	*		0.16%			0.16%		0.15%			0.15%			0.15%
Net investment income (loss) to average daily net assets		(0.12%	) *		1.72%			1.18%		2.27%			2.01%			2.66%
Portfolio turnover rate		64%	**		32%			30%		32%			49%			32%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.79		$	8.74		$	6.68	$	10.84		$	11.26		$	10.96
Income (loss) from investment operations:
Net investment income (loss) ***		(0.00	) †		0.14			0.11		0.21			0.25			0.30
Net realized and unrealized gain (loss) on investments		0.49			1.07			1.95		(3.64	)		0.36			0.58
Total income (loss) from investment operations		0.49			1.21			2.06		(3.43	)		0.61			0.88
Less distributions to shareholders:
From net investment income		-			(0.16	)		-		(0.24	)		(0.35	)		(0.29	)
From net realized gains		-			-			-		(0.36	)		(0.68	)		(0.29	)
Tax return of capital		-			-			-		(0.13	)		-			-
Total distributions		-			(0.16	)		-		(0.73	)		(1.03	)		(0.58	)
Net asset value, end of period	$	10.28		$	9.79		$	8.74	$	6.68		$	10.84		$	11.26
Total Return ^		5.01%	**		14.18%			30.84%		(32.42%	)		5.59%			8.12%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	120,418		$	104,532		$	100,371	$	65,951		$	95,204		$	66,802
Ratio of expenses to average daily net assets		0.10%	*		0.11%			0.11%		0.10%			0.10%			0.10%
Net investment income (loss) to average daily net assets		(0.06%	) *		1.56%			1.49%		2.28%			2.20%			2.69%
Portfolio turnover rate		64%	**		32%			30%		32%			49%			32%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

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

55

MassMutual RetireSMART 2020 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.67		$	8.64		$	6.65	$	10.78		$	11.22		$	10.94
Income (loss) from investment operations:
Net investment income (loss) ***		(0.04	)		0.08			0.04		0.19			0.19			0.21
Net realized and unrealized gain (loss) on investments		0.49			1.05			1.95		(3.64	)		0.34			0.58
Total income (loss) from investment operations		0.45			1.13			1.99		(3.45	)		0.53			0.79
Less distributions to shareholders:
From net investment income		-			(0.10	)		-		(0.21	)		(0.29	)		(0.22	)
From net realized gains		-			-			-		(0.36	)		(0.68	)		(0.29	)
Tax return of capital		-			-			-		(0.11	)		-			-
Total distributions		-			(0.10	)		-		(0.68	)		(0.97	)		(0.51	)
Net asset value, end of period	$	10.12		$	9.67		$	8.64	$	6.65		$	10.78		$	11.22
Total Return ^,^^		4.65%	**		13.31%			29.92%		(32.85%	)		4.86%			7.31%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	652		$	586		$	554	$	426		$	510		$	309
Ratio of expenses to average daily net assets		0.81%	*		0.81%			0.82%		0.80%			0.80%			0.80%
Net investment income (loss) to average daily net assets		(0.77%	) *		0.94%			0.57%		2.11%			1.69%			1.93%
Portfolio turnover rate		64%	**		32%			30%		32%			49%			32%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

56

MassMutual RetireSMART 2025 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.84		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.03	)		0.24
Net realized and unrealized gain (loss) on investments		0.57			0.76
Total income (loss) from investment operations		0.54			1.00
Less distributions to shareholders:
From net investment income		-			(0.16	)
Total distributions		-			(0.16	)
Net asset value, end of period	$	11.38		$	10.84
Total Return ^,^^		4.98%	**		9.98%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	482		$	249
Ratio of expenses to average daily net assets:
Before expense waiver		4.65%	*		5.44%	*
After expense waiver		0.50%	*#		0.50%	*#
Net investment income (loss) to average daily net assets		(0.45%	) *		3.10%	*
Portfolio turnover rate		64%	**		11%	**
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.85		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.15
Net realized and unrealized gain (loss) on investments		0.57			0.86
Total income (loss) from investment operations		0.56			1.01
Less distributions to shareholders:
From net investment income		-			(0.16	)
Total distributions		-			(0.16	)
Net asset value, end of period	$	11.41		$	10.85
Total Return ^		5.16%	**		10.13%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	121		$	110
Ratio of expenses to average daily net assets:
Before expense waiver		4.40%	*		5.19%	*
After expense waiver		0.25%	*#		0.25%	*#
Net investment income (loss) to average daily net assets		(0.21%	) *		1.98%	*
Portfolio turnover rate		64%	**		11%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

+ For the period April 1, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

57

MassMutual RetireSMART 2025 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.85		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.16
Net realized and unrealized gain (loss) on investments		0.58			0.86
Total income (loss) from investment operations		0.57			1.02
Less distributions to shareholders:
From net investment income		-			(0.17	)
Total distributions		-			(0.17	)
Net asset value, end of period	$	11.42		$	10.85
Total Return ^		5.25%	**		10.21%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	120		$	110
Ratio of expenses to average daily net assets:
Before expense waiver		4.30%	*		5.09%	*
After expense waiver		0.15%	*#		0.15%	*#
Net investment income (loss) to average daily net assets		(0.11%	) *		2.09%	*
Portfolio turnover rate		64%	**		11%	**
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.85		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.00	) †		0.16
Net realized and unrealized gain (loss) on investments		0.57			0.86
Total income (loss) from investment operations		0.57			1.02
Less distributions to shareholders:
From net investment income		-			(0.17	)
Total distributions		-			(0.17	)
Net asset value, end of period	$	11.42		$	10.85
Total Return ^		5.25%	**		10.25%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	813		$	772
Ratio of expenses to average daily net assets:
Before expense waiver		4.25%	*		5.04%	*
After expense waiver		0.10%	*#		0.10%	*#
Net investment income (loss) to average daily net assets		(0.06%	) *		2.13%	*
Portfolio turnover rate		64%	**		11%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period April 1, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

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

58

MassMutual RetireSMART 2030 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.72		$	8.58		$	6.46	$	11.49		$	12.05		$	11.50
Income (loss) from investment operations:
Net investment income (loss) ***		(0.02	)		0.08			0.04		0.12			0.12			0.15
Net realized and unrealized gain (loss) on investments		0.51			1.16			2.08		(4.35	)		0.57			0.95
Total income (loss) from investment operations		0.49			1.24			2.12		(4.23	)		0.69			1.10
Less distributions to shareholders:
From net investment income		-			(0.10	)		-		(0.15	)		(0.26	)		(0.18	)
From net realized gains		-			-			-		(0.53	)		(0.99	)		(0.37	)
Tax return of capital		-			-			-		(0.12	)		-			-
Total distributions		-			(0.10	)		-		(0.80	)		(1.25	)		(0.55	)
Net asset value, end of period	$	10.21		$	9.72		$	8.58	$	6.46		$	11.49		$	12.05
Total Return ^,^^		5.04%	**		14.62%			32.82%		(38.13%	)		5.76%			9.70%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	74,934		$	73,970		$	71,661	$	71,231		$	142,956		$	112,499
Ratio of expenses to average daily net assets:
Before expense waiver		0.51%	*		0.51%			0.52%		0.50%			0.50%			0.50%
After expense waiver		N/A			N/A			N/A		N/A			0.50%	##		N/A
Net investment income (loss) to average daily net assets		(0.47%	) *		0.95%			0.50%		1.22%			0.96%			1.31%
Portfolio turnover rate		59%	**		29%			34%		31%			52%			34%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.81		$	8.66		$	6.50	$	11.56		$	12.11		$	11.55
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.10			0.05		0.14			0.13			0.15
Net realized and unrealized gain (loss) on investments		0.51			1.17			2.11		(4.37	)		0.59			0.98
Total income (loss) from investment operations		0.50			1.27			2.16		(4.23	)		0.72			1.13
Less distributions to shareholders:
From net investment income		-			(0.12	)		-		(0.17	)		(0.28	)		(0.20	)
From net realized gains		-			-			-		(0.53	)		(0.99	)		(0.37	)
Tax return of capital		-			-			-		(0.13	)		-			-
Total distributions		-			(0.12	)		-		(0.83	)		(1.27	)		(0.57	)
Net asset value, end of period	$	10.31		$	9.81		$	8.66	$	6.50		$	11.56		$	12.11
Total Return ^		5.10%	**		14.86%			33.23%		(37.94%	)		6.01%			9.93%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	83,355		$	83,008		$	91,974	$	107,171		$	217,725		$	211,382
Ratio of expenses to average daily net assets:
Before expense waiver		0.26%	*		0.26%			0.27%		0.26%			0.25%			0.25%
After expense waiver		N/A			N/A			N/A		N/A			0.25%	##		N/A
Net investment income (loss) to average daily net assets		(0.22%	) *		1.14%			0.69%		1.44%			1.07%			1.28%
Portfolio turnover rate		59%	**		29%			34%		31%			52%			34%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

59

MassMutual RetireSMART 2030 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.80		$	8.65		$	6.48	$	11.55		$	12.10		$	11.54
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.12			0.06		0.16			0.16			0.22
Net realized and unrealized gain (loss) on investments		0.52			1.16			2.11		(4.39	)		0.57			0.93
Total income (loss) from investment operations		0.51			1.28			2.17		(4.23	)		0.73			1.15
Less distributions to shareholders:
From net investment income		-			(0.13	)		-		(0.17	)		(0.29	)		(0.22	)
From net realized gains		-			-			-		(0.53	)		(0.99	)		(0.37	)
Tax return of capital		-			-			-		(0.14	)		-			-
Total distributions		-			(0.13	)		-		(0.84	)		(1.28	)		(0.59	)
Net asset value, end of period	$	10.31		$	9.80		$	8.65	$	6.48		$	11.55		$	12.10
Total Return ^		5.20%	**		15.03%			33.49%		(37.97%	)		6.13%			10.05%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	62,319		$	56,940		$	54,828	$	54,289		$	89,727		$	68,388
Ratio of expenses to average daily net assets:
Before expense waiver		0.16%	*		0.16%			0.17%		0.16%			0.15%			0.15%
After expense waiver		N/A			N/A			N/A		N/A			0.15%	##		N/A
Net investment income (loss) to average daily net assets		(0.12%	) *		1.40%			0.84%		1.72%			1.27%			1.82%
Portfolio turnover rate		59%	**		29%			34%		31%			52%			34%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.81		$	8.67		$	6.49	$	11.57		$	12.11		$	11.55
Income (loss) from investment operations:
Net investment income (loss) ***		(0.00	) †		0.12			0.08		0.16			0.18			0.20
Net realized and unrealized gain (loss) on investments		0.52			1.15			2.10		(4.40	)		0.57			0.95
Total income (loss) from investment operations		0.52			1.27			2.18		(4.24	)		0.75			1.15
Less distributions to shareholders:
From net investment income		-			(0.13	)		-		(0.17	)		(0.30	)		(0.22	)
From net realized gains		-			-			-		(0.53	)		(0.99	)		(0.37	)
Tax return of capital		-			-			-		(0.14	)		-			-
Total distributions		-			(0.13	)		-		(0.84	)		(1.29	)		(0.59	)
Net asset value, end of period	$	10.33		$	9.81		$	8.67	$	6.49		$	11.57		$	12.11
Total Return ^		5.30%	**		14.95%			33.59%		(37.94%	)		6.18%			10.17%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	96,567		$	86,541		$	75,977	$	41,482		$	68,224		$	42,835
Ratio of expenses to average daily net assets:
Before expense waiver		0.11%	*		0.11%			0.12%		0.11%			0.10%			0.10%
After expense waiver		N/A			N/A			N/A		N/A			0.10%	##		N/A
Net investment income (loss) to average daily net assets		(0.06%	) *		1.34%			1.09%		1.62%			1.46%			1.66%
Portfolio turnover rate		59%	**		29%			34%		31%			52%			34%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

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

60

MassMutual RetireSMART 2030 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.71		$	8.58		$	6.47	$	11.51		$	12.07		$	11.52
Income (loss) from investment operations:
Net investment income (loss) ***		(0.04	)		0.06			0.02		0.11			0.09			0.09
Net realized and unrealized gain (loss) on investments		0.52			1.14			2.09		(4.37	)		0.57			0.98
Total income (loss) from investment operations		0.48			1.20			2.11		(4.26	)		0.66			1.07
Less distributions to shareholders:
From net investment income		-			(0.07	)		-		(0.14	)		(0.23	)		(0.15	)
From net realized gains		-			-			-		(0.53	)		(0.99	)		(0.37	)
Tax return of capital		-			-			-		(0.11	)		-			-
Total distributions		-			(0.07	)		-		(0.78	)		(1.22	)		(0.52	)
Net asset value, end of period	$	10.19		$	9.71		$	8.58	$	6.47		$	11.51		$	12.07
Total Return ^,^^		4.94%	**		14.18%			32.61%		(38.35%	)		5.51%			9.39%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	312		$	383		$	387	$	189		$	324		$	209
Ratio of expenses to average daily net assets:
Before expense waiver		0.81%	*		0.81%			0.82%		0.81%			0.80%			0.80%
After expense waiver		N/A			N/A			N/A		N/A			0.80%	##		N/A
Net investment income (loss) to average daily net assets		(0.77%	) *		0.65%			0.26%		1.14%			0.74%			0.78%
Portfolio turnover rate		59%	**		29%			34%		31%			52%			34%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

61

MassMutual RetireSMART 2035 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.88		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.02	)		0.13
Net realized and unrealized gain (loss) on investments		0.58			0.88
Total income (loss) from investment operations		0.56			1.01
Less distributions to shareholders:
From net investment income		-			(0.13	)
Total distributions		-			(0.13	)
Net asset value, end of period	$	11.44		$	10.88
Total Return ^,^^		5.15%	**		10.10%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	456		$	146
Ratio of expenses to average daily net assets:
Before expense waiver		4.56%	*		5.51%	*
After expense waiver		0.50%	*#		0.50%	*#
Net investment income (loss) to average daily net assets		(0.44%	) *		1.78%	*
Portfolio turnover rate		61%	**		10%	**
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.89		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.13
Net realized and unrealized gain (loss) on investments		0.58			0.90
Total income (loss) from investment operations		0.57			1.03
Less distributions to shareholders:
From net investment income		-			(0.14	)
Total distributions		-			(0.14	)
Net asset value, end of period	$	11.46		$	10.89
Total Return ^		5.23%	**		10.35%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	148		$	112
Ratio of expenses to average daily net assets:
Before expense waiver		4.31%	*		5.26%	*
After expense waiver		0.25%	*#		0.25%	*#
Net investment income (loss) to average daily net assets		(0.20%	) *		1.78%	*
Portfolio turnover rate		61%	**		10%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

+ For the period April 1, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

62

MassMutual RetireSMART 2035 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.89		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.14
Net realized and unrealized gain (loss) on investments		0.59			0.90
Total income (loss) from investment operations		0.58			1.04
Less distributions to shareholders:
From net investment income		-			(0.15	)
Total distributions		-			(0.15	)
Net asset value, end of period	$	11.47		$	10.89
Total Return ^		5.33%	**		10.42%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	166		$	111
Ratio of expenses to average daily net assets:
Before expense waiver		4.21%	*		5.16%	*
After expense waiver		0.15%	*#		0.15%	*#
Net investment income (loss) to average daily net assets		(0.10%	) *		1.87%	*
Portfolio turnover rate		61%	**		10%	**
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.89		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.00	) †		0.14
Net realized and unrealized gain (loss) on investments		0.58			0.91
Total income (loss) from investment operations		0.58			1.05
Less distributions to shareholders:
From net investment income		-			(0.16	)
Total distributions		-			(0.16	)
Net asset value, end of period	$	11.47		$	10.89
Total Return ^		5.33%	**		10.46%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	825		$	773
Ratio of expenses to average daily net assets:
Before expense waiver		4.15%	*		5.11%	*
After expense waiver		0.10%	*#		0.10%	*#
Net investment income (loss) to average daily net assets		(0.06%	) *		1.92%	*
Portfolio turnover rate		61%	**		10%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period April 1, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

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

63

MassMutual RetireSMART 2040 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.75		$	8.57		$	6.41	$	11.76		$	12.39		$	11.77
Income (loss) from investment operations:
Net investment income (loss) ***		(0.02	)		0.07			0.02		0.11			0.11			0.07
Net realized and unrealized gain (loss) on investments		0.51			1.19			2.14		(4.62	)		0.64			1.24
Total income (loss) from investment operations		0.49			1.26			2.16		(4.51	)		0.75			1.31
Less distributions to shareholders:
From net investment income		-			(0.08	)		-		(0.14	)		(0.26	)		(0.13	)
From net realized gains		-			-			-		(0.56	)		(1.12	)		(0.56	)
Tax return of capital		-			-			-		(0.14	)		-			-
Total distributions		-			(0.08	)		-		(0.84	)		(1.38	)		(0.69	)
Net asset value, end of period	$	10.24		$	9.75		$	8.57	$	6.41		$	11.76		$	12.39
Total Return ^,^^		5.03%	**		14.86%			33.70%		(39.80%	)		6.16%			11.26%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	44,276		$	44,328		$	40,898	$	35,855		$	65,604		$	46,934
Ratio of expenses to average daily net assets:
Before expense waiver		0.51%	*		0.51%			0.52%		0.51%			0.50%			0.50%
After expense waiver		N/A			N/A			N/A		N/A			0.50%	##		N/A
Net investment income (loss) to average daily net assets		(0.47%	) *		0.80%			0.35%		1.15%			0.88%			0.59%
Portfolio turnover rate		59%	**		32%			34%		38%			50%			42%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.84		$	8.64		$	6.45	$	11.84		$	12.45		$	11.81
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.09			0.03		0.13			0.13			0.08
Net realized and unrealized gain (loss) on investments		0.52			1.20			2.16		(4.66	)		0.67			1.27
Total income (loss) from investment operations		0.51			1.29			2.19		(4.53	)		0.80			1.35
Less distributions to shareholders:
From net investment income		-			(0.09	)		-		(0.15	)		(0.29	)		(0.15	)
From net realized gains		-			-			-		(0.56	)		(1.12	)		(0.56	)
Tax return of capital		-			-			-		(0.15	)		-			-
Total distributions		-			(0.09	)		-		(0.86	)		(1.41	)		(0.71	)
Net asset value, end of period	$	10.35		$	9.84		$	8.64	$	6.45		$	11.84		$	12.45
Total Return ^		5.18%	**		15.18%			33.95%		(39.68%	)		6.49%			11.58%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	51,050		$	52,011		$	56,485	$	67,643		$	142,858		$	134,968
Ratio of expenses to average daily net assets:
Before expense waiver		0.26%	*		0.26%			0.27%		0.26%			0.25%			0.25%
After expense waiver		N/A			N/A			N/A		N/A			0.25%	##		N/A
Net investment income (loss) to average daily net assets		(0.22%	) *		0.98%			0.50%		1.28%			0.97%			0.68%
Portfolio turnover rate		59%	**		32%			34%		38%			50%			42%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

64

MassMutual RetireSMART 2040 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.84		$	8.64		$	6.45	$	11.83		$	12.44		$	11.81
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.11			0.04		0.15			0.16			0.12
Net realized and unrealized gain (loss) on investments		0.52			1.19			2.15		(4.66	)		0.65			1.23
Total income (loss) from investment operations		0.51			1.30			2.19		(4.51	)		0.81			1.35
Less distributions to shareholders:
From net investment income		-			(0.10	)		-		(0.15	)		(0.30	)		(0.16	)
From net realized gains		-			-			-		(0.56	)		(1.12	)		(0.56	)
Tax return of capital		-			-			-		(0.16	)		-			-
Total distributions		-			(0.10	)		-		(0.87	)		(1.42	)		(0.72	)
Net asset value, end of period	$	10.35		$	9.84		$	8.64	$	6.45		$	11.83		$	12.44
Total Return ^		5.18%	**		15.33%			33.95%		(39.52%	)		6.60%			11.60%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	28,976		$	25,886		$	24,096	$	30,695		$	47,208		$	31,379
Ratio of expenses to average daily net assets:
Before expense waiver		0.16%	*		0.16%			0.17%		0.16%			0.15%			0.15%
After expense waiver		N/A			N/A			N/A		N/A			0.15%	##		N/A
Net investment income (loss) to average daily net assets		(0.12%	) *		1.23%			0.56%		1.59%			1.27%			0.96%
Portfolio turnover rate		59%	**		32%			34%		38%			50%			42%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.85		$	8.65		$	6.45	$	11.84		$	12.45		$	11.82
Income (loss) from investment operations:
Net investment income (loss) ***		(0.00	) †		0.11			0.07		0.15			0.17			0.08
Net realized and unrealized gain (loss) on investments		0.52			1.20			2.13		(4.67	)		0.64			1.28
Total income (loss) from investment operations		0.52			1.31			2.20		(4.52	)		0.81			1.36
Less distributions to shareholders:
From net investment income		-			(0.11	)		-		(0.15	)		(0.30	)		(0.17	)
From net realized gains		-			-			-		(0.56	)		(1.12	)		(0.56	)
Tax return of capital		-			-			-		(0.16	)		-			-
Total distributions		-			(0.11	)		-		(0.87	)		(1.42	)		(0.73	)
Net asset value, end of period	$	10.37		$	9.85		$	8.65	$	6.45		$	11.84		$	12.45
Total Return ^		5.28%	**		15.40%			34.11%		(39.54%	)		6.63%			11.63%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	69,577		$	61,781		$	50,292	$	27,000		$	44,098		$	27,944
Ratio of expenses to average daily net assets:
Before expense waiver		0.11%	*		0.11%			0.12%		0.11%			0.10%			0.10%
After expense waiver		N/A			N/A			N/A		N/A			0.10%	##		N/A
Net investment income (loss) to average daily net assets		(0.06%	) *		1.25%			0.93%		1.55%			1.31%			0.67%
Portfolio turnover rate		59%	**		32%			34%		38%			50%			42%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

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

65

MassMutual RetireSMART 2040 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09		Year Ended 12/31/08			Year Ended 12/31/07			Year Ended 12/31/06
Net asset value, beginning of period	$	9.74		$	8.57		$	6.44	$	11.79		$	12.41		$	11.79
Income (loss) from investment operations:
Net investment income (loss) ***		(0.04	)		0.05			0.02		0.09			0.06			0.02
Net realized and unrealized gain (loss) on investments		0.52			1.18			2.11		(4.63	)		0.66			1.25
Total income (loss) from investment operations		0.48			1.23			2.13		(4.54	)		0.72			1.27
Less distributions to shareholders:
From net investment income		-			(0.06	)		-		(0.12	)		(0.22	)		(0.09	)
From net realized gains		-			-			-		(0.56	)		(1.12	)		(0.56	)
Tax return of capital		-			-			-		(0.13	)		-			-
Total distributions		-			(0.06	)		-		(0.81	)		(1.34	)		(0.65	)
Net asset value, end of period	$	10.22		$	9.74		$	8.57	$	6.44		$	11.79		$	12.41
Total Return ^,^^		4.93%	**		14.52%			33.07%		(39.91%	)		5.90%			10.91%
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	286		$	286		$	257	$	132		$	226		$	189
Ratio of expenses to average daily net assets:
Before expense waiver		0.81%	*		0.81%			0.82%		0.81%			0.80%			0.80%
After expense waiver		N/A			N/A			N/A		N/A			0.80%	##		N/A
Net investment income (loss) to average daily net assets		(0.77%	) *		0.55%			0.28%		0.97%			0.49%			0.18%
Portfolio turnover rate		59%	**		32%			34%		38%			50%			42%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

66

MassMutual RetireSMART 2045 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.95		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.03	)		0.11
Net realized and unrealized gain (loss) on investments		0.60			0.95
Total income (loss) from investment operations		0.57			1.06
Less distributions to shareholders:
From net investment income		-			(0.11	)
Total distributions		-			(0.11	)
Net asset value, end of period	$	11.52		$	10.95
Total Return ^,^^		5.21%	**		10.58%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	200		$	139
Ratio of expenses to average daily net assets:
Before expense waiver		5.21%	*		5.55%	*
After expense waiver		0.50%	*#		0.50%	*#
Net investment income (loss) to average daily net assets		(0.45%	) *		1.51%	*
Portfolio turnover rate		52%	**		8%	**
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.96		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.12
Net realized and unrealized gain (loss) on investments		0.59			0.96
Total income (loss) from investment operations		0.58			1.08
Less distributions to shareholders:
From net investment income		-			(0.12	)
Total distributions		-			(0.12	)
Net asset value, end of period	$	11.54		$	10.96
Total Return ^		5.29%	**		10.82%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	124		$	111
Ratio of expenses to average daily net assets:
Before expense waiver		4.97%	*		5.30%	*
After expense waiver		0.25%	*#		0.25%	*#
Net investment income (loss) to average daily net assets		(0.21%	) *		1.54%	*
Portfolio turnover rate		52%	**		8%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

+ For the period April 1, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

67

MassMutual RetireSMART 2045 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.96		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.12
Net realized and unrealized gain (loss) on investments		0.60			0.97
Total income (loss) from investment operations		0.59			1.09
Less distributions to shareholders:
From net investment income		-			(0.13	)
Total distributions		-			(0.13	)
Net asset value, end of period	$	11.55		$	10.96
Total Return ^		5.38%	**		10.90%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	126		$	111
Ratio of expenses to average daily net assets:
Before expense waiver		4.87%	*		5.20%	*
After expense waiver		0.15%	*#		0.15%	*#
Net investment income (loss) to average daily net assets		(0.11%	) *		1.64%	*
Portfolio turnover rate		52%	**		8%	**
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Period Ended 12/31/10 +
Net asset value, beginning of period	$	10.96		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.00	) †		0.13
Net realized and unrealized gain (loss) on investments		0.59			0.96
Total income (loss) from investment operations		0.59			1.09
Less distributions to shareholders:
From net investment income		-			(0.13	)
Total distributions		-			(0.13	)
Net asset value, end of period	$	11.55		$	10.96
Total Return ^		5.38%	**		10.94%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	821		$	777
Ratio of expenses to average daily net assets:
Before expense waiver		4.82%	*		5.15%	*
After expense waiver		0.10%	*#		0.10%	*#
Net investment income (loss) to average daily net assets		(0.06%	) *		1.69%	*
Portfolio turnover rate		52%	**		8%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

+ For the period April 1, 2010 (commencement of operations) through December 31, 2010.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

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

68

MassMutual RetireSMART 2050 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class A
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Period Ended 12/31/07 +
Net asset value, beginning of period	$	8.65		$	7.69		$	5.77		$	10.04		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.02	)		0.08			0.03			0.27			0.05
Net realized and unrealized gain (loss) on investments		0.47			1.09			1.95			(4.23	)		(0.01	)
Total income (loss) from investment operations		0.45			1.17			1.98			(3.96	)		0.04
Less distributions to shareholders:
From net investment income		-			(0.07	)		(0.06	)		(0.18	)		-
From net realized gains		-			(0.14	)		-			-			-
Tax return of capital		-			-			-			(0.13	)		-
Total distributions		-			(0.21	)		(0.06	)		(0.31	)		-
Net asset value, end of period	$	9.10		$	8.65		$	7.69		$	5.77		$	10.04
Total Return ^,^^		5.20%	**		15.27%			34.39%			(39.53%	)		0.40%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	4,298		$	2,879		$	1,507		$	614		$	100
Ratio of expenses to average daily net assets:
Before expense waiver		0.68%	*		0.70%			0.97%			1.03%			13.00%	*
After expense waiver		0.50%	*#		0.50%	#		0.50%	#		0.50%	#		0.50%	*#
Net investment income (loss) to average daily net assets		(0.46%	) *		1.04%			0.44%			3.55%			11.71%	*
Portfolio turnover rate		66%	**		41%			51%			35%			0%
	Class L
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Period Ended 12/31/07 +
Net asset value, beginning of period	$	8.66		$	7.69		$	5.78		$	10.04		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.01	)		0.10			0.05			0.20			0.05
Net realized and unrealized gain (loss) on investments		0.47			1.10			1.94			(4.15	)		(0.01	)
Total income (loss) from investment operations		0.46			1.20			1.99			(3.95	)		0.04
Less distributions to shareholders:
From net investment income		-			(0.09	)		(0.08	)		(0.18	)		-
From net realized gains		-			(0.14	)		-			-			-
Tax return of capital		-			-			-			(0.13	)		-
Total distributions		-			(0.23	)		(0.08	)		(0.31	)		-
Net asset value, end of period	$	9.12		$	8.66		$	7.69		$	5.78		$	10.04
Total Return ^		5.31%	**		15.60%			34.44%			(39.36%	)		0.40%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	2,208		$	1,857		$	1,290		$	419		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		0.43%	*		0.45%			0.72%			0.79%			12.75%	*
After expense waiver		0.25%	*#		0.25%	#		0.25%	#		0.25%	#		0.25%	*#
Net investment income (loss) to average daily net assets		(0.21%	) *		1.24%			0.77%			2.49%			11.96%	*
Portfolio turnover rate		66%	**		41%			51%			35%			0%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

+ For the period December 17, 2007 (commencement of operations) through December 31, 2007.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

69

MassMutual RetireSMART 2050 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class Y
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Period Ended 12/31/07 +
Net asset value, beginning of period	$	8.67		$	7.69		$	5.78		$	10.04		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.00	) †		0.11			0.05			0.27			0.05
Net realized and unrealized gain (loss) on investments		0.45			1.11			1.95			(4.21	)		(0.01	)
Total income (loss) from investment operations		0.45			1.22			2.00			(3.94	)		0.04
Less distributions to shareholders:
From net investment income		-			(0.10	)		(0.09	)		(0.19	)		-
From net realized gains		-			(0.14	)		-			-			-
Tax return of capital		-			-			-			(0.13	)		-
Total distributions		-			(0.24	)		(0.09	)		(0.32	)		-
Net asset value, end of period	$	9.12		$	8.67		$	7.69		$	5.78		$	10.04
Total Return ^		5.31%	**		15.82%			34.53%			(39.31%	)		0.40%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	6,024		$	4,816		$	3,035		$	1,477		$	101
Ratio of expenses to average daily net assets:
Before expense waiver		0.33%	*		0.35%			0.62%			0.67%			12.65%	*
After expense waiver		0.15%	*#		0.15%	#		0.15%	#		0.15%	#		0.15%	*#
Net investment income (loss) to average daily net assets		(0.11%	) *		1.35%			0.83%			3.61%			12.08%	*
Portfolio turnover rate		66%	**		41%			51%			35%			0%
	Class S
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Period Ended 12/31/07 +
Net asset value, beginning of period	$	8.67		$	7.69		$	5.78		$	10.04		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.00	) †		0.10			0.05			0.16			0.05
Net realized and unrealized gain (loss) on investments		0.46			1.12			1.95			(4.10	)		(0.01	)
Total income (loss) from investment operations		0.46			1.22			2.00			(3.94	)		0.04
Less distributions to shareholders:
From net investment income		-			(0.10	)		(0.09	)		(0.18	)		-
From net realized gains		-			(0.14	)		-			-			-
Tax return of capital		-			-			-			(0.14	)		-
Total distributions		-			(0.24	)		(0.09	)		(0.32	)		-
Net asset value, end of period	$	9.13		$	8.67		$	7.69		$	5.78		$	10.04
Total Return ^		5.31%	**		15.86%			34.58%			(39.30%	)		0.40%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	18,359		$	14,974		$	11,442		$	7,008		$	9,640
Ratio of expenses to average daily net assets:
Before expense waiver		0.28%	*		0.30%			0.57%			0.59%			12.61%	*
After expense waiver		0.10%	*#		0.10%	#		0.10%	#		0.10%	#		0.10%	*#
Net investment income (loss) to average daily net assets		(0.06%	) *		1.25%			0.84%			1.89%			12.12%	*
Portfolio turnover rate		66%	**		41%			51%			35%			0%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period December 17, 2007 (commencement of operations) through December 31, 2007.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

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

70

MassMutual RetireSMART 2050 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Class N
	Six Months Ended 06/30/11 (Unaudited)			Year Ended 12/31/10			Year Ended 12/31/09			Year Ended 12/31/08			Period Ended 12/31/07 +
Net asset value, beginning of period	$	8.68		$	7.71		$	5.80		$	10.04		$	10.00
Income (loss) from investment operations:
Net investment income (loss) ***		(0.03	)		0.04			0.01			0.09			0.05
Net realized and unrealized gain (loss) on investments		0.46			1.11			1.94			(4.07	)		(0.01	)
Total income (loss) from investment operations		0.43			1.15			1.95			(3.98	)		0.04
Less distributions to shareholders:
From net investment income		-			(0.04	)		(0.04	)		(0.15	)		-
From net realized gains		-			(0.14	)		-			-			-
Tax return of capital		-			-			-			(0.11	)		-
Total distributions		-			(0.18	)		(0.04	)		(0.26	)		-
Net asset value, end of period	$	9.11		$	8.68		$	7.71		$	5.80		$	10.04
Total Return ^,^^		4.95%	**		14.97%			33.68%			(39.70%	)		0.40%	**
Ratios / Supplemental Data:
Net assets, end of period (000’s)	$	98		$	93		$	81		$	61		$	100
Ratio of expenses to average daily net assets:
Before expense waiver		0.98%	*		1.00%			1.27%			1.29%			13.30%	*
After expense waiver		0.80%	*#		0.80%	#		0.80%	#		0.80%	#		0.80%	*#
Net investment income (loss) to average daily net assets		(0.76%	) *		0.50%			0.10%			1.04%			11.42%	*
Portfolio turnover rate		66%	**		41%			51%			35%			0%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

+ For the period December 17, 2007 (commencement of operations) through December 31, 2007.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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

71

Notes to Financial Statements (Unaudited)

1. The Fund

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended. The following are fourteen series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”): MassMutual RetireSMART^SM Conservative Fund (“RetireSMART Conservative Fund”), MassMutual RetireSMART^SM Moderate Fund (“RetireSMART Moderate Fund”), MassMutual RetireSMART^SM Moderate Growth Fund (“RetireSMART Moderate Growth Fund”), MassMutual RetireSMART^SM Growth Fund (“RetireSMART Growth Fund”), MassMutual RetireSMART^SM In Retirement Fund (formerly known as MassMutual Select Destination Retirement Income Fund) (“RetireSMART In Retirement Fund”), MassMutual RetireSMART^SM 2010 Fund (formerly known as MassMutual Select Destination Retirement 2010 Fund) (“RetireSMART 2010 Fund”), MassMutual RetireSMART^SM 2015 Fund (formerly known as MassMutual Select Destination Retirement 2015 Fund) (“RetireSMART 2015 Fund”), MassMutual RetireSMART^SM 2020 Fund (formerly known as MassMutual Select Destination Retirement 2020 Fund) (“RetireSMART 2020 Fund”), MassMutual RetireSMART^SM 2025 Fund (formerly known as MassMutual Select Destination Retirement 2025 Fund) (“RetireSMART 2025 Fund”), MassMutual RetireSMART^SM 2030 Fund (formerly known as MassMutual Select Destination Retirement 2030 Fund) (“RetireSMART 2030 Fund”), MassMutual RetireSMART^SM 2035 Fund (formerly known as MassMutual Select Destination Retirement 2035 Fund) (“RetireSMART 2035 Fund”), MassMutual RetireSMART^SM 2040 Fund (formerly known as MassMutual Select Destination Retirement 2040 Fund) (“RetireSMART 2040 Fund”), MassMutual RetireSMART^SM 2045 Fund (formerly known as MassMutual Select Destination Retirement 2045 Fund) (“RetireSMART 2045 Fund”), and MassMutual RetireSMART^SM 2050 Fund (formerly known as MassMutual Select Destination Retirement 2050 Fund) (“RetireSMART 2050 Fund”).

The RetireSMART 2015 Fund, RetireSMART 2025 Fund, RetireSMART 2035 Fund, and RetireSMART 2045 Fund commenced operations on April 1, 2010. The RetireSMART Conservative Fund, RetireSMART Moderate Fund, RetireSMART Moderate Growth Fund, and RetireSMART Growth Fund commenced operations on June 20, 2011.

Each Fund other than the RetireSMART Conservative Fund, RetireSMART Moderate Fund, RetireSMART Moderate Growth Fund, RetireSMART Growth Fund, RetireSMART 2015 Fund, RetireSMART 2025 Fund, RetireSMART 2035 Fund, and RetireSMART 2045 Fund has the following five classes of shares: Class A, Class L, Class Y, Class S, and Class N. The RetireSMART Conservative Fund, RetireSMART Moderate Fund, RetireSMART Moderate Growth Fund, RetireSMART Growth Fund, RetireSMART 2015 Fund, RetireSMART 2025 Fund, RetireSMART 2035 Fund, and RetireSMART 2045 Fund do not offer Class N shares. Class N shares of the RetireSMART 2015 Fund, RetireSMART 2025 Fund, RetireSMART 2035 Fund, and RetireSMART 2045 Fund were eliminated as of February 8, 2011. Each share class represents an interest in the same portfolio of assets. The principal economic difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.

The fourteen RetireSMART Funds invest all of their investable assets in shares of various funds advised by MassMutual or a control affiliate of MassMutual. The financial statements included herein are those of the RetireSMART Funds. The financial statements of the applicable MassMutual Select Funds (“Select”), MassMutual Premier Funds (“Premier”), or Oppenheimer Funds which are advised by OppenheimerFunds, Inc., a majority-owned, indirect subsidiary of MassMutual, are presented separately and can be obtained from the Securities and Exchange Commission’s (“SEC”) EDGAR database on its Internet site at www.sec.gov or by calling MassMutual at 1-888-309-3539. The assets of each RetireSMART Fund are diversified and a shareholder’s interest is limited to the Select, Premier, or Oppenheimer Funds in which the shares are invested.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

72

Notes to Financial Statements (Unaudited) (Continued)

Investment Valuation

The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange, on each day the New York Stock Exchange is open for trading. The New York Stock Exchange normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days.

Equity securities are valued on the basis of information furnished by a pricing service, which provides the last reported sale price for securities listed on a national securities exchange or the official closing price on the NASDAQ National Market System, or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Debt securities (other than short-term obligations) are valued on the basis of valuations furnished by a pricing service, which determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Short-term debt securities are valued at either amortized cost or at original cost plus accrued interest, whichever approximates current market value. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day. Investments are marked to market daily based on values provided by third-party vendors or market makers to the extent available or based on model prices. Valuations provided by third-party vendors and representative bids provided by market makers may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates.

Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined by the Funds’ Valuation Committee in accordance with procedures approved by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon such asset’s sale.

Portfolio securities traded on more than one national securities exchange are valued at the last price on the business day at the close of the exchange representing the principal market for such securities. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.

The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next day the New York Stock Exchange is open. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party fair valuation vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market that exceeds a specific threshold established by the Funds’ Valuation Committee pursuant to procedures established by the Trustees, and under the general oversight of the Trustees.

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability

73

Notes to Financial Statements (Unaudited) (Continued)

and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.

Level 1 – quoted prices (unadjusted) in active markets for identical investments

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement.

All Funds characterized all investments at Level 1, as of June 30, 2011. For each Fund noted above, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.

The Funds had no transfers between Level 1, Level 2, and Level 3 of the fair value hierarchy during the period ended June 30, 2011. The Funds recognize transfers between the Levels as of the beginning of the year.

Accounting for Investment Transactions

Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and distributions are recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions.

Allocation of Operating Activity

In maintaining the records for the Funds, the income and expense accounts are allocated to each class of shares. Investment income, unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of the Fund not directly

74

Notes to Financial Statements (Unaudited) (Continued)

attributable to the operations of any class of shares or Fund are prorated among the Funds and classes to which the expense relates based on the relative net assets of each.

In addition, each Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and each Fund may own different proportions of underlying funds at different times, the amount of fees and expenses indirectly incurred by each Fund will vary.

Credit Risk

The Funds may invest a portion of their assets, directly or indirectly, in securities backed by mortgage loans, credit card receivables, and automotive loans. The values and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on such securities have resulted in increased volatility of market price and periods of decreased market activity that have adversely impacted the valuation and liquidity of such securities.

Federal Income Tax

It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.

Dividends and Distributions to Shareholders

Dividends from net investment income of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements. Distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.

3. Management Fees and Other Transactions

Investment Management Fees

Under agreements between Massachusetts Mutual Life Insurance Company (“MassMutual”) and the Trust on behalf of each Fund, MassMutual is responsible for providing investment management services for each Fund. In return for these services, MassMutual receives advisory fees, based upon each Fund’s average daily net assets, at the following annual rates:

0.05% of the first $500 million,

0.00% of any excess over $500 million

Prior to June 1, 2011, the investment management fees for the RetireSMART In Retirement Fund, RetireSMART 2010 Fund, RetireSMART 2015 Fund, RetireSMART 2020 Fund, RetireSMART 2025 Fund, RetireSMART 2030 Fund, RetireSMART 2035 Fund, RetireSMART 2040 Fund, RetireSMART 2045 Fund, and RetireSMART 2050 Fund were as follows:

0.05% of the first $500 million,

0.025% of the next $500 million,

0.000% of any excess over $1 billion

75

Notes to Financial Statements (Unaudited) (Continued)

Administration Fees

Under separate administrative and shareholder services agreements between each Fund and MassMutual, MassMutual provides certain administrative and shareholder services and bears some class specific administrative expenses. In return for these services, MassMutual receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:

	Class A		Class L		Class Y		Class S		Class N		Class Z
RetireSMART Conservative Fund		0.1600%		0.1600%		0.0800%		0.0400%		N/A		N/A
RetireSMART Moderate Fund		0.1700%		0.1700%		0.0900%		0.0500%		N/A		N/A
RetireSMART Moderate Growth Fund		0.1700%		0.1700%		0.0900%		0.0500%		N/A		N/A
RetireSMART Growth Fund		0.1700%		0.1700%		0.0900%		0.0500%		N/A		N/A
RetireSMART In Retirement Fund*		0.1859%		0.1859%		0.0859%		0.0200%		0.2359%		N/A
RetireSMART 2010 Fund*		0.2096%		0.2096%		0.1096%		0.0196%		0.2596%		N/A
RetireSMART 2015 Fund*		0.2000%		0.2000%		0.1000%		0.0100%		N/A		N/A
RetireSMART 2020 Fund*		0.2158%		0.2158%		0.1158%		0.0258%		0.2658%		N/A
RetireSMART 2025 Fund*		0.2000%		0.2000%		0.1000%		0.0100%		N/A		N/A
RetireSMART 2030 Fund*		0.2133%		0.2133%		0.1133%		0.0233%		0.2633%		N/A
RetireSMART 2035 Fund*		0.2000%		0.2000%		0.1000%		0.0100%		N/A		N/A
RetireSMART 2040 Fund*		0.2016%		0.2016%		0.1016%		0.0116%		0.2516%		N/A
RetireSMART 2045 Fund*		0.2000%		0.2000%		0.1000%		0.0100%		N/A		N/A
RetireSMART 2050 Fund*		0.2000%		0.2000%		0.1000%		0.0100%		0.2500%		N/A

* Prior to June 10, 2011, the administration fees per share class were as follows:

	Class A		Class L		Class Y		Class S		Class N		Class Z
RetireSMART In Retirement Fund		0.1459%		0.1459%		0.0459%		0.0200%		0.1959%		N/A
RetireSMART 2010 Fund		0.1696%		0.1696%		0.0696%		0.0196%		0.2196%		N/A
RetireSMART 2015 Fund		0.1600%		0.1600%		0.0600%		0.0100%		N/A		N/A
RetireSMART 2020 Fund		0.1758%		0.1758%		0.0758%		0.0258%		0.2258%		N/A
RetireSMART 2025 Fund		0.1600%		0.1600%		0.0600%		0.0100%		N/A		N/A
RetireSMART 2030 Fund		0.1733%		0.1733%		0.0733%		0.0233%		0.2233%		N/A
RetireSMART 2035 Fund		0.1600%		0.1600%		0.0600%		0.0100%		N/A		N/A
RetireSMART 2040 Fund		0.1616%		0.1616%		0.0616%		0.0116%		0.2116%		N/A
RetireSMART 2045 Fund		0.1600%		0.1600%		0.0600%		0.0100%		N/A		N/A
RetireSMART 2050 Fund		0.1600%		0.1600%		0.0600%		0.0100%		0.2100%		N/A

Distribution and Service Fees

MML Distributors, LLC (the “Distributor”) acts as distributor to each Fund. Pursuant to separate 12b-1 Plans adopted by the Funds, Class A shares of each Fund pay an annual fee of 0.25% of the average daily net asset value of Class A shares to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Class A shares of the Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Class A shareholders. Pursuant to separate 12b-1 Plans adopted by the Funds, Class N shares of each Fund pay an annual fee of 0.50% of the average daily net asset value of Class N shares as follows: 0.25% of the average daily net asset value of Class N shares to the Distributor for services provided and expenses incurred by it in connection with the distribution of Class N shares of the Fund; and 0.25% of the average daily net asset value of Class N shares to MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Class N shareholders. The Distribution fee may be spent by the Distributor on any activities or expenses primarily intended to result in the sale of Class A or Class N shares of the Fund. The Servicing Fee may be spent by MassMutual on personal services rendered to Class A or Class N shareholders of a Fund and/or maintenance of Class A or Class N shareholder accounts. The Distributor is a majority-owned subsidiary of MassMutual. In addition, OppenheimerFunds Distributor, Inc. (the “Sub-Distributor”) acts as a sub-distributor to each Fund. The Sub-Distributor is an affiliate of the Distributor and an indirect majority-owned subsidiary of MassMutual.

76

Notes to Financial Statements (Unaudited) (Continued)

Expense Caps and Waivers

MassMutual agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund fees and expenses^#, or other non-recurring or unusual expenses such as, for example, organizational expenses and shareholder meeting expenses) based upon the average daily net assets of the applicable class of shares of the Funds, as follows:

	Class A		Class L		Class Y		Class S		Class N
RetireSMART 2015 Fund*		0.50%		0.25%		0.15%		0.10%		N/A
RetireSMART 2025 Fund*		0.50%		0.25%		0.15%		0.10%		N/A
RetireSMART 2035 Fund*		0.50%		0.25%		0.15%		0.10%		N/A
RetireSMART 2045 Fund*		0.50%		0.25%		0.15%		0.10%		N/A
RetireSMART 2050 Fund*		0.50%		0.25%		0.15%		0.10%		0.80%

# Acquired Fund fees and expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles.

* Expense caps in effect through April 1, 2012.

MassMutual has agreed to bear the expenses of the RetireSMART Growth Fund (other than the management, Rule 12b-1 and administrative fees, interest, taxes, brokerage commissions, extraordinary litigation and legal expenses, Acquired Fund fees and expenses, or other non-recurring or unusual expenses such as, for example, organizational expenses and shareholder meeting expenses) based upon the average daily net assets of Class S, Class Y, Class L, and Class A of the Fund in excess of 0.03% through March 31, 2013.

Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.

Deferred Compensation

Trustees of the Funds who are not employees of MassMutual or its subsidiaries may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.

Other

Certain officers and trustees of the Funds are also employees of MassMutual. The compensation of each trustee who is not an employee of MassMutual is borne by the Funds.

The following table shows beneficial ownership of Funds’ shares by affiliated parties at June 30, 2011:

	Total % of Ownership by Related Party
RetireSMART Conservative Fund		100.0%
RetireSMART Moderate Fund		100.0%
RetireSMART Moderate Growth Fund		100.0%
RetireSMART Growth Fund		100.0%
RetireSMART In Retirement Fund		60.3%
RetireSMART 2010 Fund		71.0%
RetireSMART 2015 Fund		94.4%
RetireSMART 2020 Fund		76.8%
RetireSMART 2025 Fund		83.8%
RetireSMART 2030 Fund		78.7%
RetireSMART 2035 Fund		87.5%
RetireSMART 2040 Fund		79.5%
RetireSMART 2045 Fund		95.6%
RetireSMART 2050 Fund		83.0%

77

Notes to Financial Statements (Unaudited) (Continued)

4. Purchases and Sales of Investments

Cost of purchases and proceeds from sales of investment securities (excluding short-term investments and subscriptions in-kind) for the period ended June 30, 2011, were as follows:

	Purchases				Sales
	Long-Term U.S. Government Securities		Other Long-Term Securities		Long-Term U.S. Government Securities		Other Long-Term Securities
RetireSMART Conservative Fund	$	-	$	4,294,868	$	-	$	3,903,248
RetireSMART Moderate Fund		-		7,380,696		-		10,107,808
RetireSMART Moderate Growth Fund		-		5,685,619		-		7,843,463
RetireSMART Growth Fund		-		1,051,020		-		710,198
RetireSMART In Retirement Fund		-		91,622,556		-		101,540,429
RetireSMART 2010 Fund		-		98,019,711		-		100,225,281
RetireSMART 2015 Fund		-		1,584,923		-		1,283,294
RetireSMART 2020 Fund		-		249,463,728		-		255,014,251
RetireSMART 2025 Fund		-		1,146,882		-		927,736
RetireSMART 2030 Fund		-		187,242,800		-		186,236,900
RetireSMART 2035 Fund		-		1,248,599		-		867,375
RetireSMART 2040 Fund		-		112,705,478		-		112,522,199
RetireSMART 2045 Fund		-		716,613		-		650,764
RetireSMART 2050 Fund		-		23,823,980		-		18,915,011

5. Capital Share Transactions

Changes in shares outstanding for each Fund were as follows:

	Six Months Ended June 30, 2011
	Shares			Amount
RetireSMART Conservative Fund Class A*
Sold		64,496		$	646,703
Subscriptions in-kind		16,037,714			160,377,134
Issued as reinvestment of dividends		-			-
Redeemed		(54,779	)		(550,174	)
Net increase (decrease)		16,047,431		$	160,473,663
RetireSMART Conservative Fund Class L*
Sold		41,703		$	418,141
Subscriptions in-kind		9,794,296			97,942,959
Issued as reinvestment of dividends		-			-
Redeemed		(33,858	)		(339,544	)
Net increase (decrease)		9,802,141		$	98,021,556
RetireSMART Conservative Fund Class Y*
Sold		10,010		$	100,100
Issued as reinvestment of dividends		-			-
Redeemed		-			-
Net increase (decrease)		10,010		$	100,100
RetireSMART Conservative Fund Class S*
Sold		10,010		$	100,100
Issued as reinvestment of dividends		-			-
Redeemed		-			-
Net increase (decrease)		10,010		$	100,100

78

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011
	Shares			Amount
RetireSMART Moderate Fund Class A*
Sold		42,559		$	429,849
Subscriptions in-kind		39,470,513			394,705,126
Issued as reinvestment of dividends		-			-
Redeemed		(143,171	)		(1,442,466	)
Net increase (decrease)		39,369,901		$	393,692,509
RetireSMART Moderate Fund Class L*
Sold		23,765		$	238,109
Subscriptions in-kind		16,229,115			162,291,149
Issued as reinvestment of dividends		-			-
Redeemed		(216,118	)		(2,207,693	)
Net increase (decrease)		16,036,762		$	160,321,565
RetireSMART Moderate Fund Class Y*
Sold		10,010		$	100,100
Issued as reinvestment of dividends		-			-
Redeemed		-			-
Net increase (decrease)		10,010		$	100,100
RetireSMART Moderate Fund Class S*
Sold		10,010		$	100,100
Issued as reinvestment of dividends		-			-
Redeemed		-			-
Net increase (decrease)		10,010		$	100,100
RetireSMART Moderate Growth Fund Class A*
Sold		56,934		$	577,941
Subscriptions in-kind		28,105,852			281,058,518
Issued as reinvestment of dividends		-			-
Redeemed		(109,590	)		(1,109,366	)
Net increase (decrease)		28,053,196		$	280,527,093
RetireSMART Moderate Growth Fund Class L*
Sold		21,210		$	212,706
Subscriptions in-kind		13,403,653			134,036,528
Issued as reinvestment of dividends		-			-
Redeemed		(201,742	)		(2,083,067	)
Net increase (decrease)		13,223,121		$	132,166,167
RetireSMART Moderate Growth Fund Class Y*
Sold		10,010		$	100,100
Issued as reinvestment of dividends		-			-
Redeemed		-			-
Net increase (decrease)		10,010		$	100,100
RetireSMART Moderate Growth Fund Class S*
Sold		10,010		$	100,100
Issued as reinvestment of dividends		-			-
Redeemed		-			-
Net increase (decrease)		10,010		$	100,100

79

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
RetireSMART Growth Fund Class A*
Sold		18,040		$	181,415
Subscriptions in-kind		4,261,890			42,618,896
Issued as reinvestment of dividends		-			-
Redeemed		(13,988	)		(142,476	)
Net increase (decrease)		4,265,942		$	42,657,835
RetireSMART Growth Fund Class L*
Sold		19,788		$	199,481
Subscriptions in-kind		2,545,678			25,456,779
Issued as reinvestment of dividends		-			-
Redeemed		(10,354	)		(105,537	)
Net increase (decrease)		2,555,112		$	25,550,723
RetireSMART Growth Fund Class Y*
Sold		10,010		$	100,100
Issued as reinvestment of dividends		-			-
Redeemed		-			-
Net increase (decrease)		10,010		$	100,100
RetireSMART Growth Fund Class S*
Sold		10,010		$	100,100
Issued as reinvestment of dividends		-			-
Redeemed		-			-
Net increase (decrease)		10,010		$	100,100
RetireSMART In Retirement Fund Class A
Sold		104,727		$	1,045,056			387,012		$	3,613,626
Issued as reinvestment of dividends		-			-			89,001			816,134
Redeemed		(504,455	)		(5,023,119	)		(615,052	)		(5,791,803	)
Net increase (decrease)		(399,728	)	$	(3,978,063	)		(139,039	)	$	(1,362,043	)
RetireSMART In Retirement Fund Class L
Sold		166,295		$	1,681,683			642,680		$	6,073,657
Issued as reinvestment of dividends		-			-			104,703			967,462
Redeemed		(753,720	)		(7,612,453	)		(1,091,981	)		(10,344,216	)
Net increase (decrease)		(587,425	)	$	(5,930,770	)		(344,598	)	$	(3,303,097	)
RetireSMART In Retirement Fund Class Y
Sold		248,161		$	2,511,914			519,126		$	4,943,271
Issued as reinvestment of dividends		-			-			51,038			472,100
Redeemed		(131,081	)		(1,321,779	)		(625,197	)		(5,896,475	)
Net increase (decrease)		117,080		$	1,190,135			(55,033	)	$	(481,104	)
RetireSMART In Retirement Fund Class S
Sold		417,583		$	4,239,640			653,983		$	6,206,652
Issued as reinvestment of dividends		-			-			53,534			494,115
Redeemed		(521,253	)		(5,285,914	)		(965,826	)		(9,277,985	)
Net increase (decrease)		(103,670	)	$	(1,046,274	)		(258,309	)	$	(2,577,218	)
RetireSMART In Retirement Fund Class N
Sold		118		$	1,173			235		$	2,185
Issued as reinvestment of dividends		-			-			16			152
Redeemed		(0	)+		(4	)		(1,054	)		(9,925	)
Net increase (decrease)		118		$	1,169			(803	)	$	(7,588	)

80

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
RetireSMART 2010 Fund Class A
Sold		176,398		$	1,815,556			467,123		$	4,422,411
Issued as reinvestment of dividends		-			-			72,524			658,517
Redeemed		(475,263	)		(4,887,248	)		(1,204,213	)		(11,322,577	)
Net increase (decrease)		(298,865	)	$	(3,071,692	)		(664,566	)	$	(6,241,649	)
RetireSMART 2010 Fund Class L
Sold		152,484		$	1,580,857			442,014		$	4,229,440
Issued as reinvestment of dividends		-			-			31,995			291,793
Redeemed		(209,361	)		(2,173,228	)		(658,913	)		(6,258,713	)
Net increase (decrease)		(56,877	)	$	(592,371	)		(184,904	)	$	(1,737,480	)
RetireSMART 2010 Fund Class Y
Sold		384,048		$	3,977,101			713,259		$	6,806,496
Issued as reinvestment of dividends		-			-			62,778			573,167
Redeemed		(381,023	)		(3,926,592	)		(950,275	)		(8,985,472	)
Net increase (decrease)		3,025		$	50,509			(174,238	)	$	(1,605,809	)
RetireSMART 2010 Fund Class S
Sold		1,077,404		$	11,148,813			1,451,324		$	13,933,499
Issued as reinvestment of dividends		-			-			127,827			1,167,060
Redeemed		(936,999	)		(9,746,568	)		(3,020,659	)		(29,137,404	)
Net increase (decrease)		140,405		$	1,402,245			(1,441,508	)	$	(14,036,845	)
RetireSMART 2010 Fund Class N
Sold		16,542		$	169,847			8,062		$	75,743
Issued as reinvestment of dividends		-			-			846			7,683
Redeemed		(1,810	)		(18,483	)		(17,994	)		(169,522	)
Net increase (decrease)		14,732		$	151,364			(9,086	)	$	(86,096	)
RetireSMART 2015 Fund Class A**
Sold		3,077		$	34,185			27,693		$	282,221
Issued as reinvestment of dividends		-			-			534			5,704
Redeemed		(2,554	)		(27,778	)		(74	)		(794	)
Net increase (decrease)		523		$	6,407			28,153		$	287,131
RetireSMART 2015 Fund Class L**
Sold		167		$	1,819			10,122		$	101,290
Issued as reinvestment of dividends		-			-			201			2,150
Redeemed		(281	)		(3,128	)		(0	)+		(1	)
Net increase (decrease)		(114	)	$	(1,309	)		10,323		$	103,439
RetireSMART 2015 Fund Class Y**
Sold		16,518		$	181,522			13,090		$	133,460
Issued as reinvestment of dividends		-			-			271			2,890
Redeemed		(6,899	)		(75,876	)		-			-
Net increase (decrease)		9,619		$	105,646			13,361		$	136,350
RetireSMART 2015 Fund Class S**
Sold		18,012		$	198,344			70,010		$	700,100
Issued as reinvestment of dividends		-			-			1,464			15,665
Redeemed		(9	)		(104	)		-			-
Net increase (decrease)		18,003		$	198,240			71,474		$	715,765

81

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
RetireSMART 2020 Fund Class A
Sold		654,696		$	6,593,990			1,122,437		$	10,135,780
Issued as reinvestment of dividends		-			-			156,144			1,302,239
Redeemed		(857,980	)		(8,569,255	)		(2,428,948	)		(21,731,237	)
Net increase (decrease)		(203,284	)	$	(1,975,265	)		(1,150,367	)	$	(10,293,218	)
RetireSMART 2020 Fund Class L
Sold		514,754		$	5,238,914			1,148,253		$	10,452,264
Issued as reinvestment of dividends		-			-			202,247			1,698,876
Redeemed		(1,773,087	)		(18,025,579	)		(3,286,313	)		(29,200,826	)
Net increase (decrease)		(1,258,333	)	$	(12,786,665	)		(1,935,813	)	$	(17,049,686	)
RetireSMART 2020 Fund Class Y
Sold		1,100,438		$	11,089,274			1,510,275		$	13,553,756
Issued as reinvestment of dividends		-			-			122,429			1,027,178
Redeemed		(1,196,549	)		(11,876,609	)		(2,032,254	)		(17,932,741	)
Net increase (decrease)		(96,111	)	$	(787,335	)		(399,550	)	$	(3,351,807	)
RetireSMART 2020 Fund Class S
Sold		2,979,130		$	29,988,008			3,088,218		$	28,178,006
Issued as reinvestment of dividends		-			-			240,273			2,018,294
Redeemed		(1,947,060	)		(19,622,870	)		(4,126,978	)		(37,626,543	)
Net increase (decrease)		1,032,070		$	10,365,138			(798,487	)	$	(7,430,243	)
RetireSMART 2020 Fund Class N
Sold		9,486		$	94,182			16,091		$	141,282
Issued as reinvestment of dividends		-			-			774			6,443
Redeemed		(5,741	)		(57,210	)		(20,419	)		(184,969	)
Net increase (decrease)		3,745		$	36,972			(3,554	)	$	(37,244	)
RetireSMART 2025 Fund Class A**
Sold		28,719		$	322,366			22,662		$	232,391
Issued as reinvestment of dividends		-			-			328			3,549
Redeemed		(9,368	)		(105,962	)		(10	)		(109	)
Net increase (decrease)		19,351		$	216,404			22,980		$	235,831
RetireSMART 2025 Fund Class L**
Sold		460		$	5,142			10,026		$	100,265
Issued as reinvestment of dividends		-			-			151			1,633
Redeemed		(27	)		(302	)		-			-
Net increase (decrease)		433		$	4,840			10,177		$	101,898
RetireSMART 2025 Fund Class Y**
Sold		326		$	3,728			10,010		$	100,100
Issued as reinvestment of dividends		-			-			158			1,706
Redeemed		-			-			-			-
Net increase (decrease)		326		$	3,728			10,168		$	101,806
RetireSMART 2025 Fund Class S**
Sold		97		$	1,107			70,010		$	700,100
Issued as reinvestment of dividends		-			-			1,127			12,191
Redeemed		(0	)+		(5	)		-			-
Net increase (decrease)		97		$	1,102			71,137		$	712,291

82

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
RetireSMART 2030 Fund Class A
Sold		592,895		$	5,977,839			964,628		$	8,625,347
Issued as reinvestment of dividends		-			-			92,553			754,308
Redeemed		(861,978	)		(8,622,815	)		(1,797,668	)		(15,898,463	)
Net increase (decrease)		(269,083	)	$	(2,644,976	)		(740,487	)	$	(6,518,808	)
RetireSMART 2030 Fund Class L
Sold		419,505		$	4,277,916			801,638		$	7,189,581
Issued as reinvestment of dividends		-			-			128,936			1,059,854
Redeemed		(800,471	)		(8,083,845	)		(3,092,209	)		(27,496,399	)
Net increase (decrease)		(380,966	)	$	(3,805,929	)		(2,161,635	)	$	(19,246,964	)
RetireSMART 2030 Fund Class Y
Sold		941,713		$	9,544,496			1,345,201		$	11,932,576
Issued as reinvestment of dividends		-			-			83,156			681,875
Redeemed		(707,174	)		(7,084,013	)		(1,955,712	)		(17,060,893	)
Net increase (decrease)		234,539		$	2,460,483			(527,355	)	$	(4,446,442	)
RetireSMART 2030 Fund Class S
Sold		3,055,880		$	31,018,648			2,735,261		$	24,645,999
Issued as reinvestment of dividends		-			-			156,678			1,287,892
Redeemed		(2,523,125	)		(25,617,333	)		(2,842,350	)		(25,742,894	)
Net increase (decrease)		532,755		$	5,401,315			49,589		$	190,997
RetireSMART 2030 Fund Class N
Sold		4,532		$	45,365			11,163		$	97,705
Issued as reinvestment of dividends		-			-			266			2,170
Redeemed		(13,329	)		(133,631	)		(17,073	)		(151,148	)
Net increase (decrease)		(8,797	)	$	(88,266	)		(5,644	)	$	(51,273	)
RetireSMART 2035 Fund Class A**
Sold		34,490		$	388,575			13,825		$	138,693
Issued as reinvestment of dividends		-			-			155			1,690
Redeemed		(8,004	)		(90,436	)		(562	)		(5,942	)
Net increase (decrease)		26,486		$	298,139			13,418		$	134,441
RetireSMART 2035 Fund Class L**
Sold		2,652		$	30,130			10,131		$	101,372
Issued as reinvestment of dividends		-			-			135			1,461
Redeemed		(1	)		(8	)		(0	)+		(1	)
Net increase (decrease)		2,651		$	30,122			10,266		$	102,832
RetireSMART 2035 Fund Class Y**
Sold		4,324		$	49,471			10,015		$	100,155
Issued as reinvestment of dividends		-			-			140			1,517
Redeemed		-			-			-			-
Net increase (decrease)		4,324		$	49,471			10,155		$	101,672
RetireSMART 2035 Fund Class S**
Sold		947		$	10,715			70,010		$	700,100
Issued as reinvestment of dividends		-			-			1,001			10,869
Redeemed		(1	)		(9	)		-			-
Net increase (decrease)		946		$	10,706			71,011		$	710,969

83

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
RetireSMART 2040 Fund Class A
Sold		445,474		$	4,515,108			707,866		$	6,281,355
Issued as reinvestment of dividends		-			-			44,920			364,298
Redeemed		(669,222	)		(6,718,625	)		(978,984	)		(8,646,936	)
Net increase (decrease)		(223,748	)	$	(2,203,517	)		(226,198	)	$	(2,001,283	)
RetireSMART 2040 Fund Class L
Sold		300,421		$	3,075,853			573,745		$	5,143,677
Issued as reinvestment of dividends		-			-			64,447			527,823
Redeemed		(653,685	)		(6,646,191	)		(1,888,241	)		(16,665,455	)
Net increase (decrease)		(353,264	)	$	(3,570,338	)		(1,250,049	)	$	(10,993,955	)
RetireSMART 2040 Fund Class Y
Sold		512,288		$	5,214,302			781,733		$	6,931,323
Issued as reinvestment of dividends		-			-			31,421			257,023
Redeemed		(344,749	)		(3,501,886	)		(969,678	)		(8,482,651	)
Net increase (decrease)		167,539		$	1,712,416			(156,524	)	$	(1,294,305	)
RetireSMART 2040 Fund Class S
Sold		1,525,976		$	15,502,465			1,958,339		$	17,553,478
Issued as reinvestment of dividends		-			-			86,538			708,747
Redeemed		(1,087,704	)		(11,048,992	)		(1,583,292	)		(14,317,060	)
Net increase (decrease)		438,272		$	4,453,473			461,585		$	3,945,165
RetireSMART 2040 Fund Class N
Sold		4,221		$	42,541			8,731		$	75,981
Issued as reinvestment of dividends		-			-			136			1,101
Redeemed		(5,545	)		(56,113	)		(9,515	)		(83,718	)
Net increase (decrease)		(1,324	)	$	(13,572	)		(648	)	$	(6,636	)
RetireSMART 2045 Fund Class A**
Sold		7,832		$	89,438			12,576		$	126,659
Issued as reinvestment of dividends		-			-			123			1,346
Redeemed		(3,132	)		(35,759	)		(9	)		(98	)
Net increase (decrease)		4,700		$	53,679			12,690		$	127,907
RetireSMART 2045 Fund Class L**
Sold		664		$	7,543			10,010		$	100,100
Issued as reinvestment of dividends		-			-			112			1,222
Redeemed		(3	)		(34	)		-			-
Net increase (decrease)		661		$	7,509			10,122		$	101,322
RetireSMART 2045 Fund Class Y**
Sold		2,276		$	25,997			10,010		$	100,100
Issued as reinvestment of dividends		-			-			118			1,297
Redeemed		(1,455	)		(16,759	)		-			-
Net increase (decrease)		821		$	9,238			10,128		$	101,397
RetireSMART 2045 Fund Class S**
Sold		208		$	2,401			70,010		$	700,100
Issued as reinvestment of dividends		-			-			853			9,330
Redeemed		(0	)+		(2	)		-			-
Net increase (decrease)		208		$	2,399			70,863		$	709,430

84

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2011						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
RetireSMART 2050 Fund Class A
Sold		233,826		$	2,105,114			168,051		$	1,360,736
Issued as reinvestment of dividends		-			-			7,907			68,320
Redeemed		(93,972	)		(850,314	)		(39,212	)		(317,098	)
Net increase (decrease)		139,854		$	1,254,800			136,746		$	1,111,958
RetireSMART 2050 Fund Class L
Sold		78,485		$	706,310			134,873		$	1,091,374
Issued as reinvestment of dividends		-			-			5,548			47,938
Redeemed		(50,670	)		(452,484	)		(93,745	)		(748,019	)
Net increase (decrease)		27,815		$	253,826			46,676		$	391,293
RetireSMART 2050 Fund Class Y
Sold		220,785		$	1,988,491			312,982		$	2,495,395
Issued as reinvestment of dividends		-			-			14,512			125,525
Redeemed		(116,366	)		(1,055,136	)		(166,243	)		(1,306,900	)
Net increase (decrease)		104,419		$	933,355			161,251		$	1,314,020
RetireSMART 2050 Fund Class S
Sold		983,035		$	8,799,197			716,485		$	5,693,777
Issued as reinvestment of dividends		-			-			45,618			394,601
Redeemed		(699,767	)		(6,305,686	)		(521,760	)		(4,178,885	)
Net increase (decrease)		283,268		$	2,493,511			240,343		$	1,909,493
RetireSMART 2050 Fund Class N
Sold		-		$	-			-		$	-
Issued as reinvestment of dividends		-			-			223			1,933
Redeemed		-			-			-			-
Net increase (decrease)		-		$	-			223		$	1,933

* Fund commenced operations on June 20, 2011.

** Fund commenced operations on April 1, 2010.

+ Amount rounds to less than 0.5 share.

Purchases of Class A shares are subject to a front-end sales charge of up to 5.75% of the amount purchased. A portion of the front-end sales charge may be retained by the Distributor. For the period ended June 30, 2011, no material amounts have been retained by the Distributor.

Redemptions or exchanges of Class A shares made within eighteen months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1% of the amount redeemed. Redemptions or exchanges of Class N shares made within eighteen months of purchase are subject to a contingent deferred sales charge of 1% of the amount redeemed. The Distributor receives all contingent deferred sales charges. Any contingent deferred sales charges imposed during the period ended June 30, 2011, were waived for any redemptions or exchanges subject to such a charge.

85

Notes to Financial Statements (Unaudited) (Continued)

6. Federal Income Tax Information

At June 30, 2011, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Funds, as computed on a federal income tax basis, were as follows:

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
RetireSMART Conservative Fund	$	258,705,910	$	3,094,777	$	(525,443	)	$	2,569,334
RetireSMART Moderate Fund		554,304,377		13,499,162		(770,007	)		12,729,155
RetireSMART Moderate Growth Fund		412,994,698		14,601,831		(261,114	)		14,340,717
RetireSMART Growth Fund		68,418,641		2,787,635		(19,504	)		2,768,131
RetireSMART In Retirement Fund		93,340,512		6,614,982		(173,154	)		6,441,828
RetireSMART 2010 Fund		101,464,700		8,320,971		(157,460	)		8,163,511
RetireSMART 2015 Fund		1,633,483		88,210		(1,582	)		86,628
RetireSMART 2020 Fund		347,854,688		42,324,484		(243,242	)		42,081,242
RetireSMART 2025 Fund		1,453,513		100,634		(593	)		100,041
RetireSMART 2030 Fund		278,115,845		39,651,566		(87,395	)		39,564,171
RetireSMART 2035 Fund		1,507,556		105,666		(403	)		105,263
RetireSMART 2040 Fund		168,214,589		26,115,329		(42,776	)		26,072,553
RetireSMART 2045 Fund		1,180,798		108,645		(118	)		108,527
RetireSMART 2050 Fund		28,404,851		2,611,055		(2,873	)		2,608,182

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

At December 31, 2010, the following Fund(s) had available, for federal income tax purposes, unused capital losses:

	Expiring 2016		Expiring 2017		Expiring 2018
RetireSMART In Retirement Fund	$	1,090,554	$	31,114,913	$	-
RetireSMART Retirement 2010 Fund		5,741,609		27,127,749		865,289
RetireSMART Retirement 2020 Fund		17,485,197		63,767,817		11,128,973
RetireSMART Retirement 2030 Fund		8,374,411		58,611,585		12,679,147
RetireSMART Retirement 2040 Fund		4,147,501		35,782,866		4,612,337

Net capital loss carryforwards for the Funds shown in the above table are from pre-enactment years and are, therefore, subject to the eight-year carryforward period and possible expiration.

Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.

86

Notes to Financial Statements (Unaudited) (Continued)

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2010, was as follows:

	Ordinary Income		Long Term Capital Gain		Return of Capital
RetireSMART In Retirement Fund	$	2,752,037	$	-	$	-
RetireSMART Retirement 2010 Fund		2,698,220		-		-
RetireSMART Retirement 2015 Fund		26,409		-		-
RetireSMART Retirement 2020 Fund		6,053,078		-		-
RetireSMART Retirement 2025 Fund		19,079		-		-
RetireSMART Retirement 2030 Fund		3,786,824		-		-
RetireSMART Retirement 2035 Fund		15,537		-		-
RetireSMART Retirement 2040 Fund		1,859,612		-		-
RetireSMART Retirement 2045 Fund		13,195		-		-
RetireSMART Retirement 2050 Fund		258,536		379,781		-

Capital accounts within financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At December 31, 2010, temporary book and tax accounting differences were primarily attributable to the deferral of wash sale losses and deferred Trustee compensation.

At December 31, 2010, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long Term Capital Gain (Capital Loss Carryover)			Other Temporary Differences			Unrealized Appreciation (Depreciation)
RetireSMART In Retirement Fund	$	2,628,756	$	(32,205,467	)	$	(31,674	)	$	1,509,282
RetireSMART Retirement 2010 Fund		2,354,410		(33,734,647	)		(26,952	)		(4,053,174	)
RetireSMART Retirement 2015 Fund		2,751		6,076			(35	)		71,279
RetireSMART Retirement 2020 Fund		6,247,924		(92,381,987	)		(80,695	)		(14,560,455	)
RetireSMART Retirement 2025 Fund		2,442		5,715			(33	)		81,582
RetireSMART Retirement 2030 Fund		3,903,869		(79,665,143	)		(61,225	)		(5,803,936	)
RetireSMART Retirement 2035 Fund		1,869		5,391			(33	)		84,744
RetireSMART Retirement 2040 Fund		2,092,207		(44,542,704	)		(36,046	)		(3,926,234	)
RetireSMART Retirement 2045 Fund		979		5,469			(32	)		91,343
RetireSMART Retirement 2050 Fund		17,076		367,780			(2,005	)		1,048,635

The Funds did not have any unrecognized tax benefits at June 30, 2011, nor were there any increases or decreases in unrecognized tax benefits for the period then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the period ended June 30, 2011, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years, or the returns filed to date for Funds in existence less than three years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.

87

Notes to Financial Statements (Unaudited) (Continued)

7. Investment in Affiliated Issuers

A summary of the Funds’ transactions in the securities of affiliated issuers during the period ended June 30, 2011, was as follows:

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 6/30/11		Value as of 6/30/11		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART Conservative Fund
BlackRock Global Allocation Fund, Class S*		-		120,832		722		120,110	$	1,338,023	$	-	$	-	$	43
Blue Chip Growth Fund, Class S*		-		133,241		721		132,520		1,504,098		-		-		213
Core Bond Fund, Class Z**		-		4,922,747		87,052		4,835,695		54,643,352		-		-		(3,612	)
Core Opportunities Fund, Class S*		-		286,264		837		285,427		2,771,493		-		-		115
Disciplined Growth Fund, Class S**		-		807,181		2,426		804,755		8,079,744		-		-		445
Disciplined Value Fund, Class S**		-		813,771		2,294		811,477		8,585,431		-		-		169
Diversified Bond Fund, Class Z**		-		2,516,815		47,967		2,468,848		26,712,940		-		-		(1,918	)
Diversified International Fund, Class S*		-		390,879		1,144		389,735		2,798,298		-		-		(12	)
Diversified Value Fund, Class S*		-		171,373		849		170,524		1,628,505		-		-		70
Focused International Fund, Class Z**		-		98,081		-		98,081		1,205,418		-		-		-
Focused Value Fund, Class Z*		-		200,416		881		199,535		3,703,377		-		-		304
Fundamental Value Fund, Class Z*		-		244,836		740		244,096		2,670,408		-		-		43
Growth Opportunities Fund, Class S*		-		163,927		1,076		162,851		1,239,293		-		-		202
High Yield Fund, Class Z**		-		340,132		1,732		338,400		3,103,130		-		-		(21	)
Inflation-Protected and Income Fund, Class Z**		-		1,909,781		11,261		1,898,520		21,244,439		-		-		747
International Bond Fund, Class S**		-		717,049		3,754		713,295		7,539,529		-		-		(134	)
International Equity Fund, Class S**		-		171,279		528		170,751		2,648,344		-		-		(39	)
Large Cap Growth Fund, Class S*		-		201,707		846		200,861		1,940,315		-		-		192
Large Cap Value Fund, Class S*		-		49,749		-		49,749		540,277		-		-		-
Main Street Small/Mid Cap Fund, Class S**		-		90,672		-		90,672		1,041,823		-		-		-
Mid Cap Growth Equity II Fund, Class Z*		-		197,674		478		197,196		3,340,502		-		-		183
Mid-Cap Value Fund, Class S*		-		307,060		751		306,309		3,314,259		-		-		160
Money Market Fund, Class S**		-		4,680,810		15,789		4,665,021		4,665,021		3		-		-
Oppenheimer Commodity Strategy Total Return Fund, Class Y***		-		1,254,604		4,324		1,250,280		4,676,046		-		-		(469	)
Oppenheimer Developing Markets Fund, Class Y***		-		36,746		-		36,746		1,308,524		-		-		-
Oppenheimer Real Estate Fund, Class Y***		-		290,284		770		289,514		6,059,532		16,289		-		(33	)
Overseas Fund, Class Z*		-		996,501		3,180		993,321		7,658,506		-		-		(10	)
PIMCO Total Return Fund, Class Z*		-		750,395		67,055		683,340		7,106,740		-		-		(640	)
Short-Duration Bond Fund, Class Z**		-		4,291,295		90,004		4,201,291		45,247,903		-		-		(1,429	)
Small Cap Growth Equity Fund, Class Z*		-		109,240		430		108,810		2,051,078		-		-		273
Small Cap Value Equity Fund, Class S*		-		164,193		815		163,378		1,627,241		-		-		149
Small Company Growth Fund, Class S*		-		84,040		-		84,040		936,211		-		-		-
Small Company Value Fund, Class Z*		-		117,485		-		117,485		1,701,188		-		-		-
Strategic Bond Fund, Class S*		-		950,766		29,477		921,289		9,102,339		-		-		(1,043	)
Strategic Emerging Markets Fund, Class Z**		-		446,168		1,491		444,677		7,288,257		-		-		251
Value Fund, Class S**		-		16,504		-		16,504		253,660		-		-		-
									$	261,275,244	$	16,292	$	-	$	(5,801	)
RetireSMART Moderate Fund
BlackRock Global Allocation Fund, Class S*		-		485,671		3,080		482,591	$	5,376,067	$	-	$	-	$	547
Blue Chip Growth Fund, Class S*		-		871,957		3,051		868,906		9,862,086		-		-		1,526
Core Bond Fund, Class Z**		-		7,477,229		193,578		7,283,651		82,305,251		-		-		(9,175	)
Core Opportunities Fund, Class S*		-		657,348		3,549		653,799		6,348,389		-		-		1,047
Disciplined Growth Fund, Class S**		-		3,273,946		17,168		3,256,778		32,698,049		-		-		5,793
Disciplined Value Fund, Class S**		-		2,942,689		16,244		2,926,445		30,961,786		-		-		3,761
Diversified Bond Fund, Class Z**		-		3,453,072		103,244		3,349,828		36,245,134		-		-		(4,130	)
Diversified International Fund, Class S*		-		1,458,479		14,444		1,444,035		10,368,172		-		-		2,347
Diversified Value Fund, Class S*		-		950,899		7,205		943,694		9,012,274		-		-		1,671

88

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 6/30/11		Value as of 6/30/11		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART Moderate Fund (Continued)
Focused International Fund, Class Z**		-		427,174		2,806		424,368	$	5,215,488	$	-	$	-	$	830
Focused Value Fund, Class Z*		-		480,150		3,727		476,423		8,842,405		-		-		2,585
Fundamental Value Fund, Class Z*		-		1,486,114		6,284		1,479,830		16,189,337		-		-		1,433
Growth Opportunities Fund, Class S*		-		1,269,696		4,552		1,265,144		9,627,750		-		-		1,503
High Yield Fund, Class Z**		-		341,054		11,175		329,879		3,024,994		-		-		133
Inflation-Protected and Income Fund, Class Z**		-		2,345,451		27,398		2,318,053		25,939,017		-		-		980
International Bond Fund, Class S**		-		850,830		9,677		841,153		8,890,982		-		-		66
International Equity Fund, Class S**		-		853,774		6,677		847,097		13,138,480		-		-		1,940
Large Cap Growth Fund, Class S*		-		694,506		7,160		687,346		6,639,762		-		-		2,879
Large Cap Value Fund, Class S*		-		333,910		3,170		330,740		3,591,840		-		-		676
Main Street Small/Mid Cap Fund, Class S**		-		1,180,230		-		1,180,230		13,560,839		-		-		-
Mid Cap Growth Equity Fund, Class S*		-		749,276		-		749,276		8,923,873		-		-		-
Mid Cap Growth Equity II Fund, Class Z*		-		616,856		6,101		610,755		10,346,183		-		-		3,739
Mid-Cap Value Fund, Class S*		-		1,777,423		12,746		1,764,677		19,093,800		-		-		4,919
Money Market Fund, Class S**		-		1,084,154		-		1,084,154		1,084,154		1		-		-
Oppenheimer Commodity Strategy Total Return Fund, Class Y***		-		4,751,461		36,595		4,714,866		17,633,598		-		-		(1,388	)
Oppenheimer Developing Markets Fund, Class Y***		-		79,091		-		79,091		2,816,427		-		-		-
Oppenheimer Real Estate Fund, Class Y***		-		978,660		6,534		972,126		20,346,593		54,885		-		1,869
Overseas Fund, Class Z*		-		5,315,558		26,837		5,288,721		40,776,037		-		-		4,376
PIMCO Total Return Fund, Class Z*		-		1,386,103		147,631		1,238,472		12,880,111		-		-		(1,281	)
Short-Duration Bond Fund, Class Z**		-		3,626,519		190,662		3,435,857		37,004,184		-		-		(3,574	)
Small Cap Growth Equity Fund, Class Z*		-		313,823		3,659		310,164		5,846,591		-		-		3,231
Small Cap Value Equity Fund, Class S*		-		808,520		6,918		801,602		7,983,957		-		-		2,382
Small Company Growth Fund, Class S*		-		437,452		3,107		434,345		4,838,599		-		-		1,867
Small Company Value Fund, Class Z*		-		263,752		2,381		261,371		3,784,656		-		-		1,316
Strategic Bond Fund, Class S*		-		1,265,845		63,470		1,202,375		11,879,465		-		-		(2,384	)
Strategic Emerging Markets Fund, Class Z**		-		1,404,877		8,427		1,396,450		22,887,819		-		-		3,733
Value Fund, Class S**		-		69,576		-		69,576		1,069,383		-		-		-
									$	567,033,532	$	54,886	$	-	$	35,217
RetireSMART Moderate Growth Fund
BlackRock Global Allocation Fund, Class S*		-		356,352		2,560		353,792	$	3,941,246	$	-	$	-	$	490
Blue Chip Growth Fund, Class S*		-		1,178,430		7,586		1,170,844		13,289,077		-		-		4,176
Core Bond Fund, Class Z**		-		2,512,017		127,461		2,384,556		26,945,484		-		-		(6,312	)
Core Opportunities Fund, Class S*		-		472,972		2,947		470,025		4,563,940		-		-		938
Disciplined Growth Fund, Class S**		-		3,625,224		17,100		3,608,124		36,225,569		-		-		6,258
Disciplined Value Fund, Class S**		-		2,936,215		16,205		2,920,010		30,893,702		-		-		3,980
Diversified Bond Fund, Class Z**		-		321,695		77,153		244,542		2,645,939		-		-		(3,086	)
Diversified International Fund, Class S*		-		2,350,651		16,006		2,334,645		16,762,751		-		-		2,787
Diversified Value Fund, Class S*		-		1,441,628		8,982		1,432,646		13,681,769		-		-		2,227
Focused International Fund, Class Z**		-		409,943		4,664		405,279		4,980,877		-		-		1,468
Focused Value Fund, Class Z*		-		354,109		3,091		351,018		6,514,891		-		-		2,345
Fundamental Value Fund, Class Z*		-		1,956,198		13,060		1,943,138		21,257,931		-		-		3,162
Growth Opportunities Fund, Class S*		-		1,772,067		11,309		1,760,758		13,399,370		-		-		4,181
High Yield Fund, Class Z**		-		153,632		9,294		144,338		1,323,576		-		-		190
Inflation-Protected and Income Fund, Class Z**		-		448,248		5,066		443,182		4,959,207		-		-		206
International Bond Fund, Class S**		-		477,744		8,059		469,685		4,964,566		-		-		17
International Equity Fund, Class S**		-		926,070		7,402		918,668		14,248,544		-		-		2,280
Large Cap Growth Fund, Class S*		-		951,684		11,873		939,811		9,078,575		-		-		5,220
Large Cap Value Fund, Class S*		-		465,753		2,634		463,119		5,029,467		-		-		607
Main Street Small/Mid Cap Fund, Class S**		-		1,139,228		-		1,139,228		13,089,728		-		-		-
Mid Cap Growth Equity Fund, Class S*		-		369,108		-		369,108		4,396,072		-		-		-
Mid Cap Growth Equity II Fund, Class Z*		-		787,685		5,065		782,620		13,257,591		-		-		3,337

89

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 6/30/11		Value as of 6/30/11		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART Moderate Growth Fund (Continued)
Mid-Cap Value Fund, Class S*		-		1,600,137		10,580		1,589,557	$	17,199,006	$	-	$	-	$	4,408
Oppenheimer Commodity Strategy Total Return Fund, Class Y***		-		4,245,820		38,051		4,207,769		15,737,056		-		-		(1,337	)
Oppenheimer Developing Markets Fund, Class Y***		-		59,105		-		59,105		2,104,732		-		-		-
Oppenheimer Real Estate Fund, Class Y***		-		779,481		5,445		774,036		16,200,570		43,742		-		1,443
Overseas Fund, Class Z*		-		5,444,843		37,186		5,407,657		41,693,034		-		-		6,430
PIMCO Total Return Fund, Class Z*		-		618,551		103,257		515,294		5,359,063		-		-		(997	)
Short-Duration Bond Fund, Class Z**		-		784,336		131,212		653,124		7,034,142		-		-		(2,586	)
Small Cap Growth Equity Fund, Class Z*		-		426,031		4,554		421,477		7,944,850		-		-		4,297
Small Cap Value Equity Fund, Class S*		-		948,804		8,621		940,183		9,364,224		-		-		3,143
Small Company Growth Fund, Class S*		-		578,192		5,149		573,043		6,383,695		-		-		3,349
Small Company Value Fund, Class Z*		-		439,370		3,953		435,417		6,304,842		-		-		2,338
Strategic Bond Fund, Class S*		-		408,070		42,290		365,780		3,613,909		-		-		(1,692	)
Strategic Emerging Markets Fund, Class Z**		-		1,301,841		8,747		1,293,094		21,193,810		-		-		4,229
Value Fund, Class S**		-		114,028		-		114,028		1,752,610		-		-		-
									$	427,335,415	$	43,742	$	-	$	57,496
RetireSMART Growth Fund
BlackRock Global Allocation Fund, Class S*		-		8,533		-		8,533	$	95,061	$	-	$	-	$	-
Blue Chip Growth Fund, Class S*		-		259,690		824		258,866		2,938,131		-		-		311
Core Bond Fund, Class Z**		-		75,579		34,356		41,223		465,819		-		-		(1,711	)
Core Opportunities Fund, Class S*		-		83,584		239		83,345		809,279		-		-		49
Disciplined Growth Fund, Class S**		-		657,062		1,388		655,674		6,582,965		-		-		342
Disciplined Value Fund, Class S**		-		474,821		1,312		473,509		5,009,727		-		-		191
Diversified Bond Fund, Class Z**		-		2,319		-		2,319		25,091		-		-		-
Diversified International Fund, Class S*		-		494,287		1,627		492,660		3,537,296		-		-		122
Diversified Value Fund, Class S*		-		318,636		970		317,666		3,033,712		-		-		151
Focused International Fund, Class Z**		-		82,001		379		81,622		1,003,133		-		-		62
Focused Value Fund, Class Z*		-		61,670		252		61,418		1,139,912		-		-		120
Fundamental Value Fund, Class Z*		-		426,391		1,268		425,123		4,650,844		-		-		180
Growth Opportunities Fund, Class S*		-		355,504		922		354,582		2,698,371		-		-		227
High Yield Fund, Class Z**		-		6,928		-		6,928		63,532		-		-		-
Inflation-Protected and Income Fund, Class Z**		-		18,426		-		18,426		206,182		-		-		-
International Bond Fund, Class S**		-		12,605		216		12,389		130,955		-		-		(3	)
International Equity Fund, Class S**		-		160,114		751		159,363		2,471,713		-		-		87
Large Cap Growth Fund, Class S*		-		214,579		1,208		213,371		2,061,166		-		-		357
Large Cap Value Fund, Class S*		-		106,274		427		105,847		1,149,498		-		-		52
Main Street Small/Mid Cap Fund, Class S**		-		125,940		-		125,940		1,447,052		-		-		-
Mid Cap Growth Equity Fund, Class S*		-		121,790		-		121,790		1,450,513		-		-		-
Mid Cap Growth Equity II Fund, Class Z*		-		123,451		548		122,903		2,081,974		-		-		249
Mid-Cap Value Fund, Class S*		-		315,917		1,073		314,844		3,406,611		-		-		309
Oppenheimer Commodity Strategy Total Return Fund, Class Y***		-		795,085		3,074		792,011		2,962,121		-		-		(193	)
Oppenheimer Developing Markets Fund, Class Y***		-		5,860		-		5,860		208,658		-		-		-
Oppenheimer Real Estate Fund, Class Y***		-		138,046		548		137,498		2,877,834		7,742		-		101
Overseas Fund, Class Z*		-		963,122		3,621		959,501		7,397,755		-		-		296
PIMCO Total Return Fund, Class Z*		-		23,397		-		23,397		243,334		-		-		-
Short-Duration Bond Fund, Class Z**		-		24,839		8,969		15,870		170,923		-		-		(179	)
Small Cap Growth Equity Fund, Class Z*		-		84,003		370		83,633		1,576,490		-		-		259
Small Cap Value Equity Fund, Class S*		-		166,361		700		165,661		1,649,983		-		-		173
Small Company Growth Fund, Class S*		-		117,461		419		117,042		1,303,849		-		-		203
Small Company Value Fund, Class Z*		-		90,660		321		90,339		1,308,103		-		-		136
Strategic Bond Fund, Class S*		-		32,791		-		32,791		323,980		-		-		-
Strategic Emerging Markets Fund, Class Z**		-		259,970		852		259,118		4,246,951		-		-		250
Value Fund, Class S**		-		29,815		-		29,815		458,254		-		-		-
									$	71,186,772	$	7,742	$	-	$	2,141

90

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 6/30/11		Value as of 6/30/11		Dividend Income		Realized Gains Distributions			Net Realized Gain (Loss)
RetireSMART In Retirement Fund
Blue Chip Growth Fund, Class S*		46,555		18,596		13,526		51,625	$	585,948	$	-	$	-		$	70,194
Capital Appreciation Fund, Class S**		9,624		2,373		11,997		-		-		-		-			19,430
Core Bond Fund, Class S**		951,335		745,079		1,696,414		-		-		-		-			753,803
Core Bond Fund, Class Z**		-		1,699,478		130,218		1,569,260		17,732,635		-		-			(3,165	)
Core Opportunities Fund, Class S*		165,491		4,651		60,647		109,495		1,063,196		-		-			49,065
Disciplined Growth Fund, Class S**		469,860		35,314		108,336		396,838		3,984,255		-		-			250,857
Disciplined Value Fund, Class S**		421,587		51,032		86,024		386,595		4,090,171		-		-			148,250
Diversified Bond Fund, Class S**		822,677		-		822,677		-		-		-		-			725,485
Diversified International Fund, Class S*		177,434		23,280		32,324		168,390		1,209,043		-		-			94,039
Diversified Value Fund, Class S*		66,266		17,131		13,598		69,799		666,580		-		-			43,264
Focused International Fund, Class S**		45,119		4,585		49,704		-		-		-		-			107,221
Focused International Fund, Class Z**		-		45,243		7,021		38,222		469,750		-		-			(1,723	)
Focused Value Fund, Class S*		105,021		7,602		112,623		-		-		-		-			805,067
Focused Value Fund, Class Z*		-		98,053		16,497		81,556		1,513,677		-		-			876
Fundamental Value Fund, Class S*		99,043		14,602		113,645		-		-		-		-			289,139
Fundamental Value Fund, Class Z*		-		104,364		5,180		99,184		1,085,077		-		-			249
Growth Opportunities Fund, Class S*		66,289		14,584		18,444		62,429		475,088		-		-			70,504
High Yield Fund, Class S**		240,532		29,493		270,025		-		-		-		-			199,904
High Yield Fund, Class Z**		-		212,560		28,255		184,305		1,690,078		-		-			(2,260	)
Inflation-Protected and Income Fund, Class S**		1,094,837		254,704		1,349,541		-		-		-		-			1,151,960
Inflation-Protected and Income Fund, Class Z**		-		1,218,810		73,404		1,145,406		12,817,091		-		-			(893	)
International Bond Fund, Class S**		424,294		88,337		74,925		437,706		4,626,548		-		-			31,100
International Equity Fund, Class S**		94,264		6,879		24,256		76,887		1,192,520		-		-			155,465
Large Cap Growth Fund, Class S*		96,777		15,792		28,941		83,628		807,849		-		-			79,617
Large Cap Value Fund, Class S*		21,782		3,319		9,677		15,424		167,510		-		-			31,822
Main Street Small/Mid Cap Fund, Class S**		5,933		0		832		5,101		58,609		-		-			1,347
Mid Cap Growth Equity Fund, Class S*		39,987		1,035		8,981		32,041		381,606		-		-			49,829
Mid Cap Growth Equity II Fund, Class S*		54,009		30,007		84,016		-		-		-		-			342,852
Mid Cap Growth Equity II Fund, Class Z*		-		66,819		3,385		63,434		1,074,579		-		-			378
Mid-Cap Value Fund, Class S*		114,093		42,585		18,294		138,384		1,497,314		-		-			8,734
Money Market Fund, Class S**		1,276,417		1,253,277		154,964		2,374,730		2,374,730		26		-			-
Oppenheimer Commodity Strategy Total Return Fund, Class Y***		801,241		58,379		277,460		582,160		2,177,276		-		-	��		256,087
Oppenheimer Developing Markets Fund, Class Y***		-		13,965		-		13,965		497,289		-		-			-
Oppenheimer Real Estate Fund, Class Y***		176,585		4,159		40,415		140,329		2,937,093		14,639		-			406,375
Overseas Fund, Class S*		492,400		17,661		510,061		-		-		-		-			1,075,199
Overseas Fund, Class Z*		-		463,049		20,527		442,522		3,411,848		-		-			(326	)
PIMCO Total Return Fund, Class S*		366,069		86,340		452,409		-		-		-		-			64,316
PIMCO Total Return Fund, Class Z*		-		419,013		23,748		395,265		4,110,756		-		-			(1,187	)
Short-Duration Bond Fund, Class S**		2,143,830		79,828		2,223,658		-		-		-		-			1,254,500
Short-Duration Bond Fund, Class Z**		-		1,756,000		125,792		1,630,208		17,557,338		-		-			(2,039	)
Small Cap Growth Equity Fund, Class S*		21,207		17,422		38,629		-		-		-		-			98,014
Small Cap Growth Equity Fund, Class Z*		-		45,296		2,142		43,154		813,461		-		-			815
Small Cap Value Equity Fund, Class S*		56,271		27,735		7,596		76,410		761,045		-		-			35,319
Small Company Growth Fund, Class S*		63,584		7,318		24,450		46,452		517,480		-		-			129,479
Small Company Value Fund, Class S*		49,476		890		50,366		-		-		-		-			183,326
Small Company Value Fund, Class Z*		-		49,530		1,846		47,684		690,466		-		-			498
Strategic Bond Fund, Class S*		366,661		67,847		75,168		359,340		3,550,284		-		-			100,723
Strategic Emerging Markets Fund, Class S**		224,714		4,549		229,263		-		-		-		-			780,617
Strategic Emerging Markets Fund, Class Z**		-		196,169		9,295		186,874		3,062,862		-		-			(2,875	)
Value Fund, Class S**		9,792		2,460		3,710		8,542		131,288		-		-			7,806
									$	99,782,340	$	14,665	$	-		$	9,859,057

91

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 6/30/11		Value as of 6/30/11		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2010 Fund
Blue Chip Growth Fund, Class S*		92,393		21,486		23,450		90,429	$	1,026,368	$	-	$	-	$	82,732
Capital Appreciation Fund, Class S**		4,985		5,959		10,944		-		-		-		-		2,729
Core Bond Fund, Class S**		1,017,012		615,538		1,632,550		-		-		-		-		499,391
Core Bond Fund, Class Z**		-		1,698,403		165,705		1,532,698		17,319,487		-		-		(4,110	)
Core Opportunities Fund, Class S*		164,666		18,515		60,536		122,645		1,190,883		-		-		46,186
Disciplined Growth Fund, Class S**		683,227		108,180		186,265		605,142		6,075,624		-		-		542,922
Disciplined Value Fund, Class S**		619,361		112,243		157,951		573,653		6,069,249		-		-		107,435
Diversified Bond Fund, Class S**		670,462		-		670,462		-		-		-		-		435,563
Diversified International Fund, Class S*		341,011		43,541		64,062		320,490		2,301,116		-		-		149,220
Diversified Value Fund, Class S*		123,210		20,908		21,886		122,232		1,167,313		-		-		72,128
Focused International Fund, Class S**		70,629		18,041		88,670		-		-		-		-		186,731
Focused International Fund, Class Z**		-		85,591		14,286		71,305		876,343		-		-		(2,949	)
Focused Value Fund, Class S*		105,573		11,543		117,116		-		-		-		-		726,725
Focused Value Fund, Class Z*		-		111,084		19,791		91,293		1,694,395		-		-		2,084
Fundamental Value Fund, Class S*		149,849		29,525		179,374		-		-		-		-		361,302
Fundamental Value Fund, Class Z*		-		171,659		11,468		160,191		1,752,485		-		-		952
Growth Opportunities Fund, Class S*		110,603		30,301		31,662		109,242		831,335		-		-		114,136
High Yield Fund, Class S**		188,178		47,770		235,948		-		-		-		-		97,685
High Yield Fund, Class Z**		-		218,571		30,154		188,417		1,727,784		-		-		(2,412	)
Inflation-Protected and Income Fund, Class S**		762,638		296,573		1,059,211		-		-		-		-		806,784
Inflation-Protected and Income Fund, Class Z**		-		1,021,540		88,009		933,531		10,446,217		-		-		(1,475	)
International Bond Fund, Class S**		269,027		130,176		61,722		337,481		3,567,176		-		-		79,029
International Equity Fund, Class S**		159,231		22,122		41,334		140,019		2,171,697		-		-		252,920
Large Cap Growth Fund, Class S*		163,759		25,570		43,556		145,773		1,408,166		-		-		119,956
Large Cap Value Fund, Class S*		36,724		10,268		20,526		26,466		287,423		-		-		49,164
Main Street Small/Mid Cap Fund, Class S**		26,807		1,776		2,136		26,447		303,878		-		-		5,005
Mid Cap Growth Equity Fund, Class S*		83,199		6,968		18,753		71,414		850,536		-		-		78,325
Mid Cap Growth Equity II Fund, Class S*		108,682		49,001		157,683		-		-		-		-		499,083
Mid Cap Growth Equity II Fund, Class Z*		-		138,301		9,410		128,891		2,183,418		-		-		2,394
Mid-Cap Value Fund, Class S*		245,247		98,948		63,825		280,370		3,033,604		-		-		99,095
Money Market Fund, Class S**		482,641		1,318,894		235,123		1,566,412		1,566,412		16		-		-
Oppenheimer Commodity Strategy Total Return Fund, Class Y***		913,550		117,595		307,865		723,280		2,705,067		-		-		176,868
Oppenheimer Developing Markets Fund, Class Y***		-		15,285		-		15,285		544,285		-		-		-
Oppenheimer Real Estate Fund, Class Y***		199,283		14,631		45,241		168,673		3,530,336		17,389		-		433,498
Overseas Fund, Class S*		761,194		67,322		828,516		-		-		-		-		1,762,662
Overseas Fund, Class Z*		-		839,296		51,157		788,139		6,076,552		-		-		1,193
PIMCO Total Return Fund, Class S*		385,771		74,273		460,044		-		-		-		-		61,559
PIMCO Total Return Fund, Class Z*		-		448,971		26,002		422,969		4,398,878		-		-		(1,300	)
Short-Duration Bond Fund, Class S**		1,403,410		99,496		1,502,906		-		-		-		-		484,625
Short-Duration Bond Fund, Class Z**		-		1,272,610		129,614		1,142,996		12,310,064		-		-		(2,221	)
Small Cap Growth Equity Fund, Class S*		31,896		36,254		68,150		-		-		-		-		84,066
Small Cap Growth Equity Fund, Class Z*		-		78,286		6,058		72,228		1,361,505		-		-		3,398
Small Cap Value Equity Fund, Class S*		89,563		65,559		17,599		137,523		1,369,732		-		-		74,530
Small Company Growth Fund, Class S*		67,079		35,827		21,661		81,245		905,069		-		-		114,657
Small Company Value Fund, Class S*		76,389		9,312		85,701		-		-		-		-		266,596
Small Company Value Fund, Class Z*		-		84,776		5,281		79,495		1,151,091		-		-		1,935
Strategic Bond Fund, Class S*		268,156		108,657		65,725		311,088		3,073,550		-		-		91,100
Strategic Emerging Markets Fund, Class S**		313,548		15,642		329,190		-		-		-		-		563,546
Strategic Emerging Markets Fund, Class Z**		-		261,530		14,561		246,969		4,047,829		-		-		(2,836	)
Value Fund, Class S**		27,936		1,617		9,817		19,736		303,344		-		-		48,372
									$	109,628,211	$	17,405	$	-	$	9,570,978

92

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 6/30/11		Value as of 6/30/11		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2015 Fund
Blue Chip Growth Fund, Class S*		2,431		828		732		2,527	$	28,686	$	-	$	-	$	1,039
Capital Appreciation Fund, Class S**		545		-		545		-		-		-		-		418
Core Bond Fund, Class S**		8,512		7,512		16,024		-		-		-		-		1,998
Core Bond Fund, Class Z**		-		16,698		1,457		15,241		172,221		-		-		(37	)
Core Opportunities Fund, Class S*		2,023		824		803		2,044		19,845		-		-		1,184
Disciplined Growth Fund, Class S**		7,770		3,842		1,174		10,438		104,798		-		-		1,320
Disciplined Value Fund, Class S**		7,161		3,489		1,026		9,624		101,818		-		-		841
Diversified Bond Fund, Class S**		4,289		-		4,289		-		-		-		-		1,215
Diversified International Fund, Class S*		7,153		1,943		1,985		7,111		51,059		-		-		363
Diversified Value Fund, Class S*		2,884		1,098		657		3,325		31,757		-		-		567
Focused International Fund, Class S**		1,751		411		2,162		-		-		-		-		1,860
Focused International Fund, Class Z**		-		1,862		264		1,598		19,644		-		-		(75	)
Focused Value Fund, Class S*		1,307		474		1,781		-		-		-		-		1,950
Focused Value Fund, Class Z*		-		1,728		273		1,455		27,003		-		-		-
Fundamental Value Fund, Class S*		4,173		1,603		5,776		-		-		-		-		3,155
Fundamental Value Fund, Class Z*		-		4,875		170		4,705		51,468		-		-		(7	)
Growth Opportunities Fund, Class S*		3,134		1,203		1,205		3,132		23,834		-		-		1,572
High Yield Fund, Class S**		2,956		2,128		5,084		-		-		-		-		1,548
High Yield Fund, Class Z**		-		4,819		483		4,336		39,763		-		-		(39	)
Inflation-Protected and Income Fund, Class S**		7,065		6,263		13,328		-		-		-		-		8,255
Inflation-Protected and Income Fund, Class Z**		-		12,734		772		11,962		133,855		-		-		16
International Bond Fund, Class S**		3,261		2,698		484		5,475		57,874		-		-		143
International Equity Fund, Class S**		2,517		891		604		2,804		43,494		-		-		968
Large Cap Growth Fund, Class S*		3,585		1,122		938		3,769		36,404		-		-		1,007
Large Cap Value Fund, Class S*		1,176		437		762		851		9,243		-		-		707
Main Street Small/Mid Cap Fund, Class S**		1,223		-		183		1,040		11,945		-		-		263
Mid Cap Growth Equity Fund, Class S*		1,365		528		462		1,431		17,041		-		-		990
Mid Cap Growth Equity II Fund, Class S*		2,140		797		2,937		-		-		-		-		5,434
Mid Cap Growth Equity II Fund, Class Z*		-		2,678		104		2,574		43,606		-		-		(12	)
Mid-Cap Value Fund, Class S*		4,641		1,769		922		5,488		59,383		-		-		1,230
Money Market Fund, Class S**		-		1,713		88		1,625		1,625		-		-		-
Oppenheimer Commodity Strategy Total Return Fund, Class Y***		10,841		5,401		3,695		12,547		46,927		-		-		1,531
Oppenheimer Developing Markets Fund, Class Y***		-		238		-		238		8,471		-		-		-
Oppenheimer Real Estate Fund, Class Y***		2,644		958		327		3,275		68,553		324		-		1,169
Overseas Fund, Class S*		12,696		4,063		16,759		-		-		-		-		8,198
Overseas Fund, Class Z*		-		16,795		607		16,188		124,810		-		-		(60	)
PIMCO Total Return Fund, Class S*		4,460		1,394		5,854		-		-		-		-		959
PIMCO Total Return Fund, Class Z*		-		5,520		405		5,115		53,200		-		-		(20	)
Short-Duration Bond Fund, Class S**		9,594		3,150		12,744		-		-		-		-		1,171
Short-Duration Bond Fund, Class Z**		-		11,022		1,416		9,606		103,456		-		-		(25	)
Small Cap Growth Equity Fund, Class S*		1,182		604		1,786		-		-		-		-		2,317
Small Cap Growth Equity Fund, Class Z*		-		1,779		82		1,697		31,997		-		-		4
Small Cap Value Equity Fund, Class S*		1,714		1,420		232		2,902		28,906		-		-		313
Small Company Growth Fund, Class S*		1,731		825		414		2,142		23,865		-		-		971
Small Company Value Fund, Class S*		1,557		548		2,105		-		-		-		-		2,124
Small Company Value Fund, Class Z*		-		1,859		70		1,789		25,901		-		-		5
Strategic Bond Fund, Class S*		2,777		1,853		663		3,967		39,193		-		-		195
Strategic Emerging Markets Fund, Class S**		3,960		1,239		5,199		-		-		-		-		848
Strategic Emerging Markets Fund, Class Z**		-		4,576		171		4,405		72,203		-		-		(53	)
Value Fund, Class S**		426		20		39		407		6,263		-		-		80
									$	1,720,111	$	324	$	-	$	57,600

93

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 6/30/11		Value as of 6/30/11		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2020 Fund
Blue Chip Growth Fund, Class S*		764,310		115,000		159,195		720,115	$	8,173,304	$	-	$	-	$	15,635
Capital Appreciation Fund, Class S**		146,090		7,474		153,564		-		-		-		-		334,693
Core Bond Fund, Class S**		1,795,781		547,806		2,343,587		-		-		-		-		644,965
Core Bond Fund, Class Z**		-		2,503,668		277,667		2,226,001		25,153,806		-		-		(10,827	)
Core Opportunities Fund, Class S*		551,348		50,059		156,016		445,391		4,324,749		-		-		125,766
Disciplined Growth Fund, Class S**		2,904,435		530,946		525,677		2,909,704		29,213,431		-		-		(276,506	)
Disciplined Value Fund, Class S**		2,570,378		406,588		430,948		2,546,018		26,936,873		-		-		(1,194,877	)
Diversified Bond Fund, Class S**		552,418		-		552,418		-		-		-		-		361,934
Diversified International Fund, Class S*		1,883,284		186,540		298,006		1,771,818		12,721,653		-		-		(707,103	)
Diversified Value Fund, Class S*		1,080,284		111,622		182,321		1,009,585		9,641,537		-		-		123,369
Focused International Fund, Class S**		395,446		87,804		483,250		-		-		-		-		1,294,653
Focused International Fund, Class Z**		-		456,834		64,847		391,987		4,817,519		-		-		(14,119	)
Focused Value Fund, Class S*		363,009		45,125		408,134		-		-		-		-		2,086,215
Focused Value Fund, Class Z*		-		409,328		62,711		346,617		6,433,205		-		-		5,731
Fundamental Value Fund, Class S*		1,412,813		126,717		1,539,530		-		-		-		-		1,676,146
Fundamental Value Fund, Class Z*		-		1,394,896		53,222		1,341,674		14,677,918		-		-		5,259
Growth Opportunities Fund, Class S*		1,146,169		104,638		311,328		939,479		7,149,435		-		-		86,164
High Yield Fund, Class S**		908,339		314,004		1,222,343		-		-		-		-		669,827
High Yield Fund, Class Z**		-		1,152,712		105,719		1,046,993		9,600,925		-		-		(8,458	)
Inflation-Protected and Income Fund, Class S**		1,228,104		433,574		1,661,678		-		-		-		-		1,325,405
Inflation-Protected and Income Fund, Class Z**		-		1,614,975		128,095		1,486,880		16,638,185		-		-		(1,529	)
International Bond Fund, Class S**		890,199		431,184		120,039		1,201,344		12,698,203		-		-		17,216
International Equity Fund, Class S**		898,159		87,644		201,448		784,355		12,165,353		-		-		(485,787	)
Large Cap Growth Fund, Class S*		1,258,520		129,624		259,623		1,128,521		10,901,515		-		-		717,299
Large Cap Value Fund, Class S*		304,906		47,247		115,306		236,847		2,572,161		-		-		263,642
Main Street Small/Mid Cap Fund, Class S**		1,367,922		-		41,694		1,326,228		15,238,360		-		-		42,384
Mid Cap Growth Equity Fund, Class S*		458,494		27,557		41,665		444,386		5,292,635		-		-		43,811
Mid Cap Growth Equity II Fund, Class S*		533,258		99,730		632,988		-		-		-		-		2,109,488
Mid Cap Growth Equity II Fund, Class Z*		-		588,547		26,105		562,442		9,527,770		-		-		7,568
Mid-Cap Value Fund, Class S*		1,339,260		243,501		213,482		1,369,279		14,815,604		-		-		(19,815	)
Money Market Fund, Class S**		-		53,928		5,806		48,122		48,122		-		-		-
Oppenheimer Commodity Strategy Total Return Fund, Class Y***		3,211,554		728,738		844,802		3,095,490		11,577,131		-		-		569,855
Oppenheimer Developing Markets Fund, Class Y***		-		53,922		-		53,922		1,920,177		-		-		-
Oppenheimer Real Estate Fund, Class Y***		806,131		71,255		68,350		809,036		16,933,122		79,118		-		629,743
Overseas Fund, Class S*		4,589,579		243,635		4,833,214		-		-		-		-		9,408,142
Overseas Fund, Class Z*		-		4,648,251		167,368		4,480,883		34,547,608		-		-		6,168
PIMCO Total Return Fund, Class S*		1,034,235		83,433		1,117,668		-		-		-		-		135,940
PIMCO Total Return Fund, Class Z*		-		955,431		91,715		863,716		8,982,643		-		-		(4,586	)
Short-Duration Bond Fund, Class S**		1,830,740		258,804		2,089,544		-		-		-		-		298,519
Short-Duration Bond Fund, Class Z**		-		1,792,354		292,143		1,500,211		16,157,272		-		-		(6,031	)
Small Cap Growth Equity Fund, Class S*		99,230		85,585		184,815		-		-		-		-		315,569
Small Cap Growth Equity Fund, Class Z*		-		217,500		21,483		196,017		3,694,923		-		-		13,093
Small Cap Value Equity Fund, Class S*		395,802		154,408		121,313		428,897		4,271,814		-		-		179,092
Small Company Growth Fund, Class S*		274,420		184,049		78,777		379,692		4,229,769		-		-		404,749
Small Company Value Fund, Class S*		209,401		99,711		309,112		-		-		-		-		650,669
Small Company Value Fund, Class Z*		-		327,071		18,618		308,453		4,466,394		-		-		7,450
Strategic Bond Fund, Class S*		439,705		150,372		105,646		484,431		4,786,179		-		-		144,016
Strategic Emerging Markets Fund, Class S**		1,197,644		55,962		1,253,606		-		-		-		-		2,988,563
Strategic Emerging Markets Fund, Class Z**		-		1,154,522		44,842		1,109,680		18,187,656		-		-		(7,241	)
Value Fund, Class S**		105,923		22,275		34,575		93,623		1,438,979		-		-		134,373
									$	389,935,930	$	79,118	$	-	$	25,106,232

94

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 6/30/11		Value as of 6/30/11		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2025 Fund
Blue Chip Growth Fund, Class S*		3,141		931		563		3,509	$	39,822	$	-	$	-	$	768
Capital Appreciation Fund, Class S**		596		10		606		-		-		-		-		388
Core Bond Fund, Class S **		4,009		1,098		5,107		-		-		-		-		(285	)
Core Bond Fund, Class Z**		-		5,444		579		4,865		54,973		-		-		(35	)
Core Opportunities Fund, Class S*		1,864		525		626		1,763		17,116		-		-		946
Disciplined Growth Fund, Class S**		10,019		3,769		2,543		11,245		112,899		-		-		3,484
Disciplined Value Fund, Class S**		9,395		2,972		2,236		10,131		107,185		-		-		2,344
Diversified Bond Fund, Class S**		80		-		80		-		-		-		-		20
Diversified International Fund, Class S*		7,485		2,018		1,398		8,105		58,193		-		-		210
Diversified Value Fund, Class S*		3,788		1,276		348		4,716		45,040		-		-		312
Focused International Fund, Class S**		1,810		489		2,299		-		-		-		-		1,794
Focused International Fund, Class Z**		-		2,124		221		1,903		23,382		-		-		(60	)
Focused Value Fund, Class S*		1,205		338		1,543		-		-		-		-		1,831
Focused Value Fund, Class Z*		-		1,504		176		1,328		24,644		-		-		4
Fundamental Value Fund, Class S*		5,356		1,525		6,881		-		-		-		-		3,685
Fundamental Value Fund, Class Z*		-		6,528		2		6,526		71,392		-		-		-
Growth Opportunities Fund, Class S*		4,199		1,148		773		4,574		34,805		-		-		982
High Yield Fund, Class S**		3,099		3,004		6,103		-		-		-		-		1,558
High Yield Fund, Class Z**		-		5,423		417		5,006		45,906		-		-		(33	)
Inflation-Protected and Income Fund, Class S**		2,000		1,876		3,876		-		-		-		-		2,034
Inflation-Protected and Income Fund, Class Z**		-		3,655		270		3,385		37,880		-		-		(3	)
International Bond Fund, Class S**		2,888		2,399		390		4,897		51,761		-		-		147
International Equity Fund, Class S**		2,753		1,398		728		3,423		53,094		-		-		1,245
Large Cap Growth Fund, Class S*		4,781		1,518		871		5,428		52,430		-		-		885
Large Cap Value Fund, Class S*		1,572		404		654		1,322		14,353		-		-		565
Main Street Small/Mid Cap Fund, Class S**		1,174		2		37		1,139		13,093		-		-		53
Mid Cap Growth Equity Fund, Class S*		1,775		478		467		1,786		21,272		-		-		1,057
Mid Cap Growth Equity II Fund, Class S*		2,453		500		2,953		-		-		-		-		6,728
Mid Cap Growth Equity II Fund, Class Z*		-		2,622		1		2,621		44,395		-		-		-
Mid-Cap Value Fund, Class S*		5,043		1,496		742		5,797		62,722		-		-		1,131
Oppenheimer Commodity Strategy Total Return Fund, Class Y***		10,886		7,004		3,740		14,150		52,921		-		-		1,591
Oppenheimer Developing Markets Fund, Class Y***		-		212		-		212		7,564		-		-		-
Oppenheimer Real Estate Fund, Class Y***		2,585		967		313		3,239		67,788		308		-		1,318
Overseas Fund, Class S*		17,168		3,936		21,104		-		-		-		-		10,344
Overseas Fund, Class Z*		-		20,175		7		20,168		155,492		-		-		-
PIMCO Total Return Fund, Class S*		2,499		390		2,889		-		-		-		-		325
PIMCO Total Return Fund, Class Z*		-		2,273		366		1,907		19,833		-		-		(18	)
Short-Duration Bond Fund, Class S**		4,469		922		5,391		-		-		-		-		105
Short-Duration Bond Fund, Class Z**		-		4,573		947		3,626		39,047		-		-		(21	)
Small Cap Growth Equity Fund, Class S*		1,311		579		1,890		-		-		-		-		2,599
Small Cap Growth Equity Fund, Class Z*		-		1,945		1		1,944		36,648		-		-		-
Small Cap Value Equity Fund, Class S*		1,893		1,649		161		3,381		33,678		-		-		253
Small Company Growth Fund, Class S*		1,948		839		341		2,446		27,245		-		-		872
Small Company Value Fund, Class S*		1,876		534		2,410		-		-		-		-		2,628
Small Company Value Fund, Class Z*		-		2,030		1		2,029		29,380		-		-		-
Strategic Bond Fund, Class S*		909		715		342		1,282		12,669		-		-		115
Strategic Emerging Markets Fund, Class S**		4,330		1,064		5,394		-		-		-		-		119
Strategic Emerging Markets Fund, Class Z**		-		4,726		2		4,724		77,432		-		-		-
Value Fund, Class S**		456		66		34		488		7,500		-		-		48
									$	1,553,554	$	308	$	-	$	52,033

95

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 6/30/11		Value as of 6/30/11		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2030 Fund
Blue Chip Growth Fund, Class S*		940,712		92,043		201,549		831,206	$	9,434,181	$	-	$	-	$	(44,389	)
Capital Appreciation Fund, Class S**		315,239		-		315,239		-		-		-		-		651,921
Core Bond Fund, Class S**		604,803		161,866		766,669		-		-		-		-		7,174
Core Bond Fund, Class Z**		-		902,696		182,359		720,337		8,139,811		-		-		(8,734	)
Core Opportunities Fund, Class S*		439,547		41,474		122,049		358,972		3,485,617		-		-		98,354
Disciplined Growth Fund, Class S**		1,684,986		666,300		178,950		2,172,336		21,810,249		-		-		(97,007	)
Disciplined Value Fund, Class S**		1,600,543		440,137		168,094		1,872,586		19,811,962		-		-		(472,049	)
Diversified Bond Fund, Class S**		4,267		-		4,267		-		-		-		-		(785	)
Diversified International Fund, Class S*		1,696,502		298,645		238,177		1,756,970		12,615,043		-		-		(581,446	)
Diversified Value Fund, Class S*		1,309,667		117,738		246,507		1,180,898		11,277,578		-		-		(117,998	)
Focused International Fund, Class S**		361,516		114,809		476,325		-		-		-		-		1,077,816
Focused International Fund, Class Z**		-		468,802		64,351		404,451		4,970,702		-		-		(14,272	)
Focused Value Fund, Class S*		292,066		28,465		320,531		-		-		-		-		1,583,963
Focused Value Fund, Class Z*		-		316,727		47,750		268,977		4,992,209		-		-		4,440
Fundamental Value Fund, Class S*		1,777,074		115,008		1,892,082		-		-		-		-		1,795,124
Fundamental Value Fund, Class Z*		-		1,630,281		54,649		1,575,632		17,237,413		-		-		5,646
Growth Opportunities Fund, Class S*		1,403,165		123,733		414,038		1,112,860		8,468,868		-		-		4,763
High Yield Fund, Class S**		624,546		194,133		818,679		-		-		-		-		401,841
High Yield Fund, Class Z**		-		793,787		85,796		707,991		6,492,283		-		-		(6,864	)
Inflation-Protected and Income Fund, Class S**		472,726		130,667		603,393		-		-		-		-		505,428
Inflation-Protected and Income Fund, Class Z**		-		583,088		72,532		510,556		5,713,125		-		-		(774	)
International Bond Fund, Class S**		499,319		306,164		54,414		751,069		7,938,795		-		-		6,405
International Equity Fund, Class S**		754,052		157,851		163,250		748,653		11,611,615		-		-		(285,294	)
Large Cap Growth Fund, Class S*		1,536,514		148,338		368,877		1,315,975		12,712,321		-		-		1,036,361
Large Cap Value Fund, Class S*		419,725		46,816		179,414		287,127		3,118,196		-		-		185,530
Main Street Small/Mid Cap Fund, Class S**		893,690		-		29,029		864,661		9,934,949		-		-		31,448
Mid Cap Growth Equity Fund, Class S*		529,222		28,924		57,716		500,430		5,960,126		-		-		58,279
Mid Cap Growth Equity II Fund, Class S*		522,727		30,274		553,001		-		-		-		-		1,808,510
Mid Cap Growth Equity II Fund, Class Z*		-		500,067		21,309		478,758		8,110,153		-		-		6,517
Mid-Cap Value Fund, Class S*		1,238,533		157,057		143,775		1,251,815		13,544,641		-		-		(228,090	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y***		2,693,692		810,184		652,605		2,851,271		10,663,752		-		-		477,051
Oppenheimer Developing Markets Fund, Class Y***		-		43,758		-		43,758		1,558,227		-		-		-
Oppenheimer Real Estate Fund, Class Y***		677,519		62,490		57,675		682,334		14,281,255		67,151		-		586,183
Overseas Fund, Class S*		4,074,130		339,563		4,413,693		-		-		-		-		8,056,739
Overseas Fund, Class Z*		-		4,519,997		150,727		4,369,270		33,687,068		-		-		5,917
PIMCO Total Return Fund, Class S*		443,873		8,793		452,666		-		-		-		-		55,691
PIMCO Total Return Fund, Class Z*		-		385,898		74,432		311,466		3,239,246		-		-		(3,722	)
Short-Duration Bond Fund, Class S**		927,800		62,497		990,297		-		-		-		-		192,181
Short-Duration Bond Fund, Class Z**		-		839,492		213,637		625,855		6,740,456		-		-		(4,614	)
Small Cap Growth Equity Fund, Class S*		216,483		79,561		296,044		-		-		-		-		655,112
Small Cap Growth Equity Fund, Class Z*		-		323,611		18,138		305,473		5,758,167		-		-		11,478
Small Cap Value Equity Fund, Class S*		493,625		139,173		73,018		559,780		5,575,409		-		-		69,171
Small Company Growth Fund, Class S*		244,734		164,351		60,085		349,000		3,887,855		-		-		314,121
Small Company Value Fund, Class S*		303,398		45,897		349,295		-		-		-		-		834,424
Small Company Value Fund, Class Z*		-		368,696		15,793		352,903		5,110,038		-		-		6,577
Strategic Bond Fund, Class S*		117,778		115,006		48,965		183,819		1,816,129		-		-		65,160
Strategic Emerging Markets Fund, Class S**		1,076,465		55,447		1,131,912		-		-		-		-		2,935,684
Strategic Emerging Markets Fund, Class Z**		-		1,055,864		37,642		1,018,222		16,688,665		-		-		(5,906	)
Value Fund, Class S**		103,937		34,533		54,286		84,184		1,293,912		-		-		200,021
									$	317,680,016	$	67,151	$	-	$	21,863,086

96

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 6/30/11		Value as of 6/30/11		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2035 Fund
Blue Chip Growth Fund, Class S*		3,631		1,222		567		4,286	$	48,649	$	-	$	-	$	749
Capital Appreciation Fund, Class S**		470		100		570		-		-		-		-		299
Core Bond Fund, Class S**		2,644		1,225		3,869		-		-		-		-		168
Core Bond Fund, Class Z**		-		4,424		596		3,828		43,255		-		-		(35	)
Core Opportunities Fund, Class S*		1,558		735		492		1,801		17,491		-		-		706
Disciplined Growth Fund, Class S**		7,734		4,588		1,132		11,190		112,346		-		-		1,512
Disciplined Value Fund, Class S**		7,338		3,631		1,056		9,913		104,880		-		-		1,087
Diversified Bond Fund, Class S**		95		-		95		-		-		-		-		25
Diversified International Fund, Class S*		7,229		3,268		1,089		9,408		67,551		-		-		127
Diversified Value Fund, Class S*		4,535		1,663		375		5,823		55,607		-		-		332
Focused International Fund, Class S**		1,877		673		2,550		-		-		-		-		1,988
Focused International Fund, Class Z**		-		2,411		248		2,163		26,586		-		-		(66	)
Focused Value Fund, Class S*		1,110		446		1,556		-		-		-		-		1,649
Focused Value Fund, Class Z*		-		1,540		183		1,357		25,180		-		-		3
Fundamental Value Fund, Class S*		6,277		2,333		8,610		-		-		-		-		4,160
Fundamental Value Fund, Class Z*		-		8,003		8		7,995		87,470		-		-		-
Growth Opportunities Fund, Class S*		4,800		1,766		886		5,680		43,228		-		-		1,125
High Yield Fund, Class S**		1,285		1,640		2,925		-		-		-		-		565
High Yield Fund, Class Z**		-		2,616		428		2,188		20,068		-		-		(34	)
Inflation-Protected and Income Fund, Class S**		809		1,378		2,187		-		-		-		-		1,091
Inflation-Protected and Income Fund, Class Z**		-		2,132		278		1,854		20,745		-		-		(3	)
International Bond Fund, Class S**		2,588		1,922		226		4,284		45,283		-		-		72
International Equity Fund, Class S**		2,603		1,836		665		3,774		58,532		-		-		1,118
Large Cap Growth Fund, Class S*		5,510		2,012		863		6,659		64,326		-		-		833
Large Cap Value Fund, Class S*		1,784		713		855		1,642		17,834		-		-		747
Main Street Small/Mid Cap Fund, Class S**		721		2		-		723		8,312		-		-		-
Mid Cap Growth Equity Fund, Class S*		1,653		644		386		1,911		22,755		-		-		863
Mid Cap Growth Equity II Fund, Class S*		2,191		856		3,047		-		-		-		-		5,867
Mid Cap Growth Equity II Fund, Class Z*		-		2,870		3		2,867		48,568		-		-		3
Mid-Cap Value Fund, Class S*		4,722		2,008		283		6,447		69,757		-		-		431
Oppenheimer Commodity Strategy Total Return Fund, Class Y***		10,846		7,055		3,038		14,863		55,588		-		-		1,271
Oppenheimer Developing Markets Fund, Class Y***		-		221		-		221		7,866		-		-		-
Oppenheimer Real Estate Fund, Class Y***		2,567		1,330		376		3,521		73,700		337		-		1,561
Overseas Fund, Class S*		17,610		6,664		24,274		-		-		-		-		10,834
Overseas Fund, Class Z*		-		23,281		22		23,259		179,328		-		-		1
PIMCO Total Return Fund, Class S*		1,446		327		1,773		-		-		-		-		247
PIMCO Total Return Fund, Class Z*		-		1,454		375		1,079		11,219		-		-		(19	)
Short-Duration Bond Fund, Class S**		3,138		1,013		4,151		-		-		-		-		352
Short-Duration Bond Fund, Class Z**		-		3,321		974		2,347		25,274		-		-		(22	)
Small Cap Growth Equity Fund, Class S*		1,324		853		2,177		-		-		-		-		2,432
Small Cap Growth Equity Fund, Class Z*		-		2,268		2		2,266		42,706		-		-		-
Small Cap Value Equity Fund, Class S*		1,871		2,170		109		3,932		39,166		-		-		164
Small Company Growth Fund, Class S*		2,017		1,034		375		2,676		29,815		-		-		930
Small Company Value Fund, Class S*		1,877		704		2,581		-		-		-		-		2,618
Small Company Value Fund, Class Z*		-		2,209		2		2,207		31,960		-		-		2
Strategic Bond Fund, Class S*		730		662		307		1,085		10,723		-		-		102
Strategic Emerging Markets Fund, Class S**		4,209		1,734		5,943		-		-		-		-		724
Strategic Emerging Markets Fund, Class Z**		-		5,390		5		5,385		88,259		-		-		-
Value Fund, Class S**		553		59		40		572		8,792		-		-		68
									$	1,612,819	$	337	$	-	$	46,647

97

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 6/30/11		Value as of 6/30/11		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2040 Fund
Blue Chip Growth Fund, Class S*		605,648		67,195		120,196		552,647	$	6,272,546	$	-	$	-	$	53,383
Capital Appreciation Fund, Class S**		209,125		-		209,125		-		-		-		-		544,107
Core Bond Fund, Class S**		360,691		81,408		442,099		-		-		-		-		14,055
Core Bond Fund, Class Z**		-		536,066		95,456		440,610		4,978,891		-		-		(4,694	)
Core Opportunities Fund, Class S*		270,380		28,272		80,011		218,641		2,123,002		-		-		66,401
Disciplined Growth Fund, Class S**		1,084,893		373,870		130,460		1,328,303		13,336,160		-		-		(46,924	)
Disciplined Value Fund, Class S**		965,662		239,830		110,458		1,095,034		11,585,464		-		-		(365,310	)
Diversified Bond Fund, Class S**		15,057		-		15,057		-		-		-		-		3,472
Diversified International Fund, Class S*		1,113,764		163,453		150,369		1,126,848		8,090,771		-		-		(355,790	)
Diversified Value Fund, Class S*		832,062		86,451		146,227		772,286		7,375,330		-		-		396,622
Focused International Fund, Class S**		246,035		64,080		310,115		-		-		-		-		699,756
Focused International Fund, Class Z**		-		301,083		42,928		258,155		3,172,725		-		-		(9,155	)
Focused Value Fund, Class S*		175,694		15,775		191,469		-		-		-		-		924,042
Focused Value Fund, Class Z*		-		194,467		30,260		164,207		3,047,678		-		-		3,060
Fundamental Value Fund, Class S*		1,147,125		81,002		1,228,127		-		-		-		-		1,850,900
Fundamental Value Fund, Class Z*		-		1,096,432		43,438		1,052,994		11,519,755		-		-		4,637
Growth Opportunities Fund, Class S*		956,715		90,828		294,988		752,555		5,726,947		-		-		152,830
High Yield Fund, Class S**		67,445		131,180		198,625		-		-		-		-		19,389
High Yield Fund, Class Z**		-		172,238		52,514		119,724		1,097,867		-		-		(4,201	)
Inflation-Protected and Income Fund, Class S**		101,876		116,338		218,214		-		-		-		-		137,318
Inflation-Protected and Income Fund, Class Z**		-		217,505		42,335		175,170		1,960,149		-		-		(455	)
International Bond Fund, Class S**		260,000		159,567		32,969		386,598		4,086,336		-		-		(2,839	)
International Equity Fund, Class S**		487,342		112,113		115,046		484,409		7,513,189		-		-		(120,733	)
Large Cap Growth Fund, Class S*		907,148		113,813		172,860		848,101		8,192,655		-		-		471,959
Large Cap Value Fund, Class S*		300,034		34,222		136,760		197,496		2,144,806		-		-		274,648
Main Street Small/Mid Cap Fund, Class S**		499,025		-		12,687		486,338		5,588,023		-		-		13,044
Mid Cap Growth Equity Fund, Class S*		348,626		19,326		40,399		327,553		3,901,153		-		-		42,861
Mid Cap Growth Equity II Fund, Class S*		341,316		20,262		361,578		-		-		-		-		1,399,834
Mid Cap Growth Equity II Fund, Class Z*		-		332,271		15,962		316,309		5,358,268		-		-		4,850
Mid-Cap Value Fund, Class S*		806,915		112,353		100,683		818,585		8,857,094		-		-		18,124
Oppenheimer Commodity Strategy Total Return Fund, Class Y***		1,753,962		454,841		418,133		1,790,670		6,697,105		-		-		341,038
Oppenheimer Developing Markets Fund, Class Y***		-		26,735		-		26,735		952,020		-		-		-
Oppenheimer Real Estate Fund, Class Y***		403,677		51,821		43,916		411,582		8,614,420		40,599		-		422,402
Overseas Fund, Class S*		2,656,032		200,617		2,856,649		-		-		-		-		5,943,318
Overseas Fund, Class Z*		-		2,917,070		112,930		2,804,140		21,619,922		-		-		4,997
PIMCO Total Return Fund, Class S*		214,054		4,711		218,765		-		-		-		-		21,610
PIMCO Total Return Fund, Class Z*		-		183,621		45,472		138,149		1,436,753		-		-		(2,274	)
Short-Duration Bond Fund, Class S**		464,800		44,017		508,817		-		-		-		-		25,954
Short-Duration Bond Fund, Class Z**		-		357,097		126,791		230,306		2,480,400		-		-		(2,778	)
Small Cap Growth Equity Fund, Class S*		142,445		53,656		196,101		-		-		-		-		494,996
Small Cap Growth Equity Fund, Class Z*		-		204,313		13,557		190,756		3,595,753		-		-		8,480
Small Cap Value Equity Fund, Class S*		286,252		110,006		41,209		355,049		3,536,289		-		-		24,016
Small Company Growth Fund, Class S*		193,339		111,264		40,607		263,996		2,940,913		-		-		209,807
Small Company Value Fund, Class S*		231,429		24,062		255,491		-		-		-		-		590,565
Small Company Value Fund, Class Z*		-		262,413		11,748		250,665		3,629,629		-		-		4,842
Strategic Bond Fund, Class S*		45,956		78,610		27,882		96,684		955,242		-		-		33,142
Strategic Emerging Markets Fund, Class S**		688,043		36,076		724,119		-		-		-		-		1,420,104
Strategic Emerging Markets Fund, Class Z**		-		687,745		28,481		659,264		10,805,331		-		-		(4,187	)
Value Fund, Class S**		61,553		13,546		3,885		71,214		1,094,556		-		-		20,258
									$	194,287,142	$	40,599	$	-	$	15,741,481

98

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 6/30/11		Value as of 6/30/11		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2045 Fund
Blue Chip Growth Fund, Class S*		4,068		523		648		3,943	$	44,748	$	-	$	-	$	923
Capital Appreciation Fund, Class S**		687		-		687		-		-		-		-		15
Core Bond Fund, Class S**		868		504		1,372		-		-		-		-		3
Core Bond Fund, Class Z**		-		1,781		328		1,453		16,421		-		-		(20	)
Core Opportunities Fund, Class S*		1,541		219		318		1,442		14,006		-		-		436
Disciplined Growth Fund, Class S**		7,142		2,545		532		9,155		91,913		-		-		710
Disciplined Value Fund, Class S**		6,804		1,594		548		7,850		83,053		-		-		563
Diversified Bond Fund, Class S**		52		-		52		-		-		-		-		483
Diversified International Fund, Class S*		7,841		1,162		960		8,043		57,746		-		-		207
Diversified Value Fund, Class S*		4,984		890		545		5,329		50,888		-		-		498
Focused International Fund, Class S**		1,841		310		2,151		-		-		-		-		1,928
Focused International Fund, Class Z**		-		2,061		213		1,848		22,716		-		-		(57	)
Focused Value Fund, Class S*		1,101		231		1,332		-		-		-		-		1,770
Focused Value Fund, Class Z*		-		1,311		154		1,157		21,477		-		-		3
Fundamental Value Fund, Class S*		6,994		1,023		8,017		-		-		-		-		5,185
Fundamental Value Fund, Class Z*		-		7,293		4		7,289		79,739		-		-		1
Growth Opportunities Fund, Class S*		5,236		684		834		5,086		38,706		-		-		1,074
High Yield Fund, Class S**		547		240		787		-		-		-		-		207
High Yield Fund, Class Z**		-		732		340		392		3,593		-		-		(27	)
Inflation-Protected and Income Fund, Class S**		515		226		741		-		-		-		-		512
Inflation-Protected and Income Fund, Class Z**		-		694		225		469		5,249		-		-		(2	)
International Bond Fund, Class S**		2,078		389		586		1,881		19,878		-		-		169
International Equity Fund, Class S**		2,903		962		584		3,281		50,882		-		-		963
Large Cap Growth Fund, Class S*		6,075		808		869		6,014		58,094		-		-		893
Large Cap Value Fund, Class S*		1,946		241		722		1,465		15,909		-		-		628
Main Street Small/Mid Cap Fund, Class S**		1,791		-		268		1,523		17,505		-		-		382
Mid Cap Growth Equity Fund, Class S*		1,771		215		225		1,761		20,977		-		-		506
Mid Cap Growth Equity II Fund, Class S*		2,498		237		2,735		-		-		-		-		7,085
Mid Cap Growth Equity II Fund, Class Z*		-		2,554		2		2,552		43,233		-		-		-
Mid-Cap Value Fund, Class S*		5,284		771		286		5,769		62,425		-		-		439
Oppenheimer Commodity Strategy Total Return Fund, Class Y***		11,370		3,491		2,587		12,274		45,904		-		-		1,058
Oppenheimer Developing Markets Fund, Class Y***		-		105		-		105		3,731		-		-		-
Oppenheimer Real Estate Fund, Class Y***		2,755		332		260		2,827		59,165		273		-		917
Overseas Fund, Class S*		17,682		1,918		19,600		-		-		-		-		10,822
Overseas Fund, Class Z*		-		19,618		10		19,608		151,176		-		-		1
PIMCO Total Return Fund, Class S*		327		15		342		-		-		-		-		77
PIMCO Total Return Fund, Class Z*		-		336		116		220		2,292		-		-		(6	)
Short-Duration Bond Fund, Class S**		1,316		94		1,410		-		-		-		-		(2	)
Short-Duration Bond Fund, Class Z**		-		931		631		300		3,233		-		-		(13	)
Small Cap Growth Equity Fund, Class S*		1,471		453		1,924		-		-		-		-		3,114
Small Cap Growth Equity Fund, Class Z*		-		1,839		1		1,838		34,637		-		-		-
Small Cap Value Equity Fund, Class S*		1,994		1,296		96		3,194		31,810		-		-		151
Small Company Growth Fund, Class S*		2,116		364		287		2,193		24,433		-		-		687
Small Company Value Fund, Class S*		1,972		212		2,184		-		-		-		-		2,943
Small Company Value Fund, Class Z*		-		1,769		1		1,768		25,594		-		-		-
Strategic Bond Fund, Class S*		167		271		130		308		3,042		-		-		46
Strategic Emerging Markets Fund, Class S**		4,457		529		4,986		-		-		-		-		813
Strategic Emerging Markets Fund, Class Z**		-		4,630		3		4,627		75,833		-		-		1
Value Fund, Class S**		665		7		66		606		9,317		-		-		121
									$	1,289,325	$	273	$	-	$	46,207

99

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 6/30/11		Value as of 6/30/11		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2050 Fund
Blue Chip Growth Fund, Class S*		88,729		35,032		28,722		95,039	$	1,078,698	$	-	$	-	$	92,230
Capital Appreciation Fund, Class S**		28,383		427		28,810		-		-		-		-		33,696
Core Bond Fund, Class S**		18,569		13,917		32,486		-		-		-		-		1,100
Core Bond Fund, Class Z**		-		46,377		14,181		32,196		363,813		-		-		(765	)
Core Opportunities Fund, Class S*		36,675		15,517		15,450		36,742		356,769		-		-		12,525
Disciplined Growth Fund, Class S**		157,020		108,078		40,354		224,744		2,256,428		-		-		164,998
Disciplined Value Fund, Class S**		140,127		79,853		31,684		188,296		1,992,177		-		-		114,630
Diversified Bond Fund, Class S**		1,603		-		1,603		-		-		-		-		315
Diversified International Fund, Class S*		153,740		73,767		38,716		188,791		1,355,520		-		-		97,584
Diversified Value Fund, Class S*		112,765		49,953		30,539		132,179		1,262,306		-		-		95,648
Focused International Fund, Class S**		34,912		17,511		52,423		-		-		-		-		63,607
Focused International Fund, Class Z**		-		55,041		10,207		44,834		551,011		-		-		(1,111	)
Focused Value Fund, Class S*		23,489		8,793		32,282		-		-		-		-		85,588
Focused Value Fund, Class Z*		-		34,926		6,919		28,007		519,814		-		-		2,040
Fundamental Value Fund, Class S*		156,298		49,868		206,166		-		-		-		-		295,858
Fundamental Value Fund, Class Z*		-		197,473		17,338		180,135		1,970,672		-		-		3,498
Growth Opportunities Fund, Class S*		123,861		49,761		45,344		128,278		976,192		-		-		137,208
High Yield Fund, Class S**		10,607		8,622		19,229		-		-		-		-		4,553
High Yield Fund, Class Z**		-		20,145		8,222		11,923		109,332		-		-		(657	)
Inflation-Protected and Income Fund, Class S**		7,185		7,230		14,415		-		-		-		-		7,308
Inflation-Protected and Income Fund, Class Z**		-		14,740		6,981		7,759		86,822		-		-		(34	)
International Bond Fund, Class S**		34,359		16,057		12,549		37,867		400,255		-		-		11,867
International Equity Fund, Class S**		70,376		37,491		25,025		82,842		1,284,880		-		-		149,415
Large Cap Growth Fund, Class S*		122,902		58,982		39,117		142,767		1,379,129		-		-		73,301
Large Cap Value Fund, Class S*		44,751		18,827		26,450		37,128		403,213		-		-		65,692
Main Street Small/Mid Cap Fund, Class S**		67,022		612		5,079		62,555		718,762		-		-		22,717
Mid Cap Growth Equity Fund, Class S*		47,410		11,335		3,561		55,184		657,243		-		-		20,853
Mid Cap Growth Equity II Fund, Class S*		46,491		11,928		58,419		-		-		-		-		228,645
Mid Cap Growth Equity II Fund, Class Z*		-		58,921		6,330		52,591		890,885		-		-		3,146
Mid-Cap Value Fund, Class S*		106,763		51,087		22,566		135,284		1,463,769		-		-		108,387
Oppenheimer Commodity Strategy Total Return Fund, Class Y***		225,354		149,128		95,344		279,138		1,043,977		-		-		50,848
Oppenheimer Developing Markets Fund, Class Y***		-		2,673		-		2,673		95,202		-		-		-
Oppenheimer Real Estate Fund, Class Y***		49,748		24,676		9,571		64,853		1,357,377		6,037		-		63,596
Overseas Fund, Class S*		373,354		101,254		474,608		-		-		-		-		573,105
Overseas Fund, Class Z*		-		517,864		44,898		472,966		3,646,564		-		-		5,633
PIMCO Total Return Fund, Class S*		9,403		809		10,212		-		-		-		-		1,732
PIMCO Total Return Fund, Class Z*		-		10,983		3,035		7,948		82,659		-		-		(152	)
Short-Duration Bond Fund, Class S**		39,044		5,325		44,369		-		-		-		-		226
Short-Duration Bond Fund, Class Z**		-		32,677		17,283		15,394		165,795		-		-		(365	)
Small Cap Growth Equity Fund, Class S*		18,659		15,651		34,310		-		-		-		-		52,603
Small Cap Growth Equity Fund, Class Z*		-		38,618		5,376		33,242		626,617		-		-		4,762
Small Cap Value Equity Fund, Class S*		39,412		37,935		13,249		64,098		638,414		-		-		59,936
Small Company Growth Fund, Class S*		39,976		25,545		11,072		54,449		606,567		-		-		57,024
Small Company Value Fund, Class S*		34,271		13,201		47,472		-		-		-		-		94,235
Small Company Value Fund, Class Z*		-		48,030		4,656		43,374		628,057		-		-		2,801
Strategic Bond Fund, Class S*		2,696		7,243		3,953		5,986		59,140		-		-		1,442
Strategic Emerging Markets Fund, Class S**		94,649		22,074		116,723		-		-		-		-		29,822
Strategic Emerging Markets Fund, Class Z**		-		121,460		11,295		110,165		1,805,598		-		-		705
Value Fund, Class S**		12,246		1,691		2,266		11,671		179,376		-		-		7,825
									$	31,013,033	$	6,037	$	-	$	2,899,620

* MassMutual Select Fund.

** MassMutual Premier Fund.

*** Fund advised by OppenheimerFunds, Inc.

100

Notes to Financial Statements (Unaudited) (Continued)

8. Indemnifications

Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

9. Subsequent Events

Management has evaluated the events and transactions subsequent to June 30, 2011, through the date when the financial statements were issued, and determined that there are no material events or transactions that would require adjustments to or disclosures in the Funds’ financial statements.

101

Other Information (Unaudited)

Proxy Voting

A description of the policies and procedures that each Fund’s investment adviser uses to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the SEC’s website at http://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s website at http://www.sec.gov.

Quarterly Reporting

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.

Trustees’ Approval of Investment Advisory Contracts

At their meetings in April and May 2011, the Contract Committee (the “Committee”) and the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust or MassMutual (the “Independent Trustees”), reapproved the existing advisory agreements (collectively, the “Contracts”) for each of the RetireSMART In Retirement Fund, RetireSMART 2010 Fund, RetireSMART 2015 Fund, RetireSMART 2020 Fund, RetireSMART 2025 Fund, RetireSMART 2030 Fund, RetireSMART 2035 Fund, RetireSMART 2040 Fund, RetireSMART 2045 Fund, and RetireSMART 2050 Fund. In preparation for the meetings, the Trustees requested, and MassMutual provided in advance, certain materials relevant to the consideration of the Contracts (the “Meeting Materials”). In all of their deliberations, the Trustees were advised by independent counsel.

The Committee received in advance of the meetings (i) a memorandum from MassMutual discussing the nature and quality of the services it provides as investment manager to the Funds; (ii) a profitability analysis prepared by MassMutual; and (iii) a fee and performance study report (the “Third-Party Report”) with respect to each Fund prepared by an independent third-party vendor (the “Third-Party”). The Third-Party Report provided detailed comparative management fee, total expense, and performance information for each Fund to assist the Committee in its evaluation of the Contracts. The Committee also considered information presented to it throughout the year regarding MassMutual.

The Committee considered the nature, scope, and quality of services MassMutual provides to the Funds, including: (i) the financial condition, stability, and business strategy of MassMutual; (ii) the capabilities of MassMutual with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the Funds; (iii) MassMutual’s ability to provide investment oversight and administrative and shareholder services to the Funds; and (iv) the experience and qualifications of the personnel of MassMutual that perform, or oversee the performance of, the services provided to the Funds and the needs of the Funds for administrative and shareholder services.

The Committee then reviewed and considered, for each Fund separately, the detailed information presented in the Third-Party Report regarding: (i) Fund expenses, including, among other things, both the Fund’s advisory fee and total net expense ratio against peer funds; and (ii) the Fund’s relative performance (over various time periods against peer funds and a benchmark index). In connection with the Committee’s review, MassMutual provided commentary and analysis regarding each Fund’s performance and expenses. The Committee also noted that it had received in the Meeting Materials or during the course of the past year, detailed information regarding MassMutual’s ability to provide investment oversight and administrative and shareholder services to the Funds. MassMutual reviewed with the Committee in detail the work MassMutual does in its oversight, administrative, and shareholder servicing roles, the expertise it brings to these roles, the size of its teams, and the financial commitment it has made to providing those services. Throughout the discussion, MassMutual responded to Committee members’ questions and provided additional information concerning each Fund.

102

Other Information (Unaudited) (Continued)

The Committee reviewed the expense and performance information for each Fund. (References to any one-year or three-year period below are to periods ended December 31, 2010. The three-year period does not apply for any Fund that does not yet have a three-year performance history.)

The Committee considered that, in the case of a number of the Funds, expense information showed the Funds to be in the first or second quartile of their peer groups (favorable), and performance information showed the Funds to have had first or second quartile investment performance in their performance categories for the most recent one- and three-year periods. These Funds included the RetireSMART In Retirement, 2010, 2020, and 2050 Funds. The Committee considered, in addition, that the expense information for a number of the Funds showed the Funds to be in the first quartile of their peer groups, although they did not have one- or three-year performance information. These Funds included the RetireSMART 2015, 2025, 2035, and 2045 Funds. The Committee reviewed this information with MassMutual, and determined that further inquiry was not required at this time.

The Committee also considered that, in the case of the RetireSMART 2030 and 2040 Funds, expense information showed the Funds to be in the first quartile of their peer groups, and performance information showed the Funds to have had second quartile investment performance in their performance categories for the one-year period, showing an improvement from a third-quartile performance ranking for the three-year period. For each of these Funds, the Committee reviewed with MassMutual the factors that had led to the improvement in performance and considered factors that may have contributed to the less favorable three-year performance numbers. MassMutual noted that strong underlying Fund performance, diverse asset allocation, and a disciplined investment approach had led to the improvement. The Committee determined that further inquiry was not required at this time.

With respect to each of the Funds, the Committee considered, in addition to the other factors noted above, the fact that MassMutual was proposing a revised advisory fee schedule reflecting new breakpoints for each of the Funds.

In conjunction with its review of the Third-Party Report, the Committee also reviewed and considered information included in the Meeting Materials, or discussed at the meeting, concerning economies of scale and the profitability of MassMutual’s advisory relationship with the various Funds, including: (i) a description of the revenue (including management fees and administrative service fees, as applicable) and expense allocation methodology employed by MassMutual; and (ii) profitability information for the Funds and each individual Fund, which included a sensitivity analysis of the expected level of profitability assuming increased Fund assets at specified levels. The discussions included consideration of the intangible benefits derived by MassMutual and its affiliates resulting from their relationships with the Funds and the so-called “fallout benefits” to MassMutual, such as any reputational value derived from serving as investment adviser to the Funds.

Prior to the votes being taken to approve the Contracts, the Committee met separately in executive session to discuss the appropriateness of such contracts. The Committee weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Committee did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

As to each of the Funds, the Committee concluded that: (i) overall, it was satisfied with the nature, extent, and quality of services provided, and expected to be provided in the future, under the Contracts, including the level of MassMutual’s oversight of each Fund; (ii) MassMutual’s levels of profitability from its relationship with the various Funds were not excessive and the advisory fees payable under the Contracts and each Fund’s total net expenses are fair and reasonable; (iii) either the relative or absolute performance of a Fund (in each case, taking into account the applicable investment strategy and risk profile of the Fund), or the steps MassMutual has proposed in respect of the underperformance of a Fund, are sufficient to warrant continuation of the Contract for each of the Funds; and (iv) the terms of the Contracts were fair and reasonable with respect to each Fund and were in the best interest of each Fund’s shareholders.

At their meeting in May 2011, the Trustees, including the Independent Trustees, also approved the advisory agreements (“Advisory Agreements”) for four new series of the Trust, the RetireSMART Conservative Fund, RetireSMART Moderate Fund, RetireSMART Moderate Growth Fund, and RetireSMART Growth Fund (the “New Funds”). In preparation for the meeting, the Trustees requested, and MassMutual provided in advance, certain materials relevant to the consideration of the Advisory Agreements (the “Materials”). In all of their deliberations, the Trustees were advised by independent counsel.

103

Other Information (Unaudited) (Continued)

In reviewing and approving the Advisory Agreements, the Trustees considered the Materials and information discussed with representatives of MassMutual at the meeting relating to MassMutual and the nature, scope, and quality of services MassMutual would provide to the New Funds. The Trustees considered a number of factors they believed to be relevant to the interests of shareholders of the New Funds, including (i) the financial condition, stability, and business strategy of MassMutual; (ii) the capabilities of MassMutual with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the New Funds; (iii) MassMutual’s ability to provide investment oversight and administrative and shareholder services to the New Funds; and (iv) the experience and qualifications of the personnel of MassMutual that perform, or oversee the performance of, the services provided to the New Funds and the needs of the New Funds for administrative and shareholder services.

The Trustees also reviewed and considered information included in the Materials, or discussed at the meeting, concerning possible economies of scale and potential profitability of MassMutual’s advisory relationship with the New Funds. The discussions and consideration included the intangible benefits derived by MassMutual and its affiliates resulting from their relationships with the New Funds and the so-called “fallout benefits” to MassMutual, such as any reputational value derived from serving as investment adviser to the New Funds.

Prior to the votes being taken to approve the Advisory Agreements, the Independent Trustees met separately in executive session to discuss the appropriateness of such contracts. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

Based on the foregoing, the Trustees concluded that: (i) overall, they were satisfied with the nature, extent, and quality of services expected to be provided under the Advisory Agreements, including the anticipated level of MassMutual’s oversight of the New Funds; (ii) MassMutual’s projected level of profitability from its relationship to the New Funds were not excessive and the advisory fee amounts payable under the Advisory Agreements and the New Funds’ total expenses were fair and reasonable; and (iii) the terms of the Advisory Agreements were fair and reasonable with respect to the New Funds and were in the best interest of the New Funds’ shareholders. After carefully considering the information summarized above, the Trustees, including the Independent Trustees voting separately, unanimously voted to approve the Advisory Agreements.

Each of the Advisory Agreements became effective on June 20, 2011.

104

Other Information (Unaudited) (Continued)

Fund Expenses June 30, 2011

Expense Examples:

The following information is in regards to expenses for the six months ended June 30, 2011:

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended June 30, 2011.

Actual Expenses:

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes:

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
RetireSMART Conservative Fund**
Class A	$	1,000		0.51	%	$	1,010.00	$	0.15	$	1,022.30	$	2.56
Class L		1,000		0.26	%		1,010.00		0.08		1,023.50		1.30
Class Y		1,000		0.18	%		1,010.00		0.05		1,023.90		0.90
Class S		1,000		0.14	%		1,010.00		0.04		1,024.10		0.70
RetireSMART Moderate Fund**
Class A		1,000		0.50	%		1,023.00		0.15		1,022.30		2.51
Class L		1,000		0.25	%		1,023.00		0.08		1,023.60		1.25
Class Y		1,000		0.17	%		1,023.00		0.05		1,024.00		0.85
Class S		1,000		0.13	%		1,023.00		0.04		1,024.10		0.65
RetireSMART Moderate Growth Fund**
Class A		1,000		0.51	%		1,035.00		0.16		1,022.30		2.56
Class L		1,000		0.26	%		1,035.00		0.08		1,023.50		1.30
Class Y		1,000		0.18	%		1,035.00		0.06		1,023.90		0.90
Class S		1,000		0.14	%		1,035.00		0.04		1,024.10		0.70

105

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
RetireSMART Growth Fund**
Class A	$	1,000		0.50	%	$	1,040.00	$	0.15	$	1,022.30	$	2.51
Class L		1,000		0.25	%		1,041.00		0.08		1,023.60		1.25
Class Y		1,000		0.19	%		1,041.00		0.06		1,023.90		0.95
Class S		1,000		0.15	%		1,041.00		0.05		1,024.10		0.75
RetireSMART In Retirement Fund
Class A		1,000		0.52	%		1,037.80		2.63		1,022.20		2.61
Class L		1,000		0.27	%		1,039.50		1.37		1,023.50		1.35
Class Y		1,000		0.17	%		1,040.50		0.86		1,024.00		0.85
Class S		1,000		0.14	%		1,040.60		0.71		1,024.10		0.70
Class N		1,000		0.82	%		1,036.70		4.14		1,020.70		4.11
RetireSMART 2010 Fund
Class A		1,000		0.54	%		1,041.90		2.73		1,022.10		2.71
Class L		1,000		0.29	%		1,042.60		1.47		1,023.40		1.45
Class Y		1,000		0.19	%		1,042.60		0.96		1,023.90		0.95
Class S		1,000		0.14	%		1,043.50		0.71		1,024.10		0.70
Class N		1,000		0.84	%		1,040.90		4.25		1,020.60		4.21
RetireSMART 2015 Fund
Class A		1,000		0.50	%		1,047.60		2.54		1,022.30		2.51
Class L		1,000		0.25	%		1,048.50		1.27		1,023.60		1.25
Class Y		1,000		0.15	%		1,049.40		0.76		1,024.10		0.75
Class S		1,000		0.10	%		1,049.40		0.51		1,024.30		0.50
RetireSMART 2020 Fund
Class A		1,000		0.51	%		1,048.50		2.59		1,022.30		2.56
Class L		1,000		0.26	%		1,050.10		1.32		1,023.50		1.30
Class Y		1,000		0.16	%		1,050.20		0.81		1,024.00		0.80
Class S		1,000		0.10	%		1,050.10		0.51		1,024.30		0.50
Class N		1,000		0.81	%		1,046.50		4.11		1,020.80		4.06
RetireSMART 2025 Fund
Class A		1,000		0.50	%		1,049.80		2.54		1,022.30		2.51
Class L		1,000		0.25	%		1,051.60		1.27		1,023.60		1.25
Class Y		1,000		0.15	%		1,052.50		0.76		1,024.10		0.75
Class S		1,000		0.10	%		1,052.50		0.51		1,024.30		0.50
RetireSMART 2030 Fund
Class A		1,000		0.51	%		1,050.40		2.59		1,022.30		2.56
Class L		1,000		0.26	%		1,051.00		1.32		1,023.50		1.30
Class Y		1,000		0.16	%		1,052.00		0.81		1,024.00		0.80
Class S		1,000		0.11	%		1,053.00		0.56		1,024.20		0.55
Class N		1,000		0.81	%		1,049.40		4.12		1,020.80		4.06
RetireSMART 2035 Fund
Class A		1,000		0.50	%		1,051.50		2.54		1,022.30		2.51
Class L		1,000		0.25	%		1,052.30		1.27		1,023.60		1.25
Class Y		1,000		0.15	%		1,053.30		0.76		1,024.10		0.75
Class S		1,000		0.10	%		1,053.30		0.51		1,024.30		0.50
RetireSMART 2040 Fund
Class A		1,000		0.51	%		1,050.30		2.59		1,022.30		2.56
Class L		1,000		0.26	%		1,051.80		1.32		1,023.50		1.30
Class Y		1,000		0.16	%		1,051.80		0.81		1,024.00		0.80
Class S		1,000		0.11	%		1,052.80		0.56		1,024.20		0.55
Class N		1,000		0.81	%		1,049.30		4.12		1,020.80		4.06

106

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
RetireSMART 2045 Fund
Class A	$	1,000		0.50	%	$	1,052.10	$	2.54	$	1,022.30	$	2.51
Class L		1,000		0.25	%		1,052.90		1.27		1,023.60		1.25
Class Y		1,000		0.15	%		1,053.80		0.76		1,024.10		0.75
Class S		1,000		0.10	%		1,053.80		0.51		1,024.30		0.50
RetireSMART 2050 Fund
Class A		1,000		0.50	%		1,052.00		2.54		1,022.30		2.51
Class L		1,000		0.25	%		1,053.10		1.27		1,023.60		1.25
Class Y		1,000		0.15	%		1,053.10		0.76		1,024.10		0.75
Class S		1,000		0.10	%		1,053.10		0.51		1,024.30		0.50
Class N		1,000		0.80	%		1,049.50		4.07		1,020.80		4.01

* Expenses are calculated using the annualized expense ratio for the six months ended June 30, 2011, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year, unless stated otherwise.

** Actual expenses are calculated using the annualized expense ratio, multiplied by the average account value over the period from inception of the Fund(s) on June 20, 2011, through June 30, 2011, multiplied by the number of days in the period, divided by the number of days in the year. Hypothetical expenses are calculated using the annualized expense ratio for the six months ended June 30, 2011, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year.

107

Distributor:

MML Distributors, LLC

1295 State Street

Springfield, MA 01111-0001

August 29, 2011

^©2011 Massachusetts Mutual Life Insurance Company, Springfield, MA. All rights reserved. www.massmutual.com. MassMutual
Financial Group is a marketing name for Massachusetts Mutual Life Insurance Company (MassMutual) [of which Retirement Services is a division] and its affiliated companies and sales representatives. L4543    0811 C:05477-04

Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this filing.

Item 6. Investments.

Please see portfolio of investments contained in the Reports to Stockholders included under Item 1 of this form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this filing.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this filing.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this filing.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable to this filing.

Item 11. Controls and Procedures.

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this Form N-CSR, to provide reasonable assurance that the information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the SEC’s rules and forms, based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Code of Ethics (Item 2) is not applicable to this filing.

(a)(2) Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) are attached hereto as Exhibit 99CERT.

(a)(3) Not applicable to this filing.

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the 1940 Act (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) are attached hereto as Exhibit 99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	MassMutual Select Funds
By (Signature and Title)	/s/    Eric Wietsma
	Eric Wietsma, President and Principal Executive Officer
Date 8/29/11

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)	/s/    Eric Wietsma
	Eric Wietsma, President and Principal Executive Officer
Date 8/29/11

By (Signature and Title)	/s/    Nicholas H. Palmerino
	Nicholas H. Palmerino, Treasurer and Principal Financial Officer
Date 8/29/11