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)
100 Bright Meadow Blvd, Enfield, CT 06082
(Address of principal executive offices)	(Zip code)
Eric Wietsma
100 Bright Meadow Blvd, Enfield, CT 06082

(Name and address of agent for service)

Registrant’s telephone number, including area code:     860-562-1000

Date of fiscal year end:   12/31/2013

Date of reporting period:   6/30/2013

Item 1. Reports to Stockholders.

Table of Contents

President’s Letter to Shareholders (Unaudited)	1
Portfolio Summaries (Unaudited)	3
Portfolio of Investments (Unaudited)
MassMutual Select PIMCO Total Return Fund	24
MassMutual Select Strategic Bond Fund	36
MassMutual Select Diversified Value Fund	51
MassMutual Select Fundamental Value Fund	56
MassMutual Select Large Cap Value Fund	58
MM S&P 500® Index Fund	62
MassMutual Select Focused Value Fund	69
MassMutual Select Fundamental Growth Fund	70
MassMutual Select Blue Chip Growth Fund	73
MassMutual Select Growth Opportunities Fund	76
MassMutual Select Mid-Cap Value Fund	78
MassMutual Select Small Cap Value Equity Fund	81
MassMutual Select Small Company Value Fund	84
MM S&P® Mid Cap Index Fund	90
MM Russell 2000® Small Cap Index Fund	97
MassMutual Select Mid Cap Growth Equity II Fund	120
MassMutual Select Small Cap Growth Equity Fund	124
MassMutual Select Small Company Growth Fund	129
MassMutual Select Diversified International Fund	133
MM MSCI EAFE® International Index Fund	136
MassMutual Select Overseas Fund	148
Statements of Assets and Liabilities (Unaudited)	152
Statements of Operations (Unaudited)	164
Statements of Changes in Net Assets	170
Financial Highlights	182
Notes to Financial Statements (Unaudited)	203
Other Information (Unaudited)
Proxy Voting	269
Quarterly Reporting	269
Trustees’ Approval of Investment Advisory Contracts	269
Fund Expenses	272

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 (Unaudited)

To Our Shareholders

Eric Wietsma

“Thank you for your continued confidence in MassMutual. We are committed to helping you plan for a more financially secure future by giving you the information you need to make the choices that are appropriate for you, regardless of current market conditions.”

June 30, 2013

Welcome to the MassMutual Select Funds Semiannual Report covering the six months ended June 30, 2013. Stocks in the United States and in foreign developed markets advanced during the first half of the year, and U.S. bonds and emerging-market equities declined. The actions and comments of central bankers across the globe kept the attention of investors and helped drive choppier stock markets and rising interest rates later in the period. The U.S. economy continued its somewhat unsteady recovery in the midst of government spending cuts mandated by sequestration – the automatic, across-the-board series of spending cuts to government agencies – and ongoing caution among business owners. Housing and unemployment mainly improved throughout the period, but U.S. gross domestic product (“GDP”) figures, which indicated higher rates of growth early in the period, underwent substantial downward revisions later. (GDP measures the total value of goods and services produced in a country.) Through it all, consumer confidence numbers reached their highest levels since mid-2007, and inflation remained in check. Elsewhere in the world, the ongoing recession in the euro zone and a March banking crisis in Cyprus kept investors wary. Looking to the Far East, China continued to struggle, while Japan made some headway against its economic challenges. Against this backdrop, two key commodities headed in different directions. The price of oil rose from slightly less than $92 a barrel at the beginning of the period to more than $96 at the end, taking a volatile route along the way. The price of gold continued its substantial decline, starting 2013 at around $1,676 an ounce and dropping to less than $1,224 by the end of the period.

Key events that defined the period

In the United States, encouraging pockets of economic strength and the Federal Reserve’s (the “Fed”) ongoing Quantitative Easing (“QE”) program gave investors reason for optimism, despite the challenges brought about by the “fiscal cliff” and sequestration. Late on January 1, 2013, congressional votes to avert the fiscal cliff were finally confirmed. (Fiscal cliff is the term for a combination of tax hikes and spending cuts that were set to take effect early in 2013 unless an alternate plan could be agreed upon by congress and the president.) The agreement prevented broad escalation of income taxes for most Americans except top-bracket individual filers.

In February, equity investors focused on the specter of sequestration, which was set to go into effect March 1, 2013. Ultimately, however, in March, the U.S. Congress passed a stopgap spending bill to keep the federal government running through September 2013. Also in March, the Department of Labor reported that the U.S. unemployment rate fell to its lowest level since December 2008, and the Fed continued its commitment to keep the federal funds rate between 0% and 0.25% and announced its continuation of the $85 billion per month bond-buying QE program. (The federal funds rate is the interest rate that banks and other financial institutions charge each other for borrowing funds overnight.) In April, Commerce Department reports indicated that the U.S. economy rebounded in the first quarter of 2013 after a lackluster fourth quarter. The agency estimated first-quarter 2013 GDP growth to be at a level of 2.5%, versus fourth-quarter 2012 GDP growth of 0.4% – although the 2.5% figure was ultimately revised downward to a final 1.8% in June.

In May, the first signs emerged that QE could soon be scaled back when Fed Chairman Bernanke alluded to a possible “tapering down” of monthly Fed bond purchases in the near term – and minutes from the Fed’s May 1 meeting indicated other Fed officials supported the move. The day of the release, the Dow Jones Industrial Average^SM (the “Dow”) reversed its triple-digit point gain to post a loss of 0.80% for the day. The markets subsequently posted declines in each of the last two weeks of May and the yields of U.S. Treasury securities increased across the board as their prices fell. (Bond prices move in the opposite direction of interest rates (or yields); when yields rise, the prices of existing bonds fall – and vice versa.) That same month, the U.S. unemployment rate fell to 7.5%, marking a four-year low.

(Continued)

1

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

In June, the unemployment rate ticked up slightly to 7.6%, as more individuals entered the job market. Stock and bond markets sold off sharply in mid-June and drove interest rates higher on lingering concerns that QE would end sooner than expected. Stocks rose again as the period drew to a close when the Department of Labor released the final downward revision of first-quarter GDP. The weaker-than-expected growth figure drove shares higher on investor expectations that the Fed would continue QE a while longer.

In news from around the world, the Japanese Cabinet approved a ¥20 trillion (yen) ($224 billion) stimulus package in January 2013, which was expected to create 600,000 jobs and help repair tsunami-ravaged coastland. In February, uncertainty over Italian elections led to a hung parliament, which struck fresh fears into the euro zone. In late March, resolution came to the Cyprus banking crisis – although the deal restricted Cyprus’s financial industry and limited its status as an offshore tax haven. China sent mixed economic signals in the first part of 2013, but April reports were clear the country was in a slowdown. Also in April, the Bank of Japan announced plans to double the country’s monetary base over the next two years through its own bond-buying program in an effort to boost its economy. The announcement accelerated the already rallying Japanese stock market, which continued to advance well into May – but declined along with U.S. stocks in the wake of Fed chairman Bernanke’s comments about the possible end of QE. In June, consumer sentiment in the euro zone improved, despite the region’s continued recession, and the European Central Bank reaffirmed its commitment to stimulative monetary policy. Following a precipitous fall in late May into mid-June, Japanese stocks rallied on encouraging signs attributable to the country’s economic reforms, and China’s woes increased.

The major stock indexes in the U.S. advanced for the six months ended June 30, 2013, outperforming most international competitors. The Russell 2000^® Index, a benchmark of small-cap stocks, led the gainers with a 15.86% advance, while the Dow, a measure of blue-chip domestic stock performance, gained 15.20%. The S&P 500^® Index, a measure of large-cap stock performance, also turned in a double-digit advance of 13.82%. The NASDAQ Composite^® Index, an indicator of technology stock performance, returned 12.71% for the six months. In international equities, the MSCI EAFE^® Index, a benchmark measuring foreign developed-market stocks, posted a 4.10% gain; while the MSCI^® Emerging Markets Index, a benchmark of emerging stock markets, lost 9.57%. Fixed-income investments in the U.S. significantly lagged equity counterparts during the period, with the Barclays U.S. Aggregate Bond Index losing 2.44% during the period.*

Keeping it in perspective

The economic and market events that characterized the first six months of 2013 offer an excellent reminder that investing environments can be unpredictable and that it is important for investors to maintain perspective. We believe it is unwise for investors to use short-term performance to justify major deviations from their long-term plan. In the end, we believe you may be more successful if you focus on maintaining a solid, systematic individual investment plan that reflects your long-term objectives, risk tolerance, and the amount of time you have to invest.**

Thank you for your continued confidence in MassMutual. We are committed to help you plan for a more financially secure future by giving you the information you need to make the choices that are appropriate for you, regardless of current market conditions. If you work with a financial professional and have not met with him or her recently, you may wish to consider scheduling some time to review your retirement investment strategy in order to assess whether or not your current investments are compatible with your long-term financial goals.

Sincerely,

Eric Wietsma

President

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

** Systematic investing does not ensure a profit or protect against loss in a declining market. Systematic investing involves continuous investment in securities regardless of fluctuating price levels. Investors should consider their ability to continue investing through periods of low price levels.

The information provided is the opinion of MassMutual Retirement Services Investment Services as of 7/1/13 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 (Unaudited)

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 of varying maturities. The Fund’s subadviser is Pacific Investment Management Company LLC (PIMCO).

MassMutual Select PIMCO Total Return Fund Portfolio Characteristics (% of Net Assets) on 6/30/13
U.S. Government Agency Obligations and Instrumentalities	53.9	%
U.S. Treasury Obligations	39.6	%
Corporate Debt	28.7	%
Non-U.S. Government Agency Obligations	9.2	%
Municipal Obligations	3.0	%
Sovereign Debt Obligations	2.9	%
Total Long-Term Investments	137.3	%
Short-Term Investments and Other Assets and Liabilities	(37.3	)%
Net Assets	100.0	%

3

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

The Fund seeks a superior total rate of return by investing in fixed income instruments. Under normal circumstances, the Fund invests at least 80% of its net assets 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 Portfolio Characteristics (% of Net Assets) on 6/30/13
Corporate Debt	37.4	%
U.S. Government Agency Obligations and Instrumentalities	33.1	%
U.S. Treasury Obligations	16.1	%
Non-U.S. Government Agency Obligations	9.9	%
Sovereign Debt Obligations	3.3	%
Municipal Obligations	0.1	%
Preferred Stock	0.1	%
Purchased Options	0.0	%
Total Long-Term Investments	100.0	%
Short-Term Investments and Other Assets and Liabilities	(0.0	)%
Net Assets	100.0	%

4

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

The Fund seeks to achieve long-term growth of capital and income by investing primarily in a diversified portfolio of equity securities of larger, well-established companies. The Fund normally invests at least 80% of its net assets in stocks, securities convertible into stocks, and other securities, such as warrants and stock rights, whose value is based on stock prices. The Fund’s subadvisers are Loomis, Sayles & Company, L.P. (Loomis Sayles), which was responsible for approximately 54% of the Fund’s portfolio; and Brandywine Global Investment Management, LLC (Brandywine Global), which managed approximately 46% of the Fund’s portfolio, as of June 30, 2013.

MassMutual Select Diversified Value Fund Largest Holdings (% of Net Assets) on 6/30/13
Exxon Mobil Corp.	3.6	%
Chevron Corp.	3.3	%
JP Morgan Chase & Co.	3.1	%
General Electric Co.	2.8	%
Wells Fargo & Co.	2.7	%
Pfizer, Inc.	2.5	%
Merck & Co., Inc.	2.1	%
Bank of America Corp.	1.7	%
Wal-Mart Stores, Inc.	1.6	%
Cisco Systems, Inc.	1.5	%
	24.9	%

MassMutual Select Diversified Value Fund Sector Table (% of Net Assets) on 6/30/13
Financial	24.3	%
Consumer, Non-cyclical	18.3	%
Industrial	12.9	%
Energy	12.6	%
Communications	11.2	%
Consumer, Cyclical	8.2	%
Technology	5.2	%
Utilities	3.0	%
Basic Materials	2.1	%
Mutual Funds	0.9	%
Total Long-Term Investments	98.7	%
Short-Term Investments and Other Assets and Liabilities	1.3	%
Net Assets	100.0	%

5

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

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

MassMutual Select Fundamental Value Fund Largest Holdings (% of Net Assets) on 6/30/13
JP Morgan Chase & Co.	3.9	%
Wells Fargo & Co.	3.7	%
Chevron Corp.	3.2	%
Cisco Systems, Inc.	3.2	%
Merck & Co., Inc.	2.6	%
PNC Financial Services Group, Inc.	2.3	%
Exxon Mobil Corp.	2.0	%
ACE Ltd.	1.9	%
General Electric Co.	1.9	%
UnitedHealth Group, Inc.	1.9	%
	26.6	%

MassMutual Select Fundamental Value Fund Sector Table (% of Net Assets) on 6/30/13
Financial	26.1	%
Consumer, Non-cyclical	17.0	%
Energy	12.7	%
Industrial	10.5	%
Consumer, Cyclical	9.5	%
Communications	8.5	%
Technology	7.2	%
Basic Materials	4.9	%
Utilities	3.0	%
Total Long-Term Investments	99.4	%
Short-Term Investments and Other Assets and Liabilities	0.6	%
Net Assets	100.0	%

6

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

The Fund seeks both capital growth and income by investing primarily in large-capitalization companies that the Fund’s subadvisers believe are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in the stocks of large-cap companies. The subadvisers currently define “large-cap” companies as those whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 1000^® Index. The Fund’s subadvisers are Huber Capital Management, LLC (Huber Capital Management) which was responsible for approximately 52% of the Fund’s portfolio; and Columbia Management Investment Advisers, LLC (Columbia Management), which managed approximately 48% of the Fund’s portfolio, as of June 30, 2013.

MassMutual Select Large Cap Value Fund Largest Holdings (% of Net Assets) on 6/30/13
Pfizer, Inc.	3.5	%
CNO Financial Group, Inc.	3.3	%
JP Morgan Chase & Co.	3.1	%
Merck & Co., Inc.	2.9	%
Ensco PLC Class A	2.6	%
Microsoft Corp.	2.6	%
CA, Inc.	2.5	%
Eli Lilly & Co.	2.4	%
Philip Morris International, Inc.	2.3	%
Hewlett-Packard Co.	1.8	%
	27.0	%

MassMutual Select Large Cap Value Fund Sector Table (% of Net Assets) on 6/30/13
Consumer, Non-cyclical	27.3	%
Financial	18.1	%
Energy	11.2	%
Industrial	8.8	%
Technology	8.5	%
Communications	8.1	%
Utilities	6.5	%
Consumer, Cyclical	5.3	%
Basic Materials	3.8	%
Mutual Funds	3.3	%
Total Long-Term Investments	100.9	%
Short-Term Investments and Other Assets and Liabilities	(0.9	)%
Net Assets	100.0	%

MassMutual Select Large Cap Value Fund Country Weightings (% of Net Assets) on 6/30/13
United States	83.0	%
United Kingdom	7.0	%
Canada	2.1	%
Ireland	1.9	%
Cayman Islands	1.5	%
Switzerland	1.3	%
Germany	1.0	%
Bermuda	0.9	%
Netherlands	0.8	%
France	0.7	%
Australia	0.4	%
Taiwan	0.2	%
Luxembourg	0.1	%
Total Long-Term Investments	100.9	%
Short-Term Investments and Other Assets and Liabilities	(0.9	)%
Net Assets	100.0	%

7

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

What is the investment approach of MM S&P 500^® Index Fund, and who is the Fund’s subadviser?

The Fund seeks to approximate as closely as practicable (before fees and expenses) the capitalization-weighted total rate of return of that portion of the U.S. market for publicly-traded common stocks composed of larger-capitalized companies. Under normal circumstances, the Fund invests at least 80% (and, typically, substantially all) of its net assets 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 Standard & Poor’s Financial Services LLC (“S&P” or “Standard & Poor’s”) and have been licensed for use by MassMutual. 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.

MM S&P 500 Index® Fund Largest Holdings (% of Net Assets) on 6/30/13
Exxon Mobil Corp.	2.8	%
Apple, Inc.	2.6	%
Microsoft Corp.	1.8	%
Johnson & Johnson	1.7	%
General Electric Co.	1.6	%
Google, Inc. Class A	1.6	%
Chevron Corp.	1.6	%
The Procter & Gamble Co.	1.4	%
Berkshire Hathaway, Inc. Class B	1.4	%
Wells Fargo & Co.	1.4	%
	17.9	%

MM S&P 500 Index® Fund Sector Table (% of Net Assets) on 6/30/13
Consumer, Non-cyclical	22.4	%
Financial	16.1	%
Communications	12.1	%
Technology	11.4	%
Energy	10.2	%
Industrial	9.9	%
Consumer, Cyclical	9.4	%
Utilities	3.4	%
Basic Materials	3.1	%
Diversified	0.1	%
Total Long-Term Investments	98.1	%
Short-Term Investments and Other Assets and Liabilities	1.9	%
Net Assets	100.0	%

8

MassMutual Select Funds – Portfolio Summaries (Unaudited) (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 6/30/13
Wells Fargo & Co.	6.2	%
Intel Corp.	5.6	%
Applied Materials, Inc.	5.5	%
Delphi Automotive PLC	5.5	%
General Motors Co.	5.4	%
American International Group, Inc.	5.2	%
Family Dollar Stores, Inc.	5.1	%
Penn National Gaming, Inc.	5.0	%
JP Morgan Chase & Co.	5.0	%
Visa, Inc. Class A	5.0	%
	53.5	%

MassMutual Select Focused Value Fund Sector Table (% of Net Assets) on 6/30/13
Consumer, Cyclical	33.9	%
Financial	21.1	%
Industrial	11.7	%
Technology	11.2	%
Consumer, Non-cyclical	8.8	%
Energy	8.6	%
Total Long-Term Investments	95.3	%
Short-Term Investments and Other Assets and Liabilities	4.7	%
Net Assets	100.0	%

MassMutual Select Focused Value Fund Country Weightings (% of Net Assets) on 6/30/13
United States	89.8	%
United Kingdom	5.5	%
Total Long-Term Investments	95.3	%
Short-Term Investments and Other Assets and Liabilities	4.7	%
Net Assets	100.0	%

9

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

The Fund seeks long-term growth of capital by investing primarily in domestic equity securities that the Fund’s subadviser believes offer the potential for long-term growth. The Fund’s subadviser is Wellington Management Company, LLP (Wellington Management).

MassMutual Select Fundamental Growth Fund Largest Holdings (% of Net Assets) on 6/30/13
Cisco Systems, Inc.	5.7	%
Microsoft Corp.	4.6	%
Google, Inc. Class A	3.2	%
Wal-Mart Stores, Inc.	2.5	%
Verizon Communications, Inc.	2.4	%
The Home Depot, Inc.	2.3	%
Amgen, Inc.	2.2	%
The Boeing Co.	2.1	%
Oracle Corp.	2.1	%
Lowe’s Cos., Inc.	2.0	%
	29.1	%

MassMutual Select Fundamental Growth Fund Sector Table (% of Net Assets) on 6/30/13
Consumer, Non-cyclical	24.3	%
Communications	20.5	%
Technology	20.1	%
Consumer, Cyclical	16.6	%
Industrial	10.4	%
Financial	4.2	%
Basic Materials	2.1	%
Energy	2.0	%
Mutual Funds	1.3	%
Total Long-Term Investments	101.5	%
Short-Term Investments and Other Assets and Liabilities	(1.5	)%
Net Assets	100.0	%

10

MassMutual Select Funds – Portfolio Summaries (Unaudited) (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 net assets in the common stocks of large- and medium-sized blue chip growth companies. The Fund’s subadviser currently defines blue chip growth companies to mean firms that, in its view, are well-established in their industries and have the potential for above-average earnings growth. The Fund’s subadviser is T. Rowe Price Associates, Inc. (T. Rowe Price).

MassMutual Select Blue Chip Growth Fund Largest Holdings (% of Net Assets) on 6/30/13
Google, Inc. Class A	5.8	%
Amazon.com, Inc.	4.5	%
MasterCard, Inc. Class A	3.1	%
Priceline.com, Inc.	3.1	%
Danaher Corp.	3.0	%
Gilead Sciences, Inc.	2.6	%
Precision Castparts Corp.	2.2	%
Biogen Idec, Inc.	2.0	%
Union Pacific Corp.	2.0	%
Starbucks Corp.	2.0	%
	30.3	%

MassMutual Select Blue Chip Growth Fund Sector Table (% of Net Assets) on 6/30/13
Communications	22.9	%
Consumer, Non-cyclical	22.0	%
Consumer, Cyclical	17.0	%
Industrial	12.8	%
Financial	10.8	%
Technology	5.4	%
Energy	4.7	%
Basic Materials	4.6	%
Mutual Funds	0.0	%
Total Long-Term Investments	100.2	%
Short-Term Investments and Other Assets and Liabilities	(0.2	)%
Net Assets	100.0	%

11

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

The Fund seeks long-term capital appreciation by investing primarily in equity securities of U.S. companies. Under normal market conditions, the Fund invests at least 80% of its net assets in equity securities. Equity securities may include common stocks, preferred stocks, securities convertible into common or preferred stock, rights, and warrants. The Fund’s subadvisers are Sands Capital Management, LLC (Sands Capital), which managed approximately 51% of the Fund’s portfolio; and Delaware Investments Fund Advisers (DIFA), which was responsible for approximately 49% of the Fund’s portfolio, as of June 30, 2013.

MassMutual Select Growth Opportunities Fund Largest Holdings (% of Net Assets) on 6/30/13
Visa, Inc. Class A	7.6	%
Google, Inc. Class A	6.4	%
Priceline.com, Inc.	4.5	%
Amazon.com, Inc.	4.0	%
Nike, Inc. Class B	3.2	%
Allergan, Inc.	3.0	%
Salesforce.com, Inc.	3.0	%
EOG Resources, Inc.	2.7	%
MasterCard, Inc. Class A	2.6	%
Crown Castle International Corp.	2.5	%
	39.5	%

MassMutual Select Growth Opportunities Fund Sector Table (% of Net Assets) on 6/30/13
Communications	27.6	%
Consumer, Non-cyclical	23.9	%
Technology	16.3	%
Consumer, Cyclical	13.6	%
Energy	8.3	%
Financial	4.7	%
Mutual Funds	2.9	%
Basic Materials	2.5	%
Utilities	2.5	%
Total Long-Term Investments	102.3	%
Short-Term Investments and Other Assets and Liabilities	(2.3	)%
Net Assets	100.0	%

12

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

The Fund seeks growth of capital over the long-term by investing primarily in equity securities of mid-capitalization companies that the subadvisers believe are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in the stocks of mid-cap companies. The Fund’s subadvisers are Systematic Financial Management, L.P. (Systematic), which was responsible for approximately 71% of the Fund’s portfolio; and NFJ Investment Group LLC (NFJ), which managed approximately 29% of the Fund’s portfolio, as of June 30, 2013.

MassMutual Select Mid-Cap Value Fund Largest Holdings (% of Net Assets) on 6/30/13
Regions Financial Corp.	2.1	%
Fifth Third Bancorp	2.1	%
Lincoln National Corp.	1.7	%
CBL & Associates Properties, Inc.	1.6	%
Kilroy Realty Corp.	1.6	%
NRG Energy, Inc.	1.5	%
Liberty Property Trust	1.4	%
Brandywine Realty Trust	1.4	%
NXP Semiconductor NV	1.3	%
International Paper Co.	1.3	%
	16.0	%

MassMutual Select Mid-Cap Value Fund Sector Table (% of Net Assets) on 6/30/13
Financial	27.2	%
Consumer, Non-cyclical	17.7	%
Consumer, Cyclical	12.4	%
Industrial	9.3	%
Utilities	8.6	%
Technology	8.2	%
Energy	7.8	%
Basic Materials	5.4	%
Communications	1.3	%
Total Long-Term Investments	97.9	%
Short-Term Investments and Other Assets and Liabilities	2.1	%
Net Assets	100.0	%

13

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

The Fund seeks to maximize total return through investment primarily in small capitalization equity securities that the Fund’s subadvisers believe are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets 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, 2013.

MassMutual Select Small Cap Value Equity Fund Largest Holdings (% of Net Assets) on 6/30/13
Oshkosh Corp.	1.8	%
PolyOne Corp.	1.8	%
American Axle & Manufacturing Holdings, Inc.	1.8	%
Mobile Mini, Inc.	1.7	%
City National Corp.	1.7	%
Vishay Intertechnology, Inc.	1.7	%
HealthSouth Corp.	1.7	%
Belden, Inc.	1.6	%
Terex Corp.	1.6	%
The Men’s Wearhouse, Inc.	1.5	%
	16.9	%

MassMutual Select Small Cap Value Equity Fund Sector Table (% of Net Assets) on 6/30/13
Industrial	28.9	%
Consumer, Cyclical	19.7	%
Financial	17.4	%
Consumer, Non-cyclical	13.3	%
Technology	8.5	%
Basic Materials	3.5	%
Utilities	3.2	%
Energy	2.6	%
Communications	0.7	%
Total Long-Term Investments	97.8	%
Short-Term Investments and Other Assets and Liabilities	2.2	%
Net Assets	100.0	%

14

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

The Fund seeks to achieve long-term growth of capital by investing primarily in a diversified portfolio of equity securities of smaller companies that the Fund’s subadvisers consider to be undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets 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 T. Rowe Price Associates, Inc. (T. Rowe Price), which was responsible for approximately 53% of the Fund’s portfolio; Federated Clover Investment Advisors (Federated Clover), which managed approximately 40% of the Fund’s portfolio; and EARNEST Partners, LLC (Earnest Partners), which oversaw approximately 7% of the Fund’s portfolio, as of June 30, 2013.

MassMutual Select Small Company Value Fund Largest Holdings (% of Net Assets) on 6/30/13
ProAssurance Corp.	1.4	%
Cleco Corp.	1.2	%
Aaron’s, Inc.	1.1	%
East West Bancorp, Inc.	1.1	%
Beacon Roofing Supply, Inc.	1.0	%
Landstar System, Inc.	1.0	%
Genesee & Wyoming, Inc. Class A	1.0	%
SVB Financial Group	0.9	%
Kirby Corp.	0.8	%
Stifel Financial Corp.	0.8	%
	10.3	%

MassMutual Select Small Company Value Fund Sector Table (% of Net Assets) on 6/30/13
Financial	26.2	%
Industrial	20.8	%
Consumer, Non-cyclical	11.9	%
Consumer, Cyclical	11.9	%
Basic Materials	6.8	%
Mutual Funds	6.7	%
Energy	5.6	%
Technology	5.5	%
Utilities	4.7	%
Communications	4.3	%
Total Long-Term Investments	104.4	%
Short-Term Investments and Other Assets and Liabilities	(4.4	)%
Net Assets	100.0	%

15

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

What is the investment approach of MM S&P^® Mid Cap Index Fund, and who is the Fund’s subadviser?

The Fund seeks to provide investment results approximating (before fees and expenses) the aggregate price and dividend performance of the securities included in the Standard & Poor’s MidCap 400^® Index* (the “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 Index, in weightings that approximate the relative composition of the securities contained in the Index, and in S&P MidCap 400 Index futures contracts. The Fund’s subadviser is Northern Trust Investments, Inc. (NTI).

*“Standard & Poor’s^®,” “S&P^®,” and “S&P MidCap 400^® Index” are trademarks of Standard & Poor’s Financial Services LLC (“S&P” or “Standard & Poor’s”) and have been licensed for use by MassMutual. 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.

MM S&P Mid Cap Index Fund Largest Holdings (% of Net Assets) on 6/30/13
Vertex Pharmaceuticals, Inc.	1.3	%
AMETEK, Inc.	0.8	%
Green Mountain Coffee Roasters, Inc.	0.7	%
Equinix, Inc.	0.7	%
Alliance Data Systems Corp.	0.7	%
HollyFrontier Corp.	0.6	%
Affiliated Managers Group, Inc.	0.6	%
Church & Dwight Co., Inc.	0.6	%
Henry Schein, Inc.	0.6	%
Realty Income Corp.	0.6	%
	7.2	%

MM S&P Mid Cap Index Fund Sector Table (% of Net Assets) on 6/30/13
Financial	21.3	%
Industrial	18.2	%
Consumer, Non-cyclical	17.7	%
Consumer, Cyclical	12.6	%
Technology	8.7	%
Mutual Funds	6.3	%
Energy	5.3	%
Basic Materials	5.1	%
Utilities	4.7	%
Communications	4.2	%
Total Long-Term Investments	104.1	%
Short-Term Investments and Other Assets and Liabilities	(4.1	)%
Net Assets	100.0	%

16

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

What is the investment approach of MM Russell 2000^® Small Cap Index Fund, and who is the Fund’s subadviser?

The Fund seeks to provide investment results approximating (before fees and expenses) the aggregate price and dividend performance of the securities included in the Russell 2000 Index* (the “Index”). Under normal circumstances, the Fund invests at least 80% (and, typically, substantially all) of its net assets in the equity securities of companies included in the Index, in weightings that approximate the relative composition of the securities contained in the Index, and in Russell 2000 Index futures contracts. The Fund’s subadviser is Northern Trust Investments, Inc. (NTI).

*The Fund is not promoted, sponsored, or endorsed by, nor in any way affiliated with Russell Investment Group (“Russell”). Russell is not responsible for and has not reviewed the Fund nor any associated literature or publications and Russell makes no representation or warranty, express or implied, as to their accuracy, or completeness, or otherwise. The Russell 2000^® Index and Russell^® are trademarks of the Frank Russell Company.

MM Russell 2000 Small Cap Index Fund Largest Holdings (% of Net Assets) on 6/30/13
CoStar Group, Inc.	0.2	%
CommVault Systems, Inc.	0.2	%
FirstMerit Corp.	0.2	%
The Ultimate Software Group, Inc.	0.2	%
Acuity Brands, Inc.	0.2	%
The Middleby Corp.	0.2	%
Prosperity Bancshares, Inc.	0.2	%
Athenahealth, Inc.	0.2	%
Isis Pharmaceuticals, Inc.	0.2	%
Lufkin Industries, Inc.	0.2	%
	2.0	%

MM Russell 2000 Small Cap Index Fund Sector Table (% of Net Assets) on 6/30/13
Financial	21.7	%
Consumer, Non-cyclical	19.1	%
Consumer, Cyclical	13.2	%
Industrial	13.2	%
Mutual Funds	12.8	%
Technology	9.2	%
Communications	6.8	%
Energy	5.0	%
Basic Materials	3.6	%
Utilities	3.2	%
Diversified	0.2	%
Total Long-Term Investments	108.0	%
Short-Term Investments and Other Assets and Liabilities	(8.0	)%
Net Assets	100.0	%

17

MassMutual Select Funds – Portfolio Summaries (Unaudited) (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 80% of the Fund’s portfolio; and Frontier Capital Management Company, LLC (Frontier), which was responsible for approximately 20% of the Fund’s portfolio, as of June 30, 2013.

MassMutual Select Mid Cap Growth Equity II Fund Largest Holdings (% of Net Assets) on 6/30/13
CarMax, Inc.	1.5	%
IHS, Inc. Class A	1.5	%
Covance, Inc.	1.4	%
Quanta Services, Inc.	1.3	%
Pall Corp.	1.2	%
Fiserv, Inc.	1.2	%
Laboratory Corporation of America Holdings	1.2	%
AMETEK, Inc.	1.1	%
Gartner, Inc.	1.1	%
DENTSPLY International, Inc.	1.1	%
	12.6	%

MassMutual Select Mid Cap Growth Equity II Fund Sector Table (% of Net Assets) on 6/30/13
Consumer, Non-cyclical	27.1	%
Industrial	15.7	%
Consumer, Cyclical	15.4	%
Technology	11.3	%
Communications	9.2	%
Financial	7.3	%
Energy	6.0	%
Mutual Funds	5.1	%
Basic Materials	3.2	%
Utilities	1.1	%
Total Long-Term Investments	101.4	%
Short-Term Investments and Other Assets and Liabilities	(1.4	)%
Net Assets	100.0	%

18

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

The Fund seeks long-term capital appreciation by investing primarily in equity securities of smaller companies that the Fund’s subadvisers believe offer potential for long-term growth. Under normal circumstances, the Fund invests at least 80% of its net assets 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 54% of the Fund’s portfolio; Waddell & Reed Investment Management Company (Waddell & Reed), which was responsible for approximately 23% of the Fund’s portfolio; and Timberline Asset Management LLC (Timberline), which oversaw approximately 23% of the Fund’s portfolio, as of June 30, 2013.

MassMutual Select Small Cap Growth Equity Fund Largest Holdings (% of Net Assets) on 6/30/13
Dexcom, Inc.	1.6	%
Portfolio Recovery Associates, Inc.	1.1	%
KapStone Paper and Packaging Corp.	1.1	%
Under Armour, Inc. Class A	1.0	%
GameStop Corp. Class A	0.9	%
Dril-Quip, Inc.	0.9	%
Hittite Microwave Corp.	0.9	%
WEX, Inc.	0.9	%
Financial Engines, Inc.	0.9	%
WageWorks, Inc.	0.8	%
	10.1	%

MassMutual Select Small Cap Growth Equity Fund Sector Table (% of Net Assets) on 6/30/13
Consumer, Non-cyclical	22.8	%
Consumer, Cyclical	17.2	%
Industrial	14.8	%
Technology	13.2	%
Financial	10.5	%
Communications	9.7	%
Energy	6.1	%
Mutual Funds	3.4	%
Basic Materials	2.7	%
Utilities	0.3	%
Total Long-Term Investments	100.7	%
Short-Term Investments and Other Assets and Liabilities	(0.7	)%
Net Assets	100.0	%

19

MassMutual Select Funds – Portfolio Summaries (Unaudited) (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 Eagle Asset Management, Inc. (Eagle), which was responsible for approximately 86% of the Fund’s portfolio; and The Boston Company Asset Management, LLC (The Boston Company), which managed approximately 14% of the Fund’s portfolio, as of June 30, 2013.

MassMutual Select Small Company Growth Fund Largest Holdings (% of Net Assets) on 6/30/13
Genesco, Inc.	2.8	%
Geospace Technologies Corp.	2.1	%
The Geo Group, Inc.	1.7	%
Bally Technologies, Inc.	1.7	%
SHFL Entertainment, Inc.	1.6	%
Centene Corp.	1.6	%
Theravance, Inc.	1.6	%
Hexcel Corp.	1.5	%
PAREXEL International Corp.	1.5	%
Vitamin Shoppe, Inc.	1.5	%
	17.6	%

MassMutual Select Small Company Growth Fund Sector Table (% of Net Assets) on 6/30/13
Consumer, Non-cyclical	27.5	%
Consumer, Cyclical	18.1	%
Industrial	16.6	%
Mutual Funds	16.5	%
Technology	14.8	%
Energy	5.9	%
Communications	5.2	%
Financial	4.8	%
Basic Materials	4.5	%
Diversified	0.1	%
Total Long-Term Investments	114.0	%
Short-Term Investments and Other Assets and Liabilities	(14.0	)%
Net Assets	100.0	%

20

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

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

MassMutual Select Diversified International Fund Largest Holdings (% of Net Assets) on 6/30/13
HSBC Holdings PLC	4.0	%
Royal Dutch Shell PLC Class A	3.1	%
Vodafone Group PLC	3.0	%
Sanofi	2.7	%
Allianz SE	2.5	%
ENI SpA	2.1	%
Toyota Motor Corp.	2.0	%
BNP Paribas	2.0	%
Bayer AG	1.9	%
Hitachi Ltd.	1.9	%
	25.2	%

MassMutual Select Diversified International Fund Sector Table (% of Net Assets) on 6/30/13
Financial	29.6	%
Consumer, Non-cyclical	13.6	%
Consumer, Cyclical	12.9	%
Industrial	9.7	%
Energy	8.6	%
Communications	8.0	%
Basic Materials	5.4	%
Utilities	4.8	%
Technology	2.6	%
Diversified	2.5	%
Mutual Funds	2.0	%
Total Long-Term Investments	99.7	%
Short-Term Investments and Other Assets and Liabilities	0.3	%
Net Assets	100.0	%

MassMutual Select Diversified International Fund Country Weightings (% of Net Assets) on 6/30/13
Japan	24.0	%
United Kingdom	21.2	%
France	13.7	%
Germany	9.4	%
Switzerland	5.4	%
Netherlands	3.7	%
Spain	3.2	%
Italy	2.9	%
Hong Kong	2.9	%
Australia	2.2	%
United States	2.0	%
Belgium	1.5	%
Sweden	1.2	%
Norway	1.2	%
China	1.2	%
Denmark	0.8	%
Republic of Korea	0.7	%
Finland	0.7	%
Brazil	0.7	%
Russia	0.6	%
Canada	0.5	%
Total Long-Term Investments	99.7	%
Short-Term Investments and Other Assets and Liabilities	0.3	%
Net Assets	100.0	%

21

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

What is the investment approach of MM MSCI EAFE^® International Index Fund, and who is the Fund’s subadviser?

The Fund seeks to provide investment results approximating (before fees and expenses) the aggregate price and dividend performance of the securities included in the Morgan Stanley Capital International (MSCI^®) Europe, Australasia, Far East (EAFE) Index* (the “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 Index, in weightings that approximate the relative composition of the securities contained in the Index, and in MSCI EAFE Index futures contracts. The Fund’s subadviser is Northern Trust Investments, Inc. (NTI).

*The Fund is not sponsored, endorsed, sold, or promoted by MSCI Inc. (“MSCI”), any of its affiliates, any of its information providers, or any other third party involved in, or related to, compiling, computing, or creating any MSCI index (collectively, the “MSCI Parties”). The MSCI indexes are the exclusive property of MSCI. MSCI and the MSCI index names are service mark(s) of MSCI or its affiliates and have been licensed for use for certain purposes by MassMutual. None of the MSCI Parties makes any representation or warranty, express or implied, to the issuer or owners of the Fund or any other person or entity regarding the advisability of investing in funds generally or in the Fund particularly or the ability of any MSCI index to track corresponding stock market performance.

MM MSCI EAFE International Index Fund Sector Table (% of Net Assets) on 6/30/13
Financial	24.3	%
Consumer, Non-cyclical	22.9	%
Industrial	12.4	%
Consumer, Cyclical	12.0	%
Communications	7.1	%
Energy	6.7	%
Basic Materials	6.2	%
Mutual Funds	5.2	%
Utilities	3.7	%
Technology	2.4	%
Diversified	1.1	%
Total Long-Term Investments	104.0	%
Short-Term Investments and Other Assets and Liabilities	(4.0	)%
Net Assets	100.0	%

MM MSCI EAFE International Index Fund Largest Holdings (% of Net Assets) on 6/30/13
Nestle SA	1.8	%
HSBC Holdings PLC	1.7	%
Roche Holding AG	1.5	%
Toyota Motor Corp.	1.5	%
Novartis AG	1.4	%
Vodafone Group PLC	1.2	%
BP PLC	1.2	%
Sanofi	1.1	%
GlaxoSmithKline PLC	1.1	%
Royal Dutch Shell PLC Class A	1.1	%
	13.6	%

MM MSCI EAFE International Index Fund Country Weightings (% of Net Assets) on 6/30/13
Japan	22.4	%
United Kingdom	21.2	%
Switzerland	9.1	%
France	8.8	%
Germany	8.5	%
Australia	7.9	%
United States	5.2	%
Sweden	3.0	%
Netherlands	3.0	%
Spain	2.8	%
Hong Kong	2.5	%
Italy	1.9	%
Singapore	1.6	%
Belgium	1.1	%
Denmark	1.1	%
Finland	0.8	%
Norway	0.6	%
Israel	0.5	%
Bermuda	0.4	%
Luxembourg	0.3	%
Ireland	0.3	%
Austria	0.3	%
Cayman Islands	0.2	%
Channel Islands	0.2	%
Portugal	0.2	%
New Zealand	0.1	%
Greece	0.0	%
Mauritius	0.0	%
Total Long-Term Investments	104.0	%
Short-Term Investments and Other Assets and Liabilities	(4.0	)%
Net Assets	100.0	%

22

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

The Fund seeks growth of capital over the long-term by investing in foreign equity securities. Under normal circumstances, the Fund invests at least 80% of its net assets 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 Massachusetts Financial Services Company (MFS), which was responsible for approximately 50% of the Fund’s portfolio; Harris Associates L.P. (Harris), which oversaw approximately 27% of the Fund’s portfolio; and J.P. Morgan Investment Management Inc. (J.P. Morgan), which managed approximately 23% of the Fund’s portfolio, as of June 30, 2013.

MassMutual Select Overseas Fund Largest Holdings (% of Net Assets) on 6/30/13
HSBC Holdings PLC	2.6	%
Bayer AG	2.5	%
Nestle SA	2.1	%
Honda Motor Co. Ltd.	2.0	%
Danone SA	1.6	%
Credit Suisse Group	1.5	%
BNP Paribas	1.4	%
Diageo PLC	1.4	%
Linde AG	1.4	%
Allianz SE	1.4	%
	17.9	%

MassMutual Select Overseas Fund Sector Table (% of Net Assets) on 6/30/13
Financial	24.7	%
Consumer, Non-cyclical	20.8	%
Consumer, Cyclical	15.6	%
Industrial	12.3	%
Basic Materials	6.9	%
Technology	6.3	%
Communications	4.7	%
Energy	3.5	%
Mutual Funds	2.6	%
Diversified	1.8	%
Utilities	1.5	%
Total Long-Term Investments	100.7	%
Short-Term Investments and Other Assets and Liabilities	(0.7	)%
Net Assets	100.0	%

MassMutual Select Overseas Fund Country Weightings (% of Net Assets) on 6/30/13
United Kingdom	18.9	%
Japan	15.9	%
France	12.4	%
Switzerland	11.1	%
Germany	11.0	%
Netherlands	6.4	%
United States	3.0	%
Italy	2.6	%
Canada	2.6	%
Australia	2.3	%
Sweden	2.0	%
Spain	1.9	%
Hong Kong	1.6	%
Taiwan	1.2	%
Brazil	1.0	%
Bermuda	1.0	%
Singapore	0.9	%
Israel	0.9	%
India	0.7	%
Ireland	0.7	%
Republic of Korea	0.6	%
Russia	0.4	%
Belgium	0.4	%
Norway	0.3	%
China	0.3	%
Czech Republic	0.2	%
Denmark	0.2	%
Finland	0.2	%
Mexico	0.0	%
Total Long-Term Investments	100.7	%
Short-Term Investments and Other Assets and Liabilities	(0.7	)%
Net Assets	100.0	%

23

MassMutual Select PIMCO Total Return Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Principal Amount		Value
BONDS & NOTES — 137.3%
CORPORATE DEBT — 28.7%
Aerospace & Defense — 1.0%
United Technologies Corp. FRN 0.545% 12/02/13	$	18,200,000	$	18,219,583
Agriculture — 0.6%
Reynolds American, Inc. 7.625% 6/01/16		10,000,000		11,658,800
Banks — 7.1%
Abbey National Treasury Services PLC FRN 1.856% 4/25/14		2,100,000		2,115,305
Australia & New Zealand Banking Group Ltd. (a) 2.125% 1/10/14		2,400,000		2,420,160
Australia & New Zealand Banking Group Ltd. (a) 2.400% 11/23/16		1,500,000		1,552,350
Banco Santander Brasil SA (a) 4.250% 1/14/16		1,400,000		1,414,000
Banco Santander Brazil SA FRN (a) 2.373% 3/18/14		1,200,000		1,194,205
Banco Santander Chile FRN (a) 1.876% 1/19/16		1,000,000		1,000,000
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand (a) 4.125% 11/09/22		7,800,000		7,312,500
Bank of India (b) 6.250% 2/16/21		3,700,000		3,811,766
Bank of Montreal (a) 1.950% 1/30/18		300,000		306,660
Bank of Nova Scotia (a) 1.650% 10/29/15		900,000		917,460
Bank of Nova Scotia (a) 1.950% 1/30/17		1,000,000		1,021,800
BBVA Bancomer SA (a) 4.500% 3/10/16		500,000		518,750
BBVA Bancomer SA (a) 6.500% 3/10/21		2,400,000		2,520,000
BBVA US Senior SA FRN 2.399% 5/16/14		6,000,000		6,032,346
BNP Paribas SA FRN 1.179% 1/10/14		3,700,000		3,710,179
Credit Suisse New York 2.200% 1/14/14		800,000		806,927
Dexia Credit Local SA (a) 2.750% 4/29/14		42,345,000		43,055,972
GMAC, Inc. 7.500% 12/31/13		5,000,000		5,125,000

	Principal Amount		Value
Groupe BPCE (a) 2.375% 10/04/13	$	400,000	$	401,760
HSBC Bank PLC (a) 2.000% 1/19/14		800,000		806,901
ICICI Bank Ltd. (a) 4.750% 11/25/16		6,400,000		6,583,021
ICICI Bank Ltd. (b) 5.500% 3/25/15		2,200,000		2,290,609
ING Bank NV (a) 2.500% 1/14/16		500,000		516,350
Intesa Sanpaolo SpA FRN (a) 2.674% 2/24/14		1,800,000		1,806,613
JP Morgan Chase Bank NA 6.000% 10/01/17		11,700,000		13,327,365
Korea Development Bank 3.500% 8/22/17		900,000		918,673
Korea Development Bank 8.000% 1/23/14		1,000,000		1,038,146
LBG Capital No.2 PLC GBP (c) 9.125% 7/15/20		3,000,000		4,882,248
National Australia Bank Ltd. FRN (a) 0.998% 4/11/14		6,800,000		6,836,727
Nordea Bank AB (a) 2.125% 1/14/14		400,000		403,595
Sberbank of Russia Via SB Capital SA (a) 4.950% 2/07/17		3,300,000		3,413,850
Sumitomo Mitsui Banking Corp. (Acquired 1/14/11, Cost $998,810) (a) (d) 1.950% 1/14/14		1,000,000		1,006,996
UBS AG FRN 1.276% 1/28/14		1,569,000		1,577,242
				130,645,476
Building Materials — 0.1%
Corporacion GEO SAB de CV (a) 9.250% 6/30/20		3,000,000		1,320,000
Chemicals — 0.4%
Braskem Finance Ltd. (a) 5.750% 4/15/21		2,000,000		1,950,000
Braskem Finance Ltd. (a) 7.000% 5/07/20		5,100,000		5,406,000
				7,356,000
Diversified Financial — 12.0%
Ally Financial, Inc. FRN 3.672% 6/20/14		21,600,000		21,790,944
Ally Financial, Inc. 4.500% 2/11/14		5,700,000		5,748,450
BM&F Bovespa SA (a) 5.500% 7/16/20		3,300,000		3,370,125
Citigroup, Inc. FRN 1.727% 1/13/14		2,200,000		2,212,525

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

24

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

	Principal Amount		Value
Citigroup, Inc. 5.000% 9/15/14	$	11,700,000	$	12,158,956
Credit Agricole Home Loan FRN (a) 1.026% 7/21/14		5,400,000		5,419,192
Federal Home Loan Mortgage Corp. 0.875% 3/07/18		100,000		96,161
Federal Home Loan Mortgage Corp. 1.000% 3/08/17		800,000		796,586
Federal Home Loan Mortgage Corp. 1.000% 6/29/17		17,100,000		16,945,098
Federal Home Loan Mortgage Corp. 1.000% 7/28/17		15,600,000		15,432,607
Federal Home Loan Mortgage Corp. 1.000% 9/29/17		25,100,000		24,649,176
Federal Home Loan Mortgage Corp. 1.250% 8/01/19		13,100,000		12,494,919
Federal Home Loan Mortgage Corp. 1.250% 10/02/19		19,900,000		18,930,329
Federal Home Loan Mortgage Corp. 1.750% 5/30/19		800,000		791,768
Federal Home Loan Mortgage Corp. 2.375% 1/13/22		500,000		483,859
Federal Home Loan Mortgage Corp. 3.750% 3/27/19		4,800,000		5,266,242
Federal Home Loan Mortgage Corp. 5.000% 2/16/17		1,800,000		2,061,228
Federal Home Loan Mortgage Corp. 5.500% 8/23/17		3,500,000		4,084,687
Federal National Mortgage Association 0.875% 8/28/17		10,000,000		9,794,340
Federal National Mortgage Association 0.875% 12/20/17		1,400,000		1,363,143
Federal National Mortgage Association 0.875% 2/08/18		700,000		680,691
Federal National Mortgage Association 0.875% 5/21/18		100,000		96,832
Federal National Mortgage Association 1.125% 4/27/17		1,300,000		1,290,546
Federal National Mortgage Association (e) 1.250% 1/30/17		11,200,000		11,328,150
Federal National Mortgage Association 5.000% 2/13/17		4,700,000		5,376,940
Federal National Mortgage Association 5.000% 5/11/17		4,800,000		5,458,912

	Principal Amount		Value
Federal National Mortgage Association 5.375% 6/12/17	$	8,100,000	$	9,382,612
Ford Motor Credit Co. LLC 8.700% 10/01/14		300,000		325,611
International Lease Finance Corp. (a) 6.750% 9/01/16		700,000		756,000
Macquarie Bank Ltd. (a) 6.625% 4/07/21		2,400,000		2,539,464
SLM Corp. 6.250% 1/25/16		100,000		106,000
SLM Corp. 8.450% 6/15/18		10,000,000		11,100,000
TNK-BP Finance SA (a) 7.250% 2/02/20		5,000,000		5,600,000
TNK-BP Finance SA (b) 7.250% 2/02/20		1,900,000		2,128,000
				220,060,093
Electric — 0.3%
Majapahit Holding BV (a) 7.750% 1/20/20		5,300,000		5,803,500
Holding Company – Diversified — 0.1%
Noble Group Ltd. (b) 6.625% 8/05/20		1,000,000		997,500
Insurance — 2.2%
American International Group, Inc. 5.050% 10/01/15		12,500,000		13,550,100
Cincinnati Financial Corp. 6.920% 5/15/28		22,242,000		26,713,065
				40,263,165
Iron & Steel — 0.8%
CSN Islands XI Corp. (a) 6.875% 9/21/19		2,000,000		2,020,000
Gerdau Holdings, Inc. (b) 7.000% 1/20/20		10,000,000		10,550,000
GTL Trade Finance, Inc. (a) 7.250% 10/20/17		1,600,000		1,728,000
				14,298,000
Oil & Gas — 0.5%
ENN Energy Holdings Ltd. (a) 6.000% 5/13/21		300,000		316,724
Petrobras International Finance Co. 7.875% 3/15/19		2,300,000		2,659,635
Ras Laffan LNG 3 (b) 5.500% 9/30/14		1,800,000		1,881,000
Reliance Holdings USA, Inc. (a) 4.500% 10/19/20		4,300,000		4,229,364
				9,086,723

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

25

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

	Principal Amount		Value
Retail — 0.0%
CVS Pass-Through Trust 6.943% 1/10/30	$	87,336	$	102,836
Savings & Loans — 2.9%
AK Transneft OJSC Via TransCapitalInvest Ltd. (b) 7.700% 8/07/13		14,200,000		14,245,895
LBG Capital No.1 PLC GBP (b) (c) 7.588% 5/12/20		5,415,000		8,249,119
LBG Capital No.1 PLC GBP (c) 7.867% 12/17/19		7,567,000		11,635,164
LBG Capital No.1 PLC GBP (b) (c) 7.869% 8/25/20		2,906,000		4,477,338
SSIF Nevada LP FRN (a) 0.977% 4/14/14		12,500,000		12,558,450
Vnesheconombank Via VEB Finance PLC (a) 5.375% 2/13/17		1,600,000		1,662,000
				52,827,966
Transportation — 0.7%
Asciano Finance (a) 5.000% 4/07/18		4,300,000		4,568,238
DP World Sukuk Ltd. (a) 6.250% 7/02/17		7,000,000		7,490,000
				12,058,238
TOTAL CORPORATE DEBT (Cost $508,885,390)				524,697,880
MUNICIPAL OBLIGATIONS — 3.0%
Bay Area Toll Authority BAB 6.918% 4/01/40		6,300,000		7,889,301
Denver Public Schools BAB 6.220% 12/15/26		4,300,000		4,862,870
Irvine Ranch Water District BAB 6.622% 5/01/40		6,700,000		8,224,384
Metropolitan Government of Nashville & Davidson County Convention Center Authority 6.731% 7/01/43		100,000		116,148
New York City Municipal Water Finance Authority 5.000% 6/15/44		1,000,000		1,042,650
New York City Municipal Water Finance Authority BAB 6.124% 6/15/42		10,000,000		11,228,700
New York Liberty Development Corp. 5.000% 12/15/41		200,000		208,102
New York State Dormitory Authority 5.051% 9/15/27		600,000		656,928

	Principal Amount		Value
New York State Thruway Authority 5.000% 3/15/30	$	10,100,000	$	10,880,124
San Diego County Regional Airport Authority BAB 6.628% 7/01/40		5,000,000		5,535,750
State of California BAB 5.700% 11/01/21		3,500,000		3,999,450
				54,644,407
TOTAL MUNICIPAL OBLIGATIONS (Cost $50,324,296)				54,644,407
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 9.2%
Commercial MBS — 4.6%
Banc of America Large Loan, Inc., Series 2009-UB2, Class A4AA VRN (a) 5.823% 2/24/51		6,500,000		7,388,615
BCRR Trust, Series 2009-1, Class 2A2 VRN (a) 5.858% 7/17/40		31,036,000		34,194,658
Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3 VRN 6.253% 2/15/41		2,800,000		3,193,955
European Loan Conduit, Series 25A, Class A FRN EUR (a) (c) 0.353% 5/15/19		2,888,225		3,458,930
European Loan Conduit, Series 25X, Class A FRN EUR (b) (c) 0.353% 5/15/19		67,958		81,386
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4 5.700% 9/12/49		2,500,000		2,818,655
Morgan Stanley Reremic Trust, Series 2010-GG10, Class A4A VRN (a) 5.982% 8/15/45		25,000,000		28,008,900
Titan Europe PLC, Series 2007-3X, Class A1 FRN GBP (b) (c) 0.784% 10/23/16		3,131,343		4,533,898
				83,678,997
Home Equity ABS — 1.1%
Carrington Mortgage Loan Trust, Series 2006-RFC1, Class A3 FRN 0.343% 5/25/36		3,102,592		2,831,287
Countrywide Asset-Backed Certificates, Series 2004-5, Class M1 FRN 1.048% 8/25/34		2,800,000		2,484,894

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

26

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

	Principal Amount		Value
Countrywide Asset-Backed Certificates, Series 2005-14, Class 3A3 FRN 0.543% 4/25/36	$	1,000,000	$	922,532
First Franklin Mortgage Loan Trust, Series 2005-FF9, Class A4 FRN 0.553% 10/25/35		2,700,000		2,105,039
Home Equity Asset Trust, Series 2003-4, Class M1 FRN 1.393% 10/25/33		7,109,439		6,921,552
IXIS Real Estate Capital Trust, Series 2005-HE2, Class M4 FRN 1.123% 9/25/35		2,700,000		2,549,978
Lehman XS Trust, Series 2005-4, Class 1A3 FRN 0.593% 10/25/35		1,777,311		1,618,429
				19,433,711
Other ABS — 0.5%
Hillmark Funding, Series 2006-1A, Class A1 FRN (a) 0.524% 5/21/21		3,800,000		3,676,150
Penta CLO SA, Series 2007-1X, Class A1 FRN EUR (b) (c) 0.518% 6/04/24		968,307		1,205,570
RAAC Series 2007-SP1 Trust, Series 2007-SP1, Class M1 FRN 0.763% 3/25/37		4,600,000		3,891,304
				8,773,024
Student Loans ABS — 0.7%
SLM Student Loan Trust, Series 2012-C, Class A1 FRN (a) 1.293% 8/15/23		13,429,277		13,506,023
WL Collateral CMO — 2.3%
Arran Residential Mortgages Funding PLC, Series 2011-1A, Class A1B FRN EUR (a) (c) 1.402% 11/19/47		551,375		718,494
Arran Residential Mortgages Funding PLC, Series 2010-1A, Class A2B FRN EUR (a) (c) 1.603% 5/16/47		1,702,920		2,252,633
Chase Mortgage Finance Corp., Series 2006-A1, Class 4A1 FRN 5.741% 9/25/36		287,653		274,646
Granite Master Issuer PLC, Series 2006-4, Class A7 FRN EUR (b) (c) 0.342% 12/20/54		1,939,067		2,454,839

	Principal Amount		Value
Granite Master Issuer PLC, Series 2006-3, Class A5 FRN EUR (c) 0.342% 12/20/54	$	3,797,587	$	4,807,707
Granite Master Issuer PLC, Series 2005-2, Class A6 FRN 0.452% 12/20/54		1,596,090		1,547,577
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1 FRN 2.680% 9/25/35		4,355,646		4,339,548
Holmes Master Issuer PLC, Series 2011-1A, Class A3 FRN EUR (a) (c) 1.561% 10/15/54		820,479		1,074,358
Indymac Index Mortgage Loan Trust, Series 2006-AR13, Class A3 FRN 4.991% 7/25/36		9,866,656		8,744,495
JP Morgan Alternative Loan Trust, Series 2005-A2, Class 1A1 FRN 0.453% 1/25/36		3,845,817		3,327,358
JP Morgan Mortgage Trust, Series 2005-A5, Class 1A2 FRN 3.051% 8/25/35		3,631,968		3,536,797
Opteum Mortgage Acceptance Corp., Series 2005-5, Class 1APT FRN 0.473% 12/25/35		3,117,796		2,653,905
TBW Mortgage-Backed Trust, Series 2006-4, Class A3 FRN 0.393% 9/25/36		161,385		147,496
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class IIA1 FRN 2.996% 2/25/34		2,001,966		2,001,173
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-2, Class 1A1 5.000% 3/25/36		4,174,615		4,147,043
				42,028,069
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $153,528,276)				167,419,824
SOVEREIGN DEBT OBLIGATIONS — 2.9%
Autonomous Community of Valencia Spain EUR (c) 4.375% 7/16/15		300,000		384,247
Korea Housing Finance Corp. (a) 4.125% 12/15/15		400,000		420,986
Mexican Bonos MXN (c) 6.000% 6/18/15		9,900,000		787,073

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
Mexican Bonos MXN (c) 7.750% 12/14/17	$	16,100,000	$	1,370,094
Province of Ontario Canada 1.600% 9/21/16		2,100,000		2,130,820
Province of Ontario Canada 1.650% 9/27/19		2,200,000		2,101,660
Province of Ontario Canada CAD (c) 2.850% 6/02/23		300,000		273,625
Province of Ontario Canada 3.000% 7/16/18		400,000		419,880
Province of Ontario Canada CAD (c) 3.150% 6/02/22		2,900,000		2,746,328
Province of Ontario Canada CAD (c) 4.000% 6/02/21		14,500,000		14,727,489
Province of Ontario Canada CAD (c) 4.200% 3/08/18		100,000		103,140
Province of Ontario Canada CAD (c) 4.200% 6/02/20		4,100,000		4,231,300
Province of Ontario Canada CAD (c) 4.300% 3/08/17		600,000		617,543
Province of Ontario Canada CAD (c) 4.400% 6/02/19		1,300,000		1,356,836
Province of Ontario Canada 4.400% 4/14/20		1,000,000		1,108,804
Province of Ontario Canada CAD (c) 4.600% 6/02/39		700,000		735,942
Province of Ontario Canada CAD (c) 5.500% 6/02/18		300,000		326,243
Province of Quebec Canada 2.750% 8/25/21		1,600,000		1,571,499
Province of Quebec Canada CAD (c) 3.000% 9/01/23		200,000		183,339
Province of Quebec Canada 3.500% 7/29/20		1,400,000		1,472,940
Province of Quebec Canada CAD (c) 3.500% 12/01/22		5,700,000		5,501,473
Province of Quebec Canada CAD (c) 4.250% 12/01/21		9,800,000		10,077,963
Province of Quebec Canada CAD (c) 4.500% 12/01/16		100,000		103,387
Province of Quebec Canada CAD (c) 4.500% 12/01/18		400,000		418,792
Province of Quebec Canada CAD (c) 4.500% 12/01/20		300,000		314,559
United Mexican States MXN (c) 10.000% 12/05/24		1,300,000		135,273
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $55,717,672)				53,621,235

	Principal Amount		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 53.9%
Pass-Through Securities — 53.9%
Federal Home Loan Mortgage Corp. Pool #C03701 4.500% 9/01/41	$	987,946	$	1,042,708
Federal Home Loan Mortgage Corp. TBA Pool #7718 4.500% (f) 5/01/39		1,000,000		1,053,672
Federal National Mortgage Association Pool #AM0359 2.310% 8/01/22		2,200,000		2,103,827
Pool #470529 2.475% 4/01/19		2,800,000		2,823,572
Pool #AM0414 2.870% 9/01/27		1,500,000		1,355,033
Pool #AB1826 3.000% 11/01/20		2,008,656		2,078,018
Pool #MA0605 3.000% 12/01/20		2,371,855		2,453,758
Pool #MA0658 3.000% 2/01/21		132,471		137,335
Pool #AL0579 3.000% 8/01/21		506,466		525,063
Pool #MA0865 3.000% 10/01/21		78,118		80,986
Pool #AK0282 3.000% 12/01/21		426,740		442,409
Pool #MA0921 3.000% 12/01/21		921,614		955,454
Pool #AB4551 3.000% 3/01/22		851,475		882,740
Pool #MA1014 3.000% 3/01/22		608,862		631,219
Pool #MA1030 3.000% 4/01/22		572,137		593,145
Pool #AB5079 3.000% 5/01/22		1,904,372		1,974,298
Pool #AB1768 3.000% 11/01/25		19,855		20,454
Pool #AH0483 3.000% 12/01/25		88,475		91,115
Pool #MA0504 3.500% 8/01/20		550,397		573,767
Pool #AD5102 3.500% 12/01/25		150,109		156,483
Pool #AE2913 3.500% 12/01/25		135,635		141,394
Pool #AH1884 3.500% 1/01/26		225,404		234,974
Pool #MA0617 3.500% 1/01/26		175,156		182,593

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
Pool #AB2826 3.500% 4/01/26	$	268,384	$	279,780
Pool #AI3430 3.500% 5/01/26		434,096		452,529
Pool #AB3006 3.500% 5/01/26		1,471,301		1,533,774
Pool #310096 3.500% 8/01/26		123,678		128,929
Pool #890396 3.500% 10/01/26		38,535		40,171
Pool #AL1693 3.500% 4/01/27		746,194		777,878
Pool #993382 4.000% 6/01/24		1,838,514		1,935,395
Pool #AD3975 4.000% 6/01/25		102,885		108,628
Pool #AD9130 4.000% 8/01/25		106,940		112,575
Pool #AI2022 4.000% 4/01/26		377,543		397,438
Pool #AE4338 4.000% 9/01/30		123,194		128,781
Pool #MA0534 4.000% 10/01/30		380,362		397,612
Pool #MA0006 4.000% 3/01/39		654,383		682,425
Pool #AA4392 4.000% 4/01/39		659,587		687,851
Pool #AA2392 4.000% 4/01/39		199,202		207,739
Pool #AA4656 4.000% 5/01/39		773,799		806,958
Pool #AA7434 4.000% 6/01/39		143,103		149,235
Pool #AC0903 4.000% 8/01/39		69,906		72,901
Pool #932541 4.000% 2/01/40		34,002		35,459
Pool #AE0113 4.000% 7/01/40		614,997		641,351
Pool #AE0216 4.000% 8/01/40		31,796		33,159
Pool #AD9902 4.000% 8/01/40		34,868		36,362
Pool #AE4290 4.000% 9/01/40		1,787,070		1,863,648
Pool #AD9362 4.000% 9/01/40		916,516		955,790
Pool #AB1502 4.000% 9/01/40		3,429,729		3,576,699
Pool #AE8094 4.000% 10/01/40		719,617		750,454

	Principal Amount		Value
Pool #AE6984 4.000% 10/01/40	$	217,003	$	226,302
Pool #AE6058 4.000% 10/01/40		284,014		296,185
Pool #AE5112 4.000% 10/01/40		141,613		147,681
Pool #AE1807 4.000% 10/01/40		31,784		33,146
Pool #AE6120 4.000% 10/01/40		399,884		417,020
Pool #AE9544 4.000% 11/01/40		61,720		64,365
Pool #AE4995 4.000% 11/01/40		370,119		385,979
Pool #AH0248 4.000% 11/01/40		765,945		798,767
Pool #AE9744 4.000% 12/01/40		69,350		72,322
Pool #AE8836 4.000% 12/01/40		3,534,787		3,686,258
Pool #AH2730 4.000% 12/01/40		719,320		750,144
Pool #AB2086 4.000% 1/01/41		33,545		34,982
Pool #AH8584 4.000% 2/01/41		355,867		371,117
Pool #AB2335 4.000% 2/01/41		696,948		726,813
Pool #AH8240 4.000% 3/01/41		404,193		421,513
Pool #AB2808 4.000% 4/01/41		63,608		66,334
Pool #AI0926 4.000% 4/01/41		951,980		992,774
Pool #AB3026 4.000% 5/01/41		382,757		399,158
Pool #AI7797 4.000% 7/01/41		947,736		988,348
Pool #AI7778 4.000% 7/01/41		337,448		351,908
Pool #AB3416 4.000% 8/01/41		858,544		895,334
Pool #AI9818 4.000% 9/01/41		35,809		37,343
Pool #AI5826 4.000% 9/01/41		17,956		18,726
Pool #AJ1407 4.000% 9/01/41		631,789		658,862
Pool #AB3576 4.000% 9/01/41		1,155,902		1,205,435
Pool #AO3520 4.000% 10/01/41		337,146		351,593

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
Pool #AJ4052 4.000% 10/01/41	$	278,066	$	290,068
Pool #AJ2665 4.000% 10/01/41		35,185		36,693
Pool #AJ0029 4.000% 10/01/41		5,212,565		5,435,932
Pool #AJ5915 4.000% 11/01/41		141,008		147,094
Pool #AJ3075 4.000% 11/01/41		86,807		90,554
Pool #AI9441 4.000% 11/01/41		1,012,825		1,056,543
Pool #AJ3496 4.000% 11/01/41		183,194		191,102
Pool #AJ3797 4.000% 11/01/41		11,688,875		12,193,415
Pool #AJ5380 4.000% 11/01/41		648,758		676,761
Pool #AJ4679 4.000% 11/01/41		509,920		531,930
Pool #AB3940 4.000% 11/01/41		1,355,690		1,414,207
Pool #AJ7778 4.000% 12/01/41		12,259		12,788
Pool #AJ7689 4.000% 12/01/41		455,005		474,645
Pool #AJ6511 4.000% 12/01/41		525,429		548,108
Pool #AJ5702 4.000% 12/01/41		255,047		266,056
Pool #AJ4460 4.000% 12/01/41		843,762		880,182
Pool #AK0425 4.000% 1/01/42		603,421		629,467
Pool #AJ9771 4.000% 1/01/42		33,633		35,085
Pool #AB4528 4.000% 2/01/42		32,699		34,110
Pool #AJ9774 4.000% 2/01/42		31,630		32,995
Pool #AK6154 4.000% 3/01/42		289,560		302,150
Pool #AK7894 4.000% 4/01/42		1,161,259		1,211,747
Pool #AO3879 4.000% 6/01/42		571,973		596,841
Pool #AK4443 4.000% 6/01/42		217,219		226,662
Pool #AL3683 4.000% 10/01/42		127,115		132,562
Pool #889907 4.500% 10/01/20		182,760		193,804

	Principal Amount		Value
Pool #AA6704 4.500% 3/01/23	$	128,315	$	136,069
Pool #995282 4.500% 4/01/23		78,063		82,927
Pool #983629 4.500% 5/01/23		9,287		9,866
Pool #257277 4.500% 7/01/23		17,982		19,103
Pool #255217 4.500% 4/01/24		245,855		261,596
Pool #931412 4.500% 6/01/24		294,583		312,385
Pool #932561 4.500% 2/01/25		197,968		209,931
Pool #AD3832 4.500% 4/01/25		1,218,472		1,292,104
Pool #AD7877 4.500% 6/01/25		471,096		499,564
Pool #AE0791 4.500% 12/01/25		245,870		260,728
Pool #930997 4.500% 4/01/29		6,729,495		7,126,693
Pool #MA0096 4.500% 6/01/29		181,390		192,097
Pool #AB1129 4.500% 6/01/30		141,533		151,302
Pool #AD6404 4.500% 6/01/30		39,400		42,119
Pool #AE5670 4.500% 8/01/33		326,204		345,458
Pool #812104 4.500% 2/01/35		74,788		79,238
Pool #815715 4.500% 4/01/35		61,351		64,991
Pool #832199 4.500% 7/01/35		137,509		145,626
Pool #829583 4.500% 7/01/35		4,006		4,244
Pool #745044 4.500% 8/01/35		58,448		61,916
Pool #835760 4.500% 9/01/35		1,703,514		1,804,061
Pool #AA1258 4.500% 10/01/35		1,253,865		1,328,264
Pool #745147 4.500% 12/01/35		194,992		206,501
Pool #AO9200 4.500% 12/01/38		20,495		21,705
Pool #930612 4.500% 2/01/39		75,662		80,127
Pool #AA4986 4.500% 3/01/39		405,495		433,991

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
Pool #AA3320 4.500% 3/01/39	$	461,389	$	488,621
Pool #190396 4.500% 6/01/39		811,005		858,874
Pool #AA7407 4.500% 6/01/39		392,127		416,742
Pool #931636 4.500% 7/01/39		306,627		324,725
Pool #AC0380 4.500% 7/01/39		371,421		393,344
Pool #AC0391 4.500% 7/01/39		357,182		378,264
Pool #931639 4.500% 7/01/39		1,619,664		1,715,262
Pool #931778 4.500% 8/01/39		25,797		27,449
Pool #AA9845 4.500% 8/01/39		15,643		16,567
Pool #AC2749 4.500% 8/01/39		23,457		24,959
Pool #932389 4.500% 1/01/40		2,581,579		2,733,953
Pool #932391 4.500% 1/01/40		6,809,245		7,211,150
Pool #AC3913 4.500% 1/01/40		210,903		223,351
Pool #AC8568 4.500% 1/01/40		173,767		184,024
Pool #932473 4.500% 2/01/40		103,783		109,909
Pool #AC7904 4.500% 3/01/40		394,705		418,002
Pool #AD1079 4.500% 3/01/40		441,500		467,558
Pool #AD3057 4.500% 3/01/40		453,773		480,556
Pool #AD1540 4.500% 3/01/40		270,895		286,884
Pool #AD1654 4.500% 3/01/40		919,099		982,538
Pool #AD1656 4.500% 3/01/40		3,226,756		3,417,210
Pool #AD3126 4.500% 4/01/40		15,935		16,875
Pool #AD7328 4.500% 6/01/40		339,494		359,532
Pool #AB1226 4.500% 7/01/40		62,477		66,165
Pool #AD6862 4.500% 7/01/40		432,408		457,930
Pool #AD9137 4.500% 8/01/40		93,605		99,130

	Principal Amount		Value
Pool #AE2100 4.500% 8/01/40	$	414,346	$	438,802
Pool #AB1389 4.500% 8/01/40		46,930		49,700
Pool #AB1388 4.500% 8/01/40		10,017		10,608
Pool #AB1475 4.500% 9/01/40		521,127		551,886
Pool #AE3151 4.500% 9/01/40		185,471		196,419
Pool #AE0395 4.500% 10/01/40		2,699,120		2,858,431
Pool #AE5471 4.500% 10/01/40		1,599,027		1,693,407
Pool #AE1611 4.500% 10/01/40		2,779,436		2,943,488
Pool #AE3204 4.500% 10/01/40		351,645		372,400
Pool #AE6437 4.500% 10/01/40		563,332		596,582
Pool #AE3695 4.500% 11/01/40		88,301		93,513
Pool #AE6311 4.500% 11/01/40		217,418		230,251
Pool #AE7731 4.500% 11/01/40		680,025		720,162
Pool #AE8864 4.500% 11/01/40		578,146		612,270
Pool #AH2396 4.500% 1/01/41		65,639		69,554
Pool #AA4781 4.500% 1/01/41		267,805		283,779
Pool #AH4709 4.500% 4/01/41		124,070		131,471
Pool #AH9142 4.500% 4/01/41		117,469		124,476
Pool #AH8423 4.500% 4/01/41		97,891		103,730
Pool #AH7828 4.500% 4/01/41		591,903		627,210
Pool #AH9873 4.500% 4/01/41		975,328		1,033,505
Pool #AI1116 4.500% 4/01/41		523,374		554,592
Pool #AH7861 4.500% 5/01/41		225,667		239,128
Pool #AI0290 4.500% 5/01/41		151,720		160,864
Pool #AI2598 4.500% 5/01/41		445,211		472,046
Pool #AI1888 4.500% 5/01/41		18,165		19,260

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
Pool #AL0160 4.500% 5/01/41	$	2,199,401	$	2,329,217
Pool #AI5737 4.500% 6/01/41		65,332		69,269
Pool #AB3194 4.500% 6/01/41		353,405		374,706
Pool #MA0755 4.500% 6/01/41		140,555		149,027
Pool #AH5453 4.500% 6/01/41		233,396		247,464
Pool #AI1586 4.500% 6/01/41		529,343		561,248
Pool #AI4445 4.500% 6/01/41		62,571		66,342
Pool #AE4559 4.500% 6/01/41		46,381		49,176
Pool #AE5634 4.500% 6/01/41		14,617		15,498
Pool #AI0041 4.500% 7/01/41		306,813		325,306
Pool #AB3948 4.500% 7/01/41		670,624		711,044
Pool #AI5064 4.500% 7/01/41		289,839		307,309
Pool #AI6553 4.500% 7/01/41		147,443		156,330
Pool #AH3853 4.500% 7/01/41		455,011		482,436
Pool #AI6643 4.500% 8/01/41		558,463		592,123
Pool #AI0814 4.500% 8/01/41		665,056		705,141
Pool #MA0843 4.500% 9/01/41		2,167,376		2,298,011
Pool #AJ1677 4.500% 9/01/41		20,066		21,275
Pool #AJ3142 4.500% 10/01/41		32,406		34,359
Pool #AJ2989 4.500% 10/01/41		8,712		9,238
Pool #AJ9736 4.500% 1/01/42		1,259,002		1,334,886
Pool #MA1111 4.500% 7/01/42		27,171		28,826
Pool #MA1159 4.500% 8/01/42		685,392		727,131
Pool #256713 5.000% 5/01/27		363,747		391,639
Pool #257101 5.000% 2/01/28		94,573		101,825
Pool #257163 5.000% 4/01/28		100,236		107,922

	Principal Amount		Value
Pool #808338 5.000% 8/01/33	$	77,172	$	83,306
Pool #730728 5.000% 8/01/33		613,622		662,401
Pool #725231 5.000% 2/01/34		84,014		90,692
Pool #725205 5.000% 3/01/34		423,614		457,288
Pool #773682 5.000% 4/01/34		255,957		276,183
Pool #815971 5.000% 3/01/35		729,548		786,174
Pool #735288 5.000% 3/01/35		1,780,099		1,919,099
Pool #828296 5.000% 4/01/35		243,624		262,534
Pool #824421 5.000% 5/01/35		97,988		105,594
Pool #833958 5.000% 7/01/35		121,626		131,028
Pool #828547 5.000% 8/01/35		53,046		57,146
Pool #888343 5.000% 11/01/35		26,828		28,902
Pool #840960 5.000% 11/01/35		26,592		28,647
Pool #745573 5.000% 5/01/36		921,363		992,301
Pool #310083 5.000% 11/01/36		243,665		262,425
Pool #889659 5.000% 12/01/36		49,353		53,184
Pool #906369 5.000% 1/01/37		26,194		28,202
Pool #AA0974 5.000% 2/01/37		25,858		27,849
Pool #910889 5.000% 2/01/37		150,235		161,755
Pool #889479 5.000% 7/01/37		744,111		801,634
Pool #310068 5.000% 7/01/37		800,506		862,639
Pool #972116 5.000% 2/01/38		902,967		972,206
Pool #AL0527 5.000% 2/01/38		51,588		55,575
Pool #933758 5.000% 3/01/38		135,237		145,607
Pool #933737 5.000% 3/01/38		76,823		82,714
Pool #933730 5.000% 4/01/38		79,953		86,083

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
Pool #890153 5.000% 5/01/38	$	134,263	$	144,642
Pool #963258 5.000% 5/01/38		9,977		10,742
Pool #963640 5.000% 6/01/38		19,765		21,280
Pool #963611 5.000% 6/01/38		9,267		9,978
Pool #995077 5.000% 11/01/38		909,982		979,759
Pool #AA2525 5.000% 3/01/39		10,742		11,566
Pool #995926 5.000% 6/01/39		1,797,031		1,935,950
Pool #995841 5.000% 6/01/39		663,671		714,561
Pool #AL2629 5.000% 6/01/39		48,983		52,769
Pool #AA9701 5.000% 7/01/39		88,096		94,852
Pool #995882 5.000% 7/01/39		863,343		929,543
Pool #AD9548 5.000% 7/01/40		3,260,770		3,510,805
Pool #AD7136 5.000% 7/01/40		235,549		253,610
Pool #AD7595 5.000% 7/01/40		159,171		171,376
Pool #AE5002 5.000% 11/01/40		78,252		85,719
Pool #AB2350 5.000% 2/01/41		227,125		245,535
Pool #AH8146 5.000% 4/01/41		134,778		147,387
Pool #AH8434 5.000% 4/01/41		428,550		463,286
Pool #AL0933 5.000% 10/01/41		310,919		341,465
Pool #AJ6307 5.000% 12/01/41		176,072		190,674
Pool #AQ1351 5.000% 11/01/42		417,415		459,858
Pool #256714 5.500% 5/01/27		123,001		134,052
Pool #257325 5.500% 8/01/28		303,325		329,250
Pool #AD0836 5.500% 11/01/28		365,978		397,258
Pool #257537 5.500% 1/01/29		91,152		98,942
Pool #730155 5.500% 8/01/33		208,548		227,806

	Principal Amount		Value
Pool #735358 5.500% 2/01/35	$	135,665	$	147,557
Pool #850314 5.500% 1/01/36		25,233		27,453
Pool #745418 5.500% 4/01/36		66,665		72,529
Pool #AD2612 5.500% 11/01/36		73,145		79,488
Pool #889584 5.500% 1/01/37		62,788		68,154
Pool #888816 5.500% 3/01/37		2,855,678		3,106,888
Pool #256673 5.500% 4/01/37		4,945,056		5,367,704
Pool #AE0188 5.500% 8/01/37		248,878		270,149
Pool #889996 5.500% 6/01/38		4,393,887		4,769,428
Pool #984277 5.500% 6/01/38		448,340		486,659
Pool #889982 5.500% 11/01/38		5,639,778		6,121,803
Pool #AA3642 5.500% 4/01/39		39,181		43,093
Pool #AD4567 5.500% 4/01/40		31,932		34,661
Pool #357829 6.000% 6/01/35		937,516		1,028,814
Pool #896019 6.000% 8/01/36		29,544		32,199
Pool #994197 6.000% 12/01/38		31,691		34,460
Pool #AE0394 6.000% 1/01/39		29,117		31,661
Pool #AL0013 6.000% 4/01/40		1,876,488		2,040,460
Pool #AL0152 6.000% 6/01/40		882,683		959,815
Pool #AL3365 6.000% 5/01/41		6,564,807		7,138,458
Federal National Mortgage Association TBA
Pool #838 2.500% 9/01/27 (f)		61,000,000		61,352,653
Pool #3772 3.000% 11/01/26 (f)		68,000,000		69,779,689
Pool #3430 3.000% 11/01/26 (f)		77,000,000		79,237,813
Pool #515 3.000% 10/01/42 (f)		18,000,000		17,600,625
Pool #2409 3.500% 11/01/25 (f)		91,000,000		94,824,839

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
Pool #6990 4.000% 4/01/24 (f)	$	10,000,000	$	10,524,999
Pool #6447 4.000% 9/01/40 (f)		43,000,000		44,810,704
Pool #12994 4.000% 9/01/40 (f)		37,000,000		38,455,428
Pool #11606 4.500% 3/01/21 (f)		500,000		530,000
Pool #9730 4.500% 6/01/39 (f)		42,000,000		44,378,905
Pool #15801 4.500% 6/01/39 (f)		130,000,000		137,627,347
Pool #21695 5.000% 1/01/37 (f)		10,000,000		10,752,344
Pool #28654 5.000% 1/01/37 (f)		26,000,000		27,990,625
Pool #44117 5.500% 1/01/35 (f)		15,000,000		16,268,555
Pool #45746 5.500% 1/01/35 (f)		44,500,000		48,324,219
Government National Mortgage Association Pool #AD9094 3.000% 5/15/43		138,667		137,449
Pool #666356 3.000% 5/15/43		223,196		221,234
Pool #AE7022 3.000% 6/15/43		2,000,000		1,982,422
Pool #AE7513 3.000% 6/15/43		7,000,000		6,938,476
Pool #AE7025 3.000% 6/15/43		1,000,100		991,310
Pool #758910 3.000% 6/15/43		638,136		632,527
Pool #AA8275 3.500% 7/15/42		18,999,994		19,532,142
Pool #676882 5.000% 3/15/38		745,427		804,944
Pool #676926 5.000% 4/15/38		825,781		891,714
Pool #701354 5.000% 2/15/39		692,885		747,450
Pool #782632 5.000% 4/15/39		91,276		98,721
Pool #716783 5.000% 4/15/39		3,846,278		4,149,172
Pool #743991 5.000% 11/15/40		89,435		97,550
Pool #760376 5.000% 9/15/41		72,828		79,018
Pool #760389 5.000% 10/15/41		2,174,219		2,345,439

	Principal Amount		Value
Government National Mortgage Association TBA Pool #466 3.000% 11/01/42 (f)	$	33,000,000	$	32,649,375
Pool # 3143 3.500% 12/01/41 (f)		12,000,000		12,315,000
				984,401,864
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $994,509,033)				984,401,864
U.S. TREASURY OBLIGATIONS — 39.6%
U.S. Treasury Bonds & Notes — 39.6%
U.S. Treasury Inflation Index 0.125% 4/15/17		614,328		630,310
U.S. Treasury Inflation Index 0.125% 1/15/22		4,109,920		4,025,474
U.S. Treasury Inflation Index 0.125% 7/15/22		3,134,937		3,064,156
U.S. Treasury Inflation Index 0.625% 7/15/21		103,182		106,487
U.S. Treasury Inflation Index 0.750% 2/15/42		7,204,260		6,341,997
U.S. Treasury Inflation Index 1.125% 1/15/21		425,240		454,774
U.S. Treasury Inflation Index 1.250% 7/15/20		1,599,525		1,737,484
U.S. Treasury Inflation Index (g) 1.750% 1/15/28		19,648,239		22,013,710
U.S. Treasury Inflation Index 1.875% 7/15/19		435,664		491,177
U.S. Treasury Inflation Index 2.000% 1/15/26		9,373,600		10,824,315
U.S. Treasury Inflation Index 2.375% 1/15/25		4,071,342		4,849,986
U.S. Treasury Inflation Index (g) 2.375% 1/15/27		69,652,072		83,859,980
U.S. Treasury Inflation Index 2.500% 1/15/29		758,212		935,208
U.S. Treasury Note 0.250% 4/15/16		161,700,000		160,151,221
U.S. Treasury Note 0.625% 4/30/18		49,900,000		48,223,669
U.S. Treasury Note (e) (g) 0.750% 10/31/17		29,700,000		29,140,806
U.S. Treasury Note 0.750% 12/31/17		61,500,000		60,164,294
U.S. Treasury Note 0.750% 2/28/18		69,400,000		67,700,241
U.S. Treasury Note 0.750% 3/31/18		68,800,000		66,962,827

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

34

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

	Principal Amount		Value
U.S. Treasury Note 0.875% 1/31/18	$	9,800,000	$	9,625,590
U.S. Treasury Note (e) (g) 0.875% 7/31/19		116,800,000		111,252,911
U.S. Treasury Note 1.125% 3/31/20		2,300,000		2,191,469
U.S. Treasury Note 1.125% 4/30/20		3,500,000		3,328,527
U.S. Treasury Note 1.250% 10/31/19		9,100,000		8,826,573
U.S. Treasury Note 1.250% 2/29/20		10,200,000		9,819,413
U.S. Treasury Note 1.375% 5/31/20		2,400,000		2,316,206
U.S. Treasury Note 2.000% 2/15/22		500,000		489,016
U.S. Treasury Note 2.125% 8/15/21		2,600,000		2,589,275
				722,117,096
TOTAL U.S. TREASURY OBLIGATIONS (Cost $747,819,223)				722,117,096
TOTAL BONDS & NOTES (Cost $2,510,783,890)				2,506,902,306
TOTAL LONG-TERM INVESTMENTS (Cost $2,510,783,890)				2,506,902,306
SHORT-TERM INVESTMENTS — 1.2%
Time Deposits — 0.8%
Euro Time Deposit 0.100% 7/01/13		14,085,075		14,085,075
U.S. Treasury Bills — 0.4%
U.S. Treasury Bill 0.010% 8/08/13		6,750,000		6,749,730
U.S. Treasury Bill 0.010% 8/15/13		550,000		549,980
U.S. Treasury Bill 0.010% 8/22/13		210,000		209,994
				7,509,704

	Value
TOTAL SHORT-TERM INVESTMENTS (Cost $21,594,779)	$	21,594,779
TOTAL INVESTMENTS — 138.5% (Cost $2,532,378,669) (h)		2,528,497,085
Other Assets/(Liabilities) — (38.5)%		(703,251,070	)
NET ASSETS — 100.0%	$	1,825,246,015

Notes to Portfolio of Investments

ABS Asset-Backed Security

BAB Build America Bonds

CAD Canadian Dollar

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, 2013, these securities amounted to a value of $246,446,474 or 13.50% 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, 2013, these securities amounted to a value of $56,906,920 or 3.12% 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, 2013, these securities amounted to a value of $1,006,996 or 0.06% of net assets. The Funds generally bear the costs, if any, associated with the disposition of restricted securities.

(e) All or a portion of this security is held as collateral for open swap agreements and written options outstanding. (Note 2).

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

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

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

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

35

MassMutual Select Strategic Bond Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 0.1%
PREFERRED STOCK — 0.1%
Financial — 0.1%
Diversified Financial — 0.1%
Citigroup Capital XIII 7.875%		6,050	$	168,493
TOTAL PREFERRED STOCK (Cost $162,660)				168,493
TOTAL EQUITIES (Cost $162,660)				168,493
	Principal Amount
BONDS & NOTES — 99.9%
CORPORATE DEBT — 37.4%
Aerospace & Defense — 0.4%
The Boeing Co. 4.875% 2/15/20	$	100,000		114,148
The Boeing Co. 6.000% 3/15/19		130,000		154,767
The Goldman Sachs Group, Inc. 2.375% 1/22/18		100,000		98,183
Raytheon Co. 3.125% 10/15/20		120,000		120,751
United Technologies Corp. 4.500% 6/01/42		100,000		98,610
				586,459
Agriculture — 0.9%
Altria Group, Inc. 2.850% 8/09/22		210,000		194,182
Altria Group, Inc. 4.750% 5/05/21		290,000		310,578
Altria Group, Inc. 9.250% 8/06/19		180,000		238,391
Lorillard Tobacco Co. 8.125% 6/23/19		10,000		12,254
Philip Morris International, Inc. 2.500% 8/22/22		110,000		101,555
Philip Morris International, Inc. 2.900% 11/15/21		280,000		271,899
Philip Morris International, Inc. 4.500% 3/20/42		120,000		111,988
Reynolds American, Inc. 3.250% 11/01/22		90,000		83,664
Reynolds American, Inc. 6.750% 6/15/17		175,000		202,787
				1,527,298

	Principal Amount		Value
Airlines — 0.3%
Continental Airlines, Inc. (a) 6.750% 9/15/15	$	20,000	$	20,550
Delta Air Lines, Inc. Series 2007-1 Class A 6.821% 2/10/24		240,825		272,253
United Air Lines, Inc. 9.750% 7/15/18		149,360		171,764
				464,567
Auto Manufacturers — 0.3%
Daimler Finance NA LLC (a) 2.625% 9/15/16		260,000		266,847
Ford Motor Co. 4.750% 1/15/43		260,000		228,694
				495,541
Banks — 5.0%
Bank of America Corp. 3.875% 3/22/17		70,000		73,313
Bank of America Corp. 4.500% 4/01/15		20,000		20,979
Bank of America Corp. 5.000% 5/13/21		220,000		234,578
Bank of America Corp. 5.625% 7/01/20		190,000		209,184
Bank of America Corp. 5.750% 12/01/17		30,000		33,341
Bank of America Corp. 7.625% 6/01/19		170,000		204,302
The Bank of Tokyo-Mitsubishi UFJ Ltd (a) 3.850% 1/22/15		110,000		114,976
Barclays Bank PLC (a) 6.050% 12/04/17		130,000		140,624
BBVA US Senior SAU 3.250% 5/16/14		400,000		403,590
BBVA US Senior SAU 4.664% 10/09/15		260,000		267,832
BNP Paribas SA 2.375% 9/14/17		180,000		178,200
Commonwealth Bank of Australia 1.250% 9/18/15		300,000		301,770
Commonwealth Bank of Australia (a) 3.750% 10/15/14		200,000		207,740
Commonwealth Bank of Australia (a) 5.000% 10/15/19		70,000		78,331
Credit Agricole SA VRN (a) 8.375% 12/31/49		480,000		508,200
Intesa Sanpaolo SPA (a) 3.625% 8/12/15		140,000		140,315
M&T Bank Corp. (a) 6.875% 12/31/49		440,000		457,878

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

36

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

	Principal Amount		Value
Nordea Bank AB (a) 3.700% 11/13/14	$	140,000	$	145,166
Nordea Bank AB (a) 4.875% 5/13/21		390,000		400,218
Rabobank Nederland VRN (a) 11.000% 12/29/49		210,000		269,325
Royal Bank of Scotland Group PLC 2.550% 9/18/15		50,000		50,838
Royal Bank of Scotland Group PLC 4.700% 7/03/18		30,000		29,113
Royal Bank of Scotland Group PLC 5.000% 10/01/14		120,000		122,694
Royal Bank of Scotland Group PLC 6.100% 6/10/23		210,000		199,230
Royal Bank of Scotland Group PLC VRN 7.640% 12/31/49		200,000		179,000
Royal Bank of Scotland Group PLC VRN 7.648% 12/31/49		30,000		27,450
Santander US Debt SA Unipersonal (a) 3.724% 1/20/15		100,000		100,936
State Street Corp. 4.956% 3/15/18		310,000		341,541
Sumitomo Mitsui Banking Corp. (a) 3.100% 1/14/16		200,000		208,300
UBS AG 3.875% 1/15/15		310,000		323,081
Wachovia Bank NA 6.000% 11/15/17		250,000		285,278
Wachovia Capital Trust III VRN 5.570% 12/31/49		310,000		304,187
Wachovia Corp. 5.250% 8/01/14		790,000		825,179
Wachovia Corp. 5.625% 10/15/16		330,000		370,909
Wells Fargo & Co. 1.500% 1/16/18		110,000		107,286
Wells Fargo & Co. 3.450% 2/13/23		170,000		162,356
Wells Fargo & Co. STEP 3.676% 6/15/16		170,000		181,631
Wells Fargo & Co. 4.600% 4/01/21		40,000		43,588
				8,252,459
Beverages — 1.2%
Anheuser-Busch InBev Worldwide, Inc. 2.500% 7/15/22		240,000		224,064
Anheuser-Busch InBev Worldwide, Inc. 5.000% 4/15/20		100,000		113,513
Anheuser-Busch InBev Worldwide, Inc. 5.375% 1/15/20		260,000		299,747
Diageo Capital PLC 4.828% 7/15/20		300,000		338,834

	Principal Amount		Value
Diageo Investment Corp. 2.875% 5/11/22	$	150,000	$	144,819
Heineken NV (a) 1.400% 10/01/17		80,000		77,728
Molson Coors Brewing Co. 3.500% 5/01/22		30,000		29,444
PepsiCo, Inc. 0.700% 8/13/15		280,000		279,929
Pernod-Ricard SA (a) 2.950% 1/15/17		180,000		184,178
Pernod-Ricard SA (a) 4.450% 1/15/22		250,000		254,651
				1,946,907
Chemicals — 0.1%
Eagle Spinco, Inc. (a) 4.625% 2/15/21		40,000		38,400
Ecolab, Inc. 4.350% 12/08/21		70,000		73,900
Potash Corp. of Saskatchewan, Inc. 4.875% 3/30/20		50,000		55,334
				167,634
Coal — 0.3%
Arch Coal, Inc. 7.000% 6/15/19		250,000		208,125
CONSOL Energy, Inc. 6.375% 3/01/21		160,000		159,200
Peabody Energy Corp. 6.500% 9/15/20		170,000		170,425
				537,750
Commercial Services — 0.1%
Service Corp. International 7.500% 4/01/27		135,000		147,488
Service Corp. International 7.625% 10/01/18		10,000		11,400
				158,888
Computers — 0.2%
Apple, Inc. 2.400% 5/03/23		420,000		389,535
Diversified Financial — 8.0%
Ally Financial, Inc. 7.500% 9/15/20		370,000		426,425
American Express Co. VRN 6.800% 9/01/66		180,000		192,150
American Honda Finance Corp. (a) 1.000% 8/11/15		260,000		260,421
Boeing Capital Corp. 4.700% 10/27/19		150,000		169,423
Citigroup, Inc. 3.500% 5/15/23		230,000		206,570
Citigroup, Inc. 3.953% 6/15/16		240,000		252,977

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

37

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

	Principal Amount		Value
Citigroup, Inc. VRN 5.350% 12/31/49	$	100,000	$	93,750
Citigroup, Inc. 5.375% 8/09/20		150,000		165,870
Citigroup, Inc. 5.500% 10/15/14		80,000		84,143
Citigroup, Inc. VRN 5.900% 12/31/49		60,000		59,400
Citigroup, Inc. VRN 5.950% 12/31/49		110,000		109,461
Citigroup, Inc. 6.000% 8/15/17		30,000		33,803
Citigroup, Inc. 6.010% 1/15/15		290,000		309,698
Citigroup, Inc. 6.375% 8/12/14		20,000		21,106
Citigroup, Inc. 6.875% 3/05/38		660,000		800,337
Countrywide Financial Corp. 6.250% 5/15/16		360,000		392,574
Federal Home Loan Mortgage Corp. 0.875% 10/28/13		330,000		330,725
Federal National Mortgage Association 0.010% 10/09/19		1,460,000		1,226,400
Ford Motor Credit Co. LLC 8.125% 1/15/20		520,000		626,378
General Electric Capital Corp. 1.625% 7/02/15		100,000		101,169
General Electric Capital Corp. 5.875% 1/14/38		300,000		330,226
General Electric Capital Corp. VRN 6.375% 11/15/67		990,000		1,029,600
General Electric Capital Corp. 6.875% 1/10/39		300,000		369,720
General Motors Financial Co., Inc. (a) 2.750% 5/15/16		50,000		49,187
General Motors Financial Co., Inc. (a) 3.250% 5/15/18		40,000		38,900
General Motors Financial Co., Inc. (a) 4.250% 5/15/23		40,000		37,250
The Goldman Sachs Group, Inc. 4.750% 7/15/13		10,000		10,014
The Goldman Sachs Group, Inc. 5.250% 10/15/13		80,000		80,987
The Goldman Sachs Group, Inc. 5.250% 7/27/21		70,000		74,893
The Goldman Sachs Group, Inc. 5.375% 3/15/20		90,000		97,655
The Goldman Sachs Group, Inc. 6.000% 5/01/14		50,000		52,080
The Goldman Sachs Group, Inc. 6.000% 6/15/20		240,000		269,670

	Principal Amount		Value
The Goldman Sachs Group, Inc. 6.250% 2/01/41	$	470,000	$	531,562
HSBC Finance Corp. 6.676% 1/15/21		260,000		287,443
Hyundai Capital America (a) 2.125% 10/02/17		70,000		67,675
International Lease Finance Corp. (a) 6.750% 9/01/16		680,000		734,400
John Deere Capital Corp. 1.700% 1/15/20		40,000		37,831
John Deere Capital Corp. 2.250% 4/17/19		100,000		99,876
JP Morgan Chase & Co. 1.100% 10/15/15		430,000		427,376
JP Morgan Chase & Co. 3.375% 5/01/23		270,000		251,413
JP Morgan Chase & Co. 4.350% 8/15/21		40,000		41,670
JP Morgan Chase & Co. 5.150% 10/01/15		600,000		648,252
JP Morgan Chase & Co. 5.125% 9/15/14		820,000		860,314
Merrill Lynch & Co., Inc. 6.875% 4/25/18		110,000		126,602
Morgan Stanley 4.750% 3/22/17		40,000		42,426
Nationstar Mortgage LLC/Nationstar Capital Corp. 6.500% 7/01/21		40,000		38,400
SLM Corp. 3.875% 9/10/15		260,000		262,614
SLM Corp. 5.000% 4/15/15		20,000		20,650
Toyota Motor Credit Corp. 1.250% 10/05/17		290,000		281,600
				13,063,066
Electric — 1.5%
AES Corp/VA 4.875% 5/15/23		230,000		214,475
AES Corp/VA 7.375% 7/01/21		20,000		21,950
Calpine Corp. (a) 7.500% 2/15/21		207,000		220,972
The Cleveland Electric Illuminating Co. 5.650% 12/15/13		47,000		47,990
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc. 10.000% 12/01/20		495,000		542,025
Exelon Corp. 5.625% 6/15/35		290,000		298,056
FirstEnergy Corp. 2.750% 3/15/18		70,000		68,148

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

38

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

	Principal Amount		Value
FirstEnergy Corp. 4.250% 3/15/23	$	310,000	$	288,026
FirstEnergy Corp. Series C 7.375% 11/15/31		370,000		390,201
Midamerican Energy Holdings Co, Series A 6.500% 9/15/37		40,000		47,499
Pacific Gas & Electric Co. 5.800% 3/01/37		130,000		147,518
Pacific Gas & Electric Co. 6.050% 3/01/34		50,000		58,296
Pacific Gas & Electric Co. 8.250% 10/15/18		50,000		64,480
				2,409,636
Electronics — 0.1%
Thermo Fisher Scientific, Inc. 3.600% 8/15/21		90,000		88,268
Environmental Controls — 0.1%
Waste Management, Inc. 4.600% 3/01/21		30,000		32,203
Waste Management, Inc. 7.375% 5/15/29		50,000		61,975
				94,178
Foods — 0.6%
Hawk Acquisition Sub, Inc. (a) 4.250% 10/15/20		110,000		105,187
Kraft Foods Group, Inc. 3.500% 6/06/22		210,000		207,958
Kraft Foods Group, Inc. 5.375% 2/10/20		256,000		288,762
Kraft Foods, Inc. 5.375% 2/10/20		234,000		262,467
The Kroger Co. 6.400% 8/15/17		30,000		34,622
Safeway, Inc. 4.750% 12/01/21		50,000		50,942
				949,938
Forest Products & Paper — 0.1%
Celulosa Arauco y Constitucion SA 4.750% 1/11/22		130,000		129,116
Health Care – Products — 0.1%
Medtronic, Inc. 3.125% 3/15/22		180,000		175,918
Health Care – Services — 0.9%
Fresenius Medical Care US Finance II, Inc. (a) 5.875% 1/31/22		50,000		52,625
Fresenius Medical Care US Finance, Inc. (a) 5.750% 2/15/21		40,000		42,000

	Principal Amount		Value
Humana, Inc. 3.150% 12/01/22	$	70,000	$	64,962
Roche Holdings, Inc. (a) 6.000% 3/01/19		180,000		214,917
Tenet Healthcare Corp. (a) 4.500% 4/01/21		230,000		214,475
UnitedHealth Group, Inc. 5.700% 10/15/40		120,000		132,099
UnitedHealth Group, Inc. 5.800% 3/15/36		70,000		78,597
UnitedHealth Group, Inc. 6.000% 2/15/18		110,000		129,189
WellPoint, Inc. 1.250% 9/10/15		60,000		60,100
WellPoint, Inc. 3.125% 5/15/22		50,000		47,412
WellPoint, Inc. 3.700% 8/15/21		170,000		171,409
WellPoint, Inc. 5.875% 6/15/17		20,000		22,723
WellPoint, Inc. 7.000% 2/15/19		150,000		180,085
				1,410,593
Home Builders — 0.1%
NVR, Inc. 3.950% 9/15/22		100,000		97,224
Taylor Morrison Communities, Inc./Monarch Communities, Inc. (a) 5.250% 4/15/21		110,000		104,500
Taylor Morrison Communities, Inc./Monarch Communities, Inc. (a) 7.750% 4/15/20		40,000		43,100
				244,824
Household Products — 0.2%
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC 6.875% 2/15/21		150,000		157,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC 7.125% 4/15/19		200,000		211,250
				368,750
Insurance — 0.7%
American International Group, Inc. (a) 3.750% 11/30/13		100,000		101,234
American International Group, Inc. 6.250% 3/15/37		320,000		326,800
ING US, Inc. (a) 2.900% 2/15/18		40,000		40,201
MetLife Capital Trust IV (a) 7.875% 12/15/37		200,000		238,182
MetLife, Inc. 6.400% 12/15/36		200,000		204,500

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

39

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

	Principal Amount		Value
Teachers Insurance & Annuity Association of America (a) 6.850% 12/16/39	$	260,000	$	317,523
				1,228,440
Investment Companies — 0.3%
Temasek Financial I Ltd. (a) 2.375% 1/23/23		250,000		222,078
Xstrata Finance Canada Ltd. (a) 2.050% 10/23/15		240,000		240,076
Xstrata Finance Canada Ltd. (a) 5.800% 11/15/16		60,000		65,451
				527,605
Iron & Steel — 0.3%
ArcelorMittal 5.000% 2/25/17		70,000		70,875
Cliffs Natural Resources, Inc. 3.950% 1/15/18		230,000		219,744
Cliffs Natural Resources, Inc. 4.800% 10/01/20		100,000		90,140
Cliffs Natural Resources, Inc. 4.875% 4/01/21		30,000		27,189
Steel Dynamics, Inc. 7.625% 3/15/20		40,000		42,600
				450,548
Lodging — 0.0%
CityCenter Holdings LLC/CityCenter Finance Corp. 7.625% 1/15/16		70,000		73,850
Manufacturing — 0.4%
Eaton Corp. (a) 1.500% 11/02/17		110,000		106,779
Eaton Corp. (a) 2.750% 11/02/22		470,000		439,694
General Electric Co. 0.850% 10/09/15		120,000		119,886
				666,359
Media — 1.9%
CCO Holdings LLC/CCO Holdings Capital Corp. 6.500% 4/30/21		270,000		281,475
CCO Holdings LLC/CCO Holdings Capital Corp. 7.000% 1/15/19		220,000		233,200
Comcast Corp. 6.500% 1/15/15		735,000		798,455
CSC Holdings LLC 6.750% 11/15/21		70,000		75,425
DISH DBS Corp. 7.875% 9/01/19		170,000		190,400
News America, Inc. 6.200% 12/15/34		20,000		21,864

	Principal Amount		Value
News America, Inc. 6.650% 11/15/37	$	30,000	$	34,522
Time Warner Cable, Inc. 4.125% 2/15/21		50,000		49,027
Time Warner Cable, Inc. 5.500% 9/01/41		20,000		17,576
Time Warner Cable, Inc. 5.875% 11/15/40		90,000		82,445
Time Warner Cable, Inc. 6.200% 7/01/13		250,000		250,000
Time Warner Cable, Inc. 6.750% 6/15/39		180,000		183,616
Time Warner Cable, Inc. 8.250% 4/01/19		240,000		288,959
Time Warner Entertainment Co. LP 8.375% 7/15/33		20,000		23,572
Time Warner, Inc. 4.750% 3/29/21		200,000		215,149
Time Warner, Inc. 6.250% 3/29/41		20,000		22,068
Time Warner, Inc. 7.700% 5/01/32		10,000		12,714
United Business Media Ltd. (a) 5.750% 11/03/20		130,000		131,786
Univision Communications, Inc. (a) 5.125% 5/15/23		80,000		75,600
Univision Communications, Inc. (a) 6.750% 9/15/22		200,000		210,000
				3,197,853
Mining — 2.4%
Barrick Gold Corp. 3.850% 4/01/22		50,000		42,071
Barrick Gold Corp. (a) 4.100% 5/01/23		250,000		208,864
Barrick Gold Corp. 6.950% 4/01/19		140,000		148,506
Barrick NA Finance LLC 4.400% 5/30/21		210,000		187,753
BHP Billiton Finance USA Ltd. 3.250% 11/21/21		40,000		39,112
BHP Billiton Finance USA Ltd. 6.500% 4/01/19		410,000		490,857
FMG Resources August 2006 Pty Ltd. (a) 6.375% 2/01/16		30,000		29,962
FMG Resources Property Ltd. (a) 6.000% 4/01/17		160,000		155,600
FMG Resources Property Ltd. (a) 8.250% 11/01/19		20,000		20,600
Freeport-McMoRan Copper & Gold, Inc. (a) 2.375% 3/15/18		50,000		47,554

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

40

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

	Principal Amount		Value
Freeport-McMoRan Copper & Gold, Inc. (a) 3.100% 3/15/20	$	150,000	$	138,647
Freeport-McMoRan Copper & Gold, Inc. 3.550% 3/01/22		270,000		245,256
Rio Tinto Finance USA Ltd. 1.875% 11/02/15		20,000		20,290
Rio Tinto Finance USA Ltd. 2.500% 5/20/16		100,000		102,820
Rio Tinto Finance USA Ltd. 3.500% 11/02/20		260,000		258,689
Rio Tinto Finance USA Ltd. 3.750% 9/20/21		80,000		79,004
Rio Tinto Finance USA Ltd. 4.125% 5/20/21		60,000		60,995
Rio Tinto Finance USA Ltd. 6.500% 7/15/18		20,000		23,666
Rio Tinto Finance USA Ltd. 9.000% 5/01/19		110,000		142,900
Southern Copper Corp. 5.250% 11/08/42		400,000		328,232
Vale Overseas Ltd. 4.375% 1/11/22		502,000		476,817
Vale Overseas Ltd. 6.875% 11/21/36		361,000		365,508
Vedanta Resources PLC (a) 8.750% 1/15/14		190,000		194,275
Xstrata Finance Canada Ltd. (a) 2.700% 10/25/17		180,000		174,561
				3,982,539
Oil & Gas — 4.1%
Anadarko Petroleum Corp. 6.375% 9/15/17		30,000		34,499
Apache Corp. 4.750% 4/15/43		40,000		37,941
Apache Corp. 5.100% 9/01/40		330,000		332,059
Atwood Oceanics, Inc. 6.500% 2/01/20		60,000		62,250
BP Capital Markets PLC 3.125% 10/01/15		480,000		501,680
BP Capital Markets PLC 3.245% 5/06/22		80,000		77,637
BP Capital Markets PLC 3.561% 11/01/21		30,000		30,091
Chesapeake Energy Corp. 6.875% 11/15/20		210,000		227,850
Chevron Corp. 2.427% 6/24/20		20,000		19,886
Chevron Corp. 3.191% 6/24/23		80,000		79,612
Concho Resources, Inc. 5.500% 10/01/22		40,000		39,600

	Principal Amount		Value
Concho Resources, Inc. 5.500% 4/01/23	$	20,000	$	19,700
Concho Resources, Inc. 6.500% 1/15/22		98,000		103,635
Conoco, Inc. 6.950% 4/15/29		155,000		197,424
Continental Resources Inc. /OK, Series A 5.000% 9/15/22		20,000		20,350
Continental Resources, Inc. (a) 4.500% 4/15/23		60,000		58,350
Denbury Resources, Inc. 4.625% 7/15/23		50,000		46,125
Devon Energy Corp. 5.600% 7/15/41		280,000		290,142
Devon Financing Corp. LLC 7.875% 9/30/31		60,000		77,692
Hess Corp. 7.300% 8/15/31		5,000		5,993
Hess Corp. 7.875% 10/01/29		90,000		112,452
Hess Corp. 8.125% 2/15/19		180,000		225,627
Kerr-McGee Corp. 6.950% 7/01/24		300,000		358,633
Kerr-McGee Corp. 7.875% 9/15/31		260,000		324,630
Noble Energy, Inc. 8.250% 3/01/19		300,000		377,811
Occidental Petroleum Corp. 2.700% 2/15/23		130,000		119,974
Occidental Petroleum Corp. 3.125% 2/15/22		200,000		193,758
Pemex Project Funding Master Trust 6.625% 6/15/35		623,000		654,150
Petrobras International Finance Co. 3.875% 1/27/16		150,000		154,324
Petrobras International Finance Co. 5.375% 1/27/21		540,000		542,535
Petrobras International Finance Co. 5.750% 1/20/20		142,000		147,734
Petrobras International Finance Co. 6.125% 10/06/16		166,000		181,470
QEP Resources, Inc. 6.875% 3/01/21		190,000		204,725
Range Resources Corp. 5.000% 8/15/22		110,000		107,525
Range Resources Corp. 5.000% 3/15/23		80,000		78,200
Shell International Finance BV 4.375% 3/25/20		230,000		255,668
Sinopec Group Overseas Development 2012 Ltd. (a) 2.750% 5/17/17		200,000		201,075

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

41

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

	Principal Amount		Value
Transocean, Inc. 5.050% 12/15/16	$	70,000	$	76,120
Transocean, Inc. 6.375% 12/15/21		70,000		78,677
WPX Energy, Inc. 6.000% 1/15/22		70,000		70,700
				6,728,304
Oil & Gas Services — 0.4%
Baker Hughes, Inc. 3.200% 8/15/21		190,000		192,403
Cie Generale de Geophysique - Veritas 6.500% 6/01/21		230,000		232,300
Key Energy Services, Inc. 6.750% 3/01/21		190,000		182,400
Schlumberger Norge AS (a) 4.200% 1/15/21		50,000		53,398
Superior Energy Services, Inc. 7.125% 12/15/21		50,000		54,000
				714,501
Packaging & Containers — 0.2%
Ball Corp. 4.000% 11/15/23		50,000		46,250
Ball Corp. 5.000% 3/15/22		230,000		228,850
Rock Tenn Co. 3.500% 3/01/20		80,000		78,282
Rock Tenn Co. 4.000% 3/01/23		50,000		48,177
				401,559
Pharmaceuticals — 1.2%
AbbVie, Inc. (a) 1.750% 11/06/17		310,000		303,712
AbbVie, Inc. (a) 2.900% 11/06/22		190,000		177,677
Express Scripts Holding Co. 3.500% 11/15/16		620,000		658,152
GlaxoSmithKline Capital PLC 2.850% 5/08/22		180,000		172,776
Pfizer, Inc. 6.200% 3/15/19		310,000		373,812
Teva Pharmaceutical Finance Co. BV 3.650% 11/10/21		50,000		50,005
Teva Pharmaceutical Finance IV BV 3.650% 11/10/21		190,000		190,018
Wyeth 5.950% 4/01/37		20,000		23,466
Zoetis, Inc. (a) 3.250% 2/01/23		40,000		38,005
				1,987,623

	Principal Amount		Value
Pipelines — 1.7%
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23	$	140,000	$	129,850
El Paso Natural Gas Co. 8.375% 6/15/32		289,000		382,440
Energy Transfer Equity LP 7.500% 10/15/20		60,000		65,550
Enterprise Products Operating LLC 3.350% 3/15/23		410,000		394,545
Enterprise Products Operating LLC 4.850% 3/15/44		10,000		9,484
Enterprise Products Operating LLC 5.700% 2/15/42		250,000		264,742
Enterprise Products Operating LLC 6.125% 10/15/39		20,000		22,242
Enterprise Products Operating LP 5.950% 2/01/41		40,000		43,578
Kinder Morgan Energy Partners LP 5.000% 12/15/13		100,000		101,891
Kinder Morgan Energy Partners LP 6.000% 2/01/17		200,000		225,252
Kinder Morgan Finance Co. LLC (a) 6.000% 1/15/18		430,000		451,457
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. 4.500% 7/15/23		20,000		18,300
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. 5.500% 2/15/23		80,000		78,800
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. 6.250% 6/15/22		32,000		32,960
Regency Energy Partners LP/Regency Energy Finance Corp. (a) 4.500% 11/01/23		30,000		27,150
Regency Energy Partners LP/Regency Energy Finance Corp. 6.500% 7/15/21		128,000		133,760
Southern Natural Gas Co. LLC 8.000% 3/01/32		5,000		6,632
Williams Cos., Inc. 7.750% 6/15/31		78,000		91,100
Williams Cos., Inc. Series A 7.500% 1/15/31		240,000		273,424
				2,753,157
Retail — 0.4%
CVS Caremark Corp. 2.750% 12/01/22		120,000		112,116
CVS Pass-Through Trust (a) 5.298% 1/11/27		12,129		13,218

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

42

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

	Principal Amount		Value
CVS Pass-Through Trust 5.880% 1/10/28	$	127,010	$	142,021
CVS Pass-Through Trust 6.036% 12/10/28		107,273		120,999
CVS Pass-Through Trust 6.943% 1/10/30		87,336		102,836
Michaels Stores, Inc. 7.750% 11/01/18		50,000		53,500
Wal-Mart Stores, Inc. 6.200% 4/15/38		50,000		61,353
				606,043
Savings & Loans — 0.3%
The Goldman Sachs Capital II FRN 4.000% 6/01/43		390,000		310,050
ILFC E-Capital Trust II VRN (a) 6.250% 12/21/65		10,000		9,100
Vesey Street Investment Trust I STEP 4.404% 9/01/16		90,000		95,840
				414,990
Semiconductors — 0.0%
National Semiconductor Corp. 6.600% 6/15/17		30,000		35,250
Software — 0.3%
First Data Corp. (a) 6.750% 11/01/20		20,000		20,350
First Data Corp. (a) 7.375% 6/15/19		200,000		205,500
Oracle Corp. 1.200% 10/15/17		260,000		252,517
				478,367
Telecommunications — 2.3%
America Movil SAB de CV 5.000% 3/30/20		100,000		107,329
America Movil SAB de CV 5.625% 11/15/17		160,000		180,821
AT&T Inc 2.500% 8/15/15		180,000		185,479
AT&T, Inc. 2.625% 12/01/22		140,000		128,147
AT&T, Inc. 4.450% 5/15/21		50,000		53,852
AT&T, Inc. 5.500% 2/01/18		670,000		766,317
AT&T, Inc. 6.550% 2/15/39		90,000		103,343
Cellco Partnership/Verizon Wireless Capital LLC 8.500% 11/15/18		50,000		64,940
Deutsche Telekom International Finance BV 5.750% 3/23/16		315,000		350,175

	Principal Amount		Value
Intelsat Jackson Holdings SA (a) 5.500% 8/01/23	$	50,000	$	47,000
Intelsat Jackson Holdings SA 7.250% 10/15/20		180,000		189,000
Intelsat Jackson Holdings SA 7.500% 4/01/21		65,000		68,250
Qwest Corp. 6.875% 9/15/33		100,000		96,750
Qwest Corp. 7.500% 10/01/14		55,000		59,200
Rogers Communications, Inc. 6.800% 8/15/18		120,000		144,874
Sprint Capital Corp. 6.875% 11/15/28		50,000		48,000
Sprint Capital Corp. 8.750% 3/15/32		240,000		264,000
Telefonica Emisiones SAU 5.462% 2/16/21		10,000		10,310
Telefonica Emisiones SAU 5.877% 7/15/19		100,000		107,956
Telefonica Emisiones SAU 6.221% 7/03/17		60,000		65,430
TW Telecom Holdings, Inc. 5.375% 10/01/22		60,000		59,550
Verizon Communications, Inc. 3.500% 11/01/21		60,000		60,264
Verizon Communications, Inc. 3.850% 11/01/42		10,000		8,297
Verizon Communications, Inc. 6.000% 4/01/41		140,000		157,075
Verizon Communications, Inc. 6.100% 4/15/18		220,000		257,516
Verizon Communications, Inc. 6.350% 4/01/19		100,000		118,637
Verizon Communications, Inc. 8.750% 11/01/18		45,000		58,650
				3,761,162
TOTAL CORPORATE DEBT (Cost $59,457,045)				61,469,475
MUNICIPAL OBLIGATIONS — 0.1%
Tennessee Valley Authority 5.250% 9/15/39		210,000		240,117
TOTAL MUNICIPAL OBLIGATIONS (Cost $207,652)				240,117

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

43

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

	Principal Amount		Value
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 9.9%
Automobile ABS — 0.4%
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A (a) 1.920% 9/20/19	$	100,000	$	97,461
Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A (a) 2.100% 3/20/19		100,000		99,075
Avis Budget Rental Car Funding AESOP LLC, Series 2012-2A, Class A (a) 2.802% 5/20/18		125,000		129,412
Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class A (a) 3.150% 3/20/17		60,000		62,824
Hertz Vehicle Financing LLC, Series 2013-1A, Class A2 (a) 1.830% 8/25/19		120,000		116,961
Hertz Vehicle Financing LLC, Series 2009-2A, Class A2 (a) 5.290% 3/25/16		150,000		160,053
				665,786
Commercial MBS — 1.3%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-1, Class AM VRN 5.421% 9/10/45		66,000		70,250
CD Mortgage Trust, Series 2006-CD2, Class AM VRN 5.531% 1/15/46		60,000		64,287
DBUBS Mortgage Trust, Series 2011-LC3A, Class XA VRN (a) 1.588% 8/10/44		768,179		31,208
GS Mortgage Securities Corp II, Series 2011-GC5, Class XA VRN (a) 1.907% 8/10/44		821,179		63,972
GS Mortgage Securities Corp. II, Series 2012-ALOH, Class A (a) 3.551% 4/10/34		74,000		73,949
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP8, Class AM 5.440% 5/15/45		90,000		98,256
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB16, Class AM 5.593% 5/12/45		130,000		140,357
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIB20, Series 2007-CB20, Class AM VRN 6.078% 2/12/51		10,000		11,193

	Principal Amount		Value
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class AM VRN 5.204% 12/12/49	$	40,000	$	43,091
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-8, Class A3 VRN 6.093% 8/12/49		10,000		11,325
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA VRN (a) 2.081% 8/15/45		543,900		56,253
Morgan Stanley Capital I, Series 2007-IQ14, Class A4 VRN 5.692% 4/15/49		650,000		719,535
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3 5.678% 5/15/46		650,000		728,226
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class XA VRN (a) 1.317% 2/15/44		948,230		41,753
				2,153,655
Home Equity ABS — 1.5%
ACE Securities Corp., Series 2006-SD2, Class A FRN 0.493% 12/25/45		259,459		250,754
Bear Stearns Asset Back Securities Trust, Series 2005-SD4, Class 2A1 FRN 0.593% 12/25/42		78,451		74,891
Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A FRN 0.423% 12/15/35		105,537		71,422
Delta Funding Home Equity Loan Trust, Series 1999-1, Class A6F VRN 6.340% 12/15/28		100		101
Greenpoint Mortgage Funding Trust, Series 2005-HE4, Class 2A1A FRN 0.633% 7/25/30		117,901		116,398
GSAA Home Equity Trust, Series 2006-19, Class A3A FRN 0.433% 12/25/36		1,202,525		693,042
HSI Asset Securitization Corp. Series 2005-II, Class 2A4 FRN 0.583% 11/25/35		2,400,000		1,149,216
Structured Asset Securities Corp., Series 2002-AL1, Class A3 3.450% 2/25/32		82,507		79,720
				2,435,544
Manufactured Housing ABS — 0.7%
Greenpoint Manufactured Housing, Series 1999-2, Class A2 FRN 2.959% 3/18/29		200,000		177,779

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

44

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

	Principal Amount		Value
Greenpoint Manufactured Housing, Series 1999-3, Class 2A2 FRN 3.591% 6/19/29	$	75,000	$	69,468
Greenpoint Manufactured Housing, Series 2001-2, Class IIA2 FRN 3.693% 3/13/32		200,000		182,364
Greenpoint Manufactured Housing, Series 1999-4, Class A2 FRN 3.699% 2/20/30		75,000		64,418
Greenpoint Manufactured Housing, Series 2001-2, Class IA2 FRN 3.699% 2/20/32		150,000		137,585
Origen Manufactured Housing, Series 2005-B, Class A3 5.605% 5/15/22		427,094		444,897
				1,076,511
Other ABS — 0.1%
Amortizing Residential Collateral Trust, Series 2004-1, Class A5 FRN 1.193% 10/25/34		237,310		226,680
Student Loans ABS — 1.6%
Education Funding Capital Trust I, Series 2004-1, Class B1 FRN 1.950% 6/15/43		400,000		356,897
Keycorp Student Loan Trust, Series 2003-A, Class 1A2 FRN 0.536% 10/25/32		154,332		153,223
Pennsylvania Higher Education Assistance Agency, Series 2003-1, Class A3 FRN 1.692% 7/25/42		500,000		495,342
SLM Student Loan Trust, Series 2004-3, Class A5 FRN 0.446% 7/25/23		500,000		493,830
SLM Student Loan Trust, Series 2003-11, Class A6 FRN (a) 0.563% 12/15/25		300,000		297,059
SLM Student Loan Trust, Series 2001-4, Class B FRN 0.776% 1/25/21		600,000		597,553
SunTrust Student Loan Trust, Series 2006-1A, Class A3 FRN (a) 0.396% 1/30/23		287,136		284,656
				2,678,560
WL Collateral CMO — 4.3%
Countrywide Alternative Loan Trust, Series 2005-44, Class 1A1 FRN 0.523% 10/25/35		184,533		131,424
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-R3, Class AF FRN (a) 0.593% 9/25/35		264,551		221,784

	Principal Amount		Value
GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF FRN (a) 0.543% 9/25/35	$	284,296	$	241,047
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3 FRN 2.888% 10/25/35		309,847		267,232
Harborview Mortgage Loan Trust, Series 2006-2, Class 1A FRN 2.842% 2/25/36		153,117		115,227
Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1 FRN 0.973% 12/25/34		29,680		22,618
MASTR Adjustable Rate Mortgages Trust, Series 2003-3, Class 3A4 FRN 2.273% 9/25/33		920,653		888,936
MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1 FRN 2.970% 1/25/36		262,315		243,414
Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A3 FRN 2.803% 3/25/36		228,057		163,708
Prime Mortgage Trust, Series 2006-DR1, Class 1A1 (a) 5.500% 5/25/35		290,805		287,882
Prime Mortgage Trust, Series 2006-DR1, Class 1A2 (a) 6.000% 5/25/35		112,119		112,280
Prime Mortgage Trust, Series 2006-DR1, Class 2A2 (a) 6.000% 5/25/35		1,268,111		1,217,292
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 4A1 FRN 2.319% 3/25/46		888,189		629,898
WaMu Mortgage Pass Through Certificates, Series 2005-AR15, Class A1A1 FRN 0.453% 11/25/45		243,338		209,311
WaMu Mortgage Pass Through Certificates, Series 2005-AR13, Class A1A1 FRN 0.483% 10/25/45		187,721		162,798
WaMu Mortgage Pass Through Certificates, Series 2006-AR13, Class 1A FRN 1.052% 10/25/46		1,250,197		904,858
WaMu Mortgage Pass Through Certificates, Series 2006-AR14, Class 2A3 FRN 4.841% 11/25/36		1,430,160		1,217,684
				7,037,393

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

45

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

	Principal Amount		Value
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $16,427,708)			$	16,274,129
SOVEREIGN DEBT OBLIGATIONS — 3.3%
Mexican Bonos MXN (b) 6.500% 6/09/22	$	20,267,000		1,644,032
Mexican Bonos MXN (b) 8.000% 6/11/20		19,618,000		1,727,192
Mexico Government International Bond 4.750% 3/08/44		194,000		172,660
Province of Ontario Canada 2.700% 6/16/15		660,000		686,187
Residual Funding Corp. Principal Strip 0.010% 10/15/19		1,280,000		1,131,107
				5,361,178
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $5,335,724)				5,361,178
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 33.1%
Collateralized Mortgage Obligations — 6.5%
Federal Home Loan Mortgage Corp. Series 4092, Class AI 3.000% 9/15/31		1,788,774		232,453
Series 4063, Class S FRN 5.758% 6/15/42		92,577		23,345
Series 4068, Class DS FRN 5.808% 6/15/42		190,743		41,273
Series 4057, Class SA FRN 5.858% 4/15/39		375,620		71,432
Series 4097, Class ST FRN 5.858% 8/15/42		94,734		19,774
Series 2012-93, Class SM 5.907% 9/25/42		573,366		129,552
Series 4097, Class ES FRN 5.908% 8/15/42		189,480		38,103
Series 4147, Class CS FRN 5.908% 12/15/42		98,075		21,667
Series 4120, Class SV FRN 5.958% 10/15/42		193,775		41,010
Series 4116, Class AS FRN 5.958% 10/15/42		285,649		71,588
Series 4136, Class SQ FRN 5.958% 11/15/42		96,882		21,306
Series 4150, Class SP FRN 5.958% 1/15/43		195,371		38,881
Series 4199, Class CS FRN 5.958% 5/15/43		299,082		69,410

	Principal Amount		Value
Series R007, Class ZA 6.000% 5/15/36	$	611,189	$	668,484
Series 4199, Class SB FRN 6.008% 5/15/40		199,114		42,626
Series 4116, Class LS 6.009% 10/15/42		749,479		163,092
Series 3621, Class SB FRN 6.038% 1/15/40		186,731		23,017
Series 4203, Class PS 6.059% 9/15/42		596,586		122,480
Series 3349, Class AS FRN 6.308% 7/15/37		1,787,732		265,304
Series 4102, Class MS FRN 6.408% 9/15/42		667,451		154,501
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates Series K024, Class X1 VRN 1.026% 9/25/22		339,232		21,519
Series K006, Class AX1 VRN 1.210% 1/25/20		617,130		33,489
Series K007, Class X1 VRN 1.394% 4/25/20		1,339,445		81,902
Series K009, Class X1 VRN 1.666% 8/25/20		765,122		57,616
Series K702, Class X1 VRN 1.716% 2/25/18		3,203,686		194,809
Series K008, Class X1 VRN 1.827% 6/25/20		1,638,878		139,851
Series K015, Class X1 VRN 1.838% 7/25/21		879,232		91,186
Series K703, Class X1 VRN 2.252% 5/25/18		1,454,221		125,357
Federal National Mortgage Association, Series 409, Class C2 3.000% 4/25/27		470,646		55,852
Series 409, Class C13 3.500% 11/25/41		277,750		34,760
Series 409, Class C18 4.000% 4/25/42		499,546		91,284
Series 409, Class C22 4.500% 11/25/39		427,669		48,999
Series 2011-59, Class NZ 5.500% 7/25/41		557,999		625,845
Series 2013-9, Class CB 5.500% 4/25/42		1,700,000		1,862,997
Series 2011-87, Class SJ FRN 5.757% 9/25/41		573,248		85,818
Series 2012-98, Class SA FRN 5.857% 5/25/39		95,154		18,155
Series 2012-111, Class JS FRN 5.907% 7/25/40		386,827		82,595

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

46

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

	Principal Amount		Value
Series 2012-93, Class SG FRN 5.907% 9/25/42	$	190,282	$	38,547
Series 2012-124, Class SE FRN 5.957% 11/25/42		773,303		168,026
Series 2012-128, Class SQ FRN 5.957% 11/25/42		97,178		21,413
Series 2012-128, Class SL FRN 5.957% 11/25/42		97,593		25,301
Series 2012-133, Class CS FRN 5.957% 12/25/42		191,612		51,138
Series 2012-133, Class GS FRN 5.957% 12/25/42		291,265		73,745
Series 2012-134, Class SC FRN 5.957% 12/25/42		194,487		39,843
Series 2012-134, Class SK FRN 5.957% 12/25/42		97,353		19,592
Series 2013-19, Class SK FRN 5.957% 3/25/43		98,643		21,675
Series 2012-46, Class BA 6.000% 5/25/42		780,588		856,259
Series 2013-9, Class SG FRN 6.007% 3/25/39		98,638		19,770
Series 2010-142, Class SM FRN 6.337% 12/25/40		355,452		34,852
Series 2010-150, Class SN FRN 6.337% 1/25/41		310,117		36,826
Series 2012-63, Class DS FRN 6.357% 3/25/39		282,411		60,619
Series 2011-87, Class SG FRN 6.357% 4/25/40		771,391		164,501
Series 2011-96, Class SA FRN 6.357% 10/25/41		994,626		142,776
Series 2012-111, Class SB FRN 6.407% 10/25/42		193,390		42,650
Series 2012-74, Class SA FRN 6.457% 3/25/42		286,935		44,006
Series 2011-63, Class SW 6.487% 7/25/41		337,297		38,965
Series 2012-28, Class B 6.500% 6/25/39		254,708		281,112
Series 2013-9, Class BC 6.500% 7/25/42		700,000		774,916
Series 2012-51, Class B 7.000% 5/25/42		624,869		696,491
Government National Mortgage Association Series 2010-H28, Class FE 0.598% 12/20/60		331,858		329,287
Series 2011-H08, Class FG 0.678% 3/20/61		270,452		269,695
Series 2011-H09, Class AF 0.698% 3/20/61		180,955		180,614
Series 2012-66, Class CI 3.500% 2/20/38		279,215		45,323

	Principal Amount		Value
Series 2010-113, Class BS FRN 5.808% 9/20/40	$	211,661	$	29,077
Series 2010-121, Class SE FRN 5.808% 9/20/40		159,420		21,949
Series 2011-32, Class S 5.808% 3/16/41		39,575		5,308
Series 2011-40, Class SA 5.938% 2/16/36		555,378		66,936
Series 2010-31, Class GS 6.308% 3/20/39		112,930		16,877
Series 2010-3, Class MS 6.358% 11/20/38		395,705		52,641
Series 2010-85, Class HS 6.458% 1/20/40		271,130		44,159
Series 2011-70, Class BS 6.508% 12/16/36		159,168		24,514
				10,650,735
Pass-Through Securities — 26.6%
Federal Home Loan Mortgage Corp. Pool #1N1640 1.954% 1/01/37		179,052		187,307
Pool #1N1637 2.272% 1/01/37		520,500		554,989
Pool #1J1368 3.148% 10/01/36		127,957		136,281
Pool #G14492 4.000% 10/01/25		1,405,676		1,471,183
Pool #U90316 4.000% 10/01/42		98,288		101,732
Pool #Q19135 4.000% 6/01/43		100,000		104,879
Pool #Q19236 4.000% 6/01/43		100,000		104,660
Pool #Q19615 4.000% 7/01/43		100,000		104,879
Pool #G06875 5.500% 12/01/38		49,565		53,321
Pool #G06669 6.500% 9/01/39		98,474		110,776
Pool #G07335 7.000% 3/01/39		277,655		321,703
Federal National Mortgage Association Pool #950385 1.431% 8/01/37		33,295		34,082
Pool #AP9633 2.500% 10/01/42		194,103		180,781
Pool #AQ7306 3.000% 1/01/43		99,185		95,140
Pool #AR1202 3.000% 1/01/43		99,049		95,010
Pool #MA1213 3.500% 10/01/42		979,538		983,823

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

47

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

	Principal Amount		Value
Pool #MA1372 3.500% 3/01/43	$	297,273	$	299,038
Pool #MA1403 3.500% 4/01/43		795,484		800,208
Pool #AJ5304 4.000% 11/01/41		627,709		654,804
Pool #AJ7689 4.000% 12/01/41		849,333		885,994
Pool #AK8441 4.000% 4/01/42		93,469		97,825
Pool #AO0895 4.000% 4/01/42		282,145		295,294
Pool #AO2711 4.000% 5/01/42		93,375		97,726
Pool #AO4143 4.000% 6/01/42		91,334		95,476
Pool #AO6086 4.000% 6/01/42		98,157		102,731
Pool #AP0692 4.000% 7/01/42		94,741		99,156
Pool #AP5333 4.000% 7/01/42		394,395		412,775
Pool #AP2530 4.000% 8/01/42		98,365		102,980
Pool #AP2958 4.000% 8/01/42		98,320		102,902
Pool #AP4903 4.000% 9/01/42		98,689		103,366
Pool #AP7399 4.000% 9/01/42		197,279		206,535
Pool #AP9229 4.000% 10/01/42		98,741		103,373
Pool #AP9766 4.000% 10/01/42		392,524		406,769
Pool #AQ3599 4.000% 11/01/42		99,022		103,667
Pool #AQ7003 4.000% 12/01/42		193,813		202,905
Pool #AQ4555 4.000% 12/01/42		192,049		200,518
Pool #AQ7082 4.000% 1/01/43		198,011		207,424
Pool #AL3508 4.000% 4/01/43		99,542		104,492
Pool #AB9383 4.000% 5/01/43		298,506		312,416
Pool #AQ4078 4.000% 6/01/43		100,000		104,973
Pool #AQ4080 4.000% 6/01/43		100,000		104,660
Pool #AT8394 4.000% 6/01/43		100,000		104,973

	Principal Amount		Value
Pool #AB9683 4.000% 6/01/43	$	199,771	$	208,831
Pool #AT9637 4.000% 7/01/43		300,000		313,981
Pool #AT9653 4.000% 7/01/43		200,000		209,945
Pool #AT9657 4.000% 7/01/43		200,000		209,070
Pool #MA0706 4.500% 4/01/31		123,909		132,771
Pool #MA0734 4.500% 5/01/31		370,054		396,521
Pool #MA0776 4.500% 6/01/31		124,018		133,198
Pool #MA0913 4.500% 11/01/31		82,261		88,401
Pool #MA0939 4.500% 12/01/31		86,522		92,981
Pool #993117 4.500% 1/01/39		31,097		32,932
Pool #AA0856 4.500% 1/01/39		50,101		53,058
Pool #AA2450 4.500% 2/01/39		15,601		16,522
Pool #AA3495 4.500% 2/01/39		83,549		88,480
Pool #935520 4.500% 8/01/39		156,943		166,207
Pool #AD5481 4.500% 5/01/40		2,248,585		2,381,305
Pool #AD6914 4.500% 6/01/40		245,351		259,832
Pool #AD8685 4.500% 8/01/40		430,467		455,875
Pool #974965 5.000% 4/01/38		1,144,854		1,232,641
Pool #AE2266 5.000% 3/01/40		276,186		297,364
Pool #937948 5.500% 6/01/37		41,346		44,879
Pool #995072 5.500% 8/01/38		153,972		167,324
Pool #481473 6.000% 2/01/29		221		241
Pool #867557 6.000% 2/01/36		5,238		5,717
Pool #AE0469 6.000% 12/01/39		1,119,709		1,217,552
Pool #AE0758 7.000% 2/01/39		408,532		465,661

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

48

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

	Principal Amount		Value
Federal National Mortgage Association TBA
Pool #838 2.500% 9/01/27 (c)	$	1,600,000	$	1,609,250
Pool #515 3.000% 10/01/42 (c)		5,200,000		5,084,625
Pool #1127 3.500% 2/01/42 (c)		6,400,000		6,500,000
Pool #6447 4.000% 9/01/40 (c)		600,000		625,266
Pool #15801 4.500% 6/01/39 (c)		2,000,000		2,117,344
Government National Mortgage Association
Pool #G24746 4.500% 7/20/40		654,936		701,370
Pool #783298 4.500% 4/20/41		1,003,653		1,073,242
Pool #783368 4.500% 7/20/41		124,770		133,582
Pool #4747 5.000% 7/20/40		590,600		640,686
Pool #487588 6.000% 4/15/29		6,027		6,761
Pool #595077 6.000% 10/15/32		983		1,104
Pool #596620 6.000% 10/15/32		1,438		1,616
Pool #598000 6.000% 12/15/32		76		85
Pool #604706 6.000% 10/15/33		161,660		181,229
Pool #636251 6.000% 3/15/35		15,113		16,821
Pool #782034 6.000% 1/15/36		183,128		204,897
Pool #658029 6.000% 7/15/36		104,492		115,782
Government National Mortgage Association TBA
Pool #466 3.000% 11/01/42 (c)		600,000		593,625
Pool # 3143 3.500% 12/01/41 (c)		900,000		923,625
Pool #471 3.500% 5/01/42 (c)		2,900,000		2,977,485
Pool #3736 4.000% 8/01/40 (c)		600,000		629,578
				43,762,788

	Principal Amount		Value
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $55,750,295)			$	54,413,523
U.S. TREASURY OBLIGATIONS — 16.1%
U.S. Treasury Bonds & Notes — 16.1%
U.S. Treasury Bond 2.750% 8/15/42	$	3,111,000		2,685,632
U.S. Treasury Bond 2.875% 5/15/43		3,620,000		3,203,756
U.S. Treasury Bond 3.125% 2/15/43		920,000		858,634
U.S. Treasury Inflation Index 0.625% 2/15/43		1,234,030		1,037,839
U.S. Treasury Inflation Index 0.750% 2/15/42		102,918		90,600
U.S. Treasury Inflation Index 2.125% 2/15/40		365,823		444,589
U.S. Treasury Note 0.125% 8/31/13		50,000		50,004
U.S. Treasury Note 0.625% 4/30/18		360,000		347,906
U.S. Treasury Note 0.750% 6/30/17		160,000		157,998
U.S. Treasury Note 0.750% 3/31/18		20,000		19,466
U.S. Treasury Note 1.000% 5/31/18		350,000		343,984
U.S. Treasury Note 1.125% 4/30/20		880,000		836,887
U.S. Treasury Note 1.250% 2/29/20		2,640,000		2,541,495
U.S. Treasury Note 1.375% 5/31/20		10,430,000		10,065,846
U.S. Treasury Note 1.750% 5/15/23		4,080,000		3,821,111
				26,505,747
TOTAL U.S. TREASURY OBLIGATIONS (Cost $27,737,566)				26,505,747
TOTAL BONDS & NOTES (Cost $164,915,990)				164,264,169
	Units
PURCHASED OPTIONS — 0.0%
Options on Futures — 0.0%
3 Month Euribor Put, Expires 12/16/13, Strike 99.625		42		7,875

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

49

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

	Units		Value
U.S. Treasury Note 5 Year Call, Expires 7/26/13, Strike 123.50		21	$	164
U.S. Treasury Note 5 Year Put, Expires 7/26/13, Strike 120.50		21		7,875
U.S. Treasury Note 5 Year Put, Expires 7/26/13, Strike 121.50		21		16,734
USD Call EUR Put, Expires 7/10/13, Strike 1.295		34,900		-
				32,648
TOTAL PURCHASED OPTIONS (Cost $55,208)				32,648
	Number of Shares
WARRANTS — 0.0%
Energy — 0.0%
Pipelines — 0.0%
SemGroup Corp., Expires 11/30/14, Strike 25.00 (d)		258		7,456
TOTAL WARRANTS (Cost $0)				7,456
TOTAL LONG-TERM INVESTMENTS (Cost $165,133,858)				164,472,766
	Principal Amount
SHORT-TERM INVESTMENTS — 11.1%
Discount Notes — 7.0%
Federal Home Loan Bank 0.000% 8/30/13	$	10,000,000		9,996,728
Federal Home Loan Mortgage Corp. 0.000% 12/09/13 (e)		20,000		19,991
Federal Home Loan Mortgage Corp. 0.000% 12/18/13 (e)		90,000		89,957
Federal Home Loan Mortgage Corp. 0.010% 12/09/13		30,000		29,986
Federal Home Loan Mortgage Corp. 0.010% 2/04/14		890,000		889,402
Federal National Mortgage Association 0.010% 2/24/14		300,000		299,740
Federal National Mortgage Association 0.010% 2/24/14 (e)		170,000		169,864
				11,495,668

	Principal Amount		Value
Repurchase Agreement — 4.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (f)	$	6,748,027	$	6,748,027
TOTAL SHORT-TERM INVESTMENTS (Cost $18,243,695)				18,243,695
TOTAL INVESTMENTS — 111.1% (Cost $183,377,553) (g)				182,716,461
Other Assets/(Liabilities) — (11.1)%				(18,268,292	)
NET ASSETS — 100.0%			$	164,448,169

Notes to Portfolio of Investments

ABS Asset-Backed Security

CMO Collateralized Mortgage Obligation

EUR Euro

FRN Floating Rate Note

MBS Mortgage-Backed Security

MXN Mexican Peso

STEP Step Up Bond

TBA To Be Announced

VRN Variable Rate Note

WL Whole Loan

(a) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, these securities amounted to a value of $14,159,552 or 8.61% of net assets.

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

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

(d) Non-income producing security.

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

(f) Maturity value of $6,748,033. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% – 5.500%, maturity dates ranging from 12/15/17 – 11/01/25, and an aggregate market value, including accrued interest, of $6,884,182.

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

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

50

MassMutual Select Diversified Value Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.8%
COMMON STOCK — 97.8%
Basic Materials — 2.1%
Chemicals — 1.5%
Air Products & Chemicals, Inc.		4,900	$	448,693
Albemarle Corp.		2,100		130,809
Ashland, Inc.		1,700		141,950
E.I. du Pont de Nemours & Co.		68,120		3,576,300
Huntsman Corp.		3,800		62,928
LyondellBasell Industries NV Class A		13,500		894,510
NewMarket Corp.		300		78,768
				5,333,958
Iron & Steel — 0.1%
Nucor Corp.		3,400		147,288
Steel Dynamics, Inc.		5,000		74,550
				221,838
Mining — 0.5%
Vulcan Materials Co.		38,302		1,854,200
				7,409,996
Communications — 11.2%
Advertising — 0.7%
The Interpublic Group of Companies, Inc.		9,700		141,135
Omnicom Group, Inc.		40,937		2,573,709
				2,714,844
Internet — 2.0%
AOL, Inc.		48,403		1,765,741
Google, Inc. Class A (a)		1,902		1,674,464
Liberty Interactive Corp. Class A (a)		114,776		2,640,996
Symantec Corp.		16,300		366,261
Yahoo!, Inc. (a)		26,500		665,415
				7,112,877
Media — 4.1%
CBS Corp. Class B		39,333		1,922,204
Comcast Corp. Class A		66,235		2,773,922
DIRECTV (a)		45,588		2,809,133
Gannett Co., Inc.		5,400		132,084
Time Warner Cable, Inc.		6,500		731,120
Time Warner, Inc.		38,000		2,197,160
Viacom, Inc. Class B		59,687		4,061,700
				14,627,323
Telecommunications — 4.4%
AT&T, Inc.		64,100		2,269,140
Cisco Systems, Inc.		222,816		5,416,657
Corning, Inc.		34,600		492,358
Motorola Solutions, Inc.		47,200		2,724,856
Verizon Communications, Inc.		48,737		2,453,420

	Number of Shares		Value
Vodafone Group PLC Sponsored ADR (United Kingdom)		83,332	$	2,394,962
				15,751,393
				40,206,437
Consumer, Cyclical — 8.2%
Airlines — 0.2%
Alaska Air Group, Inc. (a)		1,600		83,200
Delta Air Lines, Inc. (a)		15,600		291,876
Southwest Airlines Co.		16,700		215,263
				590,339
Auto Manufacturers — 1.0%
General Motors Co. (a)		109,563		3,649,543
Automotive & Parts — 0.4%
Delphi Automotive PLC		6,800		344,692
The Goodyear Tire & Rubber Co. (a)		5,800		88,682
Johnson Controls, Inc.		14,900		533,271
Lear Corp.		2,200		133,012
TRW Automotive Holdings Corp. (a)		2,800		186,032
WABCO Holdings, Inc. (a)		1,500		112,035
				1,397,724
Entertainment — 0.0%
International Game Technology		6,100		101,931
Housewares — 0.1%
Newell Rubbermaid, Inc.		6,800		178,500
Leisure Time — 0.0%
Royal Caribbean Cruises Ltd.		4,600		153,364
Lodging — 0.0%
Hyatt Hotels Corp. Class A (a)		900		36,324
Retail — 6.4%
Abercrombie & Fitch Co. Class A		1,800		81,450
Advance Auto Parts, Inc.		1,700		137,989
AutoNation, Inc. (a)		2,400		104,136
AutoZone, Inc. (a)		800		338,952
Bed Bath & Beyond, Inc. (a)		5,200		368,680
Best Buy Co., Inc.		8,000		218,640
CVS Caremark Corp.		73,381		4,195,926
Dillard’s, Inc. Class A		1,000		81,970
Family Dollar Stores, Inc.		43,419		2,705,438
GameStop Corp. Class A		2,900		121,887
The Gap, Inc.		11,000		459,030
Lowe’s Cos., Inc.		74,411		3,043,410
Macy’s, Inc.		20,900		1,003,200
Nordstrom, Inc.		4,600		275,724
Signet Jewelers Ltd.		1,900		128,117
Staples, Inc.		15,600		247,416
Target Corp.		53,212		3,664,178
Wal-Mart Stores, Inc.		75,100		5,594,199
				22,770,342

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

51

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

	Number of Shares		Value
Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		3,000	$	134,490
Mattel, Inc.		7,500		339,825
				474,315
				29,352,382
Consumer, Non-cyclical — 18.3%
Agriculture — 1.5%
Altria Group, Inc.		43,600		1,525,564
Archer-Daniels-Midland Co.		15,500		525,605
Bunge Ltd.		3,400		240,618
Lorillard, Inc.		8,900		388,752
Philip Morris International, Inc.		30,950		2,680,889
				5,361,428
Beverages — 1.6%
Coca-Cola Enterprises, Inc.		63,703		2,239,797
Dr. Pepper Snapple Group, Inc.		4,800		220,464
Molson Coors Brewing Co. Class B		3,700		177,082
PepsiCo, Inc.		37,310		3,051,585
				5,688,928
Biotechnology — 0.6%
Amgen, Inc.		19,700		1,943,602
Commercial Services — 0.4%
Global Payments, Inc.		1,800		83,376
Manpower, Inc.		1,800		98,640
McKesson Corp.		11,100		1,270,950
Quanta Services, Inc. (a)		4,600		121,716
				1,574,682
Cosmetics & Personal Care — 0.7%
The Procter & Gamble Co.		32,109		2,472,072
Foods — 0.8%
Campbell Soup Co.		7,000		313,530
ConAgra Foods, Inc.		8,400		293,412
General Mills, Inc.		14,500		703,685
Ingredion, Inc.		2,400		157,488
The J.M. Smucker Co.		3,300		340,395
The Kroger Co.		13,100		452,474
Safeway, Inc.		5,200		123,032
Sysco Corp.		13,200		450,912
Tyson Foods, Inc. Class A		6,500		166,920
				3,001,848
Health Care – Products — 2.9%
Baxter International, Inc.		49,037		3,396,793
Becton, Dickinson & Co.		5,100		504,033
Boston Scientific Corp. (a)		32,200		298,494
CareFusion Corp. (a)		4,600		169,510
Covidien PLC		51,769		3,253,164
Medtronic, Inc.		23,600		1,214,692
St. Jude Medical, Inc.		6,800		310,284
Stryker Corp.		8,900		575,652

	Number of Shares		Value
Varian Medical Systems, Inc. (a)		2,400	$	161,880
Zimmer Holdings, Inc.		8,500		636,990
				10,521,492
Health Care – Services — 2.3%
Cigna Corp.		6,700		485,683
HCA Holdings, Inc.		43,108		1,554,474
Humana, Inc.		3,700		312,206
Laboratory Corporation of America Holdings (a)		2,200		220,220
UnitedHealth Group, Inc.		74,250		4,861,890
Universal Health Services, Inc. Class B		1,800		120,528
WellPoint, Inc.		7,000		572,880
				8,127,881
Household Products — 0.1%
Jarden Corp. (a)		2,800		122,500
Tupperware Brands Corp.		1,200		93,228
				215,728
Pharmaceuticals — 7.4%
Bristol-Myers Squibb Co.		50,262		2,246,209
Cardinal Health, Inc.		8,000		377,600
Eli Lilly & Co.		26,100		1,282,032
Forest Laboratories, Inc. (a)		71,166		2,917,806
Merck & Co., Inc.		161,362		7,495,265
Mylan, Inc. (a)		9,100		282,373
Pfizer, Inc.		321,798		9,013,562
Sanofi ADR (France)		58,549		3,015,859
United Therapeutics Corp. (a)		1,100		72,402
				26,703,108
				65,610,769
Energy — 12.6%
Coal — 0.3%
CONSOL Energy, Inc.		44,730		1,212,183
Oil & Gas — 11.0%
Atwood Oceanics, Inc. (a)		1,400		72,870
Chevron Corp.		98,611		11,669,626
ConocoPhillips		40,900		2,474,450
Denbury Resources, Inc. (a)		8,100		140,292
EOG Resources, Inc.		22,700		2,989,136
Exxon Mobil Corp.		144,030		13,013,110
Helmerich & Payne, Inc.		2,500		156,125
Hess Corp.		49,447		3,287,731
Marathon Oil Corp.		16,600		574,028
Marathon Petroleum Corp.		7,600		540,056
Murphy Oil Corp.		4,500		274,005
Noble Energy, Inc.		48,783		2,928,931
Patterson-UTI Energy, Inc.		2,900		56,130
Phillips 66		14,500		854,195
Tesoro Corp.		3,200		167,424

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

52

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

	Number of Shares		Value
Valero Energy Corp.		12,800	$	445,056
				39,643,165
Oil & Gas Services — 1.3%
HollyFrontier Corp.		4,800		205,344
Schlumberger Ltd.		34,765		2,491,260
Transocean Ltd.		37,271		1,787,145
				4,483,749
				45,339,097
Financial — 24.3%
Banks — 9.2%
Bank of America Corp.		467,408		6,010,867
Bank of New York Mellon Corp.		27,200		762,960
Comerica, Inc.		4,400		175,252
Commerce Bancshares, Inc.		2,400		104,544
Cullen/Frost Bankers, Inc.		1,300		86,801
East West Bancorp, Inc.		3,300		90,750
Fifth Third Bancorp		141,435		2,552,902
Huntington Bancshares, Inc.		19,700		155,236
KeyCorp		21,600		238,464
Northern Trust Corp.		5,200		301,080
PNC Financial Services Group, Inc.		54,740		3,991,641
Regions Financial Corp.		33,200		316,396
State Street Corp.		68,383		4,459,255
SunTrust Banks, Inc.		12,700		400,939
U.S. Bancorp		95,978		3,469,605
Wells Fargo & Co.		236,580		9,763,656
Zions Bancorp		4,300		124,184
				33,004,532
Diversified Financial — 8.0%
American Express Co.		26,600		1,988,616
Ameriprise Financial, Inc.		46,574		3,766,905
CIT Group, Inc. (a)		4,700		219,161
Citigroup, Inc.		66,879		3,208,186
Discover Financial Services		69,212		3,297,260
Franklin Resources, Inc.		5,000		680,100
The Goldman Sachs Group, Inc.		10,800		1,633,500
JP Morgan Chase & Co.		210,674		11,121,480
Legg Mason, Inc.		56,066		1,738,607
Morgan Stanley		38,400		938,112
The NASDAQ OMX Group, Inc.		4,200		137,718
SLM Corp.		10,500		240,030
				28,969,675
Insurance — 6.3%
ACE Ltd.		7,300		653,204
Aflac, Inc.		10,900		633,508
Alleghany Corp. (a)		400		153,324
The Allstate Corp.		11,000		529,320
American Financial Group, Inc.		5,600		273,896
American International Group, Inc. (a)		87,671		3,918,894

	Number of Shares		Value
Arch Capital Group Ltd. (a)		3,100	$	159,371
Assurant, Inc.		1,800		91,638
Axis Capital Holdings Ltd.		2,800		128,184
The Chubb Corp.		16,800		1,422,120
Cincinnati Financial Corp.		3,800		174,420
Everest Re Group Ltd.		1,200		153,912
HCC Insurance Holdings, Inc.		3,800		163,818
Lincoln National Corp.		6,300		229,761
Loews Corp.		24,300		1,078,920
MetLife, Inc.		73,989		3,385,736
PartnerRe Ltd.		1,300		117,728
Principal Financial Group, Inc.		7,000		262,150
Prudential Financial, Inc.		10,900		796,027
Reinsurance Group of America, Inc. Class A		2,200		152,042
RenaissanceRe Holdings Ltd.		3,300		286,407
Torchmark Corp.		6,400		416,896
The Travelers Cos., Inc.		49,004		3,916,400
Unum Group		106,803		3,136,804
W.R. Berkley Corp.		4,800		196,128
XL Group PLC		6,800		206,176
				22,636,784
Real Estate Investment Trusts (REITS) — 0.7%
Weyerhaeuser Co.		88,972		2,534,812
Savings & Loans — 0.1%
First Niagara Financial Group, Inc.		8,000		80,560
People’s United Financial, Inc.		7,800		116,220
				196,780
				87,342,583
Industrial — 12.9%
Aerospace & Defense — 2.4%
General Dynamics Corp.		10,200		798,966
L-3 Communications Holdings, Inc.		2,200		188,628
Lockheed Martin Corp.		7,600		824,296
Northrop Grumman Corp.		43,907		3,635,500
Raytheon Co.		7,600		502,512
Rockwell Collins, Inc.		3,200		202,912
United Technologies Corp.		26,000		2,416,440
				8,569,254
Building Materials — 0.0%
Owens Corning, Inc. (a)		2,900		113,332
Electrical Components & Equipment — 0.3%
Emerson Electric Co.		16,900		921,726
Energizer Holdings, Inc.		1,500		150,765
Molex, Inc.		3,700		108,558
				1,181,049
Electronics — 0.2%
Agilent Technologies, Inc.		8,100		346,356
Arrow Electronics, Inc. (a)		2,500		99,625
Avnet, Inc. (a)		5,500		184,800

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

53

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

	Number of Shares		Value
FLIR Systems, Inc.		2,900	$	78,213
				708,994
Engineering & Construction — 0.1%
Fluor Corp.		3,600		213,516
KBR, Inc.		3,500		113,750
URS Corp.		1,800		84,996
				412,262
Environmental Controls — 0.1%
Republic Services, Inc.		8,200		278,308
Hand & Machine Tools — 0.2%
Lincoln Electric Holdings, Inc.		1,700		97,359
Snap-on, Inc.		1,400		125,132
Stanley Black & Decker, Inc.		3,900		301,470
				523,961
Machinery – Construction & Mining — 0.1%
Ingersoll-Rand PLC		7,000		388,640
Machinery – Diversified — 0.5%
AGCO Corp.		2,300		115,437
Cummins, Inc.		4,500		488,070
Deere & Co.		8,700		706,875
Rockwell Automation, Inc.		3,300		274,362
Xylem, Inc.		4,000		107,760
				1,692,504
Manufacturing — 6.9%
3M Co.		15,600		1,705,860
Dover Corp.		33,996		2,640,129
Eaton Corp. PLC		39,825		2,620,883
General Electric Co.		436,203		10,115,548
Honeywell International, Inc.		47,416		3,761,985
Illinois Tool Works, Inc.		46,757		3,234,182
Parker Hannifin Corp.		3,600		343,440
Textron, Inc.		6,000		156,300
				24,578,327
Metal Fabricate & Hardware — 0.0%
The Timken Co.		2,300		129,444
Packaging & Containers — 0.9%
Ball Corp.		7,500		311,550
Crown Holdings, Inc. (a)		3,900		160,407
Owens-Illinois, Inc. (a)		3,900		108,381
Sealed Air Corp.		102,670		2,458,946
Sonoco Products Co.		2,700		93,339
				3,132,623
Transportation — 1.2%
CSX Corp.		23,200		538,008
FedEx Corp.		6,800		670,344
Norfolk Southern Corp.		44,615		3,241,280
				4,449,632
				46,158,330

	Number of Shares		Value
Technology — 5.2%
Computers — 1.6%
Apple, Inc.		4,586	$	1,816,423
Computer Sciences Corp.		3,500		153,195
Hewlett-Packard Co.		45,200		1,120,960
International Business Machines Corp.		12,700		2,427,097
SanDisk Corp. (a)		4,200		256,620
				5,774,295
Office Equipment/Supplies — 0.1%
Xerox Corp.		28,800		261,216
Semiconductors — 0.8%
KLA-Tencor Corp.		3,900		217,347
Marvell Technology Group Ltd.		11,500		134,665
Texas Instruments, Inc.		75,331		2,626,792
				2,978,804
Software — 2.7%
Activision Blizzard, Inc.		24,100		343,666
CA, Inc.		10,600		303,478
The Dun & Bradstreet Corp.		1,100		107,195
Microsoft Corp.		156,222		5,394,345
Oracle Corp.		111,797		3,434,404
				9,583,088
				18,597,403
Utilities — 3.0%
Electric — 2.8%
The AES Corp.		17,500		209,825
Alliant Energy Corp.		2,800		141,176
Ameren Corp.		5,100		175,644
American Electric Power Co., Inc.		10,900		488,102
Calpine Corp. (a)		82,590		1,753,386
Edison International		11,300		544,208
FirstEnergy Corp.		56,249		2,100,338
Integrys Energy Group, Inc.		1,700		99,501
MDU Resources Group, Inc.		4,400		114,004
NextEra Energy, Inc.		28,745		2,342,142
NRG Energy, Inc.		61,906		1,652,890
Pinnacle West Capital Corp.		2,500		138,675
Public Service Enterprise Group, Inc.		10,500		342,930
Westar Energy, Inc.		2,500		79,900
				10,182,721
Gas — 0.1%
Atmos Energy Corp.		2,600		106,756
Sempra Energy		4,800		392,448
				499,204

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

54

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

	Number of Shares		Value
Water — 0.1%
American Water Works Co., Inc.		3,900	$	160,797
				10,842,722
TOTAL COMMON STOCK (Cost $273,920,307)				350,859,719
TOTAL EQUITIES (Cost $273,920,307)				350,859,719
MUTUAL FUNDS — 0.9%
Diversified Financial — 0.9%
iShares Russell 1000 Value Index Fund		38,782		3,249,544
TOTAL MUTUAL FUNDS (Cost $3,118,794)				3,249,544
TOTAL LONG-TERM INVESTMENTS (Cost $277,039,101)				354,109,263
	Principal Amount
SHORT-TERM INVESTMENTS — 1.3%
Repurchase Agreement — 1.3%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (b)		4,743,683		4,743,683
TOTAL SHORT-TERM INVESTMENTS (Cost $4,743,683)				4,743,683
TOTAL INVESTMENTS — 100.0% (Cost $281,782,784) (c)				358,852,946
Other Assets/(Liabilities) — 0.0%				109,926
NET ASSETS — 100.0%			$	358,962,872

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $4,743,687. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $4,845,590.

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

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

55

MassMutual Select Fundamental Value Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.4%
COMMON STOCK — 99.4%
Basic Materials — 4.9%
Chemicals — 2.5%
The Dow Chemical Co.		388,430	$	12,495,793
E.I. du Pont de Nemours & Co.		221,750		11,641,875
The Mosaic Co.		226,000		12,161,060
				36,298,728
Forest Products & Paper — 1.0%
International Paper Co.		308,060		13,650,138
Iron & Steel — 1.2%
Steel Dynamics, Inc.		649,230		9,680,019
Nucor Corp.		179,440		7,773,341
				17,453,360
Mining — 0.2%
Barrick Gold Corp.		222,840		3,507,502
				70,909,728
Communications — 8.5%
Internet — 0.3%
Symantec Corp.		227,549		5,113,026
Media — 2.9%
CBS Corp. Class B		212,460		10,382,920
Comcast Corp. Class A		430,000		18,008,400
Thomson Reuters Corp.		410,580		13,372,591
				41,763,911
Telecommunications — 5.3%
AT&T, Inc.		472,316		16,719,986
Cisco Systems, Inc.		1,902,500		46,249,775
Verizon Communications, Inc.		269,500		13,566,630
				76,536,391
				123,413,328
Consumer, Cyclical — 9.5%
Auto Manufacturers — 1.2%
General Motors Co. (a)		180,230		6,003,461
Paccar, Inc.		195,350		10,482,481
				16,485,942
Housewares — 0.9%
Newell Rubbermaid, Inc.		508,450		13,346,813
Retail — 7.4%
AutoZone, Inc. (a)		39,450		16,714,571
CVS Caremark Corp.		339,490		19,412,038
The Home Depot, Inc.		198,220		15,356,103
Kohl’s Corp.		171,130		8,643,776
Lowe’s Cos., Inc.		442,900		18,114,610
Nordstrom, Inc.		208,400		12,491,496
PVH Corp.		133,270		16,665,414
				107,398,008
				137,230,763

	Number of Shares		Value
Consumer, Non-cyclical — 17.0%
Agriculture — 0.9%
Philip Morris International, Inc.		157,780	$	13,666,904
Beverages — 2.3%
Anheuser-Busch InBev NV Sponsored ADR (Belgium)		151,490		13,673,487
Diageo PLC Sponsored ADR (United Kingdom)		73,060		8,398,247
PepsiCo, Inc.		143,750		11,757,313
				33,829,047
Biotechnology — 1.1%
Amgen, Inc.		161,640		15,947,402
Foods — 0.5%
Kraft Foods Group, Inc.		115,336		6,443,822
Health Care – Products — 3.8%
Baxter International, Inc.		294,410		20,393,781
Covidien PLC		301,330		18,935,577
Johnson & Johnson		181,310		15,567,277
				54,896,635
Health Care – Services — 1.9%
UnitedHealth Group, Inc.		414,330		27,130,328
Pharmaceuticals — 6.5%
Merck & Co., Inc.		810,080		37,628,216
Pfizer, Inc.		661,015		18,515,030
Roche Holding AG		82,281		20,387,946
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		286,310		11,223,352
Zoetis, Inc.		208,338		6,435,566
				94,190,110
				246,104,248
Energy — 12.7%
Oil & Gas — 11.4%
Anadarko Petroleum Corp.		176,960		15,206,173
Chevron Corp.		395,150		46,762,051
EOG Resources, Inc.		90,660		11,938,109
Exxon Mobil Corp.		320,410		28,949,043
Marathon Oil Corp.		418,190		14,461,010
Noble Corp.		189,420		7,118,404
Occidental Petroleum Corp.		217,500		19,407,525
Royal Dutch Shell PLC B Shares Sponsored ADR (United Kingdom)		156,900		10,397,763
Southwestern Energy Co. (a)		282,150		10,306,939
				164,547,017
Oil & Gas Services — 1.3%
Halliburton Co.		462,480		19,294,666
				183,841,683

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

56

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

	Number of Shares		Value
Financial — 26.1%
Banks — 7.1%
BB&T Corp.		513,000	$	17,380,440
PNC Financial Services Group, Inc.		448,930		32,735,975
Wells Fargo & Co.		1,284,710		53,019,982
				103,136,397
Diversified Financial — 11.5%
Ameriprise Financial, Inc.		173,410		14,025,401
BlackRock, Inc.		88,980		22,854,513
Citigroup, Inc.		550,370		26,401,249
Credit Suisse Group Sponsored ADR (Switzerland)		267,485		7,077,653
The Goldman Sachs Group, Inc.		135,440		20,485,300
IntercontinentalExchange, Inc. (a)		100,540		17,871,990
JP Morgan Chase & Co.		1,075,656		56,783,880
				165,499,986
Insurance — 7.5%
ACE Ltd.		313,590		28,060,033
American International Group, Inc. (a)		377,160		16,859,052
The Chubb Corp.		145,530		12,319,115
Marsh & McLennan Cos., Inc.		598,910		23,908,487
Principal Financial Group, Inc.		338,748		12,686,113
Unum Group		518,430		15,226,289
				109,059,089
				377,695,472
Industrial — 10.5%
Aerospace & Defense — 2.9%
The Boeing Co.		137,720		14,108,037
Spirit AeroSystems Holdings, Inc. Class A (a)		495,300		10,639,044
United Technologies Corp.		190,010		17,659,529
				42,406,610
Hand & Machine Tools — 1.1%
Stanley Black & Decker, Inc.		207,910		16,071,443
Machinery – Construction & Mining — 1.0%
Ingersoll-Rand PLC		254,670		14,139,279
Manufacturing — 5.5%
3M Co.		138,210		15,113,264
Eaton Corp. PLC		319,420		21,021,030
General Electric Co.		1,182,100		27,412,899
Illinois Tool Works, Inc.		229,360		15,864,831
				79,412,024
				152,029,356
Technology — 7.2%
Computers — 1.8%
EMC Corp.		1,116,060		26,361,337
Semiconductors — 4.0%
Analog Devices, Inc.		323,080		14,557,985

	Number of Shares		Value
Intel Corp.		971,820	$	23,537,481
Xilinx, Inc.		503,210		19,932,148
				58,027,614
Software — 1.4%
Microsoft Corp.		582,100		20,099,913
				104,488,864
Utilities — 3.0%
Electric — 3.0%
Edison International		244,880		11,793,421
Entergy Corp.		148,990		10,381,623
NextEra Energy, Inc.		95,900		7,813,932
Northeast Utilities		296,290		12,450,106
				42,439,082
TOTAL COMMON STOCK (Cost $1,067,653,650)				1,438,152,524
TOTAL EQUITIES (Cost $1,067,653,650)				1,438,152,524
TOTAL LONG-TERM INVESTMENTS (Cost $1,067,653,650)				1,438,152,524
	Principal Amount
SHORT-TERM INVESTMENTS — 1.0%
Repurchase Agreement — 1.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (b)	$	14,805,840		14,805,840
TOTAL SHORT-TERM INVESTMENTS (Cost $14,805,840)				14,805,840
TOTAL INVESTMENTS — 100.4% (Cost $1,082,459,490) (c)				1,452,958,364
Other Assets/(Liabilities) — (0.4)%				(6,197,000	)
NET ASSETS — 100.0%			$	1,446,761,364

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $14,805,852. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $15,104,974.

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

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

57

MassMutual Select Large Cap Value Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.8%
COMMON STOCK — 96.6%
Basic Materials — 3.7%
Chemicals — 1.6%
BASF SE Sponsored ADR (Germany)		27,300	$	2,443,077
The Dow Chemical Co.		17,644		567,608
LyondellBasell Industries NV Class A		23,790		1,576,325
The Mosaic Co.		23,042		1,239,890
Olin Corp.		66,674		1,594,842
				7,421,742
Forest Products & Paper — 0.8%
International Paper Co.		64,831		2,872,662
MeadWestvaco Corp.		22,719		774,945
				3,647,607
Iron & Steel — 0.8%
Carpenter Technology Corp.		81,400		3,668,698
Mining — 0.5%
Alcoa, Inc.		219,300		1,714,926
Southern Copper Corp. (a)		31,123		859,617
				2,574,543
				17,312,590
Communications — 8.1%
Advertising — 0.8%
Aimia, Inc.		266,500		3,914,885
Media — 1.3%
Gannett Co., Inc.	��	70,362		1,721,054
Reed Elsevier NV		45,630		756,859
Time Warner, Inc.		26,447		1,529,166
Vivendi SA		115,363		2,174,104
				6,181,183
Telecommunications — 6.0%
AT&T, Inc.		169,222		5,990,459
BCE, Inc.		39,562		1,622,833
BT Group PLC		162,981		762,692
CenturyLink, Inc.		95,210		3,365,674
Cisco Systems, Inc.		179,582		4,365,638
Deutsche Telekom AG Sponsored ADR (Germany) (a)		124,053		1,446,458
Telstra Corp. Ltd.		340,019		1,480,283
Verizon Communications, Inc.		58,771		2,958,532
Vodafone Group PLC Sponsored ADR (United Kingdom)		195,087		5,606,800
West Corp.		34,395		761,505
				28,360,874
				38,456,942

	Number of Shares		Value
Consumer, Cyclical — 5.3%
Auto Manufacturers — 0.4%
Ford Motor Co.		113,675	$	1,758,552
Entertainment — 0.6%
Cinemark Holdings, Inc.		19,608		547,455
National CineMedia, Inc.		69,097		1,167,048
Regal Entertainment Group Class A (a)		79,874		1,429,745
				3,144,248
Home Builders — 0.4%
Lennar Corp.		65,612		1,860,100
Lodging — 0.2%
Las Vegas Sands Corp.		17,302		915,795
Retail — 3.7%
Cash America International, Inc.		126,700		5,759,782
The Home Depot, Inc.		15,400		1,193,038
L Brands, Inc.		25,558		1,258,732
McDonald’s Corp.		40,365		3,996,135
Wal-Mart Stores, Inc.		61,600		4,588,584
Walgreen Co.		12,077		533,803
				17,330,074
				25,008,769
Consumer, Non-cyclical — 27.2%
Agriculture — 3.5%
Altria Group, Inc.		51,600		1,805,484
Lorillard, Inc.		95,471		4,170,173
Philip Morris International, Inc.		123,152		10,667,426
				16,643,083
Beverages — 0.7%
The Coca-Cola Co.		61,765		2,477,394
PepsiCo, Inc.		12,069		987,124
				3,464,518
Commercial Services — 2.7%
Donnelley (R.R.) & Sons Co. (a)		125,683		1,760,819
MasterCard, Inc. Class A		7,500		4,308,750
Paychex, Inc.		23,523		859,060
Western Union Co.		339,900		5,815,689
				12,744,318
Cosmetics & Personal Care — 0.9%
Avon Products, Inc.		56,526		1,188,742
The Procter & Gamble Co.		36,566		2,815,216
				4,003,958
Foods — 3.0%
B&G Foods, Inc.		54,777		1,865,157
ConAgra Foods, Inc.		64,000		2,235,520
Kellogg Co.		14,435		927,160
Kraft Foods Group, Inc.		67,201		3,754,520
Sysco Corp.		39,803		1,359,670

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

58

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

	Number of Shares		Value
Tyson Foods, Inc. Class A		93,100	$	2,390,808
Unilever NV NY Shares		34,394		1,352,028
				13,884,863
Health Care – Products — 1.4%
Johnson & Johnson		64,373		5,527,066
Medtronic, Inc.		24,260		1,248,662
				6,775,728
Health Care – Services — 0.3%
UnitedHealth Group, Inc.		20,271		1,327,345
Household Products — 1.5%
Reckitt Benckiser Group PLC		14,291		1,013,088
Tupperware Brands Corp.		80,700		6,269,583
				7,282,671
Pharmaceuticals — 13.2%
AbbVie, Inc.		83,042		3,432,956
Actavis, Inc. (b)		9,900		1,249,578
AstraZeneca PLC Sponsored ADR (United Kingdom) (a)		12,581		595,081
Bristol-Myers Squibb Co.		34,165		1,526,834
Eli Lilly & Co.		234,048		11,496,438
GlaxoSmithKline PLC ADR (United Kingdom)		12,598		629,522
Herbalife Ltd. (a)		154,400		6,969,616
Mead Johnson Nutrition Co.		7,800		617,994
Merck & Co., Inc.		289,854		13,463,718
Novartis AG ADR (Switzerland)		15,295		1,081,509
Pfizer, Inc.		593,203		16,615,616
Roche Holding AG Sponsored ADR (Switzerland)		41,315		2,555,953
Sanofi ADR (France)		22,464		1,157,121
Warner Chilcott PLC Class A		41,812		831,223
				62,223,159
				128,349,643
Energy — 11.2%
Oil & Gas — 9.6%
BP PLC Sponsored ADR (United Kingdom)		186,797		7,796,907
Chesapeake Energy Corp. (a)		98,100		1,999,278
Chevron Corp.		45,140		5,341,868
ConocoPhillips		37,200		2,250,600
Ensco PLC Class A		208,900		12,141,268
Exxon Mobil Corp.		53,100		4,797,585
Marathon Petroleum Corp.		7,116		505,663
Occidental Petroleum Corp.		40,886		3,648,258
Royal Dutch Shell PLC A Shares Sponsored ADR (United Kingdom)		60,800		3,879,040
Seadrill Ltd. (a)		55,976		2,280,462
Valero Energy Corp.		13,029		453,018
				45,093,947

	Number of Shares		Value
Oil & Gas Services — 0.4%
HollyFrontier Corp.		41,130	$	1,759,541
Pipelines — 1.2%
Enbridge, Inc.		27,428		1,153,896
Spectra Energy Corp.		47,138		1,624,376
The Williams Cos., Inc.		93,983		3,051,628
				5,829,900
				52,683,388
Financial — 17.3%
Banks — 5.4%
Bank of America Corp.		592,136		7,614,869
Bank of Montreal		33,505		1,944,295
Fifth Third Bancorp		63,326		1,143,034
M&T Bank Corp.		26,338		2,943,272
National Australia Bank Ltd.		20,009		539,033
The Toronto-Dominion Bank		14,476		1,163,436
U.S. Bancorp		92,848		3,356,455
Wells Fargo & Co.		166,591		6,875,211
				25,579,605
Diversified Financial — 5.1%
BlackRock, Inc.		10,000		2,568,500
Citigroup, Inc.		144,400		6,926,868
JP Morgan Chase & Co.		278,043		14,677,890
				24,173,258
Insurance — 6.4%
American International Group, Inc. (b)		139,800		6,249,060
CNO Financial Group, Inc.		1,207,200		15,645,312
ING US, Inc. (b)		124,247		3,362,124
MetLife, Inc.		12,393		679,012
PartnerRe Ltd.		8,767		793,940
XL Group PLC		116,566		3,534,281
				30,263,729
Investment Companies — 0.2%
New Mountain Finance Corp. (a)		66,998		948,692
Real Estate Investment Trusts (REITS) — 0.2%
OMEGA Healthcare Investors, Inc.		23,481		728,380
				81,693,664
Industrial — 8.8%
Aerospace & Defense — 1.5%
Lockheed Martin Corp.		21,565		2,338,940
Northrop Grumman Corp.		59,200		4,901,760
				7,240,700
Electrical Components & Equipment — 0.1%
Emerson Electric Co.		10,137		552,872
Electronics — 0.5%
TE Connectivity Ltd.		53,200		2,422,728

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

59

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

	Number of Shares		Value
Engineering & Construction — 0.9%
Fluor Corp.		33,400	$	1,980,954
KBR, Inc.		69,700		2,265,250
				4,246,204
Environmental Controls — 0.3%
Waste Management, Inc.		31,136		1,255,715
Machinery – Diversified — 0.2%
Flowserve Corp.		20,400		1,101,804
Manufacturing — 3.9%
Eaton Corp. PLC		68,860		4,531,677
General Electric Co.		328,218		7,611,375
Honeywell International, Inc.		27,634		2,192,482
Illinois Tool Works, Inc.		20,042		1,386,305
Leggett & Platt, Inc.		63,535		1,975,303
Siemens AG Sponsored ADR (Germany) (a)		6,159		623,968
				18,321,110
Packaging & Containers — 0.8%
Packaging Corporation of America		71,751		3,512,929
Transportation — 0.4%
FedEx Corp.		15,400		1,518,132
Ship Finance International Ltd. (a)		29,277		434,471
				1,952,603
Trucking & Leasing — 0.2%
Fly Leasing Ltd. ADR (Bermuda)		48,417		815,826
				41,422,491
Technology — 8.5%
Computers — 1.8%
Hewlett-Packard Co.		337,400		8,367,520
Semiconductors — 1.4%
Analog Devices, Inc.		33,537		1,511,177
Intel Corp.		112,144		2,716,128
Maxim Integrated Products, Inc.		24,031		667,581
Microchip Technology, Inc.		18,477		688,268
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (Taiwan)		45,025		824,858
				6,408,012
Software — 5.3%
CA, Inc.		414,500		11,867,135
Microsoft Corp.		349,243		12,059,361
Oracle Corp.		39,800		1,222,656
				25,149,152
				39,924,684
Utilities — 6.5%
Electric — 5.8%
Ameren Corp.		32,831		1,130,700
American Electric Power Co., Inc.		44,265		1,982,187
Dominion Resources, Inc.		24,527		1,393,624

	Number of Shares		Value
Duke Energy Corp.		32,049	$	2,163,307
Entergy Corp.		63,500		4,424,680
Exelon Corp.		228,100		7,043,728
National Grid PLC		65,469		740,551
NextEra Energy, Inc.		44,300		3,609,564
PG&E Corp.		29,086		1,330,103
PPL Corp.		40,389		1,222,171
Public Service Enterprise Group, Inc.		23,147		755,981
SCANA Corp.		9,040		443,864
TECO Energy, Inc.		61,125		1,050,739
				27,291,199
Gas — 0.3%
Sempra Energy		19,139		1,564,805
Pipelines — 0.4%
Kinder Morgan, Inc.		43,852		1,672,954
				30,528,958
TOTAL COMMON STOCK (Cost $406,322,856)				455,381,129
PREFERRED STOCK — 0.2%
Basic Materials — 0.1%
Iron & Steel — 0.1%
ArcelorMittal 6.000%		26,551		497,831
Consumer, Cyclical — 0.1%
Auto Manufacturers — 0.1%
General Motors Co. 4.750% (a)		8,123		391,204
TOTAL PREFERRED STOCK (Cost $975,779)				889,035
TOTAL EQUITIES (Cost $407,298,635)				456,270,164
MUTUAL FUNDS — 3.3%
Diversified Financial — 3.3%
State Street Navigator Securities Lending Prime Portfolio (c)		15,535,397		15,535,397
TOTAL MUTUAL FUNDS (Cost $15,535,397)				15,535,397
STRUCTURED NOTES — 0.8%
Financial — 0.8%
Diversified Financial — 0.8%
The Goldman Sachs Group, Inc. Equity Linked Note (d)		233,420		2,956,031

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

60

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

	Number of Shares		Value
Morgan Stanley Equity Linked Note (b) (d)		13,784	$	812,704
				3,768,735
TOTAL STRUCTURED NOTES (Cost $3,518,345)				3,768,735
TOTAL LONG-TERM INVESTMENTS (Cost $426,352,377)				475,574,296
	Principal Amount
SHORT-TERM INVESTMENTS — 2.2%
Repurchase Agreement — 2.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (e)	$	10,384,688		10,384,688
Time Deposits — 0.0%
Euro Time Deposit 0.010% 7/01/13		89,314		89,314
TOTAL SHORT-TERM INVESTMENTS (Cost $10,474,002)				10,474,002
TOTAL INVESTMENTS — 103.1% (Cost $436,826,379) (f)				486,048,298
Other Assets/(Liabilities) — (3.1)%				(14,699,880	)
NET ASSETS — 100.0%			$	471,348,418

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2013, was $15,134,223. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(b) Non-income producing security.

(c) Represents investment of security lending collateral. (Note 2).

(d) 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, 2013, these securities amounted to a value of $3,768,735 or 0.80% of net assets.

(e) Maturity value of $10,384,697. Collateralized by U.S. Government Agency obligations with rates ranging from 3.000% – 3.500%, maturity dates ranging from 11/01/25 – 12/01/26, and an aggregate market value, including accrued interest, of $10,595,134.

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

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

61

MM S&P 500 Index^® Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.1%
COMMON STOCK — 98.1%
Basic Materials — 3.1%
Chemicals — 2.4%
Air Products & Chemicals, Inc.		39,499	$	3,616,923
Airgas, Inc.		12,513		1,194,491
CF Industries Holdings, Inc.		11,202		1,921,143
The Dow Chemical Co.		228,037		7,335,950
E.I. du Pont de Nemours & Co.		173,215		9,093,788
Eastman Chemical Co.		29,252		2,047,933
Ecolab, Inc.		49,802		4,242,632
FMC Corp.		25,035		1,528,637
International Flavors & Fragrances, Inc.		15,543		1,168,212
LyondellBasell Industries NV Class A		71,215		4,718,706
Monsanto Co.		100,511		9,930,487
The Mosaic Co.		51,753		2,784,829
PPG Industries, Inc.		26,673		3,905,194
Praxair, Inc.		55,539		6,395,871
The Sherwin-Williams Co.		15,924		2,812,178
Sigma-Aldrich Corp.		22,383		1,798,698
				64,495,672
Forest Products & Paper — 0.2%
International Paper Co.		84,050		3,724,256
MeadWestvaco Corp.		33,336		1,137,091
				4,861,347
Iron & Steel — 0.1%
Allegheny Technologies, Inc.		21,271		559,640
Cliffs Natural Resources, Inc.		29,004		471,315
Nucor Corp.		58,933		2,552,977
United States Steel Corp.		28,475		499,167
				4,083,099
Mining — 0.4%
Alcoa, Inc.		197,979		1,548,196
Freeport-McMoRan Copper & Gold, Inc.		194,519		5,370,670
Newmont Mining Corp.		92,533		2,771,363
Vulcan Materials Co.		24,345		1,178,541
				10,868,770
				84,308,888
Communications — 12.1%
Advertising — 0.1%
The Interpublic Group of Companies, Inc.		78,734		1,145,580
Omnicom Group, Inc.		48,260		3,034,106
				4,179,686

	Number of Shares		Value
Internet — 3.6%
Akamai Technologies, Inc. (a)		33,935	$	1,443,934
Amazon.com, Inc. (a)		68,491		19,019,266
eBay, Inc. (a)		220,056		11,381,296
Expedia, Inc.		17,932		1,078,610
F5 Networks, Inc. (a)		14,993		1,031,518
Google, Inc. Class A (a)		50,463		44,426,111
Netflix, Inc. (a)		10,385		2,192,170
Priceline.com, Inc. (a)		9,620		7,956,991
Symantec Corp.		131,719		2,959,726
TripAdvisor, Inc. (a)		21,002		1,278,392
VeriSign, Inc. (a)		28,500		1,272,810
Yahoo!, Inc. (a)		178,749		4,488,387
				98,529,211
Media — 3.6%
Cablevision Systems Corp. Class A		42,031		706,961
CBS Corp. Class B		107,344		5,245,901
Comcast Corp. Class A		494,446		20,707,398
DIRECTV (a)		105,032		6,472,072
Discovery Communications, Inc. Series A (a)		45,785		3,535,060
Gannett Co., Inc.		44,333		1,084,385
The McGraw Hill Financial, Inc.		51,559		2,742,423
News Corp. (a)		374,658		12,213,851
Scripps Networks Interactive Class A		15,454		1,031,709
Time Warner Cable, Inc.		54,670		6,149,282
Time Warner, Inc.		175,107		10,124,687
Viacom, Inc. Class B		83,899		5,709,327
The Walt Disney Co.		338,257		21,360,929
The Washington Post Co. Class B		806		389,919
				97,473,904
Telecommunications — 4.8%
AT&T, Inc.		1,010,895		35,785,683
CenturyLink, Inc.		114,514		4,048,070
Cisco Systems, Inc.		1,004,068		24,408,893
Corning, Inc.		275,518		3,920,621
Crown Castle International Corp. (a)		54,883		3,972,980
Frontier Communications Corp.		187,404		758,986
Harris Corp.		19,812		975,741
JDS Uniphase Corp. (a)		44,391		638,343
Juniper Networks, Inc. (a)		93,628		1,807,957
Motorola Solutions, Inc.		51,671		2,982,967
QUALCOMM, Inc.		324,609		19,827,118
Sprint Nextel Corp. (a)		564,201		3,960,691
Verizon Communications, Inc.		537,668		27,066,207
Windstream Corp.		112,486		867,267
				131,021,524
				331,204,325

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

62

MM S&P 500 Index^® Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Consumer, Cyclical — 9.4%
Airlines — 0.1%
Southwest Airlines Co.		135,966	$	1,752,602
Apparel — 0.5%
Nike, Inc. Class B		136,066		8,664,683
Ralph Lauren Corp.		11,536		2,004,265
VF Corp.		16,441		3,174,099
				13,843,047
Auto Manufacturers — 0.7%
Ford Motor Co.		739,855		11,445,557
General Motors Co. (a)		145,782		4,855,998
Paccar, Inc.		66,309		3,558,141
				19,859,696
Automotive & Parts — 0.4%
BorgWarner, Inc. (a)		21,932		1,889,442
Delphi Automotive PLC		54,051		2,739,845
The Goodyear Tire & Rubber Co. (a)		46,916		717,346
Johnson Controls, Inc.		127,902		4,577,612
				9,924,245
Distribution & Wholesale — 0.3%
Fastenal Co.		50,083		2,296,306
Fossil Group, Inc. (a)		9,774		1,009,752
Genuine Parts Co.		29,013		2,265,045
W.W. Grainger, Inc.		11,168		2,816,346
				8,387,449
Entertainment — 0.0%
International Game Technology		51,105		853,965
Home Builders — 0.1%
D.R. Horton, Inc.		53,725		1,143,268
Lennar Corp. Class A		30,738		1,107,797
PulteGroup, Inc. (a)		63,703		1,208,446
				3,459,511
Home Furnishing — 0.1%
Harman International Industries, Inc.		12,569		681,240
Whirlpool Corp.		14,932		1,707,623
				2,388,863
Housewares — 0.1%
Newell Rubbermaid, Inc.		53,939		1,415,899
Leisure Time — 0.2%
Carnival Corp.		83,118		2,850,116
Harley-Davidson, Inc.		41,887		2,296,246
				5,146,362
Lodging — 0.3%
Marriott International, Inc. Class A		44,113		1,780,842
Starwood Hotels & Resorts Worldwide, Inc.		36,257		2,291,080

	Number of Shares		Value
Wyndham Worldwide Corp.		26,044	$	1,490,498
Wynn Resorts Ltd.		14,895		1,906,560
				7,468,980
Retail — 6.5%
Abercrombie & Fitch Co. Class A		15,065		681,691
AutoNation, Inc. (a)		7,313		317,311
AutoZone, Inc. (a)		6,753		2,861,178
Bed Bath & Beyond, Inc. (a)		41,092		2,913,423
Best Buy Co., Inc.		49,394		1,349,938
CarMax, Inc. (a)		42,685		1,970,340
Chipotle Mexican Grill, Inc. (a)		5,830		2,124,160
Coach, Inc.		52,666		3,006,702
Costco Wholesale Corp.		82,323		9,102,454
CVS Caremark Corp.		230,704		13,191,655
Darden Restaurants, Inc.		24,935		1,258,719
Dollar General Corp. (a)		56,309		2,839,663
Dollar Tree, Inc. (a)		42,583		2,164,920
Family Dollar Stores, Inc.		17,342		1,080,580
GameStop Corp. Class A		22,386		940,883
The Gap, Inc.		55,212		2,303,997
The Home Depot, Inc.		274,366		21,255,134
J.C. Penney Co., Inc. (a)		26,864		458,837
Kohl’s Corp.		38,024		1,920,592
L Brands, Inc.		44,487		2,190,985
Lowe’s Cos., Inc.		201,524		8,242,332
Macy’s, Inc.		72,297		3,470,256
McDonald’s Corp.		188,567		18,668,133
Nordstrom, Inc.		28,109		1,684,853
O’Reilly Automotive, Inc. (a)		20,916		2,355,560
PetSmart, Inc.		19,605		1,313,339
PVH Corp.		15,460		1,933,273
Ross Stores, Inc.		41,395		2,682,810
Staples, Inc.		125,456		1,989,732
Starbucks Corp.		140,365		9,192,504
Target Corp.		120,522		8,299,145
Tiffany & Co.		22,765		1,658,203
The TJX Cos., Inc.		135,043		6,760,252
Urban Outfitters, Inc. (a)		20,537		825,998
Wal-Mart Stores, Inc.		307,574		22,911,187
Walgreen Co.		162,695		7,191,119
Yum! Brands, Inc.		84,440		5,855,070
				178,966,928
Textiles — 0.0%
Cintas Corp.		18,767		854,649
Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		21,165		948,827
Mattel, Inc.		65,429		2,964,588
				3,913,415
				258,235,611

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

63

MM S&P 500 Index^® Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Consumer, Non-cyclical — 22.4%
Agriculture — 1.8%
Altria Group, Inc.		378,460	$	13,242,315
Archer-Daniels-Midland Co.		123,476		4,187,071
Lorillard, Inc.		70,985		3,100,625
Philip Morris International, Inc.		307,123		26,602,994
Reynolds American, Inc.		59,383		2,872,356
				50,005,361
Beverages — 2.3%
Brown-Forman Corp. Class B		28,835		1,947,804
The Coca-Cola Co.		718,415		28,815,625
Coca-Cola Enterprises, Inc.		48,242		1,696,189
Constellation Brands, Inc. Class A (a)		28,406		1,480,521
Dr. Pepper Snapple Group, Inc.		37,600		1,726,968
Molson Coors Brewing Co. Class B		29,656		1,419,336
Monster Beverage Corp. (a)		26,570		1,614,659
PepsiCo, Inc.		290,600		23,768,174
				62,469,276
Biotechnology — 1.5%
Alexion Pharmaceuticals, Inc. (a)		36,619		3,377,737
Amgen, Inc.		141,017		13,912,737
Biogen Idec, Inc. (a)		44,712		9,622,022
Celgene Corp. (a)		78,479		9,174,980
Life Technologies Corp. (a)		32,197		2,382,900
Regeneron Pharmaceuticals, Inc. (a)		14,281		3,211,511
				41,681,887
Commercial Services — 2.0%
The ADT Corp.		41,325		1,646,801
Automatic Data Processing, Inc.		91,079		6,271,700
Equifax, Inc.		23,065		1,359,220
H&R Block, Inc.		51,419		1,426,877
Iron Mountain, Inc.		31,455		837,018
MasterCard, Inc. Class A		19,640		11,283,180
McKesson Corp.		42,547		4,871,632
Moody’s Corp.		35,954		2,190,677
Paychex, Inc.		61,764		2,255,621
Quanta Services, Inc. (a)		40,522		1,072,212
Robert Half International, Inc.		26,108		867,569
Total System Services, Inc.		28,781		704,559
Visa, Inc. Class A		95,198		17,397,435
Western Union Co.		103,949		1,778,567
				53,963,068
Cosmetics & Personal Care — 2.0%
Avon Products, Inc.		82,774		1,740,737
Colgate-Palmolive Co.		164,640		9,432,226
The Estee Lauder Cos., Inc. Class A		44,829		2,948,403
The Procter & Gamble Co.		514,732		39,629,217
				53,750,583
Foods — 1.8%
Campbell Soup Co.		32,667		1,463,155

	Number of Shares		Value
ConAgra Foods, Inc.		78,627	$	2,746,441
General Mills, Inc.		121,197		5,881,690
The Hershey Co.		27,939		2,494,394
Hormel Foods Corp.		24,731		954,122
The J.M. Smucker Co.		20,179		2,081,464
Kellogg Co.		47,932		3,078,672
Kraft Foods Group, Inc.		111,124		6,208,498
The Kroger Co.		97,225		3,358,152
McCormick & Co., Inc.		25,212		1,773,916
Mondelez International, Inc. Class A		335,770		9,579,518
Safeway, Inc.		44,371		1,049,818
Sysco Corp.		111,892		3,822,231
Tyson Foods, Inc. Class A		54,675		1,404,054
Whole Foods Market, Inc.		64,318		3,311,091
				49,207,216
Health Care – Products — 3.3%
Baxter International, Inc.		102,409		7,093,871
Becton, Dickinson & Co.		36,356		3,593,064
Boston Scientific Corp. (a)		255,357		2,367,159
C.R. Bard, Inc.		14,138		1,536,518
CareFusion Corp. (a)		40,856		1,505,544
Covidien PLC		88,517		5,562,408
Edwards Lifesciences Corp. (a)		21,530		1,446,816
Intuitive Surgical, Inc. (a)		7,559		3,829,238
Johnson & Johnson		527,257		45,270,286
Medtronic, Inc.		189,652		9,761,389
St. Jude Medical, Inc.		53,944		2,461,465
Stryker Corp.		54,029		3,494,596
Varian Medical Systems, Inc. (a)		20,162		1,359,927
Zimmer Holdings, Inc.		31,243		2,341,350
				91,623,631
Health Care – Services — 1.5%
Aetna, Inc.		71,000		4,511,340
Cigna Corp.		53,687		3,891,771
DaVita HealthCare Partners, Inc. (a)		15,644		1,889,795
Humana, Inc.		29,535		2,492,163
Laboratory Corporation of America Holdings (a)		17,711		1,772,871
Quest Diagnostics, Inc.		29,101		1,764,394
Tenet Healthcare Corp. (a)		18,773		865,435
Thermo Fisher Scientific, Inc.		67,173		5,684,851
UnitedHealth Group, Inc.		192,090		12,578,053
WellPoint, Inc.		56,021		4,584,759
				40,035,432
Household Products — 0.4%
Avery Dennison Corp.		19,057		814,877
Beam, Inc.		30,698		1,937,351
The Clorox Co.		24,950		2,074,343
Kimberly-Clark Corp.		72,603		7,052,656
				11,879,227

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

64

MM S&P 500 Index^® Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Pharmaceuticals — 5.8%
Abbott Laboratories		292,297	$	10,195,319
AbbVie, Inc.		297,897		12,315,062
Actavis, Inc. (a)		23,776		3,001,007
Allergan, Inc.		55,697		4,691,915
AmerisourceBergen Corp.		43,527		2,430,113
Bristol-Myers Squibb Co.		308,589		13,790,843
Cardinal Health, Inc.		64,712		3,054,406
DENTSPLY International, Inc.		27,543		1,128,161
Eli Lilly & Co.		185,467		9,110,139
Express Scripts Holding Co. (a)		153,435		9,465,405
Forest Laboratories, Inc. (a)		44,688		1,832,208
Gilead Sciences, Inc. (a)		286,837		14,688,923
Hospira, Inc. (a)		31,759		1,216,687
Mead Johnson Nutrition Co.		37,913		3,003,847
Merck & Co., Inc.		567,878		26,377,933
Mylan, Inc. (a)		71,591		2,221,469
Patterson Cos., Inc.		16,197		609,007
Perrigo Co.		16,803		2,033,163
Pfizer, Inc.		1,249,408		34,995,918
Zoetis, Inc.		96,603		2,984,082
				159,145,607
				613,761,288
Diversified — 0.1%
Holding Company – Diversified — 0.1%
Leucadia National Corp.		55,796		1,462,971
Energy — 10.2%
Coal — 0.1%
CONSOL Energy, Inc.		44,094		1,194,947
Peabody Energy Corp.		50,659		741,648
				1,936,595
Energy – Alternate Sources — 0.0%
First Solar, Inc. (a)		12,584		562,882
Oil & Gas — 8.3%
Anadarko Petroleum Corp.		94,670		8,134,993
Apache Corp.		73,362		6,149,937
Cabot Oil & Gas Corp.		39,106		2,777,308
Chesapeake Energy Corp.		95,749		1,951,365
Chevron Corp.		364,525		43,137,889
ConocoPhillips		230,026		13,916,573
Denbury Resources, Inc. (a)		71,495		1,238,293
Devon Energy Corp.		70,692		3,667,501
Diamond Offshore Drilling, Inc.		13,481		927,358
Ensco PLC Class A		43,209		2,511,307
EOG Resources, Inc.		50,958		6,710,149
EQT Corp.		28,665		2,275,141
Exxon Mobil Corp.		835,576		75,494,292
Helmerich & Payne, Inc.		19,583		1,222,958
Hess Corp.		55,642		3,699,637
Marathon Oil Corp.		132,607		4,585,550
Marathon Petroleum Corp.		61,152		4,345,461

	Number of Shares		Value
Murphy Oil Corp.		33,713	$	2,052,785
Nabors Industries Ltd.		56,893		871,032
Newfield Exploration Co. (a)		25,440		607,762
Noble Corp.		47,477		1,784,186
Noble Energy, Inc.		67,194		4,034,328
Occidental Petroleum Corp.		151,755		13,541,099
Phillips 66		116,485		6,862,131
Pioneer Natural Resources Co.		25,792		3,733,392
QEP Resources, Inc.		34,491		958,160
Range Resources Corp.		30,167		2,332,512
Rowan Cos. PLC Class A (a)		23,763		809,605
Southwestern Energy Co. (a)		66,662		2,435,163
Tesoro Corp.		25,488		1,333,532
Valero Energy Corp.		101,581		3,531,971
WPX Energy, Inc. (a)		35,759		677,275
				228,310,645
Oil & Gas Services — 1.4%
Baker Hughes, Inc.		82,494		3,805,448
Cameron International Corp. (a)		47,074		2,879,046
FMC Technologies, Inc. (a)		44,469		2,476,034
Halliburton Co.		174,682		7,287,733
National Oilwell Varco, Inc.		79,942		5,508,004
Schlumberger Ltd.		250,526		17,952,693
				39,908,958
Pipelines — 0.4%
ONEOK, Inc.		38,105		1,574,118
Spectra Energy Corp.		124,808		4,300,884
The Williams Cos., Inc.		127,635		4,144,308
				10,019,310
				280,738,390
Financial — 16.1%
Banks — 4.6%
Bank of America Corp.		2,027,763		26,077,032
Bank of New York Mellon Corp.		218,400		6,126,120
BB&T Corp.		131,497		4,455,118
Capital One Financial Corp.		109,131		6,854,518
Comerica, Inc.		35,121		1,398,869
Fifth Third Bancorp		164,490		2,969,045
Huntington Bancshares, Inc.		156,896		1,236,341
KeyCorp		171,154		1,889,540
M&T Bank Corp.		22,920		2,561,310
Northern Trust Corp.		40,406		2,339,507
PNC Financial Services Group, Inc.		99,211		7,234,466
Regions Financial Corp.		261,950		2,496,384
State Street Corp.		85,709		5,589,084
SunTrust Banks, Inc.		100,828		3,183,140
U.S. Bancorp		347,286		12,554,389
Wells Fargo & Co.		926,060		38,218,496
Zions Bancorp		34,468		995,436
				126,178,795

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

65

MM S&P 500 Index^® Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Diversified Financial — 5.0%
American Express Co.		179,168	$	13,394,600
Ameriprise Financial, Inc.		37,884		3,064,058
BlackRock, Inc.		23,638		6,071,420
The Charles Schwab Corp.		208,508		4,426,625
Citigroup, Inc.		571,717		27,425,264
CME Group, Inc.		57,300		4,353,654
Discover Financial Services		92,705		4,416,466
E*TRADE Financial Corp. (a)		52,041		658,839
Franklin Resources, Inc.		25,847		3,515,709
The Goldman Sachs Group, Inc.		81,095		12,265,619
IntercontinentalExchange, Inc. (a)		13,509		2,401,360
Invesco Ltd.		82,816		2,633,549
JP Morgan Chase & Co.		710,183		37,490,561
Legg Mason, Inc.		21,262		659,335
Morgan Stanley		257,471		6,290,016
The NASDAQ OMX Group, Inc.		21,833		715,904
NYSE Euronext		46,286		1,916,240
SLM Corp.		84,755		1,937,499
T. Rowe Price Group, Inc.		48,614		3,556,114
				137,192,832
Insurance — 4.3%
ACE Ltd.		63,614		5,692,181
Aflac, Inc.		87,692		5,096,659
The Allstate Corp.		87,824		4,226,091
American International Group, Inc. (a)		276,754		12,370,904
Aon PLC		57,963		3,729,919
Assurant, Inc.		15,122		769,861
Berkshire Hathaway, Inc. Class B (a)		342,727		38,358,006
The Chubb Corp.		48,874		4,137,184
Cincinnati Financial Corp.		28,066		1,288,229
Genworth Financial, Inc. Class A (a)		94,653		1,079,991
The Hartford Financial Services Group, Inc.		86,345		2,669,787
Lincoln National Corp.		49,974		1,822,552
Loews Corp.		57,988		2,574,667
Marsh & McLennan Cos., Inc.		104,207		4,159,944
MetLife, Inc.		205,058		9,383,454
Principal Financial Group, Inc.		51,033		1,911,186
The Progressive Corp.		104,212		2,649,069
Prudential Financial, Inc.		87,166		6,365,733
Torchmark Corp.		17,929		1,167,895
The Travelers Cos., Inc.		70,897		5,666,088
Unum Group		49,793		1,462,420
XL Group PLC		53,488		1,621,756
				118,203,576
Real Estate — 0.0%
CBRE Group, Inc. (a)		56,971		1,330,843
Real Estate Investment Trusts (REITS) — 2.1%
American Tower Corp.		74,055		5,418,604

	Number of Shares		Value
Apartment Investment & Management Co. Class A		27,949	$	839,588
AvalonBay Communities, Inc.		22,776		3,072,710
Boston Properties, Inc.		28,255		2,980,055
Equity Residential		59,936		3,479,884
HCP, Inc.		85,093		3,866,626
Health Care REIT, Inc.		54,105		3,626,658
Host Hotels & Resorts, Inc.		141,487		2,386,886
Kimco Realty Corp.		76,841		1,646,703
The Macerich Co.		25,208		1,536,932
Plum Creek Timber Co., Inc.		30,675		1,431,602
Prologis, Inc.		94,356		3,559,108
Public Storage		27,039		4,145,890
Simon Property Group, Inc.		58,326		9,210,842
Ventas, Inc.		54,778		3,804,880
Vornado Realty Trust		32,306		2,676,552
Weyerhaeuser Co.		102,353		2,916,037
				56,599,557
Savings & Loans — 0.1%
Hudson City Bancorp, Inc.		93,230		853,987
People’s United Financial, Inc.		63,090		940,041
				1,794,028
				441,299,631
Industrial — 9.9%
Aerospace & Defense — 1.8%
The Boeing Co.		128,354		13,148,584
General Dynamics Corp.		62,292		4,879,332
L-3 Communications Holdings, Inc.		16,510		1,415,567
Lockheed Martin Corp.		50,225		5,447,404
Northrop Grumman Corp.		44,464		3,681,619
Raytheon Co.		60,915		4,027,700
Rockwell Collins, Inc.		25,757		1,633,251
United Technologies Corp.		158,860		14,764,449
				48,997,906
Building Materials — 0.0%
Masco Corp.		66,630		1,298,619
Electrical Components & Equipment — 0.3%
Emerson Electric Co.		135,337		7,381,280
Molex, Inc.		26,154		767,358
				8,148,638
Electronics — 0.5%
Agilent Technologies, Inc.		64,876		2,774,098
Amphenol Corp. Class A		30,336		2,364,388
FLIR Systems, Inc.		26,708		720,315
Garmin Ltd.		20,891		755,418
Jabil Circuit, Inc.		35,782		729,237
PerkinElmer, Inc.		20,397		662,902
TE Connectivity Ltd.		78,167		3,559,725
Waters Corp. (a)		16,114		1,612,206
				13,178,289

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

66

MM S&P 500 Index^® Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Engineering & Construction — 0.1%
Fluor Corp.		30,824	$	1,828,172
Jacobs Engineering Group, Inc. (a)		24,910		1,373,288
				3,201,460
Environmental Controls — 0.3%
Republic Services, Inc.		54,861		1,861,982
Stericycle, Inc. (a)		15,966		1,763,125
Waste Management, Inc.		81,611		3,291,372
				6,916,479
Hand & Machine Tools — 0.1%
Snap-on, Inc.		11,181		999,358
Stanley Black & Decker, Inc.		30,683		2,371,796
				3,371,154
Machinery – Construction & Mining — 0.5%
Caterpillar, Inc.		123,695		10,203,601
Ingersoll-Rand PLC		52,732		2,927,681
Joy Global, Inc.		20,348		987,488
				14,118,770
Machinery – Diversified — 0.6%
Cummins, Inc.		33,079		3,587,748
Deere & Co.		73,009		5,931,981
Flowserve Corp.		26,229		1,416,628
Rockwell Automation, Inc.		25,994		2,161,141
Roper Industries, Inc.		18,723		2,325,771
Xylem, Inc.		35,477		955,751
				16,379,020
Manufacturing — 3.7%
3M Co.		119,643		13,082,962
Danaher Corp.		109,831		6,952,302
Dover Corp.		31,857		2,474,015
Eaton Corp. PLC		89,539		5,892,561
General Electric Co.		1,942,294		45,041,798
Honeywell International, Inc.		147,811		11,727,325
Illinois Tool Works, Inc.		77,840		5,384,193
Leggett & Platt, Inc.		25,768		801,127
Pall Corp.		20,742		1,377,891
Parker Hannifin Corp.		27,989		2,670,151
Pentair Ltd.		38,630		2,228,565
Textron, Inc.		51,290		1,336,104
Tyco International Ltd.		87,245		2,874,723
				101,843,717
Metal Fabricate & Hardware — 0.2%
Precision Castparts Corp.		27,417		6,196,516
Packaging & Containers — 0.1%
Ball Corp.		27,581		1,145,715
Bemis Co., Inc.		18,763		734,384
Owens-Illinois, Inc. (a)		31,868		885,612
Sealed Air Corp.		38,006		910,243
				3,675,954

	Number of Shares		Value
Transportation — 1.7%
C.H. Robinson Worldwide, Inc.		29,823	$	1,679,333
CSX Corp.		191,701		4,445,546
Expeditors International of Washington, Inc.		38,902		1,478,665
FedEx Corp.		55,578		5,478,879
Kansas City Southern		20,646		2,187,650
Norfolk Southern Corp.		58,812		4,272,692
Ryder System, Inc.		10,258		623,584
Union Pacific Corp.		87,563		13,509,220
United Parcel Service, Inc. Class B		133,290		11,526,919
				45,202,488
				272,529,010
Technology — 11.4%
Computers — 5.7%
Accenture PLC Class A		122,270		8,798,549
Apple, Inc.		176,301		69,829,300
Cognizant Technology Solutions Corp. Class A (a)		56,455		3,534,647
Computer Sciences Corp.		28,731		1,257,556
Dell, Inc.		277,911		3,710,112
EMC Corp.		394,629		9,321,137
Hewlett-Packard Co.		362,444		8,988,611
International Business Machines Corp.		195,820		37,423,160
NetApp, Inc. (a)		67,369		2,545,201
SanDisk Corp. (a)		45,260		2,765,386
Seagate Technology PLC		60,779		2,724,723
Teradata Corp. (a)		30,827		1,548,440
Western Digital Corp.		39,489		2,451,872
				154,898,694
Office Equipment/Supplies — 0.1%
Pitney Bowes, Inc.		35,428		520,083
Xerox Corp.		226,856		2,057,584
				2,577,667
Semiconductors — 2.0%
Advanced Micro Devices, Inc. (a)		119,254		486,556
Altera Corp.		61,164		2,017,800
Analog Devices, Inc.		58,115		2,618,662
Applied Materials, Inc.		224,836		3,352,305
Broadcom Corp. Class A		98,115		3,312,362
Intel Corp.		934,107		22,624,072
KLA-Tencor Corp.		30,942		1,724,398
Lam Research Corp. (a)		30,230		1,340,398
Linear Technology Corp.		43,491		1,602,208
LSI Corp. (a)		98,036		699,977
Microchip Technology, Inc.		36,863		1,373,147
Micron Technology, Inc. (a)		194,772		2,791,083
NVIDIA Corp.		109,664		1,538,586
Teradyne, Inc. (a)		37,496		658,805
Texas Instruments, Inc.		209,005		7,288,004

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

67

MM S&P 500 Index^® Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Xilinx, Inc.		48,747	$	1,930,869
				55,359,232
Software — 3.6%
Adobe Systems, Inc. (a)		93,600		4,264,416
Autodesk, Inc. (a)		41,627		1,412,820
BMC Software, Inc. (a)		25,298		1,141,952
CA, Inc.		62,279		1,783,048
Cerner Corp. (a)		27,372		2,630,176
Citrix Systems, Inc. (a)		34,664		2,091,279
The Dun & Bradstreet Corp.		7,656		746,077
Electronic Arts, Inc. (a)		55,545		1,275,869
Fidelity National Information Services, Inc.		54,279		2,325,312
Fiserv, Inc. (a)		25,032		2,188,047
Intuit, Inc.		52,843		3,225,008
Microsoft Corp.		1,412,853		48,785,814
Oracle Corp.		689,900		21,193,728
Red Hat, Inc. (a)		34,923		1,670,018
SAIC, Inc.		52,131		726,185
Salesforce.com, Inc. (a)		101,084		3,859,387
				99,319,136
				312,154,729
Utilities — 3.4%
Electric — 3.0%
The AES Corp.		116,012		1,390,984
Ameren Corp.		45,676		1,573,081
American Electric Power Co., Inc.		91,303		4,088,548
CenterPoint Energy, Inc.		79,015		1,856,062
CMS Energy Corp.		49,960		1,357,413
Consolidated Edison, Inc.		54,883		3,200,228
Dominion Resources, Inc.		108,090		6,141,674
DTE Energy Co.		33,339		2,234,046
Duke Energy Corp.		132,139		8,919,383
Edison International		61,117		2,943,395
Entergy Corp.		33,035		2,301,879
Exelon Corp.		160,316		4,950,558
FirstEnergy Corp.		78,351		2,925,626
Integrys Energy Group, Inc.		15,238		891,880
NextEra Energy, Inc.		79,488		6,476,682
Northeast Utilities		58,332		2,451,111
NRG Energy, Inc.		61,581		1,644,213
Pepco Holdings, Inc.		45,347		914,196
PG&E Corp.		83,596		3,822,845
Pinnacle West Capital Corp.		21,040		1,167,089
PPL Corp.		112,807		3,413,540
Public Service Enterprise Group, Inc.		94,500		3,086,370
SCANA Corp.		26,020		1,277,582
The Southern Co.		162,965		7,191,645
TECO Energy, Inc.		38,330		658,893
Wisconsin Energy Corp.		43,592		1,786,836
Xcel Energy, Inc.		96,813		2,743,680
				81,409,439

	Number of Shares		Value
Gas — 0.2%
AGL Resources, Inc.		22,324	$	956,806
NiSource, Inc.		59,273		1,697,579
Sempra Energy		42,113		3,443,159
				6,097,544
Pipelines — 0.2%
Kinder Morgan, Inc.		118,066		4,504,218
				92,011,201
TOTAL COMMON STOCK (Cost $1,917,926,900)				2,687,706,044
TOTAL EQUITIES (Cost $1,917,926,900)				2,687,706,044
TOTAL LONG-TERM INVESTMENTS (Cost $1,917,926,900)				2,687,706,044
	Principal Amount
SHORT-TERM INVESTMENTS — 2.1%
Repurchase Agreement — 1.9%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (b)	$	51,711,017		51,711,017
Time Deposits — 0.0%
Euro Time Deposit 0.010% 7/01/13		21,503		21,503
U.S. Treasury Bills — 0.2%
U.S. Treasury Bill 0.100% 10/17/13 (c)		4,765,000		4,763,821
TOTAL SHORT-TERM INVESTMENTS (Cost $56,496,341)				56,496,341
TOTAL INVESTMENTS — 100.2% (Cost $1,974,423,241) (d)				2,744,202,385
Other Assets/(Liabilities) — (0.2)%				(6,462,862	)
NET ASSETS — 100.0%			$	2,737,739,523

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $51,711,061. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $52,748,183.

(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.

68

MassMutual Select Focused Value Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 95.3%
COMMON STOCK — 95.3%
Consumer, Cyclical — 33.9%
Auto Manufacturers — 5.4%
General Motors Co. (a)		1,331,500	$	44,352,265
Automotive & Parts — 5.5%
Delphi Automotive PLC		885,500		44,885,995
Entertainment — 5.0%
Penn National Gaming, Inc. (a)		780,000		41,230,800
Lodging — 4.7%
Starwood Hotels & Resorts Worldwide, Inc.		605,000		38,229,950
Retail — 13.3%
CarMax, Inc. (a)		750,000		34,620,000
Family Dollar Stores, Inc.		672,000		41,872,320
Tiffany & Co.		440,000		32,049,600
				108,541,920
				277,240,930
Consumer, Non-cyclical — 8.8%
Commercial Services — 5.0%
Visa, Inc. Class A		225,000		41,118,750
Textiles — 3.8%
Fifth & Pacific Cos., Inc. (a)		1,400,000		31,276,000
				72,394,750
Energy — 8.6%
Oil & Gas Services — 8.6%
Dresser-Rand Group, Inc. (a)		495,350		29,711,093
National Oilwell Varco, Inc.		589,000		40,582,100
				70,293,193
Financial — 21.1%
Banks — 6.2%
Wells Fargo & Co.		1,229,300		50,733,211
Diversified Financial — 9.7%
Franklin Resources, Inc.		280,000		38,085,600
JP Morgan Chase & Co.		780,000		41,176,200
				79,261,800
Insurance — 5.2%
American International Group, Inc. (a)		953,500		42,621,450
				172,616,461
Industrial — 11.7%
Aerospace & Defense — 7.5%
The Boeing Co.		262,000		26,839,280
Triumph Group, Inc.		440,000		34,826,000
				61,665,280

	Number of Shares		Value
Manufacturing — 4.2%
Illinois Tool Works, Inc.		500,000	$	34,585,000
				96,250,280
Technology — 11.2%
Semiconductors — 11.2%
Applied Materials, Inc.		3,040,000		45,326,400
Intel Corp.		1,900,000		46,018,000
				91,344,400
TOTAL COMMON STOCK (Cost $532,855,850)				780,140,014
TOTAL EQUITIES (Cost $532,855,850)				780,140,014
TOTAL LONG-TERM INVESTMENTS (Cost $532,855,850)				780,140,014
	Principal Amount
SHORT-TERM INVESTMENTS — 5.6%
Repurchase Agreement — 5.6%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (b)	$	45,556,882		45,556,882
TOTAL SHORT-TERM INVESTMENTS (Cost $45,556,882)				45,556,882
TOTAL INVESTMENTS — 100.9% (Cost $578,412,732) (c)				825,696,896
Other Assets/(Liabilities) — (0.9)%				(7,337,674	)
NET ASSETS — 100.0%			$	818,359,222

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $45,556,920. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $46,470,128.

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

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

69

MassMutual Select Fundamental Growth Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 100.2%
COMMON STOCK — 100.2%
Basic Materials — 2.1%
Chemicals — 2.0%
Monsanto Co.		16,977	$	1,677,328
The Sherwin-Williams Co.		3,567		629,932
				2,307,260
Mining — 0.1%
Allied Nevada Gold Corp. (a)		16,594		107,529
				2,414,789
Communications — 20.5%
Advertising — 1.1%
Omnicom Group, Inc.		20,639		1,297,574
Internet — 7.5%
Amazon.com, Inc. (a)		2,349		652,294
eBay, Inc. (a)		23,177		1,198,715
Google, Inc. Class A (a)		4,301		3,786,471
IAC/InterActiveCorp		26,743		1,271,897
Priceline.com, Inc. (a)		746		617,039
Yahoo!, Inc. (a)		47,353		1,189,034
				8,715,450
Media — 3.3%
Comcast Corp. Class A		43,198		1,809,132
News Corp. (a)		37,066		1,208,352
Sirius XM Radio, Inc.		232,021		777,270
				3,794,754
Telecommunications — 8.6%
Cisco Systems, Inc.		274,868		6,682,041
QUALCOMM, Inc.		9,265		565,906
Verizon Communications, Inc.		55,612		2,799,508
				10,047,455
				23,855,233
Consumer, Cyclical — 16.6%
Auto Manufacturers — 0.7%
Ford Motor Co.		48,459		749,661
Lodging — 2.1%
Starwood Hotels & Resorts Worldwide, Inc.		16,801		1,061,655
Wyndham Worldwide Corp.		13,981		800,133
Wynn Resorts Ltd.		4,408		564,224
				2,426,012
Retail — 13.8%
The Buckle, Inc. (b)		14,013		728,956
Costco Wholesale Corp.		13,878		1,534,491
CST Brands, Inc. (a) (b)		2,263		69,723
CVS Caremark Corp.		21,986		1,257,160
Dollar Tree, Inc. (a)		16,620		844,961

	Number of Shares		Value
The Gap, Inc.		9,903	$	413,252
The Home Depot, Inc.		34,624		2,682,321
Lowe’s Cos., Inc.		57,882		2,367,374
O’Reilly Automotive, Inc. (a)		14,495		1,632,427
PetSmart, Inc.		7,580		507,784
The TJX Cos., Inc.		22,674		1,135,060
Wal-Mart Stores, Inc.		39,768		2,962,318
				16,135,827
				19,311,500
Consumer, Non-cyclical — 24.3%
Agriculture — 1.5%
Philip Morris International, Inc.		20,471		1,773,198
Beverages — 2.8%
Anheuser-Busch InBev NV Sponsored ADR (Belgium)		10,507		948,362
The Coca-Cola Co.		39,583		1,587,674
Green Mountain Coffee Roasters, Inc. (a)		10,176		763,811
				3,299,847
Biotechnology — 4.2%
Amgen, Inc.		25,652		2,530,826
Biogen Idec, Inc. (a)		4,518		972,274
Celgene Corp. (a)		12,069		1,410,987
				4,914,087
Commercial Services — 4.6%
The ADT Corp.		11,135		443,730
Alliance Data Systems Corp. (a)		2,414		437,006
Hertz Global Holdings, Inc. (a)		27,373		678,850
ITT Educational Services, Inc. (a) (b)		3,709		90,500
McKesson Corp.		10,046		1,150,267
Paychex, Inc.		16,452		600,827
Visa, Inc. Class A		10,414		1,903,159
				5,304,339
Cosmetics & Personal Care — 0.4%
Colgate-Palmolive Co.		7,424		425,321
Health Care – Products — 4.8%
Becton, Dickinson & Co.		3,937		389,094
Bruker Corp. (a)		16,600		268,090
C.R. Bard, Inc.		5,274		573,178
Johnson & Johnson		16,600		1,425,276
Medtronic, Inc.		33,177		1,707,620
Zimmer Holdings, Inc.		16,782		1,257,643
				5,620,901
Health Care – Services — 0.7%
Aetna, Inc.		13,030		827,926
Pharmaceuticals — 5.3%
Abbott Laboratories		44,419		1,549,335
Eli Lilly & Co.		31,776		1,560,837

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

70

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

	Number of Shares		Value
Express Scripts Holding Co. (a)		11,587	$	714,802
Gilead Sciences, Inc. (a)		24,167		1,237,592
Merck & Co., Inc.		25,030		1,162,643
				6,225,209
				28,390,828
Energy — 2.0%
Oil & Gas — 0.7%
Valero Energy Corp.		22,596		785,663
Oil & Gas Services — 1.3%
Oceaneering International, Inc.		11,072		799,398
Transocean Ltd.		16,378		785,325
				1,584,723
				2,370,386
Financial — 4.2%
Banks — 1.4%
Bank of America Corp.		123,518		1,588,441
Diversified Financial — 2.8%
American Express Co.		22,488		1,681,203
IntercontinentalExchange, Inc. (a)		1,935		343,966
JP Morgan Chase & Co.		24,160		1,275,406
				3,300,575
				4,889,016
Industrial — 10.4%
Aerospace & Defense — 3.7%
The Boeing Co.		24,221		2,481,199
United Technologies Corp.		19,925		1,851,830
				4,333,029
Manufacturing — 6.7%
3M Co.		17,830		1,949,711
Danaher Corp.		19,028		1,204,472
Dover Corp.		8,674		673,623
General Electric Co.		19,885		461,133
Honeywell International, Inc.		22,550		1,789,117
Illinois Tool Works, Inc.		4,709		325,722
Parker Hannifin Corp.		10,045		958,293
Tyco International Ltd.		13,794		454,512
				7,816,583
				12,149,612
Technology — 20.1%
Computers — 5.9%
Apple, Inc.		4,531		1,794,639
International Business Machines Corp.		5,404		1,032,758
NetApp, Inc. (a)		60,221		2,275,149
SanDisk Corp. (a)		18,097		1,105,727
Western Digital Corp.		10,054		624,253
				6,832,526

		Number of Shares		Value
Internet — 1.1%
Check Point Software Technologies Ltd. (a)			25,291	$	1,256,457
Semiconductors — 4.9%
Altera Corp.			38,958		1,285,224
Broadcom Corp. Class A			41,801		1,411,202
Emulex Corp. (a)			16,359		106,661
Intel Corp.			30,365		735,440
Microchip Technology, Inc. (b)			26,336		981,016
QLogic Corp. (a)			924		8,833
Xilinx, Inc.			31,085		1,231,277
					5,759,653
Software — 8.2%
BMC Software, Inc. (a)			13,284		599,640
Intuit, Inc.			8,448		515,581
Microsoft Corp.			155,939		5,384,574
NetSuite, Inc. (a)			5,523		506,680
Oracle Corp.			78,462		2,410,353
Red Hat, Inc. (a)			2,960		141,547
					9,558,375
					23,407,011
TOTAL COMMON STOCK (Cost $100,703,847)					116,788,375
TOTAL EQUITIES (Cost $100,703,847)					116,788,375
MUTUAL FUNDS — 1.3%
Diversified Financial — 1.3%
State Street Navigator Securities Lending Prime Portfolio (c)			1,493,522		1,493,522
TOTAL MUTUAL FUNDS (Cost $1,493,522)					1,493,522
TOTAL LONG-TERM INVESTMENTS (Cost $102,197,369)					118,281,897
		Principal Amount
SHORT-TERM INVESTMENTS — 0.5%
Repurchase Agreement — 0.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (d)	��	$	670,552		670,552

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

71

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

	Principal Amount		Value
Time Deposits — 0.0%
Euro Time Deposit 0.010% 7/01/13	$	3	$	3
TOTAL SHORT-TERM INVESTMENTS (Cost $670,555)				670,555
TOTAL INVESTMENTS — 102.0% (Cost $102,867,924) (e)				118,952,452
Other Assets/(Liabilities) — (2.0)%				(2,386,067	)
NET ASSETS — 100.0%			$	116,566,385

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2013, was $1,461,234. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(c) Represents investment of security lending collateral. (Note 2).

(d) Maturity value of $670,553. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $686,300.

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

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

72

MassMutual Select Blue Chip Growth Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 100.2%
COMMON STOCK — 100.2%
Basic Materials — 4.6%
Chemicals — 4.6%
Ecolab, Inc.		133,700	$	11,389,903
Monsanto Co.		80,700		7,973,160
Praxair, Inc.		130,000		14,970,800
The Sherwin-Williams Co.		84,600		14,940,360
				49,274,223
Communications — 22.9%
Advertising — 0.2%
Omnicom Group, Inc.		37,900		2,382,773
Internet — 18.5%
Akamai Technologies, Inc. (a)		62,200		2,646,610
Amazon.com, Inc. (a)		174,200		48,373,598
Baidu, Inc. Sponsored ADR (Cayman Islands) (a)		71,200		6,730,536
eBay, Inc. (a)		380,600		19,684,632
Facebook, Inc. Class A (a)		282,921		7,033,416
Google, Inc. Class A (a)		70,000		61,625,900
LinkedIn Corp. (a)		41,600		7,417,280
Netflix, Inc. (a)		7,900		1,667,611
Priceline.com, Inc. (a)		39,800		32,919,774
Tencent Holdings Ltd.		179,400		7,060,550
TripAdvisor, Inc. (a)		26,500		1,613,055
				196,772,962
Media — 2.4%
Discovery Communications, Inc. Series C (a)		204,200		14,224,572
News Corp. (a)		53,200		1,542,268
Time Warner, Inc.		14,900		861,518
The Walt Disney Co.		140,500		8,872,575
				25,500,933
Telecommunications — 1.8%
Juniper Networks, Inc. (a)		72,500		1,399,975
QUALCOMM, Inc.		296,700		18,122,436
				19,522,411
				244,179,079
Consumer, Cyclical — 17.0%
Airlines — 0.2%
Delta Air Lines, Inc. (a)		107,100		2,003,841
Apparel — 1.5%
Nike, Inc. Class B		106,800		6,801,024
Ralph Lauren Corp.		56,200		9,764,188
				16,565,212
Auto Manufacturers — 0.4%
Tesla Motors, Inc. (a)		40,600		4,361,658

	Number of Shares		Value
Distribution & Wholesale — 1.8%
Fastenal Co.		171,300	$	7,854,105
Fossil Group, Inc. (a)		75,000		7,748,250
W.W. Grainger, Inc.		14,400		3,631,392
				19,233,747
Home Builders — 0.1%
D.R. Horton, Inc.		20,200		429,856
Lennar Corp. Class A		20,400		735,216
				1,165,072
Leisure Time — 0.9%
Carnival Corp.		83,000		2,846,070
Harley-Davidson, Inc.		115,000		6,304,300
				9,150,370
Lodging — 2.7%
Las Vegas Sands Corp.		255,300		13,513,029
Marriott International, Inc. Class A		106,290		4,290,927
Starwood Hotels & Resorts Worldwide, Inc.		181,600		11,475,304
				29,279,260
Retail — 9.4%
Chipotle Mexican Grill, Inc. (a)		26,200		9,545,970
Costco Wholesale Corp.		39,000		4,312,230
CVS Caremark Corp.		90,400		5,169,072
Dollar Tree, Inc. (a)		75,500		3,838,420
The Home Depot, Inc.		142,800		11,062,716
L Brands, Inc.		126,300		6,220,275
Lowe’s Cos., Inc.		105,900		4,331,310
Lululemon Athletica, Inc. (a)		67,900		4,448,808
Michael Kors Holdings Ltd. (a)		50,600		3,138,212
O’Reilly Automotive, Inc. (a)		87,800		9,888,036
PVH Corp.		76,300		9,541,315
Ross Stores, Inc.		72,300		4,685,763
Starbucks Corp.		326,000		21,349,740
Tiffany & Co.		10,100		735,684
Tractor Supply Co.		16,900		1,987,609
				100,255,160
				182,014,320
Consumer, Non-cyclical — 22.0%
Beverages — 1.5%
The Coca-Cola Co.		34,800		1,395,828
Constellation Brands, Inc. Class A (a)		10,700		557,684
Green Mountain Coffee Roasters, Inc. (a)		106,600		8,001,396
Monster Beverage Corp. (a)		44,900		2,728,573
PepsiCo, Inc.		47,500		3,885,025
				16,568,506
Biotechnology — 5.2%
Alexion Pharmaceuticals, Inc. (a)		94,100		8,679,784

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

73

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

	Number of Shares		Value
Biogen Idec, Inc. (a)		99,300	$	21,369,360
Celgene Corp. (a)		146,500		17,127,315
Regeneron Pharmaceuticals, Inc. (a)		35,000		7,870,800
Vertex Pharmaceuticals, Inc. (a)		1,400		111,818
				55,159,077
Commercial Services — 7.2%
Alliance Data Systems Corp. (a)		30,100		5,449,003
MasterCard, Inc. Class A		57,600		33,091,200
McKesson Corp.		167,700		19,201,650
Verisk Analytics, Inc. Class A (a)		1,900		113,430
Visa, Inc. Class A		106,500		19,462,875
				77,318,158
Cosmetics & Personal Care — 0.5%
The Estee Lauder Cos., Inc. Class A		1,600		105,232
The Procter & Gamble Co.		62,800		4,834,972
				4,940,204
Foods — 1.1%
The Kroger Co.		36,600		1,264,164
Whole Foods Market, Inc.		201,800		10,388,664
				11,652,828
Health Care – Products — 1.0%
Baxter International, Inc.		33,700		2,334,399
Becton, Dickinson & Co.		5,700		563,331
Covidien PLC		48,200		3,028,888
Edwards Lifesciences Corp. (a)		7,700		517,440
Henry Schein, Inc. (a)		3,600		344,700
Stryker Corp.		52,300		3,382,764
				10,171,522
Health Care – Services — 1.6%
Aetna, Inc.		18,300		1,162,782
Thermo Fisher Scientific, Inc.		128,900		10,908,807
UnitedHealth Group, Inc.		75,200		4,924,096
				16,995,685
Pharmaceuticals — 3.9%
Allergan, Inc.		42,480		3,578,515
AmerisourceBergen Corp.		1,800		100,494
Express Scripts Holding Co. (a)		125,700		7,754,433
Gilead Sciences, Inc. (a)		536,800		27,489,528
Onyx Pharmaceuticals, Inc. (a)		1,200		148,944
Perrigo Co.		6,800		822,800
Valeant Pharmaceuticals International, Inc. (a)		23,600		2,031,488
				41,926,202
				234,732,182
Energy — 4.7%
Oil & Gas — 3.4%
Cabot Oil & Gas Corp.		13,000		923,260
Concho Resources, Inc. (a)		3,200		267,904
EOG Resources, Inc.		37,400		4,924,832

	Number of Shares		Value
EQT Corp.		80,100	$	6,357,537
Phillips 66		74,600		4,394,686
Pioneer Natural Resources Co.		80,400		11,637,900
Range Resources Corp.		94,300		7,291,276
				35,797,395
Oil & Gas Services — 1.3%
Cameron International Corp. (a)		78,000		4,770,480
FMC Technologies, Inc. (a)		20,400		1,135,872
Schlumberger Ltd.		119,000		8,527,540
				14,433,892
				50,231,287
Financial — 10.8%
Banks — 1.6%
Northern Trust Corp.		63,300		3,665,070
State Street Corp.		144,700		9,435,887
U.S. Bancorp		95,000		3,434,250
				16,535,207
Diversified Financial — 7.0%
American Express Co.		179,800		13,441,848
Ameriprise Financial, Inc.		37,100		3,000,648
Citigroup, Inc.		132,900		6,375,213
Franklin Resources, Inc.		99,300		13,506,786
The Goldman Sachs Group, Inc.		18,700		2,828,375
IntercontinentalExchange, Inc. (a)		31,200		5,546,112
Invesco Ltd.		402,900		12,812,220
JP Morgan Chase & Co.		104,600		5,521,834
Morgan Stanley		289,100		7,062,713
TD Ameritrade Holding Corp.		190,600		4,629,674
				74,725,423
Insurance — 0.2%
Marsh & McLennan Cos., Inc.		63,500		2,534,920
Real Estate Investment Trusts (REITS) — 2.0%
American Tower Corp.		291,100		21,299,787
				115,095,337
Industrial — 12.8%
Aerospace & Defense — 1.9%
The Boeing Co.		149,600		15,325,024
United Technologies Corp.		56,300		5,232,522
				20,557,546
Electronics — 0.0%
Amphenol Corp. Class A		3,200		249,408
Machinery – Diversified — 0.6%
Roper Industries, Inc.		51,800		6,434,596
Manufacturing — 4.0%
3M Co.		16,200		1,771,470
Danaher Corp.		498,500		31,555,050
Eaton Corp. PLC		15,500		1,020,055
Honeywell International, Inc.		103,300		8,195,822
				42,542,397

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

74

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

	Number of Shares		Value
Metal Fabricate & Hardware — 2.3%
Precision Castparts Corp.		105,800	$	23,911,858
Transportation — 4.0%
FedEx Corp.		41,600		4,100,928
J.B. Hunt Transport Services, Inc.		23,100		1,668,744
Kansas City Southern		79,100		8,381,436
Norfolk Southern Corp.		1,400		101,710
Union Pacific Corp.		138,400		21,352,352
United Continental Holdings, Inc. (a)		226,900		7,099,701
				42,704,871
				136,400,676
Technology — 5.4%
Computers — 2.4%
Accenture PLC Class A		54,100		3,893,036
Apple, Inc.		29,100		11,525,928
Cognizant Technology Solutions Corp. Class A (a)		105,400		6,599,094
EMC Corp.		2,000		47,240
IHS, Inc. Class A (a)		35,300		3,684,614
				25,749,912
Semiconductors — 0.9%
Broadcom Corp. Class A		240,900		8,132,784
Xilinx, Inc.		21,200		839,732
				8,972,516
Software — 2.1%
Autodesk, Inc. (a)		32,600		1,106,444
Citrix Systems, Inc. (a)		1,400		84,462
Fiserv, Inc. (a)		58,800		5,139,708
Intuit, Inc.		3,500		213,605
Red Hat, Inc. (a)		128,900		6,163,998
Salesforce.com, Inc. (a)		260,500		9,945,890
				22,654,107
				57,376,535
TOTAL COMMON STOCK (Cost $795,734,391)				1,069,303,639
TOTAL EQUITIES (Cost $795,734,391)				1,069,303,639
MUTUAL FUNDS — 0.0%
Diversified Financial — 0.0%
T. Rowe Price Reserve Investment Fund		1,604		1,604
TOTAL MUTUAL FUNDS (Cost $1,604)				1,604
TOTAL LONG-TERM INVESTMENTS (Cost $795,735,995)				1,069,305,243

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 0.3%
Repurchase Agreement — 0.3%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (b)	$	2,817,066	$	2,817,066
TOTAL SHORT-TERM INVESTMENTS (Cost $2,817,066)				2,817,066
TOTAL INVESTMENTS — 100.5% (Cost $798,553,061) (c)				1,072,122,309
Other Assets/(Liabilities) — (0.5)%				(4,824,734	)
NET ASSETS — 100.0%			$	1,067,297,575

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $2,817,069. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $2,874,579.

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

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

75

MassMutual Select Growth Opportunities Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.3%
COMMON STOCK — 99.3%
Basic Materials — 2.5%
Chemicals — 2.5%
Praxair, Inc.		82,400	$	9,489,184
Syngenta AG Sponsored ADR (Switzerland)		92,825		7,227,355
				16,716,539
Communications — 27.6%
Internet — 22.8%
Amazon.com, Inc. (a)		95,600		26,547,164
Baidu, Inc. Sponsored ADR (Cayman Islands) (a) (b)		89,320		8,443,420
eBay, Inc. (a)		181,000		9,361,320
F5 Networks, Inc. (a)		59,027		4,061,058
Facebook, Inc. Class A (a)		373,900		9,295,154
Google, Inc. Class A (a)		47,425		41,751,547
Liberty Interactive Corp. Class A (a)		620,150		14,269,651
Priceline.com, Inc. (a)		35,525		29,383,793
VeriSign, Inc. (a)		153,400		6,850,844
				149,963,951
Telecommunications — 4.8%
Crown Castle International Corp. (a)		228,250		16,523,018
QUALCOMM, Inc.		242,625		14,819,535
				31,342,553
				181,306,504
Consumer, Cyclical — 13.6%
Apparel — 3.2%
Nike, Inc. Class B		332,125		21,149,720
Lodging — 1.3%
Las Vegas Sands Corp.		164,400		8,701,692
Retail — 9.1%
Chipotle Mexican Grill, Inc. (a)		37,100		13,517,385
L Brands, Inc.		166,450		8,197,662
Sally Beauty Holdings, Inc. (a)		157,725		4,905,248
Starbucks Corp.		146,000		9,561,540
Ulta Salon Cosmetics & Fragrance, Inc. (a)		97,001		9,715,620
Walgreen Co.		304,475		13,457,795
				59,355,250
				89,206,662
Consumer, Non-cyclical — 23.9%
Biotechnology — 6.7%
Alexion Pharmaceuticals, Inc. (a)		110,100		10,155,624
Biogen Idec, Inc. (a)		50,900		10,953,680
Celgene Corp. (a)		116,500		13,620,015
Regeneron Pharmaceuticals, Inc. (a)		41,300		9,287,544
				44,016,863

	Number of Shares		Value
Commercial Services — 10.1%
MasterCard, Inc. Class A		29,250	$	16,804,125
Visa, Inc. Class A		271,725		49,657,744
				66,461,869
Health Care – Products — 1.0%
Intuitive Surgical, Inc. (a)		13,200		6,686,856
Pharmaceuticals — 6.1%
Allergan, Inc.		236,475		19,920,654
BioMarin Pharmaceutical, Inc. (a)		103,200		5,757,528
Novo Nordisk A/S Sponsored ADR (Denmark)		51,450		7,973,206
Perrigo Co.		52,700		6,376,700
				40,028,088
				157,193,676
Energy — 8.3%
Oil & Gas — 4.0%
EOG Resources, Inc.		132,850		17,493,688
Southwestern Energy Co. (a)		238,400		8,708,752
				26,202,440
Oil & Gas Services — 4.3%
FMC Technologies, Inc. (a)		157,600		8,775,168
National Oilwell Varco, Inc.		109,200		7,523,880
Schlumberger Ltd.		163,800		11,737,908
				28,036,956
				54,239,396
Financial — 4.7%
Diversified Financial — 3.0%
CME Group, Inc.		108,800		8,266,624
IntercontinentalExchange, Inc. (a)		62,475		11,105,556
				19,372,180
Insurance — 1.7%
The Progressive Corp.		446,600		11,352,572
				30,724,752
Technology — 16.3%
Computers — 2.6%
Apple, Inc.		25,125		9,951,510
Teradata Corp. (a)		150,750		7,572,173
				17,523,683
Semiconductors — 3.2%
ARM Holdings PLC Sponsored ADR (United Kingdom) (b)		224,200		8,111,556
ASML Holding NV		164,100		12,980,310
				21,091,866
Software — 10.5%
Adobe Systems, Inc. (a)		347,050		15,811,598
Athenahealth, Inc. (a) (b)		44,200		3,744,624

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

76

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

	Number of Shares		Value
Cerner Corp. (a)		112,500	$	10,810,125
Intuit, Inc.		188,400		11,498,052
Salesforce.com, Inc. (a)		520,600		19,876,508
Splunk, Inc. (a)		107,800		4,997,608
VeriFone Systems, Inc. (a)		120,050		2,018,040
				68,756,555
				107,372,104
Utilities — 2.4%
Pipelines — 2.4%
Kinder Morgan, Inc.		408,007		15,565,467
TOTAL COMMON STOCK (Cost $483,662,481)				652,325,100
TOTAL EQUITIES (Cost $483,662,481)				652,325,100
WARRANTS — 0.1%
Utilities — 0.1%
Pipelines — 0.1%
Kinder Morgan, Inc., Expires 05/25/2017, Strike 40.00 (a)		130,287		667,069
TOTAL WARRANTS (Cost $273,201)				667,069
MUTUAL FUNDS — 2.9%
Diversified Financial — 2.9%
State Street Naviagtor Securities Lending Prime Portfolio (c)		18,877,577		18,877,577
TOTAL MUTUAL FUNDS (Cost $18,877,577)				18,877,577
TOTAL LONG-TERM INVESTMENTS (Cost $502,813,259)				671,869,746
	Principal Amount
SHORT-TERM INVESTMENTS — 1.0%
Repurchase Agreement — 1.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (d)	$	6,539,098		6,539,098
TOTAL SHORT-TERM INVESTMENTS (Cost $6,539,098)				6,539,098

	Value
TOTAL INVESTMENTS — 103.3% (Cost $509,352,357) (e)	$	678,408,844
Other Assets/(Liabilities) — (3.3)%		(21,799,803	)
NET ASSETS — 100.0%	$	656,609,041

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2013, was $18,493,810. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(c) Represents investment of security lending collateral. (Note 2).

(d) Maturity value of $6,539,104. Collateralized by U.S. Government Agency obligations with rates ranging from 3.000% – 0.000%, maturity dates ranging from 12/01/26 – , and an aggregate market value, including accrued interest, of $6,671,408.

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

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

77

MassMutual Select Mid-Cap Value Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.9%
COMMON STOCK — 97.9%
Basic Materials — 5.4%
Chemicals — 2.0%
Axiall Corp.		22,600	$	962,308
CF Industries Holdings, Inc.		2,900		497,350
Eastman Chemical Co.		7,800		546,078
Huntsman Corp.		55,750		923,220
				2,928,956
Forest Products & Paper — 1.3%
International Paper Co.		44,525		1,972,903
Iron & Steel — 1.7%
Reliance Steel & Aluminum Co.		16,500		1,081,740
Nucor Corp.		33,625		1,456,635
				2,538,375
Mining — 0.4%
Yamana Gold, Inc.		59,400		564,894
				8,005,128
Communications — 1.3%
Media — 0.5%
Gannett Co., Inc.		31,575		772,324
Telecommunications — 0.8%
Amdocs Ltd.		30,400		1,127,536
				1,899,860
Consumer, Cyclical — 12.4%
Airlines — 1.0%
Delta Air Lines, Inc. (a)		77,500		1,450,025
Automotive & Parts — 2.7%
Lear Corp.		25,300		1,529,638
Magna International, Inc. Class A		23,200		1,652,304
TRW Automotive Holdings Corp. (a)		12,850		853,754
				4,035,696
Entertainment — 0.9%
International Game Technology		77,475		1,294,607
Home Builders — 1.1%
The Ryland Group, Inc.		40,625		1,629,063
Home Furnishing — 0.8%
Whirlpool Corp.		10,675		1,220,793
Housewares — 1.1%
Newell Rubbermaid, Inc.		59,825		1,570,406
Lodging — 0.3%
MGM Resorts International (a)		29,225		431,946
Retail — 2.9%
Abercrombie & Fitch Co. Class A		21,975		994,369
The Gap, Inc.		26,700		1,114,191
GNC Holdings, Inc. Class A		15,625		690,781

	Number of Shares		Value
Staples, Inc.		89,025	$	1,411,936
				4,211,277
Textiles — 0.9%
Mohawk Industries, Inc. (a)		11,875		1,335,819
Toys, Games & Hobbies — 0.7%
Mattel, Inc.		24,000		1,087,440
				18,267,072
Consumer, Non-cyclical — 17.7%
Agriculture — 0.9%
Lorillard, Inc.		29,975		1,309,308
Biotechnology — 0.4%
Myriad Genetics, Inc. (a)		24,450		656,972
Commercial Services — 3.2%
CoreLogic, Inc. (a)		32,350		749,549
Corrections Corporation of America		37,555		1,271,988
McKesson Corp.		9,500		1,087,750
Towers Watson & Co. Class A		20,500		1,679,770
				4,789,057
Foods — 4.5%
ConAgra Foods, Inc.		32,100		1,121,253
Ingredion, Inc.		26,675		1,750,414
The J.M. Smucker Co.		6,175		636,951
The Kroger Co.		56,525		1,952,373
Tyson Foods, Inc. Class A		45,825		1,176,786
				6,637,777
Health Care – Products — 3.2%
Becton, Dickinson & Co.		14,500		1,433,035
Boston Scientific Corp. (a)		115,350		1,069,294
C.R. Bard, Inc.		5,200		565,136
CareFusion Corp. (a)		15,150		558,278
Zimmer Holdings, Inc.		13,700		1,026,678
				4,652,421
Health Care – Services — 2.5%
Aetna, Inc.		24,950		1,585,323
Cigna Corp.		8,100		587,169
ICON PLC (a)		32,200		1,140,846
Tenet Healthcare Corp. (a)		6,650		306,565
				3,619,903
Household Products — 1.0%
Avery Dennison Corp.		35,125		1,501,945
Pharmaceuticals — 2.0%
Jazz Pharmaceuticals Plc (a)		18,650		1,281,815
Omnicare, Inc.		35,875		1,711,596
				2,993,411
				26,160,794

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

78

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

	Number of Shares		Value
Energy — 7.8%
Coal — 0.6%
Peabody Energy Corp.		64,125	$	938,790
Oil & Gas — 7.2%
Chesapeake Energy Corp.		77,050		1,570,279
Ensco PLC Class A		8,800		511,456
Helmerich & Payne, Inc.		8,500		530,825
Hess Corp.		15,375		1,022,284
Marathon Petroleum Corp.		6,500		461,890
Murphy Oil Corp.		17,200		1,047,308
Newfield Exploration Co. (a)		33,350		796,731
Patterson-UTI Energy, Inc.		85,950		1,663,562
Tesoro Corp.		13,800		722,016
Valero Energy Corp.		17,075		593,698
Whiting Petroleum Corp. (a)		37,500		1,728,375
				10,648,424
				11,587,214
Financial — 27.2%
Banks — 7.2%
BB&T Corp.		32,600		1,104,488
Fifth Third Bancorp		172,125		3,106,856
KeyCorp		107,675		1,188,732
PNC Financial Services Group, Inc.		7,600		554,192
Regions Financial Corp.		329,700		3,142,041
Zions Bancorp		54,575		1,576,126
				10,672,435
Diversified Financial — 3.8%
Ameriprise Financial, Inc.		13,200		1,067,616
Discover Financial Services		25,375		1,208,865
Evercore Partners, Inc. Class A		19,100		750,248
Invesco Ltd.		46,100		1,465,980
SLM Corp.		46,100		1,053,846
				5,546,555
Insurance — 6.9%
The Allstate Corp.		35,475		1,707,057
HCC Insurance Holdings, Inc.		25,100		1,082,061
Lincoln National Corp.		67,375		2,457,167
Reinsurance Group of America, Inc. Class A		16,300		1,126,493
Unum Group		63,925		1,877,477
Validus Holdings Ltd.		53,675		1,938,741
				10,188,996
Real Estate — 0.9%
CBRE Group, Inc. (a)		59,325		1,385,832
Real Estate Investment Trusts (REITS) — 8.4%
Annaly Capital Management, Inc.		34,000		427,380
BioMed Realty Trust, Inc.		79,300		1,604,239
Brandywine Realty Trust		150,500		2,034,760
CBL & Associates Properties, Inc.		112,225		2,403,859
Hospitality Properties Trust		36,500		959,220

	Number of Shares		Value
Kilroy Realty Corp.		44,250	$	2,345,693
Kimco Realty Corp.		24,600		527,178
Liberty Property Trust		55,800		2,062,368
				12,364,697
				40,158,515
Industrial — 9.3%
Aerospace & Defense — 1.1%
L-3 Communications Holdings, Inc.		12,500		1,071,750
Triumph Group, Inc.		6,975		552,071
				1,623,821
Electrical Components & Equipment — 0.8%
Generac Holdings, Inc.		31,125		1,151,936
Electronics — 1.3%
Agilent Technologies, Inc.		11,900		508,844
Avnet, Inc. (a)		42,200		1,417,920
				1,926,764
Engineering & Construction — 0.9%
EMCOR Group, Inc.		32,525		1,322,141
Environmental Controls — 0.7%
Republic Services, Inc.		31,800		1,079,292
Machinery – Construction & Mining — 0.6%
Terex Corp. (a)		36,500		959,950
Machinery – Diversified — 0.8%
AGCO Corp.		24,400		1,224,636
Manufacturing — 1.5%
Parker Hannifin Corp.		11,100		1,058,940
Trinity Industries, Inc.		28,350		1,089,774
				2,148,714
Transportation — 1.6%
CSX Corp.		21,800		505,542
Ryder System, Inc.		30,725		1,867,773
				2,373,315
				13,810,569
Technology — 8.2%
Office Equipment/Supplies — 1.2%
Xerox Corp.		196,300		1,780,441
Semiconductors — 5.7%
Atmel Corp. (a)		115,425		848,374
KLA-Tencor Corp.		18,800		1,047,724
Lam Research Corp. (a)		29,750		1,319,115
Micron Technology, Inc. (a)		114,100		1,635,053
NXP Semiconductor NV (a)		64,300		1,992,014
Skyworks Solutions, Inc. (a)		69,800		1,527,922
				8,370,202
Software — 1.3%
CA, Inc.		39,300		1,125,159

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

79

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

	Number of Shares		Value
Fidelity National Information Services, Inc.		20,625	$	883,575
				2,008,734
				12,159,377
Utilities — 8.6%
Electric — 6.2%
The AES Corp.		128,300		1,538,317
Cleco Corp.		36,325		1,686,570
CMS Energy Corp.		62,225		1,690,653
NRG Energy, Inc.		81,700		2,181,390
PPL Corp.		35,300		1,068,178
SCANA Corp.		21,400		1,050,740
				9,215,848
Gas — 2.4%
AGL Resources, Inc.		25,100		1,075,786
Energen Corp.		23,250		1,215,045
NiSource, Inc.		42,250		1,210,040
				3,500,871
				12,716,719
TOTAL COMMON STOCK (Cost $127,940,465)				144,765,248
TOTAL EQUITIES (Cost $127,940,465)				144,765,248
TOTAL LONG-TERM INVESTMENTS (Cost $127,940,465)				144,765,248
	Principal Amount
SHORT-TERM INVESTMENTS — 1.1%
Repurchase Agreement — 1.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (b)	$	1,549,268		1,549,268
TOTAL SHORT-TERM INVESTMENTS (Cost $1,549,268)				1,549,268
TOTAL INVESTMENTS — 99.0% (Cost $129,489,733) (c)				146,314,516
Other Assets/(Liabilities) — 1.0%				1,505,379
NET ASSETS — 100.0%			$	147,819,895

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $1,549,269. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $1,581,634.

(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 Small Cap Value Equity Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.8%
COMMON STOCK — 97.8%
Basic Materials — 3.5%
Chemicals — 2.9%
Innospec, Inc.		21,050	$	845,789
PolyOne Corp.		100,000		2,478,000
Sensient Technologies Corp.		17,790		719,961
				4,043,750
Forest Products & Paper — 0.6%
Deltic Timber Corp.		15,070		871,348
				4,915,098
Communications — 0.7%
Media — 0.7%
AMC Networks, Inc. (a)		7,500		490,575
John Wiley & Sons, Inc. Class A		12,700		509,143
				999,718
Consumer, Cyclical — 19.7%
Apparel — 0.9%
Ascena Retail Group, Inc. (a)		73,160		1,276,642
Auto Manufacturers — 1.9%
Oshkosh Corp. (a)		68,100		2,585,757
Automotive & Parts — 1.8%
American Axle & Manufacturing Holdings, Inc. (a)		132,500		2,468,475
Distribution & Wholesale — 1.7%
ScanSource, Inc. (a)		26,800		857,600
United Stationers, Inc.		46,810		1,570,476
				2,428,076
Home Furnishing — 1.5%
Whirlpool Corp.		17,900		2,047,044
Leisure Time — 1.2%
Brunswick Corp.		54,400		1,738,080
Office Furnishings — 1.0%
Herman Miller, Inc.		49,000		1,326,430
Retail — 7.0%
Advance Auto Parts, Inc.		18,960		1,538,983
Cabela’s, Inc. (a)		5,300		343,228
Casey’s General Stores, Inc.		14,810		890,970
The Cato Corp. Class A		55,760		1,391,769
CEC Entertainment, Inc.		36,751		1,508,261
Fred’s, Inc. Class A		77,020		1,193,040
The Men’s Wearhouse, Inc.		55,900		2,115,815
Stage Stores, Inc.		36,830		865,505
				9,847,571
Storage & Warehousing — 1.7%
Mobile Mini, Inc. (a)		73,100		2,423,265

	Number of Shares		Value
Textiles — 1.0%
G&K Services, Inc. Class A		29,630	$	1,410,388
				27,551,728
Consumer, Non-cyclical — 13.3%
Biotechnology — 1.2%
Charles River Laboratories International, Inc. (a)		39,380		1,615,761
Commercial Services — 4.5%
Aaron’s, Inc.		42,100		1,179,221
Corrections Corporation of America		23,128		783,345
Forrester Research, Inc.		32,750		1,201,598
Korn/Ferry International (a)		64,000		1,199,360
MAXIMUS, Inc.		9,670		720,222
Towers Watson & Co. Class A		15,400		1,261,876
				6,345,622
Foods — 0.5%
Post Holdings, Inc. (a)		14,390		628,267
Health Care – Products — 0.6%
Steris Corp.		20,180		865,318
Health Care – Services — 4.4%
AmSurg Corp. (a)		29,390		1,031,589
Covance, Inc. (a)		19,500		1,484,730
HealthSouth Corp. (a)		80,600		2,321,280
ICON PLC (a)		36,170		1,281,503
				6,119,102
Household Products — 2.1%
Acco Brands Corp. (a)		146,200		929,832
Helen of Troy Ltd. (a)		20,320		779,679
The Scotts Miracle-Gro Co. Class A		26,400		1,275,384
				2,984,895
				18,558,965
Energy — 2.6%
Oil & Gas — 1.9%
Berry Petroleum Co. Class A		29,900		1,265,368
Diamondback Energy, Inc. (a)		20,800		693,056
Halcon Resources Corp. (a)		35,748		202,691
Whiting Petroleum Corp. (a)		9,650		444,769
				2,605,884
Oil & Gas Services — 0.7%
SEACOR Holdings, Inc.		12,480		1,036,464
				3,642,348
Financial — 17.4%
Banks — 8.3%
BBCN Bancorp, Inc.		58,154		826,950
City National Corp.		37,600		2,382,712
First Midwest Bancorp, Inc.		77,490		1,063,163
Hancock Holding Co.		22,570		678,680

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

81

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

	Number of Shares		Value
International Bancshares Corp.		53,220	$	1,201,708
MB Financial, Inc.		28,360		760,048
Northwest Bancshares, Inc.		85,770		1,158,753
Prosperity Bancshares, Inc.		37,800		1,957,662
Webster Financial Corp.		50,980		1,309,166
Westamerica Bancorp.		5,650		258,148
				11,596,990
Diversified Financial — 0.7%
Janus Capital Group, Inc.		122,300		1,040,773
Insurance — 5.3%
Alleghany Corp. (a)		3,568		1,367,650
Assured Guaranty Ltd.		38,600		851,516
Platinum Underwriters Holdings Ltd.		13,130		751,299
Primerica, Inc.		32,360		1,211,558
ProAssurance Corp.		21,600		1,126,656
Reinsurance Group of America, Inc. Class A		19,240		1,329,676
White Mountains Insurance Group Ltd.		1,440		827,914
				7,466,269
Investment Companies — 0.7%
Ares Capital Corp.		54,590		938,948
Real Estate Investment Trusts (REITS) — 1.8%
Campus Crest Communities, Inc.		72,570		837,458
DiamondRock Hospitality Co.		59,494		554,484
Mack-Cali Realty Corp.		17,740		434,452
Mid-America Apartment Communities, Inc.		9,500		643,815
				2,470,209
Savings & Loans — 0.6%
First Niagara Financial Group, Inc.		80,160		807,211
				24,320,400
Industrial — 28.9%
Aerospace & Defense — 0.7%
Cubic Corp.		20,950		1,007,695
Building Materials — 3.3%
Comfort Systems USA, Inc.		67,900		1,013,068
Gibraltar Industries, Inc. (a)		63,006		917,367
Simpson Manufacturing Co., Inc.		40,000		1,176,800
Trex Co., Inc. (a)		32,800		1,557,672
				4,664,907
Electrical Components & Equipment — 2.8%
Belden, Inc.		45,320		2,262,828
Littelfuse, Inc.		21,200		1,581,732
				3,844,560
Electronics — 4.8%
Coherent, Inc.		12,630		695,534
Faro Technologies, Inc. (a)		23,900		808,298
Park Electrochemical Corp.		34,700		833,147

	Number of Shares		Value
Plexus Corp. (a)		66,800	$	1,996,652
Vishay Intertechnology, Inc. (a)		169,200		2,350,188
				6,683,819
Engineering & Construction — 1.0%
Aegion Corp. (a)		61,200		1,377,612
Hand & Machine Tools — 0.9%
Regal-Beloit Corp.		19,800		1,283,832
Machinery – Construction & Mining — 1.6%
Terex Corp. (a)		83,500		2,196,050
Machinery – Diversified — 2.6%
Albany International Corp. Class A		47,040		1,551,379
Flowserve Corp.		24,570		1,327,026
Zebra Technologies Corp. Class A (a)		17,930		778,879
				3,657,284
Manufacturing — 4.5%
Acuity Brands, Inc.		8,570		647,206
AptarGroup, Inc.		13,250		731,533
Carlisle Cos., Inc.		22,670		1,412,568
ESCO Technologies, Inc.		27,880		902,754
Koppers Holdings, Inc.		14,950		570,791
Matthews International Corp. Class A		32,940		1,241,838
Myers Industries, Inc.		52,400		786,524
				6,293,214
Metal Fabricate & Hardware — 1.0%
Mueller Industries, Inc.		28,660		1,445,324
Packaging & Containers — 0.5%
Greif, Inc. Class A		13,350		703,144
Transportation — 4.3%
Atlas Air Worldwide Holdings, Inc. (a)		22,300		975,848
Bristow Group, Inc.		5,680		371,017
Era Group, Inc. (a)		27,160		710,234
Forward Air Corp.		43,300		1,657,524
Scorpio Tankers, Inc.		167,810		1,506,934
UTI Worldwide, Inc.		49,940		822,512
				6,044,069
Trucking & Leasing — 0.9%
GATX Corp.		26,320		1,248,358
				40,449,868
Technology — 8.5%
Computers — 3.9%
Diebold, Inc.		40,290		1,357,370
Mentor Graphics Corp.		67,300		1,315,715
Mercury Computer Systems, Inc. (a)		65,700		605,754
MICROS Systems, Inc. (a)		27,700		1,195,255
MTS Systems Corp.		16,670		943,522
				5,417,616

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

82

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

	Number of Shares		Value
Semiconductors — 3.5%
Brooks Automation, Inc.		129,800	$	1,262,954
Diodes, Inc. (a)		34,500		895,965
Fairchild Semiconductor International, Inc. (a)		68,800		949,440
Maxim Integrated Products, Inc.		37,040		1,028,971
Photronics, Inc. (a)		92,900		748,774
				4,886,104
Software — 1.1%
Allscripts Healthcare Solutions, Inc. (a)		63,410		820,526
Verint Systems, Inc. (a)		21,300		755,511
				1,576,037
				11,879,757
Utilities — 3.2%
Electric — 0.9%
UNS Energy Corp.		15,110		675,870
Westar Energy, Inc.		17,570		561,537
				1,237,407
Gas — 2.3%
Atmos Energy Corp.		17,100		702,126
The Laclede Group, Inc.		14,100		643,806
New Jersey Resources Corp.		7,210		299,431
UGI Corp.		25,640		1,002,781
WGL Holdings, Inc.		12,960		560,131
				3,208,275
				4,445,682
TOTAL COMMON STOCK (Cost $105,024,476)				136,763,564
TOTAL EQUITIES (Cost $105,024,476)				136,763,564
TOTAL LONG-TERM INVESTMENTS (Cost $105,024,476)				136,763,564
	Principal Amount
SHORT-TERM INVESTMENTS — 2.1%
Repurchase Agreement — 2.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (b)	$	3,012,952		3,012,952
TOTAL SHORT-TERM INVESTMENTS (Cost $3,012,952)				3,012,952

	Value
TOTAL INVESTMENTS — 99.9% (Cost $108,037,428) (c)	$	139,776,516
Other Assets/(Liabilities) — 0.1%		103,553
NET ASSETS — 100.0%	$	139,880,069

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $3,012,954. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $3,075,166.

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

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

83

MassMutual Select Small Company Value Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.7%
COMMON STOCK — 97.7%
Basic Materials — 6.8%
Chemicals — 2.8%
American Vanguard Corp.		70,500	$	1,651,815
Axiall Corp.		47,100		2,005,518
Cabot Corp.		32,140		1,202,679
Huntsman Corp.		96,460		1,597,377
Innospec, Inc.		92,000		3,696,560
Minerals Technologies, Inc.		41,600		1,719,744
OM Group, Inc. (a)		49,610		1,533,941
The Valspar Corp.		13,425		868,195
				14,275,829
Forest Products & Paper — 2.1%
Deltic Timber Corp.		34,000		1,965,880
Potlatch Corp.		64,400		2,604,336
Wausau Paper Corp.		107,200		1,222,080
Clearwater Paper Corp. (a)		49,100		2,310,646
Domtar Corp.		15,500		1,030,750
KapStone Paper and Packaging Corp.		50,310		2,021,456
				11,155,148
Iron & Steel — 0.6%
Carpenter Technology Corp.		47,100		2,122,797
Schnitzer Steel Industries, Inc. Class A		32,300		755,174
				2,877,971
Mining — 1.3%
AMCOL International Corp.		66,115		2,095,184
Royal Gold, Inc.		28,200		1,186,656
Stillwater Mining Co. (a) (b)		122,200		1,312,428
Franco-Nevada Corp.		30,700		1,099,035
North American Palladium Ltd. (a) (b)		415,700		411,543
Coeur d’Alene Mines Corp. (a)		55,085		732,631
				6,837,477
				35,146,425
Communications — 4.3%
Internet — 0.8%
Digital River, Inc. (a)		19,740		370,520
HomeAway, Inc. (a)		41,110		1,329,497
Safeguard Scientifics, Inc. (a)		127,300		2,043,165
Sapient Corp. (a)		32,101		419,239
				4,162,421
Media — 0.9%
The Dolan Co. (a) (b)		82,600		134,638
The New York Times Co. Class A (a)		143,100		1,582,686
Saga Communications, Inc. Class A		38,099		1,749,125

	Number of Shares		Value
World Wrestling Entertainment, Inc. Class A (b)		112,535	$	1,160,236
				4,626,685
Telecommunications — 2.6%
Anixter International, Inc. (a)		21,060		1,596,559
Black Box Corp.		33,780		855,310
Finisar Corp. (a)		99,289		1,682,948
Iridium Communications, Inc. (a) (b)		142,475		1,105,606
Ixia (a)		119,200		2,193,280
Premiere Global Services, Inc. (a)		125,600		1,515,992
RF Micro Devices, Inc. (a)		333,095		1,782,058
SBA Communications Corp. Class A (a)		9,080		673,010
Sonus Networks, Inc. (a)		287,300		864,773
Symmetricom, Inc. (a)		68,420		307,206
ViaSat, Inc. (a)		14,675		1,048,675
				13,625,417
				22,414,523
Consumer, Cyclical — 11.9%
Airlines — 0.7%
Alaska Air Group, Inc. (a)		66,600		3,463,200
Apparel — 1.1%
Crocs, Inc. (a)		119,555		1,972,657
The Jones Group, Inc.		130,950		1,800,563
Skechers U.S.A., Inc. Class A (a)		60,335		1,448,643
True Religion Apparel, Inc.		14,200		449,572
				5,671,435
Automotive & Parts — 0.3%
Modine Manufacturing Co. (a)		112,900		1,228,352
Spartan Motors, Inc.		91,980		562,918
				1,791,270
Distribution & Wholesale — 1.6%
Beacon Roofing Supply, Inc. (a)		135,900		5,147,892
Pool Corp.		61,600		3,228,456
				8,376,348
Entertainment — 1.2%
Ascent Media Corp. Series A (a)		26,500		2,068,855
International Speedway Corp. Class A		15,795		497,069
Lions Gate Entertainment Corp. (a) (b)		58,695		1,612,351
National CineMedia, Inc.		37,125		627,041
Vail Resorts, Inc.		18,900		1,162,728
				5,968,044
Home Builders — 1.4%
M/I Homes, Inc. (a)		41,400		950,544
Meritage Home Corp. (a)		82,805		3,590,425

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

84

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

	Number of Shares		Value
Standard Pacific Corp. (a) (b)		116,295	$	968,737
Winnebago Industries, Inc. (a)		95,400		2,002,446
				7,512,152
Home Furnishing — 0.9%
Ethan Allen Interiors, Inc. (b)		42,300		1,218,240
La-Z-Boy, Inc.		98,915		2,005,007
Stanley Furniture Co., Inc. (a)		38,700		154,800
Tempur Sealy International, Inc. (a)		25,825		1,133,718
				4,511,765
Leisure Time — 0.4%
Brunswick Corp.		33,700		1,076,715
LIFE TIME FITNESS, Inc. (a)		15,200		761,672
				1,838,387
Lodging — 0.3%
Orient-Express Hotels Ltd. (a)		132,200		1,607,552
Retail — 3.2%
Aeropostale, Inc. (a)		71,935		992,703
Body Central Corp. (a)		96,315		1,282,916
Cash America International, Inc.		12,991		590,571
Fred’s, Inc. Class A		58,300		903,067
Genesco, Inc. (a)		21,920		1,468,421
Haverty Furniture Cos., Inc.		85,800		1,974,258
MarineMax, Inc. (a)		79,800		904,134
The Men’s Wearhouse, Inc.		61,000		2,308,850
Red Robin Gourmet Burgers, Inc. (a)		14,700		811,146
Select Comfort Corp. (a)		65,205		1,634,037
Stein Mart, Inc.		137,700		1,879,605
Vera Bradley, Inc. (a) (b)		89,985		1,949,075
				16,698,783
Textiles — 0.7%
Culp, Inc.		58,900		1,024,271
G&K Services, Inc. Class A		51,100		2,432,360
				3,456,631
Toys, Games & Hobbies — 0.1%
JAKKS Pacific, Inc. (b)		59,555		669,994
				61,565,561
Consumer, Non-cyclical — 11.9%
Agriculture — 0.1%
Alliance One International, Inc. (a)		168,800		641,440
Biotechnology — 0.6%
Alkermes PLC (a)		54,240		1,555,603
InterMune, Inc. (a) (b)		42,505		408,898
Momenta Pharmaceuticals, Inc. (a)		69,300		1,043,658
				3,008,159
Commercial Services — 4.4%
Aaron’s, Inc.		206,590		5,786,586
Electro Rent Corp.		115,900		1,945,961
FTI Consulting, Inc. (a)		21,700		713,713

	Number of Shares		Value
Global Payments, Inc.		13,030	$	603,549
Landauer, Inc.		19,000		917,890
McGrath RentCorp		95,800		3,272,528
Navigant Consulting, Inc. (a)		105,000		1,260,000
On Assignment, Inc. (a)		83,100		2,220,432
PHH Corp. (a)		43,650		889,587
Rent-A-Center, Inc. (b)		65,345		2,453,705
TrueBlue, Inc. (a)		67,955		1,430,453
United Rentals, Inc. (a)		30,245		1,509,528
				23,003,932
Foods — 1.3%
Fresh Del Monte Produce, Inc.		48,485		1,351,762
Nash Finch Co.		44,700		983,847
Spartan Stores, Inc.		40,345		743,962
TreeHouse Foods, Inc. (a)		31,070		2,036,328
United Natural Foods, Inc. (a)		12,140		655,438
WhiteWave Foods Co. Class A (a) (b)		68,800		1,118,000
				6,889,337
Health Care – Products — 1.8%
Alere, Inc. (a)		34,290		840,105
Cantel Medical Corp.		16,385		554,960
Invacare Corp.		1,600		22,976
Meridian Bioscience, Inc. (b)		24,470		526,105
Merit Medical Systems, Inc. (a)		82,721		922,339
Quidel Corp. (a) (b)		58,500		1,493,505
Tornier BV (a)		32,730		572,775
West Pharmaceutical Services, Inc.		45,500		3,196,830
Wright Medical Group, Inc. (a)		50,690		1,328,585
				9,458,180
Health Care – Services — 1.6%
Amedisys, Inc. (a)		16,485		191,556
Community Health Systems, Inc.		17,720		830,713
Covance, Inc. (a)		8,835		672,697
Healthways, Inc. (a)		25,600		444,928
Magellan Health Services, Inc. (a)		22,765		1,276,661
MEDNAX, Inc. (a)		8,489		777,423
National Healthcare Corp.		37,300		1,782,940
Triple-S Management Corp. Class B (a)		51,439		1,104,395
Universal Health Services, Inc. Class B		20,280		1,357,949
				8,439,262
Household Products — 1.1%
Acco Brands Corp. (a)		181,040		1,151,414
Avery Dennison Corp.		54,260		2,320,158
CSS Industries, Inc.		51,000		1,271,430
Helen of Troy Ltd. (a)		17,370		666,487
The Scotts Miracle-Gro Co. Class A (b)		9,870		476,820
				5,886,309

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

85

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

	Number of Shares		Value
Pharmaceuticals — 0.7%
Cubist Pharmaceuticals, Inc. (a)		18,295	$	883,649
Impax Laboratories, Inc. (a)		24,475		488,276
The Medicines Co. (a)		33,480		1,029,845
ViroPharma Inc (a)		37,425		1,072,226
				3,473,996
Textiles — 0.3%
Fifth & Pacific Cos., Inc. (a)		54,900		1,226,466
				62,027,081
Energy — 5.6%
Coal — 0.2%
Cloud Peak Energy, Inc. (a)		61,300		1,010,224
Oil & Gas — 3.0%
Alon USA Energy, Inc.		82,550		1,193,673
Atwood Oceanics, Inc. (a)		26,100		1,358,505
Comstock Resources, Inc.		89,000		1,399,970
Halcon Resources Corp. (a) (b)		341,595		1,936,843
Hercules Offshore, Inc. (a)		89,700		631,488
Northern Oil and Gas, Inc. (a) (b)		107,100		1,428,714
Oasis Petroleum, Inc. (a)		71,400		2,775,318
PDC Energy, Inc. (a)		32,400		1,667,952
Resolute Energy Corp. (a)		108,560		866,309
SandRidge Energy, Inc. (a) (b)		177,580		845,281
Swift Energy Co. (a)		102,075		1,223,879
				15,327,932
Oil & Gas Services — 2.3%
C&J Energy Services, Inc. (a) (b)		39,100		757,367
CARBO Ceramics, Inc. (b)		16,700		1,126,081
Core Laboratories NV		7,255		1,100,293
Lufkin Industries, Inc.		16,040		1,419,059
Newpark Resources, Inc. (a)		63,379		696,535
Superior Energy Services, Inc. (a)		38,735		1,004,786
TETRA Technologies, Inc. (a)		120,000		1,231,200
Tidewater, Inc.		62,355		3,552,365
Willbros Group, Inc. (a)		212,715		1,306,070
				12,193,756
Pipelines — 0.1%
ONEOK, Inc.		16,335		674,799
				29,206,711
Financial — 26.2%
Banks — 7.9%
City Holding Co. (b)		27,900		1,086,705
Columbia Banking System, Inc.		42,700		1,016,687
East West Bancorp, Inc.		204,685		5,628,838
F.N.B. Corp.		200,250		2,419,020
First Commonwealth Financial Corp.		185,910		1,370,157
FirstMerit Corp.		93,582		1,874,447
Glacier Bancorp, Inc.		111,500		2,474,185
Home Bancshares, Inc.		142,400		3,698,128

	Number of Shares		Value
Independent Bank Corp.		30,415	$	1,049,318
Old National Bancorp		141,680		1,959,434
Sandy Spring Bancorp, Inc.		60,500		1,308,010
Signature Bank (a)		26,500		2,200,030
Sterling Financial Corp.		44,450		1,057,021
Susquehanna Bancshares, Inc.		274,960		3,533,236
SVB Financial Group (a)		57,500		4,790,900
Synovus Financial Corp.		298,785		872,452
Trustmark Corp.		25,674		631,067
United Bankshares, Inc. (b)		23,841		630,594
Wintrust Financial Corp.		92,255		3,531,521
				41,131,750
Diversified Financial — 1.5%
Eaton Vance Corp.		15,622		587,231
JMP Group, Inc.		57,900		384,456
Ocwen Financial Corp. (a)		38,800		1,599,336
Piper Jaffray Cos., Inc. (a)		21,500		679,615
Raymond James Financial, Inc.		17,968		772,265
Stifel Financial Corp. (a)		113,000		4,030,710
				8,053,613
Insurance — 6.4%
American Equity Investment Life Holding Co.		170,554		2,677,698
Argo Group International Holdings Ltd.		52,000		2,204,280
Assured Guaranty Ltd.		53,200		1,173,592
CNO Financial Group, Inc.		290,285		3,762,094
Employers Holdings, Inc.		48,700		1,190,715
First American Financial Corp.		22,240		490,170
The Hanover Insurance Group, Inc.		47,710		2,334,450
Maiden Holdings Ltd.		201,110		2,256,454
Markel Corp. (a)		4,685		2,468,761
Meadowbrook Insurance Group, Inc.		170,600		1,369,918
National Interstate Corp.		77,000		2,252,250
ProAssurance Corp.		141,770		7,394,723
Protective Life Corp.		19,840		762,054
Radian Group, Inc. (b)		125,480		1,458,078
Reinsurance Group of America, Inc. Class A		10,855		750,189
State Auto Financial Corp. Class A		10,855		197,235
United Fire Group, Inc.		19,994		496,451
				33,239,112
Investment Companies — 0.4%
American Capital Ltd. (a)		93,570		1,185,532
Ares Capital Corp.		45,500		782,600
				1,968,132
Real Estate — 0.2%
Terreno Realty Corp.		59,100		1,095,123

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

86

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

	Number of Shares		Value
Real Estate Investment Trusts (REITS) — 8.6%
Acadia Realty Trust		70,900	$	1,750,521
Associated Estates Realty Corp. (b)		104,715		1,683,817
BioMed Realty Trust, Inc.		69,655		1,409,121
CapLease, Inc.		208,980		1,763,791
CBL & Associates Properties, Inc.		116,700		2,499,714
Cedar Realty Trust, Inc.		130,300		674,954
FelCor Lodging Trust, Inc. (a)		288,875		1,707,251
First Potomac Realty Trust		262,541		3,428,785
Kilroy Realty Corp.		55,400		2,936,754
LaSalle Hotel Properties		79,800		1,971,060
Lexington Realty Trust (b)		122,310		1,428,581
LTC Properties, Inc.		37,655		1,470,428
Medical Properties Trust, Inc.		46,086		659,952
MFA Financial, Inc.		340,980		2,881,281
Mid-America Apartment Communities, Inc.		23,640		1,602,083
New Residential Investment Corp.		252,230		1,700,030
Newcastle Investment Corp.		252,230		1,319,163
NorthStar Realty Finance Corp. (b)		214,875		1,955,362
Pebblebrook Hotel Trust		85,200		2,202,420
PS Business Parks, Inc.		7,600		548,492
Saul Centers, Inc.		33,300		1,480,518
Select, Inc. REIT		46,980		1,317,319
Starwood Property Trust, Inc.		129,545		3,206,239
Sun Communities, Inc.		33,600		1,671,936
Washington Real Estate Investment Trust		46,200		1,243,242
				44,512,814
Savings & Loans — 1.2%
Astoria Financial Corp.		28,280		304,858
Brookline Bancorp, Inc.		127,890		1,110,085
First Niagara Financial Group, Inc.		208,790		2,102,515
Flushing Financial Corp.		89,695		1,475,483
Investors Bancorp, Inc.		50,095		1,056,003
				6,048,944
				136,049,488
Industrial — 20.8%
Aerospace & Defense — 1.5%
Kaman Corp.		46,200		1,596,672
Kratos Defense & Security Solutions, Inc. (a)		128,300		831,384
Moog, Inc. Class A (a)		11,398		587,339
Orbital Sciences Corp. (a)		126,030		2,189,141
Teledyne Technologies, Inc. (a)		8,484		656,237
Triumph Group, Inc.		24,550		1,943,133
				7,803,906
Building Materials — 1.9%
Comfort Systems USA, Inc.		75,100		1,120,492
Drew Industries, Inc.		75,700		2,976,524
Gibraltar Industries, Inc. (a)		98,100		1,428,336

	Number of Shares		Value
Quanex Building Products Corp.		57,400	$	966,616
Texas Industries, Inc. (a) (b)		16,600		1,081,324
Universal Forest Products, Inc.		41,100		1,640,712
USG Corp. (a) (b)		41,380		953,809
				10,167,813
Electrical Components & Equipment — 1.9%
Advanced Energy Industries, Inc. (a)		154,730		2,693,849
Belden, Inc.		56,100		2,801,073
EnerSys		18,410		902,826
Littelfuse, Inc.		48,960		3,652,906
				10,050,654
Electronics — 2.3%
Analogic Corp.		19,400		1,412,902
Checkpoint Systems, Inc. (a)		25,415		360,639
Coherent, Inc.		10,036		552,683
CTS Corp.		45,185		616,323
Electro Scientific Industries, Inc.		103,900		1,117,964
Fabrinet (a)		84,400		1,181,600
Itron, Inc. (a)		12,190		517,222
Methode Electronics, Inc.		45,100		767,151
Newport Corp. (a)		69,900		973,707
Sanmina Corp. (a)		137,130		1,967,815
Woodward, Inc.		63,900		2,556,000
				12,024,006
Engineering & Construction — 1.0%
Aegion Corp. (a)		147,960		3,330,580
Foster Wheeler AG (a)		60,835		1,320,728
URS Corp.		10,315		487,074
				5,138,382
Environmental Controls — 0.9%
Mine Safety Appliances Co.		50,200		2,336,810
Waste Connections, Inc.		53,550		2,203,047
				4,539,857
Hand & Machine Tools — 0.7%
Franklin Electric Co., Inc.		74,395		2,503,392
Snap-on, Inc.		10,560		943,853
				3,447,245
Machinery – Construction & Mining — 0.4%
Astec Industries, Inc.		31,200		1,069,848
Terex Corp. (a)		37,105		975,861
				2,045,709
Machinery – Diversified — 2.3%
Altra Holdings, Inc.		48,280		1,321,906
Briggs & Stratton Corp.		75,765		1,500,147
Cognex Corp.		21,000		949,620
IDEX Corp.		43,900		2,362,259
The Manitowoc Co., Inc.		62,355		1,116,778
Nordson Corp.		53,800		3,728,878

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

87

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

	Number of Shares		Value
Proto Labs, Inc. (a) (b)		13,600	$	883,592
				11,863,180
Manufacturing — 2.4%
AptarGroup, Inc.		65,900		3,638,339
Barnes Group, Inc.		54,840		1,644,652
Harsco Corp.		90,365		2,095,564
Hexcel Corp. (a)		34,545		1,176,257
Matthews International Corp. Class A		61,800		2,329,860
Myers Industries, Inc.		109,400		1,642,094
				12,526,766
Metal Fabricate & Hardware — 0.8%
Circor International, Inc.		35,300		1,795,358
RBC Bearings, Inc. (a)		14,500		753,275
Sun Hydraulics Corp.		32,200		1,007,216
The Timken Co.		15,150		852,642
				4,408,491
Transportation — 4.7%
Bristow Group, Inc.		17,592		1,149,110
Con-way, Inc.		49,920		1,944,883
GasLog Ltd.		119,900		1,534,720
Genesee & Wyoming, Inc. Class A (a)		59,800		5,073,432
Hub Group, Inc. Class A (a)		47,200		1,719,024
Kirby Corp. (a)		55,200		4,390,608
Landstar System, Inc.		99,600		5,129,400
Teekay Corp.		54,975		2,233,634
Teekay Tankers Ltd. Class A (b)		199,100		523,633
Universal Truckload Services, Inc. (a)		26,500		638,915
				24,337,359
				108,353,368
Technology — 5.5%
Computers — 0.8%
j2 Global, Inc. (b)		34,395		1,462,132
Quantum Corp. (a)		874,140		1,197,572
Riverbed Technology, Inc. (a)		72,690		1,131,056
Xyratex Ltd.		54,400		547,264
				4,338,024
Retail — 0.1%
Insight Enterprises, Inc. (a)		35,335		626,843
Semiconductors — 3.0%
ATMI, Inc. (a)		43,500		1,028,775
Brooks Automation, Inc. (b)		172,650		1,679,885
Cabot Microelectronics Corp. (a)		75,930		2,506,449
Cypress Semiconductor Corp. (b)		131,845		1,414,697
Entegris, Inc. (a)		185,090		1,737,995
Fairchild Semiconductor International, Inc. (a)		120,815		1,667,247

	Number of Shares		Value
International Rectifier Corp. (a)		3,176	$	66,505
Lattice Semiconductor Corp. (a)		189,265		959,574
Teradyne, Inc. (a)		106,300		1,867,691
Tessera Technologies, Inc.		84,325		1,753,960
TriQuint Semiconductor, Inc. (a)		126,140		874,150
				15,556,928
Software — 1.6%
Accelrys, Inc. (a)		61,000		512,400
CSG Systems International, Inc. (a)		29,680		644,056
Progress Software Corp. (a)		95,350		2,194,003
Seachange International, Inc. (a)		54,400		637,024
SYNNEX Corp. (a)		53,400		2,257,752
Take-Two Interactive Software, Inc. (a)		66,470		995,056
Verint Systems, Inc. (a)		24,985		886,218
				8,126,509
				28,648,304
Utilities — 4.7%
Electric — 3.4%
Black Hills Corp.		30,700		1,496,625
Cleco Corp.		128,955		5,987,381
El Paso Electric Co.		59,400		2,097,414
IDACORP, Inc.		75,590		3,610,178
NorthWestern Corp.		39,500		1,576,050
Pike Electric Corp.		68,100		837,630
Portland General Electric Co.		53,420		1,634,118
UNS Energy Corp.		7,100		317,583
				17,556,979
Gas — 1.3%
Atmos Energy Corp.		52,215		2,143,948
PNM Resources, Inc.		54,500		1,209,355
South Jersey Industries, Inc.		12,187		699,656
Southwest Gas Corp.		45,200		2,114,908
WGL Holdings, Inc.		12,569		543,232
				6,711,099
				24,268,078
TOTAL COMMON STOCK (Cost $395,164,693)				507,679,539
TOTAL EQUITIES (Cost $395,164,693)				507,679,539
MUTUAL FUNDS — 6.7%
Diversified Financial — 6.7%
iShares Russell 2000 Value Index Fund (b)		13,600		1,168,240
State Street Navigator Securities Lending Prime Portfolio (c)		33,322,284		33,322,284

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

88

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

	Number of Shares		Value
T. Rowe Price Reserve Investment Fund		179,863	$	179,863
TOTAL MUTUAL FUNDS (Cost $34,366,205)				34,670,387
TOTAL LONG-TERM INVESTMENTS (Cost $429,530,898)				542,349,926
	Principal Amount
SHORT-TERM INVESTMENTS — 2.5%
Repurchase Agreement — 2.3%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (d)	$	12,137,867		12,137,867
Time Deposits — 0.2%
Euro Time Deposit 0.010% 7/01/13		1,088,100		1,088,100
TOTAL SHORT-TERM INVESTMENTS (Cost $13,225,967)				13,225,967
TOTAL INVESTMENTS — 106.9% (Cost $442,756,865) (e)				555,575,893
Other Assets/(Liabilities) — (6.9)%				(35,686,474	)
NET ASSETS — 100.0%			$	519,889,419

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2013, was $32,251,490. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(c) Represents investment of security lending collateral. (Note 2).

(d) Maturity value of $12,137,877. Collateralized by U.S. Government Agency obligations with rates ranging from 3.000% – 3.500%, maturity dates ranging from 11/01/25 – 12/01/26, and an aggregate market value, including accrued interest, of $12,386,278.

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

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

89

MM S&P Mid Cap Index Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.8%
COMMON STOCK — 97.8%
Basic Materials — 5.1%
Chemicals — 2.6%
Albemarle Corp.		8,709	$	542,484
Ashland, Inc.		7,265		606,627
Cabot Corp.		5,976		223,622
Cytec Industries, Inc.		4,164		305,013
Intrepid Potash, Inc.		5,379		102,470
Minerals Technologies, Inc.		3,459		142,995
NewMarket Corp. (a)		1,052		276,213
Olin Corp.		7,866		188,155
RPM International, Inc.		13,092		418,158
Sensient Technologies Corp.		4,995		202,148
The Valspar Corp.		8,077		522,339
				3,530,224
Forest Products & Paper — 1.3%
Domtar Corp.		3,317		220,580
Potlatch Corp.		3,970		160,547
Rayonier, Inc.		12,468		690,603
Rock-Tenn Co. Class A		7,116		710,746
				1,782,476
Iron & Steel — 0.8%
Carpenter Technology Corp.		4,419		199,165
Reliance Steel & Aluminum Co.		7,563		495,830
Steel Dynamics, Inc.		21,811		325,202
				1,020,197
Mining — 0.4%
Compass Minerals International, Inc.		3,309		279,710
Royal Gold, Inc.		6,453		271,542
				551,252
				6,884,149
Communications — 4.2%
Advertising — 0.2%
Lamar Advertising Co. Class A (b)		5,520		239,568
Internet — 1.5%
AOL, Inc.		7,667		279,692
Equinix, Inc. (b)		4,879		901,249
Rackspace Hosting, Inc. (b)		10,930		414,138
TIBCO Software, Inc. (b)		15,430		330,202
ValueClick, Inc. (b)		7,155		176,585
				2,101,866
Media — 1.0%
AMC Networks, Inc. (b)		5,739		375,388
FactSet Research Systems, Inc. (a)		3,986		406,333
John Wiley & Sons, Inc. Class A		4,606		184,654
Meredith Corp. (a)		3,550		169,335
The New York Times Co. Class A (b)		12,102		133,848

	Number of Shares		Value
Scholastic Corp.		2,602	$	76,213
				1,345,771
Telecommunications — 1.5%
ADTRAN, Inc. (a)		5,859		144,190
Ciena Corp. (b)		9,994		194,084
InterDigital, Inc. (a)		4,041		180,431
NeuStar, Inc. Class A (b)		6,480		315,446
Plantronics, Inc.		4,283		188,109
Polycom, Inc. (b)		16,991		179,085
RF Micro Devices, Inc. (b)		27,611		147,719
Telephone & Data Systems, Inc.		10,009		246,722
tw telecom, Inc. (b)		14,900		419,286
				2,015,072
				5,702,277
Consumer, Cyclical — 12.6%
Airlines — 0.4%
Alaska Air Group, Inc. (b)		6,957		361,764
JetBlue Airways Corp. (a) (b)		22,214		139,948
				501,712
Apparel — 0.9%
Ascena Retail Group, Inc. (b)		12,657		220,865
Carter’s, Inc.		5,057		374,572
Deckers Outdoor Corp. (a) (b)		3,379		170,673
Under Armour, Inc. Class A (b)		7,689		459,110
				1,225,220
Auto Manufacturers — 0.2%
Oshkosh Corp. (b)		8,702		330,415
Distribution & Wholesale — 1.3%
Ingram Micro, Inc. Class A (b)		15,066		286,103
LKQ Corp. (b)		29,537		760,578
Owens & Minor, Inc. (a)		6,311		213,501
Tech Data Corp. (b)		3,707		174,563
Watsco, Inc.		2,958		248,354
				1,683,099
Entertainment — 0.6%
Bally Technologies, Inc. (b)		3,855		217,499
Cinemark Holdings, Inc.		10,024		279,870
DreamWorks Animation SKG, Inc. Class A (a) (b)		7,066		181,314
International Speedway Corp. Class A		2,505		78,832
Scientific Games Corp. Class A (b)		5,173		58,196
				815,711
Home Builders — 1.1%
KB Home		8,065		158,316
M.D.C. Holdings, Inc.		3,853		125,261
NVR, Inc. (b)		465		428,730
Thor Industries, Inc.		4,319		212,408

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

90

MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Toll Brothers, Inc. (b)		14,893	$	485,959
				1,410,674
Home Furnishing — 0.2%
Tempur Sealy International, Inc. (b)		5,970		262,083
Leisure Time — 0.7%
LIFE TIME FITNESS, Inc. (b)		3,894		195,128
Polaris Industries, Inc.		6,322		600,590
WMS Industries, Inc. (b)		5,413		138,086
				933,804
Office Furnishings — 0.2%
Herman Miller, Inc.		5,749		155,625
HNI Corp.		4,537		163,650
				319,275
Retail — 6.5%
Advance Auto Parts, Inc.		7,220		586,047
Aeropostale, Inc. (b)		7,786		107,447
American Eagle Outfitters, Inc.		17,333		316,501
ANN, Inc. (b)		4,648		154,314
Barnes & Noble, Inc. (a) (b)		3,697		59,004
Big Lots, Inc. (b)		5,799		182,842
Bob Evans Farms, Inc.		2,757		129,524
Brinker International, Inc.		6,935		273,447
Cabela’s, Inc. (b)		4,599		297,831
The Cheesecake Factory, Inc.		4,892		204,926
Chico’s FAS, Inc.		15,996		272,892
Copart, Inc. (b)		10,540		324,632
CST Brands, Inc. (a) (b)		5,906		181,964
Dick’s Sporting Goods, Inc.		9,908		495,995
Domino’s Pizza, Inc.		5,565		323,605
Foot Locker, Inc.		14,887		522,980
Guess?, Inc.		6,016		186,676
Hanesbrands, Inc.		9,755		501,602
HSN, Inc.		3,536		189,954
MSC Industrial Direct Co., Inc. Class A		4,633		358,872
Office Depot, Inc. (a) (b)		28,364		109,769
Panera Bread Co. Class A (b)		2,775		515,984
Regis Corp.		5,643		92,658
Saks, Inc. (a) (b)		10,009		136,523
Signet Jewelers Ltd.		8,001		539,507
Tractor Supply Co.		6,903		811,862
The Wendy’s Co.		27,735		161,695
Williams-Sonoma, Inc.		8,528		476,630
World Fuel Services Corp.		7,176		286,896
				8,802,579
Textiles — 0.5%
Mohawk Industries, Inc. (b)		6,021		677,302
				16,961,874

	Number of Shares		Value
Consumer, Non-cyclical — 17.7%
Agriculture — 0.1%
Universal Corp. (a)		2,308	$	133,518
Beverages — 0.7%
Green Mountain Coffee Roasters, Inc. (b)		12,246		919,185
Biotechnology — 1.6%
Bio-Rad Laboratories, Inc. Class A (b)		2,007		225,185
Charles River Laboratories International, Inc. (b)		4,843		198,708
Vertex Pharmaceuticals, Inc. (b)		21,895		1,748,754
				2,172,647
Commercial Services — 5.3%
Aaron’s, Inc.		6,907		193,465
Alliance Data Systems Corp. (b)		4,862		880,168
Apollo Group, Inc. Class A (b)		9,900		175,428
Convergys Corp.		10,429		181,777
CoreLogic, Inc. (b)		9,421		218,285
The Corporate Executive Board Co.		3,339		211,092
Corrections Corporation of America		11,403		386,220
Deluxe Corp.		4,987		172,799
DeVry, Inc.		5,592		173,464
Donnelley (R.R.) & Sons Co. (a)		17,961		251,634
FTI Consulting, Inc. (b)		4,028		132,481
Gartner, Inc. (b)		9,268		528,183
Global Payments, Inc.		7,634		353,607
HMS Holdings Corp. (b)		8,708		202,896
Lender Processing Services, Inc.		8,449		273,325
Manpower, Inc.		7,625		417,850
Monster Worldwide, Inc. (b)		11,497		56,450
Rent-A-Center, Inc. (a)		5,696		213,885
Rollins, Inc.		6,483		167,910
Service Corp. International		20,906		376,935
Sotheby’s		6,743		255,627
Strayer Education, Inc. (a)		1,044		50,978
Towers Watson & Co. Class A		5,582		457,389
United Rentals, Inc. (b)		9,319		465,111
Valassis Communications, Inc. (a)		3,917		96,319
WEX, Inc. (b)		3,844		294,835
				7,188,113
Foods — 2.3%
Dean Foods Co. (b)		18,625		186,623
Flowers Foods, Inc.		17,050		375,953
Harris Teeter Supermarkets, Inc.		4,928		230,926
Hillshire Brands Co.		12,165		402,418
Ingredion, Inc.		7,650		501,993
Lancaster Colony Corp.		1,909		148,883
Post Holdings, Inc. (b)		3,231		141,065
Smithfield Foods, Inc. (b)		12,364		404,921
SUPERVALU, Inc. (a)		19,806		123,193
Tootsie Roll Industries, Inc. (a)		2,036		64,704

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

91

MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
United Natural Foods, Inc. (b)		4,896	$	264,335
WhiteWave Foods Co. Class A (a) (b)		13,791		224,104
				3,069,118
Health Care – Products — 3.0%
The Cooper Cos., Inc.		4,811		572,749
Henry Schein, Inc. (b)		8,636		826,897
Hill-Rom Holdings, Inc.		5,909		199,015
Hologic, Inc. (b)		26,620		513,766
IDEXX Laboratories, Inc. (b)		5,352		480,503
Masimo Corp.		5,017		106,360
ResMed, Inc. (a)		14,072		635,069
Steris Corp.		5,825		249,776
Techne Corp.		3,396		234,596
Thoratec Corp. (b)		5,664		177,340
				3,996,071
Health Care – Services — 2.2%
Community Health Systems, Inc.		9,318		436,828
Covance, Inc. (b)		5,527		420,826
Health Management Associates, Inc. Class A (b)		25,646		403,155
Health Net, Inc. (b)		7,891		251,092
LifePoint Hospitals, Inc. (b)		4,675		228,327
MEDNAX, Inc. (b)		4,950		453,321
Universal Health Services, Inc. Class B		8,813		590,118
WellCare Health Plans, Inc. (b)		4,309		239,365
				3,023,032
Household Products — 1.4%
Church & Dwight Co., Inc.		13,638		841,601
Jarden Corp. (b)		9,998		437,413
The Scotts Miracle-Gro Co. Class A (a)		3,816		184,351
Tupperware Brands Corp.		5,228		406,163
				1,869,528
Pharmaceuticals — 1.1%
Endo Health Solutions, Inc. (b)		11,084		407,780
Omnicare, Inc.		10,351		493,846
United Therapeutics Corp. (b)		4,575		301,127
VCA Antech, Inc. (b)		8,818		230,062
				1,432,815
				23,804,027
Energy — 5.3%
Coal — 0.1%
Alpha Natural Resources, Inc. (b)		21,802		114,242
Arch Coal, Inc. (a)		21,156		79,970
				194,212
Oil & Gas — 1.8%
Atwood Oceanics, Inc. (b)		5,668		295,019

	Number of Shares		Value
Bill Barrett Corp. (a) (b)		4,801	$	97,076
Cimarex Energy Co.		8,543		555,210
Patterson-UTI Energy, Inc.		14,497		280,589
Questar Corp.		17,336		413,464
Rosetta Resources, Inc. (b)		6,029		256,353
SM Energy Co.		6,553		393,049
Unit Corp. (b)		4,291		182,711
				2,473,471
Oil & Gas Services — 3.0%
CARBO Ceramics, Inc. (a)		1,949		131,421
Dresser-Rand Group, Inc. (b)		7,523		451,230
Dril-Quip, Inc. (b)		3,618		326,669
Helix Energy Solutions Group, Inc. (b)		9,803		225,861
HollyFrontier Corp.		20,100		859,878
Oceaneering International, Inc.		10,692		771,962
Oil States International, Inc. (b)		5,433		503,313
Superior Energy Services, Inc. (b)		15,768		409,022
Tidewater, Inc.		4,910		279,723
				3,959,079
Pipelines — 0.4%
National Fuel Gas Co.		8,257		478,493
				7,105,255
Financial — 21.3%
Banks — 4.1%
Associated Banc-Corp.		16,662		259,094
BancorpSouth, Inc.		8,226		145,600
Bank of Hawaii Corp.		4,470		224,930
Cathay General Bancorp		7,235		147,232
City National Corp.		4,704		298,093
Commerce Bancshares, Inc.		7,637		332,668
Cullen/Frost Bankers, Inc. (a)		5,888		393,142
East West Bancorp, Inc.		13,434		369,435
First Horizon National Corp.		23,641		264,779
FirstMerit Corp.		16,363		327,751
Fulton Financial Corp.		19,414		222,873
Hancock Holding Co.		8,448		254,031
International Bancshares Corp.		5,408		122,113
Prosperity Bancshares, Inc.		4,675		242,118
Signature Bank (b)		4,665		387,288
SVB Financial Group (b)		4,450		370,774
Synovus Financial Corp.		78,547		229,357
TCF Financial Corp.		16,229		230,127
Trustmark Corp.		6,599		162,204
Valley National Bancorp (a)		19,549		185,129
Webster Financial Corp.		8,965		230,221
Westamerica Bancorp. (a)		2,694		123,089
				5,522,048
Diversified Financial — 2.3%
Affiliated Managers Group, Inc. (b)		5,218		855,439
CBOE Holdings, Inc.		8,660		403,903
Eaton Vance Corp.		12,015		451,644

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

92

MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Federated Investors, Inc. Class B (a)		9,343	$	256,092
Greenhill & Co., Inc.		2,553		116,774
Janus Capital Group, Inc.		18,753		159,588
Raymond James Financial, Inc.		11,184		480,688
Waddell & Reed Financial, Inc. Class A		8,504		369,924
				3,094,052
Insurance — 4.8%
Alleghany Corp. (b)		1,665		638,211
American Financial Group, Inc.		7,423		363,059
Arthur J. Gallagher & Co.		12,528		547,348
Aspen Insurance Holdings Ltd.		6,715		249,059
Brown & Brown, Inc.		11,695		377,047
Everest Re Group Ltd.		4,938		633,348
Fidelity National Financial, Inc. Class A		21,073		501,748
First American Financial Corp.		10,719		236,247
The Hanover Insurance Group, Inc.		4,370		213,824
HCC Insurance Holdings, Inc.		9,958		429,290
Kemper Corp.		5,347		183,135
Mercury General Corp.		3,572		157,025
Old Republic International Corp.		23,944		308,159
Primerica, Inc.		4,610		172,599
Protective Life Corp.		7,752		297,754
Reinsurance Group of America, Inc. Class A		7,157		494,620
StanCorp Financial Group, Inc.		4,354		215,131
W.R. Berkley Corp.		10,906		445,619
				6,463,223
Investment Companies — 0.2%
Apollo Investment Corp.		22,318		172,741
Real Estate — 0.4%
Alexander & Baldwin, Inc. (b)		4,240		168,540
Jones Lang LaSalle, Inc.		4,359		397,279
				565,819
Real Estate Investment Trusts (REITS) — 8.6%
Alexandria Real Estate Equities, Inc.		6,959		457,345
American Campus Communities, Inc.		10,361		421,278
BioMed Realty Trust, Inc.		18,400		372,232
BRE Properties, Inc.		7,627		381,503
Camden Property Trust		8,378		579,255
Corporate Office Properties Trust		8,532		217,566
Duke Realty Corp.		31,799		495,746
Equity One, Inc.		6,107		138,201
Essex Property Trust, Inc.		3,754		596,586
Extra Space Storage, Inc.		10,257		430,076
Federal Realty Investment Trust		6,448		668,529
Highwoods Properties, Inc.		8,108		288,726
Home Properties, Inc.		5,155		336,982
Hospitality Properties Trust		13,819		363,163
Kilroy Realty Corp.		7,441		394,447

	Number of Shares		Value
Liberty Property Trust		11,878	$	439,011
Mack-Cali Realty Corp.		8,339		204,222
National Retail Properties, Inc. (a)		11,708		402,755
OMEGA Healthcare Investors, Inc.		11,497		356,637
Realty Income Corp. (a)		19,406		813,500
Regency Centers Corp.		9,055		460,085
Senior Housing Properties Trust		18,602		482,350
SL Green Realty Corp.		9,058		798,825
Taubman Centers, Inc.		6,304		473,746
UDR, Inc.		24,778		631,591
Weingarten Realty Investors		11,097		341,455
				11,545,812
Savings & Loans — 0.9%
Astoria Financial Corp.		8,070		86,995
First Niagara Financial Group, Inc.		34,932		351,765
New York Community Bancorp, Inc.		43,509		609,126
Washington Federal, Inc.		10,328		194,993
				1,242,879
				28,606,574
Industrial — 18.2%
Aerospace & Defense — 1.3%
Alliant Techsystems, Inc.		3,160		260,163
BE Aerospace, Inc. (b)		10,356		653,256
Esterline Technologies Corp. (b)		3,086		223,087
Exelis, Inc.		18,748		258,535
Triumph Group, Inc.		5,101		403,744
				1,798,785
Building Materials — 1.4%
Eagle Materials, Inc.		4,653		308,354
Fortune Brands Home & Security, Inc.		16,322		632,314
Lennox International, Inc.		4,544		293,270
Louisiana-Pacific Corp. (b)		13,885		205,359
Martin Marietta Materials, Inc.		4,538		446,630
				1,885,927
Electrical Components & Equipment — 1.7%
AMETEK, Inc.		24,062		1,017,823
Energizer Holdings, Inc.		6,152		618,337
General Cable Corp.		4,892		150,429
Hubbell, Inc. Class B		5,280		522,720
				2,309,309
Electronics — 2.5%
Arrow Electronics, Inc. (b)		10,381		413,683
Avnet, Inc. (b)		13,556		455,481
Gentex Corp/MI		14,212		327,587
Itron, Inc. (b)		3,870		164,204
Mettler-Toledo International, Inc. (b)		2,991		601,789
National Instruments Corp.		9,456		264,201
Trimble Navigation Ltd. (b)		25,300		658,053
Vishay Intertechnology, Inc. (b)		12,948		179,848

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

93

MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Woodward, Inc.		6,016	$	240,640
				3,305,486
Engineering & Construction — 0.9%
AECOM Technology Corp. (b)		10,142		322,414
Granite Construction, Inc.		3,557		105,856
KBR, Inc.		14,612		474,890
URS Corp.		7,527		355,425
				1,258,585
Environmental Controls — 0.7%
Clean Harbors, Inc. (b)		5,320		268,820
Mine Safety Appliances Co.		3,072		143,002
Waste Connections, Inc.		12,195		501,702
				913,524
Hand & Machine Tools — 0.8%
Kennametal, Inc.		7,761		301,360
Lincoln Electric Holdings, Inc.		8,201		469,671
Regal-Beloit Corp.		4,468		289,705
				1,060,736
Machinery – Construction & Mining — 0.2%
Terex Corp. (b)		10,995		289,169
Machinery – Diversified — 2.1%
AGCO Corp.		9,622		482,928
Gardner Denver, Inc.		4,880		366,879
Graco, Inc.		6,058		382,926
IDEX Corp.		8,164		439,305
Nordson Corp.		5,565		385,710
Wabtec Corp.		9,511		508,173
Zebra Technologies Corp. Class A (b)		5,071		220,284
				2,786,205
Manufacturing — 2.8%
Acuity Brands, Inc.		4,246		320,658
AptarGroup, Inc.		6,590		363,834
The Brink’s Co.		4,736		120,815
Carlisle Cos., Inc.		6,284		391,556
CLARCOR, Inc.		4,928		257,291
Crane Co.		4,809		288,155
Donaldson Co., Inc.		13,354		476,204
Harsco Corp.		7,922		183,711
ITT Corp.		8,898		261,690
Matthews International Corp. Class A		2,755		103,864
SPX Corp.		4,606		331,540
Teleflex, Inc.		4,067		315,152
Trinity Industries, Inc.		7,855		301,946
				3,716,416
Metal Fabricate & Hardware — 0.8%
Commercial Metals Co.		11,459		169,249
The Timken Co.		7,898		444,500
Valmont Industries, Inc.		2,330		333,400

	Number of Shares		Value
Worthington Industries, Inc.		5,317	$	168,602
				1,115,751
Packaging & Containers — 0.9%
Greif, Inc. Class A		2,994		157,694
Packaging Corporation of America		9,718		475,793
Silgan Holdings, Inc.		4,435		208,268
Sonoco Products Co.		10,020		346,391
				1,188,146
Shipbuilding — 0.2%
Huntington Ingalls Industries, Inc.		4,956		279,915
Transportation — 1.7%
Con-way, Inc.		5,586		217,631
Genesee & Wyoming, Inc. Class A (b)		4,898		415,546
J.B. Hunt Transport Services, Inc.		8,950		646,548
Kirby Corp. (b)		5,608		446,060
Landstar System, Inc.		4,628		238,342
Matson, Inc.		4,256		106,400
UTI Worldwide, Inc.		10,228		168,455
Werner Enterprises, Inc. (a)		4,452		107,605
				2,346,587
Trucking & Leasing — 0.2%
GATX Corp.		4,587		217,561
				24,472,102
Technology — 8.7%
Computers — 2.7%
3D Systems Corp. (a) (b)		9,169		402,519
Cadence Design Systems, Inc. (b)		27,983		405,194
Diebold, Inc.		6,322		212,988
DST Systems, Inc.		2,951		192,789
Jack Henry & Associates, Inc.		8,527		401,878
Lexmark International, Inc. Class A (a)		6,196		189,412
Mentor Graphics Corp.		9,282		181,463
MICROS Systems, Inc. (a) (b)		7,778		335,621
NCR Corp. (b)		16,260		536,417
Riverbed Technology, Inc. (b)		16,244		252,757
Synopsys, Inc. (b)		15,194		543,185
				3,654,223
Semiconductors — 2.2%
Atmel Corp. (b)		42,414		311,743
Cree, Inc. (b)		11,666		744,991
Cypress Semiconductor Corp. (a)		13,261		142,290
Fairchild Semiconductor International, Inc. (b)		12,479		172,210
Integrated Device Technology, Inc. (b)		14,451		114,741
International Rectifier Corp. (b)		6,827		142,957
Intersil Corp. Class A		12,665		99,040
Rovi Corp. (b)		10,190		232,740

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

94

MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Semtech Corp. (b)		6,688	$	234,281
Silicon Laboratories, Inc. (b)		3,896		161,333
Skyworks Solutions, Inc. (b)		18,992		415,735
SunEdison, Inc. (b)		22,722		185,639
				2,957,700
Software — 3.8%
ACI Worldwide, Inc. (b)		3,966		184,340
Acxiom Corp. (b)		7,268		164,838
Advent Software, Inc. (b)		3,200		112,192
Allscripts Healthcare Solutions, Inc. (b)		17,519		226,696
ANSYS, Inc. (b)		9,216		673,690
Broadridge Financial Solutions, Inc.		11,941		317,392
CommVault Systems, Inc. (b)		4,275		324,430
Compuware Corp.		21,167		219,078
Concur Technologies, Inc. (a) (b)		4,526		368,326
Fair Isaac Corp.		3,575		163,842
Informatica Corp. (b)		10,688		373,866
ManTech International Corp. Class A (a)		2,378		62,113
MSCI, Inc. (b)		11,924		396,711
PTC, Inc. (b)		11,860		290,926
SEI Investments Co.		13,338		379,199
Solarwinds, Inc. (b)		6,122		237,595
Solera Holdings, Inc.		6,823		379,700
VeriFone Systems, Inc. (b)		10,823		181,935
				5,056,869
				11,668,792
Utilities — 4.7%
Electric — 3.0%
Alliant Energy Corp.		10,991		554,166
Black Hills Corp.		4,415		215,231
Cleco Corp.		5,957		276,584
Great Plains Energy, Inc.		15,213		342,901
Hawaiian Electric Industries, Inc. (a)		9,761		247,051
IDACORP, Inc.		4,990		238,323
MDU Resources Group, Inc.		18,673		483,818
NV Energy, Inc.		23,268		545,867
OGE Energy Corp.		9,791		667,746
Westar Energy, Inc.		12,572		401,801
				3,973,488
Gas — 1.4%
Atmos Energy Corp.		8,964		368,062
Energen Corp.		7,147		373,502
PNM Resources, Inc.		7,830		173,748
UGI Corp.		11,211		438,462
Vectren Corp.		8,168		276,323
WGL Holdings, Inc.		5,148		222,497
				1,852,594

	Number of Shares		Value
Water — 0.3%
Aqua America, Inc.		13,904	$	435,056
				6,261,138
TOTAL COMMON STOCK (Cost $113,448,869)				131,466,188
TOTAL EQUITIES (Cost $113,448,869)				131,466,188
MUTUAL FUNDS — 6.3%
Diversified Financial — 6.3%
State Street Navigator Securities Lending Prime Portfolio (c)		8,450,394		8,450,394
TOTAL MUTUAL FUNDS (Cost $8,450,394)				8,450,394
TOTAL LONG-TERM INVESTMENTS (Cost $121,899,262)				139,916,582
	Principal Amount
SHORT-TERM INVESTMENTS — 2.1%
Repurchase Agreement — 1.9%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (d)	$	2,548,582		2,548,582
U.S. Treasury Bills — 0.2%
U.S. Treasury Bill (e) 0.100% 10/17/13		10,000		9,998
U.S. Treasury Bill (e) 0.100% 10/17/13		280,000		279,935
				289,933
TOTAL SHORT-TERM INVESTMENTS (Cost $2,838,515)				2,838,515
TOTAL INVESTMENTS — 106.2% (Cost $124,737,777) (f)				142,755,097
Other Assets/(Liabilities) — (6.2)%				(8,355,199	)
NET ASSETS — 100.0%			$	134,399,898

Notes to Portfolio of Investments

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2013, was $8,238,497. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(b) Non-income producing security.

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

95

MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments (Continued)

(c) Represents investment of security lending collateral. (Note 2).

(d) Maturity value of $2,548,584. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $2,601,096.

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

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

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

96

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 95.2%
COMMON STOCK — 95.2%
Basic Materials — 3.6%
Chemicals — 1.9%
A. Schulman, Inc.		2,289	$	61,391
Aceto Corp.		2,132		29,699
American Pacific Corp. (a)		460		13,041
American Vanguard Corp.		2,227		52,179
Axiall Corp.		5,430		231,209
Balchem Corp.		2,309		103,328
Chemtura Corp. (a)		7,648		155,254
Ferro Corp. (a)		5,637		39,177
H.B. Fuller Co.		3,913		147,951
Hawkins, Inc.		730		28,755
Innophos Holdings, Inc.		1,708		80,566
Innospec, Inc.		1,820		73,128
Intrepid Potash, Inc.		4,257		81,096
KMG Chemicals, Inc.		631		13,314
Kraton Performance Polymers, Inc. (a)		2,529		53,615
Landec Corp. (a)		2,052		27,107
Minerals Technologies, Inc.		2,712		112,114
Oil-Dri Corp. of America		374		10,274
Olin Corp.		6,246		149,404
OM Group, Inc. (a)		2,487		76,898
OMNOVA Solutions, Inc. (a)		3,626		29,044
Penford Corp. (a)		748		10,016
PolyOne Corp.		7,730		191,549
Quaker Chemical Corp.		1,018		63,126
Sensient Technologies Corp.		3,892		157,509
Stepan Co.		1,466		81,524
Taminco Corp. (a)		1,228		25,039
Zep, Inc.		1,789		28,320
Zoltek Cos., Inc. (a) (b)		2,133		27,537
				2,153,164
Forest Products & Paper — 0.8%
Boise, Inc.		7,846		67,005
Buckeye Technologies, Inc.		3,025		112,046
Clearwater Paper Corp. (a)		1,727		81,273
Deltic Timber Corp.		870		50,303
Neenah Paper, Inc.		1,243		39,490
Orchids Paper Products Co.		452		11,865
Potlatch Corp.		3,150		127,386
Resolute Forest Products (a) (b)		5,431		71,526
Schweitzer-Mauduit International, Inc.		2,440		121,707
P.H. Glatfelter Co.		3,339		83,809
KapStone Paper and Packaging Corp.		3,176		127,612
Wausau Paper Corp.		3,843		43,810
Xerium Technologies, Inc. (a)		849		8,643
				946,475

	Number of Shares		Value
Iron & Steel — 0.1%
AK Steel Holding Corp. (b)		10,587	$	32,184
Olympic Steel, Inc.		707		17,322
Schnitzer Steel Industries, Inc. Class A		2,011		47,017
Shiloh Industries, Inc.		486		5,074
Universal Stainless & Alloy (a)		521		15,359
				116,956
Mining — 0.8%
Century Aluminum Co. (a)		3,997		37,092
Coeur d’Alene Mines Corp. (a)		7,891		104,950
Materion Corp.		1,595		43,209
Midway Gold Corp. (a) (b)		11,192		10,554
Noranda Aluminum Holding Corp.		2,558		8,262
Paramount Gold and Silver Corp. (a) (b)		11,018		13,112
RTI International Metals, Inc. (a)		2,447		67,806
Stillwater Mining Co. (a) (b)		9,149		98,260
Globe Specialty Metals, Inc.		5,002		54,372
Gold Resource Corp. (b)		2,606		22,698
Hecla Mining Co. (b)		25,883		77,131
Horsehead Holding Corp. (a)		3,420		43,810
General Moly, Inc. (a) (b)		4,458		8,337
Kaiser Aluminum Corp.		1,466		90,804
US Silica Holdings, Inc. (b)		1,667		34,640
United States Lime & Minerals, Inc. (a)		151		7,890
Uranium Energy Corp. (a) (b)		6,489		11,615
Allied Nevada Gold Corp. (a)		8,080		52,359
Molycorp, Inc. (a)		9,642		59,781
Ur-Energy, Inc. (a)		9,450		12,663
AMCOL International Corp.		2,161		68,482
				927,827
				4,144,422
Communications — 6.8%
Advertising — 0.1%
Harte-Hanks, Inc.		3,344		28,758
Marchex, Inc. Class B		1,749		10,529
Marin Software, Inc. (a)		715		7,322
MDC Partners, Inc.		1,964		35,430
Millennial Media, Inc. (a) (b)		2,746		23,918
Valuevision Media, Inc. Class A (a)		3,057		15,621
				121,578
Internet — 2.6%
1-800-Flowers.com, Inc. Class A (a)		1,994		12,343
The Active Network, Inc. (a)		4,201		31,802
Angie’s List, Inc. (a) (b)		3,286		87,243
Bankrate, Inc. (a)		3,598		51,667
Bazaarvoice, Inc. (a) (b)		3,739		35,221
Blucora, Inc. (a)		3,195		59,235
Blue Nile, Inc. (a)		964		36,420

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

97

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Boingo Wireless, Inc. (a) (b)		1,504	$	9,340
Brightcove, Inc. (a)		2,189		19,176
ChannelAdvisor Corp. (a)		468		7,362
Cogent Communications Group, Inc.		3,674		103,423
Comscore, Inc. (a)		2,777		67,731
Constant Contact, Inc. (a)		2,390		38,407
CyrusOne, Inc.		1,493		30,965
Dealertrack Technologies, Inc. (a)		3,386		119,966
Dice Holdings, Inc. (a)		3,163		29,131
Digital River, Inc. (a)		2,746		51,542
EarthLink, Inc.		8,022		49,817
eGain Corp. (a)		1,018		9,793
ePlus, Inc.		293		17,548
ExactTarget, Inc. (a)		3,330		112,288
Global Eagle Entertainment, Inc. (a)		1,672		16,820
Global Sources Ltd. (a)		1,525		10,233
HealthStream, Inc. (a)		1,583		40,082
ICG Group, Inc. (a)		2,955		33,687
Internap Network Services Corp. (a)		4,156		34,370
IntraLinks Holdings, Inc. (a)		2,994		21,736
Keynote Systems, Inc.		1,267		25,036
Limelight Networks, Inc. (a)		4,051		9,115
Lionbridge Technologies, Inc. (a)		4,619		13,395
Liquidity Services, Inc. (a) (b)		1,934		67,052
magicJack VocalTec Ltd. (a) (b)		1,444		20,490
Marketo, Inc. (a)		543		13,504
ModusLink Global Solutions, Inc. (a)		2,879		9,155
Move, Inc. (a)		3,087		39,575
Net Element International, Inc. (a)		176		913
NIC, Inc.		5,048		83,443
Nutrisystem, Inc.		2,226		26,222
OpenTable, Inc. (a) (b)		1,773		113,383
Orbitz Worldwide, Inc. (a)		1,911		15,345
Overstock.com, Inc. (a) (b)		870		24,534
PC-Tel, Inc.		1,399		11,864
Perficient, Inc. (a)		2,610		34,817
QuinStreet, Inc. (a)		2,420		20,885
ReachLocal, Inc. (a) (b)		826		10,127
RealNetworks, Inc. (a)		1,743		13,177
Reis, Inc. (a)		651		12,037
Responsys, Inc. (a)		2,833		40,540
Safeguard Scientifics, Inc. (a)		1,620		26,001
Sapient Corp. (a)		8,583		112,094
Shutterfly, Inc. (a)		2,953		164,748
Shutterstock, Inc. (a)		577		32,185
Sourcefire, Inc. (a)		2,423		134,598
Spark Networks, Inc. (a)		1,371		11,585
SPS Commerce, Inc. (a)		1,169		64,295
Stamps.com, Inc. (a)		1,016		40,020
support.com, Inc. (a)		3,954		18,070
TechTarget, Inc. (a)		1,051		4,698
TeleCommunication Systems, Inc. Class A (a)		3,707		8,637

	Number of Shares		Value
Towerstream Corp. (a) (b)		5,170	$	13,184
Travelzoo, Inc. (a)		618		16,847
Trulia, Inc. (a) (b)		1,865		57,983
United Online, Inc.		7,232		54,819
Unwired Planet, Inc. (a)		7,350		14,333
ValueClick, Inc. (a)		5,930		146,352
VASCO Data Security International, Inc. (a)		2,250		18,698
VirnetX Holding Corp. (a) (b)		3,283		65,627
Vitacost.com, Inc. (a) (b)		1,748		14,771
Vocus, Inc. (a)		1,431		15,054
Web.com Group, Inc. (a)		3,262		83,507
WebMD Health Corp. (a)		2,731		80,210
XO Group, Inc. (a)		2,040		22,848
Yelp, Inc. (a)		2,316		80,527
Zix Corp. (a)		4,717		19,953
				3,063,601
Media — 1.0%
Acacia Research		3,826		85,511
AH Belo Corp. Class A		1,473		10,105
Beasley Broadcasting Group, Inc.		293		2,455
Belo Corp. Class A		8,074		112,632
Central European Media Enterprises Ltd. Class A (a)		5,958		19,721
Courier Corp.		907		12,952
Crown Media Holdings, Inc. Class A (a) (b)		2,710		6,694
Cumulus Media, Inc. Class A (a) (b)		5,858		19,859
Daily Journal Corp. (a)		71		8,023
Demand Media, Inc. (a) (b)		2,818		16,908
Dex Media, Inc. (a)		1,333		23,421
Digital Generation, Inc. (a) (b)		1,884		13,885
The E.W. Scripps Co. Class A (a)		2,417		37,657
Entercom Communications Corp. Class A (a)		1,807		17,058
Entravision Communications Corp. Class A		4,292		26,396
Fisher Communications, Inc.		690		28,345
Gray Television, Inc. (a)		3,914		28,181
Hemisphere Media Group, Inc. (a)		670		9,179
Journal Communications, Inc. Class A (a)		3,433		25,713
Lin TV Corp. Class A (a)		2,214		33,874
Martha Stewart Living Omnimedia, Inc. Class A (a) (b)		2,296		5,533
The McClatchy Co. Class A (a) (b)		4,676		10,661
Media General, Inc. Class A (a)		1,526		16,832
Meredith Corp. (b)		2,778		132,511
The New York Times Co. Class A (a)		10,038		111,020
Nexstar Broadcasting Group, Inc. Class A		2,284		80,991
Saga Communications, Inc. Class A		365		16,757

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

98

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Salem Communications Corp. Class A		825	$	6,179
Scholastic Corp.		2,074		60,748
Sinclair Broadcast Group, Inc. Class A		5,323		156,390
World Wrestling Entertainment, Inc. Class A		2,240		23,094
				1,159,285
Telecommunications — 3.1%
8x8, Inc. (a)		5,574		45,930
ADTRAN, Inc. (b)		4,611		113,477
Alliance Fiber Optic Products, Inc.		449		8,984
Anaren, Inc. (a)		903		20,715
Anixter International, Inc. (a)		2,107		159,732
ARRIS Group, Inc. (a)		9,099		130,571
Aruba Networks, Inc. (a)		8,865		136,166
Atlantic Tele-Network, Inc.		715		35,507
Aviat Networks, Inc. (a)		4,695		12,301
Black Box Corp.		1,256		31,802
CalAmp Corp. (a)		2,729		39,843
Calix, Inc. (a)		3,075		31,057
Cbeyond, Inc. (a)		2,089		16,378
Ciena Corp. (a)		7,922		153,845
Cincinnati Bell, Inc. (a)		16,182		49,517
Comtech Telecommunications Corp.		1,310		35,226
Comverse, Inc. (a)		1,725		51,336
Consolidated Communications Holdings, Inc. (b)		3,115		54,232
Cyan, Inc. (a)		622		6,500
DigitalGlobe, Inc. (a)		5,794		179,672
Extreme Networks (a)		7,250		25,012
Fairpoint Communications, Inc. (a) (b)		1,606		13,410
Finisar Corp. (a)		7,298		123,701
General Communication, Inc. Class A (a)		2,452		19,199
Globecomm Systems, Inc. (a)		1,828		23,106
Harmonic, Inc. (a)		8,817		55,988
Hawaiian Telcom Holdco, Inc. (a)		793		19,952
HickoryTech Corp.		1,052		11,183
IDT Corp. Class B		1,201		22,447
Infinera Corp. (a) (b)		9,015		96,190
Inteliquent, Inc.		2,531		14,553
InterDigital, Inc. (b)		3,202		142,969
Iridium Communications, Inc. (a) (b)		4,997		38,777
Ixia (a)		4,394		80,850
KVH Industries, Inc. (a)		1,220		16,238
Leap Wireless International, Inc. (a) (b)		4,170		28,064
Loral Space & Communications, Inc.		1,013		60,760
Lumos Networks Corp.		1,202		20,554
Mastec, Inc. (a)		4,624		152,130
Neonode, Inc. (a) (b)		1,937		11,525
NeoPhotonics Corp. (a)		1,571		13,652
NETGEAR, Inc. (a)		2,997		91,528

	Number of Shares		Value
NII Holdings, Inc. (a)		13,383	$	89,265
NTELOS Holdings Corp.		1,164		19,159
Numerex Corp. (a)		1,089		12,153
Oplink Communications, Inc. (a)		1,484		25,777
ORBCOMM, Inc. (a)		2,848		12,787
Parkervision, Inc. (a) (b)		6,888		31,340
Plantronics, Inc.		3,368		147,923
Preformed Line Products Co.		203		13,461
Premiere Global Services, Inc. (a)		3,744		45,190
Primus Telecommunications Group, Inc.		997		11,904
Procera Networks, Inc. (a)		1,568		21,529
RF Micro Devices, Inc. (a)		21,878		117,047
RigNet, Inc. (a)		937		23,875
Ruckus Wireless, Inc. (a) (b)		3,387		43,387
Shenandoah Telecom Co.		1,851		30,875
ShoreTel, Inc. (a)		4,582		18,465
Sonus Networks, Inc. (a)		16,769		50,475
Symmetricom, Inc. (a)		3,157		14,175
TeleNav, Inc. (a)		1,398		7,312
Tellabs, Inc.		27,667		54,781
Tessco Technologies, Inc.		412		10,877
Ubiquiti Networks, Inc.		980		17,189
USA Mobility, Inc.		1,691		22,947
ViaSat, Inc. (a)		3,078		219,954
Vonage Holdings Corp. (a)		12,090		34,215
Vringo, Inc. (a)		5,217		16,538
West Corp.		1,657		36,686
Westell Technologies, Inc. (a)		3,298		7,882
				3,551,747
				7,896,211
Consumer, Cyclical — 13.2%
Airlines — 0.6%
Allegiant Travel Co.		1,167		123,690
Hawaiian Holdings, Inc. (a) (b)		3,986		24,354
JetBlue Airways Corp. (a) (b)		18,114		114,118
Republic Airways Holdings, Inc. (a)		3,828		43,371
SkyWest, Inc.		4,001		54,174
Spirit Airlines, Inc. (a)		4,693		149,097
US Airways Group, Inc. (a) (b)		12,747		209,306
				718,110
Apparel — 1.0%
American Apparel, Inc. (a)		4,512		8,663
Crocs, Inc. (a)		6,855		113,107
G-III Apparel Group Ltd. (a)		1,303		62,700
Iconix Brand Group, Inc. (a)		4,437		130,492
The Jones Group, Inc.		6,232		85,690
Maidenform Brands, Inc. (a)		1,812		31,402
Oxford Industries, Inc.		1,047		65,333
Perry Ellis International, Inc.		960		19,498
Quiksilver, Inc. (a)		10,271		66,145
RG Barry Corp.		758		12,310

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

99

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Skechers U.S.A., Inc. Class A (a)		3,022	$	72,558
Steven Madden Ltd. (a)		3,118		150,849
True Religion Apparel, Inc.		2,024		64,080
Unifi, Inc. (a)		1,162		24,019
Weyco Group, Inc.		490		12,348
Wolverine World Wide, Inc. (b)		3,910		213,525
				1,132,719
Auto Manufacturers — 0.0%
Wabash National Corp. (a)		5,327		54,229
Automotive & Parts — 1.1%
Accuride Corp. (a)		3,118		15,777
American Axle & Manufacturing Holdings, Inc. (a)		5,229		97,416
Commercial Vehicle Group, Inc. (a)		1,896		14,144
Cooper Tire & Rubber Co.		4,928		163,462
Dana Holding Corp.		11,420		219,949
Dorman Products, Inc.		1,962		89,526
Douglas Dynamics, Inc.		1,724		22,378
Federal-Mogul Corp. (a)		1,436		14,662
Fuel Systems Solutions, Inc. (a)		1,124		20,108
Gentherm, Inc. (a)		2,601		48,301
Meritor, Inc. (a)		7,556		53,270
Miller Industries, Inc.		873		13,427
Modine Manufacturing Co. (a)		3,641		39,614
Remy International, Inc.		1,090		20,241
Spartan Motors, Inc.		2,645		16,187
Standard Motor Products, Inc.		1,542		52,952
Superior Industries International, Inc.		1,807		31,098
Tenneco, Inc. (a)		4,731		214,220
Titan International, Inc. (b)		4,164		70,247
Tower International, Inc. (a)		489		9,677
				1,226,656
Distribution & Wholesale — 0.9%
Beacon Roofing Supply, Inc. (a)		3,788		143,489
BlueLinx Holdings, Inc. (a)		2,846		6,119
Chindex International, Inc. (a)		925		15,004
Core-Mark Holding Co., Inc.		893		56,705
Houston Wire & Cable Co.		1,380		19,099
MWI Veterinary Supply, Inc. (a)		996		122,747
Navarre Corp. (a)		3,117		8,603
Owens & Minor, Inc. (b)		4,925		166,613
Pool Corp.		3,624		189,934
Rentrak Corp. (a)		813		16,317
ScanSource, Inc. (a)		2,168		69,376
United Stationers, Inc.		3,155		105,850
Watsco, Inc.		1,998		167,752
				1,087,608
Entertainment — 0.7%
Ascent Media Corp. Series A (a)		1,099		85,799
Carmike Cinemas, Inc. (a)		1,389		26,891
Churchill Downs, Inc.		1,070		84,369

	Number of Shares		Value
International Speedway Corp. Class A		2,166	$	68,164
Isle of Capri Casinos, Inc. (a)		1,703		12,773
Marriott Vacations Worldwide Corp. (a)		2,268		98,068
National CineMedia, Inc.		4,416		74,586
Pinnacle Entertainment, Inc. (a)		4,543		89,361
Reading International, Inc. (a)		1,302		8,281
Scientific Games Corp. Class A (a)		3,715		41,794
SHFL Entertainment, Inc. (a)		4,389		77,729
Speedway Motorsports, Inc.		905		15,747
Steinway Musical Instruments, Inc. (a)		555		16,889
Vail Resorts, Inc.		2,793		171,825
				872,276
Home Builders — 0.7%
Beazer Homes USA, Inc. (a) (b)		1,959		34,322
Cavco Industries, Inc. (a)		532		26,839
Hovnanian Enterprises, Inc. Class A (a) (b)		8,805		49,396
KB Home		6,501		127,615
M.D.C. Holdings, Inc.		3,049		99,123
M/I Homes, Inc. (a)		1,882		43,211
Meritage Home Corp. (a)		2,812		121,928
The Ryland Group, Inc.		3,590		143,959
Standard Pacific Corp. (a)		11,532		96,061
TRI Pointe Homes, Inc. (a)		1,136		18,835
William Lyon Homes Class A (a)		1,070		26,975
Winnebago Industries, Inc. (a)		2,184		45,842
				834,106
Home Furnishing — 0.3%
American Woodmark Corp. (a)		759		26,337
Bassett Furniture Industries, Inc.		827		12,843
DTS, Inc. (a)		1,414		29,100
Ethan Allen Interiors, Inc.		1,932		55,642
Flexsteel Industries, Inc.		385		9,386
Hooker Furniture Corp.		861		14,000
Kimball International, Inc. Class B		2,482		24,100
La-Z-Boy, Inc.		4,073		82,560
Universal Electronics, Inc. (a)		1,160		32,631
VOXX International Corp. (a)		1,429		17,534
				304,133
Household Products — 0.0%
Skullcandy, Inc. (a) (b)		1,454		7,939
Housewares — 0.1%
EveryWare Global, Inc. (a)		761		9,239
Libbey, Inc. (a)		1,635		39,191
Lifetime Brands, Inc.		781		10,606
				59,036
Leisure Time — 0.7%
Arctic Cat, Inc.		1,035		46,554
Black Diamond, Inc. (a)		1,773		16,666
Brunswick Corp.		7,036		224,800
Callaway Golf Co. (b)		5,528		36,374

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

100

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Interval Leisure Group, Inc.		3,049	$	60,736
Johnson Outdoors, Inc. (a)		385		9,587
LIFE TIME FITNESS, Inc. (a)		3,349		167,819
Marine Products Corp.		815		6,536
Multimedia Games Holding Co. (a)		2,246		58,553
Nautilus, Inc. (a)		2,414		20,978
Town Sports International Holdings, Inc.		1,870		20,140
WMS Industries, Inc. (a)		4,260		108,673
				777,416
Lodging — 0.2%
Ameristar Casinos, Inc.		2,571		67,592
Boyd Gaming Corp. (a) (b)		4,358		49,245
Caesars Entertainment Corp. (a) (b)		2,867		39,278
Marcus Corp.		1,457		18,533
Monarch Casino & Resort, Inc. (a)		669		11,279
Morgans Hotel Group Co. (a)		2,074		16,716
Orient-Express Hotels Ltd. (a)		7,453		90,629
				293,272
Office Furnishings — 0.4%
Herman Miller, Inc.		4,560		123,439
HNI Corp.		3,537		127,579
Interface, Inc.		4,613		78,283
Knoll, Inc.		3,746		53,231
Steelcase, Inc. Class A		6,561		95,659
				478,191
Pharmaceuticals — 0.0%
PetMed Express, Inc. (b)		1,571		19,795
Retail — 6.1%
Aeropostale, Inc. (a)		6,105		84,249
AFC Enterprises, Inc. (a)		1,858		66,777
America’s Car-Mart, Inc. (a)		617		26,679
ANN, Inc. (a)		3,670		121,844
Asbury Automotive Group, Inc. (a)		2,425		97,242
Barnes & Noble, Inc. (a)		3,143		50,162
bebe stores, Inc.		2,709		15,197
Big 5 Sporting Goods Corp.		1,308		28,711
Biglari Holdings, Inc. (a)		94		38,578
BJ’s Restaurants, Inc. (a)		1,919		71,195
Bloomin’ Brands, Inc. (a)		4,303		107,059	��
Bob Evans Farms, Inc.		2,169		101,900
Body Central Corp. (a)		1,324		17,636
The Bon-Ton Stores, Inc. (b)		1,070		19,314
Bravo Brio Restaurant Group, Inc. (a)		1,524		27,158
Brown Shoe Co., Inc.		3,365		72,448
The Buckle, Inc. (b)		2,173		113,039
Buffalo Wild Wings, Inc. (a)		1,459		143,215
Carrols Restaurant Group, Inc. (a)		1,844		11,912
Casey’s General Stores, Inc.		2,982		179,397
Cash America International, Inc.		2,220		100,921
The Cato Corp. Class A		2,142		53,464
CEC Entertainment, Inc.		1,383		56,758

	Number of Shares		Value
The Cheesecake Factory, Inc.		4,148	$	173,760
The Children’s Place Retail Store, Inc. (a)		1,798		98,530
Christopher & Banks Corp. (a)		2,829		19,067
Chuy’s Holdings, Inc. (a)		1,263		48,423
Citi Trends, Inc. (a)		1,233		17,915
Columbia Sportswear Co. (b)		1,005		62,963
Conn’s, Inc. (a) (b)		1,746		90,373
Cracker Barrel Old Country Store, Inc.		1,527		144,546
Del Frisco’s Restaurant Group, Inc. (a)		833		17,835
Denny’s Corp. (a)		7,146		40,161
Destination Maternity Corp.		1,041		25,609
Destination XL Group, Inc. (a)		3,287		20,840
DineEquity, Inc.		1,287		88,636
Diversified Restaurant Holdings, Inc. (a)		837		6,663
Einstein Noah Restaurant Group, Inc.		486		6,901
Express, Inc. (a)		6,640		139,241
EZCORP, Inc. Class A (a)		3,971		67,030
Fiesta Restaurant Group, Inc. (a)		1,543		53,064
The Finish Line, Inc. Class A		3,831		83,746
First Cash Financial Services, Inc. (a)		2,270		111,707
Five Below, Inc. (a) (b)		2,551		93,775
Francesca’s Holdings Corp. (a)		3,425		95,181
Fred’s, Inc. Class A		2,857		44,255
Genesco, Inc. (a)		1,868		125,137
Gordmans Stores, Inc. (a)		692		9,418
Group 1 Automotive, Inc.		1,692		108,846
Haverty Furniture Cos., Inc.		1,535		35,320
hhgregg, Inc. (a) (b)		999		15,954
Hibbett Sports, Inc. (a) (b)		2,022		112,221
HSN, Inc.		2,630		141,284
Ignite Restaurant Group, Inc. (a)		561		10,586
Jack in the Box, Inc. (a)		3,461		135,983
Jamba, Inc. (a)		1,322		19,737
Jos. A. Bank Clothiers, Inc. (a)		2,175		89,871
Kirkland’s, Inc. (a)		1,085		18,716
Krispy Kreme Doughnuts, Inc. (a)		5,094		88,890
Lithia Motors, Inc. Class A		1,727		92,066
Luby’s, Inc. (a)		1,503		12,700
Lumber Liquidators Holdings, Inc. (a) (b)		2,137		166,408
MarineMax, Inc. (a)		1,818		20,598
Mattress Firm Holding Corp. (a) (b)		1,045		42,114
The Men’s Wearhouse, Inc.		3,911		148,031
Nathan’s Famous, Inc. (a)		207		10,816
New York & Co., Inc. (a)		2,298		14,592
Office Depot, Inc. (a) (b)		19,144		74,087
OfficeMax, Inc.		6,770		69,257
Pacific Sunwear of California, Inc. (a)		3,597		13,129
The Pantry, Inc. (a)		1,834		22,338
Papa John’s International, Inc. (a)		1,246		81,451
PC Connection, Inc.		733		11,325
Penske Auto Group, Inc.		3,286		100,354

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

101

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
The PEP Boys-Manny, Moe & Jack (a)		4,127	$	47,791
Pier 1 Imports, Inc.		7,373		173,192
PriceSmart, Inc.		1,468		128,641
RadioShack Corp. (b)		7,757		24,512
Red Robin Gourmet Burgers, Inc. (a)		1,102		60,808
Regis Corp.		3,693		60,639
Restoration Hardware Holdings, Inc. (a)		1,376		103,200
Rite Aid Corp. (a) (b)		56,805		162,462
Roundy’s, Inc. (b)		1,961		16,335
Ruby Tuesday, Inc. (a)		4,743		43,778
Rue21, Inc. (a)		1,141		47,477
Rush Enterprises, Inc. Class A (a)		2,701		66,850
Ruth’s Hospitality Group, Inc.		2,753		33,229
Saks, Inc. (a) (b)		8,121		110,770
Sears Hometown & Outlet Stores, Inc. (a)		673		29,424
Select Comfort Corp. (a)		4,329		108,485
Shoe Carnival, Inc.		1,159		27,828
Sonic Automotive, Inc. Class A		3,032		64,096
Sonic Corp. (a)		4,371		63,642
Stage Stores, Inc.		2,545		59,808
Stein Mart, Inc.		2,153		29,388
Susser Holdings Corp. (a)		1,404		67,224
Systemax, Inc.		837		7,876
Texas Roadhouse, Inc.		4,856		121,497
Tile Shop Holdings, Inc. (a)		1,436		41,587
Tilly’s, Inc. (a)		763		12,208
Titan Machinery, Inc. (a) (b)		1,318		25,872
Trans World Entertainment Corp.		826		4,014
Tuesday Morning Corp. (a)		3,303		34,252
Vera Bradley, Inc. (a) (b)		1,684		36,475
Vitamin Shoppe, Inc. (a)		2,353		105,509
West Marine, Inc. (a)		1,321		14,531
The Wet Seal, Inc. Class A (a)		6,981		32,881
Winmark Corp.		170		11,028
Zale Corp. (a)		2,527		22,996
Zumiez, Inc. (a)		1,642		47,208
				6,993,818
Storage & Warehousing — 0.1%
Mobile Mini, Inc. (a)		2,984		98,920
Wesco Aircraft Holdings, Inc. (a)		3,204		59,498
				158,418
Textiles — 0.2%
Culp, Inc.		636		11,060
G&K Services, Inc. Class A		1,526		72,637
UniFirst Corp.		1,139		103,934
				187,631
Toys, Games & Hobbies — 0.1%
JAKKS Pacific, Inc. (b)		1,494		16,807

	Number of Shares		Value
LeapFrog Enterprises, Inc. (a) (b)		4,957	$	48,777
				65,584
				15,270,937
Consumer, Non-cyclical — 19.1%
Agriculture — 0.3%
Alico, Inc.		225		9,025
Alliance One International, Inc. (a)		6,817		25,904
Griffin Land & Nurseries, Inc.		206		5,875
Limoneira Co.		758		15,713
Star Scientific, Inc. (a) (b)		12,956		18,009
Tejon Ranch Co. (a)		1,063		30,285
The Andersons, Inc.		1,456		77,445
Universal Corp. (b)		1,815		104,998
Vector Group Ltd. (b)		4,677		75,861
				363,115
Beverages — 0.2%
The Boston Beer Co., Inc. Class A (a) (b)		641		109,380
Coca-Cola Bottling Co. Consolidated		362		22,137
Craft Brew Alliance, Inc. (a)		830		6,839
Farmer Bros Co. (a)		486		6,833
National Beverage Corp.		898		15,688
				160,877
Biotechnology — 2.0%
Acorda Therapeutics, Inc. (a)		3,157		104,149
Aegerion Pharmaceuticals, Inc. (a)		2,235		141,565
Affymetrix, Inc. (a) (b)		5,535		24,575
AMAG Pharmaceuticals, Inc. (a)		1,660		36,935
Arena Pharmaceuticals, Inc. (a) (b)		16,944		130,469
Arqule, Inc. (a)		4,725		10,962
Astex Pharmaceuticals (a)		7,289		29,958
Avant Immunotherapeutics, Inc. (a)		6,293		98,234
AVEO Pharmaceuticals, Inc. (a)		4,045		10,112
Biotime, Inc. (a) (b)		2,877		11,393
Cambrex Corp. (a)		2,307		32,229
Cell Therapeutics, Inc. (a)		8,780		9,219
Chelsea Therapeutics International Ltd. (a)		5,225		12,017
Coronado Biosciences, Inc. (a) (b)		1,719		14,783
CryoLife, Inc.		2,171		13,590
Curis, Inc. (a) (b)		6,239		19,902
Cytokinetics, Inc. (a)		1,928		22,307
Dendreon Corp. (a) (b)		12,152		50,066
Dynavax Technologies Corp. (a) (b)		14,717		16,189
Enzon Pharmaceuticals, Inc.		2,846		5,692
Epizyme, Inc. (a)		461		12,968
Exact Sciences Corp. (a)		4,988		69,383
Exelixis, Inc. (a) (b)		14,312		64,976
Fibrocell Science, Inc. (a)		1,315		8,048
Galena Biopharma, Inc. (a)		6,506		14,443
Geron Corp. (a) (b)		10,054		15,081

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

102

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
GTx, Inc. (a)		1,993	$	13,154
Halozyme Therapeutics, Inc. (a) (b)		6,913		54,889
Harvard Bioscience, Inc. (a)		2,022		9,564
Immunogen, Inc. (a) (b)		6,579		109,146
Immunomedics, Inc. (a) (b)		5,707		31,046
Insmed, Inc. (a)		2,200		26,312
Integra LifeSciences Holdings (a)		1,558		57,070
Intercept Pharmaceuticals, Inc. (a)		489		21,927
InterMune, Inc. (a) (b)		6,355		61,135
Ironwood Pharmaceuticals, Inc. (a) (b)		7,242		72,058
KYTHERA Biopharmaceuticals, Inc. (a) (b)		794		21,478
Lexicon Pharmaceuticals, Inc. (a)		17,700		38,409
Ligand Pharmaceuticals, Inc. (a)		1,390		52,014
MEI Pharma, Inc. (a)		750		5,347
Merrimack Pharmaceuticals, Inc. (a)		7,072		47,595
Momenta Pharmaceuticals, Inc. (a)		3,667		55,225
Nanosphere, Inc. (a)		3,274		10,051
NeoGenomics, Inc. (a)		2,561		10,193
NewLink Genetics Corp. (a) (b)		1,310		25,833
Novavax, Inc. (a) (b)		10,731		21,999
NPS Pharmaceuticals, Inc. (a)		7,808		117,901
Omeros Corp. (a) (b)		2,414		12,167
OncoGenex Pharmaceutical, Inc. (a)		1,130		11,074
OvaScience, Inc. (a)		700		9,611
Pacific Biosciences of California, Inc. (a)		3,334		8,402
PDL BioPharma, Inc. (b)		10,911		84,233
Peregrine Pharmaceuticals, Inc. (a)		10,676		13,772
Prothena Corp. PLC (a)		925		11,942
Puma Biotechnology, Inc. (a)		1,723		76,449
Repligen Corp. (a)		2,494		20,551
RTI Biologics, Inc. (a)		4,496		16,905
Sangamo Biosciences, Inc. (a) (b)		4,171		32,575
Sequenom, Inc. (a) (b)		8,960		37,722
Spectrum Pharmaceuticals, Inc. (b)		4,675		34,875
Stemline Therapeutics, Inc. (a)		712		16,974
Sunesis Pharmaceuticals, Inc. (a)		2,522		13,140
Trius Therapeutics, Inc. (a) (b)		2,900		23,548
Verastem, Inc. (a)		1,125		15,615
Vical, Inc. (a) (b)		5,920		18,530
XOMA Corp. (a) (b)		4,883		17,725
ZIOPHARM Oncology, Inc. (a) (b)		4,971		10,439
				2,327,840
Commercial Services — 5.8%
ABM Industries, Inc.		4,241		103,947
Accretive Health, Inc. (a) (b)		4,613		49,867
The Advisory Board Co. (a)		2,762		150,943
Albany Molecular Research, Inc. (a)		1,811		21,497
American Public Education, Inc. (a) (b)		1,369		50,872
AMN Healthcare Services, Inc. (a)		3,566		51,065
Arbitron, Inc.		2,086		96,895

	Number of Shares		Value
Barrett Business Services, Inc.		546	$	28,507
Bridgepoint Education, Inc. (a) (b)		1,458		17,758
Bright Horizons Family Solutions, Inc. (a)		922		32,003
Capella Education Co. (a)		860		35,819
Cardtronics, Inc. (a)		3,489		96,296
Career Education Corp. (a)		4,405		12,775
Carriage Services, Inc.		1,231		20,865
CBIZ, Inc. (a) (b)		2,954		19,821
CDI Corp.		1,121		15,873
Cenveo, Inc. (a) (b)		4,182		8,908
Chemed Corp. (b)		1,468		106,327
Consolidated Graphics, Inc. (a)		563		26,467
Convergys Corp.		8,170		142,403
Corinthian Colleges, Inc. (a)		6,043		13,536
The Corporate Executive Board Co.		2,613		165,194
Corvel Corp. (a)		890		26,050
CoStar Group, Inc. (a)		2,220		286,535
CRA International, Inc. (a)		805		14,868
Cross Country Healthcare, Inc. (a)		2,163		11,161
Deluxe Corp.		3,957		137,110
Education Management Corp. (a) (b)		1,864		10,476
Electro Rent Corp.		1,460		24,513
Euronet Worldwide, Inc. (a)		3,877		123,521
EVERTEC, Inc. (a)		2,295		50,421
ExamWorks Group, Inc. (a)		2,363		50,166
Exlservice Holdings, Inc. (a)		2,538		75,023
Forrester Research, Inc.		976		35,809
Franklin Covey Co. (a)		707		9,516
FTI Consulting, Inc. (a)		3,134		103,077
The Geo Group, Inc.		5,570		189,102
Global Cash Access Holdings, Inc. (a)		5,152		32,252
Grand Canyon Education, Inc. (a)		3,531		113,804
Great Lakes Dredge & Dock Co.		4,625		36,168
Green Dot Corp. Class A (a) (b)		2,008		40,060
H&E Equipment Services, Inc.		2,294		48,335
The Hackett Group, Inc.		2,022		10,494
Healthcare Services Group, Inc.		5,316		130,348
Heartland Payment Systems, Inc. (b)		2,826		105,269
Heidrick & Struggles International, Inc.		1,405		23,492
Hillenbrand, Inc.		4,271		101,265
HMS Holdings Corp. (a)		6,822		158,953
Huron Consulting Group, Inc. (a)		1,810		83,694
ICF International, Inc. (a)		1,533		48,305
Insperity, Inc.		1,745		52,874
Intersections, Inc. (b)		690		6,051
ITT Educational Services, Inc. (a)		1,817		44,335
JTH Holding, Inc. Class A (a)		356		5,785
K12, Inc. (a) (b)		2,132		56,008
Kelly Services, Inc. Class A		2,092		36,547
Kforce, Inc.		2,105		30,733
Korn/Ferry International (a)		3,768		70,612
Landauer, Inc.		742		35,846

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

103

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
LifeLock, Inc. (a) (b)		4,719	$	55,259
Lincoln Educational Services Corp.		1,865		9,829
Live Nation Entertainment, Inc. (a)		10,948		169,694
Mac-Gray Corp.		964		13,689
MAXIMUS, Inc.		2,657		197,893
McGrath RentCorp		1,971		67,329
Medifast, Inc. (a)		1,075		27,692
MoneyGram International, Inc. (a)		1,663		37,667
Monro Muffler Brake, Inc. (b)		2,432		116,858
Monster Worldwide, Inc. (a)		9,070		44,534
Multi-Color Corp.		954		28,944
National Research Corp. Class A (a)		764		13,752
Navigant Consulting, Inc. (a)		3,923		47,076
Odyssey Marine Exploration, Inc. (a) (b)		6,236		18,459
On Assignment, Inc. (a)		3,557		95,043
PAREXEL International Corp. (a)		4,423		203,193
Pendrell Corp. (a)		12,598		33,007
Performant Financial Corp. (a)		1,738		20,143
PHH Corp. (a)		4,443		90,548
PRG-Schultz International, Inc. (a)		2,245		12,325
Providence Service Corp. (a)		825		23,999
Quad/Graphics, Inc. (b)		1,945		46,875
Rent-A-Center, Inc. (b)		4,498		168,900
Resources Connection, Inc.		3,170		36,772
RPX Corp. (a)		2,520		42,336
ServiceSource International, Inc. (a)		4,751		44,279
Sotheby’s		5,310		201,302
Standard Parking Corp. (a)		1,198		25,709
Steiner Leisure Ltd. (a)		1,140		60,260
Stewart Enterprises, Inc. Class A		5,636		73,775
Strayer Education, Inc. (b)		841		41,066
Swisher Hygiene, Inc. (a) (b)		8,938		7,686
Team Health Holdings, Inc. (a)		5,344		219,478
Team, Inc. (a)		1,590		60,182
TeleTech Holdings, Inc. (a)		1,547		36,246
TMS International Corp.		1,121		16,624
Tree.com, Inc.		527		9,033
TrueBlue, Inc. (a)		3,164		66,602
Universal Technical Institute, Inc.		1,629		16,828
Valassis Communications, Inc. (b)		3,020		74,262
Viad Corp.		1,582		38,791
VistaPrint NV (a) (b)		2,540		125,400
WEX, Inc. (a)		3,018		231,481
Xoom Corp. (a) (b)		550		12,606
				6,669,642
Cosmetics & Personal Care — 0.1%
Elizabeth Arden, Inc. (a)		1,993		89,825
Inter Parfums, Inc.		1,277		36,420
Revlon, Inc. Class A (a)		886		19,545
				145,790

	Number of Shares		Value
Foods — 2.0%
Annie’s, Inc. (a) (b)		1,065	$	45,518
Arden Group, Inc. Class A		94		10,377
B&G Foods, Inc.		4,112		140,014
Boulder Brands, Inc. (a) (b)		4,629		55,779
Cal-Maine Foods, Inc.		1,159		53,905
Calavo Growers, Inc. (b)		961		26,130
The Chefs’ Warehouse, Inc. (a)		1,090		18,748
Chiquita Brands International, Inc. (a)		3,571		38,995
Diamond Foods, Inc. (a) (b)		1,711		35,503
Dole Food Co., Inc. (a)		3,995		50,936
Fairway Group Holdings Corp. (a)		1,222		29,536
Fresh Del Monte Produce, Inc.		2,945		82,107
Harris Teeter Supermarkets, Inc.		3,848		180,317
Ingles Markets, Inc. Class A		968		24,442
Inventure Foods, Inc. (a)		1,049		8,770
J&J Snack Foods Corp.		1,162		90,404
John B Sanfilippo & Son, Inc.		639		12,882
Lancaster Colony Corp.		1,439		112,228
Lifeway Foods, Inc. (b)		371		6,441
Nash Finch Co.		942		20,733
Pilgrim’s Pride Corp. (a)		4,714		70,427
Post Holdings, Inc. (a)		2,542		110,984
Sanderson Farms, Inc.		1,791		118,958
Seaboard Corp.		23		62,284
Seneca Foods Corp. Class A (a)		649		19,911
Snyders-Lance, Inc.		3,697		105,032
Spartan Stores, Inc.		1,695		31,256
SUPERVALU, Inc. (b)		15,792		98,226
The Hain Celestial Group, Inc. (a)		2,987		194,065
Tootsie Roll Industries, Inc. (b)		1,523		48,401
TreeHouse Foods, Inc. (a)		2,819		184,757
United Natural Foods, Inc. (a)		3,836		207,106
Village Super Market		494		16,346
Weis Markets, Inc.		857		38,625
				2,350,143
Health Care – Products — 3.0%
Abaxis, Inc.		1,710		81,242
ABIOMED, Inc. (a)		3,014		64,982
Accelerate Diagnostics, Inc. (a)		810		6,577
Accuray, Inc. (a) (b)		5,766		33,097
Alphatec Holdings, Inc. (a)		4,730		9,697
AngioDynamics, Inc. (a)		1,916		21,612
ArthroCare Corp. (a)		2,206		76,173
AtriCure, Inc. (a)		1,629		15,475
Atrion Corp.		122		26,683
Biolase Technology, Inc. (a)		2,470		8,843
Cantel Medical Corp.		1,695		57,410
Cardiovascular Systems, Inc. (a)		1,628		34,514
Cepheid, Inc. (a)		5,218		179,604
Cerus Corp. (a) (b)		5,425		23,978
CONMED Corp.		2,157		67,385

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

104

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Cutera, Inc. (a)		1,143	$	10,058
Cyberonics, Inc. (a)		2,150		111,714
Cynosure Inc. Class A (a)		1,491		38,740
Dexcom, Inc. (a)		5,479		123,004
Endologix, Inc. (a)		4,885		64,873
Exactech, Inc. (a)		741		14,635
The Female Health Co.		1,694		16,703
GenMark Diagnostics, Inc. (a)		2,266		23,430
Genomic Health, Inc. (a) (b)		1,295		41,064
Globus Medical, Inc. Class A (a) (b)		4,249		71,638
Haemonetics Corp. (a)		3,972		164,242
Hanger, Inc. (a)		2,689		85,053
HeartWare International, Inc. (a)		1,271		120,885
ICU Medical, Inc. (a)		1,014		73,069
Insulet Corp. (a)		4,172		131,043
Invacare Corp.		2,491		35,771
Luminex Corp. (a)		2,907		59,913
MAKO Surgical Corp. (a) (b)		3,271		39,416
Masimo Corp.		3,788		80,306
Medical Action Industries, Inc. (a)		1,132		8,716
Merge Healthcare, Inc. (a)		5,078		18,281
Meridian Bioscience, Inc. (b)		3,225		69,337
Merit Medical Systems, Inc. (a)		3,310		36,906
MiMedx Group, Inc. (a)		6,556		46,285
Natus Medical, Inc. (a)		2,349		32,064
Navidea Biopharmaceuticals, Inc. (a) (b)		9,305		24,844
NuVasive, Inc. (a)		3,446		85,426
NxStage Medical, Inc. (a)		4,646		66,345
OraSure Technologies, Inc. (a)		4,259		16,525
Orthofix International NV (a)		1,497		40,269
PhotoMedex, Inc. (a) (b)		1,092		17,406
Quidel Corp. (a) (b)		2,185		55,783
Rochester Medical Corp. (a)		850		12,521
Rockwell Medical Technologies, Inc. (a)		3,055		11,029
Solta Medical, Inc. (a)		5,496		12,531
Spectranetics Corp. (a)		3,140		58,655
Staar Surgical Co. (a)		2,817		28,593
Steris Corp.		4,585		196,605
SurModics, Inc. (a)		1,129		22,591
Symmetry Medical, Inc. (a)		2,860		24,081
TearLab Corp. (a)		1,990		21,134
Thoratec Corp. (a)		4,460		139,643
Tornier BV (a)		2,023		35,402
Unilife Corp. (a) (b)		7,074		22,425
Utah Medical Products, Inc.		267		14,498
Vascular Solutions, Inc. (a)		1,256		18,476
Volcano Corp. (a)		4,257		77,179
West Pharmaceutical Services, Inc.		2,689		188,929
Wright Medical Group, Inc. (a)		3,142		82,352
Zeltiq Aesthetics, Inc. (a) (b)		1,375		8,786
				3,506,446

	Number of Shares		Value
Health Care – Services — 1.6%
Acadia Healthcare Co., Inc. (a)		2,756	$	91,141
Addus HomeCare Corp. (a)		426		8,409
Air Methods Corp. (b)		3,025		102,487
Alliance HealthCare Services, Inc. (a)		388		6,068
Almost Family, Inc.		657		12,483
Amedisys, Inc. (a)		2,470		28,701
AmSurg Corp. (a)		2,489		87,364
Assisted Living Concepts, Inc.		1,513		18,095
Bio-Reference Laboratories, Inc. (a) (b)		1,903		54,711
Capital Senior Living Corp. (a)		2,247		53,703
Centene Corp. (a)		4,233		222,063
Emeritus Corp. (a)		3,137		72,716
The Ensign Group, Inc.		1,513		53,288
Five Star Quality Care, Inc. (a)		3,433		19,259
Gentiva Health Services, Inc. (a)		2,461		24,512
HealthSouth Corp. (a)		6,786		195,437
Healthways, Inc. (a)		2,651		46,074
The IPC Hospitalist Co. (a)		1,304		66,973
Kindred Healthcare, Inc. (a)		4,185		54,949
LHC Group, Inc. (a)		939		18,386
Magellan Health Services, Inc. (a)		2,106		118,105
Molina Healthcare, Inc. (a)		2,205		81,982
National Healthcare Corp.		833		39,817
Select Medical Holdings Corp.		3,786		31,045
Skilled Healthcare Group, Inc. Class A (a)		1,488		9,940
Triple-S Management Corp. Class B (a)		1,843		39,569
U.S. Physical Therapy, Inc.		944		26,092
Universal American Corp.		2,949		26,217
USMD Holdings, Inc. (a)		84		2,486
Vanguard Health Systems, Inc. (a)		2,620		54,339
Vocera Communications, Inc. (a)		1,640		24,108
WellCare Health Plans, Inc. (a)		3,381		187,815
				1,878,334
Household Products — 0.5%
Acco Brands Corp. (a)		8,833		56,178
American Greetings Corp. Class A		2,481		45,204
AT Cross Co. (a)		740		12,543
Blyth, Inc. (b)		724		10,107
Central Garden & Pet Co. Class A (a)		3,260		22,494
CSS Industries, Inc.		660		16,454
Ennis, Inc.		2,039		35,254
Helen of Troy Ltd. (a)		2,481		95,196
Prestige Brands Holdings, Inc. (a)		3,980		115,977
Spectrum Brands Holdings, Inc.		1,673		95,143
WD-40 Co.		1,204		65,594
				570,144

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

105

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Pharmaceuticals — 3.3%
Acadia Pharmaceuticals, Inc. (a)		5,452	$	98,954
AcelRx Pharmaceuticals, Inc. (a)		1,626		15,073
Achillion Pharmaceuticals, Inc. (a)		7,515		61,473
Akorn, Inc. (a)		4,538		61,354
Align Technology, Inc. (a)		5,689		210,721
Alimera Sciences, Inc. (a)		1,319		6,437
Alnylam Pharmaceuticals, Inc. (a)		4,523		140,258
Amicus Therapeutics, Inc. (a) (b)		2,150		5,010
Ampio Pharmaceuticals, Inc. (a) (b)		2,077		11,984
Anacor Pharmaceuticals, Inc. (a) (b)		1,973		11,029
Anika Therapeutics, Inc. (a)		936		15,912
Antares Pharma, Inc. (a) (b)		8,801		36,612
Array Biopharma, Inc. (a)		9,048		41,078
Auxilium Pharmaceuticals, Inc. (a)		3,858		64,159
AVANIR Pharmaceuticals, Inc. (a) (b)		11,291		51,939
BioDelivery Sciences International, Inc. (a) (b)		2,338		9,492
BioScrip, Inc. (a)		4,536		74,844
Cadence Pharmaceuticals, Inc. (a)		4,847		33,057
Cempra, Inc. (a)		1,156		9,051
ChemoCentryx, Inc. (a)		1,914		27,064
Chimerix, Inc. (a)		662		16,047
Clovis Oncology, Inc. (a)		1,082		72,472
Corcept Therapeutics, Inc. (a) (b)		3,979		6,884
Cornerstone Therapeutics, Inc. (a)		685		5,480
Cytori Therapeutics, Inc. (a)		4,996		11,491
DepoMed, Inc. (a)		4,347		24,387
Derma Sciences, Inc. (a) (b)		1,067		14,244
Durata Therapeutics, Inc. (a) (b)		965		6,948
Dyax Corp. (a)		8,503		29,420
Emergent Biosolutions, Inc. (a)		2,140		30,859
Enanta Pharmaceuticals, Inc. (a)		285		5,047
Endocyte, Inc. (a)		2,388		31,354
Furiex Pharmaceuticals, Inc. (a)		518		17,648
Hi-Tech Pharmacal Co., Inc.		866		28,751
Hyperion Therapeutics, Inc. (a) (b)		654		14,388
Idenix Pharmaceuticals, Inc. (a) (b)		7,765		28,032
Impax Laboratories, Inc. (a)		5,353		106,792
Infinity Pharmaceuticals, Inc. (a)		3,725		60,531
Insys Therapeutics, Inc. (a)		395		5,467
Isis Pharmaceuticals, Inc. (a) (b)		8,738		234,790
KaloBios Pharmaceuticals, Inc. (a)		662		3,747
Keryx Biopharmaceuticals, Inc. (a) (b)		6,359		47,502
Lannett Co., Inc. (a)		1,276		15,197
Lifevantage Corp. (a)		8,835		20,497
MannKind Corp. (a) (b)		11,573		75,225
The Medicines Co. (a)		4,357		134,021
Natural Grocers by Vitamin Cottage, Inc. (a) (b)		690		21,390
Nature’s Sunshine Products, Inc.		832		13,603
Nektar Therapeutics (a)		8,986		103,788
Neogen Corp. (a)		1,861		103,397

	Number of Shares		Value
Neurocrine Biosciences, Inc. (a)		5,195	$	69,509
Nutraceutical International Corp.		657		13,429
Omega Protein Corp. (a)		1,563		14,036
Omthera Pharmaceuticals, Inc. (a)		428		5,692
Opko Health, Inc. (a) (b)		11,065		78,562
Optimer Pharmaceuticals, Inc. (a) (b)		3,762		54,436
Orexigen Therapeutics, Inc. (a) (b)		7,368		43,103
Osiris Therapeutics, Inc. (a) (b)		1,292		13,010
Pacira Pharmaceuticals, Inc. (a)		2,145		62,205
Pernix Therapeutics Holdings (a)		1,365		4,928
PharMerica Corp. (a)		2,285		31,670
Portola Pharmaceuticals, Inc. (a)		755		18,550
Pozen, Inc. (a)		2,102		10,531
Progenics Pharmaceuticals, Inc. (a)		3,974		17,724
Questcor Pharmaceuticals, Inc.		4,036		183,477
Raptor Pharmaceutical Corp. (a) (b)		4,315		40,345
Receptos, Inc. (a)		451		8,970
Regulus Therapeutics, Inc. (a) (b)		698		6,847
Repros Therapeutics, Inc. (a) (b)		1,451		26,771
Rigel Pharmaceuticals, Inc. (a)		6,908		23,073
Sagent Pharmaceuticals, Inc. (a)		1,299		27,253
Santarus, Inc. (a)		4,313		90,789
Sarepta Therapeutics, Inc. (a)		2,483		94,478
SciClone Pharmaceuticals, Inc. (a)		4,213		20,897
SIGA Technologies, Inc. (a) (b)		2,858		8,117
Sucampo Pharmaceuticals, Inc. (a)		1,101		7,245
Supernus Pharmaceuticals, Inc. (a) (b)		1,160		7,459
Synageva BioPharma Corp. (a)		1,330		55,860
Synergy Pharmaceuticals, Inc. (a) (b)		6,270		27,086
Synta Pharmaceuticals Corp. (a) (b)		3,065		15,294
Synutra International, Inc. (a) (b)		1,347		6,856
Targacept, Inc. (a)		2,071		8,843
TESARO, Inc. (a)		1,041		34,082
Tetraphase Pharmaceuticals, Inc. (a)		901		6,334
TG Therapeutics, Inc. (a)		995		6,358
TherapeuticsMD, Inc. (a)		6,074		18,404
Threshold Pharmaceuticals, Inc. (a) (b)		3,669		19,299
USANA Health Sciences, Inc. (a) (b)		467		33,801
Vanda Pharmaceuticals, Inc. (a)		2,207		17,833
ViroPharma Inc (a)		5,081		145,571
VIVUS, Inc. (a) (b)		7,832		98,527
Xenoport, Inc. (a)		3,314		16,404
Zogenix, Inc. (a) (b)		5,582		9,545
				3,778,103
Textiles — 0.3%
Fifth & Pacific Cos., Inc. (a)		9,332		208,477
Tumi Holdings, Inc. (a)		3,724		89,376
				297,853
				22,048,287

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

106

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Diversified — 0.2%
Holding Company – Diversified — 0.2%
Harbinger Group, Inc. (a)		2,577	$	19,431
Horizon Pharma, Inc. (a) (b)		4,012		9,870
National Bank Holdings Corp. Class A		4,066		80,100
Primoris Services Corp.		2,749		54,210
Resource America, Inc.		893		7,590
				171,201
Energy — 5.0%
Coal — 0.3%
Alpha Natural Resources, Inc. (a)		17,180		90,023
Arch Coal, Inc. (b)		16,516		62,430
Cloud Peak Energy, Inc. (a)		4,735		78,033
Hallador Energy Co.		680		5,474
L&L Energy, Inc. (a)		2,341		8,381
SunCoke Energy, Inc. (a)		5,432		76,157
Walter Energy, Inc.		4,867		50,617
Westmoreland Coal Co. (a)		910		10,219
				381,334
Energy – Alternate Sources — 0.3%
Amyris, Inc. (a) (b)		2,115		6,112
Clean Energy Fuels Corp. (a) (b)		5,261		69,445
Enphase Energy, Inc. (a) (b)		1,243		9,608
FuelCell Energy, Inc. (a) (b)		11,950		15,177
FutureFuel Corp.		1,692		23,976
Green Plains Renewable Energy, Inc. (a)		1,935		25,774
Headwaters, Inc. (a)		5,689		50,291
Renewable Energy Group, Inc. (a)		1,646		23,423
REX American Resources Corp. (a)		426		12,256
Solazyme, Inc. (a) (b)		3,720		43,598
				279,660
Oil & Gas — 2.6%
Abraxas Petroleum Corp. (a) (b)		6,461		13,568
Adams Resources & Energy, Inc.		162		11,160
Alon USA Energy, Inc.		1,812		26,202
Apco Oil and Gas International, Inc. (a)		682		7,863
Approach Resources Inc. (a) (b)		2,715		66,708
Arabian American Development Co. (a)		1,596		13,885
Berry Petroleum Co. Class A		4,098		173,427
Bill Barrett Corp. (a) (b)		3,792		76,674
Bonanza Creek Energy, Inc. (a)		2,291		81,239
BPZ Resources, Inc. (a) (b)		9,178		16,429
Callon Petroleum Co. (a)		3,062		10,319
Carrizo Oil & Gas, Inc. (a)		3,158		89,466
Clayton Williams Energy, Inc. (a)		450		19,575
Comstock Resources, Inc.		3,758		59,113
Contango Oil & Gas Co.		1,001		33,784
Crimson Exploration, Inc. (a)		1,777		5,011
Delek US Holdings, Inc.		2,890		83,174
Diamondback Energy, Inc. (a)		1,388		46,248
Emerald Oil, Inc. (a)		2,846		19,524

	Number of Shares		Value
Endeavour International Corp. (a) (b)		3,663	$	14,066
Energy XXI (Bermuda) Ltd.		6,175		136,962
EPL Oil & Gas, Inc. (a)		2,326		68,291
Equal Energy Ltd.		2,779		11,227
Evolution Petroleum Corp. (a)		1,299		14,172
EXCO Resources, Inc.		10,560		80,678
Forest Oil Corp. (a)		9,170		37,505
FX Energy, Inc. (a) (b)		4,283		13,748
Gastar Exploration Ltd. (a)		4,869		13,000
Goodrich Petroleum Corp. (a) (b)		2,025		25,920
Halcon Resources Corp. (a) (b)		16,100		91,287
Hercules Offshore, Inc. (a)		12,408		87,352
Isramco, Inc. (a)		72		6,709
KiOR, Inc. Class A (a) (b)		3,415		19,500
Kodiak Oil & Gas Corp. (a)		20,655		183,623
Magnum Hunter Resources Corp. (a) (b)		13,376		48,822
Matador Resources Co. (a)		3,855		46,183
Midstates Petroleum Co., Inc. (a)		2,585		13,985
Miller Energy Resources, Inc. (a) (b)		2,425		9,700
Northern Oil and Gas, Inc. (a)		4,964		66,220
Panhandle Oil and Gas, Inc.		541		15,419
Parker Drilling Co. (a)		9,241		46,020
PDC Energy, Inc. (a)		2,361		121,544
Penn Virginia Corp.		4,354		20,464
PetroQuest Energy, Inc. (a)		4,444		17,598
Quicksilver Resources, Inc. (a) (b)		9,674		16,252
Resolute Energy Corp. (a)		5,270		42,055
Rex Energy Corp. (a)		3,519		61,864
Rosetta Resources, Inc. (a)		4,753		202,098
Sanchez Energy Corp. (a) (b)		2,213		50,811
SemGroup Corp. Class A		3,272		176,230
Stone Energy Corp. (a)		3,888		85,653
Swift Energy Co. (a)		3,364		40,334
Synergy Resources Corp. (a)		3,168		23,190
Triangle Petroleum Corp. (a)		3,515		24,640
VAALCO Energy, Inc. (a)		4,509		25,791
Vantage Drilling Co. (a) (b)		15,895		32,426
W&T Offshore, Inc.		2,696		38,526
Warren Resources, Inc. (a)		5,542		14,132
Western Refining, Inc.		4,213		118,259
ZaZa Energy Corp. (a) (b)		2,890		3,468
				3,019,093
Oil & Gas Services — 1.7%
Basic Energy Services, Inc. (a) (b)		2,305		27,868
Bolt Technology Corp.		654		11,170
C&J Energy Services, Inc. (a) (b)		3,520		68,182
Cal Dive International, Inc. (a) (b)		7,655		14,391
CARBO Ceramics, Inc.		1,540		103,842
Dawson Geophysical Co. (a)		618		22,780
Edgen Group, Inc. (a)		1,256		8,013
Exterran Holdings, Inc. (a)		4,482		126,034

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

107

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Flotek Industries, Inc. (a)		3,714	$	66,629
Forum Energy Technologies, Inc. (a) (b)		3,061		93,146
Geospace Technologies Corp. (a)		999		69,011
Global Geophysical Services, Inc. (a)		1,778		8,392
Gulf Island Fabrication, Inc.		1,119		21,429
Helix Energy Solutions Group, Inc. (a)		8,243		189,919
Hornbeck Offshore Services, Inc. (a)		2,784		148,944
ION Geophysical Corp. (a)		10,310		62,066
Key Energy Services, Inc. (a)		11,817		70,311
Lufkin Industries, Inc.		2,639		233,472
Matrix Service Co. (a)		2,053		31,986
Mitcham Industries, Inc. (a)		998		16,747
Natural Gas Services Group, Inc. (a)		943		22,151
Newpark Resources, Inc. (a)		6,705		73,688
Pioneer Energy Services Corp. (a)		4,833		31,995
SEACOR Holdings, Inc.		1,565		129,973
Targa Resources Corp.		2,560		164,685
Tesco Corp. (a)		2,357		31,230
TETRA Technologies, Inc. (a)		6,111		62,699
TGC Industries, Inc.		1,119		9,198
Thermon Group Holdings, Inc. (a)		2,109		43,024
Willbros Group, Inc. (a)		3,138		19,267
				1,982,242
Pipelines — 0.1%
Crosstex Energy, Inc.		3,705		73,211
				5,735,540
Financial — 21.7%
Banks — 6.6%
1st Source Corp.		1,160		27,562
1st United Bancorp, Inc.		2,337		15,705
Access National Corp.		538		6,983
American National Bankshares, Inc.		625		14,525
Ameris Bancorp (a)		1,859		31,324
Ames National Corp.		725		16,501
Arrow Financial Corp. (b)		830		20,542
BancFirst Corp.		560		26,068
Banco Latinoamericano de Comercio Exterior SA		2,297		51,430
Bancorp, Inc. (a)		2,546		38,165
BancorpSouth, Inc.		7,403		131,033
Bank Mutual Corp.		3,543		19,983
Bank of Kentucky Financial Corp.		470		13,367
Bank of Marin Bancorp		414		16,560
Bank of the Ozarks, Inc.		2,419		104,815
Banner Corp.		1,500		50,685
Bar Harbor Bankshares		301		11,002
BBCN Bancorp, Inc.		6,144		87,368
BNC Bancorp		1,427		16,296
Boston Private Financial Holdings, Inc.		6,243		66,426
Bridge Bancorp, Inc.		679		15,277

	Number of Shares		Value
Bridge Capital Holdings (a)		753	$	11,943
Bryn Mawr Bank Corp.		1,052		25,174
C&F Financial Corp.		248		13,821
Camden National Corp.		595		21,105
Capital Bank Financial Corp. (a)		1,930		36,651
Capital City Bank Group, Inc. (a)		970		11,184
Cardinal Financial Corp.		2,343		34,302
Cascade Bancorp (a)		450		2,795
Cass Information Systems, Inc.		801		36,926
Cathay General Bancorp		6,136		124,868
Center Bancorp, Inc.		918		11,649
Centerstate Banks, Inc.		2,344		20,346
Central Pacific Financial Corp. (a)		1,677		30,186
Century Bancorp, Inc. Class A		273		9,555
Chemical Financial Corp.		2,143		55,697
Chemung Financial Corp.		281		9,411
Citizens & Northern Corp.		978		18,895
City Holding Co.		1,219		47,480
CNB Financial Corp.		951		16,110
CoBiz Financial, Inc.		2,752		22,842
Columbia Banking System, Inc.		3,968		94,478
Community Bank System, Inc.		3,110		95,943
Community Trust Bancorp, Inc.		1,089		38,790
CommunityOne Bancorp (a)		774		6,277
ConnectOne Bancorp, Inc. (a)		132		4,058
Crescent Financial Bancshares, Inc. (a) (b)		937		4,104
CU Bancorp (a)		733		11,581
Customers Bancorp, Inc. (a)		1,554		25,252
CVB Financial Corp.		7,142		83,990
Eagle Bancorp, Inc. (a)		1,752		39,210
Enterprise Bancorp, Inc.		565		10,447
Enterprise Financial Services Corp.		1,411		22,520
F.N.B. Corp.		11,279		136,250
Farmers Capital Bank Corp. (a)		583		12,645
Fidelity Southern Corp. (a)		771		9,537
Financial Institutions, Inc.		1,075		19,791
First BanCorp (a) (b)		5,665		40,108
First Bancorp		1,533		21,615
First Bancorp, Inc.		770		13,460
First Busey Corp. Class A		5,641		25,384
First Commonwealth Financial Corp.		7,621		56,167
First Community Bancshares, Inc.		1,418		22,234
First Connecticut Bancorp, Inc.		1,300		18,096
First Financial Bancorp		4,501		67,065
First Financial Bankshares, Inc. (b)		2,453		136,534
First Financial Corp.		870		26,961
First Interstate Bancsystem, Inc.		1,341		27,799
First M&F Corp.		648		10,245
First Merchants Corp.		2,242		38,450
First Midwest Bancorp, Inc.		5,842		80,152
First NBC Bank Holding Co. (a)		324		7,906
The First of Long Island Corp.		618		20,511

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

108

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
First Security Group, Inc. (a)		4,857	$	10,540
FirstMerit Corp.		12,892		258,227
Franklin Financial Corp.		837		15,074
German American Bancorp Inc.		987		22,227
Glacier Bancorp, Inc.		5,603		124,331
Great Southern Bancorp, Inc.		802		21,622
Guaranty Bancorp		1,137		12,905
Hampton Roads Bankshares, Inc. (a)		2,626		3,388
Hancock Holding Co.		6,603		198,552
Hanmi Financial Corp. (a)		2,459		43,451
Heartland Financial USA, Inc.		1,170		32,163
Heritage Commerce Corp. (a)		1,609		11,263
Heritage Financial Corp.		1,180		17,287
Heritage Oaks Bancorp (a)		1,573		9,705
Home Bancshares, Inc.		3,514		91,259
Horizon Bancorp		679		13,858
Hudson Valley Holding Corp.		1,300		22,074
IBERIABANK Corp.		2,309		123,785
Independent Bank Corp.		1,778		61,341
Independent Bank Group, Inc. (a)		295		8,968
International Bancshares Corp.		4,152		93,752
Intervest Bancshares Corp. Class A (a)		1,395		9,319
Lakeland Bancorp, Inc.		2,350		24,510
Lakeland Financial Corp.		1,267		35,159
LCNB Corp.		472		10,554
Macatawa Bank Corp. (a)		1,848		9,314
MainSource Financial Group, Inc.		1,587		21,313
MB Financial, Inc.		4,262		114,222
Mercantile Bank Corp.		699		12,561
Merchants Bancshares, Inc.		447		13,218
Metro Bancorp, Inc. (a)		1,096		21,953
MetroCorp Bancshares, Inc.		1,255		12,249
Middleburg Financial Corp.		415		7,926
MidSouth Bancorp, Inc.		623		9,675
MidWestOne Financial Group, Inc.		546		13,137
National Bankshares, Inc.		541		19,222
National Penn Bancshares, Inc.		9,101		92,466
NBT Bancorp, Inc.		3,406		72,105
NewBridge Bancorp (a)		1,967		11,782
Northrim BanCorp, Inc.		528		12,772
Northwest Bancshares, Inc.		7,284		98,407
OFG Bancorp		3,628		65,703
Old National Bancorp		7,886		109,063
OmniAmerican Bancorp, Inc. (a)		894		19,695
Pacific Continental Corp.		1,416		16,709
PacWest Bancorp		2,938		90,050
Palmetto Bancshares, Inc. (a)		347		4,511
Park National Corp. (b)		895		61,567
Park Sterling Corp. (a)		3,483		20,585
Peapack Gladstone Financial Corp.		697		12,197
Penns Woods Bancorp, Inc.		309		12,935
Peoples Bancorp, Inc.		841		17,728
Pinnacle Financial Partners, Inc. (a)		2,724		70,034

	Number of Shares		Value
Preferred Bank (a)		928	$	15,293
PrivateBancorp, Inc.		5,049		107,089
Prosperity Bancshares, Inc.		4,686		242,688
Renasant Corp.		1,963		47,779
Republic Bancorp, Inc. Class A		759		16,637
S&T Bancorp, Inc.		2,320		45,472
Sandy Spring Bancorp, Inc.		1,942		41,986
SCBT Financial Corp. (b)		1,323		66,666
Seacoast Banking Corp. of Florida (a)		5,473		12,041
Sierra Bancorp		968		14,326
Simmons First National Corp. Class A		1,285		33,526
Southside Bancshares, Inc. (b)		1,389		33,169
Southwest Bancorp, Inc. (a)		1,499		19,787
State Bank Financial Corp.		2,479		37,259
StellarOne Corp.		1,767		34,722
Sterling Bancorp		2,409		27,993
Sterling Financial Corp.		2,643		62,851
Suffolk Bancorp (a)		901		14,722
Sun Bancorp, Inc. (a)		3,249		11,014
Susquehanna Bancshares, Inc.		14,503		186,364
SY Bancorp, Inc.		1,087		26,664
Taylor Capital Group, Inc. (a)		1,328		22,430
Texas Capital Bancshares, Inc. (a)		3,172		140,710
Tompkins Financial Corp.		1,124		50,794
TowneBank (b)		2,049		30,161
Trico Bancshares		1,246		26,577
Tristate Capital Holdings, Inc. (a)		511		7,026
Trustco Bank Corp.		7,314		39,788
Trustmark Corp.		5,223		128,381
UMB Financial Corp.		2,523		140,455
Umpqua Holdings Corp.		8,709		130,722
Union First Market Bankshares Corp.		1,566		32,244
United Bankshares, Inc. (b)		3,914		103,525
United Community Banks, Inc. (a)		3,330		41,359
Univest Corp. of Pennsylvania		1,299		24,772
Virginia Commerce Bancorp (a)		2,080		29,037
Walker & Dunlop, Inc. (a)		1,281		22,417
Washington Banking Co.		1,181		16,770
Washington Trust Bancorp, Inc.		1,122		31,999
Webster Financial Corp.		7,021		180,299
WesBanco, Inc.		2,004		52,966
West Bancorporation, Inc.		1,232		14,476
Westamerica Bancorp. (b)		2,097		95,812
Western Alliance Bancorp (a)		5,752		91,054
Wilshire Bancorp, Inc.		4,817		31,889
Wintrust Financial Corp.		2,877		110,132
Yadkin Financial Corp. (a)		1,120		15,725
				7,598,098
Diversified Financial — 2.2%
Altisource Residential Corp. (a)		1,950		32,545
BGC Partners, Inc. Class A		9,881		58,199
Blackhawk Network Holdings, Inc. (a)		894		20,741

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

109

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Calamos Asset Management, Inc. Class A		1,507	$	15,823
California First National Bancorp		150		2,475
CIFC Corp. (a)		570		4,304
Cohen & Steers, Inc. (b)		1,477		50,188
Consumer Portfolio Services, Inc. (a)		1,323		9,711
Cowen Group, Inc. (a)		7,594		22,023
Credit Acceptance Corp. (a)		553		58,093
DFC Global Corp. (a)		3,151		43,515
Diamond Hill Investment Group, Inc.		219		18,626
Doral Financial Corp. (a)		10,463		8,684
Ellie Mae, Inc. (a)		2,069		47,753
Encore Capital Group, Inc. (a) (b)		1,816		60,128
Evercore Partners, Inc. Class A		2,459		96,590
FBR & Co. (a)		681		17,202
Federal Agricultural Mortgage Corp. Class C		809		23,364
Financial Engines, Inc.		3,804		173,424
First Financial Northwest		1,334		13,754
The First Marblehead Corp. (a) (b)		7,109		8,389
FXCM, Inc. (b)		2,845		46,686
Gain Capital Holdings, Inc.		850		5,364
GAMCO Investors, Inc. Class A		469		25,987
GFI Group, Inc.		5,417		21,180
Greenhill & Co., Inc.		2,192		100,262
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (a)		1,147		13,626
Higher One Holdings, Inc. (a) (b)		2,439		28,390
Horizon Technology Finance Corp.		640		8,794
Imperial Holdings, Inc. (a)		1,344		9,206
INTL. FCStone, Inc. (a)		1,113		19,422
Investment Technology Group, Inc. (a)		2,894		40,458
Janus Capital Group, Inc.		11,602		98,733
JMP Group, Inc.		1,221		8,107
Knight Capital Group, Inc. Class A (a)		14,557		52,260
Ladenburg Thalmann Financial Services, Inc. (a)		7,844		12,943
Manning & Napier, Inc.		1,061		18,843
MarketAxess Holdings, Inc.		2,918		136,416
Marlin Business Services Corp.		645		14,693
National Financial Partners Corp. (a)		3,122		79,018
Nelnet, Inc. Class A		1,781		64,276
Netspend Holdings, Inc. (a)		2,733		43,646
NewStar Financial, Inc. (a)		2,043		27,213
Nicholas Financial, Inc.		780		11,794
Oppenheimer Holdings, Inc. Class A		765		14,566
Outerwall, Inc. (a)		2,187		128,311
PennyMac Financial Services, Inc. Class A (a)		995		21,164
Piper Jaffray Cos., Inc. (a)		1,343		42,452
Portfolio Recovery Associates, Inc. (a)		1,315		202,023
Pzena Investment Management, Inc. Class A		884		5,764

	Number of Shares		Value
Regional Management Corp. (a)		418	$	10,450
Stifel Financial Corp. (a)		4,944		176,352
SWS Group, Inc. (a)		2,276		12,404
Virtus Investment Partners, Inc. (a)		451		79,498
WageWorks, Inc. (a)		1,941		66,867
Westwood Holdings Group, Inc.		545		23,391
WhiteHorse Finance, Inc. (b)		504		7,938
WisdomTree Investments, Inc. (a)		7,815		90,420
World Acceptance Corp. (a) (b)		723		62,858
ZAIS Financial Corp.		427		7,759
				2,625,065
Insurance — 2.5%
Ambac Financial Group, Inc. (a)		3,501		83,429
American Equity Investment Life Holding Co.		4,968		77,998
American Safety Insurance Holdings Ltd. (a)		747		21,626
AMERISAFE, Inc.		1,429		46,285
AmTrust Financial Services, Inc. (b)		2,193		78,290
Argo Group International Holdings Ltd.		2,115		89,655
Baldwin & Lyons, Inc.		701		17,020
Citizens, Inc. (a) (b)		3,380		20,212
CNO Financial Group, Inc.		17,285		224,014
Crawford & Co. Class B		2,052		11,532
Donegal Group, Inc. Class A		578		8,075
Eastern Insurance Holdings, Inc.		504		9,450
eHealth, Inc. (a)		1,515		34,421
EMC Insurance Group, Inc.		345		9,060
Employers Holdings, Inc.		2,409		58,900
Enstar Group Ltd. (a)		741		98,538
FBL Financial Group, Inc. Class A		692		30,109
First American Financial Corp.		8,417		185,511
Fortegra Financial Corp. (a)		444		3,050
Global Indemnity PLC (a)		732		17,239
Greenlight Capital Re Ltd. Class A (a)		2,195		53,843
Hallmark Financial Services, Inc. (a)		1,070		9,780
HCI Group, Inc.		671		20,613
Health Insurance Innovations, Inc. (a)		335		3,524
Horace Mann Educators Corp.		3,089		75,310
Independence Holding Co.		615		7,269
Infinity Property & Casualty Corp.		897		53,605
Investors Title Co.		97		6,881
Kansas City Life Insurance Co.		303		11,596
Maiden Holdings Ltd.		3,879		43,522
Meadowbrook Insurance Group, Inc.		3,885		31,196
MGIC Investment Corp. (a)		25,204		152,988
Montpelier Re Holdings Ltd.		3,601		90,061
National Interstate Corp.		519		15,181
National Western Life Insurance Co. Class A		170		32,274
The Navigators Group, Inc. (a)		815		46,488

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

110

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
OneBeacon Insurance Group Ltd. Class A		1,763	$	25,528
The Phoenix Cos., Inc. (a)		445		19,135
Platinum Underwriters Holdings Ltd.		2,471		141,391
Primerica, Inc.		4,433		165,971
Radian Group, Inc.		13,448		156,266
RLI Corp.		1,655		126,458
Safety Insurance Group, Inc.		1,013		49,141
Selective Insurance Group, Inc.		4,321		99,469
State Auto Financial Corp. Class A		1,187		21,568
Stewart Information Services Corp.		1,658		43,423
Symetra Financial Corp.		6,339		101,361
Tower Group International Ltd.		4,468		91,639
United Fire Group, Inc.		1,594		39,579
Universal Insurance Holdings, Inc.		2,287		16,192
				2,875,666
Investment Companies — 1.2%
Apollo Investment Corp.		17,477		135,272
Arlington Asset Investment Corp.		1,246		33,318
BlackRock Kelso Capital Corp. (b)		5,754		53,857
Capital Southwest Corp.		262		36,111
Fifth Street Finance Corp.		9,384		98,063
Garrison Capital, Inc.		468		7,217
Gladstone Capital Corp.		1,638		13,382
Gladstone Investment Corp.		2,088		15,347
Golub Capital BDC, Inc. (b)		2,694		47,145
Hercules Technology Growth Capital, Inc.		4,787		66,731
Home Loan Servicing Solutions Ltd.		4,423		106,019
KCAP Financial, Inc. (b)		2,202		24,795
Main Street Capital Corp. (b)		2,704		74,874
MCG Capital Corp.		5,537		28,848
Medallion Financial Corp.		1,423		19,794
MVC Capital, Inc.		1,853		23,329
New Mountain Finance Corp. (b)		2,436		34,494
NGP Capital Resources Co.		1,564		9,587
PennantPark Floating Rate Capital Ltd.		802		11,340
PennantPark Investment Corp.		5,150		56,907
Prospect Capital Corp. (b)		18,905		204,174
Solar Capital Ltd.		3,497		80,746
Solar Senior Capital Ltd.		877		16,146
Stellus Capital Investment Corp. (b)		936		14,087
TCP Capital Corp.		2,019		33,859
THL Credit, Inc.		2,047		31,094
TICC Capital Corp. (b)		4,070		39,153
Triangle Capital Corp.		2,139		58,844
				1,374,533
Real Estate — 0.4%
Alexander & Baldwin, Inc. (a)		3,349		133,123
AV Homes, Inc. (a)		735		13,032
Consolidated-Tomoka Land Co.		456		17,401
Forestar Real Esate Group, Inc. (a)		2,696		54,082

	Number of Shares		Value
HFF, Inc.		2,563	$	45,544
Hilltop Holdings Inc. (a)		4,828		79,179
Kennedy-Wilson Holdings, Inc.		4,077		67,841
Terreno Realty Corp.		1,479		27,406
Thomas Properties Group, Inc.		2,349		12,450
				450,058
Real Estate Investment Trusts (REITS) — 7.5%
Acadia Realty Trust		4,280		105,673
AG Mortgage Investment Trust, Inc.		2,156		40,554
Agree Realty Corp.		1,016		29,992
Alexander’s, Inc.		163		47,875
American Assets Trust, Inc.		2,606		80,421
American Capital Mortgage Investment Corp.		4,589		82,464
American Realty Capital Properties, Inc. (b)		11,983		182,861
American Residential Properties, Inc. (a) (b)		1,155		19,866
AmREIT, Inc. Class B		1,260		24,368
Anworth Mortgage Asset Corp.		11,276		63,146
Apollo Commercial Real Estate Finance, Inc.		2,872		45,607
Apollo Residential Mortgage, Inc.		2,481		40,887
Ares Commercial Real Estate Corp.		542		6,943
Armada Hoffler Properties, Inc.		1,480		17,434
ARMOUR Residential REIT, Inc. (b)		29,108		137,099
Ashford Hospitality Trust		4,054		46,418
Associated Estates Realty Corp. (b)		3,891		62,567
Aviv REIT, Inc.		895		22,635
Campus Crest Communities, Inc.		5,024		57,977
CapLease, Inc.		6,913		58,346
Capstead Mortgage Corp.		7,436		89,976
Cedar Realty Trust, Inc.		5,633		29,179
Chambers Street Properties		19,362		193,620
Chatham Lodging Trust		1,345		23,107
Chesapeake Lodging Trust		3,779		78,565
Colonial Properties Trust		6,895		166,307
Colony Financial, Inc.		5,027		99,987
Coresite Realty Corp.		1,606		51,087
Cousins Properties, Inc.		8,338		84,214
CubeSmart		10,364		165,617
CYS Investments, Inc.		13,585		125,118
DCT Industrial Trust Inc.		22,616		161,704
DiamondRock Hospitality Co.		15,203		141,692
DuPont Fabros Technology, Inc. (b)		4,855		117,248
Dynex Capital, Inc. (b)		4,270		43,511
Eastgroup Properties		2,353		132,403
Education Realty Trust, Inc.		8,871		90,750
Ellington Residential Mortgage REIT		503		8,979
EPR Properties		3,659		183,938
Equity One, Inc.		4,679		105,886
Excel Trust, Inc.		3,752		48,063
FelCor Lodging Trust, Inc. (a)		9,658		57,079

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

111

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
First Industrial Realty Trust, Inc.		8,361	$	126,836
First Potomac Realty Trust		4,607		60,167
Franklin Street Properties Corp.		6,984		92,189
Getty Realty Corp.		1,991		41,114
Gladstone Commercial Corp. (b)		980		18,267
Glimcher Realty Trust		11,242		122,763
Government Properties Income Trust		4,252		107,235
Gramercy Property Trust, Inc. (a)		4,623		20,804
Healthcare Realty Trust, Inc.		7,031		179,290
Hersha Hospitality Trust		15,760		88,886
Highwoods Properties, Inc.		6,388		227,477
Hudson Pacific Properties, Inc.		3,371		71,735
Inland Real Estate Corp.		6,639		67,851
Invesco Mortgage Capital, Inc.		10,520		174,211
Investors Real Estate Trust		7,836		67,390
iStar Financial, Inc. (a)		6,621		74,751
JAVELIN Mortgage Investment Corp.		1,040		14,654
Kite Realty Group Trust		7,123		42,952
LaSalle Hotel Properties		7,430		183,521
Lexington Realty Trust (b)		13,128		153,335
LTC Properties, Inc.		2,703		105,552
Medical Properties Trust, Inc.		11,675		167,186
Monmouth Real Estate Investment Corp. Class A		3,318		32,749
MPG Office Trust, Inc. (a)		4,462		14,011
National Health Investors, Inc.		1,914		114,572
New Residential Investment Corp.		19,684		132,670
New York Mortgage Trust, Inc. (b)		4,938		33,430
NorthStar Realty Finance Corp. (b)		15,462		140,704
One Liberty Properties, Inc.		897		19,698
Parkway Properties, Inc.		3,390		56,816
Pebblebrook Hotel Trust		4,776		123,460
Pennsylvania Real Estate Investment Trust		5,292		99,913
PennyMac Mortgage Investment Trust		4,590		96,620
PS Business Parks, Inc.		1,419		102,409
RAIT Financial Trust		5,440		40,909
Ramco-Gershenson Properties Trust		4,645		72,137
Redwood Trust, Inc.		6,390		108,630
Resource Capital Corp.		9,906		60,922
Retail Opportunity Investments Corp.		5,169		71,849
RLJ Lodging Trust		9,618		216,309
Rouse Properties, Inc. (b)		1,718		33,707
Ryman Hospitality Properties, Inc. (b)		3,432		133,882
Sabra Health Care REIT, Inc.		2,906		75,876
Saul Centers, Inc.		617		27,432
Select, Inc. REIT		1,343		37,658
Silver Bay Realty Trust Corp. (b)		1,186		19,640
Sovran Self Storage, Inc.		2,442		158,217
Spirit Realty Capital, Inc.		4,481		79,403
STAG Industrial, Inc.		3,256		64,957
Strategic Hotels & Resorts, Inc. (a)		14,103		124,953
Summit Hotel Properties, Inc.		5,131		48,488

	Number of Shares		Value
Sun Communities, Inc.		2,789	$	138,781
Sunstone Hotel Investors, Inc. (a)		12,665		152,993
UMH Properties, Inc.		1,181		12,129
Universal Health Realty Income Trust		923		39,809
Urstadt Biddle Properties, Inc. Class A		1,939		39,110
Walter Investment Management Corp. (a)		2,857		96,595
Washington Real Estate Investment Trust		5,171		139,152
Western Asset Mortgage Capital Corp. (b)		1,894		33,069
Whitestone REIT (b)		1,330		20,961
Winthrop Realty Trust		2,265		27,248
Zillow, Inc. Class A (a) (b)		1,620		91,206
				8,712,403
Savings & Loans — 1.2%
Astoria Financial Corp.		6,859		73,940
BankFinancial Corp.		1,681		14,289
BBX Capital Corp. (a)		562		7,255
Beneficial Mutual Bancorp, Inc. (a)		2,483		20,857
Berkshire Hills Bancorp, Inc.		1,937		53,771
BofI Holding, Inc. (a)		941		43,117
Brookline Bancorp, Inc.		5,449		47,297
Capitol Federal Financial, Inc.		11,549		140,205
Charter Financial Corp.		1,767		17,811
Clifton Savings Bancorp, Inc.		664		7,868
Dime Community Bancshares, Inc.		2,498		38,269
ESB Financial Corp.		965		11,705
ESSA Bancorp, Inc.		700		7,672
EverBank Financial Corp.		6,260		103,666
First Defiance Financial Corp.		757		17,070
First Federal Bancshares of Arkansas, Inc. (a)		274		2,165
First Financial Holdings, Inc.		1,277		27,085
First Pactrust Bancorp, Inc.		835		11,339
Flagstar Bancorp, Inc. (a)		1,545		21,568
Flushing Financial Corp.		2,394		39,381
Fox Chase Bancorp, Inc.		976		16,592
Hingham Institution for Savings		102		6,924
Home Bancorp Inc. (a)		505		9,343
Home Federal Bancorp, Inc.		1,127		14,358
HomeStreet, Inc.		1,008		21,622
HomeTrust Bancshares, Inc. (a)		1,622		27,509
Investors Bancorp, Inc.		3,620		76,310
Kearny Financial Corp. (a)		1,104		11,581
Meridian Interstate Bancorp, Inc. (a)		672		12,654
Meta Financial Group, Inc.		427		11,222
NASB Financial, Inc. (a)		326		8,531
Northfield Bancorp, Inc.		4,521		52,986
OceanFirst Financial Corp.		1,051		16,343
Oritani Financial Corp.		3,526		55,288
Pacific Premier Bancorp, Inc. (a)		1,203		14,701
Provident Financial Holdings, Inc.		698		11,084

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

112

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Provident Financial Services, Inc.		4,633	$	73,109
Provident New York Bancorp (b)		3,450		32,223
Rockville Financial, Inc.		2,133		27,900
Roma Financial Corp.		562		10,206
Territorial Bancorp, Inc.		828		18,721
United Community Financial Corp. (a)		3,082		14,331
United Financial Bancorp, Inc.		1,552		23,513
ViewPoint Financial Group		3,108		64,677
Waterstone Financial, Inc. (a)		612		6,218
Westfield Financial, Inc.		1,493		10,451
WSFS Financial Corp.		606		31,748
				1,386,475
Venture Capital — 0.1%
Fidus Investment Corp.		1,055		19,739
GSV Capital Corp. (a) (b)		1,544		12,136
Medley Capital Corp.		2,235		30,351
				62,226
				25,084,524
Industrial — 13.2%
Aerospace & Defense — 1.3%
AAR Corp.		3,092		67,962
Aerovironment, Inc. (a)		1,441		29,079
API Technologies Corp. (a)		2,517		7,048
Astronics Corp. (a)		980		40,053
Cubic Corp.		1,543		74,218
Curtiss-Wright Corp.		3,641		134,935
Ducommun, Inc. (a)		826		17,561
Erickson Air-Crane, Inc. (a)		294		5,530
Esterline Technologies Corp. (a)		2,433		175,881
GenCorp, Inc. (a) (b)		4,699		76,406
HEICO Corp.		4,129		207,978
Innovative Solutions & Support, Inc.		980		6,272
Kaman Corp.		2,107		72,818
Kratos Defense & Security Solutions, Inc. (a)		3,421		22,168
LMI Aerospace, Inc. (a)		808		15,142
M/A-COM Technology Solutions Holdings, Inc. (a)		821		11,987
Moog, Inc. Class A (a)		3,525		181,643
Orbital Sciences Corp. (a)		4,661		80,962
Teledyne Technologies, Inc. (a)		2,906		224,779
				1,452,422
Building Materials — 1.0%
AAON, Inc.		1,452		48,032
Apogee Enterprises, Inc.		2,257		54,168
Boise Cascade Co. (a)		1,052		26,731
Builders FirstSource, Inc. (a)		3,474		20,775
Comfort Systems USA, Inc.		2,899		43,253
Drew Industries, Inc.		1,781		70,029
Gibraltar Industries, Inc. (a)		2,388		34,769

	Number of Shares		Value
Louisiana-Pacific Corp. (a)		10,842	$	160,353
LSI Industries, Inc.		1,717		13,891
NCI Building Systems, Inc. (a)		1,610		24,617
Nortek, Inc. (a)		700		45,101
Patrick Industries, Inc. (a)		519		10,790
PGT, Inc. (a)		2,582		22,386
Ply Gem Holdings, Inc. (a)		1,228		24,634
Quanex Building Products Corp.		2,883		48,550
Simpson Manufacturing Co., Inc.		3,152		92,732
Texas Industries, Inc. (a) (b)		1,693		110,282
Trex Co., Inc. (a)		1,337		63,494
Universal Forest Products, Inc.		1,546		61,716
US Concrete, Inc. (a)		1,048		17,208
USG Corp. (a) (b)		5,965		137,493
				1,131,004
Commercial Services — 0.1%
Exponent, Inc.		1,025		60,588
Computers — 0.0%
Furmanite Corp. (a)		2,876		19,240
Electrical Components & Equipment — 1.2%
Advanced Energy Industries, Inc. (a)		3,053		53,153
American Superconductor Corp. (a) (b)		3,471		9,163
Belden, Inc.		3,426		171,060
Capstone Turbine Corp. (a) (b)		23,702		27,731
Coleman Cable, Inc.		650		11,739
Encore Wire Corp.		1,608		54,833
EnerSys		3,743		183,557
Generac Holdings, Inc.		4,010		148,410
General Cable Corp.		3,872		119,064
GrafTech International Ltd. (a)		9,090		66,175
Graham Corp.		795		23,874
Greatbatch, Inc. (a)		1,858		60,924
Insteel Industries, Inc.		1,426		24,984
Littelfuse, Inc.		1,719		128,255
Powell Industries, Inc. (a)		713		36,826
Power-One, Inc. (a)		5,195		32,832
PowerSecure International Inc. (a)		1,476		22,184
Revolution Lighting Technologies, Inc. (a)		2,308		9,232
SunPower Corp. (a) (b)		3,231		66,882
Universal Display Corp. (a) (b)		3,129		87,956
Vicor Corp. (a)		1,416		9,700
				1,348,534
Electronics — 2.0%
American Science & Engineering, Inc.		635		35,560
Analogic Corp.		952		69,334
Badger Meter, Inc.		1,117		49,762
Bel Fuse, Inc. Class B		753		10,128
Benchmark Electronics, Inc. (a)		4,227		84,963
Brady Corp. Class A		3,593		110,413
Checkpoint Systems, Inc. (a)		3,191		45,280

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

113

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Coherent, Inc.		1,895	$	104,358
CTS Corp.		2,608		35,573
Daktronics, Inc.		2,888		29,631
Electro Scientific Industries, Inc.		1,830		19,691
Fabrinet (a)		2,205		30,870
Faro Technologies, Inc. (a)		1,330		44,981
FEI Co.		2,999		218,897
Fluidigm Corp. (a)		1,959		34,204
II-VI, Inc. (a)		3,972		64,585
InvenSense, Inc. (a) (b)		4,415		67,903
Itron, Inc. (a)		3,075		130,472
Kemet Corp. (a)		3,428		14,089
Measurement Specialties, Inc. (a)		1,206		56,115
Mesa Laboratories, Inc.		211		11,421
Methode Electronics, Inc.		2,883		49,040
Multi-Fineline Electronix, Inc. (a)		654		9,686
Newport Corp. (a)		3,005		41,860
NVE Corp. (a)		388		18,166
OSI Systems, Inc. (a)		1,551		99,915
Park Electrochemical Corp.		1,620		38,896
Plexus Corp. (a)		2,652		79,268
Rofin-Sinar Technologies, Inc. (a)		2,199		54,843
Rogers Corp. (a)		1,328		62,841
Sanmina Corp. (a)		6,440		92,414
Sparton Corp. (a)		798		13,757
Stoneridge, Inc. (a)		2,198		25,585
Taser International, Inc. (a)		3,986		33,961
TTM Technologies, Inc. (a)		4,117		34,583
Viasystems Group, Inc. (a)		261		3,009
Vishay Precision Group, Inc. (a)		982		14,867
Watts Water Technologies, Inc. Class A		2,218		100,564
Woodward, Inc.		5,346		213,840
Zagg, Inc. (a) (b)		2,394		12,808
Zygo Corp. (a)		1,312		20,743
				2,288,876
Engineering & Construction — 0.6%
Aegion Corp. (a)		3,048		68,610
Argan, Inc.		1,089		16,988
Dycom Industries, Inc. (a)		2,575		59,585
EMCOR Group, Inc.		5,224		212,356
Engility Holdings, Inc. (a)		1,335		37,941
Granite Construction, Inc.		3,022		89,935
Layne Christensen Co. (a)		1,545		30,143
Michael Baker Corp.		661		17,920
Mistras Group, Inc. (a)		1,250		21,975
MYR Group, Inc. (a)		1,616		31,431
National Technical Systems, Inc. (a)		533		7,457
Orion Marine Group, Inc. (a)		2,090		25,268
Sterling Construction Co., Inc. (a)		1,298		11,760
Tutor Perini Corp. (a)		2,867		51,864
VSE Corp.		327		13,430
				696,663

	Number of Shares		Value
Environmental Controls — 0.6%
ADA-ES, Inc. (a)		783	$	32,980
Calgon Carbon Corp. (a)		4,209		70,206
Casella Waste Systems, Inc. Class A (a)		2,959		12,753
Ceco Environmental Corp. (b)		791		9,729
Darling International, Inc. (a)		9,195		171,579
Energy Recovery, Inc. (a)		3,430		14,166
GSE Holding, Inc. (a)		543		3,144
Heritage-Crystal Clean, Inc. (a)		679		9,920
Met-Pro Corp.		1,143		15,362
Mine Safety Appliances Co.		2,205		102,643
Nuverra Environmental Solutions, Inc. (a) (b)		11,208		32,503
Pure Cycle Corp. (a)		1,341		7,496
Rentech, Inc.		17,581		36,920
Tetra Technologies, Inc. (a)		5,066		119,102
TRC Cos., Inc. (a)		1,242		8,694
US Ecology, Inc.		1,434		39,349
				686,546
Hand & Machine Tools — 0.1%
Franklin Electric Co., Inc.		3,689		124,135
Hardinge, Inc.		938		13,863
				137,998
Housewares — 0.0%
National Presto Industries, Inc. (b)		374		26,939
Machinery – Construction & Mining — 0.1%
Astec Industries, Inc.		1,578		54,110
Hyster-Yale Materials Handling, Inc.		819		51,425
				105,535
Machinery – Diversified — 1.4%
Alamo Group, Inc.		548		22,369
Albany International Corp. Class A		2,170		71,567
Altra Holdings, Inc.		2,101		57,525
Applied Industrial Technologies, Inc.		3,278		158,426
Briggs & Stratton Corp.		3,747		74,191
Chart Industries, Inc. (a)		2,358		221,864
Cognex Corp.		3,379		152,798
Columbus McKinnon Corp. (a)		1,518		32,364
DXP Enterprises, Inc. (a)		737		49,084
The ExOne Co. (a) (b)		474		29,255
Flow International Corp. (a)		3,754		13,852
Global Power Equipment Group, Inc.		1,324		21,343
Gorman-Rupp Co.		1,172		37,317
Hurco Cos., Inc.		507		14,586
Intermec, Inc. (a)		4,691		46,113
iRobot Corp. (a)		2,194		87,255
Kadant, Inc.		872		26,308
Lindsay Corp.		1,000		74,980
Manitex International, Inc. (a)		957		10,479
The Middleby Corp. (a)		1,462		248,672
NACCO Industries, Inc. Class A		385		22,053

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

114

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares			Value
Power Solutions International, Inc. (a)		150		$	5,039
Proto Labs, Inc. (a) (b)		1,328			86,280
Tecumseh Products Co. Class A (a)		1,438			15,717
Tennant Co.		1,431			69,074
Twin Disc, Inc. (b)		657			15,571
					1,664,082
Manufacturing — 1.9%
Actuant Corp. Class A		5,690			187,599
Acuity Brands, Inc.		3,332			251,633
American Railcar Industries, Inc. (b)		731			24,496
AZZ, Inc.		1,982			76,426
Barnes Group, Inc.		4,179			125,328
Blount International, Inc. (a)		3,828			45,247
The Brink’s Co.		3,731			95,178
Chase Corp.		488			10,912
CLARCOR, Inc.		3,861			201,583
EnPro Industries, Inc. (a)		1,621			82,282
ESCO Technologies, Inc.		2,056			66,573
Federal Signal Corp. (a)		4,857			42,499
FreightCar America, Inc.		958			16,276
GP Strategies Corp. (a)		1,141			27,179
Griffon Corp.		3,470			39,038
Handy & Harman Ltd. (a)		422			7,545
John Bean Technologies Corp.		2,250	��		47,273
Koppers Holdings, Inc.		1,612			61,546
LSB Industries, Inc. (a)		1,473			44,794
Lydall, Inc. (a)		1,326			19,360
Matthews International Corp. Class A		2,145			80,866
Myers Industries, Inc.		2,193			32,917
NL Industries, Inc.		520			5,876
Park-Ohio Holdings Corp. (a)		678			22,360
PMFG, Inc. (a)		1,704			11,792
Polypore International, Inc. (a)		3,629			146,249
Raven Industries, Inc.		2,829			84,813
Smith & Wesson Holding Corp. (a) (b)		4,991			49,810
Standex International Corp.		988			52,117
Sturm, Ruger & Co., Inc. (b)		1,503			72,204
Tredegar Corp.		1,933			49,678
Trimas Corp. (a)		3,087			115,083
					2,196,532
Metal Fabricate & Hardware — 0.8%
A.M. Castle & Co. (a) (b)		1,378			21,717
Ampco-Pittsburgh Corp.		677			12,707
Circor International, Inc.		1,366			69,475
Commercial Metals Co.		9,080			134,112
Dynamic Materials Corp.		1,040			17,170
Global Brass & Copper Holdings, Inc. (a)		627			8,302
Haynes International, Inc.		957			45,812
Kaydon Corp.		2,502			68,930
L.B. Foster Co. Class A		791			34,148
Mueller Industries, Inc.		2,186			110,240

	Number of Shares		Value
Mueller Water Products, Inc. Class A		12,283	$	84,876
NN, Inc.		1,373		15,666
Northwest Pipe Co. (a)		719		20,060
Omega Flex, Inc.		198		2,944
RBC Bearings, Inc. (a)		1,793		93,146
Rexnord Corp. (a)		2,379		40,086
Sun Hydraulics Corp.		1,662		51,987
Worthington Industries, Inc.		4,106		130,201
				961,579
Packaging & Containers — 0.2%
AEP Industries, Inc. (a)		343		25,516
Berry Plastics Group, Inc. (a)		4,306		95,033
Graphic Packaging Holding Co. (a)		16,322		126,332
UFP Technologies, Inc. (a)		434		8,498
				255,379
Retail — 0.0%
Movado Group, Inc.		1,375		46,516
Transportation — 1.6%
Air Transport Services Group, Inc. (a)		4,091		27,042
Arkansas Best Corp.		1,992		45,716
Atlas Air Worldwide Holdings, Inc. (a)		2,008		87,870
Bristow Group, Inc.		2,810		183,549
CAI International, Inc. (a)		1,337		31,513
Celadon Group, Inc.		1,573		28,707
Echo Global Logistics, Inc. (a)		1,384		26,974
Era Group, Inc. (a)		1,566		40,951
Forward Air Corp.		2,349		89,920
Frontline Ltd. (a) (b)		4,057		7,181
GasLog Ltd.		2,004		25,651
GulfMark Offshore, Inc. Class A		2,078		93,697
Heartland Express, Inc.		3,585		49,724
Hub Group, Inc. Class A (a)		2,874		104,671
International Shipholding Corp.		435		10,149
Knight Transportation, Inc.		4,540		76,363
Knightsbridge Tankers Ltd.		1,950		14,352
Marten Transport Ltd.		1,825		28,598
Matson, Inc.		3,320		83,000
Nordic American Tanker Shipping Ltd. (b)		5,140		38,910
Pacer International, Inc. (a)		2,784		17,567
Patriot Transportation Holding, Inc. (a)		506		15,200
PHI, Inc. (a)		979		33,580
Quality Distribution, Inc. (a)		1,585		14,011
Roadrunner Transportation Systems, Inc. (a)		1,374		38,252
Saia, Inc. (a)		1,881		56,374
Scorpio Tankers, Inc.		12,638		113,489
Ship Finance International Ltd.		3,982		59,093
Swift Transportation Co. (a)		6,524		107,907
Teekay Tankers Ltd. Class A (b)		4,854		12,766
Ultrapetrol Bahamas Ltd. (a)		1,663		4,740
Universal Truckload Services, Inc. (a)		419		10,102

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

115

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
UTI Worldwide, Inc.		7,052	$	116,147
Werner Enterprises, Inc. (b)		3,566		86,190
XPO Logistics, Inc. (a) (b)		1,438		26,013
YRC Worldwide, Inc. (a)		731		21,016
				1,826,985
Trucking & Leasing — 0.3%
Aircastle Ltd.		5,328		85,195
TAL International Group, Inc. (b)		2,634		114,764
Textainer Group Holdings Ltd. (b)		1,657		63,695
The Greenbrier Cos., Inc. (a)		1,901		46,327
				309,981
				15,215,399
Technology — 9.2%
Computers — 1.6%
Acorn Energy, Inc. (b)		1,352		11,411
Agilysys, Inc. (a)		1,107		12,498
CACI International, Inc. Class A (a) (b)		1,794		113,901
Carbonite, Inc. (a) (b)		976		12,093
Ciber, Inc. (a)		5,887		19,663
Computer Task Group, Inc.		1,190		27,334
Cray, Inc. (a)		3,082		60,531
Datalink Corp. (a)		1,221		12,991
Digimarc Corp.		488		10,136
Electronics for Imaging, Inc. (a)		3,611		102,155
FleetMatics Group PLC (a) (b)		1,271		42,235
Fusion-io, Inc. (a)		5,915		84,230
Hutchinson Technology, Inc. (a)		1,822		8,618
iGATE Corp. (a)		2,709		44,482
Imation Corp. (a)		2,714		11,480
Immersion Corp. (a)		2,203		29,190
j2 Global, Inc. (b)		3,573		151,888
The KEYW Holding Corp. (a) (b)		2,481		32,873
LivePerson, Inc. (a)		4,269		38,229
LogMeIn, Inc. (a)		1,892		46,278
Manhattan Associates, Inc. (a)		1,514		116,820
Maxwell Technologies, Inc. (a) (b)		2,343		16,752
Mentor Graphics Corp.		7,403		144,729
Mercury Computer Systems, Inc. (a)		2,514		23,179
Mitek Systems, Inc. (a)		1,729		9,994
MTS Systems Corp.		1,230		69,618
Netscout Systems, Inc. (a)		2,815		65,702
Quantum Corp. (a)		16,518		22,630
RadiSys Corp. (a)		1,811		8,711
RealD, Inc. (a)		3,148		43,757
Silicon Graphics International Corp. (a) (b)		2,611		34,935
Silver Spring Networks, Inc. (a)		461		11,497
Spansion, Inc. (a)		3,678		46,049
STEC, Inc. (a) (b)		2,621		17,613
Super Micro Computer, Inc. (a)		2,477		26,355
Sykes Enterprises, Inc. (a)		3,054		48,131

	Number of Shares		Value
Synaptics, Inc. (a)		2,527	$	97,441
Syntel, Inc.		1,200		75,444
Uni-Pixel, Inc. (a)		786		11,562
Unisys Corp. (a)		3,433		75,766
Virtusa Corp. (a)		1,591		35,257
				1,874,158
Office Equipment/Supplies — 0.0%
Arc Document Solutions, Inc. (a)		2,912		11,648
Compx International, Inc.		52		726
				12,374
Retail — 0.1%
Insight Enterprises, Inc. (a)		3,385		60,050
Semiconductors — 3.0%
Aeroflex Holding Corp. (a)		1,554		12,261
Alpha & Omega Semiconductor Ltd. (a)		1,315		10,047
Ambarella, Inc. (a) (b)		1,440		24,235
Amkor Technology, Inc. (a) (b)		4,988		20,999
ANADIGICS, Inc. (a)		6,398		14,076
Applied Micro Circuits Corp. (a)		5,303		46,666
ATMI, Inc. (a)		2,481		58,676
Axcelis Technologies, Inc. (a)		8,429		15,341
Brooks Automation, Inc.		5,171		50,314
Cabot Microelectronics Corp. (a)		1,809		59,715
Cavium, Inc. (a)		4,002		141,551
Ceva, Inc. (a)		1,721		33,319
Cirrus Logic, Inc. (a)		4,930		85,585
Cohu, Inc.		1,947		24,338
Cypress Semiconductor Corp.		11,436		122,708
Diodes, Inc. (a)		2,791		72,482
DSP Group, Inc. (a)		1,539		12,789
Emulex Corp. (a)		7,052		45,979
Entegris, Inc. (a)		10,833		101,722
Entropic Communications, Inc. (a)		7,049		30,099
Exar Corp. (a)		2,995		32,256
Formfactor, Inc. (a)		4,252		28,701
GSI Group, Inc. (a)		2,361		18,982
GSI Technology, Inc. (a)		1,597		10,093
GT Advanced Technologies, Inc. (a) (b)		9,174		38,072
Hittite Microwave Corp. (a)		2,451		142,158
Inphi Corp. (a)		2,028		22,308
Integrated Device Technology, Inc. (a)		10,251		81,393
Integrated Silicon Solution, Inc. (a)		2,186		23,959
Intermolecular, Inc. (a)		1,341		9,749
International Rectifier Corp. (a)		5,401		113,097
Intersil Corp. Class A		9,890		77,340
IXYS Corp.		1,880		20,793
Kopin Corp. (a)		5,085		18,865
Lattice Semiconductor Corp. (a)		8,996		45,610
LTX-Credence Corp. (a)		3,699		22,157
MaxLinear, Inc. (a)		1,824		12,768

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

116

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Micrel, Inc.		3,616	$	35,726
Microsemi Corp. (a)		7,226		164,392
Mindspeed Technologies, Inc. (a) (b)		3,365		10,903
MKS Instruments, Inc.		4,120		109,345
Monolithic Power Systems, Inc.		2,860		68,955
MoSys, Inc. (a)		3,659		14,709
Nanometrics, Inc. (a)		1,796		26,347
OmniVision Technologies, Inc. (a)		4,191		78,162
Peregrine Semiconductor Corp. (a) (b)		2,056		22,431
Pericom Semiconductor Corp. (a)		1,762		12,545
Photronics, Inc. (a)		4,728		38,108
PLX Technology, Inc. (a)		3,490		16,612
PMC-Sierra, Inc. (a)		15,867		100,755
Power Integrations, Inc.		2,245		91,057
QLogic Corp. (a)		6,926		66,213
Rambus, Inc. (a)		8,685		74,604
Richardson Electronics Ltd.		959		11,259
Rubicon Technology, Inc. (a) (b)		1,349		10,805
Rudolph Technologies, Inc. (a)		2,507		28,078
Semtech Corp. (a)		5,243		183,662
Sigma Designs, Inc. (a)		2,382		12,029
Silicon Image, Inc. (a)		6,004		35,123
SunEdison, Inc. (a)		18,034		147,338
Supertex, Inc.		749		17,909
Tessera Technologies, Inc.		4,102		85,322
TriQuint Semiconductor, Inc. (a)		12,700		88,011
Ultra Clean Holdings, Inc. (a)		1,857		11,235
Ultratech, Inc. (a)		2,157		79,205
Veeco Instruments, Inc. (a) (b)		3,046		107,889
Volterra Semiconductor Corp. (a)		1,968		27,788
				3,477,720
Software — 4.5%
Accelrys, Inc. (a)		4,317		36,263
ACI Worldwide, Inc. (a)		3,099		144,041
Actuate Corp. (a)		3,682		24,448
Acxiom Corp. (a)		5,748		130,365
Advent Software, Inc. (a)		2,553		89,508
American Software, Inc. /Georgia		1,820		15,816
Aspen Technology, Inc. (a)		7,289		209,850
Athenahealth, Inc. (a) (b)		2,855		241,876
Audience, Inc. (a)		749		9,894
AVG Technologies NV (a) (b)		1,862		36,216
Avid Technology, Inc. (a)		2,445		14,377
Blackbaud, Inc.		3,550		115,623
Bottomline Technologies, Inc. (a)		2,942		74,403
BroadSoft, Inc. (a)		2,195		60,582
Callidus Software, Inc. (a) (b)		2,922		19,256
CommVault Systems, Inc. (a)		3,616		274,418
Computer Programs & Systems, Inc.		861		42,310
Cornerstone OnDemand, Inc. (a)		3,141		135,974
CSG Systems International, Inc. (a)		2,635		57,179

	Number of Shares		Value
Demandware, Inc. (a) (b)		1,251	$	53,055
Digi International, Inc. (a)		1,988		18,628
E2open, Inc. (a) (b)		1,148		20,090
Ebix, Inc. (b)		2,419		22,400
Envestnet, Inc. (a)		1,758		43,247
EPAM Systems, Inc. (a)		1,700		46,206
EPIQ Systems, Inc.		2,457		33,096
Fair Isaac Corp.		2,789		127,820
Glu Mobile, Inc. (a) (b)		4,511		9,924
Greenway Medical Technologies (a) (b)		1,123		13,858
Guidance Software, Inc. (a)		1,306		11,414
Guidewire Software, Inc. (a)		3,262		137,167
Imperva, Inc. (a)		1,571		70,758
inContact, Inc. (a)		4,153		34,138
Infoblox, Inc. (a)		3,895		113,968
InnerWorkings, Inc. (a)		3,450		37,432
Interactive Intelligence Group, Inc. (a)		1,205		62,178
Jive Software, Inc. (a)		3,079		55,945
ManTech International Corp. Class A (b)		1,852		48,374
Market Leader, Inc. (a)		1,831		19,592
MedAssets, Inc. (a)		4,737		84,034
Medidata Solutions, Inc. (a)		2,068		160,167
MicroStrategy, Inc. Class A (a)		704		61,220
Model N, Inc. (a)		631		14,740
Monotype Imaging Holdings, Inc.		2,973		75,544
Omnicell, Inc. (a)		2,694		55,362
PDF Solutions, Inc. (a)		1,955		36,031
Pegasystems, Inc.		1,353		44,811
Planet Payment, Inc. (a)		3,308		9,130
Progress Software Corp. (a)		4,288		98,667
Proofpoint, Inc. (a)		1,697		41,118
PROS Holdings, Inc. (a)		1,747		52,323
PTC, Inc. (a)		9,302		228,178
QAD, Inc.		458		5,258
QLIK Technologies, Inc. (a)		6,769		191,360
Quality Systems, Inc.		3,096		57,926
Qualys, Inc. (a)		1,159		18,683
Rally Software Development Corp. (a)		537		13,328
RealPage, Inc. (a) (b)		3,620		66,391
Rosetta Stone, Inc. (a)		936		13,797
Sapiens International Corp. NV		1,320		7,577
Schawk, Inc.		1,049		13,773
SciQuest, Inc. (a)		1,773		44,414
Seachange International, Inc. (a)		2,547		29,825
SS&C Technologies Holdings, Inc (a)		4,531		149,070
Synchronoss Technologies, Inc. (a)		2,265		69,921
SYNNEX Corp. (a)		2,053		86,801
Take-Two Interactive Software, Inc. (a)		6,315		94,536
Tangoe, Inc./CT (a)		2,390		36,878
TiVo, Inc. (a)		9,848		108,820
Tyler Technologies, Inc. (a)		2,450		167,947
The Ultimate Software Group, Inc. (a)		2,150		252,173

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

117

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Verint Systems, Inc. (a)		4,098	$	145,356
				5,246,848
				10,671,150
Utilities — 3.2%
Electric — 1.9%
Allete, Inc.		3,103		154,684
Ameresco, Inc. (a)		1,562		14,074
Atlantic Power Corp. (b)		9,323		36,733
Avista Corp.		4,655		125,778
Black Hills Corp.		3,455		168,431
Cleco Corp.		4,696		218,035
Dynegy, Inc. (a) (b)		7,780		175,439
El Paso Electric Co.		3,127		110,414
The Empire District Electric Co.		3,318		74,025
EnerNOC, Inc. (a)		2,079		27,567
Genie Energy Ltd.		1,005		9,196
IDACORP, Inc.		3,906		186,551
MGE Energy, Inc.		1,796		98,349
NorthWestern Corp.		2,944		117,466
Ormat Technologies, Inc.		1,375		32,340
Otter Tail Corp.		2,821		80,116
Pike Electric Corp.		2,021		24,858
Portland General Electric Co.		5,886		180,053
UIL Holdings Corp.		3,943		150,820
Unitil Corp.		1,065		30,757
UNS Energy Corp.		3,216		143,852
				2,159,538
				��
Gas — 1.0%
Chesapeake Utilities Corp.		745		38,360
Delta Natural Gas Co., Inc.		511		10,859
The Laclede Group, Inc.		2,541		116,022
New Jersey Resources Corp.		3,251		135,014
Northwest Natural Gas Co.		2,097		89,080
Piedmont Natural Gas Co., Inc.		5,874		198,189
PNM Resources, Inc.		6,195		137,467
South Jersey Industries, Inc.		2,487		142,779
Southwest Gas Corp.		3,605		168,678
WGL Holdings, Inc.		4,022		173,831
				1,210,279
Water — 0.3%
American States Water Co.		1,500		80,505
Artesian Resources Corp.		594		13,234
California Water Service Group		3,733		72,831
Connecticut Water Service, Inc.		826		23,706
Consolidated Water Co., Inc.		1,127		12,882
Middlesex Water Co.		1,232		24,541
Pico Holdings, Inc. (a)		1,770		37,099
SJW Corp.		1,199		31,414
York Water Co.		1,008		19,182
				315,394
				3,685,211

	Number of Shares		Value
TOTAL COMMON STOCK (Cost $94,241,559)			$	109,922,882
TOTAL EQUITIES (Cost $94,241,559)				109,922,882
RIGHTS — 0.0%
Consumer, Cyclical — 0.0%
Automotive & Parts — 0.0%
Federal-Mogul Corp., Expires 7/09/13, Strike 9.780% (a)		1,538		262
TOTAL RIGHTS (Cost $0)				262
MUTUAL FUNDS — 12.8%
Diversified Financial — 12.8%
Firsthand Technology Value Fund, Inc. (a)		634		12,591
State Street Navigator Securities Lending Prime Portfolio (c)		14,732,802		14,732,802
				14,745,393
TOTAL MUTUAL FUNDS (Cost $14,743,446)				14,745,393
TOTAL LONG-TERM INVESTMENTS (Cost $108,985,005)				124,668,537
	Principal Amount
SHORT-TERM INVESTMENTS — 4.4%
Repurchase Agreement — 4.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (d)	$	4,803,393		4,803,393
Time Deposits — 0.0%
Euro Time Deposit 0.010% 7/01/13		303		303
U.S. Treasury Bills — 0.2%
U.S. Treasury Bill 0.100% 10/17/13 (e)		265,000		264,935
TOTAL SHORT-TERM INVESTMENTS (Cost $5,068,631)				5,068,631
TOTAL INVESTMENTS — 112.4% (Cost $114,053,636) (f)				129,737,168
Other Assets/(Liabilities) — (12.4)%				(14,277,935	)
NET ASSETS — 100.0%			$	115,459,233

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

118

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2013, was $14,275,706. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(c) Represents investment of security lending collateral. (Note 2).

(d) Maturity value of $4,803,397. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $4,900,129.

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

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

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

119

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

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.3%
COMMON STOCK — 96.1%
Basic Materials — 3.2%
Chemicals — 2.4%
Albemarle Corp.		37,800	$	2,354,562
Celanese Corp. Series A		269,600		12,078,080
Cytec Industries, Inc.		27,900		2,043,675
FMC Corp.		136,200		8,316,372
Rockwood Holdings, Inc.		170,000		10,885,100
The Sherwin-Williams Co.		25,760		4,549,216
				40,227,005
Mining — 0.8%
Agnico-Eagle Mines Ltd.		234,000		6,444,360
Franco-Nevada Corp.		201,000		7,195,636
				13,639,996
				53,867,001
Communications — 9.0%
Internet — 3.8%
Akamai Technologies, Inc. (a)		401,100		17,066,805
Dropbox, Inc. (a) (b)		32,717		296,059
Groupon, Inc. (a)		737,000		6,264,500
Liberty Interactive Corp. Class A (a)		196,000		4,509,960
LinkedIn Corp. (a)		25,000		4,457,500
Netflix, Inc. (a)		40,000		8,443,600
TIBCO Software, Inc. (a)		116,000		2,482,400
TripAdvisor, Inc. (a)		148,000		9,008,760
VeriSign, Inc. (a)		268,000		11,968,880
				64,498,464
Media — 2.6%
Charter Communications, Inc. Class A (a)		140,000		17,339,000
Discovery Communications, Inc. Series A (a)		83,000		6,408,430
Discovery Communications, Inc. Series C (a)		51,000		3,552,660
FactSet Research Systems, Inc. (c)		131,000		13,354,140
Sirius XM Radio, Inc.		808,100		2,707,135
				43,361,365
Telecommunications — 2.6%
Amdocs Ltd.		428,000		15,874,520
JDS Uniphase Corp. (a)		988,000		14,207,440
Motorola Solutions, Inc.		231,000		13,335,630
				43,417,590
				151,277,419
Consumer, Cyclical — 15.4%
Airlines — 0.4%
Alaska Air Group, Inc. (a)		136,800		7,113,600

	Number of Shares		Value
Apparel — 0.3%
VF Corp.		24,604	$	4,750,048
Auto Manufacturers — 0.3%
Tesla Motors, Inc. (a) (c)		49,000		5,264,070
Automotive & Parts — 1.2%
Delphi Automotive PLC		86,600		4,389,754
TRW Automotive Holdings Corp. (a)		69,200		4,597,648
WABCO Holdings, Inc. (a)		148,000		11,054,120
				20,041,522
Distribution & Wholesale — 1.5%
Fastenal Co.		347,000		15,909,950
LKQ Corp. (a)		212,800		5,479,600
WESCO International, Inc. (a) (c)		48,700		3,309,652
				24,699,202
Entertainment — 0.1%
SeaWorld Entertainment, Inc.		67,000		2,351,700
Home Furnishing — 0.1%
Harman International Industries, Inc.		24,800		1,344,160
Leisure Time — 1.3%
Harley-Davidson, Inc.		271,600		14,889,112
Norwegian Cruise Line Holdings Ltd. (a) (c)		201,000		6,092,310
				20,981,422
Lodging — 1.5%
Choice Hotels International, Inc. (c)		171,000		6,786,990
Marriott International, Inc. Class A		263,000		10,617,310
Starwood Hotels & Resorts Worldwide, Inc.		73,800		4,663,422
Wyndham Worldwide Corp.		60,200		3,445,246
				25,512,968
Retail — 8.7%
AutoZone, Inc. (a)		33,000		13,981,770
Bed Bath & Beyond, Inc. (a)		40,400		2,864,360
CarMax, Inc. (a)		547,600		25,277,216
Chipotle Mexican Grill, Inc. (a)		18,140		6,609,309
Dick’s Sporting Goods, Inc.		46,800		2,342,808
Dollar General Corp. (a)		297,000		14,977,710
Dollar Tree, Inc. (a)		218,000		11,083,120
DSW, Inc. Class A		98,000		7,200,060
Dunkin’ Brands Group, Inc.		60,700		2,599,174
GNC Holdings, Inc. Class A		83,300		3,682,693
Kohl’s Corp.		231,000		11,667,810
O’Reilly Automotive, Inc. (a)		160,100		18,030,462
Panera Bread Co. Class A (a)		37,000		6,879,780
PVH Corp.		31,200		3,901,560
Tiffany & Co.		32,400		2,360,016
Tim Hortons, Inc.		201,000		10,880,130

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

120

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

	Number of Shares		Value
Urban Outfitters, Inc. (a)		49,700	$	1,998,934
				146,336,912
				258,395,604
Consumer, Non-cyclical — 27.1%
Beverages — 1.0%
Brown-Forman Corp. Class B		55,525		3,750,714
Green Mountain Coffee Roasters, Inc. (a) (c)		178,000		13,360,680
				17,111,394
Biotechnology — 3.2%
Alexion Pharmaceuticals, Inc. (a)		85,000		7,840,400
Alkermes PLC (a)		443,300		12,713,844
Illumina, Inc. (a)		136,700		10,230,628
Incyte Corp. (a) (c)		152,000		3,344,000
Regeneron Pharmaceuticals, Inc. (a)		44,000		9,894,720
Seattle Genetics, Inc. (a) (c)		67,200		2,114,112
Vertex Pharmaceuticals, Inc. (a)		100,000		7,987,000
				54,124,704
Commercial Services — 7.7%
Alliance Data Systems Corp. (a) (c)		42,200		7,639,466
CoreLogic, Inc. (a)		17,800		412,426
Equifax, Inc.		198,000		11,668,140
Gartner, Inc. (a)		338,600		19,296,814
Global Payments, Inc.		167,000		7,735,440
Hertz Global Holdings, Inc. (a)		524,300		13,002,640
KAR Auction Services, Inc.		134,310		3,071,670
Manpower, Inc.		314,000		17,207,200
MAXIMUS, Inc.		22,100		1,646,008
Quanta Services, Inc. (a)		816,000		21,591,360
Vantiv, Inc. (a)		271,000		7,479,600
Verisk Analytics, Inc. Class A (a)		225,500		13,462,350
WEX, Inc. (a)		66,500		5,100,550
				129,313,664
Foods — 2.0%
Dean Foods Co. (a)		638,500		6,397,770
The Fresh Market, Inc. (a)		67,000		3,331,240
TreeHouse Foods, Inc. (a)		131,000		8,585,740
WhiteWave Foods Co. Class A (a) (c)		175,000		2,843,750
WhiteWave Foods Co. Class B (a)		235,000		3,572,000
Whole Foods Market, Inc.		166,000		8,545,680
				33,276,180
Health Care – Products — 4.2%
Bruker Corp. (a)		501,000		8,091,150
CareFusion Corp. (a)		412,000		15,182,200
The Cooper Cos., Inc.		137,800		16,405,090
Edwards Lifesciences Corp. (a)		89,200		5,994,240
Henry Schein, Inc. (a)		131,000		12,543,250
IDEXX Laboratories, Inc. (a)		142,000		12,748,760
				70,964,690

	Number of Shares		Value
Health Care – Services — 4.8%
Catamaran Corp. (a)		199,316	$	9,710,675
Centene Corp. (a)		55,700		2,922,022
Covance, Inc. (a)		305,800		23,283,612
DaVita HealthCare Partners, Inc. (a)		20,100		2,428,080
Laboratory Corporation of America Holdings (a)		198,000		19,819,800
MEDNAX, Inc. (a)		143,400		13,132,572
Universal Health Services, Inc. Class B		158,000		10,579,680
				81,876,441
Pharmaceuticals — 4.2%
Actavis, Inc. (a)		58,600		7,396,492
Cubist Pharmaceuticals, Inc. (a)		67,000		3,236,100
DENTSPLY International, Inc.		468,000		19,169,280
Elan Corp. PLC Sponsored ADR (Ireland) (a) (c)		372,000		5,260,080
Onyx Pharmaceuticals, Inc. (a)		98,800		12,263,056
Pharmacyclics, Inc. (a)		44,000		3,496,680
Quintiles Transnational Holdings, Inc. (a)		24,000		1,021,440
Sirona Dental Systems, Inc. (a)		65,500		4,315,140
Theravance, Inc. (a) (c)		180,000		6,935,400
Valeant Pharmaceuticals International, Inc. (a)		83,000		7,144,640
				70,238,308
				456,905,381
Energy — 6.0%
Oil & Gas — 5.6%
Atwood Oceanics, Inc. (a)		49,300		2,566,065
Cabot Oil & Gas Corp.		57,300		4,069,446
Concho Resources, Inc. (a)		127,600		10,682,672
Continental Resources, Inc. (a) (c)		64,300		5,533,658
EQT Corp.		231,000		18,334,470
InterOil Corp. (a) (c)		53,600		3,725,736
Laredo Petroleum Holdings, Inc. (a)		66,000		1,356,960
Pioneer Natural Resources Co.		66,000		9,553,500
Range Resources Corp.		214,000		16,546,480
SM Energy Co.		231,000		13,855,380
Southwestern Energy Co. (a)		200,000		7,306,000
				93,530,367
Oil & Gas Services — 0.4%
Cameron International Corp. (a)		61,400		3,755,224
Oceaneering International, Inc.		42,400		3,061,280
				6,816,504
				100,346,871
Financial — 7.3%
Banks — 0.5%
Signature Bank (a)		37,000		3,071,740

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

121

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

	Number of Shares		Value
TCF Financial Corp.		438,000	$	6,210,840
				9,282,580
Diversified Financial — 3.2%
CBOE Holdings, Inc.		264,000		12,312,960
The Charles Schwab Corp.		384,000		8,152,320
IntercontinentalExchange, Inc. (a)		48,000		8,532,480
Raymond James Financial, Inc.		104,600		4,495,708
T. Rowe Price Group, Inc.		81,870		5,988,791
TD Ameritrade Holding Corp.		567,000		13,772,430
				53,254,689
Insurance — 3.1%
Allied World Assurance Co. Holdings Ltd.		57,700		5,280,127
Arthur J. Gallagher & Co.		119,000		5,199,110
Fidelity National Financial, Inc. Class A		469,000		11,166,890
HCC Insurance Holdings, Inc.		268,000		11,553,480
The Progressive Corp.		434,000		11,032,280
Willis Group Holdings PLC		197,000		8,033,660
				52,265,547
Real Estate — 0.4%
Jones Lang LaSalle, Inc.		75,000		6,835,500
Savings & Loans — 0.1%
BankUnited, Inc.		66,000		1,716,660
				123,354,976
Industrial — 15.7%
Aerospace & Defense — 0.7%
BE Aerospace, Inc. (a)		178,900		11,285,012
Building Materials — 0.8%
Eagle Materials, Inc.		54,000		3,578,580
Martin Marietta Materials, Inc.		95,300		9,379,426
				12,958,006
Electrical Components & Equipment — 2.1%
AMETEK, Inc.		457,450		19,350,135
The Babcock & Wilcox Co.		536,000		16,096,080
				35,446,215
Electronics — 2.6%
Agilent Technologies, Inc.		267,000		11,416,920
Amphenol Corp. Class A		69,200		5,393,448
FEI Co.		70,700		5,160,393
Imax Corp. (a) (c)		155,600		3,868,216
Itron, Inc. (a)		56,300		2,388,809
Mettler-Toledo International, Inc. (a)		14,000		2,816,800
Sensata Technologies Holding NV (a)		201,000		7,014,900
Trimble Navigation Ltd. (a)		234,000		6,086,340
				44,145,826

	Number of Shares		Value
Engineering & Construction — 0.5%
Jacobs Engineering Group, Inc. (a)		55,600	$	3,065,228
McDermott International, Inc. (a)		680,000		5,562,400
				8,627,628
Environmental Controls — 0.9%
Clean Harbors, Inc. (a)		64,000		3,233,920
Stericycle, Inc. (a)		22,700		2,506,761
Waste Connections, Inc.		230,000		9,462,200
				15,202,881
Machinery – Diversified — 2.4%
Chart Industries, Inc. (a)		33,700		3,170,833
IDEX Corp.		297,000		15,981,570
Nordson Corp.		67,000		4,643,770
Roper Industries, Inc.		133,000		16,521,260
				40,317,433
Manufacturing — 3.6%
Acuity Brands, Inc.		92,000		6,947,840
Colfax Corp. (a)		171,000		8,910,810
Pall Corp.		306,300		20,347,509
Teleflex, Inc.		84,000		6,509,160
Textron, Inc.		660,000		17,193,000
				59,908,319
Metal Fabricate & Hardware — 0.1%
Rexnord Corp. (a)		148,000		2,493,800
Packaging & Containers — 0.2%
Ball Corp.		71,000		2,949,340
Transportation — 1.8%
J.B. Hunt Transport Services, Inc.		132,000		9,535,680
Kansas City Southern		100,000		10,596,000
Kirby Corp. (a)		56,000		4,454,240
United Continental Holdings, Inc. (a)		199,800		6,251,742
				30,837,662
				264,172,122
Technology — 11.3%
Computers — 2.8%
Cadence Design Systems, Inc. (a)		484,600		7,017,008
Computer Sciences Corp.		66,400		2,906,328
IHS, Inc. Class A (a)		236,300		24,664,994
Jack Henry & Associates, Inc.		107,700		5,075,901
SanDisk Corp. (a)		84,000		5,132,400
Teradata Corp. (a)		47,200		2,370,856
				47,167,487
Semiconductors — 3.6%
Altera Corp.		268,000		8,841,320
Atmel Corp. (a)		1,051,000		7,724,850
Avago Technologies Ltd.		168,000		6,279,840
Cree, Inc. (a)		99,000		6,322,140
Intersil Corp. Class A		26,000		203,320

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

122

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

	Number of Shares		Value
IPG Photonics Corp. (c)		84,000	$	5,101,320
Maxim Integrated Products, Inc.		113,000		3,139,140
Microchip Technology, Inc.		168,000		6,258,000
Xilinx, Inc.		398,100		15,768,741
				59,638,671
Software — 4.9%
Cerner Corp. (a)		23,300		2,238,897
Citrix Systems, Inc. (a)		63,100		3,806,823
Concur Technologies, Inc. (a) (c)		131,000		10,660,780
Electronic Arts, Inc. (a)		118,700		2,726,539
Fiserv, Inc. (a)		231,000		20,191,710
Intuit, Inc.		56,200		3,429,886
MSCI, Inc. (a)		335,000		11,145,450
Red Hat, Inc. (a)		297,000		14,202,540
Servicenow, Inc. (a)		187,000		7,552,930
Workday, Inc. (a)		106,000		6,793,540
				82,749,095
				189,555,253
Utilities — 1.1%
Electric — 1.1%
Calpine Corp. (a)		858,000		18,215,340
TOTAL COMMON STOCK (Cost $1,162,801,581)				1,616,089,967
PREFERRED STOCK — 0.2%
Communications — 0.2%
Internet — 0.2%
Coupons.com (a) (b)		503,736		1,378,977
Dropbox, Inc. Series A (a) (b)		40,629		367,656
Dropbox, Inc. Series A 1 (a) (b)		199,577		1,805,992
Living Social (a) (b)		586,650		340,257
				3,892,882
TOTAL PREFERRED STOCK (Cost $8,256,006)				3,892,882
TOTAL EQUITIES (Cost $1,171,057,587)				1,619,982,849
MUTUAL FUNDS — 5.1%
Diversified Financial — 5.1%
State Street Navigator Securities Lending Prime Portfolio (d)		74,573,803		74,573,803
T. Rowe Price Government Reserve Investment Fund		11,837,796		11,837,796
				86,411,599
TOTAL MUTUAL FUNDS (Cost $86,411,599)				86,411,599
TOTAL LONG-TERM INVESTMENTS (Cost $1,257,469,186)				1,706,394,448

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 2.9%
Repurchase Agreement — 2.9%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (e)	$	48,920,184	$	48,920,184
Time Deposits — 0.0%
Euro Time Deposit 0.010% 7/01/13		9,738		9,738
TOTAL SHORT-TERM INVESTMENTS (Cost $48,929,922)				48,929,922
TOTAL INVESTMENTS — 104.3% (Cost $1,306,399,108) (f)				1,755,324,370
Other Assets/(Liabilities) — (4.3)%				(72,513,866	)
NET ASSETS — 100.0%			$	1,682,810,504

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At June 30, 2013, these securities amounted to a value of $4,188,941 or 0.25% of net assets.

(c) Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2013, was $72,924,924. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

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

(e) Maturity value of $48,920,225. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $49,904,150.

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

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

123

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.3%
COMMON STOCK — 97.3%
Basic Materials — 2.7%
Chemicals — 1.1%
Axiall Corp.		30,645	$	1,304,864
Ferro Corp. (a)		346,890		2,410,885
Methanex Corp.		94,200		4,030,818
Minerals Technologies, Inc.		56,288		2,326,946
				10,073,513
Forest Products & Paper — 1.5%
KapStone Paper and Packaging Corp.		234,246		9,412,004
Potlatch Corp.		95,750		3,872,130
				13,284,134
Mining — 0.1%
AuRico Gold, Inc.		85,729		374,636
				23,732,283
Communications — 9.7%
Internet — 5.4%
Angie’s List, Inc. (a)		64,100		1,701,855
Dealertrack Technologies, Inc. (a)		135,161		4,788,754
Dropbox, Inc. (b)		33,185		300,294
HomeAway, Inc. (a)		103,508		3,347,449
IAC/InterActiveCorp		132,220		6,288,383
Internap Network Services Corp. (a)		181,932		1,504,578
OpenTable, Inc. (a)		61,600		3,939,320
Responsys, Inc. (a)		91,747		1,312,900
Shutterfly, Inc. (a)		65,688		3,664,733
Shutterstock, Inc. (a)		42,520		2,371,766
Sourcefire, Inc. (a)		49,099		2,727,449
SPS Commerce, Inc. (a)		48,515		2,668,325
Stamps.com, Inc. (a)		38,229		1,505,840
Textura Corp. (a)		45,873		1,193,157
Tremor Video, Inc. (a)		118,418		1,065,762
Trulia, Inc. (a) (c)		88,440		2,749,600
ValueClick, Inc. (a)		84,860		2,094,345
Web.com Group, Inc. (a)		168,105		4,303,488
				47,527,998
Media — 1.4%
FactSet Research Systems, Inc.		63,444		6,467,481
The New York Times Co. Class A (a)		42,000		464,520
Pandora Media, Inc. (a)		297,903		5,481,415
				12,413,416
Telecommunications — 2.9%
Aruba Networks, Inc. (a)		42,150		647,424
Ciena Corp. (a)		293,100		5,692,002
DigitalGlobe, Inc. (a)		203,166		6,300,178
Ixia (a)		132,026		2,429,278
JDS Uniphase Corp. (a)		221,540		3,185,745
Plantronics, Inc.		27,380		1,202,530

	Number of Shares		Value
Sonus Networks, Inc. (a)		630,818	$	1,898,762
tw telecom, Inc. (a)		72,250		2,033,115
Vonage Holdings Corp. (a)		908,060		2,569,810
				25,958,844
				85,900,258
Consumer, Cyclical — 17.2%
Airlines — 0.5%
JetBlue Airways Corp. (a) (c)		356,000		2,242,800
Spirit Airlines, Inc. (a)		73,654		2,339,987
				4,582,787
Apparel — 1.6%
Quiksilver, Inc. (a)		153,858		990,846
Skechers U.S.A., Inc. Class A (a)		82,058		1,970,213
Steven Madden Ltd. (a)		42,875		2,074,292
Under Armour, Inc. Class A (a)		151,662		9,055,738
				14,091,089
Automotive & Parts — 1.3%
Dana Holding Corp.		167,360		3,223,354
Dorman Products, Inc.		51,037		2,328,818
Tenneco, Inc. (a)		142,571		6,455,615
				12,007,787
Distribution & Wholesale — 0.8%
Beacon Roofing Supply, Inc. (a)		45,633		1,728,578
Watsco, Inc.		39,800		3,341,608
WESCO International, Inc. (a) (c)		29,133		1,979,879
				7,050,065
Entertainment — 0.9%
Churchill Downs, Inc.		48,940		3,858,919
DreamWorks Animation SKG, Inc. Class A (a) (c)		113,820		2,920,621
Six Flags Entertainment Corp.		38,668		1,359,567
				8,139,107
Home Builders — 1.0%
Beazer Homes USA, Inc. (a) (c)		74,214		1,300,229
Standard Pacific Corp. (a) (c)		574,742		4,787,601
Taylor Morrison Home Corp. (a)		99,053		2,414,912
				8,502,742
Home Furnishing — 0.6%
Harman International Industries, Inc.		92,100		4,991,820
Leisure Time — 0.6%
Brunswick Corp.		91,867		2,935,151
LIFE TIME FITNESS, Inc. (a)		45,964		2,303,256
				5,238,407
Office Furnishings — 0.3%
Steelcase, Inc. Class A		192,657		2,808,939

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

124

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

	Number of Shares		Value
Retail — 9.4%
AFC Enterprises, Inc. (a)		36,944	$	1,327,767
BJ’s Restaurants, Inc. (a)		92,467		3,430,526
Bloomin’ Brands, Inc. (a)		136,780		3,403,086
Body Central Corp. (a)		38,799		516,803
Buffalo Wild Wings, Inc. (a)		26,970		2,647,375
Casey’s General Stores, Inc.		73,277		4,408,344
The Cheesecake Factory, Inc.		111,619		4,675,720
CST Brands, Inc. (a)		51,975		1,601,350
Denny’s Corp. (a)		300,310		1,687,742
Domino’s Pizza, Inc.		36,400		2,116,660
DSW, Inc. Class A		31,630		2,323,856
Five Below, Inc. (a) (c)		25,240		927,822
Francesca’s Holdings Corp. (a) (c)		258,486		7,183,326
GameStop Corp. Class A (c)		196,420		8,255,533
Hibbett Sports, Inc. (a)		36,000		1,998,000
HSN, Inc.		85,653		4,601,279
Jack in the Box, Inc. (a)		78,657		3,090,434
Noodles & Co. (a)		11,300		415,275
Nu Skin Enterprises, Inc. Class A		34,100		2,084,192
Panera Bread Co. Class A (a)		22,600		4,202,244
Pier 1 Imports, Inc.		252,177		5,923,638
Red Robin Gourmet Burgers, Inc. (a)		54,279		2,995,115
Stage Stores, Inc.		177,900		4,180,650
Vitamin Shoppe, Inc. (a)		63,046		2,826,983
Zumiez, Inc. (a)		240,264		6,907,590
				83,731,310
Storage & Warehousing — 0.2%
Mobile Mini, Inc. (a)		45,153		1,496,822
				152,640,875
Consumer, Non-cyclical — 22.8%
Beverages — 0.1%
The Boston Beer Co., Inc. Class A (a)		7,554		1,289,015
Biotechnology — 2.0%
Algeta ASA (a)		32,125		1,220,827
Alkermes PLC (a)		78,620		2,254,822
Arena Pharmaceuticals, Inc. (a) (c)		131,210		1,010,317
Coronado Biosciences, Inc. (a) (c)		130,153		1,119,316
Exelixis, Inc. (a) (c)		430,740		1,955,560
Immunogen, Inc. (a) (c)		79,690		1,322,057
Incyte Corp. (a)		77,650		1,708,300
Ironwood Pharmaceuticals, Inc. (a)		162,250		1,614,387
NewLink Genetics Corp. (a) (c)		52,559		1,036,463
NPS Pharmaceuticals, Inc. (a)		114,660		1,731,366
Prosensa Holding Bv Common Stock (a)		48,402		931,738
Seattle Genetics, Inc. (a)		67,620		2,127,325
				18,032,478

	Number of Shares		Value
Commercial Services — 6.3%
The Advisory Board Co. (a)		21,616	$	1,181,314
AerCap Holdings NV (a)		201,070		3,510,682
Avis Budget Group, Inc. (a)		122,601		3,524,779
Convergys Corp.		171,380		2,987,154
The Corporate Executive Board Co.		49,356		3,120,286
CoStar Group, Inc. (a)		30,401		3,923,857
ExamWorks Group, Inc. (a)		104,836		2,225,668
Exlservice Holdings, Inc. (a)		46,594		1,377,319
Heartland Payment Systems, Inc.		79,337		2,955,303
HMS Holdings Corp. (a)		115,764		2,697,301
Huron Consulting Group, Inc. (a)		59,510		2,751,742
Monro Muffler Brake, Inc. (c)		73,833		3,547,676
On Assignment, Inc. (a)		80,392		2,148,074
PAREXEL International Corp. (a)		54,279		2,493,577
Performant Financial Corp. (a)		119,977		1,390,534
Team Health Holdings, Inc. (a)		36,190		1,486,323
TrueBlue, Inc. (a)		222,488		4,683,373
WEX, Inc. (a)		100,334		7,695,618
WNS Holdings Ltd. Sponsored ADR (India) (a)		131,200		2,189,728
				55,890,308
Cosmetics & Personal Care — 0.3%
Elizabeth Arden, Inc. (a)		39,960		1,800,997
Inter Parfums, Inc.		33,250		948,290
				2,749,287
Foods — 1.5%
Annie’s, Inc. (a)		85,700		3,662,818
The Fresh Market, Inc. (a)		58,156		2,891,517
Sanderson Farms, Inc.		51,960		3,451,183
WhiteWave Foods Co. Class A (a)		172,800		2,808,000
				12,813,518
Health Care – Products — 4.4%
Cyberonics, Inc. (a)		123,600		6,422,256
Dexcom, Inc. (a)		630,912		14,163,974
Endologix, Inc. (a)		72,990		969,307
Haemonetics Corp. (a)		31,891		1,318,693
HeartWare International, Inc. (a)		52,060		4,951,427
Insulet Corp. (a)		130,610		4,102,460
Spectranetics Corp. (a)		266,711		4,982,161
Volcano Corp. (a)		124,499		2,257,167
				39,167,445
Health Care – Services — 4.0%
Acadia Healthcare Co., Inc. (a)		130,883		4,328,301
Centene Corp. (a)		42,871		2,249,013
Community Health Systems, Inc.		44,000		2,062,720
Covance, Inc. (a)		66,285		5,046,940
Health Management Associates, Inc. Class A (a)		299,870		4,713,956
HealthSouth Corp. (a)		112,114		3,228,883
Kindred Healthcare, Inc. (a)		246,590		3,237,727

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

125

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

	Number of Shares		Value
LifePoint Hospitals, Inc. (a)		47,920	$	2,340,413
Vocera Communications, Inc. (a)		200,600		2,948,820
WellCare Health Plans, Inc. (a)		92,039		5,112,766
				35,269,539
Household Products — 0.3%
Spectrum Brands Holdings, Inc.		40,124		2,281,852
Pharmaceuticals — 2.7%
AVANIR Pharmaceuticals, Inc. (a) (c)		471,260		2,167,796
BioScrip, Inc. (a)		158,155		2,609,558
Cubist Pharmaceuticals, Inc. (a)		35,430		1,711,269
Furiex Pharmaceuticals, Inc. (a)		44,175		1,505,042
Hyperion Therapeutics, Inc. (a)		50,830		1,118,260
Isis Pharmaceuticals, Inc. (a) (c)		88,024		2,365,205
Keryx Biopharmaceuticals, Inc. (a) (c)		373,951		2,793,414
The Medicines Co. (a)		50,170		1,543,229
Optimer Pharmaceuticals, Inc. (a) (c)		78,320		1,133,290
Orexigen Therapeutics, Inc. (a) (c)		246,899		1,444,359
Salix Pharmaceuticals Ltd. (a)		83,810		5,544,032
TESARO, Inc. (a)		9,600		314,304
				24,249,758
Textiles — 1.2%
Fifth & Pacific Cos., Inc. (a)		134,380		3,002,049
Samsonite International SA		759,080		1,827,998
Tumi Holdings, Inc. (a)		227,220		5,453,280
				10,283,327
				202,026,527
Energy — 6.1%
Energy – Alternate Sources — 0.6%
First Solar, Inc. (a) (c)		78,540		3,513,094
Headwaters, Inc. (a)		234,495		2,072,936
				5,586,030
Oil & Gas — 2.0%
Comstock Resources, Inc.		146,700		2,307,591
Diamondback Energy, Inc. (a)		28,130		937,292
Oasis Petroleum, Inc. (a)		41,790		1,624,377
Painted Pony Petroleum Ltd. (a)		169,960		1,370,411
Rex Energy Corp. (a)		98,490		1,731,454
Rosetta Resources, Inc. (a)		114,919		4,886,356
SemGroup Corp. Class A		83,790		4,512,929
				17,370,410
Oil & Gas Services — 3.5%
CARBO Ceramics, Inc.		26,900		1,813,867
Core Laboratories NV		31,183		4,729,214
Dril-Quip, Inc. (a)		89,789		8,107,049
Forum Energy Technologies, Inc. (a)		109,800		3,341,214
Hornbeck Offshore Services, Inc. (a)		73,301		3,921,603

	Number of Shares		Value
ION Geophysical Corp. (a)		344,280	$	2,072,566
Key Energy Services, Inc. (a)		305,100		1,815,345
Pioneer Energy Services Corp. (a)		215,316		1,425,392
TETRA Technologies, Inc. (a)		214,200		2,197,692
Trican Well Service Ltd.		155,320		2,064,632
				31,488,574
				54,445,014
Financial — 10.5%
Banks — 2.5%
Associated Banc-Corp.		146,940		2,284,917
BancFirst Corp.		7,700		358,435
BancorpSouth, Inc.		24,680		436,836
Bank of the Ozarks, Inc.		31,823		1,378,891
Banner Corp.		59,923		2,024,798
Boston Private Financial Holdings, Inc.		194,970		2,074,481
CapitalSource, Inc.		252,330		2,366,855
First Horizon National Corp.		245,720		2,752,064
Hancock Holding Co.		84,740		2,548,132
International Bancshares Corp.		119,030		2,687,697
National Penn Bancshares, Inc.		221,870		2,254,199
Sterling Financial Corp.		61,818		1,470,032
				22,637,337
Diversified Financial — 4.3%
AllianceBernstein Holding LP		65,300		1,359,546
Altisource Residential Corp. (a)		11,210		187,095
Ellie Mae, Inc. (a)		56,860		1,312,329
Financial Engines, Inc.		166,650		7,597,573
Greenhill & Co., Inc.		79,677		3,644,426
Investment Technology Group, Inc. (a)		84,700		1,184,106
Portfolio Recovery Associates, Inc. (a)		62,236		9,561,317
Virtus Investment Partners, Inc. (a)		8,255		1,455,109
WageWorks, Inc. (a)		215,736		7,432,105
WisdomTree Investments, Inc. (a)		352,398		4,077,245
				37,810,851
Insurance — 1.3%
Argo Group International Holdings Ltd.		4,200		178,038
eHealth, Inc. (a)		134,842		3,063,610
The Hanover Insurance Group, Inc.		50,630		2,477,326
Primerica, Inc.		84,430		3,161,059
Protective Life Corp.		69,857		2,683,208
				11,563,241
Investment Companies — 0.3%
Solar Capital Ltd.		99,450		2,296,301
Real Estate — 0.7%
Alexander & Baldwin, Inc. (a)		56,240		2,235,540
HFF, Inc.		156,400		2,779,228

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

126

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

	Number of Shares		Value
Jones Lang LaSalle, Inc.		13,810	$	1,258,643
				6,273,411
Real Estate Investment Trusts (REITS) — 1.4%
Eastgroup Properties		30,862		1,736,605
MFA Financial, Inc.		271,150		2,291,217
NorthStar Realty Finance Corp.		130,900		1,191,190
Pebblebrook Hotel Trust		181,261		4,685,597
Redwood Trust, Inc.		61,200		1,040,400
Zillow, Inc. Class A (a)		27,000		1,520,100
				12,465,109
				93,046,250
Industrial — 14.8%
Aerospace & Defense — 1.2%
Esterline Technologies Corp. (a)		2,400		173,496
Moog, Inc. Class A (a)		110,956		5,717,562
Teledyne Technologies, Inc. (a)		58,882		4,554,523
				10,445,581
Building Materials — 1.7%
Apogee Enterprises, Inc.		61,114		1,466,736
Armstrong World Industries, Inc. (a)		103,762		4,958,786
Lennox International, Inc.		41,954		2,707,711
Louisiana-Pacific Corp. (a)		151,582		2,241,898
Owens Corning, Inc. (a)		63,840		2,494,867
USG Corp. (a)		69,050		1,591,603
				15,461,601
Electrical Components & Equipment — 0.3%
Generac Holdings, Inc.		33,100		1,225,031
GrafTech International Ltd. (a)		148,000		1,077,440
				2,302,471
Electronics — 1.6%
Imax Corp. (a)		195,835		4,868,458
InvenSense, Inc. (a)		135,819		2,088,896
OSI Systems, Inc. (a)		36,054		2,322,599
Rogers Corp. (a)		104,050		4,923,646
				14,203,599
Environmental Controls — 0.9%
US Ecology, Inc.		84,181		2,309,927
Waste Connections, Inc.		129,600		5,331,744
				7,641,671
Hand & Machine Tools — 0.3%
Kennametal, Inc.		61,140		2,374,066
Machinery – Diversified — 3.9%
Altra Holdings, Inc.		76,564		2,096,322
Applied Industrial Technologies, Inc.		45,112		2,180,263
Briggs & Stratton Corp.		108,528		2,148,854
Cognex Corp.		53,800		2,432,836
DXP Enterprises, Inc. (a)		20,045		1,334,997
Graco, Inc.		80,700		5,101,047

	Number of Shares		Value
iRobot Corp. (a)		51,263	$	2,038,730
Lindsay Corp.		20,415		1,530,717
The Middleby Corp. (a)		22,500		3,827,025
Nordson Corp.		42,500		2,945,675
Proto Labs, Inc. (a)		48,600		3,157,542
Wabtec Corp.		113,854		6,083,219
				34,877,227
Manufacturing — 2.5%
Actuant Corp. Class A		80,338		2,648,744
Acuity Brands, Inc.		61,070		4,612,006
CLARCOR, Inc.		34,705		1,811,948
FreightCar America, Inc.		64,974		1,103,908
Hexcel Corp. (a)		205,328		6,991,419
Polypore International, Inc. (a)		38,637		1,557,071
Raven Industries, Inc.		120,900		3,624,582
				22,349,678
Packaging & Containers — 0.6%
Graphic Packaging Holding Co. (a)		473,980		3,668,605
Packaging Corporation of America		39,440		1,930,983
				5,599,588
Transportation — 1.8%
Con-way, Inc.		57,980		2,258,901
Genesee & Wyoming, Inc. Class A (a)		32,124		2,725,400
Landstar System, Inc.		32,350		1,666,025
Old Dominion Freight Line, Inc. (a)		88,084		3,666,056
Swift Transportation Co. (a)		324,472		5,366,767
				15,683,149
				130,938,631
Technology — 13.2%
Computers — 1.5%
Cadence Design Systems, Inc. (a)		400,276		5,795,996
FleetMatics Group PLC (a) (c)		104,444		3,470,674
LivePerson, Inc. (a)		110,160		986,483
MICROS Systems, Inc. (a)		46,821		2,020,326
Virtusa Corp. (a)		59,586		1,320,426
				13,593,905
Semiconductors — 3.2%
Cavium, Inc. (a)		96,963		3,429,581
Cypress Semiconductor Corp.		79,800		856,254
Hittite Microwave Corp. (a)		133,270		7,729,660
IPG Photonics Corp.		50,902		3,091,279
Lattice Semiconductor Corp. (a)		412,620		2,091,983
Microsemi Corp. (a)		103,430		2,353,033
Monolithic Power Systems, Inc.		74,000		1,784,140
Nanometrics, Inc. (a)		103,130		1,512,917
ON Semiconductor Corp. (a)		246,910		1,995,033
SunEdison, Inc. (a)		196,449		1,604,988
Ultratech, Inc. (a)		64,026		2,351,035
				28,799,903

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
Software — 8.5%
Aspen Technology, Inc. (a)		59,203	$	1,704,454
Athenahealth, Inc. (a) (c)		17,533		1,485,396
BroadSoft, Inc. (a)		164,600		4,542,960
CommVault Systems, Inc. (a)		26,086		1,979,667
Concur Technologies, Inc. (a) (c)		39,080		3,180,330
Cornerstone OnDemand, Inc. (a)		102,690		4,445,450
Demandware, Inc. (a)		20,949		888,447
Envestnet, Inc. (a)		129,303		3,180,854
Fair Isaac Corp.		22,540		1,033,008
Guidewire Software, Inc. (a)		55,240		2,322,842
Imperva, Inc. (a)		97,370		4,385,545
Infoblox, Inc. (a)		217,358		6,359,895
Interactive Intelligence Group, Inc. (a)		52,718		2,720,249
PTC, Inc. (a)		195,800		4,802,974
QLIK Technologies, Inc. (a)		99,600		2,815,692
Servicenow, Inc. (a)		55,703		2,249,844
Solera Holdings, Inc.		41,600		2,315,040
Splunk, Inc. (a)		26,675		1,236,653
Tangoe, Inc./CT (a)		157,674		2,432,910
TiVo, Inc. (a)		379,910		4,198,006
Tyler Technologies, Inc. (a)		88,604		6,073,804
The Ultimate Software Group, Inc. (a)		47,545		5,576,553
Verint Systems, Inc. (a)		143,020		5,072,919
				75,003,492
				117,397,300
Utilities — 0.3%
Gas — 0.3%
Southwest Gas Corp.		52,980		2,478,934
TOTAL COMMON STOCK (Cost $710,057,059)				862,606,072
TOTAL EQUITIES (Cost $710,057,059)				862,606,072
MUTUAL FUNDS — 3.4%
Diversified Financial — 3.4%
iShares Russell 2000 Growth Index Fund		21,183		2,362,116
iShares Russell 2000 Index Fund		37,025		3,597,349
State Street Naviagtor Securities Lending Prime Portfolio (d)		24,659,825		24,659,825
				30,619,290
TOTAL MUTUAL FUNDS (Cost $30,524,238)				30,619,290
TOTAL LONG-TERM INVESTMENTS (Cost $740,581,297)				893,225,362

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 2.7%
Repurchase Agreement — 2.7%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (e)	$	23,710,899	$	23,710,899
Time Deposits — 0.0%
Euro Time Deposit 0.010% 7/01/13		24,879		24,879
TOTAL SHORT-TERM INVESTMENTS (Cost $23,735,778)				23,735,778
TOTAL INVESTMENTS — 103.4% (Cost $764,317,075) (f)				916,961,140
Other Assets/(Liabilities) — (3.4)%				(30,525,770	)
NET ASSETS — 100.0%			$	886,435,370

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At June 30, 2013, these securities amounted to a value of $300,294 or 0.03% of net assets.

(c) Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2013, was $23,987,019. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

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

(e) Maturity value of $23,710,919. Collateralized by U.S. Government Agency obligations with rates ranging from 3.000% – 3.500%, maturity dates ranging from 11/01/25 – 12/01/26, and an aggregate market value, including accrued interest, of $24,195,158.

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

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

128

MassMutual Select Small Company Growth Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.5%
COMMON STOCK — 97.5%
Basic Materials — 4.5%
Chemicals — 3.1%
Axiall Corp.		14,630	$	622,946
Huntsman Corp.		28,346		469,410
Innophos Holdings, Inc.		1,160		54,717
Quaker Chemical Corp.		12,509		775,683
				1,922,756
Forest Products & Paper — 0.3%
Potlatch Corp.		1,350		54,594
KapStone Paper and Packaging Corp.		3,190		128,174
				182,768
Mining — 1.1%
RTI International Metals, Inc. (a)		24,617		682,137
				2,787,661
Communications — 5.2%
Advertising — 0.4%
Marin Software, Inc. (a) (b)		16,627		170,261
Millennial Media, Inc. (a) (b)		8,010		69,767
				240,028
Internet — 3.3%
Angie’s List, Inc. (a) (b)		17,137		454,987
Brightcove, Inc. (a)		5,730		50,195
HomeAway, Inc. (a)		2,740		88,612
Sourcefire, Inc. (a)		8,060		447,733
TIBCO Software, Inc. (a)		11,550		247,170
Trulia, Inc. (a) (b)		20,946		651,211
Yelp, Inc. (a)		2,900		100,833
				2,040,741
Telecommunications — 1.5%
Allot Communications Ltd. (a)		5,180		71,018
Ixia (a)		13,803		253,975
NICE Systems Ltd. Sponsored ADR (Israel)		16,568		611,193
				936,186
				3,216,955
Consumer, Cyclical — 18.1%
Airlines — 1.2%
Allegiant Travel Co.		1,040		110,230
JetBlue Airways Corp. (a) (b)		73,225		461,317
US Airways Group, Inc. (a) (b)		9,259		152,033
				723,580
Apparel — 1.2%
Oxford Industries, Inc.		1,400		87,360
Steven Madden Ltd. (a)		14,100		682,158
				769,518

	Number of Shares		Value
Automotive & Parts — 0.7%
Tenneco, Inc. (a)		2,260	$	102,333
WABCO Holdings, Inc. (a)		4,301		321,241
				423,574
Distribution & Wholesale — 0.1%
Beacon Roofing Supply, Inc. (a)		1,940		73,487
Entertainment — 4.3%
Bally Technologies, Inc. (a)		18,349		1,035,251
DreamWorks Animation SKG, Inc. Class A (a) (b)		4,670		119,832
Lions Gate Entertainment Corp. (a) (b)		5,270		144,767
Pinnacle Entertainment, Inc. (a)		19,395		381,500
SHFL Entertainment, Inc. (a)		55,257		978,601
				2,659,951
Home Builders — 0.9%
Meritage Home Corp. (a)		11,295		489,751
Thor Industries, Inc.		1,550		76,229
				565,980
Home Furnishing — 0.9%
La-Z-Boy, Inc.		3,300		66,891
Universal Electronics, Inc. (a)		18,566		522,262
				589,153
Leisure Time — 0.1%
Arctic Cat, Inc.		1,700		76,466
Lodging — 0.6%
Orient-Express Hotels Ltd. (a)		31,130		378,541
Office Furnishings — 0.1%
Interface, Inc.		3,850		65,334
Retail — 8.0%
BJ’s Restaurants, Inc. (a)		10,123		375,563
Bloomin’ Brands, Inc. (a)		2,460		61,205
Casey’s General Stores, Inc.		1,040		62,566
Cash America International, Inc.		9,508		432,234
The Cheesecake Factory, Inc.		2,530		105,982
Chico’s FAS, Inc.		18,728		319,500
Francesca’s Holdings Corp. (a) (b)		25,840		718,093
Genesco, Inc. (a)		25,908		1,735,577
Hibbett Sports, Inc. (a) (b)		1,510		83,805
Lumber Liquidators Holdings, Inc. (a) (b)		630		49,058
Noodles & Co. (a)		25		919
Papa John’s International, Inc. (a)		760		49,681
Tractor Supply Co.		360		42,340
Vitamin Shoppe, Inc. (a)		20,207		906,082
				4,942,605
				11,268,189

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

129

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

	Number of Shares		Value
Consumer, Non-cyclical — 27.5%
Biotechnology — 2.8%
Acorda Therapeutics, Inc. (a)		18,061	$	595,832
Alexion Pharmaceuticals, Inc. (a)		640		59,034
Alkermes PLC (a)		2,500		71,700
ARIAD Pharmaceuticals, Inc. (a)		24,294		424,902
Charles River Laboratories International, Inc. (a)		1,420		58,263
NPS Pharmaceuticals, Inc. (a)		4,330		65,383
Puma Biotechnology, Inc. (a)		960		42,595
Seattle Genetics, Inc. (a) (b)		11,692		367,830
Sunesis Pharmaceuticals, Inc. (a)		6,380		33,240
				1,718,779
Commercial Services — 6.0%
Avis Budget Group, Inc. (a)		9,060		260,475
The Corporate Executive Board Co.		1,387		87,686
The Geo Group, Inc.		31,866		1,081,851
MAXIMUS, Inc.		1,300		96,824
Monster Worldwide, Inc. (a)		109,914		539,678
On Assignment, Inc. (a)		3,890		103,941
PAREXEL International Corp. (a)		19,924		915,309
Rent-A-Center, Inc. (b)		2,280		85,614
Sotheby’s		4,161		157,743
Team Health Holdings, Inc. (a)		10,378		426,224
				3,755,345
Cosmetics & Personal Care — 0.2%
Elizabeth Arden, Inc. (a)		1,910		86,084
Inter Parfums, Inc.		2,090		59,607
				145,691
Foods — 2.8%
Boulder Brands, Inc. (a) (b)		6,080		73,264
The Chefs’ Warehouse, Inc. (a)		1,860		31,992
The Fresh Market, Inc. (a)		14,469		719,399
Harris Teeter Supermarkets, Inc.		1,610		75,444
TreeHouse Foods, Inc. (a)		1,230		80,614
United Natural Foods, Inc. (a)		2,690		145,233
WhiteWave Foods Co. Class A (a) (b)		36,455		592,394
				1,718,340
Health Care – Products — 3.9%
ArthroCare Corp. (a)		25,344		875,128
The Cooper Cos., Inc.		6,655		792,278
HeartWare International, Inc. (a) (b)		6,384		607,182
Insulet Corp. (a)		2,570		80,724
Natus Medical, Inc. (a)		2,980		40,677
				2,395,989
Health Care – Services — 3.3%
Acadia Healthcare Co., Inc. (a)		1,820		60,187
Air Methods Corp. (b)		15,735		533,102
Catamaran Corp. (a)		1,483		72,252
Centene Corp. (a)		18,575		974,444

	Number of Shares		Value
Emeritus Corp. (a)		8,687	$	201,365
LifePoint Hospitals, Inc. (a)		1,290		63,004
Vocera Communications, Inc. (a)		11,988		176,223
				2,080,577
Pharmaceuticals — 8.5%
Alnylam Pharmaceuticals, Inc. (a)		1,500		46,515
Cubist Pharmaceuticals, Inc. (a)		11,408		551,006
Jazz Pharmaceuticals Plc (a)		1,170		80,414
Natural Grocers by Vitamin Cottage, Inc. (a) (b)		25,204		781,324
Nektar Therapeutics (a)		5,420		62,601
Onyx Pharmaceuticals, Inc. (a)		800		99,296
Pharmacyclics, Inc. (a)		750		59,603
Salix Pharmaceuticals Ltd. (a)		13,683		905,131
Sirona Dental Systems, Inc. (a)		12,714		837,598
Theravance, Inc. (a) (b)		25,053		965,292
United Therapeutics Corp. (a)		13,561		892,585
				5,281,365
				17,096,086
Diversified — 0.1%
Holding Company – Diversified — 0.1%
Primoris Services Corp.		2,040		40,229
Energy — 5.9%
Oil & Gas — 2.5%
Diamondback Energy, Inc. (a)		1,640		54,645
Gulfport Energy Corp. (a)		16,111		758,345
Oasis Petroleum, Inc. (a)		17,504		680,380
PDC Energy, Inc. (a)		1,060		54,569
				1,547,939
Oil & Gas Services — 3.4%
Dril-Quip, Inc. (a)		3,882		350,506
Exterran Holdings, Inc. (a)		3,710		104,325
Flotek Industries, Inc. (a)		3,410		61,176
Geospace Technologies Corp. (a)		18,517		1,279,154
Thermon Group Holdings, Inc. (a)		16,740		341,496
				2,136,657
				3,684,596
Financial — 4.8%
Banks — 1.0%
PrivateBancorp, Inc.		4,530		96,081
Prosperity Bancshares, Inc.		1,220		63,184
UMB Financial Corp.		8,772		488,337
				647,602
Insurance — 1.1%
Validus Holdings Ltd.		18,825		679,959
Investment Companies — 1.4%
Home Loan Servicing Solutions Ltd.		24,027		575,927
KKR Financial Holdings LLC		27,675		291,972
				867,899

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

130

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

	Number of Shares		Value
Real Estate Investment Trusts (REITS) — 1.2%
DuPont Fabros Technology, Inc. (b)		2,220	$	53,613
Hudson Pacific Properties, Inc.		1,790		38,091
Mid-America Apartment Communities, Inc.		1,020		69,125
Redwood Trust, Inc.		10,663		181,271
Two Harbors Investment Corp.		39,434		404,199
				746,299
Savings & Loans — 0.1%
Oritani Financial Corp.		2,530		39,670
				2,981,429
Industrial — 16.6%
Aerospace & Defense — 1.4%
Teledyne Technologies, Inc. (a)		1,003		77,582
Triumph Group, Inc.		10,073		797,278
				874,860
Building Materials — 2.6%
Drew Industries, Inc.		1,610		63,305
PGT, Inc. (a)		34,663		300,528
Texas Industries, Inc. (a) (b)		13,057		850,533
Trex Co., Inc. (a)		8,005		380,158
				1,594,524
Electrical Components & Equipment — 1.2%
General Cable Corp.		13,551		416,693
Littelfuse, Inc.		1,130		84,309
Universal Display Corp. (a) (b)		7,889		221,760
				722,762
Electronics — 2.6%
Analogic Corp.		980		71,373
Coherent, Inc.		10,412		573,389
InvenSense, Inc. (a) (b)		37,271		573,228
Vishay Intertechnology, Inc. (a)		2,920		40,559
Woodward, Inc.		9,428		377,120
				1,635,669
Engineering & Construction — 0.2%
EMCOR Group, Inc.		1,930		78,455
Foster Wheeler AG (a)		3,640		79,024
				157,479
Environmental Controls — 1.2%
Waste Connections, Inc.		17,717		728,877
Machinery – Diversified — 1.6%
Chart Industries, Inc. (a)		5,298		498,489
DXP Enterprises, Inc. (a)		880		58,608
The Manitowoc Co., Inc.		21,725		389,095
The Middleby Corp. (a)		390		66,335
				1,012,527
Manufacturing — 3.0%
Actuant Corp. Class A		2,590		85,392

	Number of Shares		Value
Acuity Brands, Inc.		1,400	$	105,728
Colfax Corp. (a)		12,155		633,397
Crane Co.		1,510		90,479
Hexcel Corp. (a)		27,688		942,777
				1,857,773
Metal Fabricate & Hardware — 0.8%
Northwest Pipe Co. (a)		17,267		481,749
Transportation — 2.0%
Atlas Air Worldwide Holdings, Inc. (a)		8,137		356,075
Forward Air Corp.		1,520		58,186
Landstar System, Inc.		9,565		492,598
Quality Distribution, Inc. (a)		30,360		268,382
Werner Enterprises, Inc.		3,300		79,761
				1,255,002
				10,321,222
Technology — 14.8%
Computers — 1.9%
FleetMatics Group PLC (a) (b)		2,380		79,087
Fortinet, Inc. (a)		31,661		554,068
Fusion-io, Inc. (a) (b)		15,835		225,490
Riverbed Technology, Inc. (a)		19,711		306,703
				1,165,348
Semiconductors — 5.0%
ATMI, Inc. (a)		3,280		77,572
Cavium, Inc. (a)		18,060		638,782
Entegris, Inc. (a)		4,000		37,560
EZchip Semiconductor Ltd. (a) (b)		12,061		325,526
IPG Photonics Corp. (b)		9,199		558,655
Photronics, Inc. (a)		9,130		73,588
Power Integrations, Inc.		1,610		65,302
Semtech Corp. (a)		2,420		84,773
Silicon Image, Inc. (a)		7,690		44,987
Teradyne, Inc. (a)		36,095		634,189
Ultratech, Inc. (a)		1,600		58,752
Veeco Instruments, Inc. (a) (b)		13,960		494,463
				3,094,149
Software — 7.9%
Athenahealth, Inc. (a) (b)		610		51,679
AVG Technologies NV (a) (b)		3,110		60,490
BroadSoft, Inc. (a)		2,950		81,420
Compuware Corp.		23,657		244,850
Concur Technologies, Inc. (a) (b)		5,182		421,711
Cornerstone OnDemand, Inc. (a)		18,025		780,302
Demandware, Inc. (a) (b)		11,730		497,469
Guidewire Software, Inc. (a)		7,957		334,592
Imperva, Inc. (a)		9,015		406,036
Infoblox, Inc. (a)		4,350		127,281
Jive Software, Inc. (a)		6,120		111,200
MedAssets, Inc. (a)		33,947		602,220

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
Proofpoint, Inc. (a)		1,870	$	45,310
QLIK Technologies, Inc. (a)		25,949		733,578
Qualys, Inc. (a)		3,160		50,939
RADWARE Ltd. (a)		3,230		44,542
The Ultimate Software Group, Inc. (a)		2,910		341,314
				4,934,933
				9,194,430
TOTAL COMMON STOCK (Cost $50,569,087)				60,590,797
TOTAL EQUITIES (Cost $50,569,087)				60,590,797
MUTUAL FUNDS — 16.5%
Diversified Financial — 16.5%
iShares Russell 2000 Growth Index Fund (b)		1,800		200,718
State Street Navigator Securities Lending Prime Portfolio (c)		10,044,930		10,044,930
				10,245,648
TOTAL MUTUAL FUNDS (Cost $10,247,357)				10,245,648
TOTAL LONG-TERM INVESTMENTS (Cost $60,816,444)				70,836,445
	Principal Amount
SHORT-TERM INVESTMENTS — 1.9%
Repurchase Agreement — 1.9%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (d)	$	1,228,974		1,228,974
TOTAL SHORT-TERM INVESTMENTS (Cost $1,228,974)				1,228,974
TOTAL INVESTMENTS — 115.9% (Cost $62,045,418) (e)				72,065,419
Other Assets/(Liabilities) — (15.9)%				(9,906,650	)
NET ASSETS — 100.0%			$	62,158,769

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2013, was $9,798,157. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(c) Represents investment of security lending collateral. (Note 2).

(d) Maturity value of $1,228,975. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $1,258,270.

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

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

132

MassMutual Select Diversified International Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.7%
COMMON STOCK — 96.3%
Basic Materials — 5.4%
Chemicals — 4.2%
BASF SE		29,263	$	2,613,571
Nitto Denko Corp.		25,800		1,659,865
Solvay SA Class A		17,378		2,273,406
				6,546,842
Forest Products & Paper — 0.7%
UPM-Kymmene OYJ		111,204		1,084,589
Mining — 0.5%
First Quantum Minerals Ltd.		46,891		695,540
				8,326,971
Communications — 8.0%
Media — 0.7%
Pearson PLC		59,355		1,053,891
Telecommunications — 7.3%
Nippon Telegraph & Telephone Corp.		31,500		1,644,038
Telefonaktiebolaget LM Ericsson Class B		162,735		1,844,981
Telefonica SA (a)		114,539		1,473,787
Telenor ASA		90,032		1,784,752
Vodafone Group PLC		1,601,560		4,596,024
				11,343,582
				12,397,473
Consumer, Cyclical — 11.5%
Airlines — 0.5%
Deutsche Lufthansa AG (a)		35,407		716,876
Auto Manufacturers — 3.9%
Daimler AG		13,329		805,631
Honda Motor Co. Ltd.		46,400		1,724,246
Renault SA		6,950		464,279
Toyota Motor Corp.		50,700		3,061,331
				6,055,487
Automotive & Parts — 1.7%
Bridgestone Corp. (b)		40,900		1,394,084
Sumitomo Electric Industries Ltd.		104,400		1,248,603
				2,642,687
Distribution & Wholesale — 0.9%
Marubeni Corp.		25,000		167,143
Sumitomo Corp.		96,700		1,206,200
				1,373,343
Food Services — 1.1%
Sodexo		21,035		1,751,626
Home Builders — 0.9%
Daiwa House Industry Co. Ltd.		78,000		1,455,911

	Number of Shares		Value
Lodging — 1.3%
InterContinental Hotels Group PLC		69,894	$	1,923,521
Retail — 1.2%
Kingfisher PLC		342,497		1,792,952
				17,712,403
Consumer, Non-cyclical — 13.6%
Agriculture — 1.7%
British American Tobacco PLC		13,521		694,349
Japan Tobacco, Inc.		55,300		1,954,494
				2,648,843
Beverages — 1.4%
Kirin Holdings Co. Ltd.		56,000		879,512
SABMiller PLC		27,831		1,339,192
				2,218,704
Commercial Services — 0.3%
Experian PLC		29,420		510,276
Foods — 1.8%
Seven & I Holdings Co. Ltd.		55,500		2,028,842
Unilever NV		18,544		727,422
				2,756,264
Pharmaceuticals — 8.4%
Bayer AG		27,819		2,965,692
Novartis AG		39,227		2,779,994
Otsuka Holdings Co. Ltd.		38,200		1,261,454
Roche Holding AG		6,679		1,654,952
Sanofi		40,920		4,217,095
				12,879,187
				21,013,274
Diversified — 2.5%
Holding Company – Diversified — 2.5%
Hutchison Whampoa Ltd.		236,000		2,466,427
Wharf Holdings Ltd.		158,000		1,315,485
				3,781,912
Energy — 8.6%
Coal — 0.6%
China Shenhua Energy Co. Ltd. Class H		390,000		980,066
Oil & Gas — 8.0%
BG Group PLC		72,023		1,229,216
ENI SpA		159,588		3,278,673
Repsol YPF SA		92,113		1,941,848
Royal Dutch Shell PLC Class A		150,198		4,792,997
Tullow Oil PLC		66,465		1,015,285
				12,258,019
				13,238,085

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

133

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

	Number of Shares		Value
Financial — 29.6%
Banks — 16.5%
Australia & New Zealand Banking Group Ltd.		97,421	$	2,528,631
Barclays PLC		570,060		2,443,703
BNP Paribas		55,760		3,046,545
China Construction Bank Corp. Class H		1,132,000		795,143
Danske Bank A/S (a)		70,566		1,201,327
HSBC Holdings PLC		588,412		6,097,762
Intesa Sanpaolo SpA		758,415		1,213,556
Mitsubishi UFJ Financial Group, Inc.		468,900		2,909,745
Sberbank of Russia Sponsored ADR (Russia) (a)		87,011		998,886
Societe Generale SA		42,737		1,455,223
Sumitomo Mitsui Financial Group, Inc.		61,100		2,803,489
				25,494,010
Diversified Financial — 3.7%
Credit Suisse Group		42,522		1,127,372
Deutsche Boerse AG		20,847		1,372,386
ORIX Corp.		175,700		2,400,987
UBS AG		46,156		784,113
				5,684,858
Insurance — 7.3%
Allianz SE		26,721		3,902,343
AXA SA		88,262		1,734,207
ING Groep NV (a)		162,725		1,486,932
Prudential PLC		134,060		2,203,899
Swiss Re AG		26,514		1,964,064
				11,291,445
Real Estate — 1.5%
China Overseas Land & Investment Ltd.		240,000		619,835
Mitsui Fudosan Co. Ltd.		60,000		1,765,011
				2,384,846
Real Estate Investment Trusts (REITS) — 0.6%
Goodman Group		197,813		876,713
				45,731,872
Industrial — 9.7%
Aerospace & Defense — 1.1%
European Aeronautic Defence and Space Co.		32,788		1,743,505
Building Materials — 1.9%
Compagnie de Saint-Gobain		44,970		1,810,136
Lafarge SA		19,289		1,179,837
				2,989,973

	Number of Shares		Value
Electrical Components & Equipment — 3.3%
Hitachi Ltd.		455,000	$	2,922,786
Schneider Electric SA		29,290		2,111,674
				5,034,460
Machinery – Construction & Mining — 1.1%
Rio Tinto PLC		39,553		1,621,141
Machinery – Diversified — 0.8%
Mitsubishi Heavy Industries Ltd.		208,000		1,155,703
Transportation — 1.5%
East Japan Railway		12,300		956,270
Yamato Holdings Co. Ltd.		66,100		1,393,709
				2,349,979
				14,894,761
Technology — 2.6%
Office Equipment/Supplies — 0.8%
Ricoh Co. Ltd.		106,000		1,261,370
Semiconductors — 1.8%
ASML Holding NV		21,752		1,706,530
Samsung Electronics Co., Ltd.		926		1,086,828
				2,793,358
				4,054,728
Utilities — 4.8%
Electric — 2.8%
Cia Energetica de Minas Gerais Sponsored ADR (Brazil) (b)		120,482		1,080,724
Electricite de France		78,997		1,833,036
Iberdrola SA		275,467		1,445,765
				4,359,525
Gas — 1.5%
Centrica PLC		278,474		1,528,301
Gaz De France		43,269		843,672
				2,371,973
Water — 0.5%
Suez Environnement Co. (b)		54,960		707,621
				7,439,119
TOTAL COMMON STOCK (Cost $136,886,017)				148,590,598
PREFERRED STOCK — 1.4%
Consumer, Cyclical — 1.4%
Auto Manufacturers — 1.4%
Volkswagen AG 2.070%		10,900		2,200,560
TOTAL PREFERRED STOCK (Cost $1,987,713)				2,200,560
TOTAL EQUITIES (Cost $138,873,730)				150,791,158

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

134

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

	Number of Shares		Value
MUTUAL FUNDS — 2.0%
Diversified Financial — 2.0%
State Street Navigator Securities Lending Prime Portfolio (c)		3,129,077	$	3,129,077
TOTAL MUTUAL FUNDS (Cost $3,129,077)				3,129,077
TOTAL LONG-TERM INVESTMENTS (Cost $142,002,807)				153,920,235
	Principal Amount
SHORT-TERM INVESTMENTS — 1.1%
Repurchase Agreement — 1.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (d)	$	1,659,043		1,659,043
TOTAL SHORT-TERM INVESTMENTS (Cost $1,659,043)				1,659,043
TOTAL INVESTMENTS — 100.8% (Cost $143,661,850) (e)				155,579,278
Other Assets/(Liabilities) — (0.8)%				(1,252,434	)
NET ASSETS — 100.0%			$	154,326,844

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2013, was $2,997,107. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(c) Represents investment of security lending collateral. (Note 2).

(d) Maturity value of $1,659,044. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $1,694,908.

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

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

135

MM MSCI EAFE International Index Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.8%
COMMON STOCK — 98.2%
Basic Materials — 6.2%
Chemicals — 3.3%
Air Liquide (a)		5,011	$	616,462
Air Water, Inc.		3,000		42,261
Akzo Nobel NV		3,794		213,114
Arkema		1,064		97,150
Asahi Kasei Corp.		20,000		132,301
BASF SE		14,775		1,319,602
Brenntag AG		829		125,888
Croda International PLC		2,211		83,532
Daicel Corp.		5,000		43,814
EMS-Chemie Holding AG Registered		136		40,122
Givaudan SA Registered		132		170,451
Hitachi Chemical Co. Ltd. (a)		1,700		26,622
Incitec Pivot Ltd.		27,189		70,779
Israel Chemicals Ltd.		7,297		71,894
Johnson Matthey PLC		3,285		131,557
JSR Corp.		2,800		56,640
K+S AG (a)		2,786		102,829
Kaneka Corp.		4,000		26,420
Kansai Paint Co. Ltd. (a)		4,000		51,064
Koninklijke DSM NV		2,532		164,733
Lanxess AG		1,267		76,158
Linde AG		2,978		554,516
Lonza Group AG Registered		870		65,215
Mitsubishi Chemical Holding Corp.		22,500		105,731
Mitsubishi Gas Chemical Co., Inc.		6,000		44,108
Mitsui Chemicals, Inc. (a)		14,000		31,623
Nitto Denko Corp.		2,700		173,707
Shin-Etsu Chemical Co. Ltd.		6,600		437,930
Showa Denko KK (a)		22,000		29,061
Solvay SA Class A		988		129,251
Sumitomo Chemical Co. Ltd.		25,000		78,659
Syngenta AG		1,494		582,642
Taiyo Nippon Sanso Corp.		4,000		27,711
Ube Industries Ltd.		16,000		29,686
Yara International ASA		3,099		123,571
				6,076,804
Forest Products & Paper — 0.2%
Oji Holdings Corp. (a)		12,000		48,402
Stora Enso Oyj Class R		8,716		58,080
Svenska Cellulosa AB Class B		9,184		229,941
UPM-Kymmene OYJ (a)		8,257		80,532
				416,955
Iron & Steel — 0.6%
ArcelorMittal		16,463		183,512
Daido Steel Co. Ltd.		5,000		25,362
Fortescue Metals Group Ltd. (a)		23,310		63,945

	Number of Shares		Value
Hitachi Metals Ltd. (a)		3,000	$	33,762
The Japan Steel Works Ltd.		5,000		27,529
JFE Holdings, Inc.		7,800		171,239
Kobe Steel Ltd. (a) (b)		44,000		54,575
Nippon Steel Corp.		123,000		332,415
ThyssenKrupp AG (b)		6,027		118,395
Voestalpine AG		1,754		61,746
Yamato Kogyo Co. Ltd.		700		21,423
				1,093,903
Mining — 2.1%
Alumina Ltd. (a) (b)		44,284		39,451
Anglo American PLC		22,447		433,757
Antofagasta PLC		6,112		74,200
BHP Billiton Ltd.		51,719		1,490,294
Boliden AB		4,111		50,901
Fresnillo PLC		2,686		36,158
Glencore International PLC		161,100		670,169
Iluka Resources Ltd. (a)		6,248		56,410
Mitsubishi Materials Corp.		18,000		63,347
Newcrest Mining Ltd.		11,987		107,661
Orica Ltd.		6,137		115,365
Randgold Resources Ltd.		1,414		89,938
Rio Tinto Ltd. (a)		7,009		332,910
Sumitomo Metal Mining Co. Ltd.		8,000		89,225
Umicore SA		1,824		75,769
Vedanta Resources PLC		1,710		26,641
				3,752,196
				11,339,858
Communications — 7.1%
Advertising — 0.4%
Dentsu, Inc.		2,900		100,308
Hakuhodo DY Holdings, Inc.		380		26,631
JCDecaux SA (a)		1,078		29,383
Publicis Groupe		2,788		197,698
WPP PLC		20,361		347,859
				701,879
Internet — 0.3%
Dena Co. Ltd.		1,900		37,067
Gree, Inc. (b)		2,000		17,751
Iliad SA		392		84,576
M3, Inc. (a)		13		29,206
Rakuten, Inc.		11,700		138,393
SBI Holdings, Inc.		2,842		31,384
Seek Ltd.		4,832		39,853
Trend Micro, Inc.		1,700		53,999
United Internet AG		1,828		51,521
Yahoo! Japan Corp.		234		115,630
				599,380

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

136

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Media — 0.9%
Axel Springer AG (a)		653	$	27,823
British Sky Broadcasting Group PLC		16,729		201,872
ITV PLC		61,108		130,635
Kabel Deutschland Holding AG		1,428		156,800
Lagardere S.C.A		1,842		51,309
Pearson PLC		13,322		236,542
Reed Elsevier NV		11,400		189,090
Reed Elsevier PLC		19,628		223,661
Singapore Press Holdings Ltd.		26,000		85,348
Vivendi SA		19,142		360,746
Wolters Kluwer NV		4,634		97,725
				1,761,551
Telecommunications — 5.5%
Belgacom SA (a)		2,409		53,833
Bezeq Israeli Telecommunication Corp. Ltd.		27,986		37,228
BT Group PLC		126,655		592,700
Deutsche Telekom AG		45,116		526,215
Elisa OYJ		2,486		48,547
Eutelsat Communications SA		2,139		60,541
France Telecom SA		30,009		282,599
Hellenic Telecommunications Organization SA (b)		3,395		26,501
HKT Trust / HKT Ltd.		38,000		35,856
Inmarsat PLC		6,764		69,417
KDDI Corp.		8,700		452,672
Koninklijke KPN NV		53,667		110,994
Millicom International Cellular SA (a)		1,029		74,190
NICE Systems Ltd.		925		34,112
Nippon Telegraph & Telephone Corp.		7,000		365,342
Nokia Oyj (b)		59,353		221,081
NTT DOCOMO, Inc.		245		380,692
PCCW Ltd.		64,000		30,056
Portugal Telecom SGPS SA		10,684		41,548
SES SA		4,864		138,921
Singapore Telecommunications Ltd.		129,000		382,023
Softbank Corp.		15,300		893,343
StarHub Ltd. (a)		9,000		29,678
Swisscom AG		367		160,379
TDC A/S		12,429		100,551
Tele2 AB		5,359		62,702
Telecom Corp. of New Zealand Ltd.		30,769		53,495
Telecom Italia SpA		162,267		112,704
Telecom Italia SpA- RSP		89,411		49,407
Telefonaktiebolaget LM Ericsson Class B		48,880		554,169
Telefonica Deutschland Holding AG		4,076		29,503
Telefonica SA (b)		65,780		846,399
Telekom Austria AG		3,784		23,870
Telenet Group Holding NV		820		37,544
Telenor ASA		11,117		220,378

	Number of Shares		Value
TeliaSonera AB		38,537	$	250,391
Telstra Corp. Ltd.		70,218		305,696
Vodafone Group PLC		786,818		2,257,945
Ziggo NV		2,792		111,459
				10,064,681
				13,127,491
Consumer, Cyclical — 11.6%
Airlines — 0.2%
All Nippon Airways Co. Ltd.		17,000		35,312
Cathay Pacific Airways Ltd.		19,000		33,172
Deutsche Lufthansa AG (b)		3,513		71,127
easyJet PLC (a)		2,461		48,741
International Consolidated Airlines Group SA (b)		15,195		60,712
Japan Airlines Co. Ltd.		1,000		51,425
Qantas Airways Ltd. (b)		17,203		21,074
Singapore Airlines Ltd.		9,000		71,996
				393,559
Apparel — 0.4%
Adidas AG		3,374		364,672
Asics Corp.		2,900		45,941
Burberry Group PLC		7,048		145,397
Christian Dior SA		865		138,972
Hugo Boss AG		467		51,331
Yue Yuen Industrial Holdings Ltd.		11,000		28,335
				774,648
Auto Manufacturers — 3.8%
Bayerische Motoren Werke AG		5,327		465,393
Daihatsu Motor Co. Ltd. (a)		3,000		56,872
Daimler AG		15,457		934,251
Fiat Industrial SpA		13,654		152,100
Fiat SpA (b)		14,394		99,759
Fuji Heavy Industries Ltd.		9,000		221,920
Hino Motors Ltd.		4,000		58,734
Honda Motor Co. Ltd.		26,200		973,604
Isuzu Motors Ltd.		20,000		136,950
Mazda Motor Corp. (b)		45,000		177,445
Mitsubishi Motors Corp. (a) (b)		64,000		87,775
Nissan Motor Co. Ltd.		40,000		405,395
Renault SA		3,157		210,896
Scania AB		5,191		103,422
Suzuki Motor Corp.		6,000		138,374
Toyota Motor Corp.		44,400		2,680,929
Volkswagen AG		464		90,408
				6,994,227
Automotive & Parts — 1.2%
Aisin Seiki Co.		3,100		118,636
Bridgestone Corp. (a)		10,500		357,894
Cie Generale des Etablissements Michelin Class B (a)		3,099		275,709
Continental AG		1,752		233,443

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

137

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Denso Corp.		7,800	$	365,826
GKN PLC		26,436		121,678
JTEKT Corp.		3,600		40,516
Koito Manufacturing Co. Ltd.		2,000		38,218
NGK Spark Plug Co., Ltd.		3,000		60,080
NHK Spring Co. Ltd.		2,600		30,152
NOK Corp.		1,400		22,326
Nokian Renkaat OYJ (a)		1,914		77,790
Pirelli & C. SpA (a)		4,244		48,919
Stanley Electric Co. Ltd.		2,200		42,861
Sumitomo Electric Industries Ltd.		12,400		148,302
Sumitomo Rubber Industries Ltd. (a)		2,600		42,527
Toyoda Gosei Co. Ltd.		1,100		26,966
Toyota Boshoku Corp. (a)		1,300		18,746
Toyota Industries Corp.		2,500		102,354
The Yokohama Rubber Co. Ltd. (a)		3,000		30,161
				2,203,104
Distribution & Wholesale — 1.1%
Hitachi High-Technologies Corp.		1,100		26,522
ITOCHU Corp.		24,300		280,575
Jardine Cycle & Carriage Ltd.		2,000		67,071
Li & Fung Ltd.		96,000		130,666
Marubeni Corp.		26,000		173,829
Mitsubishi Corp.		22,600		387,189
Mitsui & Co. Ltd.		28,000		351,803
Sojitz Corp.		20,000		33,278
Sumitomo Corp.		18,500		230,762
Toyota Tsusho Corp.		3,500		90,247
Wolseley PLC		4,491		207,855
				1,979,797
Electrical Components & Equipment — 0.0%
Sharp Corp. (a) (b)		16,000		64,543
Entertainment — 0.2%
OPAP SA		3,654		30,599
Oriental Land Co. Ltd.		800		123,742
Tabcorp Holdings Ltd.		10,763		29,871
Tatts Group Ltd.		23,769		68,701
Toho Co. Ltd.		1,700		35,004
William Hill PLC		14,517		97,680
				385,597
Food Services — 0.3%
Compass Group PLC		29,432		377,189
Sodexo		1,476		122,909
				500,098
Home Builders — 0.2%
Daiwa House Industry Co. Ltd.		8,000		149,324
Persimmon PLC		5,138		92,691
Sekisui Chemical Co. Ltd.		7,000		74,516
Sekisui House Ltd.		9,000		130,147
				446,678

	Number of Shares		Value
Home Furnishing — 0.4%
Electrolux AB Class B		3,699	$	93,538
Panasonic Corp. (b)		35,900		288,530
Sony Corp. (a)		16,300		344,885
				726,953
Leisure Time — 0.3%
Carnival PLC		3,069		106,447
Flight Centre Ltd.		947		33,821
Sankyo Co. Ltd.		900		42,517
Sega Sammy Holdings, Inc. (a)		3,100		77,617
Shimano, Inc. (a)		1,300		110,372
Yamaha Corp.		2,500		28,664
Yamaha Motor Co. Ltd.		4,500		58,314
				457,752
Lodging — 0.7%
Accor SA (a)		2,433		85,452
City Developments Ltd. (a)		6,000		50,458
Crown Ltd.		6,830		74,986
Echo Entertainment Group Ltd.		14,169		39,567
Galaxy Entertainment Group Ltd. (b)		33,000		159,250
Genting Singapore PLC (a)		100,000		103,714
InterContinental Hotels Group PLC		4,334		119,274
MGM China Holdings Ltd.		14,800		39,508
Sands China Ltd.		38,800		182,218
Shangri-La Asia Ltd.		28,000		47,983
SJM Holdings Ltd.		33,000		79,494
SKYCITY Entertainment Group Ltd.		9,068		30,552
Whitbread PLC		2,901		135,283
Wynn Macau Ltd.		23,200		62,476
				1,210,215
Retail — 2.5%
ABC-Mart, Inc. (a)		300		11,707
Aeon Co. Ltd. (a)		9,800		128,663
Cie Financiere Richemont SA		8,408		737,563
Citizen Holdings Co. Ltd.		4,500		25,219
Don Quijote Co. Ltd.		900		43,883
FamilyMart Co. Ltd.		1,000		42,653
Fast Retailing Co. Ltd.		900		303,590
Harvey Norman Holdings Ltd.		9,444		21,870
Hennes & Mauritz AB Class B		15,226		498,563
Inditex SA		3,507		432,597
Isetan Mitsukoshi Holdings Ltd.		5,500		73,043
J Front Retailing Co. Ltd.		8,000		63,812
Kering		1,236		250,189
Kingfisher PLC		38,841		203,331
Lawson, Inc. (a)		1,000		76,330
Marks & Spencer Group PLC		25,282		165,210
Marui Group Co. Ltd.		3,400		33,909
McDonald’s Holdings Co. Japan Ltd. (a)		1,100		30,419
Next PLC		2,557		176,845

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

138

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Nitori Holdings Co. Ltd.		500	$	40,359
Shimamura Co. Ltd.		400		48,601
Swatch Group AG		502		275,050
The Swatch Group AG		651		61,080
Takashimaya Co. Ltd.		4,000		40,538
Travis Perkins PLC		4,162		92,476
USS Co. Ltd.		320		40,623
Wesfarmers Ltd.		16,193		584,047
Yamada Denki Co. Ltd.		1,430		58,038
				4,560,208
Storage & Warehousing — 0.0%
Mitsubishi Logistics Corp.		2,000		27,933
Textiles — 0.1%
Kuraray Co. Ltd.		5,900		82,818
Teijin Ltd.		14,000		30,776
Toray Industries, Inc.		23,000		148,899
				262,493
Toys, Games & Hobbies — 0.2%
Namco Bandai Holdings, Inc.		3,100		50,408
Nintendo Co. Ltd. (a)		1,700		200,564
Sanrio Co. Ltd.		700		32,575
				283,547
				21,271,352
Consumer, Non-cyclical — 22.7%
Agriculture — 1.7%
British American Tobacco PLC		31,026		1,593,291
Golden Agri-Resources Ltd. (a)		108,000		47,444
Imperial Tobacco Group PLC		15,729		546,507
Japan Tobacco, Inc.		17,700		625,579
Swedish Match AB		3,452		122,039
Wilmar International Ltd.		32,000		79,181
				3,014,041
Beverages — 2.6%
Asahi Group Holdings Ltd. (a)		6,400		159,139
Carlsberg A/S Class B		1,683		150,218
Coca-Cola Amatil Ltd.		8,945		103,582
Coca-Cola HBC AG Sponsored ADR (Switzerland)		2,589		60,531
Coca-Cola HBC AG		846		19,803
Coca-Cola West Co. Ltd.		1,100		19,563
DE Master Blenders 1753 NV (b)		7,832		125,389
Diageo PLC		40,346		1,157,254
Heineken Holding NV Class A		1,579		88,449
Heineken NV		3,767		239,477
InBev NV		12,947		1,148,595
Kirin Holdings Co. Ltd.		14,000		219,878
Pernod-Ricard SA (a)		3,420		379,067
Remy Cointreau SA		420		44,547
SABMiller PLC		15,418		741,894

	Number of Shares		Value
Treasury Wine Estates Ltd.		11,242	$	59,679
				4,717,065
Biotechnology — 0.3%
CSL Ltd.		7,984		449,641
Novozymes A/S		3,718		118,931
				568,572
Commercial Services — 1.4%
Abertis Infraestructuras SA		5,662		98,340
Adecco SA		2,133		121,079
Aggreko PLC		4,405		110,436
Atlantia SpA (a)		5,318		86,383
Babcock International Group PLC		5,635		94,876
Benesse Holdings, Inc.		1,200		43,306
Brambles Ltd.		25,480		216,846
Bunzl PLC		5,151		100,538
Bureau Veritas SA (a)		3,420		88,565
Capita PLC		10,900		160,598
Dai Nippon Printing Co. Ltd. (a)		9,000		81,893
Edenred (a)		3,310		101,249
Experian PLC		16,334		283,306
G4S PLC		22,353		78,103
Intertek Group PLC		2,598		115,766
Park24 Co. Ltd.		1,800		32,652
Randstad Holding NV		1,847		75,419
Secom Co. Ltd.		3,400		185,138
Securitas AB Class B		5,607		48,800
Serco Group PLC		7,517		70,691
SGS SA		86		184,314
Toppan Printing Co. Ltd.		9,000		62,530
Transurban Group (a)		22,586		139,325
				2,580,153
Cosmetics & Personal Care — 0.7%
Beiersdorf AG		1,658		144,569
Kao Corp. (a)		8,500		289,267
L’Oreal		3,886		635,368
Shiseido Co. Ltd. (a)		5,900		87,763
Unicharm Corp. (a)		1,800		101,823
				1,258,790
Foods — 5.5%
Ajinomoto Co., Inc.		10,000		146,816
Aryzta AG		1,463		82,036
Associated British Foods PLC		5,693		150,704
Barry Callebaut AG		40		36,669
Calbee, Inc.		300		28,465
Carrefour SA (a)		9,832		268,614
Casino Guichard-Perrachon SA		883		82,461
Colruyt SA		1,210		63,610
Danone SA		9,180		688,507
Delhaize Group		1,666		102,404
Distribuidora Internacional de Alimentacion SA		9,320		70,168

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

139

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
First Pacific Co. Ltd.		30,000	$	31,977
J Sainsbury PLC		20,339		109,867
Jeronimo Martins SGPS SA		3,842		80,870
Kerry Group PLC		2,381		131,450
Kesko OYJ		1,001		27,723
Kikkoman Corp.		3,000		49,914
Koninlijke Ahold NV		16,421		243,954
Lindt & Spruengli AG		13		48,673
Lindt & Spruengli AG		2		87,024
MEIJI Holdings Co. Ltd.		900		43,243
Metcash Ltd. (a)		14,608		46,859
Metro AG		2,038		64,431
Nestle SA		51,861		3,392,043
Nippon Meat Packers, Inc.		3,000		45,891
Nisshin Seifun Group, Inc.		3,000		35,938
Nissin Foods Holdings Co. Ltd. (a)		900		36,435
Olam International Ltd.		24,000		30,999
Seven & I Holdings Co. Ltd.		12,100		442,324
Suedzucker AG		1,217		37,671
Tate & Lyle PLC		7,304		91,764
Tesco PLC		129,731		651,926
Toyo Suisan Kaisha Ltd.		1,000		33,330
Unilever NV		26,223		1,028,645
Unilever PLC		20,631		837,853
WM Morrison Supermarkets PLC		35,038		139,191
Woolworths Ltd.		19,973		597,017
Yakult Honsha Co. Ltd. (a)		1,300		53,877
Yamazaki Baking Co. Ltd. (a)		2,000		23,528
				10,164,871
Health Care – Products — 0.9%
Cie Generale d’Optique Essilor International SA		3,285		349,300
Cochlear Ltd.		870		48,822
Coloplast A/S		1,776		99,403
Elekta AB		5,917		89,991
Fresenius SE & Co. KGaA		2,030		250,214
Getinge AB		3,114		94,403
Luxottica Group SpA		2,713		136,582
QIAGEN NV (b)		4,044		79,430
Shimadzu Corp.		4,000		32,187
Smith & Nephew PLC		15,005		167,227
Sonova Holding AG		796		84,396
Sysmex Corp.		1,100		71,989
Terumo Corp.		2,500		124,411
William Demant Holding (b)		401		33,157
				1,661,512
Health Care – Services — 0.2%
Fresenius Medical Care AG & Co. KGaA		3,480		246,549
Miraca Holdings, Inc.		800		36,857
Ramsay Health Care Ltd.		2,039		66,631

	Number of Shares		Value
Sonic Healthcare Ltd.		6,083	$	82,393
				432,430
Household Products — 0.5%
Henkel AG & Co. KGaA		2,037		159,652
Husqvarna AB		5,959		31,352
Reckitt Benckiser Group PLC		10,403		737,468
Societe BIC SA		482		48,222
				976,694
Pharmaceuticals — 8.9%
Actelion Ltd.		1,719		103,498
Alfresa Holdings Corp.		600		32,126
Astellas Pharma, Inc.		7,200		392,091
AstraZeneca PLC		20,071		949,438
Bayer AG		13,322		1,420,215
Celesio AG		1,392		30,240
Chugai Pharmaceutical Co. Ltd.		3,400		70,488
Daiichi Sankyo Co. Ltd.		10,700		178,675
Dainippon Sumitomo Pharma Co. Ltd.		2,300		30,406
Eisai Co. Ltd. (a)		4,000		163,149
Elan Corp. PLC (b)		7,979		111,580
GlaxoSmithKline PLC		78,917		1,974,252
Grifols SA		79		2,232
Grifols SA		2,469		90,598
Hisamitsu Pharmaceutical Co., Inc.		1,100		56,037
Kyowa Hakko Kirin Co. Ltd.		4,000		45,256
Medipal Holdings Corp.		2,300		31,170
Merck KGaA		1,035		157,413
Mitsubishi Tanabe Pharma Corp.		4,000		51,935
Novartis AG		37,019		2,623,515
Novo Nordisk A/S Class B		6,560		1,021,310
Ono Pharmaceutical Co. Ltd.		1,300		88,219
Orion OYJ		1,380		32,278
Otsuka Holdings Co. Ltd.		5,900		194,832
Roche Holding AG		11,312		2,802,937
Sanofi		19,212		1,979,932
Santen Pharmaceutical Co. Ltd.		1,200		51,762
Shionogi & Co. Ltd.		4,800		100,192
Shire Ltd.		9,055		287,252
Suzuken Co. Ltd.		1,100		37,046
Taisho Pharmaceutical Holdings Co. Ltd.		500		35,493
Takeda Pharmaceutical Co. Ltd.		12,700		574,743
Teva Pharmaceutical Industries Ltd.		13,713		537,524
Tsumura & Co.		900		26,535
UCB SA		1,686		90,782
				16,375,151
				41,749,279

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

140

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Diversified — 1.1%
Holding Company – Diversified — 1.1%
Exor SpA		1,042	$	30,815
GEA Group AG		3,009		106,409
Groupe Bruxelles Lambert SA		1,243		93,863
Hutchison Whampoa Ltd.		34,000		355,333
Industrivarden AB		1,824		30,315
Keppel Corp. Ltd.		23,000		188,070
LVMH Moet Hennessy Louis Vuitton SA		4,092		658,961
Noble Group Ltd.		63,000		48,208
NWS Holdings Ltd.		20,772		31,600
Swire Pacific Ltd.		11,500		137,729
TUI Travel PLC		6,833		36,903
Wendel SA (a)		540		55,504
Wharf Holdings Ltd.		24,000		199,821
				1,973,531
Energy — 6.7%
Coal — 0.0%
Whitehaven Coal Ltd. (a)		9,365		19,700
Energy – Alternate Sources — 0.0%
Enel Green Power SpA		28,436		58,991
Oil & Gas — 6.3%
BG Group PLC		54,714		933,803
BP PLC		308,232		2,138,259
Caltex Australia Ltd.		1,973		32,408
Cosmo Oil Co. Ltd. (b)		11,000		20,298
ENI SpA		41,002		842,370
Galp Energia SGPS SA		4,620		68,379
Idemitsu Kosan Co. Ltd.		300		23,081
Inpex Corp.		35		146,320
Japan Petroleum Exploration Co.		500		20,293
JX Holdings, Inc.		35,300		171,215
Lundin Petroleum AB (b)		3,314		65,449
Neste Oil OYJ		2,061		30,002
OMV AG		2,271		102,164
Repsol YPF SA		13,598		286,661
Royal Dutch Shell PLC Class A		60,662		1,935,797
Royal Dutch Shell PLC Class B		42,027		1,389,865
Santos Ltd.		15,164		173,243
Seadrill Ltd.		6,170		248,871
Showa Shell Sekiyu KK		2,800		23,039
StatoilHydro ASA		17,883		368,666
TonenGeneral Sekiyu KK		5,000		48,450
Total SA (a)		34,261		1,670,718
Transocean Ltd.		5,821		278,708
Tullow Oil PLC		14,413		220,166
Woodside Petroleum Ltd.		10,617		337,911
				11,576,136
Oil & Gas Services — 0.3%
AMEC PLC		4,767		73,040

	Number of Shares		Value
Cie Generale de Geophysique-Veritas (b)		2,414	$	53,385
Fugro NV		1,128		60,878
Petrofac Ltd.		4,066		74,334
Saipem SpA		4,059		65,674
Subsea 7 SA (b)		4,313		75,468
Technip SA		1,632		164,945
				567,724
Pipelines — 0.1%
APA Group (a)		12,561		68,542
				12,291,093
Financial — 24.3%
Banks — 13.1%
Aozora Bank Ltd. (b)		16,000		50,014
Australia & New Zealand Banking Group Ltd.		44,112		1,144,958
Banca Monte dei Paschi di Siena SpA (b)		107,375		27,254
Banco Bilbao Vizcaya Argentaria SA		89,039		741,446
Banco de Sabadell SA		45,624		75,352
Banco Espirito Santo SA (b)		28,332		22,501
Banco Popular Espanol SA (b)		21,895		66,587
Banco Santander SA		173,851		1,100,634
Bank Hapoalim B.M. (b)		18,069		81,262
Bank Leumi Le-Israel (b)		19,173		63,451
Bank of East Asia Ltd.		20,136		72,354
Bank of Ireland (b)		322,341		65,777
The Bank of Kyoto Ltd.		5,000		41,697
The Bank of Yokohama Ltd.		19,000		98,095
Bankia SA (b)		63,030		48,627
Banque Cantonale Vaudoise		50		24,856
Barclays PLC		196,649		842,985
Bendigo and Adelaide Bank Ltd. (a)		6,213		56,945
BNP Paribas		16,001		874,242
BOC Hong Kong Holdings Ltd.		58,500		178,663
CaixaBank		17,613		54,089
The Chiba Bank Ltd.		13,000		88,618
The Chugoku Bank Ltd.		3,000		41,993
Commerzbank AG (b)		15,391		134,138
Commonwealth Bank of Australia		25,874		1,626,346
Credit Agricole SA (b)		16,479		141,634
Danske Bank A/S (b)		10,429		177,545
DBS Group Holdings, Ltd.		28,000		340,847
Deutsche Bank AG		16,401		686,109
DnB NOR ASA		15,410		222,624
Erste Group Bank AG		3,788		100,857
Fukuoka Financial Group, Inc.		14,000		59,574
The Gunma Bank Ltd.		6,000		33,156
The Hachijuni Bank Ltd.		6,000		35,197
Hang Seng Bank Ltd.		12,200		179,661
The Hiroshima Bank Ltd. (a)		8,000		34,123
Hokuhoku Financial Group, Inc.		18,000		36,846

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

141

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
HSBC Holdings PLC		297,322	$	3,081,173
Intesa Sanpaolo SpA		188,505		301,631
The Iyo Bank Ltd.		4,000		38,237
The Joyo Bank Ltd.		11,000		60,229
Julius Baer Group Ltd.		3,589		139,466
KBC Groep NV		3,741		138,369
Lloyds Banking Group PLC (b)		734,767		708,360
Mediobanca SpA		8,613		44,785
Mitsubishi UFJ Financial Group, Inc.		205,000		1,272,121
Mizrahi Tefahot Bank Ltd. (b)		2,331		23,462
Mizuho Financial Group, Inc.		368,400		766,773
National Australia Bank Ltd.		37,658		1,014,489
Natixis		14,758		61,425
The Nishi-Nippon City Bank Ltd.		10,000		26,117
Nordea Bank AB		42,452		472,224
Oversea-Chinese Banking Corp. Ltd.		42,000		329,768
Pohjola Bank PLC		2,118		31,155
Raiffeisen Bank International AG		813		23,689
Resona Holdings, Inc.		30,600		149,039
Royal Bank of Scotland Group PLC (b)		33,382		139,406
Seven Bank Ltd.		8,700		31,583
Shinsei Bank Ltd.		25,000		56,727
The Shizuoka Bank Ltd.		9,000		97,014
Skandinaviska Enskilda Banken AB		24,944		237,317
Societe Generale SA		11,183		380,789
Standard Chartered PLC		38,800		837,685
Sumitomo Mitsui Financial Group, Inc.		20,500		940,614
Sumitomo Mitsui Trust Holdings, Inc.		53,000		247,458
Suruga Bank Ltd.		3,000		54,664
Svenska Handelsbanken AB		8,051		321,919
Swedbank AB		14,644		334,217
UBI Banca (a)		13,474		48,734
UniCredit SpA		70,126		327,921
United Overseas Bank Ltd.		21,000		327,574
Westpac Banking Corp.		49,928		1,307,084
Yamaguchi Financial Group, Inc.		3,000		29,555
				24,073,830
Diversified Financial — 2.3%
Aberdeen Asset Management PLC		16,187		93,705
Acom Co. Ltd. (b)		540		17,181
Aeon Credit Service Co. Ltd. (a)		1,200		34,083
ASX Ltd.		2,974		89,563
Credit Saison Co. Ltd.		2,600		65,259
Credit Suisse Group		24,121		639,513
Daiwa Securities Group, Inc.		27,000		226,817
Deutsche Boerse AG		3,174		208,949
Eurazeo		536		28,690
Hargreaves Lansdown PLC		3,626		48,769
Hong Kong Exchanges and Clearing Ltd.		17,700		265,206

	Number of Shares		Value
ICAP PLC		9,501	$	52,699
Investec PLC		8,701		54,490
Japan Exchange Group, Inc.		800		80,836
London Stock Exchange Group PLC		2,884		58,379
Macquarie Group Ltd.		4,801		182,083
Mitsubishi UFJ Lease & Finance Co. Ltd.		8,500		40,286
Nomura Holdings, Inc.		58,500		433,503
Old Mutual PLC		80,456		220,818
ORIX Corp.		18,100		247,341
Partners Group Holding AG		288		77,953
Schroders PLC		1,535		50,685
Singapore Exchange Ltd.		13,000		71,780
UBS AG		58,602		995,549
				4,284,137
Insurance — 5.2%
Admiral Group PLC		3,218		65,101
Aegon NV (a)		29,142		194,550
Ageas		3,705		129,486
AIA Group Ltd.		194,205		816,159
Allianz SE		7,335		1,071,206
AMP Ltd.		46,519		179,723
Assicurazioni Generali SpA		18,871		329,312
Aviva PLC		48,082		246,955
AXA SA		28,733		564,557
Baloise Holding AG		726		70,305
CNP Assurances		2,427		34,716
The Dai-ichi Life Insurance Co. Ltd.		135		195,393
Delta Lloyd NV		2,944		58,651
Direct Line Insurance Group PLC		12,539		44,497
Gjensidige Forsikring ASA		3,447		50,629
Hannover Rueckversicherung AG		908		65,257
ING Groep NV (b)		61,593		562,818
Insurance Australia Group Ltd.		32,547		160,779
Legal & General Group PLC		96,726		253,074
Mapfre SA		11,183		36,177
Mitsui Sumitomo Insurance Group Holdings, Inc.		8,300		211,089
Muenchener Rueckversicherungs AG		2,878		528,475
NKSJ Holdings, Inc.		5,400		128,785
Prudential PLC		41,098		675,636
QBE Insurance Group Ltd.		19,415		267,951
RSA Insurance Group PLC		59,348		107,610
Sampo Oyj		6,852		265,913
SCOR SE		2,600		79,398
Sony Financial Holdings, Inc.		2,500		39,503
Standard Life PLC		38,867		203,207
Suncorp Group Ltd.		21,058		228,015
Swiss Life Holding AG		544		88,018
Swiss Re AG		5,642		417,940
T&D Holdings, Inc.		9,300		125,103
Tokio Marine Holdings, Inc.		11,100		352,030
Tryg A/S		387		31,833

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

142

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Vienna Insurance Group AG Wiener Versicherung Gruppe		623	$	28,847
Zurich Insurance Group AG		2,379		616,539
				9,525,237
Investment Companies — 0.3%
Cheung Kong Infrastructure Holdings Ltd.		10,000		66,751
Delek Group Ltd.		50		12,977
Investment AB Kinnevik		3,456		88,213
Investor AB Class B		7,153		191,398
The Israel Corp. Ltd. (b)		38		22,756
Pargesa Holding SA		435		29,020
Ratos AB (a)		2,971		23,037
Resolution Ltd.		22,424		96,797
				530,949
Real Estate — 1.8%
Aeon Mall Co. Ltd.		1,700		42,120
Capitaland Ltd.		41,000		99,036
CapitaMalls Asia Ltd. (a)		21,000		30,086
Cheung Kong Holdings		22,000		297,325
Daito Trust Construction Co. Ltd.		1,200		113,137
Global Logistic Properties Ltd.		50,000		107,865
Hang Lung Properties Ltd.		36,000		124,985
Henderson Land Development Co. Ltd.		16,571		98,479
Hopewell Holdings Ltd.		8,500		28,165
Hulic Co. Ltd. (a)		4,000		42,919
Hysan Development Co. Ltd.		12,035		51,438
IMMOFINANZ AG		14,572		54,414
Keppel Land Ltd.		11,000		28,887
Kerry Properties Ltd.		9,500		36,880
Lend Lease Group		8,783		66,656
Mitsubishi Estate Co. Ltd.		20,000		532,658
Mitsui Fudosan Co. Ltd.		13,000		382,419
New World Development Ltd.		57,443		78,986
Nomura Real Estate Holdings, Inc.		2,000		44,249
NTT Urban Development Corp.		19		23,337
Sino Land Co. Ltd.		52,349		72,917
Sumitomo Realty & Development Co. Ltd.		6,000		239,301
Sun Hung Kai Properties Ltd.		26,000		334,284
Swire Properties Ltd.		19,800		58,549
Swiss Prime Site AG		930		68,351
Tokyo Tatemono Co. Ltd.		6,000		49,980
Tokyu Land Corp.		7,000		64,238
UOL Group Ltd.		7,000		37,109
Wheelock & Co. Ltd.		14,000		69,481
				3,278,251
Real Estate Investment Trusts (REITS) — 1.6%
Ascendas Real Estate Investment Trust		30,000		52,776
British Land Co. PLC		14,722		126,671

	Number of Shares		Value
CapitaCommercial Trust (a)		31,000	$	35,827
Capital Shopping Centres Group PLC		10,609		50,550	��
CapitaMall Trust		36,000		56,658
CFS Retail Property Trust Group		31,999		58,289
Corio NV		1,203		47,699
Dexus Property Group		77,837		75,675
Federation Centres Ltd.		21,726		46,944
Fonciere Des Regions		504		37,789
Gecina SA (a)		324		35,678
Goodman Group		27,816		123,281
GPT Group		29,537		103,375
Hammerson PLC		11,468		85,293
ICADE		366		30,223
Japan Prime Realty Investment Corp.		11		33,663
Japan Real Estate Investment Corp.		10		111,766
Japan Retail Fund Investment Corp.		31		64,552
Klepierre		1,551		61,131
Land Securities Group PLC		12,246		163,810
The Link REIT		36,000		175,974
Mirvac Group		62,394		90,895
Nippon Building Fund, Inc.		11		127,473
Nippon Prologis REIT, Inc.		4		34,858
Nomura Real Estate Office Fund, Inc.		5		21,931
Segro PLC		12,927		54,633
Stockland		35,701		113,063
Unibail-Rodamco SE		1,535		357,648
United Urban Investment Corp.		35		47,079
Westfield Group		34,230		357,069
Westfield Retail Trust		48,976		138,242
				2,920,515
Venture Capital — 0.0%
3i Group PLC		16,686		85,306
				44,698,225
Industrial — 12.4%
Aerospace & Defense — 1.0%
BAE Systems PLC		52,417		306,365
Cobham PLC		16,639		66,507
European Aeronautic Defence and Space Co.		9,359		497,666
Finmeccanica SpA (b)		6,425		32,005
Meggitt PLC		12,670		99,288
Rolls-Royce Holdings PLC		30,219		522,861
Safran SA		3,936		204,999
Thales SA		1,466		68,301
Zodiac Aerospace (a)		531		70,086
				1,868,078
Building Materials — 1.1%
Asahi Glass Co. Ltd.		16,000		104,225
Boral Ltd. (a)		12,337		47,168
Compagnie de Saint-Gobain		6,216		250,207
CRH PLC		11,455		232,144
Daikin Industries Ltd.		3,700		149,621

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

143

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Fletcher Building Ltd.		11,605	$	75,691
Geberit AG Registered		617		152,756
HeidelbergCement AG		2,237		150,406
Holcim Ltd.		3,721		259,661
Imerys SA		511		31,312
James Hardie Industries NV		6,697		57,197
Lafarge SA (a)		2,949		180,379
Lixil Group Corp.		4,200		102,365
Rinnai Corp.		500		35,595
Sika AG		35		90,366
Taiheiyo Cement Corp.		19,000		60,736
TOTO Ltd.		5,000		50,873
				2,030,702
Electrical Components & Equipment — 1.1%
Brother Industries Ltd.		3,500		39,425
Casio Computer Co. Ltd. (a)		3,400		29,965
Furukawa Electric Co. Ltd.		10,000		23,193
Hitachi Ltd.		78,000		501,049
Legrand SA		4,129		190,816
Mitsubishi Electric Corp.		31,000		290,422
Prysmian SpA		3,152		58,604
Schneider Electric SA		8,484		611,657
Toshiba Corp.		65,000		312,666
				2,057,797
Electronics — 1.4%
AAC Technologies Holdings, Inc.		11,000		61,594
Advantest Corp. (a)		2,300		37,716
Fanuc Corp.		3,100		449,522
Hamamatsu Photonics KK		1,100		39,765
Hirose Electric Co. Ltd. (a)		500		65,948
Hoya Corp.		7,200		147,735
Ibiden Co. Ltd.		1,900		29,640
Keyence Corp.		700		223,406
Koninklijke Philips Electronics NV		15,420		420,017
Kyocera Corp.		2,600		264,666
Mabuchi Motor Co. Ltd.		300		16,033
Murata Manufacturing Co. Ltd.		3,200		243,624
NEC Corp.		42,000		91,905
NGK Insulators Ltd.		4,000		49,614
Nidec Corp. (a)		1,600		111,648
Nippon Electric Glass Co. Ltd.		6,000		29,223
Omron Corp.		3,300		98,472
Rexel Promesses		2,463		55,391
Yaskawa Electric Corp.		4,000		48,687
Yokogawa Electric Corp.		3,000		35,908
				2,520,514
Engineering & Construction — 1.3%
ABB Ltd.		35,322		762,560
Acciona SA		360		18,975
ACS Actividades de Construccion y Servicios SA		2,268		59,798
Aeroports de Paris		439		42,691

	Number of Shares		Value
Aker Kvaerner ASA		2,909	$	39,499
Auckland International Airport Ltd.		18,307		42,012
Boskalis Westminster		1,278		46,570
Bouygues SA		3,102		78,960
Chiyoda Corp.		3,000		35,303
Ferrovial SA (a)		6,196		98,988
Fraport AG Frankfurt Airport Services Worldwide		574		34,692
Hochtief AG		467		30,426
JGC Corp.		3,000		107,998
Kajima Corp.		13,000		43,128
Kinden Corp. (a)		2,000		17,132
Leighton Holdings Ltd.		2,675		37,433
Obayashi Corp.		11,000		57,125
SembCorp Industries Ltd.		16,000		62,178
Shimizu Corp.		9,000		36,283
Singapore Technologies Engineering Ltd.		25,000		82,237
Skanska AB		6,382		105,460
Sydney Airport		3,829		11,820
Taisei Corp.		17,000		61,540
Vinci SA		7,459		372,118
WorleyParsons Ltd.		3,544		62,665
				2,347,591
Environmental Controls — 0.0%
Kurita Water Industries Ltd. (a)		1,700		36,079
Hand & Machine Tools — 0.4%
Fuji Electric Co. Ltd.		9,000		31,764
Makita Corp. (a)		1,800		97,290
Sandvik AB		17,359		206,710
Schindler Holding AG		797		110,855
Schindler Holding AG		371		50,204
SMC Corp.		900		181,257
THK Co. Ltd.		1,800		37,846
				715,926
Machinery – Construction & Mining — 1.3%
Atlas Copco AB		6,285		134,055
Atlas Copco AB A Shares (a)		10,876		261,200
BHP Billiton PLC		34,007		873,452
Hitachi Construction Machinery Co. Ltd.		1,600		32,351
Komatsu Ltd.		15,100		349,160
Rio Tinto PLC		20,440		837,765
				2,487,983
Machinery – Diversified — 1.0%
Alstom SA (a)		3,488		114,116
Amada Co. Ltd.		5,000		33,026
Andritz AG		1,085		55,592
Hexagon AB		3,625		96,678
IHI Corp. (a)		20,000		75,834
Kawasaki Heavy Industries Ltd.		22,000		67,666

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

144

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Kone OYJ (a)		2,561	$	203,014
Kubota Corp.		18,000		261,320
MAN SE		600		65,513
Metso OYJ		2,104		71,290
Mitsubishi Heavy Industries Ltd.		49,000		272,257
Nabtesco Corp.		1,600		33,285
Sumitomo Heavy Industries Ltd.		8,000		33,721
Volvo AB		24,202		322,570
The Weir Group PLC		3,466		113,941
Zardoya Otis SA (a)		2,368		33,450
				1,853,273
Manufacturing — 1.4%
Alfa Laval AB		5,133		104,363
ALS Ltd. (a)		5,690		49,421
FUJIFILM Holdings Corp.		7,400		163,050
IMI PLC		4,985		94,396
Invensys PLC		9,750		61,349
Konica Minolta Holdings, Inc.		8,000		60,423
Melrose Industries PLC		21,117		79,944
Nikon Corp.		5,300		123,673
Olympus Corp. (b)		3,100		94,253
Orkla ASA		11,832		96,933
Siemens AG		12,776		1,290,921
Smiths Group PLC		6,311		125,922
Sulzer AG		377		60,065
Wartsila OYJ Abp		2,906		125,894
				2,530,607
Metal Fabricate & Hardware — 0.4%
Assa Abloy AB Series B		5,454		212,615
Maruichi Steel Tube Ltd.		900		23,038
Norsk Hydro ASA (a)		15,981		63,650
NSK Ltd.		8,000		76,563
SKF AB		6,318		147,242
Tenaris SA (a)		7,506		151,024
Vallourec SA (a)		1,715		86,782
				760,914
Packaging & Containers — 0.2%
Amcor Ltd.		19,951		184,307
Rexam PLC		12,130		87,810
Toyo Seikan Kaisha Ltd.		2,300		35,417
				307,534
Shipbuilding — 0.0%
SembCorp Marine Ltd.		12,000		40,676
Yangzijiang Shipbuilding Holdings Ltd. (a)		33,000		21,608
				62,284
Transportation — 1.8%
AP Moeller – Maersk A/S		21		150,217
AP Moeller – Maersk A/S		9		60,621
Asciano Group		16,125		73,624

	Number of Shares		Value
Aurizon Holdings Ltd.		31,595	$	119,619
Central Japan Railway Co.		2,300		282,048
ComfortDelGro Corp. Ltd.		34,000		48,925
Deutsche Post AG		14,622		363,369
DSV A/S		2,876		69,912
East Japan Railway		5,400		419,826
Groupe Eurotunnel SA		9,449		71,711
Hankyu Hanshin Holdings, Inc.		18,000		102,547
Hutchison Port Holdings Trust		80,000		58,797
Kamigumi Co. Ltd.		4,000		32,227
Keikyu Corp. (a)		7,000		60,137
Keio Corp.		9,000		61,892
Keisei Electric Railway Co. Ltd.		4,000		37,471
Kintetsu Corp. (a)		27,000		118,702
Koninklijke Vopak NV		1,072		63,206
Kuehne & Nagel International AG		841		92,207
Mitsui OSK Lines Ltd. (b)		17,000		66,343
MTR Corp.		23,000		84,202
Nippon Express Co. Ltd.		12,000		56,992
Nippon Yusen KK (a)		28,000		74,258
Odakyu Electric Railway Co. Ltd.		10,000		97,609
Orient Overseas International Ltd.		4,000		25,622
TNT Express NV		5,712		42,682
Tobu Railway Co. Ltd.		17,000		87,595
Tokyu Corp.		18,000		117,797
Toll Holdings Ltd.		11,285		54,627
West Japan Railway Co.		2,800		118,528
Yamato Holdings Co. Ltd.		5,800		122,292
				3,235,605
				22,814,887
Technology — 2.4%
Computers — 0.4%
Atos Origin SA		873		64,794
Cap Gemini SA		2,256		109,679
Computershare Ltd.		7,782		72,623
Fujitsu LTD		29,000		119,897
Gemalto NV (a)		1,312		118,792
Itochu Techno-Solutions Corp.		300		12,417
NTT Data Corp.		19		67,442
Otsuka Corp.		300		33,388
TDK Corp. (a)		2,100		72,529
				671,561
Office Equipment/Supplies — 0.4%
Canon, Inc.		18,200		597,755
Ricoh Co. Ltd.		11,000		130,897
				728,652
Semiconductors — 0.7%
ARM Holdings PLC		22,671		274,314
ASM Pacific Technology Ltd.		3,800		41,803
ASML Holding NV (a)		5,764		452,208
Infineon Technologies AG		17,663		147,779

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

145

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Mellanox Technologies Ltd. (b)		558	$	27,401
Rohm Co. Ltd.		1,500		60,505
STMicroelectronics NV		10,441		93,372
Sumco Corp. (a)		2,000		22,039
Tokyo Electron Ltd.		2,700		136,680
				1,256,101
Software — 0.9%
Amadeus IT Holding SA		6,010		191,985
Dassault Systemes SA (a)		1,020		124,776
GungHo Online Entertainment, Inc. (b)		51		55,548
Konami Corp. (a)		1,500		31,736
Nexon Co. Ltd.		2,100		23,167
Nomura Research Institute Ltd.		1,500		48,954
Oracle Corp. (a)		600		24,939
The Sage Group PLC		18,902		98,030
SAP AG		14,811		1,084,549
				1,683,684
				4,339,998
Utilities — 3.7%
Electric — 2.5%
AGL Energy Ltd.		9,105		120,116
Chubu Electric Power Co., Inc.		10,600		150,280
The Chugoku Electric Power Co., Inc.		5,100		80,308
CLP Holdings Ltd.		29,000		234,145
Contact Energy Ltd.		6,246		24,730
E.ON AG		28,924		474,598
EDP – Energias de Portugal SA		33,382		107,601
Electric Power Development Co. Ltd.		2,000		62,415
Electricite de France		3,948		91,609
Enel SpA		105,865		331,863
Fortum OYJ		6,868		128,299
Hokkaido Electric Power Co., Inc. (a) (b)		2,900		39,371
Hokuriku Electric Power Co. (a)		2,600		40,926
HongKong Electric Holdings		22,000		189,465
Iberdrola SA		75,959		398,664
The Kansai Electric Power Co., Inc. (b)		11,300		155,186
Kyushu Electric Power (b)		7,000		105,596
National Grid PLC		58,806		665,183
Origin Energy Ltd.		17,891		204,738
Red Electrica Corp. SA		1,754		96,204
RWE AG		7,954		253,798
Scottish & Southern Energy PLC		15,355		354,493
Shikoku Electric Power Co., Inc. (a) (b)		3,100		56,146
SP AusNet		26,022		27,840
Terna Rete Elettrica Nazionale SpA		23,166		96,252
Tohoku Electric Power Co., Inc. (b)		7,500		93,941
The Tokyo Electric Power Co., Inc. (b)		24,100		124,490
Verbund AG		1,197		22,641
				4,730,898

	Number of Shares		Value
Gas — 1.0%
Centrica PLC		83,294	$	457,128
Enagas SA		3,274		80,874
Gas Natural SDG SA		5,759		115,634
Gaz De France		21,259		414,514
Hong Kong & China Gas Co. Ltd.		94,200		229,560
Osaka Gas Co. Ltd.		30,000		126,977
Snam Rete Gas SpA		32,558		148,250
Toho Gas Co. Ltd. (a)		6,000		31,036
Tokyo Gas Co. Ltd.		39,000		215,847
				1,819,820
Water — 0.2%
Severn Trent PLC		3,643		91,870
Suez Environnement Co.		4,523		58,234
United Utilities Group PLC		10,898		113,196
Veolia Environnement SA (a)		5,286		59,883
				323,183
				6,873,901
TOTAL COMMON STOCK (Cost $162,613,751)				180,479,615
PREFERRED STOCK — 0.6%
Communications — 0.0%
Media — 0.0%
ProSiebenSat.1 Media AG 17.09%		1,750		75,141
Consumer, Cyclical — 0.4%
Auto Manufacturers — 0.4%
Bayerische Motoren Werke AG 5.450%		855		58,337
Porsche Automobil Holdings SE 1.530%		2,450		189,292
Volkswagen AG 2.070%		2,324		469,184
				716,813
Consumer, Non-cyclical — 0.2%
Household Products — 0.2%
Henkel AG & Co. KGaA 1.270%		2,888		270,999
Energy — 0.0%
Oil & Gas — 0.0%
Fuchs Petrolub AG 2.18%		529		42,047

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

146

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Utilities — 0.0%
Electric — 0.0%
RWE AG 6.260% (a)		710	$	21,943
TOTAL PREFERRED STOCK (Cost $948,085)				1,126,943
TOTAL EQUITIES (Cost $163,561,836)				181,606,558
RIGHTS — 0.0%
Consumer, Non-cyclical — 0.0%
Foods — 0.0%
First Pacific Co. Ltd., Expires 7/03/13, Strike 8.100% (HKD) (b) (c)		3,750		97
Hotels Restaurants — 0.0%
New Hotel, Expires 6/11/13 (b) (c)		718		-
				97
Energy — 0.0%
Oil & Gas — 0.0%
Repsol SA, Expires 7/25/13, Strike 0.000% (b)		13,115		7,306
TOTAL RIGHTS (Cost $7,749)				7,403
MUTUAL FUNDS — 5.2%
Diversified Financial — 5.2%
iShares MSCI EAFE Index Fund		3,920		224,930
State Street Navigator Securities Lending Prime Portfolio (d)		9,247,642		9,247,642
TOTAL MUTUAL FUNDS (Cost $9,473,455)				9,472,572
TOTAL LONG-TERM INVESTMENTS (Cost $173,043,040)				191,086,533
	Principal Amount
SHORT-TERM INVESTMENTS — 0.3%
Repurchase Agreement — 0.3%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (e)	$	603,968		603,968

	Principal Amount		Value
Time Deposits — 0.0%
Euro Time Deposit 0.010% 7/01/13	$	3,765	$	3,765
TOTAL SHORT-TERM INVESTMENTS (Cost $607,733)				607,733
TOTAL INVESTMENTS — 104.3% (Cost $173,650,773) (f)				191,694,266
Other Assets/(Liabilities) — (4.3)%				(7,946,381	)
NET ASSETS — 100.0%			$	183,747,885

Notes to Portfolio of Investments

ADR American Depositary Receipt

HKD Hong Kong Dollar

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2013, was $8,785,616. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(b) Non-income producing security.

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At June 30, 2013, these securities amounted to a value of $97 or 0.00% of net assets.

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

(e) Maturity value of $603,968. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $616,711.

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

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

147

MassMutual Select Overseas Fund – Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.1%
COMMON STOCK — 97.8%
Basic Materials — 6.9%
Chemicals — 5.9%
Air Liquide		44,712	$	5,500,551
Akzo Nobel NV		124,090		6,970,292
BASF SE		25,588		2,285,345
Givaudan SA Registered		885		1,142,799
Linde AG		41,772		7,778,125
Nitto Denko Corp.		22,500		1,447,557
Shin-Etsu Chemical Co. Ltd.		91,600		6,077,933
Solvay SA Class A		15,231		1,992,533
				33,195,135
Forest Products & Paper — 0.2%
UPM-Kymmene OYJ (a)		89,924		877,042
Mining — 0.8%
First Quantum Minerals Ltd.		40,737		604,257
Orica Ltd. (a)		212,330		3,991,427
				4,595,684
				38,667,861
Communications — 4.7%
Advertising — 1.5%
Publicis Groupe		35,600		2,524,411
WPP PLC		347,581		5,938,274
				8,462,685
Media — 0.7%
Grupo Televisa SAB Sponsored ADR (Mexico)		9,500		235,980
Pearson PLC		50,448		895,740
Thomson Reuters Corp. (a)		89,100		2,907,590
				4,039,310
Telecommunications — 2.5%
China Unicom Ltd.		1,482,000		1,954,771
Nippon Telegraph & Telephone Corp.		27,500		1,435,271
Singapore Telecommunications Ltd.		338,500		1,002,440
Singapore Telecommunications Ltd.		83,000		245,504
Telefonaktiebolaget LM Ericsson Class B		143,192		1,623,415
Telefonica SA (b)		100,420		1,292,117
Telenor ASA		78,948		1,565,028
Tim Participacoes SA Sponsored ADR (Brazil)		32,300		600,780
Vodafone Group PLC		1,393,290		3,998,348
				13,717,674
				26,219,669

	Number of Shares		Value
Consumer, Cyclical — 15.3%
Airlines — 0.1%
Deutsche Lufthansa AG (b)		30,896	$	625,543
Apparel — 0.3%
Christian Dior SA		8,700		1,397,754
Auto Manufacturers — 5.6%
Bayerische Motoren Werke AG		43,600		3,809,113
Daimler AG		112,022		6,770,828
Fiat Industrial SpA		377,400		4,204,092
Honda Motor Co. Ltd.		304,900		11,330,226
Renault SA		6,056		404,557
Toyota Motor Corp.		79,200		4,782,198
				31,301,014
Automotive & Parts — 2.4%
Bridgestone Corp. (a)		35,800		1,220,249
Continental AG		9,100		1,212,515
Delphi Automotive PLC		74,110		3,756,636
Denso Corp.		136,800		6,416,022
Sumitomo Electric Industries Ltd.		89,000		1,064,423
				13,669,845
Distribution & Wholesale — 1.1%
Li & Fung Ltd.		3,313,600		4,510,151
Marubeni Corp.		22,000		147,086
Sumitomo Corp.		82,500		1,029,075
Wolseley PLC		10,017		463,612
				6,149,924	��
Food Services — 1.5%
Compass Group PLC		569,170		7,294,252
Sodexo		16,588		1,381,316
				8,675,568
Home Builders — 0.2%
Daiwa House Industry Co. Ltd.		66,000		1,231,924
Lodging — 0.3%
InterContinental Hotels Group PLC		59,510		1,637,748
Retail — 3.8%
Cie Financiere Richemont SA		32,700		2,868,497
Groupe Fnac (b)		1,727		36,641
Hennes & Mauritz AB Class B		170,380		5,578,950
Kering (a)		14,550		2,945,185
Kingfisher PLC		298,364		1,561,918
Lawson, Inc. (a)		49,400		3,770,687
Shoppers Drug Mart Corp. (a)		33,410		1,541,365
Signet Jewelers Ltd.		12,200		822,646
Yum! Brands, Inc.		33,650		2,333,291
				21,459,180
				86,148,500

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

148

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Consumer, Non-cyclical — 20.8%
Agriculture — 0.4%
British American Tobacco PLC		11,738	$	602,786
Japan Tobacco, Inc.		48,400		1,710,624
				2,313,410
Beverages — 4.0%
Diageo PLC		276,683		7,936,164
Heineken Holding NV Class A		11,100		621,774
Heineken NV		106,352		6,761,056
Kirin Holdings Co. Ltd.		48,000		753,867
Pernod-Ricard SA		46,830		5,190,552
SABMiller PLC		23,873		1,148,738
				22,412,151
Commercial Services — 2.6%
Adecco SA		61,900		3,513,742
Experian PLC		107,835		1,870,348
Hays PLC		968,737		1,304,199
Meitec Corp.		29,800		693,862
Randstad Holding NV		152,161		6,213,213
Secom Co. Ltd.		16,300		887,573
				14,482,937
Cosmetics & Personal Care — 0.7%
Beiersdorf AG		47,169		4,112,896
Foods — 4.9%
Danone SA		118,395		8,879,710
Koninlijke Ahold NV		110,400		1,640,128
Nestle SA		181,892		11,896,905
Seven & I Holdings Co. Ltd.		50,500		1,846,063
Tesco PLC		563,200		2,830,201
Unilever NV		15,395		603,897
				27,696,904
Health Care – Products — 0.4%
Sonova Holding AG		18,245		1,934,428
Household Products — 1.0%
Reckitt Benckiser Group PLC		75,398		5,344,957
Pharmaceuticals — 6.8%
Bayer AG		131,785		14,049,165
GlaxoSmithKline PLC		69,000		1,726,161
Merck KGaA		29,251		4,448,773
Novartis AG		50,049		3,546,943
Otsuka Holdings Co. Ltd.		34,800		1,149,178
Roche Holding AG		28,099		6,962,493
Sanofi		35,598		3,668,625
Valeant Pharmaceuticals International, Inc. (b)		31,710		2,729,597
				38,280,935
				116,578,618

	Number of Shares		Value
Diversified — 1.8%
Holding Company – Diversified — 1.8%
Hutchison Whampoa Ltd.		204,000	$	2,131,996
LVMH Moet Hennessy Louis Vuitton SA		42,737		6,882,211
Wharf Holdings Ltd.		139,000		1,157,294
				10,171,501
Energy — 3.5%
Coal — 0.1%
China Shenhua Energy Co. Ltd. Class H		333,000		836,826
Oil & Gas — 3.2%
BG Group PLC		302,751		5,167,048
ENI SpA		130,443		2,679,900
Inpex Corp.		753		3,147,972
Repsol YPF SA		80,754		1,702,387
Royal Dutch Shell PLC Class A		131,638		4,200,726
Tullow Oil PLC		55,819		852,662
				17,750,695
Oil & Gas Services — 0.2%
Saipem SpA		75,034		1,214,034
				19,801,555
Financial — 24.7%
Banks — 13.5%
Australia & New Zealand Banking Group Ltd.		92,435		2,399,216
Banco Santander SA		231,254		1,464,047
Bank of Ireland (b)		941,000		192,021
Barclays PLC		1,292,968		5,542,627
BNP Paribas		146,871		8,024,552
China Construction Bank Corp. Class H		987,000		693,291
Danske Bank A/S (b)		61,875		1,053,370
DBS Group Holdings, Ltd.		315,000		3,834,532
HSBC Holdings PLC		1,431,266		14,832,328
ICICI Bank Ltd. Sponsored ADR (India)		107,840		4,124,880
Intesa Sanpaolo SpA		3,995,574		6,393,404
Itau Unibanco Holding SA Sponsored ADR (Brazil)		200,303		2,587,915
Julius Baer Group Ltd.		108,650		4,222,072
Komercni Banka AS		6,798		1,260,884
Lloyds Banking Group PLC (b)		4,802,200		4,629,609
Mitsubishi UFJ Financial Group, Inc.		413,600		2,566,582
Sberbank of Russia Sponsored ADR (Russia) (b)		188,897		2,168,538
Societe Generale SA		37,565		1,279,113
Standard Chartered PLC		289,028		6,240,059
Sumitomo Mitsui Financial Group, Inc.		53,300		2,445,597
				75,954,637

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

149

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Diversified Financial — 4.6%
BM&F BOVESPA SA		237,000	$	1,312,802
Credit Suisse Group		311,697		8,263,926
Daiwa Securities Group, Inc.		458,000		3,847,491
Deutsche Boerse AG		29,594		1,948,212
ORIX Corp.		153,300		2,094,885
Schroders PLC		85,600		2,826,502
Schroders PLC		300		7,876
UBS AG		315,475		5,359,388
				25,661,082
Insurance — 6.1%
AIA Group Ltd.		763,800		3,209,920
Allianz SE		52,554		7,675,002
AMP Ltd.		764,357		2,953,037
AXA SA		77,392		1,520,629
ING Groep NV (b)		820,481		7,497,306
Prudential PLC		109,789		1,804,892
QBE Insurance Group Ltd.		110,237		1,521,405
Swiss Re AG		54,597		4,044,355
Willis Group Holdings PLC		93,500		3,812,930
				34,039,476
Real Estate — 0.4%
China Overseas Land & Investment Ltd.		186,000		480,372
Mitsui Fudosan Co. Ltd.		50,000		1,470,843
				1,951,215
Real Estate Investment Trusts (REITS) — 0.1%
Goodman Group		179,267		794,517
				138,400,927
Industrial — 12.3%
Aerospace & Defense — 0.3%
European Aeronautic Defence and Space Co.		28,293		1,504,483
Building Materials — 1.0%
Compagnie de Saint-Gobain		39,176		1,576,916
Geberit AG Registered		930		230,249
Holcim Ltd.		41,700		2,909,928
Lafarge SA		16,517		1,010,284
				5,727,377
Electrical Components & Equipment — 2.3%
Hitachi Ltd.		380,000		2,441,008
Legrand SA		71,702		3,313,606
Schneider Electric SA		103,200		7,440,243
				13,194,857
Electronics — 2.7%
Fanuc Corp.		24,900		3,610,679
Hon Hai Precision Industry Co. Ltd.		840,370		2,065,816
Hoya Corp.		166,500		3,416,363
Koninklijke Philips Electronics NV		97,687		2,660,845
Kyocera Corp.		11,500		1,170,639

	Number of Shares		Value
Omron Corp.		76,200	$	2,273,801
				15,198,143
Machinery – Construction & Mining — 1.3%
Atlas Copco AB		94,800		2,022,028
Rio Tinto PLC		128,603		5,270,992
				7,293,020
Machinery – Diversified — 0.2%
Mitsubishi Heavy Industries Ltd.		189,000		1,050,134
Manufacturing — 1.3%
Olympus Corp. (b)		65,300		1,985,388
Smiths Group PLC		282,146		5,629,594
				7,614,982
Metal Fabricate & Hardware — 0.4%
Assa Abloy AB Series B		12,400		483,393
SKF AB		76,000		1,771,190
				2,254,583
Packaging & Containers — 0.2%
Amcor Ltd.		108,100		998,625
Transportation — 2.6%
Canadian National Railway Co.		68,450		6,658,132
East Japan Railway		10,700		831,877
Kuehne & Nagel International AG		51,590		5,656,297
Yamato Holdings Co. Ltd.		57,900		1,220,813
				14,367,119
				69,203,323
Technology — 6.3%
Internet — 0.9%
Check Point Software Technologies Ltd. (b)		101,780		5,056,430
Office Equipment/Supplies — 1.2%
Canon, Inc. (a)		169,750		5,575,218
Ricoh Co. Ltd.		92,000		1,094,773
				6,669,991
Semiconductors — 2.1%
ASML Holding NV		19,059		1,495,254
Rohm Co. Ltd.		49,000		1,976,495
Samsung Electronics Co., Ltd.		2,953		3,465,878
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (Taiwan)		266,887		4,889,370
				11,826,997
Software — 2.1%
Amadeus IT Holding SA		154,900		4,948,176
Dassault Systemes SA		14,186		1,735,360
SAP AG		71,910		5,265,674
				11,949,210
				35,502,628

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

150

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Utilities — 1.5%
Electric — 0.7%
Cia Energetica de Minas Gerais Sponsored ADR (Brazil) (a)		99,989	$	896,901
Electricite de France		69,534		1,613,458
Iberdrola SA		251,177		1,318,281
				3,828,640
Gas — 0.7%
Centrica PLC		244,077		1,339,526
Gaz De France		135,910		2,650,015
				3,989,541
Water — 0.1%
Suez Environnement Co.		43,570		560,972
				8,379,153
TOTAL COMMON STOCK (Cost $483,518,032)				549,073,735
PREFERRED STOCK — 0.3%
Consumer, Cyclical — 0.3%
Auto Manufacturers — 0.3%
Volkswagen AG 2.070%		9,113		1,839,789
TOTAL PREFERRED STOCK (Cost $1,633,391)				1,839,789
TOTAL EQUITIES (Cost $485,151,423)				550,913,524
RIGHTS — 0.0%
Consumer, Cyclical — 0.0%
Retail — 0.0%
Groupe Fnac, Expires 5/16/15, Strike 0.00 (a) (b)		6		16
TOTAL RIGHTS (Cost $0)				16
MUTUAL FUNDS — 2.6%
Diversified Financial — 2.6%
State Street Navigator Securities Lending Prime Portfolio (c)		14,565,380		14,565,380
TOTAL MUTUAL FUNDS (Cost $14,565,380)				14,565,380
TOTAL LONG-TERM INVESTMENTS (Cost $499,716,803)				565,478,920

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 0.9%
Repurchase Agreement — 0.9%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/28/13, 0.010%, due 7/01/13 (d)	$	4,964,975	$	4,964,975
Time Deposits — 0.0%
Euro Time Deposit 0.010% 7/01/13		51,643		51,643
TOTAL SHORT-TERM INVESTMENTS (Cost $5,016,618)				5,016,618
TOTAL INVESTMENTS — 101.6% (Cost $504,733,421) (e)				570,495,538
Other Assets/(Liabilities) — (1.6)%				(9,217,752	)
NET ASSETS — 100.0%			$	561,277,786

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2013, was $13,881,764. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(b) Non-income producing security.

(c) Represents investment of security lending collateral. (Note 2).

(d) Maturity value of $4,964,979. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $5,072,137.

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

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

151

MassMutual Select Funds – Financial Statements

Statements of Assets and Liabilities

June 30, 2013 (Unaudited)

	MassMutual Select PIMCO Total Return Fund			MassMutual Select Strategic Bond Fund
Assets:
Investments, at value (Note 2) (a)	$	2,506,902,306		$	164,472,766
Short-term investments, at value (Note 2) (b)		21,594,779			18,243,695
Total investments (c)		2,528,497,085			182,716,461
Foreign currency, at value (d)		516,143			292,681
Receivables from:
Investments sold		116,007,130			3,135,236
Investments sold on a when-issued basis (Note 2)		203,408,711			9,575,378
Open forward foreign currency contracts (Note 2)		3,010,973			74,697
Investment adviser (Note 3)		-			-
Fund shares sold		4,442,303			65,664
Variation margin on open derivative instruments (Note 2)		41,597			34,615
Interest and dividends		9,458,100			1,080,279
Foreign taxes withheld		-			-
Open swap agreements, at value (Note 2)		60,397			46,021
Total assets		2,865,442,439			197,021,032
Liabilities:
Payables for:
Investments purchased		710,729			1,183,256
Treasury roll transactions		43,870,735			-
Written options outstanding, at value (Note 2) (e)		3,150,721			85,363
Reverse repurchase agreements (Note 2)		14,328,000			-
Interest for reverse repurchase agreements (Note 2)		4,022			-
Open forward foreign currency contracts (Note 2)		4,210,639			127,631
Fund shares repurchased		10,518,393			44,208
Interest and dividends		9,664			197
Investments purchased on a when-issued basis (Note 2)		959,952,907			30,935,213
Securities on loan (Note 2)		-			-
Open swap agreements, at value (Note 2)		756,118			-
Trustees’ fees and expenses (Note 3)		182,687			50,579
Variation margin on open derivative instruments (Note 2)		592,564			-
Collateral pledged for open swap agreements (Note 2)		280,000			-
Affiliates (Note 3):
Investment management fees		521,418			70,311
Administration fees		287,261			15,502
Service fees		494,532			21,268
Distribution fees		31,077			680
Due to custodian		123,876			-
Accrued expense and other liabilities		171,081			38,655
Total liabilities		1,040,196,424			32,572,863
Net assets	$	1,825,246,015		$	164,448,169
Net assets consist of:
Paid-in capital	$	1,799,265,249		$	170,001,776
Undistributed (accumulated) net investment income (loss)		11,709,443			1,993,988
Accumulated net realized gain (loss) on investments and foreign currency transactions		18,163,059			(7,143,888	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		(3,891,736	)		(403,707	)
Net assets	$	1,825,246,015		$	164,448,169
(a)        Cost of investments:	$	2,510,783,890		$	165,133,858
(b)        Cost of short-term investments:	$	21,594,779		$	18,243,695
(c)        Securities on loan with market value of:	$	-		$	-
(d)        Cost of foreign currency:	$	525,251		$	290,424
(e)        Premiums on written options:	$	1,038,902		$	20,662

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

152

MassMutual Select Diversified Value Fund			MassMutual Select Fundamental Value Fund		MassMutual Select Large Cap Value Fund		MM S&P 500 Index Fund			MassMutual Select Focused Value Fund
$	354,109,263		$	1,438,152,524	$	475,574,296	$	2,687,706,044		$	780,140,014
	4,743,683			14,805,840		10,474,002		56,496,341			45,556,882
	358,852,946			1,452,958,364		486,048,298		2,744,202,385			825,696,896
	-			-		-		-			-
	8,053,262			-		72,181		335,062			-
	-			-		-		-			-
	-			-		-		-			-
	-			169,651		7,287		146,457			65,932
	1,579,262			779,730		214,781		859,594			476,387
	-			-		-		-			-
	555,340			1,700,115		1,003,415		3,324,312			595,533
	-			137,917		144,115		-			-
	-			-		-		-			-
	369,040,810			1,455,745,777		487,490,077		2,748,867,810			826,834,748
	8,338,620			5,115,434		-		529,239			3,960,474
	-			-		-		-			-
	-			-		-		-			-
	-			-		-		-			-
	-			-		-		-			-
	-			-		-		-			-
	1,441,937			2,224,632		22,633		8,634,028			3,567,244
	-			-		-		-			-
	-			-		-		-			-
	-			-		15,535,397		-			-
	-			-		-		-			-
	86,432			267,386		211,149		502,379			165,233
	-			-		-		266,551			-
	-			-		-		-			-
	138,686			730,850		236,830		208,186			454,929
	23,758			349,912		51,313		610,487			169,484
	16,516			238,657		46,257		292,757			118,908
	92			677		64		2,814			370
	-			-		-		-			-
	31,897			56,865		38,016		81,846			38,884
	10,077,938			8,984,413		16,141,659		11,128,287			8,475,526
$	358,962,872		$	1,446,761,364	$	471,348,418	$	2,737,739,523		$	818,359,222
$	387,391,650		$	1,023,832,279	$	405,758,273	$	1,996,906,649		$	533,273,252
	2,580,015			12,066,164		6,010,500		23,750,438			1,400,414
	(108,078,955	)		40,364,222		10,354,209		(52,248,693	)		36,401,392
	77,070,162			370,498,699		49,225,436		769,331,129			247,284,164
$	358,962,872		$	1,446,761,364	$	471,348,418	$	2,737,739,523		$	818,359,222
$	277,039,101		$	1,067,653,650	$	426,352,377	$	1,917,926,900		$	532,855,850
$	4,743,683		$	14,805,840	$	10,474,002	$	56,496,341		$	45,556,882
$	-		$	-	$	15,134,223	$	-		$	-
$	-		$	-	$	-	$	-		$	-
$	-		$	-	$	-	$	-		$	-

153

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2013 (Unaudited)

	MassMutual Select PIMCO Total Return Fund		MassMutual Select Strategic Bond Fund
Class Z shares:
Net assets	$	370,437,655	$	-
Shares outstanding (a)		36,151,762		-
Net asset value, offering price and redemption price per share	$	10.25	$	-
Class I shares:
Net assets	$	-	$	-
Shares outstanding (a)		-		-
Net asset value, offering price and redemption price per share	$	-	$	-
Class S shares:
Net assets	$	177,133,009	$	76,729,048
Shares outstanding (a)		17,322,080		7,623,758
Net asset value, offering price and redemption price per share	$	10.23	$	10.06
Class Y shares:
Net assets	$	455,423,822	$	40,280,079
Shares outstanding (a)		44,468,326		3,999,279
Net asset value, offering price and redemption price per share	$	10.24	$	10.07
Class L shares:
Net assets	$	94,434,538	$	14,427,548
Shares outstanding (a)		9,266,703		1,437,204
Net asset value, offering price and redemption price per share	$	10.19	$	10.04
Class A shares:
Net assets	$	680,138,805	$	31,946,360
Shares outstanding (a)		66,487,330		3,188,885
Net asset value and redemption price per share	$	10.23	$	10.02
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	10.74	$	10.52
Class N shares:
Net assets	$	47,678,186	$	1,065,134
Shares outstanding (a)		4,683,244		106,992
Net asset value, offering price and redemption price per share	$	10.18	$	9.96

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

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

154

MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund		MassMutual Select Large Cap Value Fund		MM S&P 500 Index Fund		MassMutual Select Focused Value Fund
$	-	$	242,887,460	$	-	$	137,775,198	$	152,653,417
	-		18,404,106		-		9,170,288		6,773,802
$	-	$	13.20	$	-	$	15.02	$	22.54
$	-	$	-	$	-	$	947,580,714	$	-
	-		-		-		62,981,166		-
$	-	$	-	$	-	$	15.05	$	-
$	307,622,710	$	509,848,580	$	342,387,268	$	574,880,945	$	300,131,827
	26,138,751		38,569,570		38,065,426		38,193,814		13,302,750
$	11.77	$	13.22	$	8.99	$	15.05	$	22.56
$	19,505,780	$	199,225,054	$	31,542,709	$	275,973,567	$	82,870,416
	1,657,304		15,109,119		3,504,946		18,534,160		3,704,764
$	11.77	$	13.19	$	9.00	$	14.89	$	22.37
$	5,551,731	$	115,076,683	$	27,280,136	$	329,837,731	$	87,196,059
	470,444		8,701,009		3,043,531		22,184,000		3,925,142
$	11.80	$	13.23	$	8.96	$	14.87	$	22.21
$	26,133,144	$	378,611,254	$	70,040,818	$	467,058,421	$	194,913,145
	2,227,883		28,962,783		7,836,421		31,617,278		8,971,575
$	11.73	$	13.07	$	8.94	$	14.77	$	21.73
$	12.45	$	13.87	$	9.49	$	15.67	$	23.06
$	149,507	$	1,112,333	$	97,487	$	4,632,947	$	594,358
	12,706		85,445		11,069		316,934		28,065
$	11.77	$	13.02	$	8.81	$	14.62	$	21.18

155

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2013 (Unaudited)

	MassMutual Select Fundamental Growth Fund		MassMutual Select Blue Chip Growth Fund
Assets:
Investments, at value (Note 2) (a)	$	118,281,897	$	1,069,305,243
Short-term investments, at value (Note 2) (b)		670,555		2,817,066
Total investments (c)		118,952,452		1,072,122,309
Foreign currency, at value (d)		-		23,131
Receivables from:
Investments sold		820,449		5,916,458
Investment adviser (Note 3)		6,597		2,877
Fund shares sold		94,749		132,671
Interest and dividends		63,956		564,302
Foreign taxes withheld		-		14,445
Total assets		119,938,203		1,078,776,193
Liabilities:
Payables for:
Investments purchased		701,611		5,037,310
Fund shares repurchased		1,039,465		5,389,511
Securities on loan (Note 2)		1,493,522		-
Trustees’ fees and expenses (Note 3)		15,458		197,731
Variation margin on open futures contracts (Note 2)		-		-
Affiliates (Note 3):
Investment management fees		59,174		535,867
Administration fees		19,320		174,982
Service fees		12,532		95,773
Distribution fees		191		485
Due to custodian		3		-
Accrued expense and other liabilities		30,542		46,959
Total liabilities		3,371,818		11,478,618
Net assets	$	116,566,385	$	1,067,297,575
Net assets consist of:
Paid-in capital	$	99,433,693	$	834,124,755
Undistributed (accumulated) net investment income (loss)		401,376		(268,159	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		646,788		(40,129,666	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		16,084,528		273,570,645
Net assets	$	116,566,385	$	1,067,297,575
(a)        Cost of investments:	$	102,197,369	$	795,735,995
(b)        Cost of short-term investments:	$	670,555	$	2,817,066
(c)        Securities on loan with market value of:	$	1,461,234	$	-
(d)        Cost of foreign currency:	$	-	$	23,107

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

156

MassMutual Select Growth Opportunities Fund			MassMutual Select Mid-Cap Value Fund			MassMutual Select Small Cap Value Equity Fund			MassMutual Select Small Company Value Fund		MM S&P Mid Cap Index Fund
$	671,869,746		$	144,765,248		$	136,763,564		$	542,349,926	$	139,916,582
	6,539,098			1,549,268			3,012,952			13,225,967		2,838,515
	678,408,844			146,314,516			139,776,516			555,575,893		142,755,097
	-			-			-			-		-
	1,116,985			2,939,482			736,740			3,718,375		117,532
	76,112			8,589			-			32,177		3,543
	405,108			209,508			509,950			140,256		77,811
	125,236			261,843			137,353			571,459		125,966
	13,148			-			-			-		-
	680,145,433			149,733,938			141,160,559			560,038,160		143,079,949
	2,572,596			1,759,860			620,630			5,310,057		175,428
	1,337,963			2,261			518,134			830,221		1,921
	18,877,577			-			-			33,322,284		8,450,394
	103,034			30,193			24,237			126,110		2,939
	-			-			-			-		8,224
	366,699			79,826			80,973			341,880		10,255
	160,611			12,335			7,584			108,925		9,413
	80,931			3,342			3,622			70,427		2,417
	17			55			-			104		-
	-			-			-			1,575		-
	36,964			26,171			25,310			37,158		19,060
	23,536,392			1,914,043			1,280,490			40,148,741		8,680,051
$	656,609,041		$	147,819,895		$	139,880,069		$	519,889,419	$	134,399,898
$	465,045,547		$	157,146,267		$	136,140,149		$	381,699,795	$	113,536,184
	(531,692	)		1,347,293			469,085			1,193,442		767,391
	23,038,699			(27,498,448	)		(28,468,253	)		24,177,154		2,081,511
	169,056,487			16,824,783			31,739,088			112,819,028		18,014,812
$	656,609,041		$	147,819,895		$	139,880,069		$	519,889,419	$	134,399,898
$	502,813,259		$	127,940,465		$	105,024,476		$	429,530,898	$	121,899,262
$	6,539,098		$	1,549,268		$	3,012,952		$	13,225,967	$	2,838,515
$	18,493,810		$	-		$	-		$	32,251,490	$	8,238,497
$	-		$	-		$	-		$	-	$	-

157

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2013 (Unaudited)

	MassMutual Select Fundamental Growth Fund		MassMutual Select Blue Chip Growth Fund
Class Z shares:
Net assets	$	-	$	-
Shares outstanding (a)		-		-
Net asset value, offering price and redemption price per share	$	-	$	-
Class I shares:
Net assets	$	-	$	-
Shares outstanding (a)		-		-
Net asset value, offering price and redemption price per share	$	-	$	-
Class S shares:
Net assets	$	82,183,535	$	429,096,622
Shares outstanding (a)		11,018,045		29,978,539
Net asset value, offering price and redemption price per share	$	7.46	$	14.31
Class Y shares:
Net assets	$	5,010,671	$	143,067,075
Shares outstanding (a)		679,946		10,040,143
Net asset value, offering price and redemption price per share	$	7.37	$	14.25
Class L shares:
Net assets	$	8,685,373	$	341,949,852
Shares outstanding (a)		1,196,913		24,159,346
Net asset value, offering price and redemption price per share	$	7.26	$	14.15
Class A shares:
Net assets	$	20,369,628	$	152,428,436
Shares outstanding (a)		2,887,584		11,032,438
Net asset value and redemption price per share	$	7.05	$	13.82
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	7.48	$	14.66
Class N shares:
Net assets	$	317,178	$	755,590
Shares outstanding (a)		46,589		56,526
Net asset value, offering price and redemption price per share	$	6.81	$	13.37

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

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

158

MassMutual Select Growth Opportunities Fund		MassMutual Select Mid-Cap Value Fund		MassMutual Select Small Cap Value Equity Fund		MassMutual Select Small Company Value Fund		MM S&P Mid Cap Index Fund
$	88,862,784	$	66,555,850	$	-	$	95,891,353	$	116,960,025
	9,125,474		5,265,854		-		6,015,645		9,253,668
$	9.74	$	12.64	$	-	$	15.94	$	12.64
$	-	$	-	$	-	$	-	$	3,298,429
	-		-		-		-		261,160
$	-	$	-	$	-	$	-	$	12.63
$	286,042,742	$	69,998,027	$	126,248,291	$	240,830,107	$	365,847
	29,457,344		5,528,136		10,109,490		15,090,551		28,996
$	9.71	$	12.66	$	12.49	$	15.96	$	12.62
$	63,342,577	$	2,052,636	$	4,861,910	$	39,960,972	$	7,496,966
	6,613,775		162,133		389,410		2,510,932		595,037
$	9.58	$	12.66	$	12.49	$	15.91	$	12.60
$	90,929,145	$	3,755,233	$	2,773,285	$	32,746,240	$	1,307,420
	9,673,902		294,998		222,737		2,077,029		103,717
$	9.40	$	12.73	$	12.45	$	15.77	$	12.61
$	127,405,194	$	5,368,209	$	5,996,583	$	110,291,015	$	4,971,211
	14,035,888		425,233		482,690		7,125,560		394,509
$	9.08	$	12.62	$	12.42	$	15.48	$	12.60
$	9.63	$	13.39	$	13.18	$	16.42	$	13.37
$	26,599	$	89,940	$	-	$	169,732	$	-
	3,051		7,162		-		11,295		-
$	8.72	$	12.56	$	-	$	15.03	$	-

159

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2013 (Unaudited)

	MM Russell 2000 Small Cap Index Fund		MassMutual Select Mid Cap Growth Equity II Fund
Assets:
Investments, at value (Note 2) (a)	$	124,668,537	$	1,706,394,448
Short-term investments, at value (Note 2) (b)		5,068,631		48,929,922
Total investments (c)		129,737,168		1,755,324,370
Cash		-		-
Foreign currency, at value (d)		-		28
Receivables from:
Investments sold		10,185,575		8,846,723
Open forward foreign currency contracts (Note 2)		-		-
Investment adviser (Note 3)		5,637		130,925
Fund shares sold		88,247		577,080
Variation margin on open futures contracts (Note 2)		-		-
Interest and dividends		166,462		561,286
Foreign taxes withheld		-		5,770
Total assets		140,183,089		1,765,446,182
Liabilities:
Payables for:
Investments purchased		9,954,946		4,132,626
Open forward foreign currency contracts (Note 2)		-		-
Fund shares repurchased		3,335		1,933,171
Securities on loan (Note 2)		14,732,802		74,573,803
Trustees’ fees and expenses (Note 3)		2,870		328,968
Variation margin on open futures contracts (Note 2)		9,180		-
Affiliates (Note 3):
Investment management fees		8,743		981,937
Administration fees		7,753		368,234
Service fees		1,618		237,742
Distribution fees		-		1,341
Due to custodian		303		9,738
Accrued expense and other liabilities		2,306		68,118
Total liabilities		24,723,856		82,635,678
Net assets	$	115,459,233	$	1,682,810,504
Net assets consist of:
Paid-in capital	$	94,087,654	$	1,150,477,683
Undistributed (accumulated) net investment income (loss)		920,424		(9,000,732	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		4,766,846		92,408,292
Net unrealized appreciation (depreciation) on investments and foreign currency translations		15,684,309		448,925,261
Net assets	$	115,459,233	$	1,682,810,504
(a)        Cost of investments:	$	108,985,005	$	1,257,469,186
(b)        Cost of short-term investments:	$	5,068,631	$	48,929,922
(c)        Securities on loan with market value of:	$	14,275,706	$	72,924,924
(d)        Cost of foreign currency:	$	-	$	29

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

160

MassMutual Select Small Cap Growth Equity Fund			MassMutual Select Small Company Growth Fund			MassMutual Select Diversified International Fund			MM MSCI EAFE International Index Fund		MassMutual Select Overseas Fund
$	893,225,362		$	70,836,445		$	153,920,235		$	191,086,533	$	565,478,920
	23,735,778			1,228,974			1,659,043			607,733		5,016,618
	916,961,140			72,065,419			155,579,278			191,694,266		570,495,538
	-			-			-			887		-
	-			-			372,520			833,967		402,105
	15,985,842			264,491			2,294,019			4,967,991		5,103,347
	-			-			396,294			7,044		1,274,807
	48,273			-			8,459			8,903		136,965
	949,227			38,895			1,787,838			156,994		300,271
	-			-			-			110,569		-
	310,306			25,321			641,568			502,419		1,329,430
	-			-			60,756			69,963		1,693,865
	934,254,788			72,394,126			161,140,732			198,353,003		580,736,328
	19,671,199			69,854			1,752,208			5,285,647		2,271,041
	-			-			1,727,799			7,046		1,484,701
	2,533,401			17,499			14,880			6,170		240,241
	24,659,825			10,044,930			3,129,077			9,247,642		14,565,380
	162,743			20,783			33,921			4,150		163,934
	-			-			-			-		-
	565,477			40,769			107,895			14,215		441,824
	135,352			9,762			6,163			9,365		110,598
	40,959			5,944			521			1,273		35,658
	287			108			7			-		398
	-			-			-			-		51,643
	50,175			25,708			41,417			29,610		93,124
	47,819,418			10,235,357			6,813,888			14,605,118		19,458,542
$	886,435,370		$	62,158,769		$	154,326,844		$	183,747,885	$	561,277,786
$	666,624,168		$	55,785,790		$	232,205,764		$	162,427,980	$	600,321,689
	(1,269,994	)		(158,144	)		2,185,034			3,039,306		17,492,637
	68,437,320			(3,488,878	)		(90,643,039	)		314,161		(122,251,400	)
	152,643,876			10,020,001			10,579,085			17,966,438		65,714,860
$	886,435,370		$	62,158,769		$	154,326,844		$	183,747,885	$	561,277,786
$	740,581,297		$	60,816,444		$	142,002,807		$	173,043,040	$	499,716,803
$	23,735,778		$	1,228,974		$	1,659,043		$	607,733	$	5,016,618
$	23,987,019		$	9,798,157		$	2,997,107		$	8,785,616	$	13,881,764
$	-		$	-		$	380,308		$	843,720	$	405,695

161

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2013 (Unaudited)

	MM Russell 2000 Small Cap Index Fund		MassMutual Select Mid Cap Growth Equity II Fund
Class Z shares:
Net assets	$	99,146,394	$	234,253,343
Shares outstanding (a)		7,819,109		13,581,369
Net asset value, offering price and redemption price per share	$	12.68	$	17.25
Class I shares:
Net assets	$	5,502,671	$	-
Shares outstanding (a)		434,197		-
Net asset value, offering price and redemption price per share	$	12.67	$	-
Class S shares:
Net assets	$	466,030	$	492,904,092
Shares outstanding (a)		36,796		28,650,595
Net asset value, offering price and redemption price per share	$	12.67	$	17.20
Class Y shares:
Net assets	$	5,942,563	$	243,251,834
Shares outstanding (a)		469,367		14,309,890
Net asset value, offering price and redemption price per share	$	12.66	$	17.00
Class L shares:
Net assets	$	1,305,593	$	336,217,677
Shares outstanding (a)		103,296		20,257,354
Net asset value, offering price and redemption price per share	$	12.64	$	16.60
Class A shares:
Net assets	$	3,095,982	$	374,030,221
Shares outstanding (a)		245,069		23,429,842
Net asset value and redemption price per share	$	12.63	$	15.96
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	13.40	$	16.93
Class N shares:
Net assets	$	-	$	2,153,337
Shares outstanding (a)		-		140,512
Net asset value, offering price and redemption price per share	$	-	$	15.32

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

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

162

MassMutual Select Small Cap Growth Equity Fund		MassMutual Select Small Company Growth Fund		MassMutual Select Diversified International Fund		MM MSCI EAFE International Index Fund		MassMutual Select Overseas Fund
$	171,968,056	$	–	$	–	$	171,237,700	$	245,220,488
	9,408,837		–		–		14,033,698		31,189,736
$	18.28	$	–	$	–	$	12.20	$	7.86
$	–	$	–	$	–	$	6,160,267	$	–
	–		–		–		505,044		–
$	–	$	–	$	–	$	12.20	$	–
$	535,152,824	$	45,784,605	$	153,415,661	$	228,463	$	161,827,779
	29,367,648		3,628,271		23,041,408		18,749		20,585,329
$	18.22	$	12.62	$	6.66	$	12.19	$	7.86
$	67,643,753	$	2,468,090	$	79,194	$	3,635,046	$	78,701,849
	3,795,447		196,644		11,621		298,422		10,068,504
$	17.82	$	12.55	$	6.81	$	12.18	$	7.82
$	46,295,706	$	4,473,854	$	12,697	$	474,215	$	19,935,895
	2,664,109		362,880		1,841		38,959		2,534,003
$	17.38	$	12.33	$	6.90	$	12.17	$	7.87
$	64,944,311	$	9,259,576	$	819,292	$	2,012,194	$	54,975,698
	3,900,076		774,654		123,613		165,393		7,133,052
$	16.65	$	11.95	$	6.63	$	12.17	$	7.71
$	17.67	$	12.68	$	7.03	$	12.91	$	8.18
$	430,720	$	172,644	$	–	$	–	$	616,077
	27,043		14,944		–		–		80,862
$	15.93	$	11.55	$	–	$	–	$	7.62

163

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended June 30, 2013 (Unaudited)

	MassMutual Select PIMCO Total Return Fund			MassMutual Select Strategic Bond Fund
Investment income (Note 2):
Dividends (a)	$	-		$	5,955
Interest		22,719,354			2,670,742
Securities lending net income		-			-
Total investment income		22,719,354			2,676,697
Expenses (Note 3):
Investment management fees		3,452,403			466,482
Custody fees		203,918			26,116
Interest expense		12,442			-
Audit fees		44,276			22,819
Legal fees		8,410			837
Proxy fees		524			525
Shareholder reporting fees		23,117			2,930
Trustees’ fees		68,289			5,860
		3,813,379			525,569
Administration fees:
Class Z		44,822			-
Class I		-			-
Class S		144,131			20,009
Class Y		698,101			14,988
Class L		179,742			31,401
Class A		801,688			41,805
Class N		52,358			1,584
Distribution fees:
Class N		59,499			1,320
Service fees:
Class A		911,009			41,805
Class N		59,499			1,320
Total expenses		6,764,228			679,801
Expenses waived (Note 3):
Class Z fees waived by adviser		-			-
Class A fees waived by adviser		-			-
Class N fees waived by adviser		-			-
Class Z administrative fees waived		-			-
Class L administrative fees waived		-			-
Class A administrative fees waived		-			-
Class N administrative fees waived		-			-
Class Z management fees waived		-			-
Class I management fees waived		-			-
Class S management fees waived		-			-
Class Y management fees waived		-			-
Class L management fees waived		-			-
Class A management fees waived		-			-
Class N management fees waived		-			-
Net expenses		6,764,228			679,801
Net investment income (loss)		15,955,126			1,996,896
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		11,480,013			(2,856,662	)
Futures contracts		(2,071,804	)		485,530
Written options		778,455			32,607
Swap agreements		3,814,780			(16,188	)
Foreign currency transactions		8,106,157			307,941
Net realized gain (loss)		22,107,601			(2,046,772	)
Net change in unrealized appreciation (depreciation) on:
Investment transactions		(95,679,982	)		(4,802,139	)
Futures contracts		(2,354,098	)		329,158
Written options		(2,599,456	)		(65,177	)
Swap agreements		1,652,685			7,817
Translation of assets and liabilities in foreign currencies		187,541			(1,034	)
Net change in unrealized appreciation (depreciation)		(98,793,310	)		(4,531,375	)
Net realized gain (loss) and change in unrealized appreciation (depreciation)		(76,685,709	)		(6,578,147	)
Net increase (decrease) in net assets resulting from operations	$	(60,730,583	)	$	(4,581,251	)
(a)       Net of withholding tax of:	$	-		$	-

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

164

MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund			MassMutual Select Large Cap Value Fund			MM S&P 500 Index Fund			MassMutual Select Focused Value Fund
$	3,707,166	$	18,398,203		$	7,856,907		$	27,999,241		$	5,112,687
	292		865			505			5,244			3,072
	-		-			153,758			-			-
	3,707,458		18,399,068			8,011,170			28,004,485			5,115,759
	830,778		4,568,068			1,567,034			1,294,422			2,650,465
	18,335		55,316			26,000			95,768			26,113
	-		-			-			-			-
	16,299		16,574			16,562			17,719			16,637
	1,391		6,111			2,283			11,132			3,212
	525		525			525			525			1,520
	4,135		13,120			5,780			24,073			7,611
	10,390		45,807			15,780			84,259			24,096
	881,853		4,705,521			1,633,964			1,527,898			2,729,654
	-		78,788			-			35,290			48,673
	-		-			-			618,506			-
	81,885		719,432			148,780			973,835			276,909
	13,811		290,377			23,943			534,114			99,802
	11,227		265,274			50,417			805,467			178,829
	39,225		831,368			115,086			1,108,079			381,814
	256		2,582			208			11,851			1,317
	174		1,259			139			5,263			679
	31,807		449,000			88,692			539,949			219,736
	174		1,259			139			5,263			679
	1,060,412		7,344,860			2,061,368			6,165,515			3,938,092
	-		-			-			(4,829	)		-
	-		-			-			(35,140	)		-
	-		-			-			(345	)		-
	-		-			-			(25,299	)		-
	-		-			-			(261,898	)		-
	-		-			-			(360,029	)		-
	-		-			-			(3,506	)		-
	-		(168,921	)		-			(30,621	)		(69,543	)
	-		-			-			(228,239	)		-
	-		(395,305	)		(35,259	)		(139,189	)		(150,124	)
	-		(139,309	)		(2,750	)		(70,257	)		(35,125	)
	-		(85,795	)		(3,101	)		(78,517	)		(41,147	)
	-		(269,502	)		(7,096	)		(108,037	)		(87,914	)
	-		(756	)		(11	)		(1,053	)		(272	)
	1,060,412		6,285,272			2,013,151			4,818,556			3,553,967
	2,647,046		12,113,796			5,998,019			23,185,929			1,561,792
	12,576,019		52,623,545			11,796,552			12,348,525			23,456,471
	-		-			-			7,200,488			-
	-		-			-			-			-
	-		-			-			-			-
	-		(7,276	)		(6,133	)		-			-
	12,576,019		52,616,269			11,790,419			19,549,013			23,456,471
	30,441,255		144,663,279			51,107,387			289,312,129			109,220,148
	-		-			-			(444,433	)		-
	-		-			-			-			-
	-		-			-			-			-
	-		(175	)		(6,541	)		-			-
	30,441,255		144,663,104			51,100,846			288,867,696			109,220,148
	43,017,274		197,279,373			62,891,265			308,416,709			132,676,619
$	45,664,320	$	209,393,169		$	68,889,284		$	331,602,638		$	134,238,411
$	19,722	$	233,587		$	142,059		$	9,579		$	-

165

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended June 30, 2013 (Unaudited)

		MassMutual Select Fundamental Growth Fund			MassMutual Select Blue Chip Growth Fund
Investment income (Note 2):
Dividends (a)		$	908,049		$	4,300,059
Interest			74			377
Securities lending net income			18,345			-
Total investment income			926,468			4,300,436
Expenses (Note 3):
Investment management fees			370,451			3,334,678
Custody fees			24,857			47,663
Audit fees			16,857			16,729
Legal fees			446			4,513
Proxy fees			525			525
Shareholder reporting fees			2,345			14,916
Trustees’ fees			3,823			34,805
			419,304			3,453,829
Administration fees:
Class Z			-			-
Class I			-			-
Class S			64,910			320,770
Class Y			4,480			181,579
Class L			19,739			662,673
Class A			32,482			288,220
Class N			564			1,659
Distribution fees:
Class N			350			940
Service fees:
Class A			23,011			182,828
Class N			350			940
Total expenses			565,190			5,093,438
Expenses waived (Note 3):
Class Z fees waived by adviser			-			-
Class I fees waived by adviser			-			-
Class S fees waived by adviser			-			(100,294	)
Class Y fees waived by adviser			-			(71,354	)
Class L fees waived by adviser			-			(120,726	)
Class A fees waived by adviser			-			(81,775	)
Class N fees waived by adviser			-			(335	)
Class Z administrative fees waived			-			-
Class S administrative fees waived			(35,862	)		-
Class Y administrative fees waived			(663	)		-
Class L administrative fees waived			(1,678	)		-
Class A administrative fees waived			(2,761	)		-
Class N administrative fees waived			(42	)		-
Class Z management fees waived			-			-
Class S management fees waived			-			-
Class Y management fees waived			-			-
Class L management fees waived			-			-
Class A management fees waived			-			-
Class N management fees waived			-			-
Net expenses	��		524,184			4,718,954
Net investment income (loss)			402,284			(418,518	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions			2,307,928			68,482,992
Futures contracts			-			-
Foreign currency transactions			-			400
Net realized gain (loss)			2,307,928			68,483,392
Net change in unrealized appreciation (depreciation) on:
Investment transactions			10,895,532			51,361,327
Futures contracts			-			-
Translation of assets and liabilities in foreign currencies			-			(393	)
Net change in unrealized appreciation (depreciation)			10,895,532			51,360,934
Net realized gain (loss) and change in unrealized appreciation (depreciation)			13,203,460			119,844,326
Net increase (decrease) in net assets resulting from operations		$	13,605,744		$	119,425,808
(a)       Net of withholding tax of:		$	3,485		$	6,784

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

166

MassMutual Select Growth Opportunities Fund			MassMutual Select Mid-Cap Value Fund			MassMutual Select Small Cap Value Equity Fund		MassMutual Select Small Company Value Fund			MM S&P Mid Cap Index Fund
$	2,489,940		$	1,933,699		$	1,061,109	$	5,393,614		$	863,717
	656			705			159		844			306
	50,512			-			-		221,511			23,535
	2,541,108			1,934,404			1,061,268		5,615,969			887,558
	2,295,554			534,502			508,019		2,182,306			55,016
	31,165			16,536			7,797		27,336			21,278
	16,585			16,436			16,426		16,267			14,355
	2,541			690			577		2,267			664
	525			525			525		525			525
	6,900			2,785			2,559		5,739			2,156
	20,858			4,870			4,319		16,235			3,226
	2,374,128			576,344			540,222		2,250,675			97,220
	39,502			30,775			-		26,995			25,334
	-			-			-		-			1,191
	351,402			46,042			30,598		300,649			406
	100,332			2,344			3,433		56,748			7,434
	213,670			7,778			4,494		77,694			1,533
	293,859			9,406			8,261		236,225			5,764
	71			184			-		385			-
	33			104			-		197			-
	148,593			6,010			6,884		134,432			3,202
	33			104			-		197			-
	3,521,623			679,091			593,892		3,084,197			142,084
	-			-			-		-			(18,515	)
	-			-			-		-			(309	)
	-			(441	)		-		-			(50	)
	-			(17	)		-		-			(712	)
	-			(18	)		-		-			(108	)
	-			(20	)		-		-			(503	)
	-			(1	)		-		-			-
	-			(8,092	)		-		-			-
	-			-			-		-			-
	-			-			-		-			-
	-			-			-		-			-
	-			-			-		-			-
	-			-			-		-			-
	(62,753	)		(33,291	)		-		(36,028	)		-
	(215,559	)		(27,138	)		-		(96,437	)		-
	(43,760	)		(813	)		-		(15,704	)		-
	(64,847	)		(1,691	)		-		(14,118	)		-
	(89,203	)		(1,986	)		-		(43,043	)		-
	(20	)		(35	)		-		(63	)		-
	3,045,481			605,548			593,892		2,878,804			121,887
	(504,373	)		1,328,856			467,376		2,737,165			765,671
	24,946,207			15,666,231			8,992,536		22,315,830			1,623,932
	-			-			-		-			449,327
	-			-			-		43			-
	24,946,207			15,666,231			8,992,536		22,315,873			2,073,259
	30,702,468			3,001,312			11,314,776		39,623,952			10,161,080
	-			-			-		-			(38,846	)
	-			-			-		-			-
	30,702,468			3,001,312			11,314,776		39,623,952			10,122,234
	55,648,675			18,667,543			20,307,312		61,939,825			12,195,493
$	55,144,302		$	19,996,399		$	20,774,688	$	64,676,990		$	12,961,164
$	68,704		$	3,003		$	-	$	2,726		$	-

167

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended June 30, 2013 (Unaudited)

	MM Russell 2000 Small Cap Index Fund			MassMutual Select Mid Cap Growth Equity II Fund
Investment income (Note 2):
Dividends (a)	$	748,102		$	4,661,184
Interest		48,788			6,518
Securities lending net income		132,570			511,472
Total investment income		929,460			5,179,174
Expenses (Note 3):
Investment management fees		51,064			6,114,743
Custody fees		26,485			72,582
Audit fees		14,354			16,958
Legal fees		655			7,324
Proxy fees		525			525
Shareholder reporting fees		2,130			14,926
Trustees’ fees		3,113			52,459
		98,326			6,279,517
Administration fees:
Class Z		23,699			66,476
Class I		1,779			-
Class S		442			442,084
Class Y		4,788			313,329
Class L		1,623			714,593
Class A		3,788			768,906
Class N		-			4,862
Distribution fees:
Class N		-			2,562
Service fees:
Class A		2,104			452,937
Class N		-			2,562
Total expenses		136,549			9,047,828
Expenses waived (Note 3):
Class Z fees waived by adviser		(24,899	)		-
Class I fees waived by adviser		(627	)		-
Class S fees waived by adviser		(78	)		-
Class Y fees waived by adviser		(633	)		-
Class L fees waived by adviser		(156	)		-
Class A fees waived by adviser		(444	)		-
Class Z management fees waived		-			(110,841	)
Class S management fees waived		-			(239,744	)
Class Y management fees waived		-			(114,250	)
Class L management fees waived		-			(168,285	)
Class A management fees waived		-			(181,154	)
Class N management fees waived		-			(1,025	)
Net expenses		109,712			8,232,529
Net investment income (loss)		819,748			(3,053,355	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		3,874,861			88,882,199
Futures contracts		507,165			-
Foreign currency transactions		(17	)		3,602
Net realized gain (loss)		4,382,009			88,885,801
Net change in unrealized appreciation (depreciation) on:
Investment transactions		9,104,475			134,918,049
Futures contracts		(66,877	)		-
Translation of assets and liabilities in foreign currencies		(5	)		(1	)
Net change in unrealized appreciation (depreciation)		9,037,593			134,918,048
Net realized gain (loss) and change in unrealized appreciation (depreciation)		13,419,602			223,803,849
Net increase (decrease) in net assets resulting from operations	$	14,239,350		$	220,750,494
(a)       Net of withholding tax of:	$	600		$	43,678

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

168

MassMutual Select Small Cap Growth Equity Fund			MassMutual Select Small Company Growth Fund			MassMutual Select Diversified International Fund			MM MSCI EAFE International Index Fund			MassMutual Select Overseas Fund
$	2,318,801		$	191,324		$	3,435,626		$	3,396,370		$	10,601,372
	1,046			54			176			82			9,286
	730,900			47,921			134,799			117,776			350,004
	3,050,747			239,299			3,570,601			3,514,228			10,960,662
	3,420,627			258,990			707,512			78,716			2,834,807
	60,885			10,896			57,325			93,416			195,578
	18,969			16,108			20,068			14,589			20,212
	3,782			275			683			934			2,559
	525			525			525			526			525
	8,391			1,912			2,773			2,500			6,195
	25,871			1,942			5,083			4,630			18,276
	3,539,050			290,648			793,969			195,311			3,078,152
	55,116			-			-			37,631			89,007
	-			-			-			2,110			-
	414,918			35,596			39,085			313			281,682
	100,554			2,333			58			4,200			154,882
	121,133			8,151			21			546			49,719
	143,118			15,736			1,188			3,572			123,883
	1,222			328			-			-			1,524
	602			205			-			-			756
	78,207			11,269			990			1,984			68,172
	602			205			-			-			756
	4,454,522			364,471			835,311			245,667			3,848,533
	-			-			-			(51,285	)		-
	-			-			-			(947	)		-
	-			-			(54,701	)		(71	)		-
	-			-			(27	)		(710	)		-
	-			-			(10	)		(69	)		-
	-			-			(556	)		(539	)		-
	(55,134	)		-			-			-			(394,004	)
	(173,429	)		-			-			-			(246,583	)
	(22,889	)		-			-			-			(118,871	)
	(18,495	)		-			-			-			(33,845	)
	(21,889	)		-			-			-			(84,549	)
	(169	)		-			-			-			(938	)
	4,162,517			364,471			780,017			192,046			2,969,743
	(1,111,770	)		(125,172	)		2,790,584			3,322,182			7,990,919
	70,223,571			5,525,695			3,355,668			(6,813	)		13,584,385
	-			-			316,774			180,931			120,674
	313			-			943,679			(93,036	)		2,653,496
	70,223,884			5,525,695			4,616,121			81,082			16,358,555
	86,703,091			2,457,012			(1,364,471	)		(317,167	)		(2,155,127	)
	-			-			(59,266	)		(106,080	)		(42,292	)
	(247	)		-			(1,755,539	)		(9,045	)		(1,574,611	)
	86,702,844			2,457,012			(3,179,276	)		(432,292	)		(3,772,030	)
	156,926,728			7,982,707			1,436,845			(351,210	)		12,586,525
$	155,814,958		$	7,857,535		$	4,227,429		$	2,970,972		$	20,577,444
$	17,178		$	398		$	363,482		$	295,304		$	1,045,851

169

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select PIMCO Total Return Fund
	Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	15,955,126		$	40,833,507
Net realized gain (loss) on investment transactions		22,107,601			54,651,215
Net change in unrealized appreciation (depreciation) on investments		(98,793,310	)		74,815,717
Net increase (decrease) in net assets resulting from operations		(60,730,583	)		170,300,439
Distributions to shareholders (Note 2):
From net investment income:
Class Z		-			(16,027,867	)
Class S		-			(5,674,734	)
Class Y		-			(15,769,227	)
Class L		-			(3,239,108	)
Class A		-			(23,655,073	)
Class N		-			(1,273,751	)
Total distributions from net investment income		-			(65,639,760	)
From net realized gains:
Class Z		-			(776,209	)
Class S		-			(284,033	)
Class Y		-			(818,099	)
Class L		-			(170,265	)
Class A		-			(1,298,662	)
Class N		-			(73,647	)
Total distributions from net realized gains		-			(3,420,915	)
Net fund share transactions (Note 5):
Class Z		(56,300,515	)		15,598,679
Class S		13,770,219			84,080,863
Class Y		(11,775,539	)		(424,598	)
Class L		(2,540,156	)		29,216,526
Class A		(63,707,770	)		22,403,164
Class N		4,623,027			18,877,974
Increase (decrease) in net assets from fund share transactions		(115,930,734	)		169,752,608
Total increase (decrease) in net assets		(176,661,317	)		270,992,372
Net assets
Beginning of period		2,001,907,332			1,730,914,960
End of period	$	1,825,246,015		$	2,001,907,332
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	11,709,443		$	-
Distributions in excess of net investment income included in net assets at end of period	$	-		$	(4,245,683	)

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

170

MassMutual Select Strategic Bond Fund						MassMutual Select Diversified Value Fund						MassMutual Select Fundamental Value Fund
Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012			Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012			Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
$	1,996,896		$	5,038,313		$	2,647,046		$	5,673,560		$	12,113,796		$	24,274,369
	(2,046,772	)		2,374,707			12,576,019			13,597,808			52,616,269			50,205,005
	(4,531,375	)		5,456,318			30,441,255			29,453,141			144,663,104			114,533,025
	(4,581,251	)		12,869,338			45,664,320			48,724,509			209,393,169			189,012,399
	-			-			-			-			-			(6,608,158	)
	-			(2,710,337	)		-			(5,686,142	)		-			(14,240,372	)
	-			(819,920	)		-			(417,541	)		-			(4,587,261	)
	-			(1,025,610	)		-			(160,779	)		-			(3,313,139	)
	-			(1,064,311	)		-			(458,474	)		-			(8,356,882	)
	-			(29,706	)		-			(1,900	)		-			(13,802	)
	-			(5,649,884	)		-			(6,724,836	)		-			(37,119,614	)
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			5,234,213			(5,883,742	)
	(3,615,791	)		3,753,494			23,639,913			146,741			(55,957,513	)		24,669,013
	16,069,660			(3,165,937	)		(1,340,971	)		(9,127,005	)		13,455,123			(15,499,204	)
	(16,991,120	)		3,599,648			(3,341,808	)		(3,532,005	)		(17,763,854	)		1,726,087
	(4,877,761	)		(4,891,113	)		(1,855,685	)		(4,069,581	)		(6,378,375	)		10,196,670
	(31,980	)		105,005			(560	)		(152,542	)		91,414			(1,227,055	)
	(9,446,992	)		(598,903	)		17,100,889			(16,734,392	)		(61,318,992	)		13,981,769
	(14,028,243	)		6,620,551			62,765,209			25,265,281			148,074,177			165,874,554
	178,476,412			171,855,861			296,197,663			270,932,382			1,298,687,187			1,132,812,633
$	164,448,169		$	178,476,412		$	358,962,872		$	296,197,663		$	1,446,761,364		$	1,298,687,187
$	1,993,988		$	-		$	2,580,015		$	-		$	12,066,164		$	-
$	-		$	(2,908	)	$	-		$	(67,031	)	$	-		$	(47,632	)

171

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Large Cap Value Fund
	Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	5,998,019		$	7,411,169
Net realized gain (loss) on investment transactions		11,790,419			147,923,726
Net change in unrealized appreciation (depreciation) on investments		51,100,846			(101,293,831	)
Net increase (decrease) in net assets resulting from operations		68,889,284			54,041,064
Distributions to shareholders (Note 2):
From net investment income:
Class Z		-			-
Class I		-			-
Class S		-			(5,172,215	)
Class Y		-			(378,181	)
Class L		-			(518,437	)
Class A		-			(620,343	)
Class N		-			(607	)
Total distributions from net investment income		-			(6,689,783	)
From net realized gains:
Class Z		-			-
Class S		-			(98,946,643	)
Class Y		-			(8,242,904	)
Class L		-			(12,188,393	)
Class A		-			(20,446,560	)
Class N		-			(34,459	)
Total distributions from net realized gains		-			(139,858,959	)
Net fund share transactions (Note 5):
Class Z		-			-
Class I		-			-
Class S		(44,260,376	)		98,236,432
Class Y		1,615,203			(37,095,646	)
Class L		(19,446,006	)		459,745
Class A		(9,544,281	)		(24,105,425	)
Class N		(35,772	)		(312,112	)
Increase (decrease) in net assets from fund share transactions		(71,671,232	)		37,182,994
Total increase (decrease) in net assets		(2,781,948	)		(55,324,684	)
Net assets
Beginning of period		474,130,366			529,455,050
End of period	$	471,348,418		$	474,130,366
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	6,010,500		$	12,481
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

MM S&P 500 Index Fund						MassMutual Select Focused Value Fund						MassMutual Select Fundamental Growth Fund
Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012			Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012			Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
$	23,185,929		$	43,983,759		$	1,561,792		$	4,921,041		$	402,284		$	648,418
	19,549,013			19,768,195			23,456,471			58,859,705			2,307,928			8,738,902
	288,867,696			260,969,930			109,220,148			59,255,627			10,895,532			(626,877	)
	331,602,638			324,721,884			134,238,411			123,036,373			13,605,744			8,760,443
	-			(2,321,958	)		-			(1,155,367	)		-			-
	-			(19,055,127	)		-			-			-			-
	-			(10,636,777	)		-			(2,305,203	)		-			(536,385	)
	-			(5,592,667	)		-			(420,961	)		-			(23,180	)
	-			(5,839,922	)		-			(477,908	)		-			(50,208	)
	-			(7,443,264	)		-			(584,552	)		-			(27,774	)
	-			(62,915	)		-			-			-			-
	-			(50,952,630	)		-			(4,943,991	)		-			(637,547	)
	-			-			-			(9,119,890	)		-			-
	-			-			-			(21,202,859	)		-			(40,942	)
	-			-			-			(4,346,344	)		-			(2,176	)
	-			-			-			(5,924,302	)		-			(5,824	)
	-			-			-			(12,481,446	)		-			(9,793	)
	-			-			-			(36,630	)		-			(146	)
	-			-			-			(53,111,471	)		-			(58,881	)
	18,978,465			37,487,062			6,199,005			25,441,109			-			-
	(2,262,998	)		(2,933,633	)		-			-			-			-
	(12,724,648	)		19,483,288			(18,866,343	)		7,490,203			(1,228,408	)		48,612,489
	(29,429,338	)		(14,935,313	)		11,851,447			(8,891,650	)		564,559			1,717,055
	12,710,968			31,426,009			(1,203,059	)		6,337,698			(3,108,130	)		2,569,030
	25,522,037			8,059,070			3,723,119			2,657,993			1,389,255			(893,439	)
	250,252			60,172			24,095			(1,044,865	)		37,347			(124,532	)
	13,044,738			78,646,655			1,728,264			31,990,488			(2,345,377	)		51,880,603
	344,647,376			352,415,909			135,966,675			96,971,399			11,260,367			59,944,618
	2,393,092,147			2,040,676,238			682,392,547			585,421,148			105,306,018			45,361,400
$	2,737,739,523		$	2,393,092,147		$	818,359,222		$	682,392,547		$	116,566,385		$	105,306,018
$	23,750,438		$	564,509		$	1,400,414		$	-		$	401,376		$	-
$	-		$	-		$	-		$	(161,378	)	$	-		$	(908	)

173

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Blue Chip Growth Fund
	Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(418,518	)	$	1,713,615
Net realized gain (loss) on investment transactions		68,483,392			15,987,116
Net change in unrealized appreciation (depreciation) on investments		51,360,934			113,844,327
Net increase (decrease) in net assets resulting from operations		119,425,808			131,545,058
Distributions to shareholders (Note 2):
From net investment income:
Class Z		-			-
Class S		-			(1,016,603	)
Class Y		-			(237,195	)
Class L		-			(144,653	)
Class A		-			-
Class N		-			-
Total distributions from net investment income		-			(1,398,451	)
Net fund share transactions (Note 5):
Class Z		-			-
Class S		(26,393,387	)		84,895,520
Class Y		(1,084,385	)		22,124,697
Class L		(15,408,741	)		31,294,485
Class A		(4,320,623	)		48,284,360
Class N		(55,369	)		640,093
Increase (decrease) in net assets from fund share transactions		(47,262,505	)		187,239,155
Total increase (decrease) in net assets		72,163,303			317,385,762
Net assets
Beginning of period		995,134,272			677,748,510
End of period	$	1,067,297,575		$	995,134,272
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	(268,159	)	$	150,359

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

174

MassMutual Select Growth Opportunities Fund						MassMutual Select Mid-Cap Value Fund						MassMutual Select Small Cap Value Equity Fund
Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012			Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012			Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
$	(504,373	)	$	57,066		$	1,328,856		$	2,093,491		$	467,376		$	1,093,974
	24,946,207			17,154,998			15,666,231			10,489,884			8,992,536			9,145,252
	30,702,468			57,019,524			3,001,312			9,908,194			11,314,776			10,906,940
	55,144,302			74,231,588			19,996,399			22,491,569			20,774,688			21,146,166
	-			-			-			(1,254,330	)		-			-
	-			-			-			(824,409	)		-			(1,012,546	)
	-			-			-			(24,970	)		-			(25,312	)
	-			-			-			(44,738	)		-			(16,072	)
	-			-			-			(45,198	)		-			(20,157	)
	-			-			-			(635	)		-			-
	-			-			-			(2,194,280	)		-			(1,074,087	)
	4,576,318			74,186,932			(20,119,408	)		74,670,421			-			-
	(7,531,457	)		(11,878,139	)		6,094,327			(92,032,568	)		(8,402,843	)		5,341,346
	13,281,750			9,047,286			126,256			(76,272	)		1,032,815			(452,872	)
	(2,064,534	)		50,780,947			(307,165	)		(1,368,004	)		(207,317	)		14,623
	15,158,369			40,078,109			411,087			(662,708	)		(8,922	)		(344,741	)
	(23	)		(861	)		3,618			2,475			(130	)		(20,851	)
	23,420,423			162,214,274			(13,791,285	)		(19,466,656	)		(7,586,397	)		4,537,505
	78,564,725			236,445,862			6,205,114			830,633			13,188,291			24,609,584
	578,044,316			341,598,454			141,614,781			140,784,148			126,691,778			102,082,194
$	656,609,041		$	578,044,316		$	147,819,895		$	141,614,781		$	139,880,069		$	126,691,778
$	(531,692	)	$	(27,319	)	$	1,347,293		$	18,437		$	469,085		$	1,709

175

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Small Company Value Fund
	Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	2,737,165		$	4,253,720
Net realized gain (loss) on investment transactions		22,315,873			22,030,725
Net change in unrealized appreciation (depreciation) on investments		39,623,952			39,904,476
Net increase (decrease) in net assets resulting from operations		64,676,990			66,188,921
Distributions to shareholders (Note 2):
From net investment income:
Class Z		-			(1,063,293	)
Class I		-			-
Class S		-			(2,748,643	)
Class Y		-			(361,647	)
Class L		-			(392,638	)
Class A		-			(781,563	)
Total distributions from net investment income		-			(5,347,784	)
From net realized gains:
Class Z		-			(2,495,910	)
Class I		-			-
Class S		-			(7,351,721	)
Class Y		-			(1,089,269	)
Class L		-			(1,240,739	)
Class A		-			(3,284,087	)
Class N		-			(4,881	)
Total distributions from net realized gains		-			(15,466,607	)
Net fund share transactions (Note 5):
Class Z		9,917,646			22,562,670
Class I		-			-
Class S		(21,168,277	)		(18,515,249	)
Class Y		1,513,579			(24,016,451	)
Class L		(8,475,539	)		(2,866,862	)
Class A		(3,313,582	)		(9,157,654	)
Class N		6,064			(542,083	)
Increase (decrease) in net assets from fund share transactions		(21,520,109	)		(32,535,629	)
Total increase (decrease) in net assets		43,156,881			12,838,901
Net assets
Beginning of period		476,732,538			463,893,637
End of period	$	519,889,419		$	476,732,538
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	1,193,442		$	-
Distributions in excess of net investment income included in net assets at end of period	$	-		$	(1,543,723	)

+ Fund commenced operations on July 26, 2012.

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

176

MM S&P Mid Cap Index Fund					MM Russell 2000 Small Cap Index Fund						MassMutual Select Mid Cap Growth Equity II Fund
Six Months Ended June 30, 2013 (Unaudited)		Period Ended December 31, 2012+			Six Months Ended June 30, 2013 (Unaudited)			Period Ended December 31, 2012 +			Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
$	765,671	$	661,693		$	819,748		$	1,021,229		$	(3,053,355	)	$	(3,005,185	)
	2,073,259		649,961			4,382,009			796,929			88,885,801			133,464,037
	10,122,234		7,892,578			9,037,593			6,646,716			134,918,048			74,903,661
	12,961,164		9,204,232			14,239,350			8,464,874			220,750,494			205,362,513
	-		(650,268	)		-			(914,662	)		-			(350,467	)
	-		(791	)		-			(1,132	)		-			-
	-		(1,560	)		-			(1,249	)		-			(219,632	)
	-		(5,923	)		-			(1,179	)		-			-
	-		(963	)		-			(1,560	)		-			-
	-		(534	)		-			(877	)		-			-
	-		(660,039	)		-			(920,659	)		-			(570,099	)
	-		(631,163	)		-			(408,974	)		-			(16,002,852	)
	-		(813	)		-			(526	)		-			-
	-		(1,631	)		-			(611	)		-			(37,047,456	)
	-		(6,100	)		-			(600	)		-			(16,920,942	)
	-		(1,189	)		-			(815	)		-			(27,443,165	)
	-		(813	)		-			(526	)		-			(30,066,085	)
	-		-			-			-			-			(174,480	)
	-		(641,709	)		-			(412,052	)		-			(127,654,980	)
	17,241,285		79,440,579			(1,085,355	)		79,598,149			18,936,122			26,071,392
	3,114,391		101,754			5,153,156			101,807			-			-
	109,421		213,638			302,422			118,939			(29,022,550	)		(10,328,467	)
	6,429,960		782,367			5,618,764			117,000			5,196,453			13,948,324
	1,120,821		153,312			1,082,374			162,231			(30,298,478	)		(25,750,229	)
	4,727,225		101,497			2,816,682			101,551			(21,902,098	)		1,833,842
	-		-			-			-			(90,281	)		(170,519	)
	32,743,103		80,793,147			13,888,043			80,199,677			(57,180,832	)		5,604,343
	45,704,267		88,695,631			28,127,393			87,331,840			163,569,662			82,741,777
	88,695,631		-			87,331,840			-			1,519,240,842			1,436,499,065
$	134,399,898	$	88,695,631		$	115,459,233		$	87,331,840		$	1,682,810,504		$	1,519,240,842
$	767,391	$	1,720		$	920,424		$	100,676		$	(9,000,732	)	$	(5,947,377	)
$	-	$	-		$	-		$	-		$	-		$	-

177

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Small Cap Growth Equity Fund
	Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(1,111,770	)	$	(2,342,104	)
Net realized gain (loss) on investment transactions		70,223,884			55,858,021
Net change in unrealized appreciation (depreciation) on investments		86,702,844			42,704,966
Net increase (decrease) in net assets resulting from operations		155,814,958			96,220,883
Distributions to shareholders (Note 2):
From net investment income:
Class Z		-			-
Class I		-			-
Class S		-			-
Class Y		-			-
Class L		-			-
Class A		-			-
Total distributions from net investment income		-			-
From net realized gains:
Class Z		-			(7,744,622	)
Class I		-			-
Class S		-			(25,943,940	)
Class Y		-			(3,383,837	)
Class L		-			(3,019,731	)
Class A		-			(3,778,165	)
Class N		-			(30,326	)
Total distributions from net realized gains		-			(43,900,621	)
Net fund share transactions (Note 5):
Class Z		6,362,828			7,761,720
Class I		-			-
Class S		(13,027,350	)		(4,621,507	)
Class Y		(2,924,056	)		(10,937,537	)
Class L		(13,809,507	)		(3,499,306	)
Class A		(7,476,818	)		(14,809,829	)
Class N		(136,746	)		37,329
Increase (decrease) in net assets from fund share transactions		(31,011,649	)		(26,069,130	)
Total increase (decrease) in net assets		124,803,309			26,251,132
Net assets
Beginning of period		761,632,061			735,380,929
End of period	$	886,435,370		$	761,632,061
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	(1,269,994	)	$	(158,224	)
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-

+ Fund commenced operations on July 25, 2012.

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

178

MassMutual Select Small Company Growth Fund						MassMutual Select Diversified International Fund						MM MSCI EAFE International Index Fund
Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012			Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012			Six Months Ended June 30, 2013 (Unaudited)			Period Ended December 31, 2012+
$	(125,172	)	$	(200,392	)	$	2,790,584		$	4,060,590		$	3,322,182		$	1,117,127
	5,525,695			5,489,627			4,616,121			(9,472,193	)		81,082			428,214
	2,457,012			2,101,488			(3,179,276	)		28,458,720			(432,292	)		18,398,730
	7,857,535			7,390,723			4,227,429			23,047,117			2,970,972			19,944,071
	-			-			-			-			-			(1,472,093	)
	-			-			-			-			-			(1,347	)
	-			-			-			(4,392,023	)		-			(1,480	)
	-			-			-			(2,025	)		-			(1,220	)
	-			-			-			-			-			(1,344	)
	-			-			-			(17,661	)		-			(1,079	)
	-			-			-			(4,411,709	)		-			(1,478,563	)
	-			-			-			-			-			(116,055	)
	-			-			-			-			-			(110	)
	-			-			-			-			-			(127	)
	-			-			-			-			-			(110	)
	-			-			-			-			-			(131	)
	-			-			-			-			-			(110	)
	-			-			-			-			-			-
	-			-			-			-			-			(116,643	)
	-			-			-			-			40,603,566			109,274,972
	-			-			-			-			6,123,004			101,557
	(1,652,527	)		(3,075,245	)		(1,855,677	)		11,747,277			86,566			118,630
	1,828			(455,165	)		3,097			11,538			3,554,517			101,332
	(2,324,365	)		486,767			(5,459	)		(2,308,253	)		357,351			112,687
	(367,571	)		(1,731,262	)		105,395			(274,346	)		1,892,577			101,289
	-			(105,362	)		-			(58,616	)		-	��		-
	(4,342,635	)		(4,880,267	)		(1,752,644	)		9,117,600			52,617,581			109,810,467
	3,514,900			2,510,456			2,474,785			27,753,008			55,588,553			128,159,332
	58,643,869			56,133,413			151,852,059			124,099,051			128,159,332			-
$	62,158,769		$	58,643,869		$	154,326,844		$	151,852,059		$	183,747,885		$	128,159,332
$	(158,144	)	$	(32,972	)	$	2,185,034		$	-		$	3,039,306		$	-
$	-		$	-		$	-		$	(605,550	)	$	-		$	(282,876	)

179

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Overseas Fund
	Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	7,990,919		$	10,633,625
Net realized gain (loss) on investment transactions		16,358,555			1,745,238
Net change in unrealized appreciation (depreciation) on investments		(3,772,030	)		98,041,747
Net increase (decrease) in net assets resulting from operations		20,577,444			110,420,610
Distributions to shareholders (Note 2):
From net investment income:
Class Z		-			(4,927,715	)
Class S		-			(1,791,221	)
Class Y		-			(820,526	)
Class L		-			(121,522	)
Class A		-			(531,248	)
Class N		-			(3,469	)
Total distributions from net investment income		-			(8,195,701	)
Net fund share transactions (Note 5):
Class Z		(19,958,183	)		(35,976,240	)
Class S		609,742			31,944,098
Class Y		9,915,086			(22,404,310	)
Class L		(8,411,296	)		(4,698,302	)
Class A		(1,253,833	)		2,365,018
Class N		48,387			246,011
Increase (decrease) in net assets from fund share transactions		(19,050,097	)		(28,523,725	)
Total increase (decrease) in net assets		1,527,347			73,701,184
Net assets
Beginning of period		559,750,439			486,049,255
End of period	$	561,277,786		$	559,750,439
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	17,492,637		$	9,501,718

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

180

THIS PAGE INTENTIONALLY LEFT BLANK

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

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assetso			Interest expense to average daily net assetsp			Ratio of expenses to average daily net assetsn			Net investment income (loss) to average daily net assets
Class Z
06/30/13r	$	10.55	$	0.10	$	(0.40	)	$	(0.30	)	$	-		$	-		$	-		$	10.25		(2.84%	)b	$	370,438		0.41%	a		0.00	%a,e		0.41	%a		1.90%	a
12/31/12		9.98		0.26		0.71			0.97			(0.38	)		(0.02	)		(0.40	)		10.55		9.74%			440,229		0.41%			0.00	%e		0.41	%		2.43%
12/31/11		10.09		0.33		(0.09	)		0.24			(0.35	)		-			(0.35	)		9.98		2.41%			402,361		0.40%			N/A			N/A			3.26%
12/31/10g		10.00		0.16		0.15			0.31			(0.14	)		(0.08	)		(0.22	)		10.09		3.13%	b		3,658		0.42%	a		N/A			N/A			3.15%	a
Class S
06/30/13r	$	10.54	$	0.09	$	(0.40	)	$	(0.31	)	$	-		$	-		$	-		$	10.23		(2.94%	)b	$	177,133		0.56%	a		0.00	%a,e		0.56	%a		1.75%	a
12/31/12		9.97		0.24		0.72			0.96			(0.37	)		(0.02	)		(0.39	)		10.54		9.62%			169,086		0.56%			0.00	%e		0.56	%		2.26%
12/31/11		10.07		0.31		(0.07	)		0.24			(0.34	)		-			(0.34	)		9.97		2.37%			79,275		0.55%			N/A			N/A			3.02%
12/31/10g		10.00		0.14		0.14			0.28			(0.13	)		(0.08	)		(0.21	)		10.07		2.88%	b		29,273		0.57%	a		N/A			N/A			2.77%	a
Class Y
06/30/13r	$	10.56	$	0.08	$	(0.40	)	$	(0.32	)	$	-		$	-		$	-		$	10.24		(3.03%	)b	$	455,424		0.68%	a		0.00	%a,e		0.68	%a		1.63%	a
12/31/12		9.99		0.23		0.71			0.94			(0.35	)		(0.02	)		(0.37	)		10.56		9.43%			481,613		0.68%			0.00	%e		0.68	%		2.15%
12/31/11		10.09		0.30		(0.08	)		0.22			(0.32	)		-			(0.32	)		9.99		2.21%			454,979		0.67%			N/A			N/A			2.89%
12/31/10g		10.00		0.13		0.16			0.29			(0.12	)		(0.08	)		(0.20	)		10.09		2.98%	b		516,171		0.69%	a		N/A			N/A			2.51%	a
Class L
06/30/13r	$	10.51	$	0.08	$	(0.40	)	$	(0.32	)	$	-		$	-		$	-		$	10.19		(3.04%	)b	$	94,435		0.76%	a		0.00	%a,e		0.76	%a		1.55%	a
12/31/12		9.95		0.22		0.71			0.93			(0.35	)		(0.02	)		(0.37	)		10.51		9.35%			99,987		0.76%			0.00	%e		0.76	%		2.06%
12/31/11		10.07		0.29		(0.08	)		0.21			(0.33	)		-			(0.33	)		9.95		2.13%			66,880		0.75%			N/A			N/A			2.87%
12/31/10g		10.00		0.13		0.15			0.28			(0.13	)		(0.08	)		(0.21	)		10.07		2.81%	b		27,909		0.77%	a		N/A			N/A			2.57%	a
Class A
06/30/13r	$	10.56	$	0.07	$	(0.40	)	$	(0.33	)	$	-		$	-		$	-		$	10.23		(3.13%	)b	$	680,139		0.86%	a		0.00	%a,e		0.86	%a		1.45%	a
12/31/12		9.99		0.21		0.71			0.92			(0.33	)		(0.02	)		(0.35	)		10.56		9.25%			766,346		0.86%			0.00	%e		0.86	%		1.98%
12/31/11		10.09		0.28		(0.08	)		0.20			(0.30	)		-			(0.30	)		9.99		2.03%			703,315		0.85%			N/A			N/A			2.71%
12/31/10g		10.00		0.12		0.16			0.28			(0.11	)		(0.08	)		(0.19	)		10.09		2.89%	b		708,198		0.87%	a		N/A			N/A			2.34%	a
Class N
06/30/13r	$	10.52	$	0.06	$	(0.40	)	$	(0.34	)	$	-		$	-		$	-		$	10.18		(3.23%	)b	$	47,678		1.11%	a		0.00	%a,e		1.11	%a		1.20%	a
12/31/12		9.97		0.18		0.71			0.89			(0.32	)		(0.02	)		(0.34	)		10.52		9.02%			44,647		1.11%			0.00	%e		1.11	%		1.71%
12/31/11		10.08		0.26		(0.07	)		0.19			(0.30	)		-			(0.30	)		9.97		1.77%			24,105		1.10%			N/A			N/A			2.50%
12/31/10g		10.00		0.11		0.15			0.26			(0.10	)		(0.08	)		(0.18	)		10.08		2.70%	b		9,825		1.12%	a		N/A			N/A			2.12%	a

	Six months ended June 30, 2013b,r,u			Year ended December 31
				2012u			2011			2010b
Portfolio turnover rate for all share classes		213	%		501	%		442	%		299	%

a Annualized.

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

c Per share amount calculated on the average shares method.

e Amount is less than 0.005%.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

n Includes interest expense.

o Excludes interest expense.

p Interest expense incurred as a result of entering into reverse repurchase agreements and Treasury roll transactions is included in the Fund’s net expenses in the Statements of Operations. Income earned on investing proceeds from reverse repurchase agreements and Treasury roll transactions is included in interest income in the Statements of Operations.

r Unaudited.

u Excludes dollar roll transactions. Including these transactions, the portfolio turnover would have been 229% and 509% as of June 30, 2013 and December 31, 2012, respectively.

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

182

MassMutual Select Strategic Bond Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	10.34	$	0.13	$	(0.41	)	$	(0.28	)	$	-		$	-		$	-		$	10.06		(2.71%	)b	$	76,729		0.67%	a		N/A			2.49%	a
12/31/12		9.91		0.31		0.47			0.78			(0.35	)		-			(0.35	)		10.34		7.86%			82,408		0.68%			N/A			3.02%
12/31/11		9.60		0.31		0.33			0.64			(0.33	)		-			(0.33	)		9.91		6.61%			75,607		0.66%			N/A			3.14%
12/31/10		9.18		0.40		0.55			0.95			(0.53	)		-			(0.53	)		9.60		10.51%			48,222		0.66%			N/A			4.10%
12/31/09		8.40		0.50		1.09			1.59			(0.81	)		-			(0.81	)		9.18		18.95%			49,528		0.66%			N/A			5.54%
12/31/08		10.04		0.56		(1.40	)		(0.84	)		(0.54	)		(0.26	)		(0.80	)		8.40		(8.19%	)		53,079		0.65%			N/A			5.78%
Class Y
06/30/13r	$	10.35	$	0.12	$	(0.40	)	$	(0.28	)	$	-		$	-		$	-		$	10.07		(2.71%	)b	$	40,280		0.72%	a		N/A			2.44%	a
12/31/12		9.92		0.31		0.46			0.77			(0.34	)		-			(0.34	)		10.35		7.79%			25,412		0.73%			N/A			2.96%
12/31/11		9.61		0.31		0.33			0.64			(0.33	)		-			(0.33	)		9.92		6.54%			27,303		0.71%			N/A			3.08%
12/31/10		9.18		0.40		0.54			0.94			(0.51	)		-			(0.51	)		9.61		10.46%			28,610		0.71%			N/A			4.12%
12/31/09		8.40		0.49		1.10			1.59			(0.81	)		-			(0.81	)		9.18		18.90%			56,838		0.71%			N/A			5.41%
12/31/08		10.04		0.56		(1.41	)		(0.85	)		(0.53	)		(0.26	)		(0.79	)		8.40		(8.30%	)		63,385		0.70%			N/A			5.73%
Class L
06/30/13r	$	10.32	$	0.12	$	(0.40	)	$	(0.28	)	$	-		$	-		$	-		$	10.04		(2.71%	)b	$	14,428		0.87%	a		N/A			2.28%	a
12/31/12		9.90		0.29		0.46			0.75			(0.33	)		-			(0.33	)		10.32		7.57%			31,753		0.88%			N/A			2.81%
12/31/11		9.58		0.29		0.33			0.62			(0.30	)		-			(0.30	)		9.90		6.43%			26,987		0.86%			N/A			2.90%
12/31/10		9.16		0.38		0.55			0.93			(0.51	)		-			(0.51	)		9.58		10.34%			41,764		0.86%			N/A			3.88%
12/31/09		8.39		0.47		1.10			1.57			(0.80	)		-			(0.80	)		9.16		18.70%			36,382		0.86%			N/A			5.06%
12/31/08		10.03		0.55		(1.41	)		(0.86	)		(0.52	)		(0.26	)		(0.78	)		8.39		(8.42%	)		20,994		0.85%			0.82	%		5.68%
Class A
06/30/13r	$	10.31	$	0.10	$	(0.39	)	$	(0.29	)	$	-		$	-		$	-		$	10.02		(2.81%	)b	$	31,946		1.12%	a		N/A			2.03%	a
12/31/12		9.89		0.26		0.46			0.72			(0.30	)		-			(0.30	)		10.31		7.27%			37,774		1.13%			N/A			2.57%
12/31/11		9.56		0.26		0.34			0.60			(0.27	)		-			(0.27	)		9.89		6.23%			40,971		1.11%			N/A			2.68%
12/31/10		9.14		0.36		0.54			0.90			(0.48	)		-			(0.48	)		9.56		10.00%			54,043		1.11%			N/A			3.68%
12/31/09		8.37		0.45		1.09			1.54			(0.77	)		-			(0.77	)		9.14		18.39%			62,233		1.11%			N/A			5.02%
12/31/08		10.00		0.51		(1.39	)		(0.88	)		(0.49	)		(0.26	)		(0.75	)		8.37		(8.60%	)		67,723		1.10%			1.07	%		5.25%
Class N
06/30/13r	$	10.26	$	0.09	$	(0.39	)	$	(0.30	)	$	-		$	-		$	-		$	9.96		(2.92%	)b	$	1,065		1.42%	a		N/A			1.74%	a
12/31/12		9.85		0.23		0.46			0.69			(0.28	)		-			(0.28	)		10.26		7.00%			1,130		1.43%			N/A			2.26%
12/31/11		9.55		0.23		0.33			0.56			(0.26	)		-			(0.26	)		9.85		5.80%			988		1.41%			N/A			2.37%
12/31/10		9.14		0.32		0.55			0.87			(0.46	)		-			(0.46	)		9.55		9.70%			963		1.41%			N/A			3.33%
12/31/09		8.37		0.42		1.09			1.51			(0.74	)		-			(0.74	)		9.14		17.95%			820		1.41%			N/A			4.70%
12/31/08		9.96		0.46		(1.37	)		(0.91	)		(0.42	)		(0.26	)		(0.68	)		8.37		(8.86%	)		758		1.40%			1.35	%		4.72%

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		169	%		417	%		669	%		267	%		66	%		74	%

a Annualized.

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

c Per share amount calculated on the average shares method.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan presented if they reflected these charges.

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

r Unaudited.

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

183

MassMutual Select Diversified Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	10.21	$	0.09	$	1.47		$	1.56		$	-		$	-		$	-		$	-		$	11.77		15.28%	b	$	307,623		0.59%	a		1.64%	a
12/31/12		8.87		0.19		1.39			1.58			(0.24	)		-			-			(0.24	)		10.21		17.79%			245,589		0.59%			1.98%
12/31/11		8.92		0.16		(0.05	)		0.11			(0.16	)		-			-			(0.16	)		8.87		1.37%			212,076		0.59%			1.79%
12/31/10		8.08		0.15		0.86			1.01			(0.17	)		-			-			(0.17	)		8.92		12.56%			186,639		0.60%			1.86%
12/31/09		6.85		0.15		1.23			1.38			(0.15	)		-			-			(0.15	)		8.08		20.10%			200,237		0.60%			2.20%
12/31/08		12.09		0.26		(5.19	)		(4.93	)		(0.29	)		(0.02	)		(0.00	)d		(0.31	)		6.85		(40.73%	)		153,801		0.59%			2.61%
Class Y
06/30/13r	$	10.22	$	0.09	$	1.46		$	1.55		$	-		$	-		$	-		$	-		$	11.77		15.17%	b	$	19,506		0.69%	a		1.53%	a
12/31/12		8.87		0.18		1.39			1.57			(0.22	)		-			-			(0.22	)		10.22		17.74%			18,431		0.69%			1.84%
12/31/11		8.92		0.15		(0.05	)		0.10			(0.15	)		-			-			(0.15	)		8.87		1.25%			23,925		0.69%			1.69%
12/31/10		8.08		0.15		0.85			1.00			(0.16	)		-			-			(0.16	)		8.92		12.45%			33,138		0.70%			1.78%
12/31/09		6.85		0.15		1.21			1.36			(0.13	)		-			-			(0.13	)		8.08		19.92%			31,928		0.70%			2.26%
12/31/08		12.07		0.25		(5.17	)		(4.92	)		(0.28	)		(0.02	)		(0.00	)d		(0.30	)		6.85		(40.74%	)		54,181		0.69%			2.49%
Class L
06/30/13r	$	10.25	$	0.08	$	1.47		$	1.55		$	-		$	-		$	-		$	-		$	11.80		15.12%	b	$	5,552		0.80%	a		1.39%	a
12/31/12		8.90		0.17		1.39			1.56			(0.21	)		-			-			(0.21	)		10.25		17.53%			7,642		0.80%			1.74%
12/31/11		8.92		0.14		(0.04	)		0.10			(0.12	)		-			-			(0.12	)		8.90		1.17%			9,809		0.80%			1.52%
12/31/10		8.08		0.13		0.86			0.99			(0.15	)		-			-			(0.15	)		8.92		12.35%			40,298		0.81%			1.63%
12/31/09		6.85		0.14		1.22			1.36			(0.13	)		-			-			(0.13	)		8.08		19.85%			42,209		0.81%			2.06%
12/31/08		12.07		0.24		(5.17	)		(4.93	)		(0.27	)		(0.02	)		(0.00	)d		(0.29	)		6.85		(40.83%	)		44,160		0.80%			2.41%
Class A
06/30/13r	$	10.20	$	0.06	$	1.47		$	1.53		$	-		$	-		$	-		$	-		$	11.73		15.00%	b	$	26,133		1.09%	a		1.14%	a
12/31/12		8.86		0.14		1.39			1.53			(0.19	)		-			-			(0.19	)		10.20		17.23%			24,405		1.09%			1.48%
12/31/11		8.90		0.11		(0.04	)		0.07			(0.11	)		-			-			(0.11	)		8.86		0.83%			24,863		1.09%			1.26%
12/31/10		8.06		0.11		0.85			0.96			(0.12	)		-			-			(0.12	)		8.90		11.96%			32,870		1.10%			1.34%
12/31/09		6.83		0.12		1.22			1.34			(0.11	)		-			-			(0.11	)		8.06		19.57%			45,592		1.10%			1.73%
12/31/08		12.02		0.21		(5.15	)		(4.94	)		(0.23	)		(0.02	)		(0.00	)d		(0.25	)		6.83		(41.03%	)		52,940		1.09%			2.12%
Class N
06/30/13r	$	10.25	$	0.05	$	1.47		$	1.52		$	-		$	-		$	-		$	-		$	11.77		14.83%	b	$	150		1.40%	a		0.83%	a
12/31/12		8.90		0.11		1.39			1.50			(0.15	)		-			-			(0.15	)		10.25		16.88%			131		1.40%			1.12%
12/31/11		8.94		0.09		(0.04	)		0.05			(0.09	)		-			-			(0.09	)		8.90		0.63%			259		1.40%			0.98%
12/31/10		8.08		0.08		0.85			0.93			(0.07	)		-			-			(0.07	)		8.94		11.63%			255		1.41%			0.93%
12/31/09		6.85		0.10		1.21			1.31			(0.08	)		-			-			(0.08	)		8.08		19.07%			556		1.41%			1.41%
12/31/08		12.02		0.18		(5.14	)		(4.96	)		(0.19	)		(0.02	)		(0.00	)d		(0.21	)		6.85		(41.28%	)		620		1.40%			1.78%

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		21	%		38	%		36	%		130	%		68	%		17	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

184

MassMutual Select Fundamental Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
06/30/13r	$	11.36	$	0.12	$	1.72		$	1.84		$	-		$	-		$	-		$	13.20		16.20%	b	$	242,887		0.74%	a		0.59%	a		2.02%	a
12/31/12		10.04		0.24		1.44			1.68			(0.36	)		-			(0.36	)		11.36		16.75%			204,268		0.74%			0.59%			2.21%
12/31/11		10.48		0.20		(0.43	)		(0.23	)		(0.21	)		-			(0.21	)		10.04		(2.06%	)		184,034		0.75%			0.60%			2.00%
12/31/10g		9.82		0.03		0.63			0.66			-			-			-			10.48		6.72%	b		107		0.75%	a		0.65%	a		1.98%	a
Class S
06/30/13r	$	11.39	$	0.11	$	1.72		$	1.83		$	-		$	-		$	-		$	13.22		16.07%	b	$	509,849		0.94%	a		0.79%	a		1.82%	a
12/31/12		10.07		0.22		1.44			1.66			(0.34	)		-			(0.34	)		11.39		16.49%			486,471		0.94%			0.79%			2.00%
12/31/11		10.49		0.17		(0.42	)		(0.25	)		(0.17	)		-			(0.17	)		10.07		(2.29%	)		407,353		0.94%			0.80%			1.62%
12/31/10		9.35		0.13		1.14			1.27			(0.13	)		-			(0.13	)		10.49		13.91%			500,716		0.81%			0.80%			1.35%
12/31/09		7.53		0.13		1.69			1.82			(0.00	)d		-			(0.00	)d		9.35		24.17%			446,975		0.80%			N/A			1.68%
12/31/08		11.85		0.19		(4.18	)		(3.99	)		(0.20	)		(0.13	)		(0.33	)		7.53		(33.98%	)		357,433		0.80%			N/A			1.88%
Class Y
06/30/13r	$	11.36	$	0.11	$	1.72		$	1.83		$	-		$	-		$	-		$	13.19		16.11%	b	$	199,225		0.98%	a		0.83%	a		1.78%	a
12/31/12		10.05		0.22		1.42			1.64			(0.33	)		-			(0.33	)		11.36		16.35%			158,864		0.98%			0.83%			1.96%
12/31/11		10.46		0.17		(0.41	)		(0.24	)		(0.17	)		-			(0.17	)		10.05		(2.20%	)		154,312		0.98%			0.84%			1.60%
12/31/10		9.33		0.12		1.14			1.26			(0.13	)		-			(0.13	)		10.46		13.81%			133,797		0.85%			0.84%			1.30%
12/31/09		7.52		0.13		1.68			1.81			(0.00	)d		-			(0.00	)d		9.33		24.07%			129,536		0.84%			N/A			1.63%
12/31/08		11.84		0.18		(4.18	)		(4.00	)		(0.19	)		(0.13	)		(0.32	)		7.52		(33.97%	)		92,098		0.84%			N/A			1.85%
Class L
06/30/13r	$	11.40	$	0.10	$	1.73		$	1.83		$	-		$	-		$	-		$	13.23		16.05%	b	$	115,077		1.13%	a		0.98%	a		1.61%	a
12/31/12		10.09		0.20		1.43			1.63			(0.32	)		-			(0.32	)		11.40		16.16%			115,576		1.13%			0.98%			1.81%
12/31/11		10.45		0.15		(0.41	)		(0.26	)		(0.10	)		-			(0.10	)		10.09		(2.39%	)		100,173		1.13%			0.98%			1.41%
12/31/10		9.31		0.11		1.14			1.25			(0.11	)		-			(0.11	)		10.45		13.71%			162,055		1.00%			0.99%			1.15%
12/31/09		7.52		0.12		1.67			1.79			(0.00	)d		-			(0.00	)d		9.31		23.81%			168,790		0.99%			N/A			1.50%
12/31/08		11.82		0.17		(4.17	)		(4.00	)		(0.17	)		(0.13	)		(0.30	)		7.52		(34.04%	)		141,302		0.99%			N/A			1.68%
Class A
06/30/13r	$	11.28	$	0.08	$	1.71		$	1.79		$	-		$	-		$	-		$	13.07		15.87%	b	$	378,611		1.38%	a		1.23%	a		1.37%	a
12/31/12		9.99		0.17		1.41			1.58			(0.29	)		-			(0.29	)		11.28		15.85%			332,630		1.38%			1.23%			1.56%
12/31/11		10.36		0.12		(0.40	)		(0.28	)		(0.09	)		-			(0.09	)		9.99		(2.65%	)		284,989		1.38%			1.24%			1.19%
12/31/10		9.24		0.09		1.13			1.22			(0.10	)		-			(0.10	)		10.36		13.46%			293,195		1.25%			1.24%			0.91%
12/31/09		7.48		0.10		1.66			1.76			(0.00	)d		-			(0.00	)d		9.24		23.53%			241,206		1.24%			N/A			1.24%
12/31/08		11.76		0.14		(4.14	)		(4.00	)		(0.15	)		(0.13	)		(0.28	)		7.48		(34.22%	)		176,524		1.24%			N/A			1.44%
Class N
06/30/13r	$	11.25	$	0.07	$	1.70		$	1.77		$	-		$	-		$	-		$	13.02		15.73%	b	$	1,112		1.68%	a		1.53%	a		1.07%	a
12/31/12		9.90		0.14		1.40			1.54			(0.19	)		-			(0.19	)		11.25		15.55%			878		1.68%			1.53%			1.29%
12/31/11		10.25		0.09		(0.40	)		(0.31	)		(0.04	)		-			(0.04	)		9.90		(2.95%	)		1,951		1.68%			1.54%			0.89%
12/31/10		9.13		0.06		1.11			1.17			(0.05	)		-			(0.05	)		10.25		12.97%			2,051		1.55%			1.54%			0.60%
12/31/09		7.41		0.07		1.65			1.72			(0.00	)d		-			(0.00	)d		9.13		23.21%			2,403		1.54%			N/A			0.95%
12/31/08		11.66		0.11		(4.10	)		(3.99	)		(0.13	)		(0.13	)		(0.26	)		7.41		(34.42%	)		2,063		1.54%			N/A			1.15%

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		10	%		22	%		14	%		30	%		47	%		53	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

185

MassMutual Select Large Cap Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	7.82	$	0.11	$	1.06		$	1.17		$	-		$	-		$	-		$	-		$	8.99		14.96%	b	$	342,387		0.76%	a		0.74	%a		2.58%	a
12/31/12		10.08		0.18		0.96			1.14			(0.17	)		(3.23	)		-			(3.40	)		7.82		11.22%			336,198		0.77%			0.77	%k		1.67%
12/31/11		10.60		0.10		(0.54	)		(0.44	)		(0.08	)		-			-			(0.08	)		10.08		(4.15%	)		309,422		0.77%			N/A			1.00%
12/31/10		9.50		0.09		1.15			1.24			(0.14	)		-			-			(0.14	)		10.60		13.08%			377,131		0.77%			N/A			0.91%
12/31/09		7.29		0.07		2.22			2.29			(0.08	)		-			-			(0.08	)		9.50		31.48%			365,567		0.78%			N/A			0.92%
12/31/08		12.64		0.11		(5.11	)		(5.00	)		(0.11	)		(0.23	)		(0.01	)		(0.35	)		7.29		(39.73%	)		334,045		0.77%			N/A			1.02%
Class Y
06/30/13r	$	7.83	$	0.11	$	1.06		$	1.17		$	-		$	-		$	-		$	-		$	9.00		14.94%	b	$	31,543		0.85%	a		0.83	%a		2.51%	a
12/31/12		10.07		0.15		0.99			1.14			(0.15	)		(3.23	)		-			(3.38	)		7.83		11.22%			26,190		0.86%			0.86	%k		1.38%
12/31/11		10.60		0.10		(0.56	)		(0.46	)		(0.07	)		-			-			(0.07	)		10.07		(4.34%	)		65,751		0.86%			N/A			0.91%
12/31/10		9.50		0.08		1.15			1.23			(0.13	)		-			-			(0.13	)		10.60		12.98%			81,805		0.86%			N/A			0.82%
12/31/09		7.29		0.06		2.23			2.29			(0.08	)		-			-			(0.08	)		9.50		31.39%			82,157		0.87%			N/A			0.82%
12/31/08		12.62		0.10		(5.09	)		(4.99	)		(0.10	)		(0.23	)		(0.01	)		(0.34	)		7.29		(39.72%	)		61,599		0.86%			N/A			0.93%
Class L
06/30/13r	$	7.80	$	0.10	$	1.06		$	1.16		$	-		$	-		$	-		$	-		$	8.96		14.87%	b	$	27,280		1.00%	a		0.98	%a		2.29%	a
12/31/12		10.06		0.14		0.97			1.11			(0.14	)		(3.23	)		-			(3.37	)		7.80		10.93%			41,924		1.01%			1.01	%k		1.34%
12/31/11		10.57		0.08		(0.54	)		(0.46	)		(0.05	)		-			-			(0.05	)		10.06		(4.37%	)		48,977		1.01%			N/A			0.77%
12/31/10		9.47		0.06		1.15			1.21			(0.11	)		-			-			(0.11	)		10.57		12.81%			78,893		1.01%			N/A			0.65%
12/31/09		7.27		0.05		2.21			2.26			(0.06	)		-			-			(0.06	)		9.47		31.12%			110,367		1.02%			N/A			0.70%
12/31/08		12.59		0.08		(5.08	)		(5.00	)		(0.09	)		(0.23	)		(0.00	)d		(0.32	)		7.27		(39.85%	)		119,982		1.01%			N/A			0.78%
Class A
06/30/13r	$	7.79	$	0.09	$	1.06		$	1.15		$	-		$	-		$	-		$	-		$	8.94		14.76%	b	$	70,041		1.25%	a		1.23	%a		2.10%	a
12/31/12		10.03		0.11		0.98			1.09			(0.10	)		(3.23	)		-			(3.33	)		7.79		10.77%			69,701		1.26%			1.26	%k		1.05%
12/31/11		10.54		0.05		(0.55	)		(0.50	)		(0.01	)		-			-			(0.01	)		10.03		(4.70%	)		104,872		1.26%			N/A			0.51%
12/31/10		9.45		0.04		1.14			1.18			(0.09	)		-			-			(0.09	)		10.54		12.48%			155,189		1.26%			N/A			0.42%
12/31/09		7.25		0.04		2.19			2.23			(0.03	)		-			-			(0.03	)		9.45		30.82%			172,363		1.27%			N/A			0.46%
12/31/08		12.53		0.06		(5.04	)		(4.98	)		(0.07	)		(0.23	)		(0.00	)d		(0.30	)		7.25		(39.96%	)		193,387		1.26%			N/A			0.53%
Class N
06/30/13r	$	7.68	$	0.07	$	1.06		$	1.13		$	-		$	-		$	-		$	-		$	8.81		14.71%	b	$	97		1.55%	a		1.53	%a		1.79%	a
12/31/12		9.93		0.07		0.97			1.04			(0.06	)		(3.23	)		-			(3.29	)		7.68		10.32%			117		1.56%			1.56	%k		0.70%
12/31/11		10.44		0.02		(0.53	)		(0.51	)		-			-			-			-			9.93		(4.89%	)		434		1.55%			N/A			0.22%
12/31/10		9.36		0.01		1.13			1.14			(0.06	)		-			-			(0.06	)		10.44		12.20%			735		1.56%			N/A			0.12%
12/31/09		7.20		0.01		2.18			2.19			(0.03	)		-			-			(0.03	)		9.36		30.36%			926		1.57%			N/A			0.10%
12/31/08		12.47		0.03		(5.02	)		(4.99	)		(0.05	)		(0.23	)		(0.00	)d		(0.28	)		7.20		(40.18%	)		573		1.56%			N/A			0.25%

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		20	%		107	%		10	%		10	%		12	%		17	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

186

MM S&P 500 Index Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
06/30/13r	$	13.20	$	0.15	$	1.67		$	1.82		$	-		$	-		$	-		$	15.02		13.79%	b	$	137,775		0.17%	a		0.08%	a		2.06%	a
12/31/12		11.66		0.29		1.57			1.86			(0.32	)		-			(0.32	)		13.20		15.96%			103,732		0.18%			0.08%			2.23%
12/31/11i		11.85		0.01		(0.02	)		(0.01	)		(0.18	)		-			(0.18	)		11.66		0.00%	b,e		57,185		0.17%	a		0.06%	a		1.80%	a
Class I
06/30/13r	$	13.23	$	0.14	$	1.68		$	1.82		$	-		$	-		$	-		$	15.05		13.76%	b	$	947,581		0.25%	a		0.20%	a		1.94%	a
12/31/12		11.69		0.27		1.57			1.84			(0.30	)		-			(0.30	)		13.23		15.77%			833,287		0.26%			0.21%			2.07%
12/31/11p		11.70		0.22		(0.01	)		0.21			(0.22	)		-			(0.22	)		11.69		1.84%			737,960		0.21%			0.21%	k		1.85%
12/31/10		10.36		0.20		1.33			1.53			(0.19	)		-			(0.19	)		11.70		14.93%			693,596		0.21%			N/A			1.84%
12/31/09		8.32		0.19		2.00			2.19			(0.15	)		-			(0.15	)		10.36		26.31%			528,989		0.22%			N/A			2.10%
12/31/08		13.69		0.24		(5.32	)		(5.08	)		(0.25	)		(0.04	)		(0.29	)		8.32		(37.17%	)		404,065		0.21%			N/A			2.13%
Class S
06/30/13r	$	13.25	$	0.12	$	1.68		$	1.80		$	-		$	-		$	-		$	15.05		13.58%	b	$	574,881		0.47%	a		0.42%	a		1.72%	a
12/31/12		11.71		0.24		1.58			1.82			(0.28	)		-			(0.28	)		13.25		15.51%			516,727		0.47%			0.42%			1.86%
12/31/11		11.71		0.19		(0.00	)d		0.19			(0.19	)		-			(0.19	)		11.71		1.69%			437,378		0.42%			0.42%	k		1.62%
12/31/10		10.38		0.17		1.33			1.50			(0.17	)		-			(0.17	)		11.71		14.57%			470,762		0.43%			N/A			1.62%
12/31/09		8.33		0.17		2.01			2.18			(0.13	)		-			(0.13	)		10.38		26.16%			425,981		0.43%			N/A			1.88%
12/31/08		13.69		0.22		(5.32	)		(5.10	)		(0.22	)		(0.04	)		(0.26	)		8.33		(37.31%	)		367,765		0.43%			N/A			1.88%
Class Y
06/30/13r	$	13.11	$	0.12	$	1.66		$	1.78		$	-		$	-		$	-		$	14.89		13.58%	b	$	275,974		0.50%	a		0.45%	a		1.68%	a
12/31/12		11.58		0.23		1.57			1.80			(0.27	)		-			(0.27	)		13.11		15.56%			269,106		0.50%			0.45%			1.82%
12/31/11		11.59		0.19		(0.02	)		0.17			(0.18	)		-			(0.18	)		11.58		1.55%			251,190		0.45%			0.45%	k		1.58%
12/31/10		10.27		0.17		1.31			1.48			(0.16	)		-			(0.16	)		11.59		14.56%			298,754		0.46%			N/A			1.58%
12/31/09		8.25		0.16		1.99			2.15			(0.13	)		-			(0.13	)		10.27		26.03%			307,391		0.46%			N/A			1.85%
12/31/08		13.56		0.21		(5.26	)		(5.05	)		(0.22	)		(0.04	)		(0.26	)		8.25		(37.31%	)		251,184		0.46%			N/A			1.86%
Class L
06/30/13r	$	13.09	$	0.12	$	1.66		$	1.78		$	-		$	-		$	-		$	14.87		13.60%	b	$	329,838		0.63%	a		0.41%	a		1.72%	a
12/31/12		11.57		0.24		1.56			1.80			(0.28	)		-			(0.28	)		13.09		15.57%			277,997		0.65%			0.40%			1.89%
12/31/11		11.58		0.19		(0.01	)		0.18			(0.19	)		-			(0.19	)		11.57		1.66%			217,548		0.60%			0.40%			1.65%
12/31/10		10.26		0.17		1.33			1.50			(0.18	)		-			(0.18	)		11.58		14.69%			203,160		0.61%			0.41%			1.65%
12/31/09		8.23		0.17		1.98			2.15			(0.12	)		-			(0.12	)		10.26		26.09%			156,894		0.61%			0.41%			1.92%
12/31/08		13.54		0.22		(5.27	)		(5.05	)		(0.22	)		(0.04	)		(0.26	)		8.23		(37.33%	)		200,048		0.61%			0.41%			1.91%
Class A
06/30/13r	$	13.02	$	0.10	$	1.65		$	1.75		$	-		$	-		$	-		$	14.77		13.44%	b	$	467,058		0.88%	a		0.65%	a		1.49%	a
12/31/12		11.51		0.21		1.55			1.76			(0.25	)		-			(0.25	)		13.02		15.28%			388,374		0.90%			0.65%			1.63%
12/31/11		11.52		0.16		(0.00	)d		0.16			(0.17	)		-			(0.17	)		11.51		1.42%			336,032		0.85%			0.65%			1.40%
12/31/10		10.22		0.15		1.30			1.45			(0.15	)		-			(0.15	)		11.52		14.29%			302,470		0.86%			0.66%			1.39%
12/31/09		8.21		0.14		1.98			2.12			(0.11	)		-			(0.11	)		10.22		25.83%			241,090		0.86%			0.66%			1.65%
12/31/08		13.49		0.19		(5.24	)		(5.05	)		(0.19	)		(0.04	)		(0.23	)		8.21		(37.44%	)		183,342		0.86%			0.66%			1.66%
Class N
06/30/13r	$	12.90	$	0.08	$	1.64		$	1.72		$	-		$	-		$	-		$	14.62		13.33%	b	$	4,633		1.18%	a		0.95%	a		1.19%	a
12/31/12		11.41		0.17	��	1.53			1.70			(0.21	)		-			(0.21	)		12.90		14.91%			3,869		1.20%			0.95%			1.33%
12/31/11		11.42		0.13		(0.01	)		0.12			(0.13	)		-			(0.13	)		11.41		1.13%			3,385		1.15%			0.95%			1.10%
12/31/10		10.13		0.11		1.29			1.40			(0.11	)		-			(0.11	)		11.42		13.94%			2,982		1.16%			0.96%			1.09%
12/31/09		8.14		0.12		1.95			2.07			(0.08	)		-			(0.08	)		10.13		25.46%			3,172		1.16%			0.96%			1.35%	��
12/31/08		13.35		0.15		(5.17	)		(5.02	)		(0.15	)		(0.04	)		(0.19	)		8.14		(37.64%	)		2,540		1.16%			0.96%			1.33%

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		3	%		3	%		2	%		5	%		10	%		5	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

e Amount is less than 0.005%.

i For the period December 7, 2011 (commencement of operations) through December 31, 2011.

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

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

p Class Z shares were converted to Class I Shares on September 30, 2011.

r Unaudited.

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

187

MassMutual Select Focused Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
06/30/13r	$	18.86	$	0.07		$	3.61		$	3.68		$	-		$	-		$	-		$	-		$	22.54		19.51%	b	$	152,653		0.78%	a		0.68%	a		0.65%	a
12/31/12		16.98		0.20			3.38			3.58			(0.19	)		(1.51	)		-			(1.70	)		18.86		21.28%			121,833		0.78%			0.68%			1.04%
12/31/11		17.64		0.17			(0.22	)		(0.05	)		(0.29	)		(0.32	)		-			(0.61	)		16.98		(0.12%	)		86,517		0.79%			0.69%			1.01%
12/31/10g		16.92		0.02			0.70			0.72			-			-			-			-			17.64		4.26%	b		104		0.79%	a		0.69%	a		0.77%	a
Class S
06/30/13r	$	18.89	$	0.06		$	3.61		$	3.67		$	-		$	-		$	-		$	-		$	22.56		19.43%	b	$	300,132		0.89%	a		0.79%	a		0.54%	a
12/31/12		17.00		0.17			3.39			3.56			(0.16	)		(1.51	)		-			(1.67	)		18.89		21.17%			266,390		0.90%			0.80%			0.88%
12/31/11		17.63		0.13			(0.20	)		(0.07	)		(0.24	)		(0.32	)		-			(0.56	)		17.00		(0.23%	)		233,071		0.90%			0.80%			0.73%
12/31/10		14.59		0.10			3.05			3.15			(0.11	)		-			-			(0.11	)		17.63		21.81%			307,649		0.82%			0.80%			0.62%
12/31/09		8.94		0.10			5.55			5.65			-			-			-			-			14.59		63.20%			262,825		0.81%			N/A			0.89%
12/31/08		16.62		0.17			(7.11	)		(6.94	)		(0.19	)		(0.55	)		(0.00	)d		(0.74	)		8.94		(42.82%	)		142,372		0.81%			N/A			1.27%
Class Y
06/30/13r	$	18.74	$	0.05		$	3.58		$	3.63		$	-		$	-		$	-		$	-		$	22.37		19.37%	b	$	82,870		1.00%	a		0.90%	a		0.44%	a
12/31/12		16.88		0.14			3.38			3.52			(0.15	)		(1.51	)		-			(1.66	)		18.74		21.03%			59,000		1.00%			0.90%			0.77%
12/31/11		17.49		0.11			(0.20	)		(0.09	)		(0.20	)		(0.32	)		-			(0.52	)		16.88		(0.35%	)		60,921		1.00%			0.90%			0.63%
12/31/10		14.47		0.08			3.04			3.12			(0.10	)		-			-			(0.10	)		17.49		21.73%			70,955		0.92%			0.90%			0.52%
12/31/09		8.87		0.09			5.51			5.60			-			-			-			-			14.47		63.13%			64,121		0.91%			N/A			0.78%
12/31/08		16.49		0.16			(7.06	)		(6.90	)		(0.17	)		(0.55	)		(0.00	)d		(0.72	)		8.87		(42.89%	)		56,399		0.91%			N/A			1.17%
Class L
06/30/13r	$	18.62	$	0.03		$	3.56		$	3.59		$	-		$	-		$	-		$	-		$	22.21		19.28%	b	$	87,196		1.14%	a		1.04%	a		0.28%	a
12/31/12		16.79		0.12			3.34			3.46			(0.12	)		(1.51	)		-			(1.63	)		18.62		20.82%			73,933		1.15%			1.05%			0.64%
12/31/11		17.32		0.08			(0.18	)		(0.10	)		(0.11	)		(0.32	)		-			(0.43	)		16.79		(0.48%	)		60,937		1.15%			1.05%			0.46%
12/31/10		14.33		0.05			3.01			3.06			(0.07	)		-			-			(0.07	)		17.32		21.54%			91,044		1.07%			1.05%			0.36%
12/31/09		8.80		0.07			5.46			5.53			-			-			-			-			14.33		62.84%			98,934		1.06%			N/A			0.62%
12/31/08		16.36		0.14			(7.00	)		(6.86	)		(0.15	)		(0.55	)		(0.00	)d		(0.70	)		8.80		(42.98%	)		69,539		1.06%			N/A			1.05%
Class A
06/30/13r	$	18.23	$	0.00	d	$	3.50		$	3.50		$	-		$	-		$	-		$	-		$	21.73		19.20%	b	$	194,913		1.40%	a		1.30%	a		0.04%	a
12/31/12		16.46		0.07			3.28			3.35			(0.07	)		(1.51	)		-			(1.58	)		18.23		20.55%			160,758		1.40%			1.30%			0.37%
12/31/11		16.99		0.04			(0.19	)		(0.15	)		(0.06	)		(0.32	)		-			(0.38	)		16.46		(0.79%	)		142,551		1.40%			1.30%			0.23%
12/31/10		14.06		0.02			2.96			2.98			(0.05	)		-			-			(0.05	)		16.99		21.29%			170,895		1.32%			1.30%			0.12%
12/31/09		8.66		0.04			5.36			5.40			-			-			-			-			14.06		62.36%			161,884		1.31%			N/A			0.38%
12/31/08		16.09		0.10			(6.86	)		(6.76	)		(0.12	)		(0.55	)		(0.00	)d		(0.67	)		8.66		(43.10%	)		107,233		1.31%			N/A			0.80%
Class N
06/30/13r	$	17.80	$	(0.03	)	$	3.41		$	3.38		$	-		$	-		$	-		$	-		$	21.18		18.99%	b	$	594		1.69%	a		1.59%	a		(0.26%	)a
12/31/12		16.10		(0.01	)		3.22			3.21			-			(1.51	)		-			(1.51	)		17.80		20.13%			477		1.70%			1.60%			(0.06%	)
12/31/11		16.60		(0.02	)		(0.16	)		(0.18	)		-			(0.32	)		-			(0.32	)		16.10		(1.02%	)		1,425		1.70%			1.60%			(0.09%	)
12/31/10		13.73		(0.03	)		2.90			2.87			-			-			-			-			16.60		20.90%			1,882		1.62%			1.60%			(0.19%	)
12/31/09		8.48		0.01			5.24			5.25			-			-			-			-			13.73		61.91%			2,617		1.61%			N/A			0.07%
12/31/08		15.77		0.07			(6.72	)		(6.65	)		(0.09	)		(0.55	)		(0.00	)d		(0.64	)		8.48		(43.29%	)		1,522		1.60%			N/A			0.54%

	Six months ended June 30,  2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		18	%		30	%		32	%		32	%		43	%		43	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

188

MassMutual Select Fundamental Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Net asset value, beginning of the period		Income (loss) from investment operations									Less distributions to shareholders									Net asset value, end of the period		Total returnl,m			Ratios / Supplemental Data
			Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions								Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	6.62	$	0.03		$	0.81		$	0.84		$	-		$	-		$	-		$	7.46		12.69%	b	$	82,184		0.90%	a		0.81%	a		0.82%	a
12/31/12		5.89		0.07			0.71			0.78			(0.05	)		(0.00	)d		(0.05	)		6.62		13.26%			73,897		0.91%			0.83%			1.02%
12/31/11		5.72		0.02			0.16			0.18			(0.01	)		-			(0.01	)		5.89		3.13%			20,468		0.64%			N/A			0.31%
12/31/10		4.75		0.01			0.96			0.97			-			-			-			5.72		20.42%			21,169		0.65%			N/A			0.25%
12/31/09		3.09		0.00	d		1.66			1.66			-			-			-			4.75		53.72%			20,229		0.70%			N/A			0.06%
12/31/08		5.35		(0.00	)d		(2.26	)		(2.26	)		-			-			-			3.09		(42.24%	)		10,781		0.67%			N/A			(0.08%	)
Class Y
06/30/13r	$	6.54	$	0.02		$	0.81		$	0.83		$	-		$	-		$	-		$	7.37		12.69%	b	$	5,011		0.94%	a		0.91%	a		0.70%	a
12/31/12		5.82		0.05			0.71			0.76			(0.04	)		(0.00	)d		(0.04	)		6.54		13.09%			3,948		0.97%			0.94%			0.73%
12/31/11		5.66		0.01			0.15			0.16			(0.00	)d		-			(0.00	)d		5.82		2.89%			1,859		0.74%			N/A			0.21%
12/31/10		4.70		0.01			0.95			0.96			-			-			-			5.66		20.43%			1,633		0.75%			N/A			0.13%
12/31/09		3.07		(0.00	)d		1.63			1.63			-			-			-			4.70		53.09%			2,737		0.80%			N/A			(0.04%	)
12/31/08		5.30		(0.01	)		(2.22	)		(2.23	)		-			-			-			3.07		(42.08%	)		1,922		0.77%			N/A			(0.17%	)
Class L
06/30/13r	$	6.45	$	0.02		$	0.79		$	0.81		$	-		$	-		$	-		$	7.26		12.56%	b	$	8,685		1.09%	a		1.06%	a		0.59%	a
12/31/12		5.74		0.04			0.70			0.74			(0.03	)		(0.00	)d		(0.03	)		6.45		12.97%			10,370		1.12%			1.09%			0.61%
12/31/11		5.58		0.00	d		0.16			0.16			-			-			-			5.74		2.87%			6,929		0.89%			N/A			0.06%
12/31/10		4.65		0.00	d		0.93			0.93			-			-			-			5.58		20.00%			6,658		0.90%			N/A			0.01%
12/31/09		3.03		(0.01	)		1.63			1.62			-			-			-			4.65		53.47%			6,620		0.95%			N/A			(0.19%	)
12/31/08		5.25		(0.01	)		(2.21	)		(2.22	)		-			-			-			3.03		(42.29%	)		4,363		0.92%			N/A			(0.32%	)
Class A
06/30/13r	$	6.28	$	0.01		$	0.76		$	0.77		$	-		$	-		$	-		$	7.05		12.26%	b	$	20,370		1.34%	a		1.31%	a		0.31%	a
12/31/12		5.58		0.02			0.69			0.71			(0.01	)		(0.00	)d		(0.01	)		6.28		12.79%			16,843		1.37%			1.35%			0.29%
12/31/11		5.44		(0.01	)		0.15			0.14			-			-			-			5.58		2.57%			15,768		1.14%			N/A			(0.19%	)
12/31/10		4.54		(0.01	)		0.91			0.90			-			-			-			5.44		19.82%			19,690		1.15%			N/A			(0.24%	)
12/31/09		2.97		(0.02	)		1.59			1.57			-			-			-			4.54		52.86%			18,508		1.20%			N/A			(0.45%	)
12/31/08		5.16		(0.02	)		(2.17	)		(2.19	)		-			-			-			2.97		(42.44%	)		12,506		1.17%			N/A			(0.57%	)
Class N
06/30/13r	$	6.07	$	0.00	d	$	0.74		$	0.74		$	-		$	-		$	-		$	6.81		12.19%	b	$	317		1.64%	a		1.61%	a		0.01%	a
12/31/12		5.41		(0.00	)d		0.66			0.66			-			(0.00	)d		(0.00	)d		6.07		12.27%			248		1.68%			1.66%			(0.02%	)
12/31/11		5.28		(0.03	)		0.16			0.13			-			-			-			5.41		2.46%			337		1.44%			N/A			(0.50%	)
12/31/10		4.43		(0.03	)		0.88			0.85			-			-			-			5.28		19.19%			336		1.45%			N/A			(0.55%	)
12/31/09		2.91		(0.03	)		1.55			1.52			-			-			-			4.43		52.23%			317		1.50%			N/A			(0.74%	)
12/31/08		5.07		(0.04	)		(2.12	)		(2.16	)		-			-			-			2.91		(42.60%	)		120		1.47%			N/A			(0.85%	)

	Six months ended June 30,  2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		30	%		109	%		49	%		8	%		22	%		10	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

189

MassMutual Select Blue Chip Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	12.77	$	0.00	d	$	1.54		$	1.54		$	-		$	-		$	14.31		12.06%	b	$	429,097		0.81%	a		0.76%	a		0.06%	a
12/31/12		10.81		0.04			1.95			1.99			(0.03	)		(0.03	)		12.77		18.43%			406,245		0.82%			0.76%			0.34%
12/31/11		10.65		0.02			0.14			0.16			(0.00	)d		(0.00	)d		10.81		1.50%			270,651		0.84%			0.76%			0.17%
12/31/10		9.14		0.01			1.51			1.52			(0.01	)		(0.01	)		10.65		16.64%			163,662		0.84%			0.76%			0.08%
12/31/09		6.39		0.01			2.74			2.75			(0.00	)d		(0.00	)d		9.14		43.06%			172,449		0.85%			0.76%			0.20%
12/31/08		11.13		0.02			(4.74	)		(4.72	)		(0.02	)		(0.02	)		6.39		(42.45%	)		138,538		0.84%			0.76%			0.26%
Class Y
06/30/13r	$	12.71	$	(0.00	)d	$	1.54		$	1.54		$	-		$	-		$	14.25		12.12%	b	$	143,067		0.93%	a		0.82%	a		(0.00%	)a,e
12/31/12		10.77		0.03			1.93			1.96			(0.02	)		(0.02	)		12.71		18.23%			128,562		0.95%			0.82%			0.26%
12/31/11		10.61		0.01			0.15			0.16			-			-			10.77		1.51%			87,359		0.97%			0.82%			0.13%
12/31/10		9.12		0.00	d		1.50			1.50			(0.01	)		(0.01	)		10.61		16.45%			42,443		0.97%			0.82%			0.01%
12/31/09		6.37		0.01			2.74			2.75			(0.00	)d		(0.00	)d		9.12		43.20%			39,094		0.98%			0.82%			0.12%
12/31/08		11.10		0.02			(4.74	)		(4.72	)		(0.01	)		(0.01	)		6.37		(42.53%	)		25,876		0.97%			0.82%			0.19%
Class L
06/30/13r	$	12.64	$	(0.01	)	$	1.52		$	1.51		$	-		$	-		$	14.15		11.95%	b	$	341,950		1.05%	a		0.98%	a		(0.16%	)a
12/31/12		10.71		0.01			1.93			1.94			(0.01	)		(0.01	)		12.64		18.07%			319,306		1.07%			0.98%			0.10%
12/31/11		10.57		(0.01	)		0.15			0.14			-			-			10.71		1.42%			243,741		1.09%			0.98%			(0.09%	)
12/31/10		9.08		(0.01	)		1.50			1.49			-			-			10.57		16.30%			257,545		1.09%			0.98%			(0.15%	)
12/31/09		6.36		(0.00	)d		2.72			2.72			(0.00	)d		(0.00	)d		9.08		42.79%			281,168		1.10%			0.98%			(0.03%	)
12/31/08		11.08		0.00	d		(4.72	)		(4.72	)		(0.00	)d		(0.00	)d		6.36		(42.59%	)		222,053		1.09%			0.98%			0.03%
Class A
06/30/13r	$	12.35	$	(0.02	)	$	1.49		$	1.47		$	-		$	-		$	13.82		11.82%	b	$	152,428		1.30%	a		1.19%	a		(0.37%	)a
12/31/12		10.48		(0.01	)		1.88			1.87			-			-			12.35		17.84%			140,294		1.32%			1.19%			(0.08%	)
12/31/11		10.36		(0.03	)		0.15			0.12			-			-			10.48		1.16%			75,919		1.34%			1.19%			(0.29%	)
12/31/10		8.93		(0.03	)		1.46			1.43			-			-			10.36		16.01%			66,401		1.34%			1.19%			(0.36%	)
12/31/09		6.26		(0.02	)		2.69			2.67			(0.00	)d		(0.00	)d		8.93		42.68%			69,307		1.35%			1.19%			(0.24%	)
12/31/08		10.94		(0.02	)		(4.66	)		(4.68	)		(0.00	)d		(0.00	)d		6.26		(42.77%	)		49,345		1.34%			1.19%			(0.18%	)
Class N
06/30/13r	$	11.97	$	(0.04	)	$	1.44		$	1.40		$	-		$	-		$	13.37		11.61%	b	$	756		1.60%	a		1.51%	a		(0.70%	)a
12/31/12		10.18		(0.04	)		1.83			1.79			-			-			11.97		17.58%			727		1.62%			1.51%			(0.35%	)
12/31/11		10.11		(0.08	)		0.15			0.07			-			-			10.18		0.69%			78		1.64%			1.51%			(0.72%	)
12/31/10		8.74		(0.06	)		1.43			1.37			-			-			10.11		15.68%			344		1.64%			1.51%			(0.69%	)
12/31/09		6.15		(0.04	)		2.63			2.59			(0.00	)d		(0.00	)d		8.74		42.14%			803		1.65%			1.51%			(0.55%	)
12/31/08		10.77		(0.05	)		(4.57	)		(4.62	)		(0.00	)d		(0.00	)d		6.15		(42.89%	)		597		1.64%			1.51%			(0.51%	)

	Six months ended June 30,  2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		19	%		20	%		38	%		53	%		62	%		53	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

e Amount is less than 0.005%.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

190

MassMutual Select Growth Opportunities Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
06/30/13r	$	8.89	$	0.01		$	0.84		$	0.85		$	-		$	-		$	9.74		9.56%	b	$	88,863		0.84%	a		0.69%	a		0.11%	a
12/31/12		7.40		0.07			1.42			1.49			-			-			8.89		20.14%			76,857		0.85%			0.70%			0.86%
12/31/11i		7.45		(0.00	)d		(0.05	)		(0.05	)		-			-			7.40		(0.67%	)b		99		0.79%	a		0.64%	a		(0.33%	)a
Class S
06/30/13r	$	8.87	$	(0.00	)d	$	0.84		$	0.84		$	-		$	-		$	9.71		9.47%	b	$	286,043		0.99%	a		0.84%	a		(0.04%	)a
12/31/12		7.40		0.01			1.46			1.47			-			-			8.87		19.86%			268,035		1.00%			0.85%			0.06%
12/31/11		7.06		(0.01	)		0.35			0.34			-			-			7.40		4.82%			233,080		0.87%			0.86%			(0.18%	)
12/31/10		5.87		(0.00	)d		1.19			1.19			-			-			7.06		20.27%			210,972		0.87%			N/A			(0.06%	)
12/31/09		3.74		(0.01	)		2.14			2.13			(0.00	)d		(0.00	)d		5.87		56.97%			164,994		0.87%			N/A			(0.15%	)
12/31/08		7.40		(0.02	)		(3.44	)		(3.46	)		(0.20	)		(0.20	)		3.74		(46.53%	)		112,415		0.86%			N/A			(0.36%	)
Class Y
06/30/13r	$	8.76	$	(0.01	)	$	0.83		$	0.82		$	-		$	-		$	9.58		9.36%	b	$	63,343		1.09%	a		0.94%	a		(0.13%	)a
12/31/12		7.31		0.00	d		1.45			1.45			-			-			8.76		19.84%			45,380		1.10%			0.95%			0.03%
12/31/11		6.98		(0.02	)		0.35			0.33			-			-			7.31		4.73%			29,740		0.97%			0.96%			(0.29%	)
12/31/10		5.81		(0.01	)		1.18			1.17			-			-			6.98		20.14%			22,037		0.97%			N/A			(0.19%	)
12/31/09		3.71		(0.01	)		2.11			2.10			(0.00	)d		(0.00	)d		5.81		56.63%			21,830		0.97%			N/A			(0.27%	)
12/31/08		7.34		(0.03	)		(3.40	)		(3.43	)		(0.20	)		(0.20	)		3.71		(46.49%	)		16,755		0.96%			N/A			(0.46%	)
Class L
06/30/13r	$	8.60	$	(0.01	)	$	0.81		$	0.80		$	-		$	-		$	9.40		9.30%	b	$	90,929		1.24%	a		1.09%	a		(0.30%	)a
12/31/12		7.19		(0.01	)		1.42			1.41			-			-			8.60		19.61%			85,363		1.25%			1.10%			(0.10%	)
12/31/11		6.87		(0.03	)		0.35			0.32			-			-			7.19		4.66%			27,467		1.11%			1.11%	k		(0.36%	)
12/31/10		5.73		(0.02	)		1.16			1.14			-			-			6.87		19.90%			54,658		1.12%			N/A			(0.35%	)
12/31/09		3.66		(0.02	)		2.09			2.07			(0.00	)d		(0.00	)d		5.73		56.58%			61,774		1.12%			N/A			(0.41%	)
12/31/08		7.26		(0.03	)		(3.37	)		(3.40	)		(0.20	)		(0.20	)		3.66		(46.60%	)		61,240		1.11%			N/A			(0.60%	)
Class A
06/30/13r	$	8.32	$	(0.02	)	$	0.78		$	0.76		$	-		$	-		$	9.08		9.13%	b	$	127,405		1.49%	a		1.34%	a		(0.54%	)a
12/31/12		6.97		(0.03	)		1.38			1.35			-			-			8.32		19.37%			102,385		1.50%			1.35%			(0.35%	)
12/31/11		6.68		(0.05	)		0.34			0.29			-			-			6.97		4.34%			51,191		1.37%			1.36%			(0.68%	)
12/31/10		5.58		(0.03	)		1.13			1.10			-			-			6.68		19.50%			53,610		1.37%			N/A			(0.60%	)
12/31/09		3.58		(0.03	)		2.03			2.00			(0.00	)d		(0.00	)d		5.58		56.17%			60,935		1.37%			N/A			(0.65%	)
12/31/08		7.12		(0.05	)		(3.29	)		(3.34	)		(0.20	)		(0.20	)		3.58		(46.67%	)		45,137		1.36%			N/A			(0.86%	)
Class N
06/30/13r	$	8.00	$	(0.04	)	$	0.76		$	0.72		$	-		$	-		$	8.72		9.00%	b	$	27		1.79%	a		1.64%	a		(0.84%	)a
12/31/12		6.73		(0.05	)		1.32			1.27			-			-			8.00		18.87%			24		1.80%			1.65%			(0.69%	)
12/31/11		6.47		(0.07	)		0.33			0.26			-			-			6.73		4.02%			21		1.67%			1.66%			(0.99%	)
12/31/10		5.43		(0.05	)		1.09			1.04			-			-			6.47		19.37%			28		1.67%			N/A			(0.95%	)
12/31/09		3.49		(0.04	)		1.98			1.94			(0.00	)d		(0.00	)d		5.43		55.32%			93		1.67%			N/A			(0.96%	)
12/31/08		6.98		(0.07	)		(3.22	)		(3.29	)		(0.20	)		(0.20	)		3.49		(46.88%	)		84		1.66%			N/A			(1.22%	)

	Six months ended June 30,  2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		18	%		19	%		21	%		40	%		33	%		32	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

i For the period December 7, 2011 (commencement of operations) through December 31, 2011.

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

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

191

MassMutual Select Mid-Cap Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss) c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
06/30/13r	$	11.09	$	0.11	$	1.44		$	1.55		$	-		$	-		$	-		$	-		$	12.64		13.98%	b	$	66,556		0.83%	a		0.73%	a		1.77%	a
12/31/12		9.68		0.24		1.36			1.60			(0.19	)		-			-			(0.19	)		11.09		16.54%			75,912		0.83%			0.73%			2.18%
12/31/11i		9.88		0.02		(0.11	)		(0.09	)		(0.11	)		-			-			(0.11	)		9.68		(0.84%	)b		129		0.77%	a		0.67%	a		3.28%	a
Class S
06/30/13r	$	11.12	$	0.11	$	1.43		$	1.54		$	-		$	-		$	-		$	-		$	12.66		13.85%	b	$	69,998		0.90%	a		0.81%	a		1.75%	a
12/31/12		9.69		0.14		1.44			1.58			(0.15	)		-			-			(0.15	)		11.12		16.35%			56,001		0.90%			0.80%			1.32%
12/31/11		10.09		0.12		(0.41	)		(0.29	)		(0.11	)		-			-			(0.11	)		9.69		(2.84%	)		130,318		0.80%			0.80%	k		1.22%
12/31/10		8.28		0.12		1.82			1.94			(0.13	)		-			-			(0.13	)		10.09		23.43%			91,957		0.82%			N/A			1.36%
12/31/09		6.43		0.08		1.85			1.93			(0.08	)		-			-			(0.08	)		8.28		30.02%			71,351		0.83%			N/A			1.22%
12/31/08		9.75		0.09		(3.27	)		(3.18	)		(0.12	)		(0.00	)d		(0.02	)		(0.14	)		6.43		(32.61%	)		60,858		0.80%			N/A			1.07%
Class Y
06/30/13r	$	11.12	$	0.10	$	1.44		$	1.54		$	-		$	-		$	-		$	-		$	12.66		13.85%	b	$	2,053		1.00%	a		0.91%	a		1.65%	a
12/31/12		9.71		0.14		1.43			1.57			(0.16	)		-			-			(0.16	)		11.12		16.21%			1,688		1.00%			0.90%			1.30%
12/31/11		10.12		0.12		(0.43	)		(0.31	)		(0.10	)		-			-			(0.10	)		9.71		(3.02%	)		1,545		0.90%			0.90%	k		1.14%
12/31/10		8.30		0.12		1.82			1.94			(0.12	)		-			-			(0.12	)		10.12		23.42%			1,061		0.92%			N/A			1.31%
12/31/09		6.43		0.07		1.85			1.92			(0.05	)		-			-			(0.05	)		8.30		29.94%			470		0.93%			N/A			1.12%
12/31/08		9.75		0.09		(3.28	)		(3.19	)		(0.11	)		(0.00	)d		(0.02	)		(0.13	)		6.43		(32.67%	)		2,174		0.90%			N/A			1.14%
Class L
06/30/13r	$	11.19	$	0.09	$	1.45		$	1.54		$	-		$	-		$	-		$	-		$	12.73		13.76%	b	$	3,755		1.15%	a		1.06%	a		1.47%	a
12/31/12		9.76		0.12		1.45			1.57			(0.14	)		-			-			(0.14	)		11.19		16.12%			3,552		1.15%			1.05%			1.12%
12/31/11		10.10		0.07		(0.41	)		(0.34	)		-			-			-			-			9.76		(3.37%	)		4,305		1.05%			1.05%	k		0.71%
12/31/10		8.29		0.10		1.81			1.91			(0.10	)		-			-			(0.10	)		10.10		23.10%			42,178		1.07%			N/A			1.09%
12/31/09		6.44		0.07		1.84			1.91			(0.06	)		-			-			(0.06	)		8.29		29.70%			37,197		1.08%			N/A			0.96%
12/31/08		9.75		0.07		(3.27	)		(3.20	)		(0.09	)		(0.00	)d		(0.02	)		(0.11	)		6.44		(32.77%	)		32,488		1.05%			N/A			0.81%
Class A
06/30/13r	$	11.11	$	0.08	$	1.43		$	1.51		$	-		$	-		$	-		$	-		$	12.62		13.59%	b	$	5,368		1.40%	a		1.31%	a		1.24%	a
12/31/12		9.69		0.10		1.43			1.53			(0.11	)		-			-			(0.11	)		11.11		15.84%			4,385		1.40%			1.30%			0.89%
12/31/11		10.08		0.06		(0.40	)		(0.34	)		(0.05	)		-			-			(0.05	)		9.69		(3.39%	)		4,423		1.30%			1.30%	k		0.64%
12/31/10		8.27		0.07		1.81			1.88			(0.07	)		-			-			(0.07	)		10.08		22.77%			5,748		1.32%			N/A			0.82%
12/31/09		6.43		0.05		1.84			1.89			(0.05	)		-			-			(0.05	)		8.27		29.40%			6,145		1.33%			N/A			0.74%
12/31/08		9.72		0.05		(3.25	)		(3.20	)		(0.08	)		(0.00	)d		(0.01	)		(0.09	)		6.43		(32.94%	)		4,444		1.30%			N/A			0.56%
Class N
06/30/13r	$	11.07	$	0.06	$	1.43		$	1.49		$	-		$	-		$	-		$	-		$	12.56		13.46%	b	$	90		1.70%	a		1.61%	a		0.94%	a
12/31/12		9.67		0.06		1.43			1.49			(0.09	)		-			-			(0.09	)		11.07		15.46%			76		1.70%			1.60%			0.60%
12/31/11		10.07		0.04		(0.41	)		(0.37	)		(0.03	)		-			-			(0.03	)		9.67		(3.67%	)		64		1.60%			1.60%	k		0.37%
12/31/10		8.27		0.05		1.81			1.86			(0.06	)		-			-			(0.06	)		10.07		22.49%			64		1.62%			N/A			0.58%
12/31/09		6.44		0.03		1.83			1.86			(0.03	)		-			-			(0.03	)		8.27		29.06%			46		1.63%			N/A			0.43%
12/31/08		9.75		0.03		(3.26	)		(3.23	)		(0.07	)		(0.00	)d		(0.01	)		(0.08	)		6.44		(33.23%	)		31		1.60%			N/A			0.32%

	Six months ended June 30,  2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		53	%		85	%		82	%		143	%		66	%		34	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

i For the period December 7, 2011 (commencement of operations) through December 31, 2011.

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

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

192

MassMutual Select Small Cap Value Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	10.71	$	0.04		$	1.74		$	1.78		$	-		$	-		$	-		$	-		$	12.49		16.62%	b	$	126,248		0.85%	a		0.72%	a
12/31/12		9.05		0.09			1.66			1.75			(0.09	)		-			-			(0.09	)		10.71		19.40%			115,775		0.85%			0.95%
12/31/11		9.45		0.03			(0.40	)		(0.37	)		(0.03	)		-			-			(0.03	)		9.05		(3.91%	)		92,162		0.86%			0.36%
12/31/10		7.41		0.06			2.04			2.10			(0.06	)		-			-			(0.06	)		9.45		28.36%			67,913		0.87%			0.73%
12/31/09		6.14		0.06			1.28			1.34			(0.07	)		-			-			(0.07	)		7.41		21.83%			62,397		0.89%			1.06%
12/31/08		9.37		0.13			(3.23	)		(3.10	)		(0.13	)		(0.00	)d		(0.00	)d		(0.13	)		6.14		(32.97%	)		55,899		0.87%			1.58%
Class Y
06/30/13r	$	10.71	$	0.04		$	1.74		$	1.78		$	-		$	-		$	-		$	-		$	12.49		16.62%	b	$	4,862		0.95%	a		0.66%	a
12/31/12		9.06		0.08			1.65			1.73			(0.08	)		-			-			(0.08	)		10.71		19.15%			3,186		0.95%			0.83%
12/31/11		9.45		0.02			(0.39	)		(0.37	)		(0.02	)		-			-			(0.02	)		9.06		(3.93%	)		3,055		0.96%			0.22%
12/31/10		7.40		0.04			2.06			2.10			(0.05	)		-			-			(0.05	)		9.45		28.35%			4,734		0.97%			0.49%
12/31/09		6.14		0.06			1.26			1.32			(0.06	)		-			-			(0.06	)		7.40		21.54%			4,496		0.99%			0.96%
12/31/08		9.36		0.12			(3.22	)		(3.10	)		(0.12	)		(0.00	)d		(0.00	)d		(0.12	)		6.14		(33.01%	)		4,679		0.97%			1.47%
Class L
06/30/13r	$	10.69	$	0.03		$	1.73		$	1.76		$	-		$	-		$	-		$	-		$	12.45		16.46%	b	$	2,773		1.10%	a		0.49%	a
12/31/12		9.04		0.07			1.65			1.72			(0.07	)		-			-			(0.07	)		10.69		19.03%			2,551		1.10%			0.69%
12/31/11		9.45		0.00	d		(0.41	)		(0.41	)		-			-			-			-			9.04		(4.34%	)		2,152		1.11%			0.04%
12/31/10		7.40		0.03			2.06			2.09			(0.04	)		-			-			(0.04	)		9.45		28.19%			21,552		1.12%			0.36%
12/31/09		6.14		0.05			1.26			1.31			(0.05	)		-			-			(0.05	)		7.40		21.39%			24,629		1.14%			0.81%
12/31/08		9.36		0.11			(3.22	)		(3.11	)		(0.11	)		(0.00	)d		(0.00	)d		(0.11	)		6.14		(33.12%	)		24,811		1.12%			1.36%
Class A
06/30/13r	$	10.68	$	0.01		$	1.73		$	1.74		$	-		$	-		$	-		$	-		$	12.42		16.29%	b	$	5,997		1.35%	a		0.22%	a
12/31/12		9.03		0.04			1.65			1.69			(0.04	)		-			-			(0.04	)		10.68		18.75%			5,179		1.35%			0.43%
12/31/11		9.44		(0.02	)		(0.39	)		(0.41	)		-			-			-			-			9.03		(4.34%	)		4,694		1.36%			(0.18%	)
12/31/10		7.40		0.01			2.04			2.05			(0.01	)		-			-			(0.01	)		9.44		27.77%			7,837		1.37%			0.14%
12/31/09		6.14		0.03			1.27			1.30			(0.04	)		-			-			(0.04	)		7.40		21.11%			7,833		1.39%			0.56%
12/31/08		9.34		0.09			(3.21	)		(3.12	)		(0.08	)		(0.00	)d		(0.00	)d		(0.08	)		6.14		(33.30%	)		7,950		1.37%			1.07%

	Six months ended June 30,  2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		15	%		32	%		25	%		39	%		175	%		110	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

193

MassMutual Select Small Company Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
06/30/13r	$	14.03	$	0.10		$	1.81		$	1.91		$	-		$	-		$	-		$	15.94		13.61%	b	$	95,891		0.94%	a		0.86%	a		1.34%	a
12/31/12		12.78		0.16			1.75			1.91			(0.20	)		(0.46	)		(0.66	)		14.03		15.04%			74,820		0.94%			0.86%			1.17%
12/31/11		13.72		0.09			(0.43	)		(0.34	)		(0.07	)		(0.53	)		(0.60	)		12.78		(2.34%	)		45,116		0.94%			0.86%			0.68%
12/31/10g		12.74		0.02			1.07			1.09			(0.11	)		-			(0.11	)		13.72		8.59%	b		108		0.95%	a		0.87%	a		1.03%	a
Class S
06/30/13r	$	14.06	$	0.09		$	1.81		$	1.90		$	-		$	-		$	-		$	15.96		13.51%	b	$	240,830		1.13%	a		1.05%	a		1.14%	a
12/31/12		12.81		0.13			1.75			1.88			(0.17	)		(0.46	)		(0.63	)		14.06		14.77%			231,211		1.13%			1.05%			0.96%
12/31/11		13.74		0.03			(0.40	)		(0.37	)		(0.03	)		(0.53	)		(0.56	)		12.81		(2.51%	)		229,298		1.13%			1.05%			0.22%
12/31/10		11.23		0.06			2.55			2.61			(0.10	)		-			(0.10	)		13.74		23.25%			307,184		1.06%			1.05%			0.48%
12/31/09		8.87		0.06			2.37			2.43			(0.07	)		-			(0.07	)		11.23		27.45%			232,379		1.06%			N/A			0.63%
12/31/08		12.84		0.07			(3.61	)		(3.54	)		(0.02	)		(0.41	)		(0.43	)		8.87		(27.65%	)		186,899		1.05%			N/A			0.59%
Class Y
06/30/13r	$	14.02	$	0.08		$	1.81		$	1.89		$	-		$	-		$	-		$	15.91		13.48%	b	$	39,961		1.17%	a		1.09%	a		1.10%	a
12/31/12		12.76		0.12			1.75			1.87			(0.15	)		(0.46	)		(0.61	)		14.02		14.76%			33,617		1.17%			1.09%			0.85%
12/31/11		13.70		0.02			(0.40	)		(0.38	)		(0.03	)		(0.53	)		(0.56	)		12.76		(2.65%	)		52,720		1.17%			1.09%			0.18%
12/31/10		11.19		0.05			2.55			2.60			(0.09	)		-			(0.09	)		13.70		23.23%			67,430		1.10%			1.09%			0.42%
12/31/09		8.83		0.06			2.37			2.43			(0.07	)		-			(0.07	)		11.19		27.52%			77,398		1.10%			N/A			0.60%
12/31/08		12.80		0.06			(3.60	)		(3.54	)		(0.02	)		(0.41	)		(0.43	)		8.83		(27.72%	)		73,216		1.09%			N/A			0.55%
Class L
06/30/13r	$	13.90	$	0.07		$	1.80		$	1.87		$	-		$	-		$	-		$	15.77		13.45%	b	$	32,746		1.31%	a		1.23%	a		0.94%	a
12/31/12		12.67		0.10			1.74			1.84			(0.15	)		(0.46	)		(0.61	)		13.90		14.57%			36,619		1.32%			1.24%			0.77%
12/31/11		13.60		0.00	d		(0.40	)		(0.40	)		(0.00	)d		(0.53	)		(0.53	)		12.67		(2.79%	)		35,901		1.32%			1.24%			0.02%
12/31/10		11.11		0.03			2.53			2.56			(0.07	)		-			(0.07	)		13.60		23.08%			52,437		1.25%			1.24%			0.27%
12/31/09		8.78		0.04			2.34			2.38			(0.05	)		-			(0.05	)		11.11		27.17%			52,856		1.25%			N/A			0.45%
12/31/08		12.70		0.04			(3.55	)		(3.51	)		-			(0.41	)		(0.41	)		8.78		(27.70%	)		46,039		1.24%			N/A			0.36%
Class A
06/30/13r	$	13.66	$	0.05		$	1.77		$	1.82		$	-		$	-		$	-		$	15.48		13.32%	b	$	110,291		1.57%	a		1.49%	a		0.70%	a
12/31/12		12.46		0.07			1.70			1.77			(0.11	)		(0.46	)		(0.57	)		13.66		14.28%			100,321		1.57%			1.49%			0.51%
12/31/11		13.41		(0.03	)		(0.39	)		(0.42	)		-			(0.53	)		(0.53	)		12.46		(2.99%	)		100,184		1.57%			1.49%			(0.21%	)
12/31/10		10.97		0.00	d		2.49			2.49			(0.05	)		-			(0.05	)		13.41		22.68%			119,084		1.50%			1.49%			0.04%
12/31/09		8.67		0.02			2.31			2.33			(0.03	)		-			(0.03	)		10.97		26.90%			92,728		1.50%			N/A			0.19%
12/31/08		12.59		0.02			(3.53	)		(3.51	)		-			(0.41	)		(0.41	)		8.67		(27.94%	)		84,721		1.49%			N/A			0.14%
Class N
06/30/13r	$	13.28	$	0.03		$	1.72		$	1.75		$	-		$	-		$	-		$	15.03		13.18%	b	$	170		1.87%	a		1.79%	a		0.42%	a
12/31/12		12.07		0.00	d		1.67			1.67			-			(0.46	)		(0.46	)		13.28		13.90%			145		1.87%			1.79%			0.03%
12/31/11		13.05		(0.07	)		(0.38	)		(0.45	)		-			(0.53	)		(0.53	)		12.07		(3.30%	)		675		1.87%			1.79%			(0.51%	)
12/31/10		10.67		(0.04	)		2.43			2.39			(0.01	)		-			(0.01	)		13.05		22.38%			817		1.80%			1.79%			(0.34%	)
12/31/09		8.44		(0.01	)		2.25			2.24			(0.01	)		-			(0.01	)		10.67		26.49%			1,590		1.80%			N/A			(0.10%	)
12/31/08		12.31		(0.02	)		(3.44	)		(3.46	)		-			(0.41	)		(0.41	)		8.44		(28.18%	)		1,101		1.79%			N/A			(0.16%	)

	Six months ended June 30,  2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		24	%		34	%		32	%		43	%		30	%		37	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

194

MM S&P Mid Cap Index Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations						Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
06/30/13r	$	11.04	$	0.09	$	1.51	$	1.60	$	-		$	-		$	-		$	12.64		14.49%	b	$	116,960		0.23%	a		0.19%	a		1.41%	a
12/31/12g		10.00		0.09		1.11		1.20		(0.08	)		(0.08	)		(0.16	)		11.04		12.06%	b		87,245		0.29%	a		0.19%	a		1.85%	a
Class I
06/30/13r	$	11.04	$	0.09	$	1.50	$	1.59	$	-		$	-		$	-		$	12.63		14.40%	b	$	3,298		0.33%	a		0.29%	a		1.46%	a
12/31/12g		10.00		0.08		1.12		1.20		(0.08	)		(0.08	)		(0.16	)		11.04		12.02%	b		112		0.39%	a		0.29%	a		1.74%	a
Class S
06/30/13r	$	11.04	$	0.07	$	1.51	$	1.58	$	-		$	-		$	-		$	12.62		14.31%	b	$	366		0.48%	a		0.44%	a		1.17%	a
12/31/12g		10.00		0.08		1.12		1.20		(0.08	)		(0.08	)		(0.16	)		11.04		12.01%	b		225		0.54%	a		0.44%	a		1.79%	a
Class Y
06/30/13r	$	11.03	$	0.07	$	1.50	$	1.57	$	-		$	-		$	-		$	12.60		14.23%	b	$	7,497		0.58%	a		0.54%	a		1.21%	a
12/31/12g		10.00		0.09		1.10		1.19		(0.08	)		(0.08	)		(0.16	)		11.03		11.92%	b		836		0.64%	a		0.54%	a		2.01%	a
Class L
06/30/13r	$	11.04	$	0.07	$	1.50	$	1.57	$	-		$	-		$	-		$	12.61		14.22%	b	$	1,307		0.73%	a		0.69%	a		1.09%	a
12/31/12g		10.00		0.07		1.12		1.19		(0.07	)		(0.08	)		(0.15	)		11.04		11.89%	b		166		0.79%	a		0.69%	a		1.45%	a
Class A
06/30/13r	$	11.04	$	0.06	$	1.50	$	1.56	$	-		$	-		$	-		$	12.60		14.13%	b	$	4,971		0.88%	a		0.84%	a		0.96%	a
12/31/12g		10.00		0.06		1.11		1.17		(0.05	)		(0.08	)		(0.13	)		11.04		11.76%	b		112		0.94%	a		0.84%	a		1.19%	a

	Six months ended June 30,  2013b,r			Year ended December 31, 2012b
Portfolio turnover rate for all share classes		6	%		11	%

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period July 26, 2012 (commencement of operations) through December 31, 2012.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

195

MM Russell 2000 Small Cap Index Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations						Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
06/30/13r	$	10.95	$	0.10	$	1.63	$	1.73	$	-		$	-		$	-		$	12.68		15.80%	b	$	99,146		0.24%	a		0.19%	a		1.61%	a
12/31/12g		10.00		0.13		0.99		1.12		(0.12	)		(0.05	)		(0.17	)		10.95		11.24%	b		86,679		0.30%	a		0.19%	a		2.88%	a
Class I
06/30/13r	$	10.95	$	0.11	$	1.61	$	1.72	$	-		$	-		$	-		$	12.67		15.71%	b	$	5,503		0.34%	a		0.29%	a		1.79%	a
12/31/12g		10.00		0.13		0.98		1.11		(0.11	)		(0.05	)		(0.16	)		10.95		11.19%	b		111		0.40%	a		0.29%	a		2.76%	a
Class S
06/30/13r	$	10.94	$	0.09	$	1.64	$	1.73	$	-		$	-		$	-		$	12.67		15.72%	b	$	466		0.49%	a		0.44%	a		1.47%	a
12/31/12g		10.00		0.13		0.97		1.10		(0.11	)		(0.05	)		(0.16	)		10.94		11.03%	b		129		0.55%	a		0.44%	a		2.73%	a
Class Y
06/30/13r	$	10.94	$	0.10	$	1.62	$	1.72	$	-		$	-		$	-		$	12.66		15.72%	b	$	5,943		0.59%	a		0.54%	a		1.71%	a
12/31/12g		10.00		0.12		0.97		1.09		(0.10	)		(0.05	)		(0.15	)		10.94		10.99%	b		127		0.65%	a		0.54%	a		2.60%	a
Class L
06/30/13r	$	10.94	$	0.08	$	1.62	$	1.70	$	-		$	-		$	-		$	12.64		15.54%	b	$	1,306		0.74%	a		0.69%	a		1.36%	a
12/31/12g		10.00		0.12		0.97		1.09		(0.10	)		(0.05	)		(0.15	)		10.94		10.96%	b		175		0.80%	a		0.69%	a		2.70%	a
Class A
06/30/13r	$	10.95	$	0.07	$	1.61	$	1.68	$	-		$	-		$	-		$	12.63		15.45%	b	$	3,096		0.89%	a		0.84%	a		1.18%	a
12/31/12g		10.00		0.10		0.99		1.09		(0.09	)		(0.05	)		(0.14	)		10.95		10.83%	b		111		0.95%	a		0.84%	a		2.21%	a

	Six months ended June 30,  2013b,r			Year ended December 31, 2012b
Portfolio turnover rate for all share classes		20	%		10	%

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period July 26, 2012 (commencement of operations) through December 31, 2012.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

196

MassMutual Select Mid Cap Growth Equity II Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
06/30/13r	$	15.03	$	(0.01	)	$	2.23		$	2.22		$	-		$	-		$	-		$	17.25		14.50%	b	$	234,253		0.83%	a		0.73%	a		(0.09%	)a
12/31/12		14.27		0.02			2.07			2.09			(0.03	)		(1.30	)		(1.33	)		15.03		14.71%			185,584		0.83%			0.73%			0.12%
12/31/11		15.76		(0.03	)		(0.29	)		(0.32	)		-			(1.17	)		(1.17	)		14.27		(1.74%	)		150,571		0.84%			0.74%			(0.20%	)
12/31/10g		14.67		(0.00	)d		1.09			1.09			-			-			-			15.76		7.43%	b		108		0.85%	a		0.75%	a		(0.02%	)a
Class S
06/30/13r	$	15.00	$	(0.02	)	$	2.22		$	2.20		$	-		$	-		$	-		$	17.20		14.47%	b	$	492,904		0.95%	a		0.85%	a		(0.22%	)a
12/31/12		14.25		(0.01	)		2.07			2.06			(0.01	)		(1.30	)		(1.31	)		15.00		14.51%			456,600		0.96%			0.86%			(0.04%	)
12/31/11		15.76		(0.06	)		(0.28	)		(0.34	)		-			(1.17	)		(1.17	)		14.25		(1.86%	)		442,760		0.96%			0.86%			(0.38%	)
12/31/10		12.31		(0.04	)		3.49			3.45			-			-			-			15.76		28.03%			536,407		0.88%			0.86%			(0.26%	)
12/31/09		8.49		(0.03	)		3.85			3.82			(0.00	)d		-			(0.00	)d		12.31		45.00%			364,961		0.87%			N/A			(0.26%	)
12/31/08		15.28		(0.02	)		(6.16	)		(6.18	)		-			(0.61	)		(0.61	)		8.49		(41.00%	)		221,677		0.86%			N/A			(0.18%	)
Class Y
06/30/13r	$	14.83	$	(0.02	)	$	2.19		$	2.17		$	-		$	-		$	-		$	17.00		14.36%	b	$	243,252		1.05%	a		0.95%	a		(0.31%	)a
12/31/12		14.10		(0.02	)		2.05			2.03			-			(1.30	)		(1.30	)		14.83		14.47%			207,290		1.05%			0.95%			(0.11%	)
12/31/11		15.63		(0.07	)		(0.29	)		(0.36	)		-			(1.17	)		(1.17	)		14.10		(2.01%	)		182,810		1.05%			0.95%			(0.47%	)
12/31/10		12.22		(0.05	)		3.46			3.41			-			-			-			15.63		27.91%			207,536		0.97%			0.95%			(0.36%	)
12/31/09		8.43		(0.03	)		3.82			3.79			-			-			-			12.22		44.96%			161,421		0.96%			N/A			(0.34%	)
12/31/08		15.19		(0.04	)		(6.11	)		(6.15	)		-			(0.61	)		(0.61	)		8.43		(41.05%	)		105,886		0.95%			N/A			(0.28%	)
Class L
06/30/13r	$	14.49	$	(0.04	)	$	2.15		$	2.11		$	-		$	-		$	-		$	16.60		14.29%	b	$	336,218		1.19%	a		1.09%	a		(0.46%	)a
12/31/12		13.82		(0.04	)		2.01			1.97			-			(1.30	)		(1.30	)		14.49		14.33%			320,612		1.20%			1.10%			(0.28%	)
12/31/11		15.37		(0.10	)		(0.28	)		(0.38	)		-			(1.17	)		(1.17	)		13.82		(2.18%	)		328,331		1.20%			1.10%			(0.63%	)
12/31/10		12.03		(0.07	)		3.41			3.34			-			-			-			15.37		27.76%			450,117		1.12%			1.10%			(0.51%	)
12/31/09		8.32		(0.05	)		3.76			3.71			-			-			-			12.03		44.59%			362,500		1.11%			N/A			(0.50%	)
12/31/08		15.02		(0.05	)		(6.04	)		(6.09	)		-			(0.61	)		(0.61	)		8.32		(41.12%	)		258,165		1.10%			N/A			(0.43%	)
Class A
06/30/13r	$	13.96	$	(0.05	)	$	2.05		$	2.00		$	-		$	-		$	-		$	15.96		14.11%	b	$	374,030		1.44%	a		1.34%	a		(0.71%	)a
12/31/12		13.39		(0.08	)		1.95			1.87			-			(1.30	)		(1.30	)		13.96		14.05%			347,186		1.45%			1.35%			(0.52%	)
12/31/11		14.96		(0.13	)		(0.27	)		(0.40	)		-			(1.17	)		(1.17	)		13.39		(2.37%	)		329,974		1.45%			1.35%			(0.87%	)
12/31/10		11.74		(0.10	)		3.32			3.22			-			-			-			14.96		27.43%			381,775		1.37%			1.35%			(0.77%	)
12/31/09		8.14		(0.07	)		3.67			3.60			-			-			-			11.74		44.23%			308,326		1.36%			N/A			(0.75%	)
12/31/08		14.75		(0.08	)		(5.92	)		(6.00	)		-			(0.61	)		(0.61	)		8.14		(41.26%	)		211,358		1.35%			N/A			(0.67%	)
Class N
06/30/13r	$	13.42	$	(0.07	)	$	1.97		$	1.90		$	-		$	-		$	-		$	15.32		13.93%	b	$	2,153		1.74%	a		1.64%	a		(1.01%	)a
12/31/12		12.95		(0.12	)		1.89			1.77			-			(1.30	)		(1.30	)		13.42		13.75%			1,969		1.75%			1.65%			(0.84%	)
12/31/11		14.56		(0.17	)		(0.27	)		(0.44	)		-			(1.17	)		(1.17	)		12.95		(2.71%	)		2,052		1.75%			1.65%			(1.18%	)
12/31/10		11.46		(0.13	)		3.23			3.10			-			-			-			14.56		27.05%			2,446		1.67%			1.65%			(1.07%	)
12/31/09		7.97		(0.10	)		3.59			3.49			-			-			-			11.46		43.79%			2,117		1.66%			N/A			(1.05%	)
12/31/08		14.50		(0.12	)		(5.80	)		(5.92	)		-			(0.61	)		(0.61	)		7.97		(41.42%	)		1,207		1.65%			N/A			(0.97%	)

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		16	%		36	%		38	%		52	%		55	%		33	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

197

MassMutual Select Small Cap Growth Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj				Net investment income (loss) to average daily net assets
Class Z
06/30/13r	$	15.16	$	(0.01	)	$	3.13		$	3.12		$	-		$	-		$	18.28		20.58%	b	$	171,968		0.92%	a		0.85%	a			(0.12%	)a
12/31/12		14.16		(0.02	)		1.92			1.90			(0.90	)		(0.90	)		15.16		13.53%			136,266		0.92%			0.86%				(0.12%	)
12/31/11		17.26		(0.06	)		(0.96	)		(1.02	)		(2.08	)		(2.08	)		14.16		(5.41%	)		119,706		0.92%			0.87%				(0.36%	)
12/31/10g		16.06		0.00	d		1.34			1.34			(0.14	)		(0.14	)		17.26		8.38%	b		108		0.94%	a		0.89%	a			0.11%	a
Class S
06/30/13r	$	15.12	$	(0.02	)	$	3.12		$	3.10		$	-		$	-		$	18.22		20.50%	b	$	535,153		1.02%	a		0.95%	a			(0.21%	)a
12/31/12		14.14		(0.03	)		1.91			1.88			(0.90	)		(0.90	)		15.12		13.41%			455,747		1.02%			0.96%				(0.22%	)
12/31/11		17.25		(0.09	)		(0.94	)		(1.03	)		(2.08	)		(2.08	)		14.14		(5.47%	)		429,979		1.02%			0.97%				(0.53%	)
12/31/10		14.13		(0.07	)		3.33			3.26			(0.14	)		(0.14	)		17.25		23.11%			575,724		0.98%			0.98%	k			(0.45%	)
12/31/09		10.14		(0.06	)		4.05			3.99			-			-			14.13		39.35%			263,305		0.99%			N/A		��		(0.51%	)
12/31/08		16.82		0.01			(6.69	)		(6.68	)		-			-			10.14		(39.71%	)		178,508		0.98%			N/A				0.10%
Class Y
06/30/13r	$	14.80	$	(0.03	)	$	3.05		$	3.02		$	-		$	-		$	17.82		20.41%	b	$	67,644		1.16%	a		1.09%	a			(0.35%	)a
12/31/12		13.87		(0.06	)		1.89			1.83			(0.90	)		(0.90	)		14.80		13.31%			58,290		1.16%			1.10%				(0.39%	)
12/31/11		17.00		(0.12	)		(0.93	)		(1.05	)		(2.08	)		(2.08	)		13.87		(5.68%	)		64,304		1.16%			1.11%				(0.68%	)
12/31/10		13.94		(0.09	)		3.29			3.20			(0.14	)		(0.14	)		17.00		23.00%			82,815		1.12%			1.12%	k			(0.64%	)
12/31/09		10.02		(0.07	)		3.99			3.92			-			-			13.94		39.12%			86,922		1.13%			N/A				(0.65%	)
12/31/08		16.64		(0.00	)d		(6.62	)		(6.62	)		-			-			10.02		(39.78%	)		69,313		1.12%			N/A				(0.03%	)
Class L
06/30/13r	$	14.44	$	(0.04	)	$	2.98		$	2.94		$	-		$	-		$	17.38		20.36%	b	$	46,296		1.30%	a		1.23%	a			(0.51%	)a
12/31/12		13.58		(0.08	)		1.84			1.76			(0.90	)		(0.90	)		14.44		13.08%			50,085		1.31%			1.25%				(0.53%	)
12/31/11		16.71		(0.14	)		(0.91	)		(1.05	)		(2.08	)		(2.08	)		13.58		(5.77%	)		50,193		1.31%			1.26%				(0.83%	)
12/31/10		13.73		(0.11	)		3.23			3.12			(0.14	)		(0.14	)		16.71		22.77%			61,655		1.27%			1.27%	k			(0.78%	)
12/31/09		9.88		(0.09	)		3.94			3.85			-			-			13.73		38.97%			59,458		1.28%			N/A				(0.80%	)
12/31/08		16.43		(0.02	)		(6.53	)		(6.55	)		-			-			9.88		(39.90%	)		60,124		1.27%			N/A				(0.16%	)
Class A
06/30/13r	$	13.85	$	(0.06	)	$	2.86		$	2.80		$	-		$	-		$	16.65		20.22%	b	$	64,944		1.56%	a		1.49%	a			(0.76%	)a
12/31/12		13.09		(0.13	)		1.79			1.66			(0.90	)		(0.90	)		13.85		12.80%			60,764		1.56%			1.50%				(0.89%	)
12/31/11		16.23		(0.18	)		(0.88	)		(1.06	)		(2.08	)		(2.08	)		13.09		(6.01%	)		70,773		1.56%			1.51%				(1.12%	)
12/31/10		13.38		(0.15	)		3.14			2.99			(0.14	)		(0.14	)		16.23		22.39%			91,525		1.52%			1.52%	k			(1.02%	)
12/31/09		9.65		(0.11	)		3.84			3.73			-			-			13.38		38.65%			75,428		1.53%			N/A				(1.05%	)
12/31/08		16.09		(0.06	)		(6.38	)		(6.44	)		-			-			9.65		(40.02%	)		60,323		1.52%			N/A				(0.42%	)
Class N
06/30/13r	$	13.27	$	(0.08	)	$	2.74		$	2.66		$	-		$	-		$	15.93		20.05%	b	$	431		1.86%	a		1.79%	a			(1.06%	)a
12/31/12		12.61		(0.14	)		1.70			1.56			(0.90	)		(0.90	)		13.27		12.49%			479		1.86%			1.80%				(1.04%	)
12/31/11		15.77		(0.21	)		(0.87	)		(1.08	)		(2.08	)		(2.08	)		12.61		(6.32%	)		426		1.86%			1.81%				(1.37%	)
12/31/10		13.04		(0.18	)		3.05			2.87			(0.14	)		(0.14	)		15.77		22.05%			466		1.82%			1.82%	k			(1.33%	)
12/31/09		9.43		(0.15	)		3.76			3.61			-			-			13.04		38.28%			515		1.83%			N/A				(1.36%	)
12/31/08		15.78		(0.11	)		(6.24	)		(6.35	)		-			-			9.43		(40.24%	)		317		1.82%			N/A				(0.82%	)

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		52	%		104	%		88	%		99	%		91	%		92	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

198

MassMutual Select Small Company Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	11.09	$	(0.02	)	$	1.55		$	1.53		$	-		$	-		$	12.62		13.71%	b	$	45,785		1.11%	a		(0.33%	)a
12/31/12		9.82		(0.02	)		1.29			1.27			-			-			11.09		12.93%			41,706		1.13%			(0.21%	)
12/31/11		10.01		(0.07	)		(0.12	)		(0.19	)		-			-			9.82		(1.90%	)		39,408		1.14%			(0.74%	)
12/31/10		7.49		(0.05	)		2.57			2.52			-			-			10.01		33.64%			30,487		1.13%			(0.60%	)
12/31/09		5.70		(0.02	)		1.81			1.79			-			-			7.49		31.40%			21,869		1.17%			(0.25%	)
12/31/08		10.07		(0.04	)		(4.27	)		(4.31	)		(0.06	)		(0.06	)		5.70		(43.07%	)		21,210		1.12%			(0.48%	)
Class Y
06/30/13r	$	11.03	$	(0.02	)	$	1.54		$	1.52		$	-		$	-		$	12.55		13.69%	b	$	2,468		1.15%	a		(0.37%	)a
12/31/12		9.78		(0.04	)		1.29			1.25			-			-			11.03		12.78%			2,167		1.17%			(0.33%	)
12/31/11		9.96		(0.08	)		(0.10	)		(0.18	)		-			-			9.78		(1.81%	)		2,314		1.17%			(0.80%	)
12/31/10		7.46		(0.06	)		2.56			2.50			-			-			9.96		33.51%			2,659		1.17%			(0.73%	)
12/31/09		5.68		(0.04	)		1.82			1.78			-			-			7.46		31.34%			4,130		1.21%			(0.58%	)
12/31/08		10.05		(0.04	)		(4.27	)		(4.31	)		(0.06	)		(0.06	)		5.68		(43.10%	)		10,027		1.16%			(0.53%	)
Class L
06/30/13r	$	10.84	$	(0.03	)	$	1.52		$	1.49		$	-		$	-		$	12.33		13.65%	b	$	4,474		1.30%	a		(0.54%	)a
12/31/12		9.62		(0.04	)		1.26			1.22			-			-			10.84		12.56%			6,125		1.32%			(0.40%	)
12/31/11		9.83		(0.10	)		(0.11	)		(0.21	)		-			-			9.62		(2.03%	)		5,018		1.32%			(0.99%	)
12/31/10		7.38		(0.06	)		2.51			2.45			-			-			9.83		33.20%			17,323		1.32%			(0.78%	)
12/31/09		5.63		(0.03	)		1.78			1.75			-			-			7.38		31.08%			10,178		1.36%			(0.43%	)
12/31/08		9.96		(0.05	)		(4.22	)		(4.27	)		(0.06	)		(0.06	)		5.63		(43.08%	)		8,625		1.31%			(0.64%	)
Class A
06/30/13r	$	10.53	$	(0.04	)	$	1.46		$	1.42		$	-		$	-		$	11.95		13.49%	b	$	9,260		1.55%	a		(0.77%	)a
12/31/12		9.37		(0.09	)		1.25			1.16			-			-			10.53		12.38%			8,494		1.57%			(0.87%	)
12/31/11		9.58		(0.12	)		(0.09	)		(0.21	)		-			-			9.37		(2.19%	)		9,153		1.57%			(1.20%	)
12/31/10		7.21		(0.08	)		2.45			2.37			-			-			9.58		32.87%			13,123		1.57%			(1.08%	)
12/31/09		5.51		(0.04	)		1.74			1.70			-			-			7.21		30.85%			13,340		1.61%			(0.69%	)
12/31/08		9.78		(0.07	)		(4.14	)		(4.21	)		(0.06	)		(0.06	)		5.51		(43.26%	)		13,367		1.56%			(0.91%	)
Class N
06/30/13r	$	10.19	$	(0.06	)	$	1.42		$	1.36		$	-		$	-		$	11.55		13.35%	b	$	173		1.85%	a		(1.07%	)a
12/31/12		9.10		(0.10	)		1.19			1.09			-			-			10.19		11.98%			152		1.87%			(0.97%	)
12/31/11		9.33		(0.14	)		(0.09	)		(0.23	)		-			-			9.10		(2.47%	)		240		1.88%			(1.49%	)
12/31/10		7.04		(0.10	)		2.39			2.29			-			-			9.33		32.53%			249		1.87%			(1.33%	)
12/31/09		5.40		(0.06	)		1.70			1.64			-			-			7.04		30.37%			159		1.91%			(0.98%	)
12/31/08		9.61		(0.09	)		(4.06	)		(4.15	)		(0.06	)		(0.06	)		5.40		(43.46%	)		154		1.86%			(1.21%	)

	Six months ended June 30,  2013b,r			Year ended December 31
				2012			2011			2010			��	2009			2008
Portfolio turnover rate for all share classes		43	%		105	%		94	%		98	%			120	%		129	%

a Annualized.

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

c Per share amount calculated on the average shares method.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

199

MassMutual Select Diversified International Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	6.49	$	0.12	$	0.05		$	0.17		$	-		$	-		$	6.66		2.62%	b	$	153,416		1.06%	a		0.99%	a		3.55%	a
12/31/12		5.70		0.17		0.81			0.98			(0.19	)		(0.19	)		6.49		17.29%			151,060		1.07%			0.99%			2.86%
12/31/11		7.08		0.15		(1.35	)		(1.20	)		(0.18	)		(0.18	)		5.70		(16.84%	)		121,002		1.09%			0.99%			2.24%
12/31/10		6.94		0.10		0.27			0.37			(0.23	)		(0.23	)		7.08		5.39%			102,970		1.11%			0.99%			1.57%
12/31/09		4.98		0.11		1.92			2.03			(0.07	)		(0.07	)		6.94		40.70%			93,253		1.10%			0.99%			2.00%
12/31/08		10.50		0.25		(5.77	)		(5.52	)		-			-			4.98		(52.57%	)		60,987		1.06%			0.99%			3.02%
Class Y
06/30/13r	$	6.65	$	0.12	$	0.04		$	0.16		$	-		$	-		$	6.81		2.41%	b	$	79		1.16%	a		1.09%	a		3.47%	a
12/31/12		5.84		0.17		0.83			1.00			(0.19	)		(0.19	)		6.65		17.12%			74		1.17%			1.09%			2.75%
12/31/11		7.06		0.19		(1.40	)		(1.21	)		(0.01	)		(0.01	)		5.84		(17.11%	)		55		1.19%			1.09%			2.69%
12/31/10		6.93		0.10		0.25			0.35			(0.22	)		(0.22	)		7.06		5.15%			7,467		1.21%			1.09%			1.46%
12/31/09		4.97		0.11		1.91			2.02			(0.06	)		(0.06	)		6.93		40.65%			7,034		1.20%			1.09%			1.93%
12/31/08		10.49		0.12		(5.64	)		(5.52	)		-			-			4.97		(52.62%	)		5,478		1.16%			1.09%			1.83%
Class L
06/30/13r	$	6.74	$	0.10	$	0.06		$	0.16		$	-		$	-		$	6.90		2.37%	b	$	13		1.31%	a		1.17%	a		2.99%	a
12/31/12		5.79		0.20		0.75			0.95			-			-			6.74		16.61%			18		1.32%			1.17%			3.36%
12/31/11		7.06		0.21		(1.41	)		(1.20	)		(0.07	)		(0.07	)		5.79		(17.06%	)		2,113		1.34%			1.17%			2.91%
12/31/10		6.93		0.09		0.26			0.35			(0.22	)		(0.22	)		7.06		5.06%			33,000		1.36%			1.17%			1.38%
12/31/09		4.97		0.11		1.90			2.01			(0.05	)		(0.05	)		6.93		40.55%			32,559		1.35%			1.17%			1.98%
12/31/08		10.50		0.23		(5.76	)		(5.53	)		-			-			4.97		(52.67%	)		23,604		1.31%			1.17%			2.76%
Class A
06/30/13r	$	6.48	$	0.10	$	0.05		$	0.15		$	-		$	-		$	6.63		2.31%	b	$	819		1.56%	a		1.42%	a		3.07%	a
12/31/12		5.69		0.15		0.80			0.95			(0.16	)		(0.16	)		6.48		16.80%			700		1.57%			1.42%			2.53%
12/31/11		7.05		0.13		(1.34	)		(1.21	)		(0.15	)		(0.15	)		5.69		(17.13%	)		873		1.59%			1.42%			1.99%
12/31/10		6.91		0.08		0.25			0.33			(0.19	)		(0.19	)		7.05		4.90%			1,296		1.61%			1.42%			1.17%
12/31/09		4.95		0.11		1.85			1.96			-			-			6.91		39.60%			1,721		1.60%			1.42%			2.10%
12/31/08		10.48		0.24		(5.77	)		(5.53	)		-			-			4.95		(52.77%	)		40,897		1.56%			1.42%			3.00%

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		28	%		58	%		140	%		65	%		61	%		34	%

a Annualized.

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

c Per share amount calculated on the average shares method.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

200

MM MSCI EAFE International Index Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations						Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
06/30/13r	$	11.80	$	0.26	$	0.14	$	0.40	$	-		$	-		$	-		$	12.20		3.39%	b	$	171,238		0.30%	a		0.23%	a		4.19%	a
12/31/12g		10.00		0.11		1.84		1.95		(0.14	)		(0.01	)		(0.15	)		11.80		19.53%	b		127,538		0.35%	a		0.23%	a		2.23%	a
Class I
06/30/13r	$	11.80	$	0.33	$	0.07	$	0.40	$	-		$	-		$	-		$	12.20		3.39%	b	$	6,160		0.40%	a		0.33%	a		5.30%	a
12/31/12g		10.00		0.11		1.83		1.94		(0.13	)		(0.01	)		(0.14	)		11.80		19.48%	b		120		0.45%	a		0.33%	a		2.15%	a
Class S
06/30/13r	$	11.80	$	0.25	$	0.14	$	0.39	$	-		$	-		$	-		$	12.19		3.22%	b	$	228		0.55%	a		0.48%	a		4.09%	a
12/31/12g		10.00		0.10		1.84		1.94		(0.13	)		(0.01	)		(0.14	)		11.80		19.42%	b		137		0.60%	a		0.48%	a		1.95%	a
Class Y
06/30/13r	$	11.80	$	0.31	$	0.07	$	0.38	$	-		$	-		$	-		$	12.18		3.22%	b	$	3,635		0.65%	a		0.58%	a		5.05%	a
12/31/12g		10.00		0.09		1.84		1.93		(0.12	)		(0.01	)		(0.13	)		11.80		19.35%	b		120		0.70%	a		0.58%	a		1.88%	a
Class L
06/30/13r	$	11.80	$	0.25	$	0.12	$	0.37	$	-		$	-		$	-		$	12.17		3.14%	b	$	474		0.80%	a		0.73%	a		4.09%	a
12/31/12g		10.00		0.08		1.84		1.92		(0.11	)		(0.01	)		(0.12	)		11.80		19.26%	b		126		0.85%	a		0.73%	a		1.62%	a
Class A
06/30/13r	$	11.80	$	0.26	$	0.11	$	0.37	$	-		$	-		$	-		$	12.17		3.14%	b	$	2,012		0.95%	a		0.88%	a		4.23%	a
12/31/12g		10.00		0.08		1.84		1.92		(0.11	)		(0.01	)		(0.12	)		11.80		19.20%	b		119		1.00%	a		0.88%	a		1.59%	a

	Six months ended June 30, 2013b,r			Year ended December 31,  2012b
Portfolio turnover rate for all share classes		22	%		6	%

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period July 25, 2012 (commencement of operations) through December 31, 2012.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

201

MassMutual Select Overseas Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
06/30/13r	$	7.57	$	0.12		$	0.17		$	0.29		$	-		$	-		$	-		$	-		$	7.86		3.83%	b	$	245,220		1.16%	a		0.85%	a		3.01%	a
12/31/12		6.26		0.15			1.28			1.43			(0.12	)		-			-			(0.12	)		7.57		23.14%			255,215		1.16%			0.85%			2.19%
12/31/11		7.34		0.07			(1.02	)		(0.95	)		(0.13	)		-			-			(0.13	)		6.26		(12.97%	)		242,149		1.18%			0.86%			1.03%
12/31/10g		7.13		(0.00	)d		0.21			0.21			-			-			-			-			7.34		2.95%	b		103		1.20%	a		0.95%	a		(0.04%	)a
Class S
06/30/13r	$	7.58	$	0.11		$	0.17		$	0.28		$	-		$	-		$	-		$	-		$	7.86		3.69%	b	$	161,828		1.44%	a		1.13%	a		2.73%	a
12/31/12		6.26		0.12			1.29			1.41			(0.09	)		-			-			(0.09	)		7.58		22.70%			155,925		1.45%			1.14%			1.78%
12/31/11		7.34		0.14			(1.10	)		(0.96	)		(0.12	)		-			-			(0.12	)		6.26		(13.09%	)		99,517		1.43%			1.14%			1.90%
12/31/10		6.72		0.08			0.64			0.72			(0.10	)		-			-			(0.10	)		7.34		10.97%			276,053		1.19%			1.16%			1.15%
12/31/09		4.74		0.08			1.90			1.98			-			-			-			-			6.72		41.77%			257,075		1.17%			N/A			1.40%
12/31/08		11.48		0.22			(4.63	)		(4.41	)		(0.55	)		(0.34	)		(1.44	)		(2.33	)		4.74		(39.09%	)		206,904		1.15%			N/A			2.33%
Class Y
06/30/13r	$	7.54	$	0.11		$	0.17		$	0.28		$	-		$	-		$	-		$	-		$	7.82		3.71%	b	$	78,702		1.49%	a		1.18%	a		2.75%	a
12/31/12		6.23		0.13			1.27			1.40			(0.09	)		-			-			(0.09	)		7.54		22.64%			66,317		1.50%			1.19%			1.97%
12/31/11		7.31		0.11			(1.07	)		(0.96	)		(0.12	)		-			-			(0.12	)		6.23		(13.16%	)		75,356		1.49%			1.19%			1.60%
12/31/10		6.69		0.07			0.65			0.72			(0.10	)		-			-			(0.10	)		7.31		10.97%			83,409		1.24%			1.21%			1.10%
12/31/09		4.72		0.07			1.90			1.97			-			-			-			-			6.69		41.74%			97,912		1.22%			N/A			1.28%
12/31/08		11.45		0.22			(4.63	)		(4.41	)		(0.54	)		(0.34	)		(1.44	)		(2.32	)		4.72		(39.15%	)		68,982		1.20%			N/A			2.33%
Class L
06/30/13r	$	7.60	$	0.10		$	0.17		$	0.27		$	-		$	-		$	-		$	-		$	7.87		3.55%	b	$	19,936		1.54%	a		1.23%	a		2.64%	a
12/31/12		6.22		0.12			1.29			1.41			(0.03	)		-			-			(0.03	)		7.60		22.67%			27,315		1.55%			1.24%			1.76%
12/31/11		7.28		0.14			(1.10	)		(0.96	)		(0.10	)		-			-			(0.10	)		6.22		(13.21%	)		26,070		1.53%			1.23%			1.97%
12/31/10		6.66		0.07			0.64			0.71			(0.09	)		-			-			(0.09	)		7.28		10.95%			149,245		1.38%			1.26%			1.04%
12/31/09		4.70		0.07			1.89			1.96			-			-			-			-			6.66		41.70%			151,443		1.37%			1.27%			1.41%
12/31/08		11.42		0.21			(4.61	)		(4.40	)		(0.55	)		(0.34	)		(1.43	)		(2.32	)		4.70		(39.21%	)		149,950		1.35%			1.25%			2.22%
Class A
06/30/13r	$	7.45	$	0.09		$	0.17		$	0.26		$	-		$	-		$	-		$	-		$	7.71		3.49%	b	$	54,976		1.79%	a		1.48%	a		2.38%	a
12/31/12		6.16		0.10			1.26			1.36			(0.07	)		-			-			(0.07	)		7.45		22.47%			54,429		1.80%			1.49%			1.48%
12/31/11		7.23		0.09			(1.06	)		(0.97	)		(0.10	)		-			-			(0.10	)		6.16		(13.60%	)		42,720		1.79%			1.49%			1.33%
12/31/10		6.61		0.05			0.65			0.70			(0.08	)		-			-			(0.08	)		7.23		10.75%			59,596		1.63%			1.51%			0.81%
12/31/09		4.68		0.05			1.88			1.93			-			-			-			-			6.61		41.24%			63,979		1.62%			1.52%			1.03%
12/31/08		11.33		0.15			(4.52	)		(4.37	)		(0.53	)		(0.34	)		(1.41	)		(2.28	)		4.68		(39.25%	)		48,153		1.60%			1.50%			1.57%
Class N
06/30/13r	$	7.37	$	0.08		$	0.17		$	0.25		$	-		$	-		$	-		$	-		$	7.62		3.39%	b	$	616		2.09%	a		1.78%	a		2.14%	a
12/31/12		6.11		0.07			1.26			1.33			(0.07	)		-			-			(0.07	)		7.37		21.96%			549		2.10%			1.79%			1.12%
12/31/11		7.15		0.07			(1.05	)		(0.98	)		(0.06	)		-			-			(0.06	)		6.11		(13.78%	)		238		2.09%			1.79%			0.98%
12/31/10		6.48		0.02			0.65			0.67			-			-			-			-			7.15		10.34%			238		1.92%			1.81%			0.37%
12/31/09		4.60		0.04			1.84			1.88			-			-			-			-			6.48		40.87%			963		1.92%			1.82%			0.79%
12/31/08		11.19		0.15			(4.49	)		(4.34	)		(0.52	)		(0.34	)		(1.39	)		(2.25	)		4.60		(39.45%	)		892		1.90%			1.80%			1.58%

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		20	%		39	%		55	%		40	%		61	%		63	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

202

Notes to Financial Statements (Unaudited)

1. The Funds

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The following are 21 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 Diversified Value Fund (“Diversified Value Fund”)

MassMutual Select Fundamental Value Fund (“Fundamental Value Fund”)

MassMutual Select Large Cap Value Fund (“Large Cap Value Fund”)

MM S&P 500^® Index Fund (“S&P 500 Index Fund”)

MassMutual Select Focused Value Fund (“Focused Value Fund”)

MassMutual Select Fundamental Growth Fund (“Fundamental Growth Fund”)

MassMutual Select Blue Chip Growth Fund (“Blue Chip Growth Fund”)

MassMutual Select Growth Opportunities Fund (“Growth Opportunities Fund”)

MassMutual Select Mid-Cap Value Fund (“Mid-Cap Value Fund”)

MassMutual Select Small Cap Value Equity Fund (“Small Cap Value Equity Fund”)

MassMutual Select Small Company Value Fund (“Small Company Value Fund”)

MM S&P^® Mid Cap Index Fund (“S&P Mid Cap Index Fund”)

MM Russell 2000^® Small Cap Index Fund (“Russell 2000 Small Cap Index Fund”)

MassMutual Select Mid Cap Growth Equity II Fund (“Mid Cap Growth Equity II Fund”)

MassMutual Select Small Cap Growth Equity Fund (“Small Cap Growth Equity Fund”)

MassMutual Select Small Company Growth Fund (“Small Company Growth Fund”)

MassMutual Select Diversified International Fund (“Diversified International Fund”)

MM MSCI EAFE^® International Index Fund (“MSCI EAFE International Index Fund”)

MassMutual Select Overseas Fund (“Overseas Fund”)

Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.

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 (a “business day”). The New York Stock Exchange normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days.

Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System, or in the case of over-

203

Notes to Financial Statements (Unaudited) (Continued)

the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities (other than short-term obligations) are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Short-term debt securities are valued at either amortized cost or at original cost plus accrued interest, whichever the Funds’ investment adviser determines more closely 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 for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, 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, prepayment speed assumptions and attributes of the collateral. 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 markets, as is the case of interest rate swap and option contracts. Restricted securities are generally valued at a discount to similar publicly traded securities.

Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Funds’ Valuation Committee¹ in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at their regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.

The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party 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, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.

¹  The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Secretary, and Assistant Secretaries of the Trust, as well as such alternate members as the Trustees may from time to time designate. The Valuation Committee reviews and makes recommendations concerning the fair valuation of portfolio securities and the Funds’ pricing procedures in general.

204

Notes to Financial Statements (Unaudited (Continued)

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Funds determine their net asset values.

Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned key inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.

The Diversified Value Fund, S&P 500 Index Fund, Focused Value Fund, Fundamental Growth Fund, Growth Opportunities Fund, Mid-Cap Value Fund, Small Cap Value Equity Fund, Small Company Value Fund, S&P Mid Cap Index Fund, Russell 2000 Small

205

Notes to Financial Statements (Unaudited) (Continued)

Cap Index 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, 2013. For each Fund noted in the preceding sentence, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.

The following is the aggregate value by input level, as of June 30, 2013, for the remaining Funds’ 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
Bonds & Notes
Total Corporate Debt	$	-	$	523,690,884	$	1,006,996	$	524,697,880
Total Municipal Obligations		-		54,644,407		-		54,644,407
Non-U.S. Government Agency Obligations
Commercial MBS		-		83,678,997		-		83,678,997
Home Equity ABS		-		19,433,711		-		19,433,711
Other ABS		-		8,773,024		-		8,773,024
Student Loans ABS		-		13,506,023		-		13,506,023
WL Collateral CMO		-		42,028,069		-		42,028,069
Total Non-U.S. Government Agency Obligations		-		167,419,824		-		167,419,824
Total Sovereign Debt Obligations		-		53,621,235		-		53,621,235
U.S. Government Agency Obligations and Instrumentalities
Pass-Through Securities		-		984,401,864		-		984,401,864
Total U.S. Government Agency Obligations and Instrumentalities		-		984,401,864		-		984,401,864
U.S. Treasury Obligations
U.S. Treasury Bonds & Notes		-		722,117,096		-		722,117,096
Total U.S. Treasury Obligations		-		722,117,096		-		722,117,096
Total Bonds & Notes		-		2,505,895,310		1,006,996		2,506,902,306
Total Long-Term Investments		-		2,505,895,310		1,006,996		2,506,902,306
Total Short-Term Investments		-		21,594,779		-		21,594,779
Total Investments	$	-	$	2,527,490,089	$	1,006,996	$	2,528,497,085
Strategic Bond Fund
Equities
Preferred Stock
Financial	$	168,493	$	-	$	-	$	168,493
Total Preferred Stock		168,493		-		-		168,493
Total Equities		168,493		-		-		168,493
Bonds & Notes
Total Corporate Debt		-		61,469,475		-		61,469,475
Total Municipal Obligations		-		240,117		-		240,117

206

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)
Non-U.S. Government Agency Obligations
Automobile ABS	$	-	$	665,786	$	-	$	665,786
Commercial MBS		-		2,153,655		-		2,153,655
Home Equity ABS		-		2,435,544		-		2,435,544
Manufactured Housing ABS		-		1,076,511		-		1,076,511
Other ABS		-		226,680		-		226,680
Student Loans ABS		-		2,678,560		-		2,678,560
WL Collateral CMO		-		7,037,393		-		7,037,393
Total Non-U.S. Government Agency Obligations		-		16,274,129		-		16,274,129
Total Sovereign Debt Obligations		-		5,361,178		-		5,361,178
U.S. Government Agency Obligations and Instrumentalities
Collateralized Mortgage Obligations		-		10,650,735		-		10,650,735
Pass-Through Securities		-		43,762,788		-		43,762,788
Total U.S. Government Agency Obligations and Instrumentalities		-		54,413,523		-		54,413,523
U.S. Treasury Obligations
U.S. Treasury Bonds & Notes		-		26,505,747		-		26,505,747
Total U.S. Treasury Obligations		-		26,505,747		-		26,505,747
Total Bonds & Notes		-		164,264,169		-		164,264,169
Purchased Options
Options on Futures		32,648		-		-		32,648
Total Purchased Options		32,648		-		-		32,648
Warrants
Energy		7,456		-		-		7,456
Total Warrants		7,456		-		-		7,456
Total Long-Term Investments		208,597		164,264,169		-		164,472,766
Total Short-Term Investments		-		18,243,695		-		18,243,695
Total Investments	$	208,597	$	182,507,864	$	-	$	182,716,461
Fundamental Value Fund
Equities
Common Stock
Basic Materials	$	70,909,728	$	-	$	-	$	70,909,728
Communications		123,413,328		-		-		123,413,328
Consumer, Cyclical		137,230,763		-		-		137,230,763
Consumer, Non-cyclical		225,716,302		20,387,946		-		246,104,248
Energy		183,841,683		-		-		183,841,683
Financial		377,695,472		-		-		377,695,472
Industrial		152,029,356		-		-		152,029,356
Technology		104,488,864		-		-		104,488,864
Utilities		42,439,082		-		-		42,439,082
Total Common Stock		1,417,764,578		20,387,946		-		1,438,152,524
Total Equities		1,417,764,578		20,387,946		-		1,438,152,524

207

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)
Total Long-Term Investments	$	1,417,764,578	$	20,387,946	$	-	$	1,438,152,524
Total Short-Term Investments		-		14,805,840		-		14,805,840
Total Investments	$	1,417,764,578	$	35,193,786	$	-	$	1,452,958,364
Large Cap Value Fund
Equities
Common Stock
Basic Materials	$	14,869,513	$	2,443,077	$	-	$	17,312,590
Communications		27,921,661		10,535,281		-		38,456,942
Consumer, Cyclical		25,008,769		-		-		25,008,769
Consumer, Non-cyclical		124,780,602		3,569,041		-		128,349,643
Energy		52,683,388		-		-		52,683,388
Financial		81,154,631		539,033		-		81,693,664
Industrial		41,422,491		-		-		41,422,491
Technology		39,924,684		-		-		39,924,684
Utilities		29,788,407		740,551		-		30,528,958
Total Common Stock		437,554,146		17,826,983		-		455,381,129
Preferred Stock
Basic Materials		-		497,831		-		497,831
Consumer, Cyclical		391,204		-		-		391,204
Total Preferred Stock		391,204		497,831		-		889,035
Total Equities		437,945,350		18,324,814		-		456,270,164
Total Mutual Funds		15,535,397		-		-		15,535,397
Structured Notes
Financial		3,768,735		-		-		3,768,735
Total Structured Notes		3,768,735		-		-		3,768,735
Total Long-Term Investments		457,249,482		18,324,814		-		475,574,296
Total Short-Term Investments		-		10,474,002		-		10,474,002
Total Investments	$	457,249,482	$	28,798,816	$	-	$	486,048,298
Blue Chip Growth Fund
Equities
Common Stock
Basic Materials	$	49,274,223	$	-	$	-	$	49,274,223
Communications		237,118,529		7,060,550		-		244,179,079
Consumer, Cyclical		182,014,320		-		-		182,014,320
Consumer, Non-cyclical		234,732,182		-		-		234,732,182
Energy		50,231,287		-		-		50,231,287
Financial		115,095,337		-		-		115,095,337
Industrial		136,400,676		-		-		136,400,676
Technology		57,376,535		-		-		57,376,535
Total Common Stock		1,062,243,089		7,060,550		-		1,069,303,639
Total Equities		1,062,243,089		7,060,550		-		1,069,303,639
Total Mutual Funds		1,604		-		-		1,604

208

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
Blue Chip Growth Fund (Continued)
Total Long-Term Investments	$	1,062,244,693	$	7,060,550	$	-	$	1,069,305,243
Total Short-Term Investments		-		2,817,066		-		2,817,066
Total Investments	$	1,062,244,693	$	9,877,616	$	-	$	1,072,122,309
Mid Cap Growth Equity II Fund
Equities
Common Stock
Basic Materials	$	53,867,001	$	-	$	-	$	53,867,001
Communications		150,981,360		-		296,059		151,277,419
Consumer, Cyclical		258,395,604		-		-		258,395,604
Consumer, Non-cyclical		456,905,381		-		-		456,905,381
Energy		100,346,871		-		-		100,346,871
Financial		123,354,976		-		-		123,354,976
Industrial		264,172,122		-		-		264,172,122
Technology		189,555,253		-		-		189,555,253
Utilities		18,215,340		-		-		18,215,340
Total Common Stock		1,615,793,908		-		296,059		1,616,089,967
Preferred Stock
Communications		-		-		3,892,882		3,892,882
Total Preferred Stock		-		-		3,892,882		3,892,882
Total Equities		1,615,793,908		-		4,188,941		1,619,982,849
Total Mutual Funds		86,411,599		-		-		86,411,599
Total Long-Term Investments		1,702,205,507		-		4,188,941		1,706,394,448
Total Short-Term Investments		-		48,929,922		-		48,929,922
Total Investments	$	1,702,205,507	$	48,929,922	$	4,188,941	$	1,755,324,370
Small Cap Growth Equity Fund
Equities
Common Stock
Basic Materials	$	23,732,283	$	-	$	-	$	23,732,283
Communications		85,599,964		-		300,294		85,900,258
Consumer, Cyclical		152,640,875		-		-		152,640,875
Consumer, Non-cyclical		198,977,702		3,048,825		-		202,026,527
Energy		54,445,014		-		-		54,445,014
Financial		93,046,250		-		-		93,046,250
Industrial		130,938,631		-		-		130,938,631
Technology		117,397,300		-		-		117,397,300
Utilities		2,478,934		-		-		2,478,934
Total Common Stock		859,256,953		3,048,825		300,294		862,606,072
Total Equities		859,256,953		3,048,825		300,294		862,606,072
Total Mutual Funds		30,619,290		-		-		30,619,290
Total Long-Term Investments		889,876,243		3,048,825		300,294		893,225,362
Total Short-Term Investments		-		23,735,778		-		23,735,778
Total Investments	$	889,876,243	$	26,784,603	$	300,294	$	916,961,140

209

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	$	695,540	$	7,631,431	$	-	$	8,326,971
Communications		-		12,397,473		-		12,397,473
Consumer, Cyclical		-		17,712,403		-		17,712,403
Consumer, Non-cyclical		-		21,013,274		-		21,013,274
Diversified		-		3,781,912		-		3,781,912
Energy		-		13,238,085		-		13,238,085
Financial		-		45,731,872		-		45,731,872
Industrial		-		14,894,761		-		14,894,761
Technology		-		4,054,728		-		4,054,728
Utilities		1,080,724		6,358,395		-		7,439,119
Total Common Stock		1,776,264		146,814,334		-		148,590,598
Preferred Stock
Consumer, Cyclical		-		2,200,560		-		2,200,560
Total Preferred Stock		-		2,200,560		-		2,200,560
Total Equities		1,776,264		149,014,894		-		150,791,158
Total Mutual Funds		3,129,077		-		-		3,129,077
Total Long-Term Investments		4,905,341		149,014,894		-		153,920,235
Total Short-Term Investments		-		1,659,043		-		1,659,043
Total Investments	$	4,905,341	$	150,673,937	$	-	$	155,579,278
MSCI EAFE International Index Fund
Equities
Common Stock
Basic Materials	$	-	$	11,339,858	$	-	$	11,339,858
Communications		-		13,127,491		-		13,127,491
Consumer, Cyclical		-		21,271,352		-		21,271,352
Consumer, Non-cyclical		60,531		41,688,748		-		41,749,279
Diversified		-		1,973,531		-		1,973,531
Energy		-		12,291,093		-		12,291,093
Financial		-		44,698,225		-		44,698,225
Industrial		-		22,814,887		-		22,814,887
Technology		-		4,339,998		-		4,339,998
Utilities		-		6,873,901		-		6,873,901
Total Common Stock		60,531		180,419,084		-		180,479,615
Preferred Stock
Communications		-		75,141		-		75,141
Consumer, Cyclical		-		716,813		-		716,813
Consumer, Non-cyclical		-		270,999		-		270,999
Energy		-		42,047		-		42,047
Utilities		-		21,943		-		21,943
Total Preferred Stock		-		1,126,943		-		1,126,943
Total Equities		60,531		181,546,027		-		181,606,558

210

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
MSCI EAFE International Index Fund (Continued)
Rights
Consumer, Non-cyclical	$	-	$	-	$	97	$	97
Energy		7,306		-		-		7,306
Total Rights		7,306		-		97		7,403
Total Mutual Funds		9,472,572		-		-		9,472,572
Total Long-Term Investments		9,540,409		181,546,027		97		191,086,533
Total Short-Term Investments		-		607,733		-		607,733
Total Investments	$	9,540,409	$	182,153,760	$	97	$	191,694,266
Overseas Fund
Equities
Common Stock
Basic Materials	$	604,257	$	38,063,604	$	-	$	38,667,861
Communications		3,744,349		22,475,320		-		26,219,669
Consumer, Cyclical		8,453,938		77,694,562		-		86,148,500
Consumer, Non-cyclical		2,729,597		113,849,021		-		116,578,618
Diversified		-		10,171,501		-		10,171,501
Energy		-		19,801,555		-		19,801,555
Financial		10,525,725		127,875,202		-		138,400,927
Industrial		6,658,132		62,545,191		-		69,203,323
Technology		9,945,800		25,556,828		-		35,502,628
Utilities		896,901		7,482,252		-		8,379,153
Total Common Stock		43,558,699		505,515,036		-		549,073,735
Preferred Stock
Consumer, Cyclical		-		1,839,789		-		1,839,789
Total Preferred Stock		-		1,839,789		-		1,839,789
Total Equities		43,558,699		507,354,825		-		550,913,524
Rights
Retail		16		-		-		16
Total Rights		16		-		-		16
Total Mutual Funds		14,565,380		-		-		14,565,380
Total Long-Term Investments		58,124,095		507,354,825		-		565,478,920
Total Short-Term Investments		-		5,016,618		-		5,016,618
Total Investments	$	58,124,095	$	512,371,443	$	-	$	570,495,538

211

Notes to Financial Statements (Unaudited) (Continued)

The following is the aggregate value by input level, as of June 30, 2013, 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	$	-	$	3,010,973	$	-	$	3,010,973
Futures Contracts
Interest Rate Risk		43,703		-		-		43,703
Swap Agreements
Credit Risk		-		52,117		-		52,117
Interest Rate Risk		-		15,406,472		-		15,406,472
Strategic Bond Fund
Forward Contracts
Foreign Exchange Risk		-		74,697		-		74,697
Futures Contracts
Interest Rate Risk		664,491		-		-		664,491
Swap Agreements
Credit Risk		-		23,381		-		23,381
Interest Rate Risk		-		22,640		-		22,640
Russell 2000 Small Cap Index Fund
Futures Contracts
Equity Risk		782		-		-		782
Diversified International Fund
Forward Contracts
Foreign Exchange Risk		-		396,294		-		396,294
MSCI EAFE International Index Fund
Forward Contracts
Foreign Exchange Risk		-		7,044		-		7,044
Overseas Fund
Forward Contracts
Foreign Exchange Risk		-		1,274,807		-		1,274,807

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	$	-		$	(4,210,639	)	$	-	$	(4,210,639	)
Futures Contracts
Interest Rate Risk		(2,262,308	)		-			-		(2,262,308	)
Swap Agreements
Credit Risk		-			(276,700	)		-		(276,700	)
Interest Rate Risk		-			(1,298,111	)		-		(1,298,111	)

212

Notes to Financial Statements (Unaudited) (Continued)

	Other Financial Instruments
	Level 1 — Quoted Prices			Level 2 — Other Significant Observable Inputs			Level 3 — Significant Unobservable Inputs		Total
PIMCO Total Return Fund (Continued)
Written Options
Interest Rate Risk	$	(452,500	)	$	(2,698,221	)	$	-	$	(3,150,721	)
Strategic Bond Fund
Forward Contracts
Foreign Exchange Risk		-			(127,631	)		-		(127,631	)
Futures Contracts
Interest Rate Risk		(313,868	)		-			-		(313,868	)
Written Options
Interest Rate Risk		(85,363	)		-			-		(85,363	)
S&P 500 Index Fund
Futures Contracts
Equity Risk		(448,015	)		-			-		(448,015	)
S&P Mid Cap Index Fund
Futures Contracts
Equity Risk		(2,508	)		-			-		(2,508	)
Diversified International Fund
Forward Contracts
Foreign Exchange Risk		-			(1,727,799	)		-		(1,727,799	)
MSCI EAFE International Index Fund
Forward Contracts
Foreign Exchange Risk		-			(7,046	)		-		(7,046	)
Futures Contracts
Equity Risk		(59,486	)		-			-		(59,486	)
Overseas Fund
Forward Contracts
Foreign Exchange Risk		-			(1,484,701	)		-		(1,484,701	)

The following tables show Funds with certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of June 30, 2013.

Statements of Assets and Liabilities location:	PIMCO Total Return Fund	Strategic Bond Fund
Receivables from:
Investments sold on a when-issued basis	X	X
Payables for:
Reverse repurchase agreements	X
Collateral pledged for open swap agreements	X
Investments purchased on a when-issued basis	X	X
Treasury roll transactions	X

Statements of Assets and Liabilities location:	Large Cap Value Fund	Fundamental Growth Fund	Growth Opportunities Fund	Small Company Value Fund	S&P Mid Cap Index Fund	Russell 2000 Small Cap Index Fund
Payables for:
Securities on loan	X	X	X	X	X	X

213

Notes to Financial Statements (Unaudited) (Continued)

Statements of Assets and Liabilities location:	Mid Cap Growth Equity II Fund	Small Cap Growth Equity Fund	Small Company Growth Fund	Diversified International Fund	MSCI EAFE International Index Fund	Overseas Fund
Payables for:
Securities on loan	X	X	X	X	X	X

The Funds had no transfers between Level 1 and Level 2 of the fair value hierarchy during the period ended June 30, 2013. 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 12/31/12			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 6/30/13		Net Change in Unrealized Appreciation (Depreciation) from Investments Still held as of 6/30/13
PIMCO Total Return Fund
Long-Term Investments
Bonds & Notes
Corporate Debt†	$	49,403,146		$	-	$	1,186,182		$	(1,210,627	)	$	-	$	(24,209,518	)	$	-	$	(24,162,187	)**	$	1,006,996	$	(3,048	)
Large Cap Value Fund
Long-Term Investments
Equities
Common Stock
Basic Materials	$	-	***	$	-	$	(6,323,701	)	$	6,323,701		$	-	$	-		$	-	$	-		$	-	$	-
Russell 2000 Small Cap Index Fund
Long-Term Investments
Equities
Common Stock
Energy	$	-	***	$	-	$	-		$	-		$	-	$	-	††	$	-	$	-		$	-	$	-
Mid Cap Growth Equity II Fund
Long-Term Investments
Equities
Common Stock
Communications	$	296,059		$	-	$	-		$	-		$	-	$	-		$	-	$	-		$	296,059	$	-
Preferred Stock
Communications		3,734,487			-		-			158,395			-		-			-		-			3,892,882		158,395
	$	4,030,546		$	-	$	-		$	158,395		$	-	$	-		$	-	$	-		$	4,188,941	$	158,395
Small Cap Growth Equity Fund
Long-Term Investments
Equities
Common Stock
Communications	$	300,294		$	-	$	-		$	-		$	-	$	-		$	-	$	-		$	300,294	$	-

214

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Balance as of 12/31/12		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 6/30/13		Net Change in Unrealized Appreciation (Depreciation) from Investments Still held as of 6/30/13
MSCI EAFE International Index Fund
Long-Term Investments
Equities
Rights
Consumer, Non-cyclical	$	3,727	$	-	$	399	$	(2,037	)	$	-	$	(1,992	)	$	-	$	-	$	97	$	97

* The Fund(s) recognize transfers between the Levels as of the beginning of the year.

** Transfers occurred between Level 3 and Level 2 as a result of changes in liquidity.

*** Represents security at $0 value as of December 31, 2012.

† Represents (i) an illiquid 144A security valued by a broker quote or vendor price or (ii) a restricted security issued by a non-public entity valued by a broker quote or vendor price.

†† Represents security at $0 value at the time of sale.

None of the unobservable inputs, individually or collectively, had a material impact on the Fund(s).

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, 2013, the following tables show 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	S&P 500 Index Fund	Growth Opportunities Fund
Foreign Currency Exchange Transactions*
Hedging/Risk Management	A	A
Directional Exposures to Currencies	A	A
Futures Contracts**
Hedging/Risk Management	A	A
Duration/Credit Quality Management	A	A
Substitution for Direct Investment	A	A	A
Interest Rate Swaps***
Hedging/Risk Management	A	A
Duration Management	A	A
Substitution for Direct Investment	A
Total Return Swaps****
Hedging/Risk Management		A
Duration/Credit Quality Management		A
Substitution for Direct Investment		A
Market Access		A

215

Notes to Financial Statements (Unaudited) (Continued)

Type of Derivative and Objective for Use	PIMCO Total Return Fund	Strategic Bond Fund	S&P 500 Index Fund	Growth Opportunities Fund
Credit Default Swaps (Protection Buyer)
Hedging/Risk Management	A	A
Duration/Credit Quality Management	A	A
Substitution for Direct Investment	A
Credit Default Swaps (Protection Seller)
Hedging/Risk Management	A
Duration/Credit Quality Management	A
Income	A
Substitution for Direct Investments	A
Options (Purchased)
Hedging/Risk Management		A
Duration/Credit Quality Management		A
Substitution for Direct Investment		M
Options (Written)
Hedging/Risk Management	A	A
Duration/Credit Quality Management	A	A
Income	A	A
Substitution for Direct Investment		M
Directional Investment		A
Rights and Warrants
Directional Investment		A		M
Result of a Corporate Action				A

Type of Derivative and Objective for Use	S&P Mid Cap Index Fund	Russell 2000 Small Cap Index Fund	Diversified International Fund	MSCI EAFE International Index Fund	Overseas Fund
Foreign Currency Exchange Transactions*
Hedging/Risk Management			A		A
Directional Exposures to Currencies				A
Futures Contracts**
Hedging/Risk Management			A		A
Substitution for Direct Investment	A	A	M	A	M
Rights and Warrants
Result of a Corporate Action		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.

216

Notes to Financial Statements (Unaudited) (Continued)

At June 30, 2013, 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*	$	-		$	-	$	3,010,973		$	-		$	3,010,973
Futures Contracts^^		-			-		-			43,703			43,703
Swap Agreements*,^^		52,117			-		-			15,406,472			15,458,589
Total Value	$	52,117		$	-	$	3,010,973		$	15,450,175		$	18,513,265
Liability Derivatives
Forward Contracts^	$	-		$	-	$	(4,210,639	)	$	-		$	(4,210,639	)
Futures Contracts^^		-			-		-			(2,262,308	)		(2,262,308	)
Swap Agreements^,^^		(276,700	)		-		-			(1,298,111	)		(1,574,811	)
Written Options^		-			-		-			(3,150,721	)		(3,150,721	)
Total Value	$	(276,700	)	$	-	$	(4,210,639	)	$	(6,711,140	)	$	(11,198,479	)
Realized Gain (Loss)#
Forward Contracts	$	-		$	-	$	8,001,115		$	-		$	8,001,115
Futures Contracts		-			-		-			(2,071,804	)		(2,071,804	)
Swap Agreements		(76,805	)		-		-			3,891,585			3,814,780
Written Options		-			-		-			778,455			778,455
Total Realized Gain (Loss)	$	(76,805	)	$	-	$	8,001,115		$	2,598,236		$	10,522,546
Change in Appreciation (Depreciation)##
Forward Contracts	$	-		$	-	$	250,067		$	-		$	250,067
Futures Contracts		-			-		-			(2,354,098	)		(2,354,098	)
Swap Agreements		(1,511,067	)		-		-			3,163,752			1,652,685
Written Options		-			-		-			(2,599,456	)		(2,599,456	)
Total Change in Appreciation (Depreciation)	$	(1,511,067	)	$	-	$	250,067		$	(1,789,802	)	$	(3,050,802	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-		$	-	$	501,220,726		$	-		$	501,220,726
Futures Contracts		-			-		-			2,682			2,682
Swap Agreements	$	133,054,667		$	-	$	-		$	472,533,333		$	605,588,000
Written Options		-			-		-			259,600,151			259,600,151
Strategic Bond Fund
Asset Derivatives
Forward Contracts*	$	-		$	-	$	74,697		$	-		$	74,697
Futures Contracts^^		-			-		-			664,491			664,491
Swap Agreements*		23,381			-		-			22,640			46,021
Purchased Options*		-			-		-	+		32,648			32,648
Warrants*		-			7,456		-			-			7,456
Total Value	$	23,381		$	7,456	$	74,697		$	719,779		$	825,313

217

Notes to Financial Statements (Unaudited) (Continued)

	Credit Risk			Equity Risk			Foreign Exchange Risk			Interest Rate Risk			Total
Strategic Bond Fund (Continued)
Liability Derivatives
Forward Contracts^	$	-		$	-		$	(127,631	)	$	-		$	(127,631	)
Futures Contracts^^		-			-			-			(313,868	)		(313,868	)
Written Options^		-			-			-			(85,363	)		(85,363	)
Total Value	$	-		$	-		$	(127,631	)	$	(399,231	)	$	(526,862	)
Realized Gain (Loss)#
Forward Contracts	$	-		$	-		$	388,846		$	-		$	388,846
Futures Contracts		-			-			-			485,530			485,530
Swap Agreements		(52,701	)		-			-			36,513			(16,188	)
Purchased Options		-			-			-			(31,144	)		(31,144	)
Written Options		-			-			27,544			5,063			32,607
Total Realized Gain (Loss)	$	(52,701	)	$	-		$	416,390		$	495,962		$	859,651
Change in Appreciation (Depreciation)##
Forward Contracts	$	-		$	-		$	(168	)	$	-		$	(168	)
Futures Contracts		-			-			-			329,158			329,158
Swap Agreements		(3,356	)		-			-			11,173			7,817
Purchased Options		-			-			(40,659	)		38,502			(2,157	)
Written Options		-			-			-			(65,177	)		(65,177	)
Warrants		-			3,643			-			-			3,643
Total Change in Appreciation (Depreciation)	$	(3,356	)	$	3,643		$	(40,827	)	$	313,656		$	273,116
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-		$	-		$	12,961,963		$	-		$	12,961,963
Futures Contracts		-			-			-			383			383
Swap Agreements	$	1,200,000		$	-		$	-		$	6,163,941		$	7,363,941
Purchased Options		-			-			34,900			119			35,019
Written Options		-			-			-			70			70
Warrants		-			258			-			-			258
S&P 500 Index Fund
Liability Derivatives
Futures Contracts^^	$	-		$	(448,015	)	$	-		$	-		$	(448,015	)
Realized Gain (Loss)#
Futures Contracts	$	-		$	7,200,488		$	-		$	-		$	7,200,488
Change in Appreciation (Depreciation)##
Futures Contracts	$	-		$	(444,433	)	$	-		$	-		$	(444,433	)
Number of Contracts, Notional Amounts or Shares/Units†
Futures Contracts		-			258			-			-			258
Growth Opportunities Fund
Asset Derivatives
Warrants*	$	-		$	667,069		$	-		$	-		$	667,069
Change in Appreciation (Depreciation)##
Warrants	$	-		$	166,239		$	-		$	-		$	166,239

218

Notes to Financial Statements (Unaudited) (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
Growth Opportunities Fund (Continued)
Number of Contracts, Notional Amounts or Shares/Units†
Warrants		-		127,442			-			-		127,442
S&P Mid Cap Index Fund
Liability Derivatives
Futures Contracts^^	$	-	$	(2,508	)	$	-		$	-	$	(2,508	)
Realized Gain (Loss)#
Futures Contracts	$	-	$	449,327		$	-		$	-	$	449,327
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	(38,846	)	$	-		$	-	$	(38,846	)
Number of Contracts, Notional Amounts or Shares/Units†
Futures Contracts		-		27			-			-		27
Russell 2000 Small Cap Index Fund
Asset Derivatives
Futures Contracts^^	$	-	$	782		$	-		$	-	$	782
Rights*		-		262			-			-		262
Total Value	$	-	$	1,044		$	-		$	-	$	1,044
Realized Gain (Loss)#
Futures Contracts	$	-	$	507,165		$	-		$	-	$	507,165
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	(66,877	)	$	-		$	-	$	(66,877	)
Rights		-		262			-			-		262
Total Change in Appreciation (Depreciation)	$	-	$	(66,615	)	$	-		$	-	$	(66,615	)
Number of Contracts, Notional Amounts or Shares/Units†
Futures Contracts		-		36			-			-		36
Rights		-		1,583			-			-		1,583
Diversified International Fund
Asset Derivatives
Forward Contracts*	$	-	$	-		$	396,294		$	-	$	396,294
Liability Derivatives
Forward Contracts^	$	-	$	-		$	(1,727,799	)	$	-	$	(1,727,799	)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	1,006,292		$	-	$	1,006,292
Futures Contracts		-		316,774			-			-		316,774
Rights		-		(4,442	)		-			-		(4,442	)
Total Realized Gain (Loss)	$	-	$	312,332		$	1,006,292		$	-	$	1,318,624

219

Notes to Financial Statements (Unaudited) (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
Diversified International Fund (Continued)
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	(1,746,463	)	$	-	$	(1,746,463	)
Futures Contracts		-		(59,266	)		-			-		(59,266	)
Rights		-		811			-			-		811
Total Change in Appreciation (Depreciation)	$	-	$	(58,455	)	$	(1,746,463	)	$	-	$	(1,804,918	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-	$	-		$	53,795,808		$	-	$	53,795,808
Futures Contracts		-		51			-			-		51
Rights		-		202,546			-			-		202,546
MSCI EAFE International Index Fund
Asset Derivatives
Forward Contracts*	$	-	$	-		$	7,044		$	-	$	7,044
Rights*		-		7,403			-			-		7,403
Total Value	$	-	$	7,403		$	7,044		$	-	$	14,447
Liability Derivatives
Forward Contracts^	$	-	$	-		$	(7,046	)	$	-	$	(7,046	)
Futures Contracts^^		-		(59,486	)		-			-		(59,486	)
Total Value	$	-	$	(59,486	)	$	(7,046	)	$	-	$	(66,532	)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	(95,016	)	$	-	$	(95,016	)
Futures Contracts		-		180,931			-			-		180,931
Rights		-		(2,651	)		-			-		(2,651	)
Total Realized Gain (Loss)	$	-	$	178,280		$	(95,016	)	$	-	$	83,264
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	8,188		$	-	$	8,188
Futures Contracts		-		(106,080	)		-			-		(106,080	)
Rights		-		(2,334	)		-			-		(2,334	)
Total Change in Appreciation (Depreciation)	$	-	$	(108,414	)	$	8,188		$	-	$	(100,226	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-	$	-		$	2,617,833		$	-	$	2,617,833
Futures Contracts		-		30			-			-		30
Rights		-		50,759			-			-		50,759
Overseas Fund
Asset Derivatives
Forward Contracts*	$	-	$	-		$	1,274,807		$	-	$	1,274,807
Rights*		-		16			-			-		16
Total Value	$	-	$	16		$	1,274,807		$	-	$	1,274,823
Liability Derivatives
Forward Contracts^	$	-	$	-		$	(1,484,701	)	$	-	$	(1,484,701	)

220

Notes to Financial Statements (Unaudited) (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
Overseas Fund (Continued)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	2,802,057		$	-	$	2,802,057
Futures Contracts		-		120,674			-			-		120,674
Rights		-		420			-			-		420
Total Realized Gain (Loss)	$	-	$	121,094		$	2,802,057		$	-	$	2,923,151
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	(1,494,204	)	$	-	$	(1,494,204	)
Futures Contracts		-		(42,292	)		-			-		(42,292	)
Rights		-		736			-			-		736
Total Change in Appreciation (Depreciation)	$	-	$	(41,556	)	$	(1,494,204	)	$	-	$	(1,535,760	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-	$	-		$	78,472,283		$	-	$	78,472,283
Futures Contracts		-		14			-			-		14
Rights		-		689,480			-			-		689,480

* 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: open forward foreign currency contracts, open swap agreements, at value, or written options outstanding, at value, as applicable.

^^ Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” 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 average number of contracts for futures contracts, notional amounts for forward contracts and swap agreements, or shares/units outstanding for written options, purchased 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, 2013.

+ Represents security at $0 value as of June 30, 2013.

The following table presents the Fund(s) derivative assets by counterparty net of amounts available for offset under a master netting agreement, or similar agreement, and net of the related collateral received by the Fund(s) as of June 30, 2013.

Counterparty	Gross Assets in Statements of Assets and Liabilities		Derivative Assets/(Liabilities) Available for Offset			Collateral Received***			Net Amount of Derivative Assets*
PIMCO Total Return Fund
Barclays Bank PLC	$	1,570,023	$	(977,653	)	$	(280,000	)	$	312,370
Credit Suisse Securities LLC		12,673		(12,673	)		-			-
Goldman Sachs & Co.		571,205		(571,205	)		-			-
JP Morgan Chase Bank		110,730		(110,730	)		-			-
Royal Bank of Scotland PLC		377,290		(377,290	)		-			-
UBS AG		429,449		(429,449	)		-			-
	$	3,071,370	$	(2,479,000	)	$	(280,000	)	$	312,370

221

Notes to Financial Statements (Unaudited) (Continued)

Counterparty	Gross Assets in Statements of Assets and Liabilities		Derivative Assets/(Liabilities) Available for Offset		Collateral Received***		Net Amount of Derivative Assets*
Strategic Bond Fund
Barclays Bank PLC	$	39,658	$	-	$	-	$	39,658

The following table presents the Fund(s) derivative liabilities by counterparty net of amounts available for offset under a master netting agreement, or similar agreement, and net of the related collateral pledged by the Fund(s) as of June 30, 2013.

Counterparty	Gross Liabilities in Statements of Assets and Liabilities		Derivative Assets/(Liabilities) Available for Offset			Collateral Pledged***			Net Amount of Derivative Liabilities**
PIMCO Total Return Fund
Barclays Bank PLC	$	977,653	$	(977,653	)	$	-		$	-
Credit Suisse Securities LLC		262,538		(12,673	)		-			249,865
Goldman Sachs & Co.		1,661,291		(571,205	)		(1,089,177	)		909
JP Morgan Chase Bank		243,594		(110,730	)		(132,864	)		-
Royal Bank of Scotland PLC		1,168,903		(377,290	)		(791,613	)		-
UBS AG		3,350,999		(429,449	)		(2,788,260	)		133,290
	$	7,664,978	$	(2,479,000	)	$	(4,801,914	)	$	384,064

* Represents the net amount receivable from the counterparty in the event of default.

** Represents the net amount payable to the counterparty in the event of default.

*** The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0.

Further details regarding the derivatives and other investments held by the Funds during the period ended June 30, 2013, are discussed below.

Foreign Currency Exchange Transactions

A Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.

A Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.

Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.

222

Notes to Financial Statements (Unaudited) (Continued)

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.

The Fund(s) listed in the following table had open forward foreign currency contracts at June 30, 2013. A Fund’s current exposure to a counterparty is typically the unrealized appreciation on 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		3,806,000	Euro		7/02/13	$	5,070,142	$	4,954,078	$	(116,064	)
	Barclays Bank PLC		583,600,000	Japanese Yen		7/18/13		6,071,641		5,884,601		(187,040	)
	Barclays Bank PLC		1,826,100	Malaysian Ringgit		7/15/13		600,000		577,453		(22,547	)
								11,741,783		11,416,132		(325,651	)
	Credit Suisse Securities LLC		1,715,000	British Pound		7/02/13		2,683,360		2,608,429		(74,931	)
	Credit Suisse Securities LLC		4,441,000	Euro		7/02/13		5,767,952		5,780,625		12,673
	Credit Suisse Securities LLC		992,200,000	Indonesian Rupiah		8/12/13		100,000		99,527		(473	)
	Credit Suisse Securities LLC		397,800,000	Japanese Yen		7/18/13		4,079,276		4,011,127		(68,149	)
	Credit Suisse Securities LLC		913,800	Malaysian Ringgit		7/15/13		300,000		288,964		(11,036	)
								12,930,588		12,788,672		(141,916	)
	Goldman Sachs & Co.		23,054,000	British Pound		7/02/13		35,599,987		35,063,971		(536,016	)
	JP Morgan Chase Bank		12,233,000	Euro		7/02/13		15,838,212		15,923,078		84,866
	JP Morgan Chase Bank		2,976,000,000	Indonesian Rupiah		8/12/13		300,000		298,522		(1,478	)
	JP Morgan Chase Bank		38,938,640	Japanese Yen		7/12/13		403,092		392,620		(10,472	)
								16,541,304		16,614,220		72,916
	Royal Bank of Scotland PLC		24,890,000	Euro		8/02/13		32,765,121		32,402,037		(363,084	)
	UBS AG		22,737,285	Brazilian Real		8/02/13		11,190,710		10,118,727		(1,071,983	)
	UBS AG		1,295,000	British Pound		7/02/13		2,032,082		1,969,630		(62,452	)
	UBS AG		4,410,000	Euro		7/02/13		5,846,203		5,740,274		(105,929	)
	UBS AG		248,821,868	Mexican Peso		9/18/13		20,275,662		19,070,977		(1,204,685	)
								39,344,657		36,899,608		(2,445,049	)
							$	148,923,440	$	145,184,640	$	(3,738,800	)

223

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
	Barclays Bank PLC		44,552,000	Canadian Dollar		9/23/13	$	43,749,632	$	42,277,431	$	1,472,201
	Barclays Bank PLC		456,800,000	Japanese Yen		7/18/13		4,663,370		4,606,041		57,329
	Barclays Bank PLC		32,827,128	Mexican Peso		9/18/13		2,538,571		2,516,038		22,533
								50,951,573		49,399,510		1,552,063
	Credit Suisse Securities LLC		700,000	Euro		6/02/14		887,600		912,921		(25,321	)
	Goldman Sachs & Co.		23,054,000	British Pound		8/02/13		35,592,725		35,056,594	��	536,131
	JP Morgan Chase Bank		927,750	Malaysian Ringgit		7/15/13		300,000		293,375		6,625
	JP Morgan Chase Bank		29,509,519	Mexican Peso		9/18/13		2,281,000		2,261,761		19,239
								2,581,000		2,555,136		25,864
	Royal Bank of Scotland PLC		26,064,000	British Pound		7/02/13		39,349,238		39,642,029		(292,791	)
	Royal Bank of Scotland PLC		24,890,000	Euro		7/02/13		32,760,218		32,398,055		362,163
	Royal Bank of Scotland PLC		732,804,000	Japanese Yen		7/18/13		7,404,192		7,389,065		15,127
								79,513,648		79,429,149		84,499
	UBS AG		1,200,000	Euro		9/04/13		1,514,844		1,562,407		(47,563	)
	UBS AG		35,854,658	Euro		9/20/13		47,094,197		46,686,528		407,669
	UBS AG		3,968,200,000	Indonesian Rupiah		8/12/13		400,707		398,049		2,658
	UBS AG		1,812,150	Malaysian Ringgit		7/15/13		584,801		573,042		11,759
	UBS AG		27,536,319	Mexican Peso		9/18/13		2,101,899		2,110,524		(8,625	)
								51,696,448		51,330,550		365,898
							$	221,222,994	$	218,683,860	$	2,539,134
Strategic Bond Fund
BUYS
	Citibank N.A.		165,300,000	Japanese Yen		8/16/13	$	1,665,198	$	1,666,967	$	1,769
	Citibank N.A.		36,200,000	Philippine Peso		8/02/13		880,393		837,593		(42,800	)
								2,545,591		2,504,560		(41,031	)
	JP Morgan Chase Bank		1,780,000	Brazilian Real		8/15/13		875,209		790,378		(84,831	)
							$	3,420,800	$	3,294,938	$	(125,862	)
SELLS
	Barclays Bank PLC		87,063,000	Japanese Yen		8/16/13	$	881,633	$	877,985	$	3,648

224

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 Bond Fund (continued)
SELLS (continued)
	Citibank N.A.		1,122,000	British Pound		8/16/13	$	1,738,567	$	1,705,994	$	32,573
	Citibank N.A.		1,448,898	Euro		8/16/13		1,902,722		1,886,310		16,412
	Citibank N.A.		332,424,000	Japanese Yen		8/16/13		3,354,778		3,352,328		2,450
								6,996,067		6,944,632		51,435
	Morgan Stanley & Co.		1,270,000	Euro		8/16/13		1,668,094		1,653,404		14,690
	UBS AG		466,893	Euro		8/16/13		611,000		607,845		3,155
							$	10,156,794	$	10,083,866	$	72,928
Diversified International Fund
BUYS
	Australia and New Zealand Banking Group		265,209	British Pound		7/10/13	$	410,507	$	403,348	$	(7,159	)
	Australia and New Zealand Banking Group		329,582	Euro		7/10/13		432,810		429,014		(3,796	)
								843,317		832,362		(10,955	)
	Barclays Bank PLC		738,487	Euro		7/10/13		961,130		961,282		152
	Barclays Bank PLC		326,249	Euro		10/08/13		424,878		424,848		(30	)
	Barclays Bank PLC		6,616,892	Swedish Krona		7/10/13		1,006,074		986,513		(19,561	)
								2,392,082		2,372,643		(19,439	)
	Citibank N.A.		2,430,490	Swedish Krona		7/10/13		368,408		362,362		(6,046	)
	Credit Suisse Securities LLC		276,727	British Pound		7/10/13		424,793		420,865		(3,928	)
	Credit Suisse Securities LLC		91,437,914	Japanese Yen		7/10/13		915,075		921,968		6,893
								1,339,868		1,342,833		2,965
	Goldman Sachs & Co.		593,418	British Pound		7/10/13		903,776		902,510		(1,266	)
	Goldman Sachs & Co.		274,961	Euro		7/10/13		354,343		357,915		3,572
	Goldman Sachs & Co.		3,594,761	Singapore Dollar		7/10/13		2,900,404		2,836,150		(64,254	)
	Goldman Sachs & Co.		9,593,486	Swedish Krona		7/10/13		1,475,430		1,430,294		(45,136	)
								5,633,953		5,526,869		(107,084	)
	Merrill Lynch International		183,670,276	Japanese Yen		7/10/13		1,808,234		1,851,943		43,709
	Morgan Stanley & Co.		10,754,092	Australian Dollar		7/10/13		11,127,786		9,829,372		(1,298,414	)
	Morgan Stanley & Co.		584,724	Swiss Franc		7/10/13		622,175		619,093		(3,082	)
								11,749,961		10,448,465		(1,301,496	)

225

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)
	Royal Bank of Canada		69,033,709	Japanese Yen		7/10/13	$	708,067	$	696,066	$	(12,001	)
	Royal Bank of Scotland PLC		271,645	British Pound		7/10/13		409,464		413,136		3,672
	Royal Bank of Scotland PLC		1,571,855	Euro		7/10/13		2,027,280		2,046,069		18,789
								2,436,744		2,459,205		22,461
	State Street Bank and Trust Co.		675,904	British Pound		7/10/13		1,041,284		1,027,961		(13,323	)
	State Street Bank and Trust Co.		432,720	Euro		7/10/13		565,933		563,268		(2,665	)
	State Street Bank and Trust Co.		3,780,555	Hong Kong Dollar		7/10/13		487,245		487,446		201
	State Street Bank and Trust Co.		378,068	Swiss Franc		7/10/13		390,420		400,289		9,869
								2,484,882		2,478,964		(5,918	)
	Toronto Dominion Bank		4,105,030	Hong Kong Dollar		7/10/13		528,978		529,282		304
	UBS AG		2,143,238	Norwegian Krone		7/10/13		371,030		352,738		(18,292	)
	Westpac Banking Corp.		909,682	Euro		7/10/13		1,193,630		1,184,124		(9,506	)
	Westpac Banking Corp.		5,563,027	Hong Kong Dollar		7/10/13		717,312		717,269		(43	)
	Westpac Banking Corp.		49,930,851	Japanese Yen		7/10/13		503,620		503,452		(168	)
								2,414,562		2,404,845		(9,717	)
							$	33,080,086	$	31,658,577	$	(1,421,509	)
SELLS
	Barclays Bank PLC		519,781	British Pound		10/08/13	$	792,907	$	790,061	$	2,846
	BNP Paribas SA		214,531	British Pound		7/10/13		331,394		326,273		5,121
	BNP Paribas SA		378,087	Euro		7/10/13		491,786		492,152		(366	)
								823,180		818,425		4,755
	Citibank N.A.		1,449,276	Euro		7/10/13		1,870,990		1,886,509		(15,519	)
	Citibank N.A.		554,351	Swiss Franc		7/10/13		584,783		586,935		(2,152	)
								2,455,773		2,473,444		(17,671	)
	Credit Suisse Securities LLC		78,000,366	Japanese Yen		7/10/13		800,944		786,475		14,469
	Goldman Sachs & Co.		644,019	British Pound		7/10/13		973,419		979,467		(6,048	)
	Goldman Sachs & Co.		6,279,242	Euro		7/10/13		8,135,160		8,173,630		(38,470	)
	Goldman Sachs & Co.		29,719,550	Hong Kong Dollar		7/10/13		3,829,197		3,831,892		(2,695	)

226

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)
	Goldman Sachs & Co.		166,224,618	Japanese Yen		7/10/13	$	1,681,918	$	1,676,039	$	5,879
								14,619,694		14,661,028		(41,334	)
	Morgan Stanley & Co.		525,611	Canadian Dollar		7/10/13		517,610		499,679		17,931
	Royal Bank of Canada		621,624	Euro		7/10/13		808,087		809,162		(1,075	)
	Royal Bank of Scotland PLC		1,000,553	Australian Dollar		7/10/13		962,109		914,518		47,591
	State Street Bank and Trust Co.		442,134	Euro		7/10/13		578,130		575,522		2,608
	State Street Bank and Trust Co.		138,152,724	Japanese Yen		7/10/13		1,410,058		1,392,991		17,067
								1,988,188		1,968,513		19,675
	UBS AG		463,951	British Pound		7/10/13		704,749		705,608		(859	)
	UBS AG		357,692,939	Japanese Yen		7/10/13		3,720,511		3,606,610		113,901
								4,425,260		4,312,218		113,042
	Westpac Banking Corp.		1,204,925	British Pound		7/10/13		1,826,312		1,832,530		(6,218	)
	Westpac Banking Corp.		242,852	Euro		7/10/13		317,932		316,118		1,814
	Westpac Banking Corp.		73,801,870	Japanese Yen		7/10/13		757,672		744,143		13,529
	Westpac Banking Corp.		799,968	Swiss Franc		7/10/13		859,162		846,987		12,175
								3,761,078		3,739,778		21,300
							$	31,954,830	$	31,773,301	$	181,529
Cross Currency Forwards
	Barclays Bank PLC		282,825	USD/British Pound		7/10/13	$	428,919	$	430,140	$	1,221
			334,026	Euro/USD		7/10/13		428,919		434,799		(5,880	)
									$	864,939	$	(4,659	)
	Credit Suisse Securities LLC		365,573	USD/Euro		7/10/13	$	475,556	$	475,863	$	307
			46,946,958	Japanese Yen/USD		7/10/13		475,556		473,365		2,191
									$	949,228	$	2,498
	Credit Suisse Securities LLC		40,343,082	USD/Japanese Yen		7/10/13	$	416,574	$	406,778	$	(9,796	)
			314,157	Euro/USD		7/10/13		416,574		408,935		7,639
									$	815,713	$	(2,157	)
	Goldman Sachs & Co.		409,876	USD/British Pound		7/10/13	$	631,250	$	623,366	$	(7,884	)
			62,686,784	Japanese Yen/USD		7/10/13		631,250		632,069		(819	)
									$	1,255,435	$	(8,703	)

227

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)
Cross Currency Forwards (Continued)
	Goldman Sachs & Co.		1,811,496	USD/British Pound		7/10/13	$	2,789,888	$	2,755,045	$	(34,843	)
			2,633,572	Swiss Franc/ USD		7/10/13		2,789,888		2,788,366		1,522
									$	5,543,411	$	(33,321	)
	State Street Bank and Trust Co.		48,657,746	USD/Japanese Yen		7/10/13	$	492,762	$	490,615	$	(2,147	)
			538,935	Australian Dollar/USD		7/10/13		492,762		492,593		169
									$	983,208	$	(1,978	)
	State Street Bank and Trust Co.		312,060	USD/British Pound		7/10/13	$	475,517	$	474,602	$	(915	)
			45,649,073	Japanese Yen/USD		7/10/13		475,517		460,279		15,238
									$	934,881	$	14,323
	Westpac Banking Corp.		598,338	USD/Australian Dollar		7/10/13	$	613,327	$	546,888	$	(66,439	)
			394,383	British Pound/USD		7/10/13		613,327		599,804		13,523
									$	1,146,692	$	(52,916	)
	Westpac Banking Corp.		1,795,449	USD/Norwegian Krone		7/10/13	$	312,502	$	295,498	$	(17,004	)
			328,344	Australian Dollar/USD		7/10/13		312,502		300,110		12,392
									$	595,608	$	(4,612	)
MSCI EAFE International Index Fund
BUYS
	Citibank N.A.		159,422	Euro		9/18/13	$	210,000	$	207,583	$	(2,417	)
	Citibank N.A.		22,539,287	Japanese Yen		9/18/13		230,000		227,337		(2,663	)
	Citibank N.A.		9,240	Swiss Franc		9/18/13		10,000		9,789		(211	)
								450,000		444,709		(5,291	)
	Goldman Sachs & Co.		6,377	British Pound		9/18/13		10,000		9,694		(306	)
	Goldman Sachs & Co.		44,967	Euro		9/18/13		60,000		58,551		(1,449	)
								70,000		68,245		(1,755	)
							$	520,000	$	512,954	$	(7,046	)
SELLS
	Morgan Stanley & Co.		13,181,896	Japanese Yen		9/18/13	$	140,000	$	132,956	$	7,044
Overseas Fund
BUYS
	Barclays Bank PLC		448,244	Euro		7/10/13	$	583,382	$	583,475	$	93

228

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)
	Barclays Bank PLC		525,656	Euro		10/08/13	$	684,570	$	684,521	$	(49	)
	Barclays Bank PLC		4,820,234	Swedish Krona		7/10/13		733,405		718,649		(14,756	)
								2,001,357		1,986,645		(14,712	)
	BNP Paribas SA		9,261,010	Australian Dollar		7/10/13		9,587,955		8,464,676		(1,123,279	)
	BNP Paribas SA		569,123	Swiss Franc		7/10/13		605,839		602,575		(3,264	)
								10,193,794		9,067,251		(1,126,543	)
	Credit Suisse Securities LLC		388,068	British Pound		7/10/13		595,707		590,199		(5,508	)
	Credit Suisse Securities LLC		88,385,833	Japanese Yen		7/10/13		884,808		891,192		6,384
								1,480,515		1,481,391		876
	Goldman Sachs & Co.		1,732,224	Norwegian Krone		7/10/13		299,936		285,093		(14,843	)
	Merrill Lynch International		70,398,771	Japanese Yen		7/10/13		693,076		709,829		16,753
	Morgan Stanley & Co.		596,244	British Pound		7/10/13		907,987		906,808		(1,179	)
	Royal Bank of Canada		356,845	British Pound		7/10/13		547,590		542,713		(4,877	)
	Royal Bank of Canada		825,991	Euro		7/10/13		1,081,621		1,075,185		(6,436	)
	Royal Bank of Canada		120,448,896	Japanese Yen		7/10/13		1,225,186		1,214,483		(10,703	)
	Royal Bank of Canada		324,359	Swiss Franc		7/10/13		349,135		343,424		(5,711	)
								3,203,532		3,175,805		(27,727	)
	Royal Bank of Scotland PLC		665,135	Australian Dollar		7/10/13		657,024		607,942		(49,082	)
	Royal Bank of Scotland PLC		441,613	British Pound		7/10/13		674,290		671,635		(2,655	)
	Royal Bank of Scotland PLC		555,239	Euro		7/10/13		719,742		722,749		3,007
								2,051,056		2,002,326		(48,730	)
	Societe General		639,666	Euro		7/10/13		824,090		832,648		8,558
	State Street Bank and Trust Co.		1,650,000	Swedish Krona		9/18/13		252,603		245,618		(6,985	)
	State Street Bank and Trust Co.		1,790,000	Swiss Franc		9/18/13		1,843,081		1,896,407		53,326
								2,095,684		2,142,025		46,341

229

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		3,648,916	Hong Kong Dollar		7/10/13	$	470,202	$	470,473	$	271
	Toronto Dominion Bank		249,387	Swiss Franc		10/08/13		264,024		264,267		243
								734,226		734,740		514
	UBS AG		197,946	British Pound		7/10/13		306,388		301,050		(5,338	)
	UBS AG		308,553	Euro		7/10/13		404,969		401,640		(3,329	)
	UBS AG		3,349,611	Hong Kong Dollar		7/10/13		431,715		431,882		167
	UBS AG		55,154,112	Japanese Yen		7/10/13		537,356		556,118		18,762
	UBS AG		2,978,566	Singapore Dollar		7/10/13		2,403,930		2,349,991		(53,939	)
	UBS AG		8,271,911	Swedish Krona		7/10/13		1,273,162		1,233,260		(39,902	)
	UBS AG		297,990	Swiss Franc		7/10/13		307,765		315,505		7,740
								5,665,285		5,589,446		(75,839	)
	Westpac Banking Corp.		466,845	Euro		7/10/13		612,609		607,687		(4,922	)
	Westpac Banking Corp.		4,932,443	Hong Kong Dollar		7/10/13		636,003		635,965		(38	)
								1,248,612		1,243,652		(4,960	)
							$	31,399,150	$	30,157,659	$	(1,241,491	)
SELLS
	Australia and New Zealand Banking Group		92,609,947	Japanese Yen		7/10/13	$	923,726	$	933,784	$	(10,058	)
	Barclays Bank PLC		322,898	British Pound		10/08/13		492,569		490,801		1,768
	Barclays Bank PLC		284,297	Euro		7/10/13		365,708		370,067		(4,359	)
								858,277		860,868		(2,591	)
	BNP Paribas SA		996,974	British Pound		7/10/13		1,520,295		1,516,265		4,030
	BNP Paribas SA		427,266	Canadian Dollar		7/10/13		420,808		406,186		14,622
	BNP Paribas SA		685,388	Euro		7/10/13		891,708		892,164		(456	)
								2,832,811		2,814,615		18,196
	Citibank N.A.		282,539	Australian Dollar		7/10/13		287,552		258,244		29,308
	Citibank N.A.		454,988	British Pound		7/10/13		697,686		691,976		5,710
	Citibank N.A.		1,099,514	Euro		7/10/13		1,429,034		1,431,228		(2,194	)
	Citibank N.A.		68,984,755	Japanese Yen		7/10/13		695,995		695,572		423
								3,110,267		3,077,020		33,247
	Credit Suisse Securities LLC		538,774	Australian Dollar		7/10/13		498,868		492,446		6,422
	Credit Suisse Securities LLC		25,992,133	Japanese Yen		7/10/13		274,175		262,078		12,097
	Credit Suisse Securities LLC		609,045	Swiss Franc		7/10/13		657,881		644,843		13,038
								1,430,924		1,399,367		31,557

230

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)
	Goldman Sachs & Co.		380,901	Australian Dollar		7/10/13	$	367,131	$	348,148	$	18,983
	Goldman Sachs & Co.		325,683,315	Japanese Yen		7/10/13		3,396,009		3,283,857		112,152
								3,763,140		3,632,005		131,135
	Morgan Stanley & Co.		5,085,551	Euro		7/10/13		6,573,619		6,619,815		(46,196	)
	Morgan Stanley & Co.		28,027,990	Hong Kong Dollar		7/10/13		3,611,188		3,613,791		(2,603	)
								10,184,807		10,233,606		(48,799	)
	State Street Bank and Trust Co.		4,530,000	Australian Dollar		12/18/13		4,608,369		4,094,541		513,828
	State Street Bank and Trust Co.		278,375	British Pound		7/10/13		423,862		423,371		491
	State Street Bank and Trust Co.		802,710	Euro		7/10/13		1,047,588		1,044,880		2,708
	State Street Bank and Trust Co.		68,023,109	Japanese Yen		7/10/13		701,169		685,875		15,294
	State Street Bank and Trust Co.		206,000,000	Japanese Yen		8/19/13		2,172,102		2,077,435		94,667
	State Street Bank and Trust Co.		14,130,000	Swedish Krona		9/18/13		2,117,952		2,103,384		14,568
	State Street Bank and Trust Co.		648,368	Swiss Franc		7/10/13		694,623		686,478		8,145
	State Street Bank and Trust Co.		7,300,000	Swiss Franc		9/18/13		7,924,446		7,733,949		190,497
								19,690,111		18,849,913		840,198
	UBS AG		379,653	British Pound		7/10/13		576,698		577,401		(703	)
	UBS AG		267,559	Swiss Franc		7/10/13		280,751		283,285		(2,534	)
								857,449		860,686		(3,237	)
	Westpac Banking Corp.		507,412	British Pound		7/10/13		777,857		771,707		6,150
	Westpac Banking Corp.		122,831,790	Japanese Yen		7/10/13		1,250,674		1,238,510		12,164
								2,028,531		2,010,217		18,314
							$	45,680,043	$	44,672,081	$	1,007,962
Cross Currency Forwards
	Citibank N.A.		299,802	USD/Euro		7/10/13	$	396,203	$	390,249	$	(5,954	)
			256,362	British Pound/USD		7/10/13		396,203		389,892		6,311
									$	780,141	$	357
	Credit Suisse Securities LLC		33,649,961	USD/Japanese Yen		7/10/13	$	338,327	$	339,292	$	965
			260,525	Euro/USD		7/10/13		338,327		339,123		(796	)
									$	678,415	$	169

231

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)
	Credit Suisse Securities LLC		260,231	USD/British Pound		7/10/13	$	399,128	$	395,776	$	(3,352	)
			39,242,634	Japanese Yen/USD		7/10/13		399,128		395,683		3,445
									$	791,459	$	93
	Goldman Sachs & Co.		38,637,066	USD/Japanese Yen		7/10/13	$	405,852	$	389,577	$	(16,275	)
			305,385	Euro/USD		7/10/13		405,852		397,517		8,335
									$	787,094	$	(7,940	)
	Goldman Sachs & Co.		616,692	USD/British Pound		7/10/13	$	944,063	$	937,906	$	(6,157	)
			996,614	Australian Dollar/USD		7/10/13		944,063		910,918		33,145
									$	1,848,824	$	26,988
	Royal Bank of Scotland PLC		1,587,866	USD/British Pound		7/10/13	$	2,430,784	$	2,414,933	$	(15,851	)
			2,305,680	Swiss Franc/USD		7/10/13		2,430,784		2,441,202		(10,418	)
									$	4,856,135	$	(26,269	)
	State Street Bank and Trust Co.		365,313	USD/Euro		7/10/13	$	466,615	$	475,525	$	8,910
			44,162,327	Japanese Yen/USD		7/10/13		466,615		445,288		21,327
									$	920,813	$	30,237

Futures Contracts

A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts and related options.

Futures Contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed-income security, during a specified future period at a specified price. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.

Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the

232

Notes to Financial Statements (Unaudited) (Continued)

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.

Options on Futures Contracts. If a Fund buys an option on a futures contract, it will have the right to assume a futures contract at a particular price during the course of the option. Its potential loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a futures contract, it is subject generally to the same risks as if it had entered into a futures contract underlying the option itself.

When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

The Fund(s) listed in the following table had open futures contracts at June 30, 2013:

Number of Contracts	Type	Expiration Date		Notional Contract Value			Net Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund
BUYS
27	3 Month EURIBOR		12/15/14	$	8,731,660		$	3,919
42	3 Month EURIBOR		3/16/15		13,571,648			(20,247	)
41	3 Month EURIBOR		6/15/15		13,236,506			(21,628	)
1	3 Month EURIBOR		9/14/15		322,532			(538	)
153	90 Day Eurodollar		9/15/14		38,033,888			25,463
244	90 Day Eurodollar		12/15/14		60,588,250			7,594
1,390	90 Day Eurodollar		6/15/15		343,972,875			(357,611	)
191	90 Day Eurodollar		9/14/15		47,155,512			(154,783	)
827	90 Day Eurodollar		12/14/15		203,648,750			(1,259,102	)
234	90 Day Eurodollar		3/14/16		57,467,475			(431,514	)
							$	(2,208,447	)
SELLS
14	Euro-Bund Futures RXA Commodity Call, Strike 148.00		8/23/13	$	(729	)	$	6,727
14	Euro-Bund Futures RXA Commodity Put, Strike 142.00		8/23/13		(30,615	)		(16,885	)
							$	(10,158	)
Strategic Bond Fund
BUYS
46	U.S. Treasury Long Bond		9/19/13	$	6,248,812		$	(302,384	)
1	Ultra Long U.S. Treasury Bond		9/19/13		147,313			(8,308	)
10	90 Day Eurodollar		3/16/15		2,479,375			3,718
24	3 Month Euribor		6/15/15		7,748,199			(3,176	)
							$	(310,150	)
SELLS
202	U.S. Treasury Note 10 Year		9/19/13	$	(25,565,625	)	$	601,054
70	U.S. Treasury Note 2 Year		9/30/13		(15,400,000	)		12,804
31	U.S. Treasury Note 5 Year		9/30/13		(3,752,453	)		46,915
							$	660,773

233

Notes to Financial Statements (Unaudited) (Continued)

Number of Contracts	Type	Expiration Date		Notional Contract Value		Net Unrealized Appreciation (Depreciation)
S&P 500 Index Fund
BUYS
742	S&P 500 E Mini Index		9/20/13	$	59,334,030	$	(448,015	)
S&P Mid Cap Index Fund
BUYS
22	S&P Midcap 400 Emini Index		9/20/13	$	2,547,380	$	(2,508	)
Russell 2000 Small Cap Index Fund
BUYS
51	Russell 2000 Mini Index		9/20/13	$	4,970,970	$	782
MSCI EAFE International Index Fund
BUYS
21	MSCI EAFE Mini Index		9/20/13	$	1,721,685	$	(59,486	)

Swap Agreements

Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).

Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.

Total Return Swaps. A Fund also 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).

Credit Default Swaps. 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 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

234

Notes to Financial Statements (Unaudited) (Continued)

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 the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.

Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a 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.

Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post specified levels of margin with the clearinghouse or at the instruction of the clearinghouse; the margin required by a clearinghouse may be greater than the margin the Fund would be required to post in an uncleared transaction. Only a limited number of transactions are currently eligible for clearing.

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.

235

Notes to Financial Statements (Unaudited) (Continued)

The Fund(s) listed in the following table had open swap agreements at June 30, 2013. 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
	OTC Swaps
$	17,100,000	USD		3/20/16	Barclays Bank PLC	Sell†		1.000%	Federative Republic of Brazil (PIMCO Rating: BAA)**	$	(116,989	)	$	(78,063	)	$	(195,052	)
	3,600,000	USD		3/20/16	Barclays Bank PLC	Sell†		1.000%	United Mexican States (PIMCO Rating: BAA+)**		27,052			(17,372	)		9,680
											(89,937	)		(95,435	)		(185,372	)
	6,100,000	USD		6/20/16	Credit Suisse Securities LLC	Sell†		1.000%	Federative Republic of Brazil (PIMCO Rating: BAA)**		(72,770	)		(8,878	)		(81,648	)
	7,700,000	USD		12/20/15	Goldman Sachs & Co.	Sell†		1.000%	United Mexican States (PIMCO Rating: BAA+)**		229,837			(207,341	)		22,496
	4,300,000	USD		3/20/16	Goldman Sachs & Co.	Sell†		1.000%	United Mexican States (PIMCO Rating: BAA+)**		144,328			(132,765	)		11,563
	1,300,000	USD		9/20/16	Goldman Sachs & Co.	Sell†		1.000%	United Mexican States (PIMCO Rating: BAA+)**		7,035			(6,020	)		1,015
											381,200			(346,126	)		35,074
	1,000,000	USD		9/20/15	UBS AG	Sell†		1.000%	United Mexican States (PIMCO Rating: BAA+)**		17,292			(14,146	)		3,146
	5,400,000	USD		9/20/16	UBS AG	Sell†		1.000%	United Mexican States (PIMCO Rating: BAA+)**		27,911			(23,694	)		4,217
											45,203			(37,840	)		7,363

Notional Amount		Currency	Expiration Date		Counterparty	Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)			Premium Received (Paid)			Value
	Interest Rate Swaps
	OTC Swaps
	63,000,000	MXN		9/13/17	Barclays Bank PLC	MXN TIIE Mexican Banxico	Fixed 5.500%	$	51,386		$	(43,106	)	$	8,280
	98,000,000	MXN		9/02/22	Barclays Bank PLC	MXN TIIE Mexican Banxico	Fixed 6.000%		(216,225	)		(51,278	)		(267,503	)
									(164,839	)		(94,384	)		(259,223	)
	1,600,000	BRL		1/02/17	Goldman Sachs & Co.	BRL CETIP Interbank	Fixed 9.095%		(29,487	)		-			(29,487	)
	7,000,000	MXN		6/05/23	JP Morgan Chase Bank	MXN TIIE Mexican Banxico	Fixed 6.000%		(6,938	)		(17,272	)		(24,210	)
	8,000,000	BRL		1/02/17	UBS AG	BRL CETIP Interbank	Fixed 8.900%		(157,419	)		(799	)		(158,218	)
	Centrally Cleared Swaps
	155,300,000	USD		3/18/16		3-Month USD-LIBOR-BBA	Fixed 1.500%		(682,714	)		1,225,069			542,355
	53,000,000	USD		10/15/17		Federal Funds Effective Rate US	Fixed 1.000%		(760,143	)		(58,550	)		(818,693	)
	107,800,000	USD		6/19/43		3-Month USD-LIBOR-BBA	Fixed 2.750%		7,071,643			7,784,194			14,855,837
									5,628,786			8,950,713			14,579,499

236

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
	400,000	EUR		6/20/18	Barclays Bank PLC	Buy		(1.000%	)	Markit iTraxx Europe Senior Financial	$	765		$	14,822	$	15,587
	200,000	EUR		6/20/18	Barclays Bank PLC	Buy		(1.000%	)	Markit iTraxx Europe Senior Financial		(720	)		8,514		7,794
												45			23,336		23,381

Notional Amount		Currency	Expiration Date		Counterparty	Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)		Premium Received (Paid)			Value
	Strategic Bond Fund (Continued)
	Total Return Swaps
$	390,334	USD		1/12/41	Morgan Stanley & Co.	1 Month USD-LIBOR-BBA	IOS.FN30.500.10	$	10,689	$	(678	)	$	10,011
	640,061	USD		1/12/41	Barclays Bank PLC	1 Month USD-LIBOR-BBA	IOS.FN30.400.10		12,747		(118	)		12,629

BRL Brazilian Real

EUR Euro

MXN Mexican Peso

USD U.S. Dollar

* Collateral for swap agreements received from Barclays Bank PLC amounted to $280,000 in cash at June 30, 2013; and collateral for swap agreements held by Goldman Sachs & Co., JP Morgan Chase Bank, Royal Bank of Scotland PLC, and UBS AG amounted to $1,089,177, $284,930, $1,017,889 and $2,788,260 in securities, respectively, at June 30, 2013.

** 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.

† 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 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.

Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written.

237

Notes to Financial Statements (Unaudited) (Continued)

Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date. 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.

Writing put and call options. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.

Purchasing put and call options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.

When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.

Exchange Traded Options. Exchange traded options purchased or sold by a Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited. Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price.

OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.

Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.

238

Notes to Financial Statements (Unaudited) (Continued)

When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.

The Fund(s) listed in the following table had open written option contracts at June 30, 2013. A Fund’s current exposure to a counterparty is typically the fair value of the contract.

Number of Contracts		Expiration Date		Description	Premiums Received		Value
PIMCO Total Return Fund
	7,800,000		3/12/14	Interest Rate Swaption EUR 1 Year Call, Strike 0.40*	$	16,084	$	5,668
	7,800,000		3/12/14	Interest Rate Swaption EUR 1 Year Call, Strike 0.40**		15,079		5,668
	7,800,000		3/12/14	Interest Rate Swaption EUR 1 Year Put, Strike 0.40*		16,084		41,637
	7,800,000		3/12/14	Interest Rate Swaption EUR 1 Year Put, Strike 0.40**		17,089		41,637
	15,700,000		7/24/13	Interest Rate Swaption EUR 2 Year Put, Strike 1.15***		31,993		980
	4,700,000		7/24/13	Interest Rate Swaption EUR 5 Year Put, Strike 1.70**		23,165		3,355
	24,100,000		7/18/13	Interest Rate Swaption USD 5 Year Call, Strike 0.70††		7,230		-
	24,100,000		7/18/13	Interest Rate Swaption USD 5 Year Put, Strike 1.00††		72,300		691,544
	9,500,000		9/03/13	Interest Rate Swaption USD 5 Year Call, Strike 0.75†		3,800		52
	9,500,000		9/03/13	Interest Rate Swaption USD 5 Year Put, Strike 1.10†		36,575		265,249
	40,400,000		10/28/13	Interest Rate Swaption USD 5 Year Put, Strike 1.50*		111,230		723,155
	9,300,000		7/29/13	Interest Rate Swaption USD 10 Year Call, Strike 1.80**		44,640		13
	21,800,000		7/29/13	Interest Rate Swaption USD 10 Year Call, Strike 1.80*		106,795		29
	16,600,000		7/29/13	Interest Rate Swaption USD 10 Year Call, Strike 1.80†		58,872		22
	13,900,000		7/29/13	Interest Rate Swaption USD 10 Year Call, Strike 1.80****		51,084		19
	21,800,000		7/29/13	Interest Rate Swaption USD 10 Year Put, Strike 2.65*		87,795		325,299
	16,600,000		7/29/13	Interest Rate Swaption USD 10 Year Put, Strike 2.65†		77,818		247,705
	13,900,000		7/29/13	Interest Rate Swaption USD 10 Year Put, Strike 2.65****		55,911		207,415
	9,300,000		7/29/13	Interest Rate Swaption USD 10 Year Put, Strike 2.65**		65,100		138,774
	160		8/23/13	U.S. Treasury Note 10 Year Put, Strike 129.00		93,004		447,500
	160		8/23/13	U.S. Treasury Note 10 Year Call, Strike 133.00		47,254		5,000
					$	1,038,902	$	3,150,721
	Strategic Bond Fund
	42		12/16/13	Eurodollar Futures Put, Strike 99.50	$	5,901	$	4,988
	22		7/26/13	U.S. Treasury Note 10 Year Put, Strike 129.00		11,616		57,406
	42		7/26/13	U.S. Treasury Note 5 Year Put, Strike 121.00		3,145		22,969
					$	20,662	$	85,363

EUR Euro

USD United States Dollar

* OTC traded option counterparty Goldman Sachs & Co.

** OTC traded option counterparty Barclays Bank PLC.

*** OTC traded option counterparty Credit Suisse Securities LLC.

**** OTC traded option counterparty JP Morgan Chase Bank.

† OTC traded option counterparty Royal Bank of Scotland PLC.

†† OTC traded option counterparty UBS AG.

239

Notes to Financial Statements (Unaudited) (Continued)

Transactions in written option contracts during the period ended June 30, 2013, were as follows:

	Number of Contracts			Premiums Received
PIMCO Total Return Fund
Options outstanding at December 31, 2012		69,200,000		$	526,218
Options written		428,800,452			1,307,520
Options expired		(215,600,066	)		(794,800	)
Options exercised		(66	)		(36	)
Options outstanding at June 30, 2013		282,400,320		$	1,038,902
Strategic Bond Fund
Options outstanding at December 31, 2012		17		$	1,007
Options written		1,740,305			88,860
Options terminated in closing purchase transactions		(149	)		(33,929	)
Options expired		(1,740,067	)		(35,276	)
Options outstanding at June 30, 2013		106		$	20,662

Structured Investments

A structured investment typically involves the deposit by a financial institution of one or more securities or other assets (the “underlying investments”) with a specially created corporation or trust, which in turn issues one or more classes of securities (“structured securities”) backed by, or representing different interests in, the underlying instruments. The cash flow on the underlying instruments may be apportioned among the newly issued structured securities to create securities with different investment characteristics, such as varying maturities, payment priorities, and interest rate provisions, and the extent of such payments made with respect to structured securities is dependent on the extent of the cash flow on the underlying instruments. Because structured securities typically involve no credit enhancement, their credit risk generally will reflect that of the underlying instruments. Investments in a structured security may be subordinated to the right of payment of another class of securities.

Structured securities may be highly volatile and their use by a Fund may not be successful. The terms of a structured security may create investment leverage. Structured securities are typically privately issued, presenting credit risk of the issuer, and may be highly illiquid and difficult to value.

Inflation-Indexed Bonds

The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation, as measured by the Consumer Price Index for All Urban Consumers (“CPI-U”) (for U.S. Treasury inflation-indexed bonds) or, generally, by a comparable inflation index calculated by the foreign government issuing the inflation-indexed bonds.

If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal. Any adjustments to the principal amount of an inflation-indexed bond due to inflation will be reflected as increases or decreases to interest income. Such adjustments may have a significant impact on the Fund’s distributions.

The value of inflation-indexed bonds is generally based on changes in real interest rates, which in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. While the values of these securities are

240

Notes to Financial Statements (Unaudited) (Continued)

expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in value. There can be no assurance that the CPI-U or any foreign inflation index will accurately measure the real rate of inflation, or that the rate of inflation in a foreign country will correlate to the rate of inflation in the United States. Additionally, if interest rates rise due to reasons other than inflation, investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.

Repurchase Agreements

Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral.

Reverse Repurchase Agreements and Treasury Rolls

Each Fund may enter into reverse repurchase agreements or Treasury rolls 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 (typically equal to the original sale price plus interest). 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 purchase price received by it from the counterparty. Similarly, in a Treasury roll transaction, a Fund sells a Treasury security and simultaneously enters into an agreement to repurchase the security from the buyer at a later date, at the original sale price plus interest. The repurchase price is typically adjusted to provide the Fund the economic benefit of any interest that accrued on the Treasury security during the term of the transaction. The Fund may use the purchase price received by it to earn additional return during the term of the Treasury roll transaction.

Reverse repurchase agreements and Treasury rolls generally create investment leverage. If the counterparty in such a transaction files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the sale of its securities may be restricted or forfeited, and the counterparty may fail to return/resell the securities in question to the Fund.

A Fund accounts for a Treasury 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 Treasury roll transactions may be considered financing transactions, whereby the difference in the sales price and the future price is recorded as an adjustment to interest income.

The Fund(s) listed in the following table had open reverse repurchase agreements during the period ended June 30, 2013:

Description	Value
PIMCO Total Return Fund
Agreement with Royal Bank of Scotland PLC, dated 6/25/13, 0.010%, to be repurchased on demand until 7/02/13 at value plus accrued interest.	$	14,328,000
Average balance outstanding	$	22,155,783
Average interest rate		0.09%
Maximum balance outstanding	$	92,806,000
Weighted average maturity		6 days

Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund had entered into reverse repurchase agreements.

241

Notes to Financial Statements (Unaudited) (Continued)

The Fund(s) listed in the following table had Treasury roll transactions during the period ended June 30, 2013, which were accounted for as financing transactions:

PIMCO Total Return Fund
Average balance outstanding	$	8,751,246
Weighted average interest rate		0.02%

Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund had entered into Treasury rolls.

When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions

A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions 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-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. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, forward commitment, or TBA 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, forward commitment, or TBA transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

Dollar Roll Transactions

A Fund may enter into dollar roll transactions, in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to purchase substantially similar securities on a specified future date from the same party. A Fund may invest in dollar rolls in order to benefit from anticipated changes in pricing for the mortgage-backed securities during the term of the transaction, or for the purpose of creating investment leverage. In a dollar roll, the securities that are to be purchased will be of the same type as the securities sold, but will be supported by different pools of mortgages.

Dollar rolls involve the risk that the Fund’s counterparty will be unable to deliver the mortgage-backed securities underlying the dollar roll at the fixed time. If the counterparty files for bankruptcy or becomes insolvent, a Fund’s use of the transaction proceeds may be restricted pending a determination by the counterparty or its representative, whether to enforce the Fund’s obligation to repurchase the securities. A Fund can incur a loss on a dollar roll transaction (either because its counterparty fails to perform or because the value of the mortgages subject to the transaction declines) and on the investments made by the Fund with the proceeds of the dollar roll transaction. Dollar roll transactions generally have the effect of creating leverage in a Fund’s portfolio.

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.

242

Notes to Financial Statements (Unaudited) (Continued)

Securities Lending

Each Fund may lend its securities to qualified brokers, under the terms of a master netting agreement. Securities lending cannot exceed 33% of the total assets of the Fund taken at current value.

The loans are collateralized at all times with cash or securities with a market value at least equal to 100% of the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. As with other extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the borrower, as well as a share of the income earned on investment of the cash collateral received for the loan of securities.

The Funds employ an agent to implement their securities lending program and the agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the securities lending agent or borrower, respectively. For the period ended June 30, 2013, the Fund(s) earned securities lending net income as follows:

	Securities Lending Gross Income		Securities Lending Fees and Expenses		Securities Lending Net Income
Large Cap Value Fund	$	192,217	$	38,459	$	153,758
Fundamental Growth Fund		22,992		4,647		18,345
Growth Opportunities Fund		63,261		12,749		50,512
Small Company Value Fund		277,157		55,646		221,511
S&P Mid Cap Index Fund		29,468		5,933		23,535
Russell 2000 Small Cap Index Fund		165,868		33,298		132,570
Mid Cap Growth Equity II Fund		639,792		128,320		511,472
Small Cap Growth Equity Fund		919,422		188,522		730,900
Small Company Growth Fund		59,947		12,026		47,921
Diversified International Fund		174,113		39,314		134,799
MSCI EAFE International Index Fund		147,583		29,807		117,776
Overseas Fund		449,215		99,211		350,004
	$	3,141,035	$	647,932	$	2,493,103

Accounting for Investment Transactions

Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and dividend expense, are recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions.

243

Notes to Financial Statements (Unaudited) (Continued)

Foreign Currency Translation

The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.

Allocation of Operating Activity

In maintaining the records for the Funds, the income and expense accounts are allocated to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of 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

Each of the Diversified International Fund, MSCI EAFE International Index Fund, and Overseas Fund invests substantially all of its assets in foreign securities. The other Funds may also invest in foreign securities. Foreign securities, including 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, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.

Federal Income Tax

It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.

Dividends and Distributions to Shareholders

Dividends from net investment income and distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.

244

Notes to Financial Statements (Unaudited) (Continued)

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% on the first $3 billion; and
	0.32% on any excess over $3 billion
Strategic Bond Fund	0.55% on the first $200 million; and
	0.45% on any excess over $200 million
Diversified Value Fund	0.50% on the first $400 million; and
	0.475% on any excess over $400 million
Fundamental Value Fund	0.65% on the first $1.25 billion;
	0.625% on the next $250 million; and
	0.60% on any excess over $1.5 billion
Large Cap Value Fund	0.65% on the first $750 million; and
	0.60% on any excess over $750 million
S&P 500 Index Fund	0.10% on the first $2.5 billion;
	0.08% on the next $2.5 billion; and
	0.05% on any excess over $5 billion
Focused Value Fund	0.69% on the first $1 billion; and
	0.64% on any excess over $1 billion
Fundamental Growth Fund	0.65%
Blue Chip Growth Fund	0.65% on the first $750 million; and
	0.60% on any excess over $750 million
Growth Opportunities Fund	0.73% on the first $500 million; and
	0.70% on any excess over $500 million
Mid-Cap Value Fund	0.70% on the first $350 million; and
	0.65% on any excess over $350 million
Small Cap Value Equity Fund	0.75% on the first $350 million; and
	0.70% on any excess over $350 million
Small Company Value Fund	0.85% on the first $750 million; and
	0.80% on any excess over $750 million
S&P Mid Cap Index Fund	0.10%
Russell 2000 Small Cap Index Fund	0.10%
Mid Cap Growth Equity II Fund	0.75% on the first $2 billion; and
	0.70% on any excess over $2 billion
Small Cap Growth Equity Fund	0.82% on the first $1 billion; and
	0.80% on any excess over $1 billion
Small Company Growth Fund	0.85% on the first $350 million; and
	0.80% on any excess over $350 million
Diversified International Fund	0.90% on the first $250 million; and
	0.88% on any excess over $250 million
MSCI EAFE International Index Fund	0.10%
Overseas Fund	1.00% on the first $750 million;
	0.975% on the next $500 million; and
	0.95% on any excess over $1.25 billion

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; Brandywine Global Investment Management, LLC for a portion of the Diversified Value Fund; Columbia Management Investment Advisers, LLC for a portion of the Large Cap Value Fund; Delaware Management Company for a portion of the Growth Opportunities Fund; Eagle Asset

245

Notes to Financial Statements (Unaudited) (Continued)

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; Huber Capital Management, LLC for a portion of the Large Cap Value Fund; J.P. Morgan Investment Management Inc. for the Diversified International 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 S&P 500 Index Fund, S&P Mid Cap Index Fund, Russell 2000 Small Cap Index Fund, and MSCI EAFE International Index Fund; Pacific Investment Management Company LLC for the PIMCO Total Return 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 Small Company Growth Fund; Timberline Asset Management LLC for a portion of the Small Cap Growth Equity 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, the Fundamental Growth 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 Western Asset Management Company Limited for a portion of the Strategic Bond 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.

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 Z		Class I		Class S		Class Y		Class L		Class A		Class N
PIMCO Total Return Fund		0.0200%		None		0.1700%		0.2900%		0.3700%		0.2200%		0.2200%
Strategic Bond Fund		None		None		0.0500%		0.1000%		0.2500%		0.2500%		0.3000%
Diversified Value Fund		None		None		0.0583%		0.1583%		0.2683%		0.3083%		0.3683%
Fundamental Value Fund		0.0700%		None		0.2729%		0.3129%		0.4629%		0.4629%		0.5129%
Large Cap Value Fund		None		None		0.0844%		0.1744%		0.3244%		0.3244%		0.3744%
S&P 500 Index Fund*		0.0577%		0.1355%		0.3497%		0.3797%		0.4297%		0.4297%		0.4797%
Focused Value Fund		0.0700%		None		0.1844%		0.2844%		0.4344%		0.4344%		0.4844%
Fundamental Growth Fund		None		None		0.1629%		0.2029%		0.3529%		0.3529%		0.4029%
Blue Chip Growth Fund*		None		None		0.0985%		0.1585%		0.3185%		0.3185%		0.3485%
Growth Opportunities Fund		0.0944%		None		0.2444%		0.3444%		0.4944%		0.4944%		0.5444%
Mid-Cap Value Fund*		0.0800%		None		0.1000%		0.2000%		0.3500%		0.3500%		0.4000%
Small Cap Value Equity Fund		None		None		0.0500%		0.1500%		0.3000%		0.3000%		None
Small Company Value Fund		0.0600%		None		0.2493%		0.2893%		0.4393%		0.4393%		0.4893%
S&P Mid Cap Index Fund		0.0500%		0.1500%		0.3000%		0.4000%		0.5500%		0.4500%		None
Russell 2000 Small Cap Index Fund		0.0500%		0.1500%		0.3000%		0.4000%		0.5500%		0.4500%		None
Mid Cap Growth Equity II Fund		0.0600%		None		0.1844%		0.2744%		0.4244%		0.4244%		0.4744%
Small Cap Growth Equity Fund		0.0700%		None		0.1675%		0.3075%		0.4575%		0.4575%		0.5075%
Small Company Growth Fund		None		None		0.1591%		0.1991%		0.3491%		0.3491%		0.3991%
Diversified International Fund		None		None		0.0500%		0.1500%		0.3000%		0.3000%		None

246

Notes to Financial Statements (Unaudited) (Continued)

	Class Z		Class I		Class S		Class Y		Class L		Class A		Class N
MSCI EAFE International Index Fund		0.0500%		0.1500%		0.3000%		0.4000%		0.5500%		0.4500%		None
Overseas Fund		0.0700%		None		0.3543%		0.4043%		0.4543%		0.4543%		0.5043%

* Prior to June 1, 2013, the administration fees per share class were as follows:

	Class Z		Class I		Class S		Class Y		Class L		Class A		Class N
S&P 500 Index Fund		0.0577%		0.1355%		0.3497%		0.3797%		0.5297%		0.5297%		0.5797%
Blue Chip Growth Fund		None		None		0.1585%		0.2885%		0.4085%		0.4085%		0.4585%
Mid-Cap Value Fund		0.0800%		None		0.1500%		0.2500%		0.4000%		0.4000%		0.4500%

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. For the period January 1, 2013 through May 31, 2013, OppenheimerFunds Distributor, Inc. acted as a sub-distributor to each Fund. OppenheimerFunds Distributor, Inc. 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^#, interest expense, short sale dividend and loan expense, 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 Z		Class I		Class S		Class Y		Class L		Class A		Class N
S&P 500 Index Fund*		0.08%		None		None		None		None		0.65%		0.95%
Blue Chip Growth Fund**		None		None		0.76%		0.82%		0.98%		1.19%		1.51%
Mid-Cap Value Fund*		None		None		0.85%		0.95%		1.10%		1.35%		1.65%
S&P Mid Cap Index Fund**		0.19%		0.29%		0.44%		0.54%		0.69%		0.84%		None
Russell 2000 Small Cap Index Fund**		0.19%		0.29%		0.44%		0.54%		0.69%		0.84%		None
Diversified International Fund**		None		None		0.99%		1.09%		1.17%		1.42%		None
MSCI EAFE International Index Fund**		0.23%		0.33%		0.48%		0.58%		0.73%		0.88%		None

# Acquired Fund fees and expenses are borne indirectly by a Fund through investments in other pooled investment vehicles.

* Effective June 1, 2013. Expense caps in effect through May 31, 2014.

** Expense caps in effect through March 31, 2014.

247

Notes to Financial Statements (Unaudited) (Continued)

MassMutual has contractually agreed to waive, through March 31, 2014, 0.15% of the management fee for each class of the Fundamental Value Fund, 0.02% of the management fee for each class of the Large Cap Value Fund, 0.05% of the management fee for each class of the S&P 500 Index Fund, 0.10% of the management fee for each class of the Focused Value Fund, 0.15% of the management fee for each class of the Growth Opportunities Fund, 0.08% of the management fee for each class of the Small Company Value Fund, 0.10% of the management fee for each class of the Mid Cap Growth Equity II Fund, 0.07% of the management fee for each class of the Small Cap Growth Equity Fund, and 0.31% of the management fee for each class of the Overseas Fund. For the period January 1, 2013 through March 31, 2013, MassMutual had contractually agreed to waive 0.10% of the management fee for each class of the Mid-Cap Value Fund. For the period April 1, 2013 through May 31, 2013, MassMutual had contractually agreed to waive 0.05%, and voluntarily agreed to waive an additional 0.05% of the management fee for each class of the Mid-Cap Value Fund.

MassMutual has contractually agreed to waive, through March 31, 2014, 0.09% of the administrative and shareholder service fee for Class S, and 0.03% of the administrative and shareholder service fee for Classes Y, L, A, and N of the Fundamental Growth Fund.

For the period January 1, 2013 through March 31, 2013, MassMutual had contractually agreed to waive 0.05% of the administrative and shareholder service fee for Class Z and 0.20% of the administrative and shareholder service fees for Classes L, A, and N of the S&P 500 Index Fund. For the period April 1, 2013 through May 31, 2013, MassMutual had contractually agreed to waive 0.05% of the administrative and shareholder service fee for Class Z, 0.10% of the administrative and shareholder service fee for Class L, and 0.20% of the administrative and shareholder service fee for Classes A and N of the S&P 500 Index Fund, and voluntarily agreed to waive an additional 0.10% of the administrative and shareholder service fee for Class L. For the period April 1, 2013 through May 31, 2013, MassMutual had contractually agreed to waive 0.03% of the administrative and shareholder service fee for Class Z of the Mid-Cap Value Fund. Effective June 1, 2013 through May 31, 2014, MassMutual has contractually agreed to waive 0.08% of the administrative and shareholder service fee for Class Z of the Mid-Cap Value Fund.

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, 2013, brokerage commissions rebated under these agreements were as follows:

	Rebated Commissions
Diversified Value Fund	$	8,871
Fundamental Value Fund		754
Large Cap Value Fund		93,519
Blue Chip Growth Fund		8,966
Growth Opportunities Fund		11,430
Mid-Cap Value Fund		17,062
Small Cap Value Equity Fund		3,087
Small Company Value Fund		101,043
Mid Cap Growth Equity II Fund		47,350
Small Cap Growth Equity Fund		110,594
Small Company Growth Fund		2,108
Diversified International Fund		345
Overseas Fund		888

248

Notes to Financial Statements (Unaudited) (Continued)

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, 2013:

	Total % of Ownership by Related Party
PIMCO Total Return Fund		71.7	%
Strategic Bond Fund		92.9	%
Diversified Value Fund		57.9	%
Fundamental Value Fund		80.2	%
Large Cap Value Fund		93.5	%
S&P 500 Index Fund		64.8	%
Focused Value Fund		83.5	%
Fundamental Growth Fund		93.7	%
Blue Chip Growth Fund		83.7	%
Growth Opportunities Fund		72.9	%
Mid-Cap Value Fund		90.7	%
Small Cap Value Equity Fund		73.7	%
Small Company Value Fund		79.2	%
S&P Mid Cap Index Fund		90.7	%
Russell 2000 Small Cap Index Fund		90.8	%
Mid Cap Growth Equity II Fund		73.7	%
Small Cap Growth Equity Fund		63.2	%
Small Company Growth Fund		84.3	%
Diversified International Fund		36.1	%
MSCI EAFE International Index Fund		93.7	%
Overseas Fund		89.4	%

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, 2013, 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	$	5,664,549,647	$	39,189,250	$	5,145,812,488	$	410,513,544
Strategic Bond Fund		273,908,422		15,515,975		278,356,495		14,381,008
Diversified Value Fund		-		85,724,404		-		69,904,154
Fundamental Value Fund		-		139,361,503		-		199,754,617

249

Notes to Financial Statements (Unaudited) (Continued)

	Purchases				Sales
	Long-Term U.S. Government Securities		Other Long-Term Securities		Long-Term U.S. Government Securities		Other Long-Term Securities
Large Cap Value Fund	$	-	$	95,648,637	$	-	$	174,754,016
S&P 500 Index Fund		-		117,215,652		-		87,707,927
Focused Value Fund		-		126,969,443		-		141,931,076
Fundamental Growth Fund		-		34,709,334		-		34,247,969
Blue Chip Growth Fund		-		201,266,235		-		244,971,642
Growth Opportunities Fund		-		131,864,113		-		110,117,632
Mid-Cap Value Fund		-		79,699,134		-		94,601,947
Small Cap Value Equity Fund		-		20,030,730		-		26,913,484
Small Company Value Fund		-		123,526,480		-		148,446,105
S&P Mid Cap Index Fund		-		40,861,404		-		6,168,716
Russell 2000 Small Cap Index Fund		-		32,626,145		-		19,620,828
Mid Cap Growth Equity II Fund		-		264,774,841		-		354,573,879
Small Cap Growth Equity Fund		-		430,647,184		-		465,205,852
Small Company Growth Fund		-		26,502,537		-		32,446,156
Diversified International Fund		-		44,716,121		-		43,862,569
MSCI EAFE International Index Fund		-		91,002,891		-		33,916,226
Overseas Fund		-		112,806,819		-		126,242,999

5. Capital Share Transactions

Changes in shares outstanding for each Fund were as follows:

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
PIMCO Total Return Fund Class Z
Sold		4,701,188		$	49,540,667			11,608,502		$	122,626,107
Issued as reinvestment of dividends		-			-			1,595,738			16,804,076
Redeemed		(10,262,154	)		(105,841,182	)		(11,812,313	)		(123,831,504	)
Net increase (decrease)		(5,560,966	)	$	(56,300,515	)		1,391,927		$	15,598,679
PIMCO Total Return Fund Class S
Sold		3,236,748		$	34,375,156			8,664,443		$	90,101,608
Issued as reinvestment of dividends		-			-			566,408			5,958,767
Redeemed		(1,957,289	)		(20,604,937	)		(1,143,533	)		(11,979,512	)
Net increase (decrease)		1,279,459		$	13,770,219			8,087,318		$	84,080,863
PIMCO Total Return Fund Class Y
Sold		4,450,070		$	47,011,541			9,562,510		$	100,036,485
Issued as reinvestment of dividends		-			-			1,573,547			16,587,326
Redeemed		(5,577,257	)		(58,787,080	)		(11,096,945	)		(117,048,409	)
Net increase (decrease)		(1,127,187	)	$	(11,775,539	)		39,112		$	(424,598	)
PIMCO Total Return Fund Class L
Sold		563,242		$	5,911,133			3,568,814		$	37,284,395
Issued as reinvestment of dividends		-			-			324,994			3,409,373
Redeemed		(806,400	)		(8,451,289	)		(1,106,143	)		(11,477,242	)
Net increase (decrease)		(243,158	)	$	(2,540,156	)		2,787,665		$	29,216,526

250

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
PIMCO Total Return Fund Class A
Sold		2,837,754		$	30,061,213			11,338,554		$	118,685,555
Issued as reinvestment of dividends		-			-			2,367,608			24,953,736
Redeemed		(8,926,117	)		(93,768,983	)		(11,562,362	)		(121,236,127	)
Net increase (decrease)		(6,088,363	)	$	(63,707,770	)		2,143,800		$	22,403,164
PIMCO Total Return Fund Class N
Sold		1,025,637		$	10,784,069			2,275,455		$	23,613,760
Issued as reinvestment of dividends		-			-			128,327			1,347,398
Redeemed		(585,612	)		(6,161,042	)		(579,194	)		(6,083,184	)
Net increase (decrease)		440,025		$	4,623,027			1,824,588		$	18,877,974
Strategic Bond Fund Class S
Sold		780,695		$	8,082,834			1,537,226		$	16,056,775
Issued as reinvestment of dividends		-			-			262,649			2,710,337
Redeemed		(1,129,122	)		(11,698,625	)		(1,456,093	)		(15,013,618	)
Net increase (decrease)		(348,427	)	$	(3,615,791	)		343,782		$	3,753,494
Strategic Bond Fund Class Y
Sold		1,883,522		$	19,589,983			363,820		$	3,764,002
Issued as reinvestment of dividends		-			-			79,366			819,920
Redeemed		(340,422	)		(3,520,323	)		(739,622	)		(7,749,859	)
Net increase (decrease)		1,543,100		$	16,069,660			(296,436	)	$	(3,165,937	)
Strategic Bond Fund Class L
Sold		176,148		$	1,822,200			765,977		$	7,866,379
Issued as reinvestment of dividends		-			-			99,486			1,025,610
Redeemed		(1,815,240	)		(18,813,320	)		(515,370	)		(5,292,341	)
Net increase (decrease)		(1,639,092	)	$	(16,991,120	)		350,093		$	3,599,648
Strategic Bond Fund Class A
Sold		408,482		$	4,250,609			520,002		$	5,319,578
Issued as reinvestment of dividends		-			-			103,337			1,064,311
Redeemed		(882,863	)		(9,128,370	)		(1,104,575	)		(11,275,002	)
Net increase (decrease)		(474,381	)	$	(4,877,761	)		(481,236	)	$	(4,891,113	)
Strategic Bond Fund Class N
Sold		13,065		$	133,989			32,047		$	329,049
Issued as reinvestment of dividends		-			-			2,899			29,706
Redeemed		(16,153	)		(165,969	)		(25,173	)		(253,750	)
Net increase (decrease)		(3,088	)	$	(31,980	)		9,773		$	105,005
Diversified Value Fund Class S
Sold		3,544,673		$	40,197,580			4,833,624		$	46,471,421
Issued as reinvestment of dividends		-			-			557,592			5,686,142
Redeemed		(1,451,205	)		(16,557,667	)		(5,254,982	)		(52,010,822	)
Net increase (decrease)		2,093,468		$	23,639,913			136,234		$	146,741
Diversified Value Fund Class Y
Sold		422,084		$	5,008,514			170,865		$	1,707,502
Issued as reinvestment of dividends		-			-			40,998			417,541
Redeemed		(568,378	)		(6,349,485	)		(1,105,302	)		(11,252,048	)
Net increase (decrease)		(146,294	)	$	(1,340,971	)		(893,439	)	$	(9,127,005	)

251

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Diversified Value Fund Class L
Sold		148,257		$	1,686,476			163,786		$	1,608,757
Issued as reinvestment of dividends		-			-			15,740			160,779
Redeemed		(423,262	)		(5,028,284	)		(536,532	)		(5,301,541	)
Net increase (decrease)		(275,005	)	$	(3,341,808	)		(357,006	)	$	(3,532,005	)
Diversified Value Fund Class A
Sold		228,918		$	2,593,918			293,643		$	2,855,757
Issued as reinvestment of dividends		-			-			45,062			458,474
Redeemed		(392,531	)		(4,449,603	)		(752,343	)		(7,383,812	)
Net increase (decrease)		(163,613	)	$	(1,855,685	)		(413,638	)	$	(4,069,581	)
Diversified Value Fund Class N
Sold		924		$	10,598			1,802		$	17,528
Issued as reinvestment of dividends		-			-			186			1,900
Redeemed		(997	)		(11,158	)		(18,322	)		(171,970	)
Net increase (decrease)		(73	)	$	(560	)		(16,334	)	$	(152,542	)
Fundamental Value Fund Class Z
Sold		1,621,436		$	20,478,095			5,439,181		$	58,708,364
Issued as reinvestment of dividends		-			-			584,549			6,608,158
Redeemed		(1,203,937	)		(15,243,882	)		(6,362,272	)		(71,200,264	)
Net increase (decrease)		417,499		$	5,234,213			(338,542	)	$	(5,883,742	)
Fundamental Value Fund Class S
Sold		3,153,610		$	39,312,087			5,388,814		$	59,254,442
Issued as reinvestment of dividends		-			-			1,256,441			14,240,372
Redeemed		(7,306,659	)		(95,269,600	)		(4,373,146	)		(48,825,801	)
Net increase (decrease)		(4,153,049	)	$	(55,957,513	)		2,272,109		$	24,669,013
Fundamental Value Fund Class Y
Sold		2,307,970		$	28,556,269			3,088,975		$	34,147,377
Issued as reinvestment of dividends		-			-			405,902			4,587,261
Redeemed		(1,182,843	)		(15,101,146	)		(4,871,702	)		(54,233,842	)
Net increase (decrease)		1,125,127		$	13,455,123			(1,376,825	)	$	(15,499,204	)
Fundamental Value Fund Class L
Sold		1,078,145		$	13,650,529			2,151,644		$	23,484,212
Issued as reinvestment of dividends		-			-			292,107			3,313,139
Redeemed		(2,512,293	)		(31,414,383	)		(2,240,010	)		(25,071,264	)
Net increase (decrease)		(1,434,148	)	$	(17,763,854	)		203,741		$	1,726,087
Fundamental Value Fund Class A
Sold		1,785,281		$	22,252,260			3,438,825		$	37,366,493
Issued as reinvestment of dividends		-			-			745,414			8,356,864
Redeemed		(2,299,023	)		(28,630,635	)		(3,246,782	)		(35,526,687	)
Net increase (decrease)		(513,742	)	$	(6,378,375	)		937,457		$	10,196,670
Fundamental Value Fund Class N
Sold		9,985		$	123,519			14,572		$	159,379
Issued as reinvestment of dividends		-			-			1,245			13,802
Redeemed		(2,566	)		(32,105	)		(134,812	)		(1,400,236	)
Net increase (decrease)		7,419		$	91,414			(118,995	)	$	(1,227,055	)

252

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Large Cap Value Fund Class S
Sold		1,999,474		$	17,251,099			12,013,812		$	130,767,940
Issued as reinvestment of dividends		-			-			13,280,467			104,118,858
Redeemed		(6,932,765	)		(61,511,475	)		(13,002,348	)		(136,650,366	)
Net increase (decrease)		(4,933,291	)	$	(44,260,376	)		12,291,931		$	98,236,432
Large Cap Value Fund Class Y
Sold		598,857		$	5,392,436			1,042,169		$	11,326,728
Issued as reinvestment of dividends		-			-			1,098,227			8,621,085
Redeemed		(440,527	)		(3,777,233	)		(5,323,188	)		(57,043,459	)
Net increase (decrease)		158,330		$	1,615,203			(3,182,792	)	$	(37,095,646	)
Large Cap Value Fund Class L
Sold		167,896		$	1,431,078			797,546		$	8,537,866
Issued as reinvestment of dividends		-			-			1,624,914			12,706,830
Redeemed		(2,498,745	)		(20,877,084	)		(1,918,100	)		(20,784,951	)
Net increase (decrease)		(2,330,849	)	$	(19,446,006	)		504,360		$	459,745
Large Cap Value Fund Class A
Sold		205,576		$	1,774,909			328,151		$	3,508,606
Issued as reinvestment of dividends		-			-			2,697,093			21,064,293
Redeemed		(1,319,428	)		(11,319,190	)		(4,526,975	)		(48,678,324	)
Net increase (decrease)		(1,113,852	)	$	(9,544,281	)		(1,501,731	)	$	(24,105,425	)
Large Cap Value Fund Class N
Sold		755		$	6,498			1,263		$	13,208
Issued as reinvestment of dividends		-			-			4,548			35,066
Redeemed		(4,920	)		(42,270	)		(34,263	)		(360,386	)
Net increase (decrease)		(4,165	)	$	(35,772	)		(28,452	)	$	(312,112	)
S&P 500 Index Fund Class Z
Sold		1,552,578		$	22,453,636			3,609,888		$	45,994,030
Issued as reinvestment of dividends		-			-			175,507			2,321,958
Redeemed		(238,808	)		(3,475,171	)		(831,197	)		(10,828,926	)
Net increase (decrease)		1,313,770		$	18,978,465			2,954,198		$	37,487,062
S&P 500 Index Fund Class I
Sold		8,140,604		$	119,731,369			7,935,044		$	100,792,509
Issued as reinvestment of dividends		-			-			1,437,330			19,055,127
Redeemed		(8,140,772	)		(121,994,367	)		(9,526,830	)		(122,781,269	)
Net increase (decrease)		(168	)	$	(2,262,998	)		(154,456	)	$	(2,933,633	)
S&P 500 Index Fund Class S
Sold		2,723,016		$	39,439,191			6,403,026		$	81,273,609
Issued as reinvestment of dividends		-			-			801,322			10,636,777
Redeemed		(3,528,244	)		(52,163,839	)		(5,570,896	)		(72,427,098	)
Net increase (decrease)		(805,228	)	$	(12,724,648	)		1,633,452		$	19,483,288
S&P 500 Index Fund Class Y
Sold		1,710,001		$	24,644,403			2,701,886		$	34,575,071
Issued as reinvestment of dividends		-			-			425,819			5,592,667
Redeemed		(3,703,579	)		(54,073,741	)		(4,283,529	)		(55,103,051	)
Net increase (decrease)		(1,993,578	)	$	(29,429,338	)		(1,155,824	)	$	(14,935,313	)

253

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
S&P 500 Index Fund Class L
Sold		3,297,233		$	47,008,920			4,881,904		$	62,340,231
Issued as reinvestment of dividends		-			-			445,257			5,839,922
Redeemed		(2,354,020	)		(34,297,952	)		(2,891,435	)		(36,754,144	)
Net increase (decrease)		943,213		$	12,710,968			2,435,726		$	31,426,009
S&P 500 Index Fund Class A
Sold		2,788,841		$	39,832,316			4,905,729		$	61,864,408
Issued as reinvestment of dividends		-			-			570,720			7,443,253
Redeemed		(1,004,175	)		(14,310,279	)		(4,841,177	)		(61,248,591	)
Net increase (decrease)		1,784,666		$	25,522,037			635,272		$	8,059,070
S&P 500 Index Fund Class N
Sold		43,500		$	621,485			87,710		$	1,111,041
Issued as reinvestment of dividends		-			-			4,871			62,915
Redeemed		(26,477	)		(371,233	)		(89,348	)		(1,113,784	)
Net increase (decrease)		17,023		$	250,252			3,233		$	60,172
Focused Value Fund Class Z
Sold		996,908		$	20,879,054			1,980,770		$	37,160,000
Issued as reinvestment of dividends		-			-			551,936			10,275,147
Redeemed		(684,538	)		(14,680,049	)		(1,167,847	)		(21,994,038	)
Net increase (decrease)		312,370		$	6,199,005			1,364,859		$	25,441,109
Focused Value Fund Class S
Sold		1,348,109		$	28,649,803			2,123,318		$	40,579,705
Issued as reinvestment of dividends		-			-			1,260,455			23,508,062
Redeemed		(2,149,021	)		(47,516,146	)		(2,988,972	)		(56,597,564	)
Net increase (decrease)		(800,912	)	$	(18,866,343	)		394,801		$	7,490,203
Focused Value Fund Class Y
Sold		834,554		$	17,812,530			638,501		$	12,030,103
Issued as reinvestment of dividends		-			-			257,716			4,767,224
Redeemed		(278,941	)		(5,961,083	)		(1,356,761	)		(25,688,977	)
Net increase (decrease)		555,613		$	11,851,447			(460,544	)	$	(8,891,650	)
Focused Value Fund Class L
Sold		780,360		$	16,573,826			939,789		$	17,518,868
Issued as reinvestment of dividends		-			-			348,144			6,402,146
Redeemed		(825,905	)		(17,776,885	)		(947,596	)		(17,583,316	)
Net increase (decrease)		(45,545	)	$	(1,203,059	)		340,337		$	6,337,698
Focused Value Fund Class A
Sold		758,912		$	15,846,715			843,725		$	15,340,144
Issued as reinvestment of dividends		-			-			725,414			13,065,195
Redeemed		(604,599	)		(12,123,596	)		(1,410,723	)		(25,747,346	)
Net increase (decrease)		154,313		$	3,723,119			158,416		$	2,657,993
Focused Value Fund Class N
Sold		2,671		$	52,111			6,268		$	114,260
Issued as reinvestment of dividends		-			-			2,085			36,630
Redeemed		(1,390	)		(28,016	)		(70,091	)		(1,195,755	)
Net increase (decrease)		1,281		$	24,095			(61,738	)	$	(1,044,865	)

254

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Fundamental Growth Fund Class S
Sold		1,216,220		$	8,672,845			12,035,894		$	77,239,723
Issued as reinvestment of dividends		-			-			86,947			577,327
Redeemed		(1,362,090	)		(9,901,253	)		(4,434,259	)		(29,204,561	)
Net increase (decrease)		(145,870	)	$	(1,228,408	)		7,688,582		$	48,612,489
Fundamental Growth Fund Class Y
Sold		155,718		$	1,119,169			719,069		$	4,433,500
Issued as reinvestment of dividends		-			-			3,865			25,356
Redeemed		(79,151	)		(554,610	)		(438,838	)		(2,741,801	)
Net increase (decrease)		76,567		$	564,559			284,096		$	1,717,055
Fundamental Growth Fund Class L
Sold		229,544		$	1,571,760			703,182		$	4,508,082
Issued as reinvestment of dividends		-			-			8,674			56,032
Redeemed		(641,379	)		(4,679,890	)		(310,591	)		(1,995,084	)
Net increase (decrease)		(411,835	)	$	(3,108,130	)		401,265		$	2,569,030
Fundamental Growth Fund Class A
Sold		424,967		$	2,888,575			1,055,977		$	6,544,276
Issued as reinvestment of dividends		-			-			5,973			37,567
Redeemed		(221,389	)		(1,499,320	)		(1,201,970	)		(7,475,282	)
Net increase (decrease)		203,578		$	1,389,255			(140,020	)	$	(893,439	)
Fundamental Growth Fund Class N
Sold		8,756		$	58,261			22,769		$	136,095
Issued as reinvestment of dividends		-			-			24			146
Redeemed		(3,093	)		(20,914	)		(44,245	)		(260,773	)
Net increase (decrease)		5,663		$	37,347			(21,452	)	$	(124,532	)
Blue Chip Growth Fund Class S
Sold		2,139,884		$	29,530,272			11,960,055		$	148,628,898
Issued as reinvestment of dividends		-			-			79,796			1,016,603
Redeemed		(3,983,787	)		(55,923,659	)		(5,245,585	)		(64,749,981	)
Net increase (decrease)		(1,843,903	)	$	(26,393,387	)		6,794,266		$	84,895,520
Blue Chip Growth Fund Class Y
Sold		834,437		$	11,507,707			4,513,416		$	53,494,955
Issued as reinvestment of dividends		-			-			18,691			237,195
Redeemed		(907,337	)		(12,592,092	)		(2,531,925	)		(31,607,453	)
Net increase (decrease)		(72,900	)	$	(1,084,385	)		2,000,182		$	22,124,697
Blue Chip Growth Fund Class L
Sold		1,382,026		$	18,715,752			5,731,199		$	70,367,941
Issued as reinvestment of dividends		-			-			11,471			144,653
Redeemed		(2,489,974	)		(34,124,493	)		(3,241,700	)		(39,218,109	)
Net increase (decrease)		(1,107,948	)	$	(15,408,741	)		2,500,970		$	31,294,485
Blue Chip Growth Fund Class A
Sold		728,340		$	9,713,537			6,241,800		$	73,783,497
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(1,057,295	)		(14,034,160	)		(2,125,542	)		(25,499,137	)
Net increase (decrease)		(328,955	)	$	(4,320,623	)		4,116,258		$	48,284,360

255

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Blue Chip Growth Fund Class N
Sold		922		$	11,997			57,670		$	695,024
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(5,181	)		(67,366	)		(4,568	)		(54,931	)
Net increase (decrease)		(4,259	)	$	(55,369	)		53,102		$	640,093
Growth Opportunities Fund Class Z
Sold		1,393,317		$	13,351,531			9,234,118		$	79,436,197
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(909,854	)		(8,775,213	)		(605,544	)		(5,249,265	)
Net increase (decrease)		483,463		$	4,576,318			8,628,574		$	74,186,932
Growth Opportunities Fund Class S
Sold		2,862,258		$	26,802,177			11,405,037		$	96,829,805
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(3,606,278	)		(34,333,634	)		(12,701,837	)		(108,707,944	)
Net increase (decrease)		(744,020	)	$	(7,531,457	)		(1,296,800	)	$	(11,878,139	)
Growth Opportunities Fund Class Y
Sold		1,936,732		$	18,068,663			2,319,906		$	19,443,608
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(504,229	)		(4,786,913	)		(1,206,746	)		(10,396,322	)
Net increase (decrease)		1,432,503		$	13,281,750			1,113,160		$	9,047,286
Growth Opportunities Fund Class L
Sold		1,747,318		$	16,337,396			7,079,566		$	58,971,166
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(1,997,582	)		(18,401,930	)		(975,788	)		(8,190,219	)
Net increase (decrease)		(250,264	)	$	(2,064,534	)		6,103,778		$	50,780,947
Growth Opportunities Fund Class A
Sold		2,704,928		$	24,007,040			7,491,630		$	60,391,803
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(980,351	)		(8,848,671	)		(2,525,814	)		(20,313,694	)
Net increase (decrease)		1,724,577		$	15,158,369			4,965,816		$	40,078,109
Growth Opportunities Fund Class N
Sold		219		$	1,921			1,276		$	10,178
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(220	)		(1,944	)		(1,404	)		(11,039	)
Net increase (decrease)		(1	)	$	(23	)		(128	)	$	(861	)
Mid-Cap Value Fund Class Z
Sold		716,556		$	8,825,537			7,372,837		$	80,616,006
Issued as reinvestment of dividends		-			-			113,821			1,254,247
Redeemed		(2,293,072	)		(28,944,945	)		(657,647	)		(7,199,832	)
Net increase (decrease)		(1,576,516	)	$	(20,119,408	)		6,829,011		$	74,670,421
Mid-Cap Value Fund Class S
Sold		1,112,972		$	13,809,057			2,663,570		$	28,124,912
Issued as reinvestment of dividends		-			-			74,827			824,409
Redeemed		(621,013	)		(7,714,730	)		(11,157,548	)		(120,981,889	)
Net increase (decrease)		491,959		$	6,094,327			(8,419,151	)	$	(92,032,568	)

256

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Mid-Cap Value Fund Class Y
Sold		38,346		$	465,287			41,390		$	439,233
Issued as reinvestment of dividends		-			-			2,261			24,970
Redeemed		(27,925	)		(339,031	)		(51,099	)		(540,475	)
Net increase (decrease)		10,421		$	126,256			(7,448	)	$	(76,272	)
Mid-Cap Value Fund Class L
Sold		62,847		$	771,428			106,440		$	1,094,253
Issued as reinvestment of dividends		-			-			4,027			44,738
Redeemed		(85,219	)		(1,078,593	)		(234,058	)		(2,506,995	)
Net increase (decrease)		(22,372	)	$	(307,165	)		(123,591	)	$	(1,368,004	)
Mid-Cap Value Fund Class A
Sold		106,578		$	1,334,703			108,350		$	1,148,434
Issued as reinvestment of dividends		-			-			4,100			45,198
Redeemed		(75,957	)		(923,616	)		(174,077	)		(1,856,340	)
Net increase (decrease)		30,621		$	411,087			(61,627	)	$	(662,708	)
Mid-Cap Value Fund Class N
Sold		748		$	8,997			1,304		$	13,799
Issued as reinvestment of dividends		-			-			58			635
Redeemed		(444	)		(5,379	)		(1,128	)		(11,959	)
Net increase (decrease)		304		$	3,618			234		$	2,475
Small Cap Value Equity Fund Class S
Sold		659,541		$	7,889,374			3,979,111		$	39,091,802
Issued as reinvestment of dividends		-			-			96,617			1,012,546
Redeemed		(1,363,377	)		(16,292,217	)		(3,441,212	)		(34,763,002	)
Net increase (decrease)		(703,836	)	$	(8,402,843	)		634,516		$	5,341,346
Small Cap Value Equity Fund Class Y
Sold		180,222		$	2,125,901			216,445		$	2,119,939
Issued as reinvestment of dividends		-			-			2,415			25,312
Redeemed		(88,277	)		(1,093,086	)		(258,700	)		(2,598,123	)
Net increase (decrease)		91,945		$	1,032,815			(39,840	)	$	(452,872	)
Small Cap Value Equity Fund Class L
Sold		83,708		$	994,477			40,384		$	408,680
Issued as reinvestment of dividends		-			-			1,537			16,072
Redeemed		(99,705	)		(1,201,794	)		(41,286	)		(410,129	)
Net increase (decrease)		(15,997	)	$	(207,317	)		635		$	14,623
Small Cap Value Equity Fund Class A
Sold		96,494		$	1,159,937			152,142		$	1,510,837
Issued as reinvestment of dividends		-			-			1,929			20,157
Redeemed		(98,873	)		(1,168,859	)		(188,778	)		(1,875,735	)
Net increase (decrease)		(2,379	)	$	(8,922	)		(34,707	)	$	(344,741	)
Small Cap Value Equity Fund Class N*
Sold		-		$	-			40		$	383
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(10	)		(130	)		(2,098	)		(21,234	)
Net increase (decrease)		(10	)	$	(130	)		(2,058	)	$	(20,851	)

257

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Small Company Value Fund Class Z
Sold		1,379,428		$	20,565,910			4,420,503		$	58,953,359
Issued as reinvestment of dividends		-			-			258,812			3,559,203
Redeemed		(697,884	)		(10,648,264	)		(2,874,643	)		(39,949,892	)
Net increase (decrease)		681,544		$	9,917,646			1,804,672		$	22,562,670
Small Company Value Fund Class S
Sold		985,400		$	14,875,880			2,927,865		$	40,313,584
Issued as reinvestment of dividends		-			-			732,905			10,100,364
Redeemed		(2,343,552	)		(36,044,157	)		(5,115,964	)		(68,929,197	)
Net increase (decrease)		(1,358,152	)	$	(21,168,277	)		(1,455,194	)	$	(18,515,249	)
Small Company Value Fund Class Y
Sold		406,698		$	6,106,020			351,226		$	4,827,689
Issued as reinvestment of dividends		-			-			105,601			1,450,916
Redeemed		(293,569	)		(4,592,441	)		(2,190,011	)		(30,295,056	)
Net increase (decrease)		113,129		$	1,513,579			(1,733,184	)	$	(24,016,451	)
Small Company Value Fund Class L
Sold		318,712		$	4,871,761			788,136		$	10,545,677
Issued as reinvestment of dividends		-			-			119,919			1,633,377
Redeemed		(876,188	)		(13,347,300	)		(1,106,779	)		(15,045,916	)
Net increase (decrease)		(557,476	)	$	(8,475,539	)		(198,724	)	$	(2,866,862	)
Small Company Value Fund Class A
Sold		529,207		$	7,895,284			879,754		$	11,718,312
Issued as reinvestment of dividends		-			-			303,670			4,065,642
Redeemed		(746,502	)		(11,208,866	)		(1,879,188	)		(24,941,608	)
Net increase (decrease)		(217,295	)	$	(3,313,582	)		(695,764	)	$	(9,157,654	)
Small Company Value Fund Class N
Sold		543		$	8,068			12,207		$	160,669
Issued as reinvestment of dividends		-			-			375			4,881
Redeemed		(136	)		(2,004	)		(57,570	)		(707,633	)
Net increase (decrease)		407		$	6,064			(44,988	)	$	(542,083	)
S&P Mid Cap Index Fund Class Z##
Sold		1,871,816		$	23,564,758			11,706,073		$	120,401,870
Issued as reinvestment of dividends		-			-			63,122			690,555
Redeemed		(518,350	)		(6,323,473	)		(3,868,993	)		(41,651,846	)
Net increase (decrease)		1,353,466		$	17,241,285			7,900,202		$	79,440,579
S&P Mid Cap Index Fund Class I##
Sold		274,621		$	3,406,505			10,010		$	100,150
Issued as reinvestment of dividends		-			-			146			1,604
Redeemed		(23,617	)		(292,114	)		-			-
Net increase (decrease)		251,004		$	3,114,391			10,156		$	101,754
S&P Mid Cap Index Fund Class S##
Sold		10,527		$	133,609			20,131		$	210,517
Issued as reinvestment of dividends		-			-			292			3,191
Redeemed		(1,948	)		(24,188	)		(6	)		(70	)
Net increase (decrease)		8,579		$	109,421			20,417		$	213,638

258

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
S&P Mid Cap Index Fund Class Y##
Sold		546,216		$	6,768,179			75,447		$	778,528
Issued as reinvestment of dividends		-			-			1,101			12,023
Redeemed		(26,982	)		(338,219	)		(745	)		(8,184	)
Net increase (decrease)		519,234		$	6,429,960			75,803		$	782,367
S&P Mid Cap Index Fund Class L##
Sold		95,740		$	1,208,569			14,804		$	151,160
Issued as reinvestment of dividends		-			-			197			2,152
Redeemed		(7,024	)		(87,748	)		-			-
Net increase (decrease)		88,716		$	1,120,821			15,001		$	153,312
S&P Mid Cap Index Fund Class A##
Sold		395,347		$	4,863,903			10,010		$	100,150
Issued as reinvestment of dividends		-			-			123			1,347
Redeemed		(10,971	)		(136,678	)		-			-
Net increase (decrease)		384,376		$	4,727,225			10,133		$	101,497
Russell 2000 Small Cap Index Fund Class Z##
Sold		970,691		$	11,724,623			12,189,631		$	125,411,875
Issued as reinvestment of dividends		-			-			73,900			794,428
Redeemed		(1,070,561	)		(12,809,978	)		(4,344,552	)		(46,608,154	)
Net increase (decrease)		(99,870	)	$	(1,085,355	)		7,918,979		$	79,598,149
Russell 2000 Small Cap Index Fund Class I##
Sold		439,759		$	5,346,681			10,010		$	100,149
Issued as reinvestment of dividends		-			-			154			1,658
Redeemed		(15,726	)		(193,525	)		-			-
Net increase (decrease)		424,033		$	5,153,156			10,164		$	101,807
Russell 2000 Small Cap Index Fund Class S##
Sold		26,995		$	327,095			11,614		$	117,079
Issued as reinvestment of dividends		-			-			173			1,860
Redeemed		(1,986	)		(24,673	)		-			-
Net increase (decrease)		25,009		$	302,422			11,787		$	118,939
Russell 2000 Small Cap Index Fund Class Y##
Sold		471,064		$	5,782,866			11,417		$	115,221
Issued as reinvestment of dividends		-			-			166			1,779
Redeemed		(13,280	)		(164,102	)		-			-
Net increase (decrease)		457,784		$	5,618,764			11,583		$	117,000
Russell 2000 Small Cap Index Fund Class L##
Sold		90,347		$	1,119,968			15,756		$	159,856
Issued as reinvestment of dividends		-			-			221			2,375
Redeemed		(3,028	)		(37,594	)		-			-
Net increase (decrease)		87,319		$	1,082,374			15,977		$	162,231
Russell 2000 Small Cap Index Fund Class A##
Sold		242,953		$	2,909,320			10,010		$	100,148
Issued as reinvestment of dividends		-			-			130			1,403
Redeemed		(8,024	)		(92,638	)		-	��		-
Net increase (decrease)		234,929		$	2,816,682			10,140		$	101,551

259

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Mid Cap Growth Equity II Fund Class Z
Sold		2,327,895		$	37,069,726			5,811,158		$	89,263,622
Issued as reinvestment of dividends		-			-			1,090,347			16,353,319
Redeemed		(1,092,648	)		(18,133,604	)		(5,106,425	)		(79,545,549	)
Net increase (decrease)		1,235,247		$	18,936,122			1,795,080		$	26,071,392
Mid Cap Growth Equity II Fund Class S
Sold		1,846,078		$	30,470,463			4,650,664		$	72,241,904
Issued as reinvestment of dividends		-			-			2,490,846			37,267,088
Redeemed		(3,629,394	)		(59,493,013	)		(7,787,696	)		(119,837,459	)
Net increase (decrease)		(1,783,316	)	$	(29,022,550	)		(646,186	)	$	(10,328,467	)
Mid Cap Growth Equity II Fund Class Y
Sold		1,433,566		$	23,176,433			3,503,315		$	53,922,582
Issued as reinvestment of dividends		-			-			1,143,806			16,920,942
Redeemed		(1,101,155	)		(17,979,980	)		(3,634,469	)		(56,895,200	)
Net increase (decrease)		332,411		$	5,196,453			1,012,652		$	13,948,324
Mid Cap Growth Equity II Fund Class L
Sold		812,068		$	12,837,506			2,036,921		$	30,481,885
Issued as reinvestment of dividends		-			-			1,898,518			27,443,165
Redeemed		(2,680,771	)		(43,135,984	)		(5,559,987	)		(83,675,279	)
Net increase (decrease)		(1,868,703	)	$	(30,298,478	)		(1,624,548	)	$	(25,750,229	)
Mid Cap Growth Equity II Fund Class A
Sold		777,241		$	11,888,338			2,225,702		$	32,513,736
Issued as reinvestment of dividends		-			-			2,158,780			30,060,774
Redeemed		(2,225,959	)		(33,790,436	)		(4,150,237	)		(60,740,668	)
Net increase (decrease)		(1,448,718	)	$	(21,902,098	)		234,245		$	1,833,842
Mid Cap Growth Equity II Fund Class N
Sold		9,037		$	133,810			22,739		$	323,952
Issued as reinvestment of dividends		-			-			13,026			174,480
Redeemed		(15,289	)		(224,091	)		(47,446	)		(668,951	)
Net increase (decrease)		(6,252	)	$	(90,281	)		(11,681	)	$	(170,519	)
Small Cap Growth Equity Fund Class Z
Sold		1,314,798		$	21,534,439			2,252,254		$	34,646,245
Issued as reinvestment of dividends		-			-			520,472			7,744,622
Redeemed		(895,904	)		(15,171,611	)		(2,238,568	)		(34,629,147	)
Net increase (decrease)		418,894		$	6,362,828			534,158		$	7,761,720
Small Cap Growth Equity Fund Class S
Sold		2,625,390		$	44,454,223			2,962,254		$	46,061,848
Issued as reinvestment of dividends		-			-			1,747,067			25,943,940
Redeemed		(3,399,480	)		(57,481,573	)		(4,982,724	)		(76,627,295	)
Net increase (decrease)		(774,090	)	$	(13,027,350	)		(273,403	)	$	(4,621,507	)
Small Cap Growth Equity Fund Class Y
Sold		490,170		$	8,042,128			612,749		$	9,451,156
Issued as reinvestment of dividends		-			-			232,886			3,383,837
Redeemed		(633,741	)		(10,966,184	)		(1,541,912	)		(23,772,530	)
Net increase (decrease)		(143,571	)	$	(2,924,056	)		(696,277	)	$	(10,937,537	)

260

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Small Cap Growth Equity Fund Class L
Sold		305,008		$	4,939,603			726,728		$	10,796,704
Issued as reinvestment of dividends		-			-			212,957			3,019,731
Redeemed		(1,109,586	)		(18,749,110	)		(1,168,112	)		(17,315,741	)
Net increase (decrease)		(804,578	)	$	(13,809,507	)		(228,427	)	$	(3,499,306	)
Small Cap Growth Equity Fund Class A
Sold		396,135		$	6,177,371			576,240		$	8,226,157
Issued as reinvestment of dividends		-			-			277,602			3,778,165
Redeemed		(882,242	)		(13,654,189	)		(1,874,078	)		(26,814,151	)
Net increase (decrease)		(486,107	)	$	(7,476,818	)		(1,020,236	)	$	(14,809,829	)
Small Cap Growth Equity Fund Class N
Sold		11,041		$	169,142			13,900		$	195,883
Issued as reinvestment of dividends		-			-			2,326			30,326
Redeemed		(20,111	)		(305,888	)		(13,908	)		(188,880	)
Net increase (decrease)		(9,070	)	$	(136,746	)		2,318		$	37,329
Small Company Growth Fund Class S
Sold		514,166		$	6,239,831			2,017,508		$	21,224,140
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(647,245	)		(7,892,358	)		(2,267,321	)		(24,299,385	)
Net increase (decrease)		(133,079	)	$	(1,652,527	)		(249,813	)��	$	(3,075,245	)
Small Company Growth Fund Class Y
Sold		148		$	1,828			30,725		$	336,127
Issued as reinvestment of dividends		-			-			-			-
Redeemed		-			-			(70,894	)		(791,292	)
Net increase (decrease)		148		$	1,828			(40,169	)	$	(455,165	)
Small Company Growth Fund Class L
Sold		46,138		$	544,598			198,054		$	2,058,822
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(248,156	)		(2,868,963	)		(154,497	)		(1,572,055	)
Net increase (decrease)		(202,018	)	$	(2,324,365	)		43,557		$	486,767
Small Company Growth Fund Class A
Sold		58,704		$	684,748			112,135		$	1,137,411
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(91,062	)		(1,052,319	)		(282,179	)		(2,868,673	)
Net increase (decrease)		(32,358	)	$	(367,571	)		(170,044	)	$	(1,731,262	)
Small Company Growth Fund Class N***
Sold		-		$	-			-		$	-
Issued as reinvestment of dividends		-			-			-			-
Redeemed		-			-			(11,489	)		(105,362	)
Net increase (decrease)		-			-			(11,489	)	$	(105,362	)
Diversified International Fund Class S
Sold		2,397,712		$	16,249,131			6,207,201		$	37,254,486
Issued as reinvestment of dividends		-			-			687,327			4,392,023
Redeemed		(2,618,290	)		(18,104,808	)		(4,850,851	)		(29,899,232	)
Net increase (decrease)		(220,578	)	$	(1,855,677	)		2,043,677		$	11,747,277

261

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Diversified International Fund Class Y
Sold		445		$	3,101			1,522		$	9,523
Issued as reinvestment of dividends		-			-			310			2,025
Redeemed		(1	)		(4	)		(2	)		(10	)
Net increase (decrease)		444		$	3,097			1,830		$	11,538
Diversified International Fund Class L
Sold		79		$	552			104,929		$	629,097
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(869	)		(6,011	)		(467,443	)		(2,937,350	)
Net increase (decrease)		(790	)	$	(5,459	)		(362,514	)	$	(2,308,253	)
Diversified International Fund Class A
Sold		26,279		$	177,007			19,321		$	118,056
Issued as reinvestment of dividends		-			-			2,770			17,645
Redeemed		(10,694	)		(71,612	)		(67,567	)		(410,047	)
Net increase (decrease)		15,585		$	105,395			(45,476	)	$	(274,346	)
Diversified International Fund Class N**
Sold								-		$	-
Issued as reinvestment of dividends								-			-
Redeemed								(10,000	)		(58,616	)
Net increase (decrease)								(10,000	)	$	(58,616	)
MSCI EAFE International Index Fund Class Z#
Sold		3,611,757		$	45,329,715			19,584,280		$	207,417,447
Issued as reinvestment of dividends		-			-			122,857			1,430,052
Redeemed		(382,866	)		(4,726,149	)		(8,902,330	)		(99,572,527	)
Net increase (decrease)		3,228,891		$	40,603,566			10,804,807		$	109,274,972
MSCI EAFE International Index Fund Class I#
Sold		525,395		$	6,508,907			10,009		$	100,100
Issued as reinvestment of dividends		-			-			125			1,457
Redeemed		(30,485	)		(385,903	)		-			-
Net increase (decrease)		494,910		$	6,123,004			10,134		$	101,557
MSCI EAFE International Index Fund Class S#
Sold		7,160		$	87,157			11,499		$	117,023
Issued as reinvestment of dividends		-			-			138			1,607
Redeemed		(48	)		(591	)		-			-
Net increase (decrease)		7,112		$	86,566			11,637		$	118,630
MSCI EAFE International Index Fund Class Y#
Sold		309,478		$	3,818,680			11,324		$	115,227
Issued as reinvestment of dividends		-			-			114			1,330
Redeemed		(21,188	)		(264,163	)		(1,306	)		(15,225	)
Net increase (decrease)		288,290		$	3,554,517			10,132		$	101,332
MSCI EAFE International Index Fund Class L#
Sold		28,328		$	357,688			24,772		$	269,625
Issued as reinvestment of dividends		-			-			127			1,475
Redeemed		(26	)		(337	)		(14,242	)		(158,413	)
Net increase (decrease)		28,302		$	357,351			10,657		$	112,687

262

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
MSCI EAFE International Index Fund Class A#
Sold		160,416		$	1,956,646			10,010		$	100,100
Issued as reinvestment of dividends		-			-			102			1,189
Redeemed		(5,135	)		(64,069	)		-			-
Net increase (decrease)		155,281		$	1,892,577			10,112		$	101,289
Overseas Fund Class Z
Sold		2,351,246		$	18,670,126			7,358,197		$	49,478,990
Issued as reinvestment of dividends		-			-			728,952			4,927,715
Redeemed		(4,854,020	)		(38,628,309	)		(13,052,264	)		(90,382,945	)
Net increase (decrease)		(2,502,774	)	$	(19,958,183	)		(4,965,115	)	$	(35,976,240	)
Overseas Fund Class S
Sold		1,825,112		$	14,877,394			7,765,200		$	53,202,848
Issued as reinvestment of dividends		-			-			264,582			1,791,221
Redeemed		(1,797,803	)		(14,267,652	)		(3,368,839	)		(23,049,971	)
Net increase (decrease)		27,309		$	609,742			4,660,943		$	31,944,098
Overseas Fund Class Y
Sold		1,508,388		$	11,746,932			1,436,163		$	9,689,813
Issued as reinvestment of dividends		-			-			121,740			820,526
Redeemed		(232,185	)		(1,831,846	)		(4,865,443	)		(32,914,649	)
Net increase (decrease)		1,276,203		$	9,915,086			(3,307,540	)	$	(22,404,310	)
Overseas Fund Class L
Sold		694,626		$	5,468,808			1,197,932		$	8,062,206
Issued as reinvestment of dividends		-			-			17,924			121,522
Redeemed		(1,756,944	)		(13,880,104	)		(1,812,526	)		(12,882,030	)
Net increase (decrease)		(1,062,318	)	$	(8,411,296	)		(596,670	)	$	(4,698,302	)
Overseas Fund Class A
Sold		514,828		$	4,072,606			1,394,424		$	9,214,961
Issued as reinvestment of dividends		-			-			79,745			531,101
Redeemed		(688,986	)		(5,326,439	)		(1,107,561	)		(7,381,044	)
Net increase (decrease)		(174,158	)	$	(1,253,833	)		366,608		$	2,365,018
Overseas Fund Class N
Sold		10,117		$	77,762			39,459		$	272,572
Issued as reinvestment of dividends		-			-			526			3,469
Redeemed		(3,736	)		(29,375	)		(4,409	)		(30,030	)
Net increase (decrease)		6,381		$	48,387			35,576		$	246,011

* Class N shares were eliminated as of June 18, 2013.

** Class N shares were eliminated as of January 19, 2012.

*** Class N shares were eliminated as of August 27, 2013.

# Fund commenced operations on July 25, 2012.

## Fund commenced operations on July 26, 2012.

263

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, 2013, 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. There were no contingent deferred sales charges imposed during the period ended June 30, 2013.

6. Federal Income Tax Information

At June 30, 2013, 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	$	2,532,378,669	$	45,552,479	$	(49,434,063	)	$	3,881,584
Strategic Bond Fund		183,377,553		4,747,059		(5,408,151	)		(661,092	)
Diversified Value Fund		281,782,784		78,662,065		(1,591,903	)		77,070,162
Fundamental Value Fund		1,082,459,490		387,311,010		(16,812,136	)		370,498,874
Large Cap Value Fund		436,826,379		54,491,509		(5,269,590	)		49,221,919
S&P 500 Index Fund		1,974,423,241		903,562,666		(133,783,522	)		769,779,144
Focused Value Fund		578,412,732		247,284,164		-			247,284,164
Fundamental Growth Fund		102,867,924		17,908,425		(1,823,897	)		16,084,528
Blue Chip Growth Fund		798,553,061		284,319,836		(10,750,588	)		273,569,248
Growth Opportunities Fund		509,352,357		176,773,920		(7,717,433	)		169,056,487
Mid-Cap Value Fund		129,489,733		20,785,412		(3,960,629	)		16,824,783
Small Cap Value Equity Fund		108,037,428		32,804,690		(1,065,602	)		31,739,088
Small Company Value Fund		442,756,865		133,306,900		(20,487,872	)		112,819,028
S&P Mid Cap Index Fund		124,737,777		19,583,940		(1,566,620	)		18,017,320
Russell 2000 Small Cap Index Fund		114,053,636		18,464,567		(2,781,035	)		15,683,532
Mid Cap Growth Equity II Fund		1,306,399,108		469,475,315		(20,550,053	)		448,925,262
Small Cap Growth Equity Fund		764,317,075		166,833,984		(14,189,919	)		152,644,065
Small Company Growth Fund		62,045,418		11,462,290		(1,442,289	)		10,020,001
Diversified International Fund		143,661,850		17,323,194		(5,405,766	)		11,917,428
MSCI EAFE International Index Fund		173,650,773		21,644,576		(3,601,083	)		18,043,493
Overseas Fund		504,733,421		85,830,782		(20,068,665	)		65,762,117

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.

264

Notes to Financial Statements (Unaudited) (Continued)

At December 31, 2012, the following Fund(s) had available, for federal income tax purposes, unused capital losses:

	Expiring 2016		Expiring 2017		Expiring 2018
Strategic Bond Fund	$	-	$	4,220,854	$	-
Diversified Value Fund		-		118,203,439		-
Fundamental Value Fund		-		8,685,223		-
S&P 500 Index Fund		8,095,687		25,573,790		-
Blue Chip Growth Fund		22,901,530		80,616,905		-
Mid Cap Value Fund		1,548,526		41,375,263		-
Small Cap Value Equity Fund		5,812,894		31,271,443		-
Small Company Growth Fund		-		8,393,170		-
Diversified International Fund		12,970,723		62,822,946		511,296
Overseas Fund		-		124,922,165		-

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.

At December 31, 2012, the following Fund(s) had post-enactment accumulated capital loss carryforwards:

	Long Term Capital Loss Carryforward		Short Term Capital Loss Carryforward
Diversified International Fund	$	3,997,991	$	10,507,681
Overseas Fund		-		3,312,931

The following Fund(s) elected to defer to the fiscal year beginning January 1,2013, post-October capital losses:

	Post-October Loss
Strategic Bond Fund	$	754,849
Fundamental Growth Fund		851,068
Blue Chip Growth Fund		1,521,084
Diversified International Fund		710,061

The following Fund(s) elected to defer to the fiscal year beginning January 1, 2013 late year ordinary losses:

	Amount
PIMCO Total Return Fund	$	3,705,780

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.

265

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, 2012, was as follows:

	Ordinary Income		Long Term Capital Gain		Return of Capital
PIMCO Total Return Fund	$	65,092,340	$	3,968,335	$	-
Strategic Bond Fund		5,613,265		-		-
Diversified Value Fund		6,724,836		-		-
Fundamental Value Fund		37,015,877		-		-
Large Cap Value Fund		6,689,783		139,858,959		-
S&P 500 Index Fund		50,952,630		-		-
Focused Value Fund		17,281,371		40,774,091		-
Fundamental Growth Fund		637,547		58,881		-
Blue Chip Growth Fund		1,398,451		-		-
Mid-Cap Value Fund		2,194,280		-		-
Small Cap Value Equity Fund		1,074,087		-		-
Small Company Value Fund		7,249,069		13,565,322		-
S&P Mid Cap Index Fund		1,263,014		38,734		-
Russell 2000 Small Cap Index Fund		1,327,669		5,042		-
Mid Cap Growth Equity II Fund		3,634,475		124,590,604		-
Small Cap Growth Equity Fund		-		43,900,621		-
Diversified International Fund		4,411,709		-		-
MSCI EAFE International Index Fund		1,578,651		16,555		-
Overseas Fund		8,195,701		-		-

The following Fund(s) have elected to pass through the foreign tax credit for the year ended December 31, 2012 :

	Amount
Diversified International Fund	$	401,185
MSCI EAFE International Index Fund		36,626
Overseas Fund		1,210,716

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, 2012, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, futures contracts, options contracts, swap agreements, premium amortization accruals, passive foreign investment companies, the deferral of wash sale losses, and deferred Trustee compensation.

At December 31, 2012, 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	$	-	$	2,567,349		$	(3,920,652	)	$	88,064,652
Strategic Bond Fund		-		(4,220,854	)		(805,313	)		4,053,811
Diversified Value Fund		18,798		(118,203,439	)		(85,829	)		44,177,372
Fundamental Value Fund		-		(8,685,223	)		(257,263	)		222,478,402
Large Cap Value Fund		227,734		395,989			(215,253	)		(3,707,609	)
S&P 500 Index Fund		227,274		(33,669,477	)		(484,471	)		443,156,910
Focused Value Fund		7,151,633		5,793,288			(161,378	)		138,064,016

266

Notes to Financial Statements (Unaudited) (Continued)

	Undistributed Ordinary Income		Undistributed Long Term Capital Gain (Capital Loss Carryover)			Other Temporary Differences			Unrealized Appreciation (Depreciation)
Fundamental Growth Fund	$	13,185	$	-		$	(865,161	)	$	4,378,924
Blue Chip Growth Fund		339,861		(103,518,435	)		(1,710,586	)		218,636,172
Growth Opportunities Fund		69,794		5,306,647			(97,114	)		131,139,865
Mid-Cap Value Fund		47,675		(42,923,789	)		(29,237	)		13,582,580
Small Cap Value Equity Fund		24,880		(37,084,337	)		(23,171	)		20,047,860
Small Company Value Fund		1,566,768		5,262,709			(124,495	)		66,807,652
S&P Mid Cap Index Fund		89,476		47,054			(914	)		7,766,934
Russell 2000 Small Cap Index Fund		642,507		30,598			(913	)		6,460,037
Mid Cap Growth Equity II Fund		-		10,980,258			(318,946	)		300,921,015
Small Cap Growth Equity Fund		-		5,705,047			(157,707	)		58,448,904
Small Company Growth Fund		-		(8,393,170	)		(20,957	)		6,929,571
Diversified International Fund		243,570		(90,810,637	)		(743,081	)		9,203,799
MSCI EAFE International Index Fund		237,324		119,078			(1,269	)		17,993,800
Overseas Fund		13,690,370		(128,235,096	)		(163,409	)		55,086,788

The Funds did not have any unrecognized tax benefits at June 30, 2013, 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, 2013, 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. New Accounting Pronouncements

On June 7, 2013, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2013-08, Financial Services — Investment Companies (Topic 946): “Amendments to the Scope, Measurement, and Disclosure Requirements” (“ASU 2013-08”). ASU 2013-08 sets forth a new approach for determining whether a public or private company is an investment company and sets certain measurement and disclosure requirements for an investment company. ASU 2013-08 is effective in annual reporting periods beginning on or after December 15, 2013, and for interim periods within those annual reporting periods. Management is currently evaluating the implications of these changes and their impact on the financial statements.

9. Legal Proceedings

On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds.

267

Notes to Financial Statements (Unaudited) (Continued)

The potential amounts sought to be recovered from the Diversified Value Fund and S&P 500 Index Fund, plus interest and the Official Committee’s court costs, are approximately $1,621,800 and $1,186,430, respectively.

In addition, on June 2, 2011, the Diversified Value Fund and S&P 500 Index Fund were named as defendants in a closely related, parallel adversary proceeding brought in connection with the Tribune Company’s LBO by Deutsche Bank Trust Company Americas, in its capacity as successor indenture trustee for a certain series of Senior Notes, Law Debenture Trust Company of New York, in its capacity as successor indenture trustee for a certain series of Senior Notes, and Wilmington Trust Company, in its capacity as successor indenture trustee for the PHONES Notes (together, the “Plaintiffs”), in the United States District Court for the District of Massachusetts. The Plaintiffs also seek to recover payments of the Proceeds.

The Funds cannot predict the outcome of these proceedings. If the proceedings were to be decided in a manner adverse to the Funds, or if the Funds were to enter into a settlement agreement with the Official Committee or the Plaintiffs, as applicable, the payment of such judgment or settlement could potentially have a material adverse effect on the Funds’ net asset values depending on the net assets of each applicable Fund at the time of such judgment or settlement.

10. Subsequent Events

In preparation of these financial statements management has evaluated the events and transactions subsequent to June 30, 2013, 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.

Effective August 27, 2013, Class N shares of the Small Company Growth Fund are no longer available.

268

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’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.

Trustees’ Approval of Investment Advisory Contracts

At their meetings in April and May 2013, 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 PIMCO Total Return Fund, Strategic Bond Fund, Diversified Value Fund, Fundamental Value Fund, Large Cap Value Fund, S&P 500 Index Fund, Focused Value Fund, Fundamental Growth Fund, Blue Chip Growth Fund, Growth Opportunities Fund, Mid-Cap Value Fund, Small Cap Value Equity Fund, Small Company Value Fund, 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 responsibility for providing services to the respective Fund and the fees payable to each subadviser by MassMutual. 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.

269

Other Information (Unaudited) (Continued)

The Committee reviewed expense and performance information for each Fund. (References to any one-, three-, five-, or ten-year period below are to periods ended December 31, 2012. The three-year or longer periods do not apply for any Fund that does not yet have a three-year performance history. In all cases, the comparative expense information is that of a Fund’s “peer group” and the comparative performance information is that of a Fund’s “performance category.”)

The Committee considered that, in the case of 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 (or for the most recent one-year period, where a Fund did not yet have a three-year period of performance). These Funds included the Blue Chip Growth Fund, Strategic Bond Fund, Focused Value Fund, Diversified Value Fund, Small Cap Value Equity Fund, Growth Opportunities Fund, and Overseas Fund and, for the one-year period, the PIMCO Total Return Fund. In the related discussion, the Committee noted that MassMutual was proposing changes to the fee structure of the Blue Chip Growth Fund (including reductions in the levels of administrative service fees paid by each share class of the Fund), and that the changes would not affect the Fund’s total net expense ratio. MassMutual noted that the Third-Party Report included a pro forma expense analysis for the Blue Chip Growth Fund, on the assumption that the proposed changes to the Fund were in effect during the measuring period.

The Committee also considered a number of Funds whose expenses were in the first quartile of their peer groups, and whose performance for the three-year period had been favorable, although their performance was below, although relatively close to, the median of their performance categories (51^st percentile) for the one-year period. Those Funds included the Mid-Cap Value Fund (52^nd percentile), Mid Cap Growth Equity II Fund (53^rd percentile), and Small Company Growth Fund (56^th percentile). The Committee reviewed this information with MassMutual, including, as applicable, the factors that may have contributed to the decline in relative performance in the most recent year, and determined that further inquiry was not required at this time. In the course of the related discussion, MassMutual noted that it was proposing changes in the fee arrangements for the Mid-Cap Value Fund, resulting in an increase of five basis points in the total net expense ratio of each share class of the Fund with the exception of Class Z; MassMutual noted that the Fund will continue to be priced relatively inexpensively after giving effect to the change. MassMutual noted that the Third-Party Report included a pro forma expense analysis for the Fund.

The Committee also considered that, in the case of certain of the 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- or fourth-quartile performance ranking for the three-year period. These Funds included the Fundamental Value Fund and Diversified International 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.

The Committee considered information regarding the other Funds that had underperformed in recent periods compared to their peers. The Committee considered that each of the Funds had relatively favorable expenses, first or second quartile, but had achieved unfavorable relative performance.

• Large Cap Value Fund – The Committee considered that MassMutual had replaced the long-term subadviser to the Fund at the end of 2012 with two other subadvisers, and that the prior subadviser had achieved a low fourth-quartile comparative performance over a substantial period of time. The Committee considered MassMutual’s statements that the new subadvisers were expected to provide a more diversified and varied investment strategy and have achieved favorable comparative performance in the past in respect of other products managed by them. MassMutual reported to the Committee that the lead portfolio manager for one of the subadvisers had recently left that subadviser, and that, for that reason and because of the recent change in subadviser, MassMutual will keep the Fund under close scrutiny in the coming year.

• S&P 500 Index Fund – The Committee considered MassMutual’s statement that the Fund has performed in line with its benchmark index, adjusted for the Fund’s expenses, and provides investors an attractive index option consistent with the nature of the investment product. The Committee considered MassMutual’s view that the Fund is performing as intended. In the related discussion, the Committee noted that MassMutual was proposing a change in fees for the Fund that would result in an increase in the Class L share total net expense ratio. MassMutual noted that all existing Class L shareholders would have the opportunity to exchange their shares for shares of a less expensive class of shares of the Fund, and that, as a result, no existing shareholders would be affected by the proposed increase. MassMutual also noted that the Third-Party Report included a pro forma expense analysis for the Fund.

270

Other Information (Unaudited) (Continued)

• Fundamental Growth Fund – The Committee considered that the current subadviser began managing the Fund in early 2012, when the Fund’s investment strategy was changed from a passive index strategy to an actively managed strategy. The Committee also considered that the subadviser’s strict sell discipline has caused it to sell many positions to take gains, where other managers might have chosen to continue to hold those positions in the generally rising equity markets. The Committee considered MassMutual’s strong confidence in the subadviser and its portfolio management team, and MassMutual’s belief that the Fund’s relative performance should improve when the market becomes less momentum-driven and more quality focused. The Committee noted that the Fund’s advisory fee contains no breakpoint, but, in light of the Fund’s recent change to active management, determined that it was still too early to know whether and at what level any breakpoint should be established.

• Small Company Value Fund – The Committee considered MassMutual’s statements that, although the Fund has a quite favorable long-term comparative performance record (5-year and 10-year), it has underperformed for the one- and three-year periods due principally to the management by one of its three subadvisers. The Committee considered MassMutual’s statement that the underperformance was driven principally by weak stock selection by that subadviser during the period, but that MassMutual continues to have a high degree of confidence in that subadviser.

• Small Cap Growth Equity Fund – The Committee considered that the Fund had achieved fourth-quartile comparative performance in the three-year period, although performance had improved to the 53^rd percentile in the one-year period. The Committee considered MassMutual’s statement that the Fund had benefitted in recent periods from the addition of a subadviser to the Fund and the corresponding reduction in the Fund’s mandate to one of the Fund’s other subadvisers. The Committee considered that the Fund’s expenses are in the first comparative decile. MassMutual noted in the course of the discussion that the Fund would be on close watch for the coming year since one of the Fund’s subadvisers had recently experienced a change in its portfolio management team.

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 and shareholder services fees, as applicable) and expense allocation methodology employed by MassMutual; and (ii) profitability information for each individual Fund. 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 Contracts 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 interests of each Fund’s shareholders.

271

Other Information (Unaudited) (Continued)

Fund Expenses June 30, 2013

Expense Examples:

The following information is in regards to expenses for the six months ended June 30, 2013:

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, 2013.

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 Z	$	1,000		0.41	%	$	971.60	$	1.98	$	1,022.50	$	2.03
Class S		1,000		0.56	%		970.60		2.71		1,021.80		2.78
Class Y		1,000		0.68	%		969.70		3.28		1,021.20		3.37
Class L		1,000		0.76	%		969.60		3.67		1,020.80		3.77
Class A		1,000		0.86	%		968.70		4.15		1,020.30		4.26
Class N		1,000		1.11	%		967.70		5.36		1,019.10		5.50
Strategic Bond Fund
Class S		1,000		0.67	%		972.90		3.24		1,021.20		3.32
Class Y		1,000		0.72	%		972.90		3.48		1,021.00		3.57
Class L		1,000		0.87	%		972.90		4.21		1,020.30		4.31
Class A		1,000		1.12	%		971.90		5.42		1,019.00		5.54
Class N		1,000		1.42	%		970.80		6.86		1,017.60		7.03

272

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Diversified Value Fund
Class S	$	1,000		0.59	%	$	1,152.80	$	3.11	$	1,021.60	$	2.92
Class Y		1,000		0.69	%		1,151.70		3.64		1,021.10		3.42
Class L		1,000		0.80	%		1,151.20		4.22		1,020.60		3.96
Class A		1,000		1.09	%		1,150.00		5.75		1,019.20		5.40
Class N		1,000		1.40	%		1,148.30		7.37		1,017.70		6.93
Fundamental Value Fund
Class Z		1,000		0.59	%		1,162.00		3.13		1,021.60		2.92
Class S		1,000		0.79	%		1,160.70		4.19		1,020.60		3.91
Class Y		1,000		0.83	%		1,161.10		4.40		1,020.50		4.11
Class L		1,000		0.98	%		1,160.50		5.19		1,019.70		4.85
Class A		1,000		1.23	%		1,158.70		6.51		1,018.50		6.09
Class N		1,000		1.53	%		1,157.30		8.09		1,017.00		7.57
Large Cap Value Fund
Class S		1,000		0.74	%		1,149.60		3.90		1,020.90		3.67
Class Y		1,000		0.83	%		1,149.40		4.37		1,020.50		4.11
Class L		1,000		0.98	%		1,148.70		5.16		1,019.70		4.85
Class A		1,000		1.23	%		1,147.60		6.48		1,018.50		6.09
Class N		1,000		1.53	%		1,147.10		8.06		1,017.00		7.57
S&P 500 Index® Fund
Class Z		1,000		0.08	%		1,137.90		0.42		1,024.10		0.40
Class I		1,000		0.20	%		1,137.60		1.05		1,023.50		0.99
Class S		1,000		0.42	%		1,135.80		2.20		1,022.50		2.08
Class Y		1,000		0.45	%		1,135.80		2.36		1,022.30		2.23
Class L		1,000		0.41	%		1,136.00		2.15		1,022.50		2.03
Class A		1,000		0.65	%		1,134.40		3.40		1,021.30		3.22
Class N		1,000		0.95	%		1,133.30		4.97		1,019.90		4.71
Focused Value Fund
Class Z		1,000		0.68	%		1,195.10		3.66		1,021.20		3.37
Class S		1,000		0.79	%		1,194.30		4.25		1,020.60		3.91
Class Y		1,000		0.90	%		1,193.70		4.84		1,020.10		4.46
Class L		1,000		1.04	%		1,192.80		5.59		1,019.40		5.15
Class A		1,000		1.30	%		1,192.00		6.99		1,018.10		6.43
Class N		1,000		1.59	%		1,189.90		8.54		1,016.70		7.86
Fundamental Growth Fund
Class S		1,000		0.81	%		1,126.90		4.22		1,020.50		4.01
Class Y		1,000		0.91	%		1,126.90		4.75		1,020.10		4.51
Class L		1,000		1.06	%		1,125.60		5.52		1,019.30		5.25
Class A		1,000		1.31	%		1,122.60		6.82		1,018.10		6.48
Class N		1,000		1.61	%		1,121.90		8.38		1,016.60		7.96
Blue Chip Growth Fund
Class S		1,000		0.76	%		1,120.60		3.95		1,020.80		3.77
Class Y		1,000		0.82	%		1,121.20		4.27		1,020.50		4.06
Class L		1,000		0.98	%		1,119.50		5.09		1,019.70		4.85
Class A		1,000		1.19	%		1,118.20		6.18		1,018.70		5.89
Class N		1,000		1.51	%		1,116.10		7.84		1,017.10		7.47

273

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*
Growth Opportunities Fund
Class Z	$	1,000		0.69	%	$	1,095.60	$	3.55	$	1,021.10	$	3.42
Class S		1,000		0.84	%		1,094.70		4.31		1,020.40		4.16
Class Y		1,000		0.94	%		1,093.60		4.83		1,019.90		4.66
Class L		1,000		1.09	%		1,093.00		5.59		1,019.20		5.40
Class A		1,000		1.34	%		1,091.30		6.87		1,017.90		6.63
Class N		1,000		1.64	%		1,090.00		8.40		1,016.50		8.11
Mid-Cap Value Fund
Class Z		1,000		0.73	%		1,139.80		3.83		1,020.90		3.62
Class S		1,000		0.81	%		1,138.50		4.25		1,020.50		4.01
Class Y		1,000		0.91	%		1,138.50		4.77		1,020.10		4.51
Class L		1,000		1.06	%		1,137.60		5.56		1,019.30		5.25
Class A		1,000		1.31	%		1,135.90		6.86		1,018.10		6.48
Class N		1,000		1.61	%		1,134.60		8.43		1,016.60		7.96
Small Cap Value Equity Fund
Class S		1,000		0.85	%		1,166.20		4.51		1,020.40		4.21
Class Y		1,000		0.95	%		1,166.20		5.05		1,019.90		4.71
Class L		1,000		1.10	%		1,164.60		5.84		1,019.10		5.45
Class A		1,000		1.35	%		1,162.90		7.16		1,017.90		6.68
Small Company Value Fund
Class Z		1,000		0.86	%		1,136.10		4.50		1,020.30		4.26
Class S		1,000		1.05	%		1,135.10		5.50		1,019.40		5.20
Class Y		1,000		1.09	%		1,134.80		5.71		1,019.20		5.40
Class L		1,000		1.23	%		1,134.50		6.44		1,018.50		6.09
Class A		1,000		1.49	%		1,133.20		7.79		1,017.20		7.37
Class N		1,000		1.79	%		1,131.80		9.36		1,015.70		8.85
S&P Mid Cap Index Fund
Class Z		1,000		0.19	%		1,144.90		1.00		1,023.60		0.94
Class I		1,000		0.29	%		1,144.00		1.52		1,023.10		1.44
Class S		1,000		0.44	%		1,143.10		2.31		1,022.40		2.18
Class Y		1,000		0.54	%		1,142.30		2.84		1,021.90		2.68
Class L		1,000		0.69	%		1,142.20		3.62		1,021.10		3.42
Class A		1,000		0.84	%		1,141.30		4.41		1,020.40		4.16
Russell 2000 Small Cap Index Fund
Class Z		1,000		0.19	%		1,158.00		1.01		1,023.60		0.94
Class I		1,000		0.29	%		1,157.10		1.53		1,023.10		1.44
Class S		1,000		0.44	%		1,157.20		2.33		1,022.40		2.18
Class Y		1,000		0.54	%		1,157.20		2.86		1,021.90		2.68
Class L		1,000		0.69	%		1,155.40		3.65		1,021.10		3.42
Class A		1,000		0.84	%		1,154.50		4.44		1,020.40		4.16
Mid Cap Growth Equity II Fund
Class Z		1,000		0.73	%		1,145.00		3.84		1,020.90		3.62
Class S		1,000		0.85	%		1,144.70		4.47		1,020.40		4.21
Class Y		1,000		0.94	%		1,143.60		4.94		1,019.90		4.66
Class L		1,000		1.09	%		1,142.90		5.73		1,019.20		5.40
Class A		1,000		1.34	%		1,141.10		7.04		1,017.90		6.63
Class N		1,000		1.64	%		1,139.30		8.60		1,016.50		8.11

274

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*
Small Cap Growth Equity Fund
Class Z	$	1,000		0.85	%	$	1,205.80	$	4.60	$	1,020.40	$	4.21
Class S		1,000		0.95	%		1,205.00		5.14		1,019.90		4.71
Class Y		1,000		1.09	%		1,204.10		5.89		1,019.20		5.40
Class L		1,000		1.23	%		1,203.60		6.65		1,018.50		6.09
Class A		1,000		1.49	%		1,202.20		8.05		1,017.20		7.37
Class N		1,000		1.79	%		1,200.50		9.66		1,015.70		8.85
Small Company Growth Fund
Class S		1,000		1.11	%		1,137.10		5.82		1,019.10		5.50
Class Y		1,000		1.15	%		1,136.90		6.03		1,018.90		5.69
Class L		1,000		1.30	%		1,136.50		6.81		1,018.10		6.43
Class A		1,000		1.55	%		1,134.90		8.11		1,016.90		7.67
Class N		1,000		1.85	%		1,133.50		9.68		1,015.40		9.14
Diversified International Fund
Class S		1,000		0.99	%		1,026.20		4.92		1,019.70		4.90
Class Y		1,000		1.09	%		1,024.10		5.41		1,019.20		5.40
Class L		1,000		1.17	%		1,023.70		5.81		1,018.80		5.79
Class A		1,000		1.42	%		1,023.10		7.04		1,017.60		7.03
MSCI EAFE International Index Fund
Class Z		1,000		0.23	%		1,033.90		1.15		1,023.40		1.14
Class I		1,000		0.33	%		1,033.90		1.65		1,022.90		1.64
Class S		1,000		0.48	%		1,032.20		2.39		1,022.20		2.38
Class Y		1,000		0.58	%		1,032.20		2.89		1,021.70		2.88
Class L		1,000		0.73	%		1,031.40		3.64		1,020.90		3.62
Class A		1,000		0.88	%		1,031.40		4.38		1,020.20		4.36
Overseas Fund
Class Z		1,000		0.85	%		1,038.30		4.25		1,020.40		4.21
Class S		1,000		1.13	%		1,036.90		5.64		1,019.00		5.59
Class Y		1,000		1.18	%		1,037.10		5.89		1,018.70		5.84
Class L		1,000		1.23	%		1,035.50		6.14		1,018.50		6.09
Class A		1,000		1.48	%		1,034.90		7.38		1,017.30		7.32
Class N		1,000		1.78	%		1,033.90		8.88		1,015.80		8.80

* Expenses are calculated using the annualized expense ratio for the six months ended June 30, 2013, 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.

275

Distributor:

MML Distributors, LLC

1295 State Street

Springfield, MA 01111-0001

August 29, 2013

^©2013 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. C:32502-00

Table of Contents

President’s Letter to Shareholders (Unaudited)	1
Portfolio Summary (Unaudited)	3
Consolidated Portfolio of Investments (Unaudited)	5
Consolidated Statement of Assets and Liabilities (Unaudited)	20
Consolidated Statement of Operations (Unaudited)	22
Consolidated Statements of Changes in Net Assets	23
Consolidated Financial Highlights	24
Notes to Consolidated Financial Statements (Unaudited)	26
Other Information (Unaudited)
Proxy Voting	51
Quarterly Reporting	51
Trustees’ Approval of Investment Advisory Contracts	51
Fund Expenses	53

This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for MassMutual Select BlackRock Global Allocation Fund. Investors should consider the 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 BlackRock Global Allocation Fund – President’s Letter to Shareholders (Unaudited)

To Our Shareholders

Eric Wietsma

“Thank you for your continued confidence in MassMutual. We are committed to helping you plan for a more financially secure future by giving you the information you need to make the choices that are appropriate for you, regardless of current market conditions.”

June 30, 2013

Welcome to the MassMutual Select BlackRock Global Allocation Fund Semiannual Report covering the six months ended June 30, 2013. Stocks in the United States and in foreign developed markets advanced during the first half of the year, and U.S. bonds and emerging-market equities declined. The actions and comments of central bankers across the globe kept the attention of investors and helped drive choppier stock markets and rising interest rates later in the period. The U.S. economy continued its somewhat unsteady recovery in the midst of government spending cuts mandated by sequestration – the automatic, across-the-board series of spending cuts to government agencies – and ongoing caution among business owners. Housing and unemployment mainly improved throughout the period, but U.S. gross domestic product (“GDP”) figures, which indicated higher rates of growth early in the period, underwent substantial downward revisions later. (GDP measures the total value of goods and services produced in a country.) Through it all, consumer confidence numbers reached their highest levels since mid-2007, and inflation remained in check. Elsewhere in the world, the ongoing recession in the euro zone and a March banking crisis in Cyprus kept investors wary. Looking to the Far East, China continued to struggle, while Japan made some headway against its economic challenges. Against this backdrop, two key commodities headed in different directions. The price of oil rose from slightly less than $92 a barrel at the beginning of the period to more than $96 at the end, taking a volatile route along the way. The price of gold continued its substantial decline, starting 2013 at around $1,676 an ounce and dropping to less than $1,224 by the end of the period.

Key events that defined the period

In the United States, encouraging pockets of economic strength and the Federal Reserve’s (the “Fed”) ongoing Quantitative Easing (“QE”) program gave investors reason for optimism, despite the challenges brought about by the “fiscal cliff” and sequestration. Late on January 1, 2013, congressional votes to avert the fiscal cliff were finally confirmed. (Fiscal cliff is the term for a combination of tax hikes and spending cuts that were set to take effect early in 2013 unless an alternate plan could be agreed upon by congress and the president.) The agreement prevented broad escalation of income taxes for most Americans except top-bracket individual filers.

In February, equity investors focused on the specter of sequestration, which was set to go into effect March 1, 2013. Ultimately, however, in March, the U.S. Congress passed a stopgap spending bill to keep the federal government running through September 2013. Also in March, the Department of Labor reported that the U.S. unemployment rate fell to its lowest level since December 2008, and the Fed continued its commitment to keep the federal funds rate between 0% and 0.25% and announced its continuation of the $85 billion per month bond-buying QE program. (The federal funds rate is the interest rate that banks and other financial institutions charge each other for borrowing funds overnight.) In April, Commerce Department reports indicated that the U.S. economy rebounded in the first quarter of 2013 after a lackluster fourth quarter. The agency estimated first-quarter 2013 GDP growth to be at a level of 2.5%, versus fourth-quarter 2012 GDP growth of 0.4% – although the 2.5% figure was ultimately revised downward to a final 1.8% in June.

In May, the first signs emerged that QE could soon be scaled back when Fed Chairman Bernanke alluded to a possible “tapering down” of monthly Fed bond purchases in the near term – and minutes from the Fed’s May 1 meeting indicated other Fed officials supported the move. The day of the release, the Dow Jones Industrial Average^SM (the “Dow”) reversed its triple-digit point gain to post a loss of 0.80% for the day. The markets subsequently posted declines in each of the last two weeks of May and the yields of U.S. Treasury securities increased across the board as their prices fell. (Bond prices move in the opposite direction of interest rates (or yields); when yields rise, the prices of

(Continued)

1

MassMutual Select BlackRock Global Allocation Fund – President’s Letter to Shareholders (Unaudited) (Continued)

existing bonds fall – and vice versa.) That same month, the U.S. unemployment rate fell to 7.5%, marking a four-year low. In June, the unemployment rate ticked up slightly to 7.6%, as more individuals entered the job market. Stock and bond markets sold off sharply in mid-June and drove interest rates higher on lingering concerns that QE would end sooner than expected. Stocks rose again as the period drew to a close when the Department of Labor released the final downward revision of first-quarter GDP. The weaker-than-expected growth figure drove shares higher on investor expectations that the Fed would continue QE a while longer.

In news from around the world, the Japanese Cabinet approved a ¥20 trillion (yen) ($224 billion) stimulus package in January 2013, which was expected to create 600,000 jobs and help repair tsunami-ravaged coastland. In February, uncertainty over Italian elections led to a hung parliament, which struck fresh fears into the euro zone. In late March, resolution came to the Cyprus banking crisis – although the deal restricted Cyprus’s financial industry and limited its status as an offshore tax haven. China sent mixed economic signals in the first part of 2013, but April reports were clear the country was in a slowdown. Also in April, the Bank of Japan announced plans to double the country’s monetary base over the next two years through its own bond-buying program in an effort to boost its economy. The announcement accelerated the already rallying Japanese stock market, which continued to advance well into May – but declined along with U.S. stocks in the wake of Fed chairman Bernanke’s comments about the possible end of QE. In June, consumer sentiment in the euro zone improved, despite the region’s continued recession, and the European Central Bank reaffirmed its commitment to stimulative monetary policy. Following a precipitous fall in late May into mid-June, Japanese stocks rallied on encouraging signs attributable to the country’s economic reforms, and China’s woes increased.

The major stock indexes in the U.S. advanced for the six months ended June 30, 2013, outperforming most international competitors. The Russell 2000^® Index, a benchmark of small-cap stocks, led the gainers with a 15.86% advance, while the Dow, a measure of blue-chip domestic stock performance, gained 15.20%. The S&P 500^® Index, a measure of large-cap stock performance, also turned in a double-digit advance of 13.82%. The NASDAQ Composite^® Index, an indicator of technology stock performance, returned 12.71% for the six months. In international equities, the MSCI EAFE^® Index, a benchmark measuring foreign developed-market stocks, posted a 4.10% gain; while the MSCI^® Emerging Markets Index, a benchmark of emerging stock markets, lost 9.57%. Fixed-income investments in the U.S. significantly lagged equity counterparts during the period, with the Barclays U.S. Aggregate Bond Index losing 2.44% during the period.*

Keeping it in perspective

The economic and market events that characterized the first six months of 2013 offer an excellent reminder that investing environments can be unpredictable and that it is important for investors to maintain perspective. We believe it is unwise for investors to use short-term performance to justify major deviations from their long-term plan. In the end, we believe you may be more successful if you focus on maintaining a solid, systematic individual investment plan that reflects your long-term objectives, risk tolerance, and the amount of time you have to invest.**

Thank you for your continued confidence in MassMutual. We are committed to help you plan for a more financially secure future by giving you the information you need to make the choices that are appropriate for you, regardless of current market conditions. If you work with a financial professional and have not met with him or her recently, you may wish to consider scheduling some time to review your retirement investment strategy in order to assess whether or not your current investments are compatible with your long-term financial goals.

Sincerely,

Eric Wietsma

President

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

** Systematic investing does not ensure a profit or protect against loss in a declining market. Systematic investing involves continuous investment in securities regardless of fluctuating price levels. Investors should consider their ability to continue investing through periods of low price levels.

The information provided is the opinion of MassMutual Retirement Services Investment Services as of 7/1/13 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 BlackRock Global Allocation Fund – Portfolio Summary (Unaudited)

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 seeks to reduce volatility by allocating its assets broadly across markets, industries, and issuers, and without geographic or market capitalization limits. The Fund’s subadviser is BlackRock Investment Management, LLC (BlackRock).

MassMutual Select BlackRock Global Allocation Fund Largest Holdings (% of Net Assets) on 6/30/13
U.S. Treasury Note 3.500% 5/15/20	1.7	%
United Kingdom Gilt 4.750% 3/07/20	1.2	%
Republic of Germany 4.250% 7/04/17	1.0	%
U.S. Treasury Note 1.000% 5/31/18	0.9	%
U.S. Treasury Note 2.625% 8/15/20	0.8	%
Brazil Notas do Tesouro Nacional Serie B 6.000% 8/15/22	0.8	%
U.S. Treasury Note 2.250% 3/31/16	0.8	%
Bundesrepublik Deutschland 3.500% 7/04/19	0.8	%
Google, Inc. Class A	0.7	%
Pfizer, Inc.	0.7	%
	9.4	%

MassMutual Select BlackRock Global Allocation Fund Asset Allocation (% of Net Assets) on 6/30/13
Equities	59.2	%
Bonds & Notes	20.4	%
Mutual Funds	1.6	%
Purchased Options	0.9	%
Warrants	0.0	%
Total Long-Term Investments	82.1	%
Short-Term Investments and Other Assets and Liabilities	17.9	%
Net Assets	100.0	%
Securities Sold Short	(0.1	)%

3

MassMutual Select BlackRock Global Allocation Fund – Portfolio Summary (Unaudited) (Continued)

MassMutual Select BlackRock Global Allocation Fund Country Weightings (% of Net Assets) on 6/30/13
United States	43.5	%
Japan	7.9	%
United Kingdom	5.1	%
Germany	3.7	%
Canada	2.7	%
France	2.0	%
Switzerland	2.0	%
Australia	1.9	%
Brazil	1.8	%
Netherlands	1.6	%
Singapore	1.0	%
Italy	1.0	%
Republic of Korea	0.8	%
Hong Kong	0.7	%
Cayman Islands	0.7	%
Malaysia	0.7	%
Ireland	0.6	%
United Arab Emirates	0.5	%
Bermuda	0.5	%
Netherlands Antilles	0.4	%
Luxembourg	0.3	%
Spain	0.3	%
Taiwan	0.3	%
Mexico	0.3	%
Chile	0.2	%
Russia	0.2	%
Sweden	0.2	%
India	0.2	%
China	0.2	%
Belgium	0.2	%
Channel Islands	0.1	%
Thailand	0.1	%
Turkey	0.1	%
South Africa	0.1	%
Kazakhstan	0.1	%
Panama	0.1	%
Philippines	0.0	%
British Virgin Islands	0.0	%
Portugal	0.0	%
Denmark	0.0	%
Colombia	0.0	%
Indonesia	0.0	%
Israel	0.0	%
Argentina	0.0	%
Total Long-Term Investments	82.1	%
Short-Term Investments and Other Assets and Liabilities	17.9	%
Net Assets	100.0	%
Securities Sold Short	(0.1	)%

4

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments

June 30, 2013 (Unaudited)

	Number of Shares		Value
EQUITIES — 59.2%
COMMON STOCK — 57.6%
Basic Materials — 3.9%
Chemicals — 2.1%
Agrium, Inc.		7,254	$	630,808
Asahi Kasei Corp.		72,000		476,284
BASF SE		4,014		358,503
CF Industries Holdings, Inc.		491		84,206
China BlueChemical Ltd.		395,700		239,110
Eastman Chemical Co.		1,600		112,016
FMC Corp.		20,630		1,259,668
Hitachi Chemical Co. Ltd.		25,800		404,031
JSR Corp.		20,700		418,730
Lanxess AG		12,386		744,506
Linde AG		4,405		820,230
Mexichem SAB de CV		69,590		288,565
Monsanto Co.		10,224		1,010,131
Nitto Denko Corp.		7,300		469,652
Potash Corporation of Saskatchewan, Inc.		24,744		943,489
PPG Industries, Inc.		938		137,333
Praxair, Inc.		3,043		350,432
PTT Global Chemical PCL		202,360		450,196
Shin-Etsu Chemical Co. Ltd.		22,288		1,478,875
Sociedad Quimica y Minera de Chile SA Sponsored ADR (Chile)		4,807		194,203
Syngenta AG		3,623		1,412,927
Ube Industries Ltd.		159,600		296,122
				12,580,017
Forest Products & Paper — 0.0%
International Paper Co.		2,503		110,908
Machinery – Construction & Mining �� 0.2%
Rio Tinto PLC		29,067		1,191,356
Mining — 1.6%
Anglo Platinum Ltd. (a)		1		30
Antofagasta PLC		48,507		588,879
BHP Billiton PLC		67,020		1,721,373
Boliden AB		19,861		245,912
Detour Gold Corp. (a)		12,208		95,765
Eldorado Gold Corp.		49,967		309,295
First Quantum Minerals Ltd.		38,284		567,872
Freeport-McMoRan Copper & Gold, Inc.		37,928		1,047,192
Glencore International PLC		39,717		165,221
Goldcorp, Inc.		63,442		1,568,921
Kinross Gold Corp.		11,753		59,940
Kinross Gold Corp.		54,283		278,202
Newcrest Mining Ltd.		24,873		223,396
Newmont Mining Corp.		25,714		770,134
Orica Ltd.		13,034		245,016

	Number of Shares		Value
Osisko Mining Corp. (a)		51,864	$	171,614
Polyus Gold International Ltd. GDR (Russia)		141,081		432,202
Silver Wheaton Corp.		24,589		483,666
Southern Copper Corp.		9,670		267,085
Teck Resources Ltd. Class B		12,635		270,010
				9,511,725
				23,394,006
Communications — 6.5%
Internet — 1.2%
Amazon.com, Inc. (a)		3,269		907,769
Baidu, Inc. Sponsored ADR (Cayman Islands) (a)		6,640		627,679
Expedia, Inc.		1,774		106,706
Facebook, Inc. Class A (a)		13,614		338,444
Google, Inc. Class A (a)		4,602		4,051,463
Rakuten, Inc.		73,300		867,030
Symantec Corp.		3,613		81,184
TIBCO Software, Inc. (a)		31,293		669,670
				7,649,945
Media — 1.6%
Charter Communications, Inc. Class A (a)		7,791		964,915
Comcast Corp. Class A		74,277		3,110,721
DISH Network Corp. Class A		2,876		122,288
Kabel Deutschland Holding AG		9,317		1,023,042
Liberty Media Corp. Class A (a)		7,319		927,756
Mediaset SpA (a)		124,335		468,533
Pearson PLC		15,604		277,060
Rogers Communications, Inc. Class B		11,296		442,803
RTL Group (a)		6,553		538,957
Shaw Communications, Inc.		33,673		808,126
Singapore Press Holdings Ltd.		56,090		184,122
Time Warner Cable, Inc.		5,351		601,880
Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA		53,118		255,633
				9,725,836
Telecommunications — 3.7%
Amdocs Ltd.		2,789		103,444
AT&T, Inc.		7,009		248,119
Axiata Group		361,812		752,574
BCE, Inc.		14,434		591,798
BT Group PLC		259,952		1,216,481
Chunghwa Telecom Co. Ltd.		54,708		185,946
Chunghwa Telecom Co. Ltd. Sponsored ADR (Taiwan)		14,556		467,393
Cisco Systems, Inc.		32,995		802,108

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

5

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

	Number of Shares		Value
Corning, Inc.		91,844	$	1,306,940
Crown Castle International Corp. (a)		7,743		560,516
Deutsche Telekom AG		94,834		1,106,106
Eutelsat Communications SA		6,971		197,302
Far EasTone Telecommunications Co. Ltd.		140,087		375,695
France Telecom SA		17,783		167,465
KDDI Corp.		13,900		723,235
KT Corp. Sponsored ADR (Republic of Korea)		11,142		172,924
Leap Wireless International, Inc. (a)		13,418		90,303
Motorola Solutions, Inc.		1,887		108,936
MTN Group Ltd.		9,105		168,890
Nippon Telegraph & Telephone Corp.		10,370		541,228
NTT DoCoMo, Inc.		155		240,846
Philippine Long Distance Telephone Co. Sponsored ADR (Philippines)		4,026		273,204
QUALCOMM, Inc.		45,909		2,804,122
Singapore Telecommunications Ltd.		259,228		767,682
Softbank Corp.		3,300		192,682
Sprint Nextel Corp. (a)		61,847		434,166
Swisscom AG		954		416,899
TDC A/S		28,814		233,107
Telecom Italia SpA		505,492		351,093
Telecom Italia SpA- RSP		54,481		30,105
Telefonica Brasil SA Sponsored ADR (Brazil)		17,592		401,449
Telefonica Deutschland Holding AG		47,206		341,689
Telefonica SA (a)		45,339		583,383
Telefonica SA Sponsored ADR (Spain) (a)		10,697		137,029
Telekom Malaysia		209,224		357,579
Telekomunikasi Indonesia Tbk PT		181,200		201,284
TELUS Corp.		10,844		316,545
Verizon Communications, Inc.		44,614		2,245,869
Vodafone Group PLC		189,786		544,632
Vodafone Group PLC Sponsored ADR (United Kingdom)		28,844		828,977
Ziggo NV		21,032		839,616
				22,429,361
				39,805,142
Consumer, Cyclical — 6.1%
Airlines — 0.1%
Japan Airlines Co. Ltd.		15,700		807,372
Auto Manufacturers — 2.3%
Bayerische Motoren Werke AG		5,468		477,712
Daihatsu Motor Co. Ltd.		16,750		317,536
Dongfeng Motor Group Co. Ltd. Class H		97,500		129,645
Fiat Industrial SpA		176,277		1,963,659

	Number of Shares		Value
Ford Motor Co.		96,291	$	1,489,622
Fuji Heavy Industries Ltd.		119,030		2,935,017
General Motors Co. (a)		42,208		1,405,949
Honda Motor Co. Ltd.		34,560		1,284,266
Hyundai Motor Co.		3,408		669,546
Mazda Motor Corp. (a)		45,000		177,444
Paccar, Inc.		10,615		569,601
Suzuki Motor Corp.		61,537		1,419,184
Toyota Motor Corp.		18,100		1,092,901
Yulon Motor Co. Ltd.		152,000		242,591
				14,174,673
Automotive & Parts — 1.0%
Aisin Seiki Co. Ltd.		10,940		418,672
BorgWarner, Inc. (a)		5,061		436,005
Bridgestone Corp.		34,500		1,175,939
Cheng Shin Rubber Industry Co. Ltd.		112,358		353,103
Delphi Automotive PLC		6,041		306,218
Denso Corp.		16,270		763,075
Futaba Industrial Co. Ltd. (a)		21,010		95,762
Johnson Controls, Inc.		10,776		385,673
Lear Corp.		1,900		114,874
Sumitomo Electric Industries Ltd.		31,400		375,538
Toyota Industries Corp.		31,121		1,274,141
TRW Automotive Holdings Corp. (a)		5,100		338,844
				6,037,844
Distribution & Wholesale — 0.5%
Mitsubishi Corp.		52,820		904,927
Mitsui & Co. Ltd.		155,852		1,958,187
Sumitomo Corp.		24,100		300,614
				3,163,728
Entertainment — 0.2%
Delta Topco Ltd. (b)		800,425		469,299
International Game Technology		20,289		339,029
Manchester United PLC Class A (a)		20,005		318,479
				1,126,807
Home Builders — 0.2%
MRV Engenharia e Participacoes SA		86,122		249,333
PulteGroup, Inc. (a)		29,798		565,268
				814,601
Leisure Time — 0.1%
Carnival Corp.		9,733		333,745
Lodging — 0.0%
Wyndham Worldwide Corp.		1,500		85,845
Retail — 1.4%
Coach, Inc.		12,908		736,918
CVS Caremark Corp.		19,676		1,125,074
Macy’s, Inc.		1,900		91,200
McDonald’s Corp.		17,191		1,701,909
Nitori Holdings Co. Ltd.		5,550		447,989
Ross Stores, Inc.		1,200		77,772

6

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

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

	Number of Shares		Value
Ryohin Keikaku Co. Ltd.		6,900	$	566,347
Tiffany & Co.		8,231		599,546
Wal-Mart Stores, Inc.		28,977		2,158,497
Williams-Sonoma, Inc.		6,594		368,539
Yamada Denki Co. Ltd.		13,180		534,925
Zhongsheng Group Holdings Ltd.		213,850		234,803
				8,643,519
Textiles — 0.1%
Guinness Peat Group PLC (a)		374,884		133,698
Kuraray Co. Ltd.		32,510		456,342
				590,040
Toys, Games & Hobbies — 0.2%
Mattel, Inc.		17,426		789,572
Nintendo Co. Ltd.		4,900		578,095
				1,367,667
				37,145,841
Consumer, Non-Cyclical — 12.8%
Agriculture — 0.1%
Chaoda Modern Agriculture Holdings Ltd. (a) (b)		1,265,139		61,992
Philip Morris International, Inc.		1,179		102,125
SLC Agricola SA		44,382		376,322
				540,439
Beverages — 1.3%
The Coca-Cola Co.		62,119		2,491,593
Constellation Brands, Inc. Class A (a)		2,821		147,030
Diageo PLC Sponsored ADR (United Kingdom)		7,688		883,736
Dr. Pepper Snapple Group, Inc.		4,592		210,911
Fomento Economico Mexicano SAB de CV Series B Sponsored ADR (Mexico)		3,152		325,255
InBev NV		7,577		672,195
Kirin Holdings Co. Ltd.		23,800		373,792
PepsiCo, Inc.		25,900		2,118,361
SABMiller PLC		2,435		117,169
Suntory Beverage & Food Ltd. (a)		18,900		590,744
				7,930,786
Biotechnology — 0.7%
Alexion Pharmaceuticals, Inc. (a)		5,419		499,849
Amgen, Inc.		9,503		937,566
ARIAD Pharmaceuticals, Inc. (a)		2,445		42,763
Biogen Idec, Inc. (a)		3,891		837,343
Celgene Corp. (a)		9,683		1,132,040
Life Technologies Corp. (a)		5,052		373,898
Mesoblast Ltd. (a)		56,372		270,884
				4,094,343

	Number of Shares		Value
Commercial Services — 1.6%
Alliance Data Systems Corp. (a)		812	$	146,996
Anhanguera Educacional Participacoes SA		71,409		412,834
Cielo SA		24,934		625,766
MasterCard, Inc. Class A		5,404		3,104,598
McKesson Corp.		9,329		1,068,170
Qualicorp SA (a)		39,075		295,950
Visa, Inc. Class A		21,113		3,858,401
				9,512,715
Cosmetics & Personal Care — 0.7%
Colgate-Palmolive Co.		21,304		1,220,506
Kao Corp.		9,400		319,896
The Procter & Gamble Co.		34,384		2,647,224
Unicharm Corp.		4,200		237,587
				4,425,213
Foods — 1.2%
Cosan Ltd. Class A		63,772		1,030,556
General Mills, Inc.		17,623		855,244
Hillshire Brands Co.		19,384		641,223
Kraft Foods Group, Inc.		7,739		432,378
The Kroger Co.		2,958		102,169
Mondelez International Inc.		43,661		1,245,648
Nestle SA		28,080		1,836,612
Unilever NV		19,142		750,880
Unilever NV NY Shares		4,391		172,610
Unilever PLC		7,592		308,322
Unilever PLC Sponsored ADR (United Kingdom)		4,854		196,344
WhiteWave Foods Co. (a)		1,688		27,430
				7,599,416
Health Care – Products — 1.0%
Covidien PLC		16,037		1,007,765
Fresenius SE & Co. KGaA		8,633		1,064,089
Intuitive Surgical, Inc. (a)		610		309,014
Johnson & Johnson		28,708		2,464,869
Medtronic, Inc.		15,666		806,329
Stryker Corp.		1,408		91,069
Terumo Corp.		6,140		305,553
				6,048,688
Health Care – Services — 2.0%
Aetna, Inc.		22,304		1,417,196
Al Noor Hospitals Group PLC (a)		32,300		311,218
Bangkok Dusit Medical Services PCL		87,600		444,849
DaVita, Inc. (a)		5,010		605,208
HCA Holdings, Inc.		29,671		1,069,936
HEALTHSOUTH Corp. (a)		13,076		376,589
Humana, Inc.		20,126		1,698,232
IHH Healthcare Bhd (a)		928,300		1,160,440
Life Healthcare Group Holdings Ltd.		96,702		369,175
NMC Health PLC		56,641		232,788
Raffles Medical Group Ltd.		95,600		236,291

7

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

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

	Number of Shares		Value
Tenet Healthcare Corp. (a)		11,358	$	523,604
UnitedHealth Group, Inc.		18,273		1,196,516
Universal Health Services, Inc. Class B		26,113		1,748,527
WellPoint, Inc.		6,881		563,141
				11,953,710
Household Products — 0.2%
Avery Dennison Corp.		7,600		324,976
Hypermarcas SA		66,542		433,305
Kimberly-Clark Corp.		7,848		762,355
				1,520,636
Pharmaceuticals — 4.0%
Abbott Laboratories		17,947		625,991
AbbVie, Inc.		22,420		926,843
Allergan, Inc.		7,370		620,849
AmerisourceBergen Corp.		12,675		707,645
Astellas Pharma, Inc.		13,770		749,875
AstraZeneca PLC		26,871		1,271,105
Bristol-Myers Squibb Co.		25,818		1,153,806
Cardinal Health, Inc.		27,233		1,285,398
Cubist Pharmaceuticals, Inc. (a)		7,026		339,356
Express Scripts Holding Co. (a)		8,216		506,845
Gilead Sciences, Inc. (a)		23,400		1,198,314
GlaxoSmithKline PLC ADR (United Kingdom)		1,783		89,097
GlaxoSmithKline PLC		36,393		910,437
Kyowa Hakko Kirin Co. Ltd.		29,210		330,481
Mead Johnson Nutrition Co. Class A		15,227		1,206,435
Novartis AG		18,552		1,314,769
Onyx Pharmaceuticals, Inc. (a)		3,908		485,061
Perrigo Co.		4,264		515,944
Pfizer, Inc. (c)		141,993		3,977,224
Roche Holding AG		13,554		3,358,469
Sanofi		11,351		1,169,801
Sanofi ADR (France)		1,546		79,634
Ship Healthcare Holdings, Inc.		4,600		169,299
Shire Ltd.		28,435		902,043
Sino Biopharmaceutical Ltd.		184,000		118,611
Sinopharm Group Co.		135,200		338,863
Valeant Pharmaceuticals International, Inc. (a)		2,873		247,309
				24,599,504
				78,225,450
Diversified — 0.2%
Holding Company – Diversified — 0.2%
Keppel Corp. Ltd.		90,812		742,567
LVMH Moet Hennessy Louis Vuitton SA		3,339		537,701
				1,280,268

	Number of Shares		Value
Energy — 5.8%
Coal — 0.2%
Project Eagle Shell (b)		34,701	$	591,167
Project Eagle Shell Class A (b)		400		6,814
Project Eagle Shell Series D (b)		36,254		616,318
				1,214,299
Oil & Gas — 4.6%
Anadarko Petroleum Corp.		22,797		1,958,946
Apache Corp.		6,569		550,679
Athabasca Oil Corp. (a)		81,291		503,189
BG Group PLC		94,615		1,614,793
BP PLC		60,165		417,375
BP PLC Sponsored ADR (United Kingdom)		16,586		692,300
Canadian Natural Resources Ltd.		23,948		676,770
Chevron Corp.		16,182		1,914,978
Cobalt International Energy, Inc. (a)		16,612		441,381
Devon Energy Corp.		12,102		627,852
Diamond Offshore Drilling, Inc.		1,274		87,638
Eni SpA		64,160		1,318,142
EOG Resources, Inc.		5,498		723,977
Helmerich & Payne, Inc.		1,557		97,235
Inpex Corp.		178		744,142
KazMunaiGas Exploration Production GDR (Kazakhstan) (d)		35,419		534,920
Marathon Oil Corp.		79,109		2,735,589
Marathon Petroleum Corp.		39,249		2,789,034
Murphy Oil Corp.		1,471		89,569
Occidental Petroleum Corp.		19,236		1,716,428
Phillips 66		19,383		1,141,853
QEP Resources, Inc.		24,864		690,722
SM Energy Co.		11,215		672,676
Suncor Energy, Inc.		62,722		1,848,799
Suncor Energy, Inc.		2,789		82,248
Total SA		21,100		1,028,929
Total SA Sponsored ADR (France)		23,103		1,125,116
Valero Energy Corp.		3,147		109,421
Vallares PLC (a)		34,239		477,476
Whiting Petroleum Corp. (a)		15,384		709,049
				28,121,226
Oil & Gas Services — 1.0%
Dresser-Rand Group, Inc. (a)		166		9,957
Halliburton Co.		24,022		1,002,198
National Oilwell Varco, Inc.		29,065		2,002,578
Schlumberger Ltd.		31,254		2,239,662
Technip SA		9,459		956,015
				6,210,410
				35,545,935

8

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

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

	Number of Shares		Value
Financial — 10.6%
Banks — 4.3%
Banco Bilbao Vizcaya Argentaria SA		46,990	$	391,295
Banco Santander SA		87,435		553,543
Bank of America Corp.		175,712		2,259,656
Bank of New York Mellon Corp.		21,105		591,995
Bank of Nova Scotia		9,242		494,043
BB&T Corp.		20,005		677,769
BNP Paribas		32,219		1,760,341
Capital One Financial Corp.		14,977		940,705
Commonwealth Bank of Australia		4,756		298,945
Deutsche Bank AG		30,112		1,259,686
HSBC Holdings PLC		208,881		2,164,651
Intesa Sanpaolo		406,390		650,273
Lloyds Banking Group PLC (a)		748,473		721,573
M&T Bank Corp.		3,952		441,636
Mitsubishi UFJ Financial Group, Inc.		181,100		1,123,811
National Australia Bank Ltd.		6,471		174,326
Northern Trust Corp.		7,503		434,424
Oversea-Chinese Banking Corp. Ltd.		81,900		643,047
Sberbank of Russian Federation		210,912		593,035
Societe Generale		7,105		241,930
State Street Corp.		18,903		1,232,665
Sumitomo Mitsui Financial Group, Inc.		43,830		2,011,079
Svenska Handelsbanken AB		21,034		841,044
The Toronto-Dominion Bank		4,329		347,695
U.S. Bancorp		34,716		1,254,983
UniCredit SpA		129,786		606,902
Wells Fargo & Co.		90,791		3,746,945
				26,457,997
Diversified Financial — 1.8%
American Express Co.		20,778		1,553,363
Ameriprise Financial, Inc.		1,200		97,056
Citigroup, Inc. (c)		37,812		1,813,842
Credit Suisse Group		18,172		481,789
Deutsche Boerse AG		6,211		408,878
Discover Financial Services		22,893		1,090,623
The Goldman Sachs Group, Inc.		7,430		1,123,787
JPMorgan Chase & Co.		70,562		3,724,968
Morgan Stanley		16,619		406,002
UBS AG		31,379		533,076
				11,233,384
Insurance — 2.9%
ACE Ltd.		20,006		1,790,137
Allianz SE		6,732		983,143
American International Group, Inc. (a)		12,200		545,340
Amlin PLC		27,564		165,301
Arch Capital Group Ltd. (a)		5,346		274,838
AXA SA		41,169		808,905
Axis Capital Holdings Ltd.		2,304		105,477
Berkshire Hathaway, Inc. Class B (a)		4,499		503,528
The Chubb Corp.		9,214		779,965

	Number of Shares		Value
CNA Financial Corp.		2,951	$	96,262
Fidelity National Financial, Inc. Class A		11,894		283,196
ING Groep NV (a)		76,606		700,002
Lincoln National Corp.		3,763		137,237
MetLife, Inc.		13,092		599,090
Millea Holdings, Inc.		91,375		2,897,900
Mitsui Sumitomo Insurance Group Holdings, Inc.		34,266		871,469
Muenchener Rueckversicherungs AG		2,026		372,026
Platinum Underwriters Holdings Ltd.		3,473		198,725
The Progressive Corp.		24,532		623,604
Prudential Financial, Inc.		7,164		523,187
QBE Insurance Group Ltd.		34,989		482,891
Reinsurance Group of America, Inc. Class A		1,100		76,021
RenaissanceRe Holdings Ltd.		4,313		374,325
Sony Financial Holdings, Inc.		34,100		538,819
T&D Holdings, Inc.		14,400		193,709
Torchmark Corp.		1,550		100,967
The Travelers Cos., Inc.		14,720		1,176,422
Unum Group		3,741		109,873
Xl Group PLC		35,401		1,073,358
Zurich Financial Services AG		1,647		426,834
				17,812,551
Investment Companies — 0.1%
RHJ International (a)		46,200		217,665
RHJ International Deposit Shares (a) (e)		11,800		55,525
				273,190
Real Estate — 0.7%
BR Malls Participacoes SA		22,758		203,780
Brookfield Asset Management, Inc. Class A		17,448		628,477
Capitaland Ltd.		222,500		537,452
Cyrela Brazil Realty SA		50,293		345,753
Daito Trust Construction Co. Ltd.		3,500		329,983
The St. Joe Co. (a)		105,745		2,225,932
				4,271,377
Real Estate Investment Trusts (REITS) — 0.8%
American Capital Agency Corp.		22,488		516,999
American Tower Corp.		12,881		942,503
Equity Residential		15,738		913,748
Fibra Uno Administracion SA de CV		75,700		254,194
Keppel REIT		18,162		18,554
The Link REIT		140,233		685,484
Simon Property Group, Inc.		4,970		784,863
TF Administradora Industrial S de RL de CV		192,100		400,435
Unibail-Rodamco SE		1,408		328,057
				4,844,837
				64,893,336

9

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

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

	Number of Shares		Value
Industrial — 6.4%
Aerospace & Defense — 1.1%
European Aeronautic Defence and Space Co.		25,657	$	1,364,313
General Dynamics Corp.		1,267		99,244
L-3 Communications Holdings, Inc.		1,290		110,605
Northrop Grumman Corp.		1,364		112,939
Raytheon Co.		1,708		112,933
Safran SA		51,146		2,663,841
United Technologies Corp.		25,891		2,406,309
				6,870,184
Biotechnology — 0.1%
Daikin Industries Ltd.		10,700		432,688
Building Materials — 0.2%
Compagnie de Saint-Gobain		23,604		950,110
Rinnai Corp.		5,000		355,951
Yuanda China Holdings Ltd.		1,445,132		132,847
				1,438,908
Electrical Components & Equipment — 0.2%
Energizer Holdings, Inc.		971		97,595
Hitachi Ltd.		137,600		883,902
				981,497
Electronics — 0.8%
Agilent Technologies, Inc.		22,359		956,071
Fanuc Ltd.		1,950		282,764
Hoya Corp.		37,720		773,965
Kyocera Corp.		3,900		396,999
Mettler-Toledo, Inc. (a)		1,935		389,322
Murata Manufacturing Co. Ltd.		10,070		766,655
PerkinElmer, Inc.		12,769		414,993
TE Connectivity Ltd.		2,500		113,850
Waters Corp. (a)		6,987		699,049
				4,793,668
Engineering & Construction — 0.3%
JGC Corp.		35,030		1,261,052
KBR, Inc.		9,794		318,305
Okumura Corp.		75,230		288,263
Toda Corp.		94,200		261,726
				2,129,346
Health Care – Services — 0.1%
Thermo Fisher Scientific, Inc.		10,033		849,093
Machinery – Diversified — 0.6%
CNH Global NV		2,177		90,694
Cummins, Inc.		3,822		414,534
Haitian International Holdings Ltd.		110,171		159,967
IHI Corp.		147,000		557,379
Kubota Corp.		92,220		1,338,827
Rockwell Automation, Inc.		14,836		1,233,465
				3,794,866

	Number of Shares		Value
Manufacturing — 1.3%
3M Co.		8,719	$	953,423
Cheil Industries, Inc.		3,171		247,655
Danaher Corp.		10,307		652,433
Eaton Corp. PLC		8,241		542,340
General Electric Co.		154,354		3,579,469
Invensys PLC		64,389		405,168
Parker Hannifin Corp.		995		94,923
Siemens AG		11,461		1,158,050
				7,633,461
Metal Fabricate & Hardware — 0.3%
Jiangxi Copper Co. Ltd.		161,000		270,959
Precision Castparts Corp.		5,211		1,177,738
Tenaris SA Sponsored ADR (Luxembourg)		8,590		345,920
				1,794,617
Packaging & Containers — 0.1%
Crown Holdings, Inc. (a)		12,656		520,541
Sealed Air Corp.		14,318		342,916
				863,457
Transportation — 1.3%
Asciano Group		102,971		470,146
Canadian National Railway Co.		6,163		599,475
Canadian Pacific Railway Ltd.		2,510		304,664
East Japan Railway		17,453		1,356,893
FedEx Corp.		6,537		644,418
Novorossiysk Commercial Sea Port-Reg GDR (Russia) (d)		32,978		206,937
Union Pacific Corp.		13,412		2,069,203
United Continental Holdings, Inc. (a)		25,749		805,686
United Parcel Service, Inc. Class B		10,323		892,733
West Japan Railway Co.		6,600		279,387
				7,629,542
				39,211,327
Technology — 3.2%
Computers — 0.5%
Accenture PLC Class A		1,349		97,074
Apple, Inc.		123		48,718
Computer Sciences Corp.		2,624		114,852
EMC Corp.		84,567		1,997,473
Fusion-io, Inc. (a)		56,120		799,149
Western Digital Corp.		2,190		135,977
				3,193,243
Internet — 0.0%
Check Point Software Technologies Ltd. (a)		1,440		71,539
Office Equipment/Supplies — 0.1%
Canon, Inc.		21,738		713,957

10

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

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

	Number of Shares		Value
Semiconductors — 0.9%
Freescale Semiconductor Holdings I Ltd. (a)		74,371	$	1,007,727
KLA-Tencor Corp.		1,500		83,595
Rohm Co. Ltd.		10,360		417,888
Samsung Electronics Co. Ltd.		3,224		3,783,945
				5,293,155
Software — 1.7%
Activision Blizzard, Inc.		50,009		713,128
Adobe Systems, Inc. (a)		3,306		150,621
CA, Inc.		3,152		90,242
Citrix Systems, Inc. (a)		9,160		552,623
Electronic Arts, Inc. (a)		60,089		1,380,244
Fidelity National Information Services, Inc.		2,745		117,596
Intuit, Inc.		1,393		85,015
Microsoft Corp.		84,728		2,925,658
Oracle Corp.		103,063		3,166,095
Red Hat, Inc. (a)		6,184		295,719
VMware, Inc. Class A (a)		9,515		637,410
				10,114,351
				19,386,245
Utilities — 2.1%
Electric — 1.5%
The AES Corp.		47,870		573,961
American Electric Power Co., Inc.		17,039		763,006
Calpine Corp. (a)		42,774		908,092
CenterPoint Energy, Inc.		5,344		125,531
CMS Energy Corp.		18,761		509,736
Dominion Resources, Inc.		20,206		1,148,105
Duke Energy Corp.		11,155		752,963
National Grid PLC		101,304		1,145,899
NextEra Energy, Inc.		20,734		1,689,406
PPL Corp.		21,681		656,067
RusHydro Sponsored ADR (Russia) (a)		156,367		228,296
Scottish & Southern Energy PLC		38,863		897,210
				9,398,272
Gas — 0.5%
Beijing Enterprises Holdings Ltd.		176,922		1,271,240
Sempra Energy		4,679		382,555
Tokyo Gas Co. Ltd.		216,988		1,200,931
				2,854,726
Water — 0.1%
American Water Works Co., Inc.		15,610		643,600
				12,896,598
TOTAL COMMON STOCK (Cost $298,553,279)				351,784,148

	Number of Shares		Value
CONVERTIBLE PREFERRED STOCK — 0.1%
Financial — 0.1%
Savings & Loans — 0.1%
Omnicare Capital Trust II 4.000%		4,900	$	288,757
TOTAL CONVERTIBLE PREFERRED STOCK (Cost $163,536)				288,757
PREFERRED STOCK — 1.5%
Basic Materials — 0.0%
Iron & Steel — 0.0%
Cliffs Natural Resources, Inc. 7.000%		13,542		240,235
Consumer, Cyclical — 0.4%
Airlines — 0.0%
Continental Airlines Finance Trust II 6.000%		1,150		50,744
Auto Manufacturers — 0.4%
General Motors Co. 4.750%		12,685		610,909
Volkswagen AG 1.580%		7,593		1,532,922
				2,143,831
				2,194,575
Consumer, Non-cyclical — 0.1%
Foods — 0.1%
Cia Brasileira de Distribuicao Grupo Pao de Acucar Class A 1.110%		13,044		582,241
Financial — 0.8%
Banks — 0.4%
HSBC Holdings PLC 8.000%		15,000		406,500
Itau Unibanco Holding SA 3.000%		33,970		437,996
Royal Bank of Scotland Group PLC, Series M 6.400%		9,275		196,908
Royal Bank of Scotland Group PLC, Series Q 6.750%		5,175		115,454
Royal Bank of Scotland Group PLC, Series T 7.250%		13,724		328,827
US Bancorp, Series F 6.500% VRN		13,364		375,529
US Bancorp, Series G 6.000% VRN		6,837		187,402
Wells Fargo & Co. 7.500%		240		286,560
				2,335,176
Diversified Financial — 0.2%
Citigroup Capital XIII 7.875%		24,692		687,672
RBS Capital Funding Trust VII, Series G 6.080%		12,621		268,575
				956,247
Real Estate Investment Trusts (REITS) — 0.1%
Health Care REIT, Inc. 6.500%		7,500		465,675
Savings & Loans — 0.1%
GMAC Capital Trust I 8.125%		30,000		781,500
				4,538,598

11

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

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

	Number of Shares		Value
Government — 0.0%
U.S. Government Agencies — 0.0%
Federal National Mortgage Association, Series S 8.250%		43,210	$	196,606
Industrial — 0.0%
Aerospace & Defense — 0.0%
United Technologies Corp. 7.500%		4,500		267,120
Utilities — 0.2%
Electric — 0.2%
NextEra Energy, Inc. 5.599%		8,579		483,856
PPL Corp. 8.750%		7,075		382,191
PPL Corp. 9.500%		8,000		419,280
				1,285,327
TOTAL PREFERRED STOCK (Cost $8,315,595)				9,304,702
TOTAL EQUITIES (Cost $307,032,410)				361,377,607
	Principal Amount
BONDS & NOTES — 20.4%
BANK LOANS — 0.8%
Entertainment — 0.3%
Delta Debtco Ltd., Term Loan 9.250% 10/30/19	$	1,063,000		1,114,821
Univision Communications, Inc., Refi Term Loan C2 4.500% 3/02/20		692,265		684,477
				1,799,298
Iron & Steel — 0.1%
Constellium Holdco B.V., New Term Loan B 6.000% 3/25/20		173,964		176,791
Constellium Holdco B.V., New EUR Term Loan EUR (f) 6.500% 3/25/20		173,565		228,180
Essar Steel Algoma, Inc., ABL Term Loan 8.750% 9/19/14		209,060		212,066
				617,037
Oil & Gas — 0.1%
Obsidian Natural Gas Trust, Term Loan 7.000% 11/02/15		573,582		576,450
Oil & Gas Services — 0.1%
GNL Quintero SA, Term Loan 1.280% 6/20/23		432,155		382,025
Pharmaceuticals — 0.1%
Valeant Pharmaceuticals International, Inc., Term Loan E 0.000% 6/24/20		473,000		471,425

	Principal Amount		Value
Telecommunications — 0.1%
Cricket Communications, Inc., Term Loan C 4.750% 3/09/20	$	435,000	$	430,785
Vodafone Americas Finance 2, PIK Term Loan B 6.250% 7/11/16		453,750		462,825
				893,610
TOTAL BANK LOANS (Cost $4,631,031)				4,739,845
CORPORATE DEBT — 6.5%
Agriculture — 0.1%
BAT International Finance PLC (e) 2.125% 6/07/17		336,000		336,998
Auto Manufacturers — 0.3%
Daimler Finance NA LLC FRN (e) 0.879% 1/09/15		528,000		529,672
Daimler Finance NA LLC (e) 1.300% 7/31/15		180,000		180,396
Volkswagen International Finance NV EUR (e) (f) 5.500% 11/09/15		800,000		1,067,145
				1,777,213
Banks — 1.2%
Banco Bradesco SA/Cayman Islands (e) 4.500% 1/12/17		400,000		416,000
Banco Santander Chile FRN (e) 2.150% 6/07/18		610,000		609,274
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand (e) 4.125% 11/09/22		283,000		265,313
Bank of America Corp. FRN 1.343% 3/22/18		264,000		261,247
Bank of America Corp. 2.000% 1/11/18		492,000		476,558
CIT Group, Inc. (e) 4.750% 2/15/15		395,000		401,419
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands 3.950% 11/09/22		251,000		240,024
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect 3.375% 1/19/17		520,000		546,119
Deutsche Bank Capital Funding Trust VII VRN (e) 5.628% 12/31/49		83,000		80,510
Export-Import Bank of Korea 1.250% 11/20/15		211,000		208,588
HSBC USA, Inc. 1.625% 1/16/18		366,000		357,074
ICICI Bank Ltd/Dubai (e) 4.700% 2/21/18		216,000		216,768
Intesa Sanpaolo SpA 3.125% 1/15/16		540,000		530,959

12

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

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

	Principal Amount		Value
Lloyds TSB Bank PLC VRN GBP (f) 13.000% 12/31/49	$	565,000	$	1,241,741
Nordea Bank AB (e) 3.125% 3/20/17		280,000		288,142
Sberbank of Russia Via SB Capital SA (e) 5.125% 10/29/22		363,000		340,313
UBS AG 5.875% 12/20/17		200,000		230,050
USB Capital IX VRN 3.500% 10/29/49		497,000		432,390
				7,142,489
Beverages — 0.0%
Anheuser-Busch InBev Worldwide, Inc. 1.375% 7/15/17		264,000		259,829
Biotechnology — 0.3%
Cubist Pharmaceuticals, Inc., Convertible 2.500% 11/01/17		218,000		381,909
Gilead Sciences, Inc., Convertible 1.625% 5/01/16		640,000		1,448,400
				1,830,309
Building Materials — 0.1%
Building Materials Corp. of America (e) 6.875% 8/15/18		114,000		120,270
Texas Industries, Inc. 9.250% 8/15/20		220,000		237,050
				357,320
Chemicals — 0.0%
Phibro Animal Health Corp. (e) 9.250% 7/01/18		54,000		58,050
Coal — 0.1%
Bumi Investment Pte Ltd. (e) 10.750% 10/06/17		251,000		180,720
Consol Energy, Inc. 8.000% 4/01/17		550,000		578,875
				759,595
Computers — 0.2%
Apple, Inc. 1.000% 5/03/18		828,000		795,127
SunGard Data Systems, Inc. 7.375% 11/15/18		285,000		300,675
				1,095,802
Diversified Financial — 0.6%
Ally Financial, Inc. 4.500% 2/11/14		256,000		258,176
Citigroup, Inc. VRN 5.950% 12/31/49		267,000		265,692
Credit Suisse Group Guernsey I Ltd. VRN (d) 7.875% 2/24/41		310,000		323,950
Ford Motor Credit Co. LLC 2.375% 1/16/18		366,000		352,402
General Electric Capital Corp. 5.550% 5/04/20		360,000		406,648
General Electric Capital Corp. VRN 6.250% 12/31/49		500,000		531,250

	Principal Amount		Value
Hyundai Capital America (e) 1.625% 10/02/15	$	140,000	$	139,547
Hyundai Capital America (e) 2.125% 10/02/17		223,000		215,592
JPMorgan Chase & Co. VRN 5.150% 12/31/49		664,000		632,460
Morgan Stanley 7.300% 5/13/19		216,000		250,909
TNK-BP Finance SA (e) 6.625% 3/20/17		133,000		144,305
TNK-BP Finance SA (e) 7.500% 7/18/16		200,000		221,750
				3,742,681
Electric — 0.0%
Empresa Distribuidora Y Comercializadora Norte (e) 9.750% 10/25/22		80,000		39,000
Electrical Components & Equipment — 0.1%
Suzlon Energy Ltd., Convertible (g) 0.000% 10/11/12		341,000		232,732
Suzlon Energy Ltd., Convertible 0.000% 7/25/14		465,000		302,250
				534,982
Engineering & Construction — 0.0%
Odebrecht Finance Ltd. (e) 5.125% 6/26/22		200,000		196,000
Entertainment — 0.1%
Delta Topco Ltd. (b) 10.000% 11/24/60		661,798		641,831
Foods — 0.1%
Olam International Ltd., Convertible 6.000% 10/15/16		500,000		472,125
Forest Products & Paper — 0.1%
TFS Corp. Ltd. (Acquired 6/21/11, Cost $600,000) (e) (h) 11.000% 7/15/18		600,000		562,962
Health Care – Products — 0.1%
Hologic, Inc. Convertible STEP 2.000% 12/15/37		655,000		729,916
Health Care – Services — 0.3%
Bio City Development Co. B.V. (Acquired 7/06/11, Cost $1,400,000) (e) (h) 8.000% 7/06/18		1,400,000		1,398,250
Brookdale Senior Living, Inc., Convertible 2.750% 6/15/18		73,000		85,957
DaVita, Inc. 6.375% 11/01/18		101,000		105,419
				1,589,626
Holding Company – Diversified — 0.2%
Hutchison Whampoa International 11 Ltd. (e) 3.500% 1/13/17		348,000		358,578

13

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

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

	Principal Amount		Value
REI Agro Ltd., Convertible (Acquired 12/02/09, Cost $614,910) (e) (h) 5.500% 11/13/14	$	618,000	$	446,505
Wharf Finance 2014 Ltd. HKD (f) 2.300% 6/07/14		2,000,000		262,698
				1,067,781
Media — 0.2%
Cablevision Systems Corp. 5.875% 9/15/22		223,000		215,752
Nara Cable Funding Ltd. EUR (e) (f) 8.875% 12/01/18		300,000		407,091
NBCUniversal Enterprise, Inc. (e) 5.250% 12/31/49		300,000		300,000
Ono Finance II PLC (e) 10.875% 7/15/19		153,000		159,120
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH (e) 5.500% 1/15/23		202,000		190,890
				1,272,853
Mining — 0.0%
FMG Resources August 2006 Pty Ltd. (e) 6.000% 4/01/17		219,000		212,978
Oil & Gas — 0.5%
China Petroleum & Chemical Corp., Convertible HKD (f) 0.000% 4/24/14		1,030,000		158,496
Cobalt International Energy, Inc., Convertible 2.625% 12/01/19		721,000		764,711
Essar Energy PLC, Convertible 4.250% 2/01/16		400,000		328,000
OGX Petroleo e Gas Participacoes SA (e) 8.500% 6/01/18		850,000		267,750
Petrobras Global Finance BV 2.000% 5/20/16		209,000		204,660
Petrobras Global Finance BV FRN 2.414% 1/15/19		1,005,000		984,900
Reliance Holdings USA, Inc. (e) 4.500% 10/19/20		323,000		317,694
				3,026,211
Packaging & Containers — 0.0%
Crown Cork & Seal Co., Inc. 7.500% 12/15/96		77,000		72,765
Pharmaceuticals — 0.2%
Capsugel FinanceCo SCA EUR (e) (f) 9.875% 8/01/19		100,000		143,962
Hypermarcas SA (e) 6.500% 4/20/21		213,000		214,065
Mylan, Inc. /PA, Convertible 3.750% 9/15/15		429,000		1,016,730
				1,374,757

	Principal Amount		Value
Pipelines — 0.0%
Sabine Pass Liquefaction LLC (e) 5.625% 4/15/23	$	252,000	$	238,140
Real Estate — 0.6%
CapitaLand Ltd., Convertible SGD (f) 2.100% 11/15/16		750,000		588,757
CapitaLand Ltd., Convertible SGD (f) 2.950% 6/20/22		1,500,000		1,162,722
CapitaLand Ltd., Convertible SGD (f) 3.125% 3/05/18		500,000		421,104
Forest City Enterprises, Inc., Convertible 4.250% 8/15/18		370,000		414,169
Pyrus Ltd., Convertible, (Acquired 12/20/10, Cost $500,000) (e) (h) 7.500% 12/20/15		500,000		629,000
Sun Hung Kai Properties Capital Market Ltd. (d) 4.500% 2/14/22		200,000		197,044
				3,412,796
Savings & Loans — 0.6%
Dana Gas Sukuk Ltd., Convertible (e) 7.000% 10/31/17		1,284,360		1,179,055
Dana Gas Sukuk Ltd. (e) 9.000% 10/31/17		1,284,360		1,271,516
Odebrecht Drilling Norbe VIII/IX Ltd. (e) 6.350% 6/30/21		216,450		218,615
Zeus Cayman II JPY (d) (f) 0.010% 8/18/16		28,000,000		374,209
Zeus Cayman, Convertible JPY (f) 0.000% 8/19/13		43,000,000		422,716
				3,466,111
Software — 0.2%
Salesforce.com, Inc., Convertible (e) 0.250% 4/01/18		710,000		675,831
Take-Two Interactive Software, Inc., Convertible 1.750% 12/01/16		515,000		565,534
Take-Two Interactive Software, Inc., Convertible 4.375% 6/01/14		132,000		186,698
				1,428,063
Telecommunications — 0.2%
British Telecommunications PLC FRN 1.397% 12/20/13		229,000		230,135
Colombia Telecomunicaciones SA (e) 5.375% 9/27/22		216,000		204,120
Cricket Communications, Inc. 7.750% 10/15/20		248,000		238,080
Hughes Satellite Systems Corp. 7.625% 6/15/21		103,000		109,438

14

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

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

	Principal Amount		Value
Intelsat Jackson Holdings SA 7.500% 4/01/21	$	442,000	$	464,100
Ziggo NV EUR (e) (f) 3.625% 3/27/20		123,000		156,529
				1,402,402
Transportation — 0.1%
Inversiones Alsacia SA (Acquired 2/18/11, Cost $566,000) (e) (h) 8.000% 8/18/18		341,114		288,241
Viterra, Inc. (e) 5.950% 8/01/20		139,000		146,969
				435,210
TOTAL CORPORATE DEBT (Cost $37,891,354)				39,536,795
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.1%
Commercial MBS — 0.1%
Banc of America Large Loan, Inc., Series 2010-HLTN, Class HLTN FRN (e) 2.493% 11/15/15		682,051		682,580
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $636,842)				682,580
SOVEREIGN DEBT OBLIGATIONS — 6.7%
Australia Government Bond AUD (f) 5.500% 12/15/13		1,566,000		1,451,377
Australia Government Bond AUD (f) 5.500% 4/21/23		3,553,000		3,707,853
Brazil Notas do Tesouro Nacional Serie B BRL (f) 6.000% 8/15/22		4,485,000		4,926,215
Brazil Notas do Tesouro Nacional Serie B BRL (f) 6.000% 8/15/24		852,000		939,568
Bundesrepublik Deutschland EUR (f) 3.500% 7/04/19		3,192,161		4,772,726
Canadian Government Bond CAD (f) 1.500% 3/01/17		1,049,000		994,231
Canadian Government Bond CAD (f) 3.500% 6/01/20		772,000		798,037
Canadian Government Bond CAD (f) 4.000% 6/01/16		605,000		617,650
Hong Kong Government Bond HKD (f) 0.270% 12/18/17		2,700,000		336,586
Hong Kong Government Bond HKD (f) 0.530% 3/19/18		5,350,000		671,785
Hong Kong Government Bond HKD (f) 1.670% 3/24/14		2,100,000		273,687

	Principal Amount		Value
Hong Kong Government Bond HKD (f) 1.690% 12/22/14	$	2,700,000	$	355,333
Hong Kong Government Bond HKD (f) 3.510% 12/08/14		5,400,000		728,763
Hong Kong Government Bond HKD (f) 3.560% 6/25/18		1,650,000		237,308
Malaysia Government Bond MYR (f) 3.461% 7/31/13		2,106,000		666,749
Malaysia Government Bond MYR (f) 5.094% 4/30/14		3,440,000		1,107,096
Netherlands Government Bond (e) 1.000% 2/24/17		691,000		688,443
Queensland Treasury Corp. AUD (f) 6.000% 9/14/17		2,523,000		2,543,490
Queensland Treasury Corp. AUD (f) 6.000% 6/14/21		1,100,000		1,125,856
Republic of Germany EUR (f) 4.250% 7/04/17		4,065,192		6,070,886
Turkey Government Bond TRY (f) 7/17/13		722,500		373,466
Turkey Government Bond TRY (f) 9/11/13		576,000		294,950
United Kingdom Gilt GBP (f) 4.750% 3/07/20		4,001,873		7,209,694
Vnesheconombank Via VEB Finance PLC (e) 6.025% 7/05/22		200,000		206,000
				41,097,749
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $44,154,351)				41,097,749
U.S. TREASURY OBLIGATIONS — 6.3%
U.S. Treasury Bonds & Notes — 6.3%
U.S. Treasury Note (i) 0.625% 9/30/17		2,809,600		2,747,021
U.S. Treasury Note 1.000% 5/31/18		5,343,600		5,251,757
U.S. Treasury Note 1.000% 9/30/19		2,098,300		2,006,516
U.S. Treasury Note 1.250% 10/31/19		737,900		715,728
U.S. Treasury Note 1.375% 9/30/18		2,898,700		2,886,018
U.S. Treasury Note 1.625% 11/15/22		1,446,200		1,349,994
U.S. Treasury Note 1.750% 5/15/22		1,032,800		984,799
U.S. Treasury Note 1.750% 5/15/23		1,783,900		1,670,706
U.S. Treasury Note 2.000% 11/15/21		853,900		839,103

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

15

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

	Principal Amount		Value
U.S. Treasury Note 2.250% 3/31/16	$	4,594,000	$	4,801,089
U.S. Treasury Note 2.625% 8/15/20		4,804,700		5,020,761
U.S. Treasury Note (j) 3.500% 5/15/20		9,129,100		10,100,066
				38,373,558
TOTAL U.S. TREASURY OBLIGATIONS (Cost $38,013,291)				38,373,558
TOTAL BONDS & NOTES (Cost $125,326,869)				124,430,527
	Number of Shares
MUTUAL FUNDS — 1.6%
Diversified Financial — 1.6%
BlackRock Liquidity Funds TempFund Portfolio		361,721		361,721
ETFS Gold Trust (a)		14,400		1,748,015
ETFS Physical Palladium Shares (a)		4,904		317,044
ETFS Platinum Trust (a)		4,400		542,754
iShares Gold Trust (a)		145,800		1,748,142
Market Vectors - Gold Miners ETF		56,325		1,374,893
SPDR Gold Trust (a)		31,024		3,696,510
				9,789,079
TOTAL MUTUAL FUNDS (Cost $12,654,246)				9,789,079
	Units
PURCHASED OPTIONS — 0.9%
Basic Materials — 0.0%
Mining — 0.0%
Agnico-Eagle Mines Ltd., Call, Expires 1/17/14, Strike 85.00		33,807		2,822
Alcoa, Inc., Call, Expires 1/17/14, Strike 15.00		81,738		1,152
AngloGold Ashanti Ltd., Call, Expires 1/17/14, Strike 65.00		40,090		42
Barrick Gold Corp., Call, Expires 1/18/14, Strike 80.00		1,780		1,780
Coeur d’Alene Mines Corp., Call, Expires 1/17/14, Strike 40.00		16,040		751
Eldorado Gold Corp., Call, Expires 1/17/14, Strike 25.00		47,598		142
Endeavour Silver Corp., Call, Expires 1/17/14, Strike 20.00		12,745		-
First Majestic Silver Corp., Call, Expires 1/17/14, Strike 35.00		8,053		505

	Units		Value
Freeport-McMoRan Copper & Gold Inc., Call, Expires 1/17/14, Strike 64.00		98,524	$	1,636
Gold Fields Ltd., Call, Expires 1/17/14, Strike 22.00		98,403		14
Goldcorp, Inc., Call, Expires 1/18/14, Strike 80.00		1,113		2,226
Harmony Gold Mining Co., Call, Expires 1/17/14, Strike 15.00		25,098		171
Kinross Gold Corp., Call, Expires 1/17/14, Strike 20.00		182,228		192
New Gold Inc., Call, Expires 1/17/14, Strike 22.00		26,999		23
Newmont Mining Corp., Call, Expires 1/18/14, Strike 90.00		1,424		1,424
NovaGold Resources Inc., Call, Expires 1/17/14, Strike 12.00		24,949		-
Pan American Silver Corp., Call, Expires 1/17/14, Strike 50.00		45,521		9
Randgold Resources Ltd., Call, Expires 1/17/14, Strike 165.00		6,144		564
Royal Gold, Inc., Call, Expires 1/17/14, Strike 125.00		6,055		829
Silver Standard Resources Inc., Call, Expires 1/17/14, Strike 30.00		11,145		16
Silver Wheaton Corp., Call, Expires 1/17/14, Strike 55.00		45,715		4,947
Silvercorp Metals Inc., Call, Expires 1/17/14, Strike 15.00		25,999		2
Stillwater Mining Co., Call, Expires 1/17/14, Strike 25.00		29,156		332
Yamana Gold Inc., Call, Expires 1/17/14, Strike 30.00		109,426		3,661
				23,240
Communications — 0.0%
Internet — 0.0%
Yahoo! Inc., Call, Expires 1/17/14, Strike 25.00		34,997		86,097
Telecommunications — 0.0%
Corning Inc., Call, Expires 1/17/14, Strike 20.00		91,226		6,405
QUALCOMM, Inc., Call, Expires 1/17/14, Strike 95.00		72,981		1,367
				7,772
				93,869
Consumer, Cyclical — 0.0%
Lodging — 0.0%
Starwood Hotels & Resorts Worldwide, Inc., Call, Expires 1/17/14, Strike 85.00		10,947		5,744
Retail — 0.0%
AutoZone, Inc., Call, Expires 1/17/14, Strike 550.00		3,430		3,908

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

16

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

	Units		Value
J.C. Penney Company, Inc., Call, Expires 1/17/14, Strike 55.00		51,086	$	843
McDonald’s Corp., Call, Expires 1/17/14, Strike 135.00		32,841		2,065
Staples, Inc., Call, Expires 1/17/14, Strike 20.00		126,649		26,275
Yum! Brands, Inc., Call, Expires 1/17/14, Strike 100.00		25,543		2,485
				35,576
				41,320
Consumer, Non-cyclical — 0.1%
Beverages — 0.0%
Monster Beverage Corp., Call, Expires 1/17/14, Strike 105.00		25,543		5,030
Commercial Services — 0.0%
Mastercard Inc., Call, Expires 1/17/14, Strike 660.00		5,474		56,702
The Western Union Co., Call, Expires 1/17/14, Strike 25.00		25,543		322
Visa Inc., Call, Expires 1/17/14, Strike 190.00		16,786		164,731
				221,755
Foods — 0.0%
Safeway Inc., Call, Expires 1/17/14, Strike 25.00		24,926		39,214
Health Care – Products — 0.0%
Boston Scientific Corp., Call, Expires 1/17/14, Strike 10.00		82,468		52,932
Health Care – Services — 0.1%
Aetna Inc., Call, Expires 1/17/14, Strike 60.00		28,563		196,119
Humana Inc., Call, Expires 1/17/14, Strike 105.00		14,596		14,714
Humana, Inc., Put, Expires 8/17/13, Strike 67.50		83		1,660
UnitedHealth Group Inc., Call, Expires 1/17/14, Strike 85.00		36,490		10,804
				223,297
Pharmaceuticals — 0.0%
Bristol Myers Squibb Co., Call, Expires 1/17/14, Strike 50.00		31,697		32,506
Merck & Co., Inc. Call, Expires 10/18/13, Strike 45.00		34,460		92,465
				124,971
				667,199
Energy — 0.0%
Oil & Gas — 0.0%
TOTAL S.A., Call, Expires 1/17/14, Strike 30.00		3,987		185

	Units		Value
Oil & Gas Services — 0.0%
Halliburton Co., Call, Expires 1/17/14, Strike 55.00		69,332	$	25,560
				25,745
Financial — 0.7%
Diversified Financial — 0.7%
Japanese Yen LIBOR rate BBA swaption 5 year, Put, Expires 4/04/18, Strike 1.07%		143,913,000		44,978
Ibovespa Index, Put, Expires 10/16/13, Strike 45,503.00		40		29,931
Ibovespa Index, Put, Expires 10/16/13, Strike 46,433.00		93		87,954
Ibovespa Index, Put, Expires 10/16/13, Strike 51,159.00		38		32,902
Euro Stoxx 50 Index, Call, Expires 1/17/14, Strike 50.00		63,071		205,073
KOSPI 200 Index, Put, Expires 12/12/13, Strike 243.53		36		37,573
MSCI Emerging Markets Index, Put, Expires 10/18/13, Strike 901.00		1,929		66,166
MSCI Emerging Markets Index, Put, Expires 9/20/13, Strike 886.00		2,378		15,643
Nikkei 225 Index, Call, Expires 12/13/13, Strike 11,000.00		82		246,808
Nikkei 225 Index, Call, Expires 12/13/13, Strike 11,000.00		23		69,227
Nikkei 225 Index, Call, Expires 12/13/13, Strike 11,000.00		7		21,070
Nikkei 225 Index, Call, Expires 12/13/13, Strike 9,354.06		165		746,241
Nikkei 225 Index, Call, Expires 12/13/13, Strike 9,400.00		164		735,958
Nikkei 225 Index, Call, Expires 3/14/14, Strike 9,685.15		167		712,688
S&P 500 Index, Put, Expires, 7/20/13, Strike 1,570.00		14		17,780
S&P 500 Index, Put, Expires, 7/20/13, Strike 1,605.00		11		25,905
S&P 500 Index, Put, Expires, 7/20/13, Strike 1,620.00		11		34,595
S&P 500 Index, Put, Expires, 8/16/13, Strike 1,602.63		1,091		40,576
S&P 500 Index, Put, Expires, 8/17/13, Strike 1,610.00		11		44,660
S&P 500 Index, Put, Expires, 9/20/13, Strike 1,590.00		1,096		49,707
SPDR Barclays Capital Aggregate Bond ETF, Call, Expires 1/17/14, Strike 30.00		42,331		3
Topix Index, Call, Expires 4/11/14, Strike 1,157.50		210,463		258,218
Topix Index, Call, Expires 5/09/14, Strike 1,164.04		1,940		191,630

17

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

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

	Units		Value
Topix Index, Call, Expires 6/13/14, Strike 1,153.54		1,405	$	151,940
Topix Index, Call, Expires 7/11/14, Strike 1,143.74		158,400		241,743
Topix Index, Call, Expires 8/09/13, Strike 1,013.21		1,962		269,531
				4,378,500
Industrial — 0.0%
Aerospace & Defense — 0.0%
Boeing Co., Call, Expires 1/17/14, Strike 110.00		25,389		95,056
United Technologies Corp., Call, Expires 1/17/14, Strike 120.00		27,733		3,239
				98,295
Machinery – Construction & Mining — 0.0%
Caterpillar Inc., Call, Expires 1/17/14, Strike 135.00		47,437		1,966
Manufacturing — 0.0%
General Electric Co., Call, Expires 1/17/14, Strike 35.00		182,452		4,287
				104,548
Technology — 0.1%
Computers — 0.1%
Apple Inc., Call, Expires 2/21/14, Strike 410.00		5,689		159,079
EMC Corp., Call, Expires 1/17/14, Strike 40.00		127,716		3,006
Hewlett-Packard Co., Call, Expires 1/17/14, Strike 30.00		182,452		153,468
International Business Machines Corp., Call, Expires 1/17/14, Strike 295.00		18,975		552
NetApp Inc., Call, Expires 1/17/14, Strike 60.00		59,844		1,865
				317,970
Semiconductors — 0.0%
Marvell Technology Group Ltd., Call, Expires 1/17/14, Strike 20.00		105,822		661
Broadcom Corp., Call, Expires 1/17/14, Strike 55.00		43,788		1,046
Intel Corp., Call, Expires 1/17/14, Strike 40.00		182,452		3,080
				4,787
Software — 0.0%
Activision Blizzard, Inc., Call, Expires 1/17/14, Strike 20.00		45,248		6,941
				329,698
TOTAL PURCHASED OPTIONS (Cost $4,178,968)				5,664,119

	Number of Shares		Value
WARRANTS — 0.0%
Basic Materials — 0.0%
Mining — 0.0%
Kinross Gold Corp., Expires 9/03/13, Strike 32.00 (a)		7,400	$	35
Financial — 0.0%
Insurance — 0.0%
TFS Corp. Ltd., Expires 7/15/18, Strike 1.28 (a)		222,000		32,089
TOTAL WARRANTS (Cost $33,373)				32,124
TOTAL LONG-TERM INVESTMENTS (Cost $449,225,866)				501,293,456
	Principal Amount
SHORT-TERM INVESTMENTS — 18.7%
Certificate of Deposit — 0.1%
Banco Del Estado De Chile 2.030% 4/02/15	$	475,000		473,489
Sovereign Debt Obligations — 1.5%
Japan Treasury Discount Bill JPY (f) 0.010% 9/10/13		180,000,000		1,814,729
Japan Treasury Discount Bill JPY (f) 0.010% 9/17/13		120,000,000		1,209,689
Japan Treasury Discount Bill JPY (f) 0.010% 11/11/13		140,000,000		1,411,131
Mexico Cetes MXN (f) 0.000% 8/22/13		7,199,000		552,294
Mexico Cetes MXN (f) 0.000% 9/05/13		9,358,700		716,875
Mexico Cetes MXN (f) 0.000% 9/19/13		19,440,000		1,486,816
Mexico Cetes MXN (f) 0.000% 10/03/13		24,467,000		1,868,361
				9,059,895
U.S. Treasury Bills — 17.1%
U.S. Treasury Bill 0.010% 7/11/13		6,000,000		5,999,874
U.S. Treasury Bill 0.010% 7/18/13		15,640,000		15,639,588
U.S. Treasury Bill 0.010% 7/25/13		1,400,000		1,399,955
U.S. Treasury Bill 0.010% 8/01/13		5,000,000		4,999,821
U.S. Treasury Bill 0.010% 8/08/13		1,800,000		1,799,940
U.S. Treasury Bill 0.010% 8/15/13		6,000,000		5,999,822

18

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

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

	Principal Amount			Value
U.S. Treasury Bill 0.010% 8/22/13	$	14,150,000		$	14,149,249
U.S. Treasury Bill 0.010% 9/05/13		2,000,000			1,999,924
U.S. Treasury Bill 0.010% 9/12/13		37,245,000			37,241,321
U.S. Treasury Bill 0.010% 9/19/13		15,370,000			15,368,425
					104,597,919
TOTAL SHORT-TERM INVESTMENTS (Cost $114,458,183)					114,131,303
TOTAL INVESTMENTS —100.8% (Cost $563,684,049) (k)					615,424,759
Other Assets/(Liabilities) — (0.8)%					(5,110,406	)
NET ASSETS — 100.0%				$	610,314,353
	Number of Shares
EQUITIES SOLD SHORT — (0.1)%
Consumer, Cyclical — (0.1)%
Retail — (0.1)%
Fast Retailing Co. Ltd.		(1,400	)		(472,252	)
TOTAL EQUITIES SOLD SHORT (Proceeds $(384,266))					(472,252	)
TOTAL SECURITIES SOLD SHORT (Proceeds $(384,266))					(472,252	)

Notes to Consolidated Portfolio of Investments

ADR American Depositary Receipt

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

ETF Exchange-Traded Fund

EUR Euro

FRN Floating Rate Note

GBP British Pound

GDR Global Depositary Receipt

HKD Hong Kong Dollar

JPY Japanese Yen

MBS Mortgage-Backed Security

MXN Mexican Peso

MYR Malaysian Ringgit

PIK Payment In-Kind

SGD Singapore Dollar

STEP Step Up Bond

TRY New Turkish Lira

VRN Variable Rate Note

(a) Non-income producing security.

(b) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At June 30, 2013, these securities amounted to a value of $2,387,421 or 0.39% of net assets.

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

(d) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At June 30, 2013, these securities amounted to a value of $1,637,060 or 0.27% of net assets.

(e) 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, 2013, these securities amounted to a value of $17,667,593 or 2.89% of net assets.

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

(g) 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, 2013, these securities amounted to a value of $232,732 or 0.04% of net assets.

(h) Restricted security. Certain securities are restricted as to resale. At June 30, 2013, these securities amounted to a value of $3,324,958 or 0.54% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(i) This security is held as collateral for securities sold short. (Note 2).

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

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

19

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

MassMutual Select BlackRock Global Allocation Fund – Consolidated Financial Statements

Consolidated Statement of Assets and Liabilities

June 30, 2013 (Unaudited)

Assets:
Investments, at value (Note 2) (a)	$	501,293,456
Short-term investments, at value (Note 2) (b)		114,131,303
Total investments		615,424,759
Foreign currency, at value (c)		296,825
Receivables from:
Investments sold		714,407
Cash collateral on deposit at broker		269,742
Open forward foreign currency contracts (Note 2)		1,126,111
Investment adviser (Note 3)		48,544
Fund shares sold		71,767
Collateral held for open swap agreements (Note 2)		100,000
Variation margin on open derivative instruments (Note 2)		98,058
Interest and dividends		2,357,359
Foreign taxes withheld		234,681
Open swap agreements, at value (Note 2)		120,334
Total assets		620,862,587
Liabilities:
Payables for:
Investments purchased		2,908,494
Written options outstanding, at value (Note 2) (d)		966,167
Payable for securities sold short, at value (Note 2) (e)		472,252
Open forward foreign currency contracts (Note 2)		685,209
Fund shares repurchased		675,248
Interest and dividends		8,335
Payable for premium on purchased options		75,289
Open swap agreements, at value (Note 2)		493,656
Trustees’ fees and expenses (Note 3)		63,563
Collateral pledged for open swap agreements (Note 2)		3,580,000
Affiliates (Note 3):
Investment management fees		381,041
Administration fees		34,854
Service fees		4,577
Due to custodian		42,364
Accrued expense and other liabilities		157,185
Total liabilities		10,548,234
Net assets	$	610,314,353
Net assets consist of:
Paid-in capital	$	543,094,343
Undistributed (accumulated) net investment income (loss)		2,603,442
Accumulated net realized gain (loss) on investments and foreign currency transactions		12,251,238
Net unrealized appreciation (depreciation) on investments and foreign currency translations		52,365,330
Net assets	$	610,314,353
(a)        Cost of investments:	$	449,225,866
(b)        Cost of short-term investments:	$	114,458,183
(c)        Cost of foreign currency:	$	299,980
(d)        Premiums on written options:	$	1,111,978
(e)        Proceeds from securities sold short:	$	384,266

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

20

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

Consolidated Statement of Assets and Liabilities

June 30, 2013 (Unaudited)

Class S shares:
Net assets	$	570,853,655
Shares outstanding (a)		50,962,860
Net asset value, offering price and redemption price per share	$	11.20
Class Y shares:
Net assets	$	12,342,008
Shares outstanding (a)		1,103,257
Net asset value, offering price and redemption price per share	$	11.19
Class L shares:
Net assets	$	19,355,882
Shares outstanding (a)		1,691,726
Net asset value, offering price and redemption price per share	$	11.44
Class A shares:
Net assets	$	7,762,808
Shares outstanding (a)		697,324
Net asset value and redemption price per share	$	11.13
Offering price per share (100/[100-maximum sales charge] of net asset value)	$	11.81

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

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

21

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

Consolidated Statement of Operations

For the Six Months Ended June 30, 2013 (Unaudited)

Investment income (Note 2):
Dividends (a)	$	4,890,145
Interest		2,048,971
Total investment income		6,939,116
Expenses (Note 3):
Investment management fees		2,438,459
Custody fees		228,121
Dividend expense on short sales		4,095
Audit fees		52,625
Legal fees		7,033
Proxy fees		525
Shareholder reporting fees		17,957
Trustees’ fees		19,699
		2,768,514
Administration fees:
Class S		139,297
Class Y		12,995
Class L		31,109
Class A		10,040
Subsidiary administration fees		14,821
Service fees:
Class A		8,367
Total expenses		2,985,143
Expenses waived (Note 3):
Class S fees waived by adviser		(263,109	)
Class Y fees waived by adviser		(8,183	)
Class L fees waived by adviser		(9,794	)
Class A fees waived by adviser		(3,162	)
Class S administrative fees waived		(175	)
Class Y administrative fees waived		(5	)
Class L administrative fees waived		(7	)
Class A administrative fees waived		(2	)
Class S management fees waived		(28,384	)
Class Y management fees waived		(883	)
Class L management fees waived		(1,058	)
Class A management fees waived		(341	)
Subsidiary expenses waived (Note 3)		(26,247	)
Net expenses		2,643,793
Net investment income (loss)		4,295,323
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		10,159,179
Futures contracts		(120,717	)
Written options		659,874
Securities sold short		(129,090	)
Swap agreements		(94,552	)
Foreign currency transactions		3,292,171
Net realized gain (loss)		13,766,865
Net change in unrealized appreciation (depreciation) on:
Investment transactions		7,868,120
Futures contracts		59,219
Written options		(151,942	)
Securities sold short		(87,986	)
Swap agreements		(63,262	)
Translation of assets and liabilities in foreign currencies		137,618
Net change in unrealized appreciation (depreciation)		7,761,767
Net realized gain (loss) and change in unrealized appreciation (depreciation)		21,528,632
Net increase (decrease) in net assets resulting from operations	$	25,823,955
(a)        Net of withholding tax of:	$	222,471

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

22

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

Consolidated Statements of Changes in Net Assets

	Period Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	4,295,323		$	8,885,997
Net realized gain (loss) on investment transactions		13,766,865			977,171
Net change in unrealized appreciation (depreciation) on investments		7,761,767			46,076,106
Net increase (decrease) in net assets resulting from operations		25,823,955			55,939,274
Distributions to shareholders (Note 2):
From net investment income:
Class S		-			(8,985,100	)
Class Y		-			(249,972	)
Class L		-			(349,768	)
Class A		-			(79,199	)
Total distributions from net investment income		-			(9,664,039	)
From net realized gains:
Class S		-			(1,380,435	)
Class Y		-			(36,645	)
Class L		-			(62,442	)
Class A		-			(15,048	)
Total distributions from net realized gains		-			(1,494,570	)
Net fund share transactions (Note 5):
Class S		(374,446	)		(21,325,927	)
Class Y		(4,585,746	)		14,429,540
Class L		(4,840,839	)		21,811,385
Class A		1,482,017			3,691,231
Increase (decrease) in net assets from fund share transactions		(8,319,014	)		18,606,229
Total increase (decrease) in net assets		17,504,941			63,386,894
Net assets
Beginning of period		592,809,412			529,422,518
End of period	$	610,314,353		$	592,809,412
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	2,603,442		$	-
Distributions in excess of net investment income included in net assets at end of period	$	-		$	(1,691,881	)

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

23

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

Consolidated Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total Returnl,m
Class S
06/30/13r,w	$	10.73	$	0.08		$	0.39		$	0.47		$	-		$	-		$	-		$	-		$	11.20		4.38%	b
12/31/12w		9.93		0.17			0.84			1.01			(0.18	)		(0.03	)		-			(0.21	)		10.73		10.13%
12/31/11w		10.79		0.19			(0.63	)		(0.44	)		(0.24	)		(0.18	)		-			(0.42	)		9.93		(4.07%	)
12/31/10		9.90		0.16			0.83			0.99			(0.10	)		-			-			(0.10	)		10.79		10.03%
12/31/09g		10.00		0.01			(0.11	)		(0.10	)		-			-			(0.00	)d		(0.00	)d		9.90		(0.96%	)b
Class Y
06/30/13r,w	$	10.72	$	0.07		$	0.40		$	0.47		$	-		$	-		$	-		$	-		$	11.19		4.19%	b
12/31/12w		9.93		0.15			0.85			1.00			(0.18	)		(0.03	)		-			(0.21	)		10.72		10.10%
12/31/11w		10.78		0.18			(0.63	)		(0.45	)		(0.22	)		(0.18	)		-			(0.40	)		9.93		(4.15%	)
12/31/10		9.90		0.16			0.82			0.98			(0.10	)		-			-			(0.10	)		10.78		9.93%
12/31/09g		10.00		0.00	d		(0.10	)		(0.10	)		-			-			(0.00	)d		(0.00	)d		9.90		(0.97%	)b
Class L
06/30/13r,w	$	10.98	$	0.07		$	0.39		$	0.46		$	-		$	-		$	-		$	-		$	11.44		4.19%	b
12/31/12w		10.17		0.14			0.87			1.01			(0.17	)		(0.03	)		-			(0.20	)		10.98		9.86%
12/31/11w		10.79		0.16			(0.59	)		(0.43	)		(0.01	)		(0.18	)		-			(0.19	)		10.17		(3.91%	)
12/31/10		9.90		0.13			0.83			0.96			(0.07	)		-			-			(0.07	)		10.79		9.66%
12/31/09g		10.00		0.01			(0.11	)		(0.10	)		-			-			(0.00	)d		(0.00	)d		9.90		(0.98%	)b
Class A
06/30/13r,w	$	10.69	$	0.05		$	0.39		$	0.44		$	-		$	-		$	-		$	-		$	11.13		4.12%	b
12/31/12w		9.91		0.11			0.84			0.95			(0.14	)		(0.03	)		-			(0.17	)		10.69		9.57%
12/31/11w		10.77		0.13			(0.63	)		(0.50	)		(0.18	)		(0.18	)		-			(0.36	)		9.91		(4.53%	)
12/31/10		9.90		0.11			0.84			0.95			(0.08	)		-			-			(0.08	)		10.77		9.46%
12/31/09g		10.00		0.00	d		(0.10	)		(0.10	)		-			-			-			-			9.90		(1.00%	)b

	Six months ended June 30, 2013 (Unaudited)b,r			Year ended December 31
				2012			2011			2010			2009b,q
Portfolio turnover rate for all share classes		27	%		61	%		43	%		46	%		21	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

e Amount is less than 0.005%.

f Amount is less than $500.

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

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

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

r Unaudited.

w Consolidated.

x Excludes short sale dividend and loan expense.

y 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 Consolidated Statement of Operations.

z Includes short sale dividend and loan expense.

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

24

Ratios / Supplemental Data
Net assets, end of the period (000’s)			Ratio of expenses to average daily net assets before expense waiversx			Ratio of expenses to average daily net assets after expense waiversj,x			Short sale dividend and loan expense to average daily net assetsy			Ratio of expenses to average daily net assets before expense waiversz			Ratio of expenses to average daily net assets after expense waiversj,z			Net investment income (loss) to average daily net assets
$	570,854			0.97	%a		0.86	%a		0.00	%a,e		0.97	%a		0.86	%a		1.45	%a
	547,436			1.00	%		0.86	%		N/A			1.00	%		0.86	%		1.57	%
	526,621			0.95	%		0.86	%		0.00	%e		0.95	%		0.86	%		1.77	%
	556,739			0.95	%		0.86	%		0.00	%e		0.95	%		0.86	%		1.54	%
	462,500			1.33	%a		0.86	%a		N/A			1.33	%a		0.86	%a		0.84	%a
$	12,342			1.07	%a		0.96	%a		0.00	%a,e		1.07	%a		0.96	%a		1.33	%a
	16,060			1.10	%		0.96	%		N/A			1.10	%		0.96	%		1.45	%
	786			1.05	%		0.96	%		0.00	%e		1.05	%		0.96	%		1.63	%
	1,524			1.05	%		0.96	%		0.00	%e		1.05	%		0.96	%		1.52	%
	99			1.43	%a		0.96	%a		N/A			1.43	%a		0.96	%a		0.49	%a
$	19,356			1.22	%a		1.11	%a		0.00	%a,e		1.22	%a		1.11	%a		1.17	%a
	23,253			1.25	%		1.11	%		N/A			1.25	%		1.11	%		1.29	%
	0	f		1.17	%		1.10	%		0.00	%e		1.17	%		1.10	%		1.42	%
	10,852			1.20	%		1.11	%		0.00	%e		1.20	%		1.11	%		1.29	%
	9,702			1.58	%a		1.11	%a		N/A			1.58	%a		1.11	%a		0.64	%a
$	7,763			1.47	%a		1.36	%a		0.00	%a,e		1.47	%a		1.36	%a		0.97	%a
	6,060			1.50	%		1.36	%		N/A			1.50	%		1.36	%		1.07	%
	2,015			1.45	%		1.36	%		0.00	%e		1.45	%		1.36	%		1.24	%
	2,432			1.45	%		1.36	%		0.00	%e		1.45	%		1.36	%		1.10	%
	99			1.83	%a		1.36	%a		N/A			1.83	%a		1.36	%a		0.08	%a

25

Notes to Consolidated 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 and restated as of November 21, 2011, as it may be further amended from time to time. The MassMutual Select BlackRock Global Allocation Fund (the “Fund”) is a series of the Trust.

Each share class of the fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Fund’s Prospectus.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by the Fund in the preparation of the consolidated financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the consolidated 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 consolidated financial statements. Actual results could differ from those estimates.

Basis of Consolidation

The accompanying consolidated financial statements for the Fund include the accounts of MassMutual Select Cayman Global Allocation Fund I, Ltd. (the “Subsidiary”), a wholly owned subsidiary of the Fund, which primarily invests in commodity-related investments consistent with the Fund’s investment objectives and policies as stated in its Prospectus and Statement of Additional Information. The Subsidiary allows the Fund to hold these commodity-related investments and still satisfy regulated investment company tax requirements. The Fund may invest up to 25% of its total assets in the Subsidiary. Intercompany accounts and transactions have been eliminated. As of June 30, 2013, the Fund’s net assets were $610,314,353, of which $8,037,831 or 1.3%, represented the Fund’s ownership of the shares of the Subsidiary.

Investment Valuation

The net asset value of the 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 (a “business day”). The New York Stock Exchange normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days.

Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price for securities or derivatives listed on the exchange or contract market 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. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities (other than short-term obligations) are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Short-term debt securities are valued at either amortized cost or at original cost plus accrued interest, whichever the Fund’s investment adviser determines more closely 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 for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations

26

Notes to Consolidated Financial Statements (Unaudited)(Continued)

or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, 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, prepayment speed assumptions and attributes of the collateral. 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 markets, as is the case of interest rate swap and option contracts. Restricted securities are generally valued at a discount to similar publicly traded securities.

Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Fund’s Valuation Committee¹ in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Fund’s Valuation Committee employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. The Fund’s Valuation Committee reports to the Trustees at their regularly scheduled meetings. It is possible that fair value prices will be used by the Fund to a significant extent. The value determined for an investment using the Fund’s fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.

The Fund may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Fund does not price its shares. As a result, the values of the Fund’s portfolio securities may change on days when the prices of the Fund’s shares are not calculated. The prices of the Fund’s shares will reflect any such changes when the prices of the Fund’s shares are next calculated, which is the next business day. The Fund 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 Fund values its 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 Fund’s 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, between the close of the foreign market and the time the Fund calculates its net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

¹  The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Secretary, and Assistant Secretaries of the Trust, as well as such alternate members as the Trustees may from time to time designate. The Valuation Committee reviews and makes recommendations concerning the fair valuation of portfolio securities and the Fund’s pricing procedures in general.

27

Notes to Consolidated Financial Statements (Unaudited) (Continued)

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Fund can access at the measurement date

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Fund determines its net asset values.

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned key inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.

The Fund characterized all securities sold short at Level 2, as of June 30, 2013. The level classification by major category of investments is the same as the category presentation in the Consolidated Portfolio of Investments.

28

Notes to Consolidated Financial Statements (Unaudited) (Continued)

The following is the aggregate value by input level, as of June 30, 2013, for the Fund’s investments:

Asset Valuation Inputs

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Equities
Common Stock
Basic Materials	$	11,011,455	$	12,382,551	$	-	$	23,394,006
Communications		25,655,247		14,149,895		-		39,805,142
Consumer, Cyclical		14,338,179		22,338,363		469,299		37,145,841
Consumer, Non-cyclical		55,783,045		22,442,405		-		78,225,450
Diversified		-		1,280,268		-		1,280,268
Energy		27,239,845		7,091,791		1,214,299		35,545,935
Financial		38,326,385		26,566,951		-		64,893,336
Industrial		22,151,820		17,059,507		-		39,211,327
Technology		14,470,455		4,915,790		-		19,386,245
Utilities		8,153,023		4,743,575		-		12,896,598
Total Common Stock		217,129,454		132,971,096		1,683,598		351,784,148
Convertible Preferred Stock
Financial		288,757		-		-		288,757
Total Convertible Preferred Stock		288,757		-		-		288,757
Preferred Stock
Basic Materials		240,235		-		-		240,235
Consumer, Cyclical		610,909		1,583,666		-		2,194,575
Consumer, Non-cyclical		-		582,241		-		582,241
Financial		4,100,602		437,996		-		4,538,598
Government		-		196,606		-		196,606
Industrial		267,120		-		-		267,120
Utilities		801,471		483,856		-		1,285,327
Total Preferred Stock		6,020,337		3,284,365		-		9,304,702
Total Equities		223,438,548		136,255,461		1,683,598		361,377,607
Bonds & Notes
Total Bank Loans		-		4,739,845		-		4,739,845
Total Corporate Debt		-		35,570,006		3,966,789		39,536,795
Non-U.S. Government Agency Obligations
Commercial MBS		-		682,580		-		682,580
Total Non-U.S. Government Agency Obligations		-		682,580		-		682,580
Total Sovereign Debt Obligations		-		41,097,749		-		41,097,749
U.S. Treasury Obligations
U.S. Treasury Bonds & Notes		-		38,373,558		-		38,373,558
Total U.S. Treasury Obligations		-		38,373,558		-		38,373,558
Total Bonds & Notes		-		120,463,738		3,966,789		124,430,527
Total Mutual Funds		9,789,079		-		-		9,789,079

29

Notes to Consolidated Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Purchased Options
Basic Materials	$	5,430	$	17,810	$	-	$	23,240
Communications		-		93,869		-		93,869
Consumer, Cyclical		-		41,320		-		41,320
Consumer, Non-cyclical		1,660		665,539		-		667,199
Energy		-		25,745		-		25,745
Financial		122,940		4,255,560		-		4,378,500
Industrial		-		104,548		-		104,548
Technology		-		329,698		-		329,698
Total Purchased Options		130,030		5,534,089		-		5,664,119
Warrants
Basic Materials		35		-		-		35
Financial		-		-		32,089		32,089
Total Warrants		35		-		32,089		32,124
Total Long-Term Investments		233,357,692		262,253,288		5,682,476		501,293,456
Total Short-Term Investments		-		114,131,303		-		114,131,303
Total Investments	$	233,357,692	$	376,384,591	$	5,682,476	$	615,424,759

The following is the aggregate value by input level, as of June 30, 2013, for the Fund’s 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
Forward Contracts
Foreign Exchange Risk	$	-	$	1,126,111	$	-	$	1,126,111
Futures Contracts
Equity Risk		238,096		-		-		238,096
Swap Agreements
Credit Risk		-		50,384		-		50,384
Equity Risk		-		93,777		-		93,777
Interest Rate Risk		-		27,132		-		27,132

30

Notes to Consolidated 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
Forward Contracts
Foreign Exchange Risk	$	-		$	(685,209	)	$	-	$	(685,209	)
Futures Contracts
Equity Risk		(140,174	)		-			-		(140,174	)
Swap Agreements
Credit Risk		-			(212,876	)		-		(212,876	)
Interest Rate Risk		-			(280,780	)		-		(280,780	)
Written Options
Equity Risk		(177,851	)		(788,316	)		-		(966,167	)

The following table shows certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of June 30, 2013:

Consolidated Statement of Assets and Liabilities location:

Payables for:

Cash collateral on deposit at broker

Payable for securities sold short

Payable for premium on purchased options

Collateral pledged for open swap agreements

The Fund had no transfers between Level 1 and Level 2 of the fair value hierarchy during the period ended June 30, 2013. The Fund recognizes 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 12/31/12			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 6/30/13		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of 6/30/13
Long-Term Investments
Equities
Common Stock
Basic Materials	$	-	**	$	-	$	(484,554	)	$	484,554		$	-	$	-		$	-	$	-	$	-	$	-
Consumer, Cyclical		469,299			-		-			-			-		-			-		-		469,299		-
Energy		789,896			-		-			2,438			421,965		-			-		-		1,214,299		2,438
Bonds & Notes
Corporate Debt†		3,362,492			-		-			(12,844	)		-		(24,690	)		-		-		3,324,958		(12,844	)
Corporate Debt		596,862			-		-			(1,399	)		46,368		-			-		-		641,831		(1,399	)
Warrants
Financial		6,927			-		-			25,162			-		-			-		-		32,089		25,162
	$	5,225,476		$	-	$	(484,554	)	$	497,911		$	468,333	$	(24,690	)	$	-	$	-	$	5,682,476	$	13,357

* The Fund recognizes transfers between the Levels as of the beginning of the year.

** Represents security at $0 value as of December 31, 2012.

† Represents (i) an illiquid 144A security valued by a broker quote or vendor price or (ii) a restricted security issued by a non-public entity valued by a broker quote or vendor price.

None of the unobservable inputs, individually or collectively, had a material impact on the Fund.

31

Notes to Consolidated Financial Statements (Unaudited) (Continued)

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. The Fund may not be able to close out a derivative transaction at a favorable time or price. The Fund held derivatives during the period ended June 30, 2013. 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
Foreign Currency Exchange Transactions*
Hedging/Risk Management	A
Directional Exposures to Currencies	A
Futures Contracts**
Hedging/Risk Management	A
Duration/Credit Quality Management	M
Substitution for Direct Investment	A
Interest Rate Swaps***
Hedging/Risk Management	M
Duration Management	A
Substitution for Direct Investment	M
Total Return Swaps****
Hedging/Risk Management	M
Duration/Credit Quality Management	M
Substitution for Direct Investment	A
Market Access	M
Credit Default Swaps (Protection Buyer)
Hedging/Risk Management	A
Duration/Credit Quality Management	M
Substitution for Direct Investment	M
Options (Purchased)
Hedging/Risk Management	A
Duration/Credit Quality Management	A
Substitution for Direct Investment	A
Directional Investment	A
Options (Written)
Hedging/Risk Management	A
Income	A
Directional Investment	A
Rights and Warrants
Hedging/Risk Management	M
Duration/Credit Quality Management	M
Directional Investment	A
Result of a Corporate Action	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.

32

Notes to Consolidated Financial Statements (Unaudited)(Continued)

At June 30, 2013, and during the period then ended, the Fund 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
Asset Derivatives
Forward Contracts*	$	-		$	-		$	1,126,111		$	-		$	1,126,111
Futures Contracts^^		-			238,096			-			-			238,096
Swap Agreements*,^^		50,384			93,777			-			27,132			171,293
Purchased Options*		-			5,619,141			-			44,978			5,664,119
Warrants*		-			32,124			-			-			32,124
Total Value	$	50,384		$	5,983,138		$	1,126,111		$	72,110		$	7,231,743
Liability Derivatives
Forward Contracts^	$	-		$	-		$	(685,209	)	$	-		$	(685,209	)
Futures Contracts^^		-			(140,174	)		-			-			(140,174	)
Swap Agreements^,^^		(212,876	)		-			-			(280,780	)		(493,656	)
Written Options^		-			(966,167	)		-			-			(966,167	)
Total Value	$	(212,876	)	$	(1,106,341	)	$	(685,209	)	$	(280,780	)	$	(2,285,206	)
Realized Gain (Loss)#
Forward Contracts	$	-		$	-		$	3,331,344		$	-		$	3,331,344
Futures Contracts		-			(120,717	)		-			-			(120,717	)
Swap Agreements		(5,837	)		-			-			(88,715	)		(94,552	)
Purchased Options		-			338,279			(218,836	)		86,387			205,830
Written Options		-			572,094			68,093			19,687			659,874
Rights		-			532			-			-			532
Total Realized Gain (Loss)	$	(5,837	)	$	790,188		$	3,180,601		$	17,359		$	3,982,311
Change in Appreciation (Depreciation)##
Forward Contracts	$	-		$	-		$	172,413		$	-		$	172,413
Futures Contracts		-			59,219			-			-			59,219
Swap Agreements		206,239			14,493			-			(283,994	)		(63,262	)
Purchased Options		-			2,882,022			193,324			15,238			3,090,584
Written Options		-			(86,381	)		(45,874	)		(19,687	)		(151,942	)
Warrants		-			25,123			-			-			25,123
Total Change in Appreciation (Depreciation)	$	206,239		$	2,894,476		$	319,863		$	(288,443	)	$	3,132,135
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-		$	-		$	78,855,265		$	-		$	78,855,265
Futures Contracts		-			159			-			-			159
Swap Agreements	$	5,636,536		$	160,000		$	-		$	113,824,798		$	119,621,334
Purchased Options		-			4,086,114			4,027,000			143,913,000			152,026,114
Written Options		-			108,145			4,027,000			218,417,000			222,552,145
Rights		-			73,853			-			-			73,853
Warrants		-			229,400			-			-			229,400

* Consolidated Statement of Assets and Liabilities location: Investments, at value, Receivables from: open forward foreign currency contracts or open swap agreements, at value, as applicable.

^ Consolidated Statement of Assets and Liabilities location: Payables for: open forward foreign currency contracts, open swap agreements, at value, or written options outstanding, at value, as applicable.

33

Notes to Consolidated Financial Statements (Unaudited)(Continued)

^^ Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” below. Only current day’s variation margin, if any, is reported within the Consolidated Statement of Assets and Liabilities.

# Consolidated Statement 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.

## Consolidated Statement 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 average number of contracts for futures contracts, notional amounts for forward contracts and swap agreements, or shares/units outstanding for written options, purchased 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, 2013.

Further details regarding the derivatives and other investments held by the Fund during the period ended June 30, 2013, are discussed below.

The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under a master netting agreement, or similar agreement, and net of the related collateral received by the Fund as of June 30, 2013.

Counterparty	Gross Assets in Statement of Assets and Liabilities†		Derivative Assets/(Liabilities) Available for Offset			Collateral Received***		Net Amount of Derivative Assets*
Bank of America N.A.	$	43,051	$	(43,051	)	$	-	$	-
Citibank N.A.		93,777		(93,777	)		-		-
Credit Suisse International		248,813		(87,189	)		-		161,624
Deutsche Bank AG		19,668		(19,668	)		-		-
JP Morgan Chase Bank		6,889		(6,889	)		-		-
	$	412,198	$	(250,574	)	$	-	$	161,624

The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under a master netting agreement, or similar agreement, and net of the related collateral pledged by the Fund as of June 30, 2013.

Counterparty	Gross Liabilities in Statement of Assets and Liabilities†		Derivative Assets/(Liabilities) Available for Offset			Collateral Pledged***			Net Amount of Derivative Liabilities**
Bank of America N.A.	$	131,856	$	(43,051	)	$	-		$	88,805
BNP Paribas SA		19,561		-			-			19,561
Citibank N.A.		349,532		(93,777	)		(100,000	)		155,755
Credit Suisse International		87,189		(87,189	)		-			-
Deutsche Bank AG		155,252		(19,668	)		-			135,584
Goldman Sachs International		223,659		-			-			223,659
JP Morgan Chase Bank		347,093		(6,889	)		-			340,204
UBS AG		68,401		-			-			68,401
	$	1,382,543	$	(250,574	)	$	(100,000	)	$	1,031,969

* Represents the net amount receivable from the counterparty in the event of default.

** Represents the net amount payable to the counterparty in the event of default.

*** The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0.

† The amount presented here may be less than the total amount shown in the Statement of Assets and Liabilities as some derivatives held by the counterparty are not covered within the master netting agreements.

34

Notes to Consolidated Financial Statements (Unaudited)(Continued)

Foreign Currency Exchange Transactions

The 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.

The Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and the 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. The Fund may also buy and sell options on currencies. When the Fund buys an option, its loss should generally be limited to the amount of the premium paid and any transaction costs. If the Fund sells an option on a currency, it is subject generally to the same risks as if it had entered into a forward contract with respect to that currency. The Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce the Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.

Whenever the 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 the 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 the 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 Fund 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 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 of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

The Fund had the following open forward foreign currency contracts at June 30, 2013. The Fund’s current exposure to a counterparty is typically the unrealized appreciation on the contract.

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
BUYS
	Barclays Bank PLC		58,590,000	Japanese Yen		7/03/13	$	599,037	$	590,745	$	(8,292	)
	Credit Suisse International		948,384	Canadian Dollar		9/19/13		901,000		900,055		(945	)
							$	1,500,037	$	1,490,800	$	(9,237	)
SELLS
	Bank of America N.A.		141,764,192	Japanese Yen		7/11/13	$	1,382,694	$	1,429,410	$	(46,716	)
	Bank of America N.A.		148,910,923	Japanese Yen		9/26/13		1,523,791		1,502,031		21,760
	Bank of America N.A.		142,529,163	Japanese Yen		10/03/13		1,459,017		1,437,726		21,291
								4,365,502		4,369,167		(3,665	)

35

Notes to Consolidated 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)
SELLS (Continued)
	Barclays Bank PLC		1,648,000	Australian Dollar		8/29/13	$	1,508,019	$	1,500,802	$	7,217
	Barclays Bank PLC		1,624,000	Australian Dollar		8/30/13		1,497,685		1,478,838		18,847
	Barclays Bank PLC		925,000	Euro		8/30/13		1,213,841		1,204,328		9,513
	Barclays Bank PLC		82,345,200	Japanese Yen		8/16/13		842,665		830,410		12,255
	Barclays Bank PLC		321,876,692	Japanese Yen		8/22/13		3,344,452		3,246,053		98,399
	Barclays Bank PLC		722,500	New Turkish Lira		7/17/13		399,657		373,685		25,972
								8,806,319		8,634,116		172,203
	BNP Paribas SA		1,778,000	Australian Dollar		8/02/13		1,671,364		1,622,372		48,992
	BNP Paribas SA		1,298,000	Australian Dollar		8/09/13		1,224,118		1,183,783		40,335
	BNP Paribas SA		1,683,000	Australian Dollar		8/23/13		1,541,678		1,533,344		8,334
	BNP Paribas SA		333,461	Euro		8/01/13		443,546		434,101		9,445
	BNP Paribas SA		141,243,319	Japanese Yen		7/17/13		1,380,408		1,424,190		(43,782	)
	BNP Paribas SA		143,747,822	Japanese Yen		8/16/13		1,470,400		1,449,624		20,776
								7,731,514		7,647,414		84,100
	Credit Suisse International		1,480,000	Australian Dollar		8/01/13		1,389,172		1,350,555		38,617
	Credit Suisse International		1,639,000	Australian Dollar		8/08/13		1,545,954		1,494,886		51,068
	Credit Suisse International		1,155,000	Euro		8/29/13		1,515,060		1,503,775		11,285
	Credit Suisse International		141,717,000	Japanese Yen		7/17/13		1,388,022		1,428,966		(40,944	)
	Credit Suisse International		119,052,250	Japanese Yen		7/25/13		1,188,502		1,200,468		(11,966	)
	Credit Suisse International		120,000,000	Japanese Yen		9/17/13		1,264,489		1,210,346		54,143
	Credit Suisse International		140,000,000	Japanese Yen		11/12/13		1,418,440		1,412,725		5,715
	Credit Suisse International		7,199,000	Mexican Peso		8/22/13		570,733		553,081		17,652
	Credit Suisse International		9,358,700	Mexican Peso		9/05/13		741,008		718,119		22,889
	Credit Suisse International		19,440,000	Mexican Peso		9/19/13		1,537,294		1,489,850		47,444
								12,558,674		12,362,771		195,903
	Deutsche Bank AG		2,323,030	Brazilian Real		8/23/13		1,060,987		1,030,083		30,904
	Deutsche Bank AG		1,323,986	British Pound		7/19/13		2,001,549		2,013,484		(11,935	)
	Deutsche Bank AG		1,407,000	British Pound		8/16/13		2,152,429		2,139,335		13,094
	Deutsche Bank AG		179,826,000	Japanese Yen		7/11/13		1,756,800		1,813,188		(56,388	)
	Deutsche Bank AG		211,200,431	Japanese Yen		8/16/13		2,161,060		2,129,849		31,211
	Deutsche Bank AG		180,000,000	Japanese Yen		9/10/13		1,876,759		1,815,440		61,319
	Deutsche Bank AG		24,467,000	Mexican Peso		10/03/13		1,948,242		1,872,814		75,428
								12,957,826		12,814,193		143,633
	Goldman Sachs USA		574,000	British Pound		7/19/13		867,722		872,924		(5,202	)
	Goldman Sachs USA		463,000	Euro		8/08/13		620,559		602,754		17,805
	Goldman Sachs USA		141,685,360	Japanese Yen		7/12/13		1,370,000		1,428,621		(58,621	)
	Goldman Sachs USA		138,423,990	Japanese Yen		7/26/13		1,397,093		1,395,809		1,284
								4,255,374		4,300,108		(44,734	)

36

Notes to Consolidated 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)
SELLS (Continued)
	JP Morgan Chase Bank		641,200	British Pound		8/22/13	$	1,003,991	$	974,903	$	29,088
	JP Morgan Chase Bank		199,231,542	Japanese Yen		7/11/13		1,946,042		2,008,855		(62,813	)
	JP Morgan Chase Bank		145,358,640	Japanese Yen		8/01/13		1,509,796		1,465,767		44,029
	JP Morgan Chase Bank		132,308,100	Japanese Yen		8/22/13		1,391,070		1,334,297		56,773
								5,850,899		5,783,822		67,077
	Morgan Stanley Capital Services, Inc.		141,733,872	Japanese Yen		7/12/13		1,376,458		1,429,110		(52,652	)
	Morgan Stanley Capital Services, Inc.		134,264,000	Japanese Yen		7/17/13		1,311,941		1,353,816		(41,875	)
	Morgan Stanley Capital Services, Inc.		152,461,386	Japanese Yen		8/01/13		1,573,762		1,537,390		36,372
								4,262,161		4,320,316		(58,155	)
	UBS AG		1,765,000	Euro		8/02/13		2,344,149		2,297,694		46,455
	UBS AG		98,482,319	Japanese Yen		7/11/13		961,000		992,999		(31,999	)
	UBS AG		201,387,000	Japanese Yen		7/12/13		1,955,214		2,030,596		(75,382	)
	UBS AG		164,286,558	Japanese Yen		7/18/13		1,611,000		1,656,547		(45,547	)
	UBS AG		115,327,514	Japanese Yen		8/02/13		1,199,828		1,162,944		36,884
	UBS AG		106,342,770	Japanese Yen		8/15/13		1,088,240		1,072,408		15,832
	UBS AG		576,000	New Turkish Lira		9/11/13		309,844		295,371		14,473
								9,469,275		9,508,559		(39,284	)
							$	70,257,544	$	69,740,466	$	517,078
Cross Currency Forwards
	Barclays Bank PLC		1,134,000	USD/Euro		7/26/13	$	1,483,612	$	1,476,211	$	(7,401	)
			147,200,571	Japanese Yen/USD		7/26/13		1,483,612		1,484,308		(696	)
									$	2,960,519	$	(8,097	)
	BNP Paribas SA		1,098,000	USD/Euro		7/26/13	$	1,436,513	$	1,429,347	$	(7,166	)
			142,416,639	Japanese Yen/USD		7/26/13		1,436,513		1,436,069		444
									$	2,865,416	$	(6,722	)
	Goldman Sachs USA		1,134,000	USD/Euro		7/19/13	$	1,467,452	$	1,476,170	$	8,718
			148,260,294	Japanese Yen/USD		7/19/13		1,467,452		1,494,955		(27,503	)
									$	2,971,125	$	(18,785	)
	Morgan Stanley Capital Services, Inc.		1,098,000	USD/Euro		7/11/13	$	1,415,213	$	1,429,262	$	14,049
			145,055,572	Japanese Yen/USD		7/11/13		1,415,213		1,462,597		(47,384	)
									$	2,891,859	$	(33,335	)

Futures Contracts

The Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts. The 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. The Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure when it

37

Notes to Consolidated Financial Statements (Unaudited)(Continued)

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 Fund 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 the Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When the 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.

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.

The Fund had the following open futures contracts at June 30, 2013:

Number of Contracts	Type	Expiration Date		Notional Contract Value			Net Unrealized Appreciation (Depreciation)
BUYS
57	Topix Index		9/12/13	$	6,500,000		$	205,808
SELLS
2	Nikkei 225 Index		9/12/13	$	(138,133	)	$	(1,177	)
1	DAX Index		9/20/13		(259,240	)		(447	)
2	FTSE 100 Index		9/20/13		(187,426	)		(1,020	)
116	MSCI EAFE Mini Index		9/20/13		(5,415,460	)		(137,530	)
22	S&P 500 Emini Index		9/20/13		(1,759,230	)		32,288
							$	(107,886	)

Swap Agreements

Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).

Interest Rate Swaps. When the 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. The 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.

38

Notes to Consolidated Financial Statements (Unaudited)(Continued)

Total Return Swaps. The Fund also 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. The 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. The 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 the 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. The 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).

Credit Default Swaps. The 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 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 the Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If the 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 the 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 the Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.

Whenever the 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 the Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.

Swaptions. The 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. The Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, the Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When the 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 the Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. The Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit derivatives. In a cleared derivative transaction, the Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post specified levels of margin with the clearinghouse or at the instruction of the clearinghouse; the margin required by a clearinghouse may be greater than the margin the Fund would be required to post in an uncleared transaction. Only a limited number of transactions are currently eligible for clearing.

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, the 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 the Fund’s basis in the agreement. Upfront swap

39

Notes to Consolidated Financial Statements (Unaudited)(Continued)

premium payments paid or received by the Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Consolidated 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 Consolidated 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 Fund are recorded in the accompanying Consolidated Statement of Operations as realized gains and losses, respectively.

The Fund had the following open swap agreements at June 30, 2013. The 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
	Credit Default Swaps
	OTC Swaps
$	710,174	USD		6/20/18	JP Morgan Chase Bank	Buy		Fixed 5.000%	CDX.NA.HY.20.V1†	$	7,510	$	(30,182	)	$	(22,672	)
	1,511,738	USD		6/20/18	JP Morgan Chase Bank	Buy		Fixed 5.000%	CDX.NA.HY.20.V1†		28,080		(76,343	)		(48,263	)
	1,419,000	USD		6/20/18	JP Morgan Chase Bank	Buy		Fixed 5.000%	CDX.NA.HY.20.V1†		16,141		(61,443	)		(45,302	)
	1,585,000	USD		6/20/18	JP Morgan Chase Bank	Buy		Fixed 5.000%	CDX.NA.HY.20.V1†		32,250		(82,852	)		(50,602	)
	721,000	USD		6/20/18	JP Morgan Chase Bank	Buy		Fixed 5.000%	CDX.NA.HY.20.V1†		16,348		(39,367	)		(23,019	)
	721,000	USD		6/20/18	JP Morgan Chase Bank	Buy		Fixed 5.000%	CDX.NA.HY.20.V1†		16,276		(39,294	)		(23,018	)
											116,605		(329,481	)		(212,876	)
	Centrally Cleared Swaps
	1,578,160	USD		6/20/18		Buy		Fixed 5.000%	CDX.NA.HY.20.V1†		86,147		(35,763	)		50,384

Notional Amount		Currency	Expiration Date		Counterparty	Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)			Premium Received (Paid)		Value
	Interest Rate Swaps
	OTC Swaps
	1,803,750	GBP		2/28/16	Deutsche Bank AG	Fixed 0.760%	6-Month British Pound Sterling-LIBOR-BBA	$	15,724		$	-	$	15,724
	721,544	GBP		2/28/19	Deutsche Bank AG	Fixed 1.395%	6-Month British Pound Sterling-LIBOR-BBA		(25,209	)		-		(25,209	)
	93,550,000	JPY		11/20/23	Deutsche Bank AG	6-Month JPY-LIBOR-BBA	Fixed 1.013%		(7,309	)		-		(7,309	)
	72,050,000	JPY		11/20/23	Deutsche Bank AG	6-Month JPY-LIBOR-BBA	Fixed 1.093%		(49	)		-		(49	)
	3,717,500	USD		9/14/15	Deutsche Bank AG	Fixed 0.540%	3-Month USD-LIBOR-BBA		3,944			-		3,944
	413,000	USD		8/17/16	Deutsche Bank AG	3-Month USD-LIBOR-BBA	Fixed 1.300%		(983	)		-		(983	)
	14,385,800	USD		9/27/16	Deutsche Bank AG	3-Month USD-LIBOR-BBA	Fixed 1.010%		(90,088	)		-		(90,088	)
	1,487,000	USD		9/14/18	Deutsche Bank AG	3-Month USD-LIBOR-BBA	Fixed 1.243%		(31,614	)		-		(31,614	)
									(135,584	)		-		(135,584	)

40

Notes to Consolidated 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
	Interest Rate Swaps (continued)
	OTC Swaps (continued)
$	14,083,000	USD		9/28/16	Goldman Sachs International	3-Month USD-LIBOR-BBA	Fixed 0.998%	$	(90,270	)	$	-	$	(90,270	)
	3,601,400	USD		9/17/15	JP Morgan Chase Bank	Fixed 0.500%	3-Month USD-LIBOR-BBA		6,889			-		6,889
	1,459,400	USD		9/17/18	JP Morgan Chase Bank	3-Month USD-LIBOR-BBA	Fixed 1.188%		(35,258	)		-		(35,258	)
									(28,369	)		-		(28,369	)
	Centrally Cleared Swaps
	14,440,000	JPY		11/20/23		6-Month JPY-LIBOR-BBA	Fixed 1.103%		573			2		575
	Total Return Swaps OTC Swaps
	160,000	JPY		4/03/14	Citibank N.A.	Notional amount at expiration date × Strike Price	Gross dividends on NIKKEI 225 Index x notional amount		93,777			-		93,777

GBP British Pound

JPY Japanese Yen

USD U.S. Dollar

* Collateral for swap agreements received from BNP Paribas, Citibank N.A., Deutsche Bank AG, Goldman Sachs International and JP Morgan Chase Bank and held by Citibank N.A. amounted to $510,000, $600,000, $200,000, $1,600,000, $670,000, and $100,000 in cash, respectively, at June 30, 2013.

† Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index.

Options, Rights, and Warrants

The 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. The Fund may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio of debt securities or the credit exposure of the portfolio.

Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. The 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 the Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. The Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security the 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 the Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. The Fund may not be able to close out a call option that it has previously written.

Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date. The 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. The 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. The Fund may not be able to close out a put option that it has previously written.

41

Notes to Consolidated Financial Statements (Unaudited)(Continued)

Writing put and call options. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.

Purchasing put and call options. The Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. The 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. The Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. The 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 the 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 the Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.

Exchange Traded Options. Exchange traded options purchased or sold by the Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited. Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price.

OTC Options. OTC options purchased or sold by the Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between the 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 the Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.

Rights and Warrants. The Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.

When the Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights

42

Notes to Consolidated Financial Statements (Unaudited)(Continued)

that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.

The Fund had the following open written option contracts at June 30, 2013. The Fund’s current exposure to a counterparty is typically the fair value of the contract.

Units		Expiration Date			Description	Premiums Received		Value
	453		8/17/13		Corning, Inc. Call, Strike 14.00	$	21,759	$	34,881
	207		9/21/13		Freescale Semiconductor Ltd. Call, Strike 18.00		19,450		2,070
	83		8/17/13		Humana, Inc., Call, Strike 75.00		20,516		83,000
	40		10/16/13		Ibovespa Index, Put, Strike 39,266.68*		16,986		2,608
	38		10/16/13		Ibovespa Index, Put, Strike 39,532.49*		15,609		2,836
	93		10/16/13		Ibovespa Index, Put, Strike 40,069.48*		37,733		9,025
	40		10/16/13		Ibovespa Index, Call, Strike 50,815.70*		21,627		19,047
	38		10/16/13		Ibovespa Index, Call, Strike 51,159.69*		19,750		15,597
	93		10/16/13		Ibovespa Index, Call, Strike 51,854.62*		47,899		32,171
	142		7/20/13		Marathon Petroleum Corp., Call, Strike 77.50		39,437		5,680
	2,378		9/20/13		MSCI Emerging Markets Index Put, Strike 787.50**		26,324		189
	2,378		9/20/13		MSCI Emerging Markets Index Call, Strike 981.00**		48,369		24,485
	1,929		10/18/13		MSCI Emerging Markets Index Put, Strike 809.20***		29,437		27,177
	1,929		10/18/13		MSCI Emerging Markets Index Call, Strike 1,035.78***		10,706		16,180
	164		12/13/13		Nikkei 225 Index, Put, Strike 8,305.01****		71,561		7,498
	165		12/13/13		Nikkei 225 Index, Put, Strike 8,592.09**		64,268		8,187
	112		12/13/13		Nikkei 225 Index, Call, Strike 11,000.00****		25,377		338,335
	167		3/14/14		Nikkei 225 Index, Put, Strike 9,300.00*****		88,677		19,561
	11		7/12/13		S&P 500 Index Put, Strike 1,520.00		6,197		2,475
	14		7/20/13		S&P 500 Index Put, Strike 1,470.00		11,157		1,960
	11		7/20/13		S&P 500 Index Put, Strike 1,475.00		6,455		1,815
	1,091		8/16/13		S&P 500 Index Put, Strike 1,464.34†		9,961		7,941
	11		8/17/13		S&P 500 Index Put, Strike 1,470.00		10,804		8,800
	1,096		9/20/13		S&P 500 Index Put, Strike 1,450.00†		16,221		15,946
	1,096		9/20/13		S&P 500 Index Call, Strike 1,700.00†		18,632		9,447
	596		12/20/13		S&P 500 Index Put, Strike 1,149.60****		52,314		3,699
	1,962		8/09/13		Topix Index Put, Strike 932.96***		47,828		8,415
	1,405		9/13/13		Topix Index Put, Strike 1,031.53***		53,297		33,368
	210,463		9/13/13		Topix Index Put, Strike 1,035.07††		85,476		68,401
	158,400		10/11/13		Topix Index Put, Strike 1,003.47*		73,869		52,105
	1,940		10/11/13		Topix Index Put, Strike 1,040.92**		81,422		66,098
	38		1/18/14	��	Williams Sonoma, Inc., Call, Strike 52.50		7,137		23,940
	27		1/18/14		Williams Sonoma, Inc., Call, Strike 55.00		5,723		13,230
						$	1,111,978	$	966,167

* OTC traded option counterparty Goldman Sachs International.

** OTC traded option counterparty JP Morgan Chase Bank.

*** OTC traded option counterparty Bank of America N.A.

**** OTC traded option counterparty Citibank N.A.

***** OTC traded option counterparty BNP Paribas.

† OTC traded option counterparty Credit Suisse International.

†† OTC traded option counterparty UBS AG.

43

Notes to Consolidated Financial Statements (Unaudited)(Continued)

Transactions in written option contracts during the period ended June 30, 2013, were as follows:

	Number of Contracts			Premiums Received
Options outstanding at December 31, 2012		222,549,128		$	1,630,144
Options written		483,547			1,448,888
Options terminated in closing purchase transactions		(110,408	)		(1,105,666	)
Options expired		(222,530,859	)		(588,414	)
Options exercised		(2,798	)		(272,974	)
Options outstanding at June 30, 2013		388,610		$	1,111,978

When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions

The Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) 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-delivery, or forward commitment transactions, the Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although the Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If the Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, forward commitment, or TBA 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 Fund records on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a when-issued, delayed-delivery, forward commitment, or TBA transaction is closed, the Fund records 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.

Bank Loans

The Fund may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. The 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 the Fund. The Fund may also invest in loans through novations, assignments, and participation interests. In a novation, the 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 the 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 the 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, the 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, the 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.

44

Notes to Consolidated Financial Statements (Unaudited)(Continued)

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, 2013, the Fund had no unfunded loan commitments.

Short Sales

A short sale is a transaction in which the Fund sells a security it does not own in anticipation that the market price of that security will decline. When the 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. The 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 the Fund replaces the borrowed security, the Fund will incur a loss, which could be unlimited, in cases where the Fund is unable for whatever reason to close out its short position; conversely, if the price declines, the 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.

Accounting for Investment Transactions

Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and dividend expense are recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates 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 Fund 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 Fund does 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 Fund and the amount actually received.

Allocation of Operating Activity

In maintaining the records for the Fund, the income and expense accounts are allocated to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of the Fund not directly attributable to the operations of any one share class of the Fund are prorated among the Fund’s classes based on the relative net assets of each.

45

Notes to Consolidated Financial Statements (Unaudited)(Continued)

Foreign Securities

The Fund invests a significant amount of its assets 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 the Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.

Federal Income Tax

It is the 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 Fund would not be subject to federal income taxes on its ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to its shareholders. Therefore, the Fund has not made any provision for federal income tax.

The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary’s income. Net losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.

Dividends and Distributions to Shareholders

Dividends from net investment income and distributions of any net realized capital gains of the 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 Fee and Other Transactions

Investment Management Fee

Under an agreement between Massachusetts Mutual Life Insurance Company (“MassMutual”) and the Trust on behalf of the Fund, MassMutual is responsible for providing investment management services for the Fund. In return for these services, MassMutual receives an advisory fee, based upon the Fund’s average daily net assets, at the annual rate of 0.80% on the first $750 million; and 0.75% on any excess over $750 million.

MassMutual has also entered into an investment subadvisory agreement with the unaffiliated investment subadviser, BlackRock Investment Management, LLC (“BlackRock”). MassMutual pays a subadvisory fee to this subadviser based upon the average daily net assets of the Fund.

The Fund’s subadvisory fee is paid by MassMutual out of the management fee previously disclosed above.

BlackRock provides investment management services to the Subsidiary pursuant to an investment advisory agreement. The Subsidiary pays an advisory fee to BlackRock based upon the Subsidiary’s average daily net assets. The rate of this fee is equal to the subadvisory fee rate that MassMutual pays BlackRock in respect of the Fund. The amount of the fee payable by MassMutual to BlackRock in respect of the Fund for any period is reduced by the amount of the advisory fee payable by the Subsidiary to BlackRock for that period. Under the Fund’s investment management agreement, the amount of the advisory fee payable by the Fund to MassMutual in respect of any period is also reduced by the amount of the advisory fee payable by the Subsidiary to BlackRock in respect of that period. The amount of the reduction to the Fund’s advisory fee is reflected as a reduction of expenses on the Consolidated Statement of Operations.

46

Notes to Consolidated Financial Statements (Unaudited)(Continued)

Administration Fees

Under a separate administrative and shareholder services agreement between the 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 Fund, at the following annual rates:

Class S	Class Y		Class L		Class A
0.0500%		0.1500%		0.3000%	0.3000%

The Subsidiary also pays certain other expenses, including administrative, accounting services, custodian, and transfer agent fees. In respect of certain (but not all) of these fees, the Fund has entered into offsetting arrangements with its service providers which result in a reduction of certain of the Fund’s expenses with respect to those assets held by the Subsidiary. Certain of these reductions are reflected as a reduction of expenses on the Consolidated Statement of Operations.

Distribution and Service Fees

MML Distributors, LLC (the “Distributor”) acts as distributor to the Fund. Pursuant to a 12b-1 Plan adopted by the Fund, Class A shares of the 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. The Servicing Fee may be spent by MassMutual on personal services rendered to Class A shareholders of the Fund and/or maintenance of Class A shareholder accounts. The Distributor is a majority-owned subsidiary of MassMutual. For the period January 1, 2013 through May 31, 2013, OppenheimerFunds Distributor, Inc. acted as a sub-distributor to the Fund. OppenheimerFunds Distributor, Inc. 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 Fund (other than extraordinary litigation and legal expenses, interest expense, short sale dividend and loan expense, 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 Fund, as follows:

Class S*	Class Y*		Class L*		Class A*
0.86%		0.96%		1.11%	1.36%

# Acquired Fund fees and expenses are expenses borne indirectly by the Fund through investments in other pooled investment vehicles.

* Expense caps in effect through March 31, 2014.

Expense caps and waiver amounts are reflected as a reduction of expenses on the Consolidated Statement of Operations.

Rebated Brokerage Commissions

The Fund has entered into agreements with certain brokers whereby the brokers will rebate to the Fund, in cash, a portion of brokerage commissions. Rebated brokerage commissions are amounts earned by the Fund and are included with realized gain or loss on investment transactions presented in the Consolidated Statement of Operations. For the period ended June 30, 2013, there were no brokerage commissions rebated under these agreements.

47

Notes to Consolidated Financial Statements (Unaudited)(Continued)

Deferred Compensation

Trustees of the Fund 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 Fund’s books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Consolidated Statement of Assets and Liabilities.

Other

Certain officers and trustees of the Fund are also employees of MassMutual. The compensation of each trustee who is not an employee of MassMutual is borne by the Fund.

The beneficial ownership of Fund’s shares by affiliated parties at June 30, 2013 was 7.7%.

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, 2013, 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
$	18,632,728	$	116,616,322	$	14,280,969	$	150,404,153

5. Capital Share Transactions

Changes in shares outstanding for the Fund were as follows:

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Class S
Sold		1,507,934		$	17,001,194			2,934,849		$	30,662,597
Issued as reinvestment of dividends		-			-			944,355			10,135,120
Redeemed		(1,556,327	)		(17,375,640	)		(5,880,249	)		(62,123,644	)
Net increase (decrease)		(48,393	)	$	(374,446	)		(2,001,045	)	$	(21,325,927	)
Class Y
Sold		287,080		$	3,161,509			1,447,939		$	14,740,486
Issued as reinvestment of dividends		-			-			26,727			286,617
Redeemed		(681,312	)		(7,747,255	)		(56,366	)		(597,563	)
Net increase (decrease)		(394,232	)	$	(4,585,746	)		1,418,300		$	14,429,540
Class L
Sold		62,127		$	711,068			2,486,327		$	25,794,202
Issued as reinvestment of dividends		-			-			37,584			412,210
Redeemed		(489,090	)		(5,551,907	)		(405,232	)		(4,395,027	)
Net increase (decrease)		(426,963	)	$	(4,840,839	)		2,118,679		$	21,811,385
Class A
Sold		206,902		$	2,331,111			493,550		$	5,050,696
Issued as reinvestment of dividends		-			-			8,821			94,247
Redeemed		(76,397	)		(849,094	)		(138,840	)		(1,453,712	)
Net increase (decrease)		130,505		$	1,482,017			363,531		$	3,691,231

48

Notes to Consolidated 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, 2013, no material amounts have been retained by the Distributor.

Redemptions or exchanges of Class A shares made within eighteen months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1% of the amount redeemed. The Distributor receives all contingent deferred sales charges. There were no contingent deferred sales charges imposed during the period ended June 30, 2013.

6. Federal Income Tax Information

At June 30, 2013, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Fund, 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)
$	563,684,049	$	77,468,570	$	(25,727,860	)	$	51,740,710

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, 2012, for federal income tax purposes, there were no unused capital losses.

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 consolidated 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, 2012, was as follows:

Ordinary Income		Long Term Capital Gain		Return of Capital
$	9,597,896	$	1,560,713	$	-

Capital accounts within consolidated 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, 2012, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, futures contracts, options contracts, swap agreements, premium amortization accruals, passive foreign investment companies, the deferral of wash sale losses, and deferred Trustee compensation.

At December 31, 2012, 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)
$	-	$	378,374	$	(55,069	)	$	41,072,750

49

Notes to Consolidated Financial Statements (Unaudited)(Continued)

The Fund did not have any unrecognized tax benefits at June 30, 2013, nor were there any increases or decreases in unrecognized tax benefits for the period then ended. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Consolidated Statement of Operations. During the period ended June 30, 2013, the Fund did not incur any such interest or penalties. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Fund’s understanding of the tax rules and rates that exist in the foreign markets in which it invests.

7. Indemnifications

Under the Fund’s 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 Fund, and shareholders are indemnified against personal liability for obligations of the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

8. New Accounting Pronouncements

On June 7, 2013, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2013-08, Financial Services — Investment Companies (Topic 946): “Amendments to the Scope, Measurement, and Disclosure Requirements” (“ASU 2013-08”). ASU 2013-08 sets forth a new approach for determining whether a public or private company is an investment company and sets certain measurement and disclosure requirements for an investment company. ASU 2013-08 is effective in annual reporting periods beginning on or after December 15, 2013, and for interim periods within those annual reporting periods. Management is currently evaluating the implications of these changes and their impact on the financial statements.

9. Subsequent Events

In preparation of these consolidated financial statements Management has evaluated the events and transactions subsequent to June 30, 2013, through the date when the consolidated financial statements were issued, and determined that there are no material events or transactions that would require adjustments to or disclosures in the Fund’s consolidated financial statements.

50

Other Information (Unaudited)

Proxy Voting

A description of the policies and procedures that the Fund’s investment adviser and subadviser 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 Fund 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 Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.

Trustees’ Approval of Investment Advisory Contracts

At their meetings in April and May 2013, 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 the subadviser (the “Independent Trustees”), re-approved the existing advisory and subadvisory agreement (collectively, the “Contracts”) for the Fund. In preparation for the meetings, the Trustees requested, and MassMutual and the subadviser 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 Fund; (ii) a profitability analysis prepared by MassMutual; and (iii) a fee and performance study report (the “Third-Party Report”) with respect to the 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 the 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 the subadviser.

The Committee considered the nature, scope, and quality of services MassMutual provides to the Fund, 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 Fund; (iii) MassMutual’s ability to provide investment oversight and administrative and shareholder services to the Fund; and (iv) the experience and qualifications of the personnel of MassMutual that perform, or oversee the performance of, the services provided to the Fund and the needs of the Fund for administrative and shareholder services.

The Committee then reviewed and considered 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 the one-year period against peer funds and a benchmark index). In connection with the Committee’s review, MassMutual provided commentary and analysis regarding the 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 Fund; and (ii) a wide range of information about the subadviser and its personnel with responsibility for providing services to the Fund and the fee payable to the subadviser by MassMutual. 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 the Fund.

The Committee reviewed the expense and performance information for the Fund. (References to the one-year or three-year period below are to periods ended December 31, 2012. The comparative expense information is that of the Fund’s “peer group” and the comparative performance information is that of the Fund’s “performance category.”)

51

Other Information (Unaudited) (Continued)

The Committee considered that the Fund had underperformed in recent periods compared to its peers. The Committee also considered that the Fund had relatively favorable expenses, second quartile, but had achieved unfavorable relative performance. The Committee noted that, although the Fund had achieved comparative performance in the 93rd percentile for the three-year period, its comparative performance had improved to the 69th percentile for the one-year period. The Committee considered MassMutual’s statements that the subadviser manages the Fund to take only low to moderate levels of investment risk, and that this bias had been a drag on relative performance in the recent strong equity markets. The Committee considered MassMutual’s statements that both MassMutual and investors generally maintain a very strong level of confidence in the subadviser’s capabilities.

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 Fund, including: (i) a description of the revenue (including management fee and administrative and shareholder services fees, as applicable) and expense allocation methodology employed by MassMutual; and (ii) profitability information for the Fund. The discussions included consideration of the intangible benefits derived by MassMutual and its affiliates resulting from their relationships with the Fund and the so-called “fallout benefits” to MassMutual, such as any reputational value derived from serving as investment adviser to the Fund, and benefits accruing to the subadviser 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.

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 the Fund and the subadvisory process; (ii) MassMutual’s level of profitability from its relationship with the Fund was not excessive and the advisory fee payable under the Contract and the Fund’s total net expenses are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of the subadviser generally appear well suited to the Fund, given its investment objective and policies; (iv) the relative performance of the Fund (taking into account the applicable investment strategy and risk profile of the Fund) is sufficient to warrant continuation of the Contracts for the Fund; and (v) the terms of the Contracts were fair and reasonable with respect to the Fund and were in the best interests of the Fund’s shareholders.

The Committee also considered the information presented and discussed regarding the existing advisory agreement for the Subsidiary.

52

Other Information (Unaudited) (Continued)

Fund Expenses June 30, 2013

Expense Examples:

The following information is in regards to expenses for the six months ended June 30, 2013:

As a shareholder of the Fund, 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 Fund 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, 2013.

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*
Class S		1,000		0.86	%		1,043.80		4.31		1,020.30		4.26
Class Y		1,000		0.96	%		1,041.90		4.81		1,019.80		4.75
Class L		1,000		1.11	%		1,041.90		5.56		1,019.10		5.50
Class A		1,000		1.36	%		1,041.20		6.81		1,017.90		6.73

* Expenses are calculated using the annualized expense ratio for the six months ended June 30, 2013, 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.

53

Distributor:

MML Distributors, LLC

1295 State Street

Springfield, MA 01111-0001

August 29, 2013

^©2013 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. C:32500-00

Table of Contents

President’s Letter to Shareholders (Unaudited)	1
Portfolio Summaries (Unaudited)	3
Portfolio of Investments (Unaudited)
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 (Unaudited)	22
Statements of Operations (Unaudited)	30
Statements of Changes in Net Assets	34
Financial Highlights	42
Notes to Financial Statements (Unaudited)	56
Other Information (Unaudited)
Proxy Voting	87
Quarterly Reporting	87
Trustees’ Approval of Investment Advisory Contracts	87
Fund Expenses	89

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 (Unaudited)

To Our Shareholders

Eric Wietsma

“Thank you for your continued confidence in MassMutual. We are committed to helping you plan for a more financially secure future by giving you the information you need to make the choices that are appropriate for you, regardless of current market conditions.”

June 30, 2013

Welcome to the Semiannual Report for the RetireSMART^SM Funds Series of the MassMutual Select Funds, covering the six months ended June 30, 2013. Stocks in the United States and in foreign developed markets advanced during the first half of the year, and U.S. bonds and emerging-market equities declined. The actions and comments of central bankers across the globe kept the attention of investors and helped drive choppier stock markets and rising interest rates later in the period. The U.S. economy continued its somewhat unsteady recovery in the midst of government spending cuts mandated by sequestration – the automatic, across-the-board series of spending cuts to government agencies – and ongoing caution among business owners. Housing and unemployment mainly improved throughout the period, but U.S. gross domestic product (“GDP”) figures, which indicated higher rates of growth early in the period, underwent substantial downward revisions later. (GDP measures the total value of goods and services produced in a country.) Through it all, consumer confidence numbers reached their highest levels since mid-2007, and inflation remained in check. Elsewhere in the world, the ongoing recession in the euro zone and a March banking crisis in Cyprus kept investors wary. Looking to the Far East, China continued to struggle, while Japan made some headway against its economic challenges. Against this backdrop, two key commodities headed in different directions. The price of oil rose from slightly less than $92 a barrel at the beginning of the period to more than $96 at the end, taking a volatile route along the way. The price of gold continued its substantial decline, starting 2013 at around $1,676 an ounce and dropping to less than $1,224 by the end of the period.

Key events that defined the period

In the United States, encouraging pockets of economic strength and the Federal Reserve’s (the “Fed”) ongoing Quantitative Easing (“QE”) program gave investors reason for optimism, despite the challenges brought about by the “fiscal cliff” and sequestration. Late on January 1, 2013, congressional votes to avert the fiscal cliff were finally confirmed. (Fiscal cliff is the term for a combination of tax hikes and spending cuts that were set to take effect early in 2013 unless an alternate plan could be agreed upon by congress and the president.) The agreement prevented broad escalation of income taxes for most Americans except top-bracket individual filers.

In February, equity investors focused on the specter of sequestration, which was set to go into effect March 1, 2013. Ultimately, however, in March, the U.S. Congress passed a stopgap spending bill to keep the federal government running through September 2013. Also in March, the Department of Labor reported that the U.S. unemployment rate fell to its lowest level since December 2008, and the Fed continued its commitment to keep the federal funds rate between 0% and 0.25% and announced its continuation of the $85 billion per month bond-buying QE program. (The federal funds rate is the interest rate that banks and other financial institutions charge each other for borrowing funds overnight.) In April, Commerce Department reports indicated that the U.S. economy rebounded in the first quarter of 2013 after a lackluster fourth quarter. The agency estimated first-quarter 2013 GDP growth to be at a level of 2.5%, versus fourth-quarter 2012 GDP growth of 0.4% – although the 2.5% figure was ultimately revised downward to a final 1.8% in June.

In May, the first signs emerged that QE could soon be scaled back when Fed Chairman Bernanke alluded to a possible “tapering down” of monthly Fed bond purchases in the near term – and minutes from the Fed’s May 1 meeting indicated other Fed officials supported the move. The day of the release, the Dow Jones Industrial Average^SM (the “Dow”) reversed its triple-digit point gain to post a loss of 0.80% for the day. The markets subsequently posted declines in each of the last two weeks of May and the yields of U.S. Treasury securities increased across the board as their prices fell. (Bond prices move in the opposite direction of interest rates (or yields); when yields rise, the prices of existing bonds fall – and vice versa.) That same month, the U.S. unemployment rate fell to 7.5%, marking a four-year low. In June, the unemployment rate ticked up slightly to 7.6%, as more

(Continued)

1

MassMutual RetireSMART^SM Funds – President’s Letter to Shareholders (Unaudited) (Continued)

individuals entered the job market. Stock and bond markets sold off sharply in mid-June and drove interest rates higher on lingering concerns that QE would end sooner than expected. Stocks rose again as the period drew to a close when the Department of Labor released the final downward revision of first-quarter GDP. The weaker-than-expected growth figure drove shares higher on investor expectations that the Fed would continue QE a while longer.

In news from around the world, the Japanese Cabinet approved a ¥20 trillion (yen) ($224 billion) stimulus package in January 2013, which was expected to create 600,000 jobs and help repair tsunami-ravaged coastland. In February, uncertainty over Italian elections led to a hung parliament, which struck fresh fears into the euro zone. In late March, resolution came to the Cyprus banking crisis – although the deal restricted Cyprus’s financial industry and limited its status as an offshore tax haven. China sent mixed economic signals in the first part of 2013, but April reports were clear the country was in a slowdown. Also in April, the Bank of Japan announced plans to double the country’s monetary base over the next two years through its own bond-buying program in an effort to boost its economy. The announcement accelerated the already rallying Japanese stock market, which continued to advance well into May – but declined along with U.S. stocks in the wake of Fed chairman Bernanke’s comments about the possible end of QE. In June, consumer sentiment in the euro zone improved, despite the region’s continued recession, and the European Central Bank reaffirmed its commitment to stimulative monetary policy. Following a precipitous fall in late May into mid-June, Japanese stocks rallied on encouraging signs attributable to the country’s economic reforms, and China’s woes increased.

The major stock indexes in the U.S. advanced for the six months ended June 30, 2013, outperforming most international competitors. The Russell 2000^® Index, a benchmark of small-cap stocks, led the gainers with a 15.86% advance, while the Dow, a measure of blue-chip domestic stock performance, gained 15.20%. The S&P 500^® Index, a measure of large-cap stock performance, also turned in a double-digit advance of 13.82%. The NASDAQ Composite^® Index, an indicator of technology stock performance, returned 12.71% for the six months. In international equities, the MSCI EAFE^® Index, a benchmark measuring foreign developed-market stocks, posted a 4.10% gain; while the MSCI^® Emerging Markets Index, a benchmark of emerging stock markets, lost 9.57%. Fixed-income investments in the U.S. significantly lagged equity counterparts during the period, with the Barclays U.S. Aggregate Bond Index losing 2.44% during the period.*

Keeping it in perspective

The economic and market events that characterized the first six months of 2013 offer an excellent reminder that investing environments can be unpredictable and that it is important for investors to maintain perspective. We believe it is unwise for investors to use short-term performance to justify major deviations from their long-term plan. In the end, we believe you may be more successful if you focus on maintaining a solid, systematic individual investment plan that reflects your long-term objectives, risk tolerance, and the amount of time you have to invest.**

Thank you for your continued confidence in MassMutual. We are committed to help you plan for a more financially secure future by giving you the information you need to make the choices that are appropriate for you, regardless of current market conditions. If you work with a financial professional and have not met with him or her recently, you may wish to consider scheduling some time to review your retirement investment strategy in order to assess whether or not your current investments are compatible with your long-term financial goals.

Sincerely,

Eric Wietsma

President

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

** Systematic investing does not ensure a profit or protect against loss in a declining market. Systematic investing involves continuous investment in securities regardless of fluctuating price levels. Investors should consider their ability to continue investing through periods of low price levels.

The information provided is the opinion of MassMutual Retirement Services Investment Services as of 7/1/13 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 (Unaudited)

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”) using an asset allocation strategy. Underlying Funds can include MassMutual Select Funds and MassMutual Premier Funds, which are advised by Massachusetts Mutual Life Insurance Company (MassMutual), and Oppenheimer Funds, which are advised by OFI Global Asset Management, Inc. (OFI Global), a majority owned, indirect subsidiary of MassMutual. 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. 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.

3

MassMutual RetireSMART^SM (risk-based) Funds – Portfolio Summaries (Unaudited) (Continued)

MassMutual RetireSMART Conservative Fund Asset Allocation (% of Net Assets) on 6/30/13
Fixed Income Funds	68.3	%
Equity Funds	31.8	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART Moderate Fund Asset Allocation (% of Net Assets) on 6/30/13
Equity Funds	60.8	%
Fixed Income Funds	39.3	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART Moderate Growth Fund Asset Allocation (% of Net Assets) on 6/30/13
Equity Funds	84.9	%
Fixed Income Funds	15.2	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART Growth Fund Asset Allocation (% of Net Assets) on 6/30/13
Equity Funds	98.4	%
Fixed Income Funds	1.7	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

4

MassMutual RetireSMART^SM (target-date) Funds – Portfolio Summaries (Unaudited)

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 (the “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. RetireSMART In Retirement Fund seeks to achieve high current income and, as a secondary objective, 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”) using an asset allocation strategy designed for investors expecting to retire around the year specified in the Fund name and likely stop making new investments in the Fund (or designed for investors already in retirement for the In Retirement Fund). Underlying Funds can include MassMutual Select Funds and MassMutual Premier Funds, which are advised by Massachusetts Mutual Life Insurance Company (MassMutual), and Oppenheimer Funds, which are advised by OFI Global Asset Management, Inc. (OFI Global), a majority owned, indirect subsidiary of MassMutual. The Underlying Funds may invest in various asset classes, including equity securities, fixed income securities, and money market instruments, as well as commodities or commodities-related investments. The Series’ investment adviser is MassMutual.

Each Fund’s assets are allocated to 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 6/30/13
Fixed Income Funds	62.7	%
Equity Funds	37.4	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2010 Fund Asset Allocation (% of Net Assets) on 6/30/13
Fixed Income Funds	51.5	%
Equity Funds	48.6	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

5

MassMutual RetireSMART^SM (target-date) Funds – Portfolio Summaries (Unaudited) (Continued)

MassMutual RetireSMART 2015 Fund Asset Allocation (% of Net Assets) on 6/30/13
Equity Funds	59.8	%
Fixed Income Funds	40.4	%
Total Long-Term Investments	100.2	%
Other Assets & Liabilities	(0.2	)%
Net Assets	100.0	%

MassMutual RetireSMART 2020 Fund Asset Allocation (% of Net Assets) on 6/30/13
Equity Funds	71.6	%
Fixed Income Funds	28.5	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2025 Fund Asset Allocation (% of Net Assets) on 6/30/13
Equity Funds	79.5	%
Fixed Income Funds	20.6	%
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 6/30/13
Equity Funds	85.0	%
Fixed Income Funds	15.1	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2035 Fund Asset Allocation (% of Net Assets) on 6/30/13
Equity Funds	87.9	%
Fixed Income Funds	12.3	%
Total Long-Term Investments	100.2	%
Other Assets & Liabilities	(0.2	)%
Net Assets	100.0	%

MassMutual RetireSMART 2040 Fund Asset Allocation (% of Net Assets) on 6/30/13
Equity Funds	89.0	%
Fixed Income Funds	11.1	%
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 6/30/13
Equity Funds	96.2	%
Fixed Income Funds	4.1	%
Total Long-Term Investments	100.3	%
Other Assets & Liabilities	(0.3	)%
Net Assets	100.0	%

MassMutual RetireSMART 2050 Fund Asset Allocation (% of Net Assets) on 6/30/13
Equity Funds	96.3	%
Fixed Income Funds	3.8	%
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, 2013 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		5,544,244	$	61,929,208
MassMutual Premier Disciplined Growth Fund, Class S (a)		725,226		8,898,524
MassMutual Premier Disciplined Value Fund, Class S (a)		697,684		9,104,779
MassMutual Premier Focused International Fund, Class Z (a)		56,974		665,452
MassMutual Premier High Yield Fund, Class Z (a)		449,855		4,408,575
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		1,337,484		14,605,325
MassMutual Premier International Bond Fund, Class S (a)		941,298		8,829,376
MassMutual Premier International Equity Fund, Class S (a)		116,927		1,669,717
MassMutual Premier Money Market Fund, Class S (a)		3,706,864		3,706,864
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		3,972,302		41,709,171
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		325,735		3,583,087
MassMutual Select Blue Chip Growth Fund, Class S (a)		115,246		1,649,166
MassMutual Select Diversified International Fund, Class S (a)		280,208		1,866,186
MassMutual Select Diversified Value Fund, Class S (a)		141,881		1,669,936
MassMutual Select Focused Value Fund, Class Z (a)		242,417		5,464,071
MassMutual Select Fundamental Growth Fund, Class S (a)		222,726		1,661,533
MassMutual Select Fundamental Value Fund, Class Z (a)		145,668		1,922,823
MassMutual Select Growth Opportunities Fund, Class Z (a) (b)		142,781		1,390,690
MassMutual Select Large Cap Value Fund, Class S (a)		132,526		1,191,410
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		107,601		1,851,814
MassMutual Select Mid-Cap Value Fund, Class Z (a)		131,677		1,664,393
MassMutual Select Overseas Fund, Class Z (a)		691,929		5,438,565
MassMutual Select PIMCO Total Return Fund, Class Z (a)		1,228,948		12,596,721

	Number of Shares		Value
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		65,785	$	1,202,554
MassMutual Select Small Cap Value Equity Fund, Class S (a)		125,438		1,566,716
MassMutual Select Small Company Growth Fund, Class S (a) (b)		62,194		784,265
MassMutual Select Small Company Value Fund, Class Z (a)		24,421		389,278
MassMutual Select Strategic Bond Fund, Class S (a)		1,051,084		10,573,901
MM MSCI EAFE International Index Fund, Class Z (a)		515,735		6,291,969
MM Russell 2000 Small Cap Index Fund, Class Z (a)		145,825		1,849,059
MM S&P Mid Cap Index Fund, Class Z (a)		245,923		3,108,471
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		1,214,885		3,596,060
Oppenheimer Developing Markets Fund, Class I (a)		81,184		2,726,955
Oppenheimer Global Real Estate Fund, Class I (a)		69,234		673,644
Oppenheimer International Bond Fund, Class I (a)		222,862		1,355,003
Oppenheimer Real Estate Fund, Class I (a)		109,035		2,586,313
				234,181,574
TOTAL MUTUAL FUNDS (Cost $231,648,268)				234,181,574
TOTAL LONG-TERM INVESTMENTS (Cost $231,648,268)				234,181,574
TOTAL INVESTMENTS — 100.1% (Cost $231,648,268) (c)				234,181,574
Other Assets/(Liabilities) — (0.1)%				(183,670	)
NET ASSETS — 100.0%			$	233,997,904

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, 2013 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		6,812,268	$	76,093,039
MassMutual Premier Disciplined Growth Fund, Class S (a)		2,440,653		29,946,807
MassMutual Premier Disciplined Value Fund, Class S (a)		2,347,575		30,635,859
MassMutual Premier Focused International Fund, Class Z (a)		292,807		3,419,986
MassMutual Premier High Yield Fund, Class Z (a)		949,817		9,308,209
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		1,459,210		15,934,568
MassMutual Premier International Bond Fund, Class S (a)		1,278,306		11,990,508
MassMutual Premier International Equity Fund, Class S (a)		582,556		8,318,907
MassMutual Premier Money Market Fund, Class S (a)		1,835,847		1,835,847
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		4,002,195		42,023,043
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		938,263		10,320,889
MassMutual Select Blue Chip Growth Fund, Class S (a)		624,993		8,943,651
MassMutual Select Diversified International Fund, Class S (a)		1,291,733		8,602,944
MassMutual Select Diversified Value Fund, Class S (a)		769,328		9,054,986
MassMutual Select Focused Value Fund, Class Z (a)		658,059		14,832,640
MassMutual Select Fundamental Growth Fund, Class S (a)		1,207,706		9,009,487
MassMutual Select Fundamental Value Fund, Class Z (a)		789,818		10,425,599
MassMutual Select Growth Opportunities Fund, Class Z (a) (b)		774,399		7,542,642
MassMutual Select Large Cap Value Fund, Class S (a)		718,553		6,459,796
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		491,737		8,462,796
MassMutual Select Mid-Cap Value Fund, Class Z (a)		818,110		10,340,916
MassMutual Select Overseas Fund, Class Z (a)		2,993,837		23,531,562
MassMutual Select PIMCO Total Return Fund, Class Z (a)		1,491,850		15,291,458

	Number of Shares		Value
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		288,020	$	5,265,000
MassMutual Select Small Cap Value Equity Fund, Class S (a)		549,056		6,857,706
MassMutual Select Small Company Growth Fund, Class S (a) (b)		272,249		3,433,064
MassMutual Select Small Company Value Fund, Class Z (a)		107,149		1,707,959
MassMutual Select Strategic Bond Fund, Class S (a)		1,247,303		12,547,870
MM MSCI EAFE International Index Fund, Class Z (a)		1,915,761		23,372,279
MM Russell 2000 Small Cap Index Fund, Class Z (a)		634,111		8,040,523
MM S&P Mid Cap Index Fund, Class Z (a)		902,614		11,409,040
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		3,507,115		10,381,061
Oppenheimer Developing Markets Fund, Class I (a)		237,430		7,975,268
Oppenheimer Global Real Estate Fund, Class I (a)		226,843		2,207,179
Oppenheimer International Bond Fund, Class I (a)		295,616		1,797,346
Oppenheimer Real Estate Fund, Class I (a)		361,228		8,568,330
				475,888,764
TOTAL MUTUAL FUNDS (Cost $450,428,468)				475,888,764
TOTAL LONG-TERM INVESTMENTS (Cost $450,428,468)				475,888,764
TOTAL INVESTMENTS — 100.1% (Cost $450,428,468) (c)				475,888,764
Other Assets/(Liabilities) — (0.1)%				(355,822	)
NET ASSETS — 100.0%			$	475,532,942

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, 2013 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		1,454,667	$	16,248,635
MassMutual Premier Disciplined Growth Fund, Class S (a)		2,139,526		26,251,987
MassMutual Premier Disciplined Value Fund, Class S (a)		2,058,124		26,858,517
MassMutual Premier Focused International Fund, Class Z (a)		334,354		3,905,250
MassMutual Premier High Yield Fund, Class Z (a)		1,145,383		11,224,750
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		326,900		3,569,753
MassMutual Premier International Bond Fund, Class S (a)		691,103		6,482,547
MassMutual Premier International Equity Fund, Class S (a)		661,080		9,440,218
MassMutual Premier Money Market Fund, Class S (a)		15,301		15,301
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		1,024,234		10,754,455
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		902,141		9,923,556
MassMutual Select Blue Chip Growth Fund, Class S (a)		822,951		11,776,432
MassMutual Select Diversified International Fund, Class S (a)		1,439,401		9,586,408
MassMutual Select Diversified Value Fund, Class S (a)		1,013,092		11,924,090
MassMutual Select Focused Value Fund, Class Z (a)		491,896		11,087,335
MassMutual Select Fundamental Growth Fund, Class S (a)		1,590,328		11,863,844
MassMutual Select Fundamental Value Fund, Class Z (a)		1,040,188		13,730,481
MassMutual Select Growth Opportunities Fund, Class Z (a) (b)		1,019,684		9,931,726
MassMutual Select Large Cap Value Fund, Class S (a)		946,276		8,507,021
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		469,121		8,073,577
MassMutual Select Mid-Cap Value Fund, Class Z (a)		811,789		10,261,015
MassMutual Select Overseas Fund, Class Z (a)		3,285,353		25,822,874
MassMutual Select PIMCO Total Return Fund, Class Z (a)		308,138		3,158,413

	Number of Shares		Value
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		353,831	$	6,468,024
MassMutual Select Small Cap Value Equity Fund, Class S (a)		675,127		8,432,336
MassMutual Select Small Company Growth Fund, Class S (a) (b)		334,490		4,217,923
MassMutual Select Small Company Value Fund, Class Z (a)		131,163		2,090,735
MassMutual Select Strategic Bond Fund, Class S (a)		235,684		2,370,976
MM MSCI EAFE International Index Fund, Class Z (a)		2,038,643		24,871,444
MM Russell 2000 Small Cap Index Fund, Class Z (a)		787,632		9,987,175
MM S&P Mid Cap Index Fund, Class Z (a)		837,598		10,587,235
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		3,627,646		10,737,833
Oppenheimer Developing Markets Fund, Class I (a)		240,644		8,083,233
Oppenheimer Global Real Estate Fund, Class I (a)		240,814		2,343,116
Oppenheimer International Bond Fund, Class I (a)		160,038		973,030
Oppenheimer Real Estate Fund, Class I (a)		380,704		9,030,298
				360,591,543
TOTAL MUTUAL FUNDS (Cost $331,191,408)				360,591,543
TOTAL LONG-TERM INVESTMENTS (Cost $331,191,408)				360,591,543
TOTAL INVESTMENTS — 100.1% (Cost $331,191,408) (c)				360,591,543
Other Assets/(Liabilities) — (0.1)%				(282,139	)
NET ASSETS — 100.0%			$	360,309,404

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, 2013 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		51,016	$	569,844
MassMutual Premier Disciplined Growth Fund, Class S (a)		450,150		5,523,342
MassMutual Premier Disciplined Value Fund, Class S (a)		432,944		5,649,923
MassMutual Premier Focused International Fund, Class Z (a)		91,868		1,073,023
MassMutual Premier High Yield Fund, Class Z (a)		6,921		67,821
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		271		2,958
MassMutual Premier International Bond Fund, Class S (a)		20,705		194,214
MassMutual Premier International Equity Fund, Class S (a)		181,206		2,587,616
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		47,479		498,529
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		253,190		2,785,092
MassMutual Select Blue Chip Growth Fund, Class S (a)		276,512		3,956,885
MassMutual Select Diversified International Fund, Class S (a)		392,550		2,614,382
MassMutual Select Diversified Value Fund, Class S (a)		340,351		4,005,935
MassMutual Select Focused Value Fund, Class Z (a)		117,450		2,647,326
MassMutual Select Fundamental Growth Fund, Class S (a)		534,294		3,985,833
MassMutual Select Fundamental Value Fund, Class Z (a)		349,417		4,612,300
MassMutual Select Growth Opportunities Fund, Class Z (a) (b)		342,654		3,337,448
MassMutual Select Large Cap Value Fund, Class S (a)		317,911		2,858,022
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		129,955		2,236,525
MassMutual Select Mid-Cap Value Fund, Class Z (a)		230,476		2,913,223
MassMutual Select Overseas Fund, Class Z (a)		891,089		7,003,957
MassMutual Select PIMCO Total Return Fund, Class Z (a)		7,905		81,023
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		101,545		1,856,237
MassMutual Select Small Cap Value Equity Fund, Class S (a)		193,575		2,417,753

	Number of Shares		Value
MassMutual Select Small Company Growth Fund, Class S (a) (b)		96,003	$	1,210,604
MassMutual Select Small Company Value Fund, Class Z (a)		37,749		601,713
MassMutual Select Strategic Bond Fund, Class S (a)		2,598		26,135
MM MSCI EAFE International Index Fund, Class Z (a)		546,430		6,666,442
MM Russell 2000 Small Cap Index Fund, Class Z (a)		226,784		2,875,615
MM S&P Mid Cap Index Fund, Class Z (a)		226,871		2,867,648
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		924,880		2,737,644
Oppenheimer Developing Markets Fund, Class I (a)		64,344		2,161,320
Oppenheimer Global Real Estate Fund, Class I (a)		63,835		621,113
Oppenheimer International Bond Fund, Class I (a)		8,654		52,617
Oppenheimer Real Estate Fund, Class I (a)		100,242		2,377,733
				85,677,795
TOTAL MUTUAL FUNDS (Cost $78,227,322)				85,677,795
TOTAL LONG-TERM INVESTMENTS (Cost $78,227,322)				85,677,795
TOTAL INVESTMENTS — 100.1% (Cost $78,227,322) (c)				85,677,795
Other Assets/(Liabilities) — (0.1)%				(76,069	)
NET ASSETS — 100.0%			$	85,601,726

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, 2013 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		1,462,600	$	16,337,236
MassMutual Premier Disciplined Growth Fund, Class S (a)		317,485		3,895,544
MassMutual Premier Disciplined Value Fund, Class S (a)		305,651		3,988,751
MassMutual Premier Focused International Fund, Class Z (a)		23,650		276,229
MassMutual Premier High Yield Fund, Class Z (a)		129,783		1,271,875
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		920,794		10,055,075
MassMutual Premier International Bond Fund, Class S (a)		312,784		2,933,918
MassMutual Premier International Equity Fund, Class S (a)		54,852		783,290
MassMutual Premier Money Market Fund, Class S (a)		1,483,603		1,483,603
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		1,437,955		15,098,531
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		147,492		1,622,409
MassMutual Select Blue Chip Growth Fund, Class S (a)		48,830		698,760
MassMutual Select Diversified International Fund, Class S (a)		114,972		765,713
MassMutual Select Diversified Value Fund, Class S (a)		60,132		707,756
MassMutual Select Focused Value Fund, Class Z (a)		110,416		2,488,768
MassMutual Select Fundamental Growth Fund, Class S (a)		94,396		704,196
MassMutual Select Fundamental Value Fund, Class Z (a)		61,831		816,172
MassMutual Select Growth Opportunities Fund, Class Z (a) (b)		60,463		588,907
MassMutual Select Large Cap Value Fund, Class S (a)		56,188		505,132
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		41,863		720,459
MassMutual Select Mid-Cap Value Fund, Class Z (a)		69,683		880,793
MassMutual Select Overseas Fund, Class Z (a)		282,815		2,222,928
MassMutual Select PIMCO Total Return Fund, Class Z (a)		322,057		3,301,086

	Number of Shares		Value
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		26,479	$	484,044
MassMutual Select Small Cap Value Equity Fund, Class S (a)		50,694		633,171
MassMutual Select Small Company Growth Fund, Class S (a) (b)		25,007		315,344
MassMutual Select Small Company Value Fund, Class Z (a)		9,710		154,777
MassMutual Select Strategic Bond Fund, Class S (a)		271,131		2,727,580
MM MSCI EAFE International Index Fund, Class Z (a)		214,444		2,616,220
MM Russell 2000 Small Cap Index Fund, Class Z (a)		62,337		790,430
MM S&P Mid Cap Index Fund, Class Z (a)		81,537		1,030,622
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		543,426		1,608,541
Oppenheimer Developing Markets Fund, Class I (a)		36,967		1,241,736
Oppenheimer Global Real Estate Fund, Class I (a)		32,605		317,251
Oppenheimer International Bond Fund, Class I (a)		78,316		476,164
Oppenheimer Real Estate Fund, Class I (a)		47,395		1,124,201
				85,667,212
TOTAL MUTUAL FUNDS (Cost $83,838,182)				85,667,212
TOTAL LONG-TERM INVESTMENTS (Cost $83,838,182)				85,667,212
TOTAL INVESTMENTS — 100.1% (Cost $83,838,182) (c)				85,667,212
Other Assets/(Liabilities) — (0.1)%				(91,532	)
NET ASSETS — 100.0%			$	85,575,680

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, 2013 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		1,688,500	$	18,860,544
MassMutual Premier Disciplined Growth Fund, Class S (a)		468,621		5,749,983
MassMutual Premier Disciplined Value Fund, Class S (a)		450,821		5,883,208
MassMutual Premier Focused International Fund, Class Z (a)		49,701		580,513
MassMutual Premier High Yield Fund, Class Z (a)		207,229		2,030,842
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		935,784		10,218,759
MassMutual Premier International Bond Fund, Class S (a)		324,434		3,043,194
MassMutual Premier International Equity Fund, Class S (a)		99,582		1,422,035
MassMutual Premier Money Market Fund, Class S (a)		773,699		773,699
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		1,114,069		11,697,728
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		180,085		1,980,940
MassMutual Select Blue Chip Growth Fund, Class S (a)		81,006		1,159,197
MassMutual Select Diversified International Fund, Class S (a)		209,088		1,392,524
MassMutual Select Diversified Value Fund, Class S (a)		99,723		1,173,736
MassMutual Select Focused Value Fund, Class Z (a)		135,701		3,058,707
MassMutual Select Fundamental Growth Fund, Class S (a)		156,545		1,167,828
MassMutual Select Fundamental Value Fund, Class Z (a)		102,370		1,351,281
MassMutual Select Growth Opportunities Fund, Class Z (a) (b)		100,333		977,239
MassMutual Select Large Cap Value Fund, Class S (a)		93,098		836,952
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		91,570		1,575,922
MassMutual Select Mid-Cap Value Fund, Class Z (a)		145,960		1,844,940
MassMutual Select Overseas Fund, Class Z (a)		528,080		4,150,710
MassMutual Select PIMCO Total Return Fund, Class Z (a)		370,779		3,800,488

	Number of Shares		Value
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		52,606	$	961,632
MassMutual Select Small Cap Value Equity Fund, Class S (a)		100,345		1,253,303
MassMutual Select Small Company Growth Fund, Class S (a) (b)		49,732		627,119
MassMutual Select Small Company Value Fund, Class Z (a)		19,514		311,050
MassMutual Select Strategic Bond Fund, Class S (a)		311,847		3,137,180
MM MSCI EAFE International Index Fund, Class Z (a)		365,236		4,455,882
MM Russell 2000 Small Cap Index Fund, Class Z (a)		118,299		1,500,030
MM S&P Mid Cap Index Fund, Class Z (a)		177,257		2,240,529
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		672,121		1,989,479
Oppenheimer Developing Markets Fund, Class I (a)		47,310		1,589,154
Oppenheimer Global Real Estate Fund, Class I (a)		41,520		403,991
Oppenheimer International Bond Fund, Class I (a)		91,038		553,512
Oppenheimer Real Estate Fund, Class I (a)		64,111		1,520,705
				105,274,535
TOTAL MUTUAL FUNDS (Cost $101,322,893)				105,274,535
TOTAL LONG-TERM INVESTMENTS (Cost $101,322,893)				105,274,535
TOTAL INVESTMENTS — 100.1% (Cost $101,322,893) (c)				105,274,535
Other Assets/(Liabilities) — (0.1)%				(94,512	)
NET ASSETS — 100.0%			$	105,180,023

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, 2013 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.2%
Diversified Financial — 100.2%
MassMutual Premier Core Bond Fund, Class Z (a)		175,206	$	1,957,047
MassMutual Premier Disciplined Growth Fund, Class S (a)		69,389		851,397
MassMutual Premier Disciplined Value Fund, Class S (a)		66,618		869,365
MassMutual Premier Focused International Fund, Class Z (a)		8,491		99,173
MassMutual Premier High Yield Fund, Class Z (a)		20,335		199,284
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		75,988		829,788
MassMutual Premier International Bond Fund, Class S (a)		27,576		258,662
MassMutual Premier International Equity Fund, Class S (a)		16,816		240,133
MassMutual Premier Money Market Fund, Class S (a)		44,600		44,600
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		121,471		1,275,449
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		27,774		305,512
MassMutual Select Blue Chip Growth Fund, Class S (a)		16,454		235,460
MassMutual Select Diversified International Fund, Class S (a)		35,520		236,563
MassMutual Select Diversified Value Fund, Class S (a)		20,228		238,085
MassMutual Select Focused Value Fund, Class Z (a)		18,801		423,782
MassMutual Select Fundamental Growth Fund, Class S (a)		31,770		237,005
MassMutual Select Fundamental Value Fund, Class Z (a)		20,751		273,908
MassMutual Select Growth Opportunities Fund, Class Z (a) (b)		20,419		198,886
MassMutual Select Large Cap Value Fund, Class S (a)		18,900		169,907
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		14,214		244,621
MassMutual Select Mid-Cap Value Fund, Class Z (a)		23,409		295,893
MassMutual Select Overseas Fund, Class Z (a)		85,269		670,213
MassMutual Select PIMCO Total Return Fund, Class Z (a)		37,934		388,826
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		8,170		149,346
MassMutual Select Small Cap Value Equity Fund, Class S (a)		15,489		193,453

	Number of Shares		Value
MassMutual Select Small Company Growth Fund, Class S (a) (b)		7,729	$	97,457
MassMutual Select Small Company Value Fund, Class Z (a)		3,133		49,935
MassMutual Select Strategic Bond Fund, Class S (a)		31,728		319,186
MM MSCI EAFE International Index Fund, Class Z (a)		56,086		684,244
MM Russell 2000 Small Cap Index Fund, Class Z (a)		18,887		239,485
MM S&P Mid Cap Index Fund, Class Z (a)		27,110		342,664
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		80,261		237,574
Oppenheimer Developing Markets Fund, Class I (a)		6,496		218,204
Oppenheimer Global Real Estate Fund, Class I (a)		5,605		54,536
Oppenheimer International Bond Fund, Class I (a)		26,195		159,269
Oppenheimer Real Estate Fund, Class I (a)		8,227		195,153
				13,484,065
TOTAL MUTUAL FUNDS (Cost $13,342,195)				13,484,065
TOTAL LONG-TERM INVESTMENTS (Cost $13,342,195)				13,484,065
TOTAL INVESTMENTS — 100.2% (Cost $13,342,195) (c)				13,484,065
Other Assets/(Liabilities) — (0.2)%				(22,078	)
NET ASSETS — 100.0%			$	13,461,987

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, 2013 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		3,325,720	$	37,148,291
MassMutual Premier Disciplined Growth Fund, Class S (a)		2,349,396		28,827,091
MassMutual Premier Disciplined Value Fund, Class S (a)		2,260,067		29,493,869
MassMutual Premier Focused International Fund, Class Z (a)		309,679		3,617,056
MassMutual Premier High Yield Fund, Class Z (a)		1,044,568		10,236,768
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		1,837,145		20,061,627
MassMutual Premier International Bond Fund, Class S (a)		997,820		9,359,550
MassMutual Premier International Equity Fund, Class S (a)		614,259		8,771,625
MassMutual Premier Money Market Fund, Class S (a)		500,057		500,057
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		2,635,502		27,672,771
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		951,407		10,465,480
MassMutual Select Blue Chip Growth Fund, Class S (a)		758,354		10,852,045
MassMutual Select Diversified International Fund, Class S (a)		1,289,415		8,587,504
MassMutual Select Diversified Value Fund, Class S (a)		933,376		10,985,833
MassMutual Select Focused Value Fund, Class Z (a)		602,121		13,571,801
MassMutual Select Fundamental Growth Fund, Class S (a)		1,465,368		10,931,646
MassMutual Select Fundamental Value Fund, Class Z (a)		958,422		12,651,166
MassMutual Select Growth Opportunities Fund, Class Z (a) (b)		939,879		9,154,417
MassMutual Select Large Cap Value Fund, Class S (a)		871,992		7,839,212
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		476,529		8,201,065
MassMutual Select Mid-Cap Value Fund, Class Z (a)		771,448		9,751,097
MassMutual Select Overseas Fund, Class Z (a)		3,110,253		24,446,587
MassMutual Select PIMCO Total Return Fund, Class Z (a)		699,397		7,168,815

	Number of Shares		Value
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		303,655	$	5,550,814
MassMutual Select Small Cap Value Equity Fund, Class S (a)		579,565		7,238,769
MassMutual Select Small Company Growth Fund, Class S (a) (b)		287,183		3,621,376
MassMutual Select Small Company Value Fund, Class Z (a)		112,640		1,795,480
MassMutual Select Strategic Bond Fund, Class S (a)		554,572		5,578,996
MM MSCI EAFE International Index Fund, Class Z (a)		2,052,510		25,040,617
MM Russell 2000 Small Cap Index Fund, Class Z (a)		694,835		8,810,508
MM S&P Mid Cap Index Fund, Class Z (a)		923,550		11,673,677
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		3,408,748		10,089,893
Oppenheimer Developing Markets Fund, Class I (a)		233,217		7,833,761
Oppenheimer Global Real Estate Fund, Class I (a)		238,742		2,322,959
Oppenheimer International Bond Fund, Class I (a)		326,032		1,982,275
Oppenheimer Real Estate Fund, Class I (a)		363,595		8,624,464
				420,458,962
TOTAL MUTUAL FUNDS (Cost $389,978,335)				420,458,962
TOTAL LONG-TERM INVESTMENTS (Cost $389,978,335)				420,458,962
TOTAL INVESTMENTS — 100.1% (Cost $389,978,335) (c)				420,458,962
Other Assets/(Liabilities) — (0.1)%				(286,500	)
NET ASSETS — 100.0%			$	420,172,462

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, 2013 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		88,485	$	988,377
MassMutual Premier Disciplined Growth Fund, Class S (a)		91,380		1,121,236
MassMutual Premier Disciplined Value Fund, Class S (a)		87,427		1,140,927
MassMutual Premier Focused International Fund, Class Z (a)		14,896		173,991
MassMutual Premier High Yield Fund, Class Z (a)		34,948		342,487
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		27,461		299,871
MassMutual Premier International Bond Fund, Class S (a)		21,363		200,386
MassMutual Premier International Equity Fund, Class S (a)		29,017		414,368
MassMutual Premier Money Market Fund, Class S (a)		2,900		2,900
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		70,013		735,141
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		41,932		461,254
MassMutual Select Blue Chip Growth Fund, Class S (a)		33,538		479,930
MassMutual Select Diversified International Fund, Class S (a)		61,678		410,776
MassMutual Select Diversified Value Fund, Class S (a)		41,119		483,974
MassMutual Select Focused Value Fund, Class Z (a)		21,849		492,479
MassMutual Select Fundamental Growth Fund, Class S (a)		64,614		482,018
MassMutual Select Fundamental Value Fund, Class Z (a)		42,154		556,439
MassMutual Select Growth Opportunities Fund, Class Z (a) (b)		41,760		406,739
MassMutual Select Large Cap Value Fund, Class S (a)		38,471		345,856
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		20,232		348,193
MassMutual Select Mid-Cap Value Fund, Class Z (a)		37,251		470,849
MassMutual Select Overseas Fund, Class Z (a)		139,603		1,097,279
MassMutual Select PIMCO Total Return Fund, Class Z (a)		18,721		191,891
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		14,129		258,270
MassMutual Select Small Cap Value Equity Fund, Class S (a)		26,467		330,575

	Number of Shares		Value
MassMutual Select Small Company Growth Fund, Class S (a) (b)		13,409	$	169,083
MassMutual Select Small Company Value Fund, Class Z (a)		5,801		92,465
MassMutual Select Strategic Bond Fund, Class S (a)		15,039		151,293
MM MSCI EAFE International Index Fund, Class Z (a)		79,773		973,234
MM Russell 2000 Small Cap Index Fund, Class Z (a)		31,238		396,094
MM S&P Mid Cap Index Fund, Class Z (a)		32,374		409,203
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		92,793		274,668
Oppenheimer Developing Markets Fund, Class I (a)		9,239		310,345
Oppenheimer Global Real Estate Fund, Class I (a)		6,274		61,048
Oppenheimer International Bond Fund, Class I (a)		48,811		296,773
Oppenheimer Real Estate Fund, Class I (a)		9,800		232,462
				15,602,874
TOTAL MUTUAL FUNDS (Cost $15,302,424)				15,602,874
TOTAL LONG-TERM INVESTMENTS (Cost $15,302,424)				15,602,874
TOTAL INVESTMENTS — 100.1% (Cost $15,302,424) (c)				15,602,874
Other Assets/(Liabilities) — (0.1)%				(22,857	)
NET ASSETS — 100.0%			$	15,580,017

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, 2013 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		1,335,137	$	14,913,482
MassMutual Premier Disciplined Growth Fund, Class S (a)		2,098,978		25,754,459
MassMutual Premier Disciplined Value Fund, Class S (a)		2,018,853		26,346,035
MassMutual Premier Focused International Fund, Class Z (a)		344,714		4,026,264
MassMutual Premier High Yield Fund, Class Z (a)		1,054,866		10,337,690
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		597,272		6,522,213
MassMutual Premier International Bond Fund, Class S (a)		692,891		6,499,321
MassMutual Premier International Equity Fund, Class S (a)		681,304		9,729,020
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		1,097,576		11,524,553
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		944,099		10,385,093
MassMutual Select Blue Chip Growth Fund, Class S (a)		880,886		12,605,478
MassMutual Select Diversified International Fund, Class S (a)		1,429,582		9,521,016
MassMutual Select Diversified Value Fund, Class S (a)		1,084,164		12,760,616
MassMutual Select Focused Value Fund, Class Z (a)		487,664		10,991,941
MassMutual Select Fundamental Growth Fund, Class S (a)		1,702,087		12,697,567
MassMutual Select Fundamental Value Fund, Class Z (a)		1,112,949		14,690,927
MassMutual Select Growth Opportunities Fund, Class Z (a) (b)		1,091,646		10,632,634
MassMutual Select Large Cap Value Fund, Class S (a)		1,012,596		9,103,238
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		482,521		8,304,184
MassMutual Select Mid-Cap Value Fund, Class Z (a)		837,121		10,581,204
MassMutual Select Overseas Fund, Class Z (a)		3,382,827		26,589,021
MassMutual Select PIMCO Total Return Fund, Class Z (a)		257,802		2,642,471
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		369,252		6,749,922
MassMutual Select Small Cap Value Equity Fund, Class S (a)		704,236		8,795,910

	Number of Shares		Value
MassMutual Select Small Company Growth Fund, Class S (a) (b)		349,186	$	4,403,241
MassMutual Select Small Company Value Fund, Class Z (a)		137,294		2,188,467
MassMutual Select Strategic Bond Fund, Class S (a)		172,120		1,731,528
MM MSCI EAFE International Index Fund, Class Z (a)		2,171,634		26,493,939
MM Russell 2000 Small Cap Index Fund, Class Z (a)		844,675		10,710,479
MM S&P Mid Cap Index Fund, Class Z (a)		877,238		11,088,294
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		3,485,580		10,317,316
Oppenheimer Developing Markets Fund, Class I (a)		241,816		8,122,607
Oppenheimer Global Real Estate Fund, Class I (a)		243,424		2,368,516
Oppenheimer International Bond Fund, Class I (a)		291,488		1,772,244
Oppenheimer Real Estate Fund, Class I (a)		372,283		8,830,565
				370,731,455
TOTAL MUTUAL FUNDS (Cost $337,830,891)				370,731,455
TOTAL LONG-TERM INVESTMENTS (Cost $337,830,891)				370,731,455
TOTAL INVESTMENTS — 100.1% (Cost $337,830,891) (c)				370,731,455
Other Assets/(Liabilities) — (0.1)%				(241,255	)
NET ASSETS — 100.0%			$	370,490,200

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, 2013 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.2%
Diversified Financial — 100.2%
MassMutual Premier Core Bond Fund, Class Z (a)		36,041	$	402,581
MassMutual Premier Disciplined Growth Fund, Class S (a)		62,902		771,803
MassMutual Premier Disciplined Value Fund, Class S (a)		60,309		787,036
MassMutual Premier Focused International Fund, Class Z (a)		11,778		137,562
MassMutual Premier High Yield Fund, Class Z (a)		20,225		198,208
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		12,167		132,867
MassMutual Premier International Bond Fund, Class S (a)		13,866		130,065
MassMutual Premier International Equity Fund, Class S (a)		23,063		329,340
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		28,459		298,823
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		32,675		359,429
MassMutual Select Blue Chip Growth Fund, Class S (a)		30,772		440,344
MassMutual Select Diversified International Fund, Class S (a)		48,727		324,519
MassMutual Select Diversified Value Fund, Class S (a)		37,773		444,594
MassMutual Select Focused Value Fund, Class Z (a)		15,271		344,217
MassMutual Select Fundamental Growth Fund, Class S (a)		59,341		442,687
MassMutual Select Fundamental Value Fund, Class Z (a)		38,736		511,317
MassMutual Select Growth Opportunities Fund, Class Z (a) (b)		38,261		372,659
MassMutual Select Large Cap Value Fund, Class S (a)		35,296		317,314
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		16,052		276,263
MassMutual Select Mid-Cap Value Fund, Class Z (a)		29,069		367,434
MassMutual Select Overseas Fund, Class Z (a)		111,841		879,073
MassMutual Select PIMCO Total Return Fund, Class Z (a)		7,639		78,304
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		12,169		222,445
MassMutual Select Small Cap Value Equity Fund, Class S (a)		22,928		286,371
MassMutual Select Small Company Growth Fund, Class S (a) (b)		11,518		145,236

	Number of Shares		Value
MassMutual Select Small Company Value Fund, Class Z (a)		4,791	$	76,368
MassMutual Select Strategic Bond Fund, Class S (a)		5,846		58,812
MM MSCI EAFE International Index Fund, Class Z (a)		66,072		806,079
MM Russell 2000 Small Cap Index Fund, Class Z (a)		26,950		341,726
MM S&P Mid Cap Index Fund, Class Z (a)		26,604		336,281
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		90,231		267,085
Oppenheimer Developing Markets Fund, Class I (a)		7,509		252,244
Oppenheimer Global Real Estate Fund, Class I (a)		6,159		59,923
Oppenheimer International Bond Fund, Class I (a)		19,004		115,546
Oppenheimer Real Estate Fund, Class I (a)		9,671		229,390
				11,543,945
TOTAL MUTUAL FUNDS (Cost $11,187,634)				11,543,945
TOTAL LONG-TERM INVESTMENTS (Cost $11,187,634)				11,543,945
TOTAL INVESTMENTS — 100.2% (Cost $11,187,634) (c)				11,543,945
Other Assets/(Liabilities) — (0.2)%				(22,138	)
NET ASSETS — 100.0%			$	11,521,807

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, 2013 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		674,363	$	7,532,636
MassMutual Premier Disciplined Growth Fund, Class S (a)		1,197,968		14,699,063
MassMutual Premier Disciplined Value Fund, Class S (a)		1,152,227		15,036,566
MassMutual Premier Focused International Fund, Class Z (a)		231,576		2,704,807
MassMutual Premier High Yield Fund, Class Z (a)		409,233		4,010,485
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		248,732		2,716,150
MassMutual Premier International Bond Fund, Class S (a)		366,910		3,441,612
MassMutual Premier International Equity Fund, Class S (a)		457,307		6,530,337
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		533,658		5,603,413
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		644,415		7,088,565
MassMutual Select Blue Chip Growth Fund, Class S (a)		680,394		9,736,442
MassMutual Select Diversified International Fund, Class S (a)		959,589		6,390,862
MassMutual Select Diversified Value Fund, Class S (a)		837,347		9,855,579
MassMutual Select Focused Value Fund, Class Z (a)		304,420		6,861,626
MassMutual Select Fundamental Growth Fund, Class S (a)		1,314,639		9,807,204
MassMutual Select Fundamental Value Fund, Class Z (a)		859,716		11,348,249
MassMutual Select Growth Opportunities Fund, Class Z (a) (b)		843,037		8,211,183
MassMutual Select Large Cap Value Fund, Class S (a)		782,005		7,030,226
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		329,068		5,663,266
MassMutual Select Mid-Cap Value Fund, Class Z (a)		574,917		7,266,946
MassMutual Select Overseas Fund, Class Z (a)		2,266,005		17,810,802
MassMutual Select PIMCO Total Return Fund, Class Z (a)		139,333		1,428,159
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		255,942		4,678,617
MassMutual Select Small Cap Value Equity Fund, Class S (a)		488,368		6,099,714

	Number of Shares		Value
MassMutual Select Small Company Growth Fund, Class S (a) (b)		242,086	$	3,052,705
MassMutual Select Small Company Value Fund, Class Z (a)		95,153		1,516,731
MassMutual Select Strategic Bond Fund, Class S (a)		98,959		995,529
MM MSCI EAFE International Index Fund, Class Z (a)		1,452,287		17,717,902
MM Russell 2000 Small Cap Index Fund, Class Z (a)		586,252		7,433,674
MM S&P Mid Cap Index Fund, Class Z (a)		594,839		7,518,765
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		2,273,971		6,730,955
Oppenheimer Developing Markets Fund, Class I (a)		162,849		5,470,096
Oppenheimer Global Real Estate Fund, Class I (a)		162,996		1,585,956
Oppenheimer International Bond Fund, Class I (a)		155,358		944,578
Oppenheimer Real Estate Fund, Class I (a)		248,628		5,897,458
				240,416,858
TOTAL MUTUAL FUNDS (Cost $219,375,701)				240,416,858
TOTAL LONG-TERM INVESTMENTS (Cost $219,375,701)				240,416,858
TOTAL INVESTMENTS — 100.1% (Cost $219,375,701) (c)				240,416,858
Other Assets/(Liabilities) — (0.1)%				(159,648	)
NET ASSETS — 100.0%			$	240,257,210

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, 2013 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.3%
Diversified Financial — 100.3%
MassMutual Premier Core Bond Fund, Class Z (a)		7,630	$	85,225
MassMutual Premier Disciplined Growth Fund, Class S (a)		32,256		395,781
MassMutual Premier Disciplined Value Fund, Class S (a)		30,960		404,026
MassMutual Premier Focused International Fund, Class Z (a)		6,764		79,002
MassMutual Premier High Yield Fund, Class Z (a)		2,595		25,429
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		1,408		15,374
MassMutual Premier International Bond Fund, Class S (a)		2,766		25,948
MassMutual Premier International Equity Fund, Class S (a)		13,284		189,693
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		6,032		63,335
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		18,791		206,706
MassMutual Select Blue Chip Growth Fund, Class S (a)		19,842		283,946
MassMutual Select Diversified International Fund, Class S (a)		27,995		186,445
MassMutual Select Diversified Value Fund, Class S (a)		24,390		287,074
MassMutual Select Focused Value Fund, Class Z (a)		8,396		189,235
MassMutual Select Fundamental Growth Fund, Class S (a)		38,303		285,739
MassMutual Select Fundamental Value Fund, Class Z (a)		25,022		330,288
MassMutual Select Growth Opportunities Fund, Class Z (a) (b)		24,629		239,885
MassMutual Select Large Cap Value Fund, Class S (a)		22,775		204,750
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		9,406		161,878
MassMutual Select Mid-Cap Value Fund, Class Z (a)		16,962		214,395
MassMutual Select Overseas Fund, Class Z (a)		64,719		508,692
MassMutual Select PIMCO Total Return Fund, Class Z (a)		1,435		14,714
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		7,270		132,895
MassMutual Select Small Cap Value Equity Fund, Class S (a)		13,776		172,063
MassMutual Select Small Company Growth Fund, Class S (a) (b)		6,879		86,748

	Number of Shares		Value
MassMutual Select Small Company Value Fund, Class Z (a)		2,795	$	44,549
MassMutual Select Strategic Bond Fund, Class S (a)		712		7,165
MM MSCI EAFE International Index Fund, Class Z (a)		39,233		478,637
MM Russell 2000 Small Cap Index Fund, Class Z (a)		16,324		206,990
MM S&P Mid Cap Index Fund, Class Z (a)		15,998		202,209
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		56,971		168,635
Oppenheimer Developing Markets Fund, Class I (a)		4,506		151,350
Oppenheimer Global Real Estate Fund, Class I (a)		4,011		39,023
Oppenheimer International Bond Fund, Class I (a)		3,138		19,077
Oppenheimer Real Estate Fund, Class I (a)		6,213		147,371
				6,254,272
TOTAL MUTUAL FUNDS (Cost $5,992,814)				6,254,272
TOTAL LONG-TERM INVESTMENTS (Cost $5,992,814)				6,254,272
TOTAL INVESTMENTS — 100.3% (Cost $5,992,814) (c)				6,254,272
Other Assets/(Liabilities) — (0.3)%				(20,159	)
NET ASSETS — 100.0%			$	6,234,113

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, 2013 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		71,478	$	798,412
MassMutual Premier Disciplined Growth Fund, Class S (a)		330,796		4,058,870
MassMutual Premier Disciplined Value Fund, Class S (a)		317,852		4,147,970
MassMutual Premier Focused International Fund, Class Z (a)		68,529		800,420
MassMutual Premier High Yield Fund, Class Z (a)		25,827		253,103
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		13,685		149,443
MassMutual Premier International Bond Fund, Class S (a)		31,874		298,978
MassMutual Premier International Equity Fund, Class S (a)		134,875		1,926,021
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		57,729		606,155
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		190,402		2,094,417
MassMutual Select Blue Chip Growth Fund, Class S (a)		203,391		2,910,519
MassMutual Select Diversified International Fund, Class S (a)		283,536		1,888,347
MassMutual Select Diversified Value Fund, Class S (a)		250,170		2,944,506
MassMutual Select Focused Value Fund, Class Z (a)		86,219		1,943,376
MassMutual Select Fundamental Growth Fund, Class S (a)		392,796		2,930,256
MassMutual Select Fundamental Value Fund, Class Z (a)		256,719		3,388,686
MassMutual Select Growth Opportunities Fund, Class Z (a) (b)		252,261		2,457,020
MassMutual Select Large Cap Value Fund, Class S (a)		233,683		2,100,810
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		96,097		1,653,828
MassMutual Select Mid-Cap Value Fund, Class Z (a)		171,920		2,173,070
MassMutual Select Overseas Fund, Class Z (a)		659,651		5,184,856
MassMutual Select PIMCO Total Return Fund, Class Z (a)		13,045		133,708
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		74,638		1,364,387
MassMutual Select Small Cap Value Equity Fund, Class S (a)		141,715		1,770,020
MassMutual Select Small Company Growth Fund, Class S (a) (b)		70,618		890,487

	Number of Shares		Value
MassMutual Select Small Company Value Fund, Class Z (a)		28,289	$	450,924
MassMutual Select Strategic Bond Fund, Class S (a)		5,525		55,584
MM MSCI EAFE International Index Fund, Class Z (a)		394,652		4,814,759
MM Russell 2000 Small Cap Index Fund, Class Z (a)		162,533		2,060,920
MM S&P Mid Cap Index Fund, Class Z (a)		161,600		2,042,623
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		650,630		1,925,866
Oppenheimer Developing Markets Fund, Class I (a)		46,445		1,560,082
Oppenheimer Global Real Estate Fund, Class I (a)		43,525		423,498
Oppenheimer International Bond Fund, Class I (a)		18,335		111,476
Oppenheimer Real Estate Fund, Class I (a)		70,272		1,666,857
				63,980,254
TOTAL MUTUAL FUNDS (Cost $59,247,580)				63,980,254
TOTAL LONG-TERM INVESTMENTS (Cost $59,247,580)				63,980,254
TOTAL INVESTMENTS — 100.1% (Cost $59,247,580) (c)				63,980,254
Other Assets/(Liabilities) — (0.1)%				(45,136	)
NET ASSETS — 100.0%			$	63,935,118

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 Select Funds – Financial Statements

Statements of Assets and Liabilities

June 30, 2013 (Unaudited)

	MassMutual RetireSMART Conservative Fund			MassMutual RetireSMART Moderate Fund
Assets:
Investments, at value — affiliated issuers (Note 7) (a)	$	234,181,574		$	475,888,764
Total investments		234,181,574			475,888,764
Receivables from:
Investments sold		92,951			6,904
Investment adviser (Note 3)		-			-
Fund shares sold		80,107			75,891
Interest and dividends		4,191			5,645
Total assets		234,358,823			475,977,204
Liabilities:
Payables for:
Investments purchased		11,524			43,439
Fund shares repurchased		164,731			42,970
Trustees’ fees and expenses (Note 3)		13,729			27,984
Affiliates (Note 3):
Investment management fees		9,145			18,582
Administration fees		32,147			76,159
Service fees		102,915			204,556
Distribution fees		-			-
Accrued expense and other liabilities		26,728			30,572
Total liabilities		360,919			444,262
Net assets	$	233,997,904		$	475,532,942
Net assets consist of:
Paid-in capital	$	228,827,910		$	443,013,548
Undistributed (accumulated) net investment income (loss)		(480,147	)		(959,521	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		3,116,835			8,018,619
Net unrealized appreciation (depreciation) on investments and foreign currency translations		2,533,306			25,460,296
Net assets	$	233,997,904		$	475,532,942
(a)        Cost of investments — affiliated issuers:	$	231,648,268		$	450,428,468

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
$	360,591,543		$	85,677,795		$	85,667,212		$	105,274,535		$	13,484,065
	360,591,543			85,677,795			85,667,212			105,274,535			13,484,065
	40,375			34			521			2,957			12,453
	-			4,160			-			-			5,162
	286,968			89,112			141,539			46,377			2,012
	3,062			164			1,426			1,675			336
	360,921,948			85,771,265			85,810,698			105,325,544			13,504,028
	62,486			88,947			141,408			37,729			579
	268,615			-			1,700			12,830			14,060
	20,691			4,033			35,979			32,693			385
	14,193			3,359			3,352			4,088			472
	64,544			15,110			14,136			16,204			1,846
	153,383			33,927			13,702			16,245			1,310
	-			-			75			670			-
	28,632			24,163			24,666			25,062			23,389
	612,544			169,539			235,018			145,521			42,041
$	360,309,404		$	85,601,726		$	85,575,680		$	105,180,023		$	13,461,987
$	324,242,107		$	76,784,805		$	106,765,290		$	131,019,374		$	12,946,958
	(744,425	)		(160,836	)		1,933,989			2,252,318			(7,943	)
	7,411,587			1,527,284			(24,952,629	)		(32,043,311	)		381,102
	29,400,135			7,450,473			1,829,030			3,951,642			141,870
$	360,309,404		$	85,601,726		$	85,575,680		$	105,180,023		$	13,461,987
$	331,191,408		$	78,227,322		$	83,838,182		$	101,322,893		$	13,342,195

23

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2013 (Unaudited)

	MassMutual RetireSMART Conservative Fund		MassMutual RetireSMART Moderate Fund
Class S shares:
Net assets	$	1,049,316	$	4,358,347
Shares outstanding (a)		102,542		407,951
Net asset value, offering price and redemption price per share	$	10.23	$	10.68
Class Y shares:
Net assets	$	3,940,532	$	6,978,824
Shares outstanding (a)		385,353		652,620
Net asset value, offering price and redemption price per share	$	10.23	$	10.69
Class L shares:
Net assets	$	71,504,588	$	153,093,532
Shares outstanding (a)		6,994,561		14,322,451
Net asset value, offering price and redemption price per share	$	10.22	$	10.69
Class A shares:
Net assets	$	157,503,468	$	311,102,239
Shares outstanding (a)		15,424,383		29,134,111
Net asset value and redemption price per share	$	10.21	$	10.68
Offering price per share (100/[100-maximum sales charge] of net asset value)	$	10.83	$	11.33
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
$	878,477	$	1,951,462	$	25,915,492	$	60,940,208	$	9,110,588
	79,499		173,774		2,453,744		5,503,922		794,807
$	11.05	$	11.23	$	10.56	$	11.07	$	11.46
$	5,305,585	$	1,245,930	$	15,089,978	$	10,058,784	$	188,087
	480,063		110,939		1,427,264		908,884		16,410
$	11.05	$	11.23	$	10.57	$	11.07	$	11.46
$	122,122,346	$	30,502,713	$	23,332,069	$	9,260,282	$	2,106,922
	11,051,432		2,717,139		2,209,759		838,948		184,223
$	11.05	$	11.23	$	10.56	$	11.04	$	11.44
$	232,002,996	$	51,901,621	$	21,131,484	$	23,902,082	$	2,056,390
	21,016,598		4,630,237		2,018,543		2,179,959		180,536
$	11.04	$	11.21	$	10.47	$	10.96	$	11.39
$	11.71	$	11.89	$	11.11	$	11.63	$	12.08
$	-	$	-	$	106,657	$	1,018,667	$	-
	-		-		10,218		93,829		-
$	-	$	-	$	10.44	$	10.86	$	-

25

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2013 (Unaudited)

	MassMutual RetireSMART 2020 Fund			MassMutual RetireSMART 2025 Fund
Assets:
Investments, at value — affiliated issuers (Note 7) (a)	$	420,458,962		$	15,602,874
Total investments		420,458,962			15,602,874
Receivables from:
Investments sold		333			451
Investment adviser (Note 3)		-			5,244
Fund shares sold		311,437			38,528
Interest and dividends		5,824			652
Total assets		420,776,556			15,647,749
Liabilities:
Payables for:
Investments purchased		315,777			37,127
Fund shares repurchased		24			2,459
Trustees’ fees and expenses (Note 3)		102,994			319
Affiliates (Note 3):
Investment management fees		16,257			510
Administration fees		77,809			2,458
Service fees		60,729			1,776
Distribution fees		1,850			-
Accrued expense and other liabilities		28,654			23,083
Total liabilities		604,094			67,732
Net assets	$	420,172,462		$	15,580,017
Net assets consist of:
Paid-in capital	$	471,272,695		$	15,083,158
Undistributed (accumulated) net investment income (loss)		6,830,353			(8,701	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		(88,411,213	)		205,110
Net unrealized appreciation (depreciation) on investments and foreign currency translations		30,480,627			300,450
Net assets	$	420,172,462		$	15,580,017
(a)        Cost of investments — affiliated issuers:	$	389,978,335		$	15,302,424

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
$	370,731,455		$	11,543,945		$	240,416,858		$	6,254,272		$	63,980,254
	370,731,455			11,543,945			240,416,858			6,254,272			63,980,254
	8,689			6,284			140			3,385			26
	-			5,273			-			5,418			4,895
	358,024			3,910			345,478			313,643			141,380
	5,194			282			2,824			48			316
	371,103,362			11,559,694			240,765,300			6,576,766			64,126,871
	317,907			859			347,400			284,308			141,468
	52,432			9,577			24			32,744			-
	80,466			274			48,462			190			4,994
	14,324			407			9,281			227			2,433
	68,042			1,998			42,662			1,101			9,987
	49,920			1,709			31,988			1,160			7,794
	2,048			-			1,907			-			1,261
	28,023			23,063			26,366			22,923			23,816
	613,162			37,887			508,090			342,653			191,753
$	370,490,200		$	11,521,807		$	240,257,210		$	6,234,113		$	63,935,118
$	403,503,529		$	11,010,993		$	254,267,436		$	5,839,738		$	58,614,947
	5,043,023			(7,786	)		3,032,652			(4,671	)		(45,907	)
	(70,956,916	)		162,289			(38,084,035	)		137,588			633,404
	32,900,564			356,311			21,041,157			261,458			4,732,674
$	370,490,200		$	11,521,807		$	240,257,210		$	6,234,113		$	63,935,118
$	337,830,891		$	11,187,634		$	219,375,701		$	5,992,814		$	59,247,580

27

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2013 (Unaudited)

	MassMutual RetireSMART 2020 Fund		MassMutual RetireSMART 2025 Fund
Class S shares:
Net assets	$	206,779,521	$	6,837,188
Shares outstanding (a)		18,603,787		585,858
Net asset value, offering price and redemption price per share	$	11.11	$	11.67
Class Y shares:
Net assets	$	36,440,302	$	458,812
Shares outstanding (a)		3,279,393		39,320
Net asset value, offering price and redemption price per share	$	11.11	$	11.67
Class L shares:
Net assets	$	83,146,510	$	5,308,528
Shares outstanding (a)		7,490,769		455,827
Net asset value, offering price and redemption price per share	$	11.10	$	11.65
Class A shares:
Net assets	$	91,271,862	$	2,975,489
Shares outstanding (a)		8,303,540		256,456
Net asset value and redemption price per share	$	10.99	$	11.60
Offering price per share (100/[100-maximum sales charge] of net asset value)	$	11.66	$	12.31
Class N shares:
Net assets	$	2,534,267	$	-
Shares outstanding (a)		233,869		-
Net asset value, offering price and redemption price per share	$	10.84	$	-

(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
$	189,819,772	$	5,022,247	$	129,060,385	$	3,381,213	$	40,333,317
	16,724,262		425,259		11,268,087		287,719		4,388,611
$	11.35	$	11.81	$	11.45	$	11.75	$	9.19
$	38,617,136	$	653,202	$	22,283,479	$	183,479	$	6,651,969
	3,406,531		55,305		1,948,216		15,614		723,313
$	11.34	$	11.81	$	11.44	$	11.75	$	9.20
$	64,197,076	$	3,133,833	$	38,809,483	$	817,444	$	4,005,486
	5,663,977		265,821		3,394,107		69,707		436,563
$	11.33	$	11.79	$	11.43	$	11.73	$	9.18
$	74,799,603	$	2,712,525	$	47,180,564	$	1,851,977	$	10,939,121
	6,667,722		231,020		4,172,926		158,548		1,197,384
$	11.22	$	11.74	$	11.31	$	11.68	$	9.14
$	11.90	$	12.46	$	12.00	$	12.39	$	9.70
$	3,056,613	$	-	$	2,923,299	$	-	$	2,005,225
	275,997		-		261,753		-		220,014
$	11.07	$	-	$	11.17	$	-	$	9.11

29

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended June 30, 2013 (Unaudited)

	MassMutual RetireSMART Conservative Fund			MassMutual RetireSMART Moderate Fund
Investment income (Note 2):
Dividends — affiliated issuers (Note 7)	$	48,374		$	133,469
Total investment income		48,374			133,469
Expenses (Note 3):
Investment management fees		59,928			119,944
Custody fees		17,229			17,220
Audit fees		14,015			14,105
Legal fees		1,147			2,316
Proxy fees		525			525
Shareholder reporting fees		5,894			10,348
Trustees’ fees		8,025			15,735
		106,763			180,193
Administration fees:
Class S		605			1,676
Class Y		1,595			3,010
Class L		64,767			156,656
Class A		143,332			331,346
Class N		-			-
Distribution fees:
Class N		-			-
Service fees:
Class A		201,762			399,983
Class N		-			-
Total expenses		518,824			1,072,864
Expenses waived (Note 3):
Class S fees waived by adviser		-			-
Class Y fees waived by adviser		-			-
Class L fees waived by adviser		-			-
Class A fees waived by adviser		-			-
Class S administrative fees waived		-			-
Class Y administrative fees waived		-			-
Class L administrative fees waived		-			-
Class A administrative fees waived		-			-
Class N administrative fees waived		-			-
Net expenses		518,824			1,072,864
Net investment income (loss)		(470,450	)		(939,395	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions — affiliated issuers (Note 7)		2,520,313			5,528,299
Net realized gain (loss)		2,520,313			5,528,299
Net change in unrealized appreciation (depreciation) on:
Investment transactions — affiliated issuers		(119,939	)		14,987,865
Net change in unrealized appreciation (depreciation)		(119,939	)		14,987,865
Net realized gain (loss) and change in unrealized appreciation (depreciation)		2,400,374			20,516,164
Net increase (decrease) in net assets resulting from operations	$	1,929,924		$	19,576,769

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
$	129,948		$	31,872		$	20,576		$	26,152		$	3,476
	129,948			31,872			20,576			26,152			3,476
	91,824			20,682			22,500			26,562			2,700
	17,237			17,077			17,208			17,227			16,633
	14,061			13,955			13,962			13,966			13,931
	1,717			337			440			511			26
	525			525			525			525			525
	8,155			2,809			3,109			3,399			1,548
	11,943			2,603			3,006			3,598			299
	145,462			57,988			60,750			65,788			35,662
	2,418			991			14,628			37,937			5,646
	1,807			189			13,417			10,141			155
	139,631			34,013			38,737			18,289			1,300
	272,507			58,125			29,579			38,567			3,282
	-			-			198			2,130			-
	-			-			150			1,452			-
	297,887			63,594			26,515			30,434			2,466
	-			-			150			1,452			-
	859,712			214,900			184,124			206,190			48,511
	-			(550	)		-			-			(26,937	)
	-			(81	)		-			-			(478	)
	-			(8,961	)		-			-			(2,775	)
	-			(15,306	)		-			-			(7,127	)
	-			-			(637	)		(1,485	)		-
	-			-			(375	)		(233	)		-
	-			-			(710	)		(295	)		-
	-			-			(533	)		(615	)		-
	-			-			(3	)		(32	)		-
	859,712			190,002			181,866			203,530			11,194
	(729,764	)		(158,130	)		(161,290	)		(177,378	)		(7,718	)
	5,212,587			1,037,609			2,117,120			2,046,110			228,021
	5,212,587			1,037,609			2,117,120			2,046,110			228,021
	20,219,873			5,520,112			(991,825	)		717,453			96,637
	20,219,873			5,520,112			(991,825	)		717,453			96,637
	25,432,460			6,557,721			1,125,295			2,763,563			324,658
$	24,702,696		$	6,399,591		$	964,005		$	2,586,185		$	316,940

31

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended June 30, 2013 (Unaudited)

	MassMutual RetireSMART 2020 Fund			MassMutual RetireSMART 2025 Fund
Investment income (Note 2):
Dividends — affiliated issuers (Note 7)	$	133,266		$	4,126
Total investment income		133,266			4,126
Expenses (Note 3):
Investment management fees		103,572			2,337
Custody fees		17,222			16,795
Audit fees		14,073			13,930
Legal fees		1,841			22
Proxy fees		525			525
Shareholder reporting fees		8,801			1,517
Trustees’ fees		13,494			240
		159,528			35,366
Administration fees:
Class S		145,668			3,346
Class Y		35,681			279
Class L		164,425			3,435
Class A		153,894			4,245
Class N		5,999			-
Distribution fees:
Class N		3,845			-
Service fees:
Class A		113,157			3,150
Class N		3,845			-
Total expenses		786,042			49,821
Expenses waived (Note 3):
Class S fees waived by adviser		-			(17,645	)
Class Y fees waived by adviser		-			(954	)
Class L fees waived by adviser		-			(8,262	)
Class A fees waived by adviser		-			(10,330	)
Class N fees waived by adviser		-			-
Class S administrative fees waived		(4,715	)		-
Class Y administrative fees waived		(714	)		-
Class L administrative fees waived		(2,421	)		-
Class A administrative fees waived		(2,247	)		-
Class N administrative fees waived		(83	)		-
Net expenses		775,862			12,630
Net investment income (loss)		(642,596	)		(8,504	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions — affiliated issuers (Note 7)		9,385,980			163,938
Net realized gain (loss)		9,385,980			163,938
Net change in unrealized appreciation (depreciation) on:
Investment transactions — affiliated issuers		12,467,645			163,026
Net change in unrealized appreciation (depreciation)		12,467,645			163,026
Net realized gain (loss) and change in unrealized appreciation (depreciation)		21,853,625			326,964
Net increase (decrease) in net assets resulting from operations	$	21,211,029		$	318,460

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
$	130,244		$	3,484		$	85,560		$	2,048		$	22,398
	130,244			3,484			85,560			2,048			22,398
	89,763			1,952			58,201			1,203			13,978
	17,175			16,807			17,182			16,639			17,102
	14,052			13,929			14,008			13,929			13,945
	1,553			17			996			11			208
	525			525			525			525			525
	7,706			1,497			5,487			1,460			2,311
	11,539			195			7,514			120			1,735
	142,313			34,922			103,913			33,887			49,804
	133,896			2,442			89,782			1,892			25,598
	39,113			368			20,423			173			6,394
	131,277			3,150			79,750			1,098			6,093
	125,656			3,926			77,795			2,741			15,904
	6,321			-			5,739			-			3,666
	4,014			-			3,682			-			2,383
	91,399			2,907			57,269			1,988			11,883
	4,014			-			3,682			-			2,383
	678,003			47,715			442,035			41,779			124,108
	-			(15,099	)		-			(17,634	)		(35,436	)
	-			(1,460	)		-			(1,045	)		(6,494	)
	-			(8,918	)		-			(4,723	)		(4,379	)
	-			(11,146	)		-			(11,789	)		(11,436	)
	-			-			-			-			(2,306	)
	(8,357	)		-			(5,785	)		-			-
	(1,535	)		-			(800	)		-			-
	(3,831	)		-			(2,348	)		-			-
	(3,605	)		-			(2,252	)		-			-
	(163	)		-			(147	)		-			-
	660,512			11,092			430,703			6,588			64,057
	(530,268	)		(7,608	)		(345,143	)		(4,540	)		(41,659	)
	7,590,572			128,798			5,348,050			116,825			968,289
	7,590,572			128,798			5,348,050			116,825			968,289
	16,253,228			246,993			11,118,447			189,465			3,093,678
	16,253,228			246,993			11,118,447			189,465			3,093,678
	23,843,800			375,791			16,466,497			306,290			4,061,967
$	23,313,532		$	368,183		$	16,121,354		$	301,750		$	4,020,308

33

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART Conservative Fund
	Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(470,450	)	$	4,548,238
Net realized gain (loss) on investment transactions		2,520,313			3,420,780
Net change in unrealized appreciation (depreciation) on investments		(119,939	)		12,875,289
Net increase (decrease) in net assets resulting from operations		1,929,924			20,844,307
Distributions to shareholders (Note 2):
From net investment income:
Class S		-			(70,837	)
Class Y		-			(80,364	)
Class L		-			(1,854,623	)
Class A		-			(3,730,078	)
Total distributions from net investment income		-			(5,735,902	)
From net realized gains:
Class S		-			(45,856	)
Class Y		-			(48,308	)
Class L		-			(1,186,060	)
Class A		-			(2,704,816	)
Total distributions from net realized gains		-			(3,985,040	)
Net fund share transactions (Note 5):
Class S		(1,781,928	)		2,663,570
Class Y		818,371			306,272
Class L		(2,893,599	)		(27,108,886	)
Class A		(7,348,666	)		(10,137,162	)
Increase (decrease) in net assets from fund share transactions		(11,205,822	)		(34,276,206	)
Total increase (decrease) in net assets		(9,275,898	)		(23,152,841	)
Net assets
Beginning of period		243,273,802			266,426,643
End of period	$	233,997,904		$	243,273,802
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	(480,147	)	$	-
Distributions in excess of net investment income included in net assets at end of period	$	-		$	(9,697	)

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
Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012			Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012			Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
$	(939,395	)	$	7,724,107		$	(729,764	)	$	4,991,608		$	(158,130	)	$	798,305
	5,528,299			9,204,729			5,212,587			7,764,050			1,037,609			1,832,813
	14,987,865			41,238,451			20,219,873			38,477,117			5,520,112			7,318,957
	19,576,769			58,167,287			24,702,696			51,232,775			6,399,591			9,950,075
	-			(58,949	)		-			(129,741	)		-			(24,553	)
	-			(99,057	)		-			(32,101	)		-			(1,519	)
	-			(3,119,520	)		-			(1,991,652	)		-			(348,554	)
	-			(6,097,489	)		-			(3,429,660	)		-			(510,668	)
	-			(9,375,015	)		-			(5,583,154	)		-			(885,294	)
	-			(29,583	)		-			(167,949	)		-			(23,437	)
	-			(82,524	)		-			(42,098	)		-			(3,015	)
	-			(2,967,739	)		-			(2,772,318	)		-			(713,845	)
	-			(6,689,386	)		-			(5,932,011	)		-			(1,252,406	)
	-			(9,769,232	)		-			(8,914,376	)		-			(1,992,703	)
	1,575,115			2,468,743			(6,671,072	)		6,961,167			109,422			1,553,124
	2,293,132			854,061			3,428,841			(230,603	)		1,149,555			4,534
	(921,109	)		(7,734,399	)		(3,654,360	)		(13,800,773	)		1,551,237			1,682,335
	(26,111,487	)		(70,180,909	)		(20,659,364	)		(39,901,312	)		735,099			3,770,333
	(23,164,349	)		(74,592,504	)		(27,555,955	)		(46,971,521	)		3,545,313			7,010,326
	(3,587,580	)		(35,569,464	)		(2,853,259	)		(10,236,276	)		9,944,904			14,082,404
	479,120,522			514,689,986			363,162,663			373,398,939			75,656,822			61,574,418
$	475,532,942		$	479,120,522		$	360,309,404		$	363,162,663		$	85,601,726		$	75,656,822
$	(959,521	)	$	-		$	(744,425	)	$	-		$	(160,836	)	$	-
$	-		$	(20,126	)	$	-		$	(14,661	)	$	-		$	(2,706	)

35

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART In Retirement Fund
	Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(161,290	)	$	1,774,308
Net realized gain (loss) on investment transactions		2,117,120			4,033,960
Net change in unrealized appreciation (depreciation) on investments		(991,825	)		2,780,586
Net increase (decrease) in net assets resulting from operations		964,005			8,588,854
Distributions to shareholders (Note 2):
From net investment income:
Class S		-			(729,752	)
Class Y		-			(402,201	)
Class L		-			(881,208	)
Class A		-			(620,933	)
Class N		-			(2,828	)
Total distributions from net investment income		-			(2,636,922	)
From net realized gains:
Class S		-			-
Class Y		-			-
Class L		-			-
Class A		-			-
Total distributions from net realized gains		-			-
Net fund share transactions (Note 5):
Class S		1,475,369			7,497,632
Class Y		1,231,946			(8,079,104	)
Class L		(5,926,763	)		(4,650,873	)
Class A		(4,058,408	)		(5,386,295	)
Class N		(18,204	)		4,977
Increase (decrease) in net assets from fund share transactions		(7,296,060	)		(10,613,663	)
Total increase (decrease) in net assets		(6,332,055	)		(4,661,731	)
Net assets
Beginning of period		91,907,735			96,569,466
End of period	$	85,575,680		$	91,907,735
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	1,933,989		$	2,095,279
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.

36

MassMutual RetireSMART 2010 Fund						MassMutual RetireSMART 2015 Fund
Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012			Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
$	(177,378	)	$	2,064,970		$	(7,718	)	$	130,107
	2,046,110			4,934,019			228,021			318,170
	717,453			4,117,828			96,637			85,126
	2,586,185			11,116,817			316,940			533,403
	-			(1,455,787	)		-			(118,949	)
	-			(190,868	)		-			(2,529	)
	-			(289,205	)		-			(9,930	)
	-			(534,506	)		-			(19,809	)
	-			(27,288	)		-			-
	-			(2,497,654	)		-			(151,217	)
	-			-			-			(128,558	)
	-			-			-			(3,334	)
	-			-			-			(10,602	)
	-			-			-			(26,167	)
	-			-			-			(168,661	)
	1,514,121			19,828,200			2,933,185			3,542,504
	1,001,124			(19,905,370	)		61,157			(224,918	)
	(2,726,435	)		(585,814	)		1,750,670			215,644
	(2,585,355	)		(3,199,795	)		930,906			440,739
	(288,520	)		(39,881	)		-			-
	(3,085,065	)		(3,902,660	)		5,675,918			3,973,969
	(498,880	)		4,716,503			5,992,858			4,187,494
	105,678,903			100,962,400			7,469,129			3,281,635
$	105,180,023		$	105,678,903		$	13,461,987		$	7,469,129
$	2,252,318		$	2,429,696		$	(7,943	)	$	-
$	-		$	-		$	-		$	(225	)

37

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART 2020 Fund
	Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(642,596	)	$	6,703,932
Net realized gain (loss) on investment transactions		9,385,980			26,045,865
Net change in unrealized appreciation (depreciation) on investments		12,467,645			16,329,931
Net increase (decrease) in net assets resulting from operations		21,211,029			49,079,728
Distributions to shareholders (Note 2):
From net investment income:
Class S		-			(3,509,924	)
Class Y		-			(403,625	)
Class L		-			(1,680,708	)
Class A		-			(1,379,255	)
Class N		-			(46,816	)
Total distributions from net investment income		-			(7,020,328	)
From net realized gains:
Class S		-			-
Class Y		-			-
Class L		-			-
Class A		-			-
Total distributions from net realized gains		-			-
Net fund share transactions (Note 5):
Class S		18,748,475			48,042,284
Class Y		7,760,786			(38,693,721	)
Class L		(16,719,552	)		(3,519,995	)
Class A		(2,643,433	)		(6,742,791	)
Class N		(835,628	)		303,156
Increase (decrease) in net assets from fund share transactions		6,310,648			(611,067	)
Total increase (decrease) in net assets		27,521,677			41,448,333
Net assets
Beginning of period		392,650,785			351,202,452
End of period	$	420,172,462		$	392,650,785
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	6,830,353		$	7,472,949
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.

38

MassMutual RetireSMART 2025 Fund						MassMutual RetireSMART 2030 Fund						MassMutual RetireSMART 2035 Fund
Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012			Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012			Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
$	(8,504	)	$	84,796		$	(530,268	)	$	5,157,639		$	(7,608	)	$	65,540
	163,938			139,516			7,590,572			24,624,191			128,798			115,576
	163,026			225,509			16,253,228			15,134,110			246,993			212,086
	318,460			449,821			23,313,532			44,915,940			368,183			393,202
	-			(39,572	)		-			(2,547,064	)		-			(33,852	)
	-			(3,629	)		-			(362,031	)		-			(3,954	)
	-			(24,609	)		-			(1,091,807	)		-			(15,379	)
	-			(25,649	)		-			(890,590	)		-			(18,900	)
	-			-			-			(40,563	)		-			-
	-			(93,459	)		-			(4,932,055	)		-			(72,085	)
	-			(48,578	)		-			-			-			(49,389	)
	-			(5,047	)		-			-			-			(6,835	)
	-			(31,147	)		-			-			-			(22,021	)
	-			(36,884	)		-			-			-			(31,555	)
	-			(121,656	)		-			-			-			(109,800	)
	4,521,863			1,190,093			23,675,735			43,228,771			2,831,048			1,013,707
	252,970			59,454			7,669,625			(29,439,057	)		399,137			69,911
	3,867,259			1,062,770			(15,130,881	)		(7,381,779	)		2,042,344			814,409
	1,251,995			818,216			(1,017,250	)		(3,629,152	)		1,249,622			656,896
	-			-			(259,308	)		(52,046	)		-			-
	9,894,087			3,130,533			14,937,921			2,726,737			6,522,151			2,554,923
	10,212,547			3,365,239			38,251,453			42,710,622			6,890,334			2,766,240
	5,367,470			2,002,231			332,238,747			289,528,125			4,631,473			1,865,233
$	15,580,017		$	5,367,470		$	370,490,200		$	332,238,747		$	11,521,807		$	4,631,473
$	(8,701	)	$	-		$	5,043,023		$	5,573,291		$	(7,786	)	$	-
$	-		$	(197	)	$	-		$	-		$	-		$	(178	)

39

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART 2040 Fund
	Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(345,143	)	$	3,110,186
Net realized gain (loss) on investment transactions		5,348,050			16,566,107
Net change in unrealized appreciation (depreciation) on investments		11,118,447			8,878,450
Net increase (decrease) in net assets resulting from operations		16,121,354			28,554,743
Distributions to shareholders (Note 2):
From net investment income:
Class S		-			(1,505,903	)
Class Y		-			(139,876	)
Class L		-			(569,031	)
Class A		-			(468,972	)
Class N		-			(30,005	)
Total distributions from net investment income		-			(2,713,787	)
From net realized gains:
Class S		-			-
Class Y		-			-
Class L		-			-
Class A		-			-
Class N		-			-
Total distributions from net realized gains		-			-
Net fund share transactions (Note 5):
Class S		12,356,352			30,822,567
Class Y		6,990,316			(13,525,307	)
Class L		(9,542,568	)		(2,929,681	)
Class A		(1,273,142	)		(1,294,396	)
Class N		(94,914	)		(20,211	)
Increase (decrease) in net assets from fund share transactions		8,436,044			13,052,972
Total increase (decrease) in net assets		24,557,398			38,893,928
Net assets
Beginning of period		215,699,812			176,805,884
End of period	$	240,257,210		$	215,699,812
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	3,032,652		$	3,377,795
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.

40

MassMutual RetireSMART 2045 Fund						MassMutual RetireSMART 2050 Fund
Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012			Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
$	(4,540	)	$	32,992		$	(41,659	)	$	632,129
	116,825			92,872			968,289			1,864,939
	189,465			143,031			3,093,678			3,667,456
	301,750			268,895			4,020,308			6,164,524
	-			(20,367	)		-			(483,142	)
	-			(1,714	)		-			(57,630	)
	-			(5,233	)		-			(34,981	)
	-			(8,898	)		-			(100,361	)
	-			-			-			(16,367	)
	-			(36,212	)		-			(692,481	)
	-			(51,193	)		-			(1,171,714	)
	-			(5,232	)		-			(129,257	)
	-			(13,608	)		-			(108,341	)
	-			(27,188	)		-			(325,331	)
	-			-			-			(66,524	)
	-			(97,221	)		-			(1,801,167	)
	1,816,948			591,559			7,938,181			8,764,959
	48,127			(5,452	)		2,290,103			(3,253,941	)
	371,766			151,184			1,115,670			350,650
	976,223			413,245			1,597,057			2,435,387
	-			-			96,651			326,295
	3,213,064			1,150,536			13,037,662			8,623,350
	3,514,814			1,285,998			17,057,970			12,294,226
	2,719,299			1,433,301			46,877,148			34,582,922
$	6,234,113		$	2,719,299		$	63,935,118		$	46,877,148
$	(4,671	)	$	-		$	(45,907	)	$	-
$	-		$	(131	)	$	-		$	(4,248	)

41

MassMutual RetireSMART Conservative Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	10.14	$	(0.01	)	$	0.10		$	0.09	$	-		$	-		$	-		$	10.23		0.89%	b	$	1,049		0.15%	a		(0.12%	)a
12/31/12		9.70		0.25			0.63			0.88		(0.27	)		(0.17	)		(0.44	)		10.14		9.14%			2,774		0.13%			2.46%
12/31/11g		10.00		0.24			(0.21	)		0.03		(0.31	)		(0.02	)		(0.33	)		9.70		0.33%	b		100		0.14%	a		4.44%	a
Class Y
06/30/13r	$	10.14	$	(0.01	)	$	0.10		$	0.09	$	-		$	-		$	-		$	10.23		0.89%	b	$	3,941		0.19%	a		(0.14%	)a
12/31/12		9.69		0.23			0.66			0.89		(0.27	)		(0.17	)		(0.44	)		10.14		9.21%			3,110		0.17%			2.29%
12/31/11g		10.00		1.42			(1.40	)		0.02		(0.31	)		(0.02	)		(0.33	)		9.69		0.24%	b		2,684		0.18%	a		26.89%	a
Class L
06/30/13r	$	10.14	$	(0.01	)	$	0.09		$	0.08	$	-		$	-		$	-		$	10.22		0.79%	b	$	71,505		0.27%	a		(0.23%	)a
12/31/12		9.70		0.21			0.66			0.87		(0.26	)		(0.17	)		(0.43	)		10.14		9.01%			73,765		0.25%			2.10%
12/31/11g		10.00		0.23			(0.21	)		0.02		(0.30	)		(0.02	)		(0.32	)		9.70		0.26%	b		97,539		0.26%	a		4.26%	a
Class A
06/30/13r	$	10.14	$	(0.02	)	$	0.09		$	0.07	$	-		$	-		$	-		$	10.21		0.69%	b	$	157,503		0.52%	a		(0.48%	)a
12/31/12		9.70		0.18			0.67			0.85		(0.24	)		(0.17	)		(0.41	)		10.14		8.73%			163,625		0.50%			1.75%
12/31/11g		10.00		0.22			(0.21	)		0.01		(0.29	)		(0.02	)		(0.31	)		9.70		0.14%	b		166,103		0.51%	a		4.17%	a

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011b,q
Portfolio turnover rate for all share classes		18	%		37	%		20	%

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period June 20, 2011 (commencement of operations) through December 31, 2011.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

q Portfolio turnover excludes securities received from subscriptions in-kind. Securities received from subscriptions in-kind had no impact on portfolio turnover.

r Unaudited.

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)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	10.25	$	(0.01	)	$	0.44		$	0.43		$	-		$	-		$	-		$	10.68		4.20%	b	$	4,358		0.16%	a		(0.10%	)a
12/31/12		9.51		0.33			0.86			1.19			(0.24	)		(0.21	)		(0.45	)		10.25		12.48%			2,649		0.13%			3.22%
12/31/11g		10.00		0.20			(0.43	)		(0.23	)		(0.25	)		(0.01	)		(0.26	)		9.51		(2.28%	)b		98		0.13%	a		3.82%	a
Class Y
06/30/13r	$	10.26	$	(0.01	)	$	0.44		$	0.43		$	-		$	-		$	-		$	10.69		4.19%	b	$	6,979		0.20%	a		(0.13%	)a
12/31/12		9.51		0.21			0.98			1.19			(0.23	)		(0.21	)		(0.44	)		10.26		12.53%			4,549		0.17%			2.10%
12/31/11g		10.00		0.83			(1.06	)		(0.23	)		(0.25	)		(0.01	)		(0.26	)		9.51		(2.26%	)b		3,395		0.17%	a		16.08%	a
Class L
06/30/13r	$	10.26	$	(0.01	)	$	0.44		$	0.43		$	-		$	-		$	-		$	10.69		4.19%	b	$	153,094		0.28%	a		(0.23%	)a
12/31/12		9.51		0.18			1.00			1.18			(0.22	)		(0.21	)		(0.43	)		10.26		12.43%			147,873		0.25%			1.81%
12/31/11g		10.00		0.18			(0.42	)		(0.24	)		(0.24	)		(0.01	)		(0.25	)		9.51		(2.35%	)b		144,705		0.25%	a		3.53%	a
Class A
06/30/13r	$	10.26	$	(0.03	)	$	0.45		$	0.42		$	-		$	-		$	-		$	10.68		4.09%	b	$	311,102		0.53%	a		(0.48%	)a
12/31/12		9.51		0.14			1.01			1.15			(0.19	)		(0.21	)		(0.40	)		10.26		12.13%			324,049		0.50%			1.42%
12/31/11g		10.00		0.18			(0.43	)		(0.25	)		(0.23	)		(0.01	)		(0.24	)		9.51		(2.47%	)b		366,492		0.50%	a		3.41%	a

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011b,q
Portfolio turnover rate for all share classes		16	%		39	%		19	%

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period June 20, 2011 (commencement of operations) through December 31, 2011.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

q Portfolio turnover excludes securities received from subscriptions in-kind. Amount would be 21% including securities received from subscriptions in-kind.

r Unaudited.

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)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	10.33	$	(0.01	)	$	0.73		$	0.72		$	-		$	-		$	-		$	11.05		6.97%	b	$	878		0.19%	a		(0.15%	)a
12/31/12		9.36		0.21			1.21			1.42			(0.19	)		(0.26	)		(0.45	)		10.33		15.21%			7,085		0.14%			2.10%
12/31/11g		10.00		0.16			(0.62	)		(0.46	)		(0.18	)		-			(0.18	)		9.36		(4.55%	)b		96		0.14%	a		3.14%	a
Class Y
06/30/13r	$	10.33	$	(0.01	)	$	0.73		$	0.72		$	-		$	-		$	-		$	11.05		6.97%	b	$	5,306		0.23%	a		(0.10%	)a
12/31/12		9.36		0.18			1.24			1.42			(0.19	)		(0.26	)		(0.45	)		10.33		15.17%			1,816		0.18%			1.75%
12/31/11g		10.00		0.80			(1.25	)		(0.45	)		(0.19	)		-			(0.19	)		9.36		(4.53%	)b		1,847		0.18%	a		15.80%	a
Class L
06/30/13r	$	10.33	$	(0.01	)	$	0.73		$	0.72		$	-		$	-		$	-		$	11.05		6.97%	b	$	122,122		0.31%	a		(0.24%	)a
12/31/12		9.36		0.16			1.25			1.41			(0.18	)		(0.26	)		(0.44	)		10.33		15.07%			117,574		0.26%			1.61%
12/31/11g		10.00		0.15			(0.61	)		(0.46	)		(0.18	)		-			(0.18	)		9.36		(4.61%	)b		119,858		0.26%	a		2.96%	a
Class A
06/30/13r	$	10.34	$	(0.03	)	$	0.73		$	0.70		$	-		$	-		$	-		$	11.04		6.77%	b	$	232,003		0.56%	a		(0.49%	)a
12/31/12		9.36		0.12			1.27			1.39			(0.15	)		(0.26	)		(0.41	)		10.34		14.88%			236,688		0.51%			1.23%
12/31/11g		10.00		0.14			(0.61	)		(0.47	)		(0.17	)		-			(0.17	)		9.36		(4.75%	)b		251,598		0.51%	a		2.71%	a

	Six months ended June 30,  2013b,r			Year ended December 31
				2012			2011b,q
Portfolio turnover rate for all share classes		17	%		49	%		13	%

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period June 20, 2011 (commencement of operations) through December 31, 2011.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown.

q Portfolio turnover excludes securities received from subscriptions in-kind. Amount would be 15% including securities received from subscriptions in-kind.

r Unaudited.

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)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waivers j			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	10.35	$	(0.01	)	$	0.89		$	0.88		$	-		$	-		$	-		$	11.23		8.50%	b	$	1,951		0.25%	a		0.19%	a		(0.11%	)a
12/31/12		9.28		0.30			1.21			1.51			(0.15	)		(0.29	)		(0.44	)		10.35		16.42%			1,698		0.23%			0.15%			2.97%
12/31/11g		10.00		0.14			(0.69	)		(0.55	)		(0.15	)		(0.02	)		(0.17	)		9.28		(5.51%	)b		95		0.27%	a		0.13%	a		2.75%	a
Class Y
06/30/13r	$	10.36	$	0.00	d	$	0.87		$	0.87		$	-		$	-		$	-		$	11.23		8.40%	b	$	1,246		0.29%	a		0.23%	a		0.05%	a
12/31/12		9.28		0.14			1.38			1.52			(0.15	)		(0.29	)		(0.44	)		10.36		16.46%			110		0.26%			0.18%			1.37%
12/31/11g		10.00		0.14			(0.69	)		(0.55	)		(0.15	)		(0.02	)		(0.17	)		9.28		(5.53%	)b		95		0.31%	a		0.17%	a		2.70%	a
Class L
06/30/13r	$	10.36	$	(0.01	)	$	0.88		$	0.87		$	-		$	-		$	-		$	11.23		8.40%	b	$	30,503		0.37%	a		0.31%	a		(0.23%	)a
12/31/12		9.28		0.13			1.38			1.51			(0.14	)		(0.29	)		(0.43	)		10.36		16.38%			26,623		0.33%			0.26%			1.27%
12/31/11g		10.00		0.13			(0.69	)		(0.56	)		(0.14	)		(0.02	)		(0.16	)		9.28		(5.58%	)b		22,366		0.39%	a		0.25%	a		2.57%	a
Class A
06/30/13r	$	10.35	$	(0.03	)	$	0.89		$	0.86		$	-		$	-		$	-		$	11.21		8.31%	b	$	51,902		0.62%	a		0.56%	a		(0.48%	)a
12/31/12		9.28		0.11			1.37			1.48			(0.12	)		(0.29	)		(0.41	)		10.35		16.01%			47,226		0.59%			0.51%			1.09%
12/31/11g		10.00		0.12			(0.69	)		(0.57	)		(0.13	)		(0.02	)		(0.15	)		9.28		(5.70%	)b		39,019		0.64%	a		0.50%	a		2.36%	a

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011b,q
Portfolio turnover rate for all share classes		23	%		57	%		14	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period June 20, 2011 (commencement of operations) through December 31, 2011.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

q Portfolio turnover excludes securities received from subscriptions in-kind. Amount would be 15% including securities received from subscriptions in-kind.

r Unaudited.

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)

			Income (loss) from investment operations									Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	10.45	$	(0.01	)	$	0.12		$	0.11		$	-		$	-		$	-		$	-		$	10.56		0.96%	b	$	25,915		0.25%	a		0.24%	,a		(0.19%	)a
12/31/12		9.84		0.26			0.67			0.93			(0.32	)		-			-			(0.32	)		10.45		9.64%			24,199		0.17%			0.17%	k		2.55%
12/31/11		9.86		0.26			0.01			0.27			(0.29	)		-			-			(0.29	)		9.84		2.78%			15,610		0.15%			N/A			2.62%
12/31/10		9.22		0.18			0.73			0.91			(0.27	)		-			-			(0.27	)		9.86		10.04%			13,462		0.15%			N/A			1.92%
12/31/09		7.68		0.18			1.36			1.54			-			-			-			-			9.22		20.05%			14,963		0.15%			N/A			2.17%
12/31/08		9.98		0.36			(1.95	)		(1.59	)		(0.42	)		(0.22	)		(0.07	)		(0.71	)		7.68		(16.17%	)		16,279		0.12%			N/A			3.86%
Class Y
06/30/13r	$	10.47	$	(0.01	)	$	0.11		$	0.10		$	-		$	-		$	-		$	-		$	10.57		0.96%	b	$	15,090		0.31%	a		0.31%	a,k		(0.26%	)a
12/31/12		9.85		0.17			0.76			0.93			(0.31	)		-			-			(0.31	)		10.47		9.53%			13,720		0.23%			0.23%	k		1.63%
12/31/11		9.88		0.25			0.01			0.26			(0.29	)		-			-			(0.29	)		9.85		2.66%			20,601		0.20%			N/A			2.47%
12/31/10		9.23		0.24			0.67			0.91			(0.26	)		-			-			(0.26	)		9.88		10.09%			19,112		0.17%			N/A			2.51%
12/31/09		7.68		0.16			1.39			1.55			-			-			-			-			9.23		20.18%			18,370		0.17%			N/A			1.98%
12/31/08		9.99		0.37			(1.97	)		(1.60	)		(0.42	)		(0.22	)		(0.07	)		(0.71	)		7.68		(16.20%	)		58,457		0.14%			N/A			3.94%
Class L
06/30/13r	$	10.46	$	(0.02	)	$	0.12		$	0.10		$	-		$	-		$	-		$	-		$	10.56		0.96%	b	$	23,332		0.41%	a		0.41%	a,k		(0.37%	)a
12/31/12		9.84		0.18			0.74			0.92			(0.30	)		-			-			(0.30	)		10.46		9.45%			28,883		0.33%			0.33%	k		1.77%
12/31/11		9.87		0.20			0.04			0.24			(0.27	)		-			-			(0.27	)		9.84		2.52%			31,554		0.30%			N/A			1.98%
12/31/10		9.22		0.21			0.69			0.90			(0.25	)		-			-			(0.25	)		9.87		9.98%			37,663		0.27%			N/A			2.21%
12/31/09		7.69		0.17			1.36			1.53			-			-			-			-			9.22		19.90%			38,375		0.27%			N/A			2.05%
12/31/08		9.99		0.34			(1.95	)		(1.61	)		(0.41	)		(0.22	)		(0.06	)		(0.69	)		7.69		(16.29%	)		55,874		0.24%			N/A			3.61%
Class A
06/30/13r	$	10.38	$	(0.03	)	$	0.12		$	0.09		$	-		$	-		$	-		$	-		$	10.47		0.87%	b	$	21,131		0.66%	a		0.66%	a,k		(0.61%	)a
12/31/12		9.76		0.17			0.71			0.88			(0.26	)		-			-			(0.26	)		10.38		9.13%			24,982		0.58%			0.58%	k		1.65%
12/31/11		9.79		0.17			0.05			0.22			(0.25	)		-			-			(0.25	)		9.76		2.27%			28,693		0.55%			N/A			1.68%
12/31/10		9.15		0.19			0.68			0.87			(0.23	)		-			-			(0.23	)		9.79		9.67%			35,125		0.52%			N/A			1.99%
12/31/09		7.65		0.16			1.34			1.50			-			-			-			-			9.15		19.61%			34,104		0.52%			N/A			1.94%
12/31/08		9.95		0.39			(2.01	)		(1.62	)		(0.40	)		(0.22	)		(0.06	)		(0.68	)		7.65		(16.46%	)		43,223		0.49%			N/A			4.27%
Class N
06/30/13r	$	10.37	$	(0.05	)	$	0.12		$	0.07		$	-		$	-		$	-		$	-		$	10.44		0.68%	b	$	107		0.96%	a		0.96%	a,k		(0.92%	)a
12/31/12		9.76		0.15			0.71			0.86			(0.25	)		-			-			(0.25	)		10.37		8.89%			124		0.88%			0.88%	k		1.45%
12/31/11		9.80		0.17			0.02			0.19			(0.23	)		-			-			(0.23	)		9.76		1.95%			112		0.85%			N/A			1.68%
12/31/10		9.16		0.16			0.69			0.85			(0.21	)		-			-			(0.21	)		9.80		9.40%			104		0.82%			N/A			1.66%
12/31/09		7.68		0.16			1.32			1.48			-			-			-			-			9.16		19.27%			105		0.82%			N/A			1.98%
12/31/08		9.98		0.32			(1.98	)		(1.66	)		(0.36	)		(0.22	)		(0.06	)		(0.64	)		7.68		(16.76%	)		89		0.79%			N/A			3.42%

	Six months ended June 30,  2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		19	%		40	%		111	%		32	%		36	%		35	%

a Annualized.

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

c Per share amount calculated on the average shares method.

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

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

46

MassMutual RetireSMART 2010 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	10.80	$	(0.01	)	$	0.28		$	0.27		$	-		$	-		$	-		$	-		$	11.07		2.50%	b	$	60,940		0.25%	a		0.25%	a,k		(0.20%	)a
12/31/12		9.96		0.27			0.84			1.11			(0.27	)		-			-			(0.27	)		10.80		11.19%			57,999		0.16%			0.16%	k		2.54%
12/31/11		10.11		0.21			(0.12	)		0.09			(0.24	)		-			-			(0.24	)		9.96		0.98%			34,639		0.14%			N/A			2.08%
12/31/10		9.26		0.14			0.94			1.08			(0.23	)		-			-			(0.23	)		10.11		11.95%			33,281		0.14%			N/A			1.52%
12/31/09		7.40		0.17			1.69			1.86			-			-			-			-			9.26		25.14%			43,844		0.14%			N/A			2.07%
12/31/08		10.70		0.29			(2.90	)		(2.61	)		(0.34	)		(0.24	)		(0.11	)		(0.69	)		7.40		(24.75%	)		32,208		0.12%			N/A			2.98%
Class Y
06/30/13r	$	10.80	$	(0.02	)	$	0.29		$	0.27		$	-		$	-		$	-		$	-		$	11.07		2.50%	b	$	10,059		0.34%	a		0.34%	a,k		(0.28%	)a
12/31/12		9.94		0.10			1.00			1.10			(0.24	)		-			-			(0.24	)		10.80		11.10%			8,852		0.24%			0.24%	k		0.92%
12/31/11		10.10		0.21			(0.13	)		0.08			(0.24	)		-			-			(0.24	)		9.94		0.84%			26,949		0.22%			N/A			2.09%
12/31/10		9.25		0.20			0.88			1.08			(0.23	)		-			-			(0.23	)		10.10		11.89%			27,844		0.19%			N/A			2.14%
12/31/09		7.39		0.13			1.73			1.86			-			-			-			-			9.25		25.17%			27,126		0.19%			N/A			1.69%
12/31/08		10.69		0.27			(2.89	)		(2.62	)		(0.33	)		(0.24	)		(0.11	)		(0.68	)		7.39		(24.84%	)		39,901		0.17%			N/A			2.78%
Class L
06/30/13r	$	10.78	$	(0.02	)	$	0.28		$	0.26		$	-		$	-		$	-		$	-		$	11.04		2.41%	b	$	9,260		0.44%	a		0.44%	a,k		(0.39%	)a
12/31/12		9.94		0.19			0.90			1.09			(0.25	)		-			-			(0.25	)		10.78		11.01%			11,649		0.35%			0.35%	k		1.84%
12/31/11		10.09		0.18			(0.10	)		0.08			(0.23	)		-			-			(0.23	)		9.94		0.82%			11,270		0.32%			N/A			1.75%
12/31/10		9.24		0.18			0.88			1.06			(0.21	)		-			-			(0.21	)		10.09		11.74%			13,103		0.29%			N/A			1.84%
12/31/09		7.39		0.11			1.74			1.85			-			-			-			-			9.24		25.03%			13,710		0.29%			N/A			1.39%
12/31/08		10.69		0.26			(2.89	)		(2.63	)		(0.32	)		(0.24	)		(0.11	)		(0.67	)		7.39		(24.95%	)		35,333		0.27%			N/A			2.68%
Class A
06/30/13r	$	10.72	$	(0.03	)	$	0.27		$	0.24		$	-		$	-		$	-		$	-		$	10.96		2.24%	b	$	23,902		0.69%	a		0.69%	a,k		(0.64%	)a
12/31/12		9.88		0.16			0.89			1.05			(0.21	)		-			-			(0.21	)		10.72		10.74%			25,903		0.60%			0.60%	k		1.53%
12/31/11		10.02		0.16			(0.10	)		0.06			(0.20	)		-			-			(0.20	)		9.88		0.61%			26,892		0.57%			N/A			1.55%
12/31/10		9.18		0.15			0.88			1.03			(0.19	)		-			-			(0.19	)		10.02		11.45%			32,254		0.54%			N/A			1.57%
12/31/09		7.37		0.12			1.69			1.81			-			-			-			-			9.18		24.56%			35,657		0.54%			N/A			1.55%
12/31/08		10.64		0.23			(2.86	)		(2.63	)		(0.30	)		(0.24	)		(0.10	)		(0.64	)		7.37		(25.05%	)		38,451		0.52%			N/A			2.40%
Class N
06/30/13r	$	10.63	$	(0.05	)	$	0.28		$	0.23		$	-		$	-		$	-		$	-		$	10.86		2.16%	b	$	1,019		0.99%	a		0.99%	a,k		(0.94%	)a
12/31/12		9.82		0.13			0.89			1.02			(0.21	)		-			-			(0.21	)		10.63		10.47%			1,275		0.90%			0.90%	k		1.23%
12/31/11		10.02		0.21			(0.19	)		0.02			(0.22	)		-			-			(0.22	)		9.82		0.25%			1,212		0.87%			N/A			2.07%
12/31/10		9.18		0.12			0.88			1.00			(0.16	)		-			-			(0.16	)		10.02		11.03%			513		0.84%			N/A			1.29%
12/31/09		7.38		0.10			1.70			1.80			-			-			-			-			9.18		24.39%			553		0.84%			N/A			1.29%
12/31/08		10.64		0.20			(2.85	)		(2.65	)		(0.28	)		(0.24	)		(0.09	)		(0.61	)		7.38		(25.30%	)		499		0.82%			N/A			2.07%

	Six months ended June 30,  2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		20	%		49	%		108	%		38	%		39	%		35	%

a Annualized.

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

c Per share amount calculated on the average shares method.

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

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

47

MassMutual RetireSMART 2015 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	11.02	$	(0.00	)d	$	0.44		$	0.44		$	-		$	-		$	-		$	11.46		3.99%	b	$	9,111		0.80%	a		0.12%	a		(0.06%	)a
12/31/12		10.25		0.37			0.95			1.32			(0.24	)		(0.31	)		(0.55	)		11.02		12.94%			5,926		1.70%			0.10%			3.36%
12/31/11		10.73		0.24			(0.27	)		(0.03	)		(0.17	)		(0.28	)		(0.45	)		10.25		(0.31%	)		2,255		3.80%			0.10%			2.24%
12/31/10g		10.00		0.20			0.75			0.95			(0.21	)		(0.01	)		(0.22	)		10.73		9.54%	b		767		4.82%	a		0.10%	a		2.60%	a
Class Y
06/30/13r	$	11.02	$	(0.01	)	$	0.45		$	0.44		$	-		$	-		$	-		$	11.46		3.99%	b	$	188		0.89%	a		0.18%	a		(0.10%	)a
12/31/12		10.25		0.17			1.15			1.32			(0.24	)		(0.31	)		(0.55	)		11.02		12.86%			123		1.77%			0.15%			1.52%
12/31/11		10.73		0.27			(0.31	)		(0.04	)		(0.16	)		(0.28	)		(0.44	)		10.25		(0.35%	)		323		3.87%			0.15%			2.50%
12/31/10g		10.00		0.19			0.76			0.95			(0.21	)		(0.01	)		(0.22	)		10.73		9.52%	b		143		4.87%	a		0.15%	a		2.53%	a
Class L
06/30/13r	$	11.00	$	(0.01	)	$	0.45		$	0.44		$	-		$	-		$	-		$	11.44		4.00%	b	$	2,107		0.99%	a		0.28%	a		(0.21%	)a
12/31/12		10.25		0.47			0.83			1.30			(0.24	)		(0.31	)		(0.55	)		11.00		12.67%			354		1.89%			0.25%			4.30%
12/31/11		10.73		0.25			(0.30	)		(0.05	)		(0.15	)		(0.28	)		(0.43	)		10.25		(0.45%	)		135		3.97%			0.25%			2.33%
12/31/10g		10.00		0.19			0.75			0.94			(0.20	)		(0.01	)		(0.21	)		10.73		9.43%	b		111		4.97%	a		0.25%	a		2.47%	a
Class A
06/30/13r	$	10.97	$	(0.03	)	$	0.45		$	0.42		$	-		$	-		$	-		$	11.39		3.83%	b	$	2,056		1.24%	a		0.52%	a		(0.46%	)a
12/31/12		10.22		0.25			1.02			1.27			(0.21	)		(0.31	)		(0.52	)		10.97		12.46%			1,066		2.14%			0.50%			2.24%
12/31/11		10.71		0.31			(0.38	)		(0.07	)		(0.14	)		(0.28	)		(0.42	)		10.22		(0.67%	)		568		4.23%			0.50%			2.88%
12/31/10g		10.00		0.31			0.61			0.92			(0.20	)		(0.01	)		(0.21	)		10.71		9.17%	b		302		5.22%	a		0.50%	a		4.01%	a

	Six months ended June 30, 2013 b,r			Year ended December 31
				2012			2011			2010b
Portfolio turnover rate for all share classes		33	%		82	%		82	%		12	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period April 1, 2010 (commencement of operations) through June 30, 2010.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

48

MassMutual RetireSMART 2020 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	10.55	$	(0.01	)	$	0.57		$	0.56		$	-		$	-		$	-		$	-		$	11.11		5.31%	b	$	206,780		0.23%	a		0.22%	a		(0.16%	)a
12/31/12		9.43		0.23			1.10			1.33			(0.21	)		-			-			(0.21	)		10.55		14.14%			178,323		0.13%			0.12%			2.23%
12/31/11		9.79		0.19			(0.37	)		(0.18	)		(0.18	)		-			-			(0.18	)		9.43		(1.78%	)		114,389		0.11%			N/A			1.96%
12/31/10		8.74		0.14			1.07			1.21			(0.16	)		-			-			(0.16	)		9.79		14.18%			104,532		0.11%			N/A			1.56%
12/31/09		6.68		0.11			1.95			2.06			-			-			-			-			8.74		30.84%			100,371		0.11%			N/A			1.49%
12/31/08		10.84		0.21			(3.64	)		(3.43	)		(0.24	)		(0.36	)		(0.13	)		(0.73	)		6.68		(32.42%	)		65,951		0.10%			N/A			2.28%
Class Y
06/30/13r	$	10.55	$	(0.01	)	$	0.57		$	0.56		$	-		$	-		$	-		$	-		$	11.11		5.31%	b	$	36,440		0.32%	a		0.31%	a		(0.24%	)a
12/31/12		9.41		0.11			1.21			1.32			(0.18	)		-			-			(0.18	)		10.55		14.09%			27,380		0.21%			0.20%			1.05%
12/31/11		9.77		0.17			(0.35	)		(0.18	)		(0.18	)		-			-			(0.18	)		9.41		(1.83%	)		60,388		0.18%			N/A			1.76%
12/31/10		8.73		0.15			1.05			1.20			(0.16	)		-			-			(0.16	)		9.77		14.01%			67,560		0.16%			N/A			1.72%
12/31/09		6.67		0.09			1.97			2.06			-			-			-			-			8.73		30.88%			63,845		0.16%			N/A			1.18%
12/31/08		10.82		0.21			(3.63	)		(3.42	)		(0.24	)		(0.36	)		(0.13	)		(0.73	)		6.67		(32.43%	)		77,838		0.15%			N/A			2.27%
Class L
06/30/13r	$	10.54	$	(0.02	)	$	0.58		$	0.56		$	-		$	-		$	-		$	-		$	11.10		5.31%	b	$	83,147		0.42%	a		0.41%	a		(0.35%	)a
12/31/12		9.42		0.17			1.14			1.31			(0.19	)		-			-			(0.19	)		10.54		13.94%			94,439		0.31%			0.31%	k		1.64%
12/31/11		9.78		0.15			(0.35	)		(0.20	)		(0.16	)		-			-			(0.16	)		9.42		(1.96%	)		87,577		0.28%			N/A			1.54%
12/31/10		8.74		0.13			1.06			1.19			(0.15	)		-			-			(0.15	)		9.78		13.86%			109,419		0.26%			N/A			1.46%
12/31/09		6.68		0.08			1.98			2.06			-			-			-			-			8.74		30.84%			114,640		0.26%			N/A			1.09%
12/31/08		10.83		0.19			(3.62	)		(3.43	)		(0.24	)		(0.36	)		(0.12	)		(0.72	)		6.68		(32.52%	)		137,142		0.25%			N/A			2.00%
Class A
06/30/13r	$	10.45	$	(0.03	)	$	0.57		$	0.54		$	-		$	-		$	-		$	-		$	10.99		5.17%	b	$	91,272		0.67%	a		0.66%	a		(0.60%	)a
12/31/12		9.34		0.14			1.13			1.27			(0.16	)		-			-			(0.16	)		10.45		13.66%			89,321		0.56%			0.56%	k		1.42%
12/31/11		9.70		0.14			(0.36	)		(0.22	)		(0.14	)		-			-			(0.14	)		9.34		(2.22%	)		86,264		0.53%			N/A			1.43%
12/31/10		8.67		0.11			1.05			1.16			(0.13	)		-			-			(0.13	)		9.70		13.61%			94,230		0.51%			N/A			1.25%
12/31/09		6.65		0.07			1.95			2.02			-			-			-			-			8.67		30.38%			94,170		0.51%			N/A			0.96%
12/31/08		10.77		0.17			(3.60	)		(3.43	)		(0.21	)		(0.36	)		(0.12	)		(0.69	)		6.65		(32.66%	)		88,113		0.50%			N/A			1.80%
Class N
06/30/13r	$	10.32	$	(0.05	)	$	0.57		$	0.52		$	-		$	-		$	-		$	-		$	10.84		5.04%	b	$	2,534		0.97%	a		0.96%	a		(0.90%	)a
12/31/12		9.26		0.13			1.10			1.23			(0.17	)		-			-			(0.17	)		10.32		13.31%			3,188		0.86%			0.86%	k		1.29%
12/31/11		9.67		0.26			(0.50	)		(0.24	)		(0.17	)		-			-			(0.17	)		9.26		(2.45%	)		2,584		0.84%			N/A			2.76%
12/31/10		8.64		0.08			1.05			1.13			(0.10	)		-			-			(0.10	)		9.67		13.31%			586		0.81%			N/A			0.94%
12/31/09		6.65		0.04			1.95			1.99			-			-			-			-			8.64		29.92%			554		0.82%			N/A			0.57%
12/31/08		10.78		0.19			(3.64	)		3.45			(0.21	)		(0.36	)		(0.11	)		(0.68	)		6.65		(32.85%	)		426		0.80%			N/A			2.11%

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		23	%		54	%		80	%		32	%		30	%		32	%

a Annualized.

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

c Per share amount calculated on the average shares method.

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

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

49

MassMutual RetireSMART 2025 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	10.96	$	(0.00	)d	$	0.71		$	0.71		$	-		$	-		$	-		$	11.67		6.48%	b	$	6,837		0.90%	a		0.13%	a		(0.04%	)a
12/31/12		9.97		0.27			1.22			1.49			(0.21	)		(0.29	)		(0.50	)		10.96		15.02%			2,165		2.05%			0.10%			2.47%
12/31/11		10.85		0.22			(0.53	)		(0.31	)		(0.21	)		(0.36	)		(0.57	)		9.97		(2.79%	)		885		4.29%			0.10%			2.02%
12/31/10g		10.00		0.16			0.86			1.02			(0.17	)		-			(0.17	)		10.85		10.25%	b		772		5.04%	a		0.10%			2.13%	a
Class Y
06/30/13r	$	10.96	$	(0.00	)d	$	0.71		$	0.71		$	-		$	-		$	-		$	11.67		6.48%	b	$	459		0.99%	a		0.18%	a		(0.08%	)a
12/31/12		9.97		0.23			1.26			1.49			(0.21	)		(0.29	)		(0.50	)		10.96		14.97%			198		2.13%			0.15%			2.08%
12/31/11		10.85		0.20			(0.51	)		(0.31	)		(0.21	)		(0.36	)		(0.57	)		9.97		(2.84%	)		125		4.36%			0.15%			1.86%
12/31/10g		10.00		0.16			0.86			1.02			(0.17	)		-			(0.17	)		10.85		10.21%	b		110		5.09%	a		0.15%	a		2.09%	a
Class L
06/30/13r	$	10.95	$	(0.01	)	$	0.71		$	0.70		$	-		$	-		$	-		$	11.65		6.39%	b	$	5,309		1.09%	a		0.28%	a		(0.18%	)a
12/31/12		9.97		0.36			1.11			1.47			(0.20	)		(0.29	)		(0.49	)		10.95		14.84%			1,400		2.25%			0.25%			3.27%
12/31/11		10.85		0.31			(0.63	)		(0.32	)		(0.20	)		(0.36	)		(0.56	)		9.97		(2.89%	)		291		4.47%			0.25%			2.89%
12/31/10g		10.00		0.15			0.86			1.01			(0.16	)		-			(0.16	)		10.85		10.13%	b		110		5.19%	a		0.25%	a		1.98%	a
Class A
06/30/13r	$	10.92	$	(0.03	)	$	0.71		$	0.68		$	-		$	-		$	-		$	11.60		6.23%	b	$	2,975		1.34%	a		0.52%	a		(0.45%	)a
12/31/12		9.95		0.22			1.22			1.44			(0.18	)		(0.29	)		(0.47	)		10.92		14.53%			1,604		2.49%			0.50%			2.04%
12/31/11		10.84		0.24			(0.59	)		(0.35	)		(0.18	)		(0.36	)		(0.54	)		9.95		(3.16%	)		701		4.71%			0.50%			2.19%
12/31/10g		10.00		0.24			0.76			1.00			(0.16	)		-			(0.16	)		10.84		9.98%	b		249		5.44%	a		0.50%	a		3.10%	a

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011			2010b
Portfolio turnover rate for all share classes		24	%		55	%		66	%		11	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period April 1, 2010 (commencement of operations) through December 31, 2010.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

50

MassMutual RetireSMART 2030 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	10.61	$	(0.01	)	$	0.75		$	0.74		$	-		$	-		$	-		$	-		$	11.35		6.97%	b	$	189,820		0.23%	a		0.22%	a		(0.15%	)a
12/31/12		9.34		0.21			1.23			1.44			(0.17	)		-			-			(0.17	)		10.61		15.55%			155,213		0.13%			0.12%			2.05%
12/31/11		9.81		0.17			(0.50	)		(0.33	)		(0.14	)		-			-			(0.14	)		9.34		(3.32%	)		96,501		0.11%			N/A			1.75%
12/31/10		8.67		0.12			1.15			1.27			(0.13	)		-			-			(0.13	)		9.81		14.95%			86,541		0.11%			N/A			1.34%
12/31/09		6.49		0.08			2.10			2.18			-			-			-			-			8.67		33.59%			75,977		0.12%			N/A			1.09%
12/31/08		11.57		0.16			(4.40	)		(4.24	)		(0.17	)		(0.53	)		(0.14	)		(0.84	)		6.49		(37.94%	)		41,482		0.11%			N/A			1.62%
Class Y
06/30/13r	$	10.60	$	(0.01	)	$	0.75		$	0.74		$	-		$	-		$	-		$	-		$	11.34		6.98%	b	$	38,617		0.32%	a		0.31%	a		(0.23%	)a
12/31/12		9.32		0.11			1.32			1.43			(0.15	)		-			-			(0.15	)		10.60		15.44%			29,056		0.21%			0.21%	k		1.10%
12/31/11		9.80		0.15			(0.49	)		(0.34	)		(0.14	)		-			-			(0.14	)		9.32		(3.47%	)		52,742		0.18%			N/A			1.54%
12/31/10		8.65		0.12			1.16			1.28			(0.13	)		-			-			(0.13	)		9.80		15.03%			56,940		0.16%			N/A			1.40%
12/31/09		6.48		0.06			2.11			2.17			-			-			-			-			8.65		33.49%			54,828		0.17%			N/A			0.84%
12/31/08		11.55		0.16			(4.39	)		(4.23	)		(0.17	)		(0.53	)		(0.14	)		(0.84	)		6.48		(37.97%	)		54,289		0.16%			N/A			1.72%
Class L
06/30/13r	$	10.61	$	(0.02	)	$	0.74		$	0.72		$	-		$	-		$	-		$	-		$	11.33		6.79%	b	$	64,197		0.42%	a		0.41%	a		(0.35%	)a
12/31/12		9.34		0.15			1.27			1.42			(0.15	)		-			-			(0.15	)		10.61		15.32%			73,817		0.31%			0.31%	k		1.49%
12/31/11		9.81		0.14			(0.49	)		(0.35	)		(0.12	)		-			-			(0.12	)		9.34		(3.50%	)		71,616		0.28%			N/A			1.38%
12/31/10		8.66		0.10			1.17			1.27			(0.12	)		-			-			(0.12	)		9.81		14.86%			83,008		0.26%			N/A			1.14%
12/31/09		6.50		0.05			2.11			2.16			-			-			-			-			8.66		33.23%			91,974		0.27%			N/A			0.69%
12/31/08		11.56		0.14			(4.37	)		(4.23	)		(0.17	)		(0.53	)		(0.13	)		(0.83	)		6.50		(37.94%	)		107,171		0.26%			N/A			1.44%
Class A
06/30/13r	$	10.51	$	(0.03	)	$	0.74		$	0.71		$	-		$	-		$	-		$	-		$	11.22		6.76%	b	$	74,800		0.67%	a		0.66%	a		(0.59%	)a
12/31/12		9.26		0.13			1.25			1.38			(0.13	)		-			-			(0.13	)		10.51		14.96%			71,053		0.56%			0.56%	k		1.25%
12/31/11		9.72		0.12			(0.48	)		(0.36	)		(0.10	)		-			-			(0.10	)		9.26		(3.67%	)		65,876		0.53%			N/A			1.19%
12/31/10		8.58		0.08			1.16			1.24			(0.10	)		-			-			(0.10	)		9.72		14.62%			73,960		0.51%			N/A			0.95%
12/31/09		6.46		0.04			2.08			2.12			-			-			-			-			8.58		32.82%			71,661		0.52%			N/A			0.50%
12/31/08		11.49		0.12			(4.35	)		(4.23	)		(0.15	)		(0.53	)		(0.12	)		(0.80	)		6.46		(38.13%	)		71,231		0.50%			N/A			1.22%
Class N
06/30/13r	$	10.39	$	(0.05	)	$	0.73		$	0.68		$	-		$	-		$	-		$	-		$	11.07		6.54%	b	$	3,057		0.97%	a		0.96%	a		(0.89%	)a
12/31/12		9.19		0.10			1.24			1.34			(0.14	)		-			-			(0.14	)		10.39		14.64%			3,101		0.86%			0.86%	k		0.98%
12/31/11		9.71		0.25			(0.64	)		(0.39	)		(0.13	)		-			-			(0.13	)		9.19		(3.95%	)		2,793		0.84%			N/A			2.75%
12/31/10		8.58		0.06			1.14			1.20			(0.07	)		-			-			(0.07	)		9.71		14.18%			383		0.81%			N/A			0.65%
12/31/09		6.47		0.02			2.09			2.11			-			-			-			-			8.58		32.61%			387		0.82%			N/A			0.26%
12/31/08		11.51		0.11			(4.37	)		(4.26	)		(0.14	)		(0.53	)		(0.11	)		(0.78	)		6.47		(38.35%	)		189		0.81%			N/A			1.14%

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		22	%		55	%		74	%		29	%		34	%		31	%

a Annualized.

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

c Per share amount calculated on the average shares method.

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

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

51

MassMutual RetireSMART 2035 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	11.00	$	(0.00	)d	$	0.81		$	0.81		$	-		$	-		$	-		$	11.81		7.36%	b	$	5,022		1.04%	a		0.13%	a		(0.04%	)a
12/31/12		9.96		0.26			1.29			1.55			(0.19	)		(0.32	)		(0.51	)		11.00		15.64%			2,042		2.42%			0.10%			2.41%
12/31/11		10.89		0.20			(0.60	)		(0.40	)		(0.19	)		(0.34	)		(0.53	)		9.96		(3.60%	)		936		4.17%			0.10%			1.81%
12/31/10g		10.00		0.14			0.91			1.05			(0.16	)		-			(0.16	)		10.89		10.46%	b		773		5.11%	a		0.10%	a		1.92%	a
Class Y
06/30/13r	$	11.00	$	(0.00	)d	$	0.81		$	0.81		$	-		$	-		$	-		$	11.81		7.36%	b	$	653		1.13%	a		0.19%	a		(0.07%	)a
12/31/12		9.96		0.19			1.35			1.54			(0.18	)		(0.32	)		(0.50	)		11.00		15.58%			245		2.51%			0.15%			1.79%
12/31/11		10.89		0.18			(0.58	)		(0.40	)		(0.19	)		(0.34	)		(0.53	)		9.96		(3.65%	)		155		4.24%			0.15%			1.63%
12/31/10g		10.00		0.14			0.90			1.04			(0.15	)		-			(0.15	)		10.89		10.42%	b		111		5.16%	a		0.15%	a		1.87%	a
Class L
06/30/13r	$	10.99	$	(0.01	)	$	0.81		$	0.80		$	-		$	-		$	-		$	11.79		7.28%	b	$	3,134		1.23%	a		0.28%	a		(0.18%	)a
12/31/12		9.96		0.29			1.24			1.53			(0.18	)		(0.32	)		(0.50	)		10.99		15.45%			1,009		2.62%			0.25%			2.66%
12/31/11		10.89		0.19			(0.60	)		(0.41	)		(0.18	)		(0.34	)		(0.52	)		9.96		(3.73%	)		171		4.34%			0.25%			1.75%
12/31/10g		10.00		0.13			0.90			1.03			(0.14	)		-			(0.14	)		10.89		10.35%	b		112		5.26%	a		0.25%	a		1.78%	a
Class A
06/30/13r	$	10.96	$	(0.03	)	$	0.81		$	0.78		$	-		$	-		$	-		$	11.74		7.12%	b	$	2,713		1.48%	a		0.52%	a		(0.44%	)a
12/31/12		9.94		0.21			1.29			1.50			(0.16	)		(0.32	)		(0.48	)		10.96		15.18%			1,335		2.86%			0.50%			1.97%
12/31/11		10.88		0.21			(0.65	)		(0.44	)		(0.16	)		(0.34	)		(0.50	)		9.94		(3.96%	)		603		4.59%			0.50%			1.93%
12/31/10g		10.00		0.13			0.88			1.01			(0.13	)		-			(0.13	)		10.88		10.10%	b		146		5.51%	a		0.50%	a		1.78%	a

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011			2010b
Portfolio turnover rate for all share classes		24	%		52	%		63	%		10	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period April 1, 2010 (commencement of operations) through December 31, 2010.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

52

MassMutual RetireSMART 2040 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders																			Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	10.66	$	(0.01	)	$	0.80		$	0.79		$	-		$	-		$	-		$	-		$	11.45		7.41%	b	$	129,060		0.24%	a		0.23%	a		(0.15%	)a
12/31/12		9.35		0.19			1.27			1.46			(0.15	)		-			-			(0.15	)		10.66		15.69%			108,556		0.13%			0.13%	k		1.91%
12/31/11		9.85		0.15			(0.53	)		(0.38	)		(0.12	)		-			-			(0.12	)		9.35		(3.79%	)		66,537		0.11%			N/A			1.55%
12/31/10		8.65		0.11			1.20			1.31			(0.11	)		-			-			(0.11	)		9.85		15.40%			61,781		0.11%			N/A			1.25%
12/31/09		6.45		0.07			2.13			2.20			-			-			-			-			8.65		34.11%			50,292		0.12%			N/A			0.93%
12/31/08		11.84		0.15			(4.67	)		(4.52	)		(0.15	)		(0.56	)		(0.16	)		(0.87	)		6.45		(39.54%	)		27,000		0.11%			N/A			1.55%
Class Y
06/30/13r	$	10.65	$	(0.01	)	$	0.80		$	0.79		$	-		$	-		$	-		$	-		$	11.44		7.42%	b	$	22,283		0.33%	a		0.32%	a		(0.23%	)a
12/31/12		9.33		0.11			1.34			1.45			(0.13	)		-			-			(0.13	)		10.65		15.60%			14,301		0.21%			0.21%	k		1.08%
12/31/11		9.84		0.14			(0.53	)		(0.39	)		(0.12	)		-			-			(0.12	)		9.33		(3.94%	)		24,981		0.18%			N/A			1.44%
12/31/10		8.64		0.11			1.19			1.30			(0.10	)		-			-			(0.10	)		9.84		15.33%			25,886		0.16%			N/A			1.23%
12/31/09		6.45		0.04			2.15			2.19			-			-			-			-			8.64		33.95%			24,096		0.17%			N/A			0.56%
12/31/08		11.83		0.15			(4.66	)		(4.51	)		(0.15	)		(0.56	)		(0.16	)		(0.87	)		6.45		(39.52%	)		30,695		0.16%			N/A			1.59%
Class L
06/30/13r	$	10.66	$	(0.02	)	$	0.79		$	0.77		$	-		$	-		$	-		$	-		$	11.43		7.22%	b	$	38,809		0.43%	a		0.42%	a		(0.36%	)a
12/31/12		9.34		0.14			1.31			1.45			(0.13	)		-			-			(0.13	)		10.66		15.59%			44,762		0.31%			0.31%	k		1.37%
12/31/11		9.84		0.11			(0.50	)		(0.39	)		(0.11	)		-			-			(0.11	)		9.34		(3.97%	)		41,791		0.28%			N/A			1.15%
12/31/10		8.64		0.09			1.20			1.29			(0.09	)		-			-			(0.09	)		9.84		15.18%			52,011		0.26%			N/A			0.98%
12/31/09		6.45		0.03			2.16			2.19			-			-			-			-			8.64		33.95%			56,485		0.27%			N/A			0.50%
12/31/08		11.84		0.13			(4.66	)		(4.53	)		(0.15	)		(0.56	)		(0.15	)		(0.86	)		6.45		(39.68%	)		67,643		0.26%			N/A			1.28%
Class A
06/30/13r	$	10.55	$	(0.03	)	$	0.79		$	0.76		$	-		$	-		$	-		$	-		$	11.31		7.20%	b	$	47,181		0.68%	a		0.67%	a		(0.60%	)a
12/31/12		9.25		0.12			1.29			1.41			(0.11	)		-			-			(0.11	)		10.55		15.28%			45,264		0.57%			0.56%			1.17%
12/31/11		9.75		0.10			(0.52	)		(0.42	)		(0.08	)		-			-			(0.08	)		9.25		(4.24%	)		40,995		0.53%			N/A			1.08%
12/31/10		8.57		0.07			1.19			1.26			(0.08	)		-			-			(0.08	)		9.75		14.86%			44,328		0.51%			N/A			0.80%
12/31/09		6.41		0.02			2.14			2.16			-			-			-			-			8.57		33.70%			40,898		0.52%			N/A			0.35%
12/31/08		11.76		0.11			(4.62	)		(4.51	)		(0.14	)		(0.56	)		(0.14	)		(0.84	)		6.41		(39.80%	)		35,855		0.51%			N/A			1.15%
Class N
06/30/13r	$	10.44	$	(0.05	)	$	0.78		$	0.73		$	-		$	-		$	-		$	-		$	11.17		6.99%	b	$	2,923		0.98%	a		0.97%	a		(0.90%	)a
12/31/12		9.19		0.09			1.28			1.37			(0.12	)		-			-			(0.12	)		10.44		14.91%			2,816		0.87%			0.86%			0.91%
12/31/11		9.74		0.23			(0.66	)		(0.43	)		(0.12	)		-			-			(0.12	)		9.19		(4.41%	)		2,502		0.85%			N/A			2.53%
12/31/10		8.57		0.05			1.18			1.23			(0.06	)		-			-			(0.06	)		9.74		14.52%			286		0.81%			N/A			0.55%
12/31/09		6.44		0.02			2.11			2.13			-			-			-			-			8.57		33.07%			257		0.82%			N/A			0.28%
12/31/08		11.79		0.09			(4.63	)		(4.54	)		(0.12	)		(0.56	)		(0.13	)		(0.81	)		6.44		(39.91%	)		132		0.81%			N/A			0.97%

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		23	%		55	%		75	%		32	%		34	%		38	%

a Annualized.

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

c Per share amount calculated on the average shares method.

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

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

53

MassMutual RetireSMART 2045 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	10.85	$	(0.00	)d	$	0.90		$	0.90		$	-		$	-		$	-		$	11.75		8.29%	b	$	3,381		1.56%	a		0.12%	a		(0.03%	)a
12/31/12		9.86		0.21			1.41			1.62			(0.16	)		(0.47	)		(0.63	)		10.85		16.48%			1,408		3.75%			0.10%			1.95%
12/31/11		10.96		0.15			(0.65	)		(0.50	)		(0.17	)		(0.43	)		(0.60	)		9.86		(4.53%	)		750		5.19%			0.10%			1.39%
12/31/10g		10.00		0.13			0.96			1.09			(0.13	)		-			(0.13	)		10.96		10.94%	b		777		5.15%	a		0.10%	a		1.69%	a
Class Y
06/30/13r	$	10.85	$	(0.00	)d	$	0.90		$	0.90		$	-		$	-		$	-		$	11.75		8.29%	b	$	183		1.65%	a		0.17%	a		(0.07%	)a
12/31/12		9.87		0.15			1.45			1.60			(0.15	)		(0.47	)		(0.62	)		10.85		16.30%			127		3.84%			0.15%			1.40%
12/31/11		10.96		0.15			(0.65	)		(0.50	)		(0.16	)		(0.43	)		(0.59	)		9.87		(4.48%	)		121		5.26%			0.15%			1.40%
12/31/10g		10.00		0.12			0.97			1.09			(0.13	)		-			(0.13	)		10.96		10.90%	b		111		5.20%	a		0.15%	a		1.64%	a
Class L
06/30/13r	$	10.83	$	(0.01	)	$	0.91		$	0.90		$	-		$	-		$	-		$	11.73		8.31%	b	$	817		1.75%	a		0.27%	a		(0.19%	)a
12/31/12		9.86		0.20			1.39			1.59			(0.15	)		(0.47	)		(0.62	)		10.83		16.16%			405		3.94%			0.25%			1.82%
12/31/11		10.96		0.22			(0.73	)		(0.51	)		(0.16	)		(0.43	)		(0.59	)		9.86		(4.61%	)		231		5.37%			0.25%			2.01%
12/31/10g		10.00		0.12			0.96			1.08			(0.12	)		-			(0.12	)		10.96		10.82%	b		111		5.30%	a		0.25%	a		1.54%	a
Class A
06/30/13r	$	10.81	$	(0.02	)	$	0.89		$	0.87		$	-		$	-		$	-		$	11.68		8.05%	b	$	1,852		2.00%	a		0.52%	a		(0.44%	)a
12/31/12		9.84		0.18			1.39			1.57			(0.13	)		(0.47	)		(0.60	)		10.81		16.02%			779		4.20%			0.50%			1.65%
12/31/11		10.95		0.19			(0.73	)		(0.54	)		(0.14	)		(0.43	)		(0.57	)		9.84		(4.86%	)		331		5.61%			0.50%			1.78%
12/31/10g		10.00		0.11			0.95			1.06			(0.11	)		-			(0.11	)		10.95		10.58%	b		139		5.55%	a		0.50%	a		1.51%	a

	Six months ended June 30, 2013 b,r			Year ended December 31
				2012			2011			2010b
Portfolio turnover rate for all share classes		31	%		68	%		56	%		8	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period April 1, 2010 (commencement of operations) through December 31, 2010.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

54

MassMutual RetireSMART 2050 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders																				Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s			Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
06/30/13r	$	8.48	$	(0.00	)d	$	0.71		$	0.71		$	-		$	-		$	-		$	-		$	9.19		8.37%	b	$	40,333			0.32%	a		0.12%	a		(0.04%	)a
12/31/12		7.71		0.16			1.08			1.24			(0.13	)		(0.34	)		-			(0.47	)		8.48		16.22%			29,840			0.26%			0.10%			1.87%
12/31/11		8.67		0.13			(0.52	)		(0.39	)		(0.13	)		(0.44	)		-			(0.57	)		7.71		(4.47%	)		18,945			0.29%			0.10%			1.53%
12/31/10		7.69		0.10			1.12			1.22			(0.10	)		(0.14	)		-			(0.24	)		8.67		15.86%			14,974	��		0.30%			0.10%			1.25%
12/31/09		5.78		0.05			1.95			2.00			(0.09	)		-			-			(0.09	)		7.69		34.58%			11,442			0.57%			0.10%			0.84%
12/31/08		10.04		0.16			(4.10	)		(3.94	)		(0.18	)		-			(0.14	)		(0.32	)		5.78		(39.30%	)		7,008			0.59%			0.10%			1.89%
Class Y
06/30/13r	$	8.49	$	(0.00	)d	$	0.71		$	0.71		$	-		$	-		$	-		$	-		$	9.20		8.36%	b	$	6,652			0.41%	a		0.17%	a		(0.09%	)a
12/31/12		7.71		0.08			1.17			1.25			(0.13	)		(0.34	)		-			(0.47	)		8.49		16.27%			3,994			0.34%			0.15%			0.93%
12/31/11		8.67		0.13			(0.52	)		(0.39	)		(0.13	)		(0.44	)		-			(0.57	)		7.71		(4.51%	)		6,670			0.36%			0.15%			1.53%
12/31/10		7.69		0.11			1.11			1.22			(0.10	)		(0.14	)		-			(0.24	)		8.67		15.82%			4,816			0.35%			0.15%			1.35%
12/31/09		5.78		0.05			1.95			2.00			(0.09	)		-			-			(0.09	)		7.69		34.53%			3,035			0.62%			0.15%			0.83%
12/31/08		10.04		0.27			(4.21	)		(3.94	)		(0.19	)		-			(0.13	)		(0.32	)		5.78		(39.31%	)		1,477			0.67%			0.15%			3.61%
Class L
06/30/13r	$	8.48	$	(0.01	)	$	0.71		$	0.70		$	-		$	-		$	-		$	-		$	9.18		8.25%	b	$	4,005			0.51%	a		0.27%	a		(0.19%	)a
12/31/12		7.70		0.10			1.14			1.24			(0.12	)		(0.34	)		-			(0.46	)		8.48		16.20%			2,632			0.44%			0.25%			1.24%
12/31/11		8.66		0.11			(0.51	)		(0.40	)		(0.12	)		(0.44	)		-			(0.56	)		7.70		(4.62%	)		2,047			0.46%			0.25%			1.27%
12/31/10		7.69		0.10			1.10			1.20			(0.09	)		(0.14	)		-			(0.23	)		8.66		15.60%			1,857			0.45%			0.25%			1.24%
12/31/09		5.78		0.05			1.94			1.99			(0.08	)		-			-			(0.08	)		7.69		34.44%			1,290			0.72%			0.25%			0.77%
12/31/08		10.04		0.20			(4.15	)		(3.95	)		(0.18	)		-			(0.13	)		(0.31	)		5.78		(39.36%	)		419			0.79%			0.25%			2.49%
Class A
06/30/13r	$	8.45	$	(0.02	)	$	0.71		$	0.69		$	-		$	-		$	-		$	-		$	9.14		8.17%	b	$	10,939			0.76%	a		0.52%	a		(0.44%	)a
12/31/12		7.68		0.10			1.11			1.21			(0.10	)		(0.34	)		-			(0.44	)		8.45		15.74%			8,644			0.70%			0.50%			1.23%
12/31/11		8.65		0.13			(0.55	)		(0.42	)		(0.11	)		(0.44	)		-			(0.55	)		7.68		(4.75%	)		5,616			0.71%			0.50%			1.52%
12/31/10		7.69		0.08			1.09			1.17			(0.07	)		(0.14	)		-			(0.21	)		8.65		15.27%			2,879			0.70%			0.50%			1.04%
12/31/09		5.77		0.03			1.95			1.98			(0.06	)		-			-			(0.06	)		7.69		34.39%			1,507			0.97%			0.50%			0.44%
12/31/08		10.04		0.27			(4.23	)		(3.96	)		(0.18	)		-			(0.13	)		(0.31	)		5.77		(39.53%	)		614			1.03%			0.50%			3.55%
Class N
06/30/13r	$	8.44	$	(0.03	)	$	0.70		$	0.67		$	-		$	-		$	-		$	-		$	9.11		7.94%	b	$	2,005			1.06%	a		0.82%	a		(0.75%	)a
12/31/12		7.68		0.08			1.10			1.18			(0.08	)		(0.34	)		-			(0.42	)		8.44		15.47%			1,767			1.00%			0.80%			0.93%
12/31/11		8.68		0.20			(0.66	)		(0.46	)		(0.10	)		(0.44	)		-			(0.54	)		7.68		(5.23%	)		1,306			1.02%			0.80%			2.52%
12/31/10		7.71		0.04			1.11			1.15			(0.04	)		(0.14	)		-			(0.18	)		8.68		14.97%			93			1.00%			0.80%			0.50%
12/31/09		5.80		0.01			1.94			1.95			(0.04	)		-			-			(0.04	)		7.71		33.68%			81			1.27%			0.80%			0.10%
12/31/08		10.04		0.09			(4.07	)		(3.98	)		(0.15	)		-			(0.11	)		(0.26	)		5.80		(39.70%	)		61			1.29%			0.80%			1.04%

	Six months ended June 30, 2013b,r			Year ended December 31
				2012			2011			2010			2009			2008
Portfolio turnover rate for all share classes		20	%		87	%		80	%		41	%		51	%		35	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

55

Notes to Financial Statements (Unaudited)

1. The Funds

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The following are 14 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 (“RetireSMART In Retirement Fund”)

MassMutual RetireSMART^SM 2010 Fund (“RetireSMART 2010 Fund”)

MassMutual RetireSMART^SM 2015 Fund (“RetireSMART 2015 Fund”)

MassMutual RetireSMART^SM 2020 Fund (“RetireSMART 2020 Fund”)

MassMutual RetireSMART^SM 2025 Fund (“RetireSMART 2025 Fund”)

MassMutual RetireSMART^SM 2030 Fund (“RetireSMART 2030 Fund”)

MassMutual RetireSMART^SM 2035 Fund (“RetireSMART 2035 Fund”)

MassMutual RetireSMART^SM 2040 Fund (“RetireSMART 2040 Fund”)

MassMutual RetireSMART^SM 2045 Fund (“RetireSMART 2045 Fund”)

MassMutual RetireSMART^SM 2050 Fund (“RetireSMART 2050 Fund”)

Each share class of a fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.

The 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 Funds. The financial statements of the applicable MassMutual Select Funds (“Select”), MassMutual Premier Funds (“Premier”) (which are advised by MassMutual), and 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 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.

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 (a “business day”). The New York Stock Exchange normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days.

The net asset value of each Fund is based upon the net asset values of its corresponding underlying funds. Shares of the underlying funds are valued at their closing net asset values as reported on each business day.

56

Notes to Financial Statements (Unaudited) (Continued)

Certain underlying funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day.

The Prospectuses and Statements of Additional Information (“SAIs”) for the underlying funds explain the valuation methods for the underlying funds, including the circumstances under which the underlying funds may use fair value pricing and the effects of doing so. Such Prospectuses and SAIs are available on the SEC EDGAR database on its Internet site at www.sec.gov.

Various inputs may be used to determine the value of the Funds’ investments. The Funds categorize the inputs to valuation techniques used to value their investments into a disclosure hierarchy consisting of three levels as summarized below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

All Funds characterized all investments at Level 1, as of June 30, 2013. For each Fund, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.

The Funds had no transfers between Level 1, Level 2, and Level 3 of the fair value hierarchy during the period ended June 30, 2013. 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 and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of 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.

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.

57

Notes to Financial Statements (Unaudited) (Continued)

Foreign Securities

Certain underlying funds may 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, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.

Federal Income Tax

It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.

Dividends and Distributions to Shareholders

Dividends from net investment income and distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.

3. 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% on the first $500 million; and

0.00% on any excess over $500 million

58

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 S		Class Y		Class L		Class A		Class N
RetireSMART Conservative Fund		0.0576%		0.0976%		0.1776%		0.1776%		None
RetireSMART Moderate Fund		0.0871%		0.1271%		0.2071%		0.2071%		None
RetireSMART Moderate Growth Fund		0.1087%		0.1487%		0.2287%		0.2287%		None
RetireSMART Growth Fund		0.1085%		0.1485%		0.2285%		0.2285%		None
RetireSMART In Retirement Fund		0.1130%		0.1789%		0.2789%		0.2789%		0.3289%
RetireSMART 2010 Fund		0.1268%		0.2168%		0.3168%		0.3168%		0.3668%
RetireSMART 2015 Fund		0.1427%		0.2327%		0.3327%		0.3327%		None
RetireSMART 2020 Fund		0.1500%		0.2400%		0.3400%		0.3400%		0.3900%
RetireSMART 2025 Fund		0.1469%		0.2369%		0.3369%		0.3369%		None
RetireSMART 2030 Fund		0.1537%		0.2437%		0.3437%		0.3437%		0.3937%
RetireSMART 2035 Fund		0.1476%		0.2376%		0.3376%		0.3376%		None
RetireSMART 2040 Fund		0.1496%		0.2396%		0.3396%		0.3396%		0.3896%
RetireSMART 2045 Fund		0.1548%		0.2448%		0.3448%		0.3448%		None
RetireSMART 2050 Fund		0.1446%		0.2346%		0.3346%		0.3346%		0.3846%

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. For the period January 1, 2013 through May 31, 2013, OppenheimerFunds Distributor, Inc. acted as a sub-distributor to each Fund. OppenheimerFunds Distributor, Inc. is an affiliate of the Distributor and an indirect majority-owned subsidiary of MassMutual.

59

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^#, interest expense, short sale dividend and loan expense, 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 S		Class Y		Class L		Class A		Class N
RetireSMART 2015 Fund*		0.23%		0.28%		0.38%		0.63%		None
RetireSMART 2025 Fund*		0.23%		0.28%		0.38%		0.63%		None
RetireSMART 2035 Fund*		0.23%		0.28%		0.38%		0.63%		None
RetireSMART 2045 Fund*		0.23%		0.28%		0.38%		0.63%		None
RetireSMART 2050 Fund*		0.23%		0.28%		0.38%		0.63%		0.93%

# Acquired Fund fees and expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles.

* Expense caps effective June 1, 2013 through March 31, 2014.

Prior to June 1, 2013, the expense caps were as follows:

	Class S		Class Y		Class L		Class A		Class N
RetireSMART 2015 Fund		0.10%		0.15%		0.25%		0.50%		None
RetireSMART 2025 Fund		0.10%		0.15%		0.25%		0.50%		None
RetireSMART 2035 Fund		0.10%		0.15%		0.25%		0.50%		None
RetireSMART 2045 Fund		0.10%		0.15%		0.25%		0.50%		None
RetireSMART 2050 Fund		0.10%		0.15%		0.25%		0.50%		0.80%

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, short sale dividend and loan expense, 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, 2014.

For the period January 1, 2013 through March 31, 2013, MassMutual had voluntarily agreed to waive administrative and shareholder service fees of each class of RetireSMART In Retirement Fund, RetireSMART 2010 Fund, RetireSMART 2020 Fund, RetireSMART 2030 Fund, and RetireSMART 2040 Fund to the extent that Acquired Fund fees and expenses would otherwise exceed 0.56%, 0.58%, 0.64%, 0.67%, and 0.68%, respectively.

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.

60

Notes to Financial Statements (Unaudited) (Continued)

The following table shows beneficial ownership of Funds’ shares by affiliated parties at June 30, 2013:

	Total % of Ownership by Related Party
RetireSMART Conservative Fund		94.9	%
RetireSMART Moderate Fund		94.0	%
RetireSMART Moderate Growth Fund		95.3	%
RetireSMART Growth Fund		89.2	%
RetireSMART In Retirement Fund		63.9	%
RetireSMART 2010 Fund		75.4	%
RetireSMART 2015 Fund		81.1	%
RetireSMART 2020 Fund		80.2	%
RetireSMART 2025 Fund		73.2	%
RetireSMART 2030 Fund		80.5	%
RetireSMART 2035 Fund		74.8	%
RetireSMART 2040 Fund		82.8	%
RetireSMART 2045 Fund		74.4	%
RetireSMART 2050 Fund		83.4	%

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, 2013, 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	$	-	$	42,918,321	$	-	$	54,606,258
RetireSMART Moderate Fund		-		79,925,023		-		104,046,969
RetireSMART Moderate Growth Fund		-		62,272,885		-		90,563,526
RetireSMART Growth Fund		-		22,438,946		-		19,049,473
RetireSMART In Retirement Fund		-		17,518,999		-		24,988,462
RetireSMART 2010 Fund		-		22,023,855		-		25,296,171
RetireSMART 2015 Fund		-		9,271,206		-		3,605,367
RetireSMART 2020 Fund		-		102,501,580		-		96,839,226
RetireSMART 2025 Fund		-		12,230,176		-		2,346,546
RetireSMART 2030 Fund		-		92,724,155		-		78,314,277
RetireSMART 2035 Fund		-		8,445,718		-		1,933,530
RetireSMART 2040 Fund		-		62,502,882		-		54,412,236
RetireSMART 2045 Fund		-		4,678,003		-		1,473,290
RetireSMART 2050 Fund		-		24,544,782		-		11,544,319

61

Notes to Financial Statements (Unaudited) (Continued)

5. Capital Share Transactions

Changes in shares outstanding for each Fund were as follows:

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
RetireSMART Conservative Fund Class S
Sold		130,724		$	1,344,144			354,137		$	3,586,850
Issued as reinvestment of dividends		-			-			11,476			116,693
Redeemed		(301,809	)		(3,126,072	)		(102,340	)		(1,039,973	)
Net increase (decrease)		(171,085	)	$	(1,781,928	)		263,273		$	2,663,570
RetireSMART Conservative Fund Class Y
Sold		146,612		$	1,525,579			88,854		$	904,157
Issued as reinvestment of dividends		-			-			12,656			128,672
Redeemed		(67,992	)		(707,208	)		(71,709	)		(726,557	)
Net increase (decrease)		78,620		$	818,371			29,801		$	306,272
RetireSMART Conservative Fund Class L
Sold		498,101		$	5,155,714			1,492,776		$	15,181,488
Issued as reinvestment of dividends		-			-			299,133			3,040,683
Redeemed		(777,887	)		(8,049,313	)		(4,577,599	)		(45,331,057	)
Net increase (decrease)		(279,786	)	$	(2,893,599	)		(2,785,690	)	$	(27,108,886	)
RetireSMART Conservative Fund Class A
Sold		1,376,545		$	14,206,023			1,608,720		$	16,179,958
Issued as reinvestment of dividends		-			-			633,131			6,434,894
Redeemed		(2,086,549	)		(21,554,689	)		(3,239,815	)		(32,752,014	)
Net increase (decrease)		(710,004	)	$	(7,348,666	)		(997,964	)	$	(10,137,162	)
RetireSMART Moderate Fund Class S
Sold		163,463		$	1,724,104			311,599		$	3,123,661
Issued as reinvestment of dividends		-			-			8,618			88,532
Redeemed		(13,983	)		(148,989	)		(72,032	)		(743,450	)
Net increase (decrease)		149,480		$	1,575,115			248,185		$	2,468,743
RetireSMART Moderate Fund Class Y
Sold		404,007		$	4,394,152			279,334		$	2,827,227
Issued as reinvestment of dividends		-			-			17,692			181,581
Redeemed		(194,698	)		(2,101,020	)		(210,575	)		(2,154,747	)
Net increase (decrease)		209,309		$	2,293,132			86,451		$	854,061
RetireSMART Moderate Fund Class L
Sold		1,431,082		$	15,408,638			2,524,232		$	25,473,075
Issued as reinvestment of dividends		-			-			593,359			6,087,259
Redeemed		(1,520,133	)		(16,329,747	)		(3,918,068	)		(39,294,733	)
Net increase (decrease)		(89,051	)	$	(921,109	)		(800,477	)	$	(7,734,399	)
RetireSMART Moderate Fund Class A
Sold		856,281		$	9,174,523			2,313,288		$	23,048,531
Issued as reinvestment of dividends		-			-			1,247,678			12,786,875
Redeemed		(3,296,958	)		(35,286,010	)		(10,514,004	)		(106,016,315	)
Net increase (decrease)		(2,440,677	)	$	(26,111,487	)		(6,953,038	)	$	(70,180,909	)

62

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
RetireSMART Moderate Growth Fund Class S
Sold		109,744		$	1,181,883			744,185		$	7,650,672
Issued as reinvestment of dividends		-			-			28,903			297,690
Redeemed		(716,215	)		(7,852,955	)		(97,326	)		(987,195	)
Net increase (decrease)		(606,471	)	$	(6,671,072	)		675,762		$	6,961,167
RetireSMART Moderate Growth Fund Class Y
Sold		322,039		$	3,626,543			63,705		$	641,939
Issued as reinvestment of dividends		-			-			7,206			74,199
Redeemed		(17,771	)		(197,702	)		(92,532	)		(946,741	)
Net increase (decrease)		304,268		$	3,428,841			(21,621	)	$	(230,603	)
RetireSMART Moderate Growth Fund Class L
Sold		706,849		$	7,789,872			1,932,476		$	19,446,495
Issued as reinvestment of dividends		-			-			462,543			4,763,970
Redeemed		(1,032,701	)		(11,444,232	)		(3,820,837	)		(38,011,238	)
Net increase (decrease)		(325,852	)	$	(3,654,360	)		(1,425,818	)	$	(13,800,773	)
RetireSMART Moderate Growth Fund Class A
Sold		449,479		$	4,927,602			1,736,446		$	17,281,202
Issued as reinvestment of dividends		-			-			910,242			9,361,671
Redeemed		(2,332,007	)		(25,586,966	)		(6,621,101	)		(66,544,185	)
Net increase (decrease)		(1,882,528	)	$	(20,659,364	)		(3,974,413	)	$	(39,901,312	)
RetireSMART Growth Fund Class S
Sold		15,645		$	172,653			164,685		$	1,663,833
Issued as reinvestment of dividends		-			-			4,620			47,990
Redeemed		(5,846	)		(63,231	)		(15,522	)		(158,699	)
Net increase (decrease)		9,799		$	109,422			153,783		$	1,553,124
RetireSMART Growth Fund Class Y
Sold		100,934		$	1,156,672			-		$	-
Issued as reinvestment of dividends		-			-			440			4,534
Redeemed		(625	)		(7,117	)		-			-
Net increase (decrease)		100,309		$	1,149,555			440		$	4,534
RetireSMART Growth Fund Class L
Sold		446,034		$	4,897,298			767,221		$	7,759,992
Issued as reinvestment of dividends		-			-			103,209			1,062,399
Redeemed		(299,314	)		(3,346,061	)		(709,698	)		(7,140,056	)
Net increase (decrease)		146,720		$	1,551,237			160,732		$	1,682,335
RetireSMART Growth Fund Class A
Sold		591,624		$	6,555,787			1,060,743		$	10,801,657
Issued as reinvestment of dividends		-			-			171,533			1,763,074
Redeemed		(522,421	)		(5,820,688	)		(875,016	)		(8,794,398	)
Net increase (decrease)		69,203		$	735,099			357,260		$	3,770,333
RetireSMART In Retirement Fund Class S
Sold		430,166		$	4,586,945			1,476,999		$	15,212,190
Issued as reinvestment of dividends		-			-			71,614			729,752
Redeemed		(291,074	)		(3,111,576	)		(820,640	)		(8,444,310	)
Net increase (decrease)		139,092		$	1,475,369			727,973		$	7,497,632

63

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
RetireSMART In Retirement Fund Class Y
Sold		181,224		$	1,919,306			254,884		$	2,608,974
Issued as reinvestment of dividends		-			-			39,432			402,201
Redeemed		(64,458	)		(687,360	)		(1,075,297	)		(11,090,279	)
Net increase (decrease)		116,766		$	1,231,946			(780,981	)	$	(8,079,104	)
RetireSMART In Retirement Fund Class L
Sold		239,903		$	2,570,339			402,605		$	4,114,849
Issued as reinvestment of dividends		-			-			86,393			881,208
Redeemed		(791,521	)		(8,497,102	)		(933,709	)		(9,646,930	)
Net increase (decrease)		(551,618	)	$	(5,926,763	)		(444,711	)	$	(4,650,873	)
RetireSMART In Retirement Fund Class A
Sold		85,712		$	910,397			250,496		$	2,551,378
Issued as reinvestment of dividends		-			-			61,296			620,933
Redeemed		(472,906	)		(4,968,805	)		(845,524	)		(8,558,606	)
Net increase (decrease)		(387,194	)	$	(4,058,408	)		(533,732	)	$	(5,386,295	)
RetireSMART In Retirement Fund Class N
Sold		108		$	1,138			1,228		$	12,558
Issued as reinvestment of dividends		-			-			30			306
Redeemed		(1,803	)		(19,342	)		(764	)		(7,887	)
Net increase (decrease)		(1,695	)	$	(18,204	)		494		$	4,977
RetireSMART 2010 Fund Class S
Sold		614,389		$	6,837,165			3,292,122		$	34,776,009
Issued as reinvestment of dividends		-			-			139,044			1,455,787
Redeemed		(478,533	)		(5,323,044	)		(1,542,623	)		(16,403,596	)
Net increase (decrease)		135,856		$	1,514,121			1,888,543		$	19,828,200
RetireSMART 2010 Fund Class Y
Sold		204,322		$	2,286,795			392,845		$	4,123,079
Issued as reinvestment of dividends		-			-			18,230			190,868
Redeemed		(114,773	)		(1,285,671	)		(2,302,563	)		(24,219,317	)
Net increase (decrease)		89,549		$	1,001,124			(1,891,488	)	$	(19,905,370	)
RetireSMART 2010 Fund Class L
Sold		153,145		$	1,714,767			388,778		$	4,056,883
Issued as reinvestment of dividends		-			-			27,675			289,205
Redeemed		(394,777	)		(4,441,202	)		(470,208	)		(4,931,902	)
Net increase (decrease)		(241,632	)	$	(2,726,435	)		(53,755	)	$	(585,814	)
RetireSMART 2010 Fund Class A
Sold		143,252		$	1,583,024			347,843		$	3,601,294
Issued as reinvestment of dividends		-			-			51,395			534,506
Redeemed		(379,059	)		(4,168,379	)		(705,859	)		(7,335,595	)
Net increase (decrease)		(235,807	)	$	(2,585,355	)		(306,621	)	$	(3,199,795	)
RetireSMART 2010 Fund Class N
Sold		4,635		$	50,835			24,670		$	257,250
Issued as reinvestment of dividends		-			-			2,642			27,288
Redeemed		(30,720	)		(339,355	)		(30,813	)		(324,419	)
Net increase (decrease)		(26,085	)	$	(288,520	)		(3,501	)	$	(39,881	)

64

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
RetireSMART 2015 Fund Class S
Sold		364,657		$	4,185,213			398,546		$	4,440,036
Issued as reinvestment of dividends		-			-			22,377			247,507
Redeemed		(107,729	)		(1,252,028	)		(102,943	)		(1,145,039	)
Net increase (decrease)		256,928		$	2,933,185			317,980		$	3,542,504
RetireSMART 2015 Fund Class Y
Sold		5,222		$	61,157			11,282		$	120,054
Issued as reinvestment of dividends		-			-			530			5,863
Redeemed		-			-			(32,127	)		(350,835	)
Net increase (decrease)		5,222		$	61,157			(20,315	)	$	(224,918	)
RetireSMART 2015 Fund Class L
Sold		179,519		$	2,068,427			30,439		$	342,337
Issued as reinvestment of dividends		-			-			1,860			20,532
Redeemed		(27,432	)		(317,757	)		(13,373	)		(147,225	)
Net increase (decrease)		152,087		$	1,750,670			18,926		$	215,644
RetireSMART 2015 Fund Class A
Sold		134,420		$	1,515,606			134,036		$	1,475,988
Issued as reinvestment of dividends		-			-			4,176			45,976
Redeemed		(51,050	)		(584,700	)		(96,651	)		(1,081,225	)
Net increase (decrease)		83,370		$	930,906			41,561		$	440,739
RetireSMART 2020 Fund Class S
Sold		2,616,918		$	28,989,723			7,532,408		$	76,514,676
Issued as reinvestment of dividends		-			-			346,488			3,509,924
Redeemed		(923,647	)		(10,241,248	)		(3,100,563	)		(31,982,316	)
Net increase (decrease)		1,693,271		$	18,748,475			4,778,333		$	48,042,284
RetireSMART 2020 Fund Class Y
Sold		1,017,256		$	11,426,511			1,424,319		$	14,392,175
Issued as reinvestment of dividends		-			-			39,844			403,625
Redeemed		(334,112	)		(3,665,725	)		(5,285,235	)		(53,489,521	)
Net increase (decrease)		683,144		$	7,760,786			(3,821,072	)	$	(38,693,721	)
RetireSMART 2020 Fund Class L
Sold		979,655		$	10,923,707			1,702,872		$	17,206,054
Issued as reinvestment of dividends		-			-			165,914			1,680,708
Redeemed		(2,448,373	)		(27,643,259	)		(2,203,095	)		(22,406,757	)
Net increase (decrease)		(1,468,718	)	$	(16,719,552	)		(334,309	)	$	(3,519,995	)
RetireSMART 2020 Fund Class A
Sold		662,358		$	7,279,466			1,352,728		$	13,508,711
Issued as reinvestment of dividends		-			-			137,240			1,379,255
Redeemed		(905,373	)		(9,922,899	)		(2,175,730	)		(21,630,757	)
Net increase (decrease)		(243,015	)	$	(2,643,433	)		(685,762	)	$	(6,742,791	)
RetireSMART 2020 Fund Class N
Sold		18,225		$	196,422			65,371		$	654,268
Issued as reinvestment of dividends		-			-			4,710			46,816
Redeemed		(93,275	)		(1,032,050	)		(40,158	)		(397,928	)
Net increase (decrease)		(75,050	)	$	(835,628	)		29,923		$	303,156

65

Notes to Financial Statements (Unaudited) (Continued)

		Six Months Ended June 30, 2013						Year Ended December 31, 2012
		Shares			Amount			Shares			Amount
RetireSMART 2025 Fund Class S
Sold			448,663		$	5,224,707			106,114		$	1,162,429
Issued as reinvestment of dividends			-			-			8,019			88,150
Redeemed			(60,321	)		(702,844	)		(5,418	)		(60,486	)
Net increase (decrease)			388,342		$	4,521,863			108,715		$	1,190,093
RetireSMART 2025 Fund Class Y
Sold			21,298		$	253,506			6,772		$	72,234
Issued as reinvestment of dividends			-			-			789			8,676
Redeemed			(46	)		(536	)		(1,992	)		(21,456	)
Net increase (decrease)			21,252		$	252,970			5,569		$	59,454
RetireSMART 2025 Fund Class L
Sold			345,995		$	4,081,999			124,649		$	1,340,725
Issued as reinvestment of dividends			-			-			5,080			55,756
Redeemed			(18,068	)		(214,740	)		(31,043	)		(333,711	)
Net increase (decrease)			327,927		$	3,867,259			98,686		$	1,062,770
RetireSMART 2025 Fund Class A
Sold			139,941		$	1,603,683			97,512		$	1,050,422
Issued as reinvestment of dividends			-			-			5,711			62,533
Redeemed			(30,359	)		(351,688	)		(26,834	)		(294,739	)
	��
Net increase (decrease)			109,582		$	1,251,995			76,389		$	818,216
RetireSMART 2030 Fund Class S
Sold			2,827,530		$	31,927,155			6,716,484		$	68,243,752
Issued as reinvestment of dividends			-			-			251,190			2,547,064
Redeemed			(731,842	)		(8,251,420	)		(2,666,285	)		(27,562,045	)
Net increase (decrease)			2,095,688		$	23,675,735			4,301,389		$	43,228,771
RetireSMART 2030 Fund Class Y
Sold			897,227		$	10,258,708			1,310,119		$	13,327,355
Issued as reinvestment of dividends			-			-			35,739			362,031
Redeemed			(231,141	)		(2,589,083	)		(4,261,636	)		(43,128,443	)
Net increase (decrease)			666,086		$	7,669,625			(2,915,778	)	$	(29,439,057	)
RetireSMART 2030 Fund Class L
Sold			721,008		$	8,127,989			1,472,552		$	14,910,491
Issued as reinvestment of dividends			-			-			107,673			1,091,807
Redeemed			(2,017,391	)		(23,258,870	)		(2,287,431	)		(23,384,077	)
Net increase (decrease)			(1,296,383	)	$	(15,130,881	)		(707,206	)	$	(7,381,779	)
RetireSMART 2030 Fund Class A
Sold			521,609		$	5,805,120			1,331,591		$	13,249,708
Issued as reinvestment of dividends			-			-			88,528			890,590
Redeemed			(614,622	)		(6,822,370	)		(1,775,111	)		(17,769,450	)
Net increase (decrease)			(93,013	)	$	(1,017,250	)		(354,992	)	$	(3,629,152	)
RetireSMART 2030 Fund Class N
Sold			21,636		$	237,127			80,261		$	805,175
Issued as reinvestment of dividends			-			-			4,077			40,563
Redeemed			(44,049	)		(496,435	)		(89,803	)		(897,784	)
Net increase (decrease)			(22,413	)	$	(259,308	)		(5,465	)	$	(52,046	)

66

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
RetireSMART 2035 Fund Class S
Sold		254,818		$	3,008,640			89,403		$	988,815
Issued as reinvestment of dividends		-			-			7,558			83,241
Redeemed		(15,155	)		(177,592	)		(5,303	)		(58,349	)
Net increase (decrease)		239,663		$	2,831,048			91,658		$	1,013,707
RetireSMART 2035 Fund Class Y
Sold		33,322		$	402,738			11,776		$	124,696
Issued as reinvestment of dividends		-			-			980			10,789
Redeemed		(314	)		(3,601	)		(6,054	)		(65,574	)
Net increase (decrease)		33,008		$	399,137			6,702		$	69,911
RetireSMART 2035 Fund Class L
Sold		233,879		$	2,755,696			86,484		$	945,576
Issued as reinvestment of dividends		-			-			3,397			37,400
Redeemed		(59,899	)		(713,352	)		(15,240	)		(168,567	)
Net increase (decrease)		173,980		$	2,042,344			74,641		$	814,409
RetireSMART 2035 Fund Class A
Sold		130,110		$	1,493,672			82,054		$	885,954
Issued as reinvestment of dividends		-			-			4,599			50,455
Redeemed		(20,866	)		(244,050	)		(25,538	)		(279,513	)
Net increase (decrease)		109,244		$	1,249,622			61,115		$	656,896
RetireSMART 2040 Fund Class S
Sold		1,716,813		$	19,434,261			4,632,587		$	47,178,853
Issued as reinvestment of dividends		-			-			147,928			1,505,903
Redeemed		(628,652	)		(7,077,909	)		(1,717,494	)		(17,862,189	)
Net increase (decrease)		1,088,161		$	12,356,352			3,063,021		$	30,822,567
RetireSMART 2040 Fund Class Y
Sold		774,128		$	8,904,715			864,684		$	8,850,980
Issued as reinvestment of dividends		-			-			13,754			139,876
Redeemed		(168,302	)		(1,914,399	)		(2,212,181	)		(22,516,163	)
Net increase (decrease)		605,826		$	6,990,316			(1,333,743	)	$	(13,525,307	)
RetireSMART 2040 Fund Class L
Sold		669,920		$	7,596,381			773,635		$	7,849,725
Issued as reinvestment of dividends		-			-			55,897			569,031
Redeemed		(1,476,248	)		(17,138,949	)		(1,101,743	)		(11,348,437	)
Net increase (decrease)		(806,328	)	$	(9,542,568	)		(272,211	)	$	(2,929,681	)
RetireSMART 2040 Fund Class A
Sold		438,691		$	4,905,358			1,114,046		$	11,212,471
Issued as reinvestment of dividends		-			-			46,479			468,972
Redeemed		(556,451	)		(6,178,500	)		(1,299,995	)		(12,975,839	)
Net increase (decrease)		(117,760	)	$	(1,273,142	)		(139,470	)	$	(1,294,396	)
RetireSMART 2040 Fund Class N
Sold		19,970		$	220,587			47,024		$	470,751
Issued as reinvestment of dividends		-			-			3,003			30,005
Redeemed		(28,069	)		(315,501	)		(52,493	)		(520,967	)
Net increase (decrease)		(8,099	)	$	(94,914	)		(2,466	)	$	(20,211	)

67

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
RetireSMART 2045 Fund Class S
Sold		208,702		$	2,415,363			57,163		$	626,691
Issued as reinvestment of dividends		-			-			6,580			71,560
Redeemed		(50,725	)		(598,415	)		(10,029	)		(106,692	)
Net increase (decrease)		157,977		$	1,816,948			53,714		$	591,559
RetireSMART 2045 Fund Class Y
Sold		7,132		$	85,765			1,693		$	17,991
Issued as reinvestment of dividends		-			-			640			6,946
Redeemed		(3,216	)		(37,638	)		(2,890	)		(30,389	)
Net increase (decrease)		3,916		$	48,127			(557	)	$	(5,452	)
RetireSMART 2045 Fund Class L
Sold		42,716		$	494,679			33,990		$	367,702
Issued as reinvestment of dividends		-			-			1,735			18,841
Redeemed		(10,416	)		(122,913	)		(21,798	)		(235,359	)
Net increase (decrease)		32,300		$	371,766			13,927		$	151,184
RetireSMART 2045 Fund Class A
Sold		104,000		$	1,181,189			55,364		$	598,674
Issued as reinvestment of dividends		-			-			3,334			36,086
Redeemed		(17,588	)		(204,966	)		(20,189	)		(221,515	)
Net increase (decrease)		86,412		$	976,223			38,509		$	413,245
RetireSMART 2050 Fund Class S
Sold		1,148,597		$	10,459,390			3,300,842		$	27,823,243
Issued as reinvestment of dividends		-			-			194,786			1,654,856
Redeemed		(277,022	)		(2,521,209	)		(2,436,161	)		(20,713,140	)
Net increase (decrease)		871,575		$	7,938,181			1,059,467		$	8,764,959
RetireSMART 2050 Fund Class Y
Sold		304,732		$	2,764,510			583,087		$	4,925,771
Issued as reinvestment of dividends		-			-			21,973			186,887
Redeemed		(51,741	)		(474,407	)		(1,000,254	)		(8,366,599	)
Net increase (decrease)		252,991		$	2,290,103			(395,194	)	$	(3,253,941	)
RetireSMART 2050 Fund Class L
Sold		200,982		$	1,811,149			239,053		$	2,001,311
Issued as reinvestment of dividends		-			-			16,920			143,322
Redeemed		(74,892	)		(695,479	)		(211,218	)		(1,793,983	)
Net increase (decrease)		126,090		$	1,115,670			44,755		$	350,650
RetireSMART 2050 Fund Class A
Sold		304,001		$	2,753,428			445,063		$	3,703,248
Issued as reinvestment of dividends		-			-			50,398			425,692
Redeemed		(129,551	)		(1,156,371	)		(203,260	)		(1,693,553	)
Net increase (decrease)		174,450		$	1,597,057			292,201		$	2,435,387
RetireSMART 2050 Fund Class N
Sold		21,602		$	195,109			52,830		$	441,151
Issued as reinvestment of dividends		-			-			9,823			82,891
Redeemed		(10,933	)		(98,458	)		(23,286	)		(197,747	)
Net increase (decrease)		10,669		$	96,651			39,367		$	326,295

68

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, 2013, 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. There were no contingent deferred sales charges imposed during the period ended June 30, 2013.

6. Federal Income Tax Information

At June 30, 2013, 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	$	231,648,268	$	9,207,908	$	(6,674,602	)	$	2,533,306
RetireSMART Moderate Fund		450,428,468		36,886,731		(11,406,435	)		25,480,296
RetireSMART Moderate Growth Fund		331,191,408		37,024,428		(7,624,293	)		29,400,135
RetireSMART Growth Fund		78,227,322		8,968,341		(1,517,868	)		7,450,473
RetireSMART In Retirement Fund		83,838,182		4,367,951		(2,538,921	)		1,829,030
RetireSMART 2010 Fund		101,322,893		6,754,952		(2,803,310	)		3,951,642
RetireSMART 2015 Fund		13,342,195		427,360		(285,490	)		141,870
RetireSMART 2020 Fund		389,978,335		40,152,210		(9,671,583	)		30,480,627
RetireSMART 2025 Fund		15,302,424		494,623		(194,173	)		300,450
RetireSMART 2030 Fund		337,830,891		40,531,857		(7,631,293	)		32,900,564
RetireSMART 2035 Fund		11,187,634		494,785		(138,474	)		356,311
RetireSMART 2040 Fund		219,375,701		25,749,276		(4,708,119	)		21,041,157
RetireSMART 2045 Fund		5,992,814		327,092		(65,634	)		261,458
RetireSMART 2050 Fund		59,247,580		5,535,125		(802,451	)		4,732,674

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, 2012, the following Fund(s) had available, for federal income tax purposes, unused capital losses:

	Expiring 2016		Expiring 2017		Expiring 2018
RetireSMART In Retirement Fund	$	-	$	23,999,250	$	-
RetireSMART 2010 Fund		1,229,693		27,127,749		865,289
RetireSMART 2020 Fund		-		60,772,791		11,128,973
RetireSMART 2030 Fund		-		43,906,496		12,679,147
RetireSMART 2040 Fund		-		24,107,281		4,612,337

69

Notes to Financial Statements (Unaudited) (Continued)

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.

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, 2012, was as follows:

	Ordinary Income		Long Term Capital Gain		Return of Capital
RetireSMART Conservative Fund	$	5,980,502	$	3,740,440	$	-
RetireSMART Moderate Fund		9,640,143		9,504,104		-
RetireSMART Moderate Growth Fund		5,582,791		8,914,739		-
RetireSMART Growth Fund		976,288		1,901,709		-
RetireSMART In Retirement Fund		2,636,922		-		-
RetireSMART 2010 Fund		2,497,654		-		-
RetireSMART 2015 Fund		210,419		109,459		-
RetireSMART 2020 Fund		7,020,328		-		-
RetireSMART 2025 Fund		95,085		120,030		-
RetireSMART 2030 Fund		4,932,055		-		-
RetireSMART 2035 Fund		75,322		106,563		-
RetireSMART 2040 Fund		2,713,787		-		-
RetireSMART 2045 Fund		36,217		97,216		-
RetireSMART 2050 Fund		693,360		1,800,288		-

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, 2012, temporary book and tax accounting differences were primarily attributable to the deferral of wash sale losses and deferred Trustee compensation.

At December 31, 2012, 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 Conservative Fund	$	149,759	$	2,287,376		$	(9,697	)	$	812,632
RetireSMART Moderate Fund		140,669		6,860,074			(20,126	)		5,962,008
RetireSMART Moderate Growth Fund		-		6,642,350			(14,661	)		4,736,912
RetireSMART Growth Fund		35,168		1,595,000			(2,706	)		789,868
RetireSMART In Retirement Fund		2,131,757		(23,999,250	)		(36,478	)		(249,644	)
RetireSMART 2010 Fund		2,462,320		(29,222,731	)		(32,624	)		(1,632,501	)
RetireSMART 2015 Fund		85,525		95,753			(226	)		17,037
RetireSMART 2020 Fund		7,574,434		(71,901,764	)		(101,482	)		(7,882,450	)
RetireSMART 2025 Fund		10,328		81,019			(198	)		87,250
RetireSMART 2030 Fund		5,651,967		(56,585,643	)		(78,675	)		(5,314,510	)
RetireSMART 2035 Fund		4,207		79,318			(178	)		59,284
RetireSMART 2040 Fund		3,424,831		(28,719,618	)		(47,036	)		(4,789,757	)
RetireSMART 2045 Fund		359		58,905			(131	)		33,492
RetireSMART 2050 Fund		104,251		1,195,594			(4,248	)		4,266

70

Notes to Financial Statements (Unaudited) (Continued)

The Funds did not have any unrecognized tax benefits at June 30, 2013, 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, 2013, 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. Investment in Affiliated Issuers

A summary of the Funds’ transactions in the securities of affiliated issuers during the period ended June 30, 2013, was as follows:

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 6/30/13		Value as of 6/30/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART Conservative Fund
MassMutual Premier Core Bond Fund, Class Z		5,643,795		589,241		688,792		5,544,244	$	61,929,208	$	-	$	-	$	44,215
MassMutual Premier Disciplined Growth Fund, Class S		796,457		86,214		157,445		725,226		8,898,524		-		-		381,835
MassMutual Premier Disciplined Value Fund, Class S		775,096		66,172		143,584		697,684		9,104,779		-		-		328,417
MassMutual Premier Focused International Fund, Class Z		89,486		8,914		41,426		56,974		665,452		-		-		21,720
MassMutual Premier High Yield Fund, Class Z		653,388		9,285		212,818		449,855		4,408,575		-		-		208,437
MassMutual Premier Inflation-Protected and Income Fund, Class Z		1,533,585		86,477		282,578		1,337,484		14,605,325		-		-		125,461
MassMutual Premier International Bond Fund, Class S		1,070,888		46,384		175,974		941,298		8,829,376		-		-		(143,923	)
MassMutual Premier International Equity Fund, Class S		186,673		15,294		85,040		116,927		1,669,717		-		-		(23,247	)
MassMutual Premier Money Market Fund, Class S		1,069,861		2,658,803		21,800		3,706,864		3,706,864		37		-		-
MassMutual Premier Short-Duration Bond Fund, Class Z		3,776,335		606,811		410,844		3,972,302		41,709,171		-		-		(112,702	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		335,971		32,969		43,205		325,735		3,583,087		-		-		(158,572	)
MassMutual Select Blue Chip Growth Fund, Class S		126,969		10,877		22,600		115,246		1,649,166		-		-		46,689
MassMutual Select Diversified International Fund, Class S		401,189		30,742		151,723		280,208		1,866,186		-		-		(641	)
MassMutual Select Diversified Value Fund, Class S		158,602		13,059		29,780		141,881		1,669,936		-		-		62,686
MassMutual Select Focused Value Fund, Class Z		289,335		17,413		64,331		242,417		5,464,071		-		-		229,705
MassMutual Select Fundamental Growth Fund, Class S		244,515		22,113		43,902		222,726		1,661,533		-		-		34,945
MassMutual Select Fundamental Value Fund, Class Z		163,012		13,686		31,030		145,668		1,922,823		-		-		98,099
MassMutual Select Growth Opportunities Fund, Class Z		156,589		12,385		26,193		142,781		1,390,690		-		-		25,202
MassMutual Select Large Cap Value Fund, Class S		147,508		12,627		27,609		132,526		1,191,410		-		-		(44,530	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		140,627		11,037		44,063		107,601		1,851,814		-		-		13,882
MassMutual Select Mid-Cap Value Fund, Class Z		282,145		22,263		172,731		131,677		1,664,393		-		-		287,922
MassMutual Select Overseas Fund, Class Z		882,172		67,755		257,998		691,929		5,438,565		-		-		132,473
MassMutual Select PIMCO Total Return Fund, Class Z		1,281,906		106,307		159,265		1,228,948		12,596,721		-		-		41,770
MassMutual Select Small Cap Growth Equity Fund, Class Z		78,309		6,058		18,582		65,785		1,202,554		-		-		7,839
MassMutual Select Small Cap Value Equity Fund, Class S		153,764		8,770		37,096		125,438		1,566,716		-		-		111,765
MassMutual Select Small Company Growth Fund, Class S		77,061		8,246		23,113		62,194		784,265		-		-		41,269
MassMutual Select Small Company Value Fund, Class Z		33,957		6,954		16,490		24,421		389,278		-		-		35,815
MassMutual Select Strategic Bond Fund, Class S		1,125,921		87,737		162,574		1,051,084		10,573,901		-		-		73,224

71

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 6/30/13		Value as of 6/30/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART Conservative Fund (Continued)
MM MSCI EAFE International Index Fund, Class Z		391,572		151,040		26,877		515,735	$	6,291,969	$	-	$	-	$	31,851
MM Russell 2000 Small Cap Index Fund, Class Z		173,997		27,036		55,208		145,825		1,849,059		-		-		60,458
MM S&P Mid Cap Index Fund, Class Z		175,245		94,040		23,362		245,923		3,108,471		-		-		33,242
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		1,518,194		303,309		1,214,885		3,596,060		-		-		(27,747	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		1,504,579		171,373		1,675,952		-		-		-		-		(485,834	)
Oppenheimer Developing Markets Fund, Class I*		-		88,951		7,767		81,184		2,726,955		-		-		2,977
Oppenheimer Developing Markets Fund, Class Y*		64,548		6,413		70,961		-		-		-		-		789,683
Oppenheimer Global Real Estate Fund, Class I*		-		70,112		878		69,234		673,644		4,341		-		207
Oppenheimer International Bond Fund, Class I*		-		222,862		-		222,862		1,355,003		12,064		-		-
Oppenheimer Real Estate Fund, Class I*		-		142,496		33,461		109,035		2,586,313		22,390		-		(10,355	)
Oppenheimer Real Estate Fund, Class Y*		166,004		1,527		167,531		-		-		9,542		-		256,076
									$	234,181,574	$	48,374	$	-	$	2,520,313
RetireSMART Moderate Fund
MassMutual Premier Core Bond Fund, Class Z		6,760,846		593,859		542,437		6,812,268	$	76,093,039	$	-	$	-	$	26,746
MassMutual Premier Disciplined Growth Fund, Class S		2,583,457		119,891		262,695		2,440,653		29,946,807		-		-		646,407
MassMutual Premier Disciplined Value Fund, Class S		2,515,149		64,967		232,541		2,347,575		30,635,859		-		-		536,480
MassMutual Premier Focused International Fund, Class Z		366,860		30,598		104,651		292,807		3,419,986		-		-		17,281
MassMutual Premier High Yield Fund, Class Z		1,293,402		8,905		352,490		949,817		9,308,209		-		-		335,300
MassMutual Premier Inflation-Protected and Income Fund, Class Z		1,710,939		121,921		373,650		1,459,210		15,934,568		-		-		160,186
MassMutual Premier International Bond Fund, Class S		1,422,424		31,663		175,781		1,278,306		11,990,508		-		-		(142,389	)
MassMutual Premier International Equity Fund, Class S		765,900		26,838		210,182		582,556		8,318,907		-		-		(124,562	)
MassMutual Premier Money Market Fund, Class S		310,902		1,528,145		3,200		1,835,847		1,835,847		39		-		-
MassMutual Premier Short-Duration Bond Fund, Class Z		3,174,746		1,085,526		258,077		4,002,195		42,023,043		-		-		(70,682	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		974,626		54,790		91,153		938,263		10,320,889		-		-		(334,270	)
MassMutual Select Blue Chip Growth Fund, Class S		664,012		43,323		82,342		624,993		8,943,651		-		-		272,699
MassMutual Select Diversified International Fund, Class S		1,647,934		46,980		403,181		1,291,733		8,602,944		-		-		(2,328	)
MassMutual Select Diversified Value Fund, Class S		828,923		32,439		92,034		769,328		9,054,986		-		-		193,935
MassMutual Select Focused Value Fund, Class Z		702,405		49,433		93,779		658,059		14,832,640		-		-		362,284
MassMutual Select Fundamental Growth Fund, Class S		1,278,767		73,478		144,539		1,207,706		9,009,487		-		-		139,941
MassMutual Select Fundamental Value Fund, Class Z		852,424		37,014		99,620		789,818		10,425,599		-		-		200,621
MassMutual Select Growth Opportunities Fund, Class Z		818,530		41,351		85,482		774,399		7,542,642		-		-		83,205
MassMutual Select Large Cap Value Fund, Class S		771,308		34,471		87,226		718,553		6,459,796		-		-		(162,713	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		604,535		18,918		131,716		491,737		8,462,796		-		-		(36,566	)
MassMutual Select Mid-Cap Value Fund, Class Z		1,225,032		38,172		445,094		818,110		10,340,916		-		-		703,306
MassMutual Select Overseas Fund, Class Z		3,568,619		110,346		685,128		2,993,837		23,531,562		-		-		356,547
MassMutual Select PIMCO Total Return Fund, Class Z		1,504,454		99,970		112,574		1,491,850		15,291,458		-		-		17,090
MassMutual Select Small Cap Growth Equity Fund, Class Z		340,306		20,972		73,258		288,020		5,265,000		-		-		136,031

72

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 6/30/13		Value as of 6/30/13		Dividend Income			Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART Moderate Fund (Continued)
MassMutual Select Small Cap Value Equity Fund, Class S		676,357		15,154		142,455		549,056	$	6,857,706	$	-		$	-	$	398,497
MassMutual Select Small Company Growth Fund, Class S		333,712		15,692		77,155		272,249		3,433,064		-			-		168,989
MassMutual Select Small Company Value Fund, Class Z		148,406		37,892		79,149		107,149		1,707,959		-			-		110,269
MassMutual Select Strategic Bond Fund, Class S		1,348,762		55,180		156,639		1,247,303		12,547,870		-			-		70,142
MM MSCI EAFE International Index Fund, Class Z		1,656,999		319,915		61,153		1,915,761		23,372,279		-			-		67,051
MM Russell 2000 Small Cap Index Fund, Class Z		761,554		43,624		171,067		634,111		8,040,523		-			-		187,973
MM S&P Mid Cap Index Fund, Class Z		797,682		202,904		97,972		902,614		11,409,040		-			-		139,426
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		4,050,056		542,941		3,507,115		10,381,061		-			-		(48,070	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		4,330,812		218,991		4,549,803		-		-		-			-		(1,773,021	)
Oppenheimer Developing Markets Fund, Class I*		-		249,922		12,492		237,430		7,975,268		-			-		492
Oppenheimer Developing Markets Fund, Class Y*		187,494		14,476		201,970		-		-		-			-		605,407
Oppenheimer Global Real Estate Fund, Class I*		-		230,264		3,421		226,843		2,207,179		14,223			-		804
Oppenheimer International Bond Fund, Class I*		-		295,616		-		295,616		1,797,346		16,249			-		-
Oppenheimer Real Estate Fund, Class I*		-		439,545		78,317		361,228		8,568,330		73,863			-		(26,314	)
Oppenheimer Real Estate Fund, Class Y*		480,678		3,961		484,639		-		-		29,095			-		2,312,105
									$	475,888,764	$	133,469		$	-	$	5,528,299
RetireSMART Moderate Growth Fund
MassMutual Premier Core Bond Fund, Class Z		1,334,931		257,401		137,665		1,454,667	$	16,248,635	$	-		$	-	$	6,963
MassMutual Premier Disciplined Growth Fund, Class S		2,265,878		128,592		254,944		2,139,526		26,251,987		-	��		-		617,289
MassMutual Premier Disciplined Value Fund, Class S		2,206,633		72,754		221,263		2,058,124		26,858,517		-			-		519,003
MassMutual Premier Focused International Fund, Class Z		407,077		35,862		108,585		334,354		3,905,250		-			-		9,846
MassMutual Premier High Yield Fund, Class Z		1,505,410		8,143		368,170		1,145,383		11,224,750		-			-		417,676
MassMutual Premier Inflation-Protected and Income Fund, Class Z		411,889		22,963		107,952		326,900		3,569,753		-			-		45,030
MassMutual Premier International Bond Fund, Class S		719,034		70,145		98,076		691,103		6,482,547		-			-		(75,109	)
MassMutual Premier International Equity Fund, Class S		849,679		33,134		221,733		661,080		9,440,218		-			-		(143,467	)
MassMutual Premier Money Market Fund, Class S		4,400		15,301		4,400		15,301		15,301		-	#		-		-
MassMutual Premier Short-Duration Bond Fund, Class Z		764,870		344,368		85,004		1,024,234		10,754,455		-			-		(23,219	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		981,635		33,269		112,763		902,141		9,923,556		-			-		(430,089	)
MassMutual Select Blue Chip Growth Fund, Class S		889,078		47,272		113,399		822,951		11,776,432		-			-		369,242
MassMutual Select Diversified International Fund, Class S		1,826,841		28,098		415,538		1,439,401		9,586,408		-			-		(25,940	)
MassMutual Select Diversified Value Fund, Class S		1,109,228		35,562		131,698		1,013,092		11,924,090		-			-		282,370
MassMutual Select Focused Value Fund, Class Z		500,996		60,762		69,862		491,896		11,087,335		-			-		267,232
MassMutual Select Fundamental Growth Fund, Class S		1,712,291		77,514		199,477		1,590,328		11,863,844		-			-		180,852
MassMutual Select Fundamental Value Fund, Class Z		1,141,567		36,926		138,305		1,040,188		13,730,481		-			-		278,819
MassMutual Select Growth Opportunities Fund, Class Z		1,096,096		48,376		124,788		1,019,684		9,931,726		-			-		118,665
MassMutual Select Large Cap Value Fund, Class S		1,034,048		30,232		118,004		946,276		8,507,021		-			-		(218,480	)

73

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 6/30/13		Value as of 6/30/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART Moderate Growth Fund (Continued)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		559,051		8,584		98,514		469,121		8,073,577	$	-	$	-	$	42,979
MassMutual Select Mid-Cap Value Fund, Class Z		1,139,874		17,237		345,322		811,789		10,261,015		-		-		555,396
MassMutual Select Overseas Fund, Class Z		3,912,737		59,643		687,027		3,285,353		25,822,874		-		-		331,710
MassMutual Select PIMCO Total Return Fund, Class Z		310,992		24,718		27,572		308,138		3,158,413		-		-		3,833
MassMutual Select Small Cap Growth Equity Fund, Class Z		416,719		18,672		81,560		353,831		6,468,024		-		-		49,399
MassMutual Select Small Cap Value Equity Fund, Class S		804,167		11,265		140,305		675,127		8,432,336		-		-		345,017
MassMutual Select Small Company Growth Fund, Class S		404,980		5,856		76,346		334,490		4,217,923		-		-		137,651
MassMutual Select Small Company Value Fund, Class Z		179,847		24,810		73,494		131,163		2,090,735		-		-		101,983
MassMutual Select Strategic Bond Fund, Class S		266,354		23,904		54,574		235,684		2,370,976		-		-		25,391
MM MSCI EAFE International Index Fund, Class Z		1,815,220		293,746		70,323		2,038,643		24,871,444		-		-		83,469
MM Russell 2000 Small Cap Index Fund, Class Z		917,289		55,429		185,086		787,632		9,987,175		-		-		191,608
MM S&P Mid Cap Index Fund, Class Z		746,751		170,210		79,363		837,598		10,587,235		-		-		114,039
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		4,221,696		594,050		3,627,646		10,737,833		-		-		(61,053	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		4,332,541		285,681		4,618,222		-		-		-		-		(1,630,521	)
Oppenheimer Developing Markets Fund, Class I*		-		248,149		7,505		240,644		8,083,233		-		-		(8,266	)
Oppenheimer Developing Markets Fund, Class Y*		188,534		12,199		200,733		-		-		-		-		630,785
Oppenheimer Global Real Estate Fund, Class I*		-		240,860		46		240,814		2,343,116		15,100		-		11
Oppenheimer International Bond Fund, Class I*		-		161,684		1,646		160,038		973,030		9,066		-		(49	)
Oppenheimer Real Estate Fund, Class I*		-		407,731		27,027		380,704		9,030,298		78,328		-		(27,277	)
Oppenheimer Real Estate Fund, Class Y*		454,863		3,247		458,110		-		-		27,454		-		2,129,799
									$	360,591,543	$	129,948	$	-	$	5,212,587
RetireSMART Growth Fund
MassMutual Premier Core Bond Fund, Class Z		50,214		25,684		24,882		51,016	$	569,844	$	-	$	-	$	(6,694	)
MassMutual Premier Disciplined Growth Fund, Class S		414,343		72,395		36,588		450,150		5,523,342		-		-		92,357
MassMutual Premier Disciplined Value Fund, Class S		403,639		61,090		31,785		432,944		5,649,923		-		-		77,682
MassMutual Premier Focused International Fund, Class Z		95,798		19,818		23,748		91,868		1,073,023		-		-		3,065
MassMutual Premier High Yield Fund, Class Z		45,855		1,036		39,970		6,921		67,821		-		-		37,082
MassMutual Premier Inflation-Protected and Income Fund, Class Z		21,008		1,478		22,215		271		2,958		-		-		(10,602	)
MassMutual Premier International Bond Fund, Class S		33,135		2,602		15,032		20,705		194,214		-		-		(3,799	)
MassMutual Premier International Equity Fund, Class S		199,626		30,302		48,722		181,206		2,587,616		-		-		(29,190	)
MassMutual Premier Short-Duration Bond Fund, Class Z		23,779		30,465		6,765		47,479		498,529		-		-		(1,994	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		242,862		32,861		22,533		253,190		2,785,092		-		-		(88,085	)
MassMutual Select Blue Chip Growth Fund, Class S		262,882		40,953		27,323		276,512		3,956,885		-		-		91,880
MassMutual Select Diversified International Fund, Class S		428,456		52,966		88,872		392,550		2,614,382		-		-		(692	)
MassMutual Select Diversified Value Fund, Class S		326,881		43,412		29,942		340,351		4,005,935		-		-		67,373
MassMutual Select Focused Value Fund, Class Z		112,349		21,665		16,564		117,450		2,647,326		-		-		63,819

74

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 6/30/13		Value as of 6/30/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART Growth Fund (Continued)
MassMutual Select Fundamental Growth Fund, Class S		506,237		75,130		47,073		534,294	$	3,985,833	$	-	$	-	$	47,349
MassMutual Select Fundamental Value Fund, Class Z		337,576		45,278		33,437		349,417		4,612,300		-		-		70,984
MassMutual Select Growth Opportunities Fund, Class Z		324,030		47,628		29,004		342,654		3,337,448		-		-		28,505
MassMutual Select Large Cap Value Fund, Class S		307,264		39,144		28,497		317,911		2,858,022		-		-		(50,757	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		134,596		15,966		20,607		129,955		2,236,525		-		-		(5,947	)
MassMutual Select Mid-Cap Value Fund, Class Z		274,773		31,057		75,354		230,476		2,913,223		-		-		125,331
MassMutual Select Overseas Fund, Class Z		918,135		105,576		132,622		891,089		7,003,957		-		-		69,567
MassMutual Select PIMCO Total Return Fund, Class Z		11,736		2,220		6,051		7,905		81,023		-		-		787
MassMutual Select Small Cap Growth Equity Fund, Class Z		102,634		14,523		15,612		101,545		1,856,237		-		-		(8,864	)
MassMutual Select Small Cap Value Equity Fund, Class S		184,805		34,786		26,016		193,575		2,417,753		-		-		65,078
MassMutual Select Small Company Growth Fund, Class S		93,956		13,538		11,491		96,003		1,210,604		-		-		21,440
MassMutual Select Small Company Value Fund, Class Z		44,353		10,200		16,804		37,749		601,713		-		-		35,718
MassMutual Select Strategic Bond Fund, Class S		10,036		1,793		9,231		2,598		26,135		-		-		3,582
MM MSCI EAFE International Index Fund, Class Z		424,995		129,750		8,315		546,430		6,666,442		-		-		9,164
MM Russell 2000 Small Cap Index Fund, Class Z		223,862		43,866		40,944		226,784		2,875,615		-		-		41,479
MM S&P Mid Cap Index Fund, Class Z		180,091		60,892		14,112		226,871		2,867,648		-		-		20,196
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		1,013,330		88,450		924,880		2,737,644		-		-		(8,643	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		918,623		121,265		1,039,888		-		-		-		-		(340,842	)
Oppenheimer Developing Markets Fund, Class I*		-		66,384		2,040		64,344		2,161,320		-		-		(1,882	)
Oppenheimer Developing Markets Fund, Class Y*		46,892		5,592		52,484		-		-		-		-		153,872
Oppenheimer Global Real Estate Fund, Class I*		-		63,835		-		63,835		621,113		4,003		-		-
Oppenheimer International Bond Fund, Class I*		-		8,654		-		8,654		52,617		400		-		-
Oppenheimer Real Estate Fund, Class I*		-		107,842		7,600		100,242		2,377,733		20,461		-		(6,551	)
Oppenheimer Real Estate Fund, Class Y*		101,851		8,514		110,365		-		-		7,008		-		475,841
									$	85,677,795	$	31,872	$	-	$	1,037,609
RetireSMART in Retirement Fund
MassMutual Premier Core Bond Fund, Class Z		1,510,480		173,128		221,008		1,462,600	$	16,337,236	$	-	$	-	$	6,489
MassMutual Premier Disciplined Growth Fund, Class S		359,720		40,888		83,123		317,485		3,895,544		-		-		512,601
MassMutual Premier Disciplined Value Fund, Class S		350,114		31,635		76,098		305,651		3,988,751		-		-		442,149
MassMutual Premier Focused International Fund, Class Z		38,186		3,690		18,226		23,650		276,229		-		-		5,984
MassMutual Premier High Yield Fund, Class Z		205,242		6,449		81,908		129,783		1,271,875		-		-		82,569
MassMutual Premier Inflation-Protected and Income Fund, Class Z		1,073,227		70,377		222,810		920,794		10,055,075		-		-		85,722
MassMutual Premier International Bond Fund, Class S		368,091		14,263		69,570		312,784		2,933,918		-		-		(15,073	)
MassMutual Premier International Equity Fund, Class S		79,719		6,643		31,510		54,852		783,290		-		-		15,654
MassMutual Premier Money Market Fund, Class S		450,062		1,038,441		4,900		1,483,603		1,483,603		36		-		-
MassMutual Premier Short-Duration Bond Fund, Class Z		1,405,960		222,772		190,777		1,437,955		15,098,531		-		-		(53,193	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		156,961		16,454		25,923		147,492		1,622,409		-		-		(103,403	)
MassMutual Select Blue Chip Growth Fund, Class S		55,813		5,451		12,434		48,830		698,760		-		-		27,168

75

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 6/30/13		Value as of 6/30/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART in Retirement Fund (Continued)
MassMutual Select Diversified International Fund, Class S		171,232		13,330		69,590		114,972	$	765,713	$	-	$	-	$	16,846
MassMutual Select Diversified Value Fund, Class S		69,590		5,721.00		15,179		60,132		707,756		-		-		33,685
MassMutual Select Focused Value Fund, Class Z		136,517		7,793		33,894		110,416		2,488,768		-		-		128,492
MassMutual Select Fundamental Growth Fund, Class S		107,486		11,023		24,113		94,396		704,196		-		-		21,848
MassMutual Select Fundamental Value Fund, Class Z		71,641		6,091		15,901		61,831		816,172		-		-		52,411
MassMutual Select Growth Opportunities Fund, Class Z		68,805		5,544		13,886		60,463		588,907		-		-		14,221
MassMutual Select Large Cap Value Fund, Class S		64,956		5,720		14,488		56,188		505,132		-		-		(27,757	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		55,998		4,545		18,680		41,863		720,459		-		-		19,486
MassMutual Select Mid-Cap Value Fund, Class Z		112,819		9,146		52,282		69,683		880,793		-		-		80,783
MassMutual Select Overseas Fund, Class Z		373,422		29,305		119,912		282,815		2,222,928		-		-		61,555
MassMutual Select PIMCO Total Return Fund, Class Z		342,162		30,655		50,760		322,057		3,301,086		-		-		4,741
MassMutual Select Small Cap Growth Equity Fund, Class Z		32,873		2,105		8,499		26,479		484,044		-		-		(1,931	)
MassMutual Select Small Cap Value Equity Fund, Class S		64,172		3,613		17,091		50,694		633,171		-		-		34,852
MassMutual Select Small Company Growth Fund, Class S		32,059		3,357		10,409		25,007		315,344		-		-		22,846
MassMutual Select Small Company Value Fund, Class Z		14,312		2,320		6,922		9,710		154,777		-		-		17,646
MassMutual Select Strategic Bond Fund, Class S		301,352		25,170		55,391		271,131		2,727,580		-		-		76,205
MM MSCI EAFE International Index Fund, Class Z		168,187		58,890		12,633		214,444		2,616,220		-		-		14,659
MM Russell 2000 Small Cap Index Fund, Class Z		73,379		7,786		18,828		62,337		790,430		-		-		21,236
MM S&P Mid Cap Index Fund, Class Z		72,019		19,857		10,339		81,537		1,030,622		-		-		15,108
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		746,255		202,829		543,426		1,608,541		-		-		(18,889	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		706,422		109,161		815,583		-		-		-		-		(112,201	)
Oppenheimer Developing Markets Fund, Class I*		-		42,348		5,381		36,967		1,241,736		-		-		1,804
Oppenheimer Developing Markets Fund, Class Y*		29,977		3,666		33,643		-		-		-		-		114,740
Oppenheimer Global Real Estate Fund, Class I*		-		33,104		499		32,605		317,251		9,782		-		117
Oppenheimer International Bond Fund, Class I*		-		78,316		-		78,316		476,164		6,322		-		-
Oppenheimer Real Estate Fund, Class I*		-		67,154		19,759		47,395		1,124,201		4,436		-		(8,956	)
Oppenheimer Real Estate Fund, Class Y*		77,805		1,563		79,368		-		-		-		-		526,906
									$	85,667,212	$	20,576	$	-	$	2,117,120
RetireSMART 2010 Fund
MassMutual Premier Core Bond Fund, Class Z		1,623,647		223,649		158,796		1,688,500	$	18,860,544	$	-	$	-	$	4,622
MassMutual Premier Disciplined Growth Fund, Class S		495,858		43,748		70,985		468,621		5,749,983		-		-		366,131
MassMutual Premier Disciplined Value Fund, Class S		482,805		33,277		65,261		450,821		5,883,208		-		-		320,079
MassMutual Premier Focused International Fund, Class Z		65,733		8,219		24,251		49,701		580,513		-		-		(1,266	)
MassMutual Premier High Yield Fund, Class Z		273,166		11,408		77,345		207,229		2,030,842		-		-		74,322
MassMutual Premier Inflation-Protected and Income Fund, Class Z		970,021		119,105		153,342		935,784		10,218,759		-		-		64,354
MassMutual Premier International Bond Fund, Class S		361,546		21,206		58,318		324,434		3,043,194		-		-		(22,007	)
MassMutual Premier International Equity Fund, Class S		137,351		12,339		50,108		99,582		1,422,035		-		-		12,230
MassMutual Premier Money Market Fund, Class S		136,776		636,923		-		773,699		773,699		21		-		-
MassMutual Premier Short-Duration Bond Fund, Class Z		972,616		235,343		93,890		1,114,069		11,697,728		-		-		(27,111	)

76

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 6/30/13		Value as of 6/30/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2010 Fund (Continued)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		179,232		22,880		22,027		180,085	$	1,980,940	$	-	$	-	$	(84,600	)
MassMutual Select Blue Chip Growth Fund, Class S		85,444		9,813		14,251		81,006		1,159,197		-		-		47,835
MassMutual Select Diversified International Fund, Class S		295,072		24,956		110,940		209,088		1,392,524		-		-		12,731
MassMutual Select Diversified Value Fund, Class S		106,373		10,294		16,944		99,723		1,173,736		-		-		35,229
MassMutual Select Focused Value Fund, Class Z		153,069		11,103		28,471		135,701		3,058,707		-		-		103,287
MassMutual Select Fundamental Growth Fund, Class S		164,530		17,390		25,375		156,545		1,167,828		-		-		23,128
MassMutual Select Fundamental Value Fund, Class Z		109,689		11,427		18,746		102,370		1,351,281		-		-		36,993
MassMutual Select Growth Opportunities Fund, Class Z		105,347		11,584		16,598		100,333		977,239		-		-		15,942
MassMutual Select Large Cap Value Fund, Class S		99,612		10,646		17,160		93,098		836,952		-		-		(39,082	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		114,082		9,455		31,967		91,570		1,575,922		-		-		15,447
MassMutual Select Mid-Cap Value Fund, Class Z		230,894		19,114		104,048		145,960		1,844,940		-		-		160,976
MassMutual Select Overseas Fund, Class Z		640,864		53,524		166,308		528,080		4,150,710		-		-		82,797
MassMutual Select PIMCO Total Return Fund, Class Z		370,078		39,826		39,125		370,779		3,800,488		-		-		4,075
MassMutual Select Small Cap Growth Equity Fund, Class Z		61,559		5,090		14,043		52,606		961,632		-		-		(1,806	)
MassMutual Select Small Cap Value Equity Fund, Class S		119,790		8,594		28,039		100,345		1,253,303		-		-		65,183
MassMutual Select Small Company Growth Fund, Class S		59,084		8,474		17,826		49,732		627,119		-		-		20,118
MassMutual Select Small Company Value Fund, Class Z		26,815		5,794		13,095		19,514		311,050		-		-		23,471
MassMutual Select Strategic Bond Fund, Class S		323,921		32,142		44,216		311,847		3,137,180		-		-		45,546
MM MSCI EAFE International Index Fund, Class Z		308,804		90,398		33,966		365,236		4,455,882		-		-		35,449
MM Russell 2000 Small Cap Index Fund, Class Z		143,449		14,971		40,121		118,299		1,500,030		-		-		43,295
MM S&P Mid Cap Index Fund, Class Z		157,144		49,731		29,618		177,257		2,240,529		-		-		42,590
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		808,361		136,240		672,121		1,989,479		-		-		(11,920	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		810,587		80,859		891,446		-		-		-		-		(111,337	)
Oppenheimer Developing Markets Fund, Class I*		-		50,741		3,431		47,310		1,589,154		-		-		1,434
Oppenheimer Developing Markets Fund, Class Y*		34,377		4,909		39,286		-		-		-		-		129,351
Oppenheimer Global Real Estate Fund, Class I*		-		41,955		435		41,520		403,991		2,602		-		102
Oppenheimer International Bond Fund, Class I*		-		92,638		1,600		91,038		553,512		4,770		-		(48	)
Oppenheimer Real Estate Fund, Class I*		-		85,042		20,931		64,111		1,520,705		13,116		-		(7,428	)
Oppenheimer Real Estate Fund, Class Y*		88,711		2,933		91,644		-		-		5,643		-		565,998
									$	105,274,535	$	26,152	$	-	$	2,046,110
RetireSMART 2015 Fund
MassMutual Premier Core Bond Fund, Class Z		87,063		118,713		30,570		175,206	$	1,957,047	$	-	$	-	$	(1,641	)
MassMutual Premier Disciplined Growth Fund, Class S		40,678		40,693		11,982		69,389		851,397		-		-		27,829
MassMutual Premier Disciplined Value Fund, Class S		39,584		37,940		10,906		66,618		869,365		-		-		31,183
MassMutual Premier Focused International Fund, Class Z		5,796		6,617		3,922		8,491		99,173		-		-		2,156
MassMutual Premier High Yield Fund, Class Z		18,703		8,363		6,731		20,335		199,284		-		-		4,457
MassMutual Premier Inflation-Protected and Income Fund, Class Z		50,158		41,134		15,304		75,988		829,788		-		-		(4,166	)
MassMutual Premier International Bond Fund, Class S		22,481		12,884		7,789		27,576		258,662		-		-		(4,695	)

77

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 6/30/13		Value as of 6/30/13		Dividend Income			Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2015 Fund (Continued)
MassMutual Premier International Equity Fund, Class S		12,057		12,527		7,768		16,816	$	240,133	$	-		$	-	$	11,455
MassMutual Premier Money Market Fund, Class S		3,799		40,801		-		44,600		44,600		-	#		-		-
MassMutual Premier Short-Duration Bond Fund, Class Z		50,899		84,046		13,474		121,471		1,275,449		-			-		(361	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		15,135		16,764		4,125		27,774		305,512		-			-		199
MassMutual Select Blue Chip Growth Fund, Class S		10,190		9,946		3,682		16,454		235,460		-			-		6,486
MassMutual Select Diversified International Fund, Class S		25,592		25,833		15,905		35,520		236,563		-			-		13,143
MassMutual Select Diversified Value Fund, Class S		12,420		11,793		3,985		20,228		238,085		-			-		8,617
MassMutual Select Focused Value Fund, Class Z		11,060		11,084		3,343		18,801		423,782		-			-		11,905
MassMutual Select Fundamental Growth Fund, Class S		19,614		19,178		7,022		31,770		237,005		-			-		4,165
MassMutual Select Fundamental Value Fund, Class Z		13,056		12,508		4,813		20,751		273,908		-			-		8,606
MassMutual Select Growth Opportunities Fund, Class Z		12,541		12,170		4,292		20,419		198,886		-			-		4,457
MassMutual Select Large Cap Value Fund, Class S		12,192		11,895		5,187		18,900		169,907		-			-		(12,716	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		9,414		8,931		4,131		14,214		244,621		-			-		4,219
MassMutual Select Mid-Cap Value Fund, Class Z		19,118		18,098		13,807		23,409		295,893		-			-		23,664
MassMutual Select Overseas Fund, Class Z		55,335		54,018		24,084		85,269		670,213		-			-		30,551
MassMutual Select PIMCO Total Return Fund, Class Z		19,659		24,709		6,434		37,934		388,826		-			-		1,498
MassMutual Select Small Cap Growth Equity Fund, Class Z		5,531		5,145		2,506		8,170		149,346		-			-		2,755
MassMutual Select Small Cap Value Equity Fund, Class S		10,446		9,064		4,021		15,489		193,453		-			-		8,482
MassMutual Select Small Company Growth Fund, Class S		5,263		5,352		2,886		7,729		97,457		-			-		3,942
MassMutual Select Small Company Value Fund, Class Z		2,474		2,616		1,957		3,133		49,935		-			-		2,664
MassMutual Select Strategic Bond Fund, Class S		17,365		21,825		7,462		31,728		319,186		-			-		741
MM MSCI EAFE International Index Fund, Class Z		27,735		32,302		3,951		56,086		684,244		-			-		4,323
MM Russell 2000 Small Cap Index Fund, Class Z		12,921		11,256		5,290		18,887		239,485		-			-		6,193
MM S&P Mid Cap Index Fund, Class Z		13,620		16,890		3,400		27,110		342,664		-			-		4,757
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		96,155		15,894		80,261		237,574		-			-		(1,455	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		63,549		38,578		102,127		-		-		-			-		(9,774	)
Oppenheimer Developing Markets Fund, Class I*		-		7,235		739		6,496		218,204		-			-		246
Oppenheimer Developing Markets Fund, Class Y*		2,922		1,865		4,787		-		-		-			-		6,913
Oppenheimer Global Real Estate Fund, Class I*		-		5,605		-		5,605		54,536		352			-		-
Oppenheimer International Bond Fund, Class I*		-		29,116		2,921		26,195		159,269		794			-		(74	)
Oppenheimer Real Estate Fund, Class I*		-		10,522		2,295		8,227		195,153		1,671			-		(1,213	)
Oppenheimer Real Estate Fund, Class Y*		7,036		3,884		10,920		-		-		659			-		28,510
									$	13,484,065	$	3,476		$	-	$	228,021
RetireSMART 2020 Fund
MassMutual Premier Core Bond Fund, Class Z		2,741,093		796,202		211,575		3,325,720	$	37,148,291	$	-		$	-	$	7,904
MassMutual Premier Disciplined Growth Fund, Class S		2,314,177		261,824		226,605		2,349,396		28,827,091		-			-		1,244,906
MassMutual Premier Disciplined Value Fund, Class S		2,252,881		200,659		193,473		2,260,067		29,493,869		-			-		227,402
MassMutual Premier Focused International Fund, Class Z		357,786		52,300		100,407		309,679		3,617,056		-			-		(9,187	)
MassMutual Premier High Yield Fund, Class Z		1,471,892		39,067		466,391		1,044,568		10,236,768		-			-		465,910

78

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 6/30/13		Value as of 6/30/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2020 Fund (Continued)
MassMutual Premier Inflation-Protected and Income Fund, Class Z		1,837,709		284,484		285,048		1,837,145	$	20,061,627	$	-	$	-	$	102,590
MassMutual Premier International Bond Fund, Class S		1,037,370		89,993		129,543		997,820		9,359,550		-		-		(36,022	)
MassMutual Premier International Equity Fund, Class S		746,990		72,064		204,795		614,259		8,771,625		-		-		440,965
MassMutual Premier Money Market Fund, Class S		118,547		500,010		118,500		500,057		500,057		9		-		-
MassMutual Premier Short-Duration Bond Fund, Class Z		1,727,543		1,046,367		138,408		2,635,502		27,672,771		-		-		(37,619	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		943,097		100,962		92,652		951,407		10,465,480		-		-		(376,342	)
MassMutual Select Blue Chip Growth Fund, Class S		766,518		84,728		92,892		758,354		10,852,045		-		-		481,517
MassMutual Select Diversified International Fund, Class S		1,605,140		140,296		456,021		1,289,415		8,587,504		-		-		800,683
MassMutual Select Diversified Value Fund, Class S		953,727		86,049		106,400		933,376		10,985,833		-		-		348,373
MassMutual Select Focused Value Fund, Class Z		569,957		93,720		61,556		602,121		13,571,801		-		-		274,993
MassMutual Select Fundamental Growth Fund, Class S		1,476,060		160,867		171,559		1,465,368		10,931,646		-		-		177,362
MassMutual Select Fundamental Value Fund, Class Z		984,289		91,165		117,032		958,422		12,651,166		-		-		251,177
MassMutual Select Growth Opportunities Fund, Class Z		945,048		91,743		96,912		939,879		9,154,417		-		-		104,692
MassMutual Select Large Cap Value Fund, Class S		894,901		86,406		109,315		871,992		7,839,212		-		-		(209,663	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		546,742		48,750		118,963		476,529		8,201,065		-		-		(21,595	)
MassMutual Select Mid-Cap Value Fund, Class Z		1,108,062		98,236		434,850		771,448		9,751,097		-		-		725,081
MassMutual Select Overseas Fund, Class Z		3,477,755		308,144		675,646		3,110,253		24,446,587		-		-		342,646
MassMutual Select PIMCO Total Return Fund, Class Z		619,155		124,942		44,700		699,397		7,168,815		-		-		4,510
MassMutual Select Small Cap Growth Equity Fund, Class Z		344,383		39,230		79,958		303,655		5,550,814		-		-		124,370
MassMutual Select Small Cap Value Equity Fund, Class S		664,956		51,308		136,699		579,565		7,238,769		-		-		370,068
MassMutual Select Small Company Growth Fund, Class S		339,104		40,069		91,990		287,183		3,621,376		-		-		188,268
MassMutual Select Small Company Value Fund, Class Z		147,959		38,607		73,926		112,640		1,795,480		-		-		109,876
MassMutual Select Strategic Bond Fund, Class S		546,648		101,590		93,666		554,572		5,578,996		-		-		145,251
MM MSCI EAFE International Index Fund, Class Z		1,660,061		462,665		70,216		2,052,510		25,040,617		-		-		74,998
MM Russell 2000 Small Cap Index Fund, Class Z		783,868		101,305		190,338		694,835		8,810,508		-		-		201,991
MM S&P Mid Cap Index Fund, Class Z		740,035		272,282		88,767		923,550		11,673,677		-		-		123,800
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		4,108,968		700,220		3,408,748		10,089,893		-		-		(64,945	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		4,078,818		326,668		4,405,486		-		-		-		-		(782,725	)
Oppenheimer Developing Markets Fund, Class I*		-		248,127		14,910		233,217		7,833,761		-		-		4,989
Oppenheimer Developing Markets Fund, Class Y*		182,156		16,132		198,288		-		-		-		-		622,841
Oppenheimer Global Real Estate Fund, Class I*		-		238,742		-		238,742		2,322,959		14,970		-		-
Oppenheimer International Bond Fund, Class I*		-		391,770		65,738		326,032		1,982,275		15,991		-		(1,972	)
Oppenheimer Real Estate Fund, Class I*		-		431,046		67,451		363,595		8,624,464		74,041		-		(37,024	)
Oppenheimer Real Estate Fund, Class Y*		447,492		12,322		459,814		-		-		28,255		-		2,995,911
									$	420,458,962	$	133,266	$	-	$	9,385,980

79

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 6/30/13		Value as of 6/30/13		Dividend Income			Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2025 Fund
MassMutual Premier Core Bond Fund, Class Z		21,908		74,230		7,653		88,485	$	988,377	$	-		$	-	$	(101	)
MassMutual Premier Disciplined Growth Fund, Class S		32,706		64,894		6,220		91,380		1,121,236		-			-		16,915
MassMutual Premier Disciplined Value Fund, Class S		31,853		60,486		4,912		87,427		1,140,927		-			-		13,078
MassMutual Premier Focused International Fund, Class Z		5,676		12,356		3,136		14,896		173,991		-			-		2,421
MassMutual Premier High Yield Fund, Class Z		25,481		18,064		8,597		34,948		342,487		-			-		7,855
MassMutual Premier Inflation-Protected and Income Fund, Class Z		16,215		15,843		4,597		27,461		299,871		-			-		(696	)
MassMutual Premier International Bond Fund, Class S		13,544		13,650		5,831		21,363		200,386		-			-		(2,891	)
MassMutual Premier International Equity Fund, Class S		11,811		23,396		6,190		29,017		414,368		-			-		12,684
MassMutual Premier Money Market Fund, Class S		300		2,900		300		2,900		2,900		-	#		-		-
MassMutual Premier Short-Duration Bond Fund, Class Z		15,570		57,331		2,888		70,013		735,141		-			-		(358	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		14,006		30,384		2,458		41,932		461,254		-			-		(419	)
MassMutual Select Blue Chip Growth Fund, Class S		12,318		23,779		2,559		33,538		479,930		-			-		7,959
MassMutual Select Diversified International Fund, Class S		25,229		48,899		12,450		61,678		410,776		-			-		10,864
MassMutual Select Diversified Value Fund, Class S		15,183		28,276		2,340		41,119		483,974		-			-		6,001
MassMutual Select Focused Value Fund, Class Z		7,413		15,785		1,349		21,849		492,479		-			-		6,341
MassMutual Select Fundamental Growth Fund, Class S		23,720		45,277		4,383		64,614		482,018		-			-		4,171
MassMutual Select Fundamental Value Fund, Class Z		15,818		29,605		3,269		42,154		556,439		-			-		6,599
MassMutual Select Growth Opportunities Fund, Class Z		15,182		29,557		2,979		41,760		406,739		-			-		2,752
MassMutual Select Large Cap Value Fund, Class S		14,585		28,155		4,269		38,471		345,856		-			-		(9,052	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		8,034		14,784		2,586		20,232		348,193		-			-		2,163
MassMutual Select Mid-Cap Value Fund, Class Z		16,304		29,957		9,010		37,251		470,849		-			-		14,528
MassMutual Select Overseas Fund, Class Z		54,523		102,453		17,373		139,603		1,097,279		-			-		22,834
MassMutual Select PIMCO Total Return Fund, Class Z		4,959		15,163		1,401		18,721		191,891		-			-		468
MassMutual Select Small Cap Growth Equity Fund, Class Z		5,749		10,448		2,068		14,129		258,270		-			-		1,821
MassMutual Select Small Cap Value Equity Fund, Class S		10,903		18,527		2,963		26,467		330,575		-			-		5,965
MassMutual Select Small Company Growth Fund, Class S		5,532		9,736		1,859		13,409		169,083		-			-		2,412
MassMutual Select Small Company Value Fund, Class Z		2,521		5,156		1,876		5,801		92,465		-			-		3,371
MassMutual Select Strategic Bond Fund, Class S		4,370		13,421		2,752		15,039		151,293		-			-		714
MM MSCI EAFE International Index Fund, Class Z		24,637		56,631		1,495		79,773		973,234		-			-		1,696
MM Russell 2000 Small Cap Index Fund, Class Z		12,244		23,397		4,403		31,238		396,094		-			-		5,043
MM S&P Mid Cap Index Fund, Class Z		10,387		23,487		1,500		32,374		409,203		-			-		2,118
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		103,740		10,947		92,793		274,668		-			-		(910	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		60,266		48,473		108,739		-		-		-			-		(16,839	)
Oppenheimer Developing Markets Fund, Class I*		-		9,553		314		9,239		310,345		-			-		(128	)
Oppenheimer Developing Markets Fund, Class Y*		2,708		2,193		4901		-		-		-			-		7,200
Oppenheimer Global Real Estate Fund, Class I*		-		6,274		-		6,274		61,048		394			-		-
Oppenheimer International Bond Fund, Class I*		-		51,066		2,255		48,811		296,773		1,093			-		(4	)
Oppenheimer Real Estate Fund, Class I*		-		10,923		1,123		9,800		232,462		1,987			-		(812	)
Oppenheimer Real Estate Fund, Class Y*		6,383		4,009		10,392		-		-		652			-		28,175
									$	15,602,874	$	4,126		$	-	$	163,938

80

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 6/30/13		Value as of 6/30/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2030 Fund
MassMutual Premier Core Bond Fund, Class Z		950,791		453,255		68,909		1,335,137	$	14,913,482	$	-	$	-	$	1,264
MassMutual Premier Disciplined Growth Fund, Class S		1,963,987		289,998		155,007		2,098,978		25,754,459		-		-		1,000,203
MassMutual Premier Disciplined Value Fund, Class S		1,912,297		232,307		125,751		2,018,853		26,346,035		-		-		167,341
MassMutual Premier Focused International Fund, Class Z		371,846		67852		94,984		344,714		4,026,264		-		-		(10,100	)
MassMutual Premier High Yield Fund, Class Z		1,311,730		46,997		303,861		1,054,866		10,337,690		-		-		336,072
MassMutual Premier Inflation-Protected and Income Fund, Class Z		669,803		98,573		171,104		597,272		6,522,213		-		-		59,689
MassMutual Premier International Bond Fund, Class S		682,403		92,660		82,172		692,891		6,499,321		-		-		(38,901	)
MassMutual Premier International Equity Fund, Class S		776,565		98,223		193,484		681,304		9,729,020		-		-		235,276
MassMutual Premier Short-Duration Bond Fund, Class Z		659,504		484,040		45,968		1,097,576		11,524,553		-		-		(12,433	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		910,052		110,370		76,323		944,099		10,385,093		-		-		(315,910	)
MassMutual Select Blue Chip Growth Fund, Class S		856,512		106,910		82,536		880,886		12,605,478		-		-		650,217
MassMutual Select Diversified International Fund, Class S		1,668,557		168,909		407,884		1,429,582		9,521,016		-		-		461,982
MassMutual Select Diversified Value Fund, Class S		1,065,676		110,818		92,330		1,084,164		12,760,616		-		-		432,943
MassMutual Select Focused Value Fund, Class Z		447,119		87,857		47,312		487,664		10,991,941		-		-		211,840
MassMutual Select Fundamental Growth Fund, Class S		1,649,367		192,640		139,920		1,702,087		12,697,567		-		-		154,726
MassMutual Select Fundamental Value Fund, Class Z		1,099,761		116,987		103,799		1,112,949		14,690,927		-		-		225,647
MassMutual Select Growth Opportunities Fund, Class Z		1,055,959		124,635		88,948		1,091,646		10,632,634		-		-		95,601
MassMutual Select Large Cap Value Fund, Class S		999,734		106,967		94,105		1,012,596		9,103,238		-		-		(112,878	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		515,660		51,271		84,410		482,521		8,304,184		-		-		(24,898	)
MassMutual Select Mid-Cap Value Fund, Class Z		1,048,912		103,440		315,231		837,121		10,581,204		-		-		526,592
MassMutual Select Overseas Fund, Class Z		3,592,536		357,675		567,384		3,382,827		26,589,021		-		-		292,001
MassMutual Select PIMCO Total Return Fund, Class Z		208,559		62,746		13,503		257,802		2,642,471		-		-		1,084
MassMutual Select Small Cap Growth Equity Fund, Class Z		386,293		46,592		63,633		369,252		6,749,922		-		-		93,611
MassMutual Select Small Cap Value Equity Fund, Class S		736,159		76,924		108,847		704,236		8,795,910		-		-		245,767
MassMutual Select Small Company Growth Fund, Class S		371,257		36,533		58,604		349,186		4,403,241		-		-		84,685
MassMutual Select Small Company Value Fund, Class Z		165,938		35,035		63,679		137,294		2,188,467		-		-		104,779
MassMutual Select Strategic Bond Fund, Class S		189,688		46,479		64,047		172,120		1,731,528		-		-		42,114
MM MSCI EAFE International Index Fund, Class Z		1,711,125		474,909		14,400		2,171,634		26,493,939		-		-		13,283
MM Russell 2000 Small Cap Index Fund, Class Z		876,785		130,528		162,638		844,675		10,710,479		-		-		171,830
MM S&P Mid Cap Index Fund, Class Z		705,629		228,725		57,116		877,238		11,088,294		-		-		82,841
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		4,181,440		695,860		3,485,580		10,317,316		-		-		(768,443	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		3,842,209		498,067		4,340,276		-		-		-		-		(64,840	)
Oppenheimer Developing Markets Fund, Class I*		-		251,519		9,703		241,816		8,122,607		-		-		(1,760	)
Oppenheimer Developing Markets Fund, Class Y*		175,580		16,122		191,702		-		-		-		-		611,960
Oppenheimer Global Real Estate Fund, Class I*		-		243,424		-		243,424		2,368,516		15,264		-		-
Oppenheimer International Bond Fund, Class I*		-		311,303		19,815		291,488		1,772,244		12,754		-		(594	)

81

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 6/30/13		Value as of 6/30/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2030 Fund (Continued)
Oppenheimer Real Estate Fund, Class I*		-		415,630		43,347		372,283	$	8,830,565	$	75,621	$	-	$	(36,105	)
Oppenheimer Real Estate Fund, Class Y*		406,842		10,563		417,405		-		-		26,605		-		2,674,086
									$	370,731,455	$	130,244	$	-	$	7,590,572
RetireSMART 2035 Fund
MassMutual Premier Core Bond Fund, Class Z		12,565		28,606		5,130		36,041	$	402,581	$	-	$	-	$	(253	)
MassMutual Premier Disciplined Growth Fund, Class S		26,157		40,551		3,806		62,902		771,803		-		-		11,201
MassMutual Premier Disciplined Value Fund, Class S		25,465		37,661		2,817		60,309		787,036		-		-		8,457
MassMutual Premier Focused International Fund, Class Z		5,411		9,113		2,746		11,778		137,562		-		-		2,045
MassMutual Premier High Yield Fund, Class Z		14,584		10,692		5,051		20,225		198,208		-		-		4,047
MassMutual Premier Inflation-Protected and Income Fund, Class Z		7,036		6,974		1,843		12,167		132,867		-		-		(322	)
MassMutual Premier International Bond Fund, Class S		9,057		7,668		2,859		13,866		130,065		-		-		(1,598	)
MassMutual Premier International Equity Fund, Class S		11,248		17,223		5,408		23,063		329,340		-		-		10,347
MassMutual Premier Short-Duration Bond Fund, Class Z		7,177		22,561		1,279		28,459		298,823		-		-		(312	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		13,119		21,528		1,972		32,675		359,429		-		-		(5,893	)
MassMutual Select Blue Chip Growth Fund, Class S		13,292		19,827		2,347		30,772		440,344		-		-		8,182
MassMutual Select Diversified International Fund, Class S		23,806		35,857		10,936		48,727		324,519		-		-		7,259
MassMutual Select Diversified Value Fund, Class S		16,088		23,333		1,648		37,773		444,594		-		-		3,219
MassMutual Select Focused Value Fund, Class Z		6,351		9,909		989		15,271		344,217		-		-		3,802
MassMutual Select Fundamental Growth Fund, Class S		25,569		37,651		3,879		59,341		442,687		-		-		3,613
MassMutual Select Fundamental Value Fund, Class Z		17,057		24,571		2,892		38,736		511,317		-		-		8,189
MassMutual Select Growth Opportunities Fund, Class Z		16,365		24,534		2,638		38,261		372,659		-		-		2,564
MassMutual Select Large Cap Value Fund, Class S		16,094		23,719		4,517		35,296		317,314		-		-		(10,323	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		7,424		10,597		1,969		16,052		276,263		-		-		2,884
MassMutual Select Mid-Cap Value Fund, Class Z		15,113		21,387		7,431		29,069		367,434		-		-		12,560
MassMutual Select Overseas Fund, Class Z		51,170		75,323		14,652		111,841		879,073		-		-		18,153
MassMutual Select PIMCO Total Return Fund, Class Z		2,780		5,822		963		7,639		78,304		-		-		344
MassMutual Select Small Cap Growth Equity Fund, Class Z		5,703		8,220		1,754		12,169		222,445		-		-		2,602
MassMutual Select Small Cap Value Equity Fund, Class S		10,712		14,672		2,456		22,928		286,371		-		-		7,320
MassMutual Select Small Company Growth Fund, Class S		5,418		7,399		1,299		11,518		145,236		-		-		2,833
MassMutual Select Small Company Value Fund, Class Z		2,505		4,070		1,784		4,791		76,368		-		-		2,903
MassMutual Select Strategic Bond Fund, Class S		2,500		5,167		1,821		5,846		58,812		-		-		331
MM MSCI EAFE International Index Fund, Class Z		23,211		43,978		1,117		66,072		806,079		-		-		1,369
MM Russell 2000 Small Cap Index Fund, Class Z		12,114		18,999		4,163		26,950		341,726		-		-		4,484
MM S&P Mid Cap Index Fund, Class Z		9,776		18,377		1,549		26,604		336,281		-		-		2,197
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		97,495		7,264		90,231		267,085		-		-		(624	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		53,902		46,589		100,491		-		-		-		-		(16,457	)
Oppenheimer Developing Markets Fund, Class I*		-		7,569		60		7,509		252,244	��	-		-		30

82

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 6/30/13		Value as of 6/30/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2035 Fund (Continued)
Oppenheimer Developing Markets Fund, Class Y*		2,534		2,297		4,831		-	$	-	$	-	$	-	$	6,668
Oppenheimer Global Real Estate Fund, Class I*		-		6,159		-		6,159		59,923		386		-		-
Oppenheimer International Bond Fund, Class I*		-		22,692		3,688		19,004		115,546		567		-		(14	)
Oppenheimer Real Estate Fund, Class I*		-		10,343		672		9,671		229,390		1,965		-		(487	)
Oppenheimer Real Estate Fund, Class Y*		5,749		4,191		9,940		-		-		566		-		27,478
									$	11,543,945	$	3,484	$	-	$	128,798
RetireSMART 2040 Fund
MassMutual Premier Core Bond Fund, Class Z		578,478		194,558		98,673		674,363	$	7,532,636	$	-	$	-	$	704
MassMutual Premier Disciplined Growth Fund, Class S		1,109,210		198,514		109,756		1,197,968		14,699,063		-		-		694,220
MassMutual Premier Disciplined Value Fund, Class S		1,080,147		165,874		93,794		1,152,227		15,036,566		-		-		506,621
MassMutual Premier Focused International Fund, Class Z		248,000		48,834		65,258		231,576		2,704,807		-		-		(7,947	)
MassMutual Premier High Yield Fund, Class Z		560,891		23,892		175,550		409,233		4,010,485		-		-		203,792
MassMutual Premier Inflation-Protected and Income Fund, Class Z		263,701		48,412		63,381		248,732		2,716,150		-		-		(15,719	)
MassMutual Premier International Bond Fund, Class S		386,026		34,675		53,791		366,910		3,441,612		-		-		(32,137	)
MassMutual Premier International Equity Fund, Class S		517,923		68,806		129,422		457,307		6,530,337		-		-		38,758
MassMutual Premier Short-Duration Bond Fund, Class Z		286,953		273,617		26,912		533,658		5,603,413		-		-		(7,395	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		624,485		84,129		64,199		644,415		7,088,565		-		-		(255,392	)
MassMutual Select Blue Chip Growth Fund, Class S		660,911		95,682		76,199		680,394		9,736,442		-		-		600,420
MassMutual Select Diversified International Fund, Class S		1,112,175		128,960		281,546		959,589		6,390,862		-		-		64,481
MassMutual Select Diversified Value Fund, Class S		821,469		99,629		83,751		837,347		9,855,579		-		-		424,179
MassMutual Select Focused Value Fund, Class Z		291,773		49,131		36,484		304,420		6,861,626		-		-		147,906
MassMutual Select Fundamental Growth Fund, Class S		1,272,673		177,166		135,200		1,314,639		9,807,204		-		-		138,756
MassMutual Select Fundamental Value Fund, Class Z		848,611		103,087		91,982		859,716		11,348,249		-		-		191,395
MassMutual Select Growth Opportunities Fund, Class Z		814,630		111,029		82,622		843,037		8,211,183		-		-		84,004
MassMutual Select Large Cap Value Fund, Class S		772,482		93,207		83,684		782,005		7,030,226		-		-		(127,588	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		347,844		39,342		58,118		329,068		5,663,266		-		-		(16,534	)
MassMutual Select Mid-Cap Value Fund, Class Z		709,134		79,254		213,471		574,917		7,266,946		-		-		353,501
MassMutual Select Overseas Fund, Class Z		2,385,278		268,740		388,013		2,266,005		17,810,802		-		-		194,895
MassMutual Select PIMCO Total Return Fund, Class Z		127,015		30,250		17,932		139,333		1,428,159		-		-		1,722
MassMutual Select Small Cap Growth Equity Fund, Class Z		263,268		36,110		43,436		255,942		4,678,617		-		-		78,016
MassMutual Select Small Cap Value Equity Fund, Class S		502,739		65,814		80,185		488,368		6,099,714		-		-		186,514
MassMutual Select Small Company Growth Fund, Class S		255,212		29,154		42,280		242,086		3,052,705		-		-		53,461
MassMutual Select Small Company Value Fund, Class Z		113,260		25,747		43,854		95,153		1,516,731		-		-		85,598
MassMutual Select Strategic Bond Fund, Class S		115,413		24,501		40,955		98,959		995,529		-		-		26,396
MM MSCI EAFE International Index Fund, Class Z		1,148,797		332,806		29,316		1,452,287		17,717,902		-		-		28,584
MM Russell 2000 Small Cap Index Fund, Class Z		598,620		108,338		120,706		586,252		7,433,674		-		-		125,690
MM S&P Mid Cap Index Fund, Class Z		481,310		159,736		46,207		594,839		7,518,765		-		-		64,479
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		2,620,399		346,428		2,273,971		6,730,955		-		-		(30,725	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		2,393,707		360,696		2,754,403		-		-		-		-		(475,477	)

83

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 6/30/13		Value as of 6/30/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2040 Fund (Continued)
Oppenheimer Developing Markets Fund, Class I*		-		169,428		6,579		162,849	$	5,470,096	$	-	$	-	$	70
Oppenheimer Developing Markets Fund, Class Y*		120,147		13,647		133,794		-		-		-		-		398,858
Oppenheimer Global Real Estate Fund, Class I*		-		162,996		-		162,996		1,585,956		10,221		-		-
Oppenheimer International Bond Fund, Class I*		-		155,358		-		155,358		944,578		6,726		-		-
Oppenheimer Real Estate Fund, Class I*		-		280,189		31,561		248,628		5,897,458		50,535		-		(20,836	)
Oppenheimer Real Estate Fund, Class Y*		264,049		22,421		286,470		-		-		18,078		-		1,644,780
									$	240,416,858	$	85,560	$	-	$	5,348,050
RetireSMART 2045 Fund
MassMutual Premier Core Bond Fund, Class Z		3,105		6,424		1,899		7,630	$	85,225	$	-	$	-	$	(233	)
MassMutual Premier Disciplined Growth Fund, Class S		14,739		21,107		3,590		32,256		395,781		-		-		9,984
MassMutual Premier Disciplined Value Fund, Class S		14,353		19,713		3,106		30,960		404,026		-		-		8,945
MassMutual Premier Focused International Fund, Class Z		3,427		5,299		1,962		6,764		79,002		-		-		1,770
MassMutual Premier High Yield Fund, Class Z		2,758		1,681		1,844		2,595		25,429		-		-		589
MassMutual Premier Inflation-Protected and Income Fund, Class Z		1,252		1,230		1,074		1,408		15,374		-		-		(630	)
MassMutual Premier International Bond Fund, Class S		2,111		2,159		1,504		2,766		25,948		-		-		(855	)
MassMutual Premier International Equity Fund, Class S		7,133		10,089		3,938		13,284		189,693		-		-		8,026
MassMutual Premier Short-Duration Bond Fund, Class Z		1,465		4,868		301		6,032		63,335		-		-		(13	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		8,556		12,395		2,160		18,791		206,706		-		-		(4,593	)
MassMutual Select Blue Chip Growth Fund, Class S		9,334		13,033		2,525		19,842		283,946		-		-		9,557
MassMutual Select Diversified International Fund, Class S		15,184		20,698		7,887		27,995		186,445		-		-		6,306
MassMutual Select Diversified Value Fund, Class S		11,423		15,364		2,397		24,390		287,074		-		-		6,438
MassMutual Select Focused Value Fund, Class Z		3,986		5,622		1,212		8,396		189,235		-		-		4,941
MassMutual Select Fundamental Growth Fund, Class S		17,959		24,786		4,442		38,303		285,739		-		-		4,617
MassMutual Select Fundamental Value Fund, Class Z		11,985		16,112		3,075		25,022		330,288		-		-		8,521
MassMutual Select Growth Opportunities Fund, Class Z		11,501		15,987		2,859		24,629		239,885		-		-		3,077
MassMutual Select Large Cap Value Fund, Class S		11,149		15,677		4,051		22,775		204,750		-		-		(9,247	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		4,782		6,310		1,686		9,406		161,878		-		-		2,891
MassMutual Select Mid-Cap Value Fund, Class Z		9,752		12,735		5,525		16,962		214,395		-		-		9,387
MassMutual Select Overseas Fund, Class Z		32,534		43,688		11,503		64,719		508,692		-		-		14,217
MassMutual Select PIMCO Total Return Fund, Class Z		726		1,189		480		1,435		14,714		-		-		5
MassMutual Select Small Cap Growth Equity Fund, Class Z		3,682		5,056		1,468		7,270		132,895		-		-		2,655
MassMutual Select Small Cap Value Equity Fund, Class S		6,729		9,188		2,141		13,776		172,063		-		-		5,284
MassMutual Select Small Company Growth Fund, Class S		3,414		4,537		1,072		6,879		86,748		-		-		2,035
MassMutual Select Small Company Value Fund, Class Z		1,618		2,538		1,361		2,795		44,549		-		-		2,416
MassMutual Select Strategic Bond Fund, Class S		618		1,041		947		712		7,165		-		-		66
MM MSCI EAFE International Index Fund, Class Z		15,195		26,393		2,355		39,233		478,637		-		-		2,908
MM Russell 2000 Small Cap Index Fund, Class Z		7,977		11,997		3,650		16,324		206,990		-		-		3,845
MM S&P Mid Cap Index Fund, Class Z		6,452		11,358		1,812		15,998		202,209		-		-		2,566

84

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 6/30/13		Value as of 6/30/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2045 Fund (continued)
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		66,717		9,746		56,971	$	168,635	$	-	$	-	$	(570	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		31,931		30,410		62,341		-		-		-		-		(10,618	)
Oppenheimer Developing Markets Fund, Class I*		-		4,827		321		4,506		151,350		-		-		84
Oppenheimer Developing Markets Fund, Class Y*		1,650		1,557		3,207		-		-		-		-		4,231
Oppenheimer Global Real Estate Fund, Class I*		-		4,011		-		4,011		39,023		252		-		-
Oppenheimer International Bond Fund, Class I*		-		3,138		-		3,138		19,077		114		-		-
Oppenheimer Real Estate Fund, Class I*		-		7,123		910		6,213		147,371		1,275		-		(286	)
Oppenheimer Real Estate Fund, Class Y*		3,518		3,100		6,618		-		-		407		-		18,509
									$	6,254,272	$	2,048	$	-	$	116,825
RetireSMART 2050 Fund
MassMutual Premier Core Bond Fund, Class Z		52,655		36,044		17,221		71,478	$	798,412	$	-	$	-	$	(1,860	)
MassMutual Premier Disciplined Growth Fund, Class S		247,804		97,862		14,870		330,796		4,058,870		-		-		35,531
MassMutual Premier Disciplined Value Fund, Class S		241,377		88,031		11,556		317,852		4,147,970		-		-		26,296
MassMutual Premier Focused International Fund, Class Z		57,439		24,766		13,676		68,529		800,420		-		-		16,328
MassMutual Premier High Yield Fund, Class Z		47,307		4,012		25,492		25,827		253,103		-		-		6,649
MassMutual Premier Inflation-Protected and Income Fund, Class Z		21,695		2,470		10,480		13,685		149,443		-		-		(6,809	)
MassMutual Premier International Bond Fund, Class S		35,052		6,622		9,800		31,874		298,978		-		-		(3,047	)
MassMutual Premier International Equity Fund, Class S		119,994		39,880		24,999		134,875		1,926,021		-		-		74,701
MassMutual Premier Short-Duration Bond Fund, Class Z		24,733		34,087		1,091		57,729		606,155		-		-		(55	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		145,462		53,031		8,091		190,402		2,094,417		-		-		(15,845	)
MassMutual Select Blue Chip Growth Fund, Class S		157,302		58,794		12,705		203,391		2,910,519		-		-		35,141
MassMutual Select Diversified International Fund, Class S		257,405		91,145		65,014		283,536		1,888,347		-		-		71,081
MassMutual Select Diversified Value Fund, Class S		194,907		66,807		11,544		250,170		2,944,506		-		-		32,069
MassMutual Select Focused Value Fund, Class Z		67,319		25,439		6,539		86,219		1,943,376		-		-		29,246
MassMutual Select Fundamental Growth Fund, Class S		302,908		110,088		20,200		392,796		2,930,256		-		-		17,827
MassMutual Select Fundamental Value Fund, Class Z		202,005		69,409		14,695		256,719		3,388,686		-		-		41,053
MassMutual Select Growth Opportunities Fund, Class Z		193,869		70,864		12,472		252,261		2,457,020		-		-		11,985
MassMutual Select Large Cap Value Fund, Class S		184,810		62,397		13,524		233,683		2,100,810		-		-		(29,706	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		80,294		26,839		11,036		96,097		1,653,828		-		-		24,724
MassMutual Select Mid-Cap Value Fund, Class Z		164,097		52,478		44,655		171,920		2,173,070		-		-		76,940
MassMutual Select Overseas Fund, Class Z		551,517		187,834		79,700		659,651		5,184,856		-		-		123,957
MassMutual Select PIMCO Total Return Fund, Class Z		12,329		5,110		4,394		13,045		133,708		-		-		1,431
MassMutual Select Small Cap Growth Equity Fund, Class Z		61,538		21,047		7,947		74,638		1,364,387		-		-		9,136
MassMutual Select Small Cap Value Equity Fund, Class S		112,758		42,436		13,479		141,715		1,770,020		-		-		22,291
MassMutual Select Small Company Growth Fund, Class S		57,201		19,256		5,839		70,618		890,487		-		-		7,237
MassMutual Select Small Company Value Fund, Class Z		26,708		11,978		10,397		28,289		450,924		-		-		21,347
MassMutual Select Strategic Bond Fund, Class S		10,533		4,363		9,371		5,525		55,584		-		-		687
MM MSCI EAFE International Index Fund, Class Z		283,322		129,301		17,971		394,652		4,814,759		-		-		16,235
MM Russell 2000 Small Cap Index Fund, Class Z		149,600		48,203		35,270		162,533		2,060,920		-		-		37,361
MM S&P Mid Cap Index Fund, Class Z		120,915		58,577		17,892		161,600		2,042,623		-		-		26,472
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		683,158		32,528		650,630		1,925,866		-		-		(3,132	)

85

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 6/30/13		Value as of 6/30/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2050 Fund (Continued)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		542,646		148,475		691,121		-	$	-	$	-	$	-	$	(77,482	)
Oppenheimer Developing Markets Fund, Class I*		-		46,893		448		46,445		1,560,082		-		-		(319	)
Oppenheimer Developing Markets Fund, Class Y*		27,979		6,559		34,538		-		-		-		-		95,720
Oppenheimer Global Real Estate Fund, Class I*		-		43,525		-		43,525		423,498		2,729		-		-
Oppenheimer International Bond Fund, Class I*		-		18,335		-		18,335		111,476		760		-		-
Oppenheimer Real Estate Fund, Class I*		-		74,008		3,736		70,272		1,666,857		14,338		-		(2,163	)
Oppenheimer Real Estate Fund, Class Y*		60,307		13,020		73,327		-		-		4,571		-		247,262
									$	63,980,254	$	22,398	$	-	$	968,289

* Fund advised by OppenheimerFunds, Inc.

# Amount is less than $0.50.

8. Indemnifications

Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

9. New Accounting Pronouncements

On June 7, 2013, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2013-08, Financial Services — Investment Companies (Topic 946): “Amendments to the Scope, Measurement, and Disclosure Requirements” (“ASU 2013-08”). ASU 2013-08 sets forth a new approach for determining whether a public or private company is an investment company and sets certain measurement and disclosure requirements for an investment company. ASU 2013-08 is effective in annual reporting periods beginning on or after December 15, 2013, and for interim periods within those annual reporting periods. Management is currently evaluating the implications of these changes and their impact on the financial statements.

10. Subsequent Events

In preparation of these financial statements management has evaluated the events and transactions subsequent to June 30, 2013, 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.

86

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 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’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.

Trustees’ Approval of Investment Advisory Contracts

At their meetings in April and May 2013, 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”), re-approved the existing advisory agreements (collectively, the “Contracts”) for each of the RetireSMART Conservative Fund, RetireSMART Moderate Fund, RetireSMART Moderate Growth Fund, RetireSMART Growth Fund, 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.

87

Other Information (Unaudited) (Continued)

The Committee reviewed the expense and performance information for each Fund. (References to any one-, three-, or five-year period below are to periods ended December 31, 2012. The three-year or longer periods do not apply for any Fund that does not yet have a three-year performance history. In all cases, the comparative expense information is that of a Fund’s “peer group” and the comparative performance information is that of a Fund’s “performance category.”)

The Committee considered that the RetireSMART 2010 and 2020 Funds had total net expense ratios at the 73^rd and 54^th percentiles, respectively. The Committee considered that, although the Funds’ total net expense ratios were in the third quartile, they were not so high as to appear unreasonable, especially in light of the Funds’ first or second quartile investment performance in their performance categories for the most recent one- and three-year periods.

The Committee considered that, in the case of the RetireSMART Growth, Moderate, Moderate Growth, 2015, 2025, 2030, 2035, 2040, 2045, and 2050 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, noting that the RetireSMART Growth, Moderate, Moderate Growth 2015, 2025, 2035, and 2045 Funds do not yet have three-years of performance history. MassMutual noted that the Meeting Materials included proposed adjustments to the expense limitations currently in place for the RetireSMART 2015, 2025, 2035, 2045, and 2050 Funds.

The Committee considered that the RetireSMART Conservative Fund’s expenses were in the first quartile of its peer group, although its performance was below the median of its performance category for the one-year period. The Trustees noted that the Fund had achieved one-year performance in the 73^rd percentile, but that it had only recently been organized, and determined that that was too short a period of time on the basis of which to evaluate MassMutual’s investment performance as to that Fund.

The Committee considered information regarding the RetireSMART In Retirement Fund, which had underperformed in recent periods compared to its peers. The Committee considered that the Fund had relatively favorable expenses, second quartile, but had achieved unfavorable relative performance. The Committee considered that the Fund had achieved a level of comparative performance in the 62^nd percentile for the three-year period, but that performance had improved to the 55^th percentile for the one-year period. MassMutual noted that the Fund’s long-term (five-year) performance is at the 12^th comparative percentile, that the Fund’s expenses are in the second comparative quartile, and that the Fund’s performance is in line with MassMutual’s expectations.

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 and shareholder services fees, as applicable) and expense allocation methodology employed by MassMutual; and (ii) profitability information for each individual Fund. 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 Contracts 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 interests of each Fund’s shareholders.

88

Other Information (Unaudited) (Continued)

Fund Expenses June 30, 2013

Expense Examples:

The following information is in regards to expenses for the six months ended June 30, 2013:

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, 2013.

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 S	$	1,000		0.15	%	$	1,008.90	$	0.74	$	1,023.80	$	0.74
Class Y		1,000		0.19	%		1,008.90		0.94		1,023.60		0.94
Class L		1,000		0.27	%		1,007.90		1.33		1,023.20		1.34
Class A		1,000		0.52	%		1,006.90		2.56		1,022.00		2.58
RetireSMART Moderate Fund
Class S		1,000		0.16	%		1,042.00		0.80		1,023.70		0.79
Class Y		1,000		0.20	%		1,041.90		1.00		1,023.50		0.99
Class L		1,000		0.28	%		1,041.90		1.40		1,023.10		1.39
Class A		1,000		0.53	%		1,040.90		2.65		1,021.90		2.63

89

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 Moderate Growth Fund
Class S	$	1,000		0.19	%	$	1,069.70	$	0.96	$	1,023.60	$	0.94
Class Y		1,000		0.23	%		1,069.70		1.17		1,023.40		1.14
Class L		1,000		0.31	%		1,069.70		1.57		1,023.00		1.54
Class A		1,000		0.56	%		1,067.70		2.84		1,021.80		2.78
RetireSMART Growth Fund
Class S		1,000		0.19	%		1,085.00		0.97		1,023.60		0.94
Class Y		1,000		0.23	%		1,084.00		1.18		1,023.40		1.14
Class L		1,000		0.31	%		1,084.00		1.58		1,023.00		1.54
Class A		1,000		0.56	%		1,083.10		2.86		1,021.80		2.78
RetireSMART In Retirement Fund
Class S		1,000		0.24	%		1,009.60		1.18		1,023.30		1.19
Class Y		1,000		0.31	%		1,009.60		1.53		1,023.00		1.54
Class L		1,000		0.41	%		1,009.60		2.02		1,022.50		2.03
Class A		1,000		0.66	%		1,008.70		3.25		1,021.30		3.27
Class N		1,000		0.96	%		1,006.80		4.72		1,019.80		4.75
RetireSMART 2010 Fund
Class S		1,000		0.25	%		1,025.00		1.24		1,023.30		1.24
Class Y		1,000		0.34	%		1,025.00		1.69		1,022.90		1.69
Class L		1,000		0.44	%		1,024.10		2.18		1,022.40		2.18
Class A		1,000		0.69	%		1,022.40		3.42		1,021.10		3.42
Class N		1,000		0.99	%		1,021.60		4.91		1,019.70		4.90
RetireSMART 2015 Fund
Class S		1,000		0.12	%		1,039.90		0.60		1,023.90		0.60
Class Y		1,000		0.18	%		1,039.90		0.90		1,023.60		0.89
Class L		1,000		0.28	%		1,040.00		1.40		1,023.10		1.39
Class A		1,000		0.52	%		1,038.30		2.60		1,022.00		2.58
RetireSMART 2020 Fund
Class S		1,000		0.22	%		1,053.10		1.11		1,023.40		1.09
Class Y		1,000		0.31	%		1,053.10		1.56		1,023.00		1.54
Class L		1,000		0.41	%		1,053.10		2.06		1,022.50		2.03
Class A		1,000		0.66	%		1,051.70		3.32		1,021.30		3.27
Class N		1,000		0.96	%		1,050.40		4.83		1,019.80		4.75
RetireSMART 2025 Fund
Class S		1,000		0.13	%		1,064.80		0.66		1,023.90		0.65
Class Y		1,000		0.18	%		1,064.80		0.91		1,023.60		0.89
Class L		1,000		0.28	%		1,063.90		1.42		1,023.10		1.39
Class A		1,000		0.52	%		1,062.30		2.63		1,022.00		2.58
RetireSMART 2030 Fund
Class S		1,000		0.22	%		1,069.70		1.12		1,023.40		1.09
Class Y		1,000		0.31	%		1,069.80		1.57		1,023.00		1.54
Class L		1,000		0.41	%		1,067.90		2.08		1,022.50		2.03
Class A		1,000		0.66	%		1,067.60		3.35		1,021.30		3.27
Class N		1,000		0.96	%		1,065.40		4.86		1,019.80		4.75

90

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 2035 Fund
Class S	$	1,000		0.13	%	$	1,073.60	$	0.66	$	1,023.90	$	0.65
Class Y		1,000		0.19	%		1,073.60		0.97		1,023.60		0.94
Class L		1,000		0.28	%		1,072.80		1.42		1,023.10		1.39
Class A		1,000		0.52	%		1,071.20		2.64		1,022.00		2.58
RetireSMART 2040 Fund
Class S		1,000		0.23	%		1,074.10		1.17		1,023.40		1.14
Class Y		1,000		0.32	%		1,074.20		1.63		1,023.00		1.59
Class L		1,000		0.42	%		1,072.20		2.13		1,022.50		2.08
Class A		1,000		0.67	%		1,072.00		3.40		1,021.20		3.32
Class N		1,000		0.97	%		1,069.90		4.92		1,019.80		4.80
RetireSMART 2045 Fund
Class S		1,000		0.12	%		1,082.90		0.61		1,023.90		0.60
Class Y		1,000		0.17	%		1,082.90		0.87		1,023.70		0.84
Class L		1,000		0.27	%		1,083.10		1.38		1,023.20		1.34
Class A		1,000		0.52	%		1,080.50		2.65		1,022.00		2.58
RetireSMART 2050 Fund
Class S		1,000		0.12	%		1,083.70		0.61		1,023.90		0.60
Class Y		1,000		0.17	%		1,083.60		0.87		1,023.70		0.84
Class L		1,000		0.27	%		1,082.50		1.38		1,023.20		1.34
Class A		1,000		0.52	%		1,081.70		2.65		1,022.00		2.58
Class N		1,000		0.82	%		1,079.40		4.18		1,020.50		4.06

* Expenses are calculated using the annualized expense ratio for the six months ended June 30, 2013, 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.

91

Distributor MML Distributors, LLC 1295 State Street Springfield, MA 01111-0001   August 29, 2013

^© 2013 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. C:32501-00

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    8/29/13                                         

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    8/29/13                                         

By (Signature and Title)	/s/ Nicholas H. Palmerino
	Nicholas H. Palmerino, Treasurer and Principal Financial Officer

Date    8/29/13